Company: KG
Filing Date: 2025-08-15
Form Type: 10-Q
Source: 0002055116-25-000018
Chunk: 32

Company: Kestrel Group Ltd
Filing Date: 2025-08-15
Form: 10-Q
Item: Item 1
Chunk 32
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 or MoreTotalJune 30, 2025Fair valueUnrealized lossesFair valueUnrealized lossesFair valueUnrealized lossesU.S. treasury bonds$20,855 $— $— $— $20,855 $— U.S. agency bonds – mortgage-backed381 (2)— — 381 (2)Non-U.S. government bonds38,907 (31)— — 38,907 (31)Collateralized loan obligations39,129 (5)— — 39,129 (5)Corporate bonds7,454 (3)— — 7,454 (3)Total temporarily impaired fixed maturities$106,726 $(41)$— $— $106,726 $(41)At June 30, 2025, there were 19 securities in an unrealized loss position for less than 12 months with a fair value of $106,726 and unrealized losses of $41.

 22

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)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). 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 the U.S. government are not analyzed for credit losses. The Company has concluded