John B. Levy & Company published the Giliberto-Levy Monitor for the fourth quarter of 2017, revealing that commercial mortgage investments totaled their highest full-year return since 2014.
The 0.36 percent total return for 4Q 2017 for private-market loans in investor portfolios was down from 3Q’s 1.05 percent, but quarterly income return held steady at 1.08 percent. Meanwhile, capital value produced -0.72%, reflecting price returns of -0.70% and a -0.02% contribution from other factors. Despite the subdued performance for the quarter, 2017 was the first time in three years all four quarters posted positive total returns.
The Giliberto‐Levy Monitor reports on the quarterly results of the Giliberto‐Levy Commercial Mortgage Performance Index (G-L 1), with comprehensive in‐depth market analysis and commentary on key aspects of the commercial mortgage industry. The G-L 1 provides income, price, total returns and spreads for office, apartment, retail, industrial and other property after adjusting for credit loss.
Other statistics highlighted in the G-L 1 include capitalization, duration, coupon rate, maturity and loan‐to‐values, and comparison of relevant returns and spreads to other debt classes such as investment grade and U.S. Treasury bonds.
Also highlighted in the report is the recently launched Giliberto‐Levy High Yield Real Estate Debt Index (G-L 2), a first-of-its-kind report that measures rates of returns from high-yield commercial real estate debt such as second mortgages, mezzanine loans and preferred equity. For the nine months ended September 30, 2017, the G-L 2 notched a return of 7.6 percent, which is slightly less than the 8 percent return tallied since its inception at the beginning of 2010. By contrast, the G-L 1 showed a return of 5.3 percent – some 230 basis points less – for the same time period.
Giliberto‐Levy Monitor subscribers also receive access to the Giliberto‐Levy Analyzer – a powerful custom query tool that enables users to analyze total return by property on a long‐term historical basis, leveraging data collected over the past 35 years.