Investment banking leader John B. Levy & Company released updated results for its new Giliberto-Levy High-Yield Debt Index, also known as the G-L 2.
The index monitors 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 & Co. For the nine months ended Oct. 31, 2017, the G-L 2 is notching a return of 7.6 percent, which is slightly less than the G-L 2’s return of 8 percent since its inception at the beginning of 2010. In contrast, the G-L 1, for the first nine months of 2017, garnered a return of 5.3 percent.
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 percent for the first nine months of 2017 and a return of 6.2 percent since the G-L 2’s inception as of Jan. 1, 2010. To no one’s surprise, the G-L 1 has an annualized volatility of 2.6 percent versus the G-L 2’s annualized volatility of 3.8 percent. By comparison, the investment-grade CMBS sector shows an annualized volatility of 3.6 percent.
For the 12 months ending Sept. 30, 2017, the G-L 2 returned 9.7 percent, versus 2.7 percent for the G-L 1 and 0.1 percent for investment-grade CMBS.
The G-L 2 tracks the performance of more than $10 billion in high-yield loans that 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 percent of the G-L 2 is composed of floating-rate loans as opposed to virtually 100 percent 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.
