Company: AXS-PE
Filing Date: 2025-02-26
Form Type: 10-K
Source: 0001214816-25-000056
Chunk: 53

Company: AXIS CAPITAL HOLDINGS LTD
Filing Date: 2025-02-26
Form: 10-K
Item: Item 8
Chunk 53
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 losses of $19 million included foreign exchange losses of $6 million. At December 31, 2023, the allowance for expected credit losses on non-U.S. government fixed maturities related to loss severity where the forecasted recovery to amortized cost is uncertain.Corporate DebtTo estimate expected credit losses for corporate debt securities, the Company's projected cash flows are primarily driven by assumptions regarding the severity of loss, probability of default and projected recovery rates. The Company's default and loss severity rates are based on credit rating, credit analysis and macroeconomic forecasts. At December 31, 2024 and 2023, the allowance for expected credit losses on corporate debt securities mainly related to loss severity where the forecasted recovery to amortized cost was uncertain.  

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AXIS CAPITAL HOLDINGS LIMITEDNOTES TO CONSOLIDATED FINANCIAL STATEMENTSDECEMBER 31, 2024, 2023 AND 20225.    INVESTMENTS (CONTINUED)

CMBSThe Company's investments in CMBS are diversified and primarily rated AA or better. At December 31, 2024, CMBS had a weighted average estimated subordination percentage of 34% (2023: 37%). Based on discounted cash flows at December 31, 2024 and 2023, the current level of subordination is sufficient to cover the estimated loan losses on the underlying collateral of the CMBS.Non-agency RMBSTo estimate expected credit losses for non-agency RMBS, the Company's projected cash flows incorporated underlying data from widely accepted third-party data sources along with certain internal assumptions and judgments regarding the future performance of the security. These assumptions included default, delinquency, loss severity and prepayment rates. At December 31, 2024, the fair value of the Company's non-agency RMBS was $123 million (2023: $153 million), consisting primarily of $15 million (2023: $34 million) of Prime and $92 million (2023: $100 million) of Alt-A, Non-qualified, and Home Equity MBS. At December 31, 2024 and 2023, the allowance for expected credit losses on non-agency RMBS related to loss severity where the forecasted recovery to amortized cost is uncertain.ABSThe Company's investments in ABS consist mainly of CLO Debt purchased primarily as new issues between 2018 and 2024. Substantially all of these new issues had credit