Investment Securities (Tables)

9 Months Ended

Sep. 30, 2012

Investment Securities

Net investment income, pre-tax

	Three months ended						Nine months ended
	September 30,						September 30,
	2012			2011			2012			2011
	($ in millions)
Fixed maturity investments	$	12.0		$	15.4		$	38.6		$	54.8
Short-term investments	—			—			0.1			0.1
Common equity securities	1.5			1.5			4.8			3.9
Convertible fixed maturity investments	1.1			0.8			3.4			2.6
Other investments	(0.2		)	0.1			(0.4		)	(0.3		)
Gross investment income	14.4			17.8			46.5			61.1
Less investment expenses	(1.6		)	(1.7		)	(5.0		)	(5.3		)
Net investment income	$	12.8		$	16.1		$	41.5		$	55.8

Net realized investment gains (losses), pre-tax

	Three months ended					Nine months ended
	September 30,					September 30,
	2012			2011		2012			2011
	($ in millions)
Fixed maturity investments	$	10.6		$	6.7	$	26.7		$	25.3
Short-term investments	—			—		—			—
Common equity securities	2.9			14.5		(0.2		)	18.7
Convertible fixed maturity investments	0.6			0.3		2.0			4.8
Other investments	(0.4		)	0.8		1.6			8.4
Net realized investment gains, pre-tax	$	13.7		$	22.3	$	30.1		$	57.2

Net unrealized investment gains (losses)

	Three months ended								Nine months ended
	September 30, 2012 (1)								September 30, 2012 (1)
				Changes in net		Total net						Changes in net		Total net
	Changes in net			foreign currency		changes in fair			Changes in net			foreign currency		changes in fair
	unrealized gains			translation gains		value reflected			unrealized gains			translation gains		value reflected
	and losses			and losses		in revenues			and losses			and losses		in revenues
	($ in millions)
Fixed maturity investments	$	5.9		$	0.2	$	6.1		$	8.6		$	0.2	$	8.8
Short-term investments	—			—		—			—			—		—
Common equity securities	18.7			—		18.7			17.0			—		17.0
Convertible fixed maturity investments	(0.6		)	—		(0.6		)	(2.0		)	—		(2.0		)
Other investments	2.1			—		2.1			4.0			—		4.0
Total	$	26.1		$	0.2	$	26.3		$	27.6		$	0.2	$	27.8

(1)Includes changes in net deferred gains and losses on sales of investments between OneBeacon and entities under White Mountains’ common control of $0.0 million and $(0.2) million, pre-tax, for the three and nine months ended September 30, 2012, respectively.

	Three months ended									Nine months ended
	September 30, 2011 (1)									September 30, 2011 (1)
				Changes in net			Total net						Changes in net			Total net
	Changes in net			foreign currency			changes in fair			Changes in net			foreign currency			changes in fair
	unrealized gains			translation gains			value reflected			unrealized gains			translation gains			value reflected
	and losses			and losses			in revenues			and losses			and losses			in revenues
	($ in millions)
Fixed maturity investments	$	(14.7	)	$	(0.3	)	$	(15.0	)	$	(15.1	)	$	(0.2	)	$	(15.3	)
Short-term investments	—			(0.1		)	(0.1		)	—			—			—
Common equity securities	(47.0		)	—			(47.0		)	(44.1		)	(0.1		)	(44.2		)
Convertible fixed maturity investments	(7.1		)	—			(7.1		)	(13.4		)	—			(13.4		)
Other investments	(0.5		)	—			(0.5		)	2.4			—			2.4
Total	$	(69.3	)	$	(0.4	)	$	(69.7	)	$	(70.2	)	$	(0.3	)	$	(70.5	)

(1)Includes changes in net deferred gains and losses on sales of investments between OneBeacon and entities under White Mountains’ common control of $(0.1) million and $(1.5) million, pre-tax, for the three and nine months ended September 30, 2011, respectively.

