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Investment Securities (Tables)
 3 Months Ended
Mar. 31, 2018
Investments, Debt and Equity Securities [Abstract]  
Pre-tax net investment income
The following table presents pre-tax net investment income for the three months ended March 31, 2018 and 2017.
 
 
Three Months Ended
 
 
March 31,
Millions
 
2018
 
2017
Investment income:
 
 
 
 
Fixed maturity investments
 
$
10.9

 
$
11.9

Short-term investments
 
2.6

 
.2

Common equity securities
 
5.0

 
1.3

Other long-term investments
 
1.9

 
(.1
)
Total investment income
 
20.4

 
13.3

Third-party investment expenses
 
(.7
)
 
(.5
)
Net investment income, pre-tax
 
$
19.7

 
$
12.8
Schedule of Realized and Unrealized Gain (Loss) on Investments
The following table presents net realized and unrealized investment gains (losses) for the three months ended March 31, 2018 and 2017:
 
 
Three Months Ended
 
 
March 31,
Millions
 
2018
 
2017
Net realized investment (losses) gains, pre-tax
 
$
(5.1
)
 
$
.6

Net unrealized investment (losses) gains, pre-tax
 
(48.6
)
 
35.7

Net realized and unrealized investment (losses) gains, pre-tax
 
(53.7
)
 
36.3

Income tax benefit (expense) attributable to net realized and
     unrealized investment (losses) gains
 
5.7

 
(3.9
)
Net realized and unrealized investment (losses) gains, after-tax
 
$
(48.0
)
 
$
32.4
Schedule of realized gain (loss) on investments
The following table presents net realized investment gains (losses) for the three months ended March 31, 2018 and 2017
 
 
Three Months Ended
 
Three Months Ended
 
 
March 31, 2018
 
March 31, 2017
Millions
 
Net
realized (losses) gains
 
Net
foreign
exchange gains (losses)
 
Total net realized
gains (losses)
reflected in
earnings
 
Net
realized (losses) gains
 
Net
foreign
exchange gains
 
Total net realized
(losses) gains
reflected in
earnings
Fixed maturity investments
 
$
(13.7
)
 
$
18.2

 
$
4.5

 
$
(1.0
)
 
$
.1

 
$
(.9
)
Short-term investments
 
(.1
)
 
—

 
(.1
)
 
—

 
—

 
—

Common equity securities
 
1.2

 
—

 
1.2

 
.8

 
.1

 
.9

Other long-term investments
 
(3.5
)
 
(7.2
)
 
(10.7
)
 
.6

 
—

 
.6

Net realized investment (losses) gains,
   pre-tax
 
(16.1
)
 
11.0

 
(5.1
)
 
.4

 
.2

 
.6

Income tax expense attributable to
   net realized investment (losses) gains
 
(.6
)
 
—

 
(.6
)
 
(.2
)
 
—

 
(.2
)
Net realized investment (losses)
   gains, after-tax
 
$
(16.7
)
 
$
11.0

 
$
(5.7
)
 
$
.2

 
$
.2

 
$
.4
Schedule of 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 three months ended March 31, 2018 and 2017:
 
 
Three Months Ended
 
Three Months Ended
 
 
March 31, 2018
 
March 31, 2017
Millions
 
Net
unrealized losses
   
 
Net
foreign
exchange (losses)
gains
 
Total net unrealized (losses)
 gains
reflected in
earnings
 
Net
unrealized gains
 
Net
foreign
exchange gains (losses)
 
Total net unrealized gains
reflected in
earnings
Fixed maturity investments
 
$
(18.6
)
 
$
(14.8
)
 
$
(33.4
)
 
$
10.2

 
$
1.7

 
$
11.9

Short-term investments
 
(.7
)
 
—

 
(.7
)
 
—

 
—

 
—

Common equity securities
 
(16.7
)
 
—

 
(16.7
)
 
19.1

 
.5

 
19.6

Other long-term investments
 
(1.9
)
 
4.1

 
2.2

 
6.9

 
(2.7
)
 
4.2

Net unrealized investment (losses) gains, pre-tax
 
(37.9
)
 
(10.7
)
 
(48.6
)
 
36.2

 
(.5
)
 
35.7

Income tax benefit (expense) attributable to net unrealized
   investment gains (losses)
 
