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Investment Securities (Tables)
 12 Months Ended
Dec. 31, 2012
Investments, Debt and Equity Securities [Abstract]  
Pre-tax net investment income
Pre-tax net investment income for 2012, 2011 and 2010 consisted of the following:
 
 
Year Ended December 31,
Millions
 
2012
 
2011
 
2010
Investment income:
 
 
 
 
 
 
Fixed maturity investments
 
$
132.0

 
$
166.2

 
$
194.7

Short-term investments
 
3.1

 
4.5

 
3.0

Common equity securities
 
22.2

 
15.4

 
10.2

Convertible fixed maturity investments
 
6.0

 
5.5

 
5.6

Other long-term investments
 
3.1

 
4.2

 
6.0

Interest on funds held under reinsurance treaties
 
.6

 
(.4
)
 
(1.7
)
Total investment income
 
167.0

 
195.4

 
217.8

Third-party investment expenses
 
(13.4
)
 
(10.9
)
 
(8.9
)
Net investment income, pre-tax
 
$
153.6

 
$
184.5

 
$
208.9
Net Realized and Unrealized Investment Gains and Losses
The following table summarizes net realized investment gains (losses) and changes in the carrying value of investments measured at fair value:
 
 
Year Ended December 31, 2012
Millions
 
Net
realized and unrealized
gains
(losses)
 
Net
foreign
currency
gains
(losses)
 
Total net realized
and unrealized gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
101.0

 
$
(48.4
)
 
$
52.6

Short-term investments
 
—

 
(4.2
)
 
(4.2
)
Common equity securities
 
67.2

 
(.1
)
 
67.1

Convertible fixed maturity investments
 
2.5

 
—

 
2.5

Other long-term investments
 
5.0

 
(4.5
)
 
.5

Forward contracts
 
(.3
)
 
—

 
(.3
)
Net realized and unrealized investment gains (losses), pre-tax
 
175.4

 
(57.2
)
 
118.2

Income taxes attributable to realized and unrealized investment gains (losses)
 
(41.7
)
 
14.9

 
(26.8
)
Net realized and unrealized investment gains (losses), after-tax
 
$
133.7

 
$
(42.3
)
 
$
91.4

 
 
Year Ended December 31, 2011
Millions
 
Net
realized and unrealized
gains
(losses)
 
Net
foreign
currency
gains
(losses)
 
Total net realized
and unrealized gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
57.0

 
$
30.6

 
$
87.6

Short-term investments
 
—

 
(11.0
)
 
(11.0
)
Common equity securities
 
(6.0
)
 
(1.8
)
 
(7.8
)
Convertible fixed maturity investments
 
(13.7
)
 
—

 
(13.7
)
Other long-term investments
 
16.1

 
2.9

 
19.0

Net realized and unrealized investment gains, pre-tax
 
53.4

 
20.7

 
74.1

Income taxes attributable to realized and unrealized investment gains
 
(13.0
)
 
(5.1
)
 
(18.1
)
Net realized and unrealized investment gains, after-tax
 
$
40.4

 
$
15.6

 
$
56.0

 
 
Year Ended December 31, 2010
Millions
 
Net
realized and unrealized
gains
(losses)
 
Net
foreign
currency
gains
(losses)
 
Total net realized
and unrealized gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
29.5

 
$
(61.6
)
 
$
(32.1
)
Short-term investments
 
—

 
(9.1
)
 
(9.1
)
Common equity securities
 
79.3

 
(8.0
)
 
71.3

Convertible fixed maturity investments
 
11.3

 
—

 
11.3

Other long-term investments
 
33.5

 
2.7

 
36.2

Net realized and unrealized investment gains (losses), pre-tax
 
153.6

 
(76.0
)
 
77.6

Income taxes attributable to realized and unrealized investment gains (losses)
 
(41.6
)
 
20.1

 
(21.5
)
Net realized and unrealized investment gains (losses), after-tax
 
$
112.0

 
$
(55.9
)
 
$
56.1
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, 2012, 2011 and 2010.
 
