After falling over the first half of '16, Treasury yields ended higher to drive the negative price performance with the 10-year Treasury finishing 18 bps higher. Spread movement, credit migration and portfolio growth partially offset the negative contribution from Treasury movement, according to LifeComps

Of the four major property types, industrial loans performed best in Q4, with a return of -1.94%, compared to -2.63% for office, -2.89% for retail and -3.08% for apartments. For the year, office fared best with a return of 3.99%, followed closely by retail at 3.94%, apartments at 3.92% and industrial at 3.72%.

The LifeComps Commercial Mortgage Loan Index is based on approximately 4,400 active loans with an aggregate principal balance of $114.3 billion. The weighted average duration is 5.4 years and average reported loan-to-value is 51%. Participating insurers include Allstate Life Insurance Co., CIGNA Investment Management, AXA Equitable, John Hancock, Northwestern Mutual, Principal Financial, Prudential Insurance Co. of America and TIAA.

BOSTON—The fourth quarter of 2016 wasn't an auspicious time for life insurance companies with commercial mortgage loans. Normally a contributor to life companies' income, commercial mortgage holdings posted a negative return of 2.72% in Q4, according to the LifeComps Commercial Mortgage Loan Index issued Tuesday.

For Q4, income contributed 1.11% while price subtracted 3.83%. That compares to positive returns of 1.05% in Q3, 2.27% in Q2 and 3.39% in Q1 of last year.

LifeComps attributes the price loss to higher Treasury yields, while mortgage spreads tightened to ease the impact. The yield on the benchmark 10-year Treasury climbed 85 basis points over Q4 to 2.45%. This past January, LifeComps similarly attributed the Q3 drop-off in returns to higher yields on Treasuries.

The 12-month total return as measured by the LifeComps index dropped to 3.94% in Q4 from 6.81% in the prior quarter. Income contributed 4.73% over the trailing 12 months, while price deducted 0.79%.

After falling over the first half of '16, Treasury yields ended higher to drive the negative price performance with the 10-year Treasury finishing 18 bps higher. Spread movement, credit migration and portfolio growth partially offset the negative contribution from Treasury movement, according to LifeComps

Of the four major property types, industrial loans performed best in Q4, with a return of -1.94%, compared to -2.63% for office, -2.89% for retail and -3.08% for apartments. For the year, office fared best with a return of 3.99%, followed closely by retail at 3.94%, apartments at 3.92% and industrial at 3.72%.

The LifeComps Commercial Mortgage Loan Index is based on approximately 4,400 active loans with an aggregate principal balance of $114.3 billion. The weighted average duration is 5.4 years and average reported loan-to-value is 51%. Participating insurers include Allstate Life Insurance Co., CIGNA Investment Management, AXA Equitable, John Hancock, Northwestern Mutual, Principal Financial, Prudential Insurance Co. of America and TIAA.