6.3

 
—

 
6.3

 
(3.7
)
 
—

 
(3.7
)
Net unrealized investment (losses) gains, after-tax
 
$
(31.6
)
 
$
(10.7
)
 
$
(42.3
)
 
$
32.5

 
$
(.5
)
 
$
32.0
Net unrealized investment gains (losses) for Level 3 investments

The following table presents total gains (losses) included in earnings attributable to net unrealized investment gains (losses) for Level 3 investments for the three months ended March 31, 2018 and 2017:
 
 
Three Months Ended
 
 
March 31,
Millions
 
2018
 
2017
Other long-term investments
 
$
(5.1
)
 
$
.2

Total net unrealized investment (losses) gains, pre-tax - Level 3 investments
 
$
(5.1
)
 
$
.2
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 gains, and carrying values of White Mountains’s fixed maturity investments as of March 31, 2018 and December 31, 2017.
 
 
March 31, 2018
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains
 
Carrying
value
U.S. Government and agency obligations
 
$
199.9

 
$
—

 
$
(2.2
)
 
$
—

 
$
197.7

Debt securities issued by corporations
 
760.5

 
.7

 
(17.5
)
 
—

 
743.7

Mortgage and asset-backed securities
 
132.5

 
.1

 
(2.6
)
 
—

 
130.0

Municipal obligations
 
261.8

 
1.9

 
(1.3
)
 
—

 
262.4

   Total fixed maturity investments
 
$
1,354.7

 
$
2.7

 
$
(23.6
)
 
$
—

 
$
1,333.8


 
 
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


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 March 31, 2018 and December 31, 2017:
 
 
March 31, 2018
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
losses
 
Carrying
value
Common equity securities
 
$
835.9

 
$
111.7

 
$
(2.0
)
 
$
—

 
$
945.6

Other long-term investments
 
$
288.8

 
$
10.0

 
$
(44.8
)
 
$
(.9
)
 
$
253.1

 
 
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


Other Long-Term Investments

The following table presents the carrying values of White Mountains’s other long-term investments as of March 31, 2018 and December 31, 2017:
 
 
Carrying Value at
Millions
 
March 31, 2018
 
December 31, 2017
Hedge funds and private equity funds, at fair value
 
$
130.6

 
$
125.3

Private equity securities, at fair value (1)(2)(3)
 
108.4

 
83.2

Foreign currency forward contracts
 
—

 
(3.7
)
Other
 
14.1

 
4.0

Total other long-term investments
 
$
253.1

 
$
208.8

(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 March 31, 2018, 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 March 31, 2018 and December 31, 2017:
 
 
March 31, 2018
 
December 31, 2017
Millions
 
Fair Value
 
Unfunded
Commitments
 
Fair Value
 
Unfunded
Commitments
Hedge funds
 
 

 
 

 
 

 
 

Long/short banks and financial
 
$
56.4

 
$
—

 
$
54.9

 
$
—

Total hedge funds
 
56.4

 
—

 
54.9

 
—

 
 
 
 
 
 
 
 
 
Private equity funds
 
 

 
 

 
 

 
 

Manufacturing/Industrial
 
44.5

 
10.4

 
43.3

 
10.4

Aerospace/Defense/Government
 
17.0

 
12.9

 
15.8

 
12.9

Direct lending
 
7.9

 
22.5

 
7.1

 
23.1

Financial services
 
4.8

 
11.1

 
4.2

 
11.7

Insurance
 
—

 
41.2

 
—

 
41.2

Real estate
 
—

 
50.0

 
—

 
—

Total private equity funds
 
74.2

 
148.1

 
70.4

 
99.3

Total hedge funds and private equity funds
    included in other long-term investments
 
$
130.6

 
$
148.1

 
$
125.3

 
$
99.3
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 March 31, 2018:
Millions
 
1 – 3 years
 
3 – 5 years
 
5 – 10 years
 
>10 years
 
Total
Private equity funds — expected lock-up period remaining
 
$6.1
 
$6.2
 
$49.2
 
$12.7
 
$74.2
Fair value measurements by level, investment securities
The following tables present White Mountains’s fair value measurements for investments as of March 31, 2018 and December 31, 2017 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.

