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Investment Securities (Tables)
 12 Months Ended
Dec. 31, 2017
Investments, Debt and Equity Securities [Abstract]  
Pre-tax net investment income
The following table presents pre-tax net investment income for 2017, 2016 and 2015:
 
 
Year Ended December 31,
Millions
 
2017
 
2016
 
2015
Investment income:
 
 
 
 
 
 
Fixed maturity investments
 
$
44.9

 
$
28.5

 
$
8.9

Short-term investments
 
1.8

 
.9

 
—

Common equity securities
 
10.6

 
4.0

 
4.0

Other long-term investments
 
1.2

 
1.1

 
2.4

Total investment income
 
58.5

 
34.5

 
15.3

Third-party investment expenses
 
(2.5
)
 
(2.4
)
 
(4.4
)
Net investment income, pre-tax
 
$
56.0


$
32.1


$
10.9
Net Realized and Unrealized Investment Gains and Losses
The following table presents net realized and unrealized investment gains (losses) for 2017, 2016, and 2015:
 
 
Year Ended December 31,
Millions
 
2017
 
2016
 
2015
Net realized investment gains, pre-tax
 
$
24.1

 
$
270.0

 
$
30.0

Net unrealized investment gains (losses), pre-tax
 
109.2

 
(297.4
)
 
230.5

Net realized and unrealized investment gains (losses), pre-tax
 
133.3


(27.4
)

260.5

Income tax (expense) benefit attributable to net realized and
   unrealized investment gains (losses)
 
(12.9
)
 
2.7

 
(47.7
)
Net realized and unrealized investment gains (losses), after-tax
 
$
120.4

 
$
(24.7
)
 
$
212.8
Realized Gain (Loss) on Investments
The following tables present net realized investment gains (losses) for 2017, 2016 and 2015:
 
 
Year Ended December 31, 2017
Millions
 
Net realized (losses) gains
 
Net foreign
exchange gains (losses)
 
Total net realized gains (losses) reflected in earnings
Fixed maturity investments
 
$
(1.6
)
 
$
4.1

 
$
2.5

Short-term investments
 
(.3
)
 
—

 
(.3
)
Common equity securities
 
18.1

 
6.0

 
24.1

Other long-term investments
 
19.1

 
(21.3
)
 
(2.2
)
Net realized investment gains (losses), pre-tax
 
35.3

 
(11.2
)
 
24.1

Income tax expense attributable to net realized
   investment gains (losses)
 
(8.9
)
 
—

 
(8.9
)
Net realized investment gains (losses), after-tax
 
$
26.4

 
$
(11.2
)
 
$
15.2

 
 
Year Ended December 31, 2016
Millions
 
Net realized (losses) gains
 
Net foreign
exchange gains
 
Total net realized (losses)
gains reflected in earnings
Fixed maturity investments
 
$
(1.9
)
 
$
.3

 
$
(1.6
)
Short-term investments
 
.4

 
—

 
.4

Common equity securities
 
268.5

 
—

 
268.5

Other long-term investments
 
2.7

 
—

 
2.7

Net realized investment gains, pre-tax
 
269.7

 
.3

 
270.0

Income tax expense attributable to net realized investment gains
 
(45.6
)
 
—

 
(45.6
)
Net realized investment gains, after-tax
 
$
224.1

 
$
.3

 
$
224.4

 
 
Year Ended December 31, 2015
Millions
 
Net realized (losses) gains
 
Net foreign
exchange gains
 
Total net realized (losses)
gains reflected in earnings
Fixed maturity investments
 
$
(.2
)
 
$
—

 
$
(.2
)
Common equity securities
 
31.0

 
—

 
31.0

Other long-term investments
 
(.8
)
 
—

 
(.8
)
Net realized investment gains, pre-tax
 
30.0

 
—

 
30.0

Income tax expense attributable to net realized investment gains
 
(6.4
)
 
—

 
(6.4
)
Net realized investment gains, after-tax
 
$
23.6

 
$
—

 
$
23.6
Unrealized Gain (Loss) on Investments
The following tables present net unrealized investment gains (losses) and changes in the carrying value of investments measured at fair value for the years ended 2017, 2016 and 2015:
 