Gross unrealized investment gains or losses

	September 30,			December 31,
	2012			2011
	($ in millions)
Investment securities:
Gross unrealized investment gains	$	137.9		$	123.5
Gross unrealized investment losses	(8.1		)	(21.6		)
Net unrealized gains from trading investment portfolio	129.8			101.9
Income taxes	(43.2		)	(33.9		)
Total net unrealized investment gains, after tax	$	86.6		$	68.0

Investment holdings, fixed maturity investments

	September 30, 2012 (1)
	Cost or		Gross		Gross			Net foreign
	amortized		unrealized		unrealized			currency		Carrying
	cost		gains		losses			losses		value
	($ in millions)
U.S. Government and agency obligations	$	204.4	$	0.8	$	—		$	—	$	205.2
Debt securities issued by corporations	606.6		32.6		(1.2		)	—		638.0
Municipal obligations	3.3		—		—			—		3.3
Asset-backed securities	902.0		12.3		(0.4		)	—		913.9
Foreign government obligations	6.0		0.6		0.1			—		6.7
Preferred stocks	78.3		6.0		—			—		84.3
Total fixed maturity investments	$	1,800.6	$	52.3	$	(1.5	)	$	—	$	1,851.4

(1)Carrying value includes $377.3 million of fixed maturity investments reclassified to assets held for sale in the September 30, 2012 consolidated balance sheet as part of the Runoff Transaction.

	December 31, 2011 (1)
	Cost or		Gross		Gross			Net foreign
	amortized		unrealized		unrealized			currency			Carrying
	Cost		gains		losses			losses			value
	($ in millions)
U.S. Government and agency obligations	$	213.6	$	1.8	$	—		$	—		$	215.4
Debt securities issued by corporations	725.8		34.9		(1.9		)	(0.1		)	758.7
Municipal obligations	2.2		—		—			—			2.2
Asset-backed securities	928.5		10.6		(0.8		)	—			938.3
Foreign government obligations	7.7		0.5		(0.1		)	—			8.1
Preferred stocks	78.3		3.2		(6.2		)	—			75.3
Total fixed maturity investments	$	1,956.1	$	51.0	$	(9.0	)	$	(0.1	)	$	1,998.0

(1)Carrying value includes $111.8 million of fixed maturity investments reclassified to assets held for sale in the consolidated balance sheet as part of the AutoOne Transaction.

Investment holdings, common equity securities, convertible fixed maturity investments and other investments

	September 30, 2012
	Cost or		Gross		Gross			Net foreign
	amortized		unrealized		unrealized			currency		Carrying
	cost		gains		losses			gains		value
	($ in millions)
Common equity securities	$	252.3	$	44.2	$	(1.2	)	$	—	$	295.3
Convertible fixed maturity investments	71.1		4.4		(2.9		)	—		72.6
Other investments	122.4		37.0		(2.5		)	—		156.9

	December 31, 2011
	Cost or		Gross		Gross			Net foreign
	amortized		unrealized		unrealized			currency		Carrying
	cost		gains		losses			gains		value
	($ in millions)
Common equity securities	$	240.6	$	30.3	$	(4.4	)	$	—	$	266.5
Convertible fixed maturity investments	76.3		4.4		(0.9		)	—		79.8
Other investments	124.6		37.8		(7.3		)	—		155.1

Fair value measurements by level, investment securities

	Fair value at
	September 30, 2012 (2)		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs
	($ in millions)
Fixed maturity investments:
U.S. Government and agency obligations	$	205.2	$	205.2	$	—	$	—
Debt securities issued by corporations:
Consumer	204.9		—		204.9		—
Industrial	101.1		—		101.1		—
Financial	91.6		—		91.6		—
Communications	51.8		—		51.8		—
Energy	51.5		—		51.5		—
Basic materials	77.9		—		77.9		—
Utilities	44.0		—		44.0		—
Technology	15.1		—		15.1		—
Debt securities issued by corporations	637.9		—		637.9		—
Municipal obligations	3.3		—		3.3		—
Asset-backed securities	914.0		—		912.6		1.4
Foreign government obligations	6.7		5.9		0.8		—
Preferred stocks	84.3		—		13.8		70.5
Fixed maturity investments	1,851.4		211.1		1,568.4		71.9
Short-term investments	274.1		274.1		—		—
Common equity securities:
Financials	80.9		80.1		0.7		0.1
Basic Materials	53.2		53.2		—		—
Consumer	69.4		69.4		—		—
Energy	37.9		37.9		—		—
Utilities	19.3		19.3		—		—
Other	34.6		34.6		—		—
Common equity securities	295.3		294.5		0.7		0.1
Convertible fixed maturity investments	72.6		—		72.6		—
Other investments(1)	135.7		—		—		135.7
Total(1)	$	2,629.1	$	779.7	$	1,641.7	$	207.7

