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INVESTMENTS

12 Months Ended

Dec. 31, 2024

Investments, Debt and Equity Securities [Abstract]

a) Fixed Maturities, Available for Sale

The following table provides the amortized cost and fair values of the Company's fixed maturities classified as available for sale:



	Amortized cost		Allowance for expected credit losses		Gross unrealized gains		Gross unrealized losses		Fair value

At December 31, 2024
Available for sale
U.S. government and agency	$	2,830,111	$	—	$	6,011	$	(33,136)	$	2,802,986
Non-U.S. government	753,315		—		2,584		(25,960)		729,939
Corporate debt	4,941,510		(3,690)		30,594		(126,224)		4,842,190
Agency RMBS(1)	1,245,681		—		1,154		(61,990)		1,184,845
CMBS(2)	852,534		—		1,244		(34,170)		819,608
Non-agency RMBS	132,116		(195)		597		(9,982)		122,536
ABS(3)	1,547,350		(53)		5,812		(13,277)		1,539,832
Municipals(4)	117,288		—		125		(6,596)		110,817
Total fixed maturities, available for sale	$	12,419,905	$	(3,938)	$	48,121	$	(311,335)	$	12,152,753

At December 31, 2023
Available for sale
U.S. government and agency	$	3,049,445	$	—	$	13,211	$	(55,128)	$	3,007,528
Non-U.S. government	729,761		(30)		13,089		(18,861)		723,959
Corporate debt	4,651,654		(10,438)		49,434		(216,478)		4,474,172
Agency RMBS(1)	1,706,204		—		11,495		(83,038)		1,634,661
CMBS(2)	897,553		—		551		(58,408)		839,696
Non-agency RMBS	165,910		(194)		713		(13,033)		153,396
ABS(3)	1,265,187		(50)		2,855		(25,021)		1,242,971
Municipals(4)	168,540		(47)		414		(10,548)		158,359
Total fixed maturities, available for sale	$	12,634,254	$	(10,759)	$	91,762	$	(480,515)	$	12,234,742

(1)Residential mortgage-backed securities ("RMBS") originated by U.S. government-sponsored agencies.

(2)Commercial mortgage-backed securities ("CMBS").

(3)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs").

(4)Municipals include bonds issued by states, municipalities and political subdivisions.

Contractual Maturities

Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

The table below provides the contractual maturities of fixed maturities classified as available for sale:



	Amortized cost		Fair value		% of Total fair value

At December 31, 2024
Maturity
Due in one year or less	$	895,177	$	885,866	7.4	%
Due after one year through five years	5,637,336		5,567,905		45.8	%
Due after five years through ten years	1,895,116		1,826,564		15.0	%
Due after ten years	214,595		205,597		1.7	%
	8,642,224		8,485,932		69.9	%
Agency RMBS	1,245,681		1,184,845		9.7	%
CMBS	852,534		819,608		6.7	%
Non-agency RMBS	132,116		122,536		1.0	%
ABS	1,547,350		1,539,832		12.7	%
Total	$	12,419,905	$	12,152,753	100.0	%

At December 31, 2023
Maturity
Due in one year or less	$	474,557	$	463,789	3.6	%
Due after one year through five years	5,902,571		5,790,493		47.3	%
Due after five years through ten years	2,064,619		1,954,449		16.0	%
Due after ten years	157,653		155,287		1.3	%
	8,599,400		8,364,018		68.2	%
Agency RMBS	1,706,204		1,634,661		13.4	%
CMBS	897,553		839,696		6.9	%
Non-agency RMBS	165,910		153,396		1.3	%
ABS	1,265,187		1,242,971		10.2	%
Total	$	12,634,254	$	12,234,742	100.0	%

Gross Unrealized Losses

The following table summarizes fixed maturities, available for sale in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:



	12 months or greater				Less than 12 months				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses

At December 31, 2024
Fixed maturities, available for sale
U.S. government and agency	$	262,368	$	(17,515)	$	1,026,139	$	(15,621)	$	1,288,507	$	(33,136)
Non-U.S. government	98,846		(9,179)		457,889		(16,781)		556,735		(25,960)
Corporate debt	934,975		(78,979)		2,032,254		(47,245)		2,967,229		(126,224)
Agency RMBS	280,550		(35,333)		749,040		(26,657)		1,029,590		(61,990)
CMBS	410,213		(22,334)		260,411		(11,836)		670,624		(34,170)
Non-agency RMBS	69,418		(9,900)		8,302		(82)		77,720		(9,982)
ABS	147,281		(8,471)		295,897		(4,806)		443,178		(13,277)
Municipals	49,495		(4,198)		51,002		(2,398)		100,497		(6,596)
Total fixed maturities, available for sale	$	2,253,146	$	(185,909)	$	4,880,934	$	(125,426)	$	7,134,080	$	(311,335)






At December 31, 2023
Fixed maturities, available for sale
U.S. government and agency	$	846,503	$	(42,465)	$	867,733	$	(12,663)	$	1,714,236	$	(55,128)
Non-U.S. government	233,038		(18,178)		115,112		(683)		348,150		(18,861)
Corporate debt	2,623,304		(210,512)		240,813		(5,966)		2,864,117		(216,478)
Agency RMBS	778,656		(80,070)		218,606		(2,968)		997,262		(83,038)
CMBS	703,411		(54,856)		75,242		(3,552)		778,653		(58,408)
Non-agency RMBS	98,483		(13,013)		10,017		(20)		108,500		(13,033)
ABS	879,743		(24,747)		83,582		(274)		963,325		(25,021)
Municipals	129,969		(10,156)		6,238		(392)		136,207		(10,548)
Total fixed maturities, available for sale	$	6,293,107	$	(453,997)	$	1,617,343	$	(26,518)	$	7,910,450	$	(480,515)

At December 31, 2024, 3,994 fixed maturities (2023: 3,535) were in an unrealized loss position of $311 million (2023: $481 million) of which $14 million (2023: $13 million) was related to securities below investment grade or not rated.

At December 31, 2024, 2,108 fixed maturities (2023: 3,212) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $2,253 million (2023: $6,293 million).

The unrealized losses of $311 million (2023: $481 million) were due to non-credit factors and were expected to be recovered as the related securities approach maturity.

At December 31, 2024, the Company did not intend to sell the securities in an unrealized loss position and it is more likely than not that the Company will not be required to sell these securities before the anticipated recovery of their amortized costs.

b) Fixed Maturities, Held to Maturity

The following table provides the amortized cost and fair values of the Company's fixed maturities classified as held to maturity:


	Amortized cost		Allowance for expected credit losses		Net carrying value		Gross unrealized gains		Gross unrealized losses		Fair value

At December 31, 2024
Held to maturity
Corporate debt	$	122,706	$	—	$	122,706	$	675	$	(7,764)	$	115,617
ABS(1)	320,694		—		320,694		560		(120)		321,134
Total fixed maturities, held to maturity	$	443,400	$	—	$	443,400	$	1,235	$	(7,884)	$	436,751

At December 31, 2023
Held to maturity
Corporate debt	$	95,200	$	—	$	95,200	$	298	$	(8,827)	$	86,671
ABS(1)	591,096		—		591,096		5		(1,921)		589,180
Total fixed maturities, held to maturity	$	686,296	$	—	$	686,296	$	303	$	(10,748)	$	675,851

(1)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").

At December 31, 2024, fixed maturities, held to maturity of $443 million (2023: $686 million) were presented net of an allowance for expected credit losses of $nil (2023: $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 December 31, 2024 and 2023, 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 December 31, 2024 and 2023, the allowance for credit losses expected to be recognized over the life of the Company's corporate debt, held to maturity was $nil.

Contractual Maturities

Expected 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 $321 million (2023: $591 million).