 
Year Ended December 31, 2017
Millions
 
Net
unrealized gains (losses)
 
Net foreign
exchange
gains (losses)
 
Total net unrealized gains (losses) reflected in earnings
Fixed maturity investments
 
$
13.8

 
$
12.7

 
$
26.5

Common equity securities
 
99.3

 
—

 
99.3

Other long-term investments
 
(15.6
)
 
(1.0
)
 
(16.6
)
Net unrealized investment gains, pre-tax
 
97.5

 
11.7

 
109.2

Income tax expense attributable to net unrealized investment gains
 
(4.0
)
 
—

 
(4.0
)
Net unrealized investment gains, after-tax
 
$
93.5

 
$
11.7

 
$
105.2

 
 
Year Ended December 31, 2016
Millions
 
Net
unrealized
losses
 
Net foreign
exchange gains (losses)
 
Total net unrealized
losses reflected in
earnings
Fixed maturity investments
 
$
(14.6
)
 
$
2.1

 
$
(12.5
)
Common equity securities
 
(257.4
)
 
(3.3
)
 
(260.7
)
Other long-term investments
 
(22.7
)
 
(1.5
)
 
(24.2
)
Net unrealized investment losses, pre-tax
 
(294.7
)
 
(2.7
)
 
(297.4
)
Income tax benefit attributable to net unrealized investment losses
 
48.3

 
—

 
48.3

Net unrealized investment losses, after-tax
 
$
(246.4
)
 
$
(2.7
)
 
$
(249.1
)
 
 
Year Ended December 31, 2015
Millions
 
Net
unrealized
gains (losses)
 
Net foreign
exchange losses
 
Total net unrealized
gains (losses) reflected in
earnings
Fixed maturity investments
 
$
.1

 
$
—

 
$
.1

Common equity securities
 
240.8

 
(3.9
)
 
236.9

Other long-term investments
 
(5.4
)
 
(1.1
)
 
(6.5
)
Net unrealized investment gains (losses), pre-tax
 
235.5

 
(5.0
)
 
230.5

Income tax expense attributable to net unrealized
   investment gains
 
(41.3
)
 
—

 
(41.3
)
Net unrealized investment gains (losses), after-tax
 
$
194.2

 
$
(5.0
)
 
$
189.2
Net unrealized investment gains (losses) for Level 3 investments
The following table presents total gains (losses) included in earnings attributable to unrealized investment gains (losses) for Level 3 investments for the years ended December 31, 2017, 2016 and 2015:
 
 
Year Ended December 31,
Millions
 
2017
 
2016
 
2015
Fixed maturity investments
 
$
—

 
$
.1

 
$
—

Common equity securities
 
—

 
—

 
(9.0
)
Other long-term investments
 
(15.4
)
 
(14.3
)
 
0.9

Total net unrealized investment losses, pre-tax - Level 3 investments
 
$
(15.4
)
 
$
(14.2
)
 
$
(8.1
)
Net realized and unrealized investment gains, after-tax, as recorded on the statements of operations and comprehensive income (losses)
The following table presents 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:
 
 
Year Ended December 31,
Millions
 
2017
 
2016
 
2015
Net change in pre-tax unrealized investment losses on investments in
   unconsolidated affiliates
 
$
—

 
$
—

 
$
(39.2
)
Income tax benefit
 
—

 
—

 
2.9

Net change in unrealized investment losses on investments in
   unconsolidated affiliates, after-tax
 
—

 
—

 
(36.3
)
Reversal of accumulated other comprehensive income related to change in
     accounting for the investment in Symetra
 
—

 
—

 
1.4

Total investment losses through accumulated other
   comprehensive income
 
—

 
—

 
(34.9
)
Net realized and unrealized investment gains (losses), after-tax
 
120.4

 
(24.7
)
 
212.8

Total investment gains (losses) recorded during the period, after-tax
 
$
120.4

 
$
(24.7
)
 
$
177.9
Investment holdings, fixed maturity investments
The following tables present the cost or amortized cost, gross unrealized investment gains (losses), net foreign currency gains, and carrying values of White Mountains’s fixed maturity investments as of December 31, 2017 and 2016.
 