	Fair value at
	December 31, 2011 (3)		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs
	($ in millions)
Fixed maturity investments:
U.S. Government and agency obligations	$	215.4	$	215.4	$	—	$	—
Debt securities issued by corporations:
Consumer	299.7		—		299.7		—
Industrial	140.1		—		140.1		—
Financial	66.4		—		66.4		—
Communications	53.3		—		53.3		—
Energy	60.5		—		60.5		—
Basic materials	81.5		—		81.5		—
Utilities	42.5		—		42.5		—
Technology	14.7		—		14.7		—
Debt securities issued by corporations	758.7		—		758.7		—
Municipal obligations	2.2		—		2.2		—
Asset-backed securities	938.3		—		936.0		2.3
Foreign government obligations	8.1		7.4		0.7		—
Preferred stocks	75.3		—		11.5		63.8
Fixed maturity investments	1,998.0		222.8		1,709.1		66.1
Short-term investments	320.0		320.0		—		—
Common equity securities:
Financials	69.9		69.1		—		0.8
Basic Materials	56.2		56.2		—		—
Consumer	71.3		71.2		0.1		—
Energy	32.5		32.5		—		—
Utilities	17.9		17.9		—		—
Other	18.7		18.7		—		—
Common equity securities	266.5		265.6		0.1		0.8
Convertible fixed maturity investments	79.8		—		79.8		—
Other investments(1)	133.3		—		—		133.3
Total(1)	$	2,797.6	$	808.4	$	1,789.0	$	200.2

(1)Excludes the carrying value of $21.2 million and $21.8 million, respectively, associated with a tax advantaged federal affordable housing development fund accounted for using the equity method as of September 30, 2012 and December 31, 2011.

(2)Fair value includes $377.3 million of fixed maturity investments reclassified to assets held for sale in the September 30, 2012 consolidated balance sheet as part of the Runoff Transaction.

(3)Fair value includes $111.8 million of fixed maturity investments reclassified to assets held for sale in the December 31, 2011 consolidated balance sheet as part of the AutoOne Transaction.

Debt securities, credit ratings

	September 30,		December 31,
	2012		2011
	($ in millions)
AA	$	25.0	$	61.9
A	281.5		307.3
BBB	320.2		378.2
BB	7.6		6.2
Other	3.6		5.1
Debt securities issued by corporations	$	637.9	$	758.7

Roll forward of fair value measurements by level

The changes in Level 1 fair value measurements for the three and nine months ended September 30, 2012 are as follows:

	Fixed			Common			Convertible
	maturity			Equity			fixed maturity		Other
	investments			securities			investments		investments		Total(1)
	($ in millions)
Balance at January 1, 2012	$	222.8		$	265.6		$	—	$	—	$	488.4
Amortization/accretion	(0.1		)	—			—		—		(0.1		)
Total net realized and unrealized gains (losses)	0.1			8.4			—		—		8.5
Purchases	17.8			18.0			—		—		35.8
Sales	(28.8		)	(11.4		)	—		—		(40.2		)
Transfers in	—			—			—		—		—
Transfers out	—			—			—		—		—
Balance at March 31, 2012	$	211.8		$	280.6		$	—	$	—	$	492.4
Amortization/accretion	0.2			—			—		—		0.2
Total net realized and unrealized gains (losses)	(0.7		)	(12.3		)	—		—		(13.0		)
Purchases	6.6			15.1			—		—		21.7
Sales	(13.2		)	(17.9		)	—		—		(31.1		)
Transfers in	—			—			—		—		—
Transfers out	—			—			—		—		—
Balance at June 30, 2012	$	204.7		$	265.5		$	—	$	—	$	470.2
Amortization/accretion	(0.2		)	—			—		—		(0.2		)
Total net realized and unrealized gains (losses)	0.3			20.6			—		—		20.9
Purchases	12.7			40.7			—		—		53.4
Sales	(6.4		)	(32.3		)	—		—		(38.7		)
Transfers in	—			—			—		—		—
Transfers out	—			—			—		—		—
Balance at September 30, 2012	$	211.1		$	294.5		$	—	$	—	$	505.6

(1)Excludes short-term investments which are deemed to have a Level 1 designation.

