Company: AHL
Filing Date: 2025-03-19
Form Type: 20-F
Source: 0001267395-25-000019
Chunk: 335

Company: ASPEN INSURANCE HOLDINGS LTD
Filing Date: 2025-03-19
Form: 20-F
Item: Item 18
Chunk 335
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                              18.2                         ( 25.8)                    —                                                                                        18.0                                 
  Total Level 3 assets                                  $                                 $                            $                          $                                                                           ( 12.8)      $                             489.9  
  Liabilities                                                                                                                                                                                                                                                                   
  Derivative liabilities — loss portfolio transfer      $                                 $                            $                          $                                                                              15.2      $                           ( 16.5)  
  Total Level 3 liabilities                             $                                 $                            $                          $                                                                              15.2      $                           ( 16.5)  

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(1) (Decreases)/increases in the fair value of privately-held investments, trading are included in realized and unrealized investment losses in the consolidated statements of operations and other comprehensive (loss). Increases/(decreases) in the fair value of derivative liabilities - loss portfolio transfer are included within change in fair value of derivatives in the consolidated statements of operations and other comprehensive income/(loss).

(2) (Decreases)/increases in the fair value of privately-held investments, available for sale are included in other comprehensive income/(loss) (“ OCI”).

F-28

Table of Contents

Valuation of Fixed Income Securities. The Company’s fixed income securities are classified as either available for sale or trading and are reported at fair value. As at December 31, 2024 and December 31, 2023, the Company’s fixed income securities were valued by pricing services or broker-dealers using standard market conventions. The market conventions utilize market quotations, market transactions in comparable instruments and various relationships between instruments including, but not limited to, yield to maturity, dollar prices and spread prices in determining value.

Independent Pricing Services. The underlying methodology used to determine the fair value of securities in the Company’s available for sale and trading portfolios is by the pricing services. Pricing services will gather observable pricing inputs from multiple external sources, including buy and sell-side contacts and broker-dealers, in order to develop their internal prices.

Pricing services provide pricing for less complex, liquid securities based on market quotations in active markets. Pricing services supply prices for a broad range of securities including those for actively traded securities, such as Treasury and other Government securities, in addition to those that trade less frequently or where valuation includes reference to credit spreads, pay down and pre-pay features and other observable inputs. These securities include Government agency, municipals, corporate and asset-backed securities.

For securities that may trade less frequently or do not trade on a listed exchange, these pricing services