Company: AXS-PE
Filing Date: 2025-02-26
Form Type: 10-K
Source: 0001214816-25-000056
Chunk: 2

Company: AXIS CAPITAL HOLDINGS LTD
Filing Date: 2025-02-26
Form: 10-K
Item: Item 7A
Chunk 2
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)(5,849)(12,007)ABS1,242,971 (10,436)(36,132)(46,568)Municipals158,359 (6,234)(6,336)(12,570) $12,234,742 $(382,040)$(228,993)$(611,033)

U.S. government agencies have a limited range of spread widening. Therefore, 100 basis points of spread widening for these securities is highly improbable in normal market conditions. Our non-U.S. government debt obligations are highly-rated, and we believe the potential for future widening of credit spreads would also be limited for these securities. Certain of our holdings in non-agency RMBS and ABS have floating interest rates, which mitigate interest rate risk exposure.

The above sensitivity analysis should not be construed as our prediction of future market events, but rather an illustration of the impact of such events.

In addition, our investment in bond mutual funds is exposed to interest rate risk. However, this exposure is largely mitigated by the short duration of the underlying securities.

Equity Price Risk

Our portfolio of equity securities, excluding the bond mutual funds, has exposure to equity price risk. This risk is defined as the potential loss in fair value resulting from adverse changes in stock prices. The global equity portfolio is managed to a benchmark composite index, which consists of a blend of the S&P 500 and MSCI World indices. Changes in the underlying indices have a corresponding impact on the overall portfolio. At December 31, 2024, the fair value of equity securities was $323 million (2023: $295 million). At December 31, 2024, the impact of a 20% decline in the overall market prices of our equity exposures would be $65 million (2023: $59 million), on a pre-tax basis.

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Our investment in multi-strategy funds has significant exposure to equity strategies with net long positions. At December 31, 2024, the fair value of multi-strategy funds was $25 million (2023: $25 million). At December 31, 2024, the impact of an instantaneous 15% decline in the fair value of our investment in multi-strategy funds would be $4 million (2023: $4 million), on a pre-tax basis.

Foreign Currency Risk

The following table presents a sensitivity analysis of total net foreign currency exposures:AUDCADEURGBPJPYOtherTotalAt December 31, 2024Net managed