Company: KG
Filing Date: 2025-08-15
Form Type: 10-Q
Source: 0002055116-25-000018
Chunk: 301

Company: Kestrel Group Ltd
Filing Date: 2025-08-15
Form: 10-Q
Item: Item 8
Chunk 301
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 our fixed income investments were comprised of floating rate securities which are detailed in the table below:

June 30, 2025December 31, 2024($ in thousands)Fair Value% of TotalFair Value% of TotalFloating rate securitiesCollateralized loan obligations$68,686 19.1 %$— — %Total floating rate AFS fixed maturities at fair value68,686 19.1 %— — %Loan to related party107,490 29.9 %— — %Total floating rate securities$176,176 49.0 %$— — % Total fixed income investments at fair value (1)$359,044 $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 June 30, 2025, 100.0% of the Company’s U.S. agency bond holdings are mortgage-backed. Total U.S. agency MBS comprise 10.9% of our fixed maturity investment portfolio at June 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 June 30, 2025 were as follows: 

June 30, 2025($ in thousands)Fair Value% of TotalFNMA – fixed rate$12,950 57.7 %FHLMC – fixed rate7,489 33.3 %GNMA – variable rate2,028 9.0 %Total U.S. Agency MBS$22,467 100.0 %

At June 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