The changes in Level 2 fair value measurements for the three and nine months ended September 30, 2012 are as follows:

	Fixed			Common			Convertible
	maturity			equity			fixed maturity			Other
	investments			securities			investments			investments		Total
	($ in millions)
Balance at January 1, 2012	$	1,709.1		$	0.1		$	79.8		$	—	$	1,789.0
Amortization/accretion	(3.0		)	—			0.6			—		(2.4		)
Total net realized and unrealized gains (losses)	7.4			—			3.3			—		10.7
Purchases	570.5			—			1.7			—		572.2
Sales	(769.6		)	—			(5.3		)	—		(774.9		)
Transfers in	—			—			—			—		—
Transfers out	—			—			—			—		—
Balance at March 31, 2012	$	1,514.4		$	0.1		$	80.1		$	—	$	1,594.6
Amortization/accretion	(2.7		)	—			0.6			—		(2.1		)
Total net realized and unrealized gains (losses)	6.3			—			(3.3		)	—		3.0
Purchases	567.1			0.1			1.9			—		569.1
Sales	(354.5		)	—			(3.7		)	—		(358.2		)
Transfers in	—			—			—			—		—
Transfers out	—			—			—			—		—
Balance at June 30, 2012	$	1,730.6		$	0.2		$	75.6		$	—	$	1,806.4
Amortization/accretion	(2.7		)	—			0.6			—		(2.1		)
Total net realized and unrealized gains (losses)	15.4			(0.1		)	0.1			—		15.4
Purchases	114.8			—			10.7			—		125.5
Sales	(302.2		)	—			(14.4		)	—		(316.6		)
Transfers in	12.5			0.6			—			—		13.1
Transfers out	—			—			—			—		—
Balance at September 30, 2012	$	1,568.4		$	0.7		$	72.6		$	—	$	1,641.7

The changes in Level 3 fair value measurements for the three and nine months ended September 30, 2012 are as follows:

	Fixed			Common			Convertible
	maturity			equity			fixed maturity		Other
	investments			securities			investments		investments(1)			Total(1)
							($ in millions)
Balance at January 1, 2012	$	66.1		$	0.8		$	—	$	133.3		$	200.2
Amortization/accretion	0.1			—			—		—			0.1
Total net realized and unrealized gains (losses)	5.8			—			—		4.9			10.7
Purchases	34.1			—			—		1.2			35.3
Sales	(0.4		)	—			—		(5.0		)	(5.4		)
Transfers in	—			—			—		—			—
Transfers out	—			—			—		—			—
Balance at March 31, 2012	$	105.7		$	0.8		$	—	$	134.4		$	240.9
Amortization/accretion	0.1			—			—		—			0.1
Total net realized and unrealized gains (losses)	0.5			—			—		(0.9		)	(0.4		)
Purchases	18.3			—			—		11.6			29.9
Sales	(39.8		)	—			—		(11.3		)	(51.1		)
Transfers in	—			—			—		—			—
Transfers out	—			—			—		—			—
Balance at June 30, 2012	$	84.8		$	0.8		$	—	$	133.8		$	219.4
Amortization/accretion	—			—			—		—			—
Total net realized and unrealized gains (losses)	0.5			(0.1		)	—		1.6			2.0
Purchases	1.4			—			—		2.2			3.6
Sales	(2.3		)	—			—		(1.9		)	(4.2		)
Transfers in	—			—			—		—			—
Transfers out	(12.5		)	(0.6		)	—		—			(13.1		)
Balance at September 30, 2012	$	71.9		$	0.1		$	—	$	135.7		$	207.7

(1)Excludes the carrying value of $21.2 million associated with a tax advantaged federal affordable housing development fund accounted for using the equity method.

