Company: AHL
Filing Date: 2025-03-19
Form Type: 20-F
Source: 0001267395-25-000019
Chunk: 340

Company: ASPEN INSURANCE HOLDINGS LTD
Filing Date: 2025-03-19
Form: 20-F
Item: Item 18
Chunk 340
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 of investments in senior secured loan positions with full covenants, focused on the middle market in both U. S., Europe and the Caribbean. The other private debt consists of debt securities issued to private investment funds. The middle market loan and other private debt portfolio is diversified by industry type, geographic region and issuer to reduce risks. Middle market loans and other private debt are initially valued at cost or transaction value which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using discounted cash flow models and are classified as Level 3.

Asset-backed Securities. Asset-backed securities represent interests in underlying pools of diversified referenced assets that are collateralized and backed by future cash flows and these securities are performing. Asset-backed securities are initially valued at cost or transaction value which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using discounted cash flow models and are classified as Level 3.

Global Corporate Securities. The global corporate securities portfolio consists of debt securities issued by U. S. and foreign corporations. The global corporate securities are initially valued at cost or transaction value which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using discounted cash flow models and are classified as Level 3.

Short-term Investments - Privately-held. Short-term investments which are classified as privately-held consist of debt securities with a maturity greater than three months but less than one year from the debt of purchase. Short-term investments are initially valued at cost or transaction value which approximates fair value. In subsequent measurement periods, the fair values of these securities are determined using discounted cash flow models and are classified as Level 3.

The following table summarizes the quantitative inputs and assumptions used for financial assets categorized as Level 3 under the fair value hierarchy as at December 31, 2024:

  At December 31, 2024                                Fair Value                 Valuation Techniques      Unobservable Inputs      Ranges                 Weighted Average  
                                                         Level 3                                                                                                             
 ─────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
  Privately-held investments, available for sale                                                                                                                             
  Asset-backed securities                                      $       24.2      Discounted cash flow      Discount rate              5.5%       9.5%                  7.1%  
  Privately-held investments, trading                                                                                                                                        
  Commercial mortgage loans                                 79.7                 Discounted cash flow      Discount rate              3.8%