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Investment Securities
 12 Months Ended
Dec. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Investment Securities
White Mountains’s portfolio of investment securities held for general investment purposes consists of fixed maturity investments, short-term investments, its investment in MediaAlpha, common equity securities 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 amortized or accreted cost, which approximated fair value as of December 31, 2020 and 2019.
Other long-term investments consist primarily of unconsolidated entities, including Kudu’s Participation Contracts, private equity funds, hedge funds, the ILS Funds and private debt instruments.
Net Investment Income

White Mountains’s net investment income is comprised primarily of interest income associated with White Mountains’s fixed maturity investments and short-term investments, distributions from its investment in MediaAlpha, dividend income from common equity securities and distributions from other long-term investments.
The following table presents pre-tax net investment income for the years ended December 31, 2020, 2019 and 2018:
Year Ended December 31,
Millions202020192018
Fixed maturity investments$29.0 $32.4 $35.1 
Short-term investments1.1 5.0 8.0 
Investment in MediaAlpha (1)
59.9 8.0 — 
Common equity securities6.6 13.5 15.1 
Other long-term investments 35.6 22.1 3.8 
Total investment income132.2 81.0 62.0 
Third-party investment expenses(1.2)(1.3)(3.0)
Net investment income$131.0 $79.7 $59.0 
(1) For 2018, MediaAlpha was a majority-owned consolidated subsidiary of White Mountains. See Note 2 — “Significant Transactions”

Net Realized and Unrealized Investment Gains (Losses)

The following table presents net realized and unrealized investment gains (losses) for the years ended December 31, 2020, 2019 and 2018:
Year Ended December 31,
Millions202020192018
Fixed maturity investments$38.5 $43.5 $(34.7)
Short-term investments.4 .2 (.8)
Investment in MediaAlpha (1)
686.0 180.0 — 
Common equity securities6.5 195.7 (98.9)
Other long-term investments (2)
(14.6)13.8 26.1 
Net realized and unrealized investment gains (losses)716.8 433.2 (108.3)
Less: net gains (losses) on investment securities sold
during the period 		20.2 24.6 (33.0)
Net realized and unrealized investment gains (losses) on investment securities held at the end of the period$696.6 $408.6 $(75.3)
(1) For 2018, MediaAlpha was a majority-owned consolidated subsidiary of White Mountains. See Note 2 — “Significant Transactions”
(2) For 2020, 2019 and 2018, includes $4.0, $(0.3) and $(0.8) of realized and unrealized investment gains (losses) related to foreign currency exchange.

For the years ended December 31, 2020, 2019 and 2018, all of White Mountains’s net realized and unrealized investment gains (losses) were recorded in the consolidated statements of operations. There were no investment gains (losses) recorded in other comprehensive income.
White Mountains recognized gross realized investment gains of $214.4 million, $104.0 million and $49.4 million and gross realized investment losses of $27.3 million, $7.4 million and $62.3 million on sales of investment securities for the years ending December 31, 2020, 2019 and 2018.
The following table presents total gains included in earnings attributable to net unrealized investment gains for Level 3 investments for the years ended December 31, 2020, 2019 and 2018 for investments still held at the end of the period:
Year Ended December 31,
Millions202020192018
Other long-term investments (1)
$276.0 $181.9 $22.6 
Total net unrealized investment gains, pre-tax - Level 3 investments$276.0 $181.9 $22.6 
(1) For 2020 and 2019, includes $278.7 and $180.0 of unrealized investment gains from White Mountains’s investment in MediaAlpha.
Proceeds from the sales and maturities of investments, excluding short-term investments, totaled $1.4 billion, $1.0 billion and $2.2 billion for the years ended December 31, 2020, 2019 and 2018.

