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Investment Securities (Tables)
 6 Months Ended
Jun. 30, 2013
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, 2013 and 2012 consisted of the following:
 
 
Three Months Ended
 
Six Months Ended
 
 
June 30,
 
June 30,
Millions
 
2013
 
2012
 
2013
 
2012
Investment income:
 
 
 
 
 
 
 
 
Fixed maturity investments
 
$
25.2

 
$
35.4

 
$
51.2

 
$
72.1

Short-term investments
 
1.1

 
.8

 
1.8

 
1.8

Common equity securities
 
4.9

 
4.6

 
9.6

 
9.0

Convertible fixed maturity investments
 
.6

 
2.0

 
1.4

 
3.9

Other long-term investments
 
.8

 
.7

 
1.5

 
1.5

Interest on funds held under reinsurance treaties
 
.1

 
—

 
.2

 
—

Total investment income
 
32.7

 
43.5

 
65.7

 
88.3

Less third-party investment expenses
 
(4.0
)
 
(3.1
)
 
(8.5
)
 
(6.1
)
Net investment income, pre-tax
 
$
28.7

 
$
40.4

 
$
57.2

 
$
82.2
Schedule of realized and unrealized gain (loss) on investments
The following table summarizes net realized and unrealized investment gains (losses) for the three and six months ended June 30, 2013 and 2012:
 
 
Three Months Ended
 
Three Months Ended
 
 
June 30, 2013
 
June 30, 2012
Millions
 
Net
realized and unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total net realized
and unrealized gains (losses)
reflected in
earnings
 
Net
realized and unrealized
gains
(losses)
 
Net
foreign
currency
gains
(losses)
 
Total net realized
and unrealized gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
(74.0
)
 
$
32.5

 
$
(41.5
)
 
$
19.0

 
$
24.2

 
$
43.2

Short-term investments
 
.2

 
.5

 
.7

 
(.1
)
 
(.1
)
 
(.2
)
Common equity securities
 
2.3

 
1.2

 
3.5

 
(36.3
)
 
—

 
(36.3
)
Convertible fixed maturity investments
 
(5.1
)
 
.3

 
(4.8
)
 
(6.4
)
 
—

 
(6.4
)
Other long-term investments
 
3.9

 
1.1

 
5.0

 
(12.4
)
 
4.0

 
(8.4
)
Forward contracts
 
(.2
)
 
—

 
(.2
)
 
—

 
—

 
—

Net realized and unrealized
   investment gains (losses), pre-tax
 
(72.9
)
 
35.6

 
(37.3
)
 
(36.2
)
 
28.1

 
(8.1
)
Income tax expense attributable to
   net realized and unrealized
   investment (losses) gains
 
20.3

 
(7.8
)
 
12.5

 
5.6

 
(7.6
)
 
(2.0
)
Net realized and unrealized
   investment gains (losses), after tax
 
$
(52.6
)
 
$
27.8

 
$
(24.8
)
 
$
(30.6
)
 
$
20.5

 
$
(10.1
)

 
 
Six Months Ended
 
Six Months Ended
 
 
June 30, 2013
 
June 30, 2012
Millions
 
Net
realized and unrealized
gains
(losses)
 
Net
foreign
exchange
gains
(losses)
 
Total net realized
and unrealized gains (losses)
reflected in
earnings
 
Net
realized and unrealized
gains
(losses)
 
Net
foreign
currency
gains
(losses)
 
Total net realized
and unrealized gains (losses)
reflected in
earnings
Fixed maturity investments
 
$
(82.0
)
 
$
22.5

 
$
(59.5
)
 
$
49.7

 
$
2.8

 
$
52.5

Short-term investments
 
.2

 
.6

 
.8

 
(.1
)
 
(.4
)
 
(.5
)
Common equity securities
 
86.8

 
1.0

 
87.8

 
.3

 
—

 
.3

Convertible fixed maturity investments
 
(3.5
)
 
.1

 
(3.4
)
 
(.2
)
 
—

 
(.2
)
Other long-term investments
 
10.4

 
1.6

 
12.0

 
(2.2
)
 
