Trepp Life Insurance Commercial Mortgage Return Index in the Fourth Quarter Signals Stability

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Trepp released the latest LifeComps™ returns report, revealing that the volatility in valuations caused by the pandemic appears to have receded, with returns having stabilized for the second consecutive quarter.

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The volatility in valuations caused by the pandemic appears to have receded, with returns having stabilized for the second consecutive quarter.

Trepp, a leading provider of data, insights, and technology solutions to the structured finance, commercial real estate, and banking markets has released the fourth quarter 2020 returns for its life insurance commercial mortgage index showing a stabilization for the second consecutive quarter. Instantly download the report here: https://www.trepp.com/instantly-access-q4-2020-returns-report-life-insurance-commercial-mortgage-index.

Commercial mortgage investments held by life insurance companies posted a positive 1.22 percent total return in the fourth quarter of 2020, a slight decrease from the positive 1.71 return realized in the third quarter.

"The volatility in valuations caused by the pandemic appears to have receded, with returns having stabilized for the second consecutive quarter," said Russell Hughes, head of data consortia initiatives at Trepp.

Income contributed 1.01 percent, and appreciation added 0.21 percent in the fourth quarter.

"While interest rates remain near record lows, signs point to lenders remaining cautiously optimistic about where the market is heading," Hughes said.

Credit concerns remain evident among lenders but not as concerning as we have seen in previous quarters. The overall delinquency rate decreased from 0.06 percent in Q3 to 0.04 percent in Q4. Lender deferrals and forbearance are down in Q4 with only $24M in interest capitalized than Q3, where there was $33M in capitalized interest.

Cumulative charge-offs on existing loans decreased by a net of $3.1 to $16.7M after an increase of $1.5M for office properties and reversals of prior charge-offs of $4.5M on retail properties. The specific reserves for the portfolio increased $342K to $148M, or 0.098% of ending book value.

Of the four major property types, multifamily properties remain strong. Performing best over 12 months with a total return of 8.06 percent, followed by industrial at 7.54 percent, and office at 6.45 percent.

There are approximately 8,000 active loans in the LifeComps Index, with an aggregate principal balance of $151 billion. The weighted average duration is 5.28. For more information and to see the full report, click here: https://www.trepp.com/instantly-access-q4-2020-returns-report-life-insurance-commercial-mortgage-index.

Contact Trepp at press@trepp.com or 212.754.1010 with any questions or visit https://www.trepp.com/lifecomps for more.

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 1966. LifeComps provides a quantifiable investment performance index and serves as a benchmark for privately held commercial real estate mortgages.

About Trepp
Trepp, founded in 1979, is the leading provider of data, insights, and technology solutions to the structured finance, commercial real estate, and banking markets. Trepp provides primary and secondary market participants with the solutions and analytics they need to increase their operational efficiencies, information transparency, and investment performance. From its offices in New York, San Francisco, and London, Trepp serves its clients with products and services to support trading, research, risk management, surveillance, and portfolio management. Trepp is wholly-owned by Daily Mail and General Trust (DMGT). For more information, visit https://www.Trepp.com.

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Russell Hughes
Trepp
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