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Fair Value Measurements (Tables) | 12 Months Ended
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Dec. 31, 2023
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, 2023 and December 31, 2022:
|  | As at December 31, 2023
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  | ($ in millions)
Available for sale financial assets, at fair value |  |  |  |  |  |  |  |
U.S. government |  | $ | 1,202.6 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,202.6 |
U.S. agency |  | — |  |  | 7.2 |  |  | — |  |  | 7.2 |
Municipal |  | — |  |  | 128.1 |  |  | — |  |  | 128.1 |
Corporate |  | — |  |  | 1,959.3 |  |  | — |  |  | 1,959.3 |
Non-U.S. government-backed corporate |  | — |  |  | 100.7 |  |  | — |  |  | 100.7 |
Non-U.S. government |  | 200.4 |  |  | 73.4 |  |  | — |  |  | 273.8 |
Agency commercial mortgage-backed |  | — |  |  | 5.8 |  |  | — |  |  | 5.8 |
Agency residential mortgage-backed |  | — |  |  | 445.1 |  |  | — |  |  | 445.1 |
Total fixed income securities available for sale, at fair value |  | 1,403.0 |  |  | 2,719.6 |  |  | — |  |  | 4,122.6 |
Short-term investments available for sale, at fair value |  | 86.7 |  |  | 6.9 |  |  | — |  |  | 93.6 |
Privately-held investments available for sale, at fair value |  | — |  |  | — |  |  | 14.9 |  |  | 14.9 |
Held for trading financial assets, at fair value |  |  |  |  |  |  |  |
U.S. government |  | 245.5 |  |  | — |  |  | — |  |  | 245.5 |
Municipal |  | — |  |  | 3.1 |  |  | — |  |  | 3.1 |
Corporate |  | — |  |  | 171.5 |  |  | — |  |  | 171.5 |
Non-U.S. government-backed corporate |  | — |  |  | 8.3 |  |  | — |  |  | 8.3 |
High yield loans |  | — |  |  | 92.1 |  |  | — |  |  | 92.1 |
Non-U.S. government |  | 13.0 |  |  | 21.8 |  |  | — |  |  | 34.8 |
Asset-backed |  | — |  |  | 908.2 |  |  | — |  |  | 908.2 |
Agency mortgage-backed |  | — |  |  | 22.2 |  |  | — |  |  | 22.2 |
Total fixed income securities trading, at fair value |  | 258.5 |  |  | 1,227.2 |  |  | — |  |  | 1,485.7 |
Short-term investments trading, at fair value |  | 0.2 |  |  | 1.9 |  |  | — |  |  | 2.1 |
Catastrophe bonds trading, at fair value |  | — |  |  | 1.6 |  |  | — |  |  | 1.6 |
Privately-held investments trading, at fair value |  | — |  |  | — |  |  | 475.0 |  |  | 475.0 |
Other investments (1) |  | — |  |  | — |  |  | — |  |  | 209.3 |
Other financial assets and liabilities, at fair value |  |  |  |  |  |  |  |
Derivative assets — foreign exchange contracts |  | — |  |  | 31.7 |  |  | — |  |  | 31.7 |
Derivative liabilities — foreign exchange contracts |  | — |  |  | (9.3) |  |  | — |  |  | (9.3) |
Derivative liabilities — loss portfolio transfer(2) |  | — |  |  |  |  | (16.5) |  |  | (16.5) |
Total |  | 1,748.4 |  |  | 3,979.6 |  |  | 473.4 |  |  | 6,410.7 |
______________ (1)Other investments represents our investments in investment funds operating strategies in real estate, infrastructure and lending and are measured at fair value using the net asset value per share practical expedient. As a result the investments are not 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 funds is subject to restrictions as detailed in Note 21(a), “Commitments and Contingent Liabilities.” (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, the funds withheld arrangement is considered an embedded derivative and accounted for as an option-based derivative.
| 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 |
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 | — |  |  | — |  |  | 533.0 |  |  | 533.0 |
Other investments (1) | — |  |  | — |  |  | — |  |  | 221.3 |
Other financial assets and liabilities, at fair value |  |  |  |  |  |  |
Derivative assets — foreign exchange contracts | — |  |  | 56.2 |  |  | — |  |  | 56.2 |
Derivative liabilities — foreign exchange contracts | — |  |  | (3.2) |  |  | — |  |  | (3.2) |
Derivative liabilities — 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 investment funds operating strategies in real estate, infrastructure and lending and are measured at fair value using the net asset value per share practical expedient. As a result the investments are not 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 funds is subject to restrictions as detailed in Note 21(a), “Commitments and Contingent Liabilities.” (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, the funds withheld arrangement is considered an embedded derivative and accounted for as an option-based derivative.
