White Mountains’s portfolio of investment securities held for general investment purposes consists of fixed maturity investments, short-term investments, common equity securities, its investment in MediaAlpha and other long-term investments, which are classified as trading securities. Trading securities are reported at fair value as of the balance sheet date. Net realized and unrealized investment gains (losses) on trading securities are reported in pre-tax revenues.

White Mountains’s fixed maturity investments are generally valued using industry standard pricing methodologies. Key inputs include benchmark yields, benchmark securities, reported trades, issuer spreads, bids, offers, credit ratings and prepayment speeds. Income on mortgage and asset-backed securities is recognized using an effective yield based on anticipated prepayments and the estimated economic life of the securities. When actual prepayments differ significantly from anticipated prepayments, the estimated economic life is recalculated and the remaining unamortized premium or discount is amortized prospectively over the remaining economic life.

Realized investment gains (losses) resulting from sales of investment securities are accounted for using the specific identification method. Premiums and discounts on all fixed maturity investments are amortized or accreted to income over the anticipated life of the investment. Short-term investments consist of interest-bearing money market funds, certificates of deposit and other securities, which at the time of purchase, mature or become available for use within one year. Short-term investments are carried at fair value as of March 31, 2021 and December 31, 2020.

Other long-term investments consist primarily of unconsolidated entities, including Kudu’s Participation Contracts, private equity funds, a hedge fund, Lloyd’s trust deposits, a bank loan fund, ILS funds and private debt instruments.

White Mountains’s net investment income is comprised primarily of interest income associated with White Mountains’s fixed maturity investments and short-term investments, dividend income from common equity securities, distributions from its investment in MediaAlpha and distributions from other long-term investments.


	Three Months Ended
	March 31,
Millions		2021		2020
Fixed maturity investments		$	6.5	$	8.1
Short-term investments		1.6		.8
Common equity securities		—		3.8

Investment in MediaAlpha		—		2.4
Other long-term investments		13.8		8.1
Amount attributable to TPC Providers		(.9)		—
Total investment income		21.0		23.2
Third-party investment expenses		(.4)		(.3)
Net investment income, pre-tax		$	20.6	$	22.9


	Three Months Ended
	March 31,
Millions	2021		2020
Fixed maturity investments	$	(25.4)	$	2.2
Short-term investments	(1.3)		.4
Common equity securities	1.0		(140.8)
Investment in MediaAlpha	(41.7)		30.0
Other long-term investments	28.1		(48.5)
Amount attributable to TPC Providers	(1.3)		—
Net realized and unrealized investment losses (1)	(40.6)		(156.7)
Less: net losses on investment securities sold during the period	(.2)		(8.7)
Net realized and unrealized investment losses on investment securities held at the end of the period	$	(40.4)	$	(148.0)

The following table presents total gains (losses) included in earnings attributable to net unrealized investment gains (losses) for Level 3 investments for the three months ended March 31, 2021 and 2020 for investments still held at the end of the period:


	March 31, 2021
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains		Carrying Value
U.S. Government and agency obligations	$	220.1	$	2.1	$	(.6)	$	—	$	221.6
Debt securities issued by corporations	678.6		13.9		(5.7)		.1		686.9
Municipal obligations	269.4		15.4		(1.0)		—		283.8
Mortgage and asset-backed securities	225.8		5.4		(1.3)		—		229.9

Collateralized loan obligations	59.5		—		(.1)		—		59.4
Total fixed maturity investments	$	1,453.4	$	36.8	$	(8.7)	$	.1	$	1,481.6


	December 31, 2020
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Carrying Value
U.S. Government and agency obligations	$	173.2	$	3.1	$	—	$	176.3
Debt securities issued by corporations	522.8		24.7		(.1)		547.4
Municipal obligations	244.0		21.0		—		265.0
Mortgage and asset-backed securities	211.7		6.8		—		218.5


Total fixed maturity investments	$	1,151.7	$	55.6	$	(.1)	$	1,207.2

The following tables present the cost or amortized cost, gross unrealized investment gains (losses), net foreign currency gains (losses), and carrying values of common equity securities, White Mountains’s investment in MediaAlpha and other long-term investments as of March 31, 2021 and December 31, 2020:


	March 31, 2021
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
Common equity securities	$	117.6	$	1.1	$	(.2)	$	.1	$	118.6
Investment in MediaAlpha	$	—	$	600.2	$	—	$	—	$	600.2

Other long-term investments	$	965.5	$	125.8	$	(56.5)	$	(2.6)	$	1,032.2


	December 31, 2020
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains		Carrying Value
Common equity securities	$	—	$	—	$	—	$	—	$	—
Investment in MediaAlpha	$	—	$	802.2	$	—	$	—	$	802.2

Other long-term investments	$	767.4	$	95.8	$	(78.1)	$	1.7	$	786.8

The following tables present White Mountains’s fair value measurements for investments as of March 31, 2021 and December 31, 2020 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, 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 by industry sector because investors often reference commonly used benchmarks and their subsectors to monitor risk and performance. Accordingly, White Mountains has further disaggregated this asset class 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.


	March 31, 2021
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	221.6	$	221.6	$	—	$	—

Debt securities issued by corporations:
Financials	183.1		—		183.1		—
Consumer	96.3		—		96.3		—
Technology	81.9		—		81.9		—
Healthcare	76.6		—		76.6		—
Industrial	74.2		—		74.2		—
Communications	53.4		—		53.4		—
Utilities	51.4		—		51.4		—
Energy	39.3		—		39.3		—
Materials	30.7		—		30.7		—

Total debt securities issued by corporations	686.9		—		686.9		—

Municipal obligations	283.8		—		283.8		—
Mortgage and asset-backed securities	229.9		—		229.9		—

Collateralized loan obligations	59.4		—		59.4		—
Total fixed maturity investments	1,481.6		221.6		1,260.0		—

Short-term investments	625.8		481.2		144.6		—

Common equity securities (1)	118.6		—		118.6		—
Investment in MediaAlpha	600.2		600.2		—		—














Other long-term investments	656.4		—		—		656.4
Other long-term investments — NAV (2)	375.8		—		—		—
Total other long-term investments	1,032.2		—		—		656.4
Total investments	$	3,858.4	$	1,303.0	$	1,523.2	$	656.4

(2) Consists of private equity funds, a hedge funds, Lloyd’s trust deposits, a bank loan 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.


	December 31, 2020
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	176.3	$	176.3	$	—	$	—

Debt securities issued by corporations:
Financials	133.9		—		133.9
Consumer	81.9		—		81.9		—
Industrial	66.9		—		66.9		—
Technology	66.7		—		66.7		—
Healthcare	51.5		—		51.5		—
Communications	44.5		—		44.5		—
Energy	35.8		—		35.8		—
Materials	33.9		—		33.9		—
Utilities	32.3		—		32.3		—

Total debt securities issued by corporations	547.4		—		547.4		—

Municipal obligations	265.0		—		265.0		—
Mortgage and asset-backed securities	218.5		—		218.5		—


Total fixed maturity investments	1,207.2		176.3		1,030.9		—

Short-term investments	142.9		142.9		—		—

Investment in MediaAlpha	802.2		802.2		—		—















Other long-term investments	614.2		—		—		614.2
Other long-term investments — NAV (1)	172.6		—		—		—
Total other long-term investments	786.8		—		—		614.2
Total investments	$	2,939.1	$	1,121.4	$	1,030.9	$	614.2

(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.


	March 31, 2021						December 31, 2020
Millions	Fair Value		Level 2		Level 3		Fair Value		Level 2		Level 3
Mortgage-backed securities:
Agency:
FNMA	$	98.4	$	98.4	$	—	$	88.7	$	88.7	$	—
FHLMC	76.9		76.9		—		70.1		70.1		—
GNMA	36.7		36.7		—		40.6		40.6		—
Total agency (1)	212.0		212.0		—		199.4		199.4		—

Non-agency: Residential	.6		.6		—		—		—		—

Total non-agency	.6		.6		—		—		—		—
Total mortgage-backed securities	212.6		212.6		—		199.4		199.4		—
Other asset-backed securities:
Credit card receivables	11.3		11.3		—		11.3		11.3		—
Vehicle receivables	6.0		6.0		—		7.8		7.8		—

