0000776867us-gaap:ServiceOtherMember2021-01-012021-03-31

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 10-Q
x☒    QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THESECURITIES EXCHANGE ACT OF 1934
 
For the period ended September 30, 2017March 31, 2021
 
OR
 
o☐TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THESECURITIES EXCHANGE ACT OF 1934
 
For the transition period from          to         
Commission file number 1-8993


WHITE MOUNTAINS INSURANCE GROUP, LTD.
(Exact name of Registrant as specified in its charter)
Bermuda94-2708455
(State or other jurisdiction of(I.R.S. Employer
incorporation or organization)Identification No.)94-2708455
8023 South Main Street, Suite 3B03755-2053(I.R.S. Employer Identification No.)
Hanover,03755-2053
New Hampshire(Zip Code)
(Address of principal executive offices)
 
Registrant’s telephone number, including area code: (603) 640-2200
Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading Symbol(s)Name of each exchange on which registered
Common Shares, par value $1.00WTMNew York Stock Exchange
per shareBermuda Stock Exchange
Indicate by check mark whether the Registrant:Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes   ý   No   o☐
 
Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months.months (or for such shorter period that the Registrant was required to submit such files). Yes ý  No   o☐
 
Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company, or an emerging growth company.  See the definitions of “large accelerated filer,” “accelerated filer”, “smaller reporting company” and “smaller reporting“emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filerý
ý
Accelerated filero
☐
Non-accelerated filero☐
Smaller reporting companyo
☐
Emerging growth companyo☐


If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  o
 
Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes  o☐   No  ý


As of NovemberMay 7, 2017, 3,749,9712021, 3,107,267 common shares with a par value of $1.00$1.00 per share were outstanding (which includes 53,55437,805 restricted common shares that were not vested at such date).




WHITE MOUNTAINS INSURANCE GROUP, LTD.


Table of Contents
 
Page No.
Item 1.
Consolidated Balance Sheets, September 30, 2017March 31, 2021 and December 31, 20162020
1
     Three and Nine Months Ended September 30, 2017March 31, 2021 and 20162020
23
Consolidated Statements of Changes in Equity, Nine
6
     Three Months Ended September 30, 2017March 31, 2021 and 20162020
3
Consolidated Statements of Cash Flows, NineThree Months Ended September 30, 2017March 31, 2021 and 20162020
47
58
Item 2.
5149
Results of Operations for the Three and Nine Months Ended September 30, 2017March 31, 2021 and 20162020
5149
69
74
Non-GAAP Financial Measures
7675
Critical Accounting Estimates
77
7881
Item 3.
7881
Item 4.
7982
7982
Items 1 through 6.
7982
8083





Part I.FINANCIAL INFORMATION.
Item 1.Financial Statements
Item 1.Financial Statements
WHITE MOUNTAINS INSURANCE GROUP, LTD.
CONSOLIDATED BALANCE SHEETS
March 31, 2021December 31, 2020
Millions, except share and per share amounts
AssetsUnaudited
Financial Guarantee (HG Global/BAM)
Fixed maturity investments, at fair value$857.0 $859.5 
Short-term investments, at fair value45.3 60.4 
Total investments902.3 919.9 
Cash18.9 42.8 
Insurance premiums receivable6.9 6.9 
Deferred acquisition costs28.7 27.8 
Accrued investment income5.2 5.0 
Other assets14.8 15.4 
Total Financial Guarantee assets976.8 1,017.8 
P&C Insurance and Reinsurance (Ark)
Fixed maturity investments, at fair value305.8 0 
Common equity securities, at fair value118.6 0 
Short-term investments, at fair value328.6 0 
Other long-term investments234.7 0 
Total investments987.7 0 
Cash308.8 0 
Reinsurance recoverables449.0 0 
Insurance premiums receivable435.4 0 
Ceded unearned premiums145.5 0 
Deferred acquisition cost79.2 0 
Value of in-force business acquired42.9 0 
Goodwill and other intangible assets292.5 0 
Other assets99.2 0 
Total P&C Insurance and Reinsurance assets2,840.2 0 
Specialty Insurance Distribution (NSM)
     Cash (restricted $79.3 and $78.4)121.0 126.5 
Premiums and commissions receivable77.0 76.7 
     Goodwill and other intangible assets699.7 736.8 
     Other assets65.0 59.6 
Total Specialty Insurance Distribution assets962.7 999.6 
Asset Management (Kudu)
     Short-term investments, at fair value.1 .1 
     Other long-term investments427.4 400.6 
Total investments427.5 400.7 
     Cash (restricted $3.9 and $0.0)10.9 7.8 
     Accrued investment income7.5 9.8 
     Goodwill and other intangible assets9.1 9.2 
     Other assets2.7 2.7 
Total Asset Management assets457.7 430.2 
Other Operations
     Fixed maturity investments, at fair value318.8 347.7 
     Short-term investments, at fair value251.8 82.4 
Investment in MediaAlpha, at fair value600.2 802.2 
     Other long-term investments370.1 386.2 
     Total investments1,540.9 1,618.5 
     Cash28.9 34.1 
     Cash pre-funded/placed in escrow for Ark Transaction0 646.3 
     Accrued investment income3.9 2.4 
     Accounts receivable on unsettled investment sales3.5 3.4 
     Goodwill and other intangible assets35.7 36.4 
     Other assets49.7 40.4 
     Assets held for sale.7 2.3 
     Total Other Operations assets1,663.3 2,383.8 
Total assets$6,900.7 $4,831.4 
See Notes to Consolidated Financial Statements
1

(Millions, except��share amounts) September 30,
2017		 December 31,
2016
Assets (Unaudited)  
Fixed maturity investments, at fair value $1,490.0
 $2,081.1
Short-term investments, at amortized cost (which approximates fair value) 786.5
 174.9
Common equity securities, at fair value 774.4
 285.6
Other long-term investments 229.6
 172.8
Total investments 3,280.5
 2,714.4
Cash 48.6
 80.2
Insurance premiums receivable 4.5
 1.6
Deferred acquisition costs 14.1
 10.6
Accrued investment income 15.4
 14.8
Accounts receivable on unsettled investment sales 190.1
 4.8
Goodwill and other intangible assets 37.8
 45.2
Other assets 46.1
 49.1
Assets held for sale —
 3,599.5
Total assets $3,637.1
 $6,520.2
Liabilities  
  
Unearned insurance premiums $118.5
 $82.9
Debt 9.4
 12.7
Accrued incentive compensation 76.9
 95.7
Accounts payable on unsettled investment purchases 49.7
 —
Other liabilities 45.4
 43.6
Liabilities held for sale —
 2,569.3
Total liabilities 299.9
 2,804.2
Equity  
  
White Mountains’s common shareholders’ equity  
  
White Mountains’s common shares at $1 par value per share - authorized 50,000,000 shares;  
  
    issued and outstanding 3,749,971 and 4,563,814 shares 3.7
 4.6
Paid-in surplus 665.6
 806.1
Retained earnings 2,800.8
 2,776.6
Accumulated other comprehensive loss, after tax:    
Net unrealized foreign currency translation losses (1.3) (1.4)
Accumulated other comprehensive loss from net change
     in benefit plan assets and obligations
 —
 (3.2)
Total White Mountains’s common shareholders’ equity 3,468.8
 3,582.7
Non-controlling interests (131.6) 133.3
Total equity 3,337.2
 3,716.0
Total liabilities and equity $3,637.1
 $6,520.2



CONSOLIDATED BALANCE SHEETS (CONTINUED)
March 31, 2021December 31, 2020
Millions, except share and per share amounts
LiabilitiesUnaudited
Financial Guarantee (HG Global/BAM)
Unearned insurance premiums$243.7 $237.5 
Accrued incentive compensation11.0 25.7 
Other liabilities28.6 28.3 
Total Financial Guarantee liabilities283.3 291.5 
P&C Insurance and Reinsurance (Ark)
Loss and loss adjustment expense reserves751.9 0 
Unearned insurance premiums565.4 0 
Debt44.1 0 
Reinsurance payable487.5 0 
Contingent consideration related to the Ark Transaction22.5 0 
Accounts payable on unsettled investment purchases61.6 0 
Other liabilities73.8 0 
Total P&C Insurance and Reinsurance liabilities2,006.8 0 
Specialty Insurance Distribution (NSM)
Debt272.7 272.6 
Premiums payable116.0 113.4 
Contingent consideration earnout liabilities7.9 14.6 
     Other liabilities83.5 91.2 
Total Specialty Insurance Distribution liabilities480.1 491.8 
Asset Management (Kudu)
Debt95.9 86.3 
     Other liabilities15.4 10.0 
     Total Asset Management liabilities111.3 96.3 
Other Operations
Debt17.0 17.5 
Accrued incentive compensation40.4 70.1 
Other liabilities25.9 46.3 
Total Other Operations liabilities83.3 133.9 
Total liabilities2,964.8 1,013.5 
Equity
White Mountains’s common shareholders’ equity
White Mountains’s common shares at $1 par value per share—authorized 50,000,000
   shares; issued and outstanding 3,107,267 and 3,102,011 shares and paid-in surplus		3.1 3.1 
Paid-in surplus594.8592.1
Retained earnings3,226.7 3,311.2 
Accumulated other comprehensive gain (loss), after-tax:
Net unrealized foreign currency translation and interest rate swap gains (losses)1.3 (.4)
     Total White Mountains’s common shareholders’ equity3,825.9 3,906.0 
Non-controlling interests110.0 (88.1)
Total equity3,935.9 3,817.9 
Total liabilities and equity$6,900.7 $4,831.4 
See Notes to Consolidated Financial Statements

2

WHITE MOUNTAINS INSURANCE GROUP, LTD.
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
(Unaudited)
  Three Months Ended Nine Months Ended
  September 30, September 30,
(Millions, except per share amounts) 2017 2016 2017 2016
Revenues:        
Earned insurance premiums $2.4
 $3.4
 $7.6
 $10.2
Net investment income 12.2
 9.6
 39.7

18.2
Net realized and unrealized investment gains 32.5
 10.9
 102.5

27.2
Advertising and commission revenues 38.8
 28.2
 103.9
 89.6
Other revenue 1.6
 4.7
 6.1
 18.0
Total revenues 87.5
 56.8
 259.8
 163.2
Expenses:      
  
Loss and loss adjustment expenses —
 2.2
 1.1
 6.8
Insurance acquisition expenses .9
 1.3
 3.1
 4.4
Other underwriting expenses .1
 .2
 .3
 .4
Cost of sales 33.1
 24.0
 88.7
 76.9
General and administrative expenses 44.1
 42.4
 162.2
 144.9
Interest expense .9
 .5
 1.8
 2.6
Total expenses 79.1
 70.6
 257.2
 236.0
Pre-tax income (loss) from continuing operations 8.4
 (13.8) 2.6
 (72.8)
Income tax benefit 4.0
 17.1
 5.3
 22.7
Net income (loss) from continuing operations 12.4
 3.3
 7.9
 (50.1)
Gain from sale of other discontinued operations, net of tax 554.3
 47.9
 552.7
 414.5
Net (loss) income from discontinued operations, net of tax (15.2) 36.5
 20.5
 100.9
         
Net income 551.5
 87.7
 581.1
 465.3
Net loss (income) attributable to non-controlling interests 10.6
 3.1
 23.6
 (24.6)
Net income attributable to White Mountains’s common shareholders 562.1
 90.8
 604.7
 440.7
Comprehensive income, net of tax:      
  
Change in foreign currency translation, net of tax —
 .2
 .2
 (.4)
Comprehensive income from discontinued operations, net of tax 3.0
 (.3) 3.2
 145.8
Comprehensive income 565.1
 90.7
 608.1
 586.1
Other comprehensive income attributable to non-controlling interests —
 .1
 (.1) .1
Comprehensive income attributable to White Mountains’s
common shareholders		 $565.1
 $90.8
 $608.0
 $586.2
Income per share attributable to White Mountains’s common shareholders      
  
Basic income (loss) per share        
Continuing operations $5.36
 $1.31
 $7.03
 $(14.47)
Discontinued operations 125.45
 17.34
 128.03
 99.75
Total consolidated operations $130.81
 $18.65
 $135.06
 $85.28
Diluted income (loss) per share      
  
Continuing operations $5.36
 $1.31
 $7.03
 $(14.47)
Discontinued operations 125.45
 17.30
 128.03
 99.60
Total consolidated operations $130.81
 $18.61
 $135.06
 $85.13
Dividends declared per White Mountains’s common share $—
 $—
 $1.00
 $1.00


Three Months Ended March 31,
Millions20212020
Revenues:
Financial Guarantee (HG Global/BAM)
Earned insurance premiums$6.4 $5.4 
Net investment income4.5 5.5 
Net realized and unrealized investment (losses) gains(17.9)6.1 
Other revenues.3 .5 
Total Financial Guarantee revenues(6.7)17.5 
P&C Insurance and Reinsurance (Ark)
Earned insurance premiums104.6 0 
Net investment income.8 0 
Net realized and unrealized investment gains1.1 0 
Other revenues2.6 0 
Total P&C Insurance and Reinsurance revenues109.1 0 
Specialty Insurance Distribution (NSM)
Commission revenues59.6 53.0 
Other revenues15.2 12.0 
Total Specialty Insurance Distribution revenues74.8 65.0 
Asset Management (Kudu)
Net investment income8.2 7.3 
Net realized and unrealized investment gains (losses)15.8 (24.8)
Other revenues.1 .1 
Total Asset Management revenues24.1 (17.4)
Other Operations
   Net investment income7.1 10.1 
   Net realized and unrealized investment gains (losses)2.1 (168.0)
   Net realized and unrealized investment (losses) gains from investment in MediaAlpha(41.7)30.0 
   Commission revenues2.3 2.1 
   Other revenues7.1 1.5 
Total Other Operations revenues(23.1)(124.3)
Total revenues$178.2 $(59.2)

3

CONSOLIDATED STATEMENTS OF OPERATIONS (CONTINUED)
(Unaudited)

Three Months Ended March 31,
Millions20212020
Expenses:
Financial Guarantee (HG Global/BAM)
Insurance acquisition expenses$1.9 $1.7 
General and administrative expenses16.4 14.7 
Total Financial Guarantee expenses18.3 16.4 
P&C Insurance and Reinsurance (Ark)
Loss and loss adjustment expenses66.0 0 
Insurance and reinsurance acquisition expenses36.7 0 
Other underwriting expenses11.2 0 
General and administrative expenses26.6 0 
Interest expense1.1 0 
Total P&C Insurance and Reinsurance expenses141.6 0 
Specialty Insurance Distribution (NSM)
General and administrative expenses46.0 39.6 
Broker commission expenses18.9 18.3 
Change in fair value of contingent consideration earnout liabilities0 (.6)
Amortization of other intangible assets8.6 4.8 
Loss on assets held for sale28.7 0 
Interest expense5.9 4.3 
Total Specialty Insurance Distribution expenses108.1 66.4 
Asset Management (Kudu)
General and administrative expenses2.5 2.5 
Amortization of other intangible assets.1 .1 
Interest expense5.8 1.4 
Total Asset Management expenses8.4 4.0 
Other Operations
   Cost of sales4.0 2.0 
   General and administrative expenses35.7 17.5 
   Amortization of other intangible assets.5 .2 
   Interest expense.3 .3 
Total Other Operations expenses40.5 20.0 
Total expenses316.9 106.8 
Pre-tax loss from continuing operations(138.7)(166.0)
   Income tax benefit9.5 25.5 
Net loss from continuing operations(129.2)(140.5)
Net income from sale of discontinued operations, net of tax18.7 .9 
Net loss(110.5)(139.6)
   Net loss attributable to non-controlling interests35.2 10.8 
Net loss attributable to White Mountains’s common shareholders$(75.3)$(128.8)
See Notes to Consolidated Financial Statements

4

WHITE MOUNTAINS INSURANCE GROUP, LTD.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(Unaudited)

Three Months Ended March 31,
Millions20212020
Net loss attributable to White Mountains’s common shareholders$(75.3)$(128.8)
Other comprehensive income (loss), net of tax1.8 (3.4)
Comprehensive loss(73.5)(132.2)
Other comprehensive income attributable to non-controlling interests(.1)0 
Comprehensive loss attributable to White Mountains’s common shareholders$(73.6)$(132.2)
Earnings (loss) per share attributable to White Mountains’s common shareholders:
Basic (loss) earnings per share
Continuing operations$(30.33)$(40.82)
Discontinued operations6.03 .28 
Total consolidated operations$(24.30)$(40.54)
Diluted (loss) earnings per share
Continuing operations$(30.33)$(40.82)
Discontinued operations6.03 .28 
Total consolidated operations$(24.30)$(40.54)
Dividends declared and paid per White Mountains’s common share$1.00 $1.00 
See Notes to Consolidated Financial Statements.

5

YTD CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (CONTINUED)
(Unaudited)

 White Mountains’s Common Shareholders’ Equity 
MillionsCommon shares and paid-in surplusRetained earningsAOCI, after taxTotalNon-controlling interestTotal Equity
Balance at January 1, 2021$595.2 $3,311.2 $(.4)$3,906.0 $(88.1)$3,817.9 
Net loss— (75.3)— (75.3)(35.2)(110.5)
Net change in foreign currency translation and other— — 1.7 1.7 .1 1.8 
Total comprehensive (loss) income— (75.3)1.7 (73.6)(35.1)(108.7)
Dividends declared on common shares— (3.1)— (3.1)— (3.1)
Dividends to non-controlling interests— — — — (.6)(.6)
Repurchases and retirements of common shares(1.4)(6.1)— (7.5)— (7.5)
Capital contributions from BAM members, net of tax— — — — 13.8 13.8 
Net contributions from other non-controlling
   interests		(.4)— — (.4)(.2)(.6)
Recognition of equity-based units of subsidiary.5 — — .5 — .5 
Acquisition of non-controlling interests— — — — 220.2 220.2 
Amortization of restricted share awards4.0 — — 4.0 — 4.0 
Balance at March 31, 2021$597.9 $3,226.7 $1.3 $3,825.9 $110.0 $3,935.9 

 White Mountains’s Common Shareholders’ Equity 
MillionsCommon shares and paid-in surplusRetained earningsAOCI, after taxTotalNon-controlling interestTotal Equity
Balance at January 1, 2020$596.3 $2,672.4 $(7.2)$3,261.5 $(116.8)$3,144.7 
Net loss— (128.8)— (128.8)(10.8)(139.6)
Net change in foreign currency translation and other— — (3.4)(3.4)— (3.4)
Total comprehensive loss— (128.8)(3.4)(132.2)(10.8)(143.0)
Dividends declared on common shares— (3.2)— (3.2)— (3.2)
Dividends to non-controlling interests— — — — (.5)(.5)
Repurchases and retirements of common shares(12.1)(42.4)— (54.5)— (54.5)
Capital contributions from BAM members, net of tax— — — — 10.0 10.0 
Net contributions from other non-controlling interests— — — — .5 .5 
Amortization of restricted share awards5.1 — — 5.1 — 5.1 
Balance at March 31, 2020$589.3 $2,498.0 $(10.6)$3,076.7 $(117.6)$2,959.1 
6
  White Mountains’s Common Shareholders’ Equity    
(Millions) Common shares and paid-in surplus Retained earnings AOCI, after tax Total Non-controlling interest Total Equity
Balance at January 1, 2017 $810.7
 $2,776.6
 $(4.6) $3,582.7
 $133.3
 $3,716.0
Net income —
 604.7
 —
 604.7
 (23.6) 581.1
Net change in foreign currency translation and
   benefit plan assets and obligations
 —
 —
 .4
 .4
 .1
 .5
Recognition of benefit plan assets and obligations
   from the sale of OneBeacon
 —
 —
 2.9
 2.9
 —
 2.9
Total comprehensive income —
 604.7
 3.3
 608.0
 (23.5) 584.5
Dividends declared on common shares —
 (4.6) —
 (4.6) —
 (4.6)
Dividends to non-controlling interests —
 —
 —
 —
 (17.7) (17.7)
Repurchases and retirements of common shares (147.9) (575.9) —
 (723.8) (5.2) (729.0)
Issuances of common shares 1.7
 —
 —
 1.7
 —
 1.7
Deconsolidation of non-controlling interests
   associated with the sale of Star & Shield
 —
 —
 —
 —
 (4.4) (4.4)
Deconsolidation of non-controlling interests
associated with the sale of OneBeacon		 —
 —
 —
 —
 (238.3) (238.3)
Issuance of shares to non-controlling interests (4.1) —
 —
 (4.1) 4.7
 .6
Net contributions from non-controlling interests (1.7) —
 —
 (1.7) 18.7
 17.0
Amortization of restricted share awards 10.6
 —
 —
 10.6
 .8
 11.4
Balance at September 30, 2017 $669.3
 $2,800.8
 $(1.3) $3,468.8
 $(131.6) $3,337.2
             
  White Mountains’s Common Shareholders’ Equity    
(Millions) Common shares and paid-in surplus Retained earnings AOCI, after tax Total Non-controlling interest Total Equity
Balance at January 1, 2016 $978.2
 $3,075.0
 $(149.9) $3,903.3
 $454.3
 $4,357.6
Net income —
 440.7
 —
 440.7
 24.6
 465.3
Net change in foreign currency translation and
   benefit plan assets and obligations
 —
 —
 32.1
 32.1
 .1
 32.2
Recognition of foreign currency translation and
   other accumulated comprehensive items from
   the sale of Sirius Group
 —
 —
 113.3
 113.3
 —
 113.3
Total comprehensive income —
 440.7
 145.4
 586.1
 24.7
 610.8
Dividends declared on common shares —
 (5.4) —
 (5.4) —
 (5.4)
Dividends to non-controlling interests —
 —
 —
 —
 (17.4) (17.4)
Repurchases and retirements of common shares (188.1) (678.6) —
 (866.7) —
 (866.7)
Issuance of common shares 9.1
 —
 —
 9.1
 —
 9.1
Deconsolidation of non-controlling interests
   associated with the sale of Sirius Group
 —
 —
 —
 —
 (250.0) (250.0)
Deconsolidation of non-controlling interests
   associated with the sale of Tranzact
 —
 —
 —
 —
 (78.4) (78.4)
Acquisition of subsidiary —
 —
 —
 —
 3.4
 3.4
Acquisition from non-controlling interests -
   OneBeacon
 (2.7) —
 —
 (2.7) (8.8) (11.5)
Issuances of shares to non-controlling interests —
 —
 —
 —
 .3
 .3
Net contributions from non-controlling interests —
 —
 —
 —
 20.1
 20.1
Amortization of restricted share awards 13.3
 —
 —
 13.3
 .5
 13.8
Balance at September 30, 2016 $809.8
 $2,831.7
 $(4.5) $3,637.0
 $148.7
 $3,785.7


WHITE MOUNTAINS INSURANCE GROUP, LTD.
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited)
Three Months Ended March 31,
Millions20212020
Cash flows from operations:
Net loss$(110.5)$(139.6)
Adjustments to reconcile net income to net cash used for operations:  
Net realized and unrealized investment (gains) losses(1.1)186.7 
Net realized and unrealized investment losses (gains) from investment in MediaAlpha41.7 (30.0)
Deferred income tax expense(1.4)(27.9)
Net gain from sale of discontinued operations, net of tax(18.7)(.9)
Amortization of restricted share and option awards4.0 5.1 
Amortization and depreciation12.8 7.1 
Other operating items: 
Net change in reinsurance recoverables(15.7)0 
Net change in insurance premiums receivable(199.7)0 
Net change in commissions receivable(.2)(.7)
Net change in ceded unearned premiums24.8 0 
Net change in loss and loss adjustment expense reserves56.0 0 
Net change in premiums payable2.6 8.5 
Net change in unearned insurance premiums245.5 4.3 
Net change in deferred acquisition costs(51.3)(1.2)
Net change in reinsurance payable(40.7)0 
Net change in restricted cash4.8 8.6 
Investments in Kudu Participation Contracts(11.0)(21.0)
Net change in other assets and liabilities, net(34.7)(58.8)
Net cash used for operations(92.8)(59.8)
Cash flows from investing activities:  
Net change in short-term investments(103.1)63.9 
Sales of fixed maturity and convertible investments97.8 116.1 
Maturities, calls and paydowns of fixed maturity and convertible investments31.4 58.9 
Sales of common equity securities160.3 40.3 
Distributions and redemptions of other long-term investments and settlements of forward contracts40.1 64.1 
Release of cash pre-funded/placed in escrow for Ark Transaction646.3 0 
Purchases of consolidated subsidiaries, net of cash acquired of $52.0 and $0.011.1 0 
Purchases of other long-term investments(101.0)(10.9)
Purchases of common equity securities(68.8)(20.9)
Purchases of fixed maturity and convertible investments(411.1)(180.1)
Other investing activities, net60.9 (50.9)
Net cash (used for) provided from investing activities363.9 80.5 
Cash flows from financing activities:  
Draw down of debt and revolving line of credit105.3 12.0 
Repayment of debt and revolving line of credit(93.7)(1.0)
Cash dividends paid to the Company’s common shareholders(3.1)(3.2)
Common shares repurchased0 (47.8)
Distribution to non-controlling interest shareholders(.9)(.7)
Contingent consideration payments related to acquisitions of subsidiaries(6.7)(6.4)
Capital contributions to non-controlling interest shareholders(.4).4 
Capital contributions from BAM members13.8 10.0 
Fidus Re premium payment(3.2)(.8)
Other financing activities, net(4.6)(6.7)
Net cash provided from (used for) financing activities6.5 (44.2)
Effect of exchange rate changes on cash(.3)(1.1)
Net change in cash during the period - continuing operations, including the effect of
   exchange rate changes		277.3 (24.6)
Cash balances at beginning of period (includes restricted cash balances of $78.4 and $56.3)211.2 161.0 
Cash balances at end of period (includes restricted cash balances of $83.2 and $64.9)$488.5 $136.4 
Supplemental cash flows information: 
Interest paid$(7.5)$(5.2)
Net income tax payments$(1.4)$0 
See Notes to Consolidated Financial Statements

WHITE MOUNTAINS INSURANCE GROUP, LTD.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
7
  Nine Months Ended September 30,
(Millions) 2017 2016
Cash flows from operations:    
Net income $581.1
 $465.3
Charges (credits) to reconcile net income to net cash used for operations:  
  
Net realized and unrealized investment gains (102.5) (27.2)
Deferred income benefit (6.9) (16.2)
Net income from discontinued operations (20.5) (100.9)
Net gain from sale of discontinued operations, net of tax (552.7) (414.5)
Amortization and depreciation 25.9
 13.3
Other operating items:    
Net change in unearned insurance premiums 36.2
 20.1
Net change in deferred acquisition costs (3.5) (2.8)
Net change in restricted cash —
 5.8
Net change in other assets and liabilities, net (21.5) (117.6)
Net cash used for operations - continuing operations (64.4) (174.7)
Net cash provided from operations - discontinued operations 157.0
 38.1
Net cash provided from (used for) operations 92.6
 (136.6)
Cash flows from investing activities:  
  
Net change in short-term investments (612.2) (82.3)
Sales of fixed maturity and convertible investments 1,631.2
 2,009.4
Maturities, calls and paydowns of fixed maturity and convertible investments 178.6
 184.4
Sales of common equity securities 407.8
 683.0
Distributions, settlements and redemptions of other long-term investments 1.3
 10.1
Sales of unconsolidated affiliates and consolidated subsidiaries, net of cash sold 1,131.0
 2,657.2
Proceeds paid to non-controlling common shareholders from the sale of consolidated subsidiaries —
 (141.6)
Net settlement of investment cash flows and contributions with discontinued operations 167.7
 (396.6)
Purchases of other long-term investments (67.7) (36.6)
Purchases of common equity securities (818.6) (94.7)
Purchases of fixed maturity and convertible investments (1,189.8) (3,591.5)
Purchases of unconsolidated affiliates and consolidated subsidiaries, net of cash acquired —
 (13.7)
Net change in unsettled investment purchases and sales (135.6) (113.7)
Net acquisitions of property and equipment 1.0
 (.9)
Net cash provided from investing activities - continuing operations 694.7
 1,072.5
Net cash provided from investing activities - discontinued operations 3.0
 269.7
Net cash provided from investing activities 697.7
 1,342.2
Cash flows from financing activities:  
  
Draw down of debt and revolving line of credit 361.0
 352.5
Repayment of debt and revolving line of credit (364.6) (401.8)
Proceeds from issuances of common shares —
 3.7
Cash dividends paid to the Company’s common shareholders (4.6) (5.4)
Common shares repurchased (714.6) (860.9)
Distribution to non-controlling interest shareholders (.9) (.9)
Contributions from discontinued operations 45.2
 42.2
Payments of contingent consideration related to purchases of consolidated subsidiaries —
 (7.8)
Capital contributions from BAM members 25.7
 28.2
Acquisition of additional subsidiary shares from non-controlling interest (.7) —
Other financing activities, net (9.3) (5.8)
Net cash used for financing activities - continuing operations (662.8) (856.0)
Net cash used for financing activities - discontinued operations (61.9) (72.7)
Net cash used for financing activities (724.7) (928.7)
Net change in cash during the period - continuing operations (32.5) 41.8
Cash balances at beginning of period (excludes restricted cash balances of $0.0 and $5.8 and discontinued operations cash balances of $70.5 and $245.4) 80.2
 72.0
Add: cash held for sale, excluding discontinued operations, at the beginning of period .9
 1.2
Less: cash held for sale, excluding discontinued operations, at the end of period —
 3.8
Cash balances at end of period (excludes restricted cash balances of $0.0 and $0.0 and discontinued operations cash balances of $0.0 and $137.3) $48.6
 $111.2
Supplemental cash flows information:  
 

Interest paid $(.5) $(.7)
Net income tax refund from national governments $—
 $—


See Notes to Consolidated Financial Statements

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)


Note 1. SummaryBasis of Presentation and Significant Accounting Policies
Basis of Presentation
These interim
The Company is an exempted Bermuda limited liability company whose principal businesses are conducted through its subsidiaries and other affiliates. The Company’s headquarters is located at 26 Reid Street, Hamilton, Bermuda HM 11, its principal executive office is located at 23 South Main Street, Suite 3B, Hanover, New Hampshire 03755-2053 and its registered office is located at Clarendon House, 2 Church Street, Hamilton, Bermuda HM 11. The Company’s website is located at www.whitemountains.com. The information contained on White Mountains’s website is not incorporated by reference into, and is not a part of, this report.
The accompanying consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States (“GAAP”) and include the accounts of White Mountains Insurance Group, Ltd. (the “Company” or the “Registrant”), its subsidiaries (collectively with the Company, “White Mountains”) and other entities required to be consolidated under GAAP.

Consolidation Principles
Under GAAP, the Company is required to consolidate any entity in which it holds a controlling financial interest. A controlling financial interest is usually in the form of an investment representing the majority of the subsidiary’s voting interests. However, a controlling financial interest may also arise from a financial interest in a variable interest entity (“VIE”) through arrangements that do not involve ownership of voting interests. The Company consolidates a VIE if it determines that it is an exempted Bermudathe primary beneficiary. The primary beneficiary is defined as the entity who holds a variable interest that gives it both the power to direct the VIE’s activities that most significantly impact its economic performance and the obligation to absorb losses of, or the right to receive returns from, the VIE that could potentially be significant to the VIE.
Intercompany transactions have been eliminated in consolidation. These interim financial statements include all adjustments considered necessary by management to fairly state the financial position, results of operations and cash flows of White Mountains. These interim financial statements may not be indicative of financial results for the full year and should be read in conjunction with the Company’s 2020 Annual Report on Form 10-K.

Business Combinations
White Mountains accounts for purchases of businesses using the acquisition method, which requires the measurement of assets acquired, including goodwill and other intangible assets, and liabilities assumed, including contingent liabilities, at their estimated fair values as of the acquisition date. The acquisition date fair values represent management’s best estimates and are based upon established valuation techniques, reasonable assumptions and, where appropriate, valuations performed by independent third parties. In circumstances where additional information is required in order to determine the acquisition date fair value of balance sheet amounts, provisional amounts may be recorded as of the acquisition date and may be subject to subsequent adjustment throughout the measurement period, which is up to one year from the acquisition date. Measurement period adjustments are recognized in the period in which they are determined. The results of operations and cash flows of businesses acquired are included in the consolidated financial statements from the date of acquisition. White Mountains accounts for purchases of other intangible assets that do not meet the definition of a business as asset acquisitions. Asset acquisitions are recognized at the amount of consideration paid, which is deemed to equal fair value.

Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Fair Value Measurements
Fair value measurements are categorized into a hierarchy that distinguishes between inputs based on market data from independent sources (“observable inputs”) and a reporting entity’s internal assumptions based upon the best information available when external market data is limited liability company whose principalor unavailable (“unobservable inputs”). Quoted prices in active markets for identical assets or liabilities have the highest priority (“Level 1”), followed by observable inputs other than quoted prices, including prices for similar but not identical assets or liabilities (“Level 2”) and unobservable inputs, including the reporting entity’s estimates of the assumptions that market participants would use, having the lowest priority (“Level 3”).

8

Reportable Segments
White Mountains has determined its reportable segments based on the nature of the underlying businesses, are conducted through its insurancethe manner in which the Company’s subsidiaries and other affiliates. The Company’s headquarters is located at 26 Reid Street, Hamilton, Bermuda HM 11, its principal executive office is located at 80 South Main Street, Hanover, New Hampshire 03755-2053affiliates are organized and its registered office is located at Clarendon House, 2 Church Street, Hamilton, Bermuda HM 11.managed and the organization of the financial information provided to the chief operating decision maker to assess performance and make decisions regarding allocation of resources. As of March 31, 2021, White Mountains’s reportable segments arewere HG Global/BAM, MediaAlphaArk, NSM, Kudu and Other Operations.
The HG Global/BAM segment consists of HG Global Ltd. and its wholly-owned subsidiaries (“HG Global”) and the consolidated results of Build America Mutual Assurance Company (“BAM”) (collectively, “HG Global/BAM”). BAM is the first and only mutual municipal bond insurance company in the United States. By insuring the timely payment of principal and interest, BAM provides market access to, and lowers interest expense for, issuers of municipal bonds used to finance essential public purposes such as schools, utilities and transportation facilities. BAM is owned by and operated for the benefit of its members, the municipalities that purchase BAM’s insurance for their debt issuances. HG Global was established to fund the startup of BAM and, through its wholly-owned subsidiary, HG Re Ltd. (“HG Re”), to provide up to 15%-of-par, first loss reinsurance protection for policies underwritten by BAM. For capital appreciation bonds, par is adjusted to the estimated equivalent par value for current interest paying bonds. HG Global, together with its subsidiaries, providedfunded the initial capitalization of BAM through the purchase of $503.0 million of surplus notes issued by BAM, consisting of $203.0 million of Series A Notes and $300.0 million of Series B Notes (the “BAM Surplus Notes”). As of September 30, 2017March 31, 2021 and December 31, 2016,2020, White Mountains owned 96.9% of HG Global’s preferred equity and 88.4% of its common equity. White Mountains does not have an ownership interest in BAM. However, GAAP requires White Mountains is required to consolidate BAM’s results in its financial statements.statements because BAM is a VIE for which White Mountains is the primary beneficiary. BAM’s results are attributed to non-controlling interests.
The MediaAlphaArk segment consists of QLArk Insurance Holdings Limited and its subsidiaries (collectively, “Ark”). Ark writes a diversified and balanced portfolio of reinsurance and insurance, including property, accident & health, energy, marine and political risks, through Lloyd’s Syndicates 4020 and 3902 (the “Syndicates”). Beginning in January 2021, Ark began writing certain classes of its business through Group Ark Insurance Limited (“GAIL”), Ark’s wholly-owned Bermuda-based insurance and reinsurance company.
As of March 31, 2021, White Mountains owned 72.0% of Ark on a basic shares outstanding basis (63.0% on a fully-diluted, fully-converted basis, taking account of management’s equity incentives). If the additional $200.0 million of equity capital that White Mountains has agreed to contribute to Ark is contributed in full, White Mountains will own 77.1% of Ark on a basic shares outstanding basis (67.5% on a fully-diluted, fully-converted basis). The remaining shares are owned by employees. In the future, management rollover shareholders could earn additional shares in the company if and to the extent that White Mountains achieves certain multiple of invested capital return thresholds. If fully earned, these additional shares would represent 12.5% of the shares outstanding at closing. See Note 2—“Significant Transactions”.
The NSM segment consists of NSM Insurance HoldCo, LLC and its wholly-owned subsidiary QuoteLab,subsidiaries (collectively, “NSM”). NSM is a full-service managing general underwriting agency (“MGU”) and program administrator for specialty property and casualty insurance. The company places insurance in niche sectors such as specialty transportation, real estate, social services and pet. On behalf of its insurance carrier partners, NSM typically manages all aspects of the placement process, including product development, marketing, underwriting, policy issuance and claims. NSM earns commissions based on the volume and profitability of the insurance that it places. NSM does not take insurance risk. As of March 31, 2021 and December 31, 2020, White Mountains owned 96.6% of the basic units outstanding of NSM (89.6% on a fully diluted, fully converted basis). See Note 2—“Significant Transactions”.
The Kudu segment consists of Kudu Investment Management, LLC and its subsidiaries (collectively “MediaAlpha”“Kudu”). MediaAlpha is an advertising technology company that develops transparent, a capital solutions provider for asset management firms. Kudu provides capital solutions for boutique asset managers for a variety of purposes including generational ownership transfers, management buyouts, acquisition and efficient platforms for the buying and selling of insurance and other vertical-specific performance media (i.e., clicks, calls and leads). MediaAlpha’s exchange technology, machine learning and analytical tools facilitate transparent, real-time transactions between advertisers (buyers of advertising inventory) and publishers (sellers of advertising inventory). MediaAlpha works with 330 advertisers and 280 publishers across a number of insurance (auto, motorcycle, home, renter, health and life) and non-insurance (travel, education, personalgrowth finance and home services) verticals.legacy partner liquidity. Kudu also provides strategic assistance to investees from time to time. Kudu’s capital solutions typically are structured as minority preferred equity stakes with distribution rights, typically tied to gross revenues and designed to generate immediate strong, stable cash yields. As of March 31, 2021 and December 31, 2020, White Mountains owned 99.3% of the basic units outstanding (84.8% on a fully diluted, fully converted basis). See Note 2 —“Significant Transactions”.
White Mountains’sThe Other Operations segment consists of the Company and its wholly-owned subsidiary, White Mountains Capital, LLC, (“WM Capital”) its other intermediate holding companies, its wholly-owned investment management subsidiary, White Mountains Advisors LLC (“WM Advisors”), investment assets managed by WM Advisors, its interests in MediaAlpha, Inc. (“MediaAlpha”), PassportCard Limited (“PassportCard”) and DavidShield Life Insurance Agency (2000) Ltd. (“DavidShield”) (collectively, “PassportCard/ DavidShield”), Elementum Holdings LP (“Elementum”), and certain other consolidated and unconsolidated private capital investments. The consolidated private capital investments consist of Wobi Insurance Agency Ltd. (“Wobi”)entities and Removal Stars Ltd. (“Buzzmove”). Duringcertain other assets.


9

Discontinued Operations and Assets Held for Sale
In the thirdfirst quarter of 2017,2021, White Mountains revised certain of its previously issued financial statements for amounts relating to Wobi. See Note 16 — “Financial Statement Revisions”. White Mountains’s Other Operations segment also includes its variable annuity reinsurance business, White Mountains Life Reinsurance (Bermuda) Ltd. (“Life Re Bermuda”), which completed its runoff with all of its contracts fully maturedrecorded a gain on June 30, 2016 and which was liquidated in the third quarter of 2017, and its U.S.-based service provider, White Mountains Financial Services LLC, which was liquidated in the second quarter of 2017 (collectively, “WM Life Re”).
On September 28, 2017, Intact Financial Corporation completed its previously announced acquisition of OneBeacon in an all-cash transaction for $18.10 per share (the “OneBeacon Transaction”). OneBeacon Ltd., an exempted Bermuda limited liability company that owns a family of property and casualty insurance companies (collectively, “OneBeacon”), offers a wide range of insurance products in the United States through independent agencies, regional and national brokers, wholesalers and managing general agencies. On July 21, 2016, White Mountains completed its sale of Tranzact Holdings, LLC (“Tranzact”) to an affiliatediscontinued operations as a result of Clayton, Dubilier & Rice, LLC. On April 18, 2016, White Mountains completed itsreversing a liability arising from the tax indemnification provided in connection with the sale of Sirius International Insurance Group, Ltd., and its subsidiaries (collectively, “Sirius (“Sirius Group”) to CM International Holding PTE Ltd. (“CMI”), the Singapore-based investment armin 2016.
As of China Minsheng Investment Corp., Ltd. White Mountains has presented the results of OneBeacon, Tranzact and Sirius Group as discontinued operations in the statement of operations and comprehensive income for all periods prior to each transaction’s completion date. White Mountains has presented OneBeacon’sDecember 31, 2020, assets and liabilities as held for sale as of December 31, 2016. included a corporate aircraft, which was sold on February 12, 2021.
On March 7, 2017, White Mountains completedApril 12, 2021, NSM sold the sale of Star & Shield Services LLC, Star & Shield Risk Management LLC, and Star & Shield Claims Services LLC (collectively “Star & Shield”) and its investment in Star & Shield Insurance Exchange (“SSIE”) surplus notes to K2Fresh Insurance Services LLC. Star & Shield provides management services for a fee to SSIE, a reciprocal that is owned by its members, who are policyholders. White Mountains was required to consolidate SSIE in its GAAP financial statements until White Mountains completed the sale. White Mountains has presented Star & Shield’s and SSIE’sGroup Limited (“Fresh Insurance”) motor business. As of March 31, 2021, assets and liabilities as held for sale asincluded the net realizable value of December 31, 2016. See Fresh Insurance’s motor business, which was recorded in other assets in the NSM segment. Note 1519 — “Held for Sale and Discontinued Operations”.


All significant intercompany transactions have been eliminated in consolidation. Certain amountsSignificant Accounting Policies

In addition to the following, refer to the Notes to Consolidated Financial Statements in the prior period financial statements have been reclassified to conform to the current presentation. These interim financial statements include all adjustments considered necessary by management to fairly state the financial position, results of operations and cash flows of White Mountains. These interim financial statements may not be indicative of financial results for the full year and should be read in conjunction with the Company’s 2016 Annual Report on Form 10-K.
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.  Refer to the Company’s 20162020 Annual Report on Form 10-K for a complete discussion regarding White Mountains’s significant accounting policies.


Ark Insurance Operations
Ark writes a diversified and balanced portfolio of reinsurance and insurance, including property, accident & health, energy, marine and political risks, through the Syndicates. Beginning in January 2021, Ark began writing certain classes of its business through GAIL.
For the years of account prior to White Mountains’s transaction with Ark, a significant proportion of the Syndicates’ underwriting capital was provided by other third-party insurance and reinsurance groups (“TPC Providers”) using whole account reinsurance contracts through Ark’s corporate member. The TPC Providers’ economic participation in the Syndicates for the remaining open years of account prior to White Mountains’s transaction with Ark is approximately 51% of the total net result of the Syndicates. Captions within results of operations and other comprehensive income are shown net of amounts relating to the TPC Providers share of the Syndicates’ results, including investment results.
Ark’s premiums written comprise premiums on insurance contracts incepted during the year as well as premium adjustments related to prior accounting years. Insurance premiums are recognized in earnings over the loss exposure or coverage period in proportion to the level of protection provided. In most cases, such premiums are earned ratably over the term of the contract with unearned premiums calculated on a monthly pro-rata basis. Premiums earned are presented net of amounts ceded to reinsurers. Premiums receivable, representing amounts due from insureds, are presented net of an allowance for uncollectible premiums, including expected credit losses, both dispute and credit related. The allowance is based upon Ark’s ongoing review of amounts outstanding, historical loss data, including delinquencies and write-offs, current and forecasted economic conditions and other relevant factors. Credit risk is partially mitigated by Ark’s ability to cancel the policy if the policyholder does not pay the premium.
Deferred acquisition costs comprise brokerage and taxes which are directly attributable to and vary with the production of business. These costs are deferred and amortized to the extent they related to successful contract acquisitions over the applicable premium recognition period.
Losses and loss adjustment expenses (“LAE”) are charged against income as incurred. Unpaid losses and LAE, including estimates for amounts incurred and not reported (“IBNR”) are based on estimates of the ultimate costs of settling claims, including the effects of inflation and other societal and economic factors. Unpaid loss and LAE reserves represent management’s best estimate of ultimate losses and LAE, net of estimated salvage and subrogation recoveries, if applicable. Such estimates are regularly reviewed and updated and any adjustments resulting there from are reflected in current results of operations. The process of estimating loss and LAE involves a considerable degree of judgment by management and the ultimate amount of expense to be incurred could be considerably greater than or less than the amounts currently reflected in the financial statements.
Reinsurance recoverables represent amounts of paid losses and loss adjustment expenses, case reserves and IBNR amounts ceded to reinsurers under reinsurance treaties. Amounts recoverable from reinsurers are estimated in a manner consistent with the associated claim liability. Ark reports its reinsurance recoverables net of an allowance for estimated uncollectible reinsurance, including expected credit losses. The allowance is based upon its ongoing review of amounts outstanding, length of collection periods, changes in reinsurer credit standing, disputes, applicable coverage defenses and other relevant factors.


10

Derivatives
From time to time, White Mountains holds derivative financial instruments for risk management purposes. White Mountains recognizes all derivatives as either assets or liabilities, measured at fair value, on the consolidated balance sheet. Changes in the fair value of derivative instruments that meet the criteria for hedge accounting are recognized in other comprehensive income and reclassified into current period pre-tax income when the hedged items are recognized therein. Changes in the fair value of derivative instruments that do not meet the criteria for hedge accounting are recognized in current period pre-tax income.
As of March 31, 2021 and December 31, 2020, NSM holds an interest rate swap derivative instrument that meets the criteria for hedge accounting. See Note 9 — “Derivatives”.

Goodwill and Other Intangible Assets
Goodwill represents the excess of the amount paid to acquire subsidiaries over the fair value of identifiable net assets at the date of acquisition. Other intangible assets consist primarily of the Lloyds underwriting capacity, trade names, URL and online names, customer relationships and contracts, information technology platforms and insurance licenses.

Reinsurance Contracts Accounted for as Deposits
Reinsurance contracts that do not meet the risk transfer requirements necessary to be accounted for as reinsurance are accounted for using the deposit method. Under the deposit method, ceded premiums paid are not recognized through income but rather treated as a deposit. BAM entered into ceded reinsurance agreements with Fidus Re Ltd. (“Fidus Re”) during the second quarter of 2018 and the first quarter of 2021, which are both accounted for using the deposit method. See Note 10 — “Municipal Bond Guarantee Insurance”. The nonrefundable consideration paid by BAM to Fidus Re is charged to financing expense within general and administrative expenses.
Ark has an aggregate excess of loss contract with Third Point Reinsurance Ltd. (“Third Point Re”) in the amount of $50.0 million, which is accounted for using the deposit method. Ark earns an annual crediting rate of 3% which is recorded within other revenue. As of March 31, 2021, the carrying value of Ark’s deposit in Third Point Re, including accrued interest, was $51.7 million and is recorded in other assets.

Cash and Restricted Cash
Cash includes amounts on hand and demand deposits with banks and other financial institutions. Amounts presented in the statement of cash flows are shown net of balances acquired and sold in the purchase or sale of the Company’s consolidated subsidiaries.
Cash balances that are not immediately available for general corporate purposes, including fiduciary accounts held by NSM on behalf of insurance carriers, are classified as restricted.

Recently Adopted Changes in Accounting Principles


Stock CompensationIncome Taxes
EffectiveOn January 1, 2017,2020, White Mountains adopted ASU 2016-09, Improvements2019-12, Simplifying the Accounting for Income Taxes (ASC 740), which removes exceptions to Employee Share-Based Payment Accounting (ASC 718) which simplifies certain aspects ofstandard guidance. Under the accounting for share-based compensation. The new guidance provides an accounting policy election to account for forfeitures by either applying an assumption,non-income-based taxes, such as required under existing guidance, or by recognizing forfeitures when they actually occur. At adoption, White Mountains did not change its accounting policy for forfeitures, which is to apply an assumed forfeiture rate. The new guidance has also changed the threshold for partial cash settlement to settle statutory withholding requirements for equity classified awards, increasing the threshold up to the maximum statutory tax rate. As a result of adoption, White Mountainsfranchise taxes, are reported $9.3 million and $5.8 million of statutory withholding tax payments madewithin pre-tax income rather than being included in connection with the settlement of restricted shares as financing cash flows for the nine-month periods ended September 30, 2017 and 2016. Such payments were classified as operating cash flows prior to adoption.
income taxes. In addition, the new guidance eliminated the exception to the incremental approach for inter-period tax allocation, which previously allowed consideration of the tax effect of items such as discontinued operations and items recognized through other comprehensive income.
For periods subsequent to the adoption of ASU 2019-12, White Mountains has recorded both the tax expense related to BAM’s member surplus contributions (“MSC”) and the related valuation allowance on such taxes through the non-controlling interest equity. Prior to the adoption of ASU 2019-12, White Mountains recorded the tax expense related to BAM’s MSC directly to non-controlling interest equity, while the valuation allowance on such taxes was recorded through the income statement.

Goodwill
On January 1, 2020, White Mountains adopted ASU 2017-04, Simplifying the Test for Goodwill Impairment (ASC 350), which changed the treatment for excess tax benefits which arise from the difference between the deduction for tax purposes and the compensation costs recognized for financial reporting.guidance on goodwill impairment testing. Under the new guidance, the qualitative assessment of the recoverability of goodwill remains the same, but the second step of the two-step qualitative test, which required calculation of the implied fair value of goodwill, has been eliminated. Instead, an impairment charge is recognized when the carrying value of a reporting entity willunit exceeds its fair value. Any excess of carrying value over fair value is written down as an impairment. White Mountains did not identify any impairment indicators associated with its reporting units and therefore did not recognize excess tax benefits or expense in current period earnings, regardlessan impairment of whether it is in a taxes payable position.goodwill during the quarter ended March 31, 2021. White Mountains’s adoption of ASU 2017-04 did not have any impact on White Mountains’s financial statements.


Business Combinations - Measurement Period Adjustments
11

EffectiveCredit Losses
On January 1, 2016,2020, White Mountains adopted ASU 2015-16, Simplifying the Accounting for Measurement-Period Adjustments, which requires adjustments to provisional amounts recorded in connection with a business combination that are identified during the measurement period to be recorded in the reporting period in which the adjustment amounts are determined, rather than as retroactive adjustments to prior periods. White Mountains has not recognized any adjustments to estimated purchase accounting amounts for the year to date period ended September 30, 2017 and accordingly, there was no effect to White Mountains’s financial statements upon adoption.

Amendments to Consolidation Analysis
On January 1, 2016, White Mountains adopted ASU 2015-02, Amendments to the Consolidation Analysis (ASC 810) which amends the guidance for determining whether an entity is a variable interest entity (“VIE”). ASU 2015-02 eliminates the separate consolidation guidance for limited partnerships and, with it, the presumption that a general partner should consolidate a limited partnership. In addition, ASU 2015-02 changes the guidance for determining if fee arrangements qualify as variable interests and the effect fee arrangements have on the determination of the primary beneficiary. Adoption of ASU 2015-02 did not affect the consolidation analysis for any of White Mountains’s investments.

Share-Based Compensation Awards
On January 1, 2016, White Mountains adopted ASU 2014-12, Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period (ASC 718). The new guidance requires that a performance target that affects vesting and that can be achieved after the requisite service period be treated as a performance condition. Compensation cost is to be recognized in the period when it becomes probable the performance target will be achieved in an amount equal to the compensation cost attributable to the periods for which service has been rendered. Adoption did not have any effect on White Mountains’s financial position, results of operations, cash flows, presentation or disclosures.


Debt Issuance Costs
On January 1, 2016, White Mountains adopted ASU 2015-03, Imputation of Interest (ASC 835), which requires debt issuance costs to be presented as a deduction from the carrying amount of the related debt, consistent with the treatment required for debt discounts. The new guidance requires amortization of debt issuance costs to be classified within interest expense and also requires disclosure to the debt’s effective interest rate. As of September 30, 2017, there was an insignificant amount of unamortized debt issuance costs included in debt.

Recently Issued Accounting Pronouncements

Stock Compensation
In May 2017, the FASB issued ASU 2017-09, Stock Compensation: Scope of Modification Accounting (ASC 718), which narrows the scope of transactions subject to modification accounting to changes in terms of an award that result in a change in the award’s fair value, vesting conditions or classification. The new guidance becomes effective for fiscal years beginning after December 15, 2017. White Mountains does not expect a material impact from implementation of this guidance.

Cash Flow Statement
In August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows: Classification of Certain Cash Receipts and Cash Payments (ASC 230), which addresses the classification and presentation of certain items, including debt prepayment and extinguishment costs, contingent consideration payments made after a business combination and distributions received from equity method investees, for which there was diversity in practice.
In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows: Restricted Cash (ASC 230). Under current guidance, restricted amounts of cash or cash equivalents are excluded from the cash flow statement. The new guidance requires restricted cash and restricted cash equivalents to be included in the reconciliation of beginning and end-of-period amounts presented on the statement of cash flows. In addition, the new guidance requires a description of the nature of the changes in restricted cash and cash equivalents during the periods presented.
The updated guidance in ASU 2016-15 and ASU 2016-18 are both effective for interim and annual reporting periods beginning after December 15, 2017, with early adoption permitted. White Mountains does not expect a material impact from implementation of this guidance.

Credit Losses
In June 2016, the FASB issued ASU 2016-13, Measurement of Credit Losses on Financial Instruments (ASC 326), which establishes new guidance for the recognition of credit losses for financial assets measured at amortized cost. The new ASU requires reporting entities to estimate the credit losses expected over the life of a credit exposure using historical information, current information and reasonable and supportable forecasts that affect the collectability of the financial asset. This differs from current U.S. GAAP, which delays recognition until it is probable a loss has been incurred. The new guidance is expected to accelerate recognition of credit losses. The types of assets within the scope of the new guidance include premium receivables, reinsurance recoverables and loans. ASU 2016-13 is effective for annual periods beginning after January 1, 2020, including interim periods. White Mountains is evaluating the expected impact of this guidance.

Leases
In February 2016, the FASB issued ASU 2016-02, Leases (ASC 842). The new guidance requires lessees to recognize lease assets and liabilities on the balance sheet for both operating and financing leases, with the exception of leases with an original term of 12 months or less. Under existing guidance recognition of lease assets and liabilities is not required for operating leases. The lease assets and liabilities to be recognized are both measured initially based on the present value of the lease payments. Under the new guidance, a sale-leaseback transaction must meet the recognition criteria under ASC 606, Revenues, in order to be accounted for as sale. The new guidance is effective for White Mountains for years beginning after December 15, 2018, including interim periods therein. White Mountains is evaluating the expected impact of this guidance and available adoption methods.


