Investment Securities (Tables)

9 Months Ended

Sep. 30, 2015

Investments, Debt and Equity Securities [Abstract]

Pre-tax net investment income for the three and nine months ended September 30, 2015 and 2014 consisted of the following:



	Three Months Ended						Nine Months Ended
	September 30,						September 30,
Millions	2015			2014			2015			2014
Investment income:
Fixed maturity investments	$	13.7		$	12.7		$	38.5		$	38.4
Short-term investments	—			.1			.1			.2
Common equity securities	1.4			3.3			5.7			11.9
Convertible fixed maturity and preferred investments	.1			1.0			.4			1.5
Other long-term investments	1.9			.2			2.5			2.2
Total investment income	17.1			17.3			47.2			54.2
External investment expenses	(.3		)	(3.5		)	(4.6		)	(9.5		)
Net investment income, pre-tax	$	16.8		$	13.8		$	42.6		$	44.7

Schedule of Realized and Unrealized Gain (Loss) on Investments

Net realized and unrealized investment gains and losses for the three and nine months ended September 30, 2015 and 2014 consisted of the following:



	Three Months Ended						Nine Months Ended
	September 30,						September 30,
Millions	2015			2014			2015			2014
Net realized investment (losses) gains, pre-tax	$	(7.4	)	$	57.9		$	49.7		$	97.0
Net unrealized investment (losses), pre-tax	(36.5		)	(85.4		)	(83.6		)	(32.6		)
Net realized and unrealized investment (losses) gains, pre-tax	(43.9		)	(27.5		)	(33.9		)	64.4
Income tax benefit (expense) attributable to net realized and unrealized investment gains (losses)	9.4			5.6			6.9			(12.2		)
Net realized and unrealized investment (losses) gains, after tax	$	(34.5	)	$	(21.9	)	$	(27.0	)	$	52.2

Realized Gain (Loss) on Investments

Net realized investment gains (losses) for the three and nine months ended September 30, 2015 and 2014 consisted of the following:



	Three Months Ended								Three Months Ended
	September 30, 2015								September 30, 2014
Millions	Net realized (losses)			Net foreign currency gains		Total net realized (losses) reflected in earnings			Net realized gains			Net foreign currency (losses)			Total net realized gains reflected in earnings
Fixed maturity investments	$	(.1	)	$	—	$	(.1	)	$	2.3		$	(.1	)	$	2.2
Short-term investments	—			—		—			—			—			—
Common equity securities	(5.9		)	—		(5.9		)	51.4			—			51.4
Convertible fixed maturity and preferred investments	—			—		—			1.6			—			1.6
Other long-term investments	(1.4		)	—		(1.4		)	2.7			—			2.7
Net realized investment (losses) gains, pre-tax	(7.4		)	—		(7.4		)	58.0			(.1		)	57.9
Income tax benefit (expense) attributable to net realized investment gains	1.5			—		1.5			(7.0		)	—			(7.0		)
Net realized investment (losses) gains, after tax	$	(5.9	)	$	—	$	(5.9	)	$	51.0		$	(.1	)	$	50.9



	Nine Months Ended								Nine Months Ended
	September 30, 2015								September 30, 2014
Millions	Net realized gains (losses)			Net foreign currency gains		Total net realized gains (losses) reflected in earnings			Net realized gains			Net foreign currency (losses)			Total net realized gains reflected in earnings
Fixed maturity investments	$	2.0		$	—	$	2.0		$	4.7		$	(.1	)	$	4.6
Short-term investments	—			—		—			—			—			—
Common equity securities	41.6			.4		42.0			83.2			—			83.2
Convertible fixed maturity and preferred investments	(4.3		)	—		(4.3		)	6.5			—			6.5
Other long-term investments	10.0			—		10.0			2.7			—			2.7
Net realized investment gains (losses), pre-tax	49.3			.4		49.7			97.1			(.1		)	97.0
Income tax (expense) attributable to net realized investment gains (losses)	(15.7		)	—		(15.7		)	(13.3		)	—			(13.3		)
Net realized investment gains (losses), after tax	$	33.6		$	.4	$	34.0		$	83.8		$	(.1	)	$	83.7

Schedule of unrealized gain (loss) on investments

The following table summarizes net unrealized investment gains (losses) for the three and nine months ended September 30, 2015 and 2014:



