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Investment Securities (Tables)

3 Months Ended

Mar. 31, 2021

Investments, Debt and Equity Securities [Abstract]

Pre-tax net investment income

The following table presents pre-tax net investment income for the three months ended March 31, 2021 and 2020:

												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

Schedule of net realized and unrealized investment gains and losses

The following table presents net realized and unrealized investment gains (losses) for the three months ended March 31, 2021 and 2020:

									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)

(1) For the three months ended March 31, 2021 and 2020, includes $(0.2) and $(0.4) of realized and unrealized investment losses related to foreign currency exchange.

Net unrealized investment gains (losses) for Level 3 investments

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:

						Three Months Ended
						March 31,
Millions						2021						2020
Other long-term investments						$	16.7					$	(9.4)
Total net unrealized investment gains (losses), pre-tax - Level 3 investments						$	16.7					$	(9.4)

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 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						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

Fair value measurements by level, investment securities

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

(1) Consist of investments in listed funds that predominantly invest in international equities.

(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) 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.

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 March 31, 2021 and December 31, 2020:

						Fair Value at
Millions						March 31, 2021						December 31, 2020
AAA						$	12.7					$	10.6
AA						60.2						57.9
A						353.2						318.3
BBB						250.9						159.6
BB						1.0						1.0
Other						8.9						—
Debt securities issued by corporations (1)						$	686.9					$	547.4

(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 and collateralized loan obligations as of March 31, 2021 and December 31, 2020:

						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					$	—

(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).

Schedule of carrying values for other long-term investments

The following table presents the carrying values of White Mountains’s other long-term investments as of March 31, 2021 and December 31, 2020:

						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.

(2) See Fair Value Measurements by Level table.

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 March 31, 2021 and 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

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 March 31, 2021:

Millions						1 – 3 years						3 – 5 years						5 – 10 years						>10 years						Total
Private equity funds — expected lock-up period remaining						$6.8						$27.0						$74.5						$13.2						$121.5

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 March 31, 2021 and 2020:

															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”.

(2) Excludes carrying value of $625.8 and $142.9 as of March 31, 2021 and December 31, 2020 classified as short-term investments.

(3) Excludes realized and unrealized losses associated with short-term investments of $(1.3) and includes amounts attributable to TPC Providers of $1.3 for the three months ended March 31, 2021.

																		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”.

(2) Excludes carrying value of $137.6 and $201.2 as of March 31, 2020 and December 31, 2019 classified as short-term investments.

(3) Excludes realized and unrealized losses associated with short-term investments of $0.4 for the three months ended March 31, 2020.

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 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%

4%

Elementum Holdings, L.P.

Discounted cash flow

$56.7

17%

4%

Private debt instruments

Discounted cash flow

$17.0

4% - 8%

N/A

All other

Discounted cash flow

$19.8

20% - 24%

4%

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

(1) Key inputs to the discounted cash flow analysis generally include projections of future revenue and earnings, discount rates and terminal exit multiples or growth rates.

(2) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs.

(3) 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.

(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.

(5) In the first quarter of 2021, Kudu deployed a total of $10.9 in TIG Advisors LLC, an existing Kudu Participation Contract.

$ 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%

4%

Elementum Holdings, L.P.

Discounted cash flow

$55.1

17%

4%

Private debt instruments

Discounted cash flow

$17.1

4% - 8%

N/A

All other

Discounted cash flow

$18.8

20% - 24%

4%

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

(1) Key inputs to the discounted cash flow analysis generally include projections of future revenue and earnings, discount rates and terminal exit multiples or growth rates.

(2) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs.

(3) 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.

(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.

(5) In 2020, Kudu deployed a total of $118.2 in new Kudu Participation Contracts, including Creation Investments Capital, Sequoia Financial Group, Channel Capital and Ranger Investment Management.

(6) In 2020, White Mountains made an additional $15.0 investment in PassportCard/DavidShield. See Note 2 — “Significant Transactions”.

(7) In 2020, White Mountains made an additional $2.5 investment in Zillion Insurance Services, Inc.

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Tabular disclosure of investment income, including, but not limited to, interest and dividend income and amortization of discount (premium) derived from debt and equity securities. Excludes realized and unrealized gain (loss) on investments.

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-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
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-Section S99
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-Subparagraph (SX 210.5-03.8)
-URI http://asc.fasb.org/extlink&oid=120395209&loc=SL114868664-224227

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- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
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-Subparagraph (b)
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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
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- Definition

Tabular disclosure of other investments not readily marketable, including, but not limited to, description of investment, fair value and value as measured by quoted price.

+ References

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-SubTopic 820
-Section 50
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- Definition

Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in net income (trading) and investment in equity security measured at fair value with change in fair value recognized in net income (FV-NI).

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No definition available.

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- Definition

Tabular disclosure of the fair value measurement of assets measured at fair value on a recurring basis, including a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: total gains or losses for the period (realized and unrealized), amortization or accretion of discount, purchases, sales, issuances, transfers in and transfers out of each level of the fair value hierarchy by class of asset.

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- Definition

Tabular disclosure of hedge funds and private equity investments held at fair value by investment objective or sector and the amount of unfunded commitments associated with each objective or sector.

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- Definition

Tabular disclosure of fixed maturity securities by credit quality indicator.

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- Definition

Tabular disclosure of expected lock up period of private equity investments.

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- Definition

Tabular disclosure of realized and unrealized gains and losses on investments reported in the statement of income.

+ References

No definition available.

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