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Investment Securities (Tables)
 9 Months Ended
Sep. 30, 2013
Investments, Debt and Equity Securities [Abstract]  
Pre-tax net investment income
Pre-tax net investment income for the three and nine months ended September 30, 2013 and 2012 consisted of the following:
 
 
Three Months Ended
 
Nine Months Ended
 
 
September 30,
 
September 30,
Millions
 
2013
 
2012
 
2013
 
2012
Investment income:
 
 
 
 
 
 
 
 
Fixed maturity investments
 
$
25.1

 
$
33.0

 
$
76.3

 
$
105.1

Short-term investments
 
1.1

 
.5

 
2.9

 
2.3

Common equity securities
 
4.4

 
4.8

 
14.0

 
13.8

Convertible fixed maturity investments
 
.7

 
2.0

 
2.1

 
5.9

Other long-term investments
 
1.2

 
.7

 
2.7

 
2.2

Interest on funds held under reinsurance treaties
 
—

 
—

 
.2

 
—

Total investment income
 
32.5

 
41.0

 
98.2

 
129.3

Less third-party investment expenses
 
(5.2
)
 
(3.4
)
 
(13.7
)
 
(9.5
)
Net investment income, pre-tax
 
$
27.3

 
$
37.6

 
$
84.5

 
$
119.8
Schedule of Realized and Unrealized Gain (Loss) on Investments [Table Text Block]
Net realized and unrealized investment gains and losses for the three and nine months ended September 30, 2013 and 2012 consisted of the following:
 
 
Three Months Ended
 
Nine Months Ended
 
 
September 30,
 
September 30,
Millions
 
2013
 
2012
 
2013
 
2012
Net realized investment gains, pre-tax
 
$
11.7

 
$
23.7

 
$
60.2

 
$
40.5

Net unrealized investment gains, pre-tax
 
16.5

 
49.0

 
5.9

 
82.7

Net realized and unrealized investment gains, pre-tax
 
28.2

 
72.7

 
66.1

 
123.2

Income tax expense attributable to net realized and
     unrealized investment gains
 
(1.2
)
 
(12.3
)
 
(2.5
)
 
(28.3
)
Net realized and unrealized investment gains, after tax
 
$
27.0

 
$
60.4

 
$
63.6

 
$
94.9
Realized Gain (Loss) on Investments [Table Text Block]
Net realized investment gains (losses) for the three and nine months ended September 30, 2013 and 2012 consisted of the following:
 
 
Three Months Ended
 
Three Months Ended
 
 
September 30, 2013
 
September 30, 2012
Millions
 
Net
realized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total net realized
gains (losses)
reflected in
earnings
 
Net
realized
gains
(losses)
 
Net
foreign
currency
gains
(losses)
 
Total net realized
gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
(9.1
)
 
$
(.3
)
 
$
(9.4
)
 
$
32.2

 
$
(3.2
)
 
$
29.0

Short-term investments
 
—

 
(.6
)
 
(.6
)
 
—

 
(3.4
)
 
(3.4
)
Common equity securities
 
23.5

 
(3.0
)
 
20.5

 
3.9

 
—

 
3.9

Convertible fixed maturity investments
 
(.2
)
 
—

 
(.2
)
 
1.1

 
—

 
1.1

Other long-term investments
 
(1.1
)
 
3.0

 
1.9

 
(6.0
)
 
(1.2
)
 
(7.2
)
Forward contracts
 
(.5
)
 
—

 
(.5
)
 
.3

 
—

 
.3

Net realized investment gains (losses),
   pre-tax
 
12.6

 
(.9
)
 
11.7

 
31.5

 
(7.8
)
 
23.7

Income tax expense attributable to
net realized investment
(losses) gains
 
(.4
)
 
.4

 
—

 
(9.4
)
 
2.0

 
(7.4
)
Net realized investment gains (losses),
   after tax
 
$
12.2

 
$
(.5
)
 
$
11.7

 
$
22.1

 
$
(5.8
)
 
$
16.3


 
 
