XML 39 R27.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investment Securities (Tables)
 6 Months Ended
Jun. 30, 2017
Investment [Line Items]  
Pre-tax net investment income
Pre-tax net investment income for the three and six months ended June 30, 2017 and 2016 consisted of the following:
 
 
Three Months Ended
 
Six Months Ended
 
 
June 30,
 
June 30,
Millions
 
2017
 
2016
 
2017
 
2016
Investment income:
 
 
 
 
 
 
 
 
Fixed maturity investments
 
$
11.2

 
$
5.7

 
$
23.1

 
$
8.1

Short-term investments
 
.2

 
.5

 
.3

 
.6

Common equity securities
 
3.7

 
.3

 
5.0

 
.5

Other long-term investments
 
.4

 
.1

 
.4

 
.4

Total investment income
 
15.5

 
6.6

 
28.8

 
9.6

Third-party investment expenses
 
(.8
)
 
(.5
)
 
(1.3
)
 
(1.0
)
Net investment income, pre-tax
 
$
14.7

 
$
6.1

 
$
27.5

 
$
8.6
Schedule of Realized and Unrealized Gain (Loss) on Investments
Net realized and unrealized investment gains (losses) for the three and six months ended June 30, 2017 and 2016 consisted of the following:
 
 
Three Months Ended
 
Six Months Ended
 
 
June 30,
 
June 30,
Millions
 
2017
 
2016
 
2017
 
2016
Net realized investment gains, pre-tax
 
$
13.4

 
$
1.6

 
$
14.0

 
$
264.3

Net unrealized investment gains (losses), pre-tax
 
20.3

 
1.8

 
56.0

 
(248.0
)
Net realized and unrealized investment gains, pre-tax
 
33.7

 
3.4

 
70.0

 
16.3

Income tax expense attributable to net realized and
     unrealized investment gains
 
(1.7
)
 
(1.4
)
 
(5.5
)
 
(3.9
)
Net realized and unrealized investment gains, after tax
 
$
32.0

 
$
2.0

 
$
64.5

 
$
12.4
Schedule of unrealized gain (loss) on investments
Net unrealized investment gains (losses) and changes in the carrying value of investments measured at fair value for the three and six months ended June 30, 2017 and 2016 consisted of the following:
 
 
Three Months Ended
 
Three Months Ended
 
 
June 30, 2017
 
June 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 losses
 
Total net unrealized
gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
7.3

 
$
5.8

 
$
13.1

 
$
8.6

 
$
—

 
$
8.6

Common equity securities
 
7.8

 
2.6

 
10.4

 
(5.1
)
 
—

 
(5.1
)
Other long-term investments
 
4.7

 
(7.9
)
 
(3.2
)
 
(1.5
)
 
(.2
)
 
(1.7
)
Net unrealized investment gains (losses), pre-tax
 
19.8

 
.5

 
20.3

 
2.0

 
(.2
)
 
1.8

Income tax benefit (expense)
   attributable to net unrealized
   investment gains (losses)
 
1.0

 
—

 
1.0

 
(1.3
)
 
—

 
(1.3
)
Net unrealized investment
   gains (losses), after tax
 
$
20.8

 
$
.5

 
$
21.3

 
$
.7

 
$
(.2
)
 
$
.5


 
 
Six Months Ended
 
Six Months Ended
 
 
June 30, 2017
 
June 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
 
$
17.5

 
$
7.4

 
$
24.9

 
$
15.3

 
$
—

 
$
15.3

Common equity securities
 
26.9

 
3.1

 
30.0

 
(264.6
)
 
2.4

 
(262.2
)
Other long-term investments
 
11.7

 
(10.6
)
 
1.1

 
(1.3
)
 
.2

 
(1.1
)
Net unrealized investment gains (losses), pre-tax
 
56.1

 
(.1
)
 
56.0

 
(250.6
)
 
2.6

 
(248.0
)
Income tax (expense) benefit
   attributable to net unrealized
   investment gains (losses)
 
(2.6
)
 
—

 
(2.6
)
 
41.0

 
—

 
41.0

Net unrealized investment
   gains (losses), after tax
 
$
53.5

 
$
(.1
)
 
$
53.4

 
$
(209.6
)
 
$
2.6

 
$
(207.0
)
Net unrealized investment gains (losses) for Level 3 investments

Total gains (losses) included in earnings attributable to unrealized investment gains (losses) for Level 3 investments for the three and six months ended June 30, 2017 and 2016 consisted of the following:
 
 
Three Months Ended
 
Six Months Ended
 
 
June 30,
 
June 30,
Millions
 
2017
 
2016
 
2017
 
2016
Fixed maturity investments
 
$
—

 
$
.1

 
$
—

 
$
.1

Other long-term investments
 
(1.7
)
 
.9

 
(1.5
)
 
1.6

Total unrealized investment (losses) gains, pre-tax - Level 3 investments
 
$
(1.7
)
 
$
1.0

 
$
(1.5
)
 
$
1.7
Investment holdings, equity securities, convertible fixed maturities and other long-term investments
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 June 30, 2017 and December 31, 2016 were as follows: 
 
 
June 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
 
$
59.5

 
$
—

 
$
(.3
)
 
$
—

 
$
59.2

Debt securities issued by corporations
 
705.4

 
4.9

 
(1.8
)
 
9.5

 
718.0

Mortgage and asset-backed securities
 
514.7

 
1.2

 
(4.5
)
 
—

 
511.4

Municipal obligations
 
272.6

 
2.6

 
(.8
)
 
—

 
274.4

Foreign government, agency and provincial obligations
 
3.9

 
—

 
—

 
—

 
3.9

   Total fixed maturity investments
 
$
1,556.1

 
$
8.7

 
$
(7.4
)
 
$
9.5

 
$
1,566.9


 
 
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 and other long-term investments as of June 30, 2017 and December 31, 2016 were as follows:
 
 
June 30, 2017
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains (losses)
 
Carrying
value
Common equity securities
 
$
770.8

 
$
57.2

 
$
(3.2
)
 
$
3.1

 
$
827.9

Other long-term investments
 
$
246.6

 
$
10.6

 
$
(16.3
)
 
$
(14.4
)
 
$
226.5

 
 
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 consist of the following as of June 30, 2017 and December 31, 2016:
 
 
Carrying Value at
Millions
 
June 30, 2017
 
December 31, 2016
Hedge funds and private equity funds, at fair value
 
$
148.5

 
$
82.6

Private equity securities and limited liability companies, at fair value (1)(2)
 
58.5

 
57.6

Private convertible preferred securities, at fair value (1)
 
28.3

 
30.6

Forward Contracts
 
(12.5
)
 
(1.2
)
Other
 
3.7

 
3.2

Total other-long term investments
 
$
226.5

 
$
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 June 30, 2017, no funds had been drawn on the surplus note facility.
Other long-term investments
The following table summarizes investments in hedge funds and private equity funds by investment objective and sector as of June 30, 2017 and December 31, 2016:
 
 
June 30, 2017
 
December 31, 2016
Millions
 
Fair Value
 
Unfunded
Commitments
 
Fair Value
 
Unfunded
Commitments
Hedge funds
 
 

 
 

 
 

 
 

Long/short banks and financials
 
$
53.8

 
$
—

 
$
21.5

 
$
—

Long/short equity REIT
 
18.3

 
—

 
19.9

 
—

Total hedge funds
 
72.1

 
—

 
41.4

 
—

 
 
 
 
 
 
 
 
 
Private equity funds
 
 

 
 

 
 

 
 

Manufacturing/Industrial
 
45.2

 
13.1

 
19.4

 
22.9

Aerospace/Defense/Government
 
24.6

 
23.6

 
19.4

 
25.9

Direct lending
 
5.1

 
25.0

 
1.4

 
28.6

Financial Services
 
1.5

 
4.5

 
1.0

 
5.0

Insurance
 
—

 
41.2

 
—

 
41.2

Total private equity funds
 
76.4

 
107.4

 
41.2

 
123.6

Total hedge funds and private equity funds
    included in other long-term investments
 
$
148.5

 
$
107.4

 
$
82.6

 
$
123.6
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 June 30, 2017 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
 
Total
Monthly
 
$
—

 
$
—

 
$
—

Quarterly
 
—

 
—

 
—

Semi-annual
 
53.8

 
18.3

 
72.1

Annual
 
—

 
—

 
—

Total
 
$
53.8

 
$
18.3

 
$
72.1
Fair Value of private equity funds subject to lock-up periods
As of June 30, 2017, 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
 
$3.6
 
$20.9
 
$29.7
 
$22.2
 
$76.4
Fair value measurements by level, investment securities
The following tables summarize White Mountains’s fair value measurements for investments as of June 30, 2017 and December 31, 2016 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 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 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.
 
 
June 30, 2017
Millions
 
Fair Value
 
Level 1
 
Level 2
 
Level 3
Fixed maturity investments:
 
 

 
 

 
 

 
 

U.S. Government and agency obligations
 
$
59.2

 
$
49.7

 
$
9.5

 
$
—

 
 
 
 
 
 
 
 
 
Debt securities issued by corporations:
 
 

 
 
 
 
 
 
Utilities
 
155.1

 
—

 
155.1

 
—

Consumer
 
140.5

 
—

 
140.5

 
—

Health Care
 
106.0

 
—

 
106.0

 
—

Communications
 
84.2

 
—

 
84.2

 
—

Materials
 
79.7

 
—

 
79.7

 
—

Financials
 
61.6

 
—

 
61.6

 
—

Technology
 
51.2

 
—

 
51.2

 
—

Industrial
 
34.6

 
—

 
30.2

 
4.4

Energy
 
5.1

 
—

 
5.1

 
—

Total debt securities issued by corporations
 
718.0

 
—

 
713.6

 
4.4

 
 
 
 
 
 
 
 
 
Mortgage and asset-backed securities
 
511.4

 
—

 
501.7

 
9.7

Municipal obligations
 
274.4

 
—

 
274.4

 
—

Foreign government, agency and provincial obligations
 
3.9

 
—

 
3.9

 
—

Total fixed maturity investments
 
1,566.9

 
49.7

 
1,503.1

 
14.1

 
 
 
 
 
 
 
 
 
Short-term investments(1)
 
71.6

 
55.7

 
15.9

 
—

 
 
 
 
 
 
 
 
 
Common equity securities:
 
 

 
 

 
 

 
 

Exchange traded funds (2)
 
598.5

 
542.9

 
55.6

 
—

Consumer
 
32.7

 
32.7

 
—

 
—

Health Care
 
27.8

 
27.8

 
—

 
—

Industrial
 
18.9

 
18.9

 
—

 
—

Financials
 
18.6

 
18.6

 
—

 
—

Technology
 
14.7

 
14.7

 
—

 
—

Communications
 
13.0

 
13.0

 
—

 
—

Energy
 
7.6

 
7.6

 
—

 
—

Materials
 
4.0

 
4.0

 
—

 
—

Utilities
 
1.1

 
1.1

 
—

 
—

Other
 
91.0

 
—

 
91.0

 
—

Total common equity securities
 
827.9

 
681.3

 
146.6

 
—

 
 
 
 
 
 
 
 
 
Other long-term investments (3)(4) 
 
90.5

 
—

 
—

 
90.5

Total investments
 
$
2,556.9

 
$
786.7

 
$
1,665.6

 
$
104.6

(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) Excludes carrying value of $(12.5) related to foreign currency forward contracts.
(4) Excludes carrying value of $148.5 associated with hedge funds and private equity 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
 
79.9

 
—

 
79.9

 
—

Total common equity securities
 
285.6

 
177.9

 
107.7

 
—

 
 
 
 
 
 
 
 
 
Other long-term investments (4)(5)
 
91.4

 
—

 
—

 
91.4

Total investments(1)
 
$
2,639.7

 
$
441.7

 
$
2,106.6

 
$
91.4

(1) Includes carrying 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 are measured at amortized cost, which approximates fair value.
(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.
(4) Excludes carrying value of $(1.2) related to foreign currency forward contracts.
(5) Excludes carrying value of $82.6 associated with hedge funds and private equity funds for which fair value is measured at NAV using the practical expedient.
Debt securities issued by corporations, credit ratings
The following table summarizes the ratings of debt securities issued by corporations held in White Mountains’s investment portfolio as of June 30, 2017 and December 31, 2016:
 
 
Fair Value at
Millions
 
June 30, 2017
 
December 31, 2016
AA
 
$
19.0

 
$
37.3

A
 
170.8

 
212.8

BBB
 
300.6

 
335.6

BB
 
210.1

 
143.2

B
 
17.5

 
17.4

Debt securities issued by corporations(1)
 
$
718.0

 
$
746.3

(1) Credit ratings are assigned based on the following hierarchy: (1) Standard & Poor’s Financial Services LLC ("Standard & Poor's") and (2) Moody's Investor Service, Inc. ("Moody’s").
Mortgage-backed, asset-backed securities
The following table summarizes the carrying value of White Mountains’s mortgage and asset-backed securities as of June 30, 2017 and December 31, 2016:
 
 
June 30, 2017
 
December 31, 2016
Millions
 
Fair Value
 
Level 2
 
Level 3
 
Fair Value
 
Level 2
 
Level 3
Mortgage-backed securities:
 
 

 
 

 
 

 
 

 
 

 
 

Agency:
 
 

 
 

 
 

 
 

 
 

 
 

GNMA
 
$
71.1

 
$
71.1

 
$
—

 
$
70.3

 
$
70.3

 
$
—

FNMA
 
161.1

 
161.1

 
—

 
235.5

 
235.5

 
—

FHLMC
 
74.5

 
74.5

 
—

 
59.5

 
59.5

 
—

Total Agency(1)
 
306.7

 
306.7

 
—

 
365.3

 
365.3

 
—

Non-agency:
 
 

 
 

 
 

 
 

 
 

 
 

Residential
 
92.6

 
84.9

 
7.7

 
70.3

 
70.3

 
—

Commercial
 
10.4

 
8.4

 
2.0

 
3.9

 
3.9

 
—

Total Non-agency
 
103.0

 
93.3

 
9.7

 
74.2

 
74.2

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Total mortgage-backed securities
 
409.7

 
400.0

 
9.7

 
439.5

 
439.5

 
—

Other asset-backed securities:
 
 

 
 
 
 
 
 

 
 
 
 
Credit card receivables
 
41.8

 
41.8

 
—

 
214.2

 
214.2

 
—

Vehicle receivables
 
35.4

 
35.4

 
—

 
205.9

 
205.9

 
—

Other
 
24.5

 
24.5

 
—

 
120.2

 
120.2

 
—

Total other asset-backed securities
 
101.7

 
101.7

 
—

 
540.3

 
540.3

 
—

Total mortgage and asset-backed securities
 
$
511.4

 
$
501.7

 
$
9.7

 
$
979.8

 
$
979.8

 
$
—

(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 June 30, 2017 are as follows:
 
 
 
 
 
 
Security Issuance Year
 
 
 
 
 
 
Millions
 
Fair Value
 
2004
 
 
2013
 
2014
 
2015
 
2016
 
2017
Non-agency
   RMBS
 
$
92.6

 
$
.3

 
 
$
1.3

 
$
21.4

 
$
51.3

 
$
2.3

 
$
16.0

Non-agency
   CMBS
 
10.4

 
—

 
 
—

 
—

 
—

 
3.8

 
6.6

Total
 
$
103.0

 
$
.3

 
 
$
1.3

 
$
21.4

 
$
51.3

 
$
6.1

 
$
22.6
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 June 30, 2017:
Millions
 
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Prime
 
$
92.6

 
$
69.7

 
$
22.9

 
$
—

Non-prime
 
—

 
—

 
—

 
—

Sub-prime
 
—

 
—

 
—

 
—

Total
 
$
92.6

 
$
69.7

 
$
22.9

 
$
—

(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 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 June 30, 2017:
Millions
 
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Fixed rate CMBS
 
$
7.8

 
$
—

 
$
6.2

 
$
1.6

Floating rate CMBS
 
2.6

 
—

 
—

 
2.6

Total
 
$
10.4

 
$
—

 
$
6.2

 
$
4.2

(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. 
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 June 30, 2017 and 2016:
 
 
 
Level 3 Investments
 
Millions
Level 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)
30.4

39.0

.1

(1.5
)
15.0

 
83.0

 
Amortization/Accretion
—

(4.7
)
—

—

—

 
(4.7
)
 
Purchases
665.0

770.7

25.6

2.6

52.5

 
1,516.4

 
Sales
(243.9
)
(1,255.0
)
(.5
)
(2.0
)
(1.6
)
 
(1,503.0
)
 
Deconsolidation of SSIE
—

(5.2
)
—

—

—

 
(5.2
)
 
Transfers in
—

11.1

—

—

—

 
11.1

  
Transfers out
—

—

(11.1
)
—

—

 
(11.1
)
  
Balance at June 30, 2017
$
731.0

$
1,649.7

$
14.1

$
90.5

$
148.5

 
$
2,633.8

(1)(2) 
(1)  Excludes carrying value of $(1.2) and $(12.5) as of January 1, 2017 and June 30, 2017 associated with foreign currency forward contracts.
(2)  Excludes carrying value of $175.0 and $71.6 at January 1, 2017 and June 30, 2017 associated with short-term investments, of which $0.1 is classified as held for sale at January 1, 2017.
(3) 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”.
(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
 
 
 
Millions
Level 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 gains (losses)
3.6

13.7

.1

1.6

(2.7
)
16.3

 
Amortization/Accretion
.1

(2.1
)
—

—

—

(2.0
)
 
Purchases
1,312.9

1,668.7

67.9

2.0

15.2

3,066.7

 
Sales
(1,809.9
)
(207.0
)
—

—

(3.0
)
(2,019.9
)
 
Transfers in
—

—

—

—

—

—

 
Transfers out
—

—

—

—

—

—

 
Balance at June 30, 2016
$
295.7

$
2,058.9

$
68.0

$
107.2

$
74.8

$
2,604.6

(1)(3) 

(1) Excludes carrying value of $142.0 and $307.3 at January 1, 2016 and June 30, 2016 associated with short-term investments of which $0.1 and $0.3 is classified as held for sale at January 1, 2016 and June 30, 2016.
(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 $9.2 of fixed maturity investments at January 1, 2016 and June 30, 2016 that is classified as assets held for sale related to SSIE.
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, other than hedge funds and private equity funds, classified within Level 3 as of June 30, 2017 and December 31, 2016. The fair value of investments in hedge funds and private equity funds are generally estimated using the NAV of the funds.

Description
 
June 30, 2017
$ in millions, except share price
 
Rating(2)
 
Valuation Technique(s)
 
Fair 
Value(1)
 
Unobservable Input
Non-agency commercial mortgage-
   backed securities
 
A-
 
Broker pricing
 
$2.0
 
Broker quote
 
100.03
Non-agency residential mortgage-
   backed securities
 
AAA
 
Broker pricing
 
$7.7
 
Broker quote
 
102.03
Debt securities issued
   by corporations
 
BBB
 
Broker pricing
 
$4.4
 
Broker quote
 
127.46
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
 
$3.4
 
Share price
-
$2.52
Private convertible preferred security
 
NR
 
Multiple of EBITDA
 
$1.3
 
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
 
$10.0
 
Discount rate
-
21.0%
 
 
 
 
 
 
 
 
Time until expiration
-
4 years
 
 
 
 
 
 
Volatility/Standard deviation
-
50.0%
 
 
 
 
 
 
Risk free rate
-
1.00%
(1) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs.
(2) Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's and 2) Moody’s.

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%

(1) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs.
Fixed maturity investments  
Investment [Line Items]  
Schedule of unrealized gain (loss) on investments
Net realized investment gains (losses) for the three and six months ended June 30, 2017 and 2016 consisted of the following:
 
 
Three Months Ended
 
Three Months Ended
 
 
June 30, 2017
 
June 30, 2016
Millions
 
Net
realized 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
 
$
.1

 
$
1.3

 
$
1.4

 
$
1.4

 
$
—

 
$
1.4

Short-term investments
 
—

 
—

 
—

 
.1

 
—

 
.1

Common equity securities
 
12.8

 
.5

 
13.3

 
.1

 
—

 
.1

Other long-term investments
 
.4

 
(1.7
)
 
(1.3
)
 
—

 
—

 
—

Net realized investment gains, pre-tax
 
13.3

 
.1

 
13.4

 
1.6

 
—

 
1.6

Income tax expense attributable to
   net realized investment gains
 
(2.7
)
 
—

 
(2.7
)
 
(.1
)
 
—

 
(.1
)
Net realized investment
   gains, after tax
 
$
10.6

 
$
.1

 
$
10.7

 
$
1.5

 
$
—

 
$
1.5

 
 
Six Months Ended
 
Six Months Ended
 
 
June 30, 2017
 
June 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
 
$
(1.0
)
 
$
1.4

 
$
.4

 
$
1.7

 
$
—

 
$
1.7

Short-term investments
 
—

 
—

 
—

 
.2

 
—

 
.2

Common equity securities
 
13.6

 
.6

 
14.2

 
262.4

 
—

 
262.4

Other long-term investments
 
1.1

 
(1.7
)
 
(.6
)
 
—

 
—

 
—

Net realized investment gains, pre-tax
 
13.7

 
.3

 
14.0

 
264.3

 
—

 
264.3

Income tax expense attributable to
   net realized investment gains
 
(2.9
)
 
—

 
(2.9
)
 
(44.9
)
 
—

 
(44.9
)
Net realized investment
   gains, after tax
 
$
10.8

 
$
.3

 
$
11.1

 
$
219.4

 
$
—

 
$
219.4