Investment Holdings

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 December 31, 2020 and 2019.
December 31, 2020
MillionsCost 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 corporations522.8 24.7 (.1)547.4 
Municipal obligations244.0 21.0 — 265.0 
Mortgage and asset-backed securities211.7 6.8 — 218.5 
Total fixed maturity investments$1,151.7 $55.6 $(.1)$1,207.2 
December 31, 2019
MillionsCost 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 corporations454.9 12.5 (.2)467.2 
Municipal obligations284.7 12.5 (.1)297.1 
Mortgage and asset-backed securities206.6 2.7 (.3)209.0 
Total fixed maturity investments$1,177.9 $28.7 $(.8)$1,205.8 

The weighted average duration of White Mountains’s fixed income portfolio was approximately 3.2 years, including short-term investments, and approximately 3.6 years, excluding short-term investments, as of December 31, 2020.
The following table presents the cost or amortized cost and carrying value of White Mountains’s fixed maturity investments by contractual maturity as of December 31, 2020. Actual maturities could differ from contractual maturities because borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties.
December 31, 2020
MillionsCost or Amortized CostCarrying Value
Due in one year or less$126.0 $127.0 
Due after one year through five years417.5 433.6 
Due after five years through ten years283.2 303.2 
Due after ten years113.3 124.9 
Mortgage and asset-backed securities211.7 218.5 
Total$1,151.7 $1,207.2 
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 investment in MediaAlpha, common equity securities and other long-term investments as of December 31, 2020 and 2019:
December 31, 2020
MillionsCost or
Amortized Cost		Gross Unrealized
Gains		Gross Unrealized
Losses		Net Foreign
Currency Gains		Carrying
Value
Investment in MediaAlpha
$— $802.2 $— $— $802.2 
Common equity securities $— $— $— $— $— 
Other long-term investments$767.4 $95.8 $(78.1)$1.7 $786.8 
December 31, 2019
MillionsCost or
Amortized Cost		Gross Unrealized
Gains		Gross Unrealized
Losses		Net Foreign
Currency Losses		Carrying
Value
Investment in MediaAlpha
$— $180.0 $— $— $180.0 
Common equity securities$553.3 $130.6 $— $— $683.9 
Other long-term investments$667.4 $75.2 $(64.1)$(2.2)$676.3 

Fair Value Measurements as of December 31, 2020
Fair value measurements are categorized into a hierarchy that distinguishes between inputs based on market data from independent sources (“observable inputs”) and a reporting entity’s internal assumptions based upon the best information available when external market data is limited or unavailable (“unobservable inputs”). Quoted prices in active markets for identical assets or liabilities have the highest priority (“Level 1”), followed by observable inputs other than quoted prices, including prices for similar but not identical assets or liabilities (“Level 2”) and unobservable inputs, including the reporting entity’s estimates of the assumptions that market participants would use, having the lowest priority (“Level 3”). As of December 31, 2020 and 2019, White Mountains used quoted market prices or other observable inputs to determine fair value for approximately 73% and 71% of the investment portfolio. See Note 1 — “Basis of Presentation and Significant Accounting Policies”.
Fair Value Measurements by Level
The following tables present White Mountains’s fair value measurements for investments as of December 31, 2020 and 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, 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.
December 31, 2020
MillionsFair ValueLevel 1Level 2Level 3
Fixed maturity investments:
U.S. Government and agency obligations$176.3 $176.3 $— $— 
Debt securities issued by corporations: 
Financials133.9 — 133.9 — 
Consumer81.9 — 81.9 — 
Industrial66.9 — 66.9 — 
Technology66.7 — 66.7 — 
Healthcare51.5 — 51.5 — 
Communications44.5 — 44.5 — 
Energy35.8 — 35.8 — 
Materials33.9 — 33.9 — 
Utilities32.3 — 32.3 — 
Total debt securities issued by corporations547.4 — 547.4 — 
Municipal obligations265.0 — 265.0 — 
Mortgage and asset-backed securities218.5 — 218.5 — 
Total fixed maturity investments 1,207.2 176.3 1,030.9 — 
Short-term investments (1)
142.9 142.9 — — 
Investment in MediaAlpha802.2 802.2 — — 
Other long-term investments614.2 — — 614.2 
Other long-term investments — NAV(2)
172.6 — — — 
Total other long-term investments786.8 — — 614.2 
Total investments$2,939.1 $1,121.4 $1,030.9 $614.2 
(1) Short-term investments are measured at amortized cost, which approximates fair value.
(2) Consists of private equity funds and the 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
MillionsFair ValueLevel 1Level 2Level 3
Fixed maturity investments:    
U.S. Government and agency obligations$232.5 $232.5 $— $— 
Debt securities issued by corporations:    
Financials144.8 — 144.8 — 
Industrial59.0 — 59.0 — 
Healthcare52.6 — 52.6 — 
Consumer50.9 — 50.9 — 
Energy44.9 — 44.9 — 
Technology41.2 — 41.2 — 
Communications31.3 — 31.3 — 
Utilities25.0 — 25.0 — 
Materials17.5 — 17.5 — 
Total debt securities issued by corporations467.2 — 467.2 — 
Municipal obligations297.1 — 297.1 — 
Mortgage and asset-backed securities209.0 — 209.0 — 
Total fixed maturity investments 1,205.8 232.5 973.3 — 
Short-term investments (1)
201.2 189.4 11.8 — 
Investment in MediaAlpha180.0 — — 180.0 
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 securities683.9 547.5 136.3 .1 
Other long-term investments 474.0 — — 474.0 
Other long-term investments — NAV (4)
202.3 — — — 
Total other long-term investments676.3 — — 474.0 
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 the 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.

