EX-99.2 3 a992-ahlq115.htm EXHIBIT 99.2 99.2 - AHL Q1 15

Exhibit 99.2
 
 
 
 
 
 
 
 
 
 
 FINANCIAL SUPPLEMENT
 
 As of March 31, 2015
 
 
 
 
Aspen Insurance Holdings Limited
 
 
 
 
This financial supplement is for information purposes only. It should be read in conjunction with other documents filed or to be filed by Aspen Insurance Holdings Limited with the United States Securities and Exchange Commission.
 
 
 
www.aspen.co
 
 
 
 
 
 
Investor Contact:
 
 
Aspen Insurance Holdings Limited
 
 
Kerry Calaiaro, Senior Vice President, Investor Relations
 
 
T: +1 646-502-1076
 
 
email: kerry.calaiaro@aspen.co
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
            



ASPEN INSURANCE HOLDINGS LIMITED
 
Table Of Contents
 
 
 
 
 
Page
 
 
 
 
 
 
 
 
 
 
 
 
 
 
9 - 10
 
 
 
 
 
 
 
 
 
 
 
 



ASPEN INSURANCE HOLDINGS LIMITED
Basis of Presentation
 
 
 
 
Definitions and presentations: All financial information contained herein is unaudited except for information for the fiscal year ended December 31, 2014 and December 31, 2013. Unless otherwise noted, all data is in U.S. dollar millions, except for per share amounts, percentages and ratio information.
 
 
 
 
In presenting Aspen's results, management has included and discussed certain "non-GAAP financial measures", as such term is defined in Regulation G. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain Aspen's results of operations in a manner that allows for a more complete understanding of the underlying trends in Aspen's business. However, these measures should not be viewed as a substitute for those determined in accordance with GAAP. The reconciliation of such non-GAAP financial measures to their respective most directly comparable GAAP financial measures in accordance with Regulation G is included in this financial supplement.
 
 
 
 
Operating income (a non-U.S. GAAP financial measure): Operating income is an internal performance measure used by Aspen in the management of its operations and represents after-tax operational results excluding, as applicable, after-tax net realized and unrealized capital gains or losses, including net realized and unrealized gains and losses on interest rate swaps, after-tax net foreign exchange gains or losses, including net realized and unrealized gains and losses from foreign exchange contracts and certain non-recurring items. In 2014, non-recurring items included costs associated with defending the unsolicited approach from Endurance Specialty Holdings Ltd. in the amount of $3.0 million for the three months ended March 31, 2014. 
 
 
 
 
Aspen excludes these items above from its calculation of operating income because they are either not expected to recur and therefore are not reflective of underlying performance or the amount of these gains or losses is heavily influenced by, and fluctuates in part, according to the availability of market opportunities. Aspen believes these amounts are largely independent of its business and underwriting process and including them would distort the analysis of trends in its operations. In addition to presenting net income determined in accordance with GAAP, Aspen believes that showing operating income enables investors, analysts, rating agencies and other users of its financial information to more easily analyze Aspen's results of operations in a manner similar to how management analyzes Aspen's underlying business performance. Operating income should not be viewed as a substitute for GAAP net income. Please see page 22 for a reconciliation of operating income to net income.
 
 
 
 
Annualized operating return on average equity (“Operating ROE”) (a non-GAAP financial measure): Operating ROE is calculated using operating income, as defined above, and average equity is calculated as the arithmetic average on a monthly basis for the stated periods of shareholders' equity excluding the aggregate value of the liquidation preferences of our preference shares net of issuance costs and the total amount of non-controlling interest.
 
 
 
 
Aspen presents Operating ROE as a measure that is commonly recognized as a standard of performance by investors, analysts, rating agencies and other users of its financial information. See page 22 for a reconciliation of operating income to net income and page 7 for a reconciliation of average ordinary shareholders' equity to average shareholders' equity.
 
 
 
 
Diluted operating earnings per share and basic operating earnings per share (non-GAAP financial measures): Aspen believes that the presentation of diluted operating earnings per share and basic operating earnings per share supports meaningful comparison from period to period and the analysis of normal business operations. Diluted operating earnings per share and basic operating earnings per share are calculated by dividing operating income by the diluted or basic weighted average number of shares outstanding for the period. See page 22 for a reconciliation of diluted and basic operating earnings per share to basic earnings per share.
 
 
 
 
Diluted book value per ordinary share (not a non-GAAP financial measure): Aspen has included diluted book value per ordinary share as it illustrates the effect on basic book value per share of dilutive securities thereby providing a better benchmark for comparison with other companies. Diluted book value per share is calculated using the treasury stock method as defined on page 21.
 
 
 
 
 
Underwriting ratios (GAAP financial measures): Aspen, along with others in the industry, uses underwriting ratios as measures of performance. The loss ratio is the ratio of net claims and claims adjustment expenses to net premiums earned. The acquisition expense ratio is the ratio of underwriting expenses (commissions, premium taxes, licenses and fees, as well as other underwriting expenses) to net premiums earned. The general and administrative expense ratio is the ratio of general and administrative expenses to net premiums earned. The combined ratio is the sum of the loss ratio, the acquisition expense ratio and the general and administrative expense ratio. These ratios are relative measurements that describe for every $100 of net premiums earned, the cost of losses and expenses, respectively. The combined ratio presents the total cost per $100 of earned premium. A combined ratio below 100% demonstrates underwriting profit; a combined ratio above 100% demonstrates underwriting loss.
 
 
 
 
GAAP combined ratios differ from U.S. statutory combined ratios primarily due to the deferral of certain third-party acquisition expenses for GAAP reporting purposes and the use of net premiums earned rather than net premiums written in the denominator when calculating the acquisition expense and the general and administrative expense ratios.

1


ASPEN INSURANCE HOLDINGS LIMITED
 
Financial Highlights
 
 
 
 
 
Three Months Ended March 31,
 
(in US$ millions except for percentages, share and per share amounts)
 
2015
 
2014
 
Change
 
Gross written premium
 
$
919.2

 
$
855.5

 
7.4
 %
 
Net written premium
 
$
763.2

 
$
697.5

 
9.4
 %
 
Net earned premium
 
$
593.6

 
$
566.5

 
4.8
 %
 
Net income after tax
 
$
128.0

 
$
120.4

 
6.3
 %
 
Operating income after tax
 
$
98.0

 
$
112.7

 
(13.0
)%
 
Net investment income
 
$
47.4

 
$
49.5

 
(4.2
)%
 
Underwriting income
 
$
66.0

 
$
73.8

 
(10.6
)%
 
Earnings Per Share and Book Value Per Share
 
 
 
 
 
 
 
Basic earnings per ordinary share
 
 
 
 
 
 
 
    Net income adjusted for preference share dividend
 
$
1.91

 
$
1.70

 
12.4
 %
 
    Operating income adjusted for preference share dividend
 
$
1.43

 
$
1.59

 
(10.1
)%
 
Diluted earnings per ordinary share
 
 
 
 
 
 
 
    Net income adjusted for preference share dividend
 
$
1.87

 
$
1.66

 
12.7
 %
 
    Operating income adjusted for preference share dividend
 
$
1.39

 
$
1.55

 
(10.3
)%
 
Weighted average number of ordinary shares outstanding (in millions of shares)
 
62.159

 
65.289

 
(4.8
)%
 
Diluted weighted average number of ordinary shares outstanding (in millions of shares)
 