	Three Months Ended									Three Months Ended
	September 30, 2015									September 30, 2014
Millions	Net unrealized gains (losses)			Net foreign currency (losses)			Total net unrealized gains (losses) reflected in earnings			Net unrealized (losses)			Net foreign currency (losses)			Total net unrealized (losses) reflected in earnings
Fixed maturity investments	$	3.3		$	—		$	3.3		$	(10.0	)	$	—		$	(10.0	)
Short-term investments	—			—			—			—			—			—
Common equity securities	(30.6		)	(.2		)	(30.8		)	(63.9		)	(5.3		)	(69.2		)
Convertible fixed maturity and preferred investments	1.1			—			1.1			(3.4		)	—			(3.4		)
Other long-term investments	(10.1		)	—			(10.1		)	(2.8		)	—			(2.8		)
Net unrealized investment (losses), pre-tax	(36.3		)	(.2		)	(36.5		)	(80.1		)	(5.3		)	(85.4		)
Income tax benefit attributable to net unrealized investment (losses)	7.9			—			7.9			12.6			—			12.6
Net unrealized investment (losses), after tax	$	(28.4	)	$	(.2	)	$	(28.6	)	$	(67.5	)	$	(5.3	)	$	(72.8	)



	Nine Months Ended									Nine Months Ended
	September 30, 2015									September 30, 2014
Millions	Net unrealized gains (losses)			Net foreign currency (losses)			Total net unrealized gains (losses) reflected in earnings			Net unrealized gains (losses)			Net foreign currency (losses)			Total net unrealized gains (losses) reflected in earnings
Fixed maturity investments	$	1.3		$	—		$	1.3		$	12.3		$	—		$	12.3
Short-term investments	—			—			—			—			—			—
Common equity securities	(56.0		)	(2.5		)	(58.5		)	(43.2		)	(5.3		)	(48.5		)
Convertible fixed maturity and preferred investments	2.0			—			2.0			(5.1		)	—			(5.1		)
Other long-term investments	(27.6		)	(.8		)	(28.4		)	8.7			—			8.7
Net unrealized investment (losses), pre-tax	(80.3		)	(3.3		)	(83.6		)	(27.3		)	(5.3		)	(32.6		)
Income tax benefit attributable to net unrealized investment losses	22.6			—			22.6			1.1			—			1.1
Net unrealized investment (losses), after tax	$	(57.7	)	$	(3.3	)	$	(61.0	)	$	(26.2	)	$	(5.3	)	$	(31.5	)

Net unrealized investment gains (losses) for Level 3 investments

The following table summarizes the amount of total pre-tax unrealized investment (losses) gains included in earnings for Level 3 investments for the three and nine months ended September 30, 2015 and 2014:



	Three Months Ended						Nine Months Ended
	September 30,						September 30,
Millions	2015			2014			2015			2014
Fixed maturity investments	$	(1.0	)	$	2.1		$	(.9	)	$	2.7
Common equity securities	1.1			1.0			4.0			3.8
Convertible fixed maturity and preferred investments	1.1			.1			1.8			3.3
Other long-term investments	(10.0		)	(3.5		)	(28.1		)	(5.7		)
Total unrealized investment (losses) gains, pre-tax - Level 3 investments	$	(8.8	)	$	(.3	)	$	(23.2	)	$	4.1

Investment holdings, equity securities, convertible fixed maturities and other long-term investments

The cost or amortized cost, gross unrealized investment gains and losses, net foreign currency gains and losses, and carrying values of White Mountains’s fixed maturity investments as of September 30, 2015 and December 31, 2014 were as follows:



	September 30, 2015
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency gains (losses)		Carrying value
U.S. Government and agency obligations	$	99.6	$	.2	$	—		$	—	$	99.8
Debt securities issued by corporations	998.6		8.7		(1.5		)	—		1,005.8
Municipal obligations	145.8		1.8		(.8		)	—		146.8
Mortgage-backed and asset-backed securities	1,261.2		6.4		(2.2		)	—		1,265.4
Foreign government, agency and provincial obligations	1.0		.3		—			—		1.3
Preferred stocks	78.3		4.8		—			—		83.1
Total fixed maturity investments	$	2,584.5	$	22.2	$	(4.5	)	$	—	$	2,602.2