Financial Instruments - Recognition and Measurement
In January 2016, the FASB issued ASU 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (ASC 825-10). The new ASU modifies the guidance for financial instruments, including investments in equity securities. Under the new guidance, all equity securities with readily determinable fair values are required to be measured at fair value with changes therein recognized through current period earnings. In addition, the new ASU requires a qualitative assessment for equity securities without readily determinable fair values to identify impairment, and for impaired equity securities to be measured at fair value. ASU 2016-01 is effective for fiscal years beginning after December 15, 2017, with early adoption permitted. White Mountains measures its portfolio of investment securities at fair value with changes therein recognized through current period earnings and, accordingly, does not expect the adoption of ASU 2016-01 to2016-13 did not have a significantany impact on itsWhite Mountains’s financial statements.


Revenue Recognition
In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (ASC 606), which modifies the guidance for revenue recognition. Under ASU 2014-09, revenue is to be recognized at an amount that reflects the consideration to which an entity expects to be entitled in exchange for goods or services transferred to customers. The new guidance sets forth the steps to be followed to recognize revenue: (i) identify the contract(s) with a customer, (ii) identify the performance obligations in the contract, (iii) determine the transaction price, (iv) allocate the transaction price to the performance obligations in the contract and (v) recognize revenue when (or as) the entity satisfies a performance obligation. Subsequently, the FASB issued additional ASUs clarifying the guidance in and providing implementation guidance for ASU 2014-09.
In August 2015, the FASB issued ASU 2015-14, Revenue from Contracts with Customers, which delays the effective date of ASU 2014-09 and all related ASUs to annual and interim reporting periods beginning after December 15, 2017. Revenue from insurance contracts, investment income and investments gains and losses are excluded from the scope of 2014-09. The new guidance is applicable to some of White Mountains’s revenue streams, including certain fee arrangements as well as commissions and other non-insurance revenues. White Mountains does not expect ASU 2014-09 to have a significant effect on recognition of White Mountains’s revenues from customers.

Note 2. Significant Transactions


OneBeacon TransactionMediaAlpha
On September 28, 2017,October 30, 2020, MediaAlpha completed an initial public offering (the “MediaAlpha IPO”). In the offering, White Mountains sold 3.6 million shares at $19.00 per share ($17.67 per share net of underwriting fees) and received $1.3 billiontotal proceeds of $63.8 million. White Mountains also received $55.0 million of net proceeds related to a dividend recapitalization at MediaAlpha. Following the MediaAlpha IPO, White Mountains owned 20.5 million MediaAlpha shares, representing a 35.0% ownership interest (32.3% on a fully-diluted, fully converted basis).
On March 23, 2021, MediaAlpha completed a secondary offering of 8.05 million shares. In the secondary offering, White Mountains sold 3.6 million shares at $46.00 per share ($44.62 per share net of underwriting fees) for net proceeds of $160.3 million. Following the completion of the offering, White Mountains owns 16.9 million shares, representing a 28.5% basic ownership interest (26.3% fully-diluted/fully-converted basis). At the March 31, 2021, closing price of $35.43 per share, the fair value of White Mountains’s remaining investment in cash proceedsMediaAlpha was $600.2 million. See Note 16 — “Equity-Method Eligible Investments”.

Ark
On October 1, 2020, White Mountains entered into a subscription and purchase agreement (the “Ark SPA”) with Ark and certain selling shareholders (collectively with Ark, the “Ark Sellers”). Certain Ark Sellers also entered into a related management warranty deed (together with the Ark SPA, the “Ark Acquisition Agreement”) pursuant to which they made certain warranties about the Ark business (collectively the “Ark Transaction”). Under the terms of the Ark SPA, White Mountains agreed to contribute $605.4 million of equity capital to Ark, at a pre-money valuation of $300.0 million, and purchase $40.9 million of shares from the OneBeaconArk Sellers. White Mountains also agreed to contribute up to an additional $200.0 million of equity capital to Ark in 2021. In accordance with the Ark SPA, in the fourth quarter of 2020 White Mountains pre-funded/placed in escrow a total of $646.3 million in preparation for closing the Ark Transaction, including $280.0 million funded directly to Lloyd’s on behalf of Ark under the terms of a Deposit Trust Deed and $366.3 million placed in escrow, which is reflected on the balance sheet within the Other Operations segment as of December 31, 2020.
On January 1, 2021, White Mountains completed the Ark Transaction in accordance with the terms of the Ark SPA. As of March 31, 2021, White Mountains owned 72.0% of Ark on a basic shares outstanding basis (63.0% on a fully-diluted, fully-converted basis, taking account of management’s equity incentives). If the additional $200 million of equity capital that White Mountains has agreed to contribute to Ark is contributed in full, White Mountains will own 77.1% of Ark on a basic shares outstanding basis (67.5% on a fully-diluted, fully-converted basis). The remaining shares are owned by employees. In the future, management rollover shareholders could earn additional shares in the company if and to the extent that White Mountains achieves certain multiple of invested capital return thresholds. If fully earned, these additional shares would represent 12.5% of the shares outstanding at closing.
White Mountains recognized total assets acquired related to the Ark Transaction of $2.5 billion, including goodwill and other intangible assets of $292.5 million, and total liabilities of $1.7 billion, including contingent consideration of $22.5 million and non-controlling interest of $220.2 million. Ark incurred transaction costs of $25.3 million in the first quarter of 2021.     

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The following presents additional details of the assets acquired and liabilities assumed as of the January 1, 2021 acquisition date:
MillionsAs of January 1, 2021
Investments$594.3
Cash52.0(1)
Reinsurance recoverables433.4
Insurance premiums receivable236.7
Ceded unearned premiums170.2
Value of in-force business acquired71.7
Other assets88.9
Loss and loss adjustment expense reserves(696.0)
Unearned insurance premiums(326.1)
Debt(46.4)
Ceded reinsurance payable(528.3)
Other liabilities(25.9)
   Net tangible assets acquired24.5
Goodwill116.8
Other intangible assets - syndicate underwriting capacity175.7
Deferred tax liability on other intangible assets(33.4)
  Net assets acquired$283.6
(1) Cash excludes the White Mountains cash contribution of $605.4 as part of the Ark transaction.

The acquisition date fair values of assets and liabilities, including insurance reserves and intangible assets, are provisional and are subject to revision within one year of the acquisition date.
The values of net tangible assets acquired and the resulting goodwill, other intangible assets and contingent consideration were recorded a gainat fair value using Level 3 inputs. The majority of $554.6 million,the tangible assets acquired and liabilities assumed were recorded at their carrying values, as their carrying values approximated their fair values due to their short-term nature. The fair values of goodwill, other intangible assets and the contingent consideration liability were internally estimated primarily based on the income approach. The income approach estimates fair value based on the present value of the cash flows that the assets are expected to generate in the future. White Mountains developed internal estimates for the expected future cash flows and discount rates used in the present value calculations.
The value of in-force business acquired represents the estimated profits relating to the unexpired contracts, net of related prepaid reinsurance at the acquisition date through the expiration date of the contracts. The value of the syndicate underwriting capacity intangible asset was estimated using net cash flows attributable to Ark’s rights to write business in the Lloyd’s market. The value of the in-force business acquired and the syndicate underwriting capacity were estimated using a discounted cash flow method. Significant inputs to the valuation models include estimates of growth in premium revenues, investment returns, claim costs, expenses and discount rates based on a weighted average cost of capital.
In evaluating the fair value of Ark’s loss and loss adjustment expense reserves, White Mountains determined that the risk-free rate of interest was approximately equal to the risk factor reflecting the uncertainty within the reserves and that no adjustment was necessary.
Ark’s segment income and expenses for the three months ended March 31, 2021 are presented in Note 15 - “Segment Information.” Pro forma financial information for Ark for the three months ended March 31, 2020 has not been presented because as a private U.K. domiciled company Ark does not have quarterly financial reporting requirements and therefore quarterly financial information is not available for periods prior to the January 1, 2021 acquisition date.

NSM
On May 18, 2018, NSM acquired 100% of Fresh Insurance, which is an insurance broker that offers non-standard personal lines products in the United Kingdom. NSM paid $49.6 million of upfront cash consideration for Fresh Insurance. NSM borrowed $51.0 million to fund the transaction. During the nine months ended September 30, 2019, NSM paid a purchase price adjustment of an additional $0.7 million of consideration. The purchase price is subject to additional adjustments based upon growth in EBITDA during 2 earnout periods, one which ended in February 2020 and one ending in February 2022. NSM did not make any payments related to the first Fresh Insurance earnout period.
On April 12, 2021, NSM sold Fresh Insurance’s motor business. The assets and liabilities included in the transaction, principally goodwill, have been classified as held for sale as of March 31, 2021 and have been measured at their estimated fair values, net of disposal costs. As a result, of the OneBeacon Transaction, OneBeacon’s results have been reported as discontinued operations within White Mountains’s GAAP financial statements. See Note 15 — “Held for Sale and Discontinued Operations”.

Sale of Star & Shield
On March 7, 2017, White Mountains completed its salerecognized a loss of Star & Shield and its investment in SSIE surplus notes to K2 Insurances LLC.$28.7 million. White Mountains did not recognize any gain or loss ondetermined that the sale. Through December 31, 2016, Star & Shield’s assets and liabilities are reportedtransaction qualified as a held for sale within White Mountains’s GAAP financial statements. See Note 15 — “Held for Sale and Discontinued Operations”.business in the first quarter 2021, however, it did not meet the criteria to be classified as discontinued operations.


Acquisition of Buzzmove
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On August 4, 2016,December 3, 2018, NSM acquired all the net assets of KBK Insurance Group, Inc. (“KBK”), a specialized MGU focused on the towing and transportation space. NSM paid $60.0 million of upfront cash consideration for KBK. White Mountains acquiredcontributed $29.0 million to NSM and NSM borrowed $30.1 million to fund the transaction. As of March 31, 2019, White Mountains determined that the relative values of goodwill and other intangible assets from the KBK transaction were $32.6 million and $32.7 million, reflecting acquisition date fair values, and recorded a 70.9% ownership shareliability of $5.9 million relating to the fair value of contingent consideration earnouts made in Buzzmove for aconnection with the acquisition. The purchase price is subject to adjustments based upon growth in EBITDA during three earnout periods, one which ended in December 2019, one ending in December 2020 and one ending in December 2021. In the first quarter of GBP 6.12021 and 2020, NSM paid $6.7 million and $6.4 million related to the first and second KBK earnout period. As of March 31, 2021, the KBK contingent consideration earnout liability was $6.4 million.
On April 7, 2020, NSM acquired 100% of Kingsbridge Group Limited (“Kingsbridge”), a leading provider of commercial lines insurance and consulting services for the professional contractor and freelancer markets in the United Kingdom. NSM paid £107.2 million (approximately $8.1$132.2 million based upon the foreign exchange spot rate at the date of acquisition). of upfront cash consideration for Kingsbridge. White Mountains recognized total assets acquired relatedcontributed $80.3 million to Buzzmove of $11.5 million, including $7.6 million of goodwillNSM and $1.1 million of intangible assets, and total liabilities assumed of $0.1 million, reflecting acquisition date fair values.
On August 1, 2017, White Mountains purchased 37,409 newly-issued preferred shares of Buzzmove for GBP 4.0NSM borrowed £42.5 million (approximately $5.0$52.4 million based upon the foreign exchange spot rate at the date of acquisition) to fund the transaction. During 2020, NSM determined that the relative values of goodwill and 5,808 common shares from the company founders for GBP $0.5 million (approximately $0.7 million based upon the spot rate at the date of acquisition). White Mountains ownership shareother intangible assets recorded in Buzzmove as of September 30, 2017 was 77.1%.



Sale of Tranzact
On July 21, 2016, White Mountains completed the sale of Tranzact to Clayton, Dubilier & Rice, LLC and received net proceeds of $221.3 million. In connection with the saleKingsbridge transaction were $111.5 million and $20.2 million, reflecting acquisition date fair values. The purchase price is subject to adjustment based upon growth in EBITDA during an earnout period ending in January 2022. During 2020, NSM initially recorded a liability relating to the fair value of Tranzact, the purchaser directly repaid $56.3Kingsbridge contingent consideration earnout of $4.1 million. During 2020, NSM recognized pre-tax income of $4.1 million for the portionchange in fair value of Tranzact’s debt attributablethe Kingsbridge contingent consideration earnout liability and a foreign currency translation unrealized gain of $0.3 million. As of March 31, 2021, the Kingsbridge contingent consideration earnout liability was $0.2 million.
The contingent consideration earnout liabilities related to NSM’s acquisitions are subject to adjustments based upon EBITDA, EBITDA projections, and present value factors for acquired entities. For the three months ended March 31, 2021 and 2020, NSM recognized 0 pre-tax (revenue) expense and $(0.6) million pre-tax revenue for the change in the fair value of its contingent consideration earnout liabilities. Any future adjustments to contingent consideration earnout liabilities under the agreements will be recognized through pre-tax income. As of March 31, 2021 and December 31, 2020, NSM recorded total contingent consideration earnout liabilities of $7.9 million and $14.6 million.

PassportCard/DavidShield
On January 24, 2018, White Mountains acquired a 50% ownership interest in DavidShield, its joint venture partner in PassportCard. DavidShield is a managing general agency that is the leading provider of expatriate medical insurance in Israel and uses the same card-based delivery system as PassportCard. As part of the transaction, White Mountains reorganized its equity stake in PassportCard so that White Mountains and its partner in DavidShield would each own 50% of both businesses. To facilitate the transaction, White Mountains provided financing to its partner in the form of a non-interest bearing loan that is secured by the partner’s equity in PassportCard and DavidShield. The gross purchase price for the 50% interest in DavidShield was $41.8 million, or $28.3 million net of the financing provided for the restructuring.
On May 7, 2020, White Mountains made an additional $15.0 million investment in PassportCard/DavidShield to support operations through the ongoing COVID-19 pandemic. The transaction increased White Mountains’s common shareholders. On October 5, 2016,ownership interest from 50.0% to 53.8%, but had no impact on the governance structure of the companies, including White Mountains’s board representation or other investor rights. The governance structures for both PassportCard and DavidShield were designed to give White Mountains received additional proceedsand its co-investor equal power to make the decisions that most significantly impact the operations of $1.2 million following the releasePassportCard and DavidShield.
As a result of the post-closing purchase price adjustment escrow.
transaction, White Mountains’s re-evaluated its accounting treatment for PassportCard and DavidShield. Because White Mountains recordeddoes not have the unilateral power to direct the operations of PassportCard or DavidShield, White Mountains does not hold a $51.9 million gain fromcontrolling financial interest in either PassportCard or DavidShield and does not consolidate either entity. White Mountains’s ownership interest gives White Mountains the saleopportunity to exert significant influence over the significant financial and operating activities of TranzactPassportCard and DavidShield. Accordingly, PassportCard and DavidShield meet the criteria to be accounted for under the equity method. White Mountains has taken the fair value option for its investment in discontinued operations, which included a $30.2 million tax expense forPassportCard and DavidShield. Changes in the reversalfair value of a tax valuation allowance that is offset by a tax benefitPassportCard and DavidShield are recorded in continuing operations. See realized and unrealized investment gains. White Mountains’s maximum exposure to loss on its equity investment in PassportCard/DavidShield and the non-interest bearing loan to its partner is limited to the total carrying value of $104.2 million.


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Note 6 — “Income Taxes”3.  Loss and Loss Adjustment Expense Reserves

Ark establishes loss and loss adjustment expense (“LAE”) reserves that are estimates of amounts needed to pay claims and related expenses in the future for insured events that have already occurred. The process of estimating reserves involves a considerable degree of judgment by management and, as of any given date, is inherently uncertain.
Loss and LAE reserves typically comprise case reserves for claims reported and reserves for losses that have occurred but for which claims have not yet been reported, referred to as incurred but not reported (“IBNR”) reserves. IBNR reserves include a provision for expected future development on case reserves. Case reserves are estimated based on the experience and knowledge of claims staff regarding the nature and potential cost of each claim and are adjusted as additional information becomes known or payments are made. IBNR reserves are typically derived by subtracting paid loss and LAE and case reserves from estimates of ultimate losses and LAE. Actuaries estimate ultimate loss and LAE using various generally accepted actuarial methods applied to known losses and other relevant information. Like case reserves, IBNR reserves are adjusted as additional information becomes known or payments are made.
Ultimate loss and LAE are generally determined by extrapolation of claim emergence and settlement patterns observed in the past that can reasonably be expected to persist into the future. In forecasting ultimate loss and LAE with respect to any line of business, past experience with respect to that line of business is the primary resource, but cannot be relied upon in isolation. Ark’s own experience, particularly claims development experience, such as trends in case reserves, payments on and closings of claims, as well as changes in business mix and coverage limits, is the most important information for estimating its reserves. Ultimate loss and LAE for major losses and catastrophes are estimated based on the known and expected exposures to the loss event, rather than simply relying on the extrapolation of reported and settled claims.
Uncertainties in estimating ultimate loss and LAE are magnified by the time lag between when a claim actually occurs and when it is reported and eventually settled. This time lag is sometimes referred to as the “claim-tail”. The increaseclaim-tail for most property coverages is typically short (usually a few days up to White Mountains’s book valuea few months). The claim-tail for liability/casualty coverages can be quite long as claims are often reported and ultimately paid or settled years after the related loss events occur. During the long claims reporting and settlement period, additional facts regarding coverages written in prior accident years, as well as about actual claims and trends may become known and, as a result, Ark may adjust its reserves. If management determines that an adjustment is appropriate, the adjustment is booked in the accounting period in which such determination is made. Accordingly, should reserves need to be increased or decreased in the future from the saleamounts currently established, future results of Tranzact was $82.1 million. A reconciliation of the gain reported in discontinued operations to the impact to White Mountains’s book value is as follows:
Gain from sale of Tranzact reported in discontinued operations $51.9
Add back reclassification from continuing operations for the release of a tax valuation allowance 30.2
Increase to White Mountains’s book value from sale of Tranzact $82.1

would be negatively or positively impacted.
In determining ultimate loss and LAE, the first quartercost to indemnify claimants, provide needed legal defense and other services for insureds and administer the investigation and adjustment of 2017, White Mountains recorded a $1.0 million reduction to the gain from sale of Tranzact in discontinued operationsclaims are considered. These claim costs are influenced by many factors that change over time, such as expanded coverage definitions as a result of state tax expense.new court decisions, inflation in costs to repair or replace damaged property, inflation in the cost of services and legislated changes in statutory benefits, as well as by the particular, unique facts that pertain to each claim. As a result, the rate at which claims arose in the past and the costs to settle them may not always be representative of what will occur in the future. The factors influencing changes in claim costs are often difficult to isolate or quantify and developments in paid and incurred losses from historical trends are frequently subject to multiple and conflicting interpretations. Changes in coverage terms or claims handling practices may also cause future experience and/or development patterns to vary from the past. Because of the factors previously discussed, the process requires the use of informed judgment and is inherently uncertain.
Through July 21, 2016, Tranzact’s resultsArk performs an actuarial review of operationsits recorded reserves each quarter, using several generally accepted actuarial methods to evaluate its loss reserves, each of which has its own strengths and weaknesses. Management places more or less reliance on a particular method based on the facts and circumstances at the time the reserve estimates are reported as discontinued operationsmade.
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The following table summarizes the loss and assetsLAE reserve activities of Ark’s insurance and liabilities heldreinsurance subsidiaries for sale within White Mountains’s GAAP financial statements. the three months ended March 31, 2021:

MillionsThree Months Ended March 31, 2021
Gross beginning balance as of January 1, 2021$696.0
Less: beginning reinsurance recoverable on unpaid losses(433.4)
Net loss and LAE reserves262.6
Loss and LAE incurred relating to:
Current year losses65.5
Prior year losses.5
Total incurred losses and LAE66.0
Foreign currency translation adjustment to loss and LAE reserves.7
Loss and LAE paid relating to:
Current year losses(5.2)
Prior year losses(19.7)
Total loss and LAE payments(24.9)
Net ending balance304.4
Plus: ending reinsurance recoverable on unpaid losses447.5
Gross ending balance as of March 31, 2021$751.9

SeeNote 1510 — “Held “Municipal Bond Guarantee Insurance” for Saleloss and Discontinued Operations”.

Sale of Sirius Group
On April 18, 2016,LAE reserve balances related to White Mountains completedfinancial guarantee business.

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Note 4.  Third Party Reinsurance

In the salenormal course of Sirius Groupbusiness, Ark may seek to CMIlimit losses that may arise from catastrophes or other events by reinsuring with third party reinsurers. Ark remains liable for approximately $2.6 billion. $161.8risks reinsured in the event that the reinsurer does not honor its obligations under reinsurance contracts. The following table summarizes the effects of reinsurance on written and earned premiums and on losses and LAE for Ark.

Three Months Ended March 31, 2021
Millions
Written premiums:
Gross$404.5
Ceded(62.1)
Net written premiums$342.4
Earned premiums:
Gross$162.6
Ceded(58.0)
Net earned premiums$104.6
Losses and LAE:
Gross$115.6
Ceded(49.6)
Net Losses and LAE$66.0


As of March 31, 2021, Ark had $447.5 million and $1.5 million of this amount was usedreinsurance recoverables on unpaid and paid losses. As reinsurance contracts do not relieve Ark of its obligation to purchase certain assetsits policyholders, Ark seeks to be retainedreduce the credit risk associated with reinsurance balances by avoiding over-reliance on specific reinsurers through the application of concentration limits and thresholds. Ark is selective with its reinsurers, placing reinsurance with only those reinsurers having a strong financial condition. Ark monitors the financial strength of its reinsurers on an ongoing basis.
As of March 31, 2021, Ark’s reinsurance recoverables on unpaid losses of $447.5 million included $331.0 million related to TPC Providers, which are collateralized. Of the remaining $116.5 million of reinsurance recoverables on unpaid losses, 90% are from reinsurers with an A.M. Best rating of “A” (Excellent, which is the third highest of 16 financial strength ratings).
See Note 10 — “Municipal Bond Guarantee Insurance” for third-party reinsurance balances related to White Mountains out of Sirius Group, including shares of OneBeacon. The amount paid at closing was based on an estimate of Sirius Group’s closing date tangible common shareholder’s equity. During the third quarter of 2016, there was a final true-up to Sirius Group’s tangible common shareholder’s equity that resulted in a $4.0 million reduction to the gain. During 2016, White Mountains recorded $363.2 million of gain from sale of Sirius Group in discontinued operations and $113.3 million in other comprehensive income from discontinued operations from Sirius Group.financial guarantee business.
During the third quarter of 2017, White Mountains recorded a $0.8 million reduction to the gain from sale of Sirius Group as a result of a change to the valuation of the accrued incentive compensation payable to Sirius Group employees.
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Through April 18, 2016, Sirius Group’s results are reported as discontinued operations and assets and liabilities held for sale within White Mountains’s GAAP financial statements.
The transactions to purchase the investments in OneBeacon and the other investments held by Sirius Group prior to the closing are presented in the statement of cash flows as net settlement of investment cash flows within discontinued operations. See Note 15 — “Held for Sale and Discontinued Operations”.


Sale of Symetra
On February 1, 2016, Symetra Financial Corporation (“Symetra”) closed its merger agreement with Sumitomo Life Insurance Company (“Sumitomo Life”) and White Mountains received proceeds of $658.0 million, or $32.00 per common share. White Mountains also received a special dividend of $0.50 per share as part of the transaction that was paid in the third quarter of 2015. See Note 12 — “Investment in Symetra”.


Note 3.  Investments5.  Investment Securities


White Mountains’s portfolio of investment securities held for general investment purposes consists of fixed maturity investments, short-term investments, common equity securities, its investment in MediaAlpha and other-long termother long-term investments, which are all classified as trading securities. Trading securities are reported at fair value as of the balance sheet date.  Net realized and unrealized investment gains (losses) on trading securities are reported in pre-tax revenues.
White Mountains’s fixed maturity investments are generally valued using industry standard pricing methodologies. Key inputs include benchmark yields, benchmark securities, reported trades, issuer spreads, bids, offers, credit ratings and prepayment speeds. Income on mortgage and asset-backed securities is recognized using an effective yield based on anticipated prepayments and the estimated economic life of the securities. When actual prepayments differ significantly from anticipated prepayments, the estimated economic life is recalculated and the remaining unamortized premium or discount is amortized prospectively over the remaining economic life.
Realized investment gains (losses) resulting from sales of investment securities are accounted for using the specific identification method. Premiums and discounts on all fixed maturity investments are amortized or accreted to income over the anticipated life of the investment. Short-term investments consist of interest-bearing money market funds, certificates of deposit and other securities, which at the time of purchase, mature or become available for use within one year.  Short-term investments are carried at amortized or accreted cost, which approximated fair value as of September 30, 2017March 31, 2021 and December 31, 2016.2020.
Other long-term investments consist primarily of hedge funds,unconsolidated entities, including Kudu’s Participation Contracts, private equity funds, unconsolidateda hedge fund, Lloyd’s trust deposits, a bank loan fund, ILS funds and private capital investments and foreign currency forward contracts.debt instruments.

Net Investment Income

White Mountains’s net investment income is comprised primarily of interest income associated with White Mountains’s fixed maturity investments and short-term investments, and dividend income from its common equity securities, distributions from its investment in MediaAlpha and distributions from other long- termlong-term investments.
Pre-taxThe following table presents pre-tax net investment income for the three and nine months ended September 30, 2017 March 31, 2021 and 2016 consisted of the following:2020:
Three Months Ended
March 31,
Millions20212020
Fixed maturity investments$6.5 $8.1 
Short-term investments1.6 .8 
Common equity securities0 3.8 
Investment in MediaAlpha0 2.4 
Other long-term investments13.8 8.1 
Amount attributable to TPC Providers(.9)0 
Total investment income21.0 23.2 
Third-party investment expenses(.4)(.3)
Net investment income, pre-tax$20.6 $22.9 

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  Three Months Ended Nine Months Ended
  September 30, September 30,
Millions 2017 2016 2017 2016
Investment income:        
Fixed maturity investments $9.8
 $9.3
 $32.9
 $17.4
Short-term investments .3
 .2
 .6
 .7
Common equity securities 2.7
 .5
 7.7
 1.0
Other long-term investments .1
 —
 .5
 .4
Total investment income 12.9
 10.0
 41.7
 19.5
Third-party investment expenses (.7) (.4) (2.0) (1.3)
Net investment income, pre-tax $12.2
 $9.6
 $39.7
 $18.2



Net Realized and Unrealized Investment Gains (Losses)
Net
The following table presents net realized and unrealized investment gains (losses) for the three and nine months ended September 30, 2017March 31, 2021 and 2016 consisted2020:
Three Months Ended
 March 31,
Millions20212020
Fixed maturity investments$(25.4)$2.2 
Short-term investments(1.3).4 
Common equity securities1.0 (140.8)
Investment in MediaAlpha(41.7)30.0 
Other long-term investments28.1 (48.5)
Amount attributable to TPC Providers(1.3)0 
Net realized and unrealized investment losses (1)
(40.6)(156.7)
Less: net losses on investment securities sold during the period(.2)(8.7)
Net realized and unrealized investment losses on investment securities held at the end of the period$(40.4)$(148.0)
(1) For the three months ended March 31, 2021 and 2020, includes $(0.2) and $(0.4) of the following:
  Three Months Ended Nine Months Ended
  September 30, September 30,
Millions 2017 2016 2017 2016
Net realized investment gains, pre-tax $6.8
 $.7
 $20.8
 $265.0
Net unrealized investment gains (losses), pre-tax 25.7
 10.2
 81.7
 (237.8)
Net realized and unrealized investment gains, pre-tax 32.5
 10.9
 102.5
 27.2
Income tax expense attributable to net realized and
     unrealized investment gains
 (3.9) —
 (9.5) (4.0)
Net realized and unrealized investment gains, after tax $28.6
 $10.9
 $93.0
 $23.2

Net Realized Investment Gains (Losses)
Net realized investment gains (losses) for the three and nine months endedSeptember 30, 2017 and 2016 consisted of the following:
  Three Months Ended Three Months Ended
  September 30, 2017 September 30, 2016
Millions Net
realized gains (losses)		 Net
foreign
currency gains (losses)		 Total net realized
gains (losses)
reflected in
earnings		 Net
realized gains		 Net
foreign
currency gains (losses)		 Total net realized
gains
reflected in
earnings
Fixed maturity investments $.6
 $1.2
 $1.8
 $.3
 $—
 $.3
Short-term investments (.1) —
 (.1) .2
 —
 .2
Common equity securities 4.9
 5.4
 10.3
 .2
 —
 .2
Other long-term investments 2.0
 (7.2) (5.2) —
 —
 —
Net realized investment gains (losses),
   pre-tax
 7.4
 (.6) 6.8
 .7
 —
 .7
Income tax expense attributable to
   net realized investment gains
 (.6) —
 (.6) (.1) —
 (.1)
Net realized investment
   gains (losses), after tax
 $6.8
 $(.6) $6.2
 $.6
 $—
 $.6
  Nine Months Ended Nine Months Ended
  September 30, 2017 September 30, 2016
Millions Net
realized (losses)
gains		 Net
foreign
currency gains (losses)		 Total net realized
gains (losses)
reflected in
earnings		 Net
realized gains		 Net
foreign
currency gains (losses)		 Total net realized
gains
reflected in
earnings
Fixed maturity investments $(.4) $2.7
 $2.3
 $2.0
 $—
 $2.0
Short-term investments (.1) —
 (.1) .4
 —
 .4
Common equity securities 18.5
 6.0
 24.5
 262.6
 —
 262.6
Other long-term investments 3.0
 (8.9) (5.9) —
 —
 —
Net realized investment gains (losses), pre-tax 21.0
 (.2) 20.8
 265.0
 —
 265.0
Income tax expense attributable to
   net realized investment gains
 (3.6) —
 (3.6) (45.1) —
 (45.1)
Net realized investment
   gains (losses), after tax
 $17.4
 $(.2) $17.2
 $219.9
 $—
 $219.9


Net Unrealized Investment Gains (Losses)
Net unrealized investment gains (losses) and changes in the carrying value of investments measured at fair value for the three and nine months ended September 30, 2017 and 2016 consisted of the following:losses related to foreign currency exchange.

  Three Months Ended Three Months Ended
  September 30, 2017 September 30, 2016
Millions 
Net
unrealized
 gains (losses)
 
Net
foreign
currency
gains (losses)
 
Total net unrealized gains (losses)
reflected in
earnings
 
Net
unrealized (losses) gains
 Net
foreign
currency gains		 
Total net unrealized (losses) gains
reflected in
earnings
Fixed maturity investments $2.0
 $5.1
 $7.1
 $(2.0) $—
 $(2.0)
Common equity securities 26.6
 (3.1) 23.5
 8.5
 .2
 8.7
Other long-term investments (2.5) (2.4) (4.9) 3.4
 .1
 3.5
Net unrealized investment gains (losses), pre-tax 26.1
 (.4) 25.7
 9.9
 .3
 10.2
Income tax (expense) benefit
   attributable to net unrealized
   investment gains (losses)
 (3.3) —
 (3.3) .1
 —
 .1
Net unrealized investment
   gains (losses), after tax
 $22.8
 $(.4) $22.4
 $10.0
 $.3
 $10.3

  Nine Months Ended Nine Months Ended
  September 30, 2017 September 30, 2016
Millions 
Net
unrealized
 gains
 
Net
foreign
currency
gains (losses)
 
Total net unrealized gains (losses)
reflected in
earnings
 
Net
unrealized gains (losses)
 Net
foreign
currency gains		 
Total net unrealized
gains (losses)
reflected in
earnings
Fixed maturity investments $19.4
 $12.6
 $32.0
 $13.3
 $—
 $13.3
Common equity securities 53.5
 —
 53.5
 (256.1) 2.6
 (253.5)
Other long-term investments 9.2
 (13.0) (3.8) 2.1
 .3
 2.4
Net unrealized investment gains (losses), pre-tax 82.1
 (.4) 81.7
 (240.7) 2.9
 (237.8)
Income tax (expense) benefit
  attributable to net unrealized
  investment gains (losses)
 (5.9) —
 (5.9) 41.1
 —
 41.1
Net unrealized investment
   gains (losses), after tax
 $76.2
 $(.4) $75.8
 $(199.6) $2.9
 $(196.7)

TotalThe following table presents total gains (losses) included in earnings attributable to net unrealized investment gains (losses) for Level 3 investments for the three and nine months ended September 30, 2017 March 31, 2021 and 2016 consisted2020 for investments still held at the end of the following:period:
Three Months Ended
 March 31,
Millions20212020
Other long-term investments$16.7 $(9.4)
Total net unrealized investment gains (losses), pre-tax - Level 3 investments$16.7 $(9.4)
  Three Months Ended Nine Months Ended
  September 30, September 30,
Millions 2017 2016 2017 2016
Fixed maturity investments $—
 $—
 $—
 $.1
Other long-term investments (.7) (.9) (2.2) .7
Total unrealized investment (losses) gains, pre-tax - Level 3 investments $(.7) $(.9) $(2.2) $.8



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 March 31, 2021 and December 31, 2020:
 March 31, 2021
MillionsCost or
Amortized
Cost		Gross
Unrealized
Gains		Gross
Unrealized
Losses		Net Foreign
Currency
Gains		Carrying
Value
U.S. Government and agency obligations$220.1 $2.1 $(.6)$0 $221.6 
Debt securities issued by corporations678.6 13.9 (5.7).1 686.9 
Municipal obligations269.4 15.4 (1.0)0 283.8 
Mortgage and asset-backed securities225.8 5.4 (1.3)0 229.9 
Collateralized loan obligations59.5 0 (.1)0 59.4 
Total fixed maturity investments$1,453.4 $36.8 $(8.7)$.1 $1,481.6 

19

 December 31, 2020
MillionsCost or
Amortized
Cost		Gross
Unrealized
Gains		Gross
Unrealized
Losses		Carrying
Value
U.S. Government and agency obligations$173.2 $3.1 $0 $176.3 
Debt securities issued by corporations522.8 24.7 (.1)547.4 
Municipal obligations244.0 21.0 0 265.0 
Mortgage and asset-backed securities211.7 6.8 0 218.5 
Total fixed maturity investments$1,151.7 $55.6 $(.1)$1,207.2 

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, 2017 and December 31, 2016 were as follows: 
  September 30, 2017
Millions 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains
 
Carrying
value
U.S. Government and agency obligations $218.1
 $.1
 $(.4) $—
 $217.8
Debt securities issued by corporations 608.3
 3.2
 (1.0) 14.5
 625.0
Mortgage and asset-backed securities 389.1
 1.2
 (2.4) —
 387.9
Municipal obligations 252.1
 3.1
 (.5) —
 254.7
Foreign government, agency and provincial obligations 4.5
 —
 (.1) .2
 4.6
   Total fixed maturity investments $1,472.1
 $7.6
 $(4.4) $14.7
 $1,490.0

  December 31, 2016
Millions 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains
 
Carrying
value
U.S. Government and agency obligations $112.1
 $—
 $(1.1) $—
 $111.0
Debt securities issued by corporations 752.0
 2.3
 (10.1) 2.1
 746.3
Mortgage and asset-backed securities 986.9
 .8
 (7.9) —
 979.8
Municipal obligations 238.7
 1.1
 (1.3) —
 238.5
Foreign government, agency and provincial obligations 12.0
 .1
 —
 —
 12.1
Total fixed maturity investments $2,101.7
 $4.3
 $(20.4) $2.1
 $2,087.7
Less: fixed maturity investments reclassified to assets
    held for sale related to SSIE
         (6.6)
Total fixed maturity investments         $2,081.1

The cost or amortized cost, gross unrealized investment gains (losses), net foreign currency gains (losses), and carrying values of White Mountains’s common equity securities, White Mountains’s investment in MediaAlpha and other long-term investments as of September 30, 2017March 31, 2021 and December 31, 2016 were as follows:2020:
 March 31, 2021
MillionsCost or
Amortized
Cost		Gross
Unrealized
Gains		Gross
Unrealized
Losses		Net Foreign
Currency Gains
(Losses)		Carrying
Value
Common equity securities$117.6 $1.1 $(.2)$.1 $118.6 
Investment in MediaAlpha$0 $600.2 $0 $0 $600.2 
Other long-term investments$965.5 $125.8 $(56.5)$(2.6)$1,032.2 
 September 30, 2017 December 31, 2020
Millions 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 Net foreign
currency
losses		 
Carrying
value
MillionsCost or
Amortized
Cost		Gross
Unrealized
Gains		Gross
Unrealized
Losses		Net Foreign
Currency
Gains		Carrying
Value
Common equity securities $693.8
 $82.6
 $(2.0) $—
 $774.4
Common equity securities$0 $0 $0 $0 $0 
Investment in MediaAlphaInvestment in MediaAlpha$0 $802.2 $0 $0 $802.2 
Other long-term investments $254.5
 $13.1
 $(21.2) $(16.8) $229.6
Other long-term investments$767.4 $95.8 $(78.1)$1.7 $786.8 

  December 31, 2016
Millions Cost or
amortized
cost		 Gross
unrealized
gains		 Gross
unrealized
losses		 Net foreign
currency
losses		 
Carrying
value
Common equity securities $258.6
 $29.0
 $(2.0) $—
 $285.6
Other long-term investments $194.0
 $7.9
 $(25.2) $(3.9) $172.8


Other Long-term Investments
Other long-term investments as of September 30, 2017 and December 31, 2016 were as follows:
  Carrying Value at
Millions September 30, 2017 December 31, 2016
Hedge funds and private equity funds, at fair value $154.9
 $82.6
Private equity securities and limited liability companies, at fair value (1)(2)
 59.1
 57.6
Private convertible preferred securities, at fair value (1)
 27.2
 30.6
Forward Contracts (15.4) (1.2)
Other 3.8
 3.2
Total other-long term investments $229.6
 $172.8
(1) See Fair Value Measurements by Level table.
(2) White Mountains holds a 20% ownership interest in OneTitle Holdings LLC (“OTH”) and has provided a $10.0 million surplus note facility under which OTH’s wholly-owned insurance subsidiary, OneTitle National Guaranty Company, Inc. may, under certain circumstances, draw funds. At September 30, 2017, no funds had been drawn on the surplus note facility.

Hedge Funds and Private Equity Funds
White Mountains holds investments in hedge funds and private equity funds, which are included in other long-term investments. The fair value of these investments is generally estimated using the net asset value (“NAV”) of the funds. As of September 30, 2017, White Mountains held investments in two hedge funds and ten private equity funds.  The largest investment in a single fund was $54.7 million as of September 30, 2017 and $21.5 million as of December 31, 2016. The following table summarizes investments in hedge funds and private equity funds by investment objective and sector as of September 30, 2017 and December 31, 2016:
  September 30, 2017 December 31, 2016
Millions Fair Value 
Unfunded
Commitments
 Fair Value 
Unfunded
Commitments
Hedge funds  
  
  
  
Long/short banks and financials $54.7
 $—
 $21.5
 $—
Long/short equity REIT 19.1
 —
 19.9
 —
Total hedge funds 73.8
 —
 41.4
 —
         
Private equity funds  
  
  
  
Manufacturing/Industrial 42.7
 12.1
 19.4
 22.9
Aerospace/Defense/Government 28.7
 15.6
 19.4
 25.9
Direct lending 6.7
 23.3
 1.4
 28.6
Financial Services 3.0
 13.0
 1.0
 5.0
Insurance —
 41.2
 —
 41.2
Total private equity funds 81.1
 105.2
 41.2
 123.6
Total hedge funds and private equity funds
    included in other long-term investments
 $154.9
 $105.2
 $82.6
 $123.6

Redemption of investments in certain hedge funds is subject to restrictions including lock-up periods where no redemptions or withdrawals are allowed, restrictions on redemption frequency and advance notice periods for redemptions.  Amounts requested for redemptions remain subject to market fluctuations until the redemption effective date, which generally falls at the end of the defined redemption period. As of September 30, 2017, one hedge fund with a fair value of $54.7 million was subject to a lock-up period that expires on September 1, 2018.
The following table summarizes the fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds as of September 30, 2017:
  Notice Period
Millions
Redemption frequency
 
30-59 days
notice
 
60-89 days
notice
 Total
Semi-annual $54.7
 $19.1
 $73.8

White Mountains has submitted a redemption request for its investment in a long/short equity REIT hedge fund. As of September 30, 2017, the redemption of $19.1 million is outstanding and is subject to market fluctuation. The bulk of the redemption proceeds are expected to be received in the first quarter of 2018 with the balance expected in the second quarter of 2018.
Investments in private equity funds are generally subject to a lock-up period during which investors may not request a redemption. Distributions prior to the expected termination date of the fund may be limited to dividends or proceeds arising from the liquidation of the fund’s underlying investments. In addition, certain private equity funds provide an option to extend the lock-up period at either, the sole discretion of the fund manager or upon agreement between the fund and the investors.
The following table summarizes investments in private equity funds that were subject to lock-up periods as of September 30, 2017:
Millions 1-3 years 3 – 5 years 5 – 10 years >10 years Total
Private Equity Funds — expected lock-up period remaining $4.0 $18.2 $33.5 $25.4 $81.1


Fair Value Measurements as of September 30, 2017March 31, 2021
Fair value measurements are categorized into a hierarchy that distinguishes between inputs based on market data from independent sources (“observable inputs”) and a reporting entity’s internal assumptions based upon the best information available when external market data is limited or unavailable (“unobservable inputs”). Quoted prices in active markets for identical assets or liabilities have the highest priority (“Level 1”), followed by observable inputs other than quoted prices, including prices for similar but not identical assets or liabilities (“Level 2”) and unobservable inputs, including the reporting entity’s estimates of the assumptions that market participants would use, having the lowest priority (“Level 3”).
As of September 30, 2017March 31, 2021 and December 31, 2016,2020, White Mountains used quoted market prices or other observable inputs to determine fair value for approximately 93% and 94% of its investment portfolio. Investments valued using Level 1 inputs include fixed maturity investments, primarily investments in U.S. Treasuries, short-term investments, which include U.S. Treasury Bills and common equity securities. Investments valued using Level 2 inputs include fixed maturity investments, which have been disaggregated into classes, including debt securities issued by corporations, mortgage and asset-backed securities, municipal obligations, and foreign government, agency and provincial obligations. Investments valued using Level 2 inputs also include certain passive exchange traded funds (“ETFs”) that track U.S. stock indices such as the S&P 500 but are traded on foreign exchanges, which management values using the fund manager’s published NAV to account for the difference in market close times. Fair value estimates for investments that trade infrequently and have few or no observable market prices are classified as Level 3 measurements. Investments valued using Level 3 fair value estimates are based upon unobservable inputs and include investments in certain fixed maturity investments, equity securities and other long-term investments where quoted market prices are unavailable or are not considered reasonable. Transfers between levels are based on investments held as73% of the beginning of the period.investment portfolio.
White Mountains uses brokers and outside pricing services to assist in determining fair values. For investments in active markets, White Mountains uses the quoted market prices provided by outside pricing services to determine fair value. The outside pricing services White Mountains uses have indicated that they will only provide prices where observable inputs are available. In circumstances where quoted market prices are unavailable or are not considered reasonable, White Mountains estimates the fair value using industry standard pricing methodologies and observable inputs such as benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, credit ratings, prepayment speeds, reference data including research publications and other relevant inputs. Given that many fixed maturity investments do not trade on a daily basis, the outside pricing services evaluate a wide range of fixed maturity investments by regularly drawing parallels from recent trades and quotes of comparable securities with similar features. The characteristics used to identify comparable fixed maturity investments vary by asset type and take into account market convention.
White Mountains’s process to assess the reasonableness of the market prices obtained from the outside pricing sources
covers substantially all of its fixed maturity investments and includes, but is not limited to, the evaluation of pricing methodologies and a review of the pricing services’ quality control procedures on at least an annual basis, a comparison of its invested asset prices obtained from alternate independent pricing vendors on at least a semi-annual basis, monthly analytical reviews of certain prices and a review of the underlying assumptions utilized by the pricing services for select measurements on an ad hoc basis throughout the year. White Mountains also performs back-testing of selected sales activity to determine whether there are any significant differences between the market price used to value the security prior to sale and the actual sale price on an ad-hoc basis throughout the year. Prices provided by the pricing services that vary by more than 5% and $1.0 million from the expected price based on these assessment procedures are considered outliers. Also considered outliers are prices that have not changed from period to period and prices that have trended unusually compared to market conditions. In circumstances where the results of White Mountains’s review process does not appear to support the market price provided by the pricing services, White Mountains challenges the vendor provided price. If White Mountains cannot gain satisfactory evidence to support the challenged price, it relies upon its own pricing methodologies to estimate the fair value of the security in question.
20
The valuation process described above is generally applicable to all of White Mountains’s fixed maturity investments. The techniques and inputs specific to asset classes within White Mountains’s fixed maturity investments for Level 2 securities that use observable inputs are as follows:


Debt securities issued by corporations:The fair value of debt securities issued by corporations is determined from a pricing evaluation technique that uses information from market sources and integrates relative credit information, observed market movements, and sector news. Key inputs include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, and reference data including sector, coupon, credit quality ratings, duration, credit enhancements, early redemption features and market research publications.


Mortgage and asset-backed securities: The fair value of mortgage and asset-backed securities is determined from a pricing evaluation technique that uses information from market sources and leveraging similar securities. Key inputs include benchmark yields, reported trades, underlying tranche cash flow data, collateral performance, plus new issue data, as well as broker-dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, and reference data including issuer, vintage, loan type, collateral attributes, prepayment speeds, default rates, recovery rates, cash flow stress testing, credit quality ratings and market research publications.

Municipal obligations: The fair value of municipal obligations is determined from a pricing evaluation technique that uses information from market makers, brokers-dealers, buy-side firms, and analysts along with general market information. Key inputs include benchmark yields, reported trades, issuer financial statements, material event notices and new issue data, as well as broker-dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, and reference data including type, coupon, credit quality ratings, duration, credit enhancements, geographic location and market research publications.

Foreign government, agency and provincial obligations:The fair value of foreign government, agency and provincial obligations is determined from a pricing evaluation technique that uses feeds from data sources in each respective country, including active market makers and inter-dealer brokers. Key inputs include benchmark yields, reported trades, broker-dealer quotes, two-sided markets, benchmark securities, bids, offers, local exchange prices, foreign exchange rates and reference data including coupon, credit quality ratings, duration and market research publications.

Level 3 valuations are generated from techniques that use assumptions not observable in the market. These unobservable assumptions reflect White Mountains’s assumptions that market participants would use in valuing the investment. Generally, certain securities may start out as Level 3 when they are originally issued but as observable inputs become available in the market, they may be reclassified to Level 2.
White Mountains employs a number of procedures to assess the reasonableness of the fair value measurements for its other long-term investments, including obtaining and reviewing periodic and audited annual financial statements of hedge funds and private equity funds and discussing each fund’s pricing with the fund manager throughout the year. However, since the fund managers do not provide sufficient information to evaluate the pricing inputs and methods for each underlying investment, the inputs are considered to be unobservable. The fair value of White Mountains’s investments in hedge funds and private equity funds has generally been determined using the fund manager’s NAV. In the event White Mountains believes that its estimate of NAV of a hedge fund or private equity fund differs from that reported by the fund manager due to illiquidity or other factors, White Mountains will adjust the reported NAV to more appropriately represent the fair value of its investment in the hedge fund or private equity fund. As of September 30, 2017 and December 31, 2016, White Mountains did not have any adjustments to the reported NAV of its investments in hedge funds and private equity funds.


Fair Value Measurements by Level

The following tables summarizepresent White Mountains’s fair value measurements for investments as of September 30, 2017March 31, 2021 and December 31, 20162020 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, foreign governments, 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 thesethis asset classesclass 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. The fair value measurements for derivative assets associated with White Mountains’s variable annuity business are presented in Note 7.Aggregate.
 March 31, 2021
MillionsFair ValueLevel 1Level 2Level 3
Fixed maturity investments:    
U.S. Government and agency obligations$221.6 $221.6 $0 $0 
Debt securities issued by corporations: 
Financials183.1 0 183.1 0 
Consumer96.3 0 96.3 0 
Technology81.9 0 81.9 0 
Healthcare76.6 0 76.6 0 
Industrial74.2 0 74.2 0 
Communications53.4 0 53.4 0 
Utilities51.4 0 51.4 0 
Energy39.3 0 39.3 0 
Materials30.7 0 30.7 0 
Total debt securities issued by corporations686.9 0 686.9 0 
Municipal obligations283.8 0 283.8 0 
Mortgage and asset-backed securities229.9 0 229.9 0 
Collateralized loan obligations59.4 0 59.4 0 
Total fixed maturity investments1,481.6 221.6 1,260.0 0 
Short-term investments625.8 481.2 144.6 0 
Common equity securities (1)
118.6 0 118.6 0 
Investment in MediaAlpha600.2 600.2 0 0 
Other long-term investments656.4 0 0 656.4 
Other long-term investments — NAV (2)
375.8 0 0 0 
Total other long-term investments1,032.2 0 0 656.4 
Total investments$3,858.4 $1,303.0 $1,523.2 $656.4 
  September 30, 2017
Millions Fair Value Level 1 Level 2 Level 3
Fixed maturity investments:  
  
  
  
U.S. Government and agency obligations $217.8
 $217.8
 $—
 $—
         
Debt securities issued by corporations:  
      
Consumer 121.9
 —
 121.9
 —
Utilities 109.3
 —
 109.3
 —
Health Care 85.6
 —
 85.6
 —
Communications 81.7
 —
 81.7
 —
Materials 68.6
 —
 68.6
 —
Financials 55.6
 —
 50.0
 5.6
Technology 52.0
 —
 52.0
 —
Industrial 38.3
 —
 38.3
 —
Energy 12.0
 —
 12.0
 —
Total debt securities issued by corporations 625.0
 —
 619.4
 5.6
         
Mortgage and asset-backed securities 387.9
 —
 387.9
 —
Municipal obligations 254.7
 —
 254.7
 —
Foreign government, agency and provincial obligations 4.6
 —
 4.6
 —
Total fixed maturity investments 1,490.0
 217.8
 1,266.6
 5.6
         
Short-term investments(1)
 786.5
 764.5
 22.0
 —
         
Common equity securities:  
  
  
  
Exchange traded funds (2)
 492.5
 434.6
 57.9
 —
Health Care 17.1
 17.1
 —
 —
Financials 14.9
 14.9
 —
 —
Consumer 13.0
 13.0
 —
 —
Technology 11.7
 11.7
 —
 —
Communications 10.3
 10.3
 —
 —
Industrial 10.2
 10.2
 —
 —
Energy 4.0
 4.0
 —
 —
Other(3)
 200.7
 —
 200.7
 —
Total common equity securities 774.4
 515.8
 258.6
 —
         
Other long-term investments (4)(5) 
 90.1
 —
 —
 90.1
Total investments $3,141.0
 $1,498.1
 $1,547.2
 $95.7
(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) Consists Consist of two investments in unit trustslisted funds that primarilypredominantly invest in international equities.
(4) Excludes carrying value(2) Consists of $(15.4) related to foreign currency forward contracts.
(5) Excludes carrying value of $154.9 associated withprivate equity funds, a hedge funds, Lloyd’s trust deposits, a bank loan fund and private equityILS funds for which fair value is measured at NAV using the practical expedient.


  December 31, 2016
Millions Fair Value Level 1 Level 2 Level 3
Fixed maturity investments:  
  
  
  
U.S. Government and agency obligations $111.0
 $101.5
 $9.5
 $—
         
Debt securities issued by corporations:  
  
  
  
Consumer 190.8
 —
 190.8
 —
Utilities 140.8
 —
 140.8
 —
Health Care 114.9
 —
 114.9
 —
Financials 79.7
 —
 79.7
 —
Communications 72.0
 —
 72.0
 —
Materials 65.0
 —
 65.0
 —
Technology 48.8
 —
 48.8
 —
Industrial 28.2
 —
 28.2
 —
Energy 6.1
 —
 6.1
 —
Total debt securities issued by corporations 746.3
 —
 746.3
 —
         
Mortgage and asset-backed securities 979.8
 —
 979.8
 —
Municipal obligations 238.5
 —
 238.5
 —
Foreign government, agency and provincial obligations 12.1
 —
 12.1
 —
Total fixed maturity investments(1)
 2,087.7
 101.5
 1,986.2
 —
         
Short-term investments(1)(2)
 175.0
 162.3
 12.7
 —
         
Common equity securities:  
  
  
  
Exchange traded funds(3)
 157.2
 129.4
 27.8
 —
Health Care 13.9
 13.9
 —
 —
Consumer 8.6
 8.6
 —
 —
Financials 7.7
 7.7
 —
 —
Technology 7.3
 7.3
 —
 —
Communications 7.0
 7.0
 —
 —
Energy 2.5
 2.5
 —
 —
Industrial 1.5
 1.5
 —
 —
Other(4)
 79.9
 —
 79.9
 —
Total common equity securities 285.6
 177.9
 107.7
 —
         
Other long-term investments (5)(6)
 91.4
 —
 —
 91.4
Total investments(1)
 $2,639.7
 $441.7
 $2,106.6
 $91.4
(1) Includes carrying Investments for which fair value of $6.6 in fixed maturity investments and $0.1 in short-term investments that are classified as assets held for sale related to SSIE.
(2) Short-term investments areis measured at amortized cost, which approximatesNAV are not classified within the fair value.value hierarchy.
(3) 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)
21

 December 31, 2020
MillionsFair ValueLevel 1Level 2Level 3
Fixed maturity investments:    
U.S. Government and agency obligations$176.3 $176.3 $0 $0 
Debt securities issued by corporations:    
Financials133.9 0 133.9 0
Consumer81.9 0 81.9 0 
Industrial66.9 0 66.9 0 
Technology66.7 0 66.7 0 
Healthcare51.5 0 51.5 0 
Communications44.5 0 44.5 0 
Energy35.8 0 35.8 0 
Materials33.9 0 33.9 0 
Utilities32.3 0 32.3 0 
Total debt securities issued by corporations547.4 0 547.4 0 
Municipal obligations265.0 0 265.0 0 
Mortgage and asset-backed securities218.5 0 218.5 0 
Total fixed maturity investments1,207.2 176.3 1,030.9 0 
Short-term investments142.9 142.9 0 0 
Investment in MediaAlpha802.2 802.2 0 0 
Other long-term investments614.2 0 0 614.2 
Other long-term investments — NAV (1)
172.6 0 0 0 
Total other long-term investments786.8 0 0 614.2 
Total investments$2,939.1 $1,121.4 $1,030.9 $614.2 
(1)Consists of one investment in a unit trust that primarily invests in international equities.
(5) Excludes carrying value of $(1.2) related to foreign currency forward contracts.
(6) Excludes carrying value of $82.6 associated with hedgeprivate equity funds and private equityILS 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.








Debt Securities Issued by Corporations

The following table summarizespresents the credit ratings of debt securities issued by corporations held in White Mountains’s investment portfolio as of September 30, 2017March 31, 2021 and December 31, 2016:2020:
Fair Value at
MillionsMarch 31, 2021December 31, 2020
AAA$12.7 $10.6 
AA60.2 57.9 
A353.2 318.3 
BBB250.9 159.6 
BB1.0 1.0 
Other8.9 0 
Debt securities issued by corporations (1)
$686.9 $547.4 
  Fair Value at
Millions September 30, 2017 December 31, 2016
AA $26.7
 $37.3
A 119.4
 212.8
BBB 291.9
 335.6
BB 165.4
 143.2
B 21.6
 17.4
Debt securities issued by corporations(1)(2)
 $625.0
 $746.3
(1)    Credit ratings are assigned based on the following hierarchy: (1)upon issuer credit ratings provided by Standard & Poor’s Financial Services LLC ("(“Standard & Poor's"Poor’s”) and (2) Moody's, or if unrated by Standard & Poor’s, long-term obligation ratings provided by Moody’s Investor Service, Inc. ("Moody’s").
(2)

22

Includes carrying value of $4.2 of fixed maturity investments at December 31, 2016 that is classified as assets held for sale related to SSIE.

