Company: KG
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0001628280-25-049606
Chunk: 47

Company: Kestrel Group Ltd
Filing Date: 2025-11-05
Form: 10-Q
Item: Item 1
Chunk 47
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,611 Quarterly financial statementsPrivately calculated enterprise valuationsTotal Level 3 investments$144,308  Underwriting-related derivative liability$3,984 Discounted cash flowsDuration matched discount rates5.0%to6.0%The following table shows the reconciliation of beginning and ending balances for investments measured at fair value on a recurring basis using Level 3 inputs for the three and nine months ended September 30, 2025, respectively. The Company includes any related interest and dividend income in net investment income and thus are excluded from the reconciliation in the table below:For the Three Months Ended September 30,For the Nine Months Ended September 30, 20252025Balance - beginning of period$138,919 $— Acquired Level 3 investments— 137,188 Purchases2,458 4,181 Sales(574)(737)Net realized and unrealized gains during the period3,505 3,676 Total Level 3 investments - end of period$144,308 $144,308 (d) Financial Instruments Disclosed, But Not Carried, at Fair ValueThe fair value of financial instruments accounting guidance also applies to financial instruments disclosed, but not carried, at fair value, except for certain financial instruments related to insurance contracts. At September 30, 2025, the carrying values of cash equivalents (including restricted amounts), accrued investment income, reinsurance balances receivable and certain other assets and liabilities approximate fair values due to their inherent short duration. As these financial instruments are not actively traded, the fair values of these financial instruments are classified as Level 2 in the fair value hierarchy.At September 30, 2025, the carrying value of the net loan receivable from related party approximates fair value. The fair value of the net loan receivable is primarily determined by estimating expected future cash flows and discounting them using current interest rates for similar loans with similar credit risk. As the net loan receivable from related party is not actively traded, its fair value is classified as Level 3 in the fair value hierarchy.The fair values of the Company's outstanding Senior Notes (as defined in Note 7. Long-Term Debt) are based on indicative market pricing obtained from a third-party pricing service which uses observable market inputs, and therefore the fair values of these liabilities are classified as Level 2 in the fair value hierarchy. 

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KESTREL GROUP LTD NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (