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Investment Securities (Tables)

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Schedule of pre-tax net investment income

The following table presents pre-tax net investment income for the years ended December 31, 2020, 2019 and 2018:


	Year Ended December 31,
Millions	2020		2019		2018
Fixed maturity investments	$	29.0	$	32.4	$	35.1
Short-term investments	1.1		5.0		8.0
Investment in MediaAlpha (1)	59.9		8.0		—
Common equity securities	6.6		13.5		15.1

Other long-term investments	35.6		22.1		3.8

Total investment income	132.2		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”

Schedule of net realized and unrealized investment gains and 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,
Millions	2020		2019		2018
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 securities	6.5		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.

Schedule of net unrealized investment gains (losses) for Level 3 investments

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,
Millions	2020		2019		2018
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.

Schedule of fixed maturity 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
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


	December 31, 2019
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Carrying Value
U.S. Government and agency obligations	$	231.7	$	1.0	$	(.2)	$	232.5
Debt securities issued by corporations	454.9		12.5		(.2)		467.2
Municipal obligations	284.7		12.5		(.1)		297.1
Mortgage and asset-backed securities	206.6		2.7		(.3)		209.0


Total fixed maturity investments	$	1,177.9	$	28.7	$	(.8)	$	1,205.8

The following 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
Millions	Cost or Amortized Cost		Carrying Value
Due in one year or less	$	126.0	$	127.0
Due after one year through five years	417.5		433.6
Due after five years through ten years	283.2		303.2
Due after ten years	113.3		124.9
Mortgage and asset-backed securities	211.7		218.5

Total	$	1,151.7	$	1,207.2

Schedule of equity securities and other long-term investments

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
Millions	Cost 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
Millions	Cost 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

Schedule of fair value measurements for investment securities 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
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 (1)	142.9		142.9		—		—

Investment in MediaAlpha	802.2		802.2		—		—
















Other long-term investments	614.2		—		—		614.2
Other long-term investments — NAV(2)	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) 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
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	232.5	$	232.5	$	—	$	—

Debt securities issued by corporations:
Financials	144.8		—		144.8		—
Industrial	59.0		—		59.0		—
Healthcare	52.6		—		52.6		—
Consumer	50.9		—		50.9		—
Energy	44.9		—		44.9		—
Technology	41.2		—		41.2		—
Communications	31.3		—		31.3		—
Utilities	25.0		—		25.0		—
Materials	17.5		—		17.5		—

Total debt securities issued by corporations	467.2		—		467.2		—

Municipal obligations	297.1		—		297.1		—
Mortgage and asset-backed securities	209.0		—		209.0		—


Total fixed maturity investments	1,205.8		232.5		973.3		—

Short-term investments (1)	201.2		189.4		11.8		—

Investment in MediaAlpha	180.0		—		—		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 securities	683.9		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 investments	676.3		—		—		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.

Schedule of credit ratings of debt securities issued

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,
Millions	2020		2019
AAA	$	10.6	$	9.5
AA	57.9		73.9
A	318.3		288.5
BBB	159.6		95.3

BB	1.0		—


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.

Schedule of 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, 2020						December 31, 2019
Millions	Fair Value		Level 2		Level 3		Fair Value		Level 2		Level 3
Mortgage-backed securities:
Agency:
FNMA	$	88.7	$	88.7	$	—	$	88.6	$	88.6	$	—
FHLMC	70.1		70.1		—		60.5		60.5		—
GNMA	40.6		40.6		—		30.8		30.8		—
Total agency (1)	199.4		199.4		—		179.9		179.9		—





Total mortgage-backed securities	199.4		199.4		—		179.9		179.9		—
Other asset-backed securities:
Credit card receivables	11.3		11.3		—		14.0		14.0		—
Vehicle receivables	7.8		7.8		—		15.1		15.1		—

Total other asset-backed securities	19.1		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).

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 December 31, 2020 and 2019:


	Carrying Value at
Millions	December 31, 2020		December 31, 2019
Kudu’s Participation Contracts	$	400.6	$	266.5
PassportCard/DavidShield	95.0		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 funds	121.2		161.1
Insurance-linked securities funds	51.4		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.

Schedule of investments and unfunded commitments by investment objective and sector

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, 2020				December 31, 2019
Millions	Fair Value		Unfunded Commitments		Fair Value		Unfunded Commitments

Private equity funds
Aerospace/Defense/Government	$	69.1	$	15.3	$	33.8	$	23.3
Manufacturing/Industrial	28.6		—		57.7		4.1




Financial services	23.5		30.4		15.0		22.8



Total private equity funds	121.2		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

Schedule investments in 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 December 31, 2020:


Millions	1 – 3 years		3 – 5 years		5 – 10 years		>10 years		Total
Private equity funds — expected lock-up period remaining	$	8.0	$	40.7	$	64.7	$	7.8	$	121.2

Schedule of fair value investments by level

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)
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 gains	436.4		15.9		—		275.6			(11.5)		716.4		(3)

Amortization/accretion	(.1)		(4.4)		—		—			—		(4.5)
Purchases	133.9		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)
Millions	Level 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 gains	163.0		76.1			—		181.2			12.7		433.0		(3)

Amortization/accretion	.2		(1.8)			—		—			—		(1.6)
Purchases	165.3		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)

(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.

Schedule of significant unobservable inputs used in estimating the fair value of other long-term investments

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 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

(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 Millions	December 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	$266.5	15% - 22%	6x - 12x
Investment in MediaAlpha	Discounted cash flow	$180.0	15%	4%
PassportCard/DavidShield	Discounted cash flow	$90.0	22%	4%
Elementum Holdings, L.P. (5)	Discounted cash flow	$55.1	20%	4%
Private debt instruments	Discounted cash flow	$23.7	4% - 9%	N/A
All other	Discounted cash flow	$23.7	25% - 32%	4%
Noblr, Inc.	Recent transaction	$5.0	Transaction price:	$5.0
Zillion Insurance Services, Inc. (6)	Recent transaction	$2.5	Transaction price:	$2.5
Compare.com	Estimated net realizable value	$2.5	Net 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.