Salomon Brothers creates index for commercial mortgage performance

Real Estate Weekly, March 31, 1993

Salomon Brothers Inc. announced the creation of the Salomon-Levy Commercial Mortgage Performance Index (S-LCMPI), designed to measure the investment performance of commercial mortgage loans. The SLCMPI, which is jointly produced by S. Michael Giliberto, director of Real Estate Research at Salomon Brothers, and John B. Levy measures the quarterly total return produced by a model portfolio of institutional-grade commercial mortgage loans.

The S-LCMPI provides a performance.

The index's main features include:

* The model portfolio from which the index is derived representS a cross section of loans that an institutional lender would have made since 1972

* The index is calculated in two ways: One incorporates an empirically-based credit loss function, and the second ignores credit losses

* The portfolio is revalued through a quarterly mark-to-market process mance benchmark for this sector of the capital markets.