Mount Logan Capital Inc.MLCI

Mount Logan Capital Inc. Fair Value Disclosure

10-KFiled Mar 19, 202614 min read
Note 9. Fair value measurements
The following tables summarize the valuation of assets and liabilities measured at fair value by fair value hierarchy. Investments classified as Equity Method for which the Fair Value Option (“FVO”) has not been elected have been excluded from the table below.
Fair Value Measurements
December 31, 2025Level 1Level 2Level 3NAVTotal
Financial assets
Asset Management
Equity securities$3,834 $91 $6,484 $— $10,409 
Derivatives— — 13 — 13 
Other invested assets— — 72 — 72 
Total financial assets — Asset Management3,834 91 6,569 — 10,494 
Insurance Solutions
Debt securities:
U.S. government and agency— 10,348 — — 10,348 
U.S. state, territories and municipalities— 5,354 — — 5,354 
Other government and agency— 2,475 — — 2,475 
Corporate— 261,039 10,149 — 271,188 
Asset and mortgage-backed securities— 323,246 19,427 — 342,673 
Corporate loans— 7,499 116,568 — 124,067 
Equity securities7,644 2,246 3,240 1,923 15,053 
Other invested assets— 51 5,637 299 5,987 
Total financial assets — Insurance Solutions7,644 612,258 155,021 2,222 777,145 
Corporate loans of consolidated VIEs— — 119,731 — 119,731 
Equity of consolidated VIEs— — 949 — 949 
Total financial assets including consolidated VIEs7,644 612,258 275,701 2,222 897,825 
Derivatives— 481 — — 481 
Total financial assets$11,478 $612,830 $282,270 $2,222 $908,800 
Financial liabilities
Insurance Solutions
Ceded reinsurance - embedded derivative— 29,650 — — 29,650 
Interest rate swaps— 1,388 — — 1,388 
Total financial liabilities — Insurance Solutions— 31,038 — — 31,038 
Total financial liabilities$— $31,038 $— $— $31,038 
Fair Value Measurements
December 31, 2024Level 1Level 2Level 3NAVTotal
Financial assets
Asset Management
Equity securities$1,777 $— $499 $— $2,276 
Total financial assets — Asset Management1,777 — 499 — 2,276 
Insurance Solutions
Debt securities:
U.S. government and agency— 8,075 — — 8,075 
U.S. state, territories and municipalities— 5,252 — — 5,252 
Other government and agency— 2,369 — — 2,369 
Corporate— 226,249 — — 226,249 
Asset and mortgage-backed securities— 364,875 8,641 — 373,516 
Corporate loans— — 114,734 — 114,734 
Equity securities310 11,134 2,918 2,042 16,404 
Other invested assets— — 4,575 — 4,575 
Total financial assets — Insurance Solutions310 617,954 130,868 2,042 751,174 
Corporate loans of consolidated VIEs— — 125,757 — 125,757 
Equity securities of consolidated VIEs— — 141 — 141 
Total financial assets including consolidated VIEs310 617,954 256,766 2,042 877,072 
Total financial assets$2,087 $617,954 $257,265 $2,042 $879,348 
Financial liabilities
Asset Management
Debt obligations— — 1,471 — 1,471 
Total financial liabilities — Asset Management— — 1,471 — 1,471 
Insurance Solutions
Ceded reinsurance - embedded derivative— 34,770 — — 34,770 
Interest rate swaps— 5,192 — — 5,192 
Total financial liabilities — Insurance Solutions— 39,962 — — 39,962 
Total financial liabilities$— $39,962 $1,471 $— $41,433 
The availability of observable inputs can vary depending on the financial asset and is affected by a wide variety of factors, including, for example, the type of instrument, whether the instrument has recently been issued, whether the instrument is traded on an active exchange or in the secondary market, and current market conditions. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires additional judgment. Accordingly, the degree of judgment exercised by the Company in determining fair value is greatest for instruments categorized as Level 3. The variability and availability of the observable inputs affected by the factors described above may cause transfers between Levels 1, 2, and 3, as discussed further below.

