Company: AHL
Filing Date: 2025-03-19
Form Type: 20-F
Source: 0001267395-25-000019
Chunk: 294

Company: ASPEN INSURANCE HOLDINGS LTD
Filing Date: 2025-03-19
Form: 20-F
Item: Item 11
Chunk 294
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Item 11. Quantitative and Qualitative Disclosures about Market Risk

We believe we are principally exposed to three types of market risk: interest rate risk, foreign currency risk and credit risk.

Interest rate risk. Our investment portfolio consists primarily of fixed income securities. Fluctuations in interest rates have a direct impact on the market valuation of these securities. Accordingly, our primary market risk exposure is to changes in interest rates. As interest rates rise, the market value of our fixed-income portfolio falls and the converse is also true. We manage interest rate risk by maintaining a short to medium duration to reduce the effect of interest rate changes on book value.

The table below depicts interest rate change scenarios and the effect on our interest rate sensitive invested assets as at December 31, 2024:

  Effect of Changes in Interest Rates on Portfolio Given a Parallel Shift in the Yield Curve                                                                                                                      
 ──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
  Movement in Rates in Basis Points                                                               -200                                                      -100                   100                     200    
                                                                                                  ($ in millions, except for percentages)                                                                         
  Market Value (1)                                                                                $                                            6,821.7      $         6,643.8      $          6,288.3      $      
  Gain/Loss                                                                                       $                                              355.7      $           177.8      $          (177.8)      $      
  Percentage of Portfolio                                                                         5.5                                                       2.7                    (2.7)                   (5.5)  
  Corresponding percentage at December 31, 2023                                                   4.8                                                       2.4                    (2.4)                   (4.8)  

(1) Market value includes our fixed income portfolio, short-term investments and privately-held investments.

Table of Contents

Foreign currency risk. Our reporting and the functional currency of our operations is the U. S. Dollar. As at December 31, 2024, approximately 89.2% of our cash and investments was held in U. S. Dollars (2023 - 89.5%), and approximately 10.8% was in currencies other than the U. S. Dollar (2023 - 10.5%).

For the twelve months ended December 31, 2024, 25.2% of our gross premiums were written in currencies other than the U. S. Dollar (