Investments Held on Deposit or as Collateral

As of December 31, 2020 and 2019, investments of $432.4 million and $319.9 million, were held in trusts required to be maintained in relation to HG Global’s reinsurance agreements with BAM. White Mountains’s insurance subsidiaries are required to maintain deposits with certain insurance regulatory agencies in order to maintain their insurance licenses. The fair value of such deposits, which represent state deposits and are included within the investment portfolio, totaled $11.9 million and $9.9 million as of December 31, 2020 and 2019.
Debt Securities Issued by Corporations

The following table presents the credit ratings of debt securities issued by corporations held in White Mountains’s investment portfolio as of December 31, 2020 and 2019:
Fair Value at December 31,
Millions20202019
AAA$10.6 $9.5 
AA57.9 73.9 
A318.3 288.5 
BBB159.6 95.3 
BB1.0 — 
Debt securities issued by corporations (1)
$547.4 $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 and Asset-backed Securities

The following table presents the fair value of White Mountains’s mortgage and asset-backed securities as of December 31, 2020 and 2019:
 December 31, 2020December 31, 2019
MillionsFair ValueLevel 2Level 3Fair ValueLevel 2Level 3
Mortgage-backed securities:      
Agency:      
FNMA$88.7 $88.7 $— $88.6 $88.6 $— 
FHLMC70.1 70.1 — 60.5 60.5 — 
GNMA40.6 40.6 — 30.8 30.8 — 
Total agency (1)
199.4 199.4 — 179.9 179.9 — 
Total mortgage-backed securities199.4 199.4 — 179.9 179.9 — 
Other asset-backed securities:  
Credit card receivables11.3 11.3 — 14.0 14.0 — 
Vehicle receivables7.8 7.8 — 15.1 15.1 — 
Total other asset-backed securities19.1 19.1 — 29.1 29.1 — 
Total mortgage and asset-backed securities$218.5 $218.5 $— $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).

Investment in MediaAlpha

On February 26, 2019, in connection with the 2019 MediaAlpha Transaction, MediaAlpha was deconsolidated and was subsequently accounted for at fair value within other long-term investments.
On October 30, 2020, MediaAlpha completed the MediaAlpha IPO. In the offering, White Mountains sold 3,609,894 shares and received total proceeds of $63.8 million. Following the MediaAlpha IPO, White Mountains owns 20,532,202 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 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. For comparability purposes, the amounts related to MediaAlpha in 2019 subsequent to the 2019 MediaAlpha Transaction have been reclassified from other long-term investments to the investment in MediaAlpha.
Other Long-Term Investments

The following table presents the carrying values of White Mountains’s other long-term investments as of December 31, 2020 and 2019:

Carrying Value at
MillionsDecember 31, 2020December 31, 2019
Kudu’s Participation Contracts$400.6 $266.5 
PassportCard/DavidShield95.0 90.0 
Elementum Holdings L.P. 55.1 55.1 
Other unconsolidated entities (1)
42.4 33.7 
Total unconsolidated entities (2)
593.1 445.3 
Private equity funds and hedge funds121.2 161.1 
Insurance-linked securities funds51.4 41.2 
Private debt investments (2) (3)
21.1 28.7 
Total other long-term investments$786.8 $676.3 
(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.
(3) Includes $5.8 and $5.0 in private debt investments carried at fair value as of December 31. 2020 and amortized cost as of December 31, 2019.


