Investment Securities (Tables)

3 Months Ended

Mar. 31, 2024

Investments, Debt and Equity Securities [Abstract]

Pre-tax net investment income

The following table presents pre-tax net investment income for the three months ended March 31, 2024 and 2023:

	Three Months Ended March 31,
Millions	2024		2023
Fixed maturity investments	$	20.9	$	14.5
Short-term investments	15.7		9.7
Common equity securities	.5		1.3
Other long-term investments	20.6		14.1
Total investment income	57.7		39.6
Third-party investment expenses	(.7)		(.6)
Net investment income, pre-tax	$	57.0	$	39.0

Net realized and unrealized investment gains (losses)

The following table presents net realized and unrealized investment gains (losses) for the three months ended March 31, 2024 and 2023:

	Three Months Ended March 31,
Millions	2024		2023
Realized investment gains (losses)
Fixed maturity investments	$	(5.8)	$	(.1)
Short-term investments	(.2)		(.4)
Other long-term investments	.3		47.2
Net realized investment gains (losses)	(5.7)		46.7
Unrealized investment gains (losses)
Fixed maturity investments	(7.4)		29.7
Short-term investments	(1.0)		1.2
Common equity securities	23.1		29.4
Investment in MediaAlpha	210.7		85.2
Other long-term investments	7.1		5.9
Net unrealized investment gains (losses)	232.5		151.4
Net realized and unrealized investment gains (losses) (1)	$	226.8	$	198.1
Fixed maturity and short-term investments
Net realized and unrealized investment gains (losses)	$	(14.4)	$	30.4
Less: net realized and unrealized gains (losses) on investment    securities sold during the period	(.7)		1.8
Net unrealized investment gains (losses) recognized during the period on    investment securities held at the end of the period	$	(13.7)	$	28.6
Common equity securities and investment in MediaAlpha
Net realized and unrealized investment gains (losses) on common    equity securities	$	23.1	$	29.4
Net realized and unrealized investment gains (losses) from     investment in MediaAlpha	210.7		85.2
Total net realized and unrealized investment gains (losses)	233.8		114.6
Less: net realized and unrealized gains (losses) on investment    securities sold during the period	—		—
Net unrealized investment gains (losses) recognized during the period on    investment securities held at the end of the period	$	233.8	$	114.6

(1) For the three months ended March 31, 2024 and 2023, includes $(11.5) and $5.4 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 months ended March 31, 2024 and 2023 for investments still held at the end of the period:

	Three Months Ended March 31,
Millions	2024		2023
Total net unrealized investment gains on other long-term investments held at the end of the period, pre-tax	$	(6.2)	$	37.0

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 value of White Mountains’s fixed maturity investments as of March 31, 2024 and December 31, 2023:

	March 31, 2024
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
U.S. Government and agency obligations	$	247.6	$	.1	$	(1.8)	$	—	$	245.9
Debt securities issued by corporations	1,118.3		3.0		(46.0)		(2.2)		1,073.1
Municipal obligations	251.4		.6		(13.0)		—		239.0
Mortgage and asset-backed securities	484.8		.6		(35.3)		—		450.1
Collateralized loan obligations	248.9		.7		(1.5)		(1.6)		246.5
Total fixed maturity investments	$	2,351.0	$	5.0	$	(97.6)	$	(3.8)	$	2,254.6

	December 31, 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	$	209.0	$	.3	$	(4.4)	$	—	$	204.9
Debt securities issued by corporations	1,085.9		5.6		(45.4)		(1.1)		1,045.0
Municipal obligations	275.1		.9		(15.1)		—		260.9
Mortgage and asset-backed securities	417.2		2.0		(29.8)		—		389.4
Collateralized loan obligations	211.2		.4		(2.4)		(.1)		209.1
Total fixed maturity investments	$	2,198.4	$	9.2	$	(97.1)	$	(1.2)	$	2,109.3

The following tables present the cost or amortized cost, gross unrealized investment gains (losses), net foreign currency gains (losses) and carrying value of common equity securities, White Mountains’s investment in MediaAlpha and other long-term investments as of March 31, 2024 and December 31, 2023:

	March 31, 2024
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
Common equity securities	$	483.5	$	86.0	$	(1.2)	$	(6.8)	$	561.5
Investment in MediaAlpha	$	59.2	$	406.4	$	—	$	—	$	465.6
Other long-term investments	$	1,642.2	$	466.7	$	(101.1)	$	(15.9)	$	1,991.9

	December 31, 2023
Millions	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Net Foreign Currency Gains (Losses)		Carrying Value
Common equity securities	$	483.5	$	62.3	$	(1.2)	$	(6.2)	$	538.4
Investment in MediaAlpha	$	59.2	$	195.7	$	—	$	—	$	254.9
Other long-term investments	$	1,655.7	$	446.3	$	(94.5)	$	(9.3)	$	1,998.2

Schedule of fixed maturity investment holdings

The following table presents the cost or amortized cost and carrying value of White Mountains’s fixed maturity investments by contractual maturity as of March 31, 2024. Actual maturities could differ from contractual maturities because borrowers may have the right to call or prepay certain obligations with or without penalties.