63.533

 
66.566

 
(4.6
)%
 
Book value per ordinary share
 
$
47.14

 
$
43.28

 
8.9
 %
 
Diluted book value per ordinary share
 
$
46.02

 
$
42.72

 
7.7
 %
 
Ordinary shares outstanding at March 31, 2015 and March 31, 2014 (in millions of shares)
 
61.723

 
65.419

 
(5.6
)%
 
Diluted ordinary shares outstanding at March 31, 2015 and March 31, 2014 (in millions of shares)
 
63.227

 
66.281

 
(4.6
)%
 
Underwriting Ratios
 
 
 
 
 
 
 
Loss ratio
 
51.6
%
 
50.9
%
 
 
 
   Policy acquisition expense ratio
 
20.1
%
 
19.8
%
 
 
 
   General, administrative and corporate expense ratio
 
17.2
%
 
16.9
%
 
 
 
   General, administrative and corporate expense ratio (excluding non-recurring corporate expenses)
 
17.2
%
 
16.3
%
 
 
 
Expense ratio
 
37.3
%
 
36.7
%
 
 
 
Expense ratio (excluding non-recurring corporate expenses)
 
37.3
%
 
36.1
%
 
 
 
Combined ratio
 
88.9
%
 
87.6
%
 
 
 
Combined ratio (excluding non-recurring corporate expenses)
 
88.9
%
 
87.0
%
 
 
 
Return On Equity
 
 
 
 
 
 
 
Average equity (1)
 
$
2,886.3

 
$
2,787.7

 
 
 
Return on average equity
 
 
 
 
 
 
 
   Net income adjusted for preference share dividend
 
4.1
%
 
4.0
%
 
 
 
   Operating income adjusted for preference share dividend
 
3.1
%
 
3.7
%
 
 
 
Annualized return on average equity
 
 
 
 
 
 
 
Net income
 
16.4
%
 
16.0
%
 
 
 
Operating income
 
12.4
%
 
14.8
%
 
 
 
 
 
 
 
 
 
 
 
 
 
See pages 7 and 22 for a reconciliation of non-GAAP financial measures to their most directly comparable GAAP financial measures.
 
(1) Average equity excludes preference shares.
 
 
 
 
 
 
 

2


ASPEN INSURANCE HOLDINGS LIMITED
Consolidated Statements of Operations - Quarterly Results
(in US$ millions except for percentages and per share amounts)
 
Q1 2015
 
Q4 2014
 
Q3 2014
 
Q2 2014
 
Q1 2014
UNDERWRITING REVENUES
 
 
 
 
 
 
 
 
 
 
Gross written premiums
 
$
919.2

 
$
615.4

 
$
652.5

 
$
779.3

 
$
855.5

Premiums ceded
 
(156.0
)
 
(61.4
)
 
(75.2
)
 
(92.9
)
 
(158.0
)
Net written premiums
 
763.2

 
554.0

 
577.3

 
686.4

 
697.5

Change in unearned premiums
 
(169.6
)
 
58.2

 
33.1

 
(70.2
)
 
(131.0
)
Net earned premiums
 
593.6

 
612.2

 
610.4

 
616.2

 
566.5

UNDERWRITING EXPENSES
 
 
 
 
 
 
 
 
 
 
Losses and loss adjustment expenses
 
306.1

 
339.6

 
342.7

 
337.1

 
288.1

Amortization of deferred policy acquisition costs
 
119.3

 
114.8

 
115.5

 
108.9

 
112.0

General, administrative and corporate expenses (excluding non-recurring corporate expenses)
 
102.2

 
121.5

 
99.6

 
103.5

 
92.6

Total underwriting expenses
 
527.6

 
575.9

 
557.8

 
549.5

 
492.7

Underwriting income including corporate expenses
 
66.0

 
36.3

 
52.6

 
66.7

 
73.8

OTHER OPERATING REVENUE AND EXPENSES
 
 
 
 
 
 
 
 
 
 
Net investment income
 
47.4

 
46.7

 
48.0

 
46.1

 
49.5

Interest expense
 
(7.4
)
 
(7.4
)
 
(7.4
)
 
(7.3
)
 
(7.4
)
Other (expense)/income
 
(1.6
)
 
(3.9
)
 
(7.8
)
 
2.0

 
(0.1
)
Total other operating revenue
 
38.4

 
35.4

 
32.8

 
40.8

 
42.0

OPERATING INCOME BEFORE TAX
 
104.4

 
71.7

 
85.4

 
107.5

 
115.8

Non-recurring corporate expenses
 
—

 
—

 
(20.2
)
 
(5.3
)
 
(3.0
)
Net realized and unrealized exchange (losses)/gains (1) (3)
 
(11.0
)
 
(2.8
)
 
(9.9
)
 
7.7

 
2.6

Net realized and unrealized investment gains/(losses) (2) (3)
 
39.7

 
(0.9
)
 
(16.6
)
 
27.1

 
8.8

INCOME BEFORE TAX
 
133.1

 
68.0

 
38.7

 
137.0

 
124.2

Income tax expense
 
(5.1
)
 
(0.8
)
 
(1.3
)
 
(6.2
)
 
(3.8
)
NET INCOME AFTER TAX
 
128.0

 
67.2

 
37.4

 
130.8

 
120.4

Dividends paid on ordinary shares
 
(12.4
)
 
(12.4
)
 
(13.1
)
 
(13.1
)
 
(11.7
)
Dividends paid on preference shares
 
(9.5
)
 
(9.4
)
 
(9.5
)
 
(9.4
)
 
(9.5
)
Dividends paid to non-controlling interest
 
—

 
(0.1
)
 
—

 
—

 
—

Proportion due to non-controlling interest
 
—

 
(0.8
)
 
0.1

 
—

 
(0.1
)
Retained income
 
$
106.1

 
$
44.5

 
$
14.9

 
$
108.3

 
$
99.1

Components of net income after tax
 
 
 
 
 
 
 
 
 
 
Operating income
 
98.0

 
71.3

 
81.7

 
102.8

 
112.7

Non-recurring corporate expenses
 
—

 
—

 
(20.2
)
 
(5.3
)
 
(3.0
)
Net realized and unrealized exchange (losses)/gains after tax (1) (3)
 
(9.8
)
 
(3.1
)
 
(7.5
)
 
6.3

 
2.1

Net realized and unrealized investment gains/(losses) after tax (2) (3)
 
39.8

 
(1.0
)
 
(16.6
)
 
27.0

 
8.6

NET INCOME AFTER TAX
 
$
128.0

 
$
67.2

 
$
37.4

 
$
130.8

 
$
120.4

Loss ratio
 
51.6
%
 
55.5
%
 
56.1
%
 
54.7
%
 
50.9
%
Policy acquisition expense ratio
 
20.1
%
 
18.8
%
 
18.9
%
 
17.7
%
 
19.8
%
General, administrative and corporate expense ratio
 
17.2
%
 
19.8
%
 
19.6
%
 
17.7
%
 
16.9
%
General, administrative and corporate expense ratio (excluding non-recurring corporate expenses)
 
17.2
%
 
19.8
%
 
16.3
%
 
16.8
%
 
16.3
%
Expense ratio
 
37.3
%
 
38.6
%
 
38.5
%
 
35.4
%
 
36.7
%
Expense ratio (excluding non-recurring corporate expenses)
 
37.3
%
 
38.6
%
 
35.2
%
 
34.5
%
 
36.1
%
Combined ratio
 
88.9
%
 
94.1
%
 
94.6
%
 
90.1
%
 
87.6
%
Combined ratio (excluding non-recurring corporate expenses)
 