	December 31, 2014
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency gains (losses)		Carrying value
U.S. Government and agency obligations	$	105.4	$	.1	$	(.3	)	$	—	$	105.2
Debt securities issued by corporations	1,162.0		13.1		(3.4		)	—		1,171.7
Municipal obligations	81.0		1.4		(.2		)	—		82.2
Mortgage-backed and asset-backed securities	967.5		2.8		(2.4		)	—		967.9
Foreign government, agency and provincial obligations	11.5		.3		(1.0		)	—		10.8
Preferred stocks	78.3		5.9		—			—		84.2
Total fixed maturity investments	$	2,405.7	$	23.6	$	(7.3	)	$	—	$	2,422.0

The cost or amortized cost, gross unrealized investment gains and losses, net foreign currency gains and losses, and carrying values of White Mountains’s common equity securities, convertible fixed maturity and preferred investments and other long-term investments as of September 30, 2015 and December 31, 2014 were as follows:



	September 30, 2015
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency (losses)			Carrying value
Common equity securities	$	453.0	$	52.0	$	(22.9	)	$	—		$	482.1
Convertible fixed maturity and preferred investments	$	3.1	$	2.5	$	—		$	—		$	5.6
Other long-term investments	$	271.9	$	37.7	$	(12.9	)	$	(2.1	)	$	294.6



	December 31, 2014
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency (losses)			Carrying value
Common equity securities	$	495.3	$	127.4	$	(3.6	)	$	(7.4	)	$	611.7
Convertible fixed maturity and preferred investments	$	13.4	$	.8	$	(.3	)	$	—		$	13.9
Other long-term investments	$	273.3	$	52.5	$	(6.5	)	$	(1.3	)	$	318.0

Other Long-term Investments

Other long-term investments consist of the following as of September 30, 2015 and December 31, 2014:



	Carrying Value at
Millions	September 30, 2015		December 31, 2014
Hedge funds and private equity funds, at fair value⁽¹⁾	$	148.6	$	178.5
Surplus notes investments, at fair value⁽¹⁾⁽⁴⁾	58.0		65.1
Private equity securities and limited liability companies, at fair value⁽¹⁾⁽²⁾	65.3		45.3
Tax advantaged federal affordable housing development fund⁽³⁾	15.2		16.8
Partnership investments accounted for under the equity method	3.9		5.1
Other⁽¹⁾	3.6		7.2
Total other-long term investments	$	294.6	$	318.0

⁽¹⁾See Fair Value Measurements by Level table.

⁽²⁾On April 2, 2015, White Mountains invested $21.0 in PassportCard. White Mountains has chosen to take the fair value election for its investment.

⁽³⁾Fund accounted for using the proportional amortization method.

⁽⁴⁾The decrease in the fair value of the surplus notes during the nine months ended September 30, 2015 was primarily due to widening of non-

investment grade credit spreads.

Other long-term investments

The following table summarizes investments in hedge funds and private equity funds by investment objective and sector as of September 30, 2015 and December 31, 2014:



	September 30, 2015				December 31, 2014
Millions	Fair Value		Unfunded Commitments		Fair Value		Unfunded Commitments
Hedge funds
Long/short equity REIT	$	20.0	$	—	$	20.4	$	—
Long/short credit & distressed	8.1		—		8.4		—
Long/short equity banks and financial	15.4		—		29.9		—
Other	12.1		—		15.7		—
Total hedge funds	55.6		—		74.4		—

Private equity funds
Energy infrastructure & services	26.3		4.0		33.1		4.8
Manufacturing/Industrial	23.5		2.5		23.2		7.3
Multi-sector	14.9		2.1		14.5		2.2
Aerospace/Defense/Government	17.1		33.6		20.7		5.1
Healthcare	3.9		.4		3.1		1.4
Private equity secondaries	4.5		2.1		5.7		2.1
Insurance	2.0		41.3		2.1		41.3
Real estate	.8		.1		1.7		.1
Total private equity funds	93.0		86.1		104.1		64.3

Total hedge funds and private equity funds included in other long-term investments	$	148.6	$	86.1	$	178.5	$	64.3

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

The following summarizes the September 30, 2015 fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds:



	Notice Period
Millions Redemption frequency	30-59 days notice		60-89 days notice		90-119 days notice		120+ days notice		Total
Monthly	$	—	$	—	$	—	$	—	$	—
Quarterly	16.4		8.1		—		8.4		32.9
Semi-annual	—		20.0		—		—		20.0
Annual	—		—		2.7		—		2.7
Total	$	16.4	$	28.1	$	2.7	$	8.4	$	55.6

