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Aspen |
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141 Front Street |
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Hamilton HM19 |
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Bermuda |
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PO Box HM 2729 |
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Hamilton HMLX |
February 6, 2012
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Bermuda |
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VIA EMAIL AND EDGAR
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T +1 441 295 8201
aspen.co |
Jim B. Rosenberg
Senior Assistant Chief Accountant
Division of Corporation Finance
United States Securities and Exchange Commission
100 F Street N.E.
Washington D.C. 20549
Re: |
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Aspen Insurance Holdings Limited
Form 10-K for the Fiscal Year Ended December 31, 2010
Filed February 25, 2011
File No. 001-31909 |
Dear Mr. Rosenberg:
Further to your letter of January 23, 2012, we have set out below our responses to the questions
raised and our proposed disclosures to be included in our Form 10-K for the fiscal year ended
December 31, 2011.
For your convenience, we set forth in this letter (the Response Letter) the comment from your
letter in bold typeface and include the Companys response below such comment.
Managements Discussion and Analysis of Financial Condition and Results of Operations
Valuation of Investments, page 123
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Please expand your proposed disclosure to discuss the differences in valuation approaches
between a pricing service and an index service provider. Disclose if an index is one of the
various market conventions used by an index service provider and if so disclose how an index
is used to determine a price for an individual security. |
In response to the Staffs specific comments above we intend to further supplement our existing
disclosures in our forthcoming Annual Report on Form 10-K for the year ended December 31, 2011 in
the appropriate place in a manner consistent with the proposed disclosure below. The proposed
underlined disclosure would be additional to our current disclosure and the disclosure proposed in
our letter dated January 9, 2012 under the caption Valuation of Investments Fixed Maturities
Independent Pricing Services and Index Providers.
Independent Pricing Services and Index Providers.
The
underlying methodology used to determine the fair value of securities in the Companys
available for sale and trading portfolios by the pricing services and index providers the
Company uses is very similar. 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. Index providers are those firms which provide prices for a range
of securities within one or more asset classes, typically using their own in-house market makers
(traders) as the primary pricing source for the indices, although ultimate valuations may also rely
on other observable data inputs to derive a dollar price for all index-eligible securities. Index
providers without in-house trading desks will function similarly to a pricing service in that they
will gather their observable pricing inputs from multiple external sources. All prices for the
Companys securities attributed to index providers are for an individual security within the
respective indices.
Pricing services and index providers provide pricing for less complex, liquid securities based on
market quotations in active markets. Pricing services and index providers 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, pricing
services and index providers may use matrix pricing consisting of observable market inputs
to estimate the fair value of a security. These observable market inputs include: reported trades,
benchmark yields, broker-dealer quotes, issuer spreads, two-sided markets, benchmark securities,
bids, offers, reference data, and industry and economic factors. Additionally, pricing services
and index providers may use a valuation model such as an option adjusted spread model
commonly used for estimating fair values of mortgage-backed and asset-backed securities.
Neither the Company, nor its index providers, derives dollar prices using an index as a pricing
input for any individual security.
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In response to the Staffs comments, we acknowledge that:
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the Company is responsible for the adequacy and accuracy of the disclosure in the
filing; |
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staff comments or changes to disclosure in response to staff comments do not foreclose
the Commission from taking any action with respect to the filing; and |
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the Company may not assert staff comments as a defence in any proceeding initiated by
the Commission or any person under the federal laws of the United States. |
Thank you for your consideration of the responses. If you have any further questions or comments,
please contact me at 011-44-207-184-8212, Michael Groll of Dewey & LeBoeuf at 1-212-259-8616 or Joe
Ferraro of Dewey & LeBoeuf at 011-44-207-459-5125.
Yours sincerely,
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/s/ Richard Houghton
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Richard Houghton |
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Chief Financial Officer
Aspen Insurance Holdings Limited |
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Cc: |
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Don Abbott, Staff Accountant
Gus Rodriguez, Accounting Branch Chief
U.S. Securities and Exchange Commission |
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Scott Kirk
Grahame Dawe
Michael Cain
Patricia Roufca
Aspen Insurance Holdings Limited |
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Philip Smart
KPMG Audit Plc |
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Michael Groll
Joseph Ferraro
Dewey & LeBoeuf LLP |
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