Company: AXS-PE
Filing Date: 2025-02-26
Form Type: 10-K
Source: 0001214816-25-000056
Chunk: 1

Company: AXIS CAPITAL HOLDINGS LTD
Filing Date: 2025-02-26
Form: 10-K
Item: Item 7A
Chunk 1
---
 Duration measures the price sensitivity of an asset to changes in yield rates. Convexity measures how the duration of the security changes with interest rates. The duration and convexity analysis take into account changes in prepayment expectations for MBS and ABS. The analysis is performed at the security level and aggregated to the asset category levels.

110

The following table presents the estimated pre-tax impact on the fair value of fixed maturities classified as available for sale due to an instantaneous increase in the U.S. yield curve of 100 basis points and an additional 100 basis point credit spread widening for corporate debt, non-agency commercial MBS and residential MBS, ABS and municipal bond securities:

  Fair valuePotential adverse change in fair valueIncrease ininterest rateby 100basis pointsWidening ofcredit spreadsby 100basis pointsTotalAt December 31, 2024U.S. government and agency$2,802,986 $(60,634)$— $(60,634)Non-U.S. government729,939 (22,143)— (22,143)Agency RMBS1,184,845 (61,576)— (61,576)Securities exposed to credit spreads:Corporate debt4,842,190 (154,058)(166,011)(320,069)CMBS819,608 (21,745)(24,749)(46,494)Non-agency RMBS122,536 (5,287)(5,090)(10,377)ABS1,539,832 (17,343)(35,727)(53,070)Municipals110,817 (3,675)(3,751)(7,426) $12,152,753 $(346,461)$(235,328)$(581,789)At December 31, 2023U.S. government and agency$3,007,528 $(81,945)$— $(81,945)Non-U.S. government723,959 (22,534)— (22,534)Agency RMBS1,634,661 (84,719)— (84,719)Securities exposed to credit spreads:Corporate debt4,474,172 (151,894)(158,759)(310,653)CMBS839,696 (18,120)(21,917)(40,037)Non-agency RMBS153,396 (6,158