Company: KG
Filing Date: 2025-08-15
Form Type: 10-Q
Source: 0002055116-25-000018
Chunk: 45

Company: Kestrel Group Ltd
Filing Date: 2025-08-15
Form: 10-Q
Item: Item 1
Chunk 45
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 active markets. Since fixed maturities other than U.S. treasury bonds generally do not trade actively on a daily basis, the Pricing Service prepares estimates of fair value measurements using relevant market data, benchmark curves, sector groupings and matrix pricing and these have been classified as Level 2 within the fair value hierarchy. At June 30, 2025, the Company did not adjust any pricing provided to it based on the review performed by its investment managers. There were no transfers to or from Level 3 during the three and six months ended June 30, 2025, respectively.(c) Level 3 Financial InstrumentsAt June 30, 2025, the Company holds Level 3 financial instruments which currently consist of alternative investments of $138,919 and an underwriting-related derivative liability of $3,984 on a reinsurance contract written by GLS which is included in accrued expenses and other liabilities. The Level 3 investments include collateralized investments in direct lending entities of $49,978 at June 30, 2025 which are carried at fair market value using significant unobservable inputs. These direct loans are illiquid and require long-term capital commitments, and so significant judgment was used in its valuation. Therefore the Company classifies its fair value as Level 3 within the fair value hierarchy. The fair values for equity securities of $11,191 are estimated using quarterly unaudited capital and financial statements provided by the investee or recent private market transactions, where applicable. Any changes to the financial information provided by the investee could result in a significantly higher or lower valuation at the reporting date. Due to significant unobservable inputs in these valuations, the Company classifies the fair values as Level 3 within the fair value hierarchy. The Company has elected the fair value option for certain of its equity method investments at the acquisition date. The fair values for these investments are presented in other investments and are estimated using quarterly unaudited capital and financial statements provided by the investee or recent private market transactions, where applicable. Any changes to the financial information provided by the investee could result in a significantly higher or lower valuation at the reporting date. 

 30

KESTREL GROUP LTD NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(in thousands of U.S. dollars, except share and per share data)

5. Fair Value of Financial Instruments (continued)Due to significant unobservable inputs in these valuations, the Company classifies the fair values as Level 3 within