Investment Securities (Tables)

12 Months Ended

Dec. 31, 2011

Investment Securities

Pre-tax net investment income

	Year Ended December 31,
Millions	2011			2010			2009
Investment income:
Fixed maturity investments	$	166.2		$	194.7		$	243.3
Short-term investments	4.5			3.0			5.5
Common equity securities	15.4			10.2			4.9
Convertible fixed maturity investments	5.5			5.6			8.0
Other long-term investments	4.2			6.0			4.2
Interest on funds held under reinsurance treaties	(.4		)	(1.7		)	(7.3		)
Total investment income	195.4			217.8			258.6
Third-party investment expenses	(10.9		)	(8.9		)	(8.5		)
Net investment income, pre-tax	$	184.5		$	208.9		$	250.1

Net Realized and Unrealized Investment Gains and Losses

	Year ended December 31,
Millions	2011			2010			2009
Net realized investment gains (losses), pre-tax	$	117.0		$	136.4		$	(69.9	)
Net unrealized investment gains (losses), pre-tax	5.8			(53.8		)	431.6
Net realized and unrealized investment gains (losses), pre-tax	122.8			82.6			361.7
Income taxes attributable to realized and unrealized investment gains (losses)	(30.9		)	(22.8		)	(124.4		)
Net realized and unrealized investment gains (losses), after-tax	$	91.9		$	59.8		$	237.3

Net realized investment gains (losses)

	Year Ended December 31,
Millions	2011			2010			2009
Fixed maturity investments	$	49.4		$	96.9		$	(7.4	)
Short-term investments	—			—			.2
Common equity securities	34.6			6.9			(46.4		)
Convertible fixed maturity investments	(2.2		)	16.7			15.6
Other long-term investments	35.2			15.9			(31.9		)
Net realized investment gains (losses), pre-tax	117.0			136.4			(69.9		)
Income taxes attributable to realized investment gains and (losses)	(37.0		)	(42.1		)	14.9
Net realized investment gains (losses), after-tax	$	80.0		$	94.3		$	(55.0	)

Net unrealized investment gains (losses)

The following table summarizes changes in the carrying value of investments measured at fair value:

	Year Ended December 31, 2011
Millions	Net unrealized gains (losses)			Net foreign currency gains (losses)			Total changes in fair value reflected in earnings
Fixed maturities	$	7.6		$	68.9		$	76.5
Short-term investments	—			(1.1		)	(1.1		)
Common equity securities	(40.6		)	(1.8		)	(42.4		)
Convertible fixed maturity investments	(11.5		)	—			(11.5		)
Other long-term investments	(19.1		)	3.4			(15.7		)
Net unrealized investment gains (losses), pre-tax	(63.6		)	69.4			5.8
Income taxes attributable to unrealized investment gains (losses)	24.0			(17.9		)	6.1
Net unrealized investment gains (losses), after-tax	$	(39.6	)	$	51.5		$	11.9

	Year Ended December 31, 2010
Millions	Net unrealized gains (losses)			Net foreign currency gains (losses)			Total changes in fair value reflected in earnings
Fixed maturities	$	(67.4	)	$	(53.8	)	$	(121.2	)
Short-term investments	—			.2			.2
Common equity securities	72.4			(9.6		)	62.8
Convertible fixed maturity investments	(5.4		)	—			(5.4		)
Other long-term investments	17.6			(7.8		)	9.8
Net unrealized investment gains (losses), pre-tax	17.2			(71.0		)	(53.8		)
Income taxes attributable to unrealized investment gains (losses)	.5			18.8			19.3
Net unrealized investment gains (losses), after-tax	$	17.7		$	(52.2	)	$	(34.5	)

	Year Ended December 31, 2009
Millions	Net unrealized gains (losses)			Net foreign currency gains (losses)			Total changes in fair value reflected in earnings
Fixed maturities	$	333.9		$	(53.6	)	$	280.3
Short-term investments	(.3		)	1.6			1.3
Common equity securities	57.9			(9.9		)	48.0
Convertible fixed maturity investments	39.8			—			39.8
Other long-term investments	67.2			(5.0		)	62.2
Net unrealized investment gains (losses), pre-tax	498.5			(66.9		)	431.6
Income taxes attributable to unrealized investment gains (losses)	(154.3		)	15.0			(139.3		)
Net unrealized investment gains (losses), after-tax	$	344.2		$	(51.9	)	$	292.3

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, 2011, 2010, and 2009.

