MARKET INSIGHTS
May 22, 2018

Richmond, Va. May 22, 2018 – John B. Levy & Company has released the Giliberto-Levy Monitor for the first quarter of 2018, with insight into commercial mortgage investments that posted -0.38 percent total return for the period.

Noting that rising treasury yields drove the slightly negative total return, the report also highlighted that income return at 1.08 percent was unchanged from the prior quarter, while capital values declined by 1.46 percent. Over the last four quarters, commercial mortgage investments have generated a 3.19 percent total return.

U.S. Treasury yields increased by an average 34 basis points (bp) from December 31, 2017 to March 31, 2018. Yields for issues with three years or more to maturity – key yields for fixed-rate commercial mortgages – all showed increases, with the largest increase (41 bp) at the three-year mark. Increases tapered off slightly as time to maturity lengthened, ramping down to 23 bp at 30 years.

Published quarterly, the Giliberto‐Levy Monitor highlights the results of the Giliberto‐Levy Commercial Mortgage Performance Index (G-L 1) and offers in‐depth market analysis and commentary on important aspects of the commercial mortgage industry. It provides income, price, total returns and spreads for office, apartment, retail, industrial and other property after adjusting for credit loss.

Other statistics include capitalization, duration, coupon rate, maturity and loan‐to‐values, and comparison of relevant returns and spreads to other debt classes such as investment grade and U.S. Treasury bonds.

The Giliberto-Levy Monitor touches on results from the Giliberto‐Levy High Yield Real Estate Debt Index (G-L 2), a first-of-its-kind report that measures rates of returns from high-yield commercial real estate debt such as second mortgages, mezzanine loans and preferred equity. Looking back at the 12 months ended December 31, 2017, the G-L 2 posted a 10.2 percent return – slightly higher than the 9.6 percent return tallied since its inception at the beginning of 2010.

Giliberto‐Levy Monitor subscribers also receive access to the Giliberto‐Levy Analyzer – a powerful custom query tool that enables users to analyze total return by property on a long‐term historical basis, leveraging data collected over the past 35 years.

For more information or to subscribe to the Giliberto-Levy Commercial Mortgage Performance Index, visit jblevyco.com/index/.