 
December 31, 2017
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains
 
Carrying
value
U.S. Government and agency obligations
 
$
297.8

 
$
—

 
$
(1.3
)
 
$
—

 
$
296.5

Debt securities issued by corporations
 
867.6

 
2.9

 
(4.3
)
 
14.7

 
880.9

Mortgage and asset-backed securities
 
697.2

 
1.6

 
(4.1
)
 
—

 
694.7

Municipal obligations
 
252.0

 
3.7

 
(.8
)
 
—

 
254.9

Foreign government, agency and provincial
   obligations
 
2.6

 
—

 
—

 
.1

 
2.7

     Total fixed maturity investments
 
$
2,117.2

 
$
8.2

 
$
(10.5
)
 
$
14.8

 
$
2,129.7


 
 
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
Schedule of contractual maturities of fixed maturities
The following table presents the cost or amortized cost and carrying value of White Mountains’s fixed maturity investments by contractual maturity as of December 31, 2017. 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, 2017
Millions
 
Cost or amortized cost
 
Carrying value
Due in one year or less
 
$
109.0

 
$
108.8

Due after one year through five years
 
663.0

 
660.9

Due after five years through ten years
 
464.9

 
472.0

Due after ten years
 
183.1

 
193.3

Mortgage and asset-backed securities
 
697.2

 
694.7

Total
 
$
2,117.2

 
$
2,129.7
Investment holdings, equity securities, convertible fixed maturities and other long-term investments
The following tables present the cost or amortized cost, gross unrealized investment gains (losses), net foreign currency losses, and carrying values of White Mountains’s common equity securities and other long-term investments as of December 31, 2017 and 2016:
 
 
December 31, 2017
Millions
 
Cost or
amortized cost
 
Gross unrealized
gains
 
Gross unrealized
losses
 
Net foreign
currency losses
 
Carrying
value
Common equity securities
 
$
739.7

 
$
129.4

 
$
(3.0
)
 
$
—

 
$
866.1

Other long-term investments
 
$
246.6

 
$
6.8

 
$
(39.7
)
 
$
(4.9
)
 
$
208.8

 
 
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
Fair value measurements by level, investment securities
The following tables present White Mountains’s fair value measurements for investments as of December 31, 2017 and 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 See Note 7 — “Derivatives — Variable Annuity Reinsurance”.
 
 
December 31, 2017
Millions
 
Fair Value
 
Level 1
 
Level 2
 
Level 3
Fixed maturity investments:
 
 
 
 
 
 
 
 
U.S. Government and agency obligations
 
$
296.5

 
$
296.5

 
$
—

 
$
—

Debt securities issued by corporations:
 
 

 
 
 
 
 
 
Consumer
 
185.1

 
—

 
185.1

 
—

Communications
 
127.8

 
—

 
127.8

 
—

Financials
 
114.8

 
—

 
114.8

 
 
Utilities
 
108.9

 
—

 
108.9

 
—

Materials
 
95.5

 
—

 
95.5

 
—

Health Care
 
94.3

 
—

 
94.3

 
—

Technology
 
80.5

 
—

 
80.5

 
—

Energy
 
48.1

 
—

 
48.1

 
—

Industrial
 
25.9

 
—

 
25.9

 
—

Total debt securities issued by corporations:
 
880.9

 
—

 
880.9

 
—

 
 
 
 
 
 
 
 
 
Mortgage and asset-backed securities
 
694.7

 
—

 
694.7

 
—

Municipal obligations
 
254.9

 
—

 
254.9

 
—

Foreign government, agency and provincial obligations
 
2.7

 
—

 
2.7

 
—

Total fixed maturity investments
 
2,129.7

 
296.5

 
1,833.2

 
—

 
 
 
 
 
 
 
 
 
Short-term investments (1)
 
176.1

 
151.0

 
25.1

 
—

 
 
 
 
 
 
 
 
 
Common equity securities:
 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
Exchange traded funds (2)
 
