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Investment Securities (Tables) | 12 Months Ended
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Dec. 31, 2013
Investments, Debt and Equity Securities [Abstract] |
Pre-tax net investment income | Pre-tax net investment income for 2013, 2012 and 2011 consisted of the following:
|  | Year Ended December 31,
Millions |  | 2013 |  | 2012 |  | 2011
Investment income: |  |  |  |  |  |
Fixed maturity investments |  | $ | 100.5 |  |  | $ | 132.0 |  |  | $ | 166.2 |
Short-term investments |  | 3.4 |  |  | 3.1 |  |  | 4.5 |
Common equity securities |  | 20.5 |  |  | 22.2 |  |  | 15.4 |
Convertible fixed maturity investments |  | 2.9 |  |  | 6.0 |  |  | 5.5 |
Other long-term investments |  | 3.0 |  |  | 3.1 |  |  | 4.2 |
Interest on funds held under reinsurance treaties |  | .3 |  |  | .6 |  |  | (.4 | )
Total investment income |  | 130.6 |  |  | 167.0 |  |  | 195.4 |
Third-party investment expenses |  | (19.7 | ) |  | (13.4 | ) |  | (10.9 | )
Net investment income, pre-tax |  | $ | 110.9 |  |  | $ | 153.6 |  |  | $ | 184.5 |
Net Realized and Unrealized Investment Gains and Losses | Net Realized and Unrealized Investment Gains and Losses Net realized and unrealized investment gains and losses consisted of the following:
|  | Year Ended December 31,
Millions |  | 2013 |  | 2012 |  | 2011
Net realized investment gains, pre-tax |  | $ | 104.5 |  |  | $ | 68.1 |  |  | $ | 68.3 |
Net unrealized investment gains, pre-tax |  | 57.2 |  |  | 50.1 |  |  | 5.8 |
Net realized and unrealized investment gains, pre-tax |  | 161.7 |  |  | 118.2 |  |  | 74.1 |
Income tax expense attributable to net realized and unrealized investment gains |  | (21.9 | ) |  | (26.8 | ) |  | (18.1 | )
Net realized and unrealized investment gains, after tax |  | $ | 139.8 |  |  | $ | 91.4 |  |  | $ | 56.0 |
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, 2013, 2012 and 2011.
|  | Year Ended December 31,
Millions |  | 2013 |  | 2012 |  | 2011
Fixed maturity investments |  | $ | (2.3 | ) |  | $ | 7.7 |  |  | $ | (12.2 | )
Common equity securities |  | .9 |  |  | 3.0 |  |  | (16.6 | )
Convertible fixed maturity investments |  | — |  |  | — |  |  | — |
Other long-term investments |  | 11.2 |  |  | 7.0 |  |  | (16.8 | )
Total net unrealized investment gains (losses), pre-tax - Level 3 investments |  | $ | 9.8 |  |  | $ | 17.7 |  |  | $ | (45.6 | )
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 |  | 2013 |  | 2012 |  | 2011
Net change in pre-tax unrealized gains (losses) on investments in unconsolidated affiliates |  | $ | (106.4 | ) |  | $ | 62.8 |  |  | $ | (63.6 | )
Income taxes |  | 8.3 |  |  | (5.1 | ) |  | 5.1 |
Net change in unrealized gains (losses) on investments in unconsolidated affiliates, after tax |  | (98.1 | ) |  | 57.7 |  |  | (58.5 | )
Net realized and unrealized foreign currency gains (losses) on investments through OCI |  | 11.3 |  |  | 95.5 |  |  | (41.7 | )
Total investments gains (losses) through accumulated other comprehensive income |  | (86.8 | ) |  | 153.2 |  |  | (100.2 | )
Net realized and unrealized investment gains, after-tax |  | 139.8 |  |  | $ | 91.4 |  |  | $ | 56.0 |
Total investment gains (losses) recorded during the period, after-tax |  | $ | 53.0 |  |  | $ | 244.6 |  |  | $ | (44.2 | )
Realized Gain (Loss) on Investments | Net realized investment gains (losses) Net realized investment gains (losses) for 2013, 2012 and 2011 consisted of the following:
|  | Year ended December 31, 2013
Millions |  | Net realized gains (losses) |  | Net foreign exchange gains (losses) |  | Total changes in fair value reflected in earnings
Fixed maturity investments |  | $ | 8.6 |  |  | $ | (15.0 | ) |  | $ | (6.4 | )
Short-term investments |  | .1 |  |  | — |  |  | .1 |
Common equity securities |  | 104.5 |  |  | (3.7 | ) |  | 100.8 |
Convertible fixed maturity investments |  | 1.0 |  |  | — |  |  | 1.0 |
Other long-term investments |  | 7.5 |  |  | 1.4 |  |  | 8.9 |
Forward contracts |  | .1 |  |  | — |  |  | .1 |
Net realized investment gains (losses), pre-tax |  | 121.8 |  |  | (17.3 | ) |  | 104.5 |
Income taxes attributable to realized investment gains (losses) |  | (30.0 | ) |  | 5.5 |  |  | (24.5 | )
Net realized investment gains (losses), after-tax |  | $ | 91.8 |  |  | $ | (11.8 | ) |  | $ | 80.0 |
|  | Year ended December 31, 2012
Millions |  | Net realized gains (losses) |  | Net foreign exchange gains (losses) |  | Total changes in fair value reflected in earnings
Fixed maturity investments |  | $ | 82.5 |  |  | $ | (2.5 | ) |  | $ | 80.0 |
Short-term investments |  | — |  |  | (4.3 | ) |  | (4.3 | )
Common equity securities |  | 1.3 |  |  | — |  |  | 1.3 |
Convertible fixed maturity investments |  | (8.2 | ) |  | (1.8 | ) |  | (10.0 | )
Other long-term investments |  | 1.4 |  |  | — |  |  | 1.4 |
Forward contracts |  | (.3 | ) |  | — |  |  | (.3 | )
Net realized investment gains (losses), pre-tax |  | 76.7 |  |  | (8.6 | ) |  | 68.1 |
Income taxes attributable to realized investment gains (losses) |  | (23.8 | ) |  | 2.2 |  |  | (21.6 | )
Net realized investment gains (losses), after-tax |  | $ | 52.9 |  |  | $ | (6.4 | ) |  | $ | 46.5 |
|  | Year ended December 31, 2011
Millions |  | Net realized gains (losses) |  | Net foreign exchange gains (losses) |  | Total changes in fair value reflected in earnings
Fixed maturity investments |  | $ | 49.4 |  |  | $ | (38.3 | ) |  | $ | 11.1 |
Short-term investments |  | — |  |  | (9.9 | ) |  | (9.9 | )
Common equity securities |  | 34.6 |  |  | — |  |  | 34.6 |
Convertible fixed maturity investments |  | (2.2 | ) |  | — |  |  | (2.2 | )
Other long-term investments |  | 35.2 |  |  | (0.5 | ) |  | 34.7 |
Net realized investment gains (losses), pre-tax |  | 117.0 |  |  | (48.7 | ) |  | 68.3 |
Income taxes attributable to realized investment gains (losses) |  | (37.0 | ) |  | 12.8 |  |  | (24.2 | )
Net realized investment gains (losses), after-tax |  | $ | 80.0 |  |  | $ | (35.9 | ) |  | $ | 44.1 |
Unrealized Gain (Loss) on Investments | Net unrealized investment gains (losses) The following table summarizes net unrealized investment gains (losses) and changes in the carrying value of investments measured at fair value:
|  | Year ended December 31, 2013
Millions |  | Net unrealized gains (losses) |  | Net foreign exchange gains (losses) |  | Total net unrealized gains (losses) reflected in earnings
Fixed maturity investments |  | $ | (93.9 | ) |  | $ | 15.3 |  |  | $ | (78.6 | )
Short-term investments |  | .1 |  |  | — |  |  | .1 |
Common equity securities |  | 119.2 |  |  | (0.4 | ) |  | 118.8 |
Convertible fixed maturity investments |  | 3.2 |  |  | — |  |  | 3.2 |
Other long-term investments |  | 10.3 |  |  | 3.4 |  |  | 13.7 |
Forward contracts |  | — |  |  | — |  |  | — |
Net unrealized investment gains (losses), pre-tax |  | 38.9 |  |  | 18.3 |  |  | 57.2 |