Nine Months Ended
 
Nine Months Ended
 
 
September 30, 2013
 
September 30, 2012
Millions
 
Net
realized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total net realized
gains (losses)
reflected in
earnings
 
Net
realized
gains
(losses)
 
Net
foreign
currency
gains
(losses)
 
Total net realized
gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
12.9

 
$
(14.4
)
 
$
(1.5
)
 
$
73.5

 
$
(4.0
)
 
$
69.5

Short-term investments
 
.2

 
—

 
.2

 
—

 
(3.9
)
 
(3.9
)
Common equity securities
 
60.7

 
(3.0
)
 
57.7

 
(2.2
)
 
—

 
(2.2
)
Convertible fixed maturity investments
 
(.7
)
 
—

 
(.7
)
 
3.2

 
—

 
3.2

Other long-term investments
 
4.8

 
—

 
4.8

 
(24.8
)
 
(1.6
)
 
(26.4
)
Forward contracts
 
(.3
)
 
—

 
(.3
)
 
.3

 
—

 
.3

Net realized investment gains (losses),
   pre-tax
 
77.6

 
(17.4
)
 
60.2

 
50.0

 
(9.5
)
 
40.5

Income tax expense attributable to
net realized investment
(losses) gains
 
(17.8
)
 
5.1

 
(12.7
)
 
(15.3
)
 
2.5

 
(12.8
)
Net realized investment gains (losses),
   after tax
 
$
59.8

 
$
(12.3
)
 
$
47.5

 
$
34.7

 
$
(7.0
)
 
$
27.7
Schedule of realized and unrealized gain (loss) on investments
he following table summarizes net unrealized investment gains (losses) for the three and nine months ended September 30, 2013 and 2012:
 
 
Three Months Ended
 
Three Months Ended
 
 
September 30, 2013
 
September 30, 2012
Millions
 
Net
unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total net unrealized
gains (losses)
reflected in
earnings
 
Net
unrealized
gains
(losses)
 
Net
foreign
currency
gains
(losses)
 
Total net unrealized
gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
9.3

 
$
(30.5
)
 
$
(21.2
)
 
$
27.2

 
$
(40.6
)
 
$
(13.4
)
Short-term investments
 
—

 
.1

 
.1

 
—

 
.1

 
.1

Common equity securities
 
35.6

 
(2.0
)
 
33.6

 
65.1

 
(.1
)
 
65.0

Convertible fixed maturity investments
 
2.4

 
(.1
)
 
2.3

 
(.6
)
 
—

 
(.6
)
Other long-term investments
 
3.1

 
(1.4
)
 
1.7

 
1.6

 
(3.7
)
 
(2.1
)
Forward contracts
 
—

 
—

 
—

 
—

 
—

 
—

Net unrealized investment gains
   (losses), pre-tax
 
50.4

 
(33.9
)
 
16.5

 
93.3

 
(44.3
)
 
49.0

Income tax expense attributable to
net unrealized investment
(losses) gains
 
(8.6
)
 
7.4

 
(1.2
)
 
(16.7
)
 
11.8

 
(4.9
)
Net unrealized investment gains
   (losses), after tax
 
$
41.8

 
$
(26.5
)
 
$
15.3

 
$
76.6

 
$
(32.5
)
 
$
44.1


 
 
Nine Months Ended
 
Nine Months Ended
 
 
September 30, 2013
 
September 30, 2012
Millions
 
Net
unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total net unrealized
gains (losses)
reflected in
earnings
 
Net
unrealized
gains
(losses)
 
Net
foreign
currency
gains
(losses)
 
Total net unrealized
gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
(94.8
)
 
$
6.2

 
$
(88.6
)
 
$
35.5

 
$
(36.9
)
 
$
(1.4
)
Short-term investments
 
—

 
—

 
—

 
—

 
.1

 
.1

Common equity securities
 
85.2

 
(1.0
)
 
84.2

 
71.5

 
(.1
)
 
71.4

Convertible fixed maturity investments
 
(.5
)
 
—

 
(.5
)
 
(2.9
)
 
—

 
(2.9
)
Other long-term investments
 
7.6

 
3.2

 
10.8

 
18.2

 
(2.7
)
 