 
 
March 31, 2018
Millions
 
Fair Value
 
Level 1
 
Level 2
 
Level 3
Fixed maturity investments:
 
 

 
 

 
 

 
 

U.S. Government and agency obligations
 
$
197.7

 
$
197.7

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
Debt securities issued by corporations:
 
 

 
 
 
 
 
 
Financials
 
151.0

 
—

 
151.0

 
—

Consumer
 
144.8

 
—

 
144.8

 
—

Technology
 
91.6

 
—

 
91.6

 
—

Communications
 
84.9

 
—

 
84.9

 
—

Health care
 
80.3

 
—

 
80.3

 
—

Materials
 
76.1

 
—

 
76.1

 
—

Energy
 
66.1

 
—

 
66.1

 
—

Industrial
 
33.9

 
—

 
33.9

 
—

Utilities
 
15.0

 
—

 
15.0

 
—

Total debt securities issued by corporations:
 
743.7

 
—

 
743.7

 
—

 
 
 
 
 
 
 
 
 
Mortgage and asset-backed securities
 
130.0

 
—

 
130.0

 
—

Municipal obligations
 
262.4

 
—

 
262.4

 
—

Total fixed maturity investments
 
1,333.8

 
197.7

 
1,136.1

 
—

 
 
 
 
 
 
 
 
 
Short-term investments(1)
 
763.0

 
737.3

 
25.7

 
—

 
 
 
 
 
 
 
 
 
Common equity securities:
 
 

 
 

 
 

 
 

Exchange traded funds (2)
 
653.2

 
592.2

 
61.0

 
—

Technology
 
18.0

 
18.0

 
—

 
—

Health care
 
16.9

 
16.9

 
—

 
—

Financials
 
15.9

 
15.9

 
—

 
—

Industrial
 
13.3

 
13.3

 
—

 
—

Consumer
 
8.6

 
8.6

 
—

 
—

Energy
 
6.5

 
6.5

 
—

 
—

Communications
 
5.2

 
5.2

 
—

 
—

Other (3)
 
208.0

 
—

 
208.0

 
—

Total common equity securities
 
945.6

 
676.6

 
269.0

 
—

 
 
 
 
 
 
 
 
 
Other long-term investments (4) 
 
122.5

 
—

 
—

 
122.5

Total investments
 
$
3,164.9

 
$
1,611.6

 
$
1,430.8

 
$
122.5

(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 $130.6 associated with hedge funds and private equity funds for which fair value is measured at NAV using the practical expedient.

 
 
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 invests 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 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 March 31, 2018 and December 31, 2017:
 
 
Fair Value at
Millions
 
March 31, 2018
 
December 31, 2017
AAA
 
$
8.9

 
$
1.6

AA
 
79.1

 
42.6

A
 
274.6

 
192.5

BBB
 
211.5

 
465.2

BB
 
151.0

 
161.7

B
 
18.6

 
17.3

Debt securities issued by corporations (1)
 
$
743.7

 
$
880.9

(1) Credit ratings are assigned based on the following hierarchy: (1) Standard & Poor’s Financial Services LLC (“S&P”) and (2) Moody's Investor Service, Inc. (“Moody’s”).
Mortgage-backed, asset-backed securities
The following table presents the carrying value of White Mountains’s mortgage and asset-backed securities as of March 31, 2018 and December 31, 2017:
 
 
March 31, 2018
 
December 31, 2017
Millions
 
Fair Value
 
Level 2
 
Level 3
 
Fair Value
 
Level 2
 
Level 3
Mortgage-backed securities:
 
 

 
 

 
 

 
 

 
 

 
 

Agency:
 
 

 
 

 
 

 
 

 
 

 
 

GNMA
 
$
27.3

 
$
27.3

 
$
—

 
$
46.3

 
$
46.3

 
$
—

FNMA
 
53.9

 
53.9

 
—

 
84.5

 
84.5

 
—

FHLMC
 
36.1

 
36.1

 
—

 
62.0

 
62.0

 
—

Total agency (1)
 
117.3

 
117.3

 
—

 
192.8

 
192.8

 
—

Non-agency:
 
 

 
 

 
 

 
 

 
 

 
 

Commercial
 
—

 
—

 
—

 
70.5

 
70.5

 
—

Total non-agency
 
—

 
—

 
—

 
70.5

 
70.5

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Total mortgage-backed securities
 