Income taxes attributable to unrealized investment gains (losses) |  | 8.2 |  |  | (5.6 | ) |  | 2.6 |
Net unrealized investment gains (losses), after-tax |  | $ | 47.1 |  |  | $ | 12.7 |  |  | $ | 59.8 |
|  | Year ended December 31, 2012
Millions |  | Net unrealized gains (losses) |  | Net foreign exchange gains (losses) |  | Total net unrealized gains (losses) reflected in earnings
Fixed maturity investments |  | $ | 18.5 |  |  | $ | (45.9 | ) |  | $ | (27.4 | )
Short-term investments |  | — |  |  | .1 |  |  | .1 |
Common equity securities |  | 65.9 |  |  | (.1 | ) |  | 65.8 |
Convertible fixed maturity investments |  | 1.1 |  |  | — |  |  | 1.1 |
Other long-term investments |  | 13.2 |  |  | (2.7 | ) |  | 10.5 |
Net unrealized investment gains (losses), pre-tax |  | 98.7 |  |  | (48.6 | ) |  | 50.1 |
Income taxes attributable to unrealized investment gains (losses) |  | (17.9 | ) |  | 12.7 |  |  | (5.2 | )
Net unrealized investment gains (losses), after-tax |  | $ | 80.8 |  |  | $ | (35.9 | ) |  | $ | 44.9 |
|  | Year ended December 31, 2011
Millions |  | Net unrealized gains (losses) |  | Net foreign exchange gains (losses) |  | Total net unrealized gains (losses) reflected in earnings
Fixed maturity investments |  | $ | 7.6 |  |  | $ | 68.9 |  |  | $ | 76.5 |
Short-term investments |  | — |  |  | (1.1 | ) |  | (1.1 | )
Common equity securities |  | (40.6 | ) |  | (1.8 | ) |  | (42.4 | )
Convertible fixed maturity investments |  | (11.5 | ) |  | — |  |  | (11.5 | )
Other long-term investments |  | (19.1 | ) |  | 3.4 |  |  | (15.7 | )
Net unrealized investment gains (losses), pre-tax |  | (63.6 | ) |  | 69.4 |  |  | 5.8 |
Income taxes attributable to unrealized investment gains (losses) |  | 24.0 |  |  | (17.9 | ) |  | 6.1 |
Net unrealized investment gains (losses), after-tax |  | $ | (39.6 | ) |  | $ | 51.5 |  |  | $ | 11.9 |
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, 2013 and 2012, were as follows:
|  | December 31, 2013
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency losses |  | Carrying value
US Government and agency obligations |  | $ | 365.5 |  |  | $ | .5 |  |  | $ | (1.0 | ) |  | $ | (2.5 | ) |  | $ | 362.5 |
Debt securities issued by corporations |  | 2,330.7 |  |  | 44.0 |  |  | (13.2 | ) |  | (14.3 | ) |  | 2,347.2 |
Municipal obligations |  | 18.3 |  |  | — |  |  | (.4 | ) |  | — |  |  | 17.9 |
Mortgage-backed and asset-backed securities |  | 2,027.3 |  |  | 2.4 |  |  | (9.9 | ) |  | (5.3 | ) |  | 2,014.5 |
Foreign government, agency and provincial obligations |  | 444.2 |  |  | 3.7 |  |  | (3.2 | ) |  | (4.8 | ) |  | 439.9 |
Preferred stocks |  | 79.9 |  |  | 5.1 |  |  | — |  |  | (.2 | ) |  | 84.8 |
Total fixed maturity investments including assets held for sale |  | $ | 5,265.9 |  |  | $ | 55.7 |  |  | $ | (27.7 | ) |  | $ | (27.1 | ) |  | $ | 5,266.8 |
Fixed maturity investments reclassified to assets held for sale (1) |  |  |  |  |  |  |  |  |  | (236.3 | )
Total fixed maturity investments |  |  |  |  |  |  |  |  |  | $ | 5,030.5 |
(1) | Assets held for sale related to discontinued operations. See Note 21.
|  | December 31, 2012
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value
US 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 |  |  | — |  |  | (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 |  |  | — |  |  | (.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 21.
