Company: KG
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0001628280-25-049606
Chunk: 186

Company: Kestrel Group Ltd
Filing Date: 2025-11-05
Form: 10-Q
Item: Item 8
Chunk 186
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decrease) in this input in isolation may result in a significantly lower (higher) fair value measurement for the derivative contract. As the significant inputs used to price these derivatives are unobservable, the fair values of this contract is classified as Level 3 in the fair value hierarchy.

 30

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

5. Fair Value of Financial Instruments (continued)(b) Fair Value HierarchyThe Company’s estimates of fair value for financial assets and financial liabilities are based on the framework established in ASC 820. The framework is based on the inputs used in valuation and gives the highest priority to quoted prices in active markets and requires that observable inputs be used in the valuation methodology whenever available. In determining the level of the hierarchy in which the estimate is disclosed, the highest priority is given to unadjusted quoted prices in active trading markets and the lowest priority to unobservable inputs that reflect significant market assumptions. At September 30, 2025, the Company classified its financial instruments measured at fair value on a recurring basis in the following valuation hierarchy:September 30, 2025Quoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs (Level 2)Significant Unobservable Inputs (Level 3)Fair Value Based on NAV Practical ExpedientTotal Fair ValueFixed maturitiesU.S. treasury bonds$38,730 $— $— $— $38,730 U.S. agency bonds – mortgage-backed— 22,122 — — 22,122 Non-U.S. government bonds— 52,623 — — 52,623 Collateralized loan obligations— 68,439 — — 68,439 Corporate bonds— 16,744 — — 16,744 Equity securities— — 11,350 — 11,350 Other investments— — 132,958 38,833 171,791 Total investments$38,730 $159,928 $144,308 $38,833 $381,799 As a percentage of total assets3.4%14.1%12.8%3.4%33.7%Underwriting-related derivative liability$— $— $3,984 $—