 
Year Ended December 31,
Millions
 
2012
 
2011
 
2010
Fixed maturities
 
$
7.7

 
$
(12.2
)
 
$
10.2

Common equity securities
 
3.0

 
(16.6
)
 
(19.2
)
Convertible fixed maturities
 
—

 
—

 
—

Other long-term investments
 
7.0

 
(16.8
)
 
39.0

Total net unrealized investment gains (losses), pre-tax - Level 3 investments
 
$
17.7

 
$
(45.6
)
 
$
30.0
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 were as follows:
 
 
Year Ended December 31,
Millions
 
2012
 
2011
 
2010
Net change in pre-tax unrealized gains (losses) on investments in unconsolidated affiliates
 
$
62.8

 
$
(63.6
)
 
$
72.7

Income taxes
 
(5.1
)
 
5.1

 
.8

Net change in unrealized gains (losses) on investments in unconsolidated affiliates, after tax
 
57.7

 
(58.5
)
 
73.5

Net realized and unrealized foreign currency gains (losses) on investments through OCI
 
95.5

 
(41.7
)
 
107.9

Total investments gains (losses) through accumulated other comprehensive income
 
153.2

 
(100.2
)
 
181.4

Net realized and unrealized investment gains, after-tax
 
91.4

 
56.0

 
56.1

Total investment gains (losses) recorded during the period, after-tax
 
$
244.6

 
$
(44.2
)
 
$
237.5
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, 2012 and 2011, were as follows:
 
 
December 31, 2012
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
losses
 
Carrying
value
US Government and agency obligations
 
$
440.4

 
$
1.0

 
$
(0.1
)
 
$
(1.2
)
 
$
440.1

Debt securities issued by industrial corporations
 
2,321.4

 
88.3

 
(1.6
)
 
(23.0
)
 
2,385.1

Municipal obligations
 
5.3

 
—

 
(0.1
)
 
—

 
5.2

Mortgage-backed and asset-backed securities
 
2,081.0

 
25.1

 
(1.1
)
 
(9.4
)
 
2,095.6

Foreign government, agency and provincial obligations
 
526.6

 
6.9

 
(3.0
)
 
(8.6
)
 
521.9

Preferred stocks
 
79.9

 
6.7

 
—

 
(0.2
)
 
86.4

Total fixed maturity investments including assets held for sale
 
$
5,454.6

 
$
128.0

 
$
(5.9
)
 
$
(42.4
)
 
$
5,534.3

Fixed maturity investments reclassified to assets held for sale (1)
 
 
 
 
 
 
 
 
 
(338.1
)
Total fixed maturity investments
 
 
 
 
 
 
 
 
 
$
5,196.2

(1) Assets held for sale related to discontinued operations. See Note 20.
 
 
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

 
$
(0.1
)
 
$
0.4

 
$
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

 
(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 (1)
 
 
 
 
 
 
 
 
 
(111.8
)
Total fixed maturity investments
 
 
 
 
 
 
 
 
 
$
6,221.9

(1) Assets held for sale related to discontinued operations. See Note 20.
Schedule of contractual maturities of fixed maturities
The cost or amortized cost and carrying value of White Mountains’ fixed maturity investments and convertible fixed maturity investments at December 31, 2012 is presented below by contractual maturity. 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, 2012
Millions
 
Cost or
amortized cost
 
Carrying
value
Due in one year or less
 
$
395.9

 
$
396.7

Due after one year through five years
 
2,297.8

 
2,336.7

Due after five years through ten years
 
648.9

 
671.6

Due after ten years
 
72.8

 
74.7

Mortgage-backed and asset-backed securities
 
2,081.0

 
2,095.6

Preferred stocks
 
79.9

 
86.4

Total
 
$
5,576.3

 
$
5,661.7
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 maturity investments and other long-term investments as of December 31, 2012 and 2011 were as follows:
 
 
December 31, 2012
Millions
 
Cost or
amortized cost
 
Gross unrealized
gains
 
Gross unrealized
losses
 
Net foreign
currency losses
 
Carrying
value
Common equity securities
 
$
895.2

 
$
143.4

 
$
(8.8
)
 
$
(.1
)
 
$
1,029.7

Convertible fixed maturity investments
 
$
121.7

 
$
6.1

 
$
(.4
)
 
$
—

 
$
127.4

Other long-term investments
 
$
257.2

 
$
65.9

 
$
(22.8
)
 
$
(6.1
)
 
$
294.2

 
 
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
Fair value measurements by level, investment securities
The following tables summarize White Mountains’ fair value measurements for investments at December 31, 2012 and 2011 by level. The fair value measurements for derivative assets associated with White Mountains’ variable annuity business are presented in Note 8.
 