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, 2013 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, 2013
Millions |  | Cost or amortized cost |  | Carrying value
Due in one year or less |  | $ | 491.2 |  |  | $ | 490.7 |
Due after one year through five years |  | 2,376.7 |  |  | 2,389.3 |
Due after five years through ten years |  | 321.0 |  |  | 322.2 |
Due after ten years |  | 41.5 |  |  | 45.8 |
Mortgage-backed and asset-backed securities |  | 2,027.3 |  |  | 2,014.5 |
Preferred stocks |  | 79.9 |  |  | 84.8 |
Total |  | $ | 5,337.6 |  |  | $ | 5,347.3 |
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, 2013 and 2012 were as follows:
|  | December 31, 2013
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency losses |  | Carrying value
Common equity securities |  | $ | 890.2 |  |  | $ | 271.0 |  |  | $ | (3.6 | ) |  | $ | (.8 | ) |  | $ | 1,156.8 |
Convertible fixed maturity investments |  | $ | 71.7 |  |  | $ | 9.9 |  |  | $ | (.9 | ) |  | $ | (.2 | ) |  | $ | 80.5 |
Other long-term investments |  | $ | 238.3 |  |  | $ | 79.6 |  |  | $ | (26.6 | ) |  | $ | (2.4 | ) |  | $ | 288.9 |
|  | 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 |
Fair value measurements by level, investment securities | The following tables summarize White Mountains’ fair value measurements for investments at December 31, 2013 and 2012 by level. The fair value measurements for derivative assets associated with White Mountains’ variable annuity business are presented in Note 8.
|  | December 31, 2013
Millions |  | Fair value |  | Level 1 Inputs |  | Level 2 Inputs |  | Level 3 Inputs
Fixed maturity investments: |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 362.5 |  |  | $ | 295.8 |  |  | $ | 66.7 |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 754.4 |  |  | — |  |  | 754.4 |  |  | — |
Financials |  | 434.4 |  |  | — |  |  | 434.4 |  |  | — |
Industrial |  | 281.1 |  |  | — |  |  | 281.1 |  |  | — |
Communications |  | 265.0 |  |  | — |  |  | 265.0 |  |  | — |
Utilities |  | 173.6 |  |  | — |  |  | 173.6 |  |  | — |
Energy |  | 159.7 |  |  | — |  |  | 159.7 |  |  | — |
Basic Materials |  | 149.1 |  |  | — |  |  | 149.1 |  |  | — |
Technology |  | 91.2 |  |  | — |  |  | 91.2 |  |  | — |
Other |  | 38.7 |  |  | — |  |  | 38.7 |  |  | — |
Total debt securities issued by corporations: |  | 2,347.2 |  |  | — |  |  | 2,347.2 |  |  | — |
Mortgage-backed and asset-backed securities |  | 2,014.5 |  |  | — |  |  | 1,992.5 |  |  | 22.0 |
Foreign government, agency and provincial obligations |  | 439.9 |  |  | 44.5 |  |  | 395.4 |  |  | — |
Preferred stocks |  | 84.8 |  |  | — |  |  | 13.8 |  |  | 71.0 |
Municipal obligations |  | 17.9 |  |  | — |  |  | 17.9 |  |  | — |
Total fixed maturity investments (1) |  | 5,266.8 |  |  | 340.3 |  |  | 4,833.5 |  |  | 93.0 |
Short-term investments |  | 635.9 |  |  | 621.5 |  |  | 14.4 |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Financials |  | 360.4 |  |  | 314.3 |  |  | — |  |  | 46.1 |
Consumer |  | 308.2 |  |  | 308.2 |  |  | — |  |  | — |
Industrial |  | 105.4 |  |  | 105.4 |  |  | — |  |  | — |
Energy |  | 78.6 |  |  | 78.6 |  |  | — |  |  | — |
Technology |  | 60.6 |  |  | 60.6 |  |  | — |  |  | — |
Communications |  | 57.1 |  |  | 57.1 |  |  | — |  |  | — |
Basic materials |  | 53.4 |  |  | 53.4 |  |  | — |  |  | — |
Utilities |  | 34.3 |  |  | 34.3 |  |  | — |  |  | — |
Other |  | 98.8 |  |  | 24.5 |  |  | 74.3 |  |  | — |
Total common equity securities |  | 1,156.8 |  |  | 1,036.4 |  |  | 74.3 |  |  | 46.1 |
Convertible fixed maturity investments |  | 80.5 |  |  | — |  |  | 74.4 |  |  | 6.1 |
Other long-term investments (2) |  | 262.4 |  |  | — |  |  | — |  |  | 262.4 |
Total investments |  | $ | 7,402.4 |  |  | $ | 1,998.2 |  |  | $ | 4,996.6 |  |  | $ | 407.6 |
(1) | Carrying value includes $236.3 that is classified as assets held for sale relating to discontinued operations.