The changes in Level 3 fair value measurements for the three and nine months ended September 30, 2011 are as follows:

	Fixed			Common			Convertible
	maturity			equity			fixed maturity		Other
	investments			securities			investments		investments(1)			Total(1)
							($ in millions)
Balance at January 1, 2011	$	99.1		$	39.7		$	—	$	150.2		$	289.0
Amortization/accretion	—			—			—		—			—
Total net realized and unrealized gains (losses)	1.8			(1.3		)	—		6.4			6.9
Purchases	0.3			3.9			—		1.8			6.0
Sales	—			(0.1		)	—		(17.0		)	(17.1		)
Transfers in	—			—			—		—			—
Transfers out	(27.7		)	—			—		—			(27.7		)
Balance at March 31, 2011	$	73.5		$	42.2		$	—	$	141.4		$	257.1
Amortization/accretion	—			—			—		—			—
Total net realized and unrealized gains (losses)	(3.4		)	0.3			—		4.2			1.1
Purchases	22.2			—			—		0.8			23.0
Sales	—			—			—		(9.8		)	(9.8		)
Transfers in	—			—			—		—			—
Transfers out	—			—			—		—			—
Balance at June 30, 2011	$	92.3		$	42.5		$	—	$	136.6		$	271.4
Amortization/accretion	—			—			—		—			—
Total net realized and unrealized gains (losses)	(11.0		)	(2.5		)	—		0.3			(13.2		)
Purchases	60.2			—			—		1.2			61.4
Sales	—			(39.2		)	—		(2.7		)	(41.9		)
Transfers in	—			—			—		—			—
Transfers out	(22.0		)	—			—		—			(22.0		)
Balance at September 30, 2011	$	119.5		$	0.8		$	—	$	135.4		$	255.7

(1)Excludes the carrying value of $21.7 million associated with a tax advantaged federal affordable housing development fund accounted for using the equity method.

Schedule of significant unobservable inputs used in estimating the fair value of investment securities

			Ratings			Input
Description	Fair Value		Range (1)	Valuation Technique	Unobservable Inputs	Range (1)
Non-agency commercial mortgage-backed securities	$	1.4	A2	Discounted cash flow	Prepayment rate	0 CPY
					Discount margin over LIBOR	2.1%
Preferred stock	$	70.5	NR	Discounted cash flow	Discount yield	8.0%

(1)As of September 30, 2012, each asset type consists of one security.

Net unrealized gains or losses for Level 3 investments

	Three months ended						Nine months ended
	September 30,						September 30,
	2012			2011			2012			2011
				($ in millions)
Fixed maturity investments	$	0.4		$	(11.0	)	$	6.6		$	(12.1	)
Short-term investments	—			—			—			—
Common equity securities	(0.1		)	—			(0.1		)	(0.1		)
Convertible fixed maturity investments	—			—			—			—
Other investments	2.1			(0.5		)	4.0			2.4
Total	$	2.4		$	(11.5	)	$	10.5		$	(9.8	)

Mortgage-backed and asset-backed securities

	September 30, 2012						December 31, 2011
	Fair Value		Level 2		Level 3		Fair Value		Level 2		Level 3
					($ in millions)
Mortgage-backed securities:
Agency:
GNMA	$	620.1	$	620.1	$	—	$	631.0	$	631.0	$	—
FNMA	14.2		14.2		—		166.8		166.8		—
FHLMC	—		—		—		4.9		4.9		—
Total agency(1)	634.3		634.3		—		802.7		802.7		—
Non-agency:
Residential	32.6		32.6		—		13.7		11.4		2.3
Commercial	200.2		198.8		1.4		68.4		68.4		—
Total Non-agency	232.8		231.4		1.4		82.1		79.8		2.3
Total mortgage- backed securities	867.1		865.7		1.4		884.8		882.5		2.3
Other asset-backed securities: Credit card receivables	25.6		25.6		—		48.2		48.2		—
Vehicle receivables	19.8		19.8		—		5.3		5.3		—
Other	1.5		1.5		—		—		—		—
Total other asset-backed securities	46.9		46.9		—		53.5		53.5		—
Total asset-backed securities	$	914.0	$	912.6	$	1.4	$	938.3	$	936.0	$	2.3

(1)Represents publicly traded mortgage-backed securities which carry the full faith and credit guaranty of the U.S. government (i.e., GNMA) or are guaranteed by a government sponsored entity (i.e., FNMA, FHLMC).

