Company: AHL
Filing Date: 2025-03-19
Form Type: 20-F
Source: 0001267395-25-000019
Chunk: 341

Company: ASPEN INSURANCE HOLDINGS LTD
Filing Date: 2025-03-19
Form: 20-F
Item: Item 18
Chunk 341
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      11.9%                  5.7%  
  Middle market loans and other private debt                61.0                 Discounted cash flow      Discount rate              7.2%      18.0%                  9.8%  
  Asset-backed securities                                  127.6                 Discounted cash flow      Discount rate              5.4%       8.3%                  6.6%  
  Global corporate securities                               14.1                 Discounted cash flow      Discount rate              6.7%       6.7%                  6.7%  
  Global corporate securities                                4.4                 Transaction value         n/a                         n/a        n/a                   n/a  
  Total                                                        $      311.0                                                                                                  

Catastrophe Bonds. Catastrophe bonds are variable rate fixed income instruments with redemption values adjusted based on the occurrence of a covered event, usually windstorms and earthquakes. Catastrophe bonds are classified as trading and reported at fair value. Catastrophe bonds are priced using an average of multiple broker-dealer quotes and as such, are classified as Level 2.

F-31

Table of Contents

Foreign Exchange Contracts. The foreign exchange contracts which the Company uses to mitigate currency risk are characterized as OTC due to their customized nature and the fact that they do not trade on a major exchange. These instruments trade in a very deep liquid market, providing substantial price transparency and accordingly are classified as Level 2.

Derivative Liabilities - Loss Portfolio Transfer. The LPT embedded derivative is valued using the Black-Scholes model. The two primary inputs of this model are expected claim settlement patterns and expected return of the investment portfolio above a fixed minimum rate over the specified time horizon. The expected claim settlement pattern is determined on an actuarial basis for the cohort of business within scope of the LPT and is consistent with the patterns used in the valuation of technical provisions. The expected return of the investment portfolio, above a fixed minimum rate, directly impacts on the LPT derivative valuation and is subject to changes in the market conditions. In order to assess the reasonableness of the inputs, the Company updates the expected claim settlement patterns on a regular basis while maintaining an understanding of the current market conditions. The LPT embedded derivative is classified as Level 3.

Other Investments. The Company’s other investments represent primarily our investments in investment funds operating strategies across real estate, infrastructure and direct lending. Adjustments to the fair values are made based