88.9
%
 
94.1
%
 
91.3
%
 
89.2
%
 
87.0
%
Basic earnings per share (4)
 
$
1.91

 
$
0.92

 
$
0.43

 
$
1.85

 
$
1.70

Diluted earnings per share (4)
 
$
1.87

 
$
0.90

 
$
0.42

 
$
1.82

 
$
1.66

Annualized return on average equity
 
 
 
 
 
 
 
 
 
 
Net income
 
16.4
%
 
8.0
%
 
4.0
%
 
16.8
%
 
16.0
%
Operating income
 
12.4
%
 
8.8
%
 
10.0
%
 
12.8
%
 
14.8
%
See pages 7 and 22 for a reconciliation of non-GAAP financial measures to their most directly comparable GAAP financial measures.
(1) Includes the net realized and unrealized gains/(losses) from foreign exchange contracts.
(2) Includes the net realized and unrealized gains/(losses) from interest rate swaps.
(3) Adjusted for a representation of foreign exchange in relation to investment securities from realized and unrealized exchange gains/(losses) to realized and unrealized investment gains/(losses).
 
 
(4) Adjusted for preference share dividends and non-controlling interest.
 
 
 
 
 
 
 
 
 
 

3


ASPEN INSURANCE HOLDINGS LIMITED
Consolidated Statements of Operations - Year To Date Results
 
 
 
 
Three Months Ended March 31,
 
 
2015
 
2014
 
2013
UNDERWRITING REVENUES
 
 
 
 
 
Gross written premiums
 
$
919.2

 
$
855.5

 
$
773.4

Premiums ceded
 
(156.0
)
 
(158.0
)
 
(176.4
)
Net written premiums
 
763.2

 
697.5

 
597.0

Change in unearned premiums
 
(169.6
)
 
(131.0
)
 
(86.1
)
Net earned premiums
 
593.6

 
566.5

 
510.9

UNDERWRITING EXPENSES
 
 
 
 
 
 
Losses and loss adjustment expenses
 
306.1

 
288.1

 
268.7

Amortization of deferred policy acquisition costs
 
119.3

 
112.0

 
104.6

General, administrative and corporate expenses (excluding non-recurring corporate expenses)
 
102.2

 
92.6

 
86.6

Total underwriting expenses
 
527.6

 
492.7

 
459.9

Underwriting income including corporate expenses
 
66.0

 
73.8

 
51.0

OTHER OPERATING REVENUE AND EXPENSES
 
 
 
 
 
 
Net investment income
 
47.4

 
49.5

 
48.3

Interest expense
 
(7.4
)
 
(7.4
)
 
(7.7
)
Other (expense)/income
 
(1.6
)
 
(0.1
)
 
0.5

Total other operating revenue
 
38.4

 
42.0

 
41.1

OPERATING INCOME BEFORE TAX
 
104.4

 
115.8

 
92.1

Non-recurring corporate expenses
 
—

 
(3.0
)
 
—

Net realized and unrealized exchange (losses)/gains (1)
 
(11.0
)
 
2.6

 
(10.2
)
Net realized and unrealized investment gains(2)
 
39.7

 
8.8

 
15.8

INCOME BEFORE TAX
 
133.1

 
124.2

 
97.7

Income tax expense
 
(5.1
)
 
(3.8
)
 
(5.9
)
NET INCOME AFTER TAX
 
128.0

 
120.4

 
91.8

Dividends paid on ordinary shares
 
(12.4
)
 
(11.7
)
 
(11.9
)
Dividends paid on preference shares
 
(9.5
)
 
(9.5
)
 
(8.6
)
Proportion due to non-controlling interest
 
—

 
(0.1
)
 
—

Retained income
 
$
106.1

 
$
99.1

 
$
71.3

Components of net income after tax
 
 
 
 
 
 
 
Operating income
 
98.0

 
112.7

 
85.7

 
Non-recurring corporate expenses
 
—

 
(3.0
)
 
—

 
Net realized and unrealized exchange (losses)/gains after tax (1)
 
(9.8
)
 
2.1

 
(9.5
)
 
Net realized and unrealized investment gains after tax (2)
 
39.8

 
8.6

 
15.6

NET INCOME AFTER TAX
 
$
128.0

 
$
120.4

 
$
91.8

Loss ratio
 
51.6
%
 
50.9
%
 
52.6
%
 
Policy acquisition expense ratio
 
20.1
%
 
19.8
%
 
20.5
%
 
General, administrative and corporate expense ratio
 
17.2
%
 
16.9
%
 
17.0
%
 
General, administrative and corporate expense ratio (excluding non-recurring corporate expenses)
 
17.2
%
 
16.3
%
 
17.0
%
Expense ratio
 
37.3
%
 
36.7
%
 
37.5
%
Expense ratio (excluding non-recurring corporate expenses)
 
37.3
%
 
36.1
%
 
37.5
%
Combined ratio
 
88.9
%
 
87.6
%
 
90.1
%
Combined ratio (excluding non-recurring corporate expenses)
 
88.9
%
 
87.0
%
 
90.1
%
 
 
See pages 7 and 22 for a reconciliation of non-GAAP financial measures to their most directly comparable GAAP financial measures.
 
 
(1 Includes the net realized and unrealized gains/(losses) from foreign exchange contracts.
 
(2) Includes the net realized and unrealized gains/(losses) from interest rate swaps.
 

4


 
ASPEN INSURANCE HOLDINGS LIMITED
 
Consolidated Balance Sheets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(in US$ millions except for per share amounts)
 
March 31,
2015
 
December 31,
2014
 
September 30,
2014
 
June 30,
2014
 
March 31,
2014
 
December 31, 2013
 
 
Investments
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities
 
$
6,339.2

 
$
6,401.0

 
$
6,271.9

 
$
6,297.7

 
$
6,256.1

 
$
6,285.3

 
Equity securities
 
719.0

 
725.9

 
647.0

 
574.2

 
507.8

 
460.4

 
Other investments
 
9.5

 
8.7

 
8.7

 
8.7

 
8.7

 
48.0

 
Catastrophe bonds
 
32.8

 
34.8

 
32.2

 
30.0

 
18.0

 
5.8

 
Short-term investments
 
180.9

 
258.5

 
314.2

 
349.7

 
215.5

 
160.3

 
Total investments
 
7,281.4

 
7,428.9

 
7,274.0

 
7,260.3

 
7,006.1

 
6,959.8

 
Cash and cash equivalents
 
1,225.9

 
1,178.5

 
1,289.1

 
1,345.2

 
1,443.7

 
1,293.6

 
Reinsurance recoverables
 
 
 
 
 
 
 
 
 
 
 
 
 
Unpaid losses
 
360.1

 
350.0

 
384.7

 
360.0

 
352.1

 
332.7

 
Ceded unearned premiums
 
276.4

 
206.8

 
229.8

 
217.9

 
221.3

 
151.9

 
Receivables
 
 
 
 
 
 
 
 
 
 
 
 
 