Schedule of security issuance years of investments in non-agency RMBS and non-agency CMBS securities

	Fair Value		2007		2009		2010		2011		2012
					($ in millions)
Non-agency RMBS	$	32.6	$	—	$	—	$	17.1	$	15.5	$	—
Non-agency CMBS	200.2		3.9		4.1		4.0		50.1		138.1
Total	$	232.8	$	3.9	$	4.1	$	21.1	$	65.6	$	138.1

Non-agency RMBS, collateral quality and tranche levels

	Fair Value		Super Senior(1)		Senior(2)		Subordinate(3)
			($ in millions)
Prime	$	32.6	$	—	$	32.6	$	—
Non-prime	—		—		—		—
Total	$	32.6	$	—	$	32.6	$	—

(1)At issuance, Super Senior were rated AAA by Standard & Poor’s Rating Service (“Standard & Poor’s”) or Aaa by Moody’s Investors Service, Inc. (“Moody’s”) and were senior to other AAA or Aaa bonds.

(2)At issuance, Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to non-AAA or non-Aaa bonds.

(3)At issuance, Subordinate were not rated AAA by Standard & Poor’s or Aaa by Moody’s and were junior to other bonds.

Non-agency CMBS, type of interest rate and tranche levels

	Fair Value		Super Senior(1)		Senior(2)		Subordinate(3)
			($ in millions)
Fixed rate CMBS	$	194.9	$	147.3	$	47.6	$	—
Floating rate CMBS	5.3		3.9		—		1.4
Total	$	200.2	$	151.2	$	47.6	$	1.4

(1)At issuance, Super Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to other AAA or Aaa bonds.

(2)At issuance, Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to non-AAA or non-Aaa bonds.

(3)At issuance, Subordinate were not rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to other bonds.

Other investments

	September 30, 2012				December 31, 2011
	Fair		Unfunded		Fair		Unfunded
	Value		Commitments		Value		Commitments
			($ in millions)
Hedge funds
Long/short credit and distressed	$	15.0	$	—	$	15.1	$	—
Long bank loan	0.2		—		0.2		—
Long/short equity	36.0		—		36.1		—
Long/short equity activist	2.6		—		2.1		—
Total hedge funds	$	53.8	$	—	$	53.5	$	—
Private equity funds
Insurance	$	3.0	$	0.1	$	3.3	$	0.1
Distressed residential real estate	9.8		—		13.7		—
Energy infrastructure and services	19.0		5.5		16.3		4.6
Healthcare	2.1		2.7		1.1		3.5
Multi-sector	20.7		4.3		19.3		5.2
Private equity secondaries	7.3		2.2		7.6		2.6
Real estate	5.9		0.1		4.4		0.1
Total private equity funds	$	67.8	$	14.9	$	65.7	$	16.1
Total hedge funds and private equity funds(1)	$	121.6	$	14.9	$	119.2	$	16.1

(1)Other investments also includes $14.1 million of an investment in a community reinvestment vehicle as of September 30, 2012 and December 31, 2011 and $21.2 million and $21.8 million, respectively, of an investment in a tax advantaged federal affordable housing development fund as of September 30, 2012 and December 31, 2011.

Fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds

	Hedge Funds—Active Funds
	30 - 59 days		60 - 89 days		90 - 119 days		120+ days
	notice		notice		notice		notice		Total
					($ in millions)
Redemption frequency
Monthly	$	—	$	—	$	—	$	6.7	$	6.7
Quarterly	24.7		8.2		11.5		—		44.4
Annual	—		—		2.5		0.2		2.7
Total	$	24.7	$	8.2	$	14.0	$	6.9	$	53.8

Fair Value of private equity funds subject to lock-up periods

	1 - 3 years		3 - 5 years		5 - 10 years		>10 years		Total
					($ in millions)
Private Equity Funds— expected lock up period remaining	$	12.8	$	12.1	$	42.9	$	—	$	67.8