Company: AHL
Filing Date: 2025-03-19
Form Type: 20-F
Source: 0001267395-25-000019
Chunk: 296

Company: ASPEN INSURANCE HOLDINGS LTD
Filing Date: 2025-03-19
Form: 20-F
Item: Item 11
Chunk 296
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 2024, we recognized a loss of $6.5 million (December 31, 2023 - loss of $14.0 million) in other comprehensive income.

As the foreign exchange contracts settle, the realized gain or loss is reclassified from other comprehensive income into general, administration and corporate expenses in the statement of operations and other comprehensive income. For the twelve months ended December 31, 2024, the amount recognized within general, administration and corporate expenses for settled foreign exchange contracts was a realized loss of $0.9 million (December 31, 2023 - loss of $8.1 million).

Embedded derivative on loss portfolio contract. The loss portfolio transfer contract includes a funds withheld arrangement that provides returns to the reinsurer based on Aspen’s investment performance, guaranteeing a minimum of1.75% return. Such funds withheld arrangements are examples of embedded derivatives and therefore this instrument is accounted for as an option-based derivative. For the twelve months ended December 31, 2024, the amount recognized as a change in fair value of derivatives in the consolidated statement of operations was a gain of $12.9 million (December 31, 2023 - gain of $15.2 million).

Credit risk. We have exposure to credit risk primarily as a holder of fixed income securities and private securities. Our risk management strategy and investment policy is to invest mainly in debt instruments of high credit quality issuers. We also invest a portion of the portfolio in securities that are below investment grade or in unrated private securities and other specialty asset classes. We reduce the amount of credit exposure by setting limits with respect to particular ratings categories, business sectors and any one issuer. As at December 31, 2024, the average rating of fixed income securities in our investment portfolio was “ AA-” (December 31, 2023 - “ AA-”).

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In addition, we are exposed to the credit risk of our insurance and reinsurance brokers to whom we make claims payments for our policyholders, as well as to the credit risk of our reinsurers and retrocessionaires who assume business from us. Other than fully collateralized reinsurance, the substantial majority of our reinsurers have a rating of “ A” (Excellent), the third highest of fifteen rating levels, or better by A. M. Best and the minimum rating of any of our material reinsurers is “ A-” (Excellent), the fourth highest of fifteen rating levels, by A. M. Best. At December 31