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Investment Securities (Tables)
 12 Months Ended
Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]  
Par Value to Fair Value Reconciliation of Surplus Notes [Table Text Block]
Below is a table illustrating the valuation adjustments taken to arrive at the estimated fair value of the OneBeacon surplus notes as of December 31, 2015 and 2014:
 
 
Type of Surplus Note
 
Total as of December 31, 2015
 
Total as of December 31, 2014
Millions
 
Seller Priority
 
Pari Passu
 
Par Value
 
$
57.9

 
$
43.1

 
$
101.0

 
$
101.0

Fair value adjustments to reflect:
 
 
 
 
 
 
 
 
Current market rates on public debt and contract-based repayments(1)
 
(.4
)
 
(14.7
)
 
(15.1
)
 
(6.6
)
Regulatory approval (2)
 
(11.7
)
 
(12.5
)
 
(24.2
)
 
(12.6
)
Liquidity adjustment (3)
 
(7.8
)
 
(2.4
)
 
(10.2
)
 
(16.7
)
Total adjustments
 
(19.9
)
 
(29.6
)
 
(49.5
)
 
(35.9
)
Fair value(4)
 
$
38.0

 
$
13.5

 
$
51.5

 
$
65.1

(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.
(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.
(3) Represents impact of liquidity spread to account for OneBeacon’s sole ownership of the surplus notes, lack of a trading market and ongoing regulatory approval risk.
(4) The decrease in the fair value of the surplus notes during the twelve months ended December 31, 2015 was primarily due to widening of non-investment grade credit spreads.
Pre-tax net investment income
Pre-tax net investment income for 2015, 2014 and 2013 consisted of the following:
 
 
Year Ended December 31,
Millions
 
2015
 
2014
 
2013
Investment income:
 
 
 
 
 
 
Fixed maturity investments
 
$
52.6

 
$
51.3

 
$
48.1

Short-term investments
 
.2

 
.1

 
.8

Common equity securities
 
10.1

 
16.6

 
16.5

Other long-term investments
 
3.3

 
4.4

 
6.8

Total investment income
 
66.2

 
72.4

 
72.2

Third-party investment expenses
 
(5.4
)
 
(12.9
)
 
(12.4
)
Net investment income, pre-tax
 
$
60.8


$
59.5


$
59.8
Net Realized and Unrealized Investment Gains and Losses
Net realized and unrealized investment gains (losses) consisted of the following:
 
 
Year Ended December 31,
Millions
 
2015
 
2014
 
2013
Net realized investment gains, pre-tax
 
$
77.3

 
$
166.8

 
$
95.5

Net unrealized investment gains (losses), pre-tax
 
148.1

 
(88.3
)
 
38.4

Net realized and unrealized investment gains, pre-tax
 
225.4


78.5


133.9

Income tax expense attributable to net realized and unrealized investment gains
 
(35.2
)
 
(18.0
)
 
(12.8
)
Net realized and unrealized investment gains, after tax
 
$
190.2

 
$
60.5

 
$
121.1
Net unrealized investment gains (losses) for Level 3 investments
The following table summarizes the amount of total gains (losses) included in earnings attributable to unrealized investment gains (losses) for Level 3 investments for the years ended December 31, 2015, 2014 and 2013.
 
 
Year Ended December 31,
Millions
 
2015
 
2014
 
2013
Fixed maturity investments
 
$
(1.1
)
 
$
1.9

 
$
(1.6
)
Common equity securities
 
(9.0
)
 
5.8

 
.9

Other long-term investments
 
(40.1
)
 
—

 
2.1

Total net unrealized investment (losses) gains, pre-tax - Level 3 investments
 
$
(50.2
)
 
$
7.7

 
$
1.4
Net realized and unrealized investment gains, after-tax, as recorded on the statements of operations and comprehensive income (losses)
The components of White Mountains’s net realized and unrealized investment gains (losses), after-tax, as recorded on the statements of operations and comprehensive income were as follows:
 
