Company: KG
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0001628280-25-049606
Chunk: 118

Company: Kestrel Group Ltd
Filing Date: 2025-11-05
Form: 10-Q
Item: Item 1
Chunk 118
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 the value of our fixed income securities and reduce our shareholders' equity, we attempt to maintain the duration of our fixed maturity investment portfolio combined with our cash and cash equivalents, both restricted and unrestricted, within a reasonable range of the duration of our loss reserves. 

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At September 30, 2025, these respective durations in years were as follows:

September 30, 2025Fixed maturities and cash and cash equivalents0.9Reserve for loss and LAE - gross of LPT/ADC Agreement reserves5.9Reserve for loss and LAE - net of LPT/ADC Agreement reserves2.9

During the nine months ended September 30, 2025, the weighted average duration of our fixed maturity investment portfolio was 0.9 years while the duration for gross reserve for loss and LAE was 5.9 years. The differential in duration between these assets and liabilities may fluctuate over time and in the case of fixed maturities, historically has been affected by factors such as market conditions, changes in asset mix and prepayment speeds in the case of both our U.S. agency mortgage-backed securities ("Agency MBS") and commercial mortgage-backed securities held. 

At September 30, 2025, the duration of our loss reserves net of the LPT/ADC Agreement was higher than the duration of our fixed maturity investment portfolio. To limit our exposure to unexpected interest rate increases that could reduce the value of our fixed maturity securities and reduce our shareholders' equity, the Company holds floating rate securities whose fair values are less sensitive to interest rates.  At September 30, 2025, 48.2% of our fixed income investments were comprised of floating rate securities which are detailed in the table below:

September 30, 2025December 31, 2024($ in thousands)Fair Value% of TotalFair Value% of TotalFloating rate securitiesCollateralized loan obligations$68,439 19.4 %$— — %Total floating rate AFS fixed maturities at fair value68,439 19.4 %— — %Loan to related party101,689 28.8 %— — %Total floating rate securities$170,128 48.2 %$— — % Total fixed income investments at fair value (1)$352,812 $4,286 

(1) Total fixed income investments at fair value include AFS fixed maturities