Corporate debt classified as held to maturity with a net carrying value of $28 million (2023: $nil) is due between 1 year and 3 years and corporate debt classified as held to maturity with a net carrying value of $95 million (2023: $95 million) is due between 3 years and 10 years.

c) Equity Securities

The following table provides the cost and fair values of the Company's equity securities:



	Cost		Gross unrealized gains		Gross unrealized losses		Fair value

At December 31, 2024
Equity securities
Common stocks	$	3,061	$	65	$	(488)	$	2,638
Preferred stocks	5,843		136		(112)		5,867
Exchange-traded funds	188,771		126,477		(1,206)		314,042
Bond mutual funds	323,068		540		(66,881)		256,727
Total equity securities	$	520,743	$	127,218	$	(68,687)	$	579,274

At December 31, 2023
Equity securities
Common stocks	$	2,843	$	101	$	(398)	$	2,546
Preferred stocks	5,496		218		(113)		5,601
Exchange-traded funds	182,989		105,858		(1,572)		287,275
Bond mutual funds	352,505		4,119		(63,535)		293,089
Total equity securities	$	543,833	$	110,296	$	(65,618)	$	588,511

d) Mortgage Loans

The following table provides details of the Company's mortgage loans, held for investment:


	December 31, 2024				December 31, 2023
	Carrying value		% of Total		Carrying value		% of Total

Mortgage loans held for investment:
Commercial	$	529,075	105	%	$	616,368	101	%

Allowance for expected credit losses	(23,378)		(5	%)	(6,220)		(1	%)
Total mortgage loans held for investment	$	505,697	100	%	$	610,148	100	%

The primary credit quality indicators for commercial mortgage loans are the debt service coverage ratio which compares a property’s net operating income to amounts needed to service the principal and interest due under the loan, (generally, the lower the debt service coverage ratio, the higher the risk of experiencing a credit loss) and the loan-to-value ratio which compares the unpaid principal balance of the loan to the estimated fair value of the underlying collateral (generally, the higher the loan-to-value ratio, the higher the risk of experiencing a credit loss). The debt service coverage ratio and loan-to-value ratio, as well as the values utilized in calculating these ratios, are updated quarterly.

The Company has a high quality commercial mortgage loan portfolio with a weighted average debt service coverage ratio of 1.7x (2023: 1.9x) and a weighted average loan-to-value ratio of 78% (2023: 71%). At December 31, 2024 and 2023, there were no past due amounts associated with the commercial mortgage loans held by the Company.

On a quarterly basis, the Company's exposure to commercial mortgage loans in the office sector, that represents 43% (2023: 41%) of the total mortgage loan portfolio, is evaluated for credit losses based on inputs unique to this sector. This assessment utilizes historical credit loss experience adjusted to reflect current conditions and management forecasts. Further, collateral dependent commercial mortgage loans (e.g., when the borrower is experiencing financial difficulty, including when foreclosure is reasonably possible or probable) are evaluated individually for credit losses. The allowance for expected credit losses for a collateral dependent loan is established as the excess of amortized cost over the estimated fair value of the loan's underlying collateral, less selling cost when foreclosure is probable.

Accordingly, any change in estimated credit losses is recognized as a change in the allowance for expected credit losses and is recorded in net investment gains (losses).

At December 31, 2024, the Company's mortgage loan portfolio had an allowance for expected credit losses of $23 million (2023: $6 million).

e) Other Investments

The following table provides a summary of the Company's other investments, together with additional information relating to the liquidity of each category:



	Fair value				Redemption frequency (if currently eligible)	Redemption notice period

At December 31, 2024

Multi-strategy funds	$	24,919	3	%	Quarterly	60-90 days

Direct lending funds	171,048		18	%	Quarterly(1)	90 days
Private equity funds	320,690		35	%	n/a	n/a
Real estate funds	291,640		31	%	Quarterly(2), Annually(3)	45-90 days
CLO-Equities	—		—	%	n/a	n/a
Other privately held investments	121,981		13	%	n/a	n/a

Total other investments	$	930,278	100	%

At December 31, 2023

Multi-strategy funds	$	24,619	3	%	Quarterly	60-90 days

Direct lending funds	192,270		20	%	Quarterly(1)	90 days
Private equity funds	301,712		32	%	n/a	n/a
Real estate funds	317,325		33	%	Quarterly(2), Annually(3)	45-90 days
CLO-Equities	5,300		1	%	n/a	n/a
Other privately held investments	108,187		11	%	n/a	n/a

Total other investments	$	949,413	100	%

n/a – not applicable

(1)Applies to one fund with a fair value of $3 million (2023: $17 million).

