Company: KG
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0001628280-25-049606
Chunk: 319

Company: Kestrel Group Ltd
Filing Date: 2025-11-05
Form: 10-Q
Item: Item 2
Chunk 319
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 value (1)$352,812 $4,286 

(1) Total fixed income investments at fair value include AFS fixed maturities, cash and restricted cash, funds withheld receivable, and net loan receivable from related party.

At September 30, 2025, 100.0% of the Company’s U.S. agency bond holdings are mortgage-backed. Total U.S. agency MBS comprise 11.1% of our fixed maturity investment portfolio at September 30, 2025. Given their relative size to our total investments, if faster prepayment patterns were to occur over an extended period of time, this could potentially limit the growth in our investment income in certain circumstances or reduce the total amount of investment income we earn. The fair value of our U.S. Agency MBS holdings at September 30, 2025 were as follows: 

September 30, 2025($ in thousands)Fair Value% of TotalFNMA – fixed rate$12,805 57.9 %FHLMC – fixed rate7,338 33.2 %GNMA – variable rate1,979 8.9 %Total U.S. Agency MBS$22,122 100.0 %

At September 30, 2025, 100.0% of our fixed maturity investments consisted of investment grade securities. We define a security as being below investment grade if it has an S&P credit rating of BB+ or equivalent, or less. Please see Part I, Item 1 - Notes to Condensed Consolidated Financial Statements (unaudited) Note 4. Investments for additional information on the credit rating of our fixed income investment portfolio. Credit ratings below are assigned by S&P, or an equivalent rating agency. The security holdings by sector and financial strength rating of our corporate bond holdings at September 30, 2025 were as follows:

RatingsSeptember 30, 2025A+, A, A-BBB+, BBB, BBB-Fair Value% of Corporate bonds portfolioCorporate bonds($ in thousands)Basic Materials— %35.0 %$5,860 35.0 %Consumer17.5 %— %2,930 17.5 %Financial Institutions44.5 %3.0 %7,954 47.5 %Total 62.0 %38.0 %$16,744 100.0 %