569.7

 
508.1

 
61.6

 
—

Health Care
 
17.1

 
17.1

 
—

 
—

Financials
 
16.3

 
16.3

 
—

 
—

Technology
 
15.1

 
15.1

 
—

 
—

Industrial
 
11.9

 
11.9

 
—

 
—

Communications
 
10.9

 
10.9

 
—

 
—

Consumer
 
10.7

 
10.7

 
—

 
—

Energy

3.8

 
3.8

 
—

 
—

Other (3)
 
210.6

 
—

 
210.6

 
—

Total common equity securities
 
866.1

 
593.9

 
272.2

 
—

Other long-term investments (4)(5)
 
87.2

 
—

 
—

 
87.2

Total investments
 
$
3,259.1

 
$
1,041.4

 
$
2,130.5

 
$
87.2


(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) Consists of two investments in unit trusts that primarily invest in international equities
(4) Excludes carrying value of $(3.7) related to foreign currency forward contracts.
(5) Excludes carrying value of $125.3 associated with a hedge fund 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 (4)
 
79.9

 
—

 
79.9

 
—

Total common equity securities
 
285.6

 
177.9

 
107.7

 
—

Other long-term investments (5)(6)
 
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) Consists of an investment in a unit trust that primarily invests in international equities.
(5) Excludes carrying value of $(1.2) related to foreign currency forward contracts.
(6) 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 presents the ratings of debt securities issued by corporations held in White Mountains’s investment portfolio as of December 31, 2017 and 2016:
 
 
Fair Value at December 31,
Millions
 
2017
 
2016
AAA
 
$
1.6

 
$
—

AA
 
42.6

 
37.3

A
 
192.5

 
212.8

BBB
 
465.2

 
335.6

BB
 
161.7

 
143.2

B
 
17.3

 
17.4

Debt securities issued by corporations (1)(2)
 
$
880.9

 
$
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”).
(2) Includes carrying value of $4.2 of fixed maturity investments at December 31, 2016 that is classified as assets held for sale related to SSIE.
Mortgage-backed, asset-backed securities
The following table presents the carrying value of White Mountains’s mortgage and asset-backed securities as of December 31, 2017 and 2016:
 
 
December 31, 2017
 
December 31, 2016
Millions
 
Fair Value
 
Level 2
 
Level 3
 
Fair Value
 
Level 2
 
Level 3
Mortgage-backed securities:
 
 

 
 

 
 

 
 

 
 

 
 

Agency:
 
 

 
 

 
 

 
 

 
 

 
 

GNMA
 
$
46.3

 
$
46.3

 
$
—

 
$
70.3

 
$
70.3

 
$
—

FNMA
 
84.5

 
84.5

 
—

 
235.5

 
235.5

 
—

FHLMC
 
62.0

 
62.0

 
—

 
59.5

 
59.5

 
—

Total Agency (1)
 
192.8

 
192.8

 
—

 
365.3

 
365.3

 
—

Non-agency:
 
 

 
 

 
 

 
 

 
 

 
 

Residential
 
—

 
—

 
—

 
70.3

 
70.3

 
—

Commercial
 
70.5

 
70.5

 
—

 
3.9

 
3.9

 
—

Total Non-agency
 
70.5

 
70.5

 
—

 
74.2

 
74.2

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Total mortgage-backed securities
 
263.3

 
263.3

 
—

 
439.5

 
439.5

 
—

Other asset-backed securities:
 
 

 
 
 
 
 
 

 
 
 
 
Credit card receivables
 
206.0

 
206.0

 
—

 
214.2

 
214.2

 
—

Vehicle receivables
 
142.4

 
142.4

 
—

 
205.9

 
205.9

 
—

Other
 
83.0

 
83.0

 
—

 
120.2

 
120.2

 
—

Total other asset-backed securities
 
431.4

 
431.4

 
—

 
540.3

 
540.3

 
—

Total mortgage and asset-backed securities
 
$
694.7

 
$
694.7

 
$
—

 
$
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).
Non-agency commercial mortgage securities, type of interest rate and tranche levels
The following table presents the amount of fixed and floating rate securities and their tranche levels of White Mountains’s non-agency CMBS securities as of December 31, 2017:
Millions
 