(2)Applies to one fund with a fair value of $51 million (2023: $66 million).

(3)Applies to one fund with a fair value of $21 million (2023: $25 million).

The investment strategies for the above funds are as follows:

•Multi-strategy funds: Seek to achieve above-market returns by pursuing multiple investment strategies to diversify risks and reduce volatility. This category includes funds of hedge funds which invest in a large pool of hedge funds across a diversified range of hedge fund strategies.

•Direct lending funds: Seek to achieve attractive risk-adjusted returns, including current income generation, by investing in funds which provide financing directly to borrowers.

•Private equity funds: Seek to achieve attractive risk-adjusted returns by investing in private transactions over the course of several years.

•Real estate funds: Seek to achieve attractive risk-adjusted returns by making and managing investments in real estate and real estate securities and businesses.

Two common redemption restrictions which may impact the Company's ability to redeem multi-strategy funds are gates and lockups. A gate is a suspension of redemptions which may be implemented by the general partner or investment manager of the fund in order to defer, in whole or in part, the redemption request in the event the aggregate amount of redemption requests exceeds a predetermined percentage of the fund’s net assets which may otherwise hinder the general partner or investment manager’s ability to liquidate holdings in an orderly fashion in order to generate the cash necessary to fund extraordinarily large redemption payouts. A lockup period is the initial amount of time an investor is contractually required to hold the security before having the ability to redeem. During 2024 and 2023, neither of these restrictions impacted the Company's redemption requests. At December 31, 2024, there were no multi-strategy fund holdings (2023: nil) where the Company is still within the lockup period.

At December 31, 2024, the Company had $28 million (2023: $28 million) of unfunded commitments as a limited partner in multi-strategy funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until after the completion of the funds' investment term. These funds have investment terms ranging from two years to the dissolution of the underlying fund.

At December 31, 2024, the Company had $170 million (2023: $192 million) of unfunded commitments as a limited partner in direct lending funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until the completion of the fund's investment term. These funds have investment terms ranging from three to ten years and the General Partners of certain funds have the option to extend the term by up to three years.

At December 31, 2024, the Company had $215 million (2023: $145 million) of unfunded commitments as a limited partner in private equity funds. The life of the funds is subject to the dissolution of the underlying funds. The Company expects the overall holding period to be over six years.

At December 31, 2024, the Company had $91 million (2023: $107 million) of unfunded commitments as a limited partner in real estate funds. These funds include an open-ended fund and funds with investment terms ranging from two years to the dissolution of the underlying fund.

At December 31, 2024, the Company had $21 million (2023: $30 million) of unfunded commitments as a limited partner in three private company investment funds focusing on financial services technology companies with an emphasis on insurance technology companies ("private company investment funds"). Two of these funds have investment terms of five years and one fund has an investment term of ten years.

f) Equity Method Investments

During 2023, the Company paid $22 million to acquire 18% of the common equity of Monarch Point Re (ISAC) Ltd. and Monarch Point Re (ISA 2023) Ltd., a collateralized reinsurance company formed under the laws of Bermuda as an incorporated segregated accounts company under the Incorporated Segregated Accounts Companies Act 2019, as amended (the "ISAC Act"). During 2024, the Company paid $14 million to acquire 18% of the common equity of Monarch Point Re (ISA 2024) Ltd., (Monarch Point Re (ISAC) Ltd., Monarch Point Re (ISA 2023) Ltd. and Monarch Point Re (ISA 2024) Ltd., individually or collectively "Monarch Point Re").