 
December 31, 2012
Millions
 
Fair value
 
Level 1 Inputs
 
Level 2 Inputs
 
Level 3 Inputs
Fixed maturity investments:
 
 
 
 
 
 
 
 
U.S. Government and agency obligations
 
$
440.1

 
$
369.1

 
$
71.0

 
$
—

Debt securities issued by corporations:
 
 

 
 
 
 
 
 
Consumer
 
727.1

 
—

 
727.1

 
—

Industrial
 
330.8

 
—

 
330.8

 
—

Financials
 
401.4

 
1.0

 
400.4

 
—

Communications
 
276.1

 
—

 
276.1

 
—

Energy
 
181.5

 
—

 
181.5

 
—

Basic materials
 
189.1

 
—

 
189.1

 
—

Utilities
 
204.2

 
—

 
204.2

 
—

Technology
 
54.0

 
—

 
54.0

 
—

Other
 
20.9

 
—

 
20.9

 
—

Total debt securities issued by corporations:
 
2,385.1

 
1.0

 
2,384.1

 
—

 
 
 
 
 
 
 
 
 
Municipal obligations
 
5.2

 
—

 
5.2

 
—

Mortgage-backed and asset-backed securities
 
2,095.6

 
—

 
2,073.5

 
22.1

Foreign government, agency and provincial obligations
 
521.9

 
52.1

 
469.8

 
—

Preferred stocks
 
86.4

 
—

 
15.6

 
70.8

Total fixed maturity investments (1)
 
5,534.3

 
422.2

 
5,019.2

 
92.9

 
 
 
 
 
 
 
 
 
Short-term investments
 
630.6

 
630.6

 
—

 
—

 
 
 
 
 
 
 
 
 
Common equity securities:
 
 

 
 

 
 

 
 

Financials
 
324.5

 
286.3

 
.9

 
37.3

Consumer
 
255.6

 
255.6

 
—

 
—

Basic materials
 
103.3

 
103.3

 
—

 
—

Energy
 
101.0

 
101.0

 
—

 
—

Utilities
 
43.6

 
43.4

 
.2

 
—

Technology
 
90.2

 
90.2

 
—

 
—

Other
 
111.5

 
53.1

 
58.4

 
—

Total common equity securities
 
1,029.7

 
932.9

 
59.5

 
37.3

Convertible fixed maturity investments
 
127.4

 
—

 
127.4

 
—

Other long-term investments (2) 
 
259.3

 
—

 
—

 
259.3

Total investments
 
$
7,581.3

 
$
1,985.7

 
$
5,206.1

 
$
389.5

(1) Carrying value includes $338.1 that is classified as assets held for sale relating to discontinued operations.
(2) Excludes carrying value of $35.0 associated with other long-term investment limited partnerships accounted for using the equity method and $(0.1) related to currency forward contracts.
 
 
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) Carrying value includes $111.8 that is classified as assets held for sale relating to discontinued operations.
(2) Excludes carrying value of $33.0 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, 2012 and 2011:
 
 
Fair Value at
 
 
December 31,
Millions
 
2012
 
2011
AAA
 
$
—

 
$
—

AA
 
193.4

 
206.8

A
 
1,061.0

 
802.8

BBB
 
1,116.9

 
1,110.8

BB
 
7.0

 
6.2

Other
 
6.8

 
8.5

Debt securities issued by corporations (1)
 
$
2,385.1

 
$
2,135.1

(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 (“Moody’s”).
Mortgage-backed, asset-backed securities
 
 
December 31, 2012
 
December 31, 2011
Millions
 
Fair Value
 
Level 2
 
Level 3
 
Fair Value
 
Level 2
 
Level 3
Mortgage-backed securities:
 
 

 
 

 
 

 
 

 
 

 
 

Agency:
 
 

 
 

 
 

 
 

 
 

 
 

GNMA
 
$
1,013.4

 
$
1,013.4

 
$
—

 
$
1,365.8

 
$
1,365.8

 
$
—

FNMA
 
74.6

 
74.6

 
—

 
712.6

 
712.6

 
—

FHLMC
 
55.8

 
55.8

 
—

 
35.9

 
35.9

 
—

Total Agency (1)
 
1,143.8

 
1,143.8

 
—

 
2,114.3

 
2,114.3

 
—

Non-agency:
 
 

 
 

 
 

 
 

 
 

 
 

Residential
 
160.6

 
160.6

 
—

 
83.1

 
68.0

 
15.1

Commercial
 
334.1

 
334.1

 
—

 
276.7

 
276.7

 
—

Total Non-agency
 
494.7

 
494.7

 
—

 
359.8

 
344.7

 
15.1

 
 
 
 
 
 
 
 
 
 
 
 
 
Total mortgage-backed securities
 
1,638.5

 
1,638.5

 
—

 
2,474.1

 
2,459.0

 
15.1

Other asset-backed securities:
 
 

 
 
 
 
 
 

 
 

 
 

Credit card receivables
 
173.5

 
151.4

 
22.1

 
380.6

 
380.6

 
—

Vehicle receivables
 
265.1

 
265.1

 
—

 
345.6

 
345.6

 
—

Other
 
18.5

 
18.5

 
—

 
22.6

 
22.6

 
—

Total other asset-backed securities
 
457.1

 
435.0

 
22.1

 
748.8

 
748.8

 
—

Total mortgage and asset-backed securities
 
$
2,095.6

 
$
2,073.5

 
$
22.1

 
$
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 December 31, 2012 are as follows:
 
 
 
 
Security Issuance Year
 
 
Millions
 
Fair Value
 
2003
 
2006
 
2007
 
2009
 
2010
 
2011
 
2012
Non-agency RMBS
 
$
160.6

 
$
2.0

 
$
21.4

 
$
5.9

 
$
1.7

 
$
54.0

 
$
75.6

 
$
—

Non-agency CMBS
 
334.1

 
—

 
8.8

 
15.6

 
—

 
13.4

 
99.8

 
196.5

Total
 
494.7

 
$
2.0

 
$
30.2

 
$
21.5

 
$
1.7

 
$
67.4

 
$
175.4

 
$
196.5
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, 2012:
Millions
 
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Prime
 
$
160.1

 
$
9.7

 
$
150.4

 
$
—

Non-prime
 
.5

 
—

 
.5

 
—

Sub-prime
 
—

 
—

 
—

 
—

Total
 
$
160.6

 
$
9.7

 
$
150.9

 
$
—

(1) At issuance, Super Senior were rated AAA by Standard & Poor’s, Aaa by Moody’s or AAA by Fitch Ratings (“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 December 31, 2012:
Millions
 
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Fixed rate CMBS
 
$
311.5

 
$
212.3

 
$
90.4

 
$
8.8

Floating rate CMBS
 
22.6

 
15.6

 
1.4

 
5.6

Total
 
$
334.1

 
$
227.9

 
$
91.8

 
$
14.4

(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. 
Other long-term investments
The following table summarizes investments in hedge funds and private equity interests by investment objective and sector at December 31, 2012 and December 31, 2011:
 
 
December 31, 2012
 
December 31, 2011
Millions
 
Fair Value
 
Unfunded
Commitments (1)
 
Fair Value
 
Unfunded
Commitments
Hedge funds
 
 

 
 

 
 

 
 

Long/short equity
 
$
60.3

 
$
—

 
$
48.8

 
$
—

Long/short credit & distressed
 
22.7

 
—

 
32.3

 
—

Long diversified strategies
 
1.7

 
—

 
16.9

 
—

Long/short equity REIT
 
16.0

 
—

 
14.5

 
—

Long/short equity activist
 
13.6

 
—

 
12.3

 
—

Long bank loan
 
.3

 
—

 
.5

 
—

Total hedge funds
 
114.6

 
—

 
125.3

 
—

 
 
 
 
 
 
 
 
 
Private equity funds
 
 

 
 

 
 

 
 

Multi-sector
 
23.3

 
5.4

 
26.9

 
8.2

Energy infrastructure & services
 
36.3

 
15.6

 
28.0

 
9.9

Distressed residential real estate
 
15.8

 
—

 
27.4

 
—

Real estate
 
11.6

 
3.3

 
9.5

 
3.3

Private equity secondaries
 
10.5

 
3.1

 
11.3

 
4.0

International multi-sector, Europe
 
5.1

 
5.0

 
7.8

 
4.7

Manufacturing/Industrial
 
9.9

 
15.1

 
6.2

 
—

Healthcare
 
4.3

 
5.4

 
2.3

 
7.0

International multi-sector, Asia
 
.4

 
2.7

 
3.6

 
2.6

Insurance
 
3.0

 
41.3

 
3.5

 
41.3

Aerospace/Defense/Government
 
2.8

 
22.2

 
—

 
—

Venture capital
 
2.2

 
.3

 
2.4

 
.5

Total private equity funds
 
125.2

 
119.4

 
128.9

 
81.5

 
 