Mortgage and Asset-backed Securities and Collateralized Loan Obligations
White Mountains purchases commercial mortgage-backed securities (“CMBS”) and residential mortgage-backed securities (“RMBS”) with the goal of maximizing risk adjusted returns in the context of a diversified portfolio. White Mountains considers sub-prime mortgage-backed securities as those that have underlying loan pools that exhibit weak credit characteristics, or those that are issued from dedicated sub-prime shelves or dedicated second-lien shelf registrations (i.e., White Mountains considers investments backed primarily by second-liens to be sub-prime risks regardless of credit scores or other metrics). White Mountains did not hold any RMBS categorized as sub-prime as of September 30, 2017.
White Mountains categorizes mortgage-backed securities as “non-prime” (also called “Alt A” or “A-”) if they are backed by collateral that has overall credit quality between prime and sub-prime based on White Mountains’s review of the characteristics of their underlying mortgage loan pools, such as credit scores and financial ratios. As of September 30, 2017, White Mountains did not hold any RMBS classified as non-prime. White Mountains’s non-agency RMBS portfolio is generally moderate-term and structurally senior. White Mountains does not own any collateralized loan obligations or any collateralized debt obligations.
The following table summarizespresents the carryingfair value of White Mountains’s mortgage and asset-backed securities and collateralized loan obligations as of September 30, 2017March 31, 2021 and December 31, 2016:2020:
 March 31, 2021December 31, 2020
MillionsFair ValueLevel 2Level 3Fair ValueLevel 2Level 3
Mortgage-backed securities:      
Agency:      
FNMA$98.4 $98.4 $0 $88.7 $88.7 $0 
FHLMC76.9 76.9 0 70.1 70.1 0 
GNMA36.7 36.7 0 40.6 40.6 0 
Total agency (1)
212.0 212.0 0 199.4 199.4 0 
Non-agency: Residential.6 .6 0 0 0 0 
Total non-agency.6 .6 0 0 0 0 
  Total mortgage-backed securities212.6 212.6 0 199.4 199.4 0 
Other asset-backed securities:  
Credit card receivables11.3 11.3 0 11.3 11.3 0 
Vehicle receivables6.0 6.0 0 7.8 7.8 0 
  Total other asset-backed securities17.3 17.3 0 19.1 19.1 0 
Total mortgage and asset-backed securities229.9229.90 218.5 218.5 0 
Collateralized loan obligations59.4 59.4 0 0 0 0 
Total mortgage and asset-backed securities and collateralized loan obligations$289.3 $289.3 $0 $218.5 $218.5 $0 
  September 30, 2017 December 31, 2016
Millions Fair Value Level 2 Level 3 Fair Value Level 2 Level 3
Mortgage-backed securities:  
  
  
  
  
  
Agency:  
  
  
  
  
  
GNMA $51.0
 $51.0
 $—
 $70.3
 $70.3
 $—
FNMA 88.9
 88.9
 —
 235.5
 235.5
 —
FHLMC 59.7
 59.7
 —
 59.5
 59.5
 —
Total Agency(1)
 199.6
 199.6
 —
 365.3
 365.3
 —
Non-agency:  
  
  
  
  
  
Residential 70.1
 70.1
 —
 70.3
 70.3
 —
Commercial 39.0
 39.0
 —
 3.9
 3.9
 —
Total Non-agency 109.1
 109.1
 —
 74.2
 74.2
 —
             
Total mortgage-backed securities 308.7
 308.7
 —
 439.5
 439.5
 —
Other asset-backed securities:  
      
    
Credit card receivables 40.5
 40.5
 —
 214.2
 214.2
 —
Vehicle receivables 22.7
 22.7
 —
 205.9
 205.9
 —
Other 16.0
 16.0
 —
 120.2
 120.2
 —
Total other asset-backed securities 79.2
 79.2
 —
 540.3
 540.3
 —
Total mortgage and asset-backed securities $387.9
 $387.9
 $—
 $979.8
 $979.8
 $—
(1)    Represents publicly traded mortgage-backed securities which carry the full faith and credit guaranty of the U.S. governmentGovernment (i.e., GNMA) or are guaranteed
by a government sponsored entity (i.e., FNMA, FHLMC).



As of March 31, 2021, White Mountains’s investment portfolio included $59.4 million of collateralized loan obligations that are within the senior tranches of their respective fund securitization structures. All of White Mountains’s collateral loan obligations were rated AAA or AA as of March 31, 2021.
Non-agency Mortgage-backed Securities
Investment in MediaAlpha

On October 30, 2020, MediaAlpha completed the MediaAlpha IPO. In the offering, White Mountains sold 3.6 million shares at $19.00 per share ($17.67 per share net of underwriting discount) and received total proceeds of $63.8 million. White Mountains also received $55.0 million of net proceeds related to a dividend recapitalization at MediaAlpha. Following the MediaAlpha IPO, White Mountains owned 20.5 million MediaAlpha shares, representing a 35.0% ownership interest (32.3% on a fully-diluted, fully converted basis). At the December 31, 2020 closing price of $39.07 per share, the fair value of White Mountains’s remaining investment in MediaAlpha was $802.2 million. Subsequent to the MediaAlpha IPO, White Mountains’s investment in MediaAlpha is accounted for at fair value based on the publicly traded share price of MediaAlpha’s common stock and White Mountains presents its investment in MediaAlpha as a separate line item on the balance sheet.
On March 23, 2021, MediaAlpha completed a secondary offering of 8.05 million shares. In the secondary offering, White Mountains sold 3.6 million shares at $46.00 per share ($44.62 per share net of underwriting fees) for net proceeds of $160.3 million. Following the completion of the offering, White Mountains owns 16.9 million shares, representing a 28.5% basic ownership interest (26.3% fully-diluted/fully-converted basis). At the March 31, 2021 closing price of $35.43 per share, the fair value of White Mountains’s remaining investment in MediaAlpha was $600.2 million. See Note 16 — “Equity-Method Eligible Investments”.
23

Other Long-Term Investments

The following table summarizespresents the security issuance yearscarrying values of White Mountains’s other long-term investments as of March 31, 2021 and December 31, 2020:
Carrying Value at
MillionsMarch 31, 2021December 31, 2020
Kudu’s Participation Contracts$427.4 $400.6 
PassportCard/DavidShield
95.0 95.0 
Elementum Holdings L.P.56.7 55.1 
Other unconsolidated entities (1)
43.3 42.4 
Total unconsolidated entities (2)
622.4 593.1 
Private equity funds and hedge funds133.5 121.2 
Lloyd’s trust deposits99.2 0 
Bank loan fund89.2 0 
ILS funds53.8 51.4 
Private debt investments (2)
21.0 21.1 
Other13.1 0 
Total other long-term investments$1,032.2 $786.8 
(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.

Private Equity Funds and Hedge Funds
White Mountains invests in private equity funds and hedge funds, which are included in other long-term investments. The fair value of these investments is generally estimated using the net asset value (“NAV”) of the funds. As of March 31, 2021, White Mountains held investments in non-agency RMBS13 private equity funds and non-agency CMBS securities1 hedge fund. The largest investment in a single private equity fund or hedge fund was $23.5 million as of September 30, 2017:March 31, 2021 and $29.1 million as of December 31, 2020.
      Security Issuance Year      
Millions Fair Value 2004  2013 2014 2015 2016 2017
Non-agency RMBS $70.1
 $.3
  $1.3
 $20.6
 $47.9
 $—
 $—
Non-agency CMBS 39.0
 —
  —
 —
 —
 3.7
 35.3
Total $109.1
 $.3
  $1.3
 $20.6
 $47.9
 $3.7
 $35.3
Non-agency Residential Mortgage-backed Securities
The following table summarizespresents investments and unfunded commitments in private equity funds and hedge funds by investment objective and sector as of March 31, 2021 and December 31, 2020:
 March 31, 2021December 31, 2020
MillionsFair ValueUnfunded
Commitments		Fair ValueUnfunded
Commitments
Private equity funds    
Aerospace/Defense/Government$73.0 $14.0 $69.1 $15.3 
Financial services43.2 35.3 23.5 30.4 
Real estate4.0 3.0 0 0 
Manufacturing/Industrial1.3 0 28.6 0 
Total private equity funds121.5 52.3 121.2 45.7 
Hedge funds    
European small/mid cap12.0 0 0 0 
Total hedge funds12.0 0 0 0 
Total private equity funds and hedge funds
   included in other long-term investments
$133.5 $52.3 $121.2 $45.7 

24

Investments in private equity funds are generally subject to a lock-up period during which investors may not request a redemption. Distributions prior to the classificationexpected termination date of the underlying collateral quality andfund may be limited to dividends or proceeds arising from the tranche levels of White Mountains’s non-agency RMBS securities as of September 30, 2017:
Millions Fair Value 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Prime $70.1
 $58.4
 $11.7
 $—
Non-prime —
 —
 —
 —
Sub-prime —
 —
 —
 —
Total $70.1
 $58.4
 $11.7
 $—
(1) At issuance, Super Senior, or in the case of resecuritization, the underlying securities, were rated “AAA” by Standard & Poor’s, “Aaa” by Moody’s or “AAA” by Fitch Ratings, Inc. (“Fitch”) and were senior to other “AAA” or “Aaa” bonds.
(2) At issuance, Senior, or in the case of resecuritization, the underlying securities, were rated “AAA” by Standard & Poor’s, “Aaa” by Moody’s or “AAA” by Fitch and were senior to non-“AAA” or non-“Aaa” bonds.
(3) At issuance, Subordinate were not rated “AAA” by Standard & Poor’s, “Aaa” by Moody’s or “AAA” by Fitch and were junior to “AAA” or “Aaa” bonds. 

Non-agency Commercial Mortgage-backed Securities
White Mountains’s non-agency CMBS portfolio is generally moderate-term and structurally senior, with more than 30 points of subordination on average for both fixed rate and floating rate as of September 30, 2017. In general, subordination represents the percentage principal loss on the underlying collateral that would have to be absorbed by other securities lower in the capital structure before the more senior security incurs a loss.  As of September 30, 2017, noneliquidation of the fund’s underlying loans ofinvestments. In addition, certain private equity funds have the non-agency CMBS held by White Mountains were reported as non-performing.option to extend the lock-up period.
The following table summarizespresents investments in private equity funds that were subject to lock-up periods as of March 31, 2021:
Millions1 – 3 years3 – 5 years5 – 10 years>10 yearsTotal
Private equity funds — expected lock-up period remaining$6.8$27.0$74.5$13.2$121.5

Investors in private equity funds are generally subject to indemnification obligations outside of the amountcapital commitment period and prior to the winding up of fixedthe fund. As of March 31, 2021 and floating rateDecember 31, 2020, White Mountains is not aware of any indemnification claims relating to its investments in private equity funds. 
Redemption of investments in most hedge funds is subject to restrictions, including lock-up periods where no redemptions or withdrawals are allowed, restrictions on redemption frequency and advance notice periods for redemptions. Amounts requested for redemptions remain subject to market fluctuations until the redemption effective date, which generally falls at the end of the defined redemption period. White Mountains’s hedge fund investment is subject to a perpetual two-year restriction on redemption frequency from the initial investment in the fund and a 90-days advanced notice period requirement.

Lloyd’s Trust Deposits
White Mountains’s other long-term investments include Lloyd’s Trust Deposits, which consists of overseas deposits and Canadian comingled pooled funds. The Lloyd’s Trust Deposits invest primarily in short-term government securities, agency securities and their tranche levelscorporate bonds held in trusts that are managed by Lloyd's of London. These investments are required of Lloyd's syndicates to protect policyholders in overseas markets and are pledged into Lloyd’s trust accounts to provide a portion of the capital needed to support obligations at Lloyd’s. The fair value of the Lloyd’s Trust Deposits is generally estimated using the NAV of the funds. As of March 31, 2021, White Mountains held Lloyd’s Trust Deposits with a fair value of $99.2 million.

Bank Loan Fund
White Mountains’s non-agency CMBS securitiesother long-term investments include a bank loan fund with a fair value of $89.2 million as of September 30, 2017:March 31, 2021. The fair value of this investment is estimated using the NAV of the fund. The bank loan fund’s investment objective is to provide, on an unleveraged basis, high current income consistent with preservation of capital and low duration. The bank loan fund primarily invests in a broad portfolio of U.S. dollar-denominated, non-investment grade, floating-rate senior secured loans and may invest in other financial instruments, such as secured and unsecured corporate debt, credit default swaps, reverse repurchase agreements and synthetic indices and cash and cash equivalents.
Millions Fair Value 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Fixed rate CMBS $17.8
 $—
 $16.2
 $1.6
Floating rate CMBS 21.2
 —
 —
 21.2
Total $39.0
 $—
 $16.2
 $22.8
(1)  At issuance, Super Senior, orThe investment in the casebank loan fund is subject to restrictions on redemption frequency and advance notice periods for redemptions. Amounts requested for redemptions remain subject to market fluctuations until the redemption effective date, which generally falls at the end of resecuritization,the defined redemption period. White Mountains may redeem all or a portion of its bank loan fund investment as of any calendar month-end upon 15 calendar days advanced written notice.

Insurance-Linked Securities Funds
White Mountains’s other long-term investments include ILS fund investments. The fair value of these investments is generally estimated using the NAV of the funds. As of March 31, 2021, White Mountains held investments in ILS funds with a fair value of $53.8 million.
Investments in ILS funds are generally subject to restrictions, including lock-up periods where no redemptions or withdrawals are allowed, non-renewal clauses, restrictions on redemption frequency and advance notice periods for redemptions. From time to time, natural catastrophe, liquidity, market or other events will occur that make the determination of fair value for underlying investments in ILS funds less certain due to the potential for loss development. In such circumstances, the impacted investments may be subject to additional lock-up provisions.
ILS funds are typically subject to monthly and annual restrictions on redemptions and advance redemption notice period requirements that range between 30 and 90 days. Amounts requested for redemption remain subject to market fluctuations until the redemption effective date, which generally falls at the end of the defined redemption period.
One of the ILS funds in White Mountains’s portfolio requires shareholders to provide advance redemption notice on or before September 15 of each calendar year. Amounts requested for redemption in this fund remain subject to market fluctuation until the underlying securities, were rated “AAA” by Standard & Poor’s, “Aaa” by Moody’sinvestment has fully matured or “AAA” by Fitch and were seniorbeen commuted, which may be up to other “AAA” or “Aaa” bonds.a period of three years from the start of each calendar year.
(2) At issuance, Senior, or in the case of resecuritization, the underlying securities, were rated “AAA” by Standard & Poor’s, “Aaa” by Moody’s or “AAA” by Fitch and were senior to non-“AAA” or non-“Aaa” bonds.
(3) At issuance, Subordinate were not rated “AAA” by Standard & Poor’s, “Aaa” by Moody’s or “AAA” by Fitch and were junior to “AAA” or “Aaa” bonds. 



25

Rollforward of Fair Value Measurements by Level

 White Mountains uses quoted market prices where available as the inputs to estimate fair value for its investments in active markets. Such measurements are considered to be either Level 1 or Level 2 measurements, depending on whether the quoted market price inputs are for identical securities (Level 1) or similar securities (Level 2). Level 3 measurements for fixed maturity investments, common equity securities and other long-term investments as of September 30, 2017March 31, 2021 and 20162020 consist of securities for which the estimated fair value has not been determined based upon quoted market price inputs for identical or similar securities.
The following tables summarizepresent the changes in White Mountains’s fair value measurements by level for the ninethree months ended September 30, 2017March 31, 2021 and 2016:2020:
   Level 3 
Investments
Other Long-term Investments Measured at NAV (1)
  
MillionsLevel 1 InvestmentsLevel 2 
Investments		Other Long-term
Investments		Total 
Balance at December 31, 2020$978.5 $1,030.9 $614.2 $172.6 $2,796.2 (2)
Net realized and unrealized (losses) gains(43.2)(22.9)16.7 11.4 (38.0)(3)
Amortization/Accretion0 (1.4)0 0 (1.4)
Purchases53.4 426.4 17.5 94.5 591.8 
Sales(166.9)(122.6)(1.6)(38.5)(329.6)
Effect of Ark Transaction0 68.2 9.6 135.8 213.6 
Transfers in0 0 0 0 0  
Transfers out0 0 0 0 0  
Balance at March 31, 2021$821.8 $1,378.6 $656.4 $375.8 $3,232.6 (1)
   Level 3 Investments 
MillionsLevel 1 investments
Level 2 
investments
Fixed
maturity investments
Other long-term
investments
Hedge Funds and Private Equity Funds measured at NAV(3)
 Total 
Balance at January 1, 2017$279.5
$2,093.8
$—
$91.4
$82.6
 $2,547.3
(1)(2)(4) 
Net realized and unrealized gains (losses)52.4
59.8
—
(2.2)15.6
 125.6
 
Amortization/Accretion—
(6.6)—
—
—
 (6.6) 
Purchases940.7
1,038.5
31.2
2.9
64.9
 2,078.2
 
Sales(539.0)(1,668.2)(12.5)(2.0)(8.2) (2,229.9) 
Deconsolidation of SSIE—
(5.2)—
—
—
 (5.2) 
Transfers in—
13.1
—
—
—
 13.1
  
Transfers out—
—
(13.1)—
—
 (13.1)
  
Balance at September 30, 2017$733.6
$1,525.2
$5.6
$90.1
$154.9
 $2,509.4
(1)(2) 
(1) Consists of private equity funds, a hedge fund, Lloyd’s trust deposits, bank loans, and 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. See Note 1 — “Basis of Presentation and Significant Accounting Policies”.
(1)  (2)Excludes carrying value of $(1.2)$625.8 and $(15.4)$142.9 as of January 1, 2017March 31, 2021 and September 30, 2017 associated with foreign currency forward contracts.December 31, 2020 classified as short-term investments.
(2)  (3)Excludes carrying value of $175.0realized and $786.5 at January 1, 2017 and September 30, 2017unrealized losses associated with short-term investments of which $0.1 is classified as held$(1.3) and includes amounts attributable to TPC Providers of $1.3 for sale at January 1, 2017.the three months ended March 31, 2021.
(3) Investments
   Level 3 
Investments
Other Long-term Investments Measured at NAV (1)
 
MillionsLevel 1 InvestmentsLevel 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 losses(98.7)(39.9)0 (9.7)(8.8)(157.1)(3)
Amortization/Accretion0 (.8)0 0 0 (.8)
Purchases74.2 126.8 0 24.7 7.2 232.9 

Sales(109.9)(105.4)— (8.1)(56.0)(279.4)
Transfers in0 0 0 0 0 0 
Transfers out0 0 0 0 0 0 
Balance at March 31, 2020$645.6 $1,090.3 $.1 $660.9 $144.7 $2,541.6 (2)
(1) Includes private equity funds, a hedge fund and 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 — “Summary“Basis of Presentation and Significant Accounting Policies”Policies”.
(4)  Includes carrying value of $6.6 of fixed maturity investments at January 1, 2017 that is classified as assets held for sale related to SSIE.

   Level 3 Investments   
MillionsLevel 1 investments
Level 2 
investments
Fixed
maturity investments
Other long-term
investments
Hedge Funds and Private Equity Funds measured at NAV(2)
Total 
Balance at January 1, 2016$789.0
$585.6
$—
$103.6
$65.3
$1,543.5
(1)(3) 
Net realized and unrealized gains7.2
17.4
.1
.8
1.7
27.2
 
Amortization/Accretion.1
(3.8)—
—
—
(3.7) 
Purchases1,387.8
2,228.5
70.0
2.2
38.4
3,726.9
 
Sales(1,992.7)(884.1)—
(.1)(10.1)(2,887.0) 
Transfers in—
68.0
—
—
—
68.0
 
Transfers out—
—
(68.0)—
—
(68.0) 
Balance at September 30, 2016$191.4
$2,011.6
$2.1
$106.5
$95.3
$2,406.9
(1)(3) 
(1) (2) Excludes carrying value of $142.0$137.6 and $230.0 at January 1, 2016$201.2 as of March 31, 2020 and September 30, 2016December 31, 2019 classified as short-term investments.
(3) Excludes realized and unrealized losses associated with short-term investments of which $0.1 and $0.1 is classified as held$0.4 for sale at January 1, 2016 and September 30, 2016.the three months ended March 31, 2020.
(2)Investments for which fair value is measured at NAV using the practical expedient are no longer classified within the fair value hierarchy. See Note 1 — “Summary of Significant Accounting Policies”.
(3)  Includes carrying value of $9.5 and $8.3 of fixed maturity investments at January 1, 2016 and September 30, 2016 that is classified as assets held for sale related to SSIE.


26

Fair Value Measurements — Transfers Between Levels - Nine-month PeriodThree-months ended September 30, 2017March 31, 2021 and 20162020
Transfers between levels are recorded using the fair value measurement as of the end of the quarterly period in which the event or change in circumstance giving rise to the transfer occurred.
During the first ninethree months of 2017, two2021 and 2020, there were no fixed maturity investments classified as Level 3 measurement in the prior period were transferred to Level 2 measurement because quoted market prices for similar securities that were considered reliable and could be validated against an alternative source were available at September 30, 2017. These measurements comprise “Transfers out” of Level 3 and “Transfers in” to Level 2 of $13.1 million for the period ended September 30, 2017.
During the first nine months of 2016, there were two fixed maturityor other long-term investments classified as Level 3 measurements in the prior period that were transferred to Level 2 measurements. These
During the first three months of 2021 and 2020, there were no fixed maturity investments compriseor other long-term investments classified as Level 2 measurements in the “Transfers out” ofprior period that were transferred to Level 3 and “Transfers in” to Level 2 of $68.0 million for the period ended September 30, 2016.measurements.


Significant Unobservable Inputs

The following table summarizestables present significant unobservable inputs used in estimating the fair value of investment securities,White Mountains’s other long-term investments, other than private equity funds, hedge funds, Lloyd’s trust deposits, bank loans funds and private equityILS funds, classified within Level 3 as of September 30, 2017March 31, 2021 and December 31, 2016.2020. The fair value of investments in private equity funds, hedge funds, Lloyd’s trust deposits, bank loans funds and private equityILS funds are generally estimated using the NAV of the funds.


Description September 30, 2017
$ in millions, except share price 
Rating(2)
 Valuation Technique(s) 
Fair 
Value(3)
 Unobservable Input
Debt securities issued
   by corporations (1)
 BBB Broker pricing $5.6 Broker quote-133.792
Private equity security NR Share price of most recent transaction $21.0 Share price-$1.00
Private equity security NR Discounted cash flow $22.1 Discount rate-25.0%
Private equity security NR Share price of most recent transaction $3.6 Share price-$2.52
Private convertible preferred security NR Multiple of EBITDA $0.2 EBITDA multiple-6.00
Private convertible preferred security NR Share price of most recent transaction $27.0 Share price-$3.83
Private equity security NR 
Discounted cash flow/
Option pricing method
 $10.4 Discount rate-21.0%
        Time until expiration-4 years
      Volatility/Standard deviation-50.0%
      Risk free rate-1.00%
$ in MillionsMarch 31, 2021
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$427.418% - 23%7x - 12x
PassportCard/DavidShieldDiscounted cash flow$95.023%4%
Elementum Holdings, L.P.Discounted cash flow$56.717%4%
Private debt instrumentsDiscounted cash flow$17.04% - 8%N/A
All otherDiscounted cash flow$19.820% - 24%4%
New Market Solutions, LLCRecent transaction$9.9Transaction price:$9.9
Noblr, Inc.Recent transaction$8.7Transaction price:$8.7
Zillion Insurance Services, Inc.Recent transaction$5.0Transaction price:$5.0
(1)As Key inputs to the discounted cash flow analysis generally include projections of September 30, 2017, asset type consists of one security.future revenue and earnings, discount rates and terminal exit multiples or growth rates.
(2)Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's and 2) Moody’s.
(3) 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 the first quarter of 2021, Kudu deployed a total of $10.9 in TIG Advisors LLC, an existing Kudu Participation Contract.


27

Description December 31, 2016
$ in millions, except share price Valuation Technique(s) 
Fair Value (1)
 Unobservable Input
Private equity security Share price of most recent transaction $21.0 Share price-$1.00
Private equity security Discounted cash flow $22.1 Discount rate-25.0%
Private equity security Share price of most recent transaction $3.2 Share price-$2.52
Private convertible preferred security Multiple of EBITDA $3.6 EBITDA multiple-6.00
Private convertible preferred security Share price of most recent transaction $27.0 Share price-$3.83
Private equity security Discounted cash flow/
Option pricing method		 $9.3 Discount rate-21.0%
      Time until expiration-4 years
    Volatility/Standard deviation-50.0%
    Risk free rate-1.00%
$ in MillionsDecember 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$400.618% - 23%7x - 12x
PassportCard/DavidShield (6)
Discounted cash flow$95.023%4%
Elementum Holdings, L.P.Discounted cash flow$55.117%4%
Private debt instrumentsDiscounted cash flow$17.14% - 8%N/A
All otherDiscounted cash flow$18.820% - 24%4%
New Market Solutions, LLCRecent transaction$9.9Transaction price:$9.9
Noblr, Inc.Recent transaction$8.7Transaction price:$8.7
Zillion Insurance Services, Inc.(7)
Recent transaction$5.0Transaction 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.



28

Note 4.6. Goodwill and Other Intangible Assets


White Mountains hasaccounts for purchases of businesses using the acquisition method. Under the acquisition method, White Mountains recognizes and measures the assets acquired, liabilities assumed and any non-controlling interest in the acquired entities at their acquisition date fair values. The acquisition date fair values of certain assets and liabilities, generally consisting of intangible assets and liabilities for contingent consideration, may be recorded at provisional amounts in circumstances where the information necessary to complete the acquisition accounting is not available at the reporting date. Any such provisional amounts are finalized as measurement period adjustments within one year of the acquisition date.
The following table presents the acquisition date fair values, accumulated amortization and net carrying values for other intangible assets and goodwill, by segment as of March 31, 2021 and December 31, 2020:
$ in MillionsWeighted Average Economic
 Life
(in years)		March 31, 2021December 31, 2020
Acquisition Date Fair ValueAccumulated AmortizationImpairments and Amounts Allocated to Held for SaleNet Carrying ValueAcquisition Date Fair ValueAccumulated AmortizationImpairmentsNet Carrying Value
Goodwill:
ArkN/A$116.8 $— $0 $116.8 $0 $— $0 $0 
NSM (1)
N/A507.9 — 30.2 477.7 506.4 — 0 506.4 
KuduN/A7.6 — 0 7.6 7.6 — 0 7.6 
Other OperationsN/A11.3 — 0 11.3 11.5 — 0 11.5 
Total goodwill643.6 — 30.2 613.4 525.5 — 0 525.5 
Other intangible assets:
Ark
Underwriting CapacityN/A175.7 0 0 175.7 0 0 0 0 
NSM (1)
Customer
   relationships		8.9136.4 41.7 3.5 91.2 136.2 36.7 3.5 96.0 
   Trade names1665.4 9.1 1.0 55.3 65.4 8.3 1.0 56.1 
   Information
      technology
      platform		03.1 1.4 1.7 0 3.1 1.4 1.7 0 
Renewal rights1282.5 7.6 0 74.9 82.5 4.9 077.6 
Other3.41.7 1.1 0 .6 1.7 1.0 0.7 
      Subtotal289.1 60.9 6.2 222.0 288.9 52.3 6.2 230.4 
Kudu
   Trade names72.2 .7 0 1.5 2.2 .6 0 1.6 
Other Operations
   Trade names9.63.6 .4 0 3.2 3.6 .3 0 3.3 
Customer
   relationships		10.714.2 1.8 0 12.4 14.2 1.4 0 12.8 
Insurance
   Licenses		N/A8.6 0 0 8.6 8.6 0 0 8.6 
Other5.4.3 .1 0 .2 .3 .1 0 .2 
       Subtotal26.7 2.3 0 24.4 26.7 1.8 0 24.9 
Total other intangible assets493.7 63.9 6.2 423.6 317.8 54.7 6.2 256.9 
Total goodwill and other
   intangible assets
$1,137.3 $63.9 $36.4 1,037.0 $843.3 $54.7 6.2 782.4 
Goodwill and other intangible assets attributed to non-controlling interests(108.4)(28.1)
Goodwill and other intangible assets included in White Mountains’s
   common shareholders’ equity		$928.6 $754.3 
(1) As of March 31, 2021, NSM’s goodwill and intangible assets included $1.5 and $0.2 of the effect of foreign currency translation. As of December 31, 2020, NSM’s goodwill and intangible assets included $13.4 and $1.6 of the effect of foreign currency translation.

The goodwill recognized for the entities shown above is attributed to expected future cash flows. The acquisition date fair values of other intangible assets with finite lives are estimated using income approach techniques, which use future expected cash flows to develop a discounted present value amount.
29

The multi-period-excess-earnings method estimates fair value using the present value of the incremental after-tax cash flows attributable solely to the other intangible asset over its remaining life. This approach was used to estimate the fair value of other intangible assets associated with the underwriting capacity, trade names, customer relationships and contracts and information technology.
The relief-from-royalty method was used to estimate fair value for other intangible assets that relate to rights that could be obtained via a license from a third-party owner. Under this method, the fair value is estimated using the present value of license fees avoided by owning rather than leasing the asset. This technique was used to estimate the fair value of domain names, certain trademarks and brand names.
The with-or-without method estimates the fair value of an other intangible asset that provides an incremental benefit. Under this method, the fair value of the other intangible asset is calculated by comparing the value of the entity with and without the other intangible asset. This approach was used to estimate the fair value of favorable lease terms.
The following table presents a summary of the acquisition date fair values of goodwill and other intangible assets for
acquisitions completed from January 1, 2020 through March 31, 2021:
$ in Millions
Acquisition of subsidiary/ asset
Goodwill and
Other intangible asset (1)
Acquisition Date
Kingsbridge$131.7April 7, 2020
Ark$292.5January 1, 2021
Other Operations$15.2July 2, 2020
(1) Acquisition date fair values include the effect of adjustments during the measurement period and excludes the effect of foreign currency translation subsequent to the acquisition date.

On at least an annual basis beginning no later than the interim period included in the one-year anniversary of an acquisition, White Mountains evaluates goodwill and other intangible assets for potential impairment. Between annual evaluations, White Mountains considers changes in circumstances or events subsequent to the most recent evaluation that may indicate that an impairment may exist and, if necessary will perform an interim review for potential impairment.
In April 2021, NSM sold Fresh Insurance’s motor business. The assets and liabilities included in the transaction, principally goodwill, have been classified as held for sale as of March 31, 2021 and have been measured at their estimated fair values, net of disposal costs. In connection with the classification of the Fresh Insurance’s motor business as held for sale, White Mountains recognized a loss of $28.7 million. See Note 2 — “Significant Transactions”.
During the three months ended March 31, 2021, White Mountains concluded that there was no impairment of the intangible assets associated with NSM.
The following tables present the change in goodwill and other intangible assets for the three months ended March 31, 2021 and 2020:
Three Months Ended March 31,
20212020
MillionsGoodwillOther Intangible AssetsTotal Goodwill and Other Intangible AssetsGoodwillOther Intangible AssetsTotal Goodwill and Other Intangible Assets
Beginning balance$525.5 $256.9 $782.4 $394.7 $260.0 $654.7 
Ark Transaction116.8 175.7 292.5 0 0 0 
Foreign currency translation1.5 .2 1.7 (2.5)(.5)(3.0)
Loss on assets held for sale (1)
(30.2)— (30.2)0 — 0 
Measurement period adjustments (2)
(.2)0 (.2).2 0 .2 
Amortization— (9.2)(9.2)— (5.1)(5.1)
Ending balance$613.4 $423.6 $1,037.0 $392.4 $254.4 $646.8 
(1) Relates to the sale of NSM’s Fresh motor business recorded in the first quarter of 2021.This amounts excludes $1.5 of net proceeds related to the sale.
(2) Measurement period adjustments relate to updated information about acquisition date fair values in connection with its purchases of subsidiaries.
On January 15, 2016, MediaAlpha acquired certain assets from Oversee.net for a purchase price of $3.9 million. The majority of assets acquired and liabilities assumed. During the three months ended March 31, 2021, adjustments primarily relate to the acquisition in the Other Operations segment.
30

Note 7.  Debt
The following table presents White Mountains’s debt outstanding as of March 31, 2021 and December 31, 2020:
MillionsMarch 31,
2021		Effective
  Rate		(1)December 31,
2020		Effective
  Rate		(1)
Ark Alesco Notes, carrying value$30.0 $0 
Ark Dekania Note, carrying value14.1 — 
    Ark Subordinated Notes, carrying value44.1 4.6%— 
NSM Bank Facility277.3 7.6%(2)277.4 7.5%(2)
Unamortized issuance cost(5.8)(6.1)
NSM Bank Facility, carrying value271.5 271.3 
Other NSM debt, carrying value1.2 2.3%1.3 2.5%
Kudu Credit Facility102.0 5.2%— 
Unamortized issuance cost(6.1)— 
Kudu Credit Facility, carrying value95.9 — 
Kudu Bank Facility— 89.2 8.3%
Unamortized issuance cost— (2.9)
Kudu Bank Facility, carrying value— 86.3 
Other Operations debt17.5 7.6%18.0 7.4%
Unamortized issuance cost(.5)(.5)
Other Operations, carrying value17.0 17.5 
Total debt$429.7 $376.4 
 (1) Effective rate includes the effect of the amortization of debt issuance costs.
(2) NSM’s effective rate excludes the effect of the interest rate swap on the hedged portion of the debt. The weighted average interest rate for the quarter ended March 31, 2021 and December 31, 2020, excluding the effect of amortization of debt issuance costs, was 7.1% and 7.0%. The weighted average interest rate for the quarter ended March 31, 2021 and December 31, 2020 on the total NSM Bank Facility including both the effect of the amortization of debt issuance costs and the effect of the interest rate swap was 8.5% and 8.4%.

Ark Subordinated Notes

In March 2007, Ark issued $30.0 million face value of floating rate unsecured junior subordinated deferrable interest notes to Alesco Preferred Funding XII Ltd., Alesco Preferred Funding XIII Ltd. and Alesco Preferred Funding XIV Ltd (the “Ark Alesco Notes”) and a €12.0 million floating rate subordinated note to Dekania Europe CDO II plc (the “Ark Dekania Note”) (together, the “Ark Subordinated Notes”). The Alesco Notes, which are includedmature in other intangible assets, consistsJune 2037, accrue interest at a floating rate equal to the three-month U.S. LIBOR plus 4.6%. The Ark Dekania Note, which matures in June 2027, accrues interest at a floating rate equal to the three-month EURIBOR plus 4.6%. As of customer relationships, a customer contract, a non-compete agreement fromMarch 31, 2021, the seller, domain namesArk Alesco Notes had an outstanding balance of $30.0 million and technology.
On August 4, 2016, White Mountains acquired a 70.9% ownership share in Buzzmove for a purchase pricethe Ark Dekania Note had an outstanding balance of GBP 6.1€12.0 million (approximately $8.1$14.1 million based upon the foreign exchange spot rate at the date of acquisition). White Mountains recognized total assets acquired related to Buzzmove of $11.5 million, including $7.6 million of goodwill and $1.1 million of intangible assets, and total liabilities assumed of $0.1 million, reflecting acquisition date fair values.
The following table shows the change in goodwill and other intangible assets:
  Three Months Ended September 30,
  2017 2016
Millions Goodwill Other intangible assets Total Goodwill Other intangible assets Total
Beginning balance $25.9
 $14.4
 $40.3
 $18.3
 $23.3
 $41.6
Acquisition of businesses —
 —
 —
 7.6
 1.1
 8.7
Amortization, including foreign currency translation —
 (2.5) (2.5) —
 (2.6) (2.6)
Ending balance $25.9
 $11.9
 $37.8
 $25.9
 $21.8
 $47.7
  Nine Months Ended September 30,
  2017 2016
Millions Goodwill Other intangible assets Total Goodwill Other intangible assets Total
Beginning balance $25.9
 $19.3
 $45.2
 $18.6
 $26.9
 $45.5
Add: Amounts held for sale at
         beginning of the period (1)
 —
 —
 —
 —
 .4
 .4
Acquisition of businesses 
 
 —
 7.6
 5.0
 12.6
Wobi write off —
 —
 —
 (.3) (2.5) (2.8)
Amortization, including foreign currency translation —
 (7.4) (7.4) —
 (8.0) (8.0)
Ending balance $25.9
 $11.9
 $37.8
 $25.9
 $21.8
 $47.7
(1) See Note 15 — “Held for Sale and Discontinued Operations”.

The following table is a summary of goodwill and other intangible assets as of September 30, 2017, DecemberMarch 31, 2016, and September 30, 2016:2021).

Millions September 30, 2017 December 31, 2016
Goodwill    
MediaAlpha $18.3
 $18.3
Buzzmove 7.6
 7.6
Total goodwill 25.9
 25.9
Other intangible assets    
MediaAlpha 11.0
 18.3
Buzzmove .9
 1.0
Total other intangible assets 11.9
 19.3
Total goodwill and other intangible assets 37.8
 45.2
Goodwill and other intangible assets held for sale —
 1.2
Goodwill and other intangible assets attributed to non-controlling interests (13.7) (17.1)
Goodwill and other intangible assets included in White Mountains's
common shareholders' equity		 $24.1
 $29.3


Note 5.  Debt
White Mountains’s debt outstanding asArk Stand By Letter of September 30, 2017 and December 31, 2016 consisted of the following:
Millions September 30,
2017		 
Effective
  Rate (1)
 December 31,
2016		 
Effective
  Rate (1)
WTM Bank Facility $—
 N/A $—
 N/A
Unamortized issue costs —
   —
  
WTM Bank Facility, carrying value —
   —
  
MediaAlpha Bank Facility 9.4
 5.5% —
 N/A
Unamortized issuance cost —
   —
  
MediaAlpha Bank Facility, carrying value 9.4
   —
  
Previous MediaAlpha Bank Facility —
 N/A 12.9
 5.7%
Unamortized issuance cost —
   (.2)  
Previous MediaAlpha Bank Facility, carrying value —
   12.7
  
Total debt $9.4
   $12.7
  
 (1) Effective rate considers the effect of the debt issuance costs.

WTM BankCredit Facility
On August 14, 2013, White Mountains entered into a revolving credit facility with a syndicate of lenders administered by Wells Fargo Bank, N.A., which
Ark has a total commitmentsecured stand by letter of$425.0 million and has a maturity date of August 14, 2018 (the “WTM Bank Facility”). During the third quarter of 2017, White Mountains borrowed $350.0 million under the WTM Bank Facility to partially fund a tender offer and subsequently repaid the $350 million after receiving the proceeds from the OneBeacon Transaction. As of September 30, 2017, the WTM Bank Facility was undrawn.
The WTM Bank Facility contains various affirmative, negative and financial covenants which White Mountains considers to be customary for such borrowings, including certain minimum net worth and maximum debt to capitalization standards.

MediaAlpha Bank Facility
On May 12, 2017, MediaAlpha entered into a secured credit facility (the “MediaAlpha Bank“Ark LOC Facility”) with Western Alliancethree lenders, Lloyds Bank whichplc, National Westminster Bank plc and ING Bank N.V, London Branch to provide capital support for the Syndicates. As of March 31, 2021, the utilized level of the facility was $45.0 million, with the ability to increase to $150.0 million. The Ark LOC Facility has a total commitment of $20.0 million and has a maturitytermination date of May 12, 2020.  The MediaAlpha Bank Facility replaced MediaAlpha’s previous credit facility (the “Previous MediaAlpha Bank Facility”), which had a total commitment of $20.0 million. The MediaAlpha Bank Facility carries a variable interest rate that is based on the Prime Rate, as published by the Wall Street Journal, plus a spread of 1.5% on the term loan facility and 0.25% on the revolving credit facility as of September 30, 2017.
The MediaAlpha Bank Facility consists of a $5.0 million term loan facility, which has an outstanding balance of $3.4 million as of September 30, 2017, and a revolving loan facility for $15.0 million, which has an outstanding balance of $6.0 million as of September 30, 2017.December 31, 2025. During the ninethree months ended September 30, 2017, MediaAlpha borrowed $5.0 million on the term loan and $6.0 million on the revolving loanMarch 31, 2021, Ark did not borrow or make any repayments under the MediaAlpha Bank Facility. During the nine months ended September 30, 2017, MediaAlpha repaid $12.9 million under the Previous MediaAlpha Bank Facility and $1.6 million on the term loan under the MediaAlpha BankArk LOC Facility.
The MediaAlpha BankArk LOC Facility, which provides funds at Lloyd’s, is secured by intellectualall property andof the common stock of MediaAlpha’s subsidiaries,loan parties and contains various affirmative, negative and financial covenants that White Mountains considers to be customary for such borrowings, including a fixed charge coverageminimum tangible net worth covenant.



31

NSM Bank Facility

On April 7, 2020, NSM amended its secured credit facility (the “NSM Bank Facility”) with Ares Capital Corporation in connection with the acquisition of Kingsbridge. Under the amendment, the total commitment increased from $234.0 million, comprised of term loans of $224.0 million and a revolving credit loan of $10.0 million, to $291.4 million, comprised of term loans of $276.4 million, including £42.5 million (approximately $52.4 million based upon the foreign exchange spot rate as of the date of the transaction) in a GBP term loan, and a revolving credit loan commitment of $15.0 million. The term loans under the NSM Bank Facility mature on May 11, 2026, and the revolving loan matures on November 11, 2025.
Under GAAP, if the terms of a debt instrument are amended, unless there is greater than 10% change in the expected discounted future cash flows of such instrument, the instrument’s carrying value does not change. White Mountains has determined that the impact of the changes to the terms of the NSM Bank Facility on the expected discounted future cash flows was less than 10%.
Interest on the NSM Bank Facility accrues at a floating interest rate equal to the three-month LIBOR plus an applicable margin. In connection with the amendment, the reference rates for USD denominated borrowings increased. The USD-LIBOR rate floor increased to 1.25% and the margin over USD-LIBOR increased from a range of 4.25% to 4.75% to a range of 5.50% to 6.00%. For GBP denominated borrowings, the GBP-LIBOR rate floor is 1.25% and the margin over GBP-LIBOR ranges from 6.00% to 6.50%. The margins over the reference interest rates vary within the range depending on the consolidated total leverage ratio of NSM.
The following table presents the change in debt under the NSM Bank Facility for the three months ended March 31, 2021 and 2020:
NSM Bank FacilityThree Months Ended
March 31,
Millions20212020
Beginning balance$277.4 $221.3 
Term loans
Borrowings0 0 
Repayments(.7)(.6)
Foreign currency translation.6 0 
Revolving credit loan
Borrowings0 0 
Repayments0 0 
Ending balance$277.3 $220.7 
As of March 31, 2021, the term loans had an asset coverage ratio.outstanding balance of $277.3 million, including £42.5 million (approximately $58.2 million based upon the foreign exchange spot rate as of March 31, 2021) in a GBP term loan, and the revolving credit loan was undrawn.

On June 15, 2018, NSM entered into an interest rate swap agreement to hedge its exposure to interest rate risk on $151.0 million of its USD denominated variable rate term loans.
As of March 31, 2021, $147.2 million of the outstanding term loans were hedged by the swap and $130.1 million of the outstanding term loans were unhedged. The following table presents the NSM weighted average interest rate for the three months ended March 31, 2021 and 2020:

NSM Weighted Average Interest RateThree Months ended March 31,
20212020
MillionsWeighted Average
Interest Expense (1)
Weighted Average Interest rateWeighted Average
Interest Expense (1)
Weighted Average Interest rate
Term loan - hedged$147.6 $3.4 9.2 %$148.4 $3.0 8.1 %
Term loan - unhedged129.82.57.7 %72.61.26.6 %
Total NSM Facility$277.4 $5.9 8.5 %$221.0 $4.2 7.6 %
(1) Interest expense includes the amortization of debt issuance costs and the effect of the interest rate swap and excludes interest expense related to the Other NSM Debt.


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The NSM Bank Facility is secured by all property of the loan parties and contains various affirmative, negative and financial covenants that White Mountains considers to be customary for such borrowings, including a maximum consolidated total leverage ratio covenant.

Other NSM Debt

NSM also has a secured term loan related to its U.K. vertical. As of March 31, 2021, the secured term loan had an outstanding balance of $1.4 million and a maturity date of December 31, 2022.

Kudu Credit Facility and Kudu Bank Facility

On December 23, 2019, Kudu entered into a secured credit facility with Monroe Capital Management Advisors, LLC (the “Kudu Bank Facility”). On March 23, 2021, Kudu replaced the Kudu Bank Facility and entered into a secured revolving credit facility (the “Kudu Credit Facility”) with Massachusetts Mutual Life Insurance Company to fund new investments and related transaction expenses. The maximum borrowing capacity of the Kudu Credit Facility is $300.0 million, which includes the initial advanced amount of $102.0 million. The Kudu Credit Facility matures on March 23, 2036. During the three months ended March 31, 2021, Kudu borrowed $3.0 million and repaid the outstanding Kudu Bank Facility balance of $92.2 million. As of March 31, 2021, the Kudu Credit Facility had an undrawn balance of $198.0 million. Kudu may borrow undrawn balances within the initial three year availability period, subject to customary terms and conditions, to the extent the amount borrowed under the Kudu Credit Facility does not exceed 35% of the borrowing base, which is comprised of Kudu’s qualifying participation contracts (the “LTV percentage”). When considering White Mountains’s remaining equity commitment to Kudu, the available undrawn balance was $60.8 million as of March 31, 2021.
Interest on the Kudu Credit Facility accrues at a floating interest rate equal to the greater of the three-month USD-LIBOR and 0.25%, plus in each case, the applicable spread of 4.30%. The Kudu Credit Facility requires Kudu to maintain an interest reserve account, which is included in restricted cash. As of March 31, 2021, the interest reserve account is $3.9 million. The Kudu Credit Facility requires Kudu to maintain an LTV percentage of less than 50% in years 0-3, 40% in years 4-6, 25% in years 7-8, 15% in years 9-10, and 0% thereafter. As of March 31, 2021, Kudu has a 29.5% LTV.
The Kudu Credit Facility is secured by all property of the loan parties and contains various affirmative and negative covenants that White Mountains considers to be customary for such borrowings.

Other Operations Debt

As of March 31, 2021, debt in White Mountains’s Other Operations segment consisted of 2 secured credit facilities. The first credit facility has a maximum borrowing capacity of $16.3 million, which is comprised of a term loan of $11.3 million, a delayed-draw term loan of $3.0 million and a revolving credit loan commitment of $2.0 million, all with a maturity date of March 12, 2024. During the three months ended March 31, 2021, White Mountains’s Other Operations segment borrowed $0.3 million on the revolving credit loan and made repayments of $0.6 million on the term loans, under the first credit facility. As of March 31, 2021, the first credit facility had an outstanding balance of $8.8 million. The second credit facility has a maximum borrowing capacity of $15.0 million, which is comprised of a term loan of $9.0 million, a delayed-draw term loan of $4.0 million and a revolving credit loan commitment of $2.0 million, all with a maturity date of July 2, 2025. During the three months ended March 31, 2021, White Mountains’s Other Operations segment had no borrowings and made repayments of $0.2 million on the term loans under the second credit facility. As of March 31, 2021, the second credit facility had an outstanding balance of $8.7 million.

Compliance

At September 30, 2017,March 31, 2021, White Mountains was in compliance in all material respects with the covenants under all of its debt instruments.



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Note 6.8.  Income Taxes
 
The Company and its Bermuda domiciled subsidiaries are not subject to Bermuda income tax under current Bermuda law. In the event there is a change in the current law such thatand taxes are imposed, the Company and its Bermuda domiciled subsidiaries would be exempt from such tax until March 31, 2035, pursuant to the Bermuda Exempted Undertakings Tax Protection Act of 1966. The Company has subsidiaries and branches that operate in various other jurisdictions around the world that are subject to tax in the jurisdictions in which they operate.  The jurisdictions in which the Company’s subsidiaries and branches are subject to tax are Barbados, Gibraltar,Ireland, Israel, Luxembourg, the Netherlands, the United Kingdom and the United States.
In the first quarter of 2020, White Mountains’s incomeMountains adopted ASU 2019-12, Simplifying the Accounting for Income Taxes (ASC 740) (“ASU 2019-12”). For periods subsequent to the adoption of ASU 2019-12, White Mountains records both the tax benefitexpense related to pre-tax income from continuing operations forBAM’s MSC and the three and nine months ended September 30, 2017 represented effective tax rates of (47.6)% and (203.9)%. The effective tax rates were different from the U.S. statutory rate of 35%, primarily due to a fullrelated valuation allowance on all U.S. operations, asuch taxes through the non-controlling interest equity.  Prior to the adoption of ASU 2019-12, White Mountains recorded the tax benefit recorded at BAM and consolidated pre-tax income being near break-even.  For the three and nine months ended September 30, 2017, BAM had amounts recorded in shareholders’ equityexpense related to member surplus contributions that were availableBAM’s MSC directly to partially offset its loss from continuing operations.  As a result, fornon-controlling interest equity, while the three and nine months ended September 30, 2017, BAMvaluation allowance on such taxes was recorded a tax benefit of $2.1 million and $6.9 million in netthrough the income from continuing operations, with an offsetting amount recorded in shareholders’ equity.statement.
White Mountains’s income tax benefit related to pre-tax loss from continuing operations for the three and nine months ended September 30, 2016March 31, 2021 represented an effective tax ratesrate of (123.9)% and (31.2)%6.9%. The effective tax rates wererate was different from the U.S. statutory rate of 35%, primarily21.0% due to aincome generated in jurisdictions with lower tax rates than the United States.
White Mountains’s income tax benefit recorded at BAM and a $14.0 million tax benefit recognized in continuing operations related to the reversal of a valuation allowance that resulted from income that was recognized within discontinued operations. ASC 740 includes an exception to the general principle of intra-period tax allocations that requires a company with a current periodpre-tax loss from continuing operations to consider income recorded in other categories, including discontinued operations, in determining the tax benefit that is allocated to continuing operations. The valuation allowance reversal relates to a consolidated tax group within White Mountains that has a current period loss within continuing operations. Accordingly, the tax benefit resulting from the valuation allowance reversal was recorded in continuing operations with an offsetting tax expense for the same amount in discontinued operations. For the three and nine months ended September 30, 2016, BAM had amounts recorded in shareholders’ equity related to member surplus contributions that were available to partially offset its loss from continuing operations. As a result, for the three and nine months ended September 30, 2016, BAM recorded aMarch 31, 2020 represented an effective tax benefitrate of $3.3 million15.4%. The effective tax rate was different from the U.S. statutory rate of 21.0% due to income generated in jurisdictions with lower tax rates than the United States and $8.2 million in netstate income from continuing operations, with an offsetting amount recorded in shareholders’ equity.taxes.
In arriving at the effective tax rate for the three and nine months ended September 30, 2017March 31, 2021 and 2016,2020, White Mountains forecasted all income and expense items including the change in unrealized investment gains (losses) and realized investment gains (losses) for the years ending December 31, 20172021 and 2016.2020.
White Mountains records a valuation allowance against deferred tax assets if it becomes more likely than not that all or a portion of a deferred tax asset will not be realized. Changes in valuation allowances from period to period are included in income tax expense in the period of change. In determining whether or not a valuation allowance, or change therein, is warranted, White Mountains considers factors such as prior earnings history, expected future earnings, carryback and carryforward periods and strategies that if executed would result in the realization of a deferred tax asset.
In the second quarter of 2016, White Mountains recorded an increase in deferred tax assets of $0.6 million and a corresponding increase in valuation allowance of $0.6 million related to the settlement of the IRS audit of Guilford Holdings, Inc. and subsidiaries for tax year 2012.
With few exceptions, White Mountains is no longer subject to U.S. federal, state, or non-U.S. income tax examinations by
tax authorities for years before 2013.2015.



Note 7.9. Derivatives


Variable Annuity ReinsuranceNSM Interest Rate Swap
White Mountains
On June 15, 2018, NSM entered into agreementsan interest rate swap agreement to reinsure deathhedge its exposure to interest rate risk on $151.0 million of its USD denominated variable rate term loans under the NSM Bank Facility. Under the terms of the swap agreement, NSM pays a fixed-rate of 2.97% and living benefit guarantees associated with certainreceives a variable annuities in Japan. Duringrate, which is reset monthly, based on the third quarter of 2015, the variable annuity contracts reinsured by WM Life Re began to mature and were fully runoff by September 30, 2016. The reinsurance agreement was commuted in December 2016. WM Life Re was liquidated in the third quarter of 2017.
The following table summarizes the pre-tax operating results of WM Life Re for the three and nine months ended September 30, 2016.
  Three Months Ended Nine Months Ended
Millions September 30, 2016 September 30, 2016
Fees, included in other revenue $—
 $1.2
Change in fair value of variable annuity liability, included in other revenue —
 (.3)
Change in fair value of derivatives, included in other revenue —
 (2.0)
Foreign exchange, included in other revenue —
 1.4
Total revenue —
 .3
Death benefit claims paid, included in general and administrative expenses —
 (.3)
General and administrative expenses (.5) (2.4)
Pre-tax loss $(.5) $(2.4)
The following summarizes realized and unrealized derivative gains (losses) recognized in other revenue for the three and nine months ended September 30, 2016 and the carrying values, included in other assets, asthen-current USD-LIBOR. As of December 31, 20162020, the variable rate received by type of instrument:
  Gains (losses) Carrying Value
  Three Months Ended Nine Months Ended As of
Millions September 30, 2016 September 30, 2016 December 31, 2016
Fixed income/interest rate $—
 $1.8
 $—
Foreign exchange —
 (4.8) —
Equity —
 1.0
 —
Total $—
 $(2.0) $—

The following tables summarize the changes in White Mountains’s variable annuity reinsurance liabilities and derivative instruments for the nine months ended September 30, 2016.
  Nine Months Ended September 30, 2016
  
Variable Annuity
Liabilities
 Derivative Instruments
Millions Level 3 
Level 3 (1)
 
Level 2 (1)(2)
 
Level 1 (3)
 Total
Beginning of period $.3
 $2.7
 $16.5
 $.9
 $20.1
Purchases —
 —
 —
 —
 —
Realized and unrealized (losses) gains (.3) 2.9
 (.7) (4.2) (2.0)
Transfers in —
 —
 —
 —
 —
Sales/settlements —
 (5.6) (15.8) 3.3
 (18.1)
End of period $—
 $—
 $—
 $—
 $—
(1) Consists of over-the-counter instruments.
(2) Consists of interest rate swaps, total return swaps, foreign currency forward contracts, and bond forwards. Fair value measurement based upon bid/ask pricing quotes for similar instruments that are actively traded, where available.  Swaps for which an active market does not exist have been priced using observable inputs includingNSM under the swap curve and the underlying bond index.
(3) Consists of exchange traded equity index, foreign currency and interest rate futures. Fair value measurements based upon quoted prices for identical instruments that are actively traded.

