Investment Securities (Tables)

9 Months Ended

Sep. 30, 2023

Investments, Debt and Equity Securities [Abstract]

Pre-tax net investment income

The following table presents pre-tax net investment income for the three and nine months ended September 30, 2023 and 2022:

	Three Months Ended September 30,				Nine Months Ended September 30,
Millions	2023		2022		2023		2022
Fixed maturity investments	$	16.6	$	11.1	$	46.6	$	28.6
Short-term investments	13.8		6.7		34.8		7.2
Common equity securities	1.0		.1		3.6		.2
Other long-term investments	17.4		17.1		46.8		45.9
Amount attributable to TPC Providers	—		(.3)		—		(.8)
Total investment income	48.8		34.7		131.8		81.1
Third-party investment expenses	(.7)		(.8)		(1.7)		(1.5)
Net investment income, pre-tax	$	48.1	$	33.9	$	130.1	$	79.6

Net realized and unrealized investment gains (losses)

The following table presents net realized and unrealized investment gains (losses) for the three and nine months ended September 30, 2023 and 2022:

	Three Months Ended September 30,				Nine Months Ended September 30,
Millions	2023		2022		2023		2022
Realized investment gains (losses)
Fixed maturity investments	$	(.3)	$	(4.9)	$	(1.7)	$	(10.8)
Short-term investments	(.2)		(.1)		(.3)		(.4)
Common equity securities	1.2		—		13.8		—
Other long-term investments	.6		3.4		48.9		24.1
Net realized investment gains (losses)	1.3		(1.6)		60.7		12.9
Unrealized investment gains (losses)
Fixed maturity investments	(27.9)		(58.8)		(9.7)		(192.9)
Short-term investments	(.6)		(2.1)		.7		(2.6)
Common equity securities	(18.5)		4.3		29.8		(6.3)
Investment in MediaAlpha	(46.8)		(18.6)		(38.9)		(113.3)
Other long-term investments	34.2		27.5		108.6		40.8
Net unrealized investment gains (losses)	(59.6)		(47.7)		90.5		(274.3)
Net realized and unrealized investment gains (losses), before    amount attributable to TPC providers (1)	(58.3)		(49.3)		151.2		(261.4)
Amount attributable to TPC Providers	—		1.3		—		6.2
Net realized and unrealized investment gains (losses)	$	(58.3)	$	(48.0)	$	151.2	$	(255.2)
Fixed maturity and short-term investments
Net realized and unrealized investment gains (losses)	$	(29.0)	$	(65.9)	$	(11.0)	$	(206.7)
Less: net realized and unrealized gains (losses) on investment    securities sold during the period	2.5		.1		4.7		(3.0)
Net unrealized investment gains (losses) recognized during the period on    investment securities held at the end of the period	$	(31.5)	$	(66.0)	$	(15.7)	$	(203.7)
Common equity securities and investment in MediaAlpha
Net realized and unrealized investment gains (losses) on common    equity securities	$	(17.3)	$	4.3	$	43.6	$	(6.3)
Net realized and unrealized investment gains (losses) from     investment in MediaAlpha	(46.8)		(18.6)		(38.9)		(113.3)
Total net realized and unrealized investment gains (losses)	(64.1)		(14.3)		4.7		(119.6)
Less: net realized and unrealized gains (losses) on investment    securities sold during the period	(.1)		—		3.7		—
Net unrealized investment gains (losses) recognized during the period on    investment securities held at the end of the period	$	(64.0)	$	(14.3)	$	1.0	$	(119.6)

(1) For the three months ended September 30, 2023 and 2022, includes $(12.8) and $(22.6) of net realized and unrealized investment gains (losses) related to foreign currency exchange. For the nine months ending September 30, 2023 and 2022, includes $(1.9) and $(44.4) of net realized and unrealized investment gains (losses) related to foreign currency exchange.

The following table presents total net unrealized gains (losses) attributable to Level 3 investments for the three and nine months ended September 30, 2023 and 2022 for investments still held at the end of the period:

	Three Months Ended September 30,				Nine Months Ended September 30,
Millions	2023		2022		2023		2022
Total net unrealized investment gains on other long-term    investments held at the end of the period, pre-tax	$	24.6	$	40.8	$	76.0	$	57.7

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), net foreign currency gains (losses) and carrying values of White Mountains’s fixed maturity investments as of September 30, 2023 and December 31, 2022:

	September 30, 2023
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
U.S. Government and agency obligations	$	270.1	$	—	$	(9.0)	$	—	$	261.1
Debt securities issued by corporations	1,038.8		.1		(74.6)		(2.7)		961.6
Municipal obligations	264.6		—		(26.4)		—		238.2
Mortgage and asset-backed securities	372.6		—		(47.2)		—		325.4
Collateralized loan obligations	196.5		.3		(3.1)		(2.1)		191.6
Total fixed maturity investments	$	2,142.6	$	.4	$	(160.3)	$	(4.8)	$	1,977.9