Underwriting premiums
 
1,264.8

 
1,011.7

 
1,105.3

 
1,192.7

 
1,189.5

 
999.0

 
Other
 
92.1

 
90.2

 
92.0

 
106.4

 
107.8

 
90.3

 
Funds withheld
 
46.1

 
46.9

 
47.5

 
47.8

 
49.4

 
46.5

 
Deferred policy acquisition costs
 
333.8

 
299.0

 
301.6

 
306.4

 
289.6

 
262.2

 
Derivatives at fair value
 
2.1

 
8.0

 
7.0

 
1.6

 
6.8

 
7.0

 
Receivable for securities sold
 
0.3

 
2.3

 
1.6

 
9.1

 
14.8

 
5.2

 
Office properties and equipment
 
61.9

 
62.2

 
64.4

 
65.1

 
61.8

 
60.1

 
Taxation
 
—

 
—

 
4.0

 
2.8

 
0.5

 
1.6

 
Other assets
 
18.2

 
13.6

 
10.4

 
1.5

 
1.5

 
2.2

 
Intangible assets
 
18.2

 
18.2

 
18.2

 
18.2

 
18.3

 
18.4

 
Total assets
 
$
10,981.3

 
$
10,716.3

 
$
10,829.6

 
$
10,935.0

 
$
10,763.2

 
$
10,230.5

 
LIABILITIES
 
 
 
 
 
 
 
 
 
 
 
 
 
Insurance reserves
 
 
 
 
 
 
 
 
 
 
 
 
 
Losses and loss adjustment expenses
 
$
4,698.9

 
$
4,750.8

 
$
4,787.3

 
$
4,795.8

 
$
4,760.7

 
$
4,678.9

 
Unearned premiums
 
1,665.1

 
1,441.8

 
1,508.7

 
1,568.5

 
1,479.7

 
1,280.6

 
Total insurance reserves
 
6,364.0

 
6,192.6

 
6,296.0

 
6,364.3

 
6,240.4

 
5,959.5

 
Payables
 
 
 
 
 
 
 
 
 
 
 
 
 
Reinsurance premiums
 
171.5

 
92.0

 
146.8

 
93.5

 
155.1

 
88.2

 
Taxation
 
34.8

 
21.4

 
25.7

 
28.0

 
16.5

 
15.7

 
Accrued expenses and other payables
 
308.6

 
356.9

 
290.3

 
284.5

 
361.6

 
265.6

 
Liabilities under derivative contracts
 
11.5

 
14.3

 
12.7

 
5.4

 
0.4

 
2.9

 
Total payables
 
526.4

 
484.6

 
475.5

 
411.4

 
533.6

 
372.4

 
Loan notes issued by variable interest entities, at fair value
 
76.0

 
70.7

 
64.5

 
56.0

 
53.4

 
50.0

 
Long-term debt
 
549.1

 
549.1

 
549.1

 
549.1

 
549.0

 
549.0

 
Total liabilities
 
7,515.5

 
7,297.0

 
7,385.1

 
7,380.8

 
7,376.4

 
6,930.9

 
SHAREHOLDERS’ EQUITY
 
 
 
 
 
 
 
 
 
 
 
 
 
Ordinary shares
 
0.1

 
0.1

 
0.1

 
0.1

 
0.1

 
0.1

 
Non-controlling interest
 
0.5

 
0.5

 
(0.3
)
 
(0.2
)
 
(0.2
)
 
(0.3
)
 
Preference shares
 
—

 
—

 
—

 
—

 
—

 
—

 
Additional paid-in capital
 
1,106.0

 
1,134.3

 
1,186.4

 
1,276.7

 
1,269.9

 
1,297.4

 
Retained earnings
 
2,156.2

 
2,050.1

 
2,005.6

 
1,990.7

 
1,882.4

 
1,783.3

 
Accumulated other comprehensive income, net of taxes
 
203.0

 
234.3

 
252.7

 
286.9

 
234.6

 
219.1

 
Total shareholders’ equity
 
3,465.8

 
3,419.3

 
3,444.5

 
3,554.2

 
3,386.8

 
3,299.6

 
Total liabilities and shareholders’ equity
 
$
10,981.3

 
$
10,716.3

 
$
10,829.6

 
$
10,935.0

 
$
10,763.2

 
$
10,230.5

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Book value per ordinary share
 
$
47.14

 
$
46.16

 
$
45.60

 
$
45.81

 
$
43.28

 
$
41.87

 
Book value per diluted ordinary share
 
$
46.02

 
$
45.13

 
$
44.60

 
$
44.84

 
$
42.72

 
$
40.90

 
See pages 7 and 22 for a reconciliation of non-GAAP financial measures to their most directly comparable GAAP financial measures.

5


ASPEN INSURANCE HOLDINGS LIMITED
Earnings Per Share and Book Value Per Share
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended
(in US$ except for number of shares)
 
March 31, 2015
 
March 31, 2014
 
 
 
 
 
 
 
Basic earnings per ordinary share
 
 
 
 
 
Net income adjusted for preference share dividend
 
$
1.91

 
$
1.70

 
Operating income adjusted for preference share dividend
 
$
1.43

 
$
1.59

Diluted earnings per ordinary share
 
 
 
 
 
Net income adjusted for preference share dividend
 
$
1.87

 
$
1.66

 
Operating income adjusted for preference share dividend
 
$
1.39

 
$
1.55

 
 
 
 
 
 
 
Weighted average number of ordinary shares outstanding (in millions)
 
62.159

 
65.289

Weighted average number of ordinary shares outstanding and dilutive potential ordinary shares (in millions)
 
63.533

 
66.566

 
 
 
 
 
Book value per ordinary share
 
$
47.14

 
$
43.28

Diluted book value per ordinary share
 
$
46.02

 
$
42.72

 
 
 
 
 
Ordinary shares outstanding at end of the period (in millions)
 
61.723

 
65.419

Ordinary shares outstanding and dilutive potential ordinary shares at end of the period (in millions)
 
63.227

 
66.281

 
See pages 7 and 22 for a reconciliation of non-GAAP financial measures to their most directly comparable GAAP financial measures.


6


ASPEN INSURANCE HOLDINGS LIMITED
Return On Average Equity
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended
(in US$ millions except for percentages)
 
March 31, 2015
 
March 31, 2014
 
 
 
 
 
 
 
Average shareholders' equity
$
3,442.6

 
$
3,343.2

Average non-controlling interest
(0.5
)
 
0.3

Average preference shares
(555.8
)
 
(555.8
)
Average ordinary shareholders' equity
$
2,886.3

 
$
2,787.7

Return on average equity:
 
 
 
 
Net income adjusted for preference share dividend and non-controlling interest
4.1
%
 
4.0
%
 
Operating income adjusted for preference share dividend and non-controlling interest
3.1
%
 
3.7
%
Annualized return on average equity:
 
 
 
 
Net income
16.4
%
 
16.0
%
 
Operating income
 
12.4
%
 
14.8
%
Components of return on average equity:
 
 
 
 
Return on average equity from underwriting activity (1)
2.3
%
 
2.6
%
 
Return on average equity from investment and other activity (2)
1.0
%
 
1.2
%
 
Pre-tax operating income return on average equity
3.3
%
 
3.8
%
 
Post-tax operating income return on average equity (3)
3.1
%
 
3.7
%
 
 
 
 
 
 
 
See page 22 for a reconciliation of non-GAAP financial measures to their most directly comparable GAAP financial measures.
(1) Calculated by using underwriting income.
(2) Calculated by using total other operating revenue and other income/(expense) adjusted for preference share dividends.
(3) Calculated by using operating income after-tax adjusted for preference share dividends.


