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Fair Value Measurements (Tables) | 12 Months Ended
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Dec. 31, 2022
Fair Value Disclosures [Abstract] |
Financial Assets Measured on Recurring Basis | The following tables present the level within the fair value hierarchy at which the Company’s financial assets and liabilities are measured on a recurring basis as at December 31, 2022 and December 31, 2021:
|  | As at December 31, 2022
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | ($ in millions)
Available for sale financial assets, at fair value |  |  |  |  |  |  |  |
U.S. government |  | $ | 953.0 |  |  | $ | — |  |  | $ | — |  |  | $ | 953.0 |
U.S. agency |  | — |  |  | 8.8 |  |  | — |  |  | 8.8 |
Municipal |  | — |  |  | 149.5 |  |  | — |  |  | 149.5 |
Corporate |  | — |  |  | 1,845.0 |  |  | — |  |  | 1,845.0 |
Non-U.S. government-backed corporate |  | — |  |  | 110.4 |  |  | — |  |  | 110.4 |
Non-U.S. government |  | 145.3 |  |  | 68.3 |  |  | — |  |  | 213.6 |
Asset-backed |  | — |  |  | — |  |  | — |  |  | — |
Non-agency commercial mortgage-backed |  | — |  |  | 5.6 |  |  | — |  |  | 5.6 |
Agency mortgage-backed |  | — |  |  | 502.7 |  |  | — |  |  | 502.7 |
Total fixed income securities available for sale, at fair value |  | 1,098.3 |  |  | 2,690.3 |  |  | — |  |  | 3,788.6 |
Short-term investments available for sale, at fair value |  | 51.9 |  |  | 0.1 |  |  | — |  |  | 52.0 |
Held for trading financial assets, at fair value |  |  |  |  |  |  |  |
U.S. government |  | 261.6 |  |  | — |  |  | — |  |  | 261.6 |
Municipal |  | — |  |  | 3.6 |  |  | — |  |  | 3.6 |
Corporate |  | — |  |  | 162.1 |  |  | — |  |  | 162.1 |
Non-U.S. government-backed corporate |  | — |  |  | 11.6 |  |  | — |  |  | 11.6 |
High yield loans |  | — |  |  | 88.3 |  |  | — |  |  | 88.3 |
Non-U.S. government |  | 10.6 |  |  | 19.8 |  |  | — |  |  | 30.4 |
Asset-backed |  | — |  |  | 896.5 |  |  | — |  |  | 896.5 |
Agency mortgage-backed |  | — |  |  | 21.4 |  |  | — |  |  | 21.4 |
Total fixed income securities trading, at fair value |  | 272.2 |  |  | 1,203.3 |  |  | — |  |  | 1,475.5 |
Short-term investments trading, at fair value |  | 6.3 |  |  | — |  |  | — |  |  | 6.3 |
Catastrophe bonds trading, at fair value |  | — |  |  | 2.9 |  |  | — |  |  | 2.9 |
Privately-held investments trading, at fair value |  | — |  |  | — |  |  | 533.0 |  |  | 533.0 |
Other investments (1) |  | — |  |  | — |  |  | — |  |  | 221.3 |
Other financial assets and liabilities, at fair value |  |  |  |  |  |  |  |
Derivatives at fair value — foreign exchange contracts |  | — |  |  | 56.2 |  |  | — |  |  | 56.2 |
Liabilities under derivative contracts — foreign exchange contracts |  | — |  |  | (3.2) |  |  | — |  |  | (3.2) |
Liabilities under derivative contracts — loss portfolio transfer(2) |  | — |  |  | — |  |  | (31.7) |  |  | (31.7) |
Total |  | 1,428.7 |  |  | 3,949.6 |  |  | 501.3 |  |  | 6,100.9 |
______________ (1)Other investments represents our investments in real estate and other special purpose vehicles and are measured at fair value using the net asset value per share practical expedient. As a result this has not been classified in the fair value hierarchy. The fair value amounts presented in the table above are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. The investment in the real estate and other funds is subject to restrictions as detailed in Note 20(a), “Commitments and Contingencies.” (2)The loss portfolio transfer contract includes a funds withheld arrangement that provides variable interest expense based on Aspen’s investment performance. As a result, this funds withheld arrangement is considered an embedded derivative and accounted for as an option-based derivative.