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Fixed rate CMBS
 
$
35.1

 
$
—

 
$
27.5

 
$
7.6

Floating rate CMBS
 
35.4

 
—

 
—

 
35.4

Total
 
$
70.5

 
$
—

 
$
27.5

 
$
43.0


(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 backed mortgage securities
The following table presents the security issuance years of White Mountains’s investments in non-agency CMBS as of December 31, 2017:
 
 
 
 
Security Issuance Year
Millions
 
Fair Value
 
2017
 
2016
Non-agency CMBS
 
$
70.5

 
$
67.0

 
$
3.5
Other Investments Not Readily Marketable
The following table presents the carrying values of White Mountains’s other long-term investments as of December 31, 2017 and 2016:
 
 
Carrying Value at December 31,
Millions
 
2017
 
2016
Hedge funds and private equity funds, at fair value
 
$
125.3

 
$
82.6

Private equity securities, at fair value (1)(2)(3)
 
83.2

 
88.2

Foreign currency forward contracts
 
(3.7
)
 
(1.2
)
Other
 
4.0

 
3.2

Total other long-term investments
 
$
208.8

 
$
172.8

(1) See Fair Value Measurements by Level table.
(2) Includes non-controlling interests in common equity securities, limited liability companies and private convertible preferred securities.
(3) White Mountains holds a 20% ownership interest in OneTitle Holdings LLC (“OneTitle”) and has provided a $10.0 million surplus note facility under which OneTitle’s wholly-owned insurance subsidiary, OneTitle National Guaranty Company, Inc. may draw funds under certain circumstances. At December 31, 2017, no funds had been drawn on the surplus note facility.
Other long-term investments
The following table presents investments in hedge funds and private equity funds by investment objective and sector as of December 31, 2017 and 2016:
 
 
December 31, 2017
 
December 31, 2016
Millions
 
Fair Value
 
Unfunded
Commitments
 
Fair Value
 
Unfunded
Commitments
Hedge funds
 
 

 
 

 
 

 
 

Long/short banks and financial
 
$
54.9

 
$
—

 
$
21.5

 
$
—

Long/short equity REIT
 
—

 
—

 
19.9

 
—

Total hedge funds
 
54.9

 
—

 
41.4

 
—

 
 
 
 
 
 
 
 
 
Private equity funds
 
 

 
 

 
 

 
 

Manufacturing/Industrial
 
43.3

 
10.4

 
19.4

 
22.9

Aerospace/Defense/Government
 
15.8

 
12.9

 
19.4

 
25.9

Direct lending
 
7.1

 
23.1

 
1.4

 
28.6

Financial Services
 
4.2

 
11.7

 
1.0

 
5.0

Insurance
 
—

 
41.2

 
—

 
41.2

Total private equity funds
 
70.4

 
99.3

 
41.2

 
123.6

Total hedge and private equity funds
   included in other long-term investments
 
$
125.3

 
$
99.3

 
$
82.6

 
$
123.6
Fair Value of private equity funds subject to lock-up periods
The following table presents investments in private equity funds that were subject to lock-up periods as of December 31, 2017:
Millions
 
1 – 3 years
 
3 – 5 years
 
5 – 10 years
 
>10 years
 
Total
Private Equity Funds — expected lock-up period remaining
 
$
4.7

 
$
5.6

 
$
32.9

 
$
27.2

 
$
70.4
Rollforward of fair value investments by level
The following tables present the changes in White Mountains’s fair value measurements by level for the years ended December 31, 2017 and 2016:
 
 
 
 
 
 
Level 3 Investments
 
Hedge Funds and Private Equity Funds measured at NAV (3)
 
 
 
Millions
 
Level 1
Investments
 
Level 2
Investments
 
Fixed
maturity investments
 
Other long-term
investments
 
 
Total
 
Balance at January 1, 2017
 
$
279.5

 
$
2,093.8

 
$
—

 
$
91.4

 
$
82.6

 
$
2,547.3

(1)(2)(5) 
Net realized and unrealized
   gains (losses)
 
82.7

 
69.6

 
—

 
(15.3
)
 
20.4

 
157.4

(4) 
Amortization/Accretion
 
—

 
(9.1
)
 
—

 
—

 
—

 
(9.1
)
 
Purchases
 
1,209.3

 
2,007.9

 
31.2

 
13.1

 
71.0

 
3,332.5

 
Sales
 
(681.1
)
 
