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Investment Securities (Tables) | 9 Months Ended
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Sep. 30, 2020
Debt and Equity Securities, FV-NI [Line Items] |
Pre-tax net investment income | The following table presents pre-tax net investment income for the three and nine months ended September 30, 2020 and 2019:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30 |  | September 30
Millions |  | 2020 |  | 2019 |  | 2020 |  | 2019
Fixed maturity investments |  | $ | 7.0 |  |  | $ | 8.0 |  |  | $ | 22.4 |  |  | $ | 24.4 |
Short-term investments |  | .1 |  |  | 1.3 |  |  | 1.0 |  |  | 3.9 |
Common equity securities |  | .5 |  |  | 2.5 |  |  | 6.5 |  |  | 10.8 |
Other long-term investments |  | 63.9 |  |  | 7.0 |  |  | 84.7 |  |  | 17.4 |
Total investment income |  | 71.5 |  |  | 18.8 |  |  | 114.6 |  |  | 56.5 |
Third-party investment expenses |  | (.3 | ) |  | (.4 | ) |  | (.9 | ) |  | (1.1 | )
Net investment income, pre-tax |  | $ | 71.2 |  |  | $ | 18.4 |  |  | $ | 113.7 |  |  | $ | 55.4 |
Schedule of realized gain (loss) on investments | The following table presents net realized and unrealized investment gains (losses) for the three and nine months ended September 30, 2020 and 2019:
|  |  | Three Months Ended |  | Nine Months Ended
|  |  | September 30 |  | September 30
Millions |  |  | 2020 |  | 2019 |  | 2020 |  | 2019
Fixed maturity investments |  |  | $ | 3.6 |  |  | $ | 8.9 |  |  | $ | 35.8 |  |  | $ | 46.9 |
Short-term investments |  |  | — |  |  | — |  |  | .4 |  |  | .3 |
Common equity securities |  |  | 48.4 |  |  | 2.4 |  |  | 5.9 |  |  | 141.5 |
Other long-term investments (1) (2)(3) |  |  | 254.6 |  |  | $ | 55.7 |  |  | 260.7 |  |  | 159.1 |
Net realized and unrealized investment gains |  |  | 306.6 |  |  | 67.0 |  |  | 302.8 |  |  | 347.8 |
Less: net gains on investment securities sold during the period |  |  | 36.1 |  |  | — |  |  | 29.6 |  |  | 12.4 |
Net realized and unrealized investment gains on investment securities held at the end of the period |  |  | $ | 270.5 |  |  | $ | 67.0 |  |  | $ | 273.2 |  |  | $ | 335.4 |
(1) For the nine months ended September 30, 2019, excludes $67.5 of realized gain and includes $114.7 of unrealized investment gain associated with the MediaAlpha Transaction, which are both recorded in a separate line item in the statement of operations titled Realized gain and unrealized investment gain from the MediaAlpha Transaction. See Note 2 — “Significant Transactions”. (2) For the three and nine months ended September 30, 2020 and 2019, includes $250.0, $295.0, $35.3 and $150.0 of unrealized investment gains from White Mountains’s investment in MediaAlpha. (3) For the three and nine months ended September 30, 2020 and 2019, includes $0.8 and $(0.8) of realized and unrealized investment gains (losses) related to foreign currency exchange.