7


ASPEN INSURANCE HOLDINGS LIMITED
 
 
Consolidated Underwriting Results by Operating Segment
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2015
 
Three Months Ended March 31, 2014
(in US$ millions except for percentages)
Reinsurance
 
Insurance
 
Total
 
Reinsurance
 
Insurance
 
Total
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross written premiums
$
484.8

 
$
434.4

 
$
919.2

 
$
472.2

 
$
383.3

 
$
855.5

Net written premiums
442.1

 
321.1

 
763.2

 
442.6

 
254.9

 
697.5

Gross earned premiums
265.8

 
415.1

 
680.9

 
278.5

 
373.6

 
652.1

Net earned premiums
249.4

 
344.2

 
593.6

 
266.7

 
299.8

 
566.5

Losses and loss adjustment expenses
105.5

 
200.6

 
306.1

 
110.4

 
177.7

 
288.1

Amortization of deferred policy acquisition costs
53.4

 
65.9

 
119.3

 
50.4

 
61.6

 
112.0

General and administrative expenses
32.4

 
55.3

 
87.7

 
32.8

 
45.9

 
78.7

Underwriting income
$
58.1

 
$
22.4

 
$
80.5

 
$
73.1

 
$
14.6

 
$
87.7

Net investment income
 
 
 
 
47.4

 
 
 
 
 
49.5

Net realized and unrealized investment gains (1)
 
 
 
 
39.7

 
 
 
 
 
8.3

Corporate expenses
 
 
 
 
(14.5
)
 
 
 
 
 
(13.9
)
Non-recurring corporate expenses
 
 
 
 
—

 
 
 
 
 
(3.0
)
Other expense
 
 
 
 
(1.6
)
 
 
 
 
 
(0.1
)
Interest expense
 
 
 
 
(7.4
)
 
 
 
 
 
(7.4
)
Net realized and unrealized foreign exchange (losses)/gains (2)
 
 
 
 
(11.0
)
 
 
 
 
 
3.1

Income before tax
 
 
 
 
$
133.1

 
 
 
 
 
$
124.2

Income tax expense
 
 
 
 
(5.1
)
 
 
 
 
 
(3.8
)
Net income
 
 
 
 
$
128.0

 
 
 
 
 
$
120.4

Ratios
 
 
 
 
 
 
 
 
 
 
 
Loss ratio
42.3
%
 
58.3
%
 
51.6
%
 
41.4
%
 
59.3
%
 
50.9
%
 Policy acquisition expense ratio
21.4
%
 
19.1
%
 
20.1
%
 
18.9
%
 
20.5
%
 
19.8
%
 General and administrative expense ratio (3)
13.0
%
 
16.1
%
 
17.2
%
 
12.3
%
 
15.3
%
 
16.9
%
 General and administrative expense ratio (excluding non-recurring corporate expenses)(3)
13.0
%
 
16.1
%
 
17.2
%
 
12.3
%
 
15.3
%
 
16.3
%
Expense ratio
34.4
%
 
35.2
%
 
37.3
%
 
31.2
%
 
35.8
%
 
36.7
%
Expense ratio (excluding non-recurring corporate expenses)
34.4
%
 
35.2
%
 
37.3
%
 
31.2
%
 
35.8
%
 
36.1
%
Combined ratio
76.7
%
 
93.5
%
 
88.9
%
 
72.6
%
 
95.1
%
 
87.6
%
Combined ratio (excluding non-recurring corporate expenses)
76.7
%
 
93.5
%
 
88.9
%
 
72.6
%
 
95.1
%
 
87.0
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1) Includes the net realized and unrealized gains/(losses) from interest rate swaps.
 
 
 
 
 
 
 
 
 
 
(2) Includes the net realized and unrealized gains/(losses) from foreign exchange contracts.
 
 
 
 
 
 
 
 
 
 
(3) The total group general and administrative expense ratio includes the impact from corporate expenses.
 
 
 
 
 
 
 
 

8


ASPEN INSURANCE HOLDINGS LIMITED
Reinsurance Segment - Quarterly Results
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(in US$ millions except for percentages)
 
Q1 2015
 
Q4 2014
 
Q3 2014
 
Q2 2014
 
Q1 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross written premiums
 
$
484.8

 
$
145.3

 
$
256.9

 
$
298.4

 
$
472.2

Net written premiums
 
442.1

 
143.6

 
250.9

 
286.9

 
442.6

Gross earned premiums
 
265.8

 
278.4

 
291.0

 
289.7

 
278.5

Net earned premiums
 
249.4

 
263.1

 
279.6

 
278.8

 
266.7

Net losses and loss adjustment expenses
 
105.5

 
130.4

 
132.0

 
125.0

 
110.4

Amortization of deferred policy acquisition costs
 
53.4

 
47.7

 
52.1

 
49.8

 
50.4

General and administrative expenses
 
32.4

 
39.4

 
38.4

 
35.8

 
32.8

Underwriting income
 
$
58.1

 
$
45.6

 
$
57.1

 
$
68.2

 
$
73.1

Ratios
 
 
 
 
 
 
 
 
 
 
Loss ratio
 
42.3
%
 
49.6
%
 
47.2
%
 
44.8
%
 
41.4
%
 Policy acquisition expense ratio
 
21.4
%
 
18.1
%
 
18.6
%
 
17.9
%
 
18.9
%
 General and administrative expense ratio
 
13.0
%
 
15.0
%
 
13.7
%
 
12.8
%
 
12.3
%
Expense ratio
 
34.4
%
 
33.1
%
 
32.3
%
 
30.7
%
 
31.2
%
Combined ratio
 
76.7
%
 
82.7
%
 
79.5
%
 
75.5
%
 
72.6
%


9


ASPEN INSURANCE HOLDINGS LIMITED
Insurance Segment - Quarterly Results
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(in US$ millions except for percentages)
 
Q1 2015
 
Q4 2014
 
Q3 2014
 
Q2 2014
 
Q1 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross written premiums
 
$
434.4

 
$
470.1

 
$
395.6

 
$
480.9

 
$
383.3

 
Net written premiums
 
321.1

 
410.4

 
326.4

 
399.5

 
254.9

 
Gross earned premiums
 
415.1

 
417.0

 
403.9

 
404.5

 
373.6

 
Net earned premiums
 
344.2

 
349.1

 
330.8

 
337.4

 
299.8

 
Net losses and loss adjustment expenses
 
200.6

 
209.2

 
210.7

 
212.1

 
177.7

 
Amortization of deferred policy acquisition costs
 
65.9

 
67.1

 
63.4

 
59.1

 
61.6

 
General and administrative expenses
 
55.3

 
62.9

 
45.6

 
51.1

 
45.9

 
Underwriting income
 
$
22.4

 
$
9.9

 
$
11.1

 
$
15.1

 
$
14.6

 
Ratios
 
 
 
 
 
 
 
 
 
 
 
Loss ratio
 
58.3
%
 
59.9
%
 
63.7
%
 
62.9
%
 
59.3
%
 
 Policy acquisition expense ratio
 
19.1
%
 
19.2
%
 
19.2
%
 
17.5
%
 
20.5
%
 
 General and administrative expense ratio
 
16.1
%
 
18.0
%
 
13.8
%
 
15.1
%
 
15.3
%
 
Expense ratio
 
35.2
%
 
37.2
%
 
33.0
%
 
32.6
%
 
35.8
%
 
Combined ratio
 
93.5
%
 
97.1
%
 
96.7
%
 
95.5
%
 
95.1
%
 


10


ASPEN INSURANCE HOLDINGS LIMITED
Written and Earned Premiums by Segment and Lines of Business
(in US$ millions)
 