 
Year Ended December 31,
Millions
 
2015
 
2014
 
2013
Net change in pre-tax unrealized gains (losses) on investments in
   unconsolidated affiliates
 
$
(39.2
)
 
$
81.2

 
$
(106.4
)
Income tax benefit (expense)
 
2.9

 
(5.9
)
 
8.3

Net change in unrealized (losses) gains on investments in
   unconsolidated affiliates, after tax
 
(36.3
)
 
75.3

 
(98.1
)
Reversal of accumulated other comprehensive income related to change in
     accounting for the investment in Symetra
 
1.4

 
—

 
—

Total investment (losses) gains through accumulated other
   comprehensive income
 
(34.9
)
 
75.3

 
(98.1
)
Net realized and unrealized investment gains, after-tax
 
190.2

 
60.5

 
121.1

Total investment gains recorded during the period, after-tax
 
$
155.3

 
$
135.8

 
$
23.0
Realized Gain (Loss) on Investments
Net realized investment gains for 2015, 2014 and 2013 consisted of the following:
 
 
Year ended December 31, 2015
Millions
 
Net realized gains (losses)
 
Net foreign
exchange gains
 
Total changes in
fair value reflected in earnings
Fixed maturity investments
 
$
1.9

 
$
—

 
$
1.9

Common equity securities
 
64.4

 
.4

 
64.8

Other long-term investments
 
10.6

 
—

 
10.6

Net realized investment gains, pre-tax
 
76.9

 
.4

 
77.3

  Income tax expense attributable to realized investment gains
 
(22.8
)
 
—

 
(22.8
)
Net realized investment gains, after-tax
 
$
54.1

 
$
.4

 
$
54.5

 
 
Year ended December 31, 2014
Millions
 
Net realized gains (losses)
 
Net foreign
exchange gains
 
Total changes in
fair value reflected in earnings
Fixed maturity investments
 
$
5.8

 
$
—

 
$
5.8

Common equity securities
 
138.0

 
—

 
138.0

Other long-term investments
 
23.0

 
—

 
23.0

Net realized investment gains, pre-tax
 
166.8

 
—

 
166.8

  Income tax expense attributable to realized investment gains
 
(28.4
)
 
—

 
(28.4
)
Net realized investment gains, after-tax
 
$
138.4

 
$
—

 
$
138.4

 
 
Year ended December 31, 2013
Millions
 
Net realized gains (losses)
 
Net foreign
exchange gains
 
Total changes in
fair value reflected in earnings
Fixed maturity investments
 
$
(.2
)
 
$
(.2
)
 
$
(.4
)
Short-term investments
 
.1

 
—

 
.1

Common equity securities
 
89.4

 
—

 
89.4

Other long-term investments
 
6.4

 
—

 
6.4

Net realized investment gains (losses), pre-tax
 
95.7

 
(.2
)
 
95.5

Income tax (expense) benefit attributable to realized investment gains (losses)
 
(16.2
)
 
.1

 
(16.1
)
Net realized investment gains (losses), after-tax
 
$
79.5

 
$
(.1
)
 
$
79.4
Unrealized Gain (Loss) on Investments
The following table summarizes net unrealized investment gains (losses) and changes in the carrying value of investments measured at fair value:
 
 
Year ended December 31, 2015
Millions
 
Net
unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total net unrealized
gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
(15.6
)
 
$
—

 
$
(15.6
)
Common equity securities
 
207.6

 
(3.7
)
 
203.9

Other long-term investments
 
(39.1
)
 
(1.1
)
 
(40.2
)
Net unrealized investment gains (losses), pre-tax
 
152.9

 
(4.8
)
 
148.1

Income tax expense attributable to unrealized investment gains (losses)
 
(12.3
)
 
(.1
)
 
(12.4
)
Net unrealized investment gains (losses), after-tax
 
$
140.6

 
$
(4.9
)
 