All of White Mountains’s variable annuity reinsurance liabilities were classified as Level 3 measurements. The fair value of White Mountains’s variable annuity reinsurance liabilities were estimated using actuarial and capital market assumptions related to the projected discounted cash flows overagreement was 1.00%. Over the term of the reinsurance agreement. Actuarial assumptions regarding future policyholder behavior,swap, the notional amount decreases in accordance with the principal repayments NSM expects to make on its term loans.
As of March 31, 2021, $147.2 million of the outstanding term loans were hedged by the swap. For the three months ended March 31, 2021, the weighted average effective interest rate on the outstanding term loans that were hedged, including surrenderthe effect of the amortization of debt issuance costs and lapse rates, were generally unobservable inputsthe effect of the interest rate swap, was 9.2%.
NSM’s obligations under the swap are secured by the same collateral securing the NSM Bank Facility on a pari passu basis. NSM does not currently hold any collateral deposits from or provide any collateral deposits to the swap counterparty.
NSM evaluated the effectiveness of the swap to hedge its interest rate risk associated with its variable rate debt and significantly impactedconcluded at the swap inception date that the swap was highly effective in hedging that risk. NSM evaluates the effectiveness of the hedging relationship on an ongoing basis.
For the three months ended March 31, 2021 and 2020, White Mountains recognized net interest expense of $0.6 million and $0.5 million for the periodic net settlement payments on the swap. As of March 31, 2021 and December 31, 2020, the estimated fair value estimates. Generally,of the swap and the accrual of the periodic net settlement payments recorded in other liabilities associated with these guarantees increased with declineswas $7.2 million and $8.2 million. There was no ineffectiveness in the equity markets, interest rateshedge for the three months ended March 31, 2021 and currencies against2020. For the Japanese yen, as well as with increases in market volatilities. White Mountains used derivative instruments to mitigatethree months ended March 31, 2021 and 2020, the risks associated with changes$1.0 million and $(3.2) million change in the fair value of the reinsured variable annuity guarantees.swap is included within White Mountains’s accumulated other comprehensive income (loss).

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NSM Interest Rate Cap

On June 4, 2020, NSM entered into an interest rate cap agreement to limit its exposure to the risk of interest rate increases on the GBP denominated term loan under the NSM Bank Facility. The typesnotional amount of inputs usedthe interest rate cap is £42.5 million (approximately $52.4 million based upon the foreign exchange spot rate as of the date of the transaction) and the termination date is June 4, 2022. On August 18, 2020, NSM entered into a separate interest rate cap agreement to estimateextend the term of the original interest rate cap agreement by one year. The second interest rate cap agreement has an effective date of June 15, 2022 and a termination date of June 15, 2023.
NSM paid total initial premiums of approximately $0.1 million for the interest rate caps. Under the terms of the interest rate cap agreements, if the current GBP-LIBOR at the measurement date exceeds 1.25%, NSM will receive payments from the counterparty equal to the then-current GBP-LIBOR rate, less the 1.25% cap rate. As of March 31, 2021, the GBP-LIBOR rate was 0.09%.
NSM accounts for the interest rate caps as derivatives at fair value, with changes in fair value recognized in current period earnings within interest expense. For the three months ended March 31, 2021, White Mountains recognized a change in fair value of these derivative instruments, withless than $0.1 million on the exceptioninterest rate caps within interest expense. As of actuarial assumptions regarding policyholder behaviorMarch 31, 2021 and risk margins, were generallyDecember 31, 2020, the same as those used to estimate the fair value of variable annuity liabilities.

Forward Contracts
White Mountains’s investment portfolio includes certain investment grade fixed maturity investments denominated in British Pound Sterling (GBP) and common equity securities denominated in Japanese Yen (JPY), Euro (EUR), GBP and other foreign currencies. White Mountains has entered into foreign currency forward contracts to manage its foreign currency exposure related to these investments. The contracts do not meet the criteria to be accounted for as a hedge. White Mountains actively manages its net foreign currency exposure and adjusts its foreign currency positions within ranges established by senior management. Mismatches between currency driven movements in foreign denominated investments and foreign currency forward contracts may result in net foreign currency positions being outside pre-defined ranges and/or may result in net foreign currency gains/(losses). At September 30, 2017, White Mountains held $261.8 million (GBP 160.7 million, EUR 18.9 million and JPY 2,646.4 million) gross notional value of foreign currency forward contracts.
White Mountains’s foreign currency forward contracts are traded over-the-counter. Theestimated fair value of the contracts has been estimated using OTC quotes for similar instruments and accordingly, the measurements have been classified as Level 2 measurements as of September 30, 2017.
The net realized derivative loss recognized in net realized and unrealized investment gains (losses) for the three and nine months ended September 30, 2017 was $7.2 million and $8.9 million. The net unrealized derivative loss recognized in net realized and unrealized investment gains (losses) for the three and nine months ended September 30, 2017 was $2.8 million and $14.2 million. White Mountains’s forward contracts are subject to master netting agreements. As of September 30, 2017 and December 31, 2016, there were no offsets to the gross liability amount under the master netting agreement and the resulting net amount recognizedcaps recorded in other long-term investmentsassets was $15.4 million and $1.2less than $0.1 million.
White Mountains does not hold or provide any collateral under its forward contracts.  The following table summarizes the gross notional amount associated with the forward currency contracts as of September 30, 2017:
  September 30, 2017
Millions Notional Amount Carrying Value 
Standard & Poor's Rating (1)
Barclays Bank PLC $201.3
 $(14.1) A-
JP Morgan Chase Bank N.A. 60.5
 (1.3) A+
Total $261.8
 $(15.4)  
(1) Standard & Poor’s ratings as detailed above are: “A+” (Strong, which is the fifth highest of twenty-three creditworthiness ratings) and “A-” (Strong, which is the seventh highest of twenty-three creditworthiness ratings).


Note 8.10. Municipal Bond Guarantee Insurance


In 2012, HG Global was capitalized with $594.5 million from White Mountains and $14.5 million from non-controlling interestsestablished to fund the startup of BAM, a newly formed mutual municipal bond insurer. As of September 30, 2017,insurer, and, through HG Re, to provide up to 15%-of-par, first loss reinsurance protection for policies underwritten by BAM. At inception in 2012, HG Global was capitalized with $594.5 million from White Mountains owned 96.9% of HG Global’s preferred equity and 88.4% of its common equity.$14.5 million from non-controlling interests. HG Global, together with its subsidiaries, provided the initial capitalization of BAM through the purchase of $503.0$503.0 million of BAM Surplus Notes. ThroughAs of March 31, 2021, White Mountains owned 96.9% of HG Global’s preferred equity and 88.4% of its common equity.

Reinsurance Treaties

FLRT
BAM is a party to a first loss reinsurance treaty (“FLRT”) with HG Re under which HG GlobalRe provides first loss protection up to 15%-of-par outstanding on each municipal bond insured by BAM. For capital appreciation bonds, par is adjusted to the estimated equivalent par value for current interest paying bonds. In return, BAM cedes up to 60% of the risk premium charged for insuring the municipal bond, which is net of a ceding commission. The FLRT is a perpetual agreement, with an initial term through the end of 2022.

Fidus Re
BAM is party to two collateralized financial guarantee excess of loss reinsurance agreements thats serve to increase BAM’s claims paying resources and are provided by Fidus Re, a Bermuda based special purpose insurer created in 2018 solely to provide reinsurance protection for policies underwrittento BAM.
In the second quarter of 2018, Fidus Re was initially capitalized by BAMthe issuance of up to 15%$100.0 million of par outstanding, oninsurance linked securities (the “Fidus Re 2018 Agreement”. The proceeds from issuance were placed in a per policy basis. HGcollateral trust supporting Fidus Re’s obligations to BAM. The insurance linked securities were issued by Fidus Re with an initial term of 12 years and are callable five years after the date of issuance. Under the Fidus Re 2018 Agreement, Fidus Re reinsures 90% of aggregate losses exceeding $165.0 million on a portion of BAM’s financial guarantee portfolio (the “2018 Covered Portfolio”) up to a total reimbursement of $100.0 million. The Fidus Re 2018 Agreement does not provide coverage for losses in excess of $276.1 million. The 2018 Covered Portfolio consists of approximately 41% of BAM’s portfolio of financial guaranty policies issued through March 31, 2021.
In the first quarter of 2021, Fidus Re issued an additional $150.0 million of insurance linked securities (the “Fidus Re 2021 Agreement”) with an initial term of 12 years and are callable five years after the date of issuance. Under the Fidus Re 2021 Agreement, Fidus Re reinsures 90% of aggregate losses exceeding $135.0 million on a portion of BAM’s financial guarantee portfolio (the “2021 Covered Portfolio”) up to a total reimbursement of $150.0 million. The Fidus Re 2021 Agreement does not provide coverage for losses in excess of $301.7 million. The 2021 Covered Portfolio consists of approximately 41% of BAM’s portfolio of financial guaranty policies issued through March 31, 2021.
The Fidus Re Agreements are accounted for using deposit accounting and any related financing expenses are recorded in general and administrative expenses as they do not meet the risk transfer requirements necessary to be accounted for as reinsurance.


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XOLT
In January 2020, BAM are collateralizedentered into an excess of loss reinsurance agreement (the “XOLT”) with HG Re. Under the XOLT, HG Re provides last dollar protection for exposures on municipal bonds insured by BAM in trusts, and thereexcess of NYDFS single issuer limits. The XOLT is subject to an aggregate loss limit that is equal to the totallesser of $75.0 million or the assets held in the collateral trustsSupplemental Trust at any point in time.
For the three The agreement is accounted for using deposit accounting and nine months ended September 30, 2017, HG Global had pre-tax income of $7.0 million and $20.3 million, which included $4.8 million and $14.3 million of interest income on the BAM Surplus Notes. For the three and nine months ended September 30, 2016, HG Global had pre-tax income of $5.2 million and $18.4 million, which included $4.5 million and $13.4 million of interest income on the BAM Surplus Notes.
For the three and nine months ended September 30, 2017, White Mountains reported pre-tax losses of $11.9 million and $35.6 million on BAM that wereany related financing expenses are recorded in net loss attributablegeneral and administrative expenses as the agreement does not meet the risk transfer requirements necessary to non-controlling interests, which included $4.8 millionbe accounted for as reinsurance.

Collateral Trusts

HG Re’s obligations under the FLRT are limited to the assets in two collateral trusts: a Regulation 114 Trust and $14.3 million of interest expense ona supplemental collateral trust (the “Supplemental Trust” and together with the BAM Surplus Notes. ForRegulation 114 Trust, the three and nine months ended September 30, 2016, White Mountains reported pre-tax losses of $13.7 million and $30.3 million on BAM that were recorded in net loss attributable“Collateral Trusts”). Losses required to non-controlling interests, which included $4.5 million and $13.4 million of interest expense onbe reimbursed under the BAM Surplus Notes.
Effective January 1, 2014, HG Global and BAM agreedFLRT are subject to change the interest rate on the BAM Surplus Notes for the five years ending December 31, 2018 from a fixed rate of 8.0% to a variable ratean aggregate limit equal to the one-year U.S. treasury rate plus 300 basis points, set annually, which is 3.54%assets held in the Collateral Trusts at any point in time.
At inception, the Supplemental Trust contained the original $300.0 million of Series B Notes and 3.78% for 2016$100.0 million of cash and 2017. Prior to the end of 2018, BAM has the option to extend the variable rate period for an additional three years.  At the end of the variable rate period, the interest rate will be fixed at the higher of the then current variable rate or 8.0%. No payment of interest or principal on the BAM Surplus Notes may be made without the approval of the New York State Department of Financial Services. BAM has stated its intention to seek regulatory approval to pay interest and principal on its surplus notes only to the extent that (1) its remaining qualified statutory capital (“QSC”) exceeds $500 million and (2) its remaining QSC and other capital resources continue to support its outstanding obligations, business plan and its AA stable rating from S&P.
income securities. During the second quarter of 2017, in order to further support BAM’s long-term capital position and business prospects, HG Global agreed to contribute the original $203.0 million of Series A BAM Surplus Notes (“Series A Notes”) into the supplemental collateral trust (the “Supplemental Trust”) at HG Re, HG Global’s wholly owned reinsurance subsidiary. The Supplemental Trust already holdsTrust. In connection with the $300.0 million Series B BAM Surplus Notes (“Series B Notes” and, collectively withcontribution, the Series A Notes were merged into the “BAM Surplus Notes”Series B Notes.
On a monthly basis, BAM deposits cash equal to ceded premiums, net of ceding commissions, due to HG Re under the FLRT directly into the Regulation 114 Trust. The Regulation 114 Trust target balance is equal to gross ceded unearned premiums and unpaid ceded loss and LAE expenses, if any. If, at the end of any quarter, the Regulation 114 Trust balance is below the target balance, funds will be withdrawn from the Supplemental Trust and deposited into the Regulation 114 Trust in an amount equal to the shortfall. If, at the end of any quarter, the Regulation 114 Trust balance is above 102% of the target balance, funds will be withdrawn from the Regulation 114 Trust and deposited into the Supplemental Trust. The Regulation 114 Trust balance as of March 31, 2021 and December 31, 2020 was $221.2 million and $222.8 million.
The Supplemental Trust target balance is $603.0 million, less the amount of cash and securities in the Regulation 114 Trust in excess of its target balance (the “Supplemental Trust Target Balance”). Assets heldIf, at the end of any quarter, the Supplemental Trust balance exceeds the Supplemental Trust Target Balance, such excess may be distributed to HG Re. The distribution will be made first as an assignment of accrued interest on the BAM Surplus Notes and second in cash and/or fixed income securities.
As the BAM Surplus Notes are repaid over time, the BAM Surplus Notes will be replaced in the Supplemental Trust serveby cash and fixed income securities. The Supplemental Trust balance as of March 31, 2021 and December 31, 2020 was $597.9 million and $604.3 million.
As of March 31, 2021 and December 31, 2020, the Collateral Trusts held assets of $819.1 million and $827.1 million, which included $427.9 million and $434.5 million of cash and investments, $388.2 million and $388.2 million of BAM Surplus Notes and $3.0 million and $4.4 million of interest receivable on the BAM Surplus Notes.

BAM Surplus Notes

Through 2024, the interest rate on the BAM Surplus Notes is a variable rate equal to collateralize HG Re’s obligations tothe one-year U.S. Treasury rate plus 300 basis points, set annually. During 2021, the interest rate on the BAM underSurplus Notes is 3.1%. Beginning in 2025, the first loss reinsurance treaty between BAM and HG Re. HG Global and BAM also agreed to changeinterest rate will be fixed at the payment termshigher of the Series Bthen current variable rate or 8.0%. BAM is required to seek regulatory approval to pay interest and principal on the BAM Surplus Notes soonly to the extent that payments will reduceits remaining qualified statutory capital and other capital resources continue to support its outstanding obligations, its business plan and its “AA/stable” rating from Standard & Poor’s. No payment of principal and accruedor interest on a pro rata basis, consistent with the payment terms onBAM Surplus Notes may be made without the Series A Notes. The termsapproval of the Series B Notes had previously stipulated that payments would first reduce interest owed, then reduce principal owed once all accrued interest had been paid. The New York Department of Financial Services approved the change during the third quarter of 2017.
During the second quarter of 2017, HG Global and BAM also made certain changes to the ceding commission arrangements under the reinsurance treaty between HG Re and BAM. These changes will accelerate growth in BAM’s statutory capital but will not impact the net risk premium ceded from BAM to HG Re. 

NYDFS.
Under GAAP, if the terms of a debt instrument are amended, unless there is a greater than a 10% change in the expected discounted future cash flows of such instrument, a change in the instrument’s carrying value isdoes not permitted.change. White Mountains has determined that the impact of the changes made in the second quarter of 2017 to the terms of the BAM Surplus Notes on the expected discounted future cash flows is not greaterwas less than 10%.
AllIn December 2020, BAM made a $30.1 million cash payment of the contracts issued by BAM are accounted for as insurance contracts under ASC 944-605, Financial Guarantee Insurance Contracts. Premiums are received upfrontprincipal and an unearned premium revenue liability, equal to the amount of the cash received, is established at contract inception. Premium revenues are recognized in revenue over the period of the contracts in proportion to the amount of insurance protection provided using a constant rate. The constant rate is calculated basedinterest on the relationship betweenBAM Surplus Notes held by HG Global. Of this payment, $21.5 million was a repayment of principal held in the par outstandingSupplemental Trust, $0.2 million was a payment of accrued interest held inside the Supplemental Trust and $8.4 million was a payment of accrued interest held outside the Supplemental Trust.
In January 2020, BAM made a one-time $65 million cash payment of principal and interest on the BAM Surplus Notes held by HG Global. Of this payment, $47.9 million was a repayment of principal held in the Supplemental Trust, $0.9 million was a given reporting period compared withpayment of accrued interest held inside the sumSupplemental Trust and $16.2 million was a payment of eachaccrued interest held outside the Supplemental Trust.
As of March 31, 2021 and December 31, 2020, the par amounts outstandingprincipal balance on the BAM Surplus Notes for all periods.both periods was $388.2 million and total interest receivable on the BAM Surplus Notes was $158.8 million and $155.7 million.

36

Insured Obligations and Premiums

The following table providespresents a schedule of BAM’s insured obligations:obligations as of March 31, 2021 and December 31, 2020:
March 31, 2021December 31, 2020
Contracts outstanding11,252 10,997 
Remaining weighted average contract period outstanding (in years)10.610.7
Contractual debt service outstanding (in millions):
Principal$77,689.3 $75,287.7 
Interest36,710.5 36,448.8 
Total debt service outstanding$114,399.8 $111,736.5 
Gross unearned insurance premiums (in millions)$243.7 $237.5 
  September 30, 2017 December 31, 2016
Contracts outstanding 5,907
 4,807
Remaining weighted average contract period outstanding (in years) 10.9
 10.8
Contractual debt service outstanding (in millions):    
  Principal $39,207.5
 $33,057.3
  Interest 19,681.0
 16,396.6
  Total debt service outstanding $58,888.5
 $49,453.9
     
Gross unearned insurance premiums $118.5
 $82.9


The following table ispresents a schedule of BAM’s future premium revenues as of March 31, 2021:
MillionsMarch 31, 2021
April 1, 2021 - December 31, 2021$17.6 
January 1, 2022 - March 31, 20225.7 
April 1, 2022 - June 30, 20225.6 
July 1, 2022 - September 30, 20225.6 
October 1, 2022 - December 31, 20225.4 
     Total 202222.3 
202321.0 
202419.4 
202518.0 
202616.6 
2027 and thereafter128.8 
Total gross unearned insurance premiums$243.7 

The following table presents a schedule of written premiums and earned premiums included in White Mountains’s HG Global/BAM segment for the three months ended March 31, 2021 and 2020:
Three Months Ended March 31,
Millions20212020
Written premiums:
Direct$8.0 $9.7 
Assumed4.5 0 
Gross written premiums$12.5 $9.7 
Earned premiums:
Direct$5.3 $4.5 
Assumed1.1 .9 
Gross earned premiums$6.4 $5.4 

In November 2018, BAM entered into a 100% facultative quota share reinsurance agreement under which it assumed a portfolio of municipal bond guarantee contracts with a par value of $2.2 billion.
In September 30, 2017:2019, BAM entered into facultative quota share reinsurance agreements under which it assumed a portfolio of municipal bond guarantee contracts with a par value of $1.1 billion. In the second quarter of 2020, BAM assumed an additional municipal bond guarantee contract with a par value of $36.9 million through an endorsement to the facultative quota share reinsurance agreement.
37

Millions September 30, 2017
October 1, 2017 - December 31, 2017 $2.5
   
January 1, 2018 - March 31, 2018 2.5
April 1, 2018 - June 30, 2018 2.5
July 1, 2018 - September 30, 2018 2.5
October 1, 2018 - December 31, 2018 2.4
  9.9
   
2019 9.5
2020 9.2
2021 8.7
2022 and thereafter 78.7
Total gross unearned insurance premiums $118.5
In January 2021, BAM entered into a 100% facultative quota share reinsurance agreement under which it assumed a portfolio of municipal bond guarantee contracts with a par value of $0.8 billion.

None of the contracts assumed were non-performing and no loss reserves have been established for any of the contracts, either as of the transaction dates or as of March 31, 2021. The agreements, which cover future claims exposure only, meet the risk transfer criteria under ASC 944-20, Insurance Activities and accordingly have been accounted for as reinsurance.


Note 9.11. Earnings Per Share
 
White Mountains calculates earnings per share using the two-class method, which allocates earnings between common shares and unvested restricted common shares. Both classes of shares participate equally in dividends and earnings on a per share basis. Basic earnings per share amounts are based on the weighted average number of common shares outstanding adjusted for unvested restricted common shares. Diluted earnings per share amounts are also impacted by the net effect of potentially dilutive common shares outstanding.
The following table outlinespresents the Company’s computation of earnings per share from continuing operations for the three and nine months ended September 30, 2017March 31, 2021 and 2016.2020. See Note 1519 — “Held for Sale and Discontinued Operations”.
Three Months Ended
 March 31,
 20212020
Basic and diluted loss per share numerators (in millions):
Net loss attributable to White Mountains’s
   common shareholders		$(75.3)$(128.8)
Less: total income from discontinued operations, net of tax18.7 .9 
Net loss from continuing operations attributable to
   White Mountains’s common shareholders		$(94.0)$(129.7)
Allocation of losses to participating restricted common shares(1)
.9 1.3 
Basic and diluted losses per share numerators$(93.1)$(128.4)
Basic loss per share denominators (in thousands):
Total average common shares outstanding during the period3,100.2 3,178.0 
Average unvested restricted common shares(2)
(32.4)(33.8)
Basic losses per share denominator3,067.8 3,144.2 
Diluted loss per share denominator (in thousands):
Total average common shares outstanding during the period3,100.2 3,178.0 
Average unvested restricted common shares(2)
(32.4)(33.8)
Diluted losses per share denominator3,067.8 3,144.2 
Basic and diluted losses per share (in dollars) - continuing operations:
Distributed earnings - dividends declared and paid$1.00 $1.00 
Undistributed losses(31.33)(41.82)
Basic and diluted losses per share$(30.33)$(40.82)
  Three Months Ended Nine Months Ended
  September 30, September 30,
  2017 2016 2017 2016
Basic and diluted earnings per share numerators (in millions):      
  
Net income attributable to White Mountains’s common shareholders $562.1
 $90.8
 $604.7
 $440.7
    Less: total income from discontinued operations, net of tax (539.1) (84.4) (573.2) (515.4)
Net income (loss) from continuing operations attributable to
White Mountains’s common shareholders
 $23.0
 $6.4
 $31.5
 $(74.7)
Allocation of earnings to participating restricted common shares(1)
 (.3) (.1) (.4) .8
Basic and diluted earnings per share numerators $22.7
 $6.3
 $31.1
 $(73.9)
Basic earnings per share denominators (in thousands):        
Total average common shares outstanding during the period 4,297.2
 4,867.4
 4,477.0
 5,166.6
Average unvested restricted common shares(2)
 (53.7) (68.1) (54.5) (62.9)
Basic earnings per share denominator 4,243.5
 4,799.3
 4,422.5
 5,103.7
Diluted earnings per share denominator (in thousands):        
Total average common shares outstanding during the period(3)
 4,297.2
 4,879.4
 4,477.0
 5,174.8
Average unvested restricted common shares(2)
 (53.7) (68.1) (54.5) (62.9)
Diluted earnings per share denominator(3)
 4,243.5
 4,811.3
 4,422.5
 5,111.9
Basic earnings per share (in dollars) - continuing operations:        
Net income (loss) attributable to White Mountains’s common shareholders $5.36
 $1.31
 $7.03
 $(14.47)
Dividends declared and paid —
 —
 (1.00) (1.00)
Undistributed earnings (loss) $5.36
 $1.31
 $6.03
 $(15.47)
Diluted earnings per share (in dollars) - continuing operations:        
Net income (loss) attributable to White Mountains’s common shareholders $5.36
 $1.31
 $7.03
 $(14.47)
Dividends declared and paid —
 —
 (1.00) (1.00)
Undistributed earnings (loss) $5.36
 $1.31
 $6.03
 $(15.47)
(1) Restricted shares issued by White Mountains receive dividends, and therefore, are considered participating securities.
(2) Restricted shares outstanding vest either in equal annual installments or upon a stated date. See Note 1312 — “Employee Share-Based Incentive Compensation Plans”.
(3) The diluted earnings per share denominator for the three and nine months ended September 30, 2016 includes the impact of 120,000 common shares issuable upon exercise of the non-qualified options outstanding, which resulted in 11,943 and 8,208 incremental shares outstanding over the period.



38









The following table summarizespresents the undistributed net earnings (loss)(losses) from continuing operations for the three and nine months ended September 30, 2017March 31, 2021 and 2016.2020. See Note 1519 — “Held for Sale and Discontinued Operations”.

Three Months Ended
 March 31,
Millions20212020
Undistributed net losses - continuing operations:
Net loss attributable to White Mountains’s common shareholders,
     net of restricted common share amounts		$(93.1)$(128.4)
Dividends declared, net of restricted common share amounts (1)
(3.1)(3.1)
Total undistributed net losses, net of restricted common share amounts$(96.2)$(131.5)
  Three Months Ended Nine Months Ended
  September 30, September 30,
Millions 2017 2016 2017 2016
Undistributed net earnings - continuing operations:        
Net income (loss) attributable to White Mountains’s common shareholders,
     net of restricted common share amounts
 $22.7
 $6.3
 $31.1
 $(73.9)
Dividends declared net of restricted common share amounts (1)
 —
 —
 (4.5) (5.9)
Total undistributed net earnings (loss), net of restricted common
     share amounts
 $22.7
 $6.3
 $26.6
 $(79.8)
(1) Restricted shares issued by White Mountains receive dividends, and are therefore are considered participating securities.


Note 10. Non-controlling Interests12. Employee Share-Based Incentive Compensation Plans

White Mountains’s Long-Term Incentive Plan (the “WTM Incentive Plan”) provides for grants of various types of share-based and non-share-based incentive awards to key employees of White Mountains. As of March 31, 2021, White Mountains’s share-based compensation incentive awards consist of performance shares and restricted shares.

Performance Shares

Performance shares are designed to reward employees for meeting company-wide performance targets. Performance shares are conditional grants of a specified maximum number of common shares or an equivalent amount of cash. Awards generally vest at the end of a three-year service period, are subject to the attainment of pre-specified performance goals, and are valued based on the market value of common shares at the time awards are paid. Performance shares earned under the WTM Incentive Plan are typically paid in cash but may be paid in common shares. Compensation expense is recognized for the vested portion of the awards over the related service periods. The level of payout ranges from 0 to 2 times the number of shares initially granted, depending on White Mountains’s financial performance. Performance shares become payable at the conclusion of a performance cycle (typically 3 years) if pre-defined financial targets are met. The performance measures used for determining performance share payouts are growth in White Mountains’s adjusted book value per share and intrinsic value per share. Intrinsic value per share is generally calculated by adjusting adjusted book value per share for differences between the adjusted book value of certain assets and liabilities and White Mountains’s estimate of their underlying intrinsic values.
The following table detailspresents the balanceperformance share activity for the three months ended March 31, 2021 and 2020 for performance shares granted under the WTM Incentive Plan:
 Three Months Ended March 31,
 20212020
Millions, except share amountsTarget Performance
Shares Outstanding		Accrued
Expense		Target Performance
Shares Outstanding		Accrued
Expense
Beginning of period42,458 $56.3 42,473 $43.7 
Shares paid (1)
(14,117)(34.6)(14,070)(27.7)
New grants13,000 0 14,055 0 
Forfeitures and
  cancellations(2)
(557).4 0 .4 
Expense recognized0 16.1 0 (6.6)
End of period40,784 $38.2 42,458 $9.8 
(1) WTM performance share payments in 2021 for the 2018-2020 performance cycle, which were paid in cash in March 2021 at 200% of non-controlling interests includedtarget.  WTM performance share payments in 2020 for the 2017-2019 performance cycle, which were paid in cash in March 2020, ranged from 174% to 180% of target. 
(2) Amounts include changes in assumed forfeitures, as required under GAAP.

39

During the three months ended March 31, 2021, White Mountains granted 13,000 performance shares for the 2021-2023 performance cycle. During the three months ended March 31, 2020, White Mountains granted 14,055 performance shares for the 2020-2022 performance cycle.
All performance shares earned were settled in cash. If all the outstanding WTM performance shares had vested on March 31, 2021, the total additional compensation cost to be recognized would have been $38.1 million, based on accrual factors (common share price and payout assumptions) as of March 31, 2021.
The following table presents performance shares outstanding and accrued expense for performance shares awarded under the WTM Incentive Plan as of March 31, 2021 for each performance cycle:
Three Months Ended March 31, 2021
Millions, except share amountsTarget Performance
Shares Outstanding		Accrued
Expense
Performance cycle:  
2019 – 202114,850 $24.9 
2020 – 202213,555 12.7 
2021 – 202313,000 1.2 
Sub-total41,405 38.8 
Assumed forfeitures(621)(.6)
March 31, 202140,784 $38.2 

Restricted Shares

Restricted shares are grants of a specified number of common shares that generally vest at the end of a 34-month service period. The following table presents the unrecognized compensation cost associated with the outstanding restricted share awards for the three months ended March 31, 2021 and 2020:
 Three Months Ended March 31,
 20212020
Millions, 
except share amounts
Restricted
Shares		Unamortized Issue Date
Fair Value		Restricted
Shares		Unamortized Issue Date
Fair Value
Non-vested,    
Beginning of period43,105 $15.2 43,395 $16.7 
Issued13,000 15.6 14,055 15.1 
Vested(17,717)0 (14,345)0 
Forfeited(583)(.6)0 0 
Expense recognized0 (4.0)0 (5.2)
End of period37,805 $26.2 43,105 $26.6 

During the three months ended March 31, 2021, White Mountains issued 13,000 restricted shares that vest on January 1, 2024. During the three months ended March 31, 2020, White Mountains issued 14,055 restricted shares that vest on January 1, 2023. The unamortized issue date fair value as of March 31, 2021 is expected to be recognized ratably over the remaining vesting periods. 
40

Note 13. Leases

White Mountains has entered into lease agreements, primarily for office space. These leases are classified as operating leases, with lease expense recognized on a straight-line basis over the term of the lease. Lease incentives, such as free rent or landlord reimbursements for leasehold improvements, are recognized at lease inception and amortized on a straight-line basis over the term of the lease. Lease expense and the amortization of leasehold improvements are recognized within general and administrative expenses. Lease payments related to options to extend or renew the lease term are excluded from the calculation of lease liabilities unless White Mountains is reasonably certain of exercising those options.
As of March 31, 2021 and December 31, 2020, the right of use (“ROU”) asset was $40.3 million and $37.6 million and lease liabilities were $41.0 million and $38.3 million.
The following table summarizes net lease expense recognized in White Mountains’s total equityconsolidated statement of operations for the three months ended March 31, 2021 and 2020:
MillionsThree Months Ended March 31,
Lease Cost20212020
Lease cost$1.9 $2.0 
Less: sublease income.1 .1 
Net lease cost$1.8 $1.9 

The following table presents the related percentagecontractual maturities of each consolidated entity’s total equity owned by non-controlling shareholdersthe lease liabilities associated with White Mountains’s operating lease agreements as of September 30, 2017March 31, 2021:
MillionsAs of March 31, 2021
Remainder of 2021$5.7 
20229.8 
20238.5 
20247.1 
20255.4 
Thereafter12.2 
Total undiscounted lease payments48.7 
Less: present value adjustment7.7 
Operating lease liability$41.0 

41

The following tables present lease related assets and liabilities by reportable segment as of March 31, 2021 and December 31, 2016:2020:
As of March 31, 2021
MillionsHG/BAMArkNSMKuduOther OperationsTotal
Weighted Average Incremental Borrowing Rate (1)
ROU lease asset$9.6 $4.9 $16.0 $2.0 $7.8 $40.3 4.8%
Lease liability$9.6 $4.9 $16.0 $2.0 $8.5 $41.0 
(1) The present value of the remaining lease payments was determined by discounting the lease payments using the incremental borrowing rate.
As of December 31, 2020
MillionsHG/BAMNSMKuduOther OperationsTotal
Weighted Average Incremental Borrowing Rate (1)
ROU lease asset$10.1 $17.1 $2.0 $8.4 $37.6 4.6%
Lease liability$10.1 $17.1 $2.0 $9.1 $38.3 
(1) The present value of the remaining lease payments was determined by discounting the lease payments using the incremental borrowing rate.

  September 30, 2017 December 31, 2016
$ in millions Non-controlling Percentage Non-controlling Equity Non-controlling Percentage Non-controlling Equity
OneBeacon Ltd. —% $—
 23.9% $244.6
  

 

 

 

Other, excluding mutuals and reciprocals        
HG Global 3.1
 16.1
 3.1
 16.6
MediaAlpha 40.0
 9.5
 40.0
 11.7
Buzzmove 22.9
 3.0
 29.1
 2.9
Wobi 5.0
 —
 5.0
 .1
Dewar (1)
 —
 —
 18.8
 3.9
Total other, excluding mutuals and reciprocals   28.6
   35.2
Mutuals and reciprocals        
BAM 100.0
 (160.2) 100.0
 (150.9)
SSIE —
 —
 100.0
 4.4
Total mutuals and reciprocals   (160.2)   (146.5)
Total non-controlling interests 

 $(131.6)   $133.3
(1) Dewar is a subsidiary of OneBeacon.


Note 11.14. Non-controlling Interests

Non-controlling interests consist of the ownership interests of non-controlling shareholders in consolidated entities and are presented separately on the balance sheet.
The following table presents the balance of non-controlling interests included in White Mountains’s total equity and the related percentage of each consolidated entity’s total equity owned by non-controlling shareholders as of March 31, 2021 and December 31, 2020:
 March 31, 2021December 31, 2020
$ in MillionsNon-controlling PercentageNon-controlling EquityNon-controlling PercentageNon-controlling Equity
Non-controlling interests, excluding BAM
HG Global3.1 %$11.6 3.1 %$13.5 
Ark28.0 %211.0 0 %0 
NSM3.4 %16.0 3.4 %17.0 
Kudu.7 %2.3 .7 %2.3 
Othervarious2.0 various2.4 
Total, excluding BAM242.9 35.2 
BAM100.0 %(132.9)100.0 %(123.3)
Total non-controlling interests$110.0 $(88.1)

42

Note 15. Segment Information
 
As of March 31, 2021, White Mountains has determined thatconducted its reportable segments areoperations through 5 segments: (1) HG Global/BAM, MediaAlpha(2) Ark, (3) NSM, (4) Kudu and (5) Other Operations. A discussion of White Mountains’s consolidated investment operations is included after the discussion of operations by segment.
As a result of the Sirius Group and Tranzact sales and the OneBeaconArk Transaction, the resultsWhite Mountains began consolidating Ark in its financial statements as of operations for Sirius Group and OneBeacon, previously reported in their own respective segments, and Tranzact, previously reported in the Other Operations segment, have been classified as discontinued operations and are now presented, net of related income taxes, as such in the statement of operations and comprehensive income. Beginning in the second quarter of 2017, MediaAlpha’s results have been presented as a separate segment within White Mountains’s consolidated financial statements. Prior year amounts have been reclassified to conform to the current period’s presentation. See Note 15 — “Held for Sale and Discontinued Operations”.January 1, 2021.
White Mountains has made its segment determination based on consideration of the following criteria: (i) the nature of the business activities of each of the Company’s subsidiaries and affiliates; (ii) the manner in which the Company’s subsidiaries and affiliates are organized; (iii) the existence of primary managers responsible for specific subsidiaries and affiliates; and (iv) the organization of information provided to the chief operating decision makers and the Board of Directors.
Significant intercompany transactions among White Mountains’s segments have been eliminated herein. Financial
The following tables present the financial information for White Mountains’s segments follows:segments:
MillionsHG Global/ BAMArkNSM
Kudu
Other OperationsTotal
Three Months Ended March 31, 2021
Earned insurance premiums$6.4 $104.6 $0 $0 $0 $111.0 
Net investment income4.5 .8 0 8.2 7.1 20.6 
Net realized and unrealized investment
   (losses) gains		(17.9)1.1 0 15.8 2.1 1.1 
Net realized and unrealized investment
   losses from investment in MediaAlpha		0 0 0 0 (41.7)(41.7)
Commission revenues0 0 59.6 0 2.3 61.9 
Other revenue.3 2.6 15.2 .1 7.1 25.3 
     Total revenues(6.7)109.1 74.8 24.1 (23.1)178.2 
Loss and loss adjustment expenses0 66.0 0 0 0 66.0 
Insurance acquisition expenses1.9 36.7 0 0 0 38.6 
Cost of sales0 0 0 0 4.0 4.0 
General and administrative expenses16.4 37.8 46.0 2.5 35.7 138.4 
Broker commission expense0 0 18.9 0 0 18.9 
Change in fair value of contingent
    consideration earnout liabilities		0 0 0 0 0 0 
Amortization of other intangible assets0 0 8.6 .1 .5 9.2 
Loss on assets held for sale0 0 28.7 0 0 28.7 
Interest expense0 1.1 5.9 5.8 .3 13.1 
     Total expenses18.3 141.6 108.1 8.4 40.5 316.9 
Pre-tax (loss) income$(25.0)$(32.5)$(33.3)$15.7 $(63.6)$(138.7)
43

  HG Global/BAM      
Millions HG Global 
BAM(1)
 MediaAlpha Other Operations Total
Three Months Ended September 30, 2017          
Earned insurance premiums $1.8
 $.6
 $—
 $—
 $2.4
Net investment income 1.0
 2.3
 —
 8.9
 12.2
Net investment income (loss) - BAM Surplus Note interest 4.8
 (4.8) —
 —
 —
Net realized and unrealized investment gains .1
 .7
 —
 31.7
 32.5
Advertising and commission revenues —
 —
 37.9
 .9
 38.8
Other revenue —
 .2
 —
 1.4

1.6
     Total revenues 7.7
 (1.0) 37.9
 42.9
 87.5
Insurance acquisition expenses .4
 .5
 —
 —
 .9
Other underwriting expenses —
 .1
 —
 —
 .1
Cost of sales —
 —
 32.2
 .9
 33.1
General and administrative expenses .3
 10.3
 6.1
 27.4

44.1
Interest expense —
 —
 .1
 .8
 .9
     Total expenses .7
 10.9
 38.4
 29.1
 79.1
Pre-tax income (loss) $7.0
 $(11.9) $(.5) $13.8
 $8.4

MillionsHG Global/ BAMNSMKuduOther OperationsTotal
Three Months Ended March 31, 2020
Earned insurance premiums$5.4 $0 $0 $0 $5.4 
Net investment income5.5 0 7.3 10.1 22.9 
Net realized and unrealized investment gains
   (losses)		6.1 0 (24.8)(168.0)(186.7)
Net unrealized investment gains from
investment in MediaAlpha
0 0 0 30.0 30.0 
Commission revenues0 53.0 0 2.1 55.1 
Other revenue.5 12.0 .1 1.5 14.1 
     Total revenues17.5 65.0 (17.4)(124.3)(59.2)
Insurance acquisition expenses1.7 0 0 0 1.7 
Cost of sales0 0 0 2.0 2.0 
General and administrative expenses14.7 39.6 2.5 17.5 74.3 
Broker commission expense0 18.3 0 0 18.3 
Change in fair value of contingent
     consideration earnout liabilities		0 (.6)0 0 (.6)
Amortization of other intangible assets0 4.8 .1 .2 5.1 
Interest expense0 4.3 1.4 .3 6.0 
     Total expenses16.4 66.4 4.0 20.0 106.8 
Pre-tax income (loss)$1.1 $(1.4)$(21.4)$(144.3)$(166.0)

In compliance with ASC 606, Revenues from Contracts with Customers, the following tables present White Mountains’s total revenues by revenue source for the three months ended March 31, 2021 and 2020:
MillionsHG Global/BAMArkNSMKuduOther
Operations		Total
Three Months Ended March 31, 2021
Commission and other revenue
Specialty Transportation$0 $0 $20.7 $0 $0 $20.7 
Real Estate0 0 9.8 0 0 9.8 
Social Services0 0 6.7 0 0 6.7 
Pet0 0 17.1 0 0 17.1 
United Kingdom0 0 13.1 0 0 13.1 
Other0 0 7.4 0 2.3 9.7 
Total commission and other revenue0 0 74.8 0 2.3 77.1 
Product revenues0 0 0 0 6.5 6.5 
     Revenues from contracts with customers0 0 74.8 0 8.8 83.6 
Other revenues (1)
(6.7)109.1 0 24.1 (31.9)94.6 
  Total revenues$(6.7)$109.1 $74.8 $24.1 $(23.1)$178.2 
(1)    BAM manages its affairs on a statutory accounting basis. BAM’s statutory surplus includes surplus notesOther revenues consist of premiums, investment income, investment gains and is not reduced by accrualslosses and other revenues outside the scope of interest expense on the surplus notes. BAM’s statutory surplus is reduced only after a payment of principal or interest has been approved by the New York Department of Financial Services.

ASC 606, Revenues from Contracts with Customers.
44

  HG Global/BAM      
Millions HG Global 
BAM(1)
 MediaAlpha Other Operations Total
Nine Months Ended September 30, 2017          
Earned insurance premiums $5.0
 $1.6
 $—
 $1.0
 $7.6
Net investment income 2.4
 6.5
 —
 30.8
 39.7
Net investment income (loss) - BAM Surplus Note interest 14.3
 (14.3) —
 —
 —
Net realized and unrealized investment gains .4
 2.8
 —
 99.3
 102.5
Advertising and commission revenues —
 —
 101.2
 2.7
 103.9
Other revenue —
 .8
 —
 5.3
 6.1
     Total revenues 22.1
 (2.6) 101.2
 139.1
 259.8
Losses and loss adjustment expenses —
 —
 —
 1.1
 1.1
Insurance acquisition expenses 1.0
 2.0
 —
 .1
 3.1
Other underwriting expenses —
 .3
 —
 —
 .3
Cost of sales —
 —
 86.0
 2.7
 88.7
General and administrative expenses .8
 30.7
 17.9
 112.8
 162.2
Interest expense —
 —
 .6
 1.2
 1.8
     Total expenses 1.8
 33.0
 104.5
 117.9
 257.2
Pre-tax income (loss) $20.3
 $(35.6) $(3.3) $21.2
 $2.6
MillionsHG Global/BAMNSMKuduOther
Operations		Total
Three Months Ended March 31, 2020
Commission and other revenue
Specialty Transportation$0 $20.3 $0 $0 $20.3 
Real Estate0 11.3 0 0 11.3 
Social Services0 6.3 0 0 6.3 
Pet0 11.8 0 0 11.8 
United Kingdom0 10.0 0 0 10.0 
Other0 5.3 0 1.4 6.7 
Total commission and other revenue0 65.0 0 1.4 66.4 
Product revenues0 0 0 2.1 2.1 
     Revenues from contracts with customers0 65.0 0 3.5 68.5 
Other revenues (1)
17.5 0 (17.4)(127.8)(127.7)
  Total revenues$17.5 $65.0 $(17.4)$(124.3)$(59.2)
(1) BAM manages its affairs on a statutory accounting basis. BAM’s statutory surplus includes surplus notesOther revenues consist of premiums, investment income, investment gains and is not reduced by accrualslosses and other revenues outside the scope of interest expense on the surplus notes. BAM’s statutory surplus is reduced only after a payment of principal or interest has been approved by the New York Department of Financial Services.ASC 606, Revenues from Contracts with Customers.

  HG Global/BAM      
Millions HG Global 
BAM(1)
 MediaAlpha Other Operations Total
Three Months Ended September 30, 2016          
Earned insurance premiums $1.2
 $.3
 $—
 $1.9
 $3.4
Net investment income .6
 1.7
 —
 7.3
 9.6
Net investment income (loss) - BAM Surplus Note interest 4.5
 (4.5) —
 —
 —
Net realized and unrealized investment (losses) gains (.3) (1.6) —
 12.8
 10.9
Advertising and commission revenues —
 —
 27.6
 .6
 28.2
Other revenue —
 .4
 —
 4.3
 4.7
     Total revenues 6.0
 (3.7) 27.6
 26.9
 56.8
Losses and loss adjustment expenses —
 —
 —
 2.2
 2.2
Insurance acquisition expenses .2
 .6
 —
 .5
 1.3
Other underwriting expenses —
 .1
 —
 .1
 .2
Cost of sales —
 —
 23.0
 1.0
 24.0
General and administrative expenses .6
 9.3
 5.7
 26.8
 42.4
Interest expense —
 —
 .2
 .3
 .5
     Total expenses .8
 10.0
 28.9
 30.9
 70.6
Pre-tax income (loss) $5.2
 $(13.7) $(1.3) $(4.0) $(13.8)
(1) BAM manages its affairs on a statutory accounting basis. BAM’s statutory surplus includes surplus notes and is not reduced by accruals of interest expense on the surplus notes. BAM’s statutory surplus is reduced only after a payment of principal or interest has been approved by the New York Department of Financial Services.


  HG Global/BAM      
Millions HG Global 
BAM(1)
 MediaAlpha Other Operations Total
Nine Months Ended September 30, 2016      
    
Earned insurance premiums $3.1
 $1.0
 $—
 $6.1
 $10.2
Net investment income 1.6
 5.1
 —
 11.5
 18.2
Net investment income (loss) - BAM Surplus Note interest 13.4
 (13.4) —
 —
 —
Net realized and unrealized investment gains 2.3
 6.5
 —
 18.4
 27.2
Advertising and commission revenues —
 —
 88.4
 1.2
 89.6
Other revenue —
 .8
 —
 17.2
 18.0
     Total revenues 20.4
 —
 88.4
 54.4
 163.2
Losses and loss adjustment expenses —
 —
 —
 6.8
 6.8
Insurance acquisition expenses .6
 1.9
 —
 1.9
 4.4
Other underwriting expenses —
 .3
 —
 .1
 .4
Cost of sales —
 —
 74.0
 2.9
 76.9
General and administrative expenses 1.4
 28.1
 16.3
 99.1
 144.9
Interest expense —
 —
 .7
 1.9
 2.6
      Total expenses 2.0
 30.3
 91.0
 112.7
 236.0
Pre-tax income (loss) $18.4
 $(30.3) $(2.6) $(58.3) $(72.8)
(1) BAM manages its affairs on a statutory accounting basis. BAM’s statutory surplus includes surplus notes and is not reduced by accruals of interest expense on the surplus notes. BAM’s statutory surplus is reduced only after a payment of principal or interest has been approved by the New York Department of Financial Services.

Note 12. Investment in Symetra16. Equity-Method Eligible Investments
 
White Mountains’s equity method eligible investments include White Mountains’s investment in Symetra represented an investmentMediaAlpha, certain other unconsolidated entities, including Kudu’s Participation Contracts, private equity funds and hedge funds in which White Mountains had ahas the ability to exert significant votinginfluence over the investee’s operating and economic interest but did not controlfinancial policies.
The following table presents the entity.carrying values of White Mountains’s equity method eligible investments as of March 31, 2021 and December 31, 2020:
MillionsMarch 31, 2021December 31, 2020
Investment in MediaAlpha$600.2 $802.2 
Other equity method eligible investments, at fair value$706.2 $698.1 

For the three months ended March 31, 2021 and 2020, White Mountains’s received dividend and income distributions from equity method eligible investments, including White Mountains’s investment in MediaAlpha, of $13.7 million, and $11.4 million, which were recorded within net investment income in the consolidated statement of operations.
The following table presents White Mountains’s significant equity method eligible investments as of March 31, 2021 and December 31, 2020:
Basic Ownership Interest
InvesteeMarch 31, 2021December 31, 2020Instrument Held
PassportCard/DavidShield53.8%53.8%Common shares
New Market Solutions, LLC.46.7%46.7%Units
durchblicker45.0%45.0%Common shares
MediaAlpha28.5%35.0%Common shares
Elementum Holdings, L.P.29.7%28.9%Limited partnership interest
Compare.com18.4%18.4%Common shares
Tuckerman Capital Funds16.1 - 30.0%14.9 - 62.0%Limited and general partnership interests
Enlightenment Capital Funds9.1 - 66.3%9.7 - 66.7%Limited and general partnership interests
Kudu Participation Contracts3.2 - 35.6%3.2 - 35.0%Revenue and earnings participation contracts


45

On October 30, 2020, MediaAlpha completed the MediaAlpha IPO. In August 2015, Symetra announced it had entered into a definitive merger agreement with Sumitomo Life pursuant to which Sumitomo Life would acquire all of the outstanding shares of Symetra. Following the announcement and Symetra shareholders’ November 5, 2015 meeting to approve the transaction,offering, White Mountains relinquished its representation on Symetra’s boardsold 3.6 million shares at $19.00 per share ($17.67 per share net of directors. As a result, White Mountains changed its accounting for Symetra common shares from the equity method to fair value asunderwriting discount) and received total proceeds of December 31, 2015. During the fourth quarter of 2015, White Mountains recognized $258.8 million ($241.1 million after tax) of unrealized investment gains through net income, representing the difference between the carrying value of Symetra common shares under the equity method at the date of change and fair value at December 31, 2015.$63.8 million. White Mountains also received $55.0 million of net proceeds related to a special dividend recapitalization at MediaAlpha. Following the MediaAlpha IPO, White Mountains owned 20.5 million MediaAlpha shares, representing a 35.0% ownership interest (32.3% on a fully-diluted, fully converted basis). At the December 31, 2020 closing price of $0.50$39.07 per share, as partthe fair value of White Mountains’s remaining investment in MediaAlpha was $802.2 million. Subsequent to the transaction that was paidMediaAlpha IPO, White Mountains’s investment in MediaAlpha is accounted for at fair value based on the third quarterpublicly traded share price of 2015. On February 1, 2016, Symetra closed its definitive merger agreement with Sumitomo Life,MediaAlpha’s common stock and White Mountains receivedpresents its investment in MediaAlpha as a separate line item on the balance sheet.
On March 23, 2021, MediaAlpha completed a secondary offering of 8.05 million shares. In the secondary offering, White Mountains sold 3.6 million shares at $46.00 per share ($44.62 per share net of underwriting fees) for net proceeds of $658.0$160.3 million. Following the completion of the offering, White Mountains owns 16.9 million or $32.00shares, representing a 28.5% basic ownership interest (26.3% fully-diluted/fully-converted basis). At the March 31, 2021, closing price of $35.43 per common share.share, the fair value of White Mountains’s remaining investment in MediaAlpha was $600.2 million. For the three months ended March 31, 2021, White Mountains recognized $4.7$41.7 million in pre-tax netrealized and unrealized investment gainslosses associated with Symetraits investment in MediaAlpha.
For the first quarter of 2016.


Note 13. Employee Share-Based Incentive Compensation Plans
White Mountains’s Long-Term Incentive Plan (the “WTM Incentive Plan”) provides for grants of various types of share-basedthree months ended March 31, 2021 and non share-based incentive awards to key employees of White Mountains. As of September 30, 2017, White Mountains’s share-based compensation incentive awards consist of performance shares and restricted shares.

Share-Based Compensation Based on White Mountains Common Shares
WTM Performance Shares
Performance shares are conditional grants of2020, MediaAlpha was considered a specified maximum number of common shares or an equivalent amount of cash. Awards generally vest at the end of a three-year period, are subject to the attainment of pre-specified performance goals, and are valued based on the market value of common shares at the time awards are approved for payment.significant subsidiary. The following table summarizes performance share activitytables present summarized financial information for the three and nine months endedSeptember 30, 2017 and 2016 for performance shares granted under the WTM Incentive Plan:
  Three Months Ended September 30, Nine Months Ended September 30,
  2017 2016 2017 2016
Millions, except share amounts Target Performance
Shares Outstanding		 
Accrued
Expense
 Target Performance
Shares Outstanding		 
Accrued
Expense
 
Target
Performance
Shares
Outstanding
 
Accrued
Expense
 
Target
Performance
Shares
Outstanding
 
Accrued
Expense
Beginning of period 50,575
 $31.2
 73,297
 $32.5
 80,353
 $42.4
 93,654
 $57.7
Shares paid (1)
 —
 —
 —
 —
 (30,838) (21.6) (36,294) (41.0)
New grants —
 —
 6,400
 —
 17,510
 —
 22,615
 —
Forfeitures and cancellations(2)
 (256) (.4) (160) (.1) (16,706) (9.4) (438) .2
Expense recognized —
 7.0
 —
 5.0
 —
 26.4
 —
 20.5
End of period(3)
 50,319
 $37.8
 79,537
 $37.4
 50,319
 $37.8
 79,537
 $37.4
(1) WTM performance share payments in 2017 for the 2014-2016 performance cycle, which were paid in March 2017, ranged from 34% to 76% of target.  WTM performance share payments in 2016 for the 2013-2015 performance cycle, which were paid in April 2016, ranged from 140% to 142% of target. 
(2) Amounts include changes in assumed forfeitures, as required under GAAP.
(3) Outstanding performance share awardsMediaAlpha as of September 30, 2017March 31, 2021 and 2016 exclude 2,195 and 7,315 performance share awards granted to employees of Sirius Group.2020:


For performance shares earned in the 2014-2016 performance cycle, all performance shares earned were settled in cash. For the performance shares earned in the 2013-2015 performance cycle, the Company issued 5,000 common shares and settled the remainder in cash. If all the outstanding WTM performance shares had vested on September 30, 2017, the total additional compensation cost to be recognized would have been $28.7 million, based on accrual factors (common share price and payout assumptions) at September 30, 2017.
MillionsMarch 31, 2021December 31, 2020
Balance sheet data:
Total assets$241.7 $212.7 
Total liabilities$331.1 $315.8 

Performance Shares Granted Under the WTM Incentive Plan
Three Months Ended
March 31,
Millions20212020
Income statement data:
Total revenues$173.6 $119.4 
Total expenses$173.4 $110.6 
Net income$.2 $8.8 
The following table summarizes performance shares outstanding and accrued expense for performance shares awarded under the WTM Incentive Plan at September 30, 2017 for each performance cycle:
46
Millions, except share amounts 
Target Performance
Shares Outstanding
 
Accrued
Expense
Performance cycle:  
  
2015 – 2017 18,370
 $20.6
2016 – 2018 16,235
 12.1
2017 – 2019 16,480
 5.7
Sub-total 51,085
 38.4
Assumed forfeitures (766) (.6)
September 30, 2017 50,319
 $37.8


Restricted Shares Granted Under the WTM Incentive Plan
The following table summarizes the unrecognized compensation cost associated with the outstanding restricted share awards for the three and nine months endedSeptember 30, 2017 and 2016:

  Three Months Ended September 30, Nine Months Ended September 30,
  2017 2016 2017 2016
Millions, except share amounts Restricted
Shares		 Unamortized
Issue Date Fair Value		 Restricted
Shares		 Unamortized
Issue Date Fair Value		 
Restricted
Shares
 
Unamortized
Issue Date
Fair Value
 
Restricted
Shares
 
Unamortized
Issue Date
Fair Value
Non-vested,          
  
  
  
Beginning of period 53,815
 $23.5
 66,470
 $24.2
 70,620
 $19.7
 70,675
 $15.7
Issued —
 —
 4,150
 3.4
 17,785
 16.7
 25,365
 19.7
Vested (260) —
 —
 —
 (28,846) —
 (24,620) —
Forfeited —
 —
 —
 —
 (6,004) (3.5) (800) .2
Expense recognized —
 (3.8) —
 (3.8) —
 (13.2) —
 (11.8)
End of period (1)
 53,555
 $19.7
 70,620
 $23.8
 53,555
 $19.7
 70,620
 $23.8
(1) Restricted share awards outstanding as of September 30, 2017 and 2016 include 2,195 and 5,235 restricted shares issued to employees of Sirius Group, which was accounted for as discontinued operations.

During the second quarter of 2017, White Mountains issued 550 restricted shares that vest on January 1, 2020, 250 restricted shares that vest on January 1, 2019 and 250 restricted shares that vest on January 1, 2018. During the first quarter of 2017, White Mountains issued 16,735 restricted shares that vest on January 1, 2020. During the first nine months of 2016, White Mountains issued 24,615 restricted shares that vest on January 1, 2019 and 750 restricted shares that vest on January 1, 2018. The unamortized issue date fair value at September 30, 2017 is expected to be recognized ratably over the remaining vesting periods. 
Stock Options
Non-Qualified Options
As January 20, 2017, the 125,000 Non-Qualified options issued to the Company’s former Chairman and CEO had been exercised. During the first quarter of 2017, 40,000 Non-Qualified Options, with an intrinsic value of $4.4 million, were exercised in exchange for 5,142 common shares with an equal total market value. During 2016, 5,000 Non-Qualified Options, with an intrinsic value of $0.4 million, were exercised at $742 per common share and 80,000 Non-Qualified Options, with an intrinsic value of $8.4 million, were exercised in exchange for 9,930 common shares with an equal total market value. Intrinsic value represents the difference between the market price of the Company’s common shares at the date of exercise and the fixed strike price of $742 per common share. The Non-Qualified Options were fully amortized as of 2011.

Note 14.17. Fair Value of Financial Instruments
 
White Mountains accounts forrecords its financial instruments at fair value with the exception of the WTM Bank Facility,debt obligations, which was undrawn at September 30, 2017 and December 31, 2016, the MediaAlpha Bank Facility and the Previous MediaAlpha Bank Facility, which isare recorded as debt at face value less unamortized original issue discount.
The following table summarizespresents the fair value and carrying value of thesethis financial instrumentsinstrument as of September 30, 2017March 31, 2021 and December 31, 2016:2020:
 March 31, 2021December 31, 2020
MillionsFair
Value		Carrying
Value		Fair
Value		Carrying
Value
Ark Subordinated Notes (1)
$44.1 $44.1 $0 $0 
NSM Bank Facility$275.6 $271.5 $279.3 $271.3 
Other NSM debt$1.3 $1.2 $1.3 $1.3 
Kudu Credit Facility (2)
$102.0 $95.9 $0 $0 
Kudu Bank Facility$0 $0 $89.3 $86.3 
Other Operations debt$18.3 $17.0 $18.8 $17.5 
  September 30, 2017 December 31, 2016
Millions 
Fair
Value
 
Carrying
Value
 
Fair
Value
 
Carrying
Value
MediaAlpha Bank Facility $9.4
 $9.4
 $—
 $—
Previous MediaAlpha Bank Facility —
 —
 13.0
 12.7
(1)As of March 31, 2021, White Mountains measured the fair value of the Ark Bank Facility Notes at the carrying value as a result of the debt being acquired on January 1, 2021. See Note 7 — “Debt”.

(2) As of March 31, 2021, White Mountains measured the fair value of the Kudu Credit Facility debt at the carrying value, before unamortized issuance costs, as a result of the debt being refinanced on March 23, 2021.

The fair value estimateestimates for the MediaAlphaArk Subordinated Notes, NSM Bank Facility, the Other NSM debt, the Kudu Credit Facility, the Kudu Bank Facility and the Previous MediaAlpha Bank Facility hasOther Operations debt have been determined based on a discounted cash flowsflow approach and isare considered to be a Level 3 measurement.measurements.



Note 18. Commitments and Contingencies

Legal Contingencies

White Mountains is subject to litigation and arbitration in the normal course of business. White Mountains considers the requirements of ASC 450 when evaluating its exposure to litigation and arbitration. ASC 450 requires that accruals be established for litigation and arbitration if it is probable that a loss has been incurred and it can be reasonably estimated. ASC 450 also requires that litigation and arbitration be disclosed if it is probable that a loss has been incurred or if there is a reasonable possibility that a loss may have been incurred. White Mountains does not have any current litigation that may have a material adverse effect on White Mountains’s financial condition, results of operations or cash flows.
The following description presents significant legal contingencies, ongoing non-claims related litigation or arbitration as of March 31, 2021:

Esurance
On October 7, 2011, the Company completed the sale of its Esurance Holdings, Inc. and its subsidiaries and Answer Financial Inc. and its subsidiaries (collectively, “Esurance”) to The Allstate Corporation (“Allstate”) pursuant to a Stock Purchase Agreement dated as of May 17, 2011. Subject to specified thresholds and limits, the Company remains contingently liable to Allstate for specified matters related to the pre-closing period, including (a) losses of Esurance arising from extra-contractual claims and claims in excess of policy limits, (b) certain corporate reorganizations effected to remove entities from Esurance that were not being sold in the transaction, and (c) certain tax matters, including certain net operating losses being less than stated levels.

Sirius Group Tax Contingency
In the first quarter of 2021, White Mountains recorded a $17.6 million gain within discontinued operations as a result of reversing a liability arising from the tax indemnification provided in connection with the sale of Sirius International Insurance Group, Ltd. (“Sirius Group”) in 2016. The liability related to certain interest deductions claimed by Sirius Group that had been disputed by the Swedish Tax Agency (STA). In April 2021, the STA informed the Swedish Administrative Court of Appeal that, as a result of the Swedish Supreme Administrative Court having ruled that the Swedish interest disallowance rules violate the European Union’s freedom of establishment principle, Sirius Group should prevail in its appeal (and that the interest deductions should not be disallowed).



47

Note 15.19. Held for Sale and Discontinued Operations


OneBeaconSirius Group
On September 28, 2017, Intact Financial Corporation completed its previously announced acquisition
As of OneBeacon in an all-cash transaction for $18.10 per share. White Mountains received total proceeds of $1.3 billion and recorded a gain of $554.6 million, net of transaction costs. Net income (loss) from discontinued operations related to OneBeacon was $20.5 million and $(15.2) million though the closing date of the nine and three months ended and September 30, 2017. Net income from discontinued operations related to OneBeacon was $93.8 million and $22.5 million for the nine and three months ended September 30, 2016.

Star & Shield
On March 7, 2017, White Mountains completed the sale of Star & Shield and its investment in SSIE surplus notes to K2 Insurances LLC. White Mountains did not recognize any gain or loss on the sale. Through December 31, 2016, Star & Shield’s assets and liabilities are reported as held for sale within White Mountains's GAAP financial statements.

Tranzact
On July 21, 2016, White Mountains completed the sale of Tranzact to Clayton, Dubilier & Rice, LLC and received net proceeds of $221.3 million at closing. On October 5, 2016, White Mountains received additional proceeds of $1.2 million following the release of the post-closing purchase price adjustment escrow. During 2016,2020, White Mountains recorded a $51.9liability of $18.7 million, gain from the sale of Tranzact in discontinued operations, which included a $30.2 million tax expense for the reversal of a tax valuation allowance that is offset by a tax benefit recorded in continuing operations.
Through July 21, 2016, Tranzact’s results of operations are reported as discontinued operations and assets and liabilities held for sale within White Mountains’s GAAP financial statements. Net loss from discontinued operations related to
Tranzact, prior to the tax benefit described below, was $2.1 million and $2.6 million for the three and nine months ended September 30, 2016.
During the third quarter of 2016, White Mountains recognized a $14.0 million tax benefitindemnification provided in continuing operations related to the reversal of a valuation allowance that resulted from the gain on the sale of Tranzact recognized within discontinued operations. This tax benefit was recorded in continuing operationsconnection with an offsetting amount of net tax expense recorded in discontinued operations; $30.2 million of tax expense was recorded to gain from sale of Tranzact in discontinued operations and a $16.1 million tax benefit was recorded to net income from discontinued operations.
In the nine months ended September 30, 2017, White Mountains recorded a $1.0 million reduction to the gain from sale of Tranzact in discontinued operations as a result of 2016 state tax payments.

Sirius Group
On April 18, 2016, White Mountains completed the sale of Sirius Group to CMI for approximately $2.6 billion. $161.8 million of this amount was used to purchase certain assets to be retained by White Mountains out of Sirius Group, including shares of OneBeacon. The amount paid at closing was based on an estimate of Sirius Group’s closing date tangible common shareholder’s equity. During 2016,in 2016. For the three months ended March 31, 2021, White Mountains recorded $363.2a gain of $17.6 million of gain from sale of Sirius Group in discontinued operations into reverse the statementliability accrued as of operationsDecember 31, 2020 and $113.3$1.1 million in other comprehensive income from discontinued operations.gain related to foreign currency translation. See Note 18 — “Commitments and Contingencies”.
Through April 18, 2016, Sirius Group’s results are reported as discontinued operations and assets and liabilities held for sale within White Mountains’s GAAP financial statements. Assets held for sale did not include White Mountains’s investment in OneBeacon and certain other investments that are in the Sirius Group legal entities.
Other
As of December 31, 2015, the2020, assets held for sale included a corporate aircraft with a carrying value of these investments, net of related tax effects,$1.7 million. On February 12, 2021, the corporate aircraft was $686.2sold for $2.1 million of which $528.6 million related to Symetra. Net loss from discontinued operations does not include White Mountains’s net investment income and realized and unrealized investment gains and losses associated with these investments. For the three months and six ended June 30, 2016, $0.4 million and $3.7 million of net investment income and realized and unrealized investment gains and losses, net of related tax effects, that are included in the Sirius Group legal entities have been excluded from net loss from discontinued operations. White Mountains recorded $(4.0) million and $356.2$0.5 million of total income from discontinued operations forrealized gains within other revenues in the three and nine months ended September 30, 2016 and $145.3 million of other comprehensive income for the nine months ended September 30, 2016.Other Operations segment.
During the third quarter of 2017,On April 12, 2021, NSM sold its Fresh Insurance motor business. White Mountains recorded a $0.8 million reduction todetermined that the gain from sale of Sirius Grouptransaction qualified as a result of a change to the valuation of the accrued incentive compensation payable to Sirius Group employees.

Net Assets Held for Sale
The following table summarizes the assets and liabilities associated with businesses classified as held for sale. Amounts presented relatesale business in the first quarter 2021, however, it did not meet the criteria to OneBeacon, Star & Shield and SSIE.
Millions December 31, 2016
Assets held for sale  
Fixed maturity investments, at fair value $2,175.7
Short-term investments, at amortized cost (which approximates fair value) 112.3
Common equity securities, at fair value 188.7
Other long-term investments 150.5
  Total investments 2,627.2
Cash 70.5
Reinsurance recoverable on unpaid and paid losses 179.8
Insurance and reinsurance premiums receivable 229.8
Deferred acquisition costs 96.3
Deferred tax asset 126.7
Ceded unearned insurance and reinsurance premiums 44.2
Accounts receivable on unsettled investment sales 1.4
Goodwill and other intangible assets 1.2
Accrued investment income 11.3
Other assets 211.1
Total assets held for sale $3,599.5
Liabilities held for sale 
Loss and loss adjustment expense reserves $1,370.6
Unearned insurance and reinsurance premiums 576.3
Debt 273.2
Accrued incentive compensation 44.3
Funds held under reinsurance treaties 153.0
Other liabilities 151.9
Total liabilities held for sale 2,569.3
Net assets held for sale $1,030.2

Net Income (Loss) from Discontinued Operations
The following table summarizes the results of operations, including related income taxes, associated with the businessbe classified as discontinued operations. ForIn the three and nine months ended September 30, 2017, the amounts presented relate to OneBeacon and Sirius Group. For the three and nine months ended September 30, 2016, the amounts presented relate to OneBeacon, Sirius Group and Tranzact. The resultsfirst quarter of discontinued operations from Sirius Group and Tranzact up2021, NSM recorded a loss of $28.7 million related to the closing datesale. As of the transaction inured to White Mountains. Given the fixed price nature of the OneBeacon Transaction, OneBeacon’s results were economically transferred to the buyer at signing.
  Three Months Ended Three Months Ended
  September 30, 2017 September 30, 2016
Millions OneBeacon Sirius Group Total OneBeacon Sirius Group Tranzact Total
Revenues              
Earned insurance premiums $268.4
 $—
 $268.4
 $277.9
 $—
 $—
 $277.9
Net investment income 13.0
 —
 13.0
 11.8
 —
 —
 11.8
Net realized and unrealized gains 11.5
 —
 11.5
 15.5
 —
 —
 15.5
Other revenue 2.2
 —
 2.2
 1.8
 —
 14.8
 16.6
Total revenues 295.1
 —
 295.1
 307.0
 —
 14.8
 321.8
Expenses              
Loss and loss adjustment expenses 206.8
 —
 206.8
 162.8
 —
 —
 162.8
Insurance and reinsurance acquisition expenses 51.9
 —
 51.9
 55.1
 —
 —
 55.1
Other underwriting expenses 44.9
 —
 44.9
 49.4
 —
 —
 49.4
General and administrative expenses 7.4
 —
 7.4
 3.5
 —
 16.2
 19.7
Interest expense 3.4
 —
 3.4
 3.3
 —
 .5
 3.8
Total expenses 314.4
 —
 314.4
 274.1
 —
 16.7
 290.8
Pre-tax (loss) income (19.3) —
 (19.3) 32.9
 —
 (1.9) 31.0
Income tax benefit (expense) 4.1
 —
 4.1
 (10.4) —
 15.9
 5.5
Net (loss) income from discontinued operations (15.2) —
 (15.2) 22.5
 —
 14.0
 36.5
Net gain (loss) from sale of discontinued
   operations
 554.5
 (.2) 554.3
 —
 (4.0) 51.9
 47.9
Total income (loss) from discontinued
   operations
 539.3
 (.2) 539.1
 22.5
 (4.0) 65.9
 84.4
Change in foreign currency translation and other
   from discontinued operations
 .1
 —
 .1
 (.3) —
 —
 (.3)
Recognition of benefit plan assets and obligations
from the sale of OneBeacon, net of tax		 2.9
 —
 2.9
 —
 —
 —
 —
Comprehensive income (loss)
   from discontinued operations
 $542.3
 $(.2) $542.1
 $22.2
 $(4.0) $65.9
 $84.1


  Nine Months Ended Nine Months Ended
  September 30, 2017 September 30, 2016
Millions OneBeacon Sirius Group Tranzact Total OneBeacon Sirius Group Tranzact Total
Revenues                
Earned insurance premiums $807.6
 $—
 $—
 $807.6
 $827.9
 $240.1
 $—
 $1,068.0
Net investment income 39.7
 —
 —
 39.7
 38.3
 14.4
 —
 52.7
Net realized and unrealized gains
   (losses)
 38.8
 —
 —
 38.8
 56.8
 (1.5) —
 55.3
Other revenue 7.7
 —
 —
 7.7
 3.5
 .6
 119.6
 123.7
Total revenues 893.8
 —
 —
 893.8
 926.5
 253.6
 119.6
 1,299.7
Expenses                
Loss and loss adjustment expenses 546.0
 —
 —
 546.0
 501.3
 154.9
 —
 656.2
Insurance and reinsurance
   acquisition expenses
 145.6
 —
 —
 145.6
 154.8
 59.0
 —
 213.8
Other underwriting expenses 156.2
 —
 —
 156.2
 155.6
 30.9
 —
 186.5
General and administrative expenses 21.2
 —
 —
 21.2
 10.9
 10.4
 116.7
 138.0
Interest expense 10.0
 —
 —
 10.0
 9.8
 7.9
 3.2
 20.9
Total expenses 879.0
 —
 —
 879.0
 832.4
 263.1
 119.9
 1,215.4
Pre-tax income (loss) 14.8
 —
 —
 14.8
 94.1
 (9.5) (.3) 84.3
Income tax benefit (expense) 5.7
 —
 —
 5.7
 (.3) 3.1
 13.8
 16.6
Net income (loss) from
   discontinued operations
 20.5
 —
 —
 20.5
 93.8
 (6.4) 13.5
 100.9
Net gain (loss) from sale of
   discontinued operations
 554.5
 (.8) (1.0) 552.7
 —
 362.6
 51.9
 414.5
Total income (loss) from discontinued
   operations
 575.0
 (.8) (1.0) 573.2
 93.8
 356.2
 65.4
 515.4
Change in foreign currency translation
   and other from discontinued
   operations
 .3
 —
 —
 .3
 .5
 32.0
 —
 32.5
Recognition of foreign currency
   translation and other from sale of
   Sirius Group, net of tax
 —
 —
 —
 —
 —
 113.3
   113.3
Recognition of benefit plan assets
   and obligations from the sale of
   OneBeacon, net of tax
 2.9
 —
 —
 2.9
 —
 —
 —
 —
Comprehensive income (loss)
   from discontinued operations
 $578.2
 $(.8) $(1.0) $576.4
 $94.3
 $501.5
 $65.4
 $661.2

Net Change in Cash from Discontinued Operations
The following summarizesMarch 31, 2021, assets held for sale included the net changerealizable value of Fresh Insurance’s motor business of $1.5 million, which was recorded in cash, including income tax payment to national governments and interest paid associated withother assets in the business classified as discontinued operations:NSM segment.

  Nine Months Ended
  September 30,
Millions 2017 2016
Net cash provided from operations $157.0
 $38.1
Net cash provided from investing activities 3.0
 269.7
Net cash used for financing activities (61.9) (72.7)
Net change in cash during the period 98.1
 235.1
Cash balances at beginning of period 70.5
 245.4
Net change in cash held for sale, excluding discontinued operations (.9) 2.6
Cash sold as part of sale of consolidated subsidiaries 167.7
 345.8
Cash balances at end of period $—
 $137.3
Supplemental cash flows information:    
Interest paid $—
 $(7.7)
Net income tax payment to national governments $—
 $(18.3)

Earnings Per Share from Discontinued Operations

White Mountains calculates earnings per share using the two-class method, which allocates earnings between common and unvested restricted common shares. Both classes of shares participate equally in earnings on a per share basis. Basic earnings per share amounts are based on the weighted average number of common shares outstanding adjusted for unvested restricted common shares. Diluted earnings per share amounts are also impacted by the net effect of potentially dilutive common shares outstanding.
The following table outlinespresents the Company’s computation of earnings per share for discontinued operations for the three and nine months ended September 30, 2017March 31, 2021 and 2016:2020:
Three Months Ended
 March 31,
20212020
Basic and diluted earnings per share numerators (in millions):
Net loss attributable to White Mountains’s common shareholders$(75.3)$(128.8)
Less: total loss from continuing operations, net of tax(94.0)(129.7)
Net income from discontinued operations attributable to White Mountains’s
   common shareholders		$18.7 $.9 
Allocation of earnings to participating restricted common shares (1)
(.2)0 
Basic and diluted earnings per share numerators (2)
$18.5 $.9 
Basic earnings per share denominators (in thousands): 
Total average common shares outstanding during the period3,100.2 3,178.0 
Average unvested restricted common shares (3)
(32.4)(33.8)
Basic earnings per share denominator3,067.8 3,144.2 
Diluted earnings per share denominator (in thousands): 
Total average common shares outstanding during the period3,100.2 3,178.0 
Average unvested restricted common shares (3)
(32.4)(33.8)
Diluted earnings per share denominator3,067.8 3,144.2 
Basic and diluted (losses) earnings per share (in dollars) - discontinued operations:$6.03 $.28 
  Three Months Ended Nine Months Ended
  September 30, September 30,
  2017 2016 2017 2016
Basic and diluted earnings per share numerators (in millions):        
Net income attributable to White Mountains’s common shareholders $562.1
 $90.8
 $604.7
 $440.7
    Less: total income from continuing operations, net of tax (23.0) (6.4) (31.5) 74.7
Net income (loss) from discontinued operations attributable to
White Mountains’s common shareholders
 $539.1
 $84.4
 $573.2
 $515.4
   Allocation of earnings to participating restricted common shares (1)
 (6.7) (1.2) (7.0) (6.3)
Basic and diluted earnings per share numerators $532.4
 $83.2
 $566.2
 $509.1
Basic earnings per share denominators (in thousands):        
Total average common shares outstanding during the period 4,297.2
 4,867.4
 4,477.0
 5,166.6
Average unvested restricted common shares (3)
 (53.7) (68.1) (54.5) (62.9)
Basic earnings per share denominator 4,243.5
 4,799.3
 4,422.5
 5,103.7
Diluted earnings per share denominator (in thousands):        
Total average common shares outstanding during the period (4)
 4,297.2
 4,879.4
 4,477.0
 5,174.8
Average unvested restricted common shares (3)
 (53.7) (68.1) (54.5) (62.9)
Diluted earnings per share denominator(4)
 4,243.5
 4,811.3
 4,422.5
 5,111.9
Basic earnings per share (in dollars) - discontinued operations: $125.45
 $17.34
 $128.03
 $99.75
Diluted earnings per share (in dollars) - discontinued operations: $125.45
 $17.30
 $128.03
 $99.60
(1) Restricted shares issued by White Mountains contain dividend participation features, and therefore, are considered participating securities.
(2) Net earnings attributable to White Mountains’s common shareholders, net of restricted share amounts, is equal to undistributed earnings for the three and nine months ended September 30, 2017March 31, 2021 and 2016.2020.
(3) Restricted common shares outstanding vest either in equal annual installments or upon a stated date. See Note 1312 — “Employee Share-Based Incentive Compensation Plans”.
(4) The diluted earnings per share denominator for the three and nine months ended September 30, 2016 includes the impact of 120,000 common shares issuable upon exercise of the non-qualified options outstanding, which resulted in 11,943 and 8,208 incremental shares outstanding over the period.

Fair Value of Financial Instruments in Liabilities Held for Sale
The OBH Senior Notes are recorded as debt at face value less unamortized original issue discount. The following table summarizes the fair value and carrying value of this financial instrument as of December 31, 2016:
48
  December 31, 2016
Millions 
Fair
Value
 
Carrying
Value
OBH Senior Notes $274.2
 $273.2

The fair value estimate for the OBH Senior Notes has been determined using quoted market prices. The OBH Senior Notes are considered a Level 2 measurement.


OneBeacon Surplus Notes in Assets Held for Sale
In the fourth quarter of 2014, in conjunction with OneBeacon’s sale of its runoff business to an affiliate of Armour Group Holdings Limited (the “OneBeacon Runoff Transaction”), OneBeacon provided financing in the form of surplus notes (the “OneBeacon Surplus Notes”) with a par value of $101.0 million which had a fair value of $71.9 million as of December 31, 2016. The OneBeacon Surplus Notes, issued by one of the transferred entities, Bedivere Insurance Company (the “Issuer”) were in the form of both seller priority and pari passu notes.
Subsequent to closing, the OneBeacon Surplus Notes are included in OneBeacon’s investment portfolio, classified within other long-term investments. The internal valuation model used to estimate the fair value of the OneBeacon Surplus Notes is based on discounted expected cash flows using information as of the measurement date.
Below is a table illustrating the valuation adjustments taken to arrive at estimated fair value of the OneBeacon Surplus Notes as of December 31, 2016:

Millions Total as of December 31, 2016
Par Value $101.0
Fair value adjustments to reflect:  
Current market rates on public debt and contract-based repayments (1)
 5.1
Regulatory approval (2)
 (15.6)
Liquidity adjustment (3)
 (18.6)
Total adjustments (29.1)
Fair value $71.9
(1)
Represents the value of the surplus notes, at current market yields on comparable publicly traded debt, and assuming issuer is allowed to make principal and interest payments when its financial capacity is available, as measured by statutory capital in excess of a 250% RBC score under the National Association of Insurance Commissioners’ risk-based capital standards for property and casualty companies. The favorable year-to-date change in impact is due principally to the narrowing of non-investment grade credit spreads as well as the time value of money benefit from moving three months closer to modeled cash receipts.
(2)
Represents anticipated delay in securing regulatory approvals of interest and principal payments to reflect graduated changes in Issuer's statutory surplus. The monetary impact of the anticipated delay is measured based on credit spreads of public securities with roughly equivalent percentages of discounted payments missed. The favorable year-to-date change in impact is driven primarily by the narrowing of non-investment grade credit spreads, which causes negative valuation impact from the anticipated delay in securing regulatory approval to be lower.
(3) Represents impact of liquidity spread to account for OneBeacon's sole ownership of the notes, lack of a trading market, and unique nature of the ongoing regulatory approval process.

Note 16. Financial Statement Revisions

In October 2017, White Mountains discovered that the former CEO of Wobi, one of its overseas portfolio companies, had been reporting overstated commission revenues and related receivables to White Mountains. As a result, White Mountains has revised certain of its previously issued financial statements. The revisions resulted in reductions to commission revenues (included in advertising and commission revenues) and commissions receivable (included in other assets). In addition, the overstatements led White Mountains to write down the goodwill and other intangible assets related to Wobi to zero. This write down is recorded in general and administrative expenses in the years ended December 31, 2016 and 2015.
White Mountains evaluated the impact of the misstatements resulting from the overstatements at Wobi on prior periods’ financial statements in accordance with SEC Staff Accounting Bulletin (“SAB”) Topic 1.M, Materiality, and concluded the misstatements were not material to any previously reported financial statements. However, while not material to any previously reported annual or quarterly period, the aggregate amount of prior period misstatements could be material to White Mountains's results for the full fiscal year ended December 31, 2017. White Mountains has therefore revised all periods impacted including its consolidated balance sheet as of June 30, 2017 and December 31, 2016 and 2015; and its consolidated statements of operations and comprehensive income, consolidated statements of changes in equity, cash flows and earnings per share for the years ended December 31, 2016, 2015 and 2014, the six month period ended June 30, 2017, and the three and nine month periods ended September 30, 2016. The revisions also reflect a previously recorded out of period adjustment in 2015 and 2014. The impact of these revisions to each of the previously reported consolidated statements are disclosed below. Amounts previously reported reflect the reclassification of OneBeacon, Sirius Group and Tranzact to discontinued operations for all applicable periods presented.


CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (Unaudited)

  Three months ended Nine months ended
  September 30, 2016
Millions, except for per share amounts As previously reported Adjustments As revised As previously reported Adjustments As revised
Revenues:            
Earned insurance premiums $3.4
 $—
 3.4
 $10.2
 $—
 $10.2
Net investment income 9.6
 —
 9.6
 18.2
 —
 18.2
Net realized and unrealized investment gains 10.9
 —
 10.9
 27.2
 —
 27.2
Advertising and commission revenues 29.4
 (1.2) 28.2
 92.4
 (2.8) 89.6
Other revenue 4.7
 —
 4.7
 18.0
 —
 18.0
Total revenues 58.0
 (1.2) 56.8
 166.0
 (2.8) 163.2
Expenses:            
Loss and loss adjustment expenses 2.2
 —
 2.2
 6.8
 —
 6.8
Insurance and acquisition expenses 1.3
 —
 1.3
 4.4
 —
 4.4
Other underwriting expenses .2
 —
 .2
 .4
 —
 .4
Cost of sales 24.0
 —
 24.0
 76.9
 —
 76.9
General and administrative expenses 42.7
 (.3) 42.4
 142.6
 2.3
 144.9
Interest expense on debt .5
 —
 .5
 2.6
 —
 2.6
Total expenses 70.9
 (.3) 70.6
 233.7
 2.3
 236.0
Pre-tax loss (12.9) (.9) (13.8) (67.7) (5.1) (72.8)
Income tax benefit 17.1
 —
 17.1
 22.7
 —
 22.7
Net income (loss) from continuing operations 4.2
 (.9) 3.3
 (45.0) (5.1) (50.1)
Gain on sale of discontinued operations 47.9
 —
 47.9
 414.5
 —
 414.5
Net income from discontinued operations 36.5
 —
 36.5
 100.9
 —
 100.9
Net income (loss) (1)
 88.6
 (.9) 87.7
 470.4
 (5.1) 465.3
Net loss (income) attributable to
   non-controlling interests
 3.1
 —
 3.1
 (24.6) —
 (24.6)
Net income (loss) attributable to
   White Mountains's common shareholders
 91.7
 (.9) 90.8
 445.8
 (5.1) 440.7
Other comprehensive income (loss), net of tax .2
 (.2) —
 145.6
 (.2) 145.4
Comprehensive income (loss) 91.9
 (1.1) 90.8
 591.4
 (5.3) 586.1
Comprehensive loss attributable to
   non-controlling interests
 .1
 —
 .1
 .1
 —
 .1
Comprehensive income (loss) attributable to
   White Mountains's common shareholders
 $92.0
 $(1.1) $90.9
 $591.5
 $(5.3) $586.2
             
Basic and diluted earnings per share -
   continuing operations
 $1.50
 $(.18) $1.32
 $(13.49) $(1.00) $(14.49)
(1) The adjustment to net income resulted in a corresponding adjustment in the statement of cash flows, with an offsetting adjustment to the change in other assets and liabilities within the operating cash flows section. There was no change to cash flows from operations, cash flows from investing activities or cash flows from financing activities.


CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (Unaudited)

  Six months ended June 30, 2017
Millions, except for per share amounts As previously reported Adjustments As revised
Revenues:      
Earned insurance premiums $5.2
 $—
 $5.2
Net investment income 27.5
 —
 27.5
Net realized and unrealized investment gains 70.0
 —
 70.0
Advertising and commission revenues 71.7
 (6.6) 65.1
Other revenue 4.5
 —
 4.5
Total revenues 178.9
 (6.6) 172.3
Expenses:      
Loss and loss adjustment expenses 1.1
 —
 1.1
Insurance and acquisition expenses 2.2
 —
 2.2
Other underwriting expenses .2
 —
 .2
Cost of sales 55.6
 —
 55.6
General and administrative expenses 117.9
 .1
 118.0
Interest expense on debt .9
 —
 .9
Total expenses 177.9
 .1
 178.0
Pre-tax income (loss) 1.0
 (6.7) (5.7)
Income tax benefit 1.3
 —
 1.3
Net income (loss) from continuing operations 2.3
 (6.7) (4.4)
Loss on sale of discontinued operations (1.6) —
 (1.6)
Net income from discontinued operations 35.7
 —
 35.7
Net income (loss) 36.4
 (6.7) 29.7
Net loss (income) attributable to non-controlling interests 13.4
 (.4) 13.0
Net income (loss) attributable to White Mountains's common shareholders 49.8
 (7.1) 42.7
Other comprehensive income (loss), net of tax 1.7
 (1.3) .4
Comprehensive income (loss) 51.5
 (8.4) 43.1
Comprehensive income attributable to non-controlling interests (.1) —
 (.1)
Comprehensive income (loss) attributable to White Mountains's
   common shareholders
 $51.4
 $(8.4) $43.0
       
Basic and diluted earnings per share - continuing operations $3.42
 $(1.59) $1.83



CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
  As previously reported Adjustments As revised
   Years ended December 31,
Millions, except for per share amounts 2016 2015 2014 2016 2015 2014 2016 2015 2014
Revenues:                  
Earned insurance premiums $13.4
 $12.0
 $7.9
 $—
 $—
 $—
 $13.4
 $12.0
 $7.9
Net investment income 32.1
 10.9
 12.2
 —
 —
 —
 32.1
 10.9
 12.2
Net realized and unrealized
   investment gains
 (27.4) 260.5
 38.1
 —
 —
 —
 (27.4) 260.5
 38.1
Advertising and commission
   revenues
 126.9
 110.1
 65.7
 (8.6) (2.7) (.2) 118.3
 107.4
 65.5
Other revenue (1)
 21.3
 41.8
 20.5
 —
 7.4
 (6.9) 21.3
 49.2
 13.6
Total revenues 166.3
 435.3
 144.4
 (8.6) 4.7
 (7.1) 157.7
 440.0
 137.3
Expenses:                  
Loss and loss adjustment expenses 8.0
 8.2
 8.9
 —
 —
 —
 8.0
 8.2
 8.9
Insurance and acquisition
   expenses
 5.6
 6.3
 2.9
 —
 —
 —
 5.6
 6.3
 2.9
Other underwriting expenses .5
 .4
 .4
 —
 —
 —
 .5
 .4
 .4
Cost of sales 102.0
 93.6
 57.8
 —
 —
 —
 102.0
 93.6
 57.8
General and administrative
   expenses
 183.7
 193.2
 144.9
 2.2
 7.5
 —
 185.9
 200.7
 144.9
Interest expense on debt 3.0
 1.6
 1.2
 —
 —
 —
 3.0
 1.6
 1.2
Total expenses 302.8
 303.3
 216.1
 2.2
 7.5
 —
 305.0
 310.8
 216.1
Pre-tax income (136.5) 132.0
 (71.7) (10.8) (2.8) (7.1) (147.3) 129.2
 (78.8)
Income benefit (expense) 32.9
 (12.7) 2.5
 —
 —
 —
 32.9
 (12.7) 2.5
Net income from
   continuing operations
 (103.6) 119.3
 (69.2) (10.8) (2.8) (7.1) (114.4) 116.5
 (76.3)
Gain on sale of discontinued operations 415.1
 17.9
 17.2
 —
 —
 —
 415.1
 17.9
 17.2
Net income from discontinued operations 108.3
 117.2
 296.4
 —
 —
 —
 108.3
 117.2
 296.4
Income (loss) before equity
   in earnings of
   unconsolidated affiliates
 419.8
 254.4
 244.4
 (10.8) (2.8) (7.1) 409.0
 251.6
 237.3
Equity in earnings of
   unconsolidated affiliates
 —
 25.1
 45.6
 
 —
 —
 —
 25.1
 45.6
Net income (loss)(2)
 419.8
 279.5
 290.0
 (10.8) (2.8) (7.1) 409.0
 276.7
 282.9
Net (income) loss attributable to
   non-controlling interests
 (7.3) 18.1
 22.2
 .1
 .4
 .1
 (7.2) 18.5
 22.3
Net income (loss) attributable to
   White Mountains's
   common shareholders
 412.5
 297.6
 312.2
 (10.7) (2.4) (7.0) 401.8
 295.2
 305.2
Other comprehensive income,
   net of tax (1)
 145.6
 (100.4) (104.9) —
 (7.4) 6.9
 145.6
 (107.8) (98.0)
Comprehensive income (loss) 558.1
 197.2
 207.3
 (10.7) (9.8) (.1) 547.4
 187.4
 207.2
Comprehensive (income) loss
   attributable to
   non-controlling interests
 (.3) —
 3.3
 —
 —
 —
 (.3) —
 3.3
Comprehensive income (loss)
  attributable to White
  Mountains's common shareholders
 $557.8
 $197.2
 $210.6
 $(10.7) $(9.8) $(.1) $547.1
 $187.4
 $210.5
                   
Basic and diluted earnings per
   share - continuing operations
 $(22.13) $27.63
 $(.24) $(2.15) $(.42) $(1.16) $(24.28) $27.21
 $(1.40)
(1) In 2015 and 2014, White Mountains recorded a foreign currency translation gain related to its investment in Symetra in net income when it should have been recorded through other comprehensive income. The correction to properly reflect the translation amount through other comprehensive income did not have any impact on comprehensive income attributable to White Mountains's common shareholders or to book value per share.
(2) The adjustment to net income resulted in a corresponding adjustment in the statement of cash flows, with an offsetting adjustment to the change in other assets and liabilities within the operating cash flows section. There was no change to cash flows from operations, cash flows from investing activities or cash flows from financing activities.

CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY

  As previously reported Adjustments As revised
   Years ended December 31,
Millions 2016 2015 2014 2016 2015 2014 2016 2015 2014
                   
Common shares and
   paid-in surplus
 $810.7
 $978.2
 $1,034.7
 $—
 $—
 $—
 $810.7
 $978.2
 $1,034.7
                   
Retained earnings,
  beginning of year
 3,084.9
 3,010.5
 2,801.9
 (9.9) (7.5) (.5) 3,075.0
 3,003.0
 2,801.4
Share repurchases (694.8) (217.2) (97.4) —
 —
 —
 (694.8) (217.2) (97.4)
Net income (loss) 412.5
 297.6
 312.2
 (10.7) (2.4) (7.0) 401.8
 295.2
 305.2
Dividends (5.4) (6.0) (6.2) —
 —
 —
 (5.4) (6.0) (6.2)
Retained earnings, end of year 2,797.2
 3,084.9
 3,010.5
 (20.6) (9.9) (7.5) 2,776.6
 3,075.0
 3,003.0
                   
Accumulated other
   comprehensive income,
   after tax, beginning of year
 (149.9) (49.5) 52.1
 —
 7.4
 .5
 (149.9) (42.1) 52.6
Net change in
   foreign currency translation
 31.4
 (65.8) (168.2) —
 (7.4) 6.9
 31.4
 (73.2) (161.3)
Net other changes in AOCI 113.9
 (34.6) 66.6
 —
 —
 —
 113.9
 (34.6) 66.6
Accumulated other
   comprehensive income,
   after tax, end of year
 (4.6) (149.9) (49.5) —
 —
 7.4
 (4.6) (149.9) (42.1)
                   
Total White Mountains
   Common Shareholders'
   Equity
 3,603.3
 3,913.2
 3,995.7
 (20.6) (9.9) (.1) 3,582.7
 3,903.3
 3,995.6
                   
Non-controlling interests,
   beginning of year
 454.8
 542.7
 491.7
 (.5) (.1) —
 454.3
 542.6
 491.7
Net income (loss) 7.3
 (18.1) (22.2) (.1) (.4) (.1) 7.2
 (18.5) (22.3)
Other changes in NCI (328.2) (69.8) 73.2
 —
 —
 —
 (328.2) (69.8) 73.2
Non-controlling interests,
   end of year
 133.9
 454.8
 542.7
 (.6) (.5) (.1) 133.3
 454.3
 542.6
                   
Total equity $3,737.2
 $4,368.0
 $4,538.4
 $(21.2) $(10.4) $(.2) $3,716.0
 $4,357.6
 $4,538.2



CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY (Unaudited)

  Nine months ended September 30, 2016 Six months ended June 30, 2017
Millions As previously reported Adjustments As revised As previously reported Adjustments As revised
             
Common shares and paid-in surplus $809.8
 $—
 $809.8
 $815.1
 $.7
 $815.8
             
Retained earnings, beginning of year 3,084.9
 (9.9) 3,075.0
 2,797.2
 (20.6) 2,776.6
Share repurchases (678.6) —
 (678.6) (7.2) —
 (7.2)
Net income (loss) 445.8
 (5.1) 440.7
 49.8
 (7.1) 42.7
Dividends (5.4) —
 (5.4) (4.6) —
 (4.6)
Retained earnings, end of period 2,846.7
 (15.0) 2,831.7
 2,835.2
 (27.7) 2,807.5
             
Accumulated other comprehensive income,
   after tax, beginning of year
 (149.9) —
 (149.9) (4.6) —
 (4.6)
Net change in foreign currency translation 32.0
 (.2) 31.8
 1.6
 (1.3) .3
Net other changes in AOCI 113.6
 —
 113.6
 —
 —
 —
Accumulated other comprehensive
   income, after tax, end of year
 (4.3) (.2) (4.5) (3.0) (1.3) (4.3)
             
Total White Mountains Common
   Shareholders' Equity
 3,652.2
 (15.2) 3,637.0
 3,647.3
 (28.3) 3,619.0
             
Non-controlling interests,
   beginning of year
 454.8
 (.5) 454.3
 133.9
 (.6) 133.3
Net income (loss) 24.6
 —
 24.6
 (13.4) .4
 (13.0)
Other changes in NCI (330.2) —
 (330.2) (3.7) (.7) (4.4)
Non-controlling interests, end of period 149.2
 (.5) 148.7
 116.8
 (.9) 115.9
             
Total equity $3,801.4
 $(15.7) $3,785.7
 $3,764.1
 $(29.2) $3,734.9



CONSOLIDATED BALANCE SHEETS

  December 31, 2016 December 31, 2015
Millions As previously reported Adjustments As revised As previously reported Adjustments As revised
Assets            
Investments $2,714.4
 $—
 $2,714.4
 $1,679.7
 $—
 $1,679.7
Cash 80.2
 —
 80.2
 77.8
 —
 77.8
Insurance premiums receivable 1.6
 —
 1.6
 1.3
 —
 1.3
Deferred acquisition costs 10.6
 —
 10.6
 6.9
 —
 6.9
Deferred tax asset —
 —
 —
 —
 —
 —
Accrued investment income 14.8
 —
 14.8
 3.8
 —
 3.8
Accounts receivable on unsettled investment sales 4.8
 —
 4.8
 11.4
 —
 11.4
Goodwill 31.7
 (5.8) 25.9
 24.1
 (5.5) 18.6
Intangible assets 23.0
 (3.7) 19.3
 28.9
 (2.0) 26.9
Assets held for sale 3,599.5
 —
 3,599.5
 8,365.6
 —
 8,365.6
Other assets 64.1
 (15.0) 49.1
 83.1
 (3.9) 79.2
Total assets $6,544.7
 $(24.5) $6,520.2
 $10,282.6
 $(11.4) $10,271.2
Liabilities            
Unearned insurance premiums $82.9
 $—
 $82.9
 $50.2
 $—
 $50.2
Debt 12.7
 —
 12.7
 64.7
 —
 64.7
Deferred tax liability —
 —
 —
 27.4
 —
 27.4
Accrued incentive compensation 95.7
 —
 95.7
 96.2
 —
 96.2
Liabilities held for sale 2,569.3
 —
 2,569.3
 5,618.1
 —
 5,618.1
Other liabilities 46.9
 (3.3) 43.6
 58.0
 (1.0) 57.0
Total liabilities 2,807.5
 (3.3) 2,804.2
 5,914.6
 (1.0) 5,913.6
             
Equity            
White Mountains's common shares 4.6
 —
 4.6
 5.6
 —
 5.6
Paid in surplus 806.1
 —
 806.1
 972.6
 —
 972.6
Retained earnings 2,797.2
 (20.6) 2,776.6
 3,084.9
 (9.9) 3,075.0
Accumulated other comprehensive income,
   net of tax
 (4.6) —
 (4.6) (149.9) —
 (149.9)
Total White Mountains's
   common shareholders' equity
 3,603.3
 (20.6) 3,582.7
 3,913.2
 (9.9) 3,903.3
Non-controlling interests 133.9
 (.6) 133.3
 454.8
 (.5) 454.3
Total equity 3,737.2
 (21.2) 3,716.0
 4,368.0
 (10.4) 4,357.6
Total liabilities and equity $6,544.7
 $(24.5) $6,520.2
 $10,282.6
 $(11.4) $10,271.2


CONSOLIDATED BALANCE SHEET (Unaudited)

  June 30, 2017
Millions As previously reported Adjustments As revised
Assets      
Investments $2,692.9
 $—
 $2,692.9
Cash 53.3
 —
 53.3
Insurance and reinsurance premiums receivable 2.8
 —
 2.8
Deferred acquisition costs 13.0
 —
 13.0
Accrued investment income 16.0
 —
 16.0
Accounts receivable on unsettled investment sales 199.5
 —
 199.5
Goodwill 31.7
 (5.8) 25.9
Intangible assets 17.8
 (3.4) 14.4
Assets held for sale 3,696.4
 —
 3,696.4
Other assets 62.8
 (19.7) 43.1
Total assets $6,786.2
 $(28.9) $6,757.3
Liabilities      
Unearned insurance premiums $109.9
 $—
 $109.9
Debt 10.6
 —
 10.6
Accrued incentive compensation 63.3
 —
 63.3
Accounts payable for unsettled investment purchases 114.6
 —
 114.6
Liabilities held for sale 2,678.8
 —
 2,678.8
Other liabilities 44.9
 .3
 45.2
Total liabilities 3,022.1
 .3
 3,022.4
       
Equity      
White Mountains's common shares 4.6
 —
 4.6
Paid in surplus 810.5
 .7
 811.2
Retained earnings 2,835.2
 (27.7) 2,807.5
Accumulated other comprehensive income, net of tax (3.0) (1.3) (4.3)
Total White Mountains's common shareholders' equity 3,647.3
 (28.3) 3,619.0
Non-controlling interests 116.8
 (.9) 115.9
Total equity 3,764.1
 (29.2) 3,734.9
Total liabilities and equity $6,786.2
 $(28.9) $6,757.3

Note 17. Contingencies

Legal Contingencies
White Mountains is subject to litigation and arbitration in the normal course of business. White Mountains considers the requirements of ASC 450 when evaluating its exposure to litigation and arbitration. ASC 450 requires that accruals be established for litigation and arbitration if it is probable that a loss has been incurred and it can be reasonably estimated. ASC 450 also requires that litigation and arbitration be disclosed if it is probable that a loss has been incurred or if there is a reasonable possibility that a loss may have been incurred. White Mountains does not have any current litigation that may have a material adverse effect on White Mountains’s financial condition, results of operations or cash flows.



Item 2.Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
 
The followingfollowing discussion contains “forward-looking statements”. White Mountains intends statements that are not historical in nature, which are hereby identified as forward-looking statements, to be covered by the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. White Mountains cannot promise that its expectations in such forward-looking statements will turn out to be correct. WhiteMountains’s actual results could be materially different from and worse than its expectations. See “FORWARD-LOOKING STATEMENTS” on page 81 for specific important factors that could cause actual results to differ materially from those contained in forward-looking statements.
The following discussion also include sixincludes twelve non-GAAP financial measuresmeasures: (i) adjusted book value per share, (ii) percentage change inBAM’s gross written premiums and MSC from new business, (iii) Ark’s adjusted book value per share for the third quarter of 2017, which includes the estimated gain from the OneBeacon Transaction as if it had closed on June 30, 2017, (iii)loss and loss adjustment expense ratio, (iv) Ark’s adjusted capital, (iv) return on common equity securities andinsurance acquisition expense ratio, (v) Ark’s adjusted other long-term investments including high-yield fixed maturity investments, (v) return on fixed maturity investments excluding high-yield fixed maturity investments andunderwriting expense ratio, (vi) Ark’s adjusted combined ratio (vii) NSM’s earnings before interest, taxes, depreciation and amortization ("EBITDA"(“EBITDA”), (viii) NSM’s adjusted EBITDA, (ix) Kudu’s EBITDA, (x) Kudu’s adjusted EBITDA, (xi) total consolidated portfolio returns excluding MediaAlpha and (xii) adjusted capital, that have been reconciled from their most comparable GAAP financial measures on page 76.75. White Mountains believes these measures to be useful in evaluating White Mountains’s financial performance and condition.


RESULTS OF OPERATIONS FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2017MARCH 31, 2021 AND 20162020


Overview
White Mountains ended the third quarter of 2017 withreported book value per share of $925$1,231 and adjusted book value per share of $906.$1,242 as of March 31, 2021. Book value per share increased 17% and 18% for the third quarter and first nine months of 2017, including dividends, and adjusted book value per share increased 17% and 15% fordecreased 2% in the thirdfirst quarter and first nine months of 2017,2021, including dividends. The decline was driven primarily by a decrease in the market price for White Mountains’s investment in MediaAlpha and a loss on the assets held for sale for NSM’s Fresh Insurance motor business and transaction expenses at Ark related to White Mountains’s acquisition. Book value per share and adjusted book value per share both decreased 4% in the first quarter of 2020, including dividends, driven primarily by White Mountains’s pre-tax total return on invested assets of -4.6%, as equity markets declined as the COVID-19 pandemic expanded.
Results in the first quarter of 2021 included $42 million of net realized and unrealized investment losses from White Mountains’s investment in MediaAlpha, as unrealized losses resulting from a decline in the MediaAlpha share price from $39.07 as of December 31, 2020 to $35.43 as of March 31, 2021 were partially offset by realized gains on shares sold in a secondary offering completed by MediaAlpha. On September 28, 2017, OneBeaconMarch 23, 2021, MediaAlpha completed a secondary offering of 8.05 million shares at $46.00 per share ($44.62 per share net of underwriting fees). In the secondary offering, White Mountains sold 3.6 million shares for net proceeds of $160 million. Following the completion of the offering, White Mountains owns 16.9 million shares, representing a 28.5% basic ownership interest (26.3% fully-diluted/fully-converted basis). At the March 31, 2021 closing price of $35.43 per share, the fair value of White Mountains remaining stake in MediaAlpha was acquired by Intact Financial Corporation$600 million. Subsequent to the secondary offering, each $1.00 per share increase or decrease in the market price of MediaAlpha will result in an all-cash transaction for $18.10approximate $5.50 per share (the “OneBeacon Transaction”). The increasesincrease or decrease in White Mountains’s book value per share and adjusted book value per share were primarily driven by the gain from the OneBeacon Transaction, good investment returns, and share repurchases at a discount to book value per share and adjusted book value per share as of September 30, 2017.
During the second quarter of 2017, White Mountains changed its calculation of adjusted book value per share (i) to include a discount for the time value of money arising from the expected timing of cash payments of principal and interest on the BAM Surplus Notes and (ii) to add back the unearned premium reserve, net of deferred acquisition costs, at HG Global. See “NON-GAAP FINANCIAL MEASURES” on page 76.
Including the estimated net gain from the OneBeacon Transaction as if it had closed on June 30, 2017, book value per share would have been approximately $908 and adjusted book value per share would have been approximately $890 as of June 30, 2017. Had the OneBeacon Transaction closed on June 30, 2017, White Mountains’s book value per share would have increased 1.9% and adjusted book value per share would have increased 1.8% for the third quarter of 2017, driven primarily by good investment returns. See NON-GAAP FINANCIAL MEASURES on page 76.
The net gain from the OneBeacon Transaction recorded in the third quarter of 2017 increased by $34 per share to $150 per share from the estimated net gain reported in the second quarter of 2017. Approximately $26 per share was attributable to the decrease in the book value per share denominator from share repurchases in the third quarter of 2017. The remainder of the increase was attributable to (1) $4 per share from OneBeacon’s regular dividend, which was paid during the third quarter of 2017, and (2) $4 per share from OneBeacon’s loss from operations. OneBeacon’s results from operations reduced OneBeacon’s equity in the period between signing and closing, thereby increasing the gain recorded on the OneBeacon Transaction because the OneBeacon Transaction was a fixed price deal.
The GAAP total return on invested assets, including continuing operations and discontinued operations, was 1.4% and 4.3% for the third quarter and first nine months of 2017 compared to 0.9% and 3.3% for the third quarter and first nine months of 2016.

The fixed income portfolio returned 0.9% and 2.7% for the third quarter and first nine months of 2017, outperforming the longer duration Bloomberg Barclays U.S. Intermediate Aggregate Index returns of 0.7% and 2.3%, as interest rates rose in both periods. White Mountains’s portfolio of common equity securities, other long-term investments and high-yield fixed maturity investments returned 2.4% and 8.6% for the third quarter and first nine months of 2017, underperforming the S&P 500 Index returns of 4.5% and 14.2%. The underperformance versus the S&P 500 Index return for the third quarter and first nine months of 2017 was primarily a result of asset allocation, as high yield fixed maturity investments failed to keep pace with the S&P 500 Index, and unfavorable performance in other long-term investments, primarily attributable to losses from foreign currency forward contracts. The losses from the foreign currency forward contracts were offset by the currency gains from non-USD denominated fixed maturity investments and non-USD denominated common equity securities. See Summary of Investment Results on page 65.
During the third quarter of 2017, White Mountains repurchased and retired 821,842 of its common shares for $715
million at an average price per share of $870, or approximately 94% of White Mountains’s September 30, 2017 book value per share and 96% of White Mountains’s September 30, 2017 adjusted book value per share.
BAM’s grossGross written premiums and member surplus contributionsMSC collected in the HG Global/BAM segment totaled $19 million and $68$26 million in the thirdfirst quarter and first nine months of 2017,2021, compared to $21 million and $53$20 million in the thirdfirst quarter and first nine months of 2016. Total pricing, which is premiums plus member surplus contributions weighted by the par value of bonds insured, was 103 and 99 basis points in the third quarter and first nine months of 2017, up from 69 and 63 basis points in the third quarter and first nine months of 2016.2020. BAM insured municipal bonds with par value of $2.0 billion and $7.1$3.5 billion in the thirdfirst quarter and first nine months of 2017,2021, compared to $3.0 billion and $8.5 billion in the third quarter and first nine months of 2016. For the third quarter of 2017,2020. In the decreasefirst quarter of 2021, BAM completed an assumed reinsurance transaction to reinsure municipal bonds with a par value of $0.8 billion. Total pricing was primarily due to lower new municipal bond issuance volume74 basis points in the first quarter of 2021, compared to 66 basis points in the thirdfirst quarter of 2016. For the first nine months of 2017, the lower insured volume was also due to rating uncertainty during Standard & Poor's review of BAM in the second quarter of 2017.2020. BAM’s total claims paying resources were $1,144 million as of March 31, 2021, compared to $987 million as of December 31, 2020 and $930 million as of March 31, 2020. In the first quarter of 2021, BAM completed a reinsurance agreement with Fidus Re, Ltd. (“Fidus Re”) that increased $43BAM’s claims paying resources by $150 million.
On January 1, 2021, White Mountains closed the Ark Transaction. Ark’s GAAP combined ratio was 109% in the first quarter of 2021. Ark’s adjusted combined ratio, which adds back amounts ceded to insurance and reinsurance groups that provide third party capital (“TPC Providers”), was 108% in the first quarter of 2021. The adjusted combined ratio included 17 points of catastrophe losses, of which 14 points related to Winter Storm Uri. In the first quarter of 2021, gross written premiums, net written premiums and net earned premiums were $405 million, $342 million and $105 million. Gross written premiums in the first quarter of 2021 were more than double Ark’s gross written premiums in the first quarter of 2020 (prior to $687White Mountains’s ownership of Ark), with blended renewal pricing up over 10%. Ark reported pre-tax loss of $33 million in the first nine monthsquarter of 2017, compared2021, which included $25 million of transaction expenses related to an increasethe Ark Transaction. In the first quarter of $282021, AM Best assigned a financial strength rating of “A/stable” to Group Ark Insurance Ltd (“GAIL”), Ark’s wholly-owned Bermuda based insurance and reinsurance company.
49

NSM reported pre-tax loss of $33 million, to $629adjusted EBITDA of $14 million, and commission and other revenues of $75 million in the first nine monthsquarter of 2016.
MediaAlpha’s2021, compared to pre-tax loss wasof $1 million, adjusted EBITDA of $11 million, and $3commission and other revenues of $65 million in the thirdfirst quarter of 2020. NSM’s pre-tax loss in the first quarter of 2021 includes a loss of $29 million related to the sale of its Fresh Insurance motor business. Results for the first quarter of 2021 include the results of Kingsbridge Group Limited (“Kingsbridge”), a leading provider of commercial lines insurance and first nine monthsconsulting services to the contingent workforce in the United Kingdom, which was acquired by NSM on April 7, 2020.
Kudu reported pre-tax income of 2017, compared to $1$16 million, adjusted EBITDA of $6 million and $3 million in both the third quarter and first nine monthstotal revenues of 2016. MediaAlpha’s earnings before interest, taxes, depreciation and amortization (“EBITDA”) of $2 million and $5$24 million in the thirdfirst quarter and first nine months of 2017,2021, compared to $1pre-tax loss of $21 million, adjusted EBITDA of $6 million and $6total revenues of $(17) million in the third quarter and first nine months of 2016. For the third quarter of 2017, the increase in EBITDA was primarily driven by increased gross profit contributions from the P&C and Health/Life verticals of $1 million. For2020. In the first nine monthsquarter of 2017,2021, Kudu deployed $11 million in an existing portfolio company. As of March 31, 2021, Kudu has deployed $397 million in 13 investment management firms, with an average cash yield to Kudu at inception of 10.3%. The firms have total assets under management of approximately $48 billion, spanning a range of asset classes, including real estate, real assets, wealth management, hedge funds, private equity and alternative credit strategies. On March 23, 2021, Kudu replaced its existing secured bank facility with a new secured revolving credit facility (the “Kudu Credit Facility”). Subject to maximum LTV levels, the decreasemaximum borrowing capacity of the Kudu Credit Facility is $300 million (which includes the initial advanced amount of $102 million).
White Mountains’s pre-tax total return on invested assets was -0.3% in EBITDAthe first quarter of 2021. This return included $42 million of net realized and unrealized investment losses from MediaAlpha. Excluding MediaAlpha, the total return on invested assets was 0.7% in the first quarter of 2021. Excluding MediaAlpha, investment returns in the first quarter of 2021 were driven primarily driven by increased operating expenses of $2 million,favorable other long-term investments results, partially offset by an increase in gross profitthe impact of $1 million.
In October 2017, White Mountains discovered thatrising interest rates on the former CEO of Wobi, one of its overseas portfolio companies, had been reporting overstated commission revenues and related receivables to White Mountains. As a result, White Mountains has revised certain of its previously issued financial statements. The revisions resulted in reductions to commission revenues and commissions receivable. In addition, the overstatements led White Mountains to write down the goodwill and other intangible assets related to Wobi to zero. See Note 16 — “Financial Statement Revisions” on page 43. Upon discovery of the overstatements, White Mountains initiated an investigation, conducted by outside counsel, of the reporting of these overstatements by Wobi to White Mountains. That investigation is complete. Wobi is conducting a separate investigation with the assistance of Israeli counsel to support the preparation of Wobi’s standalone financial statements. The results of that separate investigation, which is ongoing, are not expected to impactfixed income portfolio. White Mountains’s financial statements.pre-tax total return on invested assets was -4.6% in the first quarter of 2020. This return included $32 million of net investment income and net unrealized investment gains from MediaAlpha. Excluding MediaAlpha, the total return on invested assets was -6.1% in the first quarter of 2020. Excluding MediaAlpha, investment returns in the first quarter of 2020 were driven primarily by the decline in equity markets in reaction to the COVID-19 pandemic.