Schedule of unrealized gain (loss) on investments | The following table presents net realized and unrealized investment gains (losses) for the three and nine months ended September 30, 2020 and 2019:
|  |  | Three Months Ended |  | Nine Months Ended
|  |  | September 30 |  | September 30
Millions |  |  | 2020 |  | 2019 |  | 2020 |  | 2019
Fixed maturity investments |  |  | $ | 3.6 |  |  | $ | 8.9 |  |  | $ | 35.8 |  |  | $ | 46.9 |
Short-term investments |  |  | — |  |  | — |  |  | .4 |  |  | .3 |
Common equity securities |  |  | 48.4 |  |  | 2.4 |  |  | 5.9 |  |  | 141.5 |
Other long-term investments (1) (2)(3) |  |  | 254.6 |  |  | $ | 55.7 |  |  | 260.7 |  |  | 159.1 |
Net realized and unrealized investment gains |  |  | 306.6 |  |  | 67.0 |  |  | 302.8 |  |  | 347.8 |
Less: net gains on investment securities sold during the period |  |  | 36.1 |  |  | — |  |  | 29.6 |  |  | 12.4 |
Net realized and unrealized investment gains on investment securities held at the end of the period |  |  | $ | 270.5 |  |  | $ | 67.0 |  |  | $ | 273.2 |  |  | $ | 335.4 |
(1) For the nine months ended September 30, 2019, excludes $67.5 of realized gain and includes $114.7 of unrealized investment gain associated with the MediaAlpha Transaction, which are both recorded in a separate line item in the statement of operations titled Realized gain and unrealized investment gain from the MediaAlpha Transaction. See Note 2 — “Significant Transactions”. (2) For the three and nine months ended September 30, 2020 and 2019, includes $250.0, $295.0, $35.3 and $150.0 of unrealized investment gains from White Mountains’s investment in MediaAlpha. (3) For the three and nine months ended September 30, 2020 and 2019, includes $0.8 and $(0.8) of realized and unrealized investment gains (losses) related to foreign currency exchange.
Net unrealized investment gains (losses) for Level 3 investments | The following table presents total gains included in earnings attributable to net unrealized investment gains (losses) for Level 3 investments for the three and nine months ended September 30, 2020 and 2019 for investments still held at the end of the period:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30 |  | September 30
Millions |  | 2020 |  | 2019 |  | 2020 |  | 2019
Other long-term investments |  | $ | 260.1 |  |  | $ | 54.4 |  |  | $ | 276.0 |  |  | $ | 154.4 |
Total net unrealized investment gains (losses), pre-tax - Level 3 investments |  | $ | 260.1 |  |  | $ | 54.4 |  |  | $ | 276.0 |  |  | $ | 154.4 |
Investment holdings, equity securities, convertible fixed maturities and other long-term investments | The following tables present the cost or amortized cost, gross unrealized investment gains (losses) and carrying values of White Mountains’s fixed maturity investments as of September 30, 2020 and December 31, 2019:
|  | September 30, 2020
Millions |  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Carrying Value
U.S. Government and agency obligations |  | $ | 206.2 |  |  | $ | 4.4 |  |  | $ | — |  |  | $ | 210.6 |
Debt securities issued by corporations |  | 505.4 |  |  | 24.0 |  |  | (.7 | ) |  | 528.7 |
Municipal obligations |  | 251.0 |  |  | 20.4 |  |  | (.1 | ) |  | 271.3 |
Mortgage and asset-backed securities |  | 203.6 |  |  | 7.3 |  |  | — |  |  | 210.9 |
Total fixed maturity investments |  | $ | 1,166.2 |  |  | $ | 56.1 |  |  | $ | (.8 | ) |  | $ | 1,221.5 |
|  | December 31, 2019
Millions |  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Carrying Value
U.S. Government and agency obligations |  | $ | 231.7 |  |  | $ | 1.0 |  |  | $ | (.2 | ) |  | $ | 232.5 |
Debt securities issued by corporations |  | 454.9 |  |  | 12.5 |  |  | (.2 | ) |  | 467.2 |
Municipal obligations |  | 284.7 |  |  | 12.5 |  |  | (.1 | ) |  | 297.1 |
Mortgage and asset-backed securities |  | 206.6 |  |  | 2.7 |  |  | (.3 | ) |  | 209.0 |
Total fixed maturity investments |  | $ | 1,177.9 |  |  | $ | 28.7 |  |  | $ | (.8 | ) |  | $ | 1,205.8 |
The following tables present the cost or amortized cost, gross unrealized investment gains (losses), net foreign currency losses, and carrying values of White Mountains’s common equity securities and other long-term investments as of September 30, 2020 and December 31, 2019:
|  | September 30, 2020
Millions |  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Net Foreign Currency Losses |  | Carrying Value
Common equity securities |  | $ | 124.2 |  |  | $ | 16.5 |  |  | $ | — |  |  | $ | — |  |  | $ | 140.7 |