	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

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 September 30, 2023 and December 31, 2022:

	September 30, 2023
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
Common equity securities	$	599.5	$	51.6	$	(4.8)	$	(9.3)	$	637.0
Investment in MediaAlpha	$	59.2	$	139.9	$	(10.3)	$	—	$	188.8
Other long-term investments	$	1,639.9	$	390.9	$	(116.6)	$	(18.4)	$	1,895.8

	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

Schedule of fixed maturity investment holdings

The following table presents the cost or amortized cost and carrying values of White Mountains’s fixed maturity investments by contractual maturity as of September 30, 2023. 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.

	September 30, 2023
Millions	Cost or Amortized Cost		Carrying Value
Due in one year or less	$	307.6	$	301.2
Due after one year through five years	870.9		813.4
Due after five years through ten years	302.7		267.6
Due after ten years	92.3		78.7
Mortgage and asset-backed securities and collateralized loan obligations	569.1		517.0
Total fixed maturity investments	$	2,142.6	$	1,977.9

Fair value measurements by level, investment securities

The following tables present White Mountains’s fair value measurements for investments as of September 30, 2023 and December 31, 2022 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.

	September 30, 2023
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	261.1	$	261.1	$	—	$	—
Debt securities issued by corporations:
Financials	290.1		—		290.1		—
Consumer	188.3		—		188.3		—
Healthcare	109.1		—		109.1		—
Industrial	107.8		—		107.8		—
Technology	107.5		—		107.5		—
Utilities	66.6		—		66.6		—
Communications	42.4		—		42.4		—
Energy	29.1		—		29.1		—
Materials	20.7		—		20.7		—
Total debt securities issued by corporations	961.6		—		961.6		—
Municipal obligations	238.2		—		238.2		—
Mortgage and asset-backed securities	325.4		—		325.4		—
Collateralized loan obligations	191.6		—		191.6		—
Total fixed maturity investments	1,977.9		261.1		1,716.8		—
Short-term investments	1,162.9		1,149.7		13.2		—
Common equity securities:
Exchange-traded funds	252.1		252.1		—		—
Other (1)	384.9		—		384.9		—
Total common equity securities	637.0		252.1		384.9		—
Investment in MediaAlpha	188.8		188.8		—		—
Other long-term investments	1,090.7		—		15.4		1,075.3
Other long-term investments — NAV (2)	805.1		—		—		—
Total other long-term investments	1,895.8		—		15.4		1,075.3
Total investments	$	5,862.4	$	1,851.7	$	2,130.3	$	1,075.3

(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.

	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		—
Healthcare	121.3		—		121.3		—
Industrial	115.4		—		115.4		—
Technology	123.7		—		123.7		—
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-traded 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) 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.

The following table presents the fair value of White Mountains’s mortgage and asset-backed securities and collateralized loan obligations as of September 30, 2023 and December 31, 2022:

	September 30, 2023						December 31, 2022
Millions	Fair Value		Level 2		Level 3		Fair Value		Level 2		Level 3
Mortgage-backed securities:
Agency:
FNMA	$	162.5	$	162.5	$	—	$	124.5	$	124.5	$	—
FHLMC	114.3		114.3		—		78.8		78.8		—
GNMA	29.2		29.2		—		28.3		28.3		—
Total agency (1)	306.0		306.0		—		231.6		231.6		—
Non-agency: Residential	.2		.2		—		.3		.3		—
Total non-agency	.2		.2		—		.3		.3		—
Total mortgage-backed securities	306.2		306.2		—		231.9		231.9		—
Other asset-backed securities:
Credit card receivables	3.2		3.2		—		11.9		11.9		—
Vehicle receivables	13.5		13.5		—		10.4		10.4		—
Other	2.5		2.5		—		—		—		—
Total other asset-backed securities	19.2		19.2		—		22.3		22.3		—
Total mortgage and asset-backed securities	325.4		325.4		—		254.2		254.2		—
Collateralized loan obligations	191.6		191.6		—		182.9		182.9		—
Total mortgage and asset-backed securities    and collateralized loan obligations	$	517.0	$	517.0	$	—	$	437.1	$	437.1	$	—

(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).

