Company: AXS-PE
Filing Date: 2025-04-30
Form Type: 10-Q
Source: 0001214816-25-000115
Chunk: 15

Company: AXIS CAPITAL HOLDINGS LTD
Filing Date: 2025-04-30
Form: 10-Q
Item: Item 1
Chunk 15
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)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").At March 31, 2025, fixed maturities, held to maturity of $390 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 March 31, 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 March 31, 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 $261 million (2024: $321 million). Corporate debt classified as held to maturity with a net carrying value of $28 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 $98 million (2024: $95 million) is due between 3 years and 10 years. Corporate debt classified as held to maturity with a net carrying value of $3 million (2024: $nil) is due after 10 years.

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Table of  ContentsAXIS CAPITAL HOLDINGS LIMITEDNOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)3.    INVESTMENTS (CONTINUED)

c)      Equity SecuritiesThe following table provides the cost and fair values of