Other long-term investments |  | $ | 696.4 |  |  | $ | 552.4 |  |  | $ | (76.1 | ) |  | $ | (1.5 | ) |  | $ | 1,171.2 |
|  | December 31, 2019
Millions |  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Net Foreign Currency Losses |  | Carrying Value
Common equity securities |  | $ | 553.3 |  |  | $ | 130.6 |  |  | $ | — |  |  | $ | — |  |  | $ | 683.9 |
Other long-term investments |  | $ | 667.4 |  |  | $ | 255.2 |  |  | $ | (64.1 | ) |  | $ | (2.2 | ) |  | $ | 856.3 |
The following table presents the carrying values of White Mountains’s other long-term investments as of September 30, 2020 and December 31, 2019:
|  | Carrying Value at
Millions |  | September 30, 2020 |  | December 31, 2019
MediaAlpha (1) |  | $ | 475.0 |  |  | $ | 180.0 |
Kudu’s Participation Contracts (1) |  | 325.5 |  |  | 266.5 |
PassportCard/DavidShield (1) |  | 95.0 |  |  | 90.0 |
Elementum Holdings L.P. (1) |  | 55.1 |  |  | 55.1 |
Other unconsolidated entities (1)(2) |  | 31.8 |  |  | 33.7 |
Total unconsolidated entities (1) |  | 982.4 |  |  | 625.3 |
Private equity funds and hedge funds |  | 118.2 |  |  | 161.1 |
Insurance-linked securities funds |  | 52.7 |  |  | 41.2 |
Private debt investments (3) |  | 17.9 |  |  | 28.7 |
Total other long-term investments |  | $ | 1,171.2 |  |  | $ | 856.3 |
(1) See Fair Value Measurements by Level table. (2) Includes White Mountains’s non-controlling equity interests in certain private common equity securities, limited liability companies and convertible preferred securities and Simple Agreement for Future Equity (“SAFE”) investments. (3) Includes $5.1 and $5.0 in private debt investments carried at fair value as of September 30. 2020 and amortized cost as of December 31, 2019.
Other long-term investments | The following table presents investments and unfunded commitments in private equity funds and hedge funds by investment objective and sector as of September 30, 2020 and December 31, 2019:
|  | September 30, 2020 |  | December 31, 2019
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments
Private equity funds |  |  |  |  |  |  |  |  |  |  |  |
Aerospace/Defense/Government |  | $ | 59.4 |  |  | $ | 16.1 |  |  | $ | 33.8 |  |  | $ | 23.3 |
Manufacturing/Industrial |  | 39.8 |  |  | 2.0 |  |  | 57.7 |  |  | 4.1 |
Financial services |  | 19.0 |  |  | 23.4 |  |  | 15.0 |  |  | 22.8 |
Total private equity funds |  | 118.2 |  |  | 41.5 |  |  | 106.5 |  |  | 50.2 |
Hedge funds |  |  |  |  |  |  |  |  |  |  |  |
Long/short banks and financials |  | — |  |  | — |  |  | 54.6 |  |  | — |
Total hedge funds |  | — |  |  | — |  |  | 54.6 |  |  | — |
Total private equity funds and hedge funds included in other long-term investments |  | $ | 118.2 |  |  | $ | 41.5 |  |  | $ | 161.1 |  |  | $ | 50.2 |
Fair Value of private equity funds subject to lock-up periods | The following table presents investments in private equity funds that were subject to lock-up periods as of September 30, 2020:
Millions |  | 1 – 3 years |  | 3 – 5 years |  | 5 – 10 years |  | >10 years |  | Total
Private equity funds — expected lock-up period remaining |  | $4.7 |  | $36.4 |  | $71.7 |  | $5.4 |  | $118.2
Fair value measurements by level, investment securities | The following tables present White Mountains’s fair value measurements for investments as of September 30, 2020 and December 31, 2019 by level. The major security types were based on the legal form of the securities. White Mountains has disaggregated its fixed maturity investments based on the issuing entity type, which impacts credit quality, with debt securities issued by U.S. government entities carrying minimal credit risk, while the credit and other risks associated with other issuers, such as corporations, foreign governments, municipalities or entities issuing mortgage and asset-backed securities vary depending on the nature of the issuing entity type. White Mountains further disaggregates debt securities issued by corporations and common equity securities by industry sector because investors often reference commonly used benchmarks and their subsectors to monitor risk and performance. Accordingly, White Mountains has further disaggregated these asset classes into subclasses based on the similar sectors and industry classifications it uses to evaluate investment risk and performance against commonly used benchmarks, such as the Bloomberg Barclays U.S. Intermediate Aggregate and S&P 500 indices.