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, 2023 and December 31, 2022:
Twelve Months Ended December 31, 2023 |  | Balance at beginning of year |  | Purchases and issuances |  | Transfers in |  | Transfers (out) |  | Settlements and sales |  | Increase/(decrease) in fair value included in net income(1) / OCI (2) |  | Balance at end of year |  | Change in unrealized gains (losses) relating to assets held at end of year (1) (2)
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Privately-held investments — available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities |  | $ | — |  |  | $ | 14.7 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 0.2 |  |  | $ | 14.9 |  |  | $ | 0.2 |
Privately-held investments — trading |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial mortgage loans |  | $ | 312.1 |  |  | $ | 40.6 |  |  | $ | — |  |  | $ | — |  |  | $ | (61.5) |  |  | $ | (16.3) |  |  | $ | 274.9 |  |  | $ | (17.9) |
Middle market loans and other private debt |  | 106.9 |  |  | 18.3 |  |  | — |  |  | — |  |  | (41.9) |  |  | 1.5 |  |  | 84.8 |  |  | 0.5 |
Asset-backed securities |  | 66.8 |  |  | 21.9 |  |  | 5.3 |  |  | (5.5) |  |  | (7.6) |  |  | 2.0 |  |  | 82.9 |  |  | 1.7 |
Global corporate securities |  | 15.0 |  |  | — |  |  | — |  |  | — |  |  | (0.4) |  |  | (0.2) |  |  | 14.4 |  |  | (0.2) |
Equity securities |  | 6.6 |  |  | — |  |  | — |  |  | (6.6) |  |  | — |  |  | — |  |  | — |  |  | — |
Short-term investments |  | 25.6 |  |  | 18.2 |  |  | — |  |  | — |  |  | (25.8) |  |  | — |  |  | 18.0 |  |  | — |
Total Level 3 assets |  | $ | 533.0 |  |  | $ | 113.7 |  |  | $ | 5.3 |  |  | $ | (12.1) |  |  | $ | (137.2) |  |  | $ | (12.8) |  |  | $ | 489.9 |  |  | $ | (15.7) |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities — loss portfolio transfer |  | $ | (31.7) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 15.2 |  |  | $ | (16.5) |  |  | $ | 15.2 |
Total Level 3 liabilities |  | $ | (31.7) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 15.2 |  |  | $ | (16.5) |  |  | $ | 15.2 |
Twelve Months Ended December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Privately-held investments — trading |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial mortgage loans |  | $ | 211.5 |  |  | $ | 215.7 |  |  | $ | — |  |  | $ | — |  |  | $ | (113.1) |  |  | $ | (2.0) |  |  | $ | 312.1 |  |  | $ | (0.5) |
Middle market loans and other private debt |  | 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 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities — loss portfolio transfer |  | $ | — |  |  | $ | (17.2) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (14.5) |  |  | $ | (31.7) |  |  | $ | — |
Total Level 3 liabilities |  | $ | — |  |  | $ | (17.2) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (14.5) |  |  | $ | (31.7) |  |  | $ | — |
______________ (1) Increases/(decreases) 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 (loss). (2) Increases/(decreases) in the fair value of privately-held investments - available for sale are included in other comprehensive income (“OCI”).
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, 2023:
At December 31, 2023 |  | Fair Value Level 3 |  | Valuation Techniques |  | Unobservable (U) inputs |  | Ranges |  | Weighted Average
| ($ in millions) |  |  |  |  |  |  |  |  |
Privately-held investments — Trading |  |  |  |  |  |  |  |  |  |  |  |
Commercial mortgage loans |  | $ | 274.9 |  |  | Discounted cash flow |  | Discount rate |  | 3.8% | — | 20.0% |  | 7.7%
Middle market loans and other private debt |  | 84.8 |  |  | Discounted cash flow |  | Discount rate |  | 7.7% |  | 18.5% |  | 11.0%
Asset-backed securities |  | 82.9 |  |  | Discounted cash flow |  | Discount rate |  | 5.9% | — | 9.7% |  | 7.0%
Global corporate securities |  | 14.4 |  |  | Discounted cash flow |  | Discount rate |  | 6.6% | — | 6.6% |  | 6.6%
Short-term investments |  | 18.0 |  |  | Discounted cash flow |  | Discount rate |  | 9.3% |  | 18.5% |  | 9.3%
Privately-held investments — Available for sale |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities |  | 14.9 |  |  | Transaction value |  | n/a |  | n/a |  | n/a |  | n/a
Total |  | $ | 489.9 |  |  |  |  |  |  |  |  |  |  |

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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 -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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