117.3

 
117.3

 
—

 
263.3

 
263.3

 
—

Other asset-backed securities:
 
 

 
 
 
 
 
 

 
 
 
 
Credit card receivables
 
8.9

 
8.9

 
—

 
206.0

 
206.0

 
—

Vehicle receivables
 
3.8

 
3.8

 
—

 
142.4

 
142.4

 
—

Other
 
—

 
—

 
—

 
83.0

 
83.0

 
—

Total other asset-backed securities
 
12.7

 
12.7

 
—

 
431.4

 
431.4

 
—

Total mortgage and asset-backed securities
 
$
130.0

 
$
130.0

 
$
—

 
$
694.7

 
$
694.7

 
$
—

(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


Rollforward of fair value investments by level
The following tables present the changes in White Mountains’s fair value measurements by level for the three months ended March 31, 2018 and 2017:
 
 
 
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, 2018
$
890.4

$
2,105.4

$
—

$
87.2

$
125.3

 
$
3,208.3

(1)(2) 
Net realized and unrealized (losses) gains
(14.3
)
(26.0
)
—

(8.7
)
3.6

 
(45.4
)
(4) 
Amortization/Accretion
—

(1.2
)
—

—

—

 
(1.2
)
 
Purchases
238.9

407.7

—

44.0

2.0

 
692.6

 
Sales
(240.7
)
(1,080.8
)
—

—

(.3
)
 
(1,321.8
)
 
Transfers in
—

—

—

—

—

 
—

  
Transfers out
—

—

—

—

—

 
—

  
Balance at March 31, 2018
$
874.3

$
1,405.1

$
—

$
122.5

$
130.6

 
$
2,532.5

(2) 
(1)  Excludes carrying value of $(3.7) as of January 1, 2018 associated with foreign currency forward contracts.
(2)  Excludes carrying value of $176.1 and $763.0 at January 1, 2018 and March 31, 2018 classified as short-term investments.
(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 — “Basis of Presentation and Significant Accounting Policies”.
(4) Excludes realized and unrealized losses associated with foreign currency forward contracts, foreign currency on cash and open trades and short-term investments of $3.5, $4.2 and $0.6 for the three months ended March 31, 2018.

 
 
 
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
13.1

18.4

.1

.2

7.3

39.1

(5) 
Amortization/Accretion
—

(2.5
)
—

—

—

(2.5
)
 
Purchases
115.2

351.1

11.0

.2

21.4

498.9

 
Sales
(76.0
)
(387.6
)
—

(2.0
)
(1.2
)
(466.8
)
 
Deconsolidation of SSIE
—

(5.2
)
—

—

—

(5.2
)
 
Transfers in
—

—

—

—

—

—

 
Transfers out
—

—

—

—

—

—

 
Balance at March 31, 2017
$
331.8

$
2,068.0

$
11.1

$
89.8

$
110.1

$
2,610.8

(1)(2) 

(1) Excludes carrying value of $175.0 and $138.2 at January 1, 2017 and March 31, 2017 classified as short-term investments, of which $0.1 is classified as held for sale at January 1, 2017.
(2)  Excludes carrying value of $(1.2) and $(4.1) as of January 1, 2017 and March 31, 2017 associated with foreign currency forward contracts.
(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 — “Basis of Presentation and 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.
(5) Excludes realized and unrealized losses associated with foreign currency forward contracts of $2.8 for the three months ended March 31, 2017.
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 March 31, 2018 and December 31, 2017. 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
 
March 31, 2018
Description
 
Valuation Technique(s)
 
Fair Value (1)
 
Unobservable Input
Private equity security
 
Discounted cash flow
 
$21.0
 
Discount rate
-
25.0%
Private equity security
 
Discounted cash flow
 
$22.1
 
Implied share price
-
$.68
Private convertible preferred security
 
Discounted cash flow
 
$14.5
 
Implied share price
-
$2.06
Private equity security
 
Discounted cash flow/
Option pricing method
 
$11.6
 
Discount rate
-
21.0%
 
 
 
 
 
 
Time until expiration
-
4 years
 
 
 
 
Volatility/Standard deviation
-
50.0%
 
 
 
 
Risk free rate
-
1.77%
Private debt instrument
 
Discounted cash flow
 
$10.5
 
Discount rate
-
9.62%
(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, 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 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%
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
(1) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs.