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Derivative Contracts | 9 Months Ended
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Sep. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Contracts | Derivative Contracts The following table summarizes information on the location and amounts of derivative fair values on the consolidated balance sheet as at December 31, 2023 and 2022:
|  |  |  | As at December 31, 2023 |  | As at December 31, 2022 |
Derivatives Not Designated as Hedging Instruments Under ASC 815 |  | Balance Sheet Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value |
|  |  |  | ($ in millions) |  | ($ in millions) |
Foreign Exchange Contracts (1) |  | Derivative assets |  | $ | 1,262.1 |  |  | $ | 31.4 |  |  | $ | 945.8 |  |  | $ | 41.9 |  |
Foreign Exchange Contracts |  | Derivative liabilities |  | $ | 540.8 |  |  | $ | (9.3) |  |  | $ | 729.5 |  |  | $ | (3.2) |  |
Loss Portfolio Transfer Liability - Embedded Derivative (2) |  | Derivative liabilities |  | — |  |  | $ | (16.5) |  |  | — |  |  | (31.7) |  |
________________ (1)Fair value is net of $3.4 million of cash collateral (December 31, 2022 — $3.7 million). (2)The LPT contains an embedded derivative within the contract in relation to the variable interest crediting rate.
|  |  |  | As at December 31, 2023 |  | As at December 31, 2022
Derivatives Designated as Cash Flow Hedges Under ASC 815 |  | Balance Sheet Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  |  |  | ($ in millions) |  | ($ in millions)
Foreign Exchange Contracts |  | Derivative assets |  | $ | 76.9 |  |  | $ | 0.3 |  |  | $ | 109.7 |  |  | $ | 14.3 |
The following table provides the unrealized and realized gains/(losses) recorded in the consolidated statements of operations and other comprehensive income for derivatives that are not designated or designated as hedging instruments under ASC 815 — “Derivatives and Hedging” for the twelve months ended December 31, 2023 and 2022:
|  |  |  | Amount of (Loss)/Gain Recognized on Derivatives
|  |  |  | For the Twelve Months Ended
|  | Location of Gain/(Loss) Recognized on Derivatives |  | December 31, 2023 |  | December 31, 2022
Derivatives not designated as hedges |  |  |  | ($ in millions)
Foreign Exchange Contracts |  | Change in Fair Value of Derivatives |  | 10.9 |  |  | (66.0) |
Loss Portfolio Transfer Liability - Embedded Derivative |  | Change in Fair Value of Derivatives |  | 15.2 |  |  | (14.5) |
Derivatives designated as cash flow hedges |  |  |  |  |  |
Foreign Exchange Contracts |  | General, administrative and corporate expenses in consolidated statement of operations |  | (8.1) |  |  | 5.9 |
Foreign Exchange Contracts |  | Net change from current period hedged transactions in other comprehensive income |  | (14.0) |  |  | 15.4 |
Foreign Exchange Contracts. The Company uses foreign exchange contracts to manage foreign currency risk associated with our operating expenses but also foreign exchange risk associated with net assets or liabilities in currencies other than the U.S. dollar. A foreign exchange contract involves an obligation to purchase or sell a specified currency at a future date at a price set at the time of the contract. Foreign exchange contracts will not eliminate fluctuations in the value of the Company’s assets and liabilities denominated in foreign currencies but rather allow it to establish a rate of exchange for a future point in time. As at December 31, 2023, the Company held foreign exchange contracts that were not designated as hedges under ASC 815 with an aggregate nominal amount of $1,802.9 million (2022 — $1,675.3 million). The foreign exchange contracts are recorded as derivative assets or derivative liabilities in the consolidated balance sheet with changes recorded as a change in fair value of derivatives in the consolidated statement of operations. For the twelve months ended December 31, 2023, the impact of foreign exchange contracts on net income was a gain of $10.9 million (December 31, 2022 — loss of $66.0 million). As at December 31, 2023, the Company held foreign exchange contracts that were designated as cash flow hedges under ASC 815 with an aggregate notional amount of $76.9 million (2022 — $109.7 million). The foreign exchange contracts are recorded as derivative assets in the consolidated balance sheet with the changes in fair value recorded in other comprehensive income. For the twelve months ended December 31, 2023 the company recognized a loss of $14.0 million (December 31, 2022 — gain of $15.4 million) in other comprehensive income. As the foreign exchange contracts settle, the realized gain or loss is reclassified from other comprehensive income into general, administration and corporate expenses in the consolidated statement of operations. For the twelve months ended December 31, 2023, the amount recognized within general, administration and corporate expenses for settled foreign exchange contracts was a realized loss of $8.1 million (December 31, 2022 — gain of $5.9 million). The Company estimates that $0.3 million of the existing gains as at December 31, 2023 is expected to be reclassified into earnings within the next 12 months. Embedded derivative on loss portfolio contract. The loss portfolio transfer contract includes a funds withheld arrangement that provides returns to the reinsurer based on Aspen’s investment performance, guaranteeing a minimum of 1.75% return. Such funds withheld arrangements are examples of embedded derivatives and therefore this instrument is accounted for as an option-based derivative. For the twelve months ended December 31, 2023, the amount recognized as a change in fair value of derivatives in the consolidated statement of operations is a gain of $15.2 million (December 31, 2022 — loss of $14.5 million). Derivative Contracts The following table summarizes information on the location and amounts of derivative fair values on the consolidated balance sheet as at September 30, 2024 and December 31, 2023:
|  |  |  | As at September 30, 2024 |  | As at December 31, 2023 |
Derivatives Not Designated as Hedging Instruments Under ASC 815 |  | Balance Sheet Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value |
|  |  |  | ($ in millions) |  | ($ in millions) |
Foreign Exchange Contracts |  | Derivative assets |  | $ | 1,064.7 |  |  | $ | 23.8 |  |  | $ | 1,262.1 |  |  | $ | 31.4 |  |
Foreign Exchange Contracts (1) |  | Derivative liabilities |  | $ | 520.3 |  |  | $ | (3.1) |  |  | $ | 540.8 |  |  | $ | (9.3) |  |
Loss Portfolio Transfer Liability - Embedded Derivative (2) |  | Derivative liabilities |  | $ | — |  |  | $ | (4.6) |  |  | $ | — |  |  | $ | (16.5) |  |
________________ (1)Fair value is net of $1.9 million of cash collateral (December 31, 2023 — $3.4 million). (2)The LPT contains an embedded derivative within the contract in relation to the variable interest crediting rate.
|  |  |  | As at September 30, 2024 |  | As at December 31, 2023
Derivatives Designated as Cash Flow Hedges Under ASC 815 |  | Balance Sheet Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  |  |  | ($ in millions) |  | ($ in millions)
Foreign Exchange Contracts |  | Derivative assets |  | $ | 40.6 |  |  | $ | 2.2 |  |  | $ | 76.9 |  |  | $ | 0.3 |
The following table provides the unrealized and realized gains/(losses) recorded in the consolidated statements of operations and other comprehensive income for derivatives that are not designated or designated as hedging instruments under ASC 815 — “Derivatives and Hedging” for the three and nine months ended September 30, 2024 and 2023:
|  |  |  | For the Three Months Ended |  | For the Nine Months Ended
|  | Location of Gain/(Loss) Recognized on Derivatives |  | September 30, 2024 |  | September 30, 2023 |  | September 30, 2024 |  | September 30, 2023
Derivatives not designated as hedges |  |  |  | ($ in millions) |  | ($ in millions)
Foreign Exchange Contracts |  | Change in Fair Value of Derivatives |  | 32.7 |  |  | (35.6) |  |  | 10.3 |  |  | (24.3) |
Loss Portfolio Transfer Liability - Embedded Derivative |  | Change in Fair Value of Derivatives |  | 5.1 |  |  | — |  |  | 11.9 |  |  | 8.3 |
Derivatives designated as cash flow hedges |  |  |  |  |  |  |  |  |  |
Foreign Exchange Contracts |  | General, administrative and corporate expenses in consolidated statement of operations |  | (0.3) |  |  | (2.4) |  |  | (0.3) |  |  | (6.1) |
Foreign Exchange Contracts |  | Net change from current period hedged transactions in other comprehensive income |  | 2.1 |  |  | (6.4) |  |  | 1.9 |  |  | (10.7) |
Foreign Exchange Contracts. The Company uses foreign exchange contracts to manage foreign currency risk associated with our operating expenses but also foreign exchange risk associated with net assets or liabilities in currencies other than the U.S. dollar. A foreign exchange contract involves an obligation to purchase or sell a specified currency at a future date at a price set at the time of the contract. Foreign exchange contracts will not eliminate fluctuations in the value of the Company’s assets and liabilities denominated in foreign currencies but rather allow it to establish a rate of exchange for a future point in time. As at September 30, 2024, the Company held foreign exchange contracts that were not designated as hedges under ASC 815 with an aggregate notional amount of $1,585.0 million (December 31, 2023 — $1,802.9 million). The foreign exchange contracts are recorded as derivative assets or derivative liabilities in the consolidated balance sheet with changes recorded as a change in fair value of derivatives in the consolidated statement of operations. For the three and nine months ended September 30, 2024, the impact of foreign exchange contracts on net income was a gain of $32.7 million and $10.3 million, respectively (September 30, 2023 — loss of $35.6 million and $24.3 million, respectively). As at September 30, 2024, the Company held foreign exchange contracts that were designated as cash flow hedges under ASC 815 with an aggregate notional amount of $40.6 million (December 31, 2023 — $76.9 million). The foreign exchange contracts are recorded as derivative assets in the consolidated balance sheet with the changes in fair value recorded in other comprehensive income. For the three and nine months ended September 30, 2024 the Company recognized gains of $2.1 million and $1.9 million, respectively (September 30, 2023 — losses of $6.4 million and $10.7 million, respectively) in other comprehensive income. As the foreign exchange contracts settle, the realized gain or loss is reclassified from other comprehensive income into general, administration and corporate expenses in the consolidated statement of operations. For the three and nine months ended September 30, 2024, the amount recognized within general, administration and corporate expenses for settled foreign exchange contracts was a loss of $0.3 million and $0.3 million, respectively (September 30, 2023 — loss of $2.4 million and $6.1 million, respectively). The Company estimates that $2.2 million of the existing unrealized gains as at September 30, 2024 is expected to be reclassified into earnings within the next 12 months. Embedded Derivative on Loss Portfolio Contract. The loss portfolio transfer contract includes a funds withheld arrangement that provides returns to the reinsurer based on Aspen’s investment performance, guaranteeing a minimum return of 1.75%. Such funds withheld arrangements are examples of embedded derivatives and therefore this instrument is accounted for as an option-based derivative. For the three and nine months ended September 30, 2024, the amount recognized as a change in fair value of derivatives in the consolidated statement of operations was a gain of $5.1 million and $11.9 million, respectively (September 30, 2023 — gain of $Nil and $8.3 million, respectively).

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
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