Company: KG
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0001628280-25-049606
Chunk: 174

Company: Kestrel Group Ltd
Filing Date: 2025-11-05
Form: 10-Q
Item: Item 8
Chunk 174
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,430 22,122 Collateralized loan obligations68,366 68,439 Total fixed maturity investments$197,941 $198,658 The following tables summarize fixed maturities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position: Less than 12 Months12 Months or MoreTotalSeptember 30, 2025Fair valueUnrealized lossesFair valueUnrealized lossesFair valueUnrealized lossesNon-U.S. government bonds$52,623 $(57)$— $— $52,623 $(57)Collateralized loan obligations9,374 (7)— — 9,374 (7)Total temporarily impaired fixed maturities$61,997 $(64)$— $— $61,997 $(64)At September 30, 2025, there were 12 securities in an unrealized loss position for less than 12 months with a fair value of $61,997 and unrealized losses of $64.Allowance for Expected Credit Losses & Non-Credit Related Impairment CostsThe Company evaluates AFS securities for impairment when fair value is below amortized cost on a quarterly basis. If the Company intends to sell or will be required to sell the security before its anticipated recovery, the full amount of the impairment loss is charged to net income (loss) and included in net investment gains (losses). If the Company does not intend to sell or will not be required to sell the security before its anticipated recovery, an allowance for expected credit losses is established and the portion of the loss relating to credit factors is recorded in net income (loss). 

 23

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

4. Investments (continued)The non-credit impairment amount of the loss (which could be related to interest 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