v3.25.1
Derivatives
3 Months Ended
Mar. 31, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives Derivatives
HG Global Interest Rate Caps

HG Global entered into two interest rate cap agreements to limit its exposure to the risk of interest rate increases on the HG Global Senior Notes.
On June 16, 2022, HG Global entered into the HG Global 2022 Interest Rate Cap, effective on July 25, 2022. The notional amount of the HG Global 2022 Interest Rate Cap is $150.0 million, and the termination date is July 25, 2025. HG Global paid an initial premium of $3.3 million for the HG Global 2022 Interest Rate Cap.
On August 22, 2024, HG Global entered into the HG Global 2024 Interest Rate Cap, which is effective upon the termination of the HG Global 2022 Interest Rate Cap on July 25, 2025. The initial notional amount of the HG Global 2024 Interest Rate Cap is $150.0 million, and the termination date is July 25, 2028. For interest periods after April 26, 2027, the notional amount of the HG Global 2024 Interest Rate Cap will decrease as the outstanding principal of the HG Global Senior Notes is paid down. HG Global paid an initial premium of $1.3 million for the HG Global 2024 Interest Rate Cap.
Under the interest rate caps, if the three-month SOFR on a quarterly determination date exceeds 3.5% through July 25, 2025 or 4.5% between July 25, 2025 and July 25, 2028, HG Global will receive a payment from the counterparty for the difference on the subsequent settlement date. As of March 31, 2025, the three-month SOFR was 4.3%.
HG Global accounts for the interest rate caps as derivatives at fair value within other assets, with changes in fair value recognized in current period earnings within interest expense.
For the three months ended March 31, 2025, White Mountains recognized a net unrealized loss of $1.1 million related to the change in fair value on both interest rate caps within interest expense. For the three months ended March 31, 2024, White Mountains recognized a net unrealized gain of $0.2 million related to the change in fair value of the HG Global 2022 Interest Rate Cap within interest expense. For the three months ended March 31, 2025 and 2024, White Mountains received a payment of $0.5 million and $0.7 million related to the periodic settlement of the HG Global 2022 Interest Rate Cap. As of March 31, 2025 and December 31, 2024, the total fair value of both interest rate caps was $1.4 million and $2.5 million. White Mountains classifies the interest rate caps as Level 2 measurements.
Kudu Interest Rate Cap

On September 17, 2024, Kudu entered into the Kudu Interest Rate Cap, effective on September 30, 2024, to limit its exposure to the risk of interest rate increases on the Kudu Credit Facility. The notional amount of the Kudu Interest Rate Cap is $150.0 million, and the termination date is September 30, 2027. Kudu paid an initial premium of $0.9 million for the Kudu Interest Rate Cap.
Under the Kudu Interest Rate Cap, if the three-month SOFR on a quarterly determination date exceeds 4.5%, Kudu will receive a payment from the counterparty for the difference on the subsequent settlement date. As of March 31, 2025, the three-month SOFR was 4.3%.
Kudu accounts for the Kudu Interest Rate Cap as a derivative at fair value within other assets, with changes in fair value recognized in current period earnings within interest expense. For the three months ended March 31, 2025, White Mountains recognized a loss of $0.5 million related to the change in fair value on the Kudu Interest Rate Cap within interest expense. As of March 31, 2025 and December 31, 2024, the fair value of the Kudu Interest Rate Cap was $0.4 million and $0.9 million. White Mountains classifies the Kudu Interest Rate Cap as a Level 2 measurement.
Bamboo Interest Rate Cap

On March 12, 2025, Bamboo entered into the Bamboo Interest Rate Cap, effective on March 31, 2025, to limit its exposure to the risk of interest rate increases on the Bamboo Credit Facility. The notional amount of the Bamboo Interest Rate Cap is $80.0 million, and the termination date is March 31, 2028. Bamboo paid an initial premium of $0.3 million for the Bamboo Interest Rate Cap.
Under the Bamboo Interest Rate Cap, if the three-month SOFR on a quarterly determination date exceeds 5.0%, Bamboo will receive a payment from the counterparty for the difference on the subsequent settlement date. As of March 31, 2025, the three-month SOFR was 4.3%.
Bamboo accounts for the Bamboo Interest Rate Cap as a derivative at fair value within other assets, with changes in fair value recognized in current period earnings within interest expense. For the three months ended March 31, 2025, White Mountains recognized no gain or loss related to the change in fair value on the Bamboo Interest Rate Cap within interest expense. As of March 31, 2025, the fair value of the Bamboo Interest Rate Cap was $0.3 million. White Mountains classifies the Bamboo Interest Rate Cap as a Level 2 measurement.