“To illustrate the point, holding all other variables constant and assuming 100 basis point parallel shift in the yield curve, we would anticipate approximately $500 million of benefit to adjusted net investment income over a 1-year period with nearly $200 million in General Insurance and $300 million in Life and Retirement.”

In context

“h an 80 basis point increase on the 10-year. With General Insurance and Life and Retirement's portfolio durations of 4 and 8.4 years, respectively, the overall rising interest rate environment will provide a tailwind to our investment portfolio returns. In April, our portfolio crossed the equilibrium point, where new money yield is now 50 basis points higher on average than the yield on the assets rolling off the portfolio. The new money yield is higher by 20 basis points in General Insurance versus assets rolling off and 70 basis points in Life and Retirement versus the yield on sales and maturities currently. Moving forward, the new money yield is roughly 60 basis points higher than the current portfolio in General Insurance and roughly 90 basis points higher in Life and Retirement. To illustrate the point, holding all other variables constant and assuming 100 basis point parallel shift in the yield curve, we would anticipate approximately $500 million of benefit to adjusted net investment income over a 1-year period with nearly $200 million in General Insurance and $300 million in Life and Retirement. Within General Insurance, we have $11 billion of floating rate securities, which will begin to see some benefits in the near term, most of which are not tied to longer-dated liabilities. Life and Retirement is $25 billion of floating rate assets, but most of this portfolio is tied to floating rate liabilities that will offset the benefits. Turning to investments that have Russian exposure. At December 31, AIG held $359 million of sovereign and other foreign debt of the Russian Federation, of which $79 million were within Fortitude. Through proactive sell-downs of $129 million, which generated a loss of $41 million as well as the establishment of a credit allowance of $127 million, the market value of these securities at the end of the first quarter was $86 million, of which $18 millio”