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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 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, 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.”

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 June 30, 2023 and December 31, 2022:

			As at June 30, 2023
			Level 1						Level 2						Level 3						Total
			($ in millions)
Fixed income securities, available for sale. at fair value
U.S. government			$	1,013.8					$	—					$	—					$	1,013.8
U.S. agency			—						8.2						—						8.2
Municipal			—						149.5						—						149.5
Corporate			—						1,875.9						—						1,875.9
Non-U.S. government-backed corporate			—						110.9						—						110.9
Non-U.S. government			192.7						76.5						—						269.2
Non-agency commercial mortgage-backed			—						5.7						—						5.7
Agency mortgage-backed			—						475.0						—						475.0
Total fixed income securities available for sale, at fair value			1,206.5						2,701.7						—						3,908.2
Short-term investments available for sale, at fair value			169.2						0.1						—						169.3
Fixed income securities, trading, at fair value			235.0						—						—						235.0
Municipal			—						3.1						—						3.1
Corporate			—						165.4						—						165.4
Non-U.S. government-backed corporate			—						9.6						—						9.6
High yield loans			—						86.6						—						86.6
Non-U.S. government			12.7						21.4						—						34.1
Asset-backed			—						924.6						—						924.6
Agency mortgage-backed			—						20.1						—						20.1
Total fixed income securities trading, at fair value			247.7						1,230.8						—						1,478.5
Short-term investments trading, at fair value			9.1						1.9						—						11.0
Privately-held investments trading, at fair value			—						—						482.4						482.4
Catastrophe bonds trading, at fair value			—						2.4						—						2.4
Other investments (1)			—						—						—						213.4
Other financial assets and liabilities, at fair value
Derivative assets — foreign exchange contracts			—						17.2						—						17.2
Derivative liabilities — foreign exchange contracts			—						(13.4)						—						(13.4)
Derivative liabilities — loss portfolio transfer(2)			—						—						(23.4)						(23.4)
Total			1,632.5						3,940.7						459.0						6,245.6

________________

(1)Other investments represents our investments in real estate, infrastructure and direct lending 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 and other funds is subject to restrictions as detailed in Note 12(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.

			As at December 31, 2022
			Level 1						Level 2						Level 3						Total
			($ in millions)
Fixed income securities, available for sale. 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
Fixed income securities, trading, 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
Privately-held investments			—						—						533.0						533.0
Catastrophe bonds trading, at fair value			—						2.9						—						2.9
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			—						—						(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, infrastructure and direct lending 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 12(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 Level 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)

Valuation of Fixed Income Securities.  The Company’s fixed income securities are classified as either

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 Level 3 inputs for the six months ended June 30, 2023 and the twelve months ended December 31, 2022:

Six Months Ended June 30, 2023						Balance at beginning of period						Purchases and issuances						Transfers (out)						Settlements and sales						Increase/(decrease) in fair value including net income						Balance at end of period						Change in unrealized investment gains (losses) relating to assets held at end of period
Assets
Privately-held investments — trading
Commercial mortgage loans						$	312.1					$	15.9					$	—					$	(23.2)					$	(9.8)					$	295.0					$	(10.5)
Middle market loans						106.9						0.1						—						(5.4)						0.5						102.1						(2.0)
Asset-backed securities						66.8						—						(5.5)						(3.8)						0.9						58.4						(1.1)
Global corporate securities						15.0						—						—						(0.2)						—						14.8						(0.1)
Equity securities						6.6						7.0						(1.2)						(0.2)						(0.1)						12.1						—
Short-term investments						25.6						—						—						(25.6)						—						—						—
Total Level 3 assets						$	533.0					$	23.0					$	(6.7)					$	(58.4)					$	(8.5)					$	482.4					$	(13.7)
Liabilities
Derivative liabilities - loss portfolio transfer						$	(31.7)					$	—					$	—					$	—					$	8.3					$	(23.4)					$	—
Total Level 3 liabilities						$	(31.7)					$	—					$	—					$	—					$	8.3					$	(23.4)					$	—
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						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)					$	—

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

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 June 30, 2023:

At June 30, 2023						Fair Value Level 3						Valuation Techniques						Unobservable (U) inputs						Ranges												Weighted Average
						($ in millions)
Privately-held investments — Trading
Commercial mortgage loans						$	270.0					Discounted cash flow						Discount rate						3.7%			-			11.2%						6.2%
Commercial mortgage loans						25.0						3rd party NAV						n/a						n/a						n/a						n/a
Middle market loans						102.1						Discounted cash flow						Discount rate						7.6%			-			20.9%						10.8%
Asset-backed securities						58.4						Discounted cash flow						Discount rate						5.8%			-			9.3%						6.8%
Global corporate securities						14.8						Discounted cash flow						Discount rate						6.4%			-			7.4%						6.4%
Equity securities						12.1						Discounted cash flow						Discount rate						8.6%			-			8.6%						8.6%
Total						$	482.4

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

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-Topic 820
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-Section 50
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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
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X

- 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
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-Publisher FASB
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