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CRE Finance World Summer 2015
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Exhibit 6
Realized Losses — Loss Severity by Investment Type
In line with recent trends, we expect mortgages to perform
strongly and losses to decline further in the coming quarters
with low impairments and delinquencies.
Improving LTVs & DSCRs
Over the last few years, the average reported portfolio loan-to-
value (LTV) and debt service coverage ratio (DSCR) have improved
for the commercial mortgages held by insurance companies. The
average commercial mortgage LTV held within participating company
portfolios was 55.1% as of mid-year 2014, with 1.19% of loan
exposure for all companies above a 100% LTV. The average DSCR
for the portfolios was 2.0x and approximately 95% of all exposure
held was above a 1.0x DSCR. Compared to year-end 2013, the
average portfolio LTV was down 1.3% and DSCR was up four
basis points. We expect the year-end data to show the same
continued decline in LTV and continued improved performance
of properties with DSCR increasing at a steady rate. However, it
will be interesting to see what these statistics will look like in the
coming quarters if interest rates rise in 2015.
Exhibit 7
Average Portfolio LTV
Exhibit 8
Average Portfolio DSCR
New Originations Growing
In search of better yields, life companies have increased their
focus on the commercial mortgage market, resulting in rising new
loan originations for insurance companies in recent years. New
originations reported by the 21 participants in the mid-year 2014
survey totaled $14.5 billion. We expect these numbers to more
than double in the year-end 2014 data.
Portfolio Lenders Survey: U.S. Life Insurers’ Mortgage Outlook