Company: MHLA
Filing Date: 2025-05-12
Form Type: 10-Q
Source: 0001412100-25-000043
Chunk: 301

Company: Maiden Holdings, Ltd.
Filing Date: 2025-05-12
Form: 10-Q
Item: Item 2
Chunk 301
---
 Because we collateralize a significant portion of our insurance liabilities, unanticipated or large increases in interest rates could require us to utilize significant amounts of unrestricted cash and fixed maturity securities to provide additional collateral, which could impact our asset and capital management strategy described herein.

We also monitor the duration and structure of our investment portfolio as discussed below. As of March 31, 2025, the aggregate hypothetical change in fair value from an immediate 100 basis points increase in interest rates, assuming credit spreads remain constant, in our fixed maturity investments portfolio would decrease the fair value of that portfolio by $3.6 million. Actual shifts in interest rates may not change by the same magnitude across the maturity spectrum or on an individual security and, as a result, the impact on the fair value of our fixed maturity securities may be materially different from the resulting change in value described above.

To limit our exposure to unexpected interest rate increases which would reduce the value of our fixed income securities and reduce our shareholders' equity, we attempt to maintain the duration of our fixed maturity investment portfolio combined with our cash and cash equivalents, both restricted and unrestricted, within a reasonable range of the duration of our loss reserves. At March 31, 2025 and December 31, 2024, these respective durations in years were as follows:

March 31, 2025December 31, 2024Fixed maturities and cash and cash equivalents0.90.8Reserve for loss and LAE - gross of LPT/ADC Agreement reserves6.46.4Reserve for loss and LAE - net of LPT/ADC Agreement reserves3.53.5

During the three months ended March 31, 2025, the weighted average duration of our fixed maturity investment portfolio increased by 0.1 years to 0.9 years while the duration for gross reserve for loss and LAE remained at 6.4 years. The differential in duration between these assets and liabilities may fluctuate over time and in the case of fixed maturities, historically has been affected by factors such as market conditions, changes in asset mix and prepayment speeds in the case of both our U.S. agency mortgage-backed securities ("Agency MBS") and commercial mortgage-backed securities held. 

At March 31, 2025, the duration of our loss reserves net of the LPT/ADC Agreement was higher than the duration of our fixed maturity investment portfolio. To limit our exposure to unexpected interest rate increases that could reduce the value of our fixed maturity securities and