Transfers between level 1 and level 2
The Company records transfers of assets between Level 1 and Level 2 at their fair values at the end of each reporting period. Assets are transferred out of Level 1 when they are no longer transacted with sufficient frequency and volume in an active market. Conversely, assets are transferred from Level 2 to Level 1 when transaction volume and frequency are indicative of an active market. During the year ended December 31, 2025 and December 31, 2024, there were no assets transferred between Level 1 and Level 2.

Transfers between level 1 or 2 and level 3
The Company records transfers of assets between Level 1 or 2 and Level 3 at the end of each reporting period. Assets are transferred into Level 3 when there is a lack of observable valuation inputs.

Conversely, assets are transferred out of Level 3 when valuation inputs become observable. Whether the assets are transferred into Level 1 or 2 will depend on whether the prices are unadjusted and quoted in an active market.

The following tables summarize changes in the Company’s investment portfolio measured and reporting at fair value for which Level 3 inputs were used in determining fair value:
Net Change in Unrealized Appreciation (Depreciation)
Change in unrealized gains (losses) included in income on Level 3 assets and liabilities still heldChange in unrealized gains (losses) included in OCI on Level 3 assets and liabilities still held
PurchasesSales and repaymentsNet realized gain (loss)Included in incomeIncluded in OCI
Transfer in ¹
Transfer out ¹
Year Ended December 31, 2025Beginning BalanceEnding Balance
Financial assets
Asset Management
Equity securities$499 $5,946 $(1,341)$— $1,380 $— $— $— $6,484 $1,409 $— 
Derivatives— 11 — — 2 — — — 13 2 — 
Other invested assets — 72 — — — — — — 72 — — 
Total assets — Asset Management499 6,029 (1,341)— 1,382 — — — 6,569 1,411 — 
Insurance Solutions
Debt securities:
Corporate— — — — — 149 10,000 — 10,149 — 149 
Asset and mortgage-backed securities8,641 756 (6,280)— (59)356 16,013 — 19,427 — 356 
Corporate loans114,734 19,678 (67,820)(4)1,858 — 48,122 — 116,568 1,834 — 
Equity securities2,918 — — — (43)— 365 — 3,240 (43)— 
Other invested assets 4,575 19 (4,433)(745)5,235 (135)1,121 — 5,637 1,016 (135)
Total assets — Insurance Solutions130,868 20,453 (78,533)(749)6,991 370 75,621 — 155,021 2,807 370 
Equity securities of consolidated VIEs141 825 (104)— 87 — — — 949 88 — 
Corporate loans of consolidated VIEs125,757 91,321 (96,193)(386)(768)— — — 119,731 (2,103)— 
Total financial assets including consolidated VIEs - Insurance Solutions256,766 112,599 (174,830)(1,135)6,310 370 75,621 — 275,701 792 370 
Total financial assets$257,265 $118,628 $(176,171)$(1,135)$7,692 $370 $75,621 $— $282,270 $2,203 $370 
Financial liabilities
Asset Management
Debt obligations$1,471 $— $(132)$— $(1,339)$— $— $— $— $1,339 $— 
Total financial liabilities — Asset Management$1,471 $— $(132)$— $(1,339)$— $— $— $— $1,339 $— 
_______________
(1)Transfers into Level 3 are due to decrease in the quantity and reliability of broker quotes obtained. Transfers out of Level 3 are due to an increase in the quantity and reliability of broker quotes obtained. Transfers are assumed to have occurred at the end of the period.
Net Change in Unrealized Appreciation (Depreciation)
Change in unrealized gains (losses) included in income on Level 3 assets and liabilities still heldChange in unrealized gains (losses) included in OCI on Level 3 assets and liabilities still held
PurchasesSales and repaymentsNet realized gain (loss)Included in incomeIncluded in OCI
Transfer in ¹
Transfer out ¹
Change in consolidation
Year Ended December 31, 2024Beginning BalanceEnding Balance
Financial assets
Asset Management
Equity securities$1,670 $— $— $— $(1,171)$— $— $— $— $499 $(1,171)$— 
Total assets — Asset Management1,670 — — — (1,171)— — — — 499 (1,171)— 
Insurance Solutions
Debt securities:
Corporate— — — — — — — — — — — — 
Asset and mortgage-backed securities2,240 — (1,008)— (3)(23)7,435 — — 8,641 — (23)
Corporate loans104,588 41,474 (68,113)85 (655)— 37,355 — — 114,734 (348)— 
Equity securities3,107 — (250)— 61 — — — — 2,918 61 — 
Other invested assets 10,605 — (579)2 (3,911)(1,542)— — — 4,575 (4,255)(1,542)
Total assets — Insurance Solutions120,540 41,474 (69,950)87 (4,508)(1,565)44,790 — — 130,868 (4,542)(1,565)
Equity securities of consolidated VIEs— 131 — — 10 — — — — 141 10 — 
Corporate loans of consolidated VIEs124,637 117,972 (115,866)107 (1,093)— — — — 125,757 (3,180)— 
Total financial assets including consolidated VIEs - Insurance Solutions245,177 159,577 (185,816)194 (5,591)(1,565)44,790 — — 256,766 (7,712)(1,565)
Total financial assets$246,847 $159,577 $(185,816)$194 $(6,762)$(1,565)$44,790 $— $— $257,265 $(8,883)$(1,565)
Financial liabilities
Asset Management
Debt obligations$1,175 $— $— $296 $— $— $— $— $— $1,471 $(296)$— 
Total financial liabilities — Asset Management$1,175 $— $— $296 $— $— $— $— $— $1,471 $(296)$— 
_______________
(1)Transfers into Level 3 are due to a decrease in the quantity and reliability of broker quotes obtained. Transfers out of Level 3 are due to an increase in the quantity and reliability of broker quotes obtained. Transfers are assumed to have occurred at the end of the period.
The valuation techniques and significant unobservable inputs used in Level 3 valuations were as follows:
Quantitative Information about Level 3 Fair Value Measurements
December 31, 2025Fair valueValuation
technique/
methodology		Unobservable
input		Range
(weighted
average)
Financial assets
Asset management
Equity securities$6,409 Enterprise valueMultiple
12.5x-13.5x (13x)
Equity securities75 Market approachPrivately quoted priceNA
Equity securities13 Option pricing modelVolatility
116.20% - 126.20% (121.20%)
Option pricing modelYears to exercise
0.1 - 0.3 (0.2)
Other invested assets 72 Probability-Weighted Expected Return MethodIndependent probabilities
5.00% - 5.00% (5.00%)
Probability-Weighted Expected Return MethodDependent probabilities
2.40% - 3.70% (3.10%)
Probability-Weighted Expected Return MethodYears to cash flows
2.5 - 4.5 (3.5)
Total — Asset Management$6,569 
Insurance  
Debt securities¹:
  
