Giliberto-Levy Commercial Mortgage Performance Index (G-L 1)

The Giliberto-Levy Commercial Mortgage Performance Index: A performance benchmark for investments in private-market real estate debt.

Tracking investment results produced by private market debt investments in commercial real estate within the United States.

John and Sandler

The Giliberto-Levy Commercial Mortgage Performance Index (“G-L Index” or “GLCMPI”) measures the investment performance of select private-market investments in commercial real estate debt. Specifically, the Index tracks fixed-rate, fixed-term senior loans that are made by and held in the investment portfolios (“on balance sheet”) of institutional lenders such as life insurance companies and pension funds. When creating the Index in 1993 our aim was to provide a total rate of return that tracked income, price movements and credit effects.

What is the Giliberto-Levy Index?

Index Overview

  • Total rate of return (income plus marked-to-market price change)
  • Quarterly returns for the Aggregate Index start in 1972
  • Returns for property sectors begin in 1978
  • First version of the Index was released in 1993

Giliberto-Levy Index profile (as of March 30, 2020):

  • Nearly 16,000 active loans
  • At origination:
    • $300.4 billion principal balance
    • 62% LTV
  • Current
    • $243.3 billion principal balance
    • 49% LTV
  • Statistics (weighted averages)
    • Coupon rate: 4.21%
    • Yield to maturity: 3.63%
    • Dollar price: 101.9
    • Remaining term: 7.50 years
    • Average life: 6.43 years
    • Modified duration: 5.33 years
  • Over its entire history, G-L 1 has tracked more than 82,000 loans with an aggregate original principal balance of $883 billion and underlying collateral valued at almost $1.4 trillion at origination.

Why subscribe to the Giliberto-Levy Index?

The Index:

  • Measures commercial mortgage performance in a manner that is consistent with fixed-income standards, specifically, a total rate of return that incorporates marked-to-market prices and credit impacts
  • Provides a third-party standard
  • Can help in asset allocation and performance measurement

How do you know? Benchmarking is the answer

Performance Measurement:

  • A benchmark is a reference portfolio.
  • Investors want active managers to generate positive excess returns
    • Excess return = Portfolio - Benchmark
    • Can be positive or negative
  • Performance attribution identifies sources of excess return.

Consistency and Customization:

  • Consistent pricing is the key: Loans in the Index and client portfolios are marked to market using the same proprietary pricing matrix.
  • We offer options for custom benchmarks to recognize differences in:
    • Property sector mix
    • Duration targets
    • Credit quality

The Giliberto-Levy Index helps you understand portfolio performance
  • Mark-to-market total return provides an apples-to-apples comparison
  • Objective and quantitative analysis with lots of flexibility
  • Internal and external uses
    • Portfolio management
    • Rating agencies
    • Co-investors
    • Portfolio buyers
    • Consultants
    • Incentive compensation

A one-year subscription to the Giliberto-Levy Index is $6,500 and includes four issues of the Giliberto-Levy Monitor along with the historical database and our proprietary Analyzer software. We also offer benchmarking, customized indexes and pricing services.

Click here to view a sample issue of the Giliberto-Levy Monitor.

Interested in subscribing? Click here to contact us about a new subscription or if you have questions about our benchmarking, customized index or pricing services.