Company: KG
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0001628280-25-049606
Chunk: 258

Company: Kestrel Group Ltd
Filing Date: 2025-11-05
Form: 10-Q
Item: Item 8
Chunk 258
---
 Amortized CostGross Unrealized GainsGross Unrealized LossesFair ValueAverage yield(1)Average duration(2)($ in thousands)U.S. treasury bonds$38,729 $1 $— $38,730 4.0 %0.2 U.S. agency bonds – mortgage-backed21,430 692 — 22,122 4.6 %6.1 Non-U.S. government bonds52,680 — (57)52,623 2.0 %0.9 Collateralized loan obligations68,366 80 (7)68,439 3.0 %0.3 Corporate bonds16,736 8 — 16,744 1.1 %1.3 Total fixed maturities197,941 781 (64)198,658 3.0 %1.1 Cash and cash equivalents40,524 — — 40,524 0.3 %0.0 Total$238,465 $781 $(64)$239,182 2.5 %0.9 

December 31, 2024Original or Amortized CostGross Unrealized GainsGross Unrealized LossesFair ValueAverage yield(1)Average duration(2)($ in thousands)Cash and cash equivalents$4,286 $— $— $4,286 4.3 %0.0 Total$4,286 $— $— $4,286 4.3 %0.0 

(1)    Average yield is calculated by dividing annualized investment income for each sub-component of fixed maturity securities and cash and cash equivalents (including amortization of premium or discount) by amortized cost.

(2)    Average duration in years.

During the nine months ended September 30, 2025, the yield on the 10-year U.S. Treasury bond decreased by 42 basis points to 4.16%. The 10-year U.S. Treasury rate is the key risk-free determinant in the fair value of many of the fixed maturity securities in our portfolio. The decrease in risk-free rates during the nine months ended September 30, 2025 generated net unrealized gains of $0.7 million on our fixed maturity investment portfolio which increased our book value per common share by $0