“Going forward, we would expect to move over time to an asset allocation with less volatility.”

In context

“Insurance and Life and Retirement, which support our ability to manage through difficult times as evidenced by our financial stability through COVID. In Life and Retirement, our weighted average credit rating has improved since the end of 2015, while the percentage of capital-intensive assets has declined in the portfolio from 10.5% to 8.3%. In the second quarter, we continued the proactive steps in the investment portfolio to avoid potential overexposure in the event credit deteriorates. We sold RMBS and ABS securities with a market value of $3.2 billion in the second quarter. In addition, we have alternative investments, particularly hedge funds, that have generated good returns over time but with more quarter-to-quarter fluctuations and that is more volatility than we would prefer. Going forward, we would expect to move over time to an asset allocation with less volatility. We've also executed on sales of approximately $4 billion of low-yielding longer-duration corporate bonds to buy higher-yielding, shorter-duration structured securities, privates, ABS and CMLs with many of them being floaters. We feel it is appropriate to take advantage of the higher rate environment and turn the portfolio over a little more quickly than would naturally occur at maturity, thereby enhancing our forward APTI and ROCE. The second quarter saw significant increases in benchmark treasury yields with a 65 basis point increase on the 10-year or 146 basis points through June 30. With General Insurance and Life and Retirement portfolio durations are just under 4 and 8 years, respectively, the overall rising interest rate environment will provide a tailwind to our investment portfol”