Company: KG
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0001628280-25-049606
Chunk: 188

Company: Kestrel Group Ltd
Filing Date: 2025-11-05
Form: 10-Q
Item: Item 8
Chunk 188
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 higher or lower valuation at the reporting date. Due to significant unobservable inputs in these valuations, the Company classifies the fair values as Level 3 within the fair value hierarchy.The Company has elected the fair value option for certain of its equity method investments at the acquisition date. The fair values for these investments are presented in other investments and are estimated using quarterly unaudited capital and financial statements provided by the investee or recent private market transactions, where applicable. Any changes to the financial information provided by the investee could result in a significantly higher or lower valuation at the reporting date. Due to significant unobservable inputs in valuations, the Company classifies the fair values as Level 3 within the fair value hierarchy.

 31

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)The fair value of underwriting-related derivative instruments of $3,984 is determined using a discounted cash flow model in which the Company examines current market conditions, historical results as well as contract specific information that may impact future cash flows in order to assess the reasonableness of inputs used in the valuation model. Due to significant unobservable inputs in these valuations, the Company classifies the fair values as Level 3 within the fair value hierarchy.The following table provides a summary of quantitative information regarding the significant unobservable inputs used in determining the fair value of other investments measured at fair value on a recurring basis under the Level 3 classification at September 30, 2025: Fair ValueValuation TechniqueUnobservable InputsRangePrivately held equity investments - common shares$5,340 Quarterly financial statementsPrice/book ratios of comparable public companies   Privately held equity investments - preferred shares10,741 Quarterly financial statementsPrivately calculated enterprise valuationsOther investments - Investments in direct lending entities53,616 Quarterly financial statementsPrivately calculated enterprise valuationsEquity method investments measured at fair value option74,611 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, 202