.6

 
(1.6
)
Forward contracts
 
.2

 
—

 
.2

 
—

 
—

 
—

Net realized and unrealized
   investment gains (losses), pre-tax
 
12.1

 
25.8

 
37.9

 
47.5

 
3.0

 
50.5

Income tax expense attributable to
   net realized and unrealized
   investment (losses) gains
 
4.4

 
(5.6
)
 
(1.2
)
 
(15.0
)
 
(1.0
)
 
(16.0
)
Net realized and unrealized
   investment gains (losses), after tax
 
$
16.5

 
$
20.2

 
$
36.7

 
$
32.5

 
$
2.0

 
$
34.5
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 six months ended June 30, 2013 and 2012:
 
 
Three Months Ended
 
Six Months Ended
 
 
June 30,
 
June 30,
Millions
 
2013
 
2012
 
2013
 
2012
Fixed maturity investments
 
$
(.4
)
 
$
.5

 
$
(.2
)
 
$
8.3

Common equity securities
 
.8

 
.5

 
.7

 
1.0

Other long-term investments
 
1.4

 
1.2

 
7.8

 
8.4

Total unrealized investment gains, pre-tax - Level 3 investments
 
$
1.8

 
$
2.2

 
$
8.3

 
$
17.7
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, 2013 and December 31, 2012 were as follows: 
 
 
June 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
 
$
514.6

 
$
.4

 
$
(3.9
)
 
$
1.2

 
$
512.3

Debt securities issued by corporations
 
2,295.9

 
41.6

 
(20.9
)
 
(1.8
)
 
2,314.8

Municipal obligations
 
5.3

 
—

 
(.3
)
 
—

 
5.0

Mortgage-backed and asset-backed securities
 
1,840.2

 
4.3

 
(14.0
)
 
4.1

 
1,834.6

Foreign government, agency and provincial obligations
 
447.9

 
4.1

 
(7.7
)
 
(4.6
)
 
439.7

Preferred stocks
 
79.8

 
6.6

 
—

 
(.1
)
 
86.3

Total fixed maturity investments including assets
    held for sale
 
$
5,183.7

 
$
57.0

 
$
(46.8
)
 
$
(1.2
)
 
$
5,192.7

Fixed maturity investments reclassified to assets
    held for sale related to the Runoff Transaction
 
 
 
 
 
 
 
 
 
(260.8
)
Total fixed maturity investments
 
 
 
 
 
 
 
 
 
$
4,931.9

 
 
 
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
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, 2013 and December 31, 2012 were as follows:
 
 
June 30, 2013
Millions
 
Cost or
amortized
cost
 
Gross
unrealized
gains
 
Gross
unrealized
losses
 
Net foreign
currency
gains (losses)
 
Carrying
value
Common equity securities
 
$
852.4

 
$
189.4

 
$
(13.2
)
 
$
.9

 
$
1,029.5

Convertible fixed maturity investments
 
$
71.1

 
$
3.4

 
$
(.5
)
 
$
.1

 
$
74.1

Other long-term investments
 
$
257.7

 
$
72.6

 
$
(25.4
)
 
$
(1.6
)
 
$
303.3

 
 
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 June 30, 2013 and December 31, 2012:
 
 
June 30, 2013
 
December 31, 2012
Millions
 
Fair Value
 
Unfunded
Commitments
 
Fair Value
 
Unfunded
Commitments
Hedge funds
 
 

 
 

 
 

 
 

Long/short equity
 
$
60.4

 
$
—

 
$
60.3

 
$
—

Long/short credit & distressed
 
21.7

 
—

 
22.7

 
—

Long diversified strategies
 
1.7

 
—

 
1.7

 
—

Long/short equity REIT
 
16.3

 
—

 
16.0

 
—

Long/short equity activist
 
15.0

 
—

 
13.6

 
—

Long bank loan
 
.2

 
—

 
.3

 
—

Total hedge funds
 
115.3

 
—

 
114.6

 
—

 
 
 
 
 
 
 
 
 
Private equity funds
 
 

 
 

 
 

 
 

