Investment Securities (Tables)

12 Months Ended

Dec. 31, 2022

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, 2022, 2021 and 2020:

	Year Ended December 31,
Millions	2022		2021		2020
Fixed maturity investments	$	41.4	$	28.8	$	29.0
Short-term investments	16.4		.6		1.1
Common equity securities	1.6		.1		6.6
Investment in MediaAlpha	—		—		59.9
Other long-term investments	68.1		56.3		35.6
Amount attributable to TPC Providers	(1.0)		(1.0)		—
Total investment income	126.5		84.8		132.2
Third-party investment expenses	(2.1)		(2.3)		(1.2)
Net investment income, pre-tax	$	124.4	$	82.5	$	131.0

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, 2022, 2021 and 2020:

	Year Ended December 31,
Millions	2022		2021		2020
Realized investment gains (losses)
Fixed maturity investments	$	(11.9)	$	3.9	$	10.9
Short-term investments	(1.4)		(.1)		.4
Common equity securities	—		.4		137.2
Investment in MediaAlpha	—		160.3		63.8
Other long-term investments	128.4		(7.7)		(25.2)
Net realized investment gains (losses)	115.1		156.8		187.1
Unrealized investment gains (losses)
Fixed maturity investments	(168.4)		(42.2)		27.5
Short-term investments	(1.1)		—		—
Common equity securities	(7.1)		14.9		(130.6)
Investment in MediaAlpha	(93.0)		(540.6)		622.2
Other long-term investments	(43.8)		172.7		10.6
Net unrealized investment gains (losses)	(313.4)		(395.2)		529.7
Net realized and unrealized investment gains (losses), before    amount attributable to TPC providers (1)	(198.3)		(238.4)		716.8
Amount attributable to TPC Providers	6.8		(7.7)		—
Net realized and unrealized investment gains (losses)	$	(191.5)	$	(246.1)	$	716.8
Fixed maturity and short-term investments
Net realized and unrealized investment gains (losses)	$	(182.8)	$	(38.4)	$	38.8
Less: net realized and unrealized gains (losses) on investment    securities sold during the period	(2.9)		(8.4)		(8.7)
Net unrealized investment gains (losses) recognized during the period on investment securities held at the end of the period	$	(179.9)	$	(30.0)	$	47.5
Common equity securities and investment in MediaAlpha
Net realized and unrealized investment gains (losses) on common equity securities	$	(7.1)	$	15.3	$	6.6
Net realized and unrealized investment gains (losses) from investment in MediaAlpha	(93.0)		(380.3)		686.0
Total net realized and unrealized investment gains (losses)	(100.1)		(365.0)		692.6
Less: net realized and unrealized gains (losses) on investment    securities sold during the period	—		20.3		38.3
Net unrealized investment gains (losses) recognized during the period on investment securities held at the end of the period	$	(100.1)	$	(385.3)	$	654.3

(1) For 2022, 2021 and 2020, includes $(29.3), $(7.7) and $4.0 of net 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 the total net unrealized gains (losses) attributable to Level 3 investments for the years ended December 31, 2022, 2021 and 2020 for investments held at the end of the period.

	Year Ended December 31,
Millions	2022		2021		2020
Total net unrealized investment gains on other long-term investments held at the end of period, pre-tax (1)	$	56.5	$	98.9	$	276.0

(1) For 2020, includes $278.7 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), net foreign currency gains (losses) and carrying values of White Mountains’s fixed maturity investments as of December 31, 2022 and 2021.

	December 31, 2022
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
U.S. Government and agency obligations	$	216.6	$	—	$	(10.2)	$	—	$	206.4
Debt securities issued by corporations	1,098.3		.6		(78.3)		(1.8)		1,018.8
Municipal obligations	281.6		.4		(23.4)		—		258.6
Mortgage and asset-backed securities	288.7		—		(34.5)		—		254.2
Collateralized loan obligations	190.8		.1		(6.0)		(2.0)		182.9
Total fixed maturity investments	$	2,076.0	$	1.1	$	(152.4)	$	(3.8)	$	1,920.9