(2) | Excludes carrying value of $26.6 associated with other long-term investment limited partnerships accounted for using the equity method and $(.1) related to currency 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 |  |  | — |  |  | — |
Technology |  | 55.0 |  |  | 55.0 |  |  | — |  |  | — |
Utilities |  | 43.6 |  |  | 43.4 |  |  | .2 |  |  | — |
Industrial |  | 41.9 |  |  | 41.9 |  |  | — |  |  | — |
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 $(.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 December 31, 2013 and 2012:
|  | Fair Value at
|  | December 31,
Millions |  | 2013 |  | 2012
AAA |  | $ | — |  |  | $ | — |
AA |  | 228.8 |  |  | 193.4 |
A |  | 1,039.5 |  |  | 1,061.0 |
BBB |  | 1,075.5 |  |  | 1,116.9 |
BB |  | — |  |  | 7.0 |
Other |  | 3.4 |  |  | 6.8 |
Debt securities issued by corporations(1) |  | $ | 2,347.2 |  |  | $ | 2,385.1 |
(1) | Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor’s and 2) Moody’s.
Mortgage-backed, asset-backed securities |
|  | December 31, 2013 |  | December 31, 2012
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
GNMA |  | $ | 512.3 |  |  | $ | 512.3 |  |  | $ | — |  |  | $ | 1,013.4 |  |  | $ | 1,013.4 |  |  | $ | — |
FNMA |  | 81.2 |  |  | 81.2 |  |  | — |  |  | 74.6 |  |  | 74.6 |  |  | — |
FHLMC |  | 91.3 |  |  | 91.3 |  |  | — |  |  | 55.8 |  |  | 55.8 |  |  | — |
Total Agency(1) |  | 684.8 |  |  | 684.8 |  |  | — |  |  | 1,143.8 |  |  | 1,143.8 |  |  | — |
Non-agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential |  | 125.7 |  |  | 125.7 |  |  | — |  |  | 160.6 |  |  | 160.6 |  |  | — |
Commercial |  | 282.3 |  |  | 282.3 |  |  | — |  |  | 334.1 |  |  | 334.1 |  |  | — |
Total Non-agency |  | 408.0 |  |  | 408.0 |  |  | — |  |  | 494.7 |  |  | 494.7 |  |  | — |
Total mortgage-backed securities |  | 1,092.8 |  |  | 1,092.8 |  |  | — |  |  | 1,638.5 |  |  | 1,638.5 |  |  | — |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit card receivables |  | 311.4 |  |  | 289.4 |  |  | 22.0 |  |  | 173.5 |  |  | 151.4 |  |  | 22.1 |
Vehicle receivables |  | 365.0 |  |  | 365.0 |  |  | — |  |  | 233.2 |  |  | 233.2 |  |  | — |
Other |  | 245.3 |  |  | 245.3 |  |  | — |  |  | 50.4 |  |  | 50.4 |  |  | — |
Total asset-backed securities |  | 921.7 |  |  | 899.7 |  |  | 22.0 |  |  | 457.1 |  |  | 435.0 |  |  | 22.1 |
Total mortgage and asset-backed securities |  | $ | 2,014.5 |  |  | $ | 1,992.5 |  |  | $ | 22.0 |  |  | $ | 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 December 31, 2013 are as follows:
|  |  |  |  | Security Issuance Year |  |  |  |
Millions |  | Fair Value |  | 2004 | 2005 |  | 2006 |  | 2007 |  | 2008 |  | 2009 | 2010 |  | 2011 |  | 2012 |  | 2013
Non-agency RMBS |  | $ | 125.7 |  |  | $ | 11.9 |  | $ | 33.4 |  |  | $ | 10.8 |  |  | $ | 2.1 |  |  | $ | — |  |  | $ | — |  | $ | 33.4 |  |  | $ | — |  |  | $ | — |  |  | $ | 34.1 |