Multi-sector
 
25.4

 
8.1

 
23.3

 
5.4

Energy infrastructure & services
 
44.0

 
14.6

 
36.3

 
15.6

Distressed residential real estate
 
9.9

 
—

 
15.8

 
—

Real estate
 
10.7

 
3.3

 
11.6

 
3.3

Private equity secondaries
 
10.1

 
3.1

 
10.5

 
3.1

International multi-sector, Europe
 
4.2

 
4.8

 
5.1

 
5.0

Manufacturing/Industrial
 
14.0

 
22.2

 
9.9

 
29.1

Healthcare
 
5.3

 
3.9

 
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
 
4.4

 
20.5

 
2.8

 
22.2

Venture capital
 
2.2

 
.3

 
2.2

 
.3

Total private equity funds
 
132.6

 
124.8

 
125.2

 
133.4

 
 
 
 
 
 
 
 
 
Total hedge and private equity funds included in
   other long-term investments(1)
 
$
247.9

 
$
124.8

 
$
239.8

 
$
133.4


(1)  Excludes carrying value of $35.0 and $34.2 at December 31, 2012 and June 30, 2013 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 June 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
 
$
—

 
$
—

 
$
—

 
$
5.5

 
$
5.5

Quarterly
 
28.7

 
28.7

 
9.6

 
9.6

 
76.6

Semi-annual
 
—

 
22.7

 
—

 
—

 
22.7

Annual
 
1.7

 
—

 
8.6

 
.2

 
10.5

Total
 
$
30.4

 
$
51.4

 
$
18.2

 
$
15.3

 
$
115.3
Fair Value of private equity funds subject to lock-up periods
At June 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
 
$16.8
 
$34.7
 
$61.7
 
$19.4
 
$132.6
Fair value measurements by level, investment securities
The following tables summarize White Mountains’ fair value measurements for investments at June 30, 2013 and December 31, 2012, by level:
 
 
June 30, 2013
Millions
 
Fair value
 
Level 1 Inputs
 
Level 2 Inputs
 
Level 3 Inputs
Fixed maturity investments:
 
 

 
 

 
 

 
 

U.S. Government and agency obligations
 
$
512.3

 
$
445.5

 
$
66.8

 
$
—

 
 
 
 
 
 
 
 
 
Debt securities issued by corporations:
 
 

 
 
 
 
 
 
Consumer
 
705.4

 
—

 
705.4

 
—

Financials
 
393.4

 
—

 
393.4

 
—

Communications
 
287.4

 
—

 
287.4

 
—

Industrial
 
268.4

 
—

 
268.4

 
—

Energy
 
157.9

 
—

 
157.9

 
—

Utilities
 
188.7

 
—

 
188.7

 
—

Basic Materials
 
213.5

 
—

 
213.5

 
—

Technology
 
88.2

 
—

 
88.2

 
—

Other
 
11.9

 
—

 
11.9

 
—

Total debt securities issued by corporations:
 
2,314.8

 
—

 
2,314.8

 
—

 
 
 
 
 
 
 
 
 
Mortgage-backed and asset-backed securities
 
1,834.6

 
—

 
1,788.6

 
46.0

Foreign government, agency and provincial obligations
 
439.7

 
46.7

 
393.0

 
—

Preferred stocks
 
86.3

 
—

 
15.4

 
70.9

Municipal obligations
 
5.0

 
—

 
5.0

 
—

Total fixed maturity investments (1)
 
5,192.7

 
492.2

 
4,583.6

 
116.9

 
 
 
 
 
 
 
 
 
Short-term investments
 
606.8

 
582.1

 
24.7

 
—

 
 
 
 
 
 
 
 
 
Common equity securities:
 
 

 
 

 
 

 
 

Financials
 
301.1

 
263.5

 
—

 
37.6

Consumer
 
289.4

 
289.4

 
—

 
—

Basic materials
 
62.2

 
62.2

 
—


—

Energy
 
75.7

 
75.7

 
—


—

Industrial
 
69.1

 
69.1

 
—


—

Technology
 
72.7

 
72.7

 
—

 
—

Communications
 
45.7

 
45.7

 
—

 
—

Utilities
 
36.7

 
36.5

 
.2

 
—

Other
 
76.9

 
13.6

 
63.3

 
—

Total common equity securities
 
1,029.5

 
928.4

 
63.5

 
37.6

 
 
 
 
 
 
 
 
 
Convertible fixed maturity investments
 
74.1

 
—

 
74.1

 
—

Other long-term investments (2) 
 