 
 
 
 
 
 
 
 
 
Gross Written Premiums
 
Q1 2015
 
Q4 2014
 
Q3 2014
 
Q2 2014
 
Q1 2014
 
Reinsurance
 
 
 
 
 
 
 
 
 
 
 
Property Catastrophe Reinsurance
 
$
153.8

 
$
1.1

 
$
40.0

 
$
91.6

 
$
168.8

 
Other Property Reinsurance
 
109.9

 
55.4

 
95.4

 
89.8

 
102.4

 
Casualty Reinsurance
 
114.7

 
37.3

 
70.7

 
60.6

 
113.3

 
Specialty Reinsurance
 
106.4

 
51.5

 
50.8

 
56.4

 
87.7

 
Total Reinsurance
 
$
484.8

 
$
145.3

 
$
256.9

 
$
298.4

 
$
472.2

 
Insurance
 
 
 
 
 
 
 
 
 
 
 
Property and Casualty Insurance
 
$
213.4

 
$
202.5

 
$
200.9

 
$
221.3

 
$
176.3

 
Marine, Aviation and Energy Insurance
 
131.7

 
145.8

 
88.2

 
153.6

 
131.7

 
Financial and Professional Lines Insurance
 
89.3

 
121.8

 
106.5

 
106.0

 
75.3

 
Total Insurance
 
$
434.4

 
$
470.1

 
$
395.6

 
$
480.9

 
$
383.3

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Gross Written Premiums
 
$
919.2

 
$
615.4

 
$
652.5

 
$
779.3

 
$
855.5

Net Written Premiums
 
 
 
 
 
 
 
 
 
 
 
Reinsurance
 
 
 
 
 
 
 
 
 
 
 
Property Catastrophe Reinsurance
 
$
126.1

 
$
(0.1
)
 
$
37.4

 
$
80.9

 
$
147.9

 
Other Property Reinsurance
 
98.8

 
54.9

 
92.0

 
88.3

 
96.6

 
Casualty Reinsurance
 
113.8

 
37.4

 
70.7

 
61.5

 
111.4

 
Specialty Reinsurance
 
103.4

 
51.4

 
50.8

 
56.2

 
86.7

 
Total Reinsurance
 
$
442.1

 
$
143.6

 
$
250.9

 
$
286.9

 
$
442.6

 
Insurance
 
 
 
 
 
 
 
 
 
 
 
Property and Casualty Insurance
 
$
156.7

 
$
159.3

 
$
166.4

 
$
171.0

 
$
101.5

 
Marine, Aviation and Energy Insurance
 
120.5

 
137.6

 
64.2

 
131.1

 
119.5

 
Financial and Professional Lines Insurance
 
43.9

 
113.5

 
95.8

 
97.4

 
33.9

 
Total Insurance
 
$
321.1

 
$
410.4

 
$
326.4

 
$
399.5

 
$
254.9

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Net Written Premiums
 
$
763.2

 
$
554.0

 
$
577.3

 
$
686.4

 
$
697.5

Net Earned Premiums
 
 
 
 
 
 
 
 
 
 
 
Reinsurance
 
 
 
 
 
 
 
 
 
 
 
Property Catastrophe Reinsurance
 
$
57.1

 
$
60.0

 
$
62.5

 
$
62.7

 
$
62.4

 
Other Property Reinsurance
 
77.5

 
68.0

 
84.1

 
81.5

 
79.2

 
Casualty Reinsurance
 
57.8

 
75.4

 
75.0

 
78.8

 
72.2

 
Specialty Reinsurance
 
57.0

 
59.7

 
58.0

 
55.8

 
52.9

 
Total Reinsurance
 
$
249.4

 
$
263.1

 
$
279.6

 
$
278.8

 
$
266.7

 
Insurance
 
 
 
 
 
 
 
 
 
 
 
Property and Casualty Insurance
 
$
159.8

 
$
141.9

 
$
148.0

 
$
146.9

 
$
119.5

 
Marine, Aviation and Energy Insurance
 
99.4

 
111.4

 
107.2

 
119.9

 
115.1

 
Financial and Professional Lines Insurance
 
85.0

 
95.8

 
75.6

 
70.6

 
65.2

 
Total Insurance
 
$
344.2

 
$
349.1

 
$
330.8

 
$
337.4

 
$
299.8

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Net Earned Premiums
 
$
593.6

 
$
612.2

 
$
610.4

 
$
616.2

 
$
566.5


11


ASPEN INSURANCE HOLDINGS LIMITED
 
Consolidated Statements of Changes in Shareholders' Equity
 
 
 
Three Months Ended March 31,
(in US$ millions)
 
2015
 
2014
Ordinary shares
 
 
 
 
 
Beginning and end of period
 
$
0.1

 
$
0.1

Preference shares
 
 
 
 
 
Beginning and end of period
 
—

 
—

Non-controlling interest
 
 
 
 
 
Beginning of period
 
0.5

 
(0.3
)
 
Net change for the period
 
—

 
0.1

 
End of period
 
0.5

 
(0.2
)
Additional paid-in capital
 
 
 
 
 
Beginning of period
 
1,134.3

 
1,297.4

 
New shares issued
 
3.5

 
0.8

 
Ordinary shares repurchased
 
(36.5
)
 
(30.9
)
 
Share-based compensation
 
4.7

 
2.6

 
End of period
 
1,106.0

 
1,269.9

Retained earnings
 
 
 
 
 
Beginning of period
 
2,050.1

 
1,783.3

 
Net income for the period
 
128.0

 
120.4

 
Dividends paid on ordinary and preference shares
 
(21.9
)
 
(21.2
)
 
Proportion due to non-controlling interest
 
—

 
(0.1
)
 
End of period
 
2,156.2

 
1,882.4

Accumulated other comprehensive income:
 
 
 
 
Cumulative foreign currency translation adjustments, net of taxes:
 
 
 
 
 
Beginning of period
 
72.7

 
88.6

 
Change for the period
 
(26.1
)
 
(4.8
)
 
End of period
 
46.6

 
83.8

Loss on derivatives:
 
 
 
 
 
Beginning of period
 
(3.8
)
 
—

 
Net change from current period hedged transactions
 
(2.4
)
 
—

 
End of period
 
(6.2
)
 
—

Unrealized appreciation/(depreciation) on investments, net of taxes:
 
 
 
 
Beginning of period
 
165.4

 
130.5

 
Change for the period
 
(2.8
)
 
20.3

 
End of period
 
162.6

 
150.8

Total accumulated other comprehensive income
 
203.0

 
234.6

 
 
 
 
 
Total shareholders' equity
 
$
3,465.8

 
$
3,386.8

 
 
 

12


ASPEN INSURANCE HOLDINGS LIMITED
Consolidated Statements of Comprehensive Income
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended March 31,
(in US$ millions)
 
2015
 
2014
 
 
 
 
 
 
Net income adjusted for non-controlling interest
 
$
128.0

 
$
120.3

Other comprehensive income, net of taxes:
 
 
 
 
 
Available for sale investments:
 
 
 
 
 
    Reclassification adjustment for net realized (gains) included in net income
 
(32.3
)
 
(0.2
)
 
    Change in net unrealized gains on available for sale securities held
 
29.5

 
20.5

 
    Net change from current period hedged transactions
 
(2.4
)
 
—

 
Change in foreign currency translation adjustment
 
(26.1
)
 
(4.8
)
 