The Company retrocedes a diversified portfolio of casualty reinsurance business to Monarch Point Re and Stone Point Credit Adviser LLC, a wholly owned subsidiary of Stone Point Capital, LLC ("Stone Point" refer to Note 18 'Related Party Transactions') serves as its investment manager. As an investor, the Company expects to benefit from underwriting fees generated by Monarch Point Re and the income and capital appreciation Stone Point seeks to deliver through its investment management services.

Monarch Point Re is not a Variable Interest Entity ("VIE") that is required to be included in the Company's consolidated financial statements. The Company accounts for its ownership interest in Monarch Point Re under the equity method of accounting.

During 2016, the Company paid $108 million including direct transaction costs to acquire 19% of the common equity of Harrington Reinsurance Holdings Limited ("Harrington"), the parent company of Harrington Re Ltd. ("Harrington Re"), an independent reinsurance company jointly sponsored by the Company and The Blackstone Group L.P. ("Blackstone"). Following share tender offers in 2024 and 2023, the Company's ownership interest in Harrington increased to 22% and 20%, respectively.

Through long-term service agreements, the Company serves as Harrington Re's reinsurance underwriting manager and Blackstone serves as exclusive investment management service provider. As an investor, the Company expects to benefit from underwriting profit generated by Harrington Re and the income and capital appreciation Blackstone seeks to deliver through its investment management services. In addition, the Company has entered into an arrangement with Blackstone under which underwriting and investment related fees will be shared equally.

The Company accounts for its ownership interest in Harrington under the equity method of accounting. The Company's proportionate share of the underlying equity in net assets resulted in a basis difference of $5 million which represents initial transactions costs.

g) Variable Interest Entities

In the normal course of investing activities, the Company actively manages allocations to non-controlling tranches of structured securities which are variable interests issued by VIEs. These structured securities include RMBS, CMBS and ABS.

The Company also invests in limited partnerships which represent 74% of the Company's other investments. The investments in limited partnerships include multi-strategy funds, direct lending funds, private equity funds and real estate funds, that are variable interests issued by VIEs (refer to Note 5(e) 'Other Investments').

The Company does not have the power to direct the activities that are most significant to the economic performance of these VIEs. Therefore, the Company is not the primary beneficiary of these VIEs. The maximum exposure to loss on these interests is limited to the amount of commitment made by the Company. The Company has not provided financial or other support to these structured securities other than the original investment.

h) Net Investment Income

Net investment income was derived from the following sources:



Year ended December 31,	2024		2023		2022

Fixed maturities	$	620,704	$	514,842	$	329,858
Other investments	48,666		20,411		57,043
Equity securities	12,922		12,088		10,390
Mortgage loans	34,028		35,312		23,407
Cash and cash equivalents	59,600		50,261		20,273
Short-term investments	12,569		8,924		3,535
Gross investment income	788,489		641,838		444,506
Investment expenses	(29,260)		(30,096)		(25,677)
Net investment income	$	759,229	$	611,742	$	418,829

i) Net Investment Gains (Losses)

The following table provides an analysis of net investment gains (losses):



Year ended December 31,	2024		2023		2022

Gross realized investment gains
Fixed maturities, short-term investments, and cash and cash equivalents	$	77,525	$	32,920	$	16,671
Equity securities	32,292		16,847		7,687
Gross realized investment gains	109,817		49,767		24,358
Gross realized investment losses
Fixed maturities, short-term investments, and cash and cash equivalents	(230,774)		(158,080)		(328,493)
Equity securities	(15,251)		(639)		(406)
Mortgage loans	(7,215)		—		—
Gross realized investment losses	(253,240)		(158,719)		(328,899)
(Increase) decrease in allowance for expected credit losses, fixed maturities, available for sale	6,821		974		(11,421)
(Increase) decrease in allowance for expected credit losses, mortgage loans	(17,159)		(6,220)		—
Impairment losses(1)	(408)		(12,757)		(12,568)

Change in fair value of investment derivatives(2)	1,783		(1,456)		7,656
Net unrealized gains (losses) on equity securities	13,852		53,781		(135,915)
Net investment losses	$	(138,534)	$	(74,630)	$	(456,789)

(1)Related to instances where the Company intends to sell securities or it is more likely than not that the Company will be required to sell securities before their anticipated recovery.