$
135.7

 
 
Year ended December 31, 2014
Millions
 
Net
unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total net unrealized
gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
11.3

 
$
—

 
$
11.3

Common equity securities
 
(83.0
)
 
(7.7
)
 
(90.7
)
Other long-term investments
 
(7.6
)
 
(1.3
)
 
(8.9
)
Net unrealized investment losses, pre-tax
 
(79.3
)
 
(9.0
)
 
(88.3
)
Income tax benefit attributable to unrealized investment losses
 
9.9

 
.5

 
10.4

Net unrealized investment losses, after-tax
 
$
(69.4
)
 
$
(8.5
)
 
$
(77.9
)
 
 
Year ended December 31, 2013
Millions
 
Net
unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total net unrealized
gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
(49.9
)
 
$
—

 
$
(49.9
)
Common equity securities
 
86.1

 
(1.9
)
 
84.2

Other long-term investments
 
4.1

 
—

 
4.1

Net unrealized investment gains (losses), pre-tax
 
40.3

 
(1.9
)
 
38.4

Income tax benefit attributable to unrealized investment gains (losses)
 
3.3

 
—

 
3.3

Net unrealized investment gains (losses), after-tax
 
$
43.6

 
$
(1.9
)
 
$
41.7
Investment holdings, fixed maturity 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 December 31, 2015 and 2014, were as follows:
 
 
December 31, 2015
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains (losses)
 
Carrying
value
US Government and agency obligations
 
$
160.4

 
$
—

 
$
(.4
)
 
$
—

 
$
160.0

Debt securities issued by corporations
 
1,001.0

 
4.3

 
(5.3
)
 
—

 
1,000.0

Municipal obligations
 
227.8

 
2.2

 
(1.2
)
 
—

 
228.8

Mortgage-backed and asset-backed securities
 
1,170.6

 
2.0

 
(5.6
)
 
—

 
1,167.0

Foreign government, agency and provincial
   obligations
 
1.0

 
.2

 
—

 
—

 
1.2

Preferred stocks
 
78.3

 
4.4

 
—

 
—

 
82.7

Total fixed maturity investments
 
$
2,639.1

 
$
13.1

 
$
(12.5
)
 
$
—

 
$
2,639.7


 
 
December 31, 2014
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
losses
 
Carrying
value
US 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
Schedule of contractual maturities of fixed maturities
The cost or amortized cost and carrying value of White Mountains’s fixed maturity investments as of December 31, 2015 is presented below by contractual maturity. Actual maturities could differ from contractual maturities because borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties.
 
 
December 31, 2015
Millions
 
Cost or
amortized cost
 
Carrying
value
Due in one year or less
 
$
241.6

 
$
242.0

Due after one year through five years
 
982.3

 
981.5

Due after five years through ten years
 
96.4

 
96.1

Due after ten years
 
69.9

 
70.4

Mortgage-backed and asset-backed securities
 
1,170.6

 
1,167.0

Preferred stocks
 
78.3

 
82.7

Total
 
$
2,639.1

 
$
2,639.7
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 common equity securities and other long-term investments as of December 31, 2015 and 2014 were as follows:
 
 
December 31, 2015
Millions
 
Cost or
amortized cost
 
Gross unrealized
gains
 
Gross unrealized
losses
 
Net foreign
currency losses
 
Carrying
value
Common equity securities
 
$
822.5

 
$
302.8

 
$
(11.4
)
 
$
—

 
$
1,113.9

Other long-term investments
 
$
304.5

 
$
32.0

 
$
(18.4
)
 
$
(2.3
)
 
$
315.8

 
 
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

Other long-term investments
 
$
286.7

 
$
53.3

 
$
(6.8
)
 
$
(1.3
)
 
$
331.9
Fair value measurements by level, investment securities
The following tables summarize White Mountains’s fair value measurements for investments as of December 31, 2015 and 2014 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 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. The fair value measurements for derivative assets associated with White Mountains’s variable annuity business are presented in Note 9.
 
 
December 31, 2015
Millions
 
Fair value
 
Level 1 Inputs
 
Level 2 Inputs
 
Level 3 Inputs
Fixed maturity investments:
 
 
 
 
 
 
 
 
U.S. Government and agency obligations
 
$
160.0

 
$
133.4

 
$
26.6

 
$
—

Debt securities issued by corporations:
 
 

 
 
 
 
 
 
Consumer
 
253.3

 
—

 
253.3

 
—

Financials
 
175.9

 
—

 
175.9

 
—

Health Care
 
151.3

 
—

 
151.3

 
—

Industrial
 
135.6

 
—

 
135.6

 
—

Energy
 
82.0

 
—

 
82.0

 
—

Utilities
 
61.5

 
—

 
61.5

 
—

Technology
 
60.0

 
—

 
60.0

 
—

Communications
 
49.2

 
—

 
49.2

 
—

Materials
 
31.2

 
—

 
31.2

 
—

Other
 
—

 
—

 
—

 
—

Total debt securities issued by corporations:
 
1,000.0

 
—

 
1,000.0

 
—

 
 
 
 
 
 
 
 
 
Mortgage-backed and asset-backed securities
 
1,167.0

 
—

 
1,167.0

 
—

Municipal obligations
 
228.8

 
—

 
228.8

 
—

Foreign government, agency and provincial obligations
 
1.2

 
.6

 
.6

 
—

Preferred stocks
 
82.7

 
—

 
12.7

 
70.0

Total fixed maturity investments
 
2,639.7

 
134.0

 
2,435.7

 
70.0

 
 
 
 
 
 
 
 
 
Short-term investments
 
211.3

 
211.3

 
—

 
—

 
 
 
 
 
 
 
 
 
Common equity securities:
 
 

 
 

 
 

 
 

Exchange traded funds
 
141.8

 
120.5

 
21.3

 
—

Financials
 
694.7

 
694.7

 
—

 
—

Consumer
 
70.0

 
70.0

 
—

 
—

Communications
 
43.7

 
43.7

 
—

 
—

Health Care
 
35.7

 
35.7

 
—

 
—

Technology
 
27.0

 
27.0

 
—

 
—

Industrial
 
26.6

 
26.6

 
—

 
—

Other
 
74.4

 
—

 
74.4

 
—

Total common equity securities
 
1,113.9

 
1,018.2

 
95.7

 
—

Other long-term investments (1)
 
297.3

 
—

 
—

 
297.3

Total investments (1)
 
$
4,262.2

 
$
1,363.5

 
$
2,531.4

 
$
367.3


(1) 
Excludes carrying value of $3.8 associated with other long-term investment limited partnerships accounted for using the equity method. Excludes carrying value of $14.7 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 Inputs
 
Level 2 Inputs
 
Level 3 Inputs
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

 
—

Municipal obligations
 
82.2

 
—

 
82.2

 
—

Foreign government, agency and provincial obligations
 
10.8

 
.6

 
10.2

 
—

Preferred stocks
 
84.2

 
—

 
13.1

 
71.1

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

Other long-term investments (1)
 
309.9

 
—

 
5.7

 
304.2

Total investments (1)
 
$
3,720.4

 
$
926.9

 
$
2,373.4

 
$
420.1


(1) 
Excludes the carrying value of $5.2 associated with other long-term investment limited partnerships accounted for using the equity method and the 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 December 31, 2014 and 2013:
 
 
Fair Value at
 
 
December 31,
Millions
 
2015
 
2014
AA
 
$
95.2

 
$
144.9

A
 
397.7

 
594.9

BBB
 
507.1

 
426.5

Other
 
—

 
5.4

Debt securities issued by corporations(1)
 
$
1,000.0

 
$
1,171.7

(1) 
Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor’s and 2) Moody’s.
Mortgage-backed, asset-backed securities
 