Non-agency CMBS |  | 282.3 |  |  | — |  | — |  |  | 8.6 |  |  | 5.7 |  |  | 28.1 |  |  | — |  | 11.5 |  |  | 31.9 |  |  | 113.8 |  |  | 82.7 |
Total |  | $ | 408.0 |  |  | $ | 11.9 |  | $ | 33.4 |  |  | $ | 19.4 |  |  | $ | 7.8 |  |  | $ | 28.1 |  |  | $ | — |  | $ | 44.9 |  |  | $ | 31.9 |  |  | $ | 113.8 |  |  | $ | 116.8 |
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 December 31, 2013:
Millions |  | Fair Value |  | Super Senior(1) |  | Senior(2) |  | Subordinate(3)
Prime |  | $ | 96.1 |  |  | $ | 24.1 |  |  | $ | 72.0 |  |  | $ | — |
Non-prime |  | 21.9 |  |  | — |  |  | 21.9 |  |  | — |
Sub-prime |  | 7.7 |  |  | 7.7 |  |  | — |  |  | — |
Total |  | $ | 125.7 |  |  | $ | 31.8 |  |  | $ | 93.9 |  |  | $ | — |
(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 Ratings (“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 December 31, 2013:
Millions |  | Fair Value |  | Super Senior(1) |  | Senior(2) |  | Subordinate(3)
Fixed rate CMBS |  | $ | 189.0 |  |  | $ | 117.2 |  |  | $ | 54.4 |  |  | $ | 17.4 |
Floating rate CMBS |  | 93.3 |  |  | 5.7 |  |  | 28.0 |  |  | 59.6 |
Total |  | $ | 282.3 |  |  | $ | 122.9 |  |  | $ | 82.4 |  |  | $ | 77.0 |
Other long-term investments | The following table summarizes investments in hedge funds and private equity interests by investment objective and sector at December 31, 2013 and 2012:
|  | December 31, 2013 |  | December 31, 2012
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments
Hedge funds |  |  |  |  |  |  |  |  |  |  |  |
Long/short equity |  | $ | 62.6 |  |  | $ | — |  |  | $ | 60.3 |  |  | $ | — |
Long/short credit & distressed |  | 22.8 |  |  | — |  |  | 22.7 |  |  | — |
Long/short equity REIT |  | 18.3 |  |  | — |  |  | 16.0 |  |  | — |
Long/short equity activist |  | 16.8 |  |  | — |  |  | 13.6 |  |  | — |
Long bank loan |  | .2 |  |  | — |  |  | .3 |  |  | — |
Long diversified strategies |  | .1 |  |  | — |  |  | 1.7 |  |  | — |
Total hedge funds |  | 120.8 |  |  | — |  |  | 114.6 |  |  | — |
Private equity funds |  |  |  |  |  |  |  |  |  |  |  |
Energy infrastructure & services |  | 45.9 |  |  | 13.1 |  |  | 36.3 |  |  | 15.6 |
Multi-sector |  | 23.8 |  |  | 6.5 |  |  | 23.3 |  |  | 5.4 |
Manufacturing/Industrial |  | 11.2 |  |  | 15.5 |  |  | 9.9 |  |  | 15.1 |
Private equity secondaries |  | 9.5 |  |  | 3.1 |  |  | 10.5 |  |  | 3.1 |
Real estate |  | 8.2 |  |  | 3.3 |  |  | 11.6 |  |  | 3.3 |
Aerospace/Defense/Government |  | 5.8 |  |  | 19.2 |  |  | 2.8 |  |  | 22.2 |
Healthcare |  | 5.6 |  |  | 2.8 |  |  | 4.3 |  |  | 5.4 |
International multi-sector, Europe |  | 3.9 |  |  | 2.8 |  |  | 5.1 |  |  | 5.0 |
Insurance |  | 2.3 |  |  | 41.3 |  |  | 3.0 |  |  | 41.3 |
Venture capital |  | 1.6 |  |  | .3 |  |  | 2.2 |  |  | .3 |
Distressed residential real estate |  | .4 |  |  | — |  |  | 15.8 |  |  | — |
International multi-sector, Asia |  | — |  |  | 2.7 |  |  | .4 |  |  | 2.7 |