Adjusted Book Value Per Share
During the second quarter of 2017, White Mountains changed its calculation of adjusted book value per share (i) to include a discount for the time value of money arising from the expected timing of cash payments of principal and interest on the BAM Surplus Notes and (ii) to add back the unearned premium reserve, net of deferred acquisition costs, at HG Global. See NON-GAAP FINANCIAL MEASURES on page 76.
The following table presents White Mountains’s book value per share and reconciles it to adjusted book value per share, a non-GAAP measure. See NON-GAAP FINANCIAL MEASURES on page 75.
 March 31, 2021December 31, 2020March 31, 2020
Book value per share numerators (in millions):
White Mountains’s common shareholders’ equity -
  GAAP book value per share numerator		$3,825.9 $3,906.0 $3,076.7 
Time value of money discount on expected future payments
  on the BAM Surplus Notes (1)
(137.7)(142.5)(149.2)
HG Global’s unearned premium reserve (1)
195.3 190.0 160.5 
HG Global’s net deferred acquisition costs (1)
(54.2)(52.4)(42.9)
Adjusted book value per share numerator$3,829.3 $3,901.1 $3,045.1 
Book value per share denominators
   (in thousands of shares):
Common shares outstanding - GAAP book value per share
  denominator		3,107.3 3,102.0 3,135.0 
Unearned restricted common shares(23.4)(14.8)(26.9)
Adjusted book value per share denominator3,083.9 3,087.2 3,108.1 
GAAP book value per share$1,231.27 $1,259.18 $981.39 
Adjusted book value per share$1,241.71 $1,263.64 $979.74 
Year-to-date dividends paid per share$1.00 $1.00 $1.00 
  September 30, 2017 June 30, 2017 December 31, 2016 September 30, 2016
Book value per share numerators (in millions):        
White Mountains’s common shareholders’ equity $3,468.8
 $3,619.0
 $3,582.7
 $3,637.0
Future proceeds from options (1)
 —
 —
 29.7
 89.0
Time-value of money discount on expected future payments
   on the BAM Surplus Notes (2)
 (161.8) (166.7) N/A N/A
HG Global’s unearned premium reserve (2)
 88.4
 81.5
 N/A N/A
HG Global’s net deferred acquisition costs (2)
 (19.6) (17.6) N/A N/A
Adjusted book value per share numerator $3,375.8
 $3,516.2
 $3,612.4
 $3,726.0
Book value per share denominators (in thousands of shares):    
  
  
Common shares outstanding 3,750.0
 4,571.6
 4,563.8
 4,578.7
Unearned restricted shares (22.7) (27.4) (25.9) (31.8)
Options assumed issued (1)
 —
 —
 40.0
 120.0
Adjusted book value per share denominator 3,727.3
 4,544.2
 4,577.9
 4,666.9
GAAP book value per share $925.04
 $791.61
 $785.01
 $794.33
Adjusted book value per share $905.72
 $773.77
 $789.08
 $798.40
Year-to-date dividends paid per share $1.00
 $1.00
 $1.00
 $1.00
(1) Adjusted book value per share at December 31, 2016 and September 30, 2016 includes the impact of non-qualified stock options that were exercisable for $742 per common share. All non-qualified options were exercised prior to their expiration date of January 20, 2017.
(2) Amount reflects White Mountains’s preferred share ownership in HG Global of 96.9%.

50

Goodwill and Other Intangible Assets

The following table ispresents a summary of goodwill and other intangible assets that are included in White Mountains’s book value as of September 30, 2017,March 31, 2021, December 31, 2016,2020, and September 30, 2016:March 31, 2020:
MillionsMarch 31, 2021December 31, 2020March 31, 2020
Goodwill:
Ark$116.8 $— $— 
NSM477.7 506.4 379.1 
Kudu7.6 7.6 7.6 
Other Operations11.3 11.5 5.7 
Total goodwill613.4 525.5 392.4 
Other intangible assets:
Ark175.7 — — 
NSM222.0 230.4 236.1 
Kudu1.5 1.6 1.9 
Other Operations24.4 24.9 16.4 
Total other intangible assets423.6 256.9 254.4 
Total goodwill and other intangible assets (1)
1,037.0 782.4 646.8 
Goodwill and other intangible assets attributed to non-controlling
   interests		(108.4)(28.1)(23.5)
Goodwill and other intangible assets included in White Mountains’s
   common shareholders’ equity		$928.6 $754.3 $623.3 
Millions September 30, 2017 December 31, 2016 September 30, 2016
Goodwill      
MediaAlpha $18.3
 $18.3
 $18.3
Buzzmove 7.6
 7.6
 7.6
Total goodwill 25.9
 25.9
 25.9
Other intangible assets      
MediaAlpha 11.0
 18.3
 20.7
Buzzmove 0.9
 1.0
 1.1
Total other intangible assets 11.9
 19.3
 21.8
Total goodwill and other intangible assets (1)
 37.8
 45.2
 47.7
Goodwill and other intangible assets held for sale —
 1.2
 6.7
Goodwill and other intangible assets attributed to non-controlling interests (13.7) (17.1) (18.2)
Goodwill and other intangible assets included in White Mountains's
common shareholders' equity		 $24.1
 $29.3
 $36.2
(1)See Note 46 — “Goodwill and Other Intangible Assets” for details of goodwill and other intangible assets.

51


ReviewSummary of Consolidated Results

The following table presents White Mountains’s consolidated financial results for the three and nine months ended September 30, 2017March 31, 2021 and 2016 follow:2020:
Three Months Ended
 March 31,
Millions20212020
Revenues  
Financial Guarantee revenues$(6.7)$17.5 
P&C Insurance and Reinsurance revenues109.1 — 
Specialty Insurance Distribution revenues74.8 65.0 
Asset Management revenues24.1 (17.4)
Other Operations revenues(23.1)(124.3)
Total revenues178.2 (59.2)
Expenses
Financial Guarantee expenses18.3 16.4 
P&C Insurance and Reinsurance expenses141.6 — 
Specialty Insurance Distribution expenses108.1 66.4 
Asset Management expenses8.4 4.0 
Other Operations expenses40.5 20.0 
Total expenses316.9 106.8 
Pre-tax income (loss)
Financial Guarantee pre-tax (loss) income(25.0)1.1 
P&C Insurance and Reinsurance pre-tax loss(32.5)— 
Specialty Insurance Distribution pre-tax loss(33.3)(1.4)
Asset Management pre-tax income (loss)15.7 (21.4)
Other Operations pre-tax loss(63.6)(144.3)
Total pre-tax loss(138.7)(166.0)
Income tax benefit9.5 25.5 
Net loss from continuing operations(129.2)(140.5)
Net income from sale of discontinued operations, net
   of tax		18.7 .9 
Net loss(110.5)(139.6)
Net loss attributable to non-controlling interests35.2 10.8 
Net loss attributable to White Mountains’s
   common shareholders		(75.3)(128.8)
Other comprehensive income (loss), net of tax1.8 (3.4)
Comprehensive loss(73.5)(132.2)
Comprehensive income attributable to non-controlling
   interests		(.1)— 
Comprehensive loss attributable to White
   Mountains’s common shareholders		$(73.6)$(132.2)




52
  Three Months Ended Nine Months Ended
  September 30, September 30,
Millions 2017 2016 2017 2016
Gross written premiums $10.9
 $12.3
 $42.9
 $35.9
Net written premiums $10.9
 $10.7
 $43.7
 $30.3
Revenues      
  
Earned insurance premiums $2.4
 $3.4
 $7.6
 $10.2
Net investment income 12.2
 9.6
 39.7
 18.2
Net realized and unrealized investment gains 32.5
 10.9
 102.5
 27.2
Advertising and commission revenues 38.8
 28.2
 103.9
 89.6
Other revenue 1.6
 4.7
 6.1
 18.0
Total revenues 87.5
 56.8
 259.8
 163.2
Expenses      
  
Loss and loss adjustment expenses —
 2.2
 1.1
 6.8
Insurance acquisition expenses .9
 1.3
 3.1
 4.4
Other underwriting expenses .1
 .2
 .3
 .4
Cost of sales 33.1
 24.0
 88.7
 76.9
General and administrative expenses 41.7
 39.9
 154.9
 137.0
General and administrative expenses—intangible asset amortization 2.4
 2.5
 7.3
 7.9
Interest expense .9
 .5
 1.8
 2.6
Total expenses 79.1
 70.6
 257.2
 236.0
Pre-tax (loss) income from continuing operations 8.4
 (13.8) 2.6
 (72.8)
Income tax benefit 4.0
 17.1
 5.3
 22.7
Net income (loss) from continuing operations 12.4
 3.3
 7.9
 (50.1)
Income on sale of discontinued operations, net of tax 554.3
 47.9
 552.7
 414.5
Net (loss) income from discontinued operations, net of tax (15.2) 36.5
 20.5
 100.9
Net income 551.5
 87.7
 581.1
 465.3
Net loss (income) attributable to non-controlling interests 10.6
 3.1
 23.6
 (24.6)
Net income attributable to White Mountains’s common shareholders 562.1
 90.8
 604.7
 440.7
Change in foreign currency translation, net of tax —
 .2
 .2
 (.4)
Change in foreign currency translation and other from
    discontinued operations, net of tax
 3.0
 (.3) 3.2
 145.8
Comprehensive income 565.1
 90.7
 608.1
 586.1
Comprehensive income attributable to non-controlling interests —
 .1
 (.1) .1
Comprehensive income attributable to White Mountains’s
    common shareholders
 $565.1
 $90.8
 $608.0
 $586.2


Consolidated Results - Three Months EndedSeptember 30, 2017 versus Three Months EndedSeptember 30, 2016
White Mountains’s total revenues increased 54% to $88 million in the second quarter of 2017, driven by higher investment returns. Net realized and unrealized investment gains increased to $33 million in the third quarter of 2017, compared to $11 million in the third quarter of 2016. Net investment income was $12 million in the third quarter of 2017 compared to $10 million in the third quarter of 2016. The improved investment results were driven primarily by higher equity returns in the third quarter of 2017 compared to the third quarter of 2016. See Summary of Investment Results on page 65. Advertising and commission revenues were $39 million in the third quarter of 2017, compared to $28 million in third quarter of 2016. The increase was primarily driven by $6 million of revenue growth in MediaAlpha's property and casualty (“P&C”) verticals, which includes auto, motorcycle, and home insurance, and $5 million of revenue growth in the non-P&C verticals, which include Health/Life, Travel and other verticals.
White Mountains’s total expenses increased 12% to $79 million in the third quarter of 2017, primarily due to cost of sales, which increased 38% to $33 million in the third quarter of 2017, compared to $24 million in the third quarter of 2016. The increase in cost of sales was driven by the 37% increase in revenue at MediaAlpha.


White Mountains’s effective tax rate for the third quarter 2017 was (47.6)%. White Mountains’s effective tax rate related to pre-tax income from continuing operations for the third quarter of 2017 was different from the U.S. statutory rate of 35% primarily due to a full valuation allowance on all U.S. operations, a tax benefit recorded at BAM, and consolidated pre-tax loss being near break-even.  For the third quarter of 2017, BAM had amounts recorded in shareholders’ equity related to its member surplus contributions that were available to partially offset its loss from continuing operations.  As a result, BAM recorded a tax benefit of $2 million in net income from continuing operations, with an offsetting amount recorded in shareholders’ equity. 
White Mountains’s effective tax rate for the third quarter of 2016 was (123.9)%. White Mountains’s effective tax rate related to pre-tax loss from continuing operations for the third quarter of 2016 was different from the U.S. statutory rate of 35%, primarily due to a full valuation allowance on all U.S. operations and changes in forecasted earnings by jurisdiction used in determining interim tax expense. The rate was also impacted by a $14 million tax benefit recognized in continuing operations related to the reversal of a valuation allowance on income that was recognized within discontinued operations. For the third quarter of 2016, BAM had amounts recorded in shareholders’ equity related to member surplus contributions that were available to partially offset its loss from continuing operations. As a result, BAM recorded a tax benefit of $3 million in net income from continuing operations, with an offsetting amount recorded in shareholders’ equity.

Consolidated Results - Nine Months Ended September 30, 2017 versus Nine Months Ended September 30, 2016
White Mountains’s total revenues increased 59% to $260 million in the first nine months of 2017, driven by higher investment returns. Net realized and unrealized investment gains increased to $103 million in the first nine months of 2017, compared to $27 million in the first nine months of 2016. Net investment income was $40 million in the first nine months of 2017 compared to $18 million in the first nine months of 2016. The improved investment results were driven primarily by higher equity returns in the first nine months of 2017 compared to the first nine months of 2016 and a larger invested asset base after receiving the proceeds from the sale of Sirius Group in the second quarter of 2016. See Summary of Investment Results on page 65. Advertising and commission revenues were $104 million in the first nine months of 2017, compared to $90 million in the first nine months of 2016. The increase was primarily driven by the continued growth in MediaAlpha’s non-P&C verticals.
White Mountains’s total expenses increased 9% to $257 million in the first nine months of 2017, primarily due to general and administrative expenses, which increased 13% to $155 million in the first nine months of 2017, and cost of sales, which increased 15% to $89 million in the first nine months of 2017. The increase in general and administrative expenses was driven by compensation expenses related to former company executives and higher incentive compensation costs resulting from the OneBeacon Transaction.  The increase in cost of sales was driven by the 14% increase in revenue at MediaAlpha.
White Mountains’s effective tax rate for the first nine months of 2017 was (203.9)%. White Mountains’s effective tax rate related to pre-tax income from continuing operations for the first nine months of 2017 was different from the U.S. statutory rate of 35%, primarily due to a full valuation allowance on all U.S. operations, a tax benefit recorded at BAM and consolidated pre-tax income being near break-even.  For the first nine months of 2017, BAM had amounts recorded in shareholders’ equity related to its member surplus contributions that were available to partially offset its loss from continuing operations.  As a result, BAM recorded a tax benefit of $7 million in net income from continuing operations, with an offsetting amount recorded in shareholders’ equity. 
White Mountains’s effective tax rate for the first nine months of 2016 was (31.2)%. White Mountains’s effective tax rate related to pre-tax loss from continuing operations for the first nine months of 2016 was different from the U.S. statutory rate of 35%, primarily due to a full valuation allowance on all U.S. operations and changes in forecasted earnings by jurisdiction used in determining interim tax expense. The rate was also impacted by a $14 million tax benefit recognized in continuing operations related to the reversal of a valuation allowance on income that was recognized within discontinued operations. For the first nine months of 2016, BAM had amounts recorded in shareholders’ equity related to member surplus contributions that were available to partially offset its loss from continuing operations. As a result, BAM recorded a tax benefit of $8 million in net income from continuing operations, with an offsetting amount recorded in shareholders’ equity.


I. Summary of Operations By Segment
 

As of March 31, 2021,White Mountains conductsconducted its operations through threefive segments: (1) HG Global/BAM, (2) MediaAlphaArk, (3) NSM, (4) Kudu and (3)(5) Other Operations. While investment results are included in HG Global/BAM and Other Operations, White Mountains manages the majority of its investments through its wholly-owned subsidiary, WM Advisors. Accordingly, aA discussion of White Mountains’s consolidated investment operations is included after the discussion of operations by segment. White Mountains’s segment information is presented in Note 1115 — “Segment Information” to the Consolidated Financial Statements.
As a result of the Sirius Group and Tranzact sales and the OneBeaconArk Transaction, the resultsWhite Mountains began consolidating Ark in its financial statements as of operations for Sirius Group, Tranzact and OneBeacon have been classified as discontinued operations and are now presented separately, net of related income taxes, in the statement of comprehensive income. Prior year amounts have been reclassified to conform to the current period’s presentation.January 1, 2021. See Note 152 — “Held for Sale and Discontinued Operations”“Significant Transactions”.


HG Global/BAM


The following tables present the components of pre-tax income (loss) included in White Mountains’s HG Global/BAM segment related to the consolidation of HG Global, which includes HG Re and its other wholly-owned subsidiaries, and BAM for the three months ended March 31, 2021 and 2020:
 Three Months Ended March 31, 2021
MillionsHG GlobalBAMEliminationsTotal
Direct written premiums$— $8.0 $— $8.0 
Assumed written premiums10.7 4.5 (10.7)4.5 
Gross written premiums10.7 12.5 (10.7)12.5 
Ceded written premiums— (10.7)10.7 — 
Net written premiums$10.7 $1.8 $— $12.5 
Earned insurance premiums$5.3 $1.1 $— $6.4 
Net investment income1.8 2.7 — 4.5 
Net investment income - BAM Surplus Notes3.0 — (3.0)— 
Net realized and unrealized investment gains(9.9)(8.0)— (17.9)
Other revenue.1 .2 — .3 
Total revenues0.3 (4.0)(3.0)(6.7)
Insurance acquisition expenses1.5 .4 — 1.9 
General and administrative expenses.6 15.8 — 16.4 
Interest expense - BAM Surplus Notes— 3.0 (3.0)— 
Total expenses2.1 19.2 (3.0)18.3 
Pre-tax loss$(1.8)$(23.2)$— $(25.0)
Supplemental information:
     MSC collected (1)
$— $13.8 $— $13.8 
(1) MSC are recorded directly to BAM’s equity, which is recorded as non-controlling interest on White Mountains’s balance sheet.

53

 Three Months Ended March 31, 2020
MillionsHG GlobalBAMEliminationsTotal
Direct written premiums$— $9.7 $— $9.7 
Assumed (ceded) written premiums8.3 — (8.3)— 
Gross written premiums8.3 9.7 (8.3)9.7 
Ceded written premiums— (8.3)8.3 — 
Net written premiums$8.3 $1.4 $— $9.7 
Earned insurance premiums$4.4 $1.0 $— $5.4 
Net investment income2.3 3.2 — 5.5 
Net investment income - BAM Surplus Notes4.8 — (4.8)— 
Net realized and unrealized investment gains1.4 4.7 — 6.1 
Other revenue— .5 — .5 
Total revenues12.9 9.4 (4.8)17.5 
Insurance acquisition expenses1.0 .7 — 1.7 
General and administrative expenses.5 14.2 — 14.7 
Interest expense - BAM Surplus Notes— 4.8 (4.8)— 
Total expenses1.5 19.7 (4.8)16.4 
Pre-tax income (loss)$11.4 $(10.3)$— $1.1 
Supplemental information:
     MSC collected (1)
$— $10.0 $— $10.0 
(1) MSC are recorded directly to BAM’s equity, which is recorded as non-controlling interest on White Mountains’s balance sheet.

HG Global/BAM Results—Three Months Ended March 31, 2021 versus Three Months Ended March 31, 2020
BAM is a mutual insurance company whose affairs are managedrequired to prepare its financial statements on a statutory accounting basis for the NYDFS and it does not report stand-alone GAAP financial results. BAM is owned by its members, the municipalities that purchase BAM’s insurance for their debt issuances. BAM charges an insurance premium on each municipal bond insurance policy it insures.writes. A portion of the premium is MSC and the remainder is a member surplus contribution, whichrisk premium. In the event of a municipal bond refunding, a portion of the MSC from original issuance can be reutilized, in effect serving as a credit against the total insurance premium on the refunding of the municipal bond. Issuers of debt insured by BAM are members of BAM so long as any of their BAM-insured debt is contributed to BAM’s qualified statutory capitaloutstanding, and conveys to the issueras members they have certain interests in BAM, including the right to vote for BAM’s directors and to receive dividends in the future, subject to regulatory approval. The remainder is a risk premium, which is recorded as grossif declared.
Gross written premiums.
During the second quarter of 2017, in order to further support BAM’s long-term capital positionpremiums and business prospects, HG Global agreed to contribute the $203 million Series A BAM Surplus Notes (“Series A Notes”) into the supplemental collateral trust (the “Supplemental Trust”) at HG Re, HG Global’s wholly owned reinsurance subsidiary. The Supplemental Trust already holds the $300 million Series B BAM Surplus Notes (“Series B Notes” and, collectively with the Series A Notes, the “BAM Surplus Notes”). Assets heldMSC collected in the Supplemental Trust serve to collateralize HG Re’s obligations to BAM under the first loss reinsurance treaty between BAM and HG Re. HG Global and BAM also agreed to change the payment terms of the Series B Notes, so that payments will reduce principal and accrued interest on a pro rata basis, consistent with the payment terms on the Series A Notes. The terms of the Series B Notes had previously stipulated that payments would first reduce interest owed, then reduce principal owed once all accrued interest had been paid. The New York Department of Financial Services approved these changes in the third quarter of 2017.
During the second quarter of 2017, HG Global and BAM also made certain changes to the ceding commission arrangements under the reinsurance treaty between HG Re and BAM. These changes will accelerate growth in BAM’s statutory capital but will not impact the net risk premium ceded from BAM to HG Re. 
On June 6, 2017, S&P placed BAM on credit watch negative and initiated a detailed review of BAM’s financial strength rating. On June 26, 2017, S&P concluded its review and affirmed BAM’s “AA/Stable” financial strength rating.
The following table presents the components of pre-tax income included in White Mountains’s HG Global/BAM segment related tototaled $26 million in the consolidation of HG Global, which includes HG Re and its other wholly-owned subsidiaries, and BAM for the three and nine months endedSeptember 30, 2017 and 2016:

  Three Months Ended September 30, 2017
Millions HG Global BAM Eliminations Total
Gross written premiums $—
 $10.9
 $—
 $10.9
Assumed (ceded) written premiums 9.0
 (9.0) —
 —
Net written premiums $9.0
 $1.9
 $—
 $10.9
         
Earned insurance premiums $1.8
 $.6
 $—
 $2.4
Net investment income 1.0
 2.3
 —
 3.3
Net investment income - BAM Surplus Notes 4.8
 —
 (4.8) —
Net realized and unrealized investment gains .1
 .7
 —
 0.8
Other revenue —
 .2
 —
 .2
Total revenues 7.7
 3.8
 (4.8) 6.7
Insurance acquisition expenses .4
 .5
 —
 .9
Other underwriting expenses —
 .1
 —
 .1
General and administrative expenses .3
 10.3
 —
 10.6
Interest expense - BAM Surplus Notes —
 4.8
 (4.8) —
Total expenses .7
 15.7
 (4.8) 11.6
Pre-tax income (loss) $7.0
 $(11.9) $—
 $(4.9)
Supplemental information:        
     Member Surplus Contributions (1)
 $—
 $8.4
 $—
 $8.4
  Three Months Ended September 30, 2016
Millions HG Global BAM Eliminations Total
Gross written premiums $—
 $9.2
 $—
 $9.2
Assumed (ceded) written premiums 6.2
 (6.2) —
 —
Net written premiums $6.2
 $3.0
 $—
 $9.2
         
Earned insurance premiums $1.2
 $.3
 $—
 $1.5
Net investment income .6
 1.7
 —
 2.3
Net investment income - BAM Surplus Notes 4.5
 —
 (4.5) —
Net realized and unrealized investment gains (.3) (1.6) —
 (1.9)
Other revenue —
 .4
 —
 .4
Total revenues 6.0
 .8
 (4.5) 2.3
Insurance acquisition expenses .2
 .6
 —
 .8
Other underwriting expenses —
 .1
 —
 .1
General and administrative expenses .6
 9.3
 —
 9.9
Interest expense - BAM Surplus Notes —
 4.5
 (4.5) —
Total expenses .8
 14.5
 (4.5) 10.8
Pre-tax income (loss) $5.2
 $(13.7) $—
 $(8.5)
Supplemental information:        
     Member Surplus Contributions (1)
 $—
 $11.5
 $—
 $11.5
(1) Member surplus contributions are recorded directly to BAM's equity, which is recorded as non-controlling interest on White Mountains's balance sheet.


  Nine Months Ended September 30, 2017
Millions HG Global BAM Eliminations Total
Gross written premiums $—
 $42.0
 $—
 $42.0
Assumed (ceded) written premiums 35.4
 (35.4) —
 —
Net written premiums $35.4
 $6.6
 $—
 $42.0
         
Earned insurance premiums $5.0
 $1.6
 $—
 $6.6
Net investment income 2.4
 6.5
 —
 8.9
Net investment income - BAM Surplus Notes 14.3
 —
 (14.3) —
Net realized and unrealized investment gains .4
 2.8
 —
 3.2
Other revenue —
 .8
 —
 .8
Total revenues 22.1
 11.7
 (14.3) 19.5
Insurance acquisition expenses 1.0
 2.0
 —
 3.0
Other underwriting expenses —
 .3
 —
 .3
General and administrative expenses .8
 30.7
 —
 31.5
Interest expense - BAM Surplus Notes —
 14.3
 (14.3) —
Total expenses 1.8
 47.3
 (14.3) 34.8
Pre-tax income (loss) $20.3
 $(35.6) $—
 $(15.3)
Supplemental information:        
     Member Surplus Contributions (1)
 $—
 $25.7
 $—
 $25.7
(1) Member Surplus Contributions are recorded directly to BAM's equity, which is recorded as non-controlling interest on White Mountains's balance sheet.
  Nine Months Ended September 30, 2016
Millions HG Global BAM Eliminations Total
Gross written premiums $—
 $24.9
 $—
 $24.9
Assumed (ceded) written premiums 18.0
 (18.0) —
 —
Net written premiums $18.0
 $6.9
 $—
 $24.9
         
Earned insurance premiums $3.1
 $1.0
 $—
 $4.1
Net investment income 1.6
 5.1
 —
 6.7
Net investment income - BAM Surplus Notes 13.4
 —
 (13.4) —
Net realized and unrealized investment gains 2.3
 6.5
 —
 8.8
Other revenue —
 .8
 —
 .8
Total revenues 20.4
 13.4
 (13.4) 20.4
Insurance acquisition expenses .6
 1.9
 —
 2.5
Other underwriting expenses —
 .3
 —
 .3
General and administrative expenses 1.4
 28.1
 —
 29.5
Interest expense - BAM Surplus Notes —
 13.4
 (13.4) —
Total expenses 2.0
 43.7
 (13.4) 32.3
Pre-tax income (loss) $18.4
 $(30.3) $—
 $(11.9)
Supplemental information:        
     Member Surplus Contributions (1)
 $—
 $28.2
 $—
 $28.2
(1) Member Surplus Contributions are recorded directly to BAM's equity, which is recorded as non-controlling interest on White Mountains's balance sheet.


HG Global/BAM Results—Three Months Ended September 30, 2017 versus Three Months Ended September 30, 2016
In the thirdfirst quarter of 2017,2021, compared to $20 million in the first quarter of 2020. BAM insured $2.0$3.5 billion of municipal bonds, $1.9$2.5 billion of which were in the primary market, in the first quarter of 2021, compared to $3.0 billion of municipal bonds, $2.7$2.5 billion of which were in the primary market, insured in the thirdfirst quarter of 2016. The decrease in2020. In the first quarter of 2021, BAM completed an assumed reinsurance transaction to reinsure municipal bonds with a par value insured by BAM in the third quarter of 2017 was primarily due to 22% lower new municipal bond issuance volume in the third quarter of 2017 compared to the third quarter of 2016. Gross$805 million.
Total pricing, which reflects both gross written premiums and member surplus contributions totaled $19 million for the third quarter of 2017, comparedMSC from new business, increased to $21 million for the third quarter of 2016. Total pricing, which is gross written premiums plus member surplus contributions, weighted by the par value of bonds insured, was 10374 basis points in the thirdfirst quarter of 2017, up from 692021, compared to 66 basis points in the thirdfirst quarter of 2016. 2020. See “NON-GAAP FINANCIAL MEASURES” on page 75. The increase in total pricing was driven primarily by an increase in pricing in the primary market and an assumed reinsurance transaction in the first quarter of 2021. Pricing in the primary market increased to 58 basis points in the first quarter of 2021, compared to 49 basis points in the first quarter of 2020. Pricing in the secondary and assumed reinsurance markets, which is more transaction specific than pricing in the primary market, decreased to 117 basis points in the first quarter of 2021, compared to pricing in the secondary and assumed reinsurance markets of 160 basis points in the first quarter of 2020.
In January 2020, HG Global and BAM agreed to amend the BAM Surplus Notes to extend the end of the variable interest
rate period from 2021 to 2024, to extend the initial 10-year term of the FLRT to the end of 2022 and to enter into an excess of
loss reinsurance agreement (the “XOLT”). In connection with these actions, and reflecting changes in Standard & Poor’s insurance rating methodology, in January 2020, BAM made a one-time $65 million cash payment of principal and interest on the BAM Surplus Notes held by HG Global. Of this payment, $48 million was a repayment of principal held in the Supplemental Trust, $1 million was a payment of accrued interest held in the Supplemental Trust and $16 million was a payment of accrued interest held outside the Supplemental Trust.

54

The following table presents the gross par value of primary and secondary market policies issued, the gross par value of assumed reinsurance, the gross written premiums and MSC collected and total pricing for the three months ended March 31, 2021 and 2020:

Three Months Ended March 31,
$ in Millions20212020
Gross par value of primary market policies issued$2,542.0 $2,508.1 
Gross par value of secondary market policies issued177.1 468.5 
Gross par value of assumed reinsurance805.5 — 
Total gross par value of market policies issued$3,524.6 $2,976.6 
Gross written premiums$12.5 $9.7 
MSC collected13.8 10.0 
Total gross written premiums and MSC collected$26.3 $19.7 
Present value of future installment MSC collections— — 
Gross written premium adjustments on existing installment policies— — 
Gross written premiums and MSC from new business$26.3 $19.7 
Total pricing74 bps66 bps

HG Global reported GAAPpre-tax loss of $2 million in the first quarter of 2021, compared to pre-tax income of $7$11 million in the thirdfirst quarter of 2017, compared to $5 million2020. The change in pre-tax results was driven primarily by lower investment returns on HG Global’s investment portfolio, as interest rates rose in the thirdfirst quarter of 2016. Results for2021 and declined in the thirdfirst quarter of 20172020, and 2016 were both driven by $5 million ofa decrease in interest income on the BAM Surplus Notes.
As a mutual insurance company that is owned by its members, BAM’s results do not affect White Mountains’s book value per share and adjusted book value per share. However, White Mountains consolidates BAM’s results in its GAAP financial statements and its results are attributed to non-controlling interests. White Mountains reported$12 million of GAAP pre-tax loss from BAM in the third quarter of 2017, compared to $14 million in the third quarter of 2016. The decrease in pre-tax loss was primarily due to higher investment returns. Results for the third quarter of 2017 include $5 million of interest expense on the BAM Surplus Notes and $10 million of operating expenses, compared to $5 millionof interest expense and$9 million of operating expenses in the third quarter of 2016.

HG Global/BAM Results—Nine Months Ended September 30, 2017 versus Nine Months Ended September 30, 2016
In the first nine months of 2017, BAM insured $7.1 billion of municipal bonds, $6.5 billion of which were in the primary market, compared to $8.5 billion of municipal bonds, $7.9 billion of which were in the primary market, insured in the first nine months of 2016. The decrease in par value insured by BAM in the first nine months of 2017 was primarily due to lower new municipal bond issuance volume in the third quarter of 2017 compared to the third quarter of 2016 and rating uncertainty during S&P’s review of BAM in the second quarter of 2017. Gross written premiums and member surplus contributions totaled $68 million for the first nine months of 2017, compared to $53 million for the first nine months of 2016. Total pricing was 99 basis points in the first nine months of 2017, up from 63 basis points in the first nine months of 2016.
HG Global reported GAAP pre-tax income of $20 million in the first nine months of 2017, compared to $18 million in the first nine months of 2016. Results for the first nine months of 2017 were driven by $142021 include $3 million of interest income on the BAM Surplus Notes, compared to $13$5 million of interest income in the first nine monthsquarter of 2016. The increase in the interest income2020.
BAM is duea mutual insurance company that is owned by its members. BAM’s results are consolidated into White Mountains’s GAAP financial statements and attributed to the increase in the variable rate of the BAM Surplus Notes which is set annually. The variable rate is 3.78% for 2017 and was 3.54% for 2016.
non-controlling interests. White MountainsMountains reported $36$23 million of GAAP pre-tax loss from BAM in the first nine monthsquarter of 2017,2021, compared to $30$10 million in the first nine monthsquarter of 2016. Results for2020. The increase in pre-tax loss was driven primarily by lower investment returns on BAM’s investment portfolio, as interest rates rose in the first nine monthsquarter of 20172021 and declined in the first quarter of 2020, partially offset by lower interest expense on the BAM Surplus Notes. Results in the first quarter of 2021 include $14$3 million of interest expense on the BAM Surplus Notes and $31$16 million of operatinggeneral and administrative expenses, compared to $13$5 million of interest expense and $28$14 million of operatinggeneral and administrative expenses in the first nine monthsquarter of 2016. The increase2020.


55

COVID-19
BAM expects that investor concerns about the impact of the COVID-19 pandemic should continue to result in pre-tax lossboth increased insured penetration in the first nine monthsprimary market and opportunities in the secondary market. The COVID-19 pandemic is negatively impacting the finances of 2017 was primarilymunicipalities to varying degrees, and, over time, financial stress could emerge. BAM’s existing credit portfolio is of high quality and structured to be resilient during economic slowdowns. BAM views consumption-based tax-backed credits (sales, hotel, excise), transportation-related credits (airports, mass transportation, ports and toll roads) and higher education-related credits as those most likely to be affected by pandemic-related impacts on the economy. Combined, these sectors total approximately 15% of BAM’s outstanding insured par. All BAM-insured bond payments due to lower realized and unrealized investment gains.through May 1 have been made by insureds. BAM currently has no insured bonds on its insured credit watchlist.



Claims Paying Resources
BAM’s “claims paying resources” representrepresents the capital and other financial resources BAM has available to pay claims and, as such, is a key indication of BAM’s financial strength. BAM’s claims-paying resources include BAM’s qualified statutory capital, including member surplus contributions and contingency reserves, net unearned premiums, present value of future installment premiums and member surplus contributions and the first loss reinsurance protection provided by HG Re, which is collateralized and held in trusts. BAM expects member surplus contributions and HG Re’s reinsurance protection to be the primary drivers of continued growth of its claims-paying resources.
As of September 30, 2017, BAM’s claims paying resources increased 7%were $1,144 million as of March 31, 2021, compared to $687 million from $644$987 million as of December 31, 2016.2020 and $930 million as of March 31, 2020. In the first quarter of 2021, BAM completed a reinsurance agreement with Fidus Re, a special-purpose insurer created solely to provide collateralized reinsurance protection to BAM, that increased BAM’s claims paying resources by $150 million. The increase was primarily driven by a $26 million increasereinsurance agreement with Fidus Re is accounted for using deposit accounting and any related financing expenses are recorded in general and administrative expenses as the HG Re collateral trusts and $26 million of member surplus contributions, partially offset by BAM’s $19 million statutory net lossagreement does not meet the risk transfer requirements necessary to be accounted for the nine months ended September 30, 2017.as reinsurance.
The following table presents BAM’s total claims paying resources as of September 30, 2017 andMarch 31, 2021, December 31, 2016:2020 and March 31, 2020:

MillionsMarch 31, 2021December 31, 2020March 31, 2020
Policyholders’ surplus$321.3 $324.7 $333.5 
Contingency reserve92.2 86.4 72.4 
     Qualified statutory capital413.5 411.1 405.9 
Net unearned premiums46.2 45.2 40.1 
Present value of future installment premiums and MSC13.9 14.0 13.8 
HG Re, Ltd. collateral trusts at statutory value420.7 417.0 370.3 
Fidus Re, Ltd. collateral trust at statutory value250.0 100.0 100.0 
     Claims paying resources$1,144.3 $987.3 $930.1 





56
Millions September 30, 2017 December 31, 2016
Policyholders’ surplus $429.2
 $431.5
Contingency reserve 31.6
 22.7
     Qualified statutory capital 460.8
 454.2
Net unearned premiums 27.9
 23.2
Present value of future installment premiums and member surplus
contributions
 8.8
 3.3
Collateral trusts 189.2
 163.0
     Claims paying resources $686.7
 $643.7

As of September 30, 2016, BAM’s claims paying resources increased 5% to $629 million from $601 million as of December 31, 2015. The increase was primarily driven by $28 million of member surplus contributions and $18 million increase in the HG Re collateral trusts, partially offset by BAM’s statutory net loss for the nine months ended of $24 million.
The following table presents BAM’s total claims paying resources as of September 30, 2016 and December 31, 2015:

Millions September 30, 2016 December 31, 2015
Policyholders’ surplus $432.8
 $437.2
Contingency reserve 19.9
 12.4
     Qualified statutory capital 452.7
 449.6
Net unearned statutory premiums 18.8
 12.5
Present value of future installment premiums and member surplus
contributions
 3.3
 2.6
Collateral trusts 154.2
 136.6
     Claims paying resources $629.0
 $601.3

HG Global/BAM Balance Sheets
The following table presentstables present amounts from HG Global, which includes HG Re and its other wholly-owned subsidiaries, and BAM that are contained within White Mountains’s consolidated balance sheet as of September 30, 2017March 31, 2021 and December 31, 2016:2020:
March 31, 2021
MillionsHG GlobalBAMEliminations and Segment AdjustmentTotal
Assets
Fixed maturity investments$394.0 $463.0 $— $857.0 
Short-term investments31.8 13.5 — 45.3 
Total investments425.8 476.5 — 902.3 
Cash4.7 14.2 — 18.9 
BAM Surplus Notes388.2 — (388.2)— 
Accrued interest receivable on BAM Surplus Notes158.8 — (158.8)— 
Deferred acquisition costs55.9 28.7 (55.9)28.7 
Insurance premiums receivable7.3 6.9 (7.3)6.9 
Accrued investment income2.1 3.1 — 5.2 
Other assets.1 15.9 (1.2)14.8 
Total assets$1,042.9 $545.3 $(611.4)$976.8 
Liabilities
BAM Surplus Notes(1)
$— $388.2 $(388.2)$— 
Accrued interest payable on BAM Surplus Notes(2)
— 158.8 (158.8)— 
Preferred dividends payable to White Mountains’s subsidiaries(3)
356.9 — — 356.9 
Preferred dividends payable to non-controlling interests12.6 — — 12.6 
Unearned insurance premiums201.5 42.2 — 243.7 
Accrued incentive compensation.6 10.4 — 11.0 
Accounts payable on unsettled investment purchases— — — — 
Other liabilities1.8 78.6 (64.4)16.0 
Total liabilities573.4 678.2 (611.4)640.2 
Equity
White Mountains’s common shareholders’ equity457.9 — — 457.9 
Non-controlling interests11.6 (132.9)— (121.3)
Total equity469.5 (132.9)— 336.6 
Total liabilities and equity$1,042.9 $545.3 $(611.4)$976.8 
(1)    Under GAAP, the BAM Surplus Notes are classified as debt by the issuer. Under statutory accounting principles, they are classified as policyholders’ surplus.
(2)    Under GAAP, interest accrues daily on the BAM Surplus Notes. Under statutory accounting principles, interest is not accrued on the BAM Surplus Notes until it has been approved for payment by insurance regulators.
(3)    HG Global preferred dividends payable to White Mountains’s subsidiaries is eliminated in White Mountains’s consolidated financial statements. For segment reporting, the HG Global preferred dividends payable to White Mountains’s subsidiaries included within the HG Global/BAM segment are eliminated against the offsetting receivable included within the Other Operations segment, and therefore are added back to White Mountains’s common shareholders’ equity within the HG Global/BAM segment.
57

 September 30, 2017December 31, 2020
Millions HG Global BAM Eliminations and Segment Adjustment TotalMillionsHG GlobalBAMEliminations and Segment AdjustmentTotal Segment
Assets        Assets
Fixed maturity investments $185.1
 $446.3
 $—
 $631.4
Fixed maturity investments$415.9 $443.6 $— $859.5 
Short-term investments 32.6
 43.2
 —
 75.8
Short-term investments16.5 43.9 — 60.4 
Total investments 217.7
 489.5
 —
 707.2
Total investments432.4 487.5 — 919.9 
Cash 1.1
 18.1
 —
 19.2
Cash23.8 19.0 — 42.8 
BAM Surplus Notes 503.0
 —
 (503.0) —
BAM Surplus Notes388.2 — (388.2)— 
Accrued interest receivable on BAM Surplus Notes 122.3
 —
 (122.3) —
Accrued interest receivable on BAM Surplus Notes155.7 — (155.7)— 
Deferred acquisition costs 20.1
 (6.0) —
 14.1
Deferred acquisition costs54.1 27.8 (54.1)27.8 
Insurance premiums receivable 2.6
 4.6
 (2.8) 4.4
Insurance premiums receivable4.4 6.9 (4.4)6.9 
Accounts receivable on unsettled investment sales 12.4
 .1
 —
 12.5
Accrued investment incomeAccrued investment income2.0 3.0 — 5.0 
Other assets .5
 7.9
 —
 8.4
Other assets— 15.8 (.4)15.4 
Total assets $879.7
 $514.2
 $(628.1) $765.8
Total assets$1,060.6 $560.0 $(602.8)$1,017.8 
        
Liabilities        Liabilities
BAM Surplus Notes(1)
 $—
 $503.0
 $(503.0) $—
BAM Surplus Notes(1)
$— $388.2 $(388.2)$— 
Accrued interest payable on BAM Surplus Notes(2)
 —
 122.3
 (122.3) —
Accrued interest payable on BAM Surplus Notes(2)
— 155.7 (155.7)— 
Preferred dividends payable to White Mountains’s subsidiaries(3)
 216.1
 —
 —
 216.1
Preferred dividends payable to White Mountains’s subsidiaries(3)
363.9 — — 363.9 
Preferred dividends payable to non-controlling interests 6.9
 —
 —
 6.9
Preferred dividends payable to non-controlling interests12.7 — — 12.7 
Unearned insurance premiums 91.3
 27.2
 —
 118.5
Unearned insurance premiums196.1 41.4 — 237.5 
Accounts payable on unsettled investment purchases 41.8
 2.3
 —
 44.1
Other liabilities .7
 19.6
 (2.8) 17.5
Other liabilities2.2 98.0 (58.9)41.3 
Total liabilities 356.8
 674.4
 (628.1) 403.1
Total liabilities574.9 683.3 (602.8)655.4 
        
Equity        Equity
White Mountains’s common shareholders’ equity 506.7
 —
 —
 506.7
White Mountains’s common shareholders’ equity472.2 — — 472.2 
Non-controlling interests 16.2
 (160.2) —
 (144.0)Non-controlling interests13.5 (123.3)— (109.8)
Total equity 522.9
 (160.2) —
 362.7
Total equity485.7 (123.3)— 362.4 
Total liabilities and equity $879.7
 $514.2
 $(628.1) $765.8
Total liabilities and equity$1,060.6 $560.0 $(602.8)$1,017.8 
(1) Under GAAP, the BAM Surplus Notes are classified as debt by the issuer. Under statutory accounting principles, they are classified as policyholders’ surplus.
(2) Under GAAP, interest accrues daily on the BAM Surplus Notes. Under statutory accounting principles, interest is not accrued on the BAM Surplus Notes until it has been approved for payment by insurance regulators.
(3) HG Global preferred dividends payable to White Mountains’s subsidiaries is eliminated in White Mountains’s consolidated financial statements. For segment reporting, the HG Global preferred dividends payable to White Mountains’s subsidiaries included within the HG Global/BAM segment are eliminated against the offsetting receivable included within the Other Operations segment, and therefore are added back to White Mountains’s common shareholders’ equity within the HG Global/BAM segment.




58

Ark

On October 1, 2020, White Mountains entered into the Ark SPA and the Ark SPA. Under the terms of the Ark Acquisition Agreement, White Mountains agreed to contribute $605 million of equity capital to Ark, at a pre-money valuation of $300 million, and to purchase $41 million of shares from the Ark Sellers. White Mountains also agreed to contribute up to an additional $200 million of equity capital to Ark in 2021. In accordance with the Ark SPA, in the fourth quarter of 2020 White Mountains pre-funded/placed in escrow a total of $646 million in preparation for closing the transaction, which is reflected on the balance sheet within the Other Operations segment as of December 31, 2020.
On January 1, 2021, White Mountains completed the Ark Transaction in accordance with the terms of the Ark SPA. As of March 31, 2021, White Mountains owned 72.0% of Ark on a basic shares outstanding basis (63.0% on a fully-diluted, fully-converted basis, taking account of management’s equity incentives). If the additional $200.0 million of equity capital that White Mountains has agreed to contribute to Ark is contributed in full, White Mountains will own 77.1% of Ark on a basic shares outstanding basis (67.5% on a fully-diluted, fully-converted basis). The remaining shares are owned by employees. In the future, management rollover shareholders could earn additional shares in the company if and to the extent that White Mountains achieves certain multiple of invested capital return thresholds. If fully earned, these additional shares would represent 12.5% of the shares outstanding at closing.
Ark writes a diversified and balanced portfolio of insurance and reinsurance, including property, accident & health, energy, marine and political risks, through Lloyd’s Syndicates 4020 and 3902 (the “Syndicates”). Beginning in January 2021, Ark began writing certain classes of its business through GAIL.
The following tables present the components of pre-tax loss included in White Mountains’s Ark segment for the three months ended March 31, 2021:
(1)
Millions		Under GAAP, the BAM Surplus Notes are classified as debt by the issuer. Under U.S. Statutory accounting, they are classified as surplus.Three Months Ended
March 31, 2021
Earned insurance and reinsurance premiums$104.6
(2)
Net investment income		Under GAAP, interest accrues daily on the BAM Surplus Notes. Under U.S. Statutory accounting, interest is not accrued on the BAM Surplus Notes until it has been approved for payment by insurance regulators.
.8
(3)
Net realized and unrealized investment gains		Dividends on HG Global preferred shares payable to White Mountains's subsidiaries are eliminated in White Mountains's consolidated financial statements.


  December 31, 2016
Millions HG Global BAM Eliminations and Segment Adjustment Total Segment
Assets        
Fixed maturity investments $155.2
 $430.0
 $—
 $585.2
Short-term investments 6.4
 38.1
 —
 44.5
Total investments 161.6
 468.1
 —
 629.7
Cash 1.9
 25.1
 —
 27.0
BAM Surplus Notes 503.0
 —
 (503.0) —
Accrued interest receivable on BAM Surplus Notes 108.0
 —
 (108.0) —
Deferred acquisition costs 11.0
 (.4) —
 10.6
Insurance premiums receivable .9
 1.7
 (1.0) 1.6
Other assets .6
 38.6
 —
 39.2
Total assets $787.0
 $533.1
 $(612.0) $708.1
Liabilities        
BAM Surplus Notes(1)
 $—
 $503.0
 $(503.0) $—
Accrued interest payable on BAM Surplus Notes(2)
 —
 108.0
 (108.0) —
Preferred dividends payable to White Mountains’s subsidiaries(3)
 180.5
 —
 —
 180.5
Preferred dividends payable to non-controlling interests 5.7
 —
 —
 5.7
Unearned insurance premiums 60.7
 22.2
 —
 82.9
Other liabilities .7
 50.8
 (1.0) 50.5
Total liabilities 247.6
 684.0
 (612.0) 319.6
Equity        
White Mountains’s common shareholders’ equity 522.8
 —
 —
 522.8
Non-controlling interests 16.6
 (150.9) —
 (134.3)
Total equity 539.4
 (150.9) —
 388.5
Total liabilities and equity $787.0
 $533.1
 $(612.0) $708.1
1.1
(1)
Other revenues		Under GAAP, the BAM Surplus Notes are classified as debt by the issuer. Under U.S. Statutory accounting, they are classified as surplus.
2.6
(2)
Total revenues		Under GAAP, interest accrues daily on the BAM Surplus Notes. Under U.S. Statutory accounting, interest is not accrued on the BAM Surplus Notes until it has been approved for payment by insurance regulators.
109.1
(3)
Losses and LAE		Dividends on HG Global preferred shares payable to White Mountains's subsidiaries are eliminated in White Mountains's consolidated financial statements.66.0
Insurance and reinsurance acquisition expenses36.7
Other underwriting expenses11.2
General and administrative expenses26.6
Interest expense1.1
Total expenses141.6
Pre-tax loss$(32.5)

Par Value
For the years of Policies Issuedaccount prior to the Ark Transaction, a significant proportion of the Syndicates’ underwriting capital was provided by other third-party insurance and Pricedreinsurance groups (“TPC Providers”) using whole account reinsurance contracts through Ark’s corporate member. The TPC Providers’ economic participation in the Syndicates for the remaining open years of account prior to the Ark Transaction is approximately 51% of the total net result of the Syndicates. Captions within Ark’s results of operations are shown net of amounts relating to the TPC Providers share of the Syndicates’ results, including investment results.
59

The following table presents Ark’s loss and loss adjustment expense, insurance acquisition expense, other underwriting expense and combined ratios on both a GAAP-basis and an adjusted basis, which adds back amounts ceded to TPC Providers, for the three months ended March 31, 2021:

Three Months Ended March 31, 2021
$ in MillionsGAAP
Third Party Capital Share (1)
Adjusted
Insurance premiums:
Gross written premiums$404.5 $— $404.5 
Net written premiums$342.4 $(5.0)$337.4 
Net earned premiums$104.6 $31.2 $135.8 
Insurance expenses:
Loss and loss adjustment expenses$66.0 $31.6 $97.6 
Insurance acquisition expenses36.7 — 36.7 
Other underwriting expenses11.2 1.3 12.5 
Total insurance expenses$113.9 $32.9 $146.8 
Ratios:
Loss and loss adjustment expense63.1 %71.9 %
Insurance acquisition expense35.1 %27.0 %
Other underwriting expense10.7 %9.2 %
Combined Ratio108.9 %108.1 %
(1) See “NON-GAAP FINANCIAL MEASURES” on page 75.

Ark Results—Three Months Ended March 31, 2021
Ark’s GAAP combined ratio was 109% in the first quarter of 2021. Ark’s adjusted combined ratio was 108% in the first quarter of 2021. The adjusted combined ratio included 17 points of catastrophe losses, of which 14 points related to Winter Storm Uri. Ark reported pre-tax loss of $33 million in the first quarter of 2021, which included $25 million of transaction expenses related to the Ark Transaction.

Gross Written Premiums
The following table presents Ark’s gross written premiums by BAMline of business for the three months ended March 31, 2021 and the three months ended March 31, 2020, which was prior to White Mountains’s ownership of Ark. White Mountains believes this is useful in understanding the underwriting growth in the newly acquired business. Gross written premiums increased 207% to $405 million in the first quarter of 2021, compared to the first quarter of 2020, with blended renewal pricing up over 10%.
Periodically, BAM publishes
For the Three Months Ended
MillionsMarch 31, 2021March 31, 2020
Property$103.6 $44.5 
Accident & Health37.9 42.5 
Energy55.8 18.6 
Marine, Aviation & Transport84.2 35.5 
Specialty87.5 15.1 
Political Risks, War & Terror22.2 19.2 
Casualty13.3 20.3 
   Total Gross Written Premium$404.5 $195.7 
60

Catastrophe Risk Management
Ark has exposure to losses caused by unpredictable catastrophic events. Covered unpredictable catastrophic events include natural and other disasters, such as hurricanes, windstorms, earthquakes, floods, wildfires and severe winter weather. Catastrophes can also include public health crises, terrorist attacks, explosions, infrastructure failures and cyber-attacks. The extent of a catastrophe loss is a function of both the gross parseverity of the event and total amount of insured exposure affected by the event. During 2020, Ark incurred $24 million of natural catastrophe losses and $28 million of COVID-19 related losses after reinstatement premiums and amounts ceded to third-party reinsurers but before amounts ceded to TPC Providers.
Ark seeks to manage its exposure to catastrophic losses by limiting the aggregate insured value of policies priced duringin geographic areas with exposure to catastrophic events by estimating potential losses for many different catastrophe scenarios and by buying reinsurance, including retrocessional coverages. To manage and analyze aggregate insured values and potential losses, Ark uses a variety of tools, including external and internal catastrophe modeling software packages.
Based upon its business plan for 2021, Ark estimates that its two largest modeled probable maximum loss natural catastrophe scenarios on a net occurrence basis at a 1-in-250-year return period are U.S. windstorm and U.S. earthquake. In each case, the estimated net impact of a 1-in-250-year return period whileloss is expected to be less than 25% of total tangible capital (shareholders equity and subordinated debt). The net impact is before income tax but after reinstatement premiums, amounts recorded for accounting purposesceded to third party reinsurers and amounts ceded to TPC Providers. In addition, Ark also has significant exposure to Japanese earthquake, Japanese windstorm, European windstorm and U.S. wildfire.
Ark’s estimates of potential losses are baseddependent on many variables, including assumptions about demand surge and storm surge, loss adjustment expenses, insurance-to-value and storm intensity in the gross par valueaftermath of policies issued. The following table reconcilesweather-related catastrophes utilized to model the gross par valueevent, the relationship of policies issuedthe actual event to the gross par valuemodeled event and the quality of policies priceddata provided by ceding companies (in the case of our reinsurance operations). Accordingly, if the assumptions about the variables are incorrect, the losses Ark might incur from an actual catastrophe could be materially higher than the expectation of losses generated from modeled catastrophe scenarios. There could also be unmodelled losses which exceed the amounts estimated for U.S. windstorm and U.S. earthquake. For a further discussion, see “Risk Factors – Unpredictable catastrophic events could adversely affect our results of operations and financial condition” in White Mountains’s Annual Report on Form 10-K for the three and nine monthsyear ended September 30, 2017 and 2016: December 31, 2020.

61
  Three Months Ended Nine Months Ended
  September 30, September 30,
Millions 2017 2016 2017 2016
Gross par value of primary market policies issued $1,872.5
 $2,736.6
 $6,487.8
 $7,917.0
Gross par value of secondary market policies issued 170.9
 236.7
 627.6
 574.1
Total gross par value of policies issued 2,043.4
 2,973.3
 7,115.4
 8,491.1
         
Gross par value of policies priced yet to close 535.2
 428.8
 535.2
 428.8
     Less: Gross par value of policies closed that were
               previously priced
 (163.7) (861.8) (353.3) (298.6)
Total gross par value of policies priced $2,414.9
 $2,540.3
 $7,297.3
 $8,621.3



NSM
MediaAlpha
The following table presents the components of GAAP net loss, EBITDA and adjusted EBITDA included in White Mountains’s MediaAlphaNSM segment for the three and nine months ended September 30, 2017 March 31, 2021 and 2016:2020. NSM’s pre-tax loss in the first quarter of 2021 includes a loss of $29 million related to the sale of its Fresh Insurance motor business. Results for the first quarter of 2021 include the results of Kingsbridge, a leading provider of commercial lines insurance and consulting services to the contingent workforce in the United Kingdom, which was acquired on April 7, 2020.
Three Months Ended March 31,
Millions20212020
Commission revenues$59.6 $53.0 
Broker commission expenses18.9 18.3 
Gross profit40.7 34.7 
Other revenues15.2 12.0 
General and administrative expenses46.0 39.6 
Change in fair value of contingent consideration earnout liabilities— (.6)
Amortization of other intangible assets8.6 4.8 
Loss on assets held for sale28.7 — 
Interest expense5.9 4.3 
GAAP pre-tax loss(33.3)(1.4)
Income tax benefit(8.0)(.7)
GAAP net loss(25.3)(.7)
Add back:
Interest expense5.9 4.3 
Income tax benefit(8.0)(.7)
General and administrative expenses — depreciation1.1 .9 
Amortization of other intangible assets8.6 4.8 
EBITDA (1)
(17.7)8.6 
Add back:
Change in fair value of contingent consideration earnout liabilities— (.6)
Non-cash equity-based compensation expense.6 — 
Impairments of intangible assets— — 
Loss on assets held for sale28.7— 
Acquisition-related transaction expenses— 1.7 
Investments made in the development of new business lines— — 
Restructuring expenses2.8 .8 
Adjusted EBITDA (1)
$14.4 $10.5 
  Three Months Ended September 30, Nine Months Ended September 30,
Millions 2017 2016 2017 2016
Advertising and commission revenues $37.9
 $27.6
 $101.2
 $88.4
Cost of sales 32.2
 23.0
 86.0
 74.0
Gross profit 5.7
 4.6
 15.2
 14.4
General and administrative expenses—other 3.8
 3.2
 10.7
 8.7
General and administrative expenses—amortization of intangible assets 2.3
 2.5
 7.2
 7.6
Interest expense .1
 .2
 .6
 .7
GAAP pre-tax loss (.5) (1.3) (3.3) (2.6)
Income tax expense —
 —
 —
 —
GAAP net loss (.5) (1.3) (3.3) (2.6)
         
Add back:        
Interest expense .1
 .2
 .6
 .7
Income tax expense —
 —
 —
 —
General and administrative expenses—depreciation —
 —
 .1
 .1
General and administrative expenses—amortization of intangible assets 2.3
 2.5
 7.2
 7.6
EBITDA $1.9
 $1.4
 $4.6
 $5.8
(1) See “NON-GAAP FINANCIAL MEASURES” on page 75.


MediaAlphaNSM Results—Three Months EndedSeptember 30, 2017 March 31, 2021 versus Three Months EndedSeptember 30, 2016 March 31, 2020
MediaAlphaNSM reported netpre-tax loss of $1$33 million, in both the third quarter adjusted EBITDA of 2017 and the third quarter of 2016. EBITDA was $2$14 million in the third quarter of 2017, compared to $1 million in the third quarter of 2016. For the third quarter of 2017, the increase in EBITDA was primarily driven by increased gross profit contributions from the P&C and Health/Life verticals of $1 million.
Advertising and commission and other revenues were $38 million in the third quarter of 2017, compared to $28 million in third quarter of 2016. The increase was primarily driven by $6 million of revenue growth in MediaAlpha's P&C verticals and $5 million of revenue growth in the non-P&C verticals.
MediaAlpha’s cost of sales is comprised primarily of revenue share based payments to partners. Cost of sales were $32 million in the third quarter of 2017, compared to $23 million in the third quarter of 2016. The 40% increase in cost of sales was driven by the 37% increase in revenue.

MediaAlpha Results—Nine Months Ended September 30, 2017 versus Nine Months Ended September 30, 2016
MediaAlpha reported net loss of $3 million in both the first nine months of 2017 and the first nine months of 2016. EBITDA was $5$75 million in the first nine monthsquarter of 2017,2021, compared to $6pre-tax loss of $1 million, adjusted EBITDA of $11 million and commission and other revenues of $65 million in the first nine monthsquarter of 2016. For2020. NSM’s pre-tax loss in the first nine monthsquarter of 2017,2021 includes a loss of $29 million related to the decreasesale of its Fresh Insurance motor business. Results for the first quarter of 2021 include the results of Kingsbridge, a leading provider of commercial lines insurance and consulting services to the contingent workforce in the United Kingdom, which was acquired on April 7, 2020. See Note 2 — “Significant Transactions”. In addition to the acquisition of Kingsbridge, pre-tax loss, adjusted EBITDA was primarily driven by increased operating expenses of $2 million, partiallyand commissions and other revenues benefited from growth in the pet and social services verticals, offset by an increasea decline in gross profit of $1 million.the real estate vertical.
AdvertisingNSM’s general and commission revenuesadministrative expenses were $101$46 million in the first nine monthsquarter of 2017,2021, compared to $88$40 million in the first nine monthsquarter of 2016. The increase was2020, driven primarily driven by the continued growthacquisition of Kingsbridge and increases in MediaAlpha’s non-P&Cpersonnel costs primarily related to the pet and specialty transportation businesses.
62

NSM’s business consists of over 16 active programs that are broadly categorized into six market verticals. AdvertisingThe following table presents the controlled premium and commission and other revenues in MediaAlpha’s P&C verticals were flatby vertical for the three months ended March 31, 2021 and 2020:
Three Months Ended March 31,
20212020
$ in Millions
Controlled Premium (1)
Commission and Other Revenues
Controlled Premium (1)
Commission and Other Revenues
Specialty Transportation$74.8 $20.7 $74.2 $20.3 
Real Estate42.8 9.8 48.4 11.3 
Social Services27.0 6.7 24.5 6.3 
Pet43.7 17.1 29.3 11.8 
United Kingdom52.3 13.1 38.8 10.0 
Other39.4 7.4 35.8 5.3 
Total$280.0 $74.8 $251.0 $65.0 
(1) Controlled Premium are total premiums placed by NSM during the period.

Specialty Transportation:NSM’s specialty transportation controlled premium and commission and other revenues increased by 1% and 2%, respectively, in the first nine monthsquarter of 20172021, compared to the first ninequarter of 2020, driven primarily by unit growth and the impact of higher commission levels in collector car being partially offset by a decline in units in the trucking business resulting from the COVID-19 pandemic. The higher commissions levels in collector car will continue to flow through this program’s results over the balance of the year.
Real Estate:NSM’s real estate controlled premium and commission and other revenues decreased 12% and 13%, respectively, in the first quarter of 2021, compared to the first quarter of 2020, driven primarily by declines in both rate and units in the coastal condominium program, partially offset by unit growth in NSM’s excess and surplus habitational program. The declines in the coastal condominium program were driven primarily by lower insurance carrier capacity available for the program as NSM transitioned to a new insurance carrier platform during the first quarter of 2021. Until additional capacity is raised, the impact of lower capacity in the coastal condominium program will continue to flow through this program’s results through the balance of the year.
Social Services:NSM’s social services controlled premium and commission and other revenues increased 10% and 6%, respectively, in the first quarter of 2021, compared to the first quarter of 2020, driven primarily by growth in units despite a continued competitive market.
Pet: NSM’s pet controlled premium and commission and other revenues increased by 49% and 45%, respectively in the first quarter of 2021, compared to the first quarter of 2020 driven primarily by substantial growth in both units and rate.
United Kingdom: NSM’s U.K. controlled premium and commission and other revenues increased 35% and 31%, respectively in the first quarter of 2021, compared to the first quarter of 2020, driven primarily by the acquisition of Kingsbridge. Excluding Kingsbridge, U.K. controlled premium increased 1% in the first quarter of 2021, compared to the first quarter of 2020, driven primarily by growth in the MGA business being offset by declines in the brokerage business caused by disruption to the non-standard auto and travel markets in the United Kingdom resulting from the COVID-19 pandemic. Excluding Kingsbridge, U.K. commission and other revenues declined 23% in the first quarter of 2021, compared to the first quarter of 2020, driven primarily by a reduction in contingent commissions and changes in product mix, as the brokerage business, which has higher commission rates than the MGA business, declined while the MGA business grew.
Other: NSM’s other controlled premium and commission and other revenues increased 10% and 40%, respectively in the first quarter of 2021, compared to the first quarter of 2020. The increase in controlled premium was driven primarily by unit growth in the workers compensation and architects and engineers businesses. The significant increase in commission and other revenues was driven primarily by a combination of the increase in controlled premium and an increase in contingent commissions.

COVID-19
The COVID-19 pandemic negatively impacted certain programs (e.g., lower volumes in the non-standard auto and outdoor leisure businesses in the United Kingdom) while others have been positively impacted (e.g., higher volumes in pet). Results at NSM could still be negatively impacted in the coming quarters, but White Mountains does not currently anticipate dramatic impacts over the fullness of time.

63

Kudu

In the first quarter of 2021, Kudu deployed $11 million in an existing portfolio company. As of March 31, 2021, Kudu has deployed a total of $397 million in 13 asset management firms, with an average cash yield to Kudu at inception of 10.3%. The firms have combined assets under management of approximately $48 billion, spanning a range of asset classes, including real estate, real assets, wealth management, hedge funds, private equity and alternative credit strategies.
On March 23, 2021, Kudu replaced its existing secured bank facility with the Kudu Credit Facility. Subject to maximum LTV levels, the maximum borrowing capacity of the Kudu Credit Facility is $300 million (which includes the initial advanced amount of $102 million). See Note 7 — “Debt”.
The following table presents the components of GAAP net income (loss), EBITDA and adjusted EBITDA included in White Mountains’s Kudu segment for the three months ended March 31, 2021 and 2020:
MillionsThree Months Ended
March 31, 2021		Three Months Ended
March 31, 2020
Net investment income$8.2 $7.3 
Net unrealized investment gains (losses)15.8 (24.8)
Other revenues.1 .1 
Total revenues24.1 (17.4)
General and administrative expenses2.5 2.5 
Amortization of other intangible assets.1 .1 
Interest expense5.8 1.4 
Total expenses8.4 4.0 
GAAP pre-tax income (loss)15.7 (21.4)
Income tax expense (benefit)7.8 (5.4)
GAAP net income (loss)7.9 (16.0)
Add back:
Interest expense5.8 1.4 
Income tax expense (benefit)7.8 (5.4)
Amortization of other intangible assets.1 .1 
EBITDA (1)
21.6 (19.9)
Add back:
Net unrealized investment (gains) losses(15.8)24.8 
Non-cash equity-based compensation expense.1 — 
Acquisition-related transaction expenses— .6 
Adjusted EBITDA (1)
$5.9 $5.5 
(1) See “NON-GAAP FINANCIAL MEASURES” on page 75.

Kudu Results—Three Months Ended March 31, 2021 versus Three Months Ended March 31, 2020
Kudu reported pre-tax income of 2016.
Cost$16 million, adjusted EBITDA of sales were $86$6 million and total revenues of $24 million in the first nine monthsquarter of 2017,2021, compared to $74pre-tax loss of $21 million, adjusted EBITDA of $6 million and total revenues of $(17) million in the first nine monthsquarter of 2016. The 16% increase2020. Pre-tax income in costthe first quarter of sales was2021 included $16 million of unrealized gains on Kudu’s Participation Contracts, driven primarily by strong asset growth and performance of Kudu’s underlying asset management firms. Pre-tax loss in the first quarter of 2020 included $25 million of unrealized losses on Kudu’s Participation Contracts, driven primarily by the 14% increaseimpact of the market dislocation on Kudu’s underlying asset management firms from the COVID-19 pandemic. The increases in revenue.net investment income were driven primarily by amounts earned from the $132 million (including approximately $3 million of transaction costs) in new deployments that Kudu made since the beginning of 2020.



COVID-19
Over time, Kudu’s revenues will fluctuate with increases and decreases in assets under management and fee levels at Kudu’s underlying asset management business, which are impacted by increases and decreases in financial markets, such as those experienced during 2020 in response to the COVID-19 pandemic. Kudu’s portfolio diversification, in particular its emphasis on private capital and its de-emphasis on long-only strategies, should continue to provide some downside protection to financial market declines.

64

Other Operations


AThe following table presents a summary of White Mountains’s financial results from its Other Operations segment for the three and nine months endedSeptember 30, 2017 March 31, 2021 and 2016 follows:2020:
Three Months Ended
 March 31,
Millions20212020
Net investment income$7.1 $10.1 
Net realized and unrealized investment gains (losses)2.1 (168.0)
Net realized and unrealized investment (losses) gains from
   investment in MediaAlpha		(41.7)30.0 
Commission revenues2.3 2.1 
Other revenues7.1 1.5 
Total revenues(23.1)(124.3)
Cost of sales4.0 2.0 
General and administrative expenses35.7 17.5 
Amortization of other intangible assets.5 .2 
Interest expense.3 .3 
Total expenses40.5 20.0 
Pre-tax loss$(63.6)$(144.3)
  Three Months Ended Nine Months Ended
  September 30, September 30,
Millions 2017 2016 2017 2016
Earned insurance premiums $—
 $1.9
 $1.0
 $6.1
Net investment income 8.9
 7.3
 30.8
 11.5
Net realized and unrealized investment gains 31.7
 12.8
 99.3
 18.4
Advertising and commission revenues 0.9
 .6
 2.7
 1.2
Other revenues 1.4
 4.3
 5.3
 17.2
Total revenues 42.9
 26.9
 139.1
 54.4
Loss and loss adjustment expenses —
 2.2
 1.1
 6.8
Insurance acquisition expenses —
 .5
 .1
 1.9
Other underwriting expenses —
 .1
 —
 .1
Cost of sales .9
 1.0
 2.7
 2.9
General and administrative expenses — other 27.3
 26.8
 112.7
 98.8
General and administrative expenses — amortization of intangible assets .1
 —
 .1
 .3
Interest expense .8
 .3
 1.2
 1.9
Total expenses 29.1
 30.9
 117.9
 112.7
Pre-tax income (loss) $13.8
 $(4.0) $21.2
 $(58.3)


Other Operations Results—Three Months Ended September 30, 2017March 31, 2021 versus Three Months Ended September 30, 2016March 31, 2020
White Mountains’s Other Operations segment reported pre-tax incomeloss of $14$64 million in the thirdfirst quarter of 2017,2021, compared to pre-tax loss of $4$144 million in the thirdfirst quarter of 2016. The improved resultsprimarily were driven by higher investment returns.2020. White Mountains’s Other Operations segment reported $32 million of net realized and unrealized investment (losses) gains from its investment in the third quarterMediaAlpha of 2017 compared to $13 million of net realized and unrealized investment gains in the third quarter of 2016. White Mountains’s Other Operations segment reported $9 million of net investment income in the third quarter of 2017 compared to net investment income of $7 million in the third quarter of 2016. See Summary of Investment Results on page 65. White Mountains’s Other Operations segment other revenues were $1 million in the third quarter of 2017, compared to $4 million in the third quarter of 2016, primarily driven by third party fees at WM Advisors. During the third quarter of 2016, WM Advisors received asset management fees from Symetra and Sirius Group during the transitional periods subsequent to each transaction, both of which expired before the end of 2016. 

Other Operations Results—Nine Months Ended September 30, 2017 versus Nine Months Ended September 30, 2016
White Mountains’s Other Operations segment reported pre-tax income of $21$(42) million in the first nine monthsquarter of 2017,2021, compared to pre-tax loss of $58$30 million in the first nine monthsquarter of 2016.2020. White Mountains’s Other Operations segment reported net realized and unrealized investment gains (losses) of $99$2 million in the first nine monthsquarter of 20172021, compared to net realized$(168) million in the first quarter of 2020. See Summary of Investment Results on page 66. The Other Operations segment reported general and unrealized investment gainsadministrative expenses of $36 million in the first quarter of 2021, compared to $18 million in the first nine monthsquarter of 2016. White Mountains’s Other Operations segment reported $31 million of net investment income in the first nine months of 2017 compared to net investment income of $12 million in the first nine months of 2016. See Summary of Investment Results on page 65. White Mountains’s Other Operations segment other revenues were $5 million in the first nine months of 2017, compared to $17 million in the first nine months of 2016. The decrease was primarily driven by lower third party fees at WM Advisors. During the first nine months of 2016, WM Advisors received asset management fees from Symetra and Sirius Group during the transitional periods subsequent to each transaction, both of which expired before the end of 2016.  White Mountains’s Other Operations segment general and administrative expenses were $113 million in the first nine months of 2017, compared to $99 million in first nine months of 2016.2020. The increase in general and administrative expenses was driven primarily by additional compensation expenses related to former company executives and higher incentive compensation costs, resulting from the OneBeacon Transaction. 

Discontinued Operations

OneBeacon
On September 28, 2017, White Mountains received $1.3 billion in cash proceeds from the OneBeacon Transaction and recorded a gain of $555 million, net of transaction costs. As a result of the OneBeacon Transaction, OneBeacon’s results have been reported as discontinued operations within White Mountains’s GAAP financial statements.
White Mountains reported a net loss of $15 million from OneBeacon in discontinued operations in the third quarter of 2017, driven primarily by underwriting losses. OneBeacon’s combined ratio foran increase in White Mountains’s share price and a higher assumed harvest percentage on outstanding performance shares in periods subsequent to the third quarter of 2017 was 113%, driven by 9 points of net unfavorable loss reserve development, primarily in the Program, Healthcare and Government Risk businesses, and 9 points of catastrophe losses primarily due to losses from Hurricane Harvey.MediaAlpha IPO.
White Mountains reported net income from OneBeacon of $21 million in discontinued operations in the first nine months of 2017. OneBeacon’s combined ratio for the first nine months of 2017 was 105%, driven by 4 points of net unfavorable loss reserve development, primarily in the Program, Healthcare and Government Risk businesses, and 4 points of catastrophe losses, primarily due to losses from Hurricane Harvey. See Note 15 — “Held for Sale and Discontinued Operations”.


Tranzact
On July 21, 2016, White Mountains completed the sale of Tranzact to an affiliate of Clayton, Dubilier & Rice, LLC. Tranzact’s results inured to White Mountains until the closing date of the transaction. Net loss from discontinued operations related to Tranzact was $2 million and $3 million for the third quarter and first nine months of 2016. See Note 15 — “Held for Sale and Discontinued Operations”.
65

Sirius Group

On April 18, 2016, White Mountains completed the sale of Sirius Group to CMI. Sirius Group’s results inured to White Mountains until the closing date of the transaction. For the second quarter stub period up until the closing date of the transaction, Sirius Group reported a comprehensive loss of $9 million, primarily due to $17 million of recorded losses from the Ecuador earthquake that occurred on April 16, 2016. For the first quarter of 2016, Sirius Group reported comprehensive income of $36 million, reflecting a combined ratio of 93%. See Note 15 — “Held for Sale and Discontinued Operations”.

II. Summary of Investment Results
 
White Mountains’s total investment results include continuing operations and discontinued operations. The OneBeacon and Sirius Group investment results are included in discontinued operations for each respective period.
During the third quarter of 2016, White Mountains established a portfolio of high-yield fixed maturity investments. Given the risk profile of these investments, White Mountains has included the returns associated with the high-yield fixed maturity investments with the returns from common equity securities and other long-term investments. See “NON-GAAP FINANCIAL MEASURES” on page 76.
all segments. For purposes of discussing rates of return, all percentages are presented gross of management fees and trading expenses and are calculated before any adjustments for TPC Providers in order to produce a better comparison to benchmark returns, while all dollar amounts are presented net of management fees and trading expenses. 

returns.
The following table summarizespresents the pre-tax investment return for White Mountains’s consolidated total operations’ pre-tax investment results, including returns from discontinued operations,portfolio for the three and nine months ended September 30, 2017March 31, 2021 and 2016:2020:  


Gross Investment Returns and Benchmark Returns
Prior to the MediaAlpha IPO, White Mountains’s investment returns and benchmark returns
  Three Months Ended Nine Months Ended
  September 30, September 30,
  2017 2016 2017 2016
Short-term investments 0.3 % 0.1% 0.5 % 0.7%
Investment grade fixed maturity investments 0.9 % 0.4% 2.8 % 3.1%
High-yield fixed maturity investments 1.7 % 1.0% 7.1 % 1.0%
Total GAAP fixed income investments 1.0 % 0.4% 3.0 % 2.9%
Total fixed income investments, excluding high-yield fixed maturity investments: 0.9 % 0.4% 2.7 % 2.9%
Bloomberg Barclays U.S. Intermediate Aggregate Index 0.7 % 0.3% 2.3 % 4.1%
         
Common equity securities 4.3 % 4.9% 14.4 % 5.2%
Other long-term investments (2.3)% 2.6% (2.9)% 6.4%
Total GAAP common equity securities and other long-term investments 2.6 % 3.9% 9.0 % 5.6%
Total common equity securities, other long-term investments and high-yield fixed
     maturity investments
 2.4 % 3.5% 8.6 % 5.4%
S&P 500 Index 4.5 % 3.9% 14.2 % 7.8%
Bloomberg Barclays U.S. High Yield Ba 2% Issuer Capped (minus Energy & Financials) 1.9 % 1.6% 6.7 % 1.6%
         
Total consolidated portfolio 1.4 % 0.9% 4.3 % 3.3%

Investment Returns—Three and Nine Months Ended September 30, 2017 versus Three and Nine Months Ended September 30, 2016in MediaAlpha was presented within other long-term investments. Subsequent to the MediaAlpha IPO, White Mountains presents its investment in MediaAlpha in a separate line item on the balance sheet. Amounts for periods prior to the MediaAlpha IPO have been reclassified to be comparable to the current period.
White Mountains’s GAAPreturns for the three months ended March 31, 2021 and 2020 are as follows:

Three Months Ended
 March 31,
 20212020
Fixed income investments(1.0)%0.7 %
Bloomberg Barclays U.S. Intermediate Aggregate Index(1.6)%2.5 %
Common equity securities1.8 %(20.9)%
Investment in MediaAlpha(8.5)%18.0 %
Other long-term investments4.1 %(5.8)%
Total common equity securities, investment in MediaAlpha and other long-term investments0.8 %(9.6)%
Total common equity securities and other long-term investments3.8 %(13.3)%
S&P 500 Index (total return)6.2 %(19.6)%
Total consolidated portfolio(0.3)%(4.6)%
Total consolidated portfolio - excluding MediaAlpha0.7 %(6.1)%

Investment Returns—Three Months Ended March 31, 2021 versus Three Months Ended March 31, 2020

White Mountains’s pre-tax total return on invested assets was 1.4%-0.3% in the first quarter of 2021. This return included $42 million of net realized and 4.3% forunrealized investment losses from MediaAlpha. Excluding MediaAlpha, the thirdtotal return on invested assets was 0.7% in the first quarter and first nine months of 2017.2021. White Mountains’s GAAP pre-tax total return on invested assets was 0.9%-4.6% in the first quarter of 2020. This return included $32 million of net investment income and 3.3% fornet unrealized investment gains from MediaAlpha. Excluding MediaAlpha, the thirdtotal return on invested assets was -6.1% in the first quarter and first nine months of 2016. The returns for the third quarter and first nine months of 2017 were driven by the continued equity market rally, while returns for the 2016 periods were impacted by strong equity2020.
Excluding MediaAlpha, investment returns in the thirdfirst quarter of 2016 and a decline in2021 were driven primarily by favorable other long-term investments results, partially offset by the impact of rising interest rates foron the first nine months of 2016.

Fixed income results
White Mountains maintains a high-quality, short-duration fixed income portfolio. AsExcluding MediaAlpha, investment returns in the first quarter of September 30, 2017,2020 were driven primarily by the decline in equity markets as the COVID-19 pandemic expanded.

Fixed Income Results
White Mountains’s fixed income portfolio, duration, including short-term investments, but excluding high-yieldwas $2.1 billion and $1.4 billion as of March 31, 2021 and December 31, 2020. The increase was driven primarily by the inclusion of invested assets relating to the Ark Transaction. The duration of White Mountains’s fixed income portfolio, including short-term investments, was 2.5 years and 3.2 years as of March 31, 2021 and December 31, 2020. White Mountains’s fixed income portfolio includes fixed maturity investments was approximately 2.7 years, compared to 2.6 yearsand short-term investments in the Collateral Trusts of $426 million and $432 million as of March 31, 2021 and December 31, 2016 and 2.0 years as of September 30, 2016. Including both short-term and high-yield fixed maturity investments, duration was approximately 2.9 years as of September 30, 2017.2020.
The increase in the duration of the fixed income portfolio over this period was primarily a result of establishing a new medium duration British Pound Sterling (GBP) investment grade corporate bond mandate with Legal & General Investment Management, Ltd. (“LGIM”), a third-party manager, in the fourth quarter of 2016. The duration of the LGIM portfolio was approximately 7.5 years as of September 30, 2017. White Mountains has entered into a foreign currency forward contract, which is recorded in other long-term investments, to manage its GBP foreign currency exposure relating to this mandate. As of September 30, 2017, the contract had a total gross notional value of approximately $201.3 million (GBP 150 million) and a carrying value of $(14.1) million.
TheMountains’s fixed income portfolio returned 0.9% and 2.7% for-1.0% in the third quarter and first nine months of 2017, outperforming the longer duration Bloomberg Barclays U.S. Intermediate Aggregate Index returns of 0.7% and 2.3%, as interest rates rose in both periods. The fixed income portfolio returned 0.4% and 2.9% for the third quarter and first nine months of 2016, slightly outperforming the longer duration Bloomberg Barclays U.S. Intermediate Aggregate Index return of 0.3% for the third quarter of 20162021, compared to 0.7% in the first quarter of 2020, outperforming and underperforming the Bloomberg Barclays U.S. Intermediate Aggregate Index returnreturns of 4.1%-1.6% and 2.5% for the first nine months of 2016.comparable periods. The underperformance relative to the benchmark forresults in the first nine monthsquarter of 2016 was2021 were driven primarily attributable toby the short duration positioning of White Mountains’s fixed income portfolio as interest rates backed up in the quarter. The results in the first quarter of 2020 were driven primarily by the short duration positioning of White Mountains’s fixed income portfolio as interest rates declined oversignificantly in the period.quarter.



66

Common equity securities, other long-term investmentsEquity Securities, Investment in MediaAlpha and high-yield fixed maturity investments resultsOther Long-Term Investments Results
White Mountains maintains aMountains’s portfolio of common equity securities, its investment in MediaAlpha and other long-term investments was $1.8 billion and high-yield fixed maturity investments.$1.6 billion as of March 31, 2021 and December 31, 2020, which represented 45% and 54% of total invested assets. See Note 5 — “Investment Securities”. The change was driven primarily by the inclusion of invested assets relating to the Ark Transaction, partially offset by a decline in White Mountains’s management believes that prudent levels of investmentsinvestment in MediaAlpha resulting from the MediaAlpha secondary offering and the decline in MediaAlpha’s common equity securities, other long-term investments and high-yield fixed maturity investments are likely to enhance long-term after-tax total returns.share price during the quarter.
White Mountains’s portfolio of common equity securities, its investment in MediaAlpha and other long-term investments and high-yield fixed maturity investments represented approximately 37%, 20%, and 19% of total GAAP invested assets as of September 30, 2017, December 31, 2016, and September 30, 2016. The increasereturned 0.8% in the percentagefirst quarter of this2021, which included $42 million of net realized and unrealized investment losses from MediaAlpha. White Mountains’s portfolio is primarily attributable to management’s conscious decision to addof common equity exposure during the yearsecurities and a declineother long-term investments returned 3.8% in the investment asset base due to the OneBeacon Transaction and share repurchase activity.first quarter of 2021.
White Mountains’s portfolio of common equity securities, its investment in MediaAlpha and other long-term investments returned -9.6% in the first quarter of 2020, which included $32 million of net investment income and high-yield fixed maturitynet unrealized investment gains from MediaAlpha. White Mountains’s portfolio of common equity securities and other long-term investments returned 2.4%-13.3% in the first quarter of 2020.
During the second half of 2020, White Mountains sold its portfolio of common equity securities, including its portfolio of ETFs and 8.6% forinternational common equity securities, in anticipation of funding the thirdArk Transaction. As a result of the Ark Transaction, White Mountains’s portfolio of common equity securities consisted of international listed funds in the amount of $119 million as of March 31, 2021.
White Mountains’s portfolio of common equity securities returned 1.8% in the first quarter andof 2021, compared to -20.9% in the first nine monthsquarter of 2017,2020, underperforming the S&P 500 Index returns of 4.5%6.2% and 14.2%.-19.6% for the comparable periods. The results were driven primarily by relative underperformance in White Mountains’s non-U.S. common equity positions versus the S&P 500 Index return for the third quarter and first nine months of 2017 was primarily a result of asset allocation, as high yield fixed maturity investments failed to keep pace with the S&P 500 Index, and unfavorable performance in other long-term investments, primarily attributable to losses from foreign currency forward contracts. The losses on the foreign currency forward contracts were offset by the currency gains from non-USD denominated fixed maturity investments and non-USD denominated common equity securities.both periods.
Historically, White Mountains’s portfolio of common equity securities primarily consistsETFs was designed to provide investment results that generally corresponds to the performance of passive ETFs and publicly-traded common equity securities that are actively managed by third party managers.the S&P 500 Index. White Mountains’s portfolio of ETFs was fully liquidated as of December 31, 2020 and amounted to $416 million as of March 31, 2020. In the first quarter of 2020, White Mountains’s portfolio of ETFs essentially earned the effective index return, before expenses. White Mountains also maintained relationships with a small number of third-party registered investment advisers (the “actively managed common equity portfolio”), who invested in non-U.S. equity securities returned 4.3% and 14.4% forthrough unit trusts. At the end of the third quarter andof 2020, White Mountains fully redeemed its actively managed common equity portfolio. White Mountains’s actively managed common equity portfolio returned -26.5% in the first nine monthsquarter of 2017,2020, underperforming the S&P 500 Index return of 4.5% for the third quarter and outperforming the S&P 500 Index return of 14.2% for the first nine months of 2017.
The portfolio of ETFs seeks to provide investment results that, before expenses, generally correspond to the performance of broad market indices. As of September 30, 2017 and December 31, 2016, White Mountains had $493 million and $322 million invested in S&P 500 ETFs. During the third quarter and first nine months of 2017 and 2016, the ETFs essentially earned the effective index return, before expenses, over the period in which White Mountains was invested in these funds.
White Mountains’s third party manager relationships (the “actively managed portfolios”) have been with Silchester International Investors (“Silchester”), who invests in value-oriented non-U.S. equity securities through a unit trust, and Lateef Investment Management (“Lateef”), a growth at a reasonable price adviser managing a highly concentrated portfolio of mid-cap and large-cap growth companies. During the first quarter of 2017, White Mountains established a new third party manager relationship with Lazard Asset Management (“Lazard”), to manage a Pan-European common equity portfolio, of which the majority of the securities are denominated in Euros (EUR)-19.6%. In September 2017, White Mountains terminated its relationship with Lazard in order to concentrate its non-U.S. equity exposure in small to mid-cap international equities through other third-party managers. During the third quarter of 2017 and prior to terminating Lazard, White Mountains established a new third party manager relationship with Highclere International Investors ("Highclere"), who invests in small to mid-cap equity securities listed in markets outside of North America through a unit trust.
The actively managed portfolios of common equity securities returned 5.0% and 19.4% for the third quarter and first nine months of 2017, outperforming the S&P 500 Index return of 4.5% and 14.2% for the comparable periods. The actively managed portfolios of common equity securities returned 5.4% and 3.4% for the third quarter and first nine months of 2016, outperforming the S&P 500 Index return of 3.9% for the third quarter and underperforming the S&P 500 Index return of 7.8% for the first nine months of 2016.
White Mountains entered into foreign currency forward contracts, which are recorded in other long-term investments, to manage its foreign currency exposure relating to the equity portfolio managed by Lazard and a portion of the equity portfolios managed by Silchester and Highclere. As of September 30, 2017, these contracts had a total gross notional value of approximately $60.5 million (EUR 19 million, GBP 11 million and JPY 2,646 million) and a carrying value of $(1.3) million.
White Mountains maintains a portfolio of other long-term investments that consists primarily of hedge funds,unconsolidated entities,
including Kudu’s Participation Contracts, private equity funds, unconsolidateda hedge fund, Lloyd’s trust deposits, a bank loan fund, ILS funds and private capital investments, foreign currency forward contracts and various other investments. Asdebt instruments. White Mountains’s portfolio of September 30, 2017, approximately 63% of these other long-term investments excluding foreign currency forward contracts, werewas $1.0 billion and $787 million as of March 31, 2021 and December 31, 2020. The change in other long-term investments was driven primarily by the inclusion of invested assets relating to the Ark Transaction, the addition of a bank loan fund and an increase in private equity funds with a general emphasis on narrow, sector-focused investments, and hedge funds with a general emphasis on long-short equities.

the fair value of Kudu Participation Contracts.
White Mountains’s other long-term investments portfolio returned -2.3% and -2.9% for4.1% in the third quarter and first nine months of 2017. The results for the third quarter and first nine months were primarily attributable to losses from foreign currency forward contracts, partially offset by a favorable mark-to-market adjustment to the OneBeacon Surplus Notes during the third quarter of 2017 and strong private equity fund and hedge fund results2021, compared to -5.8% in the first quarter of 2020. Investment returns for the first nine monthsquarter of 2017.
White Mountains’s other long-term investments returned 2.6%2021 were driven primarily by $16 million of net unrealized investment gains from Kudu’s Participation Contracts, driven primarily by strong asset growth and 6.4% for the third quarterperformance of Kudu’s underlying asset management firms, and first nine months$15 million of 2016. The results for the third quarternet investment income and first nine months of 2016 were primarily driven by write-downs in energy-exposedrealized and unrealized investment gains from private equity funds, partially offset by favorable mark-to-market adjustments to the OneBeacon Surplus Notes.
During the third quarter of 2016, White Mountains established a new relationship with Principal Global Investors, LLC (“Principal”), a third-party manager, to actively manage a relatively concentrated portfolio of high-yield fixed maturity investments. The Principal separate account is invested in issuers of U.S. dollar denominated publicly traded and 144A debt securities issued by corporations with generally at least one rating between "B-" and “BB+” inclusive by Standard and Poor’s or similar ratings from other rating agencies. The high-yield fixed maturity investments returned 1.7% and 7.1% for the third quarter and first nine months of 2017, underperforming the Bloomberg Barclays U.S. High Yield Ba 2% Issuer Capped (minus Energy & Financials) Index return of 1.9% for the quarter but outperforming the return of 6.7%funds. Investment returns for the first nine monthsquarter of 2017.2020 were driven primarily by $25 million of net unrealized investment losses from Kudu’s Participation Contracts, driven primarily by the impact of the market dislocation on Kudu’s underlying asset management firms relating to the COVID-19 pandemic, and a $10 million decrease in the fair value of White Mountains’s investment in PassportCard/DavidShield, where the global slowdown in travel activity in reaction to the COVID-19 pandemic caused a significant decline in premiums and revenues.

In the second quarter of 2019, White Mountains made an investment in three multi-investor ILS funds managed by Elementum, a third-party registered investment adviser specializing in natural catastrophe ILS. Elementum manages separate
accounts and pooled investment vehicles across various ILS sectors, including catastrophe bonds, collateralized reinsurance
investments and industry loss warranties, on behalf of third-party clients. In the first quarter of 2020, White Mountains made an investment in a fourth ILS fund managed by Elementum. As of March 31, 2021 and December 31, 2020, White Mountains had approximately $51 million invested in these four ILS funds.

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Foreign Currency TranslationExposure

As of September 30, 2017,March 31, 2021, White Mountains had gross foreign currency exposure on approximately $412.7$189 million of net assets relatingprimarily related to cashNSM’s U.K.-based operations, Kudu’s non-U.S. Participation Contracts, Ark’s non-U.S. business and fixed maturity investments managed by LGIM, common equity securities managed by Silchester and Highclere and variouscertain other foreign consolidated and unconsolidated private capital investments.
White Mountains entered into foreign currency forward contracts to mitigate its foreign currency exposure for the invested assets managed by LGIM and a portion of the invested assets managed by Silchester and Highclere.entities.
The following table summarizespresents the fair value of White Mountains’s foreign denominated net assets by segment as of March 31, 2021:

Currency
$ in Millions		NSMKuduOther SegmentArkTotal Fair Value
% of Total Shareholders’ Equity
GBP$128.6 $— $(.4)$(12.5)$115.7 3.0 %
AUD— 43.9 — 2.5 46.4 1.2 %
EUR— — 19.9 2.5 22.4 .6 %
CAD— — — 3.2 3.2 .1 %
All other— — 1.4 — 1.4 — %
Total$128.6 $43.9 $20.9 $(4.3)$189.1 4.9 %

Income Taxes

The Company and its Bermuda domiciled subsidiaries are not subject to Bermuda income tax under current Bermuda law. In the event there is a change in the current law and taxes are imposed, the Company and its Bermuda domiciled subsidiaries would be exempt from such tax until March 31, 2035 pursuant to the Bermuda Exempted Undertakings Tax Protection Act of 1966. The Company has subsidiaries and branches that operate in various other jurisdictions around the world that are subject to tax in the jurisdictions in which they operate.  The jurisdictions in which the Company’s subsidiaries and branches are subject to tax are Ireland, Israel, Luxembourg, the United Kingdom and the associated foreign currency forward contracts as of September 30, 2017:United States.
Currency(1)
 Fair Value (Gross) % of Common Shareholders' Equity Currency Hedge Fair Value (Net) % of Common Shareholders' Equity
GBP $253.2
 7.3% $(215.8) $37.4
 1.1%
JPY 60.4
 1.8% (23.6) 36.8
 1.1%
EUR 52.6
 1.5% (22.4) 30.2
 .9%
All other 46.5
 1.3% —
 46.5
 1.3%
Total $412.7
 11.9% $(261.8) $150.9
 4.4%
(1) Includes net assets of Wobi and Buzzmove.

Investment in Symetra Common Shares
During the third quarter of 2015, Symetra Financial Corporation (“Symetra”) announced that it entered into a definitive merger agreement with Sumitomo Life pursuant to which Sumitomo Life would acquire all of the outstanding shares of Symetra. On February 1, 2016, Symetra closed its definitive merger agreement with Sumitomo Life and White Mountains received proceeds of $658 million, or $32 per common share. White Mountains recognized $5 million in pre-tax net investment gains associated with Symetra duringIn the first quarter of 2016.2020, White Mountains also receivedadopted ASU 2019-12, Simplifying the Accounting for Income Taxes (ASC 740) (“ASU 2019-12”). For periods subsequent to the adoption of ASU 2019-12, White Mountains records both the tax expense related to BAM’s MSC and the related valuation allowance on such taxes through the non-controlling interest equity.  Prior to the adoption of ASU 2019-12, White Mountains recorded the tax expense related to BAM’s MSC directly to non-controlling interest equity, while the valuation allowance on such taxes was recorded through the income statement.
White Mountains’s income tax benefit related to pre-tax loss from continuing operations for the three months ended March 31, 2021 represented an effective tax rate of 7%. The effective tax rate for the three months ended March 31, 2021 was different from the U.S. statutory rate of 21%, due to income generated in jurisdictions with lower tax rates than the United States. See Note 8 — “Income Taxes”.
White Mountains’s income tax benefit related to pre-tax loss from continuing operations for the three months ended March 31, 2020 represented an effective tax rate of 15%. The effective tax rate was different from the U.S. statutory rate of 21%, due to income generated in jurisdictions with lower tax rates than the United States and state income taxes. See Note 8 — “Income Taxes”.

Discontinued Operations

In the first quarter of 2021, White Mountains recorded an $18 million gain within discontinued operations as a special dividendresult of $.50 per sharereversing a liability arising from the tax indemnification provided in connection with the sale of Sirius Group in 2016. The liability related to certain interest deductions claimed by Sirius Group that had been disputed by the Swedish Tax Agency (STA). In April 2021, the STA informed the Swedish Administrative Court of Appeal that, as parta result of the transactionSwedish Supreme Administrative Court having ruled that was paidthe Swedish interest disallowance rules violate the European Union’s freedom of establishment principle, Sirius Group should prevail in its appeal (and that the third quarter of 2015.interest deductions should not be disallowed).

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LIQUIDITY AND CAPITAL RESOURCES
 
Operating Cash and Short-term Investments


Holding company level. Company Level
The primary sources of cash for the Company and certain of its intermediate holding companies are expected to be distributions and tax sharing payments received from its insurance, reinsurance and other operating subsidiaries, capital raising activities, net investment income, proceeds from sales, repayments and maturities of investments, capital raising activities and, from time to time, proceeds from sales of operating subsidiaries. The primary uses of cash are expected to be repurchasesgeneral and administrative expenses, purchases of the Company’s common shares,investments, payments to tax authorities, payments on and repurchases/retirements of its debt obligations, dividend payments to holders of the Company’s common shares, distributions to non-controlling interest holders of consolidated subsidiaries, purchases of investments, payments to tax authorities, contributions to operating subsidiaries operating expenses and, from time to time, purchases of operating subsidiaries.subsidiaries and repurchases of the Company’s common shares.

Operating subsidiary level. Subsidiary Level
The primary sources of cash for White Mountains’s insurance, reinsurance and other operating subsidiaries are expected to be premium and fee collections, commissions, net investment income, proceeds from sales, repayments and maturities of investments, contributions from holding companies and capital raising activities and, from time to time, proceeds from the sales of operating subsidiaries.activities. The primary uses of cash are expected to be lossclaim payments, policy acquisition costs, general and other underwritingadministrative expenses, broker commission expenses, insurance acquisition expenses, loss payments, costs cost of sales, purchases of investments, payments to tax authorities, payments on and repurchases/retirements of its debt obligations, distributions and tax sharing payments made to holding companies, distributions to non-controlling interest holders operating expenses and, from time to time, purchases of operating subsidiaries.
Both internal and external forces influence White Mountains’s financial condition, results of operations and cash flows. PremiumClaim settlements, premium and fee levels, loss payments, cost of sales and investment returns may be impacted by changing rates of inflation and other economic conditions. Some time may lapse between the occurrence of an insured loss, the reporting of the loss to White MountainsMountains’s operating subsidiaries and the settlement of the liability for that loss. The exact timing of the payment of losses and benefits cannot be predicted with certainty. White Mountains’s insurance and reinsurance subsidiary maintains a portfoliooperating subsidiaries maintain portfolios of invested assets with varying maturities and a substantial amount of cash and short-term investments to provide adequate liquidity for the payment of losses.claims.
Management believes that White Mountains’s cash balances, cash flows from operations and routine sales and maturities of investments and the liquidity provided by the WTM Bank Facility and the MediaAlpha Bank Facility are adequate to meet expected cash requirements for the foreseeable future on both a holding company and insurance, reinsurance and other operating subsidiary level.


Dividend Capacity


FollowingThe following is a description of the dividend capacity of White Mountains’s insurance, reinsurance and other operating subsidiaries:


HG Global/BAM:BAM
At September 30, 2017,As of March 31, 2021, HG Global had $619 million face value of preferred shares outstanding, of which White Mountains owned 96.9%. Holders of the HG Global preferred shares receive cumulative dividends at a fixed annual rate of 6.0% on a quarterly basis, when and if declared by HG Global. During the three months ended March 31, 2021, HG Global did not declare or pay anydeclared and paid a $22 million preferred dividends in the third quarterdividend, of 2017.which White Mountains received $21 million. As of September 30, 2017,March 31, 2021, HG Global has accrued $223$370 million of dividends payable to holders of its preferred shares, $216$357 million of which is payable to White Mountains and is eliminated in consolidation. As of March 31, 2021, HG Global and its subsidiaries had $1 million of cash outside of HG Re.
HG Re is a Special Purpose Insurer subject to regulation and supervision by the BMA, but it does not require regulatory approval to pay dividends. However, HG Re’s dividend capacity is limited to amounts held outside of the collateral trustsCollateral Trusts pursuant to the first loss reinsurance treaty (“FLRT”)FLRT with BAM. As of September 30, 2017,March 31, 2021, HG Re had $745 million of statutory capital and surplus of $677 million, $702and $819 million of assets held in the collateral trustsCollateral Trusts pursuant to the FLRT with BAM.
On a monthly basis, BAM deposits cash equal to ceded premiums, net of ceding commissions, due to HG Re under the FLRT directly into the Regulation 114 Trust.  The Regulation 114 Trust target balance is equal to gross ceded unearned premiums and unpaid ceded loss and LAE expenses, if any.  If, at the end of any quarter, the Regulation 114 Trust balance is below the target balance, funds will be withdrawn from the Supplemental Trust and deposited into the Regulation 114 Trust in an amount equal to the shortfall.  If, at the end of any quarter, the Regulation 114 Trust balance is above 102% of the target balance, funds will be withdrawn from the Regulation 114 Trust and deposited into the Supplemental Trust. 
69

The Supplemental Trust Target Balance is $603 million, less than $1the amount of cash and securities in the Regulation 114 Trust in excess of its target balance.  If, at the end of any quarter, the Supplemental Trust balance exceeds the Supplemental Trust Target Balance, such excess may be distributed to HG Re.  The distribution will be made first as an assignment of accrued interest on the BAM Surplus Notes and second in cash and/or fixed income securities.  As the BAM Surplus Notes are repaid over time, the BAM Surplus Notes will be replaced in the Supplemental Trust by cash and fixed income securities.
As of March 31, 2021, the Collateral Trusts held assets of $819 million, which included $428 million of cash and investments, $388 million of BAM Surplus Notes and $3 million of interest receivable on the BAM Surplus Notes.
As of March 31, 2021, HG Re had $3 million of cash and investments and $118 million of accrued interest on the BAM Surplus Notes held outside the collateral trusts.Collateral Trusts.
Effective January 1, 2014, HG Global and BAM agreed to changeThrough 2024, the interest rate on the BAM Surplus Notes for the five years ending December 31, 2018 from a fixed rate of 8.0% tois a variable rate equal to the one-year U.S. treasuryTreasury rate plus 300 basis points, set annually, whichannually. During 2021, the interest rate on the BAM Surplus Notes is 3.78% for 2017. Prior to the end of 2018, BAM has the option to extend the variable rate period for an additional three years.  At the end of the variable rate period,3.1%. Beginning in 2025, the interest rate will be fixed at the higher of the then current variable rate or 8.0%. BAM is required to seek regulatory approval to pay interest and principal on the BAM Surplus Notes only to the extent that its remaining qualified statutory capital and other capital resources continue to support its outstanding obligations, its business plan and its “AA/stable” rating from Standard & Poor’s. No payment of interestprincipal or principalinterest on the BAM Surplus Notes may be made without the approval of the New York State DepartmentNYDFS.
During the three months ended March 31, 2021, BAM made no repayments of Financial Services. BAM has stated its intention to seek regulatory approval to pay interest and principal on its surplus notes only to the extent that its remaining qualified statutory capital (“QSC”) exceeds $500 million and its remaining QSC and other capital resources continue to support its outstanding obligations, business plan and its AA stable rating from S&P.

In order to further support BAM’s long-term capital position and business prospects, on August 14, 2017, HG Global contributed the $203 million Series A BAM Surplus Notes intoor accrued interest. In January 2020, BAM made a one-time $65 million cash payment of principal and interest on the Supplemental Trust at HG Re, HG Global’s wholly owned reinsurance subsidiary. The Supplemental Trust already held the $300 million Series B BAM Surplus Notes. AssetsNotes held by HG Global. Of this payment, $48 million was a repayment of principal held in the Supplemental Trust, serve to collateralize HG Re’s obligations to BAM under the first loss reinsurance treaty between BAM and HG Re. HG Global and BAM also changed the$1 million was a payment terms of the Series B Notes, so that payments will reduce principal and accrued interest onheld in the Supplemental Trust and $16 million was a pro rata basis, consistent withpayment of accrued interest held outside the payment termsSupplemental Trust.

Ark
Group Ark Insurance Ltd. (“GAIL”), a class 4 licensed Bermuda insurer has the ability to declare or pay dividends or make capital distributions during any 12-month period without the prior approval of Bermuda regulatory authorities on the Series A Notes. The termscondition that any such declaration or payment of dividends or capital distributions does not cause a breach of any of its regulatory solvency and liquidity requirements. During 2021, GAIL has the Series B Notes had previously stipulated that payments would first reduce interest owed, then reduce principal owed onceability, subject to meeting all accrued interest had been paid.
HG Globalappropriate liquidity and BAM also made certain changessolvency requirements, to make dividend or capital distributions without the ceding commission arrangements under the reinsurance treaty between HG Reprior approval of regulatory authorities, subject to meeting all appropriate liquidity and BAM. These changes will accelerate growth in BAM’ssolvency requirements, of $20 million, which is equal to 15% of its December 31, 2020 statutory capital, but will not impact the net risk premium ceded from BAMexcluding earned surplus. The amount of dividends available to HG Re.

MediaAlpha:
be paid by GAIL in any given year is also subject to cash flow and earnings generated by GAIL's business. During the first ninethree months of 2017, MediaAlpha paid $2 million of dividends, $1 million of which was paidended March 31 2021, GAIL did not pay a dividend to White Mountains. its immediate parent.
As of September 30, 2017, MediaAlpha had $5 million of net unrestricted cash.

Other Operations:
During the first nine months of 2017, White Mountains paid a $5 million common share dividend. As of September 30, 2017, the CompanyMarch 31, 2021, Ark and its intermediate holding companies had $1,741$5 million of net unrestricted cash, short-term investments and fixed maturity investments $774outside of its regulated and unregulated insurance and reinsurance operating subsidiaries. During the three months ended March 31, 2021, Ark did not pay any dividends to its immediate parent.

NSM
During the three months ended March 31, 2021, NSM did not make any distributions to its unitholders. As of March 31, 2021, NSM had $42 million of common equity securitiesnet unrestricted cash and $81short-term investments.

Kudu
During the three months ended March 31, 2021, Kudu distributed $5 million to unitholders, substantially all of which was paid to White Mountains. As of March 31, 2021, Kudu had $7 million of other long-term investments included in its net unrestricted cash and short-term investments.

Other Operations segment.
During the three months ended March 31, 2021, White Mountains paid a $3 million common share dividend. As of September 30, 2017, White Mountains has contractual unfunded commitmentsMarch 31, 2021, the Company and its intermediate holding companies had $600 million of $105 million to fund certain other long-termnet unrestricted cash, short-term investments and $10fixed maturity investments, $600 million to fund a surplus note facility.of MediaAlpha common stock and $166 million of private equity funds and ILS funds.

70

Financing


The following table summarizespresents White Mountains’s capital structure as of September 30, 2017March 31, 2021 and December 31, 2016:2020:
$ in MillionsMarch 31,
2021		December 31,
2020
Ark Alesco Notes$30.0 $— 
Ark Dekania Note14.1 — 
   Ark Subordinated Notes44.1 — 
NSM Bank Facility (1)
271.5 271.3 
Other NSM debt (1)
1.2 1.3 
Kudu Credit Facility (1)
95.9 — 
Kudu Bank Facility (1)
— 86.3 
Other Operations debt (1)
17.0 17.5 
Total debt429.7 376.4 
Non-controlling interests—excluding BAM242.9 35.2 
Total White Mountains’s common shareholders’ equity3,825.9 3,906.0 
Total capital4,498.5 4,317.6 
Time-value discount on expected future payments on the BAM Surplus Notes (2)
(137.7)(142.5)
HG Global’s unearned premium reserve (2)
195.3 190.0 
HG Global’s net deferred acquisition costs (2)
(54.2)(52.4)
Total adjusted capital$4,501.9 $4,312.7 
Total debt to total adjusted capital9.5 %8.7 %
($ in millions) September 30,
2017		 December 31,
2016
WTM Bank Facility $—
 $—
MediaAlpha Bank Facility, carrying value 9.4
 —
Previous MediaAlpha Bank Facility, carrying value —
 12.7
Total debt in continuing operations 9.4
 12.7
Debt included in discontinued operations —
 273.2
Total debt 9.4
 285.9
Non-controlling interest—OneBeacon Ltd. —
 244.6
Non-controlling interests—other, excluding mutuals and reciprocals 28.6
 35.8
Total White Mountains’s common shareholders’ equity 3,468.8
 3,582.7
Total capital 3,506.8
 4,149.0
Time-value discount on expected future payments on the BAM Surplus Notes (1)
 (161.8) —
HG Global’s unearned premium reserve (1)
 88.4
 —
HG Global’s net deferred acquisition costs (1)
 (19.6) —
Total adjusted capital $3,413.8
 $4,149.0
     
Total debt to total adjusted capital 0.3% 6.9%
(1) Net of unamortized issuance costs
(1) (2) Amount reflects White Mountains'sMountains’s preferred share ownership in HG Global of 96.9%.



Management believes that White Mountains has the flexibility and capacity to obtain funds externally as needed through debt or equity financing on both a short-term and long-term basis. However, White Mountains can provide no assurance that, if needed, it would be able to obtain additional debt or equity financing on satisfactory terms, if at all.
White Mountains has an unsecured revolving credit facility with a syndicate of lenders administered by Wells Fargo Bank, N.A., which has a total commitment of $425 million and a maturity date of August 14, 2018 (the “WTM Bank Facility”). During the third quarter of 2017, White Mountains borrowed $350 million under the WTM Bank Facility to partially fund a tender offer and subsequently repaid the $350 million after receiving the proceeds from the OneBeacon Transaction. White Mountains borrowed the funds As of September 30, 2017, the WTM Bank Facility was undrawn.
The WTM Bank Facility contain various affirmative, negative and financial covenants that White Mountains considers to be customary for such borrowings, including certain minimum net worth and maximum debt to capitalization standards. These covenants can restrict White Mountains in several ways, including its ability to incur additional indebtedness. An uncured breach of these covenants could result in an event of default under the WTM Bank Facility, which would allow lenders to declare any amounts owed under the WTM Bank Facility to be immediately due and payable. In addition, a default under the WTM Bank Facility could occur if certain of White Mountains’s subsidiaries fail to pay principal and interest on a credit facility, mortgage or similar debt agreement (collectively, “covered debt”), or fail to otherwise comply with obligations in such covered debt agreements where such a default gives the holder of the covered debt the right to accelerate at least $75 million of principal amount of covered debt.
It is possible that, in the future, one or more of the rating agencies may lower White Mountains’s existing ratings. If one or more of its ratings were lowered, White Mountains could incur higher borrowing costs on future borrowings and its ability to access the capital markets could be impacted.
On May 12, 2017, MediaAlpha entered into
Ark Subordinated Notes
In March 2007, Ark issued $30 million face value of floating rate unsecured junior subordinated deferrable interest notes to Alesco Preferred Funding XII Ltd., Alesco Preferred Funding XIII Ltd. and Alesco Preferred Funding XIV Ltd (the “Ark Alesco Notes”) and a secured credit facility€12 million floating rate subordinated note to Dekania Europe CDO II plc (the “MediaAlpha Bank Facility”“Ark Dekania Note”) with Western Alliance Bank,(together, the “Ark Subordinated Notes”). The Alesco Notes, which hasmature in June 2037, accrue interest at a total commitmentfloating rate equal to the three-month U.S. LIBOR plus 4.6%. The Ark Dekania Note, which matures in June 2027, accrues interest at a floating rate equal to the three-month EURIBOR plus 4.6%. As of $20 million and has a maturity date of May 12, 2020.  The MediaAlpha Bank Facility replaced MediaAlpha’s previous credit facility (the “Previous MediaAlpha Bank Facility”), which had a total commitment of $20 million. The MediaAlpha Bank Facility consists of a $5 million term loan facility, whichMarch 31, 2021, the Ark Alesco Notes had an outstanding balance of $3$30 million as of September 30, 2017, and a revolving credit facility for $15 million, whichthe Ark Dekania Note had an outstanding balance of $6€12 million (approximately $14 million based upon the foreign exchange spot rate as of September 30, 2017.March 31, 2021).

Ark Stand By Letter of Credit Facility
Ark has a secured stand by letter of credit facility (the “Ark LOC Facility”) with three lenders, Lloyds Bank plc, National Westminster Bank plc and ING Bank N.V, London Branch to provide capital support the Syndicates. As of March 31, 2021, the utilized level of the facility was $45 million, with the ability to increase to $150 million. The Ark LOC Facility has a termination date of December 31, 2025. During the ninethree months ended September 30, 2017, MediaAlpha borrowed $5.0 million on the term loan and $6.0 million on the revolving loan,March 31, 2021, Ark did not borrow or make any repayments under the MediaAlphaArk LOC Facility.
The Ark LOC Facility, which provides funds at Lloyd’s, is secured by all property of the loan parties and contains various affirmative, negative and financial covenants that White Mountains considers to be customary for such borrowings, including a minimum tangible net worth covenant.

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NSM Bank Facility. DuringFacility
On April 7, 2020, NSM amended its secured credit facility (the “NSM Bank Facility”) with Ares Capital Corporation in connection with the nine months ended September 30, 2017, MediaAlpha repaid $13acquisition of Kingsbridge. Under the amendment, the total commitment increased from $234 million, undercomprised of term loans of $224 million and a revolving credit loan of $10 million, to $291 million, comprised of term loans of $276 million, including £43 million (approximately $52 million based upon the Previous MediaAlpha Bank Facility. The MediaAlpha Bank Facility carriesforeign exchange spot rate as of the date of the transaction) in a variable interest rate that is based on the Prime Rate, as published by the Wall Street Journal, plus a spread of 1.5% on theGBP term loan facility, and 0.25%a revolving credit loan commitment of $15 million. The term loans under the NSM Bank Facility mature on May 11, 2026, and the revolving loan matures on November 11, 2025.
Interest on the NSM Bank Facility accrues at a floating interest rate equal to the three-month LIBOR plus an applicable margin. In connection with the amendment, the reference rates for USD denominated borrowings increased. The USD-LIBOR rate floor increased to 1.25% and the margin over USD-LIBOR increased from a range of 4.25% to 4.75% to a range of 5.50% to 6.00%. For GBP denominated borrowings, the GBP-LIBOR rate floor is 1.25% and the margin over GBP-LIBOR ranges from 6.00% to 6.50%. The margins over the reference interest rates vary within the range depending on the consolidated total leverage ratio of NSM.
The following table presents the change in debt under the NSM Bank Facility for the three months ended March 31, 2021 and 2020:
NSM Bank FacilityThree Months Ended
March 31,
Millions20212020
Beginning balance$277.4 $221.3 
Term loans
Borrowings— — 
Repayments(.7)(.6)
Foreign currency translation.6 — 
Revolving credit loan
Borrowings— — 
Repayments— — 
Ending balance$277.3 $220.7 

As of March 31, 2021, the term loans had an outstanding balance of $277 million, including £43 million (approximately $58 million based upon the foreign exchange spot rate as of March 31, 2021) in a GBP term loan, and the revolving credit facility.loan was undrawn.
On June 15, 2018, NSM entered into an interest rate swap agreement to hedge its exposure to interest rate risk on $151 million of its USD denominated variable rate term loans.
As of March 31, 2021, $147 million of the outstanding term loans were hedged by the swap and $130 million of the outstanding term loans were unhedged. The following table presents the NSM weighted average interest rate for the three months ended March 31, 2021 and 2020:

NSM Weighted Average Interest RateThree Months ended March 31,
20212020
MillionsWeighted Average
Interest Expense (1)
Weighted Average Interest rateWeighted Average
Interest Expense (1)
Weighted Average Interest rate
Term loan - hedged147.63.49.2 %148.43.08.1 %
Term loan - unhedged129.82.57.7 %72.61.26.6 %
Total NSM Facility277.4 5.98.5 %221.0 4.27.6 %
(1) Interest expense includes the amortization of debt issuance costs and the effect of the interest rate swap and excludes interest expense related to the Other NSM Debt.

The MediaAlphaNSM Bank Facility is secured by intellectualall property andof the common stock of MediaAlpha’s subsidiaries,loan parties and contains various affirmative, negative and financial covenants that White Mountains considers to be customary for such borrowings, including a maximum consolidated total leverage ratio. ratio covenant.



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Other NSM Debt
NSM also has a secured term loan related to its U.K.-based operations. As of March 31, 2021, the secured term loan had an outstanding balance of $1 million and a maturity date of December 31, 2022.

Kudu Credit Facility and Kudu Bank Facility
On December 23, 2019, Kudu entered into a secured credit facility with Monroe Capital Management Advisors, LLC (the “Kudu Bank Facility”). On March 23, 2021, Kudu replaced the Kudu Bank Facility and entered into a secured revolving credit facility (the “Kudu Credit Facility”) with Massachusetts Mutual Life Insurance Company to fund new investments and related transaction expenses. The maximum borrowing capacity of the Kudu Credit Facility is $300 million, which includes the initial advanced amount of $102 million. The Kudu Credit Facility matures on March 23, 2036. During the three months ended March 31, 2021, Kudu borrowed $3 million and repaid the outstanding Kudu Bank Facility balance of $92 million. As of March 31, 2021, the Kudu Credit Facility had an undrawn balance of $198 million. Kudu may borrow undrawn balances within the initial three year availability period, subject to customary terms and conditions, to the extent the amount borrowed under the Kudu Credit Facility does not exceed 35% of the borrowing base, which is comprised of Kudu’s qualifying participation contracts (the “LTV percentage”). When considering White Mountains’s remaining equity commitment to Kudu, the available undrawn balance was $61 million as of March 31, 2021.
Interest on the Kudu Credit Facility accrues at a floating interest rate equal to the greater of the three-month USD-LIBOR and 0.25%, plus in each case, the applicable spread of 4.30%. The Kudu Credit Facility requires Kudu to maintain an interest reserve account, which is included in restricted cash. As of March 31, 2021, the interest reserve account is $3.9 million. The Kudu Credit Facility requires Kudu to maintain an LTV percentage of less than 50% in years 0-3, 40% in years 4-6, 25% in years 7-8, 15% in years 9-10, and 0% thereafter. As of March 31, 2021, Kudu has a 29.5% LTV.
The Kudu Credit Facility is secured by all property of the loan parties and contains various affirmative and negative covenants that White Mountains considers to be customary for such borrowings.

Other Operations Debt
As of March 31, 2021, debt in White Mountains’s Other Operations segment consisted of two secured credit facilities. The first credit facility has a maximum borrowing capacity of $16 million, which is comprised of a term loan of $11 million, a delayed-draw term loan of $3 million and a revolving credit loan commitment of $2 million, all with a maturity date of March 12, 2024. During the three months ended March 31, 2021, White Mountains’s Other Operations segment borrowed $0.3 million on the revolving credit loan and made repayments of $0.6 million on the term loans, under the first credit facility. As of March 31, 2021, the first credit facility had an outstanding balance of $9 million. The second credit facility has a maximum borrowing capacity of $15 million, which is comprised of a term loan of $9 million, a delayed-draw term loan of $4 million and a revolving credit loan commitment of $2 million, all with a maturity date of July 2, 2025. During the three months ended March 31, 2021, White Mountains’s Other Operations segment had no borrowings and made repayments of $0.2 million on the term loans under the second credit facility. As of March 31, 2021, the second credit facility had an outstanding balance of $9 million.

Covenant Compliance
As of September 30, 2017,March 31, 2021, White Mountains was in compliance in all material respects with all of the covenants under all of its debt instruments and expects to remain in compliance for the foreseeable future.instruments.



Share Repurchases


White Mountains’s board of directors has authorized the Company to repurchase its common shares from time to time, subject to market conditions. The repurchase authorizations do not have a stated expiration date. As of September 30, 2017,March 31, 2021, White Mountains may repurchase an additional 643,130542,517 shares under these board authorizations. In addition, from time to time White Mountains has also repurchased its common shares through tender offers that were separately approved by its board of directors.
During the third quarter of 2017,three months ended March 31, 2021, White Mountains completed a "modified Dutch auction" tender offer, through which it repurchased 586,732and retired 7,161 of its common shares for $7 million, at a purchasean average share price of $875 per share for a total cost$1,039, which was approximately 84% of approximately $515 million, including expenses.
The following table presents common shares repurchased by the Company through the first 10 months of 2017 and 2016, as well as the average price per share as a percent ofWhite Mountains’s March 31, 2021 adjusted book value per share. When applicable,All of the shares White Mountains repurchased in the first three months of 2021 were to satisfy employee
income tax withholding pursuant to employee benefit plans.
During the three months ended March 31, 2020, White Mountains repurchased and retired 64,403 of its common shares for $54 million, at an average share price per share as a percent of $844, which was approximately 86% of White Mountains’s March 31, 2020 adjusted book value per share includingshare. Of the estimated gain from significant transactions is also presented.
        Average price per share as % of
Dates Shares Repurchased Cost (millions) Average price per share 
Adjusted book value per share(1)
 
Adjusted book value per share, including estimated
transaction gains (2)
           
1st quarter 2017 7,699
 $6.4
 $836.05
 105% N/A
2nd quarter 2017 3,184
 2.8
 869.70
 112% 97%
3rd quarter 2017 821,842
 714.7
 869.60
 96% N/A
Year-to-date September 30, 2017 832,725
 723.9
 869.29
 96% N/A
October 2017 —
 —
 —
 N/A
 N/A
Year-to-date October 31, 2017(3)
 832,725
 $723.9
 $869.29
 96% N/A
           
1st quarter 2016 228,688
 $172.7
 $755.36
 108% 95%
2nd quarter 2016 463,276
 374.7
 808.76
 103% 101%
3rd quarter 2016 389,373
 319.4
 820.17
 103% N/A
Year-to-date September 30, 2016 1,081,337
 866.8
 801.57
 100% N/A
October 2016 13,458
 11.1
 824.48
 103% N/A
Year-to-date October 31, 2016(3)
 1,094,795
 $877.9
 $801.86
 100% N/A
(1) Average price per share is expressed as a percentage ofshares White Mountains's adjusted book value per share as of March 31, 2017 forMountains repurchased in the first quarter 2017, June 30, 2017 for the second quarter 2017 and September 30, 2017 for all other 2017 periods presented and as of March 31, 2016 for the first quarter 2016, June 30, 2016 for the second quarter 2016 and September 30, 2016 for all other 2016 periods presented periods presented.
(2) For the second quarter 2017, adjusted book value per share includes estimated gain from the OneBeacon transaction. For the first quarter 2016, adjusted book value per share includes estimated gain from the sale of Sirius Group. For the second quarter 2016, adjusted book value per share includes estimated gain from the sale of Tranzact.
(3) Includes 10,993 and 8,022 common shares repurchased by the Company during the first tenthree months of 2017 and 20162020, 5,899 were to satisfy employee income tax withholding pursuant to employee benefit plans. Shares repurchased pursuant to employee benefit plans, which do not reduce the board authorization referred to above.authorization.


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Cash Flows


Detailed information concerning White Mountains’s cash flows during the ninethree months ended September 30, 2017March 31, 2021 and 20162020 follows:
 
Cash flows from continuing operations for the ninethree months ended September 30, 2017March 31, 2021 and September 30, 2016March 31, 2020

Net cash used for continuing operations was $64$(93) million in the first ninethree months of 2017 and $175ended March 31, 2021, compared to $(60) million in the first ninethree months of 2016. Cash used for continuing operations was lower in the first nine months of 2017 compared to the first nine months of 2016, primarily due to payments related to the settlement of certain liabilities and transaction costs in connection with the Sirius Group sale in the first nine months of 2016. This decreaseended March 31, 2020. The increase in cash used fromfor operations was primarily driven by Ark’s transaction expenses during the three months ended March 31, 2021, partially offset by an increase in incentive compensation and employee retirement paymentsa decrease in the first nine monthsinvestments in Kudu’s participation contracts. As of 2017 relative toMarch 31, 2021, the first nine monthsCompany and its intermediate holding companies had $600 million of 2016. White Mountains made long-term incentive payments totaling $22net unrestricted cash, short-term investments and fixed maturity investments, $600 million of MediaAlpha common stock and $41$166 million during the first nine months of 2017private equity funds and the first nine months of 2016. During the first nine months of 2017, White Mountains also paid $28 million in cash related to the departures of the Company’s former Chairman and CEO and former CFO. White Mountains does not believe these trends will have a meaningful impact on its future liquidity or its ability to meet its future cash requirements.ILS funds.


Cash flows from investing and financing activities for the ninethree months ended September 30, 2017March 31, 2021

Financing and Other Capital Activities
During the first ninethree months of 2017,ended March 31, 2021, the Company declared and paid a $5$3 million cash dividend to its common shareholders.
During the first ninethree months of 2017,ended March 31, 2021, White Mountains repurchased and retired 832,7257,161 of its common shares for $724$7 million, all of which included 10,993 for $9 millionwere repurchased under employee benefit plans for statutory withholding tax payments.
During the first ninethree months of 2017, White Mountains borrowed and repaid $350ended March 31, 2021, BAM received $14 million under the WTM Bank Facility.in MSC.
During the first ninethree months of 2017, BAM received $26 million in surplus contributions from its members.
During the first nine months of 2017, MediaAlphaended March 31, 2021, HG Global declared and paid $2$22 million of preferred dividends, of which $1$21 million was paid to White Mountains.
During the first ninethree months of 2017, MediaAlpha borrowed $11ended March 31, 2021, NSM repaid $1 million and repaid $2 millionin term loans under the MediaAlpha Bank Facility and repaid $13 million under the Previous MediaAlphaNSM Bank Facility.
During the first ninethree months ended March 31, 2021, Kudu borrowed $3 million in term loans under the Kudu Bank Facility.
On March 23, 2021, Kudu entered into the Kudu Credit Facility with an initial draw of 2017, Wobi borrowed ILS 43 million (approximately $12 million) from White Mountains under an internal credit facility.
During the first nine months of 2017, White Mountains received $45$102 million, of dividends from OneBeacon.which $92 million was used to repay the outstanding principal balance on its term loans under the Kudu Bank Facility.


Acquisitions and Dispositions
On AugustJanuary 1, 2017,2021 White Mountains purchased 37,409 newly-issued preferred sharescompleted the Ark Transaction, which included contributing $605 million of Buzzmove for GBP 4equity capital to Ark, at a pre-money valuation of $300 million, (approximately $5and purchasing $41 million based upon the foreign exchange spot rate at the date of acquisition) and 5,808 common shares from certain selling shareholders. In the company foundersfourth quarter of 2020, White Mountains prefunded/placed in escrow a total of $646 million in preparation for GBP $0.5 million (approximately $0.7 million based uponclosing the foreign exchange spot rate at the date of acquisition).Ark Transaction.
On September 28, 2017, OneBeacon closed its definitive merger agreement with Intact andMarch 23, 2021, MediaAlpha completed a secondary offering of 8.05 million shares. In the secondary offering, White Mountains receivedsold 3.6 million shares at $46.00 per share ($44.62 per share net of underwriting fees) for net proceeds of $1,299 million, or $18.10 per OneBeacon common share.$160 million.


Cash flows from investing and financing activities for the ninethree months ended September 30, 2016March 31, 2020

Financing and Other Capital Activities
During the first ninethree months of 2016,ended March 31, 2020, the Company declared and paid a $5$3 million cash dividend to its common shareholders.
During the first ninethree months of 2016,ended March 31, 2020, White Mountains repurchased and retired 1,081,33764,403 of its common shares for $867$54 million, 5,899 of which included 8,022 common shares for $6 millionwere repurchased under employee benefit plans for statutory withholding tax payments.
During the first ninethree months of 2016, White Mountains borrowed a total of $350ended March 31, 2020, BAM received $10 million and repaid a total of $400 million under the WTM Bank Facility.in MSC.
During the first ninethree months of 2016, HG Global raised $6ended March 31, 2020, BAM repaid $48 million of additional capital through the issuance of preferred shares, 97% of which were purchased by White Mountains. HG Global used $3principal and paid $17 million of accrued interest on the proceeds to repay and cancel an internal credit facility with White Mountains.BAM Surplus Notes.
During the first ninethree months of 2016, BAM received $28 million in surplus contributions from its members.
During the first nine months of 2016, MediaAlphaended March 31, 2020, HG Global declared and paid $2$23 million of preferred dividends, of which $1$22 million was paid to White Mountains.
During the first ninethree months of 2016, MediaAlpha borrowed $3ended March 31, 2020, NSM repaid $1 million in term loans and $1 million in revolving loans under the Previous MediaAlphaNSM Bank Facility.
During the first ninethree months ended March 31, 2020, Kudu borrowed $12 million in term loans under the Kudu Bank Facility and made no repayments.


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NON-GAAP FINANCIAL MEASURES

This report includes 12 non-GAAP financial measures that have been reconciled to their most comparable GAAP financial measures.

Adjusted book value per share
Adjusted book value per share is a non-GAAP financial measure, which is derived by adjusting (i) the GAAP book value per share numerator and (ii) the common shares outstanding denominator, as described below.
The GAAP book value per share numerator is adjusted (i) to include a discount for the time value of 2016,money arising from the modeled timing of cash payments of principal and interest on the BAM Surplus Notes and (ii) to add back the unearned premium reserve, net of deferred acquisition costs, at HG Global.
Under GAAP, White Mountains contributed $15is required to carry the BAM Surplus Notes, including accrued interest, at nominal value with no consideration for time value of money. Based on a debt service model that forecasts operating results for BAM through maturity of the BAM Surplus Notes, the present value of the BAM Surplus Notes, including accrued interest and using an 8% discount rate, was estimated to be $142 million, to WM Advisors.$147 million and $154 million less than the nominal GAAP carrying values as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively.
During the first nine monthsThe value of 2016, HG Global’s unearned premium reserve, net of deferred acquisition costs, was $146 million, $142 million, and $121 million as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively.
White Mountains received $45 millionbelieves these adjustments are useful to management and investors in analyzing the intrinsic value of dividends from OneBeacon.

Acquisitions and Dispositions
On January 7, 2016, Wobi settled its acquisitionHG Global, including the value of the remainingBAM Surplus Notes and the value of the in-force business at HG Re, HG Global’s reinsurance subsidiary.
The denominator used in the calculation of adjusted book value per share capitalequals the number of Cashboard for NIS 16 million (approximately $4 million based uponcommon shares outstanding, adjusted to exclude unearned restricted common shares, the foreign exchange spot ratecompensation cost of which, at the date of acquisition).calculation, has yet to be amortized. Restricted common shares are earned on a straight-line basis over their vesting periods. The reconciliation of GAAP book value per share to adjusted book value per share is included on page 50.
On February 1, 2016, Symetra
BAM’s gross written premiums and MSC from new business
BAM’s gross written premiums and MSC from new business is a non-GAAP financial measure, which is derived by adjusting gross written premiums and MSC collected (i) to include the present value of future installment MSC not yet collected and (ii) to exclude the impact of gross written premium adjustments related to policies closed its definitive merger agreement with Sumitomo Life andin prior periods. White Mountains received proceedsbelieves these adjustments are useful to management and investors in evaluating the volume and pricing of $658 million, or $32.00 per Symetra common share.new business closed during the period. The reconciliation from GAAP gross written premiums to gross written premiums and MSC from new business is included on page 55.
On February 26, 2016,
Ark’s adjusted loss and loss adjustment expense, insurance acquisition expense, other underwriting expense and combined ratios
Ark’s adjusted loss and loss adjustment expense ratio, adjusted insurance acquisition expense ratio, adjusted other underwriting expense ratio and adjusted combined ratio are non-GAAP financial measures, which are derived by adjusting the GAAP ratios to add back amounts ceded to TPC Providers for the Syndicates. The impact of these reinsurance arrangements relate to years of account prior to the Ark Transaction. White Mountains paid $8 millionbelieves these adjustments are useful to management and investors in settlement of the contingent purchase adjustment for its acquisition of MediaAlpha in 2014.
On April 18, 2016, White Mountains completed the sale of Sirius Group to CMI for approximately $2.6 billion. $162 million of this amount was used to purchase certain assets to be retained by White Mountains out of Sirius Group, including shares of OneBeacon.
On April 27, 2016, White Mountains purchased NIS 16 million (approximately $4 million based upon the foreign exchange spot rate at the date of acquisition) of convertible preferred shares of Wobi, increasing its ownership share to 96.5%evaluating Ark’s results on a fully convertedaligned basis. The reconciliation from the GAAP ratios to the adjusted ratios is included on page 60.
On July 21, 2016,
NSM’s earnings before interest, taxes, depreciation and amortization (“EBITDA”) and NSM’s adjusted EBITDA
NSM’s EBITDA and adjusted EBITDA are non-GAAP financial measures. EBITDA is a non-GAAP financial measure that excludes interest expense on debt, income tax expense (benefit), depreciation and amortization of other intangible assets from GAAP net income (loss). Adjusted EBITDA is a non-GAAP financial measure that excludes certain other items in GAAP net income (loss) in addition to those excluded from EBITDA. The adjustments relate to (i) change in fair value of contingent consideration earnout liabilities, (ii) non-cash equity-based compensation expense, (iii) impairments of intangible assets, (iv) loss on assets held for sale, (v) acquisition-related transaction expenses, (vi) investments made in the development of new business lines and (vii) restructuring expenses. A description of each follows:
•Change in fair value of contingent consideration earnout liabilities - Earnout liabilities are amounts payable to the sellers of businesses purchased by NSM that are contingent on the earnings of such businesses in periods subsequent to their acquisition. Under GAAP, earnout liabilities are initially recorded at fair value as part of purchase accounting, with the periodic change in the fair value of these liabilities recorded as income or an expense.
•Non-cash equity-based compensation expense - Represents non-cash expenses related to NSM’s management compensation emanating from the grants of equity units.
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•Impairments of intangible assets - Represents expense related to NSM’s write-off of intangible assets. For the periods presented, the impairments related primarily to NSM’s write-off of intangible assets in its U.K. vertical. The impairments related to lower premium volumes, including due to the impact of the COVID-19 pandemic, and certain reorganization initiatives in the U.K. vertical.
•Loss on assets held for sale - Represents the loss on the net assets held for sale related to the Fresh Insurance motor business.
•Acquisition-related transaction expenses - Represents costs directly related to NSM’s transactions to acquire businesses, such as transaction-related compensation, banking, accounting and external lawyer fees, which are not capitalized and are expensed under GAAP.
•Investments made in the development of new business lines - Represents the net loss related to the start-up of newly established lines of business, which NSM views as investments.
•Restructuring expenses - Represents expenses associated with eliminating redundant work force and facilities that often arise as a result of NSM’s post-acquisition integration strategies. For the periods presented, this adjustment relates primarily to NSM’s expenses incurred in certain reorganization initiatives in the U.K. vertical.

White Mountains completed the salebelieves that these non-GAAP financial measures are useful to management and investors in evaluating NSM’s performance. The reconciliation of TranzactNSM’s GAAP net income (loss) to EBITDA and receivedadjusted EBITDA is included on page 62.

Kudu’s EBITDA and Kudu’s adjusted EBITDA
Kudu's EBITDA and adjusted EBITDA are non-GAAP financial measures. EBITDA is a non-GAAP financial measure that excludes interest expense on debt, income tax expense (benefit), depreciation and amortization of other intangible assets from GAAP net proceedsincome (loss). Adjusted EBITDA is a non-GAAP financial measure that excludes certain other items in GAAP net income (loss) in addition to those excluded from EBITDA. The adjustments relate to (i) net unrealized investment gains (losses) on Kudu's Participation Contracts, (ii) non-cash equity-based compensation expense and (iii) acquisition-related transaction expenses. A description of $221 million.each adjustment follows:
On August 4, 2016, •Net unrealized investment (gains) losses - Represents net unrealized investment gains and losses on Kudu's Participation Contracts, which are recorded at fair value under GAAP.
•Non-cash equity-based compensation expense - Represents non-cash expenses related to Kudu's management compensation that are settled with equity units in Kudu.
•Acquisition-related transaction expenses - Represents costs directly related to Kudu's transactions to acquire Participation Contracts, such as external lawyer, banker, consulting and placement agent fees, which are not capitalized and are expensed under GAAP.

White Mountains purchased 110,461believes that these non-GAAP financial measures are useful to management and investors in evaluating Kudu’s performance. The reconciliation of Kudu’s GAAP net income (loss) to EBITDA and adjusted EBITDA is included on page 64.


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Total consolidated portfolio return excluding MediaAlpha
Total consolidated portfolio return excluding MediaAlpha is a non-GAAP financial measure that removes the net investment income and net realized and unrealized investment gains (losses) from White Mountains’s investment in MediaAlpha. White Mountains believes this measure to be useful to management and investors by showing the underlying performance of White Mountains’s investment portfolio without regard to MediaAlpha.A reconciliation from GAAP to the reported percentages is as follows:
For the Three Months Ended March 31, 2021For The Three Months Ended March 31, 2020
GAAP ReturnRemove MediaAlphaReturn - Excluding MediaAlphaGAAP ReturnRemove MediaAlphaReturn - Excluding MediaAlpha
Total consolidated portfolio
   return		(0.3)%1.0 %0.7 %(4.6)%(1.5)%(6.1)%

Adjusted capital
Total capital at White Mountains is comprised of White Mountains’s common sharesshareholders’ equity, debt and non-controlling interests other than non-controlling interests attributable to BAM. Total adjusted capital is a non-GAAP financial measure, which is derived by adjusting total capital (i) to include a discount for the time value of Buzzmovemoney arising from the expected timing of cash payments of principal and interest on the BAM Surplus Notes and (ii) to add back the unearned premium reserve, net of deferred acquisition costs, at HG Global. The reconciliation of total capital to total adjusted capital is included on page 71.

CRITICAL ACCOUNTING ESTIMATES

Refer to the Company’s 2020 Annual Report on Form 10-K for GBP 4 million (approximately $5 million based upon the foreign exchange spot rate at the datea complete discussion regarding White Mountains’s critical accounting estimates. The following describes changes to White Mountains’s critical accounting estimates since December 31, 2020 as of acquisition) and 54,172 shares of newly issued convertible preferred shares for GBP 2 million (approximately $3 million based upon the foreign exchange spot rate at the date of acquisition), representing a 70.9% ownership share of Buzzmove on a fully converted basis.March 31, 2021.


I. Fair Value Measurements
FAIR VALUE CONSIDERATIONS

General

White Mountains records certain assets and liabilities at fair value in its consolidated financial statements, with changes therein recognized in current period earnings. In addition, White Mountains discloses estimated fair value for certain liabilities measured at historical or amortized cost. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants (an exit price) at a particular measurement date. Fair value measurements are categorized into a hierarchy that distinguishes between inputs based on market data from independent sources (“observable inputs”) and a reporting entity’s internal assumptions based upon the best information available when external market data is limited or unavailable (“unobservable inputs”). Quoted prices in active markets for identical assets have the highest priority (“Level 1”), followed by observable inputs other than quoted prices including prices for similar but not identical assets or liabilities (“Level 2”), and unobservable inputs, including the reporting entity’s estimates of the assumptions that market participants would use, having the lowest priority (“Level 3”).
Assets and liabilities carried at fair value include substantially all of the investment portfolio, and derivative instruments, both exchange tradedexchange-traded and over the counter instruments, and reinsurance assumed liabilities associated with variable annuity benefit guarantees.instruments. Valuation of assets and liabilities measured at fair value require management to make estimates and apply judgment to matters that may carry a significant degree of uncertainty. In determining its estimates of fair value, White Mountains uses a variety of valuation approaches and inputs. Whenever possible, White Mountains estimates fair value using valuation methods that maximize the use of observablequoted market prices andor other observable inputs. Where appropriate, assets and liabilities measured at fair value have been adjusted for the effect of counterparty credit risk.


Invested Assets

White Mountains uses outside pricing services and brokers to assist in determining fair values. The outside pricing services White Mountains uses have indicated that they will only provide prices where observable inputs are available. As of September 30, 2017,March 31, 2021, approximately 93%73% of the investment portfolio recorded at fair value was priced based upon quoted market prices or other observable inputs.


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Level 1 Measurements
Investments valued using Level 1 inputs include White Mountains’s common equity securities, its investment in MediaAlpha subsequent to the MediaAlpha IPO, and fixed maturity investments, primarily investments in U.S. Treasuries and short-term investments, which include U.S. Treasury Bills and common equity securities. Bills. For investments in active markets, White Mountains uses the quoted market prices provided by outside pricing services to determine fair value.

Level 2 Measurements
Investments valued using Level 2 inputs include fixed maturity investments which have been disaggregated into classes, including debt securities issued by corporations, municipal obligations, mortgage and asset-backed securities municipal obligations, and foreign government, agency and provincialcollateralized loan obligations. Investments valued using Level 2 inputs also include certain passive exchange tradedcommon equity listed funds (“ETFs”) that track U.S. stock indices such as the S&P 500 but are traded on foreign exchanges, which managementWhite Mountains values using the fund manager’s published NAVnet asset value per share (“NAV”) to account for the difference in market close times. Fair value estimates for investments that trade infrequently and have few or no observable market prices are classified as Level 3 measurements. Investments valued using Level 3 fair value estimates are based upon unobservable inputs and include investments in certain fixed maturity investments, equity securities and other long-term investments where quoted market prices are unavailable or are not considered reasonable. Transfers between levels are based on investments held as of the beginning of the period.

White Mountains uses brokers and outside pricing services to assist in determining fair values. For investments in active markets, White Mountains uses the quoted market prices provided by outside pricing services to determine fair value. The outside pricing services White Mountains uses have indicated that they will only provide prices where observable inputs are available. In circumstances where quoted market prices are unavailable or are not considered reasonable, White Mountains estimates the fair value using industry standard pricing methodologies and observable inputs such as benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, credit ratings, prepayment speeds, reference data including research publications and other relevant inputs. Given that many fixed maturity investments do not trade on a daily basis, the outside pricing services evaluate a wide range of fixed maturity investments by regularly drawing parallels from recent trades and quotes of comparable securities with similar features. The characteristics used to identify comparable fixed maturity investments vary by asset type and take into account market convention.
White Mountains’s process to assess the reasonableness of the market prices obtained from the outside pricing sources covers substantially all of its fixed maturity investments and includes, but is not limited to, the evaluation of pricing methodologies and a review of the pricing services’ quality control procedures on at least an annual basis, a comparison of its invested asset prices obtained from alternate independent pricing vendors on at least a semi-annual basis, monthly analytical reviews of certain prices and a review of the underlying assumptions utilized by the pricing services for select measurements on an ad hoc basis throughout the year. White Mountains also performs back-testing of selected investment sales activity to determine whether there are any significant differences between the market price used to value the security prior to sale and the actual sale price of the security on an ad-hoc basis throughout the year. Prices provided by the pricing services that vary by more than 5%$0.5 million and $1.0 million5% from the expected price based on these assessment procedures are considered outliers. Also considered outliers, as are prices that have not changed from period to period and prices that have trended unusually compared to market conditions. In circumstances where the results of White Mountains’s review process does not appear to support the market price provided by the pricing services, White Mountains challenges the vendor provided price. If White Mountains cannot gain satisfactory evidence to support the challenged price, it reliesWhite Mountains will rely upon its own internal pricing methodologies to estimate the fair value of the security in question.
The valuation process described above is generally applicable to all of White Mountains’s fixed maturity investments. For more detail on the techniquesinvestments

Level 3 Measurements
Fair value estimates for investments that trade infrequently and have few or no quoted market prices or other observable inputs specific to asset classes within White Mountains’sare classified as Level 3 measurements. Investments valued using Level 3 fair value estimates are based upon unobservable inputs and include investments in certain fixed maturity investments, see Note 3 — “Investment Securities.”common equity securities and other long-term investments where quoted market prices or other observable inputs are unavailable or are not considered reliable or reasonable.
Level 3 valuations are generated from techniques that use assumptions not observable in the market. These unobservable assumptionsinputs reflect White Mountains’s assumptions thatof what market participants would use in valuing the investment. Generally,In certain circumstances, investment securities may start out as Level 3 when they are originally issued, but as observable inputs become available in the market, they may be reclassified to Level 2. Transfers of securities between levels are based on investments held as of the beginning of the period.

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Other Long-Term Investments
As of March 31, 2021, White Mountains owned a portfolio of other long-term investments valued at $1.0 billion, that consisted primarily of unconsolidated entities, including Kudu’s Participation Contracts, private equity funds, a hedge fund, Lloyd’s trust deposits, a bank loan fund, ILS funds and private debt instruments. As of March 31, 2021, $656 million of White Mountains’s other long-term investments that consisted primarily of unconsolidated entities, including Kudu’s Participation Contracts, and private debt instruments were classified as Level 3 investments in the GAAP fair value hierarchy, were not actively traded in public markets and did not have readily observable market prices. The determination of the fair value of these securities involves significant management judgment, and the use of valuation models and assumptions that are inherently subjective and uncertain.  As of March 31, 2021, $376 million of White Mountains’s other long-term investments, consisting of private equity funds, a hedge fund, Lloyd’s trust deposits, a bank loan funds, and ILS funds, were valued at fair value using NAV as a practical expedient. Investments for which fair value is measured at NAV using the practical expedient are not classified within the fair value hierarchy.
White Mountains may use a variety of valuation techniques to determine fair value depending on the nature of the investment, including a discounted cash flow analysis, market multiple approach, cost approach and/or liquidation analysis. On an ongoing basis, White Mountains also considers qualitative changes in facts and circumstances, which may impact the valuation of its unconsolidated entities, including economic and market changes in relevant industries, changes to the entity’s capital structure, business strategy and key personnel, and any recent transactions relating to the unconsolidated entity. On a quarterly basis, White Mountains evaluates the most recent qualitative and quantitative information of the business and completes a fair valuation analysis for all Level 3 other long-term investments. Periodically, and at least on an annual basis, White Mountains uses a third-party valuation firm to complete an independent valuation analysis of significant unconsolidated entities.
As of March 31, 2021, White Mountains’s most significant other long-term investments that are valued using Level 3 measurements include Kudu’s Participation Contracts and PassportCard/DavidShield.

Valuation of Kudu’s Participation Contracts
Kudu’s Participation Contracts comprise non-controlling equity interests in the form of revenue and earnings participation contracts. On a quarterly basis, White Mountains values each of Kudu’s Participation Contracts using discounted cash flow models. The valuation models include key inputs such as projections of future revenues and earnings of Kudu’s clients, a discount rate and a terminal cash flow exit multiple. The expected future cash flows are based on management judgment, considering current performance, budgets and projected future results. The discount rates reflect the weighted average cost of capital, considering comparable public company data, adjusted for risks specific to the business and industry. The terminal exit multiple is generally based on expectations of annual cash flow to Kudu from each of its clients in the terminal year of the cash flow model. In determining fair value, White Mountains considers factors such as performance of underlying products and vehicles, expected client growth rates, new fund launches, fee rates by products, capacity constraints, operating cash flow of underlying manager and other qualitative factors, including the assessment of key personnel.
As of March 31, 2021, the combined fair value of Kudu’s Participation Contracts was $427 million. The inputs to each discounted cash flow analysis vary depending on the nature of each client. As of March 31, 2021, White Mountains concluded that pre-tax discount rates in the range of 18% to 23%, and terminal cash flow exit multiples in the range of 7 to 12 times were appropriate for the valuations of Kudu’s Participation Contracts.
With a discounted cash flow analysis, small changes to inputs in a valuation model may result in significant changes to fair value. The following table presents the estimated effect on the fair value of Kudu’s Participation Contracts as of March 31, 2021, resulting from increases and decreases to the discount rates and terminal cash flow exit multiples used in the discounted cash flow analysis:
$ in Millions
Discount Rate(1)
Terminal Exit Multiple-2%-1%18% - 23%+1%+2%
+2$509 $481 $456 $431 $409 
+1$492 $466 $442 $418 $397 
7x - 12x$476 $450 $427 $405 $385 
-1$459 $435 $413 $392 $373 
-2$442 $420 $400 $381 $364 
(1) 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.

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Valuation PassportCard/DavidShield
On a quarterly basis, White Mountains values its investment in PassportCard/DavidShield using a discounted cash flow model. The discounted cash flow valuation model includes key inputs such as projections of future revenues and earnings, a discount rate and a terminal revenue growth rate. The expected future cash flows are based on management judgment, considering current performance, budgets and projected future results. The discount rate reflects the weighted average cost of capital, considering comparable public company data, adjusted for risks specific to the business and industry. The terminal revenue growth rate is based on company, industry and macroeconomic expectations of perpetual revenue growth subsequent to the end of the discrete period in the discounted cash flow analysis.
When making its fair value selection, which is within a range of reasonable values derived from the discounted cash flow model, White Mountains considers all available information, including any relevant market multiples and multiples implied by recent transactions, facts and circumstances specific to PassportCard/DavidShield’s businesses and industries, and any infrequent or unusual results for the period.
White Mountains concluded that an after-tax discount rate of 23% and a terminal revenue growth rate of 4% was appropriate for the valuation of its investment in PassportCard/DavidShield as of March 31, 2021. Utilizing these assumptions, White Mountains determined that the fair value of its investment in PassportCard/DavidShield was $95 million as of March 31, 2021.
Premiums and commission revenues from leisure travel insurance placed by PassportCard declined dramatically in the twelve months ended December 31, 2020 due to the COVID-19 pandemic. This decline was modestly offset by increased revenues from international private medical insurance placed by DavidShield. PassportCard/DavidShield expects these trends to continue until global travel resumes. During the third quarter of 2020, PassportCard/DavidShield curtailed its global expansion efforts in response to the impact of the COVID-19 pandemic.
In the first quarter of 2021, sustained progress with COVID-19 vaccinations in Israel and abroad led to the Israeli airport reopening in March, which resulted in increased leisure travel and the placement of leisure travel insurance by PassportCard. Revenues from private medical insurance placed by DavidShield remained strong in the first quarter of 2021.
With a discounted cash flow analysis, small changes to inputs in a valuation model may result in significant changes to fair value. The following table presents the estimated effect on the fair value of White Mountains’s investment in PassportCard/DavidShield as of March 31, 2021, resulting from changes in key inputs to the discounted cash flow analysis, including the discount rate and terminal revenue growth rate:
$ in MillionsDiscount Rate
Terminal Revenue Growth Rate21%22%23%24%25%
4.5%$112 $103 $95 $89 $82 
4.0%$111 $102 $95 $88 $82 
3.5%$110 $101 $94 $87 $81 

Other Long-term Investments - NAV
White Mountains’s portfolio of other long-term investments includes investments in private equity funds, a hedge fund, Lloyd’s trust deposits, a bank loan fund and ILS funds, which are valued at fair value using NAV as a practical expedient. White Mountains employs a number of procedures to assess the reasonableness of the fair value measurements for its other long-term investments measures at NAV, including obtaining and reviewing periodic and audited annual financial statements of hedge funds and private equity funds andas well as discussing each fund’s pricing with the fund manager throughout the year. However, since the fund managers do not provide sufficient information to evaluate the pricing inputsmethods and methodsinputs for each underlying investment, White Mountains considers the valuation inputs are considered to be unobservable. The fair value of White Mountains’s other long-term investments in hedge funds and private equity funds hasmeasured at NAV are generally been determined using the fund manager’s NAV.


NON-GAAP FINANCIAL MEASURES
This report includes six non-GAAP financial measures (i) adjusted book value per share, (ii) percentage change in adjusted book value per share for In the third quarter of 2017, which includes the estimated gain from the OneBeacon Transaction as if it had closed on June 30, 2017, (iii) adjusted capital, (iv) return on common equity securities and other long-term investments including high-yield fixed maturity investments, (v) return on fixed maturity investments excluding high-yield fixed maturity investments and (vi) earnings before interest, taxes, depreciation and amortization ("EBITDA"),event that have been reconciled from their most comparable GAAP financial measures.

Adjusted book value per share is a non-GAAP financial measure, which is derived by adjusting the GAAP book value per share numerator (i) to include a discount for the time value of money arising from the expected timing of cash payments of principal and interest on the BAM Surplus Notes and (ii) to add back the unearned premium reserve, net of deferred acquisition costs, at HG Global. In addition, the number of common shares outstanding used in the calculation of adjusted book value per share are adjusted to exclude unearned restricted common shares, the compensation cost of which, at the date of calculation, has yet to be amortized. The calculation of adjusted book value per share also includes the dilutive effects of outstanding non-qualified options for periods prior to January 20, 2017, the expiration date of the non-qualified options.

Beginning in the second quarter of 2017, in its calculation of adjusted book value per share, White Mountains has included a discount for the time value of money arising from the expected timing of cash payments of principal and interest on the BAM Surplus Notes. Under GAAP, White Mountains is required to carry the BAM Surplus Notes, including accrued interest, at nominal value with no consideration for time value of money. Based on a debt service model that forecasts operating results for BAM through maturity of the surplus notes, the present value of the BAM Surplus Notes, including accrued interest, is estimated to be $172 million and $167 million less than the nominal GAAP carrying values as of June 30, 2017 and September 30, 2017. White Mountains has also included the value of HG Global’s unearned premium reserve net of deferred acquisition costs. White Mountains believes these adjustments are usefulthe fair value differs from the NAV reported by the fund manager due to management and investors in analyzingilliquidity or other factors, White Mountains will adjust the intrinsicreported NAV to more appropriately represent the fair value of HG Global, including the intrinsic value of the surplus notes and HG Global’s reinsurance subsidiary’s (HG Re’s) in-force business. The reconciliation of GAAP book value per share to adjusted book value per share is included on page 53.its investment.


The growth in adjusted book value per share included on page 53 reflects the estimated gain from the OneBeacon Transaction as if it had been calculated and realized on June 30, 2017. A reconciliation from GAAP to the reported percentage is as follows:
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As of
September 30, 2017
 
As of
June 30, 2017
 Growth %
GAAP book value per share $925.04
 $791.61
 16.9%
Estimated gain from OneBeacon Transaction as of June 30, 2017 —
 116.00
  
GAAP book value per share including the estimated gain from the
 OneBeacon Transaction as of June 30, 2017
 925.04
 907.61
 1.9%
Adjustments to book value per share (see reconciliation on page 53) (19.32) (17.84)  
Adjusted book value per share including the estimated
     gain from the OneBeacon Transaction as of June 30, 2017
 $905.72
 $889.77
 1.8%

Total capital at White Mountains is comprised of White Mountains’s common shareholders’ equity, debt and non-controlling interests other than non-controlling interests attributable to mutuals and reciprocals. Total adjusted capital is a non-GAAP financial measure, which is derived by adjusting total capital (i) to include a discount for the time value of money arising from the expected timing of cash payments of principal and interest on the BAM Surplus Notes and (ii) to add back the unearned premium reserve, net of deferred acquisition costs, at HG Global. The reconciliation of total capital to total adjusted capital is included on page 70.


In the third quarter of 2016, White Mountains purchased high-yield fixed maturity investments, which are U.S. dollar denominated publicly traded and 144A debt securities issued by corporations with generally at least one rating between “B-” and “BB+” inclusive by S&P or similar ratings from other rating agencies. Given the risk profile of these investments, the returns on high-yield fixed maturity investments have been included with the returns on common equity securities and other long-term investments and excluded from the returns on fixed income investments. A reconciliation of GAAP returns to the reported returns are as follows:


  September 30, 2017
  Three Months Ended Nine Months Ended
  GAAP return 
Impact of high-yield fixed maturity investments (1)
 Reported return GAAP return 
Impact of high-yield fixed maturity investments (1)
 Reported return
Common equity securities and other long-term investment returns 2.6
% (0.2)% 2.4
% 9.0
% (0.4)% 8.6
%
Fixed income investment returns 1.0
% (0.1)% 0.9
% 3.0
% (0.3)% 2.7
%
(1) High-yield fixed maturity investments returned 1.7% and 7.1% for the third quarter and first nine months of 2017.

In the second quarter of 2017, MediaAlpha became a reportable segment, and White Mountains has included MediaAlpha’s EBITDA calculation as a non-GAAP financial measure. EBITDA is defined as net income (loss) excluding interest expense on debt, income tax benefit (expense), depreciation and amortization. White Mountains believes that this non-GAAP financial measure is useful to management and investors in analyzing MediaAlpha’s economic performance without the effects of interest rates, levels of debt, effective tax rates, depreciation and amortization resulting from purchase accounting. In addition, White Mountains believes that investors use EBITDA as a supplemental measurement to evaluate the overall operating performance of companies within the same industry. See page 63 for the reconciliation of MediaAlpha’s GAAP net income to EBITDA.

CRITICAL ACCOUNTING ESTIMATES
As described in White Mountains’s Annual Report on Form 10-K for the year ended December 31, 2016 under “CRITICAL ACCOUNTING ESTIMATES”, the determination of the recoverability of the BAM Surplus Notes is based on a debt service model that forecasts operating results for BAM through maturity of the BAM Surplus Notes. In its most recent update of this model, White Mountains has (1) reflected the impact of the changes to the terms of the BAM Surplus Notes on expected future payments and (2) made more conservative assumptions about BAM’s future operating results, specifically forecasted increases in annual par insured volume and total premium rates.  As a result, although the model continues to project that BAM can begin making payments on the BAM Surplus Notes in 2019, White Mountains now projects that the BAM Surplus Notes will be fully repaid approximately eight years prior to final maturity, which is seven years later than projected under the previous forecast.
Refer to the Company’s 2016 Annual Report on Form 10-K for a complete discussion regarding White Mountains’s critical accounting estimates.


FORWARD-LOOKING STATEMENTS
 
This report may contain “forward-looking statements” within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. All statements, other than statements of historical facts, included or referenced in this report which address activities, events or developments which White Mountains expects or anticipates will or may occur in the future are forward-looking statements. The words “could”, “will”, “believe”, “intend”, “expect”, “anticipate”, “project”, “estimate”, “predict” and similar expressions are also intended to identify forward-looking statements. These forward-looking statements include, among others, statements with respect to White Mountains’s:
 
changes•change in book value or adjusted book value per share or return on equity;
•business strategy;
•financial and operating targets or plans;
•incurred loss and loss adjustment expenses and the adequacy of its loss and loss adjustment expense reserves and related reinsurance;
•projections of revenues, income (or loss), earnings (or loss) per share, EBITDA, adjusted EBITDA, dividends, market share or other financial forecasts;forecasts of White Mountains or its businesses;
•expansion and growth of its business and operations; and
•future capital expenditures.
 
These statements are based on certain assumptions and analyses made by White Mountains in light of its experience and perception of historical trends, current conditions and expected future developments, as well as other factors believed to be appropriate in the circumstances. However, whether actual results and developments will conform withto its expectations and predictions is subject to risks and uncertainties that could cause actual results to differ materially from expectations, including:
 
•    the risks associated with Item 1A ofthat are described from time to time in White Mountains’s 2016filings with the Securities and Exchange Commission, including but not limited to White Mountains’s Annual Report on Form 10-K;10-K for the fiscal year ended December 31, 2020;
•    claims arising from catastrophic events, such as hurricanes, earthquakes, floods, fires, terrorist attacks or severe winter weather;
•    recorded loss reserves subsequently proving to have been inadequate;
•    the continued availabilitymarket value of capitalWhite Mountains’s investment in MediaAlpha;
•    the trends and financing;uncertainties from the COVID-19 pandemic, including judicial interpretations on the extent of insurance coverage provided by insurers for COVID-19 pandemic related claims;
general economic, market or business conditions;
•business opportunities (or lack thereof) that may be presented to it and pursued;
•    actions taken by ratings agencies, such as financial strength or credit ratings downgrades or placing ratings on negative watch;
•    the continued availability of capital and financing;
•    deterioration of general economic, market or business conditions, including due to outbreaks of contagious disease (including the COVID-19 pandemic) and corresponding mitigation efforts;
•    competitive forces, including the conduct of other property and casualty insurers and reinsurers;insurers;
•    changes in domestic or foreign laws or regulations, or their interpretation, applicable to White Mountains, its competitors or its customers;
an economic downturn or other economic conditions adversely affecting its financial position;
recorded loss reserves subsequently proving to have been inadequate;
actions taken by ratings agencies from time to time, such as financial strength or credit ratings downgrades or placing ratings on negative watch; and
•    other factors, most of which are beyond White Mountains’s control.
 
Consequently, all of the forward-looking statements made in this report are qualified by these cautionary statements, and there can be no assurance that the actual results or developments anticipated by White Mountains will be realized or, even if substantially realized, that they will have the expected consequences to, or effects on, White Mountains or its business or operations. White Mountains assumes no obligation to publicly update any such forward-looking statements, whether as a result of new information, future events or otherwise.


Item 3.Quantitative and Qualitative Disclosures About Market Risk.

Item 3.Quantitative and Qualitative Disclosures About Market Risk.

Refer to White Mountains’s 20162020 Annual Report on Form 10-K and in particular Item 7A. - “Quantitative and Qualitative Disclosures About Market Risk”. 



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Item 4.
Controls and Procedures.

Item 4.Controls and Procedures.
 
The Principal Executive Officer (“PEO”) and the Principal Financial Officer (“PFO”) of White Mountains have evaluated the effectiveness of its disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) of the Exchange Act) as of the end of the period covered by this report. Based on that evaluation, the PEO and PFO have concluded that White Mountains’s disclosure controls and procedures are effective.
There were no significant changes with respect to the Company’s internal control over financial reporting or in other factors that materially affected, or are reasonably likely to materially affect, internal control over financial reporting during the quarter ended September 30, 2017.March 31, 2021.


Part II.OTHER INFORMATION
Part II.OTHER INFORMATION
 
Item 1.
Legal Proceedings.
Item 1.Legal Proceedings.
 
None.


Item 1A. Risk Factors.

There have been no material changes to any of the risk factors previously disclosed in the Registrant’s 20162020 Annual Report
on Form 10-K.



Item 2.Issuer Purchases of Equity Securities.

Item 2.Issuer Purchases of Equity Securities.

Months 
Total Number of
Shares Purchased
 
Average Price
Paid per Share
 
Total Number of Shares 
Purchased as Part of 
Publicly Announced Plan (1)
 
Maximum Number
of Shares that May
Yet Be Purchased
Under the Plan (1)
July 1-July 31, 2017 235,000
 $850.00
 235,000
 643,130
August 1-August 31, 2017 —
 $—
 —
 643,130
September 1-September 30, 2017 586,842
 $877.44
 —
 643,130
Total 821,842
 $869.60
 235,000
 643,130
MonthsTotal Number of
Shares Purchased		Average Price
Paid per Share
Total Number of Shares 
Purchased as Part of 
Publicly Announced Plans (1)
Maximum Number
of Shares that May
Yet Be Purchased
Under the Plans (1)
January 1-January 31, 20215,418 $1,000.66 — 542,517 
February 1 - February 28, 2021181 $1,096.81 — 542,517 
March 1 - March 31, 20211,562 $1,165.12 — 542,517 
Total7,161 $1,038.96 — 542,517 
(1) White Mountains’s board of directors has authorized the Company to repurchase its common shares, from time to time, subject to market conditions. The repurchase authorizations do not have a stated expiration date.


Item 3. Defaults Upon Senior Securities.
 
None.
 
Item 4.Mine Safety Disclosures.

Item 4.Mine Safety Disclosures.

None.
 
Item 5.
Other Information.
Item 5.Other Information.
 
None.
 

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Item 6.Exhibits.
Item 6.
Exhibits.
(a)Exhibit numberName
2.0 — 
103.1 —
— 
113.2 —
— 
31.1—
31.2—
32.1—
32.2—
101—
The following financial information from White Mountains’s Quarterly Report on Form 10-Q forXBRL Instance Document - the quarter ended September 30, 2017 formattedinstance document does not appear in XBRL: (i) Consolidated Balance Sheets, September 30, 2017 and December 31, 2016; (ii) Consolidated Statements of Operations and Comprehensive Income, Three and Nine Months Ended September 30, 2017 and 2016; (iii) Consolidated Statements of Changes in Equity, Nine Months Ended September 30, 2017 and 2016; (iv) Consolidated Statements of Cash Flows, Nine Months Ended September 30, 2017 and 2016; and (v) Notes to Consolidated Financial Statements. *the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.
*Included herein
**
Not included as an exhibit as the information is contained elsewhere within this report. See Note 9 — “Earnings Per Share” of the Notes to Consolidated Financial Statements.


SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
WHITE MOUNTAINS INSURANCE GROUP, LTD.
(Registrant)
Date:November 8, 2017May 10, 2021By: /s/ J. Brian Palmer
J. Brian Palmer
Managing Director and Chief Accounting Officer


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