 
December 31, 2015
 
December 31, 2014
Millions
 
Fair Value
 
Level 2
 
Level 3
 
Fair Value
 
Level 2
 
Level 3
Mortgage-backed securities:
 
 

 
 

 
 

 
 

 
 

 
 

Agency:
 
 

 
 

 
 

 
 

 
 

 
 

GNMA
 
$
265.5

 
$
265.5

 
$
—

 
$
308.7

 
$
308.7

 
$
—

FNMA
 
42.2

 
42.2

 
—

 
33.4

 
33.4

 
—

FHLMC
 
22.8

 
22.8

 
—

 
28.9

 
28.9

 
—

Total Agency(1)
 
330.5

 
330.5

 
—

 
371.0

 
371.0

 
—

Non-agency:
 
 

 
 

 
 

 
 

 
 

 
 

Residential
 
133.2

 
133.2

 
—

 
71.0

 
71.0

 
—

Commercial
 
140.4

 
140.4

 
—

 
109.3

 
109.3

 
—

Total Non-agency
 
273.6

 
273.6

 
—

 
180.3

 
180.3

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Total mortgage-backed securities
 
604.1

 
604.1

 
—

 
551.3

 
551.3

 
—

Asset-backed securities:
 
 

 
 
 
 
 
 

 
 
 
 
Credit card receivables
 
217.7

 
217.7

 
—

 
218.1

 
218.1

 
—

Vehicle receivables
 
269.7

 
269.7

 
—

 
152.8

 
152.8

 
—

Other
 
75.5

 
75.5

 
—

 
45.7

 
45.7

 
—

Total asset-backed securities
 
562.9

 
562.9

 
—

 
416.6

 
416.6

 
—

Total mortgage and asset-backed securities
 
$
1,167.0

 
$
1,167.0

 
$
—

 
$
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 RMBS and non-agency CMBS securities as of December 31, 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
 
$
133.2

 
$
17.3

 
$
8.6

 
$
3.9

 
$
—

 
$
3.6

 
$
—

 
$
15.2

 
$
13.5

 
$
9.8

 
$
14.0

 
$
47.3

 
$
—

Non-agency CMBS
 
140.4

 
—

 
—

 
—

 
—

 
—

 
—

 
5.4

 
—

 
18.0

 
17.2

 
55.0

 
$
44.8

Total
 
$
273.6

 
$
17.3

 
$
8.6

 
$
3.9

 
$
—

 
$
3.6

 
$
—

 
$
20.6

 
$
13.5

 
$
27.8

 
$
31.2

 
$
102.3

 
$
44.8
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 December 31, 2015:
Millions
 
Fair Value
 
Super Senior(1)
 
Senior(2)
 
Subordinate(3)
Prime
 
$
133.1

 
$
65.6

 
$
67.5

 
$
—

Non-prime
 
.1

 
—

 
.1

 
—

Sub-prime
 
—

 
—

 
—

 
—

Total
 
$
133.2

 
$
65.6

 
$
67.6

 
$
—

(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 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 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 December 31, 2015:
Millions
 
Fair Value
 
Super Senior(1)
 
Senior(2)
 
Subordinate(3)
Fixed rate CMBS
 
$
101.1

 
$
8.7

 
$
48.6

 
$
43.8

Floating rate CMBS
 
39.3

 
—

 
—

 
39.3

Total
 
$
140.4

 
$
8.7

 
$
48.6

 
$
83.1


(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 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
Other long-term investments
The following table summarizes investments in hedge funds and private equity funds by investment objective and sector as of December 31, 2015 and 2014:
 
 
December 31, 2015
 
December 31, 2014
Millions
 
Fair Value
 
Unfunded
Commitments
 
Fair Value
 
Unfunded
Commitments
Hedge funds
 
 

 
 

 
 

 
 