	March 31, 2024
Millions	Cost or Amortized Cost		Carrying Value
Due in one year or less	$	300.5	$	296.1
Due after one year through five years	886.3		856.8
Due after five years through ten years	295.7		277.8
Due after ten years	134.8		127.3
Mortgage and asset-backed securities and collateralized loan obligations	733.7		696.6
Total fixed maturity investments	$	2,351.0	$	2,254.6

Fair value measurements by level, investment securities

The following tables present White Mountains’s fair value measurements for investments as of March 31, 2024 and December 31, 2023 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.

	March 31, 2024
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	245.9	$	245.1	$	.8	$	—
Debt securities issued by corporations:
Financials	323.7		—		323.7		—
Consumer	219.3		—		219.3		—
Industrial	128.2		—		128.2		—
Healthcare	121.9		—		121.9		—
Technology	101.6		—		101.6		—
Utilities	68.8		—		68.8		—
Communications	41.3		—		41.3		—
Energy	37.5		—		37.5		—
Materials	30.8		—		30.8		—
Total debt securities issued by corporations	1,073.1		—		1,073.1		—
Municipal obligations	239.0		—		239.0		—
Mortgage and asset-backed securities	450.1		—		450.1		—
Collateralized loan obligations	246.5		—		246.5		—
Total fixed maturity investments	2,254.6		245.1		2,009.5		—
Short-term investments	1,054.5		1,031.1		23.4		—
Common equity securities:
Exchange-traded funds	151.6		151.6		—		—
Other (1)	409.9		—		409.9		—
Total common equity securities	561.5		151.6		409.9		—
Investment in MediaAlpha	465.6		465.6		—		—
Other long-term investments	1,155.9		—		27.1		1,128.8
Other long-term investments — NAV (2)	836.0		—		—		—
Total other long-term investments	1,991.9		—		27.1		1,128.8
Total investments	$	6,328.1	$	1,893.4	$	2,469.9	$	1,128.8

(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, 2023
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	204.9	$	204.9	$	—	$	—
Debt securities issued by corporations:
Financials	309.8		—		309.8		—
Consumer	214.6		—		214.6		—
Industrial	121.6		—		121.6		—
Healthcare	121.3		—		121.3		—
Technology	108.9		—		108.9		—
Utilities	70.2		—		70.2		—
Communications	46.3		—		46.3		—
Energy	28.9		—		28.9		—
Materials	23.4		—		23.4		—
Total debt securities issued by corporations	1,045.0		—		1,045.0		—
Municipal obligations	260.9		—		260.9		—
Mortgage and asset-backed securities	389.4		—		389.4		—
Collateralized loan obligations	209.1		—		209.1		—
Total fixed maturity investments	2,109.3		204.9		1,904.4		—
Short-term investments	1,487.9		1,457.6		30.3		—
Common equity securities:
Exchange-traded funds	137.8		137.8		—		—
Other (1)	400.6		—		400.6		—
Total common equity securities	538.4		137.8		400.6		—
Investment in MediaAlpha	254.9		254.9		—		—
Other long-term investments	1,164.4		—		26.2		1,138.2
Other long-term investments — NAV (2)	833.8		—		—		—
Total other long-term investments	1,998.2		—		26.2		1,138.2
Total investments	$	6,388.7	$	2,055.2	$	2,361.5	$	1,138.2

(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 March 31, 2024 and December 31, 2023:

	March 31, 2024						December 31, 2023
Millions	Fair Value		Level 2		Level 3		Fair Value		Level 2		Level 3
Mortgage-backed securities:
Agency:
FNMA	$	216.7	$	216.7	$	—	$	198.8	$	198.8	$	—
FHLMC	147.8		147.8		—		137.2		137.2		—
GNMA	39.9		39.9		—		30.2		30.2		—
Total agency (1)	404.4		404.4		—		366.2		366.2		—
Non-agency: Residential	.1		.1		—		.2		.2		—
Total non-agency	.1		.1		—		.2		.2		—
Total mortgage-backed securities	404.5		404.5		—		366.4		366.4		—
Other asset-backed securities:
Vehicle receivables	31.1		31.1		—		17.2		17.2		—
Credit card receivables	3.3		3.3		—		3.3		3.3		—
Other	11.2		11.2		—		2.5		2.5		—
Total other asset-backed securities	45.6		45.6		—		23.0		23.0		—
Total mortgage and asset-backed securities	450.1		450.1		—		389.4		389.4		—
Collateralized loan obligations	246.5		246.5		—		209.1		209.1		—
Total mortgage and asset-backed securities    and collateralized loan obligations	$	696.6	$	696.6	$	—	$	598.5	$	598.5	$	—

(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 March 31, 2024 and December 31, 2023:

	Fair Value at
Millions	March 31, 2024		December 31, 2023
AAA	$	11.4	$	11.5
AA	83.5		83.8
A	562.4		552.4
BBB	407.5		390.9
BB	1.8		—
Other	6.5		6.4
Debt securities issued by corporations (1)	$	1,073.1	$	1,045.0

(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 March 31, 2024 and December 31, 2023:

	Fair Value at March 31, 2024
Millions	Ark/ WM Outrigger		Kudu		Other		Total
Kudu’s Participation Contracts	$	—	$	884.2	$	—	$	884.2
PassportCard/DavidShield	—		—		150.0		150.0
Elementum Holdings, L.P.	—		—		35.0		35.0
Other unconsolidated entities (1)	—		—		47.1		47.1
Total unconsolidated entities	—		884.2		232.1		1,116.3
Private equity funds and hedge funds	52.5		—		265.3		317.8
Bank loan fund	249.6		—		—		249.6
Lloyd’s trust deposits	150.5		—		—		150.5
ILS funds	—		—		109.7		109.7
Private debt instruments	—		5.7		9.9		15.6
Other	32.4		—		—		32.4
Total other long-term investments	$	485.0	$	889.9	$	617.0	$	1,991.9

(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, 2023
Millions	Ark/ WM Outrigger		Kudu		Other		Total
Kudu’s Participation Contracts	$	—	$	890.5	$	—	$	890.5
PassportCard/DavidShield	—		—		150.0		150.0
Elementum Holdings, L.P.	—		—		35.0		35.0
Other unconsolidated entities (1)	—		—		48.1		48.1
Total unconsolidated entities	—		890.5		233.1		1,123.6
Private equity funds and hedge funds	55.5		—		257.4		312.9
Bank loan fund	194.4		—		—		194.4
Lloyd’s trust deposits	158.0		—		—		158.0
ILS funds	—		—		160.5		160.5
Private debt instruments	—		5.8		10.0		15.8
Other	33.0		—		—		33.0
Total other long-term investments	$	440.9	$	896.3	$	661.0	$	1,998.2

(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 March 31, 2024 and December 31, 2023:

	March 31, 2024				December 31, 2023
Millions	Fair Value		Unfunded Commitments		Fair Value		Unfunded Commitments
Private equity funds
Aerospace/Defense/Government	$	163.5	$	14.8	$	157.2	$	17.4
Financial services	88.0		35.5		87.5		37.8
Real estate	3.7		2.4		3.9		2.5
Total private equity funds	255.2		52.7		248.6		57.7
Hedge funds
Long/short equity financials and business services	57.7		—		54.4		—
European small/mid cap	4.9		—		9.9		—
Total hedge funds	62.6		—		64.3		—
Total private equity funds and hedge funds included       in other long-term investments	$	317.8	$	52.7	$	312.9	$	57.7

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 March 31, 2024:

Millions	1 – 3 years	3 – 5 years	5 – 10 years	>10 years	Total
Private equity funds — expected lock-up period remaining	$14.4	$63.5	$161.0	$16.3	$255.2

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 three months ended March 31, 2024 and 2023:

Level 3 Investments
Millions	Other Long-term Investments			Other Long-term Investments
Balance at December 31, 2023	$	1,138.2	Balance at December 31, 2022	$	911.6
Net realized and unrealized gains	(5.7)		Net realized and unrealized gains	35.1
Purchases and contributions	.1		Purchases and contributions	117.0
Sales and distributions	(3.8)		Sales and distributions	(109.0)
Transfers in	—		Transfers in	—
Transfers out	—		Transfers out	—
Balance at March 31, 2024	$	1,128.8	Balance at March 31, 2023	$	954.7

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 March 31, 2024 and December 31, 2023. The tables below exclude $15.7 million and $19.0 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	March 31, 2024
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	$884.2	18% - 25%	7x - 22x
PassportCard/DavidShield	Discounted cash flow	$150.0	24%	4%
Elementum Holdings, L.P.	Discounted cash flow	$35.0	21%	4%
Preferred Securities	Discounted cash flow	$28.7	8%	N/A
Private debt instruments	Discounted cash flow	$15.2	11% - 12%	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 20% and 13x.

(4) In the first three months of 2024, Kudu had negligible deployments into new and existing Participation Contracts.

(5) As of March 31, 2024, one of Kudu’s Participation Contracts with a total fair value of $62.4 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 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.

$ in Millions	December 31, 2023
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	$890.5	18% - 25%	7x - 22x
PassportCard/DavidShield	Discounted cash flow	$150.0	24%	4%
Elementum Holdings, L.P.	Discounted cash flow	$35.0	21%	4%
Preferred securities	Discounted cash flow	$28.2	8%	N/A
Private debt instruments	Discounted cash flow	$15.5	11% - 12%	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 20% and 13x.

(4) In 2023, Kudu deployed a total of $163.8 into new and existing Participation Contracts.

(5) As of December 31, 2023, one of Kudu’s Participation Contracts with a total fair value of $69.1 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 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.