Company: AXS-PE
Filing Date: 2025-02-26
Form Type: 10-K
Source: 0001214816-25-000056
Chunk: 310

Company: AXIS CAPITAL HOLDINGS LTD
Filing Date: 2025-02-26
Form: 10-K
Item: Item 7
Chunk 310
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516 17 %2,044,683 16 %BBB1,190,381 9 %1,416,552 11 %Below BBB(3)1,485,915 12 %1,049,840 8 %Total$12,589,504 100 %$12,910,593 100 %

(1)Includes bonds issued by states, municipalities, and political subdivisions.

(2)Includes U.S. government-sponsored agencies, residential mortgage-backed securities ("RMBS") and commercial mortgage-backed securities ("CMBS").

(3)Non-investment grade and non-rated securities.

At December 31, 2024, fixed maturities had a weighted average credit rating of A+ (2023: AA-), a book yield of 4.5% (2023: 4.2%), and an average duration of 2.8 years (2023: 3.0 years). 

At December 31, 2024, fixed maturities together with short-term investments, and cash and cash equivalents (i.e., total investments of $15.9 billion) had a weighted average credit rating of AA- (2023: AA-) and an average duration of 2.5 years (2023: 2.7 years).

Our methodology for assigning credit ratings to fixed maturities is in line with the methodology used for the Barclays U.S. Aggregate Bond index. This methodology uses the midpoint of Standard & Poor's (S&P), Moody's and Fitch ratings. When ratings from only two of these agencies are available, the lower rating is used. When only one agency rates a security, that rating is used. When ratings provided by S&P, Moody's and Fitch are not available, ratings from other nationally recognized agencies are used.

To calculate the weighted average credit rating for fixed maturities, we assign points to each rating with the highest points assigned to the highest rating (AAA) and the lowest points assigned to the lowest rating (D) and then calculate the weighted average based on the fair values of the individual securities. Securities that are not rated are excluded from weighted average calculations. At December 31, 2024, the fair value of fixed maturities not rated was $3 million (2023: $17 million).

In addition to managing credit risk exposure within our fixed maturities portfolio we also monitor the aggregation of country risk exposure on a group-wide basis. Country risk exposure