Company: MHLA
Filing Date: 2025-03-10
Form Type: 10-K
Source: 0001412100-25-000011
Chunk: 161

Company: Maiden Holdings, Ltd.
Filing Date: 2025-03-10
Form: 10-K
Item: Item 7
Chunk 161
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 cash and cash equivalents (including amortization of premium or discount) by amortized cost.

(2)    Average duration in years.

During the year ended December 31, 2024, the yield on the 10-year U.S. Treasury bond increased by 70 basis points to 4.58% compared to December 31, 2023. The 10-year U.S. Treasury rate is the key risk-free determinant in the fair value of many of the fixed income securities in our portfolio. Despite an increase in risk-free rates during the year ended December 31, 2024, our fixed maturity investment portfolio generated net unrealized gains of $3.8 million which increased our book value per common share by $0.04 during the period, largely the result of lower duration on corporate and government bonds as well as tightening spreads on collateralized loan obligations. Current outlooks for global monetary policy indicate that quantitative tightening by central banks in the U.S. and globally appear likely to moderate in the near to intermediate term, although central banks have indicated that they maintain the option to either adopt a neutral stance or apply further tightening should data dictate such actions, particularly inflation and labor market data. Recent data suggest that the anticipated moderation of global monetary policy is likely to be deferred in the near-term. Our investment portfolios, in particular our fixed maturity portfolio, may be adversely impacted by unfavorable market conditions caused by these measures, which could cause continued volatility in our results of operations and negatively impact our financial condition. 

Interest rate risk is the price sensitivity of a security to changes in interest rates. Credit spread risk is the price sensitivity of a security to changes in credit spreads. As noted, the fair value of our fixed maturity investments will fluctuate with changes in interest rates and credit spreads. We attempt to maintain adequate liquidity in our fixed maturity investments portfolio with a strategy designed to emphasize the preservation of our invested assets and provide sufficient liquidity for the prompt payment of claims and contract liabilities. 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. 

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We also monitor the duration and structure of our investment portfolio as discussed below. As of December 31, 2024, 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