MARKET INSIGHTS
January 10, 2018

Richmond, VA.  January 4, 2018 – Investment banking leader John B. Levy & Company is pleased to announce updated results for its new Giliberto-Levy High-Yield Debt Index, also known as the G-L 2.  The Index is the first third-party measure to monitor high-yield commercial mortgage debt performance.  The G-L 2 complements the Giliberto-Levy Commercial Mortgage Performance Index (G-L 1), which has provided a quarterly performance benchmark for investments in private market first-mortgage real estate debt since 1993.  These latter loans are generally made and held in the investments portfolios (“on balance sheet”) of institutional lenders such as insurance companies, pension funds and others.

Both Indexes were created and owned by John B. Levy & Company and S. Michael Giliberto & Company.  For the nine months ended 10/31/17, the G-L 2 is notching a return of 7.6% which is slightly less than the G-L 2’s return of 8% since its inception at the beginning of 2010.  In contrast, the G-L 1, for the first nine months of 2017, has garnered a return of 5.3%.

Perhaps of equal interest is the comparison to returns generated by investment-grade CMBS as measured by the Bloomberg Barclays indices.  These show a return of 3.1% for the first nine months of 2017 and a return of 6.2% since the G-L 2’s inception as of January 1, 2010.  To no one’s surprise, the G-L 1 has an annualized volatility of 2.6% versus the G-L 2’s annualized volatility of 3.8%.  By comparison, the investment-grade CMBS sector shows an annualized volatility of 3.6%.

For the 12 months ending 9/30/17, the G-L 2 returned 9.7%, versus 2.7% for the G-L 1 and 0.1% for investment-grade CMBS.

The G-L 2 tracks the performance of more than $10 billion in high-yield loans which represent a variety of property types.  Multiple categories of mortgages make up the G-L 2 Index, including mezzanine loans and senior strategies continuing to represent the two largest components.  Other components include preferred equity and second mortgages.  Some 62% of the G-L 2 is composed of floating-rate loans as opposed to virtually 100% of the G-L 1, which is composed of fixed-rate loans.

The G-L 2 is now available on a subscription basis, and subscribers can customize reports to align with their given investment profiles.  The G-L 2 data will be published on a quarterly basis.  For more information or to subscribe to the G-L 2, contact John Levy at jlevy@jblevyco.com or 804-500-9025.

This report does not constitute an offer to sell securities. Past performance is not a guarantee of future results.   

About John B. Levy & Company

John B. Levy & Company, Inc. is a real estate investment‐banking firm founded in 1995 and headquartered in Richmond, VA. The company raises equity and debt for developers and owners of commercial and multi‐family projects. For more information, and to contact the firm for interviews with its principals, visit jblevyco.com.