Long/short equity REIT
 
$
20.6

 
$
—

 
$
20.4

 
$
—

Long/short credit & distressed
 
—

 
—

 
8.4

 
—

Long/short banks and financial
 
12.8

 
—

 
29.9

 
—

Other
 
3.6

 
—

 
15.7

 
—

Total hedge funds
 
37.0

 
—

 
74.4

 
—

 
 
 
 
 
 
 
 
 
Private equity funds
 
 

 
 

 
 

 
 

Energy infrastructure & services
 
20.7

 
3.4

 
33.1


4.8

Manufacturing/Industrial
 
24.9

 
2.5

 
23.2


7.3

Multi-sector
 
14.8

 
2.1

 
14.5


2.2

Aerospace/Defense/Government
 
19.8

 
30.3

 
20.7


5.1

Healthcare
 
3.8

 
.4

 
3.1


1.4

Private equity secondaries
 
4.4

 
2.1

 
5.7


2.1

Insurance
 
2.0

 
41.3

 
2.1


41.3

Real estate
 
.4

 
.1

 
1.7


0.1

Total private equity funds
 
90.8

 
82.2

 
104.1

 
64.3

Total hedge and private equity funds included
   in other long-term investments
 
$
127.8

 
$
82.2

 
$
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 December 31, 2015 fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds:
Redemption frequency
 
Notice Period
Millions
 
30-59 days
notice
 
60-89 days
notice
 
90-119 days
notice
 
120+ days
notice
 
Total
Monthly
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Quarterly
 
13.8

 
—

 
—

 
—

 
13.8

Semi-annual
 
—

 
20.6

 
—

 
—

 
20.6

Annual
 
—

 
—

 
2.6

 
—

 
2.6

Total
 
$
13.8

 
$
20.6

 
$
2.6

 
$
—

 
$
37.0
Fair Value of private equity funds subject to lock-up periods
As of December 31, 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
 
$
24.3

 
$
10.9

 
$
55.6

 
$
—

 
$
90.8
Rollforward of fair value investments by level
The following tables summarize the changes in White Mountains’s fair value measurements by level for the years ended December 31, 2015 and 2014:
 
 
 
 
 
 
Level 3 Investments
 
 
 
Millions
 
Level 1
Investments
 
Level 2
Investments
 
Fixed
maturity investments
 
Common
equity
securities
 
Other long-term
investments
 
Total
 
Balance at January 1, 2015
 
$
550.6

 
$
2,372.9

 
$
76.4

 
$
39.5

 
$
304.2

(1) 
$
3,343.6

(1)(2) 
Total realized and unrealized gains (losses)
 
263.0

 
(13.7
)
 
(1.1
)
 
7.8

 
(29.2
)
 
226.8

(3)(4) 
Amortization/Accretion
 
—

 
(19.6
)
 
—

 
—

 
—

 
(19.6
)
 
Purchases
 
814.5

 
1,436.0

 
35.3

 
—

 
91.3

 
2,377.1

 
Sales
 
(825.7
)
 
(1,286.0
)
 
—

 
(43.7
)
 
(54.7
)
 
(2,210.1
)
 
Symetra transfer
 
394.5

 
—

 
—

 
—

 
—

 
394.5

 
Effect of redemption of Prospector hedge funds
 
(43.5
)
 
—

 
—

 
(3.6
)
 
(14.3
)
 
(61.4
)
 
Transfers in
 
—

 
41.8

 
—

 
—

 
—

 
41.8

  
Transfers out
 
(1.2
)
 
—

 
(40.6
)
 
—

 
—

 
(41.8
)
  
Balance at December 31, 2015
 
$
1,152.2

 
$
2,531.4

 
$
70.0

 
$
—

 
$
297.3

(1) 
$
4,050.9

(1)(2) 
(1) 
Excludes carrying value of $3.8 and $5.2 as of December 31, 2015 and January 1, 2015 associated with other long-term investments accounted for using the equity method.
(2) 
Excludes carrying value of $211.3 and $376.8 as of December 31, 2015 and January 1, 2015 classified as short-term investments.
(3)  
Excludes $0.8 of realized and unrealized losses associated with the Prospector Funds consolidation of investment-related liabilities.
(4)  
Includes unrealized gains of $258.8 associated with the Symetra transfer from investments in unconsolidated affiliates to common equity securities.
 