15.5

Forward contracts
 
—

 
—

 
—

 
—

 
—

 
—

Net unrealized investment gains
   (losses), pre-tax
 
(2.5
)
 
8.4

 
5.9

 
122.3

 
(39.6
)
 
82.7

Income tax expense attributable to
net unrealized investment
(losses) gains
 
13.1

 
(2.9
)
 
10.2

 
(25.9
)
 
10.4

 
(15.5
)
Net unrealized investment gains
   (losses), after tax
 
$
10.6

 
$
5.5

 
$
16.1

 
$
96.4

 
$
(29.2
)
 
$
67.2
Net unrealized investment gains (losses) for Level 3 investments
The following table summarizes the amount of total pre-tax gains included in earnings attributable to unrealized investment gains for Level 3 investments for the three and nine months ended September 30, 2013 and 2012:
 
 
Three Months Ended
 
Nine Months Ended
 
 
September 30,
 
September 30,
Millions
 
2013
 
2012
 
2013
 
2012
Fixed maturity investments
 
$
(2.2
)
 
$
(1.0
)
 
$
(2.4
)
 
$
7.3

Common equity securities
 
(.7
)
 
.8

 
—

 
1.8

Other long-term investments
 
.9

 
2.9

 
8.7

 
11.3

Total unrealized investment gains, pre-tax - Level 3 investments
 
$
(2.0
)
 
$
2.7

 
$
6.3

 
$
20.4
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’ fixed maturity investments as of September 30, 2013 and December 31, 2012 were as follows: 
 
 
September 30, 2013
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains (losses)
 
Carrying
value
U.S. Government and agency obligations
 
$
390.8

 
$
.6

 
$
(.8
)
 
$
(2.4
)
 
$
388.2

Debt securities issued by corporations
 
2,303.1

 
48.5

 
(12.7
)
 
(21.7
)
 
2,317.2

Municipal obligations
 
5.3

 
.5

 
(.3
)
 
—

 
5.5

Mortgage-backed and asset-backed securities
 
1,931.2

 
2.8

 
(12.4
)
 
(5.8
)
 
1,915.8

Foreign government, agency and provincial obligations
 
452.7

 
4.0

 
(7.6
)
 
(6.3
)
 
442.8

Preferred stocks
 
79.9

 
4.5

 
—

 
(.2
)
 
84.2

Total fixed maturity investments including assets
    held for sale
 
$
5,163.0

 
$
60.9

 
$
(33.8
)
 
$
(36.4
)
 
$
5,153.7

Fixed maturity investments reclassified to assets
    held for sale related to the Runoff Transaction
 
 
 
 
 
 
 
 
 
(239.7
)
Total fixed maturity investments
 
 
 
 
 
 
 
 
 
$
4,914.0

 
 
 
December 31, 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
 
$
440.4

 
$
1.0

 
$
(.1
)
 
$
(1.2
)
 
$
440.1

Debt securities issued by corporations
 
2,321.4

 
88.3

 
(1.6
)
 
(23.0
)
 
2,385.1

Municipal obligations
 
5.3

 
—

 
(.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

 
—

 
(.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 related to the Runoff Transaction
 
 

 
 

 
 

 
 

 
(338.1
)
Total fixed maturity investments
 
 

 
 

 
 

 
 

 
$
5,196.2


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 September 30, 2013 and December 31, 2012 were as follows:
 
 
September 30, 2013
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains (losses)
 
Carrying
value
Common equity securities
 
$
881.5

 
$
233.8

 
$
(3.5
)
 
$
(1.1
)
 
$
1,110.7

Convertible fixed maturity investments
 
$
79.7

 
$
5.8

 
$
(.6
)
 
$
(.1
)
 
$
84.8

Other long-term investments
 
$
252.6

 
$
77.8

 
$
(27.4
)
 
$
(3.0
)
 
$
300.0

 
 
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
Other long-term investments
The following table summarizes investments in hedge funds and private equity interests by investment objective and sector at September 30, 2013 and December 31, 2012:
 
 
September 30, 2013
 
December 31, 2012
Millions
 
Fair Value
 
Unfunded
Commitments
 
Fair Value
 
Unfunded
Commitments
Hedge funds
 
 

 
 

 
 

 
 

Long/short equity
 
$
61.4

 
$
—

 
$
60.3

 
$
—

Long/short credit & distressed
 
22.0

 
—

 
22.7

 
—

Long diversified strategies
 
1.6

 
—

 
1.7

 
—

Long/short equity REIT
 
16.7

 
—

 
16.0

 
—

Long/short equity activist
 
15.3

 
—

 
13.6

 
—

Long bank loan
 
.2

 
—

 
.3

 
—

Total hedge funds
 
117.2

 
—

 
114.6

 
—

 
 
 
 
 
 
 
 
 
Private equity funds
 
 

 
 

 
 

 
 

Multi-sector
 
26.6

 
7.2

 
23.3

 
5.4

Energy infrastructure & services
 
45.5

 
13.4

 
36.3

 
15.6

Distressed residential real estate
 
9.4

 
—

 
15.8

 
—

Real estate
 
9.4

 
3.3

 
11.6

 
3.3

Private equity secondaries
 
9.6

 
3.1

 
10.5

 
3.1

International multi-sector, Europe
 
4.3

 
4.9

 
5.1

 
5.0

Manufacturing/Industrial
 
12.7

 
15.5

 
9.9

 
29.1

Healthcare
 
7.0

 
2.8

 
4.3

 
5.4

International multi-sector, Asia
 
—

 
2.7

 
.4

 
2.7

Insurance
 
2.4

 
41.3

 
3.0

 
41.3

Aerospace/Defense/Government
 
4.5

 
20.5

 
2.8

 
22.2

Venture capital
 
1.6

 
.3

 
2.2

 
.3

Total private equity funds
 
133.0

 
115.0

 
125.2

 
133.4

 
 
 
 
 
 
 
 
 
Total hedge and private equity funds included in
   other long-term investments(1)
 
$
250.2

 
$
115.0

 
$
239.8

 
$
133.4


(1)  Excludes carrying value of $26.9 and $35.0 at September 30, 2013 and December 31, 2012 associated with hedge funds and private equity funds accounted for using the equity method.
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 September 30, 2013 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
 
$
—

 
$
—

 
$
—

 
$
5.6

 
$
5.6

Quarterly
 
28.5

 
29.2

 
10.8

 
9.4

 
77.9

Semi-annual
 
—

 
23.2

 
—

 
—

 
23.2

Annual
 
1.6

 
—

 
8.7

 
.2

 
10.5

Total
 
$
30.1

 
$
52.4

 
$
19.5

 
$
15.2

 
$
117.2
Fair Value of private equity funds subject to lock-up periods
At September 30, 2013, 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
 
$16.3
 
$33.3
 
$69.5
 
$13.9
 
$133.0
Fair value measurements by level, investment securities
The following tables summarize White Mountains’ fair value measurements for investments at September 30, 2013 and December 31, 2012, by level:
 
 
September 30, 2013
Millions
 
Fair value
 
Level 1
 
Level 2
 
Level 3
Fixed maturity investments:
 
 

 
 

 
 

 
 

U.S. Government and agency obligations
 
$
388.2

 
$
321.3

 
$
66.9

 
$
—

 
 
 
 
 
 
 
 
 
Debt securities issued by corporations:
 
 

 
 
 
 
 
 
Consumer
 
690.2

 
—

 
690.2

 
—

Financials
 
427.0

 
—

 
427.0

 
—

Communications
 
273.8

 
—

 
273.8

 
—

Industrial
 
284.2

 
—

 
284.2

 
—

Energy
 
162.6

 
—

 
162.6

 
—

Utilities
 
178.5

 
—

 
178.5

 
—

Basic Materials
 
200.7

 
—

 
200.7

 
—

Technology
 
94.2

 
—

 
94.2

 
—

Other
 
6.0

 
—

 
6.0

 
—

Total debt securities issued by corporations:
 
2,317.2

 
—

 
2,317.2

 
—

 
 
 
 
 
 
 
 
 
Mortgage-backed and asset-backed securities
 
1,915.8

 
—

 
1,806.5

 
109.3

Foreign government, agency and provincial obligations
 
442.8

 
46.0

 
396.8

 
—

Preferred stocks
 
84.2

 
—

 
13.5

 
70.7

Municipal obligations
 
5.5

 
—

 
5.5

 
—

Total fixed maturity investments (1)
 
5,153.7

 
367.3

 
4,606.4

 
180.0

 
 
 
 
 
 
 
 
 
Short-term investments
 
648.0

 
628.6

 
19.4

 
—

 
 
 
 
 
 
 
 
 
Common equity securities:
 
 

 
 

 
 

 
 

Financials
 
326.4

 
289.6

 
—

 
36.8

Consumer
 
290.9

 
290.9

 
—

 
—

Basic materials
 
63.7

 
63.7

 
—

 
—

Energy
 
82.6

 
82.6

 
—

 
—

Industrial
 
90.5

 
90.5

 
—

 
—

Technology
 
60.8

 
60.8

 
—

 
—

Communications
 
63.7

 
63.7

 
—

 
—

Utilities
 
35.5

 
35.5

 
—

 
—

Other
 
96.6

 
25.9

 
70.7

 
—

Total common equity securities
 
1,110.7

 
1,003.2

 
70.7

 
36.8

 
 
 
 
 
 
 
 
 
Convertible fixed maturity investments
 
84.8

 
—

 
84.8

 
—

Other long-term investments (2) 
 
273.2

 
—

 
—

 
273.2

Total investments
 
$
7,270.4

 
$
1,999.1

 
$
4,781.3

 
$
490.0

(1) Carrying value includes $239.7 that is classified as assets held for sale relating to discontinued operations.
(2) Excludes carrying value of $26.9 associated with other long-term investment limited partnerships accounted for using the equity method and $(0.1) related to forward contracts.

 
 
December 31, 2012
Millions
 
Fair value
 
Level 1
 
Level 2
 
Level 3
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

 
—

Financials
 
401.4

 
1.0

 
400.4

 
—

Industrial
 
330.8

 
—

 
330.8

 
—

Communications
 
276.1

 
—

 
276.1

 
—

Utilities
 
204.2

 
—

 
204.2

 
—

Basic materials
 
189.1

 
—

 
189.1

 
—

Energy
 
181.5

 
—

 
181.5

 
—

Technology
 
54.0

 
—

 
54.0

 
—

Other
 
20.9

 
—

 
20.9

 
—

Total debt securities issued by corporations:
 
2,385.1

 
1.0

 
2,384.1

 
—

 
 
 
 
 
 
 
 
 
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

Municipal obligations
 
5.2

 
—

 
5.2

 
—

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

 
—

 
—

Industrial
 
41.9

 
41.9

 
—

 
—

Technology
 
55.0

 
55.0

 
—

 
—

Utilities
 
43.6

 
43.4

 
.2

 
—

Communications
 
35.2

 
35.2

 
—

 
—

Other
 
69.6

 
11.2

 
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.
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 September 30, 2013 and December 31, 2012:
 
 
Fair Value at
Millions
 
September 30, 2013
 
December 31, 2012
AAA
 
$
—

 
$
—

AA
 
216.8

 
193.4

A
 
1,074.6

 
1,061.0

BBB
 
1,012.8

 
1,116.9

BB
 
6.9

 
7.0

Other
 
6.1

 
6.8

Debt securities issued by corporations(1)
 
$
2,317.2

 
$
2,385.1

(1) Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's Financial Services LLC ("Standard & Poor’s") and 2) Moody’s Investor Service ("Moody's").
Mortgage-backed, asset-backed securities
The following table summarizes mortgage and asset-backed securities as of September 30, 2013 and December 31, 2012:
 
 
September 30, 2013
 
December 31, 2012
Millions
 
Fair Value
 
Level 2
 
Level 3
 
Fair Value
 
Level 2
 
Level 3
Mortgage-backed securities:
 
