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Annual performance trends downward


BOSTON - July 1, 2011 – Commercial mortgage investments held by life insurance companies posted a 1.72% total return in first quarter 2011, improving over fourth quarter 2010’s return of 1.04%, according to the LifeComps Commercial Mortgage Performance Index.

Tighter mortgage spreads positively offset rising treasury yields over both quarters, however their relative movement resulted in a price return of 0.25% in first quarter versus a loss of 0.50% in fourth quarter. Income return for first quarter was 1.47%.

The rolling twelve-month return fell for the third consecutive quarter from a peak of 16.65% in mid-2010 to 11.87% as of first quarter. Income contributed 6.32% and appreciation 5.55% for the most recent twelve-months with performance benefitting from tighter spreads and lower treasury yields compared to one year ago.

Of the four major property types, apartments performed best over twelve months with a total return of 13.82% compared with 12.42% for retail, 11.19% for industrial and 10.17% for office.


Commercial Mortgage Loan
Total Return by Property Type as of 3/31/11
  Quarter 12 Months
Apartment 1.61% 13.82%
Office 1.70% 10.17%
Retail 1.45% 12.42%
Industrial 1.98% 11.19%
All* 1.72% 11.87%

*Inlcludes hotel, mixed use, and other commercial


About LifeComps

The LifeComps Commercial Mortgage Index is the only published benchmark for the private commercial mortgage market based on actual cash flow data, which has been collected quarterly from participating life insurance companies since 1996. Active loans in the LifeComps Index number over 5,000 with an aggregate principal balance of approximately $58.5 billion and market value of $88.9 billion.  The weighted average duration is 3.90 years, and average reported loan-to-value is 62 percent.

Since its inception, the LifeComps database has tracked individual cash flows on more than 18,000 loans with principal balances totaling in excess of $221 billion. More than 3,800 loans totaling $54 billion have been tracked from origination to disposition.

Participating life insurers include Allstate Life Insurance Company, CIGNA Investment Management, AXA Equitable, John Hancock, Northwestern Mutual, Principal Financial,  Prudential Insurance Company of America, and TIAA. For more information, visit