Life company commercial mortgage loan holdings generated a return of 2.31% in 3Q12, an improvement over the 1.56% return generated in each of the
The third quarter is the most recent data available.
Broken down by component, income return was 1.37%, while price return was 0.94%. Tighter mortgage spreads and slightly lower Treasury yields contributed positively to price performance.
But the annual return for the LifeComps portfolio fell 41 basis points to 8% between the end of the second quarter and the end of the third. Income contributed 5.68% and appreciation 2.32%.
The best return for the quarter and for the 12-month period ending Sept. 30, 2012 by property type came from retail, at 2.6% and 8.18% respectively. Apartments were next at 2.37% and 8.07%, followed by office, 2.6% and 7.79%, and industrial, 1.93% and 7/17%.
The data from approximately 5,000 loans are used to calculate the index, with an aggregate principal balance of $93.6 billion and market value of $101.6 billion.
The weighted average duration is 4.5 years and average loan-to-value is 57%.
