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Debt | 6 Months Ended
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Jun. 30, 2021
Debt Disclosure [Abstract] |
Debt | Debt The following table presents White Mountains’s debt outstanding as of June 30, 2021 and December 31, 2020:
Millions |  | June 30, 2021 |  | Effective Rate | (1) |  | December 31, 2020 |  | Effective Rate | (1) |
Ark Alesco Notes, carrying value |  | $ | 30.0 |  |  |  |  | $ | — |  |  |  |
Ark Dekania Note, carrying value |  | 14.2 |  |  |  |  | — |  |  |  |
Ark Subordinated Notes, carrying value |  | 44.2 |  |  | 4.8% |  | — |  |  |  |
NSM Bank Facility |  | 276.6 |  |  | 7.6% | (2) |  | 277.4 |  |  | 7.5% | (2) |
Unamortized issuance cost |  | (7.2) |  |  |  |  | (6.1) |  |  |  |
NSM Bank Facility, carrying value |  | 269.4 |  |  |  |  | 271.3 |  |  |  |
Other NSM debt, carrying value |  | 1.3 |  |  | 3.5% |  | 1.3 |  |  | 2.5% |
Kudu Credit Facility |  | 102.0 |  |  | 5.6% |  | — |  |  |  |
Unamortized issuance cost |  | (7.5) |  |  |  |  | — |  |  |  |
Kudu Credit Facility, carrying value |  | 94.5 |  |  |  |  | — |  |  |  |
Kudu Bank Facility |  | — |  |  |  |  | 89.2 |  |  | 8.3% |
Unamortized issuance cost |  | — |  |  |  |  | (2.9) |  |  |  |
Kudu Bank Facility, carrying value |  | — |  |  |  |  | 86.3 |  |  |  |
Other Operations debt |  | 19.8 |  |  | 7.4% |  | 18.0 |  |  | 7.4% |
Unamortized issuance cost |  | (.4) |  |  |  |  | (.5) |  |  |  |
Other Operations, carrying value |  | 19.4 |  |  |  |  | 17.5 |  |  |  |
Total debt |  | $ | 428.8 |  |  |  |  | $ | 376.4 |  |  |  |
(1) Effective rate includes the effect of the amortization of debt issuance costs. (2) NSM’s effective rate excludes the effect of the interest rate swap on the hedged portion of the debt. The weighted average interest rate for the quarter ended June 30, 2021 and December 31, 2020, excluding the effect of amortization of debt issuance costs, was 7.0% and 7.0%. The weighted average interest rate for the quarter ended June 30, 2021 and December 31, 2020 on the total NSM Bank Facility including both the effect of the amortization of debt issuance costs and the effect of the interest rate swap was 8.5% and 8.4%. Ark Subordinated Notes In March 2007, Ark issued $30.0 million face value of floating rate unsecured junior subordinated deferrable interest notes to Alesco Preferred Funding XII Ltd., Alesco Preferred Funding XIII Ltd. and Alesco Preferred Funding XIV Ltd (the “Ark Alesco Notes”) and a €12.0 million floating rate subordinated note to Dekania Europe CDO II plc (the “Ark Dekania Note”) (together, the “Ark Subordinated Notes”). The Alesco Notes, which mature in June 2037, accrue interest at a floating rate equal to the three-month U.S. LIBOR plus 4.6%. The Ark Dekania Note, which matures in June 2027, accrues interest at a floating rate equal to the three-month EURIBOR plus 4.6%. As of June 30, 2021, the Ark Alesco Notes had an outstanding balance of $30.0 million and the Ark Dekania Note had an outstanding balance of €12.0 million (approximately $14.2 million based upon the foreign exchange spot rate as of June 30, 2021). Ark Stand By Letter of Credit Facility Ark has a secured stand by letter of credit facility (the “Ark LOC Facility”) with three lenders, Lloyds Bank plc, National Westminster Bank plc and ING Bank N.V, London Branch to provide capital support for the Syndicates. As of June 30, 2021, the utilized level of the facility was $45.0 million, with the ability to increase up to $150.0 million, subject to formal approval by Lloyd’s. The Ark LOC Facility has a termination date of December 31, 2025. During the three and six months ended June 30, 2021, Ark did not borrow or make any repayments under the Ark LOC Facility. The Ark LOC Facility, which provides funds at Lloyd’s, is secured by all property of the loan parties and contains various affirmative, negative and financial covenants that White Mountains considers to be customary for such borrowings, including a minimum tangible net worth covenant. NSM Bank Facility NSM maintains a secured credit facility (the “NSM Bank Facility”) with Ares Capital Corporation. In both 2021 and 2020, NSM amended the terms of the facility. On April 7, 2020, NSM amended the NSM Bank Facility to increase the total commitment from $234.0 million, comprised of term loans of $224.0 million and a revolving credit loan commitment of $10.0 million, to $291.4 million, comprised of term loans of $276.4 million, including £42.5 million (approximately $52.4 million based upon the foreign exchange spot rate as of the date of the transaction) in a GBP term loan, and a revolving credit loan commitment of $15.0 million. In connection with the April 7, 2020 amendment, the reference rates for USD denominated borrowings increased. The USD-LIBOR rate floor increased to 1.25% and the margin over USD-LIBOR increased from a range of 4.25% to 4.75% to a range of 5.50% to 6.00%. On June 2, 