|  | September 30, 2020
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 210.6 |  |  | $ | 210.6 |  |  | $ | — |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Financials |  | 142.9 |  |  | — |  |  | 142.9 |  |  | — |
Technology |  | 68.5 |  |  | — |  |  | 68.5 |  |  | — |
Industrial |  | 61.5 |  |  | — |  |  | 61.5 |  |  | — |
Consumer |  | 60.7 |  |  | — |  |  | 60.7 |  |  | — |
Healthcare |  | 49.3 |  |  | — |  |  | 49.3 |  |  | — |
Communications |  | 42.3 |  |  | — |  |  | 42.3 |  |  | — |
Energy |  | 38.9 |  |  | — |  |  | 38.9 |  |  | — |
Materials |  | 37.4 |  |  | — |  |  | 37.4 |  |  | — |
Utilities |  | 27.2 |  |  | — |  |  | 27.2 |  |  | — |
Total debt securities issued by corporations |  | 528.7 |  |  | — |  |  | 528.7 |  |  | — |
Municipal obligations |  | 271.3 |  |  | — |  |  | 271.3 |  |  | — |
Mortgage and asset-backed securities |  | 210.9 |  |  | — |  |  | 210.9 |  |  | — |
Total fixed maturity investments |  | 1,221.5 |  |  | 210.6 |  |  | 1,010.9 |  |  | — |
Short-term investments (1) |  | 571.8 |  |  | 570.6 |  |  | 1.2 |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Exchange traded funds |  | 84.7 |  |  | 84.7 |  |  | — |  |  | — |
Other (2) |  | 56.0 |  |  | — |  |  | 55.9 |  |  | .1 |
Total common equity securities |  | 140.7 |  |  | 84.7 |  |  | 55.9 |  |  | .1 |
Other long-term investments |  | 1,000.3 |  |  | — |  |  | — |  |  | 1,000.3 |
Other long-term investments — NAV (3) |  | 170.9 |  |  | — |  |  | — |  |  | — |
Total investments |  | $ | 3,105.2 |  |  | $ | 865.9 |  |  | $ | 1,068.0 |  |  | $ | 1,000.4 |
(1) Short-term investments are measured at amortized cost, which approximates fair value. (2) Primarily consists of one investment in a unit trust that predominantly invests in international equities. (3) Consists of private equity funds and ILS funds for which fair value is measured at NAV using the practical expedient. Investments for which fair value is measured at NAV are not classified within the fair value hierarchy.
|  | December 31, 2019
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 232.5 |  |  | $ | 232.5 |  |  | $ | — |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |  |  |  |
Financials |  | 144.8 |  |  | — |  |  | 144.8 |  |  | — |
Industrial |  | 59.0 |  |  | — |  |  | 59.0 |  |  | — |
Healthcare |  | 52.6 |  |  | — |  |  | 52.6 |  |  | — |
Consumer |  | 50.9 |  |  | — |  |  | 50.9 |  |  | — |
Energy |  | 44.9 |  |  | — |  |  | 44.9 |  |  | — |
Technology |  | 41.2 |  |  | — |  |  | 41.2 |  |  | — |
Communications |  | 31.3 |  |  | — |  |  | 31.3 |  |  | — |
Utilities |  | 25.0 |  |  | — |  |  | 25.0 |  |  | — |
Materials |  | 17.5 |  |  | — |  |  | 17.5 |  |  | — |
Total debt securities issued by corporations |  | 467.2 |  |  | — |  |  | 467.2 |  |  | — |
Municipal obligations |  | 297.1 |  |  | — |  |  | 297.1 |  |  | — |
Mortgage and asset-backed securities |  | 209.0 |  |  | — |  |  | 209.0 |  |  | — |
Total fixed maturity investments |  | 1,205.8 |  |  | 232.5 |  |  | 973.3 |  |  | — |
Short-term investments (1) |  | 201.2 |  |  | 189.4 |  |  | 11.8 |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Exchange traded funds (2) |  | 536.4 |  |  | 521.6 |  |  | 14.8 |  |  | — |
Other (3) |  | 147.5 |  |  | 25.9 |  |  | 121.5 |  |  | .1 |
Total common equity securities |  | 683.9 |  |  | 547.5 |  |  | 136.3 |  |  | .1 |
Other long-term investments |  | 654.0 |  |  | — |  |  | — |  |  | 654.0 |
Other long-term investments — NAV (4) |  | 202.3 |  |  | — |  |  | — |  |  | — |
Total investments |  | $ | 2,947.2 |  |  | $ | 969.4 |  |  | $ | 1,121.4 |  |  | $ | 654.1 |
(1) Short-term investments are measured at amortized cost, which approximates fair value. (2) ETFs traded on foreign exchanges are priced using the fund’s published NAV to account for the difference in market close times and are therefore designated a Level 2 measurement. (3) Primarily consists of two investments in unit trusts that predominantly invest in international equities and an open-end mutual fund that invests in domestic large-cap companies. (4) Consists of private equity funds, one hedge fund and ILS funds for which fair value is measured at NAV using the practical expedient. Investments for which fair value is measured at NAV are not classified within the fair value hierarchy.