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

As of September 30, 2015, investments in private equity funds were subject to lock-up periods as follows:



Millions	1-3 years	3 – 5 years	5 – 10 years	>10 years	Total
Private Equity Funds — expected lock-up period remaining	$25.8	$11.1	$56.1	$—	$93.0

Fair value measurements by level, investment securities

The following tables summarize White Mountains’s fair value measurements for investments as of September 30, 2015 and December 31, 2014, by major security type and class by level. The major security types were based on the legal form of the securities, with a separate break-out for convertible fixed maturity investments as they may react similar to either debt securities or equity securities, depending on prevailing market conditions. 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 asset-backed securities vary depending on the nature of the issuing entity type. White Mountains further disaggregates debt securities issued by corporations and 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 these asset classes 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 Barclays Intermediate Aggregate and S&P 500 indices:



	September 30, 2015
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	99.8	$	61.8	$	38.0	$	—

Debt securities issued by corporations:
Consumer	223.1		—		223.1		—
Financials	201.3		—		201.3		—
Health Care	177.2		—		177.2		—
Industrial	132.8		—		132.8		—
Communications	52.7		—		52.7		—
Energy	57.8		—		57.8		—
Utilities	62.5		—		62.5		—
Technology	64.7		—		64.7		—
Materials	31.4		—		31.4		—
Other	2.3		—		2.3		—
Total debt securities issued by corporations	1,005.8		—		1,005.8		—

Municipal obligations	146.8		—		146.8		—
Mortgage-backed and asset-backed securities	1,265.4		—		1,265.4		—
Foreign government, agency and provincial obligations	1.3		.6		.7		—
Preferred stocks	83.1		—		12.8		70.3
Total fixed maturity investments	2,602.2		62.4		2,469.5		70.3

Short-term investments	325.0		325.0		—		—

Common equity securities:
Exchange traded funds⁽¹⁾	172.6		152.6		20.0		—
Financials	63.2		29.0		—		34.2
Consumer	56.5		56.5		—		—
Health Care	34.5		34.5		—		—
Industrial	25.2		25.2		—		—
Technology	22.0		22.0		—		—
Communications	36.0		36.0		—		—
Energy	—		—		—		—
Materials	—		—		—		—
Utilities	—		—		—		—
Other	72.1		—		72.1		—
Total common equity securities	482.1		355.8		92.1		34.2

Convertible fixed maturity and preferred investments	5.6		—		—		5.6
Other long-term investments ⁽²⁾	275.5		—		—		275.5
Total investments	$	3,690.4	$	743.2	$	2,561.6	$	385.6

⁽¹⁾ETF's 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.

⁽²⁾Excludes carrying value of $3.9 associated with other long-term investment limited partnerships accounted for using the equity method. Excludes carrying value of $15.2 associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method.



	December 31, 2014
Millions	Fair Value		Level 1		Level 2		Level 3
Fixed maturity investments:
U.S. Government and agency obligations	$	105.2	$	51.2	$	54.0	$	—

Debt securities issued by corporations:
Consumer	259.2		—		259.2		—
Financials	254.7		—		254.7		—
Health Care	181.8		—		181.8		—
Industrial	107.3		—		102.0		5.3
Communications	71.5		—		71.5		—
Energy	65.6		—		65.6		—
Utilities	84.1		—		84.1		—
Technology	88.3		—		88.3		—
Materials	51.7		—		51.7		—
Other	7.5		—		7.5		—
Total debt securities issued by corporations	1,171.7		—		1,166.4		5.3

Mortgage-backed and asset-backed securities	967.9		—		967.9		—
Foreign government, agency and provincial obligations	10.8		.6		10.2		—
Preferred stocks	84.2		—		13.1		71.1
Municipal obligations	82.2		—		82.2		—
Total fixed maturity investments	2,422.0		51.8		2,293.8		76.4

Short-term investments	376.8		376.3		.5		—

Common equity securities:
Financials	180.7		141.2		—		39.5
Consumer	116.0		115.9		.1		—
Health Care	74.4		74.4		—		—
Industrial	57.1		57.1		—		—
Technology	44.8		44.8		—		—
Communications	28.5		28.5		—		—
Energy	18.1		18.1		—		—
Materials	12.0		12.0		—		—
Utilities	4.9		4.9		—		—
Other	75.2		1.9		73.3		—
Total common equity securities	611.7		498.8		73.4		39.5

Convertible fixed maturity and preferred investments	13.9		—		5.7		8.2
Other long-term investments⁽¹⁾	296.0		—		—		296.0
Total investments	$	3,720.4	$	926.9	$	2,373.4	$	420.1

⁽¹⁾Excludes carrying value of $5.2 associated with other long-term investment limited partnerships accounted for using the equity method. Excludes carrying value of $16.8 associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method.

