Company: KG
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0001628280-25-049606
Chunk: 261

Company: Kestrel Group Ltd
Filing Date: 2025-11-05
Form: 10-Q
Item: Item 8
Chunk 261
---
 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 %

 72

Ratings(1)

The table below includes the Company’s four largest corporate holdings at fair value and as a percentage of all fixed income securities held as at September 30, 2025. The Company's four largest corporate holdings are 100.0% euro denominated, with 17.5% in the Consumer Sector and 47.5% in the Financial Institutions sector. 

September 30, 2025Fair Value% of HoldingsRating(1)($ in thousands)Chubb Ina Holdings Inc., 1.55%, Due 3/15/2028