	December 31, 2021
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
U.S. Government and agency obligations	$	212.1	$	.5	$	(1.1)	$	—	$	211.5
Debt securities issued by corporations	993.3		8.7		(8.7)		(.4)		992.9
Municipal obligations	276.4		16.8		(1.3)		—		291.9
Mortgage and asset-backed securities	277.2		2.9		(2.5)		—		277.6
Collateralized loan obligations	136.5		—		(.4)		(1.1)		135.0
Total fixed maturity investments	$	1,895.5	$	28.9	$	(14.0)	$	(1.5)	$	1,908.9

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, 2022. 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, 2022
Millions	Cost or Amortized Cost		Carrying Value
Due in one year or less	$	204.8	$	201.2
Due after one year through five years	914.0		853.2
Due after five years through ten years	374.4		337.4
Due after ten years	103.3		92.0
Mortgage and asset-backed securities and    collateralized loan obligations	479.5		437.1
Total fixed maturity investments	$	2,076.0	$	1,920.9

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 gains (losses), and carrying values of common equity securities, White Mountains’s investment in MediaAlpha and other long-term investments as of December 31, 2022 and 2021:

	December 31, 2022
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
Common equity securities	$	660.6	$	26.7	$	(8.4)	$	(10.5)	$	668.4
Investment in MediaAlpha	$	—	$	168.6	$	—	$	—	$	168.6
Other long-term investments	$	1,340.8	$	271.1	$	(107.1)	$	(16.8)	$	1,488.0

	December 31, 2021
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
Common equity securities	$	236.3	$	16.1	$	—	$	(1.3)	$	251.1
Investment in MediaAlpha	$	—	$	261.6	$	—	$	—	$	261.6
Other long-term investments	$	1,186.7	$	239.0	$	(44.1)	$	(3.8)	$	1,377.8

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, 2022 and 2021 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.

	December 31, 2022
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	206.4	$	206.4	$	—	$	—
Debt securities issued by corporations:
Financials	291.2		—		291.2		—
Consumer	191.9		—		191.9		—
Technology	123.7		—		123.7		—
Healthcare	121.3		—		121.3		—
Industrial	115.4		—		115.4		—
Utilities	73.8		—		73.8		—
Communications	47.9		—		47.9		—
Energy	33.9		—		33.9		—
Materials	19.7		—		19.7		—
Total debt securities issued by corporations	1,018.8		—		1,018.8		—
Municipal obligations	258.6		—		258.6		—
Mortgage and asset-backed securities	254.2		—		254.2		—
Collateralized loan obligations	182.9		—		182.9		—
Total fixed maturity investments	1,920.9		206.4		1,714.5		—
Short-term investments	924.1		924.1		—		—
Common equity securities
Exchange-trade funds	333.8		333.8		—		—
Other (1)	334.6		—		334.6		—
Total common equity securities	668.4		333.8		334.6		—
Investment in MediaAlpha	168.6		168.6		—		—
Other long-term investments	926.4		—		14.8		911.6
Other long-term investments — NAV (2)	561.6		—		—		—
Total other long-term investments	1,488.0		—		14.8		911.6
Total investments	$	5,170.0	$	1,632.9	$	2,063.9	$	911.6

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

(2) Consists of private equity funds and hedge funds, a bank loan fund, Lloyd’s trust deposits and ILS funds for which fair value is measured using NAV as a practical expedient. Investments for which fair value is measured at NAV are not classified within the fair value hierarchy.

	December 31, 2021
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	211.5	$	211.5	$	—	$	—
Debt securities issued by corporations:
Financials	264.2		—		264.2		—
Consumer	178.1		—		178.1		—
Technology	117.9		—		117.9		—
Industrial	112.9		—		112.9		—
Healthcare	112.8		—		112.8		—
Utilities	70.9		—		70.9		—
Communications	56.0		—		56.0		—
Energy	48.0		—		48.0		—
Materials	32.1		—		32.1		—
Total debt securities issued by corporations	992.9		—		992.9		—
Municipal obligations	291.9		—		291.9		—
Mortgage and asset-backed securities	277.6		—		277.6		—
Collateralized loan obligations	135.0		—		135.0		—
Total fixed maturity investments	1,908.9		211.5		1,697.4		—
Short-term investments	465.9		465.9		—		—
Common equity securities (1)	251.1		—		251.1		—
Investment in MediaAlpha	261.6		261.6		—		—
Other long-term investments	895.3		—		4.7		890.6
Other long-term investments — NAV (2)	482.5		—		—		—
Total other long-term investments	1,377.8		—		4.7		890.6
Total investments	$	4,265.3	$	939.0	$	1,953.2	$	890.6