Private Equity Funds and Hedge Funds
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 December 31, 2020, White Mountains held investments in fourteen private equity funds.  The largest investment in a single private equity
fund or hedge fund was $29.1 million as of December 31, 2020 and $54.6 million as of December 31, 2019. In the first quarter of 2020, White Mountains redeemed its sole hedge fund having a fair value of $45.6 million. The bulk of the redemption proceeds, subject to customary audit holdbacks, were received in April 2020 and the remaining balance is expected to be received in April 2021.
The following table presents investments and unfunded commitments in private equity funds and hedge funds by investment objective and sector as of December 31, 2020 and 2019:
 December 31, 2020December 31, 2019
MillionsFair ValueUnfunded
Commitments		Fair ValueUnfunded
Commitments
Private equity funds    
Aerospace/Defense/Government$69.1 $15.3 $33.8 $23.3 
Manufacturing/Industrial28.6 — 57.7 4.1 
Financial services23.5 30.4 15.0 22.8 
Total private equity funds121.2 45.7 106.5 50.2 
Hedge funds    
Long/short banks and financial— — 54.6 — 
Total hedge funds— — 54.6 — 
Total private equity funds and hedge funds
   included in other long-term investments
$121.2 $45.7 $161.1 $50.2 
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.
The following table presents investments in private equity funds that were subject to lock-up periods as of December 31, 2020:
Millions1 – 3 years3 – 5 years5 – 10 years>10 yearsTotal
Private equity funds — expected lock-up period remaining
$8.0 $40.7 $64.7 $7.8 $121.2 

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 December 31, 2020 and 2019, 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.
Insurance-Linked Securities Funds
White Mountains’s other long-term investments include the ILS Funds. The fair value of these investments is generally estimated using the NAV of the funds. As of December 31, 2020, White Mountains held investments in four ILS Funds with a fair value of $51.4 million.
Investments in the 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.
The 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 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.
Rollforward of Fair Value Measurements by Level

 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 December 31, 2020 and 2019 consist of securities for which the estimated fair value has not been determined based upon quoted market price inputs for identical or similar securities.
The following tables present the changes in White Mountains’s fair value measurements by level for the years ended December 31, 2020 and 2019:
Level 3 Investments
Other Long-term Investments Measured at NAV (1)
MillionsLevel 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 gains436.4 15.9 — 275.6 (11.5)716.4 
(3)
Amortization/accretion(.1)(4.4)— — — (4.5)
Purchases133.9 437.6 — 151.5 43.6 766.6 
Sales(830.4)(527.8)(.1)(8.2)(61.8)(1,428.3)
Effect of MediaAlpha IPO (4)
458.7 — — (458.7)— — 
Transfers in— — — — — — 
 
Transfers out— — — — — — 
 
Balance at December 31, 2020$978.5 $1,030.9 $— $614.2 $172.6 $2,796.2 
(2)
(1) Includes private equity funds, hedge funds and the 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 $142.9 and $201.2 as of December 31, 2020 and 2019 classified as short-term investments.
(3) Excludes realized and unrealized losses associated with short-term investments of $0.4 for the year ended December 31, 2020.
(4) Represents the reclassification of White Mountains’s investment in MediaAlpha from a level 3 measurement to a level 1 measurement in connection with the MediaAlpha IPO. See Note 2 - “Significant Transactions”.

