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Investment Securities (Tables) | 9 Months Ended
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Sep. 30, 2014
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, 2014 and 2013 consisted of the following:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2014 |  