Debt securities issued by corporations, credit ratings

The following table summarizes the ratings of the corporate debt securities held in White Mountains’s investment portfolio as of September 30, 2015 and December 31, 2014:



	Fair Value at
Millions	September 30, 2015		December 31, 2014
AAA	$	—	$	—
AA	112.3		144.9
A	439.7		594.9
BBB	453.8		426.5
BB	—		—
Other	—		5.4
Debt securities issued by corporations⁽¹⁾	$	1,005.8	$	1,171.7

⁽¹⁾Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's Financial Services LLC (“Standard & Poor’s”) and 2) Moody’s Investor Service (“Moody's”).

Mortgage-backed, asset-backed securities

The following table summarizes mortgage and asset-backed securities as of September 30, 2015 and December 31, 2014:



	September 30, 2015						December 31, 2014
Millions	Fair Value		Level 2		Level 3		Fair Value		Level 2		Level 3
Mortgage-backed securities:
Agency:
GNMA	$	293.9	$	293.9	$	—	$	308.7	$	308.7	$	—
FNMA	41.6		41.6		—		33.4		33.4		—
FHLMC	24.8		24.8		—		28.9		28.9		—
Total Agency⁽¹⁾	360.3		360.3		—		371.0		371.0		—
Non-agency:
Residential	123.7		123.7		—		71.0		71.0		—
Commercial	133.7		133.7		—		109.3		109.3		—
Total Non-agency	257.4		257.4		—		180.3		180.3		—

Total mortgage-backed securities	617.7		617.7		—		551.3		551.3		—
Other asset-backed securities:
Credit card receivables	293.3		293.3		—		218.1		218.1		—
Vehicle receivables	276.4		276.4		—		152.8		152.8		—
Other	78.0		78.0		—		45.7		45.7		—
Total other asset-backed securities	647.7		647.7		—		416.6		416.6		—
Total mortgage and asset-backed securities	$	1,265.4	$	1,265.4	$	—	$	967.9	$	967.9	$	—

⁽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

The security issuance years of White Mountains’s investments in non-agency residential mortgage-backed securities ("RMBS") and non-agency commercial mortgage-backed securities (“CMBS”) as of September 30, 2015 are as follows:



					Security Issuance Year
Millions	Fair Value		2004		2005		2006		2007		2008		2009		2010		2011		2012		2013		2014		2015
Non-agency RMBS	$	123.7	$	18.3	$	2.9	$	4.0	$	—	$	4.2	$	—	$	17.1	$	14.6	$	13.4	$	14.7	$	34.5	$	—
Non-agency CMBS	133.7		—		—		—		—		—		—		5.7		—		8.6		18.4		55.6		45.4
Total	$	257.4	$	18.3	$	2.9	$	4.0	$	—	$	4.2	$	—	$	22.8	$	14.6	$	22.0	$	33.1	$	90.1	$	45.4

Non-agency residential mortgage securities, collateral quality and tranche levels

The classification of the underlying collateral quality and the tranche levels of White Mountains’s non-agency RMBS securities are as follows as of September 30, 2015:



Millions	Fair Value		Super Senior ⁽¹⁾		Senior ⁽²⁾		Subordinate ⁽³⁾
Prime	$	123.7	$	35.1	$	88.6	$	—
Non-prime	—		—		—		—
Sub-prime	—		—		—		—
Total	$	123.7	$	35.1	$	88.6	$	—

⁽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 (“Fitch”) and were senior to other “AAA” or “Aaa” securities.

⁽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” securities.

⁽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” securities.

Non-agency commercial mortgage securities, type of interest rate and tranche levels

The amount of fixed and floating rate securities and their tranche levels of White Mountains’s non-agency CMBS securities are as follows as of September 30, 2015:



Millions	Fair Value		Super Senior ⁽¹⁾		Senior ⁽²⁾		Subordinate ⁽³⁾
Fixed rate CMBS	$	93.2	$	9.6	$	41.4	$	42.2
Floating rate CMBS	40.5		—		—		40.5
Total	$	133.7	$	9.6	$	41.4	$	82.7

⁽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” securities.

