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Life Company Mortgage Returns Negative in Second Quarter 2013


BOSTON - October 1, 2013 – Returns on commercial mortgage loans held by life insurance companies fell 1.92 percent in second quarter 2013. The negative total return was the first since fourth quarter 2008 and erased the gain made in first quarter, resulting in a slight 0.03 percent total return over the first six months of 2013, according to the LifeComps Commercial Mortgage Loan Index. 

Income contributed 1.29 percent and price contributed -3.21 percent in second quarter. Higher mortgage spreads contributed to the loss, but pricing was hit hardest by a sharp upward shift in the Treasury yield curve for maturities greater than one year. Yields on the 10-year Treasury increased 65 basis points over the quarter to 2.52 percent.

The twelve-month total return fell to 4.24 percent from 7.94 percent last quarter. Income contributed 5.45% and price -1.21%, with price loss resulting from higher treasury yields that outweighed the positive contribution from tighter credit spreads over the period. The 10-year Treasury yield ended the year 85 basis points higher. 

Of the four major property types, industrial performed best over 12 months with a total return of 4.78 percent followed by office at 4.26 percent, apartments at 4.11 percent, and retail at 3.96 percent.


Commercial Mortgage Loan – Total Return by Property Type as of June 30, 2013



12 months

















*Includes hotel, mixed use, and other commercial


About LifeComps

The LifeComps Commercial Mortgage Loan Index is the only published benchmark for the private commercial mortgage market based on actual mortgage loan cash flow and performance data, which has been collected quarterly from participating life insurance companies since 1996. Active loans in the LifeComps Index number approximately 5,000 with an aggregate principal balance of $93.5 billion and market value of $99.4 billion. The weighted average duration is 4.6 years and average reported loan-to-value is 54 percent.

Since its inception, the LifeComps database has tracked individual cash flows on more than 21,000 loans with principal balances totaling in excess of $280 billion. More than 6,500 loans totaling $100 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