	Year Ended December 31,
Millions	2011			2010			2009
Fixed maturities	$	(12.2	)	$	10.2		$	47.3
Common equity securities	(16.6		)	(19.2		)	14.7
Convertible fixed maturities	—			—			.1
Other long-term investments	(16.8		)	39.0			65.0
Total unrealized investment gains (losses), pre-tax - Level 3 investments	$	(45.6	)	$	30.0		$	127.1

Net realized and unrealized investment gains, after-tax, as recorded on the statements of operations and comprehensive income (losses)

The components of White Mountains’ net realized and unrealized investment gains (losses), after-tax, as recorded on the statements of operations and comprehensive income (losses) were as follows:

	Year Ended December 31,
Millions	2011			2010			2009
Net change in pre-tax unrealized gains (losses) on investments in unconsolidated affiliates	$	(63.6	)	$	72.7		$	192.7
Income taxes	5.1			.8			(.3		)
Net change in unrealized gains (losses) on investments in unconsolidated affiliates, after tax	(58.5		)	73.5			192.4
Net unrealized foreign currency gains (losses) on investments	(90.1		)	102.9			185.1
Total investments gains (losses) through accumulated other comprehensive income	(148.6		)	176.4			377.5
Change in net unrealized investment gains (losses), after-tax	11.9			(34.5		)	292.3
Net realized investment gains (losses), after-tax	80.0			94.3			(55.0		)
Total investment gains (losses) recorded during the period, after-tax	$	(56.7	)	$	236.2		$	614.8

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’ fixed maturity investments as of December 31, 2011 and 2010, were as follows:

	December 31, 2011
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency gains(losses)			Carrying value
US Government and agency obligations	$	299.4	$	5.3	$	(.1	)	$	.4		$	305.0
Debt securities issued by industrial corporations	2,072.1		73.7		(7.8		)	(2.9		)	2,135.1
Municipal obligations	2.7		—		—			—			2.7
Mortgage-backed and asset-backed securities	3,190.5		25.9		(3.9		)	10.4			3,222.9
Foreign government, agency and provincial obligations	581.2		11.0		(.1		)	(2.9		)	589.2
Preferred stocks	82.3		3.2		(6.7		)	—			78.8
Total fixed maturity investments including assets held for sale	$	6,228.2	$	119.1	$	(18.6	)	$	5.0		$	6,333.7
Fixed maturity investments reclassified to assets held for sale related to AutoOne											(111.8		)
Total fixed maturity investments											$	6,221.9

	December 31, 2010
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency gains (losses)			Carrying value
US Government and agency obligations	$	385.9	$	13.6	$	(.8	)	$	—		$	398.7
Debt securities issued by industrial corporations	2,149.2		87.9		(21.1		)	(37.9		)	2,178.1
Municipal obligations	3.3		.1		(.1		)	—			3.3
Mortgage-backed and asset-backed securities	2,082.0		18.2		(15.6		)	(12.9		)	2,071.7
Foreign government, agency and provincial obligations	1,053.6		7.7		(6.6		)	(8.3		)	1,046.4
Preferred stocks	81.9		6.1		—			(.1		)	87.9
Total fixed maturity investments	$	5,755.9	$	133.6	$	(44.2	)	$	(59.2	)	$	5,786.1

Schedule of contractual maturities of fixed maturities

	December 31, 2011
Millions	Cost oramortized cost		Carryingvalue
Due in one year or less	$	669.6	$	681.0
Due after one year through five years	1,809.1		1,857.5
Due after five years through ten years	563.1		582.8
Due after ten years	52.8		54.5
Mortgage-backed and asset-backed securities	3,190.5		3,222.9
Preferred stocks	82.3		78.8
Total	$	6,367.4	$	6,477.5