269.2

 
—

 
—

 
269.2

Total investments
 
$
7,172.3

 
$
2,002.7

 
$
4,745.9

 
$
423.7

(1) Carrying value includes $260.8 that is classified as assets held for sale relating to discontinued operations.
(2) Excludes carrying value of $34.2 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 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

 
—

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

 
$
—

AA
 
201.9

 
193.4

A
 
1,039.6

 
1,061.0

BBB
 
1,055.0

 
1,116.9

BB
 
6.9

 
7.0

Other
 
11.4

 
6.8

Debt securities issued by corporations (1)
 
$
2,314.8

 
$
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 June 30, 2013 and December 31, 2012:
 
 
June 30, 2013
 
December 31, 2012
Millions
 
Fair Value
 
Level 2
 
Level 3
 
Fair Value
 
Level 2
 
Level 3
Mortgage-backed securities:
 
 

 
 

 
 

 
 

 
 

 
 

Agency:
 
 

 
 

 
 

 
 

 
 

 
 

GNMA
 
$
818.0

 
$
818.0

 
$
—

 
$
1,013.4

 
$
1,013.4

 
$
—

FNMA
 
52.5

 
52.5

 
—

 
74.6

 
74.6

 
—

FHLMC
 
47.8

 
47.8

 
—

 
55.8

 
55.8

 
—

Total Agency(1)
 
918.3

 
918.3

 
—

 
1,143.8

 
1,143.8

 
—

Non-agency:
 
 

 
 

 
 

 
 

 
 

 
 

Residential
 
133.6

 
109.6

 
24.0

 
160.6

 
160.6

 
—

Commercial
 
300.3

 
300.3

 
—

 
334.1

 
334.1

 
—

Total Non-agency
 
433.9

 
409.9

 
24.0

 
494.7

 
494.7

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Total mortgage-backed securities
 
1,352.2

 
1,328.2

 
24.0

 
1,638.5

 
1,638.5

 
—

Other asset-backed securities:
 
 

 
 
 
 
 
 

 
 
 
 
Credit card receivables
 
138.0

 
116.0

 
22.0

 
173.5

 
151.4

 
22.1

Vehicle receivables
 
167.1

 
167.1

 
—

 
233.2

 
233.2

 
—

Other
 
177.3

 
177.3

 
—

 
50.4

 
50.4

 
—

Total other asset-backed securities
 
482.4

 
460.4

 
22.0

 
457.1

 
435.0

 
22.1

Total mortgage and asset-backed securities
 
$
1,834.6

 
$
1,788.6

 
$
46.0

 
$
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 June 30, 2013 are as follows:
 
 
 
 
 
 
Security Issuance Year
 
 
Millions
 
Fair Value
 
2004
 
2005
 
2006
 
2007
 
2008
 
2010
 
2011
 
2012
 
2013
Non-agency RMBS
 
$
133.6

 
$
13.2

 
$
32.6

 
$
10.7

 
$
3.8

 
$
—

 
$
35.4

 
$
—

 
$
—

 
$
37.9

Non-agency CMBS
 
300.3

 
—

 
—

 
8.7

 
11.6

 
34.9

 
12.4

 
38.2

 
118.6

 
75.9

Total
 
$
433.9

 
$
13.2

 
$
32.6

 
$
19.4

 
$
15.4

 
$
34.9

 
$
47.8

 
$
38.2

 
$
118.6

 
$
113.8
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, 2013:
Millions
 
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Prime
 
$
102.7

 
$
27.8

 
$
74.9

 
$
—

Non-prime
 
30.9

 
—

 
30.9

 
—

Sub-prime
 
—

 
—

 
—

 
—

Total
 
$
133.6

 
$
27.8

 
$
105.8

 
$
—

(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, 2013:
Millions
 
Fair Value
 
Super Senior (1)
 
Senior (2)
 
Subordinate (3)
Fixed rate CMBS
 
$
199.6

 
$
123.5

 
$
58.7

 
$
17.4

Floating rate CMBS
 
100.7

 
11.6

 
36.3

 
52.8

Total
 
$
300.3

 
$
135.1

 
$
95.0

 
$
70.2

(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. 
Rollforward of fair value investments by level
The following tables summarize the changes in White Mountains’ fair value measurements by level for the six months ended June 30, 2013 and 2012:
 
