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Giliberto-Levy Commercial Mortgage

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In this performance-oriented investment world, investors want active managers to generate positive excess returns. CIOs, regulators, rating agencies, and analysts increasingly view comparisons of mortgage portfolio delinquency or coupon yield to industry averages as inadequate; in order to compete, mortgage professionals must provide performance results that can be compared with those of other asset classes.

The Giliberto-Levy Commercial Mortgage Performance Index and associated return attribution techniques can provide appropriate metrics to directly address these needs.

The Giliberto-Levy Index allows investors to evaluate the performance of commercial mortgages on a total-return, marked-to-market basis. The Index calculates quarterly and aggregate returns on a pool of traditional fixed-rate loans collateralized by commercial real estate. The pool of mortgages underlying the Index is nearly $200 billion, and several billion dollars worth of new originations are added each quarter. The Index provides returns after adjusting for credit losses.

The Giliberto-Levy Monitor is a quarterly publication that outlines the return attributes of the underlying pool of commercial mortgages. Summary statistics and return components are detailed across a number of stratifications and dimensions (e.g., property type, duration, credit quality, etc.), and the Monitor provides a comprehensive view of how fixed-rate commercial mortgages are performing. A sample of a full report is available by clicking here.

In addition, historic information, custom benchmarking, and attribution analysis services are available. Custom benchmarking establishes a true apples-to-apples comparison that weights the property sectors and duration in the Index to match your portfolio, and attribution analysis outlines the factors explaining the outperformance or underperformance of the client portfolio versus the Index. Explanatory factors may include principal paydown rates, credit losses, duration, differential yield change, convexity, and property type.

Overall, the Giliberto-Levy Commercial Mortgage Performance Index:

• Measures commercial mortgage performance in a manner that is consistent with fixed-income standards, specifically, revealing a total rate of return that incorporates marked-to-market prices and credit impacts
• Provides a third-party standard for investment professionals, actuaries,
  and consultants
• Can assist in asset allocation and performance measurement
• Identifies sources of excess return through performance attribution
• Allows for the creation of more flexible custom benchmarks

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For more information contact us or call 617-426-4446