Company: AXS-PE
Filing Date: 2025-04-30
Form Type: 10-Q
Source: 0001214816-25-000115
Chunk: 34

Company: AXIS CAPITAL HOLDINGS LTD
Filing Date: 2025-04-30
Form: 10-Q
Item: Item 1
Chunk 34
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, receivable for investments sold, certain other assets, payable for investments purchased and certain other liabilities approximated fair values due to their short maturities. As these financial instruments are not actively traded, their fair values are classified as Level 2. At March 31, 2025, the Company's fixed maturities, held to maturity, were recorded at amortized cost with a carrying value of $390 million (2024: $443 million) and a fair value of $384 million (2024: $437 million). The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, their fair values are classified as Level 2.At March 31, 2025, the carrying value of mortgage loans, held for investment, approximated fair value. The fair values of mortgage loans are primarily determined by estimating expected future cash flows and discounting them using current interest rates for similar mortgage loans with similar credit risk or are determined from pricing for similar loans. As mortgage loans are not actively traded, their fair values are classified as Level 3.At March 31, 2025, the Company's debt was recorded at amortized cost with a carrying value of $1,316 million (2024: $1,315 million) and a fair value of $1,258 million (2024: $1,247 million). The fair value of the Company's debt is based on prices obtained from a third-party pricing service and is determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair value of this debt is classified as Level 2.At March 31, 2025, Federal Home Loan Bank advances were recorded at amortized cost with a carrying value of $66 million (2024: $66 million) and a fair value of $66 million (2024: $66 million). As these advances are not actively traded, their fair values are classified as Level 2.

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Table of  ContentsAXIS CAPITAL HOLDINGS LIMITEDNOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)5.    DERIVATIVE INSTRUMENTS

The following table provides the balance sheet classifications of derivatives recorded at fair value:  March