 
 
Level 3 Investments
 
 
 
Millions
Level 1 (3)
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) 
Total realized and unrealized
   gains (losses)
89.9

(55.3
)
(.3
)
.8

—

14.2

 
49.3

(3)(4) 
Foreign currency losses
   through OCI
(5.6
)
(44.2
)
—

—

—

(1.5
)
 
(51.3
)
  
Amortization/Accretion
(.6
)
(27.0
)
—

—

—

—

 
(27.6
)
 
Purchases
549.0

2,345.5

32.3

.5

—

35.9

 
2,963.2

 
Sales
(583.4
)
(2,713.9
)
—

—

—

(38.7
)
 
(3,336.0
)
 
Net change in investments
  related to purchases and sales
   of consolidated affiliates
14.5

2.7

—

—

—

—

 
17.2

 
Transfers in
1.7

8.0

—

—

—

—

 
9.7

  
Transfers out
—

(.7
)
(8.0
)
(1.0
)
—

—

 
(9.7
)
  
Balance at June 30, 2013
$
1,420.6

$
4,721.2

$
116.9

$
37.6

$
—

$
269.2

 
$
6,565.5

(1)(2) 
(1)  Excludes carrying value of $35.0 and $34.2 at January 1, 2013 and June 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 June 30, 2013 related to forward contracts.
(2)  Carrying value includes $338.1 and $260.8 at January 1, 2013 and June 30, 2013 that is classified as assets held for sale relating to discontinued operations.
(3)  Excludes carrying value of $630.6 and $606.8 at January 1, 2013 and June 30, 2013 and realized and unrealized gain for the periods of $0.1 and $0.8 associated with short-term investments classified.
(4) Excludes $9.9 realized and unrealized losses associated with the Prospector Funds consolidation of investment-related liabilities.

 
 
 
Level 3 Investments
 
 
 
 
Millions
Level 1(3)
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) 
Total realized and
   unrealized gains
3.0

44.8

7.4

1.0

—

(3.3
)
  
 
52.9

(3)(4) 
Foreign currency gains
   through OCI
.3

(10.2
)
.7

—

—

(1.3
)
  
 
(10.5
)
 
Amortization/Accretion
(.2
)
(23.3
)
(.8
)
—

—

 

  
 
(24.3
)
 
Purchases
596.3

2,757.6

138.8

2.5

—

19.8

  
 
3,515.0

 
Sales
(481.4
)
(3,871.3
)
(84.3
)
—

—

(25.0
)
 
 
(4,462.0
)
 
Transfers in
.5

21.1

—

—

—

—

  
 
21.6

 
Transfers out
(.1
)
(.5
)
(21.0
)
—

—

—

  
 
(21.6
)
 
Balance at June 30, 2012
$
1,151.5

$
5,006.4

$
119.7

$
35.8

$
—

$
258.5

(1) 
 
$
6,571.9

(1)(2) 
(1) Excludes carrying value of $33.0 and $34.0 at January 1, 2012 and June 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 $618.4 January 1, 2012 and June 30, 2012 realized and unrealized loss for the period of $0.5 associated with short-term investment
Schedule of significant unobservable inputs used in estimating the fair value of investment securities
The following summarizes significant unobservable inputs used in estimating the fair value of investment securities classified within Level 3 other than hedge funds and private equity funds at June 30, 2013. The fair value of investments in hedge funds and private equity funds, which are classified within Level 3, are estimated using the net asset value of the funds.
($ in Millions)
 
June 30, 2013
Description
 
Fair Value
 
Rating (2)
 
Valuation Technique(s)
 
Unobservable Input
Preferred Stock (1)
 
$70.9
 
NR
 
Discounted cash flow
 
Discount yield
 
7.5
%
 
Residential mortgaged-back
   security
 
$24.0
 
AAA
 
Discounted cash flow
 
Prepayment rate
 
15

CPR
 
 
 
 
 
 
 
 
Swap spread
 
3.05

BPS
Asset-backed securities(1)
 
$22.0
 
AA+
 
Broker pricing
 
Broker quote
 
 
 
Private equity security
 
$37.6
 
NR
 
Multiple of GAAP book value
 
Book value multiple
 
1.0

x
(1) As of June 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.