Debt securities issued by corporations, credit ratings | The following table presents the credit ratings of debt securities issued by corporations held in White Mountains’s investment portfolio as of September 30, 2020 and December 31, 2019:
|  | Fair Value at
Millions |  | September 30, 2020 |  | December 31, 2019
AAA |  | $ | 11.2 |  |  | $ | 9.5 |
AA |  | 58.2 |  |  | 73.9 |
A |  | 307.7 |  |  | 288.5 |
BBB |  | 150.0 |  |  | 95.3 |
BB |  | 1.6 |  |  | — |
Debt securities issued by corporations (1) |  | $ | 528.7 |  |  | $ | 467.2 |
(1) Credit ratings are based upon issuer credit ratings provided by Standard & Poor’s Financial Services LLC (“Standard & Poor’s”), or if unrated by Standard & Poor’s, long-term obligation ratings provided by Moody’s Investor Service, Inc.
Mortgage-backed, asset-backed securities | The following table presents the fair value of White Mountains’s mortgage and asset-backed securities as of September 30, 2020 and December 31, 2019:
|  | September 30, 2020 |  | December 31, 2019
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FNMA |  | $ | 84.5 |  |  | $ | 84.5 |  |  | $ | — |  |  | $ | 88.6 |  |  | $ | 88.6 |  |  | $ | — |
FHLMC |  | 67.1 |  |  | 67.1 |  |  | — |  |  | 60.5 |  |  | 60.5 |  |  | — |
GNMA |  | 37.4 |  |  | 37.4 |  |  | — |  |  | 30.8 |  |  | 30.8 |  |  | — |
Total agency (1) |  | 189.0 |  |  | 189.0 |  |  | — |  |  | 179.9 |  |  | 179.9 |  |  | — |
Total mortgage-backed securities |  | 189.0 |  |  | 189.0 |  |  | — |  |  | 179.9 |  |  | 179.9 |  |  | — |
Other asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit card receivables |  | 11.3 |  |  | 11.3 |  |  | — |  |  | 14.0 |  |  | 14.0 |  |  | — |
Vehicle receivables |  | 10.6 |  |  | 10.6 |  |  | — |  |  | 15.1 |  |  | 15.1 |  |  | — |
Total other asset-backed securities |  | 21.9 |  |  | 21.9 |  |  | — |  |  | 29.1 |  |  | 29.1 |  |  | — |
Total mortgage and asset-backed securities |  | $ | 210.9 |  |  | $ | 210.9 |  |  | $ | — |  |  | $ | 209.0 |  |  | $ | 209.0 |  |  | $ | — |
(1) | Represents publicly traded mortgage-backed securities which carry the full faith and credit guaranty of the U.S. Government (i.e., GNMA) or are guaranteed by a government sponsored entity (i.e., FNMA, FHLMC).