Asset and mortgage-backed securities$19,427 Discounted cash flowDiscount rate
6.29% - 8.53% (7.55%)
Corporate10,149 Discounted cash flowDiscount rate
7.36% - 8.92% (8.14%)
Corporate loans116,568 Discounted cash flowDiscount rate
—% - 15.69% (8.16%)
Equity securities30 Recent transactionTransaction priceNA
Equity securities210 Enterprise valueMultiple
0.63x - 0.63x (0.63x)
Equity securities3,000 Discounted cash flowDiscount rate
5.61% - 5.61% (5.61%)
Other invested assets 5,637 Discounted cash flowDiscount rate
9.57% - 19.72% (16.87%)
Total — Insurance Solutions$155,021 
Equity securities of consolidated VIEs$949 Enterprise valueMultiple
10x -16x (13x)
Corporate loans of consolidated VIEs30,123 Recent transactionTransaction priceNA
Corporate loans of consolidated VIEs89,608 Discounted cash flowDiscount rate
5.26% - 14.83% (9.63%)
Total assets of consolidated VIEs - Insurance Solutions$120,680 
Total financial assets including consolidated VIEs - Insurance Solutions$275,701 
Total financial assets$282,270 
_______________
(1)For debt securities where the recent transaction price does not estimate fair value, the Company determines the fair value utilizing a yield analysis.
Quantitative Information about Level 3 Fair Value Measurements
December 31, 2024Fair valueValuation
technique/
methodology		Unobservable
input		Range
(weighted
average)
Financial assets
Asset Management
Equity securities$30 Discounted cash flowDiscount rate
22.0% - 27.0% (24.5%)
Equity securities469 Enterprise valueMultiple
5.13x - 6.13x (5.63x)
Total — Asset Management$499 
Insurance Solutions
Debt securities¹:
Asset and mortgage-backed securities53 Recent transactionTransaction priceNA
Asset and mortgage-backed securities8,588 Discounted cash flowDiscount rate
5.7% - 9.3% (8.0%)
Corporate loans113,062 Discounted cash flowDiscount rate
3.6% - 17.5% (10.6%)
Corporate loans1,672 Enterprise valueMultiple
0.3x - 8.25x (8.04x)
Equity securities2,918 Discounted cash flowDiscount rate
10.1% - 10.1% (10.1%)
Other invested assets 4,575 Discounted cash flowDiscount rate
14.9% - 19.3% (18.4%)
Total — Insurance Solutions130,868 
Equity securities of consolidated VIEs141 Discounted cash flowDiscount rate
14.37% - 14.37% (14.37%)
Corporate loans of consolidated VIEs50,585 Recent transactionTransaction priceNA
Corporate loans of consolidated VIEs75,172 Discounted cash flowDiscount rate
4.3% - 17.1% ( 6.7%)
Total assets of consolidated VIEs - Insurance Solutions$125,898 
Total financial assets including consolidated VIEs - Insurance Solutions256,766 
Total investments$257,265 
Financial liabilities
Asset Management
Debt obligation$1,471 Enterprise valuationRevenue multipleNot Meaningful (NA)
Enterprise valuationEBITDANot Meaningful (NA)
Income ApproachRequired rate of returnNot Meaningful (NA)
Total financial liabilities - Asset Management$1,471 
Total financial liabilities$1,471 
_______________
(1)For debt securities where the recent transaction price does not estimate fair value, the Company determines the fair value utilizing a yield analysis.
The Company typically determines the fair value of its performing Level 3 debt investments utilizing a yield analysis. In a yield analysis, a price is ascribed for each investment based upon an assessment of current and expected market yields for similar investments and risk profiles. Additional consideration is given to the expected life, portfolio company performance since close, and other terms and risks associated with an investment. Among other factors, a determinant of risk is the amount of leverage used by the portfolio company relative to the total enterprise value of the company, and the rights and remedies of the Company’s investment within each portfolio company’s capital structure.