 
 
 
 
 
 
 
Total hedge and private equity funds included in other long-term investments
 
$
239.8

 
$
119.4

 
$
254.2

 
$
81.5

(1) White Mountains also has unfunded commitments to a tax advantaged federal affordable housing development fund of $5.3 at December 31, 2012.
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, 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
 
28.4

 
29.3

 
8.7

 
9.9

 
76.3

Semi-annual
 
—

 
21.8

 
—

 
—

 
21.8

Annual
 
1.7

 
—

 
7.8

 
0.3

 
9.8

Total
 
$
30.1

 
$
51.1

 
$
16.5

 
$
16.9

 
$
114.6
Fair Value of private equity funds subject to lock-up periods
At December 31, 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
 
$
24.6

 
$
11.7

 
79.0

 
$
9.9

 
125.2
Rollforward of fair value investments by level
The following tables summarize the changes in White Mountains’ fair value measurements by level for the year ended December 31, 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)
 
46.8

 
53.6

 
8.7

 
12.4

 
—

 
(3.3
)
 
118.2

  
Foreign currency gains (losses) in OCI and other revenue
 
8.9

 
81.9

 
.8

 
.2

 
—

 
3.7

 
95.5

  
Amortization/Accretion
 
(.8
)
 
(48.0
)
 
(.8
)
 
—

 
—

 
—

 
(49.6
)
 
Purchases
 
7,266.5

 
4,927.1

 
144.4

 
3.1

 
—

 
39.4

 
12,380.5

 
Sales
 
(7,214.8
)
 
(5,937.0
)
 
(99.4
)
 
(10.1
)
 
—

 
(48.8
)
 
(13,310.1
)
 
Transfers in
 
—

 
62.4

 
22.1

 
—

 
—

 
—

 
84.5

  
Transfers out
 
—

 
(22.1
)
 
(61.8
)
 
(.6
)
 
—

 
—

 
(84.5
)
  
Balance at
December 31, 2012
 
$
1,985.7

 
$
5,206.1

 
$
92.9

 
$
37.3

 
$
—

 
$
259.3

 
$
7,581.3

(1)(2) 
(1)  Excludes carrying value of $33.0 and $35.0 at January 1, 2012 and December 31, 2012 associated with other long-term investments accounted for using the equity method and $(0.1) at December 31, 2012 related to currency forward contracts.
(2)  Carrying value includes $111.8 and $338.1 at January 1, 2012 and December 31, 2012 that is classified as assets held for sale relating to 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 (losses) gains
 
(1.4
)
 
113.2

 
(8.1
)
 
(4.7
)
 
—

 
19.5

  
118.5

 
Foreign currency gains (losses) in OCI and other revenue
 
4.6

 
(76.1
)
 
(4.4
)
 
1.6

 
—

 
(5.0
)
  
(79.3
)
 
Amortization/Accretion
 
2.3

 
(54.2
)
 
0.3

 
—

 
—

 
—

  
(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

 
$
78.9

 
$
32.3

 
$
—

 
$
268.3

(1) 
$
8,346.8

(1)(2) 
(1) Excludes carrying value of $33.0 and $41.9 at December 31, 2011 and January 1, 2011 associated with other long-term investment limited partnerships accounted for using the equity method.
(2)  Carrying value includes $111.8 that is classified as assets held for sale relating to AutoOne discontinued operations.
Schedule of significant unobservable inputs used in estimating the fair value of investment securities
The following summarizes significant unobservable inputs used in estimating the fair value of investment securities classified within Level 3 at December 31, 2012:
($ in Millions)
 
December 31, 2012
 
Description
 
Fair Value
Rating
Valuation Technique(s)
Unobservable Input
Asset-backed securities (1)
 
$22.1
AA+
Broker pricing
Broker quote
 
Preferred Stock (1)
 
$70.8
NR
Discounted cash flow
Discount yield
7.6
%
Private equity securities
 
$36.9
NR
Multiple of GAAP book value
Book value multiple
1.0

(1) As of December 31, 2012 each asset type consists of one security.