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’ common equity securities, convertible fixed maturities and other long-term investments as of December 31, 2011 and 2010, were as follows:

	December 31, 2011
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency gains (losses)			Carrying value
Common equity securities	$	691.7	$	72.0	$	(8.7	)	$	—		$	755.0
Convertible fixed maturities	$	139.2	$	6.2	$	(1.6	)	$	—		$	143.8
Other long-term investments	$	274.4	$	55.5	$	(25.2	)	$	(3.4	)	$	301.3

	December 31, 2010
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency gains (losses)			Carrying value
Common equity securities	$	561.2	$	105.5	$	(1.5	)	$	1.8		$	667.0
Convertible fixed maturities	$	126.9	$	16.2	$	(.1	)	$	—		$	143.0
Other long-term investments	$	329.5	$	62.4	$	(13.0	)	$	(6.8	)	$	372.1

Fair value measurements by level, investment securities

The following tables summarize White Mountains’ fair value measurements for investments at December 31, 2011 and 2010, by level.  The fair value measurements for derivative assets associated with White Mountains’ variable annuity business are presented in Note 8.

	December 31, 2011
Millions	Fair value		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs
Fixed maturities:
US Government and agency obligations	$	305.0	$	296.2	$	8.8	$	—
Debt securities issued by corporations:
Consumer	790.7		—		790.7		—
Industrial	359.4		—		359.4		—
Financials	239.6		3.8		235.8		—
Communications	225.8		—		225.8		—
Basic materials	195.7		—		195.7		—
Utilities	140.1		—		140.1		—
Energy	155.8		—		155.8		—
Technology	24.5		—		24.5		—
Diversified	3.5		—		3.5		—
Total debt securities issued by corporations:	2,135.1		3.8		2,131.3		—
Municipal obligations	2.7		—		2.7		—
Mortgage-backed and asset-backed securities	3,222.9		—		3,207.8		15.1
Foreign government, agency and provincial obligations	589.2		65.7		523.5		—
Preferred stocks	78.8		—		15.0		63.8
Total fixed maturities(1)	6,333.7		365.7		5,889.1		78.9
Short-term investments	846.0		846.0		—		—
Common equity securities:
Financials	219.2		185.8		1.5		31.9
Consumer	188.8		188.5		.3		—
Basic materials	121.0		119.9		1.1		—
Energy	72.6		72.6		—		—
Utilities	42.0		41.8		.2		—
Technology	25.8		25.8		—		—
Other	85.6		33.0		52.2		.4
Total common equity securities	755.0		667.4		55.3		32.3
Convertible fixed maturity investments	143.8		—		143.8		—
Other long-term investments(2)	268.3		—		—		268.3
Total investments	$	8,346.8	$	1,879.1	$	6,088.2	$	379.5

(1)Carrying value includes $111.8 that is classified as assets held for sale relating to AutoOne discontinued operations.

(2)Excludes carrying value of $33.0 associated with other long-term investments accounted for using the equity method.

	December 31, 2010
Millions	Fair value		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs
Fixed maturities:
US Government and agency obligations	$	398.7	$	388.9	$	9.8	$	—
Debt securities issued by corporations:
Consumer	769.0		—		769.0		—
Industrial	511.3		—		511.3		—
Financials	265.8		6.3		259.5		—
Communications	226.3		—		226.3		—
Basic materials	125.3		—		125.3		—
Utilities	106.7		—		106.7		—
Energy	151.5		—		151.5		—
Technology	22.1		—		22.1		—
Total debt securities issued by corporations:	2,178.0		6.3		2,171.7		—
Municipal obligations	3.3		—		3.3
Mortgage-backed and asset-backed securities	2,071.7		—		2,014.7		57.0
Foreign government, agency and provincial obligations	1,046.5		82.6		963.9		—
Preferred stocks	87.9		—		16.5		71.4
Total fixed maturities	5,786.1		477.8		5,179.9		128.4
Short-term investments	975.3		878.7		96.6		—
Common equity securities:
Financials	221.6		152.6		1.2		67.8
Consumer	123.3		122.5		.8		—
Basic materials	98.8		97.1		1.7		—
Energy	60.2		60.2		—		—
Utilities	47.6		44.6		—		3.0
Technology	31.8		30.4		1.4		—
Other	83.7		30.5		52.8		.4
Total common equity securities	667.0		537.9		57.9		71.2
Convertible fixed maturity investments	143.0		—		143.0		—
Other long-term investments(1)	330.2		—		—		330.2
Total investments	$	7,901.6	$	1,894.4	$	5,477.4	$	529.8

