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Investment Securities (Tables)
 6 Months Ended
Jun. 30, 2012
Investments, Debt and Equity Securities [Abstract]  
Pre-tax net investment income
Pre-tax net investment income for the three and six months ended June 30, 2012 and 2011 consisted of the following:

 
Three Months Ended
 
Six Months Ended
 
June 30,
 
June 30,
Millions
2012
 
2011
 
2012
 
2011
Investment income:
 
 
 
 
 
 
 
Fixed maturity investments
$
35.4

 
$
42.6

 
$
72.1

 
$
88.5

Short-term investments
.8

 
1.6

 
1.8

 
2.3

Common equity securities
4.6

 
3.0

 
9.0

 
6.4

Convertible fixed maturity investments
2.0

 
1.1

 
3.9

 
2.6

Other long-term investments
.7

 
(.2
)
 
1.5

 
.7

Interest on funds held under reinsurance treaties
—

 
(.2
)
 
—

 
(.8
)
Total investment income
43.5

 
47.9

 
88.3

 
99.7

Less third-party investment expenses
(3.1
)
 
(2.1
)
 
(6.1
)
 
(4.4
)
Net investment income, pre-tax
$
40.4

 
$
45.8

 
$
82.2

 
$
95.3
Net Realized and Unrealized Investment Gains and Losses
Net realized and unrealized investment gains and losses for the three and six months ended June 30, 2012 and 2011 consisted of the following:

 
Three Months Ended
 
Six Months Ended
 
June 30,
 
June 30,
Millions
2012
 
2011
 
2012
 
2011
Net realized investment (losses) gains, pre-tax
$
(22.4
)
 
$
30.6

 
$
16.8

 
$
29.4

Net unrealized investment gains, pre-tax
14.3

 
12.2

 
33.7

 
4.2

Net realized and unrealized investment (losses) gains, pre-tax
(8.1
)
 
42.8

 
50.5

 
33.6

Income tax expense attributable to net realized and unrealized
     investment gains (losses)
(2.0
)
 
(12.2
)
 
(16.0
)
 
(11.3
)
Net realized and unrealized investment (losses) gains, after-tax
$
(10.1
)
 
$
30.6

 
$
34.5

 
$
22.3
Net realized investment gains (losses)
Net realized investment gains (losses) for the three and six months ended June 30, 2012 and 2011 consisted of the following:

 
 
Three Months Ended
 
Six Months Ended
 
June 30,
 
June 30,
Millions
2012
 
2011
 
2012
 
2011
Fixed maturity investments
$
9.0

 
$
2.8

 
$
40.5

 
$
(10.8
)
Short-term investments
(.2
)
 
.9

 
(.5
)
 
(11.3
)
Common equity securities
(10.3
)
 
15.6

 
(6.1
)
 
17.9

Convertible fixed maturity investments
.6

 
2.9

 
2.1

 
7.0

Other long-term investments
(21.5
)
 
8.4

 
(19.2
)
 
26.6

Net realized investment (losses) gains, pre-tax
(22.4
)
 
30.6

 
16.8

 
29.4

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

 
(7.4
)
 
(5.4
)
 
(12.4
)
Net realized investment (losses) gains, after-tax
$
(16.1
)
 
$
23.2

 
$
11.4

 
$
17.0
Unrealized Gain (Loss) on Investments [Table Text Block]
 The following table summarizes changes in the carrying value of investments measured at fair value:

 
Three Months Ended
 
Six Months Ended
 
June 30, 2012
 
June 30, 2012
Millions
Net
unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total
changes in
fair value
reflected in
earnings
 
Net
unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total
changes in
fair value
reflected in
earnings
Fixed maturity investments
$
11.2

 
$
23.0

 
$
34.2

 
$
8.3

 
$
3.7

 
$
12.0

Short-term investments
—

 
—

 
—

 
—

 
—

 
—

Common equity securities
(26.0
)
 
—

 
(26.0
)
 
6.4

 
—

 
6.4

Convertible fixed maturity investments
(7.0
)
 
—

 
(7.0
)
 
(2.3
)
 
—

 
(2.3
)
Other long-term investments
8.8

 
4.3

 
13.1

 
16.6

 
1.0

 
17.6

Net unrealized investment (losses) gains, pre-tax
(13.0
)
 
27.3

 
14.3

 
29.0

 
4.7

 
33.7

Income tax expense attributable to net
   unrealized investment gains (losses)
(1.0
)
 
(7.3
)
 
(8.3
)
 
(9.2
)
 
(1.4
)
 
(10.6
)
Net unrealized investment (losses) gains, after-tax
$
(14.0
)
 
$
20.0

 
$
6.0

 
$
19.8

 
$
3.3

 
$
23.1


 
Three Months Ended
 
Six Months Ended
 
June 30, 2011
 
June 30, 2011
Millions
Net
unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total
changes in
fair value
reflected in
earnings
 
Net
unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total
changes in
fair value
reflected in
earnings
Fixed maturity investments
$
17.2

 
$
25.5

 
$
42.7

 
$
9.2

 
$
10.2

 
$
19.4

Short-term investments
—

 
(.4
)
 
(.4
)
 
—

 
(1.0
)
 
(1.0
)
Common equity securities
(18.8
)
 
(.1
)
 
(18.9
)
 
5.9

 
(.9
)
 
5.0

Convertible fixed maturity investments
(6.0
)
 
—

 
(6.0
)
 
(8.1
)
 
—

 
(8.1
)
Other long-term investments
(6.4
)
 
1.2

 
(5.2
)
 
(7.2
)
 
(3.9
)
 
(11.1
)
Net unrealized investment (losses) gains, pre-tax
(14.0
)
 
26.2

 
12.2

 
(.2
)
 
4.4

 
4.2

Income tax benefit (expense) attributable to net unrealized investment gains (losses)
1.9

 
(6.7
)
 
(4.8
)
 
2.1

 
(1.0
)
 
1.1

Net unrealized investment (losses) gains, after-tax
$
(12.1
)
 
$
19.5

 
$
7.4

 
$
1.9

 
$
3.4

 
$
5.3
Net unrealized investment gains (losses) for Level 3 investments
The following table summarizes the amount of total pre-tax gains (losses) included in earnings attributable to unrealized investment gains (losses) for Level 3 investments for the three and six months ended June 30, 2012 and 2011:
 
 
Three Months Ended
 
Six Months Ended
 
June 30,
 
June 30,
Millions
2012
 
2011
 
2012
 
2011
Fixed maturity investments
$
.5

 
$
(3.3
)
 
$
8.3

 
$
(1.4
)
Common equity securities
.5

 
1.3

 
1.0

 
(.5
)
Convertible fixed maturities
—

 
—

 
—

 
—

Other long-term investments
1.2

 
(2.2
)
 
8.4

 
(9.9
)
Total unrealized investment gains (losses), pre-tax - Level 3 investments
$
2.2

 
$
(4.2
)
 
$
17.7

 
$
(11.8
)
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 June 30, 2012 and December 31, 2011, were as follows:
 
 
 
June 30, 2012
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains (losses)
 
Carrying
value
U.S. Government and agency obligations
 
$
260.4

 
$
1.1

 
$
(.1
)
 
$
.5

 
$
261.9

Debt securities issued by corporations
 
2,259.1

 
82.9

 
(3.5
)
 
2.1

 
2,340.6

Municipal obligations
 
3.8

 
.1

 
—

 
—

 
3.9

Mortgage-backed and asset-backed securities
 
1,982.8

 
19.0

 
(1.8
)
 
9.0

 
2,009.0

Foreign government, agency and provincial obligations
 
542.5

 
7.5

 
(.1
)
 
(3.4
)
 
546.5

Preferred stocks
 
82.3

 
4.5

 
—

 
—

 
86.8

Total fixed maturity investments
 
$
5,130.9

 
$
115.1

 
$
(5.5
)
 
$
8.2

 
$
5,248.7

 
 
 
December 31, 2011
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains (losses)
 
Carrying
value
U.S. Government and agency obligations
 
$
299.4

 
$
5.3

 
$
(.1
)
 
$
.4

 
$
305.0

Debt securities issued by 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

 
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 June 30, 2012 and December 31, 2011, were as follows:
 
 
 
June 30, 2012
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
losses
 
Carrying
value
Common equity securities
 
$
849.5

 
$
87.2

 
$
(17.5
)
 
$
—

 
$
919.2

Convertible fixed maturity investments
 
$
143.1

 
$
4.8

 
$
(2.4
)
 
$
—

 
$
145.5

Other long-term investments
 
$
248.0

 
$
56.4

 
$
(9.5
)
 
$
(2.4
)
 
$
292.5

 
 
 
December 31, 2011
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
losses
 
Carrying
value
Common equity securities
 
$
691.7

 
$
72.0

 
$
(8.7
)
 
$
—

 
$
755.0

Convertible fixed maturity investments
 
$
139.2

 
$
6.2

 
$
(1.6
)
 
$
—

 
$
143.8

Other long-term investments
 
$
274.4

 
$
55.5

 
$
(25.2
)
 
$
(3.4
)
 
$
301.3
Other long-term investments
The following table summarizes investments in hedge funds and private equity interests by investment objective and sector at June 30, 2012 and December 31, 2011:
 
 
June 30, 2012
 
December 31, 2011
Millions
Fair Value
 
Unfunded
Commitments
 
Fair Value
 
Unfunded
Commitments
Hedge funds
 

 
 

 
 

 
 

Long/short equity
$
52.1

 
$
—

 
$
48.8

 
$
—

Long/short credit & distressed
33.0

 
—

 
32.3

 
—

Long diversified strategies
2.9

 
—

 
16.9

 
—

Long/short equity REIT
14.6

 
—

 
14.5

 
—

Long/short equity activist
13.4

 
—

 
12.3

 
—

Long bank loan
.4

 
—

 
.5

 
—

Total hedge funds
116.4

 
—

 
125.3

 
—

Private equity funds
 

 
 

 
 

 
 

Multi-sector
29.2

 
6.7

 
26.9

 
8.2

Energy infrastructure & services
30.3

 
9.4

 
28.0

 
9.9

Distressed residential real estate
21.5

 
—

 
27.4

 
—

Real estate
12.2

 
3.3

 
9.5

 
3.3

Private equity secondaries
10.9

 
3.4

 
11.3

 
4.0

International multi-sector, Europe
5.2

 
4.7

 
7.8

 
4.7

Manufacturing/Industrial
6.4

 
—

 
6.2

 
—

Healthcare
3.3

 
6.4

 
2.3

 
7.0

International multi-sector, Asia
3.3

 
2.7

 
3.6

 
2.6

Insurance
3.2

 
41.3

 
3.5

 
41.3

Venture capital
2.5

 
.5

 
2.4

 
.5

Total private equity funds
128.0

 
78.4

 
128.9

 
81.5

 
 
 
 
 
 
 
 
Total hedge and private equity funds included in
     other long-term investments
$
244.4

 
$
78.4

 
$
254.2

 
$
81.5
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, 2012 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
$
—

 
$
—

 
$
—

 
$
6.7

 
$
6.7

Quarterly
26.8

 
31.4

 
20.2

 
—

 
78.4

Semi-annual
—

 
5.4

 
—

 
14.6

 
20.0

Annual
2.9

 
—

 
8.0

 
.4

 
11.3

Total
$
29.7

 
$
36.8

 
$
28.2

 
$
21.7

 
$
116.4
Fair Value of private equity funds subject to lock-up periods
At June 30, 2012, 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
$33.9
$15.4
$72.3
$6.4
$128.0
Fair value measurements by level, investment securities
The following tables summarize White Mountains’ fair value measurements for investments at June 30, 2012 and December 31, 2011, by level. 
 
June 30, 2012
Millions
Fair value
 
Level 1 Inputs
 
Level 2 Inputs
 
Level 3 Inputs
Fixed maturity investments:
 

 
 

 
 

 
 

US Government and agency obligations
$
261.9

 
$
254.9

 
$
7.0

 
$
—

 
 
 
 
 
 
 
 
Debt securities issued by corporations:
 

 
 
 
 
 
 
Consumer
756.4

 
—

 
756.4

 
—

Industrial
430.1

 
—

 
430.1

 
—

Financials
307.1

 
2.0

 
305.1

 
—

Communications
255.8

 
—

 
255.8

 
—

Basic materials
201.1

 
—

 
201.1

 
—

Energy
192.5

 
—

 
192.5

 
—

Utilities
172.3

 
—

 
172.3

 
—

Technology
25.3

 
—

 
25.3

 
—

Diversified
—

 
—

 
—

 
—

Total debt securities issued by corporations:
2,340.6

 
2.0

 
2,338.6

 
—

 
 
 
 
 
 
 
 
Municipal obligations
3.9

 
—

 
3.9

 
—

Mortgage-backed and asset-backed securities
2,009.0

 
—

 
1,959.4

 
49.6

Foreign government, agency and provincial
     obligations
546.5

 
64.7

 
481.8

 
—

Preferred stocks
86.8

 
—

 
16.7

 
70.1

Total fixed maturity investments
5,248.7

 
321.6

 
4,807.4

 
119.7

 
 
 
 
 
 
 
 
Short-term investments
618.4

 
618.4

 
—

 
—

 
 
 
 
 
 
 
 
Common equity securities:
 

 
 

 
 

 
 

Financials
301.1

 
264.0

 
1.3

 
35.8

Consumer
230.8

 
230.7

 
.1

 
—

Basic materials
110.3

 
110.3

 
—

 
—

Energy
75.7

 
75.7

 
—

 
—

Technology
46.3

 
46.3

 
—

 
—

Utilities
38.6

 
38.4

 
.2

 
—

Other
116.4

 
64.5

 
51.9

 
—

Total common equity securities
919.2

 
829.9

 
53.5

 
35.8

 
 
 
 
 
 
 
 
Convertible fixed maturity investments
145.5

 
—

 
145.5

 
—

Other long-term investments (1) 
258.5

 
—

 
—

 
258.5

Total investments
$
7,190.3

 
$
1,769.9

 
$
5,006.4

 
$
414.0

 (1) Excludes carrying value of $34.0 associated with other long-term investment limited partnerships accounted for using the equity method.
 
December 31, 2011
Millions
Fair value
 
Level 1 Inputs
 
Level 2 Inputs
 
Level 3 Inputs
Fixed maturity investments:
 

 
 

 
 

 
 

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

 
—

Energy
155.8

 
—

 
155.8

 
—

Utilities
140.1

 
—

 
140.1

 
—

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 maturity investments (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) Excludes carrying value of $33.0 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.
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 June 30, 2012 and December 31, 2011:

 
Millions
June 30, 2012
 
December 31, 2011
AAA
$
—

 
$
—

AA
210.1

 
206.8

A
856.3

 
802.8

BBB
1,259.3

 
1,110.8

BB
7.4

 
6.2

Other
7.5

 
8.5

Debt securities issued by corporations (1)
$
2,340.6

 
$
2,135.1

(1) Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor’s, 2) Moody’s and 3) Bloomberg
Mortgage-backed, asset-backed securities
The following table summarizes mortgage and asset-backed securities as of June 30, 2012 and December 31, 2011:

 
June 30, 2012
 
December 31, 2011
Millions
Fair Value
 
Level 2
 
Level 3
 
Fair Value
 
Level 2
 
Level 3
Mortgage-backed securities:
 

 
 

 
 

 
 

 
 

 
 

Agency:
 

 
 

 
 

 
 

 
 

 
 

GNMA
$
1,357.8

 
$
1,322.5

 
$
35.3

 
$
1,365.8

 
$
1,365.8

 
$
—

FNMA
44.4

 
44.4

 
—

 
712.6

 
712.6

 
—

FHLMC
16.1

 
16.1

 
—

 
35.9

 
35.9

 
—

Total Agency (1)
1,418.3

 
1,383.0

 
35.3

 
2,114.3

 
2,114.3

 
—

Non-agency:
 

 
 

 
 

 
 

 
 

 
 

Residential
150.9

 
136.6

 
14.3

 
83.1

 
68.0

 
15.1

Commercial
375.0

 
375.0

 
—

 
276.7

 
276.7

 
—

Total Non-agency
525.9

 
511.6

 
14.3

 
359.8

 
344.7

 
15.1

 
 
 
 
 
 
 
 
 
 
 
 
Total mortgage-backed securities
1,944.2

 
1,894.6

 
49.6

 
2,474.1

 
2,459.0

 
15.1

Other asset-backed securities:


 
 

 
 

 
 

 
 

 
 

Credit card receivables
—

 
—

 
—

 
380.6

 
380.6

 
—

Vehicle receivables
35.0

 
35.0

 
—

 
345.6

 
345.6

 
—

Other
29.8

 
29.8

 
—

 
22.6

 
22.6

 
—

Total other asset-backed
     securities
64.8

 
64.8

 
—

 
748.8

 
748.8

 
—

Total mortgage and asset-
     backed securities
$
2,009.0

 
$
1,959.4

 
$
49.6

 
$
3,222.9

 
$
3,207.8

 
$
15.1

 (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 June 30, 2012 are as follows:

 
 
Security Issuance Year
Millions
Fair Value
2003
2006
2007
2009
2010
2011
2012
Non-agency RMBS
$
150.9

$
2.6

$
21.9

$
22.1

$
—

$
38.1

$
66.2

$
—

Non-agency CMBS
375.0

—

4.5

14.9

11.3

6.2

149.7

188.4

Total
$
525.9

$
2.6

$
26.4

$
37.0

$
11.3

$
44.3

$
215.9

$
188.4

 
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 June 30, 2012:

Millions
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Prime
$
136.0

 
$
40.4

 
$
95.6

 
$
—

Non-prime
14.9

 
14.3

 
.6

 
—

Sub-prime
—

 
—

 
—

 
—

Total
$
150.9

 
$
54.7

 
$
96.2

 
$
—

(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, 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’ non-agency CMBS securities are as follows as of June 30, 2012:

Millions
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Fixed rate CMBS
$
350.1

 
$
217.7

 
$
132.4

 
$
—

Floating rate CMBS
24.9

 
14.9

 
10.0

 
—

Total
$
375.0

 
$
232.6

 
$
142.4

 
$
—

(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, 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’ fair value measurements by level for the three and six months ended June 30, 2012 and 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, 2012
$
1,879.1

$
6,088.2

$
78.9

$
32.3

$
—

$
268.3

 
 
$
8,346.8

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

45.4

7.4

1.0

—

(3.3
)
 
 
50.5

  
Foreign currency gains
     (losses) through OCI
6.5

(11.1
)
.7

—

—

(1.3
)
 
 
(5.2
)
  
Amortization/Accretion
(.2
)
(23.3
)
(.8
)
—

—

—

 
 
(24.3
)
 
Purchases
4,559.3

2,758.6

138.8

2.5

—

19.8

 
 
7,479.0

 
Sales
(4,674.8
)
(3,872.4
)
(84.3
)
—

—

(25.0
)
 
 
(8,656.5
)
 
Transfers in
—

21.0

—

—

—



 
 
21.0

  
Transfers out
—

—

(21.0
)
—

—



 
 
(21.0
)
  
Balance at June 30, 2012
$
1,769.9

$
5,006.4

$
119.7

$
35.8

$
—

$
258.5

 
 
$
7,190.3

(1) 
(1)  Excludes carrying value of $33.0 and $34.0 at January 1, 2012 and June 30, 2012 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.
 
 
 
 
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)
10.6

14.0

(1.6
)
(1.6
)
—

12.2

  
 
33.6

 
Foreign currency gains (losses)
     through OCI
17.9

90.5

—

1.0

—

6.8

  
 
116.2

 
Amortization/Accretion
2.3

(27.8
)
—

—

—

—

  
 
(25.5
)
 
Purchases
4,058.3

2,796.9

52.7

3.9

—

25.8

  
 
6,937.6

 
Sales
(4,315.7
)
(3,076.9
)
—

—

—

(77.0
)
 
 
(7,469.6
)
 
Transfers in
—

57.5

1.0

—

—

—

  
 
58.5

 
Transfers out
—

(1.0
)
(57.5
)
—

—

—

  
 
(58.5
)
 
Balance at June 30, 2011
$
1,667.8

$
5,330.6

$
123.0

$
74.5

$
—

$
298.0

(1) 
 
$
7,493.9

(1) 
 (1) Excludes carrying value of $35.3 and $41.9 at June 30, 2011 and January 1, 2011 associated with other long-term investment limited partnerships accounted for using the equity method.
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 classified within Level 3 at June 30, 2012:
 
($ in Millions)
June 30, 2012
 
Description
Fair Value
Rating
Valuation Technique(s)
Unobservable Input
Range(1)
 
Agency CMBS
$35.3
AA+
Discounted cash flow
Prepayment rate/ default rate
15.0
%
CPJ (2)




Discount yield
1.2
%
 
Non-Agency RMBS
$14.3
CCC
Single broker indication(3)
N/A
N/A

 
Preferred Stock
$70.1
NR
Discounted cash flow
Discount yield
8.7
%
 
(1) Each asset type consists of one security.
(2) CPJ refers to the market convention for prepayment and default vector assumptions.
(3) White Mountains uses brokers and outside pricing services to assist in determining fair values. For investments in active markets, White Mountains uses the quoted market prices provided by outside pricing services to determine fair value and performs procedures to validate the market prices obtained from the outside pricing sources. As a result of these procedures, White Mountains did not use the price provided by a third party pricing vendor and chose to use a single broker indication for this security. At June 30, 2012, the estimated fair value for this security was $1.1 million less than the estimated fair value based upon quoted prices provided by a third party pricing vendor.