Total private equity funds |  | 118.2 |  |  | 110.6 |  |  | 125.2 |  |  | 119.4 |
Total hedge and private equity funds included in other long-term investments |  | $ | 239.0 |  |  | $ | 110.6 |  |  | $ | 239.8 |  |  | $ | 119.4 |
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, 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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 5.8 |  |  | $ | 5.8 |
Quarterly |  | 29.1 |  |  | 30.2 |  |  | 11.8 |  |  | 8.6 |  |  | 79.7 |
Semi-annual |  | — |  |  | 25.4 |  |  | — |  |  | — |  |  | 25.4 |
Annual |  | .1 |  |  | — |  |  | 9.6 |  |  | .2 |  |  | 9.9 |
Total |  | $ | 29.2 |  |  | $ | 55.6 |  |  | $ | 21.4 |  |  | $ | 14.6 |  |  | $ | 120.8 |
Fair Value of private equity funds subject to lock-up periods | At December 31, 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 |  | $ | 6.9 |  |  | $ | 30.8 |  |  | $ | 67.6 |  |  | $ | 12.9 |  |  | $ | 118.2 |
Rollforward of fair value investments by level | The following tables summarize the changes in White Mountains’ fair value measurements by level for the years ended December 31, 2013 and 2012:
|  |  |  |  |  | Level 3 Investments |  |  |
Millions |  | Level 1 Investments |  | Level 2 Investments |  | Fixed maturity investments |  | Common equity securities |  | Convertible fixed maturity investments |  | Other long-term investments |  | Total |
Balance at January 1, 2013 |  | $ | 1,355.1 |  |  | $ | 5,206.1 |  |  | $ | 92.9 |  |  | $ | 37.3 |  |  | $ | — |  |  | $ | 259.3 |  | (1) | $ | 6,950.7 |  | (1)(2)(3)
Total realized and unrealized gains (losses) |  | 221.9 |  |  | (56.9 | ) |  | (2.7 | ) |  | 1.0 |  |  | — |  |  | 18.7 |  |  | 182.0 |  | (4)
Foreign currency gains (losses) in OCI |  | (.3 | ) |  | 12.5 |  |  | .3 |  |  | — |  |  | — |  |  | (.9 | ) |  | 11.6 |  |
Amortization/Accretion |  | (1.0 | ) |  | (51.2 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | (52.2 | ) |
Purchases |  | 862.1 |  |  | 3,689.6 |  |  | 37.9 |  |  | 8.8 |  |  | — |  |  | 37.1 |  |  | 4,635.5 |  |
Sales |  | (1,078.9 | ) |  | (3,842.8 | ) |  | (6.3 | ) |  | — |  |  | — |  |  | (51.8 | ) |  | (4,979.8 | ) |
Net change in investments related to purchases and sales of consolidated affiliates |  | 16.0 |  |  | 2.7 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 18.7 |  |
Transfers in |  | 1.8 |  |  | 119.4 |  |  | 90.3 |  |  | — |  |  | 6.1 |  |  | — |  |  | 217.6 |  |
Transfers out |  | — |  |  | (97.2 | ) |  | (119.4 | ) |  | (1.0 | ) |  | — |  |  | — |  |  | (217.6 | ) |
Balance at December 31, 2013 |  | $ | 1,376.7 |  |  | $ | 4,982.2 |  |  | $ | 93.0 |  |  | $ | 46.1 |  |  | $ | 6.1 |  |  | $ | 262.4 |  | (1) | $ | 6,766.5 |  | (1)(2)(3)
(1) | Excludes carrying value of $26.6 and $35.0 at December 31, 2013 and January 1, 2013 associated with other long-term investments accounted for using the equity method and $(.1) at December 31, 2013 related to currency forward contracts.
