Trepp Life Insurance Commercial Mortgage Return Index Surges in the Second Quarter

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While the surge in returns was not necessarily unexpected, the magnitude of the recovery was a bit surprising.

Trepp, a leading provider of information analytics and technology to the structured finance, commercial real estate, and banking markets has released the second quarter 2020 returns for its life insurance commercial mortgage index showing a surge in returns.

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Commercial mortgage investments held by life insurance companies posted a positive 4.58% total return in the second quarter of 2020, a major reversal from the negative 1.00% return realized in the first quarter. The change from Q1 to Q2 was the second largest swing in the past 94 quarters, according to the Trepp LifeComps™ Commercial Mortgage Index.

“While the surge in returns was not necessarily unexpected, the magnitude of the recovery was a bit surprising,” said Russell Hughes, head of data consortia initiatives at Trepp. “The exposure of LifeComps™ mortgages to the two hardest-hit sectors varies, with the exposure to lodging being low, but the retail exposure being material.”

Of the four major property types, multifamily properties performed best over 12 months with a total return of 7.3% followed by industrial at 6.6%, and office at 6.03%.

Income contributed 1.05% and price added 3.52% in the second quarter, with the strong price appreciation being reflective of both decreasing credit concerns and a persistent low-interest-rate environment.

While credit concerns still exist as evidenced by more than 120 loans with payment deferrals and more than $31 million in interest payments being capitalized, decreased credit uncertainty combined with the sustained low-interest-rate environment has resulted in a major rebound of loan valuations. Additionally, specific reserves increased 13%, but delinquencies and charge-offs remain very low, especially given the current market conditions, clocking in at 0.06% and 0.004%, respectively.

There are approximately 7,600 active loans in the LifeComps™ Index with an aggregate principal balance of $148 billion. The weighted average duration is 5.37 and the average reported loan-to-value is 50%.

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Contact Trepp at or 212.754.1010 with any questions.

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.


Trepp, founded in 1979, is the leading provider of information, analytics, and technology to the structured finance, commercial real estate, and banking markets. Trepp provides primary and secondary market participants with the web-based tools and insight 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

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