(1)Excludes carrying value of $41.9 associated with other long-term investments accounted for using the equity method.

Debt securities issued by corporations, credit ratings

The following table summarizes the ratings of the corporate debt securities held in White Mountains’ investment portfolio as of December 31, 2011 and 2010:

Millions	December 31, 2011		December 31, 2010
AAA	$	—	$	—
AA	206.8		210.0
A	802.8		833.7
BBB	1,110.8		1,109.1
BB	6.2		24.5
Other	8.5		.7
Debt securities issued by corporations	$	2,135.1	$	2,178.0

Mortgage-backed, asset-backed securities

	December 31, 2011						December 31, 2010
Millions	Fair Value		Level 2		Level 3		Fair Value		Level 2		Level 3
Mortgage-backed securities:
Agency:
GNMA	$	1,365.8	$	1,365.8	$	—	$	1,143.6	$	1,102.7	$	40.9
FNMA	712.6		712.6		—		234.9		234.9		—
FHLMC	35.9		35.9		—		39.1		39.1		—
Total Agency(1)	2,114.3		2,114.3		—		1,417.6		1,376.7		40.9
Non-agency:
Residential	83.1		68.0		15.1		90.6		74.5		16.1
Commercial	276.7		276.7		—		87.0		87.0		—
Total Non-agency	359.8		344.7		15.1		177.6		161.5		16.1
Total mortgage-backed securities	2,474.1		2,459.0		15.1		1,595.2		1,538.2		57.0
Other asset-backed securities:
Credit card receivables	380.6		380.6		—		248.3		248.3		—
Vehicle receivables	345.6		345.6		—		228.1		228.1		—
Other	22.6		22.6		—		.1		.1		—
Total other asset-backed securities	748.8		748.8		—		476.5		476.5		—
Total mortgage and asset-backed securities	$	3,222.9	$	3,207.8	$	15.1	$	2,071.7	$	2,014.7	$	57.0

(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’ investments in non-agency RMBS and non-agency CMBS securities as of December 31, 2011 are as follows:

			Security Issuance Year
Millions	Fair Value		2003		2006		2007		2009		2010		2011
Non-agency RMBS	$	83.1	$	3.3	$	23.0	$	26.4	$	—	$	10.5	$	19.9
Non-agency CMBS	276.7		—		—		17.4		11.2		2.3		245.8
Total	$	359.8	$	3.3	$	23.0	$	43.8	$	11.2	$	12.8	$	265.7

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

The classification of the underlying collateral quality and the tranche levels of White Mountains’ non-agency RMBS securities are as follows as of December 31, 2011:

Millions	Fair Value		Super Senior (1)		Senior (2)		Subordinate(3)
Prime	$	67.2	$	20.5	$	46.7	$	—
Non-prime	15.9		15.2		.7		—
Sub-prime	—		—		—		—
Total	$	83.1	$	35.7	$	47.4	$	—

(1)At issuance, Super Senior 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 were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to non-AAA or non-Aaa bonds.

(3)At issuance, Subordinate were not rated AAA by Standard & Poor’s or Aaa by Moody’s 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’ non-agency CMBS securities are as follows as of December 31, 2011:

Millions	Fair Value		Super Senior (1)		Senior(2)		Subordinate(3)
Fixed rate CMBS	$	249.3	$	46.7	$	202.6	$	—
Floating rate CMBS	27.4		17.4		10.0		—
Total	$	276.7	$	64.1	$	212.6	$	—

(1)At issuance, Super Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to other AAA or Aaa bonds.