(2)Refer to Note 7 'Derivative Instruments'.

The following table provides a reconciliation of the beginning and ending balances of the allowance for expected credit losses on fixed maturities classified as available for sale:



Year ended December 31,	2024		2023		2022

Balance at beginning of period	$	10,759	$	11,733	$	313
Expected credit losses on securities where credit losses were not previously recognized	926		5,200		17,830
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized	(2,319)		4,934		(3,831)
Impairments of securities which the Company intends to sell or more likely than not will be required to sell	—		—		—
Securities sold/redeemed/matured	(5,428)		(11,108)		(2,579)
Balance at end of period	$	3,938	$	10,759	$	11,733

The following table provides a reconciliation of the beginning and ending balances of the allowance for expected credit losses on mortgage loans:



Year ended December 31,	2024		2023		2022

Balance at beginning of period	$	6,220	$	—	$	—
Expected credit losses on loans where credit losses were not previously recognized	21,757		6,220		—
Additions (reductions) for expected credit losses on loans where credit losses were previously recognized	2,616		—		—
Loans sold/redeemed/matured	(7,215)		—		—
Balance at end of period	$	23,378	$	6,220	$	—

Fixed Maturities

The Company evaluates available for sale securities for expected credit losses when fair value is below amortized cost. If the Company intends to sell or will be required to sell the security before its anticipated recovery, the full amount of the impairment loss is charged to net income (loss). If the Company does not intend to sell or will not be required to sell the security before its anticipated recovery, an allowance for expected credit losses is established and the portion of the loss that relates to credit losses is recorded in net income (loss).

A summary of credit loss activity by asset class, the significant inputs and the methodology used to estimate credit losses are described below.

U.S. Government, U.S. Agency and U.S. Agency RMBS

Unrealized losses on securities issued or backed, either explicitly or implicitly by the U.S. government are not analyzed for credit losses. The Company has concluded that the possibility of a credit loss on these securities is highly unlikely due to the explicit U.S. government guarantee related to certain securities (e.g., Government National Mortgage Association issuances) and the implicit guarantee related to other securities that has been validated by past actions (e.g., U.S. government bailout of Federal National Mortgage Association and Federal Home Loan Mortgage Corporation during the 2008 credit crisis).

Although these securities are not analyzed for credit losses, they are evaluated for intention to sell and likely requirement to sell.

Non-U.S. Government

Non-U.S. government securities are evaluated for expected credit losses primarily through qualitative assessments of the likelihood of credit losses using information such as severity of unrealized losses, credit ratings and price volatility. At December 31, 2024, the gross unrealized losses of $26 million included foreign exchange losses of $19 million.

At December 31, 2023, the gross unrealized losses of $19 million included foreign exchange losses of $6 million. At December 31, 2023, the allowance for expected credit losses on non-U.S. government fixed maturities related to loss severity where the forecasted recovery to amortized cost is uncertain.

Corporate Debt

To estimate expected credit losses for corporate debt securities, the Company's projected cash flows are primarily driven by assumptions regarding the severity of loss, probability of default and projected recovery rates. The Company's default and loss severity rates are based on credit rating, credit analysis and macroeconomic forecasts. At December 31, 2024 and 2023, the allowance for expected credit losses on corporate debt securities mainly related to loss severity where the forecasted recovery to amortized cost was uncertain.

CMBS

The Company's investments in CMBS are diversified and primarily rated AA or better. At December 31, 2024, CMBS had a weighted average estimated subordination percentage of 34% (2023: 37%). Based on discounted cash flows at December 31, 2024 and 2023, the current level of subordination is sufficient to cover the estimated loan losses on the underlying collateral of the CMBS.