Rollforward of fair value investments by level | The following tables present the changes in White Mountains’s fair value measurements by level for the three months ended September 30, 2020 and 2019:
|  |  | Level 3 Investments | Other Long-term Investments Measured at NAV (2) |  |  |
Millions | Level 1 Investments | Level 2 Investments | Common Equity Securities | Other Long-term Investments |  | Total |
Balance at December 31, 2019 | $ | 780.0 |  | $ | 1,109.6 |  | $ | .1 |  | $ | 654.0 |  | $ | 202.3 |  |  | $ | 2,746.0 |  | (1)
Net realized and unrealized gains (losses) | 29.2 |  | 12.5 |  | — |  | 275.6 |  | (14.9 | ) |  | 302.4 |  | (3)
Amortization/Accretion | — |  | (3.0 | ) | — |  | — |  | — |  |  | (3.0 | ) |
Purchases | 128.8 |  | 316.2 |  | — |  | 78.8 |  | 39.8 |  |  | 563.6 |  |
Sales | (642.7 | ) | (368.5 | ) | — |  | (8.1 | ) | (56.3 | ) |  | (1,075.6 | ) |
Transfers in | — |  | — |  | — |  | — |  | — |  |  | — |  |
Transfers out | — |  | — |  | — |  | — |  | — |  |  | — |  |
Balance at September 30, 2020 | $ | 295.3 |  | $ | 1,066.8 |  | $ | .1 |  | $ | 1,000.3 |  | $ | 170.9 |  |  | $ | 2,533.4 |  | (1)
(1) Excludes carrying value of $571.8 and $201.2 as of September 30, 2020 and December 31, 2019 classified as short-term investments. (2) Includes private equity funds, hedge funds and ILS funds for which fair value is measured at NAV using the practical expedient are no longer classified within the fair value hierarchy. See Note 1 — “Basis of Presentation and Significant Accounting Policies”. (3) Excludes realized and unrealized gains associated with short-term investments of $0.4 for the nine months ended September 30, 2020.
|  |  | Level 3 Investments | Other Long-term Investments Measured at NAV (3,5) |  |
Millions | Level 1 Investments | Level 2 Investments | Other Long-term Investments | Total |
Balance at December 31, 2018 | $ | 842.6 |  | $ | 1,160.5 |  | $ | 138.7 |  | $ | 186.9 |  | $ | 2,328.7 |  | (1)
Net realized and unrealized gains | 121.8 |  | 66.6 |  | 154.2 |  | 4.9 |  | 347.5 |  | (2, 4)
Amortization/Accretion | .2 |  | (1.2 | ) | — |  | — |  | (1.0 | ) |
Purchases | 101.4 |  | 331.3 |  | 211.3 |  | 106.4 |  | 750.4 |  | (6)
Sales | (362.3 | ) | (465.2 | ) | — |  | (28.7 | ) | (856.2 | ) |
Transfers in | — |  | — |  | 82.6 |  | — |  | 82.6 |  |
Transfers out | — |  | — |  | — |  | (82.6 | ) | (82.6 | ) |
Balance at September 30, 2019 | $ | 703.7 |  | $ | 1,092.0 |  | $ | 586.8 |  | $ | 186.9 |  | $ | 2,569.4 |  | (1)
(1) Excludes carrying value of $272.5 and $214.2 as of September 30, 2019 and December 31, 2018 classified as short-term investments.
(2) | Includes $114.7 unrealized investment gain associated with the MediaAlpha Transaction, which is recorded in a separate line item in the statement of operations titled Realized gain and unrealized investment gain from the MediaAlpha Transaction. See Note 2 — “Significant Transactions”.
(3) Includes private equity funds, hedge funds and ILS funds for which fair value is measured at NAV using the practical expedient are no longer classified within the fair value hierarchy. See Note 1 — “Basis of Presentation and Significant Accounting Policies”. (4) Excludes realized and unrealized losses associated with short-term investments of $0.3 for the nine months ended September 30, 2019. (5) Transfer includes $71.7 associated with the Kudu Transaction. See Note 2 — “Significant Transactions”. (6) Purchases include $70.1 associated with the Kudu Transaction. See Note 2 — “Significant Transactions”.