Significant unobservable inputs include an illiquidity spread as well as a credit spread, both of which increase the discount rate. These rates are initially set at a level such that the loan valuation equals the initial purchase cost of the loan and are subsequently adjusted at each valuation date to reflect management’s current assessment of market conditions as well as of loan-specific credit and illiquidity risk. Discount rates are subject to adjustment based on both management’s current assessment of market conditions and the economic performance of individual investments. The significant unobservable inputs used in the fair value measurement of the Company’s Level 3 debt securities primarily include current market yields, including relevant market indices, but may also include quotes from brokers, dealers, and pricing services as indicated by comparable investments.
Financial instruments not carried at fair value
The following tables present carrying amounts and fair values of the Company’s financial assets and liabilities which are not carried at fair value as of December 31, 2025 and December 31, 2024:

Fair Value Hierarchy
December 31, 2025Carrying valueFair valueLevel 1Level 2Level 3
Financial Assets
Asset Management
   Corporate loans$13,287 $11,151 $— $— $11,151 
Total financial assets — Asset Management13,287 11,151 — — 11,151 
Insurance Solutions
Mortgage loans162,566 172,602 — — 172,602 
Other invested assets17,097 17,488 — — 17,488 
Total financial assets — Insurance Solutions179,663 190,090 — — 190,090 
Total financial assets$192,950 $201,241 $— $— $201,241 
Financial Liabilities
Asset Management
Debt obligations$76,250 $72,880 $— $— $72,880 
Total financial liabilities — Asset Management76,250 72,880 — — 72,880 
Insurance Solutions
Debt obligations17,250 17,447 — — 17,447 
Interest sensitive contract liabilities363,981 363,981 — 363,981 — 
Total financial liabilities —Insurance Solutions381,231 381,428 — 363,981 17,447 
Total financial liabilities$457,481 $454,308 $— $363,981 $90,327 
Fair Value Hierarchy
December 31, 2024Carrying valueFair valueLevel 1Level 2Level 3
Financial Assets
Asset Management
   Corporate loans$13,287 $13,184 $— $— $13,184 
Total financial assets — Asset Management13,287 13,184 — — 13,184 
Insurance Solutions
Mortgage loans147,640 153,619 — — 153,619 
Other invested assets16,742 16,512 — — 16,512 
Total financial assets — Insurance Solutions164,382 170,131 — — 170,131 
Total financial assets$177,669 $183,315 $— $— $183,315 
Financial Liabilities
Asset Management
Debt obligations$73,492 $69,776 $— $— $69,776 
Total financial liabilities — Asset Management73,492 69,776 — — 69,776 
Insurance Solutions
Debt obligations14,250 14,450 — — 14,450 
Interest sensitive contract liabilities334,876 334,876 — 334,876 — 
Total financial liabilities —Insurance Solutions349,126 349,326 — 334,876 14,450 
Total financial liabilities$422,618 $419,102 $— $334,876 $84,226 
Fair value option
The following table presents the net realized and unrealized gains (losses) on financial instruments for which the FVO was elected:


