RICHMOND, VA—John B. Levy & Co. has unveiled a new version of the Giliberto-Levy Commercial Mortgage Performance Index, which has tracked fixed-rate, fixed-term senior loans since 1993. The Giliberto-Levy High-Yield Real Estate Debt Index, or G-L 2, reportedly is the first third-party measure available to monitor high-yield commercial mortgage debt performance.

The G-L 2 tracks the performance of $6.9 billion in high-yield loans—including second mortgages, mezzanine loans and preferred equity—dating back to January 2010 and representing a mix of property types. Over a seven-year period that ended this past Dec. 31, G-L 2 debt racked up a 7.6% average annual return, outpacing the 5.3% return achieved by the G-L Index over that same period of time.

Over the course of 2016, investments tracked in the G-L 2 produced a 9.4% return. For mezzanine loans specifically, the return was 10.4%.

In common with the G-L Index, GL-2 was co-created by John B. Levy, president of John B. Levy & Company, and investment manager Michael Giliberto. “Investors in high-yield real estate have long wanted to compare their returns and performance against an industry standard benchmark,” Levy says. “Our G-L 2 carefully crunches the numbers and variables within financing packages,” thus providing high-yield investors a level of insight that previously was available only to holders of senior debt.

Multiple categories of mortgages make up the G-L 2 index, with mezzanine loans (53%) and senior-B notes (32%) representing the largest two components. Others include second mortgages and preferred equity, and 62% of these are subject to adjustable or floating interest rates.

The G-L 2 is available on a subscription basis, and subscribers can customize report components to align with their given investment profiles. The G-L 2 results will be published quarterly, starting with 2017 results. Click here for further information.

The most recent quarterly results for the original G-L Index, issued in August, showed second-quarter results outpacing those of Q1. The index showed a 2.11% total return for Q2, compared to a total return of 2.01% in the first three months of this year.

Instant Insights /

G-L Index Launches for High-Yield CRE Debt

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