Non-agency RMBS

To estimate expected credit losses for non-agency RMBS, the Company's projected cash flows incorporated underlying data from widely accepted third-party data sources along with certain internal assumptions and judgments regarding the future performance of the security. These assumptions included default, delinquency, loss severity and prepayment rates.

At December 31, 2024, the fair value of the Company's non-agency RMBS was $123 million (2023: $153 million), consisting primarily of $15 million (2023: $34 million) of Prime and $92 million (2023: $100 million) of Alt-A, Non-qualified, and Home Equity MBS. At December 31, 2024 and 2023, the allowance for expected credit losses on non-agency RMBS related to loss severity where the forecasted recovery to amortized cost is uncertain.

ABS

The Company's investments in ABS consist mainly of CLO Debt purchased primarily as new issues between 2018 and 2024. Substantially all of these new issues had credit ratings of AA or better. The Company utilizes a scenario-based approach to review its CLO Debt portfolio based on the current asset market price. The Company also reviews subordination levels of these securities to determine their ability to absorb credit losses of 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 December 31, 2024 and 2023, the allowance for expected credit losses on ABS related to loss severity where the forecasted recovery to amortized cost is uncertain.

Municipals

Municipal securities are evaluated for expected credit losses primarily through qualitative assessments of the likelihood of credit losses using information such as severity of unrealized losses, credit ratings and price volatility. At December 31, 2024 and 2023, the allowance for expected credit losses on municipals related to loss severity where the forecasted recovery to amortized cost is uncertain.

j) Restricted Assets

In order to support the Company's obligations in regulatory jurisdictions where it operates as a non-admitted carrier, the Company provides collateral in the form of assets held in trust including $2 billion related to AXIS Specialty Insurance Bermuda (refer to Note 1 'Organization') and, to a lesser extent, letters of credit (refer to Note 10(c) 'Debt and Financing Arrangements').

In addition, the Company operates in the Lloyd’s market through its corporate members, AXIS Corporate Capital UK Limited and AXIS Corporate Capital UK II Limited (refer to Note 1 'Organization'). Lloyd’s sets capital requirements for corporate members annually through the application of a capital model that is based on regulatory rules pursuant to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking up and pursuit of business of Insurance and Reinsurance (Solvency II) ("Solvency II").

The capital provided to support underwriting, or Funds at Lloyd’s ("FAL"), may be satisfied by cash, certain investments and letters of credit provided by approved banks (refer to Note 12 'Commitments and Contingencies' and Note 22 'Statutory Financial Information').

At December 31, 2024, collateral held in trust for third-party agreements of $2,602 million (2023: $2,598 million) included $572 million (2023: $550 million) of fixed maturities, and cash of $237 million (2023: $296 million) held on deposit to support the underwriting activities of Syndicate 1686.

The Company's restricted investments and cash primarily consist of high-quality fixed maturity and short-term investment securities.

The table below provides the fair values of the Company's restricted investments and cash:



At December 31,	2024		2023

Collateral in trust for inter-company agreements	$	2,549,220	$	614,089
Collateral for secured letter of credit facility	208,090		423,522
Funds at Lloyd's	883,362		893,177
Collateral in trust for third-party agreements	2,602,306		2,597,633
Securities on deposit or in trust with regulatory authorities	632,268		772,472
Total restricted investments and cash	$	6,875,246	$	5,300,893

k) Reverse Repurchase Agreements

At December 31, 2024, the Company held $543 million (2023: $12 million) of reverse repurchase agreements. These loans are fully collateralized, are generally outstanding for a short period of time and are presented on a gross basis as part of cash and cash equivalents in the Company's consolidated balance sheets. The required collateral for these loans is either cash or U.S. Treasuries at a minimum rate of 102% of the loan principal. Upon maturity, the Company receives principal and interest income. The Company monitors the estimated fair value of the securities loaned and borrowed on a daily basis with additional collateral obtained as necessary throughout the duration of the transaction.