Derivatives

12 Months Ended

Dec. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives

Derivatives

HG Global Interest Rate Cap

On June 16, 2022, HG entered into an interest rate cap agreement, effective on July 25, 2022, to limit its exposure to the risk of interest rate increases on the HG Global Senior Notes. The notional amount of the interest rate cap is $150.0 million and the termination date is July 25, 2025.

HG Global paid initial premiums of $3.3 million for the interest rate cap. Under the terms of the interest rate cap agreement, if the current three month SOFR at the measurement date exceeds 3.5%, HG Global will receive payments from the counterparty equal to the difference between the three-month SOFR on the determination date and 3.5%, multiplied by the notional amount of the cap based on the number of days in the quarter. As of December 31, 2023, the three-month SOFR was 5.3%.

HG Global accounts for the interest rate cap as a derivative at fair value, with changes in fair value recognized in current period earnings within interest expense. For the years ended December 31, 2023 and 2022, White Mountains recognized a gain (loss) of $(1.2) million and $0.8 million related to the change in fair value on the interest rate cap within interest expense. For the year ended December 31, 2023, White Mountains received a payment of $2.0 million related to the periodic settlement of the interest rate cap. During 2022, there were no payments received related to the periodic settlement of the interest rate cap. As of December 31, 2023 and 2022, the estimated fair value of the interest rate cap recorded in other assets was $2.9 million and $4.1 million. White Mountains classifies the interest rate cap as a Level 2 measurement.