Company: KG
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0001628280-25-049606
Chunk: 33

Company: Kestrel Group Ltd
Filing Date: 2025-11-05
Form: 10-Q
Item: Item 1
Chunk 33
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 rates and/or market conditions) is recognized in other comprehensive income. To estimate the allowance for expected credit losses for most of the AFS securities, the Company analyzes projected cash flows which are primarily driven by assumptions regarding loss severity, probability of default and projected recovery rates. The Company's determination of default and loss severity rates are based on credit rating, credit analysis and macroeconomic forecasts. Unrealized losses on securities issued or backed, either explicitly or implicitly by the U.S. government are not analyzed for credit losses. The Company has concluded that any possibility of a credit loss on these securities is highly unlikely due to the explicit U.S. government guarantee related to certain securities (e.g., Government National Mortgage Association issuances) and the implicit guarantee related to other securities that has been validated by past actions (e.g., U.S. government bailout of Federal National Mortgage Association and Federal Home Loan Mortgage Corporation during the 2008 credit crisis). Although these securities are not analyzed for credit losses, they are evaluated for impairment based on the Company's intention to sell and likely requirement to sell. Based on the Company's analysis at September 30, 2025, net unrealized gains on the Company’s AFS fixed maturity securities were due to non-credit factors and were expected to be recovered as the related securities approach maturity. At September 30, 2025, the Company did not intend to sell the securities in an unrealized loss position and it is not more likely than not that the Company will be required to sell these securities before the anticipated recovery of their amortized costs. Therefore, there was no allowance recorded for expected credit losses on AFS securities for the three and nine months ended September 30, 2025. The following tables summarize the credit ratings of our fixed maturities as at September 30, 2025:September 30, 2025Amortized costFair value% of Total fair valueU.S. treasury bonds$38,729 $38,730 19.5 %U.S. agency bonds – mortgage-backed21,430 22,122 11.1 %AAA79,908 79,965 40.3 %AA+, AA, AA-28,437 28,422 14.3 %A+, A, A-23,073 23,050 11.6 %BBB+, BBB, BBB-6,364 6,369 3.2 %Total fixed maturities (1)$197,941