Total other asset-backed securities	17.3		17.3		—		19.1		19.1		—
Total mortgage and asset-backed securities	229.9		229.9		—		218.5		218.5		—
Collateralized loan obligations	59.4		59.4		—		—		—		—
Total mortgage and asset-backed securities and collateralized loan obligations	$	289.3	$	289.3	$	—	$	218.5	$	218.5	$	—

As of March 31, 2021, White Mountains’s investment portfolio included $59.4 million of collateralized loan obligations that are within the senior tranches of their respective fund securitization structures. All of White Mountains’s collateral loan obligations were rated AAA or AA as of March 31, 2021.

On October 30, 2020, MediaAlpha completed the MediaAlpha IPO. In the offering, White Mountains sold 3.6 million shares at $19.00 per share ($17.67 per share net of underwriting discount) and received total proceeds of $63.8 million. White Mountains also received $55.0 million of net proceeds related to a dividend recapitalization at MediaAlpha. Following the MediaAlpha IPO, White Mountains owned 20.5 million MediaAlpha shares, representing a 35.0% ownership interest (32.3% on a fully-diluted, fully converted basis). At the December 31, 2020 closing price of $39.07 per share, the fair value of White Mountains’s remaining investment in MediaAlpha was $802.2 million. Subsequent to the MediaAlpha IPO, White Mountains’s investment in MediaAlpha is accounted for at fair value based on the publicly traded share price of MediaAlpha’s common stock and White Mountains presents its investment in MediaAlpha as a separate line item on the balance sheet.

On March 23, 2021, MediaAlpha completed a secondary offering of 8.05 million shares. In the secondary offering, White Mountains sold 3.6 million shares at $46.00 per share ($44.62 per share net of underwriting fees) for net proceeds of $160.3 million. Following the completion of the offering, White Mountains owns 16.9 million shares, representing a 28.5% basic ownership interest (26.3% fully-diluted/fully-converted basis). At the March 31, 2021 closing price of $35.43 per share, the fair value of White Mountains’s remaining investment in MediaAlpha was $600.2 million. See Note 16 — “Equity-Method Eligible Investments”.


	Carrying Value at
Millions	March 31, 2021		December 31, 2020
Kudu’s Participation Contracts	$	427.4	$	400.6
PassportCard/DavidShield	95.0		95.0
Elementum Holdings L.P.	56.7		55.1
Other unconsolidated entities (1)	43.3		42.4





Total unconsolidated entities (2)	622.4		593.1
Private equity funds and hedge funds	133.5		121.2

Lloyd’s trust deposits	99.2		—
Bank loan fund	89.2		—
ILS funds	53.8		51.4
Private debt investments (2)	21.0		21.1
Other	13.1		—
Total other long-term investments	$	1,032.2	$	786.8

(1) 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.

White Mountains invests in private equity funds and hedge funds, which are included in other long-term investments. The fair value of these investments is generally estimated using the net asset value (“NAV”) of the funds. As of March 31, 2021, White Mountains held investments in thirteen private equity funds and one hedge fund. The largest investment in a single private equity fund or hedge fund was $23.5 million as of March 31, 2021 and $29.1 million as of December 31, 2020.


	March 31, 2021				December 31, 2020
Millions	Fair Value		Unfunded Commitments		Fair Value		Unfunded Commitments
Private equity funds
Aerospace/Defense/Government	$	73.0	$	14.0	$	69.1	$	15.3
Financial services	43.2		35.3		23.5		30.4
Real estate	4.0		3.0		—		—
Manufacturing/Industrial	1.3		—		28.6		—

Total private equity funds	121.5		52.3		121.2		45.7
Hedge funds

European small/mid cap	12.0		—		—		—


Total hedge funds	12.0		—		—		—
Total private equity funds and hedge funds included in other long-term investments	$	133.5	$	52.3	$	121.2	$	45.7

Investments in private equity funds are generally subject to a lock-up period during which investors may not request a redemption. Distributions prior to the expected termination date of the fund may be limited to dividends or proceeds arising from the liquidation of the fund’s underlying investments. In addition, certain private equity funds have the option to extend the lock-up period.

Investors in private equity funds are generally subject to indemnification obligations outside of the capital commitment period and prior to the winding up of the fund. As of March 31, 2021 and December 31, 2020, White Mountains is not aware of any indemnification claims relating to its investments in private equity funds.

Redemption of investments in most hedge funds is subject to restrictions, including lock-up periods where no redemptions or withdrawals are allowed, restrictions on redemption frequency and advance notice periods for redemptions. Amounts requested for redemptions remain subject to market fluctuations until the redemption effective date, which generally falls at the end of the defined redemption period. White Mountains’s hedge fund investment is subject to a perpetual two-year restriction on redemption frequency from the initial investment in the fund and a 90-days advanced notice period requirement.

White Mountains’s other long-term investments include Lloyd’s Trust Deposits, which consists of overseas deposits and Canadian comingled pooled funds. The Lloyd’s Trust Deposits invest primarily in short-term government securities, agency securities and corporate bonds held in trusts that are managed by Lloyd's of London. These investments are required of Lloyd's syndicates to protect policyholders in overseas markets and are pledged into Lloyd’s trust accounts to provide a portion of the capital needed to support obligations at Lloyd’s. The fair value of the Lloyd’s Trust Deposits is generally estimated using the NAV of the funds. As of March 31, 2021, White Mountains held Lloyd’s Trust Deposits with a fair value of $99.2 million.

White Mountains’s other long-term investments include a bank loan fund with a fair value of $89.2 million as of March 31, 2021. The fair value of this investment is estimated using the NAV of the fund. The bank loan fund’s investment objective is to provide, on an unleveraged basis, high current income consistent with preservation of capital and low duration. The bank loan fund primarily invests in a broad portfolio of U.S. dollar-denominated, non-investment grade, floating-rate senior secured loans and may invest in other financial instruments, such as secured and unsecured corporate debt, credit default swaps, reverse repurchase agreements and synthetic indices and cash and cash equivalents.

The investment in the bank loan fund is subject to restrictions on redemption frequency and advance notice periods for redemptions. Amounts requested for redemptions remain subject to market fluctuations until the redemption effective date, which generally falls at the end of the defined redemption period. White Mountains may redeem all or a portion of its bank loan fund investment as of any calendar month-end upon 15 calendar days advanced written notice.

White Mountains’s other long-term investments include ILS fund investments. The fair value of these investments is generally estimated using the NAV of the funds. As of March 31, 2021, White Mountains held investments in ILS funds with a fair value of $53.8 million.

Investments in ILS funds are generally subject to restrictions, including lock-up periods where no redemptions or withdrawals are allowed, non-renewal clauses, restrictions on redemption frequency and advance notice periods for redemptions. From time to time, natural catastrophe, liquidity, market or other events will occur that make the determination of fair value for underlying investments in ILS funds less certain due to the potential for loss development. In such circumstances, the impacted investments may be subject to additional lock-up provisions.

ILS funds are typically subject to monthly and annual restrictions on redemptions and advance redemption notice period requirements that range between 30 and 90 days. Amounts requested for redemption remain subject to market fluctuations until the redemption effective date, which generally falls at the end of the defined redemption period.

One of the ILS funds in White Mountains’s portfolio requires shareholders to provide advance redemption notice on or before September 15 of each calendar year. Amounts requested for redemption in this fund remain subject to market fluctuation until the underlying investment has fully matured or been commuted, which may be up to a period of three years from the start of each calendar year.

White Mountains uses quoted market prices where available as the inputs to estimate fair value for its investments in active markets. Such measurements are considered to be either Level 1 or Level 2 measurements, depending on whether the quoted market price inputs are for identical securities (Level 1) or similar securities (Level 2). Level 3 measurements for fixed maturity investments, common equity securities and other long-term investments as of March 31, 2021 and 2020 consist of securities for which the estimated fair value has not been determined based upon quoted market price inputs for identical or similar securities.


					Level 3 Investments		Other Long-term Investments Measured at NAV (1)
Millions	Level 1 Investments		Level 2 Investments		Other Long-term Investments				Total
Balance at December 31, 2020	$	978.5	$	1,030.9	$	614.2	$	172.6	$	2,796.2	(2)
Net realized and unrealized (losses) gains	(43.2)		(22.9)		16.7		11.4		(38.0)		(3)

Amortization/Accretion	—		(1.4)		—		—		(1.4)
Purchases	53.4		426.4		17.5		94.5		591.8
Sales	(166.9)		(122.6)		(1.6)		(38.5)		(329.6)


Effect of Ark Transaction	—		68.2		9.6		135.8		213.6
Transfers in	—		—		—		—		—
Transfers out	—		—		—		—		—
Balance at March 31, 2021	$	821.8	$	1,378.6	$	656.4	$	375.8	$	3,232.6	(1)

(1) Consists of private equity funds, a hedge fund, Lloyd’s trust deposits, bank loans, 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. See Note 1 — “Basis of Presentation and Significant Accounting Policies”.


							Level 3 Investments		Other Long-term Investments Measured at NAV (1)
Millions	Level 1 Investments		Level 2 Investments		Common equity securities		Other Long- term Investments and Investment in MediaAlpha Pre-IPO				Total
Balance at December 31, 2019	$	780.0	$	1,109.6	$	.1	$	654.0	$	202.3	$	2,746.0	(2)
Net realized and unrealized losses	(98.7)		(39.9)		—		(9.7)		(8.8)		(157.1)		(3)

Amortization/Accretion	—		(.8)		—		—		—		(.8)
Purchases	74.2		126.8		—		24.7		7.2		232.9
Sales	(109.9)		(105.4)		—		(8.1)		(56.0)		(279.4)


Transfers in	—		—		—		—		—		—
Transfers out	—		—		—		—		—		—
Balance at March 31, 2020	$	645.6	$	1,090.3	$	.1	$	660.9	$	144.7	$	2,541.6	(2)

(1) Includes private equity funds, a hedge fund 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”.

The following tables present significant unobservable inputs used in estimating the fair value of White Mountains’s other long-term investments, other than private equity funds, hedge funds, Lloyd’s trust deposits, bank loans funds and ILS funds, classified within Level 3 as of March 31, 2021 and December 31, 2020. The fair value of investments in private equity funds, hedge funds, Lloyd’s trust deposits, bank loans funds and ILS funds are generally estimated using the NAV of the funds.

$ in Millions

March 31, 2021

Description

Valuation Technique(s) (1)

Fair Value (2)

Unobservable Inputs

Discount Rate (3)(4)

Terminal Cash Flow Exit Multiple (x) or Terminal Revenue Growth Rate (%) (4)

Kudu’s Participation Contracts (5)

Discounted cash flow

$427.4

18% - 23%

7x - 12x

PassportCard/DavidShield

Discounted cash flow

$95.0

23%

Elementum Holdings, L.P.

Discounted cash flow

$56.7

17%

Private debt instruments

Discounted cash flow

$17.0

4% - 8%

N/A

All other

Discounted cash flow

$19.8

20% - 24%

New Market Solutions, LLC

Recent transaction

$9.9

Transaction price:

$9.9

Noblr, Inc.

Recent transaction

$8.7

Transaction price:

$8.7

Zillion Insurance Services, Inc.

Recent transaction

$5.0

Transaction price:

$5.0

(4) 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, 2020

Description

Valuation Technique(s) (1)

Fair Value (2)

Unobservable Inputs

Discount Rate (3)(4)

Terminal Cash Flow Exit Multiple (x) or Terminal Revenue Growth Rate (%) (4)

Kudu’s Participation Contracts (5)

Discounted cash flow

$400.6

18% - 23%

7x - 12x

PassportCard/DavidShield (6)

Discounted cash flow

$95.0

23%

Elementum Holdings, L.P.

Discounted cash flow

$55.1

17%

Private debt instruments

Discounted cash flow

$17.1

4% - 8%

N/A

All other

Discounted cash flow

$18.8

20% - 24%

New Market Solutions, LLC

Recent transaction

$9.9

Transaction price:

$9.9

Noblr, Inc.

Recent transaction

$8.7

Transaction price:

$8.7

Zillion Insurance Services, Inc.(7)

Recent transaction

$5.0

Transaction price:

$5.0