Comprehensive Retirement Income Products, page-26

I think we can safely assume that a meaningful portion of those 36bp is coming from yields and credit spreads

Lower asset yields actually hit Life annuity providers in two separate ways:

1) They need to lower the annuity rates offered to the public (or else sacrifice on margins).

2) In the event of asset/liability duration mismatch (i.e. when the average life of annuity liabilities is longer than the average life of the bonds in the asset portfolio, which is the norm), rolling any maturing bonds into new securities entails incurring a negative yield differential (i.e. the rate to be paid on the liabilities remains the same, but the yield earned on the new assets is lower).

Let me know if there is anything unclear.