   Level 3 Investments
Other Long-term Investments Measured at NAV (1)
MillionsLevel 1
Investments		Level 2
Investments		Common
Equity
Securities		Other Long- term
Investments and Investment in MediaAlpha 		 Total
Balance at December 31, 2018$842.6 $1,160.5 $— $138.7 $186.9 $2,328.7 
(2)
Net realized and unrealized gains163.0 76.1 — 181.2 12.7 
 
433.0 
(3)
Amortization/accretion.2 (1.8)— — — 
 
(1.6)
Purchases165.3 404.5 .1 185.4 110.8 
 
866.1 
Sales(391.1)(529.7)— — (29.5)(950.3)
Effect of Kudu Transaction— — — 141.8 (71.7)70.1 
Transfers in— — — 10.9 4.0 
 
14.9 
Transfers out— — — (4.0)(10.9) (14.9)
Balance at December 31, 2019$780.0 $1,109.6 $.1 $654.0 $202.3 $2,746.0 
(2)
(1) Includes private equity funds, hedge funds and the 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 $201.2 and $214.2 as of December 31, 2019 and 2018 classified as short-term investments.
(3) Includes $114.7 unrealized investment gain associated with the 2019 MediaAlpha Transaction. See Note 2 — “Significant Transactions”.
(4) Excludes realized and unrealized losses associated with short-term investments of $0.2 for the year ended December 31, 2019.
Fair Value Measurements — Transfers Between Levels - For Years Ended December 31, 2020 and 2019
Transfers between levels are generally recorded using the fair value measurement as of the end of the quarterly period in which the event or change in circumstance giving rise to the transfer occurred.
During 2020 and 2019, there were no fixed maturity investments or other long-term investments classified as Level 3 measurements in the prior period that were transferred to Level 2 measurements.
During 2020 and 2019, there were no fixed maturity investments or other long-term investments classified as Level 2 measurements in the prior period that were transferred to Level 3 measurements.
During 2020, in connection with the MediaAlpha IPO, White Mountains’s investment in MediaAlpha was reclassified from a Level 3 measurement to a Level 1 measurement.

Significant Unobservable Inputs

The following tables present significant unobservable inputs used in estimating the fair value of White Mountains’s investment in MediaAlpha and other long-term investments, other than private equity funds, hedge funds and the ILS Funds, classified within Level 3 as of December 31, 2020 and 2019. The fair value of investments in private equity funds, hedge funds and the ILS Funds are generally estimated using the NAV of the funds.
$ in MillionsDecember 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 $400.618% - 23%7x - 12x
PassportCard/DavidShield (6)
Discounted cash flow $95.023%4%
Elementum Holdings, L.P.Discounted cash flow $55.117%4%
Private debt instrumentsDiscounted cash flow $17.14% - 8%N/A
All otherDiscounted cash flow $18.820% - 24%4%
New Market Solutions, LLCRecent transaction$9.9Transaction price:$9.9
Noblr, Inc.Recent transaction$8.7Transaction price:$8.7
Zillion Insurance Services, Inc. (7)
Recent transaction$5.0Transaction 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.
$ in MillionsDecember 31, 2019
Description
Valuation Technique(s) (1)
Fair Value (2)
Unobservable Inputs
Discount Rate (3)
Terminal Cash Flow Exit
Multiple (x) or Terminal
Revenue Growth Rate (%)(3)
Kudu’s Participation Contracts (4)
Discounted cash flow$266.515% - 22%6x - 12x
Investment in MediaAlphaDiscounted cash flow $180.015%4%
PassportCard/DavidShieldDiscounted cash flow$90.022%4%
Elementum Holdings, L.P. (5)
Discounted cash flow$55.120%4%
Private debt instrumentsDiscounted cash flow$23.74% - 9%N/A
All otherDiscounted cash flow$23.725% - 32%4%
Noblr, Inc.Recent transaction$5.0Transaction price:$5.0
Zillion Insurance Services, Inc. (6)
Recent transaction$2.5Transaction price:$2.5
Compare.comEstimated net realizable value$2.5Net realizable value:$2.5
(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) 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.
(4) In 2019, Kudu deployed a total of $198.0 in new Kudu Participation Contracts, including Fair Oaks Capital, Versus Capital Advisors, First Long Island Investors, EJF Capital, Warwick Capital Partners and Pennybacker Capital Management.
(5) In 2019, White Mountains made a $55.1 investment in Elementum Holdings, L.P. See Note 2 - “Significant Transactions”.
(6) In 2019, White Mountains made a $2.5 investment in Zillion Insurance Services, Inc.