| At December 31, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| ($ in millions)
Available for sale financial assets, at fair value |  |  |  |  |  |  |
U.S. government | $ | 1,084.3 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,084.3 |
U.S. agency | — |  |  | 21.5 |  |  | — |  |  | 21.5 |
Municipal | — |  |  | 82.6 |  |  | — |  |  | 82.6 |
Corporate | — |  |  | 2,208.3 |  |  | — |  |  | 2,208.3 |
Non-U.S. government-backed corporate | — |  |  | 136.8 |  |  | — |  |  | 136.8 |
Non-U.S. government | 164.4 |  |  | 86.3 |  |  | — |  |  | 250.7 |
Asset-backed | — |  |  | 0.5 |  |  | — |  |  | 0.5 |
Non-agency commercial mortgage-backed | — |  |  | 6.9 |  |  | — |  |  | 6.9 |
Agency mortgage-backed | — |  |  | 1,090.0 |  |  | — |  |  | 1,090.0 |
Total fixed income securities available for sale, at fair value | 1,248.7 |  |  | 3,632.9 |  |  | — |  |  | 4,881.6 |
Short-term investments available for sale, at fair value | 6.5 |  |  | 3.6 |  |  | — |  |  | 10.1 |
Held for trading financial assets, at fair value |  |  |  |  |  |  |
U.S. government | 116.3 |  |  | — |  |  | — |  |  | 116.3 |
Municipal | — |  |  | 4.0 |  |  | — |  |  | 4.0 |
Corporate | — |  |  | 96.8 |  |  | — |  |  | 96.8 |
Non-U.S. government-backed corporate | — |  |  | 13.1 |  |  | — |  |  | 13.1 |
High yield loans | — |  |  | 76.9 |  |  | — |  |  | 76.9 |
Non-U.S. government | 11.9 |  |  | 22.6 |  |  | — |  |  | 34.5 |
Asset-backed | — |  |  | 785.7 |  |  | — |  |  | 785.7 |
Agency mortgage-backed | — |  |  | 30.2 |  |  | — |  |  | 30.2 |
Total fixed income securities trading, at fair value | 128.2 |  |  | 1,029.3 |  |  | — |  |  | 1,157.5 |
Short-term investments trading, at fair value | 1.1 |  |  | 0.9 |  |  | — |  |  | 2.0 |
Privately-held investments | — |  |  | — |  |  | 307.1 |  |  | 307.1 |
Catastrophe bonds trading, at fair value | — |  |  | 3.4 |  |  | — |  |  | 3.4 |
Other investments (1) | — |  |  | — |  |  | — |  |  | 151.3 |
Other financial assets and liabilities, at fair value |  |  |  |  |  |  |
Derivatives at fair value — foreign exchange contracts | — |  |  | 12.9 |  |  | — |  |  | 12.9 |
Liabilities under derivative contracts — foreign exchange contracts | — |  |  | (13.3) |  |  | — |  |  | (13.3) |
Total | $ | 1,384.5 |  |  | $ | 4,669.7 |  |  | $ | 307.1 |  |  | $ | 6,512.6 |
______________ (1)Other investments represents our investments in real estate funds and are measured at fair value using the net asset value per share practical expedient. As a result this has not been classified in the fair value hierarchy. The fair value amounts presented in the table above are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets. The investment in the real estate funds is subject to restrictions as detailed in Note 20(a), “Commitments and Contingencies.”