Rollforward of fair value investments by level

The following tables summarize the changes in White Mountains’s fair value measurements by level for the three months ended September 30, 2015 and 2014:



							Level 3 Investments
Millions	Level 1 investments			Level 2 investments			Fixed maturity investments			Common equity securities			Convertible fixed maturity and preferred investments			Other long-term investments			Total
Balance at January 1, 2015	$	550.6		$	2,372.9		$	76.4		$	39.5		$	8.2		$	296.0		$	3,343.6		⁽¹⁾⁽²⁾
Total realized and unrealized (losses) gains	(19.5		)	.6			(.9		)	7.7			(2.6		)	(18.0		)	(32.7		)	⁽³⁾
Amortization/Accretion	—			(15.2		)	—			—			—			—			(15.2		)
Purchases	550.0			1,056.0			35.3			—			—			30.7			1,672.0
Sales	(618.2		)	(894.4		)	—			(9.4		)	—			(18.9		)	(1,540.9		)
Effect of redemption of Prospector hedge funds	(43.5		)	—			—			(3.6		)	—			(14.3		)	(61.4		)
Transfers in	—			41.7			—			—			—			—			41.7
Transfers out	(1.2		)	—			(40.5		)	—			—			—			(41.7		)
Balance at September 30, 2015	$	418.2		$	2,561.6		$	70.3		$	34.2		$	5.6		$	275.5		$	3,365.4		⁽¹⁾⁽²⁾

⁽¹⁾Excludes carrying value of $5.2 and $3.9 at January 1, 2015 and September 30, 2015 associated with other long-term investments accounted for using the equity method. Excludes carrying value of $16.8 and $15.2 at January 1, 2015 and September 30, 2015 million associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method.

⁽²⁾Excludes carrying value of $376.8 and $325.0 at January 1, 2015 and September 30, 2015 associated with short-term investments.

⁽³⁾Excludes $0.8 realized and unrealized losses associated with the Prospector Offshore Fund consolidation of investment-related liabilities.



							Level 3 Investments
Millions	Level 1 investments			Level 2 investments			Fixed maturity investments			Common equity securities			Convertible fixed maturity and preferred investments		Other long-term investments			Total
Balance at January 1, 2014	$	997.2		$	2,575.4		$	81.8		$	45.4		$	6.1	$	183.1		$	3,889.0		^(1)(2)(3)
Total realized and unrealized gains (losses)	30.7			12.5			2.7			3.7			3.3		(3.2		)	49.7			⁽⁴⁾
Amortization/Accretion	.1			(14.3		)	(.1		)	—			—		—			(14.3		)
Purchases	661.2			1,265.3			45.5			—			1.5		42.7			2,016.2
Sales	(926.2		)	(1,392.5		)	—			(10.9		)	—		(11.1		)	(2,340.7		)
Net change in investments related to purchases of consolidated affiliates	3.4			7.4			—			—			—		—			10.8
Transfers in	—			42.1			—			—			—		—			42.1
Transfers out	(.2		)	—			(41.9		)	—			—		—			(42.1		)
Balance at September 30, 2014	$	766.2		$	2,495.9		$	88.0		$	38.2		$	10.9	$	211.5		$	3,610.7		^(1)(2)(3)

⁽¹⁾Excludes carrying value of $6.8 and $5.1 at January 1, 2014 and September 30, 2014 associated with other long-term investment limited partnerships accounted for using the equity method. Excludes carrying value of $19.1 and $17.3 at January 1, 2014 and September 30, 2014 associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method.

⁽²⁾Carrying value includes $236.3 and 203.9 at January 1, 2014 and September 30, 2014 that is classified as assets held for sale relating to discontinued operations.

⁽³⁾Excludes carrying value of $310.4 and $402.7 at January 1, 2014 and September 30, 2014 associated with short-term investments.

⁽⁴⁾Excludes $0.5 realized and unrealized gains associated with the Prospector Offshore Fund and Prospector Turtle Fund consolidation of investment-related liabilities.

