Company: AHL
Filing Date: 2025-03-19
Form Type: 20-F
Source: 0001267395-25-000019
Chunk: 337

Company: ASPEN INSURANCE HOLDINGS LTD
Filing Date: 2025-03-19
Form: 20-F
Item: Item 18
Chunk 337
---
 may be challenged based on market or information available from internal sources, including those available to the Company’s third-party investment accounting service provider. Subsequent to any challenge, revisions made by the pricing service or broker-dealer to the quotes are supplied to the Company’s investment accounting service provider.

Management reviews the vendor hierarchy maintained by the Company’s third-party accounting service provider in order to determine which price source provides the most appropriate fair value (i. e., a price obtained from a pricing service with more seniority in the hierarchy will be used over a less senior one in all cases). The hierarchy level assigned to each security in the Company’s available for sale and trading portfolios is based upon its assessment of the transparency and reliability of the inputs used in the valuation as of the measurement date. The hierarchy of pricing services is determined using various qualitative and quantitative points arising from reviews of the vendors conducted by the Company’s third-party accounting service provider. Vendor reviews include annual due diligence meetings with index providers and pricing services vendors covering valuation methodology, operational walkthroughs and legal and compliance updates.

F-29

Table of Contents

Fixed Income Securities. Fixed income securities are traded on the over-the-counter (“ OTC”) market based on prices provided by one or more market makers in each security. Securities such as U. S. Government, U. S. Agency, Non-U. S. Government and investment grade corporate bonds have multiple market makers in addition to readily observable market value indicators such as expected credit spread, except for Treasury securities, over the yield curve. The Company uses a variety of pricing sources to value fixed income securities including those securities that have pay down/prepay features such as mortgage-backed securities and asset-backed securities in order to ensure fair and accurate pricing. The fair value estimates for the investment grade securities in the Company’s portfolio do not use significant unobservable inputs or modeling techniques.

U. S. Government and Agency Securities. U. S. government and agency securities consist primarily of bonds issued by the U. S. Treasury and corporate debt issued by agencies such as the Federal National Mortgage Association (“ FNMA”), the Federal Home Loan Mortgage Corporation (“ FHLMC”) and the Federal Home Loan Bank. As the fair values of U. S. Treasury securities are based on unadjusted market prices in active markets, they are classified within Level 1. The fair values of U. S. government agency securities are priced using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads for these securities are observable market inputs, the