 

 
 

 
 

 
 

 
 

 
 

Agency:
 
 

 
 

 
 

 
 

 
 

 
 

GNMA
 
$
567.0

 
$
479.7

 
$
87.3

 
$
1,013.4

 
$
1,013.4

 
$
—

FNMA
 
59.8

 
59.8

 
—

 
74.6

 
74.6

 
—

FHLMC
 
40.0

 
40.0

 
—

 
55.8

 
55.8

 
—

Total Agency(1)
 
666.8

 
579.5

 
87.3

 
1,143.8

 
1,143.8

 
—

Non-agency:
 
 

 
 

 
 

 
 

 
 

 
 

Residential
 
130.6

 
130.6

 
—

 
160.6

 
160.6

 
—

Commercial
 
296.4

 
296.4

 
—

 
334.1

 
334.1

 
—

Total Non-agency
 
427.0

 
427.0

 
—

 
494.7

 
494.7

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Total mortgage-backed securities
 
1,093.8

 
1,006.5

 
87.3

 
1,638.5

 
1,638.5

 
—

Other asset-backed securities:
 
 

 
 
 
 
 
 

 
 
 
 
Credit card receivables
 
299.1

 
299.1

 
—

 
173.5

 
151.4

 
22.1

Vehicle receivables
 
287.5

 
287.5

 
—

 
233.2

 
233.2

 
—

Other
 
235.4

 
213.4

 
22.0

 
50.4

 
50.4

 
—

Total other asset-backed securities
 
822.0

 
800.0

 
22.0

 
457.1

 
435.0

 
22.1

Total mortgage and asset-backed securities
 
$
1,915.8

 
$
1,806.5

 
$
109.3

 
$
2,095.6

 
$
2,073.5

 
$
22.1

(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 September 30, 2013 are as follows:
 
 
 
 
 
 
Security Issuance Year
 
 
Millions
 
Fair Value
 
2004
 
2005
 
2006
 
2007
 
2008
 
2010
 
2011
 
2012
 
2013
Non-agency RMBS
 
$
130.6

 
$
12.6

 
$
29.8

 
$
10.7

 
$
3.0

 
$
—

 
$
38.6

 
$
—

 
$
—

 
$
35.9

Non-agency CMBS
 
296.4

 
—

 
—

 
8.7

 
11.5

 
30.8

 
12.1

 
34.6

 
116.3

 
82.4

Total
 
$
427.0

 
$
12.6

 
$
29.8

 
$
19.4

 
$
14.5

 
$
30.8

 
$
50.7

 
$
34.6

 
$
116.3

 
$
118.3
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 September 30, 2013:
Millions
 
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Prime
 
$
96.2

 
$
25.9

 
$
70.3

 
$
—

Non-prime
 
26.0

 
—

 
26.0

 
—

Sub-prime
 
8.4

 
8.4

 
—

 
—

Total
 
$
130.6

 
$
34.3

 
$
96.3

 
$
—

(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 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 September 30, 2013:
Millions
 
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Fixed rate CMBS
 
$
193.5

 
$
120.5

 
$
55.5

 
$
17.5

Floating rate CMBS
 
102.9

 
11.5

 
32.2

 
59.2

Total
 
$
296.4

 
$
132.0

 
$
87.7

 
$
76.7

(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. 
Rollforward of fair value investments by level
The following tables summarize the changes in White Mountains’ fair value measurements by level for the nine months ended September 30, 2013 and 2012:
 
 
 
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, 2013
$
1,355.1

$
5,206.1

$
92.9

$
37.3

$
—

$
259.3

 
$
6,950.7

(1)(2)(3) 
Total realized and unrealized
   gains (losses)
140.6

(70.7
)
(3.3
)
—

—

14.0

 
80.6

(3)(4) 
Foreign currency losses
   through OCI
1.4

17.5

.5

—

—

(.8
)
 
18.6

  
Amortization/Accretion
(.9
)
(39.7
)
—

—

—

—

 
(40.6
)
 