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

(2) Consists of private equity funds and hedge funds, a bank loan fund, Lloyd’s trust deposits and ILS funds for which fair value is measured using NAV as a 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, 2022 and 2021:

	Fair Value at December 31,
Millions	2022		2021
AAA	$	11.3	$	12.0
AA	96.0		85.0
A	567.9		490.4
BBB	337.7		396.8
Other	5.9		8.7
Debt securities issued by corporations (1)	$	1,018.8	$	992.9

(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 and collateralized loan obligations as of December 31, 2022 and 2021:

	December 31, 2022						December 31, 2021
Millions	Fair Value		Level 2		Level 3		Fair Value		Level 2		Level 3
Mortgage-backed securities:
Agency:
FNMA	$	124.5	$	124.5	$	—	$	125.4	$	125.4	$	—
FHLMC	78.8		78.8		—		90.5		90.5		—
GNMA	28.3		28.3		—		40.1		40.1		—
Total agency (1)	231.6		231.6		—		256.0		256.0		—
Non-agency: Residential	.3		.3		—		.5		.5		—
Total non-agency	.3		.3		—		.5		.5		—
Total mortgage-backed securities	231.9		231.9		—		256.5		256.5		—
Other asset-backed securities:
Credit card receivables	11.9		11.9		—		12.3		12.3		—
Vehicle receivables	10.4		10.4		—		8.8		8.8		—
Total other asset-backed securities	22.3		22.3		—		21.1		21.1		—
Total mortgage and asset-backed securities	254.2		254.2		—		277.6		277.6		—
Collateralized loan obligations:	182.9		182.9		—		135.0		135.0		—
Total mortgage and asset-backed securities and    collateralized loan obligations	$	437.1	$	437.1	$	—	$	412.6	$	412.6	$	—

(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, 2022 and 2021:

	Fair Value at December 31,
Millions	2022		2021
Kudu’s Participation Contracts	$	695.9	$	669.5
PassportCard/DavidShield	135.0		120.0
Elementum Holdings L.P.	30.0		45.0
Other unconsolidated entities (1)	37.2		34.4
Total unconsolidated entities	898.1		868.9
Private equity funds and hedge funds	197.8		153.8
Bank loan fund	174.8		163.0
Lloyd’s trust deposits	137.4		113.8
ILS funds	49.3		51.9
Private debt instruments	9.6		14.1
Other	21.0		12.3
Total other long-term investments	$	1,488.0	$	1,377.8

(1) Includes White Mountains’s non-controlling equity interests in certain private common equity securities, convertible preferred securities, limited liability company units and Simple Agreement for Future Equity (“SAFE”) investments.

Schedule of investments and unfunded commitments by investment objective and sector

The following table presents the fair value of investments and unfunded commitments in private equity funds and hedge funds by investment objective and sector as of December 31, 2022 and 2021:

	December 31, 2022				December 31, 2021
Millions	Fair Value		Unfunded Commitments		Fair Value		Unfunded Commitments
Private equity funds
Aerospace/Defense/Government	$	59.4	$	37.5	$	69.8	$	11.8
Financial services	77.1		54.3		67.7		29.3
Real estate	4.1		2.5		4.3		2.9
Total private equity funds	140.6		94.3		141.8		44.0
Hedge funds
Long/short equity financials and business services	49.0		—		—		—
European small/mid cap	8.2		—		12.0		—
Total hedge funds	57.2		—		12.0		—
Total private equity funds and hedge funds    included in other long-term investments	$	197.8	$	94.3	$	153.8	$	44.0

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, 2022:

Millions	1 – 3 years		3 – 5 years		5 – 10 years		>10 years		Total
Private equity funds — expected lock-up period remaining	$	4.2	$	18.8	$	113.9	$	3.7	$	140.6

Schedule of fair value investments by level

The following table presents the changes in White Mountains’s fair value measurements for Level 3 investments for the years ended December 31, 2022 and 2021:

Level 3 Investments
Millions	Other Long-term Investments			Other Long-term Investments
Balance at December 31, 2021	$	890.6	Balance at December 31, 2020	$	614.2
Net realized and unrealized gains	60.4		Net realized and unrealized gains	117.3
Amortization/accretion	—		Amortization/accretion	—
Purchases	129.8		Purchases	225.4
Sales	(169.2)		Sales	(75.9)
Effect of Ark Transaction	—		Effect of Ark Transaction	9.6
Transfers in	—		Transfers in	—
Transfers out	—		Transfers out	—
Balance at December 31, 2022	$	911.6	Balance at December 31, 2021	$	890.6

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 other long-term investments classified within Level 3 as of December 31, 2022 and 2021. The tables below exclude $41.1 million and $46.7 million of Level 3 other long-term investments generally valued based on recent or expected transaction prices. The fair value of investments in private equity funds and hedge funds, bank loan funds, Lloyd’s trust deposits and ILS funds are generally estimated using the NAV of the funds.

$ in Millions	December 31, 2022
Description	Valuation Technique(s) (1)	Fair Value (2)	Unobservable Inputs
			Discount Rate (6)	Terminal Cash Flow Exit Multiple (x) or Terminal Revenue Growth Rate (%) (6)
Kudu’s Participation Contracts (3)(4)(5)	Discounted cash flow	$695.9	18% - 25%	7x - 16x
PassportCard/DavidShield	Discounted cash flow	$135.0	24%	4%
Elementum Holdings, L.P.	Discounted cash flow	$30.0	21%	4%
Private debt instruments	Discounted cash flow	$9.6	11%	N/A

(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. The weighted average discount rate and weighted average terminal cash flow exit multiple applied to Kudu’s Participation Contracts is 21% and 11.8x.

(4) In 2022, Kudu deployed a total of $99.8 into new and existing Kudu Participation Contracts, including Gramercy Funds Management, GenTrust, EC Management Services, Pennybacker Capital Management and TK Partners.

(5) As of December 31, 2022, two of Kudu’s Participation Contracts with a total fair value of $189.0 were valued using a probability weighted expected return method, which takes into account factors such as a discounted cash flow analysis, the expected value to be received in a pending sales transaction and the likelihood that a sales transaction will take place.

(6) Increases (decreases) to the discount rates in isolation would result in lower (higher) fair value measurements, while increases (decreases) to the terminal cash flow exit multiples or terminal revenue growth rates in isolation would result in higher (lower) fair value measurements.

$ in Millions	December 31, 2021
Description	Valuation Technique(s) (1)	Fair Value (2)	Unobservable Inputs
			Discount Rate (6)	Terminal Cash Flow Exit Multiple (x) or Terminal Revenue Growth Rate (%) (6)
Kudu’s Participation Contracts (3)(4)(5)	Discounted cash flow	$669.5	18% - 23%	7x - 13x
PassportCard/DavidShield	Discounted cash flow	$120.0	23%	4%
Elementum Holdings, L.P.	Discounted cash flow	$45.0	17%	4%
Private debt instruments	Discounted cash flow	$9.4	8%	N/A

(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. The weighted average discount rate and weighted average terminal cash flow exit multiple applied to Kudu’s Participation Contracts is 20% and 10.0x.

(4) In 2021, Kudu deployed a total of $223.4 into new and existing Kudu Participation Contracts, including TIG Advisors, TK Partners, Third Eye Capital Management, Douglass Winthrop Advisors, Granahan Investment Management and Radcliffe Capital Management.

(5) As of December 31, 2021, one of Kudu’s Participation Contracts with a total fair value of $78.8 was valued using a probability weighted expected return method, which takes into account factors such as a discounted cash flow analysis, the expected value to be received in a pending sales transaction and the likelihood that a sales transaction will take place.

(6) 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.