(2)At issuance, Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to non-AAA or non-Aaa bonds.

(3)At issuance, Subordinate were not rated AAA by Standard & Poor’s or Aaa by Moody’s and were junior to AAA or Aaa bonds.

Other long-term investments

The following table summarizes investments in hedge funds and private equity interests by investment objective and sector at December 31, 2011 and December 31, 2010:

	December 31, 2011				December 31, 2010
Millions	Fair Value		Unfunded Commitments		Fair Value		Unfunded Commitments
Hedge funds
Long/short equity	$	48.8	$	—	$	50.4	$	—
Long/short credit & distressed	32.3		—		34.1		—
Long diversified strategies	16.9		—		25.2		—
Long/short equity REIT	14.5		—		24.0		—
Long/short equity activist	12.3		—		16.9		—
Long bank loan	.5		—		5.1		—
Total hedge funds	125.3		—		155.7		—
Private equity funds
Energy infrastructure & services	28.0		9.9		24.2		10.8
Distressed residential real estate	27.4		—		49.2		—
Multi-sector	26.9		8.2		26.0		10.6
Private equity secondaries	11.3		4.0		10.4		4.4
Real estate	9.5		3.3		9.1		4.6
International multi-sector, Europe	7.8		4.7		10.5		5.3
Manufacturing/Industrial	6.2		—		17.9		—
International multi-sector, Asia	3.6		2.6		4.9		2.7
Insurance	3.5		41.3		3.9		41.3
Venture capital	2.4		.5		2.2		1.0
Healthcare	2.3		7.0		1.5		8.0
Total private equity funds	128.9		81.5		159.8		88.7
Total hedge and private equity funds included in other long-term investments	$	254.2	$	81.5	$	315.5	$	88.7

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, 2011 fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds:

	Notice Period
Millions Redemption frequency	30-59 days notice		60-89 days notice		90-119 days notice		120+ days notice		Total
Monthly	$	—	$	—	$	—	$	6.5	$	6.5
Quarterly	27.5		27.0		20.1		—		74.6
Semi-annual	—		5.1		—		14.5		19.6
Annual	16.9		—		7.2		.5		24.6
Total	$	44.4	$	32.1	$	27.3	$	21.5	$	125.3

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

At December 31, 2011, 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	$	42.9	$	—	$	79.8	$	6.2	$	128.9

Rollforward of fair value investments by level

The following table summarizes the changes in White Mountains’ fair value measurements by level for the year ended December 31, 2011:

							Level 3 Investments
Millions	Level 1 Investments			Level 2 Investments			Fixed Maturities			Common equity securities			Convertible fixed maturities		Other long-term investments			Total
Balance at January 1, 2011	$	1,894.4		$	5,477.4		$	128.4		$	71.2		$	—	$	330.2	(1)	$	7,901.6	(1)
Total realized and unrealized gains (losses) (1) (2)	(1.4		)	113.2			(8.1		)	(4.7		)	—		19.5			118.5
Foreign currency gains (losses) through OCI and other revenue	4.6			(76.1		)	(4.4		)	1.6			—		(5.0		)	(79.3		)
Amortization/Accretion	2.3			(54.2		)	.3			—			—		—			(51.6		)
Purchases	10,653.6			8,905.6			213.7			19.7			—		58.4			19,851.0
Sales	(10,674.4		)	(8,528.7		)	—			(55.5		)	—		(134.8		)	(19,393.4		)
Transfers in	—			269.2			18.2			—			—		—			287.4
Transfers out	—			(18.2		)	(269.2		)	—			—		—			(287.4		)
Balance at December 31, 2011	$	1,879.1		$	6,088.2	(2)	$	78.9		$	32.3		$	—	$	268.3	(1)	$	8,346.8	(1)

(1)Excludes carrying value of $41.9 and $33.0 at January 1, 2011 and December 31, 2011 associated with other long-term investments accounted for using the equity method.

(2)Carrying value includes $111.8 that is classified as assets held for sale relating to AutoOne discontinued operations.