(2,070.3
)
 
(12.5
)
 
(2.0
)
 
(48.7
)
 
(2,814.6
)
 
Deconsolidation of SSIE
 
—

 
(5.2
)
 
—

 
—

 
—

 
(5.2
)
 
Transfers in
 
—

 
18.7

 
—

 
—

 
—

 
18.7

  
Transfers out
 
—

 
—

 
(18.7
)
 
—

 
—

 
(18.7
)
  
Balance at December 31, 2017
 
$
890.4

 
$
2,105.4

 
$
—

 
$
87.2

 
$
125.3

 
$
3,208.3

(1)(2) 
(1) 
Excludes carrying value of $(3.7) and $(1.2) as of December 31, 2017 and January 1, 2017 associated with foreign currency forward contracts.
(2) 
Excludes carrying value of $176.1 and $175.0 as of December 31, 2017 and January 1, 2017 classified as 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) Excludes realized and unrealized losses associated with foreign currency forward contracts and short-term investments of $23.8 and $0.3 for the year ended December 31, 2017.
(5)  
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
 
Hedge Funds and Private Equity Funds measured at NAV (3)
 
 
Millions
 
Level 1
Investments
 
Level 2
Investments
 
Fixed
maturity investments
 
Other long-term
investments
 
Total
 
Balance at January 1, 2016
 
$
789.0

 
$
585.6

 
$
—

 
$
103.6

 
$
65.3

$
1,543.5

(1)(2) 
Net realized and unrealized
   gains (losses)
 
2.0

 
(8.0
)
 
.1

 
(14.3
)
 
(6.0
)
(26.2
)
(4) 
Amortization/Accretion
 
.1

 
(6.2
)
 
—

 
—

 
—

(6.1
)
 
Purchases
 
1,746.9

 
2,868.8

 
69.9

 
2.2

 
40.5

4,728.3

 
Sales
 
(2,258.5
)
 
(1,416.4
)
 
—

 
(.1
)
 
(17.2
)
(3,692.2
)
 
Transfers in
 
—

 
70.0

 
—

 
—

 
—

70.0

 
Transfers out
 
—

 
—

 
(70.0
)
 
—

 
—

(70.0
)
 
Balance at December 31, 2016
 
$
279.5

 
$
2,093.8

 
$
—

 
$
91.4

 
$
82.6

$
2,547.3

(1)(2)(5) 

(1) 
Excludes carrying value of $175.0 and $142.0 as of December 31, 2016 and January 1, 2016 classified as short-term investments of which $0.1 and $0.1 is classified as held for sale at December 31, 2016 and January 1, 2016.
(2) Includes carrying value of $9.5 and $6.6 of fixed maturity investments at January 1, 2016 and December 31, 2016 that is classified as assets held for sale related to SSIE.
(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) Excludes realized and unrealized losses associated with foreign currency forward contracts of $1.2 for the year ended December 31, 2016.
(5) 
Excludes carrying value of $(1.2) as of December 31, 2016 associated with foreign currency forward contracts.
Schedule of significant unobservable inputs used in estimating the fair value of investment securities
The following tables present 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 December 31, 2017 and 2016. The fair value of investments in hedge funds and private equity funds are generally estimated using the NAV of the funds.

$ in millions, except share price
 
December 31, 2017
Description
 
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
 
Implied share price
-
$.68
Private equity security
 
Share price of most recent transaction
 
$3.6
 
Share price
-
$2.52
Private convertible preferred security
 
Multiple of EBITDA
 
$0.6
 
EBITDA multiple
-
6.00
Private convertible preferred security
 
Discounted cash flow
 
$14.5
 
Implied share price
-
$2.06
Private equity security
 
Discounted cash flow/
Option pricing method
 
$11.3
 
Discount rate
 
21.0%
 
 
 
 
 
 
Time until expiration
-
4 years
 
 
 
 
Volatility/Standard deviation
-
50.0%
 
 
 
 
Risk free rate
-
1.77%
(1) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs.
$ in millions, except share price
 
December 31, 2016
Description
 
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
 
Implied share price
-
$.68
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.