Other comprehensive (loss)/income
 
(31.3
)
 
15.5

Comprehensive income
 
$
96.7

 
$
135.8



13


ASPEN INSURANCE HOLDINGS LIMITED
Condensed Consolidated Statements of Cash Flows
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended March 31,
(in US$ millions)
 
2015
 
2014
 
 
 
 
 
 
 
Net cash from operating activities
 
$
66.2

 
$
211.9

Net cash from/(used in) investing activities
 
120.9

 
(12.1
)
Net cash (used in) financing activities
 
(119.8
)
 
(51.3
)
Effect of exchange rate movements on cash and cash equivalents
 
(19.9
)
 
1.6

Increase in cash and cash equivalents
 
47.4

 
150.1

Cash at beginning of period
 
1,178.5

 
1,293.6

Cash at end of period
 
$
1,225.9

 
$
1,443.7



14


ASPEN INSURANCE HOLDINGS LIMITED
 
 
Reserves for Losses and Loss Adjustment Expenses
 
 
 
 
 
 
 
 
(in US$ millions)
For the Three Months Ended March 31, 2015
 
For the Twelve Months Ended
December 31, 2014
 
 
 
 
 
 
Provision for losses and loss adjustment expenses at the start of the period
$
4,750.8

 
$
4,678.9

Reinsurance recoverables
(350.0
)
 
(332.7
)
Net loss and loss adjustment expenses at the start of the period
4,400.8

 
4,346.2

 
 
 
 
Net loss and loss adjustment expenses disposed
—

 
(24.2
)
Provision for losses and loss adjustment expenses for claims incurred
 
 
 
    Current period
333.6

 
1,411.6

    Prior period release
(27.5
)
 
(104.1
)
    Total incurred
306.1

 
1,307.5

 
 
 
 
Losses and loss adjustment expenses payments for claims incurred
(271.7
)
 
(1,107.7
)
 
 
 
 
Foreign exchange (gains)
(96.4
)
 
(121.0
)
 
 
 
 
Net loss and loss adjustment expenses reserves at the end of the period
4,338.8

 
4,400.8

Reinsurance recoverables on unpaid losses at the end of the period
360.1

 
350.0

Gross loss and loss adjustment expenses reserves at the end of the period
$
4,698.9

 
$
4,750.8



15


ASPEN INSURANCE HOLDINGS LIMITED
 
 
Reserves by Operating Segment
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
As at March 31, 2015
 
As at December 31, 2014
(in US$ millions)
Gross
 
Reinsurance Recoverables
 
Net
 
Gross
 
Reinsurance Recoverables
 
Net
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Reinsurance
$
2,447.3

 
$
(36.4
)
 
$
2,410.9

 
$
2,531.1

 
$
(37.8
)
 
$
2,493.3

Insurance
2,251.6

 
(323.7
)
 
1,927.9

 
2,219.7

 
(312.2
)
 
1,907.5

Total losses and loss adjustment expense reserves
$
4,698.9

 
$
(360.1
)
 
$
4,338.8

 
$
4,750.8

 
$
(350.0
)
 
$
4,400.8



16


ASPEN INSURANCE HOLDINGS LIMITED
Prior Year Reserve Releases
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(in US$ millions)
Three Months Ended March 31, 2015
 
Three Months Ended March 31, 2014
 
 
 
Gross
 
 Reinsurance Recoverables
 
Net
 
Gross
 
 Reinsurance Recoverables
 
Net
Reinsurance
$
14.5

 
$
(1.3
)
 
$
13.2

 
$
22.1

 
$
(0.9
)
 
$
21.2

Insurance
21.2

 
(6.9
)
 
14.3

 
0.6

 
6.4

 
7.0

Release in reserves for prior years during the period
$
35.7

 
$
(8.2
)
 
$
27.5

 
$
22.7

 
$
5.5

 
$
28.2

 
 
 
 
 
 
 
 
 
 
 
 
 
 


17


 
 
 
 
 
 
 
ASPEN INSURANCE HOLDINGS LIMITED
 
Worldwide Natural Catastrophe Exposures: Major Peril Zones as at April 1, 2015
 
 
 
 
 
 
1 in 100 year tolerance: 17.5% of total shareholders' equity
 
1 in 250 year tolerance: 25.0% of total shareholders' equity
 
 
 
 
 
 
 
 
 
Based on Shareholders' equity of $3,465.3 million (excluding non-controlling interest) at March 31, 2015. The estimates reflect Aspen's own view of the modelled maximum losses (“PMLs”) at the return periods shown which include input from various third party vendor models, our own proprietary adjustments to these models, and planned reinsurance purchases. Catastrophe loss experience may materially differ from the modelled PMLs due to limitations in one or more of the models or uncertainties in the application of policy terms and limits.



18


ASPEN INSURANCE HOLDINGS LIMITED
Consolidated Investment Portfolio
(in US$ millions)
 
Fair Market Value
 
 
March 31,
2015
 
December 31,
2014
 
September 30,
2014
 
June 30,
2014
 
March 31,
2014
Marketable Securities - Available For Sale
 
 
 
 
 
 
 
 
 
 
U.S. government securities
 
$
1,041.8

 
$
1,094.4

 
$
973.9

 
$
994.0

 
$
1,014.7

U.S. agency securities
 
182.9

 
197.4

 
201.9

 
205.0

 
245.2

Municipal securities
 
30.7

 
31.5

 
31.7

 
26.9

 
33.6

Corporate securities
 
2,333.6

 
2,319.4

 
2,278.4

 
2,244.9

 
2,154.1

Foreign government securities
 
637.7

 
665.7

 
752.6

 
766.5

 
735.0

Asset-backed securities
 
140.9

 
143.5

 
143.9

 
140.3

 
130.0

Bonds backed by foreign government
 
68.2

 
78.0

 
75.5

 
83.9

 
91.5

Mortgage-backed securities
 
1,104.0

 
1,100.1

 
1,039.9

 
1,065.3

 
1,117.6

  Total fixed income securities
 
5,539.8

 
5,630.0

 
5,497.8

 
5,526.8

 
5,521.7

Short-term investments
 
180.2

 
258.3

 
307.2

 
335.7

 
215.5

Equity securities
 
—

 
109.9

 
125.9

 
142.1

 
147.4

  Total Available For Sale
 
$
5,720.0

 
$
5,998.2

 
$
5,930.9

 
$
6,004.6

 
$
5,884.6

 
 
 
 
 
 
 
 
 
 
 
Marketable Securities - Trading
 
 
 
 
 
 
 
 
 
 
U.S. government securities
 
$
9.0

 
$
—

 
$
16.5

 
$
12.9

 
$
16.8

U.S. agency securities
 
0.2

 
0.2

 
0.2

 
0.2

 
0.2

Municipal securities
 
0.5

 
1.1

 
1.1

 
1.2

 
1.2

Corporate securities
 
554.1

 
529.8

 
521.1

 
524.5

 
494.8

Foreign government securities
 
133.7

 
140.1

 
139.2

 
139.3

 
136.4

Asset-backed securities
 
16.0

 
14.7

 
15.2

 
11.4

 
12.3

Bank loans
 
85.9

 
85.1

 
80.8

 
81.4

 
72.7

  Total fixed income securities
 
799.4

 
771.0

 
774.1

 
770.9

 
734.4

Short-term investments
 
0.7

 
0.2

 
7.0

 
14.0

 
—

Equity securities
 
719.0

 
616.0

 
521.1

 
432.1

 
360.4

Catastrophe bonds
 
32.8

 
34.8

 
32.2

 
30.0

 
18.0

 Total Trading
 
$
1,551.9

 
$
1,422.0

 
$
1,334.4

 
$
1,247.0

 
$
1,112.8

 
 