2021, NSM amended the NSM Bank Facility to reduce the margin over the reference interest rate for USD LIBOR loans from a range of 5.5% to 6.00% to a range of 4.50% to 5.00%, and reduce the margin over the reference rate for GBP loans from a range of 6.0% to 6.50% to a range of 5.00% to 5.50%. The amendment also increased the revolving credit loan commitment to $40.0 million and added a $50.0 million delayed-draw term loan commitment. The amendment also changed the reference interest rate for the GBP loan from GBP-LIBOR to SONIA. The maturity dates of the term loans and the revolving credit loans were not changed as part of the amendment. The term loans under the NSM Bank Facility mature on May 11, 2026, and the revolving loan matures on November 11, 2025. The reference interest rates under the NSM Bank Facility are generally subject to a 1.25% rate floor. Under GAAP, if the terms of a debt instrument are amended, unless there is greater than 10% change in the expected discounted future cash flows of such instrument, the instrument’s carrying value does not change. White Mountains has determined that the impact of the 2021 and 2020 amendments to the NSM Bank Facility was less than 10% on the expected discounted future cash flows. The following table presents the change in debt under the NSM Bank Facility for the three and six months ended June 30, 2021 and 2020:
NSM Bank Facility |  | Three Months Ended |  | Six Months Ended
|  | June 30, |  | June 30,
Millions |  | 2021 |  | 2020 |  | 2021 |  | 2020
Beginning balance |  | $ | 277.3 |  |  | $ | 220.7 |  |  | $ | 277.4 |  |  | $ | 221.3 |
Term loans |  |  |  |  |  |  |  |
Borrowings (1) |  | — |  |  | 52.4 |  |  | — |  |  | 52.4 |
Repayments |  | (.7) |  |  | — |  |  | (1.4) |  |  | (.6) |
Foreign currency translation |  | — |  |  | .3 |  |  | .6 |  |  | .3 |
Revolving credit loan |  |  |  |  |  |  |  |
Borrowings |  | — |  |  | — |  |  | — |  |  | — |
Repayments |  | — |  |  | — |  |  | — |  |  | — |
Ending balance |  | 276.6 |  |  | 273.4 |  |  | $ | 276.6 |  |  | $ | 273.4 |
(1) Borrowings for both the three and six months ended June 30, 2020 included $52.4 for the funding of the acquisition of Kingsbridge. As of June 30, 2021, the term loans had an outstanding balance of $276.6 million, including £42.1 million (approximately $58.1 million based upon the foreign exchange spot rate as of June 30, 2021) in a GBP term loan, and the revolving credit loan was undrawn. On June 15, 2018, NSM entered into an interest rate swap agreement to hedge its exposure to interest rate risk on $151.0 million of its USD denominated variable rate term loans. See Note 9 — “Derivatives”. As of June 30, 2021, $146.8 million of the outstanding term loans were hedged by the swap and $129.8 million of the outstanding term loans were unhedged. The following table presents the NSM weighted average interest rate for the six months ended June 30, 2021 and 2020:
NSM Weighted Average Interest Rate |  | Six Months Ended June 30,
|  | 2021 |  | 2020
Millions |  | Weighted Average |  | Interest Expense (1) |  | Weighted Average Interest rate |  | Weighted Average |  | Interest Expense (1) |  | Weighted Average Interest rate
Term loan - hedged |  | $ | 147.4 |  |  | $ | 6.8 |  |  | 9.2 | % |  | $ | 148.5 |  |  | $ | 6.4 |  |  | 8.6 | %
Term loan - unhedged |  | 129.9 |  | 5.0 |  | 7.7 | % |  | 123.8 |  | 3.6 |  | 5.8 | %
Total NSM Facility |  | $ | 277.3 |  |  | $ | 11.8 |  |  | 8.5 | % |  | $ | 272.3 |  |  | $ | 10.0 |  |  | 7.3 | %
(1) Interest expense includes the amortization of debt issuance costs and the effect of the interest rate swap and excludes interest expense related to the Other NSM Debt. The NSM Bank Facility is secured by all property of the loan parties and contains various affirmative, negative and financial covenants that White Mountains considers to be customary for such borrowings, including a maximum consolidated total leverage ratio covenant. Other NSM Debt NSM also has a secured term loan related to its U.K. vertical. As of June 30, 2021, the secured term loan had an outstanding balance of $1.4 million and a maturity date of December 31, 2022. Kudu Credit Facility and Kudu Bank Facility On December 23, 2019, Kudu entered into a secured credit facility with Monroe Capital Management Advisors, LLC (the “Kudu Bank Facility”). On March 23, 2021, Kudu replaced the Kudu Bank Facility and entered into a secured revolving credit facility (the “Kudu Credit Facility”) with Massachusetts Mutual Life Insurance Company to fund new investments and related transaction expenses. The maximum borrowing capacity of the Kudu Credit Facility is $300.0 million, which includes the initial advanced amount of $102.0 million. The Kudu Credit Facility matures on March 23, 2036. In connection with the replacement of the Kudu Bank Facility, Kudu recognized a total loss of $4.1 million, representing debt issuance costs and prepayment fees, which are included