(2) | Carrying value includes $236.3 and $338.1 at December 31, 2013 and January 1, 2013 that is classified as assets held for sale relating to discontinued operations.
(3) | Excludes carrying value of $635.9 and $630.6 at December 31, 2013 and January 1, 2013 classified as short-term investments.
(4) | Excludes $20.6 of realized and unrealized losses associated with the Prospector Funds consolidation of investment-related liabilities and $.2 of realized and unrealized gains associated with short-term investments.
|  |  |  |  |  | Level 3 Investments |
Millions |  | Level 1 Investments |  | Level 2 Investments |  | Fixed maturity investments |  | Common equity securities |  | Convertible fixed maturity investments |  | 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 (losses) gains |  | 52.0 |  |  | 53.6 |  |  | 8.7 |  |  | 12.4 |  |  | — |  |  | (3.3 | ) |  | 123.4 |  |
Foreign currency gains (losses) in OCI |  | 4.4 |  |  | 81.9 |  |  | .8 |  |  | .2 |  |  | — |  |  | 3.7 |  |  | 91.0 |  |
Amortization/Accretion |  | (.8 | ) |  | (48.0 | ) |  | (.8 | ) |  | — |  |  | — |  |  | — |  |  | (49.6 | ) |
Purchases |  | 1,216.9 |  |  | 4,927.1 |  |  | 144.4 |  |  | 3.1 |  |  | — |  |  | 39.4 |  |  | 6,330.9 |  |
Sales |  | (950.5 | ) |  | (5,937.0 | ) |  | (99.4 | ) |  | (10.1 | ) |  | — |  |  | (48.8 | ) |  | (7,045.8 | ) |
Transfers in |  | — |  |  | 62.4 |  |  | 22.1 |  |  | — |  |  | — |  |  | — |  |  | 84.5 |  |
Transfers out |  | — |  |  | (22.1 | ) |  | (61.8 | ) |  | (.6 | ) |  | — |  |  | — |  |  | (84.5 | ) |
Balance at December 31, 2012 |  | $ | 1,355.1 |  |  | $ | 5,206.1 |  |  | $ | 92.9 |  |  | $ | 37.3 |  |  | $ | — |  |  | $ | 259.3 |  | (1) | $ | 6,950.7 |  | (1)(2)(3)
(1) | Excludes carrying value of $35.0 and $33.0 at December 31, 2012 and January 1, 2012 associated with other long-term investment limited partnerships accounted for using the equity method and $(.1) at December 31, 2012 related to currency forward contracts.
(2) | Carrying value includes $338.1 and $111.8 at December 31, 2012 and January 1, 2012 that is classified as assets held for sale relating to AutoOne discontinued operations.
(3) | Excludes carrying value of $630.6 and $846.0 at December 31, 2012 and January 1, 2012 classified as short-term investments.
Schedule of significant unobservable inputs used in estimating the fair value of investment securities | The fair value of investments in hedge funds and private equity funds, which are classified within Level 3, are estimated using the net asset value of the funds.
($ in Millions) |  | December 31, 2013
Description |  | Fair Value | Rating(2) | Valuation Technique(s) | Unobservable Input
Preferred Stock(1) |  | $71.0 | NR | Discounted cash flow | Discount yield | - | 7.4%
Private equity security |  | $35.6 | NR | Multiple of GAAP book value | Book value multiple | - | 1.0
Private equity security |  | $10.5 | NR | Share price of recent transaction | Average share price | - | $1.10
Convertible preferred securities |  | $6.1 | NR | Share price of recent transaction | Share price of recent transaction | - | $6.1
Asset-backed securities (1) |  | $22.0 | AA+ | Broker pricing | Broker quote |  |
(1) | As of December 31, 2013 each asset type consists of one security.
(2) | Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor’s and 2) Moody’s.

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