Schedule of significant unobservable inputs used in estimating the fair value of investment securities | The following tables present significant unobservable inputs used in estimating the fair value of other long-term investments, other than private equity funds, hedge funds and ILS funds, classified within Level 3 as of September 30, 2020 and December 31, 2019. The fair value of investments in private equity funds, hedge funds and ILS funds are generally estimated using the NAV of the funds.
$ in Millions |  | September 30, 2020
Description |  | Valuation Technique(s) |  | Fair Value (5) |  | Unobservable Inputs (6)
MediaAlpha |  | Probability-weighted expected return method |  | $475.0 |  | Weight ascribed to IPO |  | 65%
|  |  |  |  |  | Forward Revenue Exit Multiple |  | 2x
|  |  |  |  |  | Weight ascribed to remaining private |  | 35%
|  |  |  |  |  | Discount Rate |  | 13%
|  |  |  |  |  | Terminal Revenue Growth |  | 4%
|  |  |  |  |  | Discount Rate (2)(6) |  | Terminal Cash Flow Exit Multiple (x) or Terminal Revenue Growth Rate (%) (6)
Kudu’s Participation Contracts (1)(2) |  | Discounted cash flow |  | $325.5 |  | 18% - 23% |  | 6x - 12x
PassportCard/DavidShield (3) |  | Discounted cash flow |  | $95.0 |  | 23% |  | 4%
Elementum Holdings, L.P. |  | Discounted cash flow |  | $55.1 |  | 19% |  | 4%
Private debt instruments |  | Discounted cash flow |  | $17.9 |  | 5% - 10% |  | N/A
All other |  | Discounted cash flow |  | $18.1 |  | 20% - 24% |  | 4%
Noblr, Inc. |  | Share price of recent transaction |  | $8.7 |  | Share price: |  | $2.17
Zillion Insurance Services, Inc.(4) |  | Recent transaction |  | $5.0 |  | Transaction price: |  | $5.0
(1) During the nine months ended September 30, 2020, Kudu deployed a total of $57.4 in new Kudu Participation Contracts, including Creation Investments Capital Management and Sequoia Financial Group. (2) Since Kudu’s Participation Contracts are not subject to corporate taxes within Kudu Investment Management, LLC, pre-tax discount rates are applied to pre-tax cash flows in determining fair values. (3) During the nine months ended September 30, 2020, White Mountains made an additional $15.0 investment in PassportCard/DavidShield. See Note 2 - “Significant Transactions”. (4) During the nine months ended September 30, 2020, White Mountains made an additional $2.5 investment in Zillion Insurance Services, Inc. (5) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs. (6) Increases (decreases) to the discount rates in isolation would result in lower (higher) fair value measurements, while increases (decreases) to the terminal cash flow exit multiples or terminal revenue growth rates in isolation would result in higher (lower) fair value measurements.
$ in Millions |  | December 31, 2019
Description |  | Valuation Technique(s) |  | Fair Value (1) |  | Unobservable Inputs
|  |  |  |  |  | Discount Rate (2) |  | Terminal Cash Flow Exit Multiple (x) or Terminal Revenue Growth Rate (%) (2)
Kudu’s Participation Contracts |  | Discounted cash flow |  | $266.5 |  | 15% - 22% |  | 6x - 12x
MediaAlpha |  | Discounted cash flow |  | $180.0 |  | 15% |  | 4%
PassportCard/DavidShield |  | Discounted cash flow |  | $90.0 |  | 22% |  | 4%
Elementum Holdings, L.P. |  | Discounted cash flow |  | $55.1 |  | 20% |  | 4%
Private debt instruments |  | Discounted cash flow |  | $23.7 |  | 4% - 9% |  | N/A
All other |  | Discounted cash flow |  | $23.7 |  | 25% - 32% |  | 4%
Noblr, Inc. |  | Share price of recent transaction |  | $5.0 |  | Share price: |  | $2.17
Zillion Insurance Services, Inc. |  | Recent transaction |  | $2.5 |  | Transaction price: |  | $2.5
Compare.com |  | Estimated net realizable value |  | $2.5 |  | Net realizable value: |  | $2.5
(1) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs. (2) Increases (decreases) to the discount rates in isolation would result in lower (higher) fair value measurements, while increases (decreases) to the terminal cash flow exit multiples or terminal revenue growth rates in isolation would result in higher (lower) fair value measurements.

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