For the Year Ended December 31,20252024
Net realized gains (losses)Net unrealized gains (losses)TotalNet realized gains (losses)Net unrealized gains (losses)Total
Asset Management
Debt obligation$— $1,339 $1,339 $— $(296)$(296)
Net gains (losses) from investment activities — Asset Management$— $1,339 $1,339 $— $(296)$(296)
Insurance Solutions
Debt securities:
    U.S. government and agency$— $— $— $— $— $— 
    U.S. state, territories and municipalities— 51 51 — (10)(10)
    Other government and agency— 115 115 — (18)(18)
    Corporate(1,815)5,023 3,208 — (3,710)(3,710)
    Asset and mortgage- backed securities(295)117 (178)21 4,041 4,062 
Corporate loans (4)1,853 1,849 110 (594)(484)
Mortgage loans — — — — — — 
Equity securities — — — — — — 
Other invested assets (755)4,038 3,283 2 (4,255)(4,253)
Net gains (losses) from investment activities — Insurance Solutions(2,869)11,197 8,328 133 (4,546)(4,413)
Investments of consolidated VIEs(386)(2,015)(2,401)107 (3,177)(3,070)
Net gains (losses) from investment activities — Insurance Solutions including consolidated VIEs$(3,255)$9,182 $5,927 $240 $(7,723)$(7,483)
The following table presents information for loans which the Company elected the FVO.
December 31, 2025Unpaid Principal BalanceMark to Fair ValueFair Value
Insurance Solutions
Corporate loans $125,422 $(1,355)$124,067 
Other invested assets 1,289 (179)1,110 
Insurance Solutions126,711 (1,534)125,177 
Corporate loans of consolidated VIEs127,620 (7,889)119,731 
Insurance Solutions including consolidated VIEs$254,331 $(9,423)$244,908 
December 31, 2024Unpaid Principal BalanceMark to Fair ValueFair Value
Insurance Solutions
Corporate loans $117,823 $(3,089)$114,734 
Other invested assets 5,756 (4,813)943 
Insurance Solutions123,579 (7,902)115,677 
Corporate loans of consolidated VIEs132,194 (6,296)125,898 
Insurance Solutions including consolidated VIEs$255,773 $(14,198)$241,575 
As of December 31, 2025 and December 31, 2024, there were no loans accounted for at fair value under the FVO which were 90 days or more past-due or in non-accrual status.

The following table presents the estimated amount of gains (losses) included in earnings attributable to changes in instrument-specific credit risk on corporate loans for which the Company elected the FVO.

For the Years Ended December 31,20252024
Insurance Solutions
Corporate loans $1,200 $75 
Other invested assets 3,551 (4,253)
Insurance Solutions$4,751 $(4,178)
Corporate loans of consolidated VIEs (915)(863)
Insurance Solutions including consolidated VIEs$3,836 $(5,041)
The portion of gains and losses attributable to changes in instrument-specific credit risk is estimated by identifying loans with changes in credit ratings meeting certain criteria.

About Fair Value Disclosures

Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.

Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.

Other Available Disclosures

Income TaxesRevenueEarnings Per ShareGoodwill & IntangiblesSegmentsDebtCommitmentsNew Standards