Purchases
735.9

3,014.7

32.4

.5

—

91.8

 
3,875.3

 
Sales
(877.9
)
(3,309.7
)
(.7
)
—

—

(91.1
)
 
(4,279.4
)
 
Net change in investments
  related to purchases and sales
   of consolidated affiliates
14.5

2.7

—

—

—

—

 
17.2

 
Transfers in
1.8

32.1

90.3

—

—

—

 
124.2

  
Transfers out
—

(91.1
)
(32.1
)
(1.0
)
—

—

 
(124.2
)
  
Balance at
   September 30, 2013
$
1,370.5

$
4,761.9

$
180.0

$
36.8

$
—

$
273.2

 
$
6,622.4

(1)(2)(3) 
(1)  Excludes carrying value of $35.0 and $26.9 at January 1, 2013 and September 30, 2013 associated with other long-term investments accounted for using the equity method and $(0.1) and $(0.1) at January 1, 2013 and September 30, 2013 related to forward contracts.
(2)  Carrying value includes $338.1 and $239.7 at January 1, 2013 and September 30, 2013 that is classified as assets held for sale relating to discontinued operations.
(3)  Excludes carrying value of $630.6 and $648.0 at January 1, 2013 and September 30, 2013 and realized and unrealized gains for the periods of $0.2 associated with short-term investments.
(4) Excludes $14.1 realized and unrealized losses associated with the Prospector Funds consolidation of investment-related liabilities.

 
 
 
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
$
1,033.1

$
6,088.2

$
78.9

$
32.3

$
—

$
268.3

(1) 
 
$
7,500.8

(1)(2)(3) 
Total realized and
   unrealized gains
61.7

58.8

8.4

11.4

—

(8.2
)
  
 
132.1

(3) 
Foreign currency gains
   through OCI
4.1

70.5

.7

.1

—

3.1

  
 
78.5

 
Amortization/Accretion
(.6
)
(34.0
)
(.7
)
—

—

—

  
 
(35.3
)
 
Purchases
891.1

3,823.7

144.3

2.5

—

40.6

  
 
4,902.2

 
Sales
(680.9
)
(5,048.1
)
(99.2
)
(9.8
)
—

(31.2
)
 
 
(5,869.2
)
 
Transfers in
—

56.9

—

—

—

—

  
 
56.9

 
Transfers out
—

—

(56.3
)
(.6
)
—

—

  
 
(56.9
)
 
Balance at
   September 30, 2012
$
1,308.5

$
5,016.0

$
76.1

$
35.9

$
—

$
272.6

(1) 
 
$
6,709.1

(1)(2)(3) 
(1) Excludes carrying value of $33.0 and $34.0 at January 1, 2012 and September 30, 2012 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 discontinued operations.
(3) Excludes carrying value of $846.0 and $917.3 at January 1, 2012 and September 30, 2012 and realized and unrealized loss for the period of $3.9 associated with short-term investments.
Schedule of significant unobservable inputs used in estimating the fair value of investment securities
The following summarizes significant unobservable inputs used in estimating the fair value of investment securities classified within Level 3 other than hedge funds and private equity funds at September 30, 2013. The fair value of investments in hedge funds and private equity funds, which are classified within Level 3, are estimated using the net asset value of the funds.
($ in Millions)
 
September 30, 2013
Description
 
Fair Value
 
Rating (2)
 
Valuation Technique(s)
 
Unobservable Input
Preferred Stock(1)
 
$70.7
 
NR
 
Discounted cash flow
 
Discount yield
 
7.8
%
 
Agency commercial mortgage-backed securities(1)
 
$87.3
 
AA+
 
Discounted cash flow
 
Prepayment rate
 
5

CPJ(3)
 
 
 
 
Swap spread
 
0.7
%

Asset-backed securities(1)
 
$22.0
 
AA+
 
Broker pricing
 
Broker quote
 
 
 
Private equity security
 
$36.8
 
NR
 
Multiple of GAAP book value
 
Book value multiple
 


 
(1) As of September 30, 2013, asset type consists of one security.
(2) Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's and 2) Moody’s
(3) CPJ refers to the market convention assumptions for prepayment and default vectors.