within interest expense for the year to date period ended June 30, 2021. Interest on the Kudu Credit Facility accrues at a floating interest rate equal to the greater of the three-month USD-LIBOR and 0.25%, plus in each case, the applicable spread of 4.30%. The Kudu Credit Facility requires Kudu to maintain an interest reserve account, which is included in restricted cash. As of June 30, 2021, the interest reserve account is $4.0 million. The Kudu Credit Facility requires Kudu to maintain a ratio of outstanding balance to the sum of fair market value of participation contracts and cash held in certain accounts (the “LTV Percentage”) of less than 50% in years 0-3, 40% in years 4-6, 25% in years 7-8, 15% in years 9-10, and 0% thereafter. As of June 30, 2021, Kudu has a 23.2% LTV Percentage. Kudu may borrow undrawn balances within the initial three year availability period, subject to customary terms and conditions, to the extent the amount borrowed under the Kudu Credit Facility does not exceed the borrowing base which is equal to 35% of the fair value of Kudu’s qualifying participation contracts. When considering White Mountains’s remaining equity commitment to Kudu, the available undrawn balance was $70.7 million as of June 30, 2021. During the three months ended June 30, 2021, Kudu did not make any borrowings or repayments on the Kudu Credit Facility. During the six months ended June 30, 2021, Kudu borrowed $3.0 million and repaid the outstanding Kudu Bank Facility balance of $92.2 million. As of June 30, 2021, the Kudu Credit Facility had an undrawn balance of $198.0 million. The Kudu Credit Facility is secured by all property of the loan parties and contains various affirmative and negative covenants that White Mountains considers to be customary for such borrowings. Other Operations Debt As of June 30, 2021, debt in White Mountains’s Other Operations segment consisted of three secured credit facilities. The first credit facility has a maximum borrowing capacity of $16.3 million, which is comprised of a term loan of $11.3 million, a delayed-draw term loan of $3.0 million and a revolving credit loan commitment of $2.0 million, all with a maturity date of March 12, 2024. During the three months ended June 30, 2021, White Mountains’s Other Operations segment had no borrowings and made repayments of $0.2 million on the term loans and $0.3 million on the revolving credit loan, under the first credit facility. During the six months ended June 30, 2021, White Mountains’s Other Operations segment had borrowings and repayments of $0.3 million on the revolving credit loan and made repayments of $0.8 million on the term loans, under the first credit facility. As of June 30, 2021, the first credit facility had an outstanding balance of $8.3 million. The second credit facility has a maximum borrowing capacity of $15.0 million, which is comprised of a term loan of $9.0 million, a delayed-draw term loan of $4.0 million and a revolving credit loan commitment of $2.0 million, all with a maturity date of July 2, 2025. During the three and six months ended June 30, 2021, White Mountains’s Other Operations segment had no borrowings. During the three and six months ended June 30, 2021, White Mountains’s Other Operations made repayments of $0.2 million and $0.4 million on the term loans, under the second credit facility. As of June 30, 2021, the second credit facility had an outstanding balance of $8.5 million. The third credit facility has a maximum borrowing capacity of $4.0 million, which is comprised of a revolving credit loan commitment, with a maturity date of October 26, 2021. During the three and six months ended June 30, 2021, White Mountains’s Other Operations segment had no borrowings and made repayments of $0.5 million, under the third credit facility. As of June 30, 2021, the third credit facility had an outstanding balance of $3.0 million. Compliance At June 30, 2021, White Mountains was in compliance in all material respects with the covenants under all of its debt instruments.

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- Definition The entire disclosure for information about short-term and long-term debt arrangements, which includes amounts of borrowings under each line of credit, note payable, commercial paper issue, bonds indenture, debenture issue, own-share lending arrangements and any other contractual agreement to repay funds, and about the underlying arrangements, rationale for a classification as long-term, including repayment terms, interest rates, collateral provided, restrictions on use of assets and activities, whether or not in compliance with debt covenants, and other matters important to users of the financial statements, such as the effects of refinancing and noncompliance with debt covenants. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -URI http://asc.fasb.org/topic&trid=2208564 + Details
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