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

The following summarizes significant unobservable inputs used in estimating the fair value of investment securities classified within Level 3 other than hedge funds and private equity funds as of September 30, 2015 and December 31, 2014. The fair value of investments in hedge funds and private equity funds, which are classified within Level 3, are estimated using the net asset value of the funds.



($ in millions)			September 30, 2015				December 31, 2014
Description	Rating⁽²⁾	Valuation Technique(s)	Fair Value⁽⁷⁾	Unobservable Input			Fair Value⁽⁷⁾	Unobservable Input
Preferred Stock⁽¹⁾	NR	Discounted cash flow	$70.3	Discount yield	-	8.4%	$71.1	Discount yield	-	7.1%
Private equity security⁽¹⁾⁽⁹⁾	NR	Share price of pending transaction⁽⁹⁾	$34.2	Share price	-	$17.16	$39.5	Multiple of GAAP book value⁽⁹⁾	-	1.10
Private equity security⁽¹⁾	NR	Share price of most recent transaction	$21.0	Share price	-	$1.00	N/A	N/A	-	N/A
Private equity security⁽¹⁾	NR	Share price of most recent transaction	$20.1	Share price	-	$1.06	$20.1	Share price	-	$1.06
Private equity security⁽¹⁾	NR	Share price of most recent transaction	$9.6	Share price	-	$290.96	$10.4	Share price	-	$290.96
Convertible preferred security⁽¹⁾	NR	Multiple of EBITDA	$5.6	EBITDA multiple	-	6.00	$3.8	EBITDA multiple	-	6.00
Convertible preferred security⁽¹⁾	NR	Share price of most recent transaction	N/A	N/A		N/A	$4.5	Share price	-	$0.71
Debt security issued by corporation⁽¹⁾	NR	Discounted cash flow	N/A	N/A		N/A	$5.3	Illiquidity discount⁽³⁾	-	10%
Surplus notes⁽⁸⁾:	NR
- Seller priority		Discounted cash flow	$41.0	Discount rate ⁽⁴⁾	-	11.6%	$44.0	Discount rate ⁽⁴⁾	-	9.3%
			Timing of interest payments⁽⁵⁾		-	5 years	Timing of interest payments⁽⁵⁾		-	5 years
			Timing of principal payments⁽⁵⁾		-	10 years	Timing of principal payments⁽⁵⁾		-	10 years
- Pari passu		Discounted cash flow	$17.0	Discount rate⁽⁵⁾	-	18.3%	$21.1	Discount rate⁽⁵⁾	-	13.5%
			Timing of interest payments⁽⁶⁾		-	5 years	Timing of interest payments⁽⁶⁾		-	5 years
			Timing of principal payments⁽⁶⁾		-	15 years	Timing of principal payments⁽⁶⁾		-	10 years

⁽¹⁾As of September 30, 2015, consists of 1 security.

⁽²⁾Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's and 2) Moody’s.

⁽³⁾Judgmentally determined based on the Company’s limited trading ability of the issuer.

⁽⁴⁾Stochastic modeling supporting the fair value estimation indicates that the average percentage of discounted payments missed on the seller priority note is roughly equivalent to that of a conventional debt security with a credit rating of ‘B’. The corresponding credit spread increased by an additional 250 bps to reflect both a liquidity discount for a private debt instrument and regulatory payment approval uncertainty, was added to the treasury rate to determine the discount rate for the pari passu note.

⁽⁵⁾ Stochastic modeling supporting the fair value estimation indicates that the average percentage of discounted payments missed on the pari passu note is roughly equivalent to that of a conventional debt security with a credit rating of ‘CCC’. The corresponding credit spread increased by an additional 250 bps to reflect both a liquidity discount for a private debt instrument and regulatory payment approval uncertainty, was added to the treasury rate to determine the discount rate for the seller priority note.

⁽⁶⁾For estimated value purposes, the assumption has been made that interest payouts begin in year five and principal repayments begin on a graduated basis in year ten for the seller priority note and year fifteen for the pari passu note.

⁽⁷⁾ Includes the unrealized gains and losses associated with foreign currency; foreign currency effects based on observable inputs.

(8) The decrease in the fair value of the surplus notes during the nine months ended September 30, 2015 was primarily due to widening of non-investment grade credit spreads.

⁽⁹⁾ As of December 31, 2014, the valuation technique for the private equity security was a multiple of GAAP book value. As of September 30, 2015, the valuation technique was the estimated share price from a pending transaction that is expected to close in the fourth quarter of 2015.