Company: AXS-PE
Filing Date: 2025-10-29
Form Type: 10-Q
Source: 0001214816-25-000181
Chunk: 21

Company: AXIS CAPITAL HOLDINGS LTD
Filing Date: 2025-10-29
Form: 10-Q
Item: Item 1
Chunk 21
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$122,706 $— $122,706 $675 $(7,764)$115,617 ABS(1)320,694 — 320,694 560 (120)321,134 Total fixed maturities, held to maturity$443,400 $— $443,400 $1,235 $(7,884)$436,751 (1)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").At September 30, 2025, fixed maturities, held to maturity of $407 million (2024: $443 million) were presented net of an allowance for expected credit losses of $nil (2024: $nil). The Company's ABS, held to maturity consist of CLO debt tranched securities ("CLO Debt"). The Company uses a scenario-based approach to review its CLO debt portfolio and reviews subordination levels of these securities to determine their ability to absorb credit losses of the underlying collateral. If losses are forecast to be below the subordination level for a tranche held by the Company, the security is determined not to have a credit loss. At September 30, 2025, the allowance for credit losses expected to be recognized over the life of the Company's ABS, held to maturity was $nil.To estimate expected credit losses for corporate debt securities, held to maturity, the Company's projected cash flows are primarily driven by assumptions regarding the severity of loss, which is a function of the probability of default and projected recovery rates. The Company's default and recovery rates are based on credit ratings, credit analysis and macroeconomic forecasts. At September 30, 2025, the allowance for credit losses expected to be recognized over the life of the Company's corporate debt, held to maturity was $nil.Contractual MaturitiesExpected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. ABS classified as held to maturity had a net carrying value of $269 million (2024: $321 million). Corporate debt classified as held to maturity with a net carrying value of $32 million (2024: $28 million) is due between 1 year and 3 years. Corporate debt classified as held to maturity with a net carrying value of $103 million (2024: $95 million) is due between 3 years and 10 years. Corporate debt