Fair Value, Measured on a Recurring Basis, Gain (Loss) Included in Earnings | The following table presents a reconciliation of the beginning and ending balances for all assets and liabilities measured at fair value on a recurring basis using Lev el 3 inputs for the twelve months ended December 31, 2022 and December 31, 2021:
Twelve Months Ended December 31, 2022 |  | Balance at beginning of year |  |  |  | Purchases and issuances |  | Transfers in/(out) |  | Settlements and sales |  | Increase/(decrease) in fair value including net income |  | Balance at end of year |  | Change in unrealized investment gains (losses) relating to assets held at end of year
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Privately-held investments — trading |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial mortgage loans |  | $ | 211.5 |  |  |  |  | $ | 215.7 |  |  | $ | — |  |  | $ | (113.1) |  |  | $ | (2.0) |  |  | $ | 312.1 |  |  | $ | (0.5) |
Middle market loans |  | 65.3 |  |  |  |  | 61.8 |  |  | — |  |  | (19.3) |  |  | (0.9) |  |  | 106.9 |  |  | (2.1) |
Asset-backed securities |  | 26.7 |  |  |  |  | 54.5 |  |  | — |  |  | (12.6) |  |  | (1.8) |  |  | 66.8 |  |  | (2.0) |
Global corporate securities |  | — |  |  |  |  | 15.1 |  |  | — |  |  | — |  |  | (0.1) |  |  | 15.0 |  |  | — |
Equity securities |  | 3.6 |  |  |  |  | 5.5 |  |  | — |  |  | (2.4) |  |  | (0.1) |  |  | 6.6 |  |  | — |
Short-term investments |  | — |  |  |  |  | 25.6 |  |  | — |  |  | — |  |  | — |  |  | 25.6 |  |  | — |
Total Level 3 assets |  | $ | 307.1 |  |  |  |  | $ | 378.2 |  |  | $ | — |  |  | $ | (147.4) |  |  | $ | (4.9) |  |  | $ | 533.0 |  |  | $ | (4.6) |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Liabilities under derivative contracts - loss |  | $ | — |  |  |  |  | $ | (17.2) |  |  | $ | — |  |  | $ | — |  |  | $ | (14.5) |  |  | $ | (31.7) |  |  | $ | — |
Total Level 3 liabilities |  | $ | — |  |  |  |  | $ | (17.2) |  |  | $ | — |  |  | $ | — |  |  | $ | (14.5) |  |  | $ | (31.7) |  |  | $ | — |
Twelve Months Ended December 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Privately-held investments — trading |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial mortgage loans |  | $ | 163.6 |  |  |  |  | $ | 169.9 |  |  | $ | — |  |  | $ | (122.5) |  |  | $ | 0.5 |  |  | $ | 211.5 |  |  | $ | (0.5) |
Middle market loans |  | 112.1 |  |  |  |  | 5.6 |  |  | — |  |  | (56.1) |  |  | 3.7 |  |  | 65.3 |  |  | (1.5) |
Asset-backed securities |  | 18.6 |  |  |  |  | 10.0 |  |  | — |  |  | (1.8) |  |  | (0.1) |  |  | 26.7 |  |  | (0.2) |
Equity securities |  | 5.0 |  |  |  |  | 0.1 |  |  | — |  |  | (1.6) |  |  | 0.1 |  |  | 3.6 |  |  | — |
Preference shares |  | — |  |  |  |  | 19.5 |  |  | (19.5) |  |  | — |  |  | — |  |  | — |  |  | — |
Total Level 3 assets |  | $ | 299.3 |  |  |  |  | $ | 205.1 |  |  | $ | (19.5) |  |  | $ | (182.0) |  |  | $ | 4.2 |  |  | $ | 307.1 |  |  | $ | (2.2) |
Fair Value Inputs, and Valuation Techniques | The following table summarizes the quantitative inputs and assumptions used for financial assets and liabilities investments categorized as Level 3 under the fair value hierarchy as at December 31, 2022:
At December 31, 2022 |  | Fair Value Level 3 |  | Valuation Techniques |  | Unobservable (U) inputs |  | Ranges |  | Weighted Average
| ($ in millions) |  |  |  |  |  |  |  |  |
Privately-held investments — Trading |  |  |  |  |  |  |  |  |  |  |  |
Commercial mortgage loans |  | $ | 200.7 |  |  | Discounted cash flow |  | Discount rate |  | 3.9% | — | 9.4% |  | 5.3%
Commercial mortgage loans |  | 85.8 |  |  | Transaction Value |  | n/a |  | n/a |  | n/a |  | n/a
Commercial mortgage loans |  | 25.6 |  |  | Liquidation method |  | n/a |  | n/a |  | n/a |  | n/a
Middle market loans |  | 106.9 |  |  | Discounted cash flow |  | Discount rate |  | 7.4% | — | 18.5% |  | 9.9%
Asset-backed securities |  | 66.8 |  |  | Discounted cash flow |  | Discount rate |  | 5.8% | — | 9.3% |  | 6.7%
Global corporate securities |  | 15.0 |  |  | Discounted cash flow |  | Discount rate |  | 6.4% | — | 6.4% |  | 6.4%
Equity securities |  | 5.3 |  |  | Discounted cash flow |  | Discount rate |  | 9.0% | — | 12.5% |  | 9.1%
Equity securities |  | 1.3 |  |  | Transaction Value |  | n/a |  | n/a |  | n/a |  | n/a
Short-term investments |  | 25.6 |  |  | Discounted cash flow |  | Discount rate |  | 6.4% | — | 6.4% |  | 6.4%
Total |  | $ | 533.0 |  |  |  |  |  |  |  |  |  |  |

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- Definition Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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