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 September 30, 2023 and December 31, 2022:

	Fair Value at
Millions	September 30, 2023		December 31, 2022
AAA	$	12.6	$	11.3
AA	84.3		96.0
A	509.6		567.9
BBB	349.1		337.7
Other	6.0		5.9
Debt securities issued by corporations (1)	$	961.6	$	1,018.8

(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 carrying values for other long-term investments

The following table presents the carrying values of White Mountains’s other long-term investments by reportable segment as of September 30, 2023 and December 31, 2022:

	Fair Value at September 30, 2023
Millions	Ark/ WM Outrigger		Kudu		Other		Total
Kudu’s Participation Contracts	$	—	$	775.3	$	—	$	775.3
PassportCard/DavidShield	—		—		150.0		150.0
Elementum Holdings, L.P.	—		—		35.0		35.0
Mandatorily redeemable preferred    securities	—		—		58.5		58.5
Other unconsolidated entities (1)	—		—		41.8		41.8
Total unconsolidated entities	—		775.3		285.3		1,060.6
Private equity funds and hedge funds	55.4		—		243.9		299.3
Bank loan fund	189.3		—		—		189.3
ILS funds	—		—		159.5		159.5
Lloyd’s trust deposits	150.3		—		—		150.3
Private debt instruments	—		5.4		9.4		14.8
Other	21.6		—		.4		22.0
Total other long-term investments	$	416.6	$	780.7	$	698.5	$	1,895.8

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

	Fair Value at December 31, 2022
Millions	Ark/ WM Outrigger		Kudu		Other		Total
Kudu’s Participation Contracts	$	—	$	695.9	$	—	$	695.9
PassportCard/DavidShield	—		—		135.0		135.0
Elementum Holdings, L.P.	—		—		30.0		30.0
Other unconsolidated entities (1)	—		—		37.2		37.2
Total unconsolidated entities	—		695.9		202.2		898.1
Private equity funds and hedge funds	40.4		—		157.4		197.8
Bank loan fund	174.8		—		—		174.8
ILS funds	—		—		49.3		49.3
Lloyd’s trust deposits	137.4		—		—		137.4
Private debt instruments	—		—		9.6		9.6
Other	21.0		—		—		21.0
Total other long-term investments	$	373.6	$	695.9	$	418.5	$	1,488.0

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

Other long-term investments

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 September 30, 2023 and December 31, 2022:

	September 30, 2023				December 31, 2022
Millions	Fair Value		Unfunded Commitments		Fair Value		Unfunded Commitments
Private equity funds
Aerospace/Defense/Government	$	146.4	$	25.5	$	59.4	$	37.5
Financial services	88.6		41.8		77.1		54.3
Real estate	4.2		2.5		4.1		2.5
Total private equity funds	239.2		69.8		140.6		94.3
Hedge funds
Long/short equity financials and business services	51.1		—		49.0		—
European small/mid cap	9.0		—		8.2		—
Total hedge funds	60.1		—		57.2		—
Total private equity funds and hedge funds included       in other long-term investments	$	299.3	$	69.8	$	197.8	$	94.3

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 September 30, 2023:

Millions	1 – 3 years	3 – 5 years	5 – 10 years	>10 years	Total
Private equity funds — expected lock-up period remaining	$4.4	$72.1	$148.8	$13.9	$239.2

Rollforward 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 nine months ended September 30, 2023 and 2022:

Level 3 Investments
Millions	Other Long-term Investments			Other Long-term Investments
Balance at December 31, 2022	$	911.6	Balance at December 31, 2021	$	890.6
Net realized and unrealized gains	74.0		Net realized and unrealized gains	57.3
Purchases and contributions	200.1		Purchases and contributions	127.9
Sales and distributions	(110.4)		Sales and distributions	(31.7)
Transfers in	—		Transfers in	—
Transfers out	—		Transfers out	—
Balance at September 30, 2023	$	1,075.3	Balance at September 30, 2022	$	1,044.1

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, classified within Level 3 as of September 30, 2023 and December 31, 2022. The tables below exclude $41.7 million and $41.1 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	September 30, 2023
Description	Valuation Technique(s) (1)	Fair Value (2)	Unobservable Inputs
			Discount Rate (5)	Terminal Cash Flow Exit Multiple (x) or Terminal Revenue Growth Rate (%) (5)
Kudu’s Participation Contracts (3)(4)	Discounted cash flow	$775.3	19% - 26%	7x - 22x
PassportCard/DavidShield	Discounted cash flow	$150.0	25%	4%
Elementum Holdings, L.P.	Discounted cash flow	$35.0	25%	4%
Mandatorily redeemable preferred securities	Discounted cash flow	$58.5	15%	N/A
Private debt instruments	Discounted cash flow	$14.8	12% - 13%	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 was 21% and 13x.

(4) In the first nine months of 2023, Kudu deployed a total of $108.3 into new and existing Participation Contracts.

(5) 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, 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 was 21% and 12x.

(4) In 2022, Kudu deployed a total of $99.8 into new and existing Participation Contracts.

(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 sale 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.