 
 
 
 
 
 
 
 
 
Other Investments
 
$
9.5

 
$
8.7

 
$
8.7

 
$
8.7

 
$
8.7

 
 
 
 
 
 
 
 
 
 
 
Cash
 
1,225.9

 
1,178.5

 
1,289.1

 
1,345.2

 
1,443.7

Accrued interest
 
43.9

 
47.2

 
45.7

 
49.7

 
46.5

 
  Total Cash and Accrued Interest
 
$
1,269.8

 
$
1,225.7

 
$
1,334.8

 
$
1,394.9

 
$
1,490.2

 
 
 
 
 
 
 
 
 
 
 
 
 
  Total Cash and Investments
 
$
8,551.2

 
$
8,654.6

 
$
8,608.8

 
$
8,655.2

 
$
8,496.3


19


ASPEN INSURANCE HOLDINGS LIMITED
Investment Analysis
 
 
 
 
 
 
 
 
 
 
 
(in US$ millions except for percentages)
Q1 2015
 
Q4 2014
 
Q3 2014
 
Q2 2014
 
Q1 2014
 
 
 
 
 
 
 
 
 
 
 
Net investment income from fixed income investments and cash
$
41.2

 
$
43.6

 
$
43.5

 
$
42.0

 
$
44.1

Net investment income from equity securities
6.2

 
3.1

 
4.5

 
4.1

 
5.4

Net investment income
47.4

 
46.7

 
48.0

 
46.1

 
49.5

 
 
 
 
 
 
 
 
 
 
Net realized and unrealized investment gains/(losses) excluding the interest rate swaps (1)
42.9

 
3.5

 
(17.5
)
 
31.3

 
10.7

Net realized investment (losses)/gains from the interest rate swaps
(3.2
)
 
(2.7
)
 
0.9

 
(3.5
)
 
(1.9
)
Other-than-temporary impairment charges
—

 
(1.7
)
 
—

 
(0.7
)
 
—

Net realized and unrealized investment gains/(losses) (1)
39.7

 
(0.9
)
 
(16.6
)
 
27.1

 
8.8

 
 
 
 
 
 
 
 
 
 
Change in unrealized gains/(losses) on available for sale investments (gross of tax) (1)
—

 
21.2

 
(39.6
)
 
33.8

 
22.6

Total return/(loss) on investments (1)
$
87.1

 
$
67.0

 
$
(8.2
)
 
$
107.0

 
$
80.9

 
 
 
 
 
 
 
 
 
 
 
Portfolio Characteristics
 
 
 
 
 
 
 
 
 
Fixed income portfolio book yield (excluding the impact of the interest rate swaps)
2.56
%
 
2.65
%
 
2.65
%
 
2.61
%
 
2.68
%
Fixed income portfolio duration (excluding the impact of the interest rate swaps)
3.5 years
 
3.5 years
 
3.5 years
 
3.4 years
 
3.5 years
 
 
 
 
 
 
 
 
 
 
 
(1) Adjusted for a representation of foreign exchange in relation to investment securities from realized and unrealized exchange gains/(losses) to realized and unrealized investment gains/(losses).


20


ASPEN INSURANCE HOLDINGS LIMITED
Book Value Per Ordinary Share
 
 
 
 
 
 
 
 
 
 
 
 
 
(in US$ millions except for number of shares and per share amounts)
 
March 31,
2015
 
December 31, 2014
 
September 30, 2014
 
June 30, 2014
 
March 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
Net assets
 
$
3,465.8

 
$
3,419.3

 
$
3,444.5

 
$
3,554.2

 
$
3,386.8

Less: Preference shares
 
(555.8
)
 
(555.8
)
 
(555.8
)
 
(555.8
)
 
(555.8
)
Less: Non-controlling interest
 
 
(0.5
)
 
(0.5
)
 
0.3

 
0.2

 
0.2

Total
 
 
 
$
2,909.5

 
$
2,863.0

 
$
2,889.0

 
$
2,998.6

 
$
2,831.2

 
 
 
 
 
 
 
 
 
 
 
 
 
Ordinary shares outstanding (in millions)
 
61.723

 
62.017

 
63.350

 
65.463

 
65.419

Ordinary shares and dilutive potential ordinary shares (in millions)
 
63.227

 
63.445

 
64.783

 
66.871

 
66.281

 
 
 
 
 
 
 
 
 
 
 
 
 
Book value per ordinary share
 
$
47.14

 
$
46.16

 
$
45.60

 
$
45.81

 
$
43.28

Diluted book value per ordinary share
 
$
46.02

 
$
45.13

 
$
44.60

 
$
44.84

 
$
42.72

 
 
 
 
 
 
 
 
 
 
 
 
 
The dilutive effect of options has been calculated using the treasury stock method. The treasury stock method assumes that the proceeds received from the exercise of options will be used to purchase the Company's ordinary shares at the average market price during the period of calculation.
 
 
 
 
 
 
 
 
 
 
 
 
 

21


ASPEN INSURANCE HOLDINGS LIMITED
Operating Income Reconciliation
 
 
 
 
 
 
 
 
Net income is adjusted to exclude after-tax change in net foreign exchange gains and losses, realized gains and losses in investments and non-recurring items.
 
 
Three Months Ended
(in US$ millions except where stated)
 
March 31, 2015
 
March 31, 2014
 
 
 
 
 
Net income as reported
 
$
128.0

 
$
120.4

Net change attributable to non-controlling interest
 
—

 
(0.1
)
Preference share dividends
 
(9.5
)
 
(9.5
)
Net income available to ordinary shareholders
 
118.5

 
110.8

Add (deduct) after tax income:
 
 
 
 
 
Net foreign exchange losses
 
9.8

 
(2.6
)
 
Net realized (gains) on investments
 
(39.8
)
 
(8.1
)
 
Non-recurring corporate expenses
 
—

 
3.0

Operating income after tax available to ordinary shareholders
 
88.5

 
103.1

 
 
 
 
 
Tax expense on operating income
 
6.4

 
3.1

Operating income before tax available to ordinary shareholders
 
$
94.9

 
$
106.2

 
 
 
 
 
Basic earnings per ordinary share
 
 
 
 
Net income adjusted for preference share dividends and non-controlling interest
 
$
1.91

 
$
1.70

Add (deduct) after tax income:
 
 
 
 
 
Net foreign exchange losses
 
0.16

 
(0.04
)
 
Net realized (gains) on investments
 
(0.64
)
 
(0.12
)
 
Non-recurring corporate expenses
 
—

 
0.05

Operating income adjusted for preference shares dividends and non-controlling interest
 
$
1.43

 
$
1.59

 
 
 
 
 
Diluted earnings per ordinary share
 
 
 
 
Net income adjusted for preference share dividends and non-controlling interest
 
$
1.87

 
$
1.66

Add (deduct) after tax income:
 
 
 
 
 
Net foreign exchange losses
 
0.15

 
(0.04
)
 
Net realized (gains) on investments
 
(0.63
)
 
(0.12
)
 
Non-recurring corporate expenses
 
—

 
0.05

Operating income adjusted for preference shares dividends and non-controlling interest
 
$
1.39

 
$
1.55


22