 
 
 
 
 
Level 3 Investments
 
Millions
 
Level 1
Investments
 
Level 2
Investments
 
Fixed
maturity investments
 
Common
equity
securities
 
Other long-term
investments
 
Total
 
Balance at January 1, 2014
 
$
997.2

 
$
2,575.4

 
$
81.8

 
$
45.4

 
$
189.2

(1) 
$
3,889.0

(1)(2)(3) 
Total realized and unrealized gains
 
50.1

 
8.9

 
1.8

 
6.2

 
16.3

  
83.3

 
Amortization/Accretion
 
.1

 
(18.7
)
 
.1

 
—

 
—

  
(18.5
)
 
Purchases
 
886.9

 
1,805.3

 
39.6

 
5.0

 
131.7

  
2,868.5

 
Sales
 
(1,384.2
)
 
(2,065.9
)
 
—

 
(17.1
)
 
(33.0
)
 
(3,500.2
)
 
Net change in investments related to
   purchases and sales of consolidated
affiliates
 
(2.7
)
 
24.2

 
—

 
—

 
—

 
21.5

 
Exchange
 
3.4

 
(9.3
)
 
5.9

 
—

 
—

 
—

 
Transfers in
 
—

 
53.0

 
—

 
—

 
—

  
53.0

 
Transfers out
 
(.2
)
 
—

 
(52.8
)
 
—

 
—

  
(53.0
)
 
Balance at December 31, 2014
 
$
550.6

 
$
2,372.9

 
$
76.4

 
$
39.5

 
$
304.2

(1) 
$
3,343.6

(1)(2)(3) 
(1) 
Excludes carrying value of $5.2 and $6.8 as of December 31, 2014 and January 1, 2014 associated with other long-term investment limited partnerships accounted for using the equity method.
(2) 
Carrying value includes $236.3 as of January 1, 2014 that is classified as assets held for sale relating to discontinued operations.
(3) 
Excludes carrying value of $376.8 and $310.4 as of December 31, 2014 and January 1, 2014 classified as short-term investments.
(4)  
Excludes $4.0 of realized and unrealized losses associated with the Prospector Funds and Prospector Turtle Fund consolidation of investment-related liabilities.
Schedule of significant unobservable inputs used in estimating the fair value of investment securities
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.

Description
 
December 31, 2015
$ in millions, except share price
 
Rating(2)
 
Valuation Technique(s)
 
Fair 
Value(3)
 
Unobservable Input
Preferred Stock(1)
 
NR
 
Par value(8)
 
$70.0
 
Issuer’s intent to call
-
$70.0
Private equity security(1)
 
NR
 
Share price of most recent transaction
 
$21.0
 
Share price
-
$1.00
Private equity security(1)
 
NR
 
Share price of most recent transaction
 
$33.8
 
Share price
-
$1.03
Convertible preferred security(1)
 
NR
 
Multiple of EBITDA
 
$5.7
 
EBITDA multiple
-
6.00
Convertible preferred security(1)
 
NR
 
Share price of most recent transaction
 
$27.0
 
Share price
-
$3.83
Private equity security(1)
 
NR
 
Option pricing method
 
$9.6
 
 
 

 
 
 
 
 
 
 
 
Time until expiration
-
4 years
 
 
 
 
 
 
Volatility/Standard deviation
-
60.0%
 
 
 
 
 
 
Risk free rate
-
1.15%
Surplus notes(7):
 
NR
 
 
 
 
 
 
    - Seller priority
 
 
 
Discounted cash flow
 
$38.0
 
Discount rate(4)
-
13.0%
 
 
 
 
 
 
Timing of interest payments(6)
-
5 years
 
 
 
 
 
 
Timing of principal payments(6)
-
10 years
    - Pari passu
 
 
 
Discounted cash flow
 
$13.5
 
Discount rate(5)
-
22.4%
 
 
 
 
 
 
Timing of interest payments(6)
-
5 years
 
 
 
 
 
 
Timing of principal payments(6)
-
15 years
(1) As of December 31, 2015 each asset type consists of one security.
(2) Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor’s and 2) Moody’s.
(3) Includes the unrealized gains and losses associated with foreign currency; foreign currency effects based on observable inputs.
(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 seller priority 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 that principal repayments being on a graduated basis in year ten for the seller priority notes and year fifteen for the pari passu note.
(7) The decrease in the fair value of the surplus notes during the twelve months ended December 31, 2015 was primarily due to widening of non-investment grade credit spreads.
(8) Valuation based on the issuer’s intent as of December 31, 2015 to call the security in the near term.


Description
 
December 31, 2014
$ in millions, except share price
 
Rating(2)
 
Valuation
Technique(s)
 
Fair 
Value(7)
 
Unobservable Input
Preferred Stock(1)
 
NR
 
Discounted cash flow
 
$71.1
 
Discount yield
-
7.1%
Private equity security(1)
 
NR
 
Multiple of GAAP book value
 
$39.5
 
Multiple of GAAP book value
-
1.10
Private equity security(1)
 
NR
 
Share price of most recent transaction
 
$20.1
 
Share price
-
$1.06
Convertible preferred security(1)
 
NR
 
Multiple of EBITDA
 
$3.8
 
EBITDA multiple
-
6.00
Convertible preferred security(1)
 
NR
 
Share price of most recent transaction
 
$4.5
 
Share price
-
$0.71
Debt security issued by corporation(1)
 
NR
 
Discounted cash flow
 
$5.3
 
Illiquidity discount(3)
-
10.0%
Private equity security(1)
 
NR
 
Share price of recent transaction
 
$10.4
 
Share price
-
$290.96
Surplus notes:
 
NR
 
 
 
 
 
 
    - Seller priority
 
 
 
Discounted cash flow
 
$44.0
 
Discount rate(4)
-
9.3%
 
 
 
 
 
 
Timing of interest payments(6)
-
5 years
 
 
 
 
 
 
Timing of principal payments(6)
-
10 years
    - Pari passu
 
 
 
Discounted cash flow
 
$21.1
 
Discount rate(5)
-
13.5%
 
 
 
 
 
 
Timing of interest payments(6)
-
5 years
 
 
 
 
 
 
Timing of principal payments(6)
-
15 years
(1) 
As of December 31, 2014 each asset type consists of one security.
(2) 
Credit ratings are assigned based on the following hierarchy: 1) Standard & 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 seller priority 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 that principal repayments being on a graduated basis in year ten for the seller priority notes 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.
Other Investments Not Readily Marketable [Table Text Block]
Other long-term investments consist of the following as of December 31, 2015 and 2014:
 
 
Carrying Value at
Millions
 
December 31, 2015
 
December 31, 2014
Hedge funds and private equity funds, at fair value(1)
 
$
127.8

 
$
178.5

Private equity securities and limited liability companies, at fair value(1)
 
82.1

 
45.3

Surplus notes investments, at fair value(1)
 
51.5

 
65.1

Convertible preferred securities(1)
 
32.7

 
8.3

Tax advantaged federal affordable housing development fund(2)
 
14.7

 
16.8

Partnership investments accounted for under the equity method
 
3.8

 
5.2

Convertible fixed maturity investments(1)
 
—

 
5.6

Other(1)
 
3.2

 
7.1

Total other-long term investments
 
$
315.8

 
$
331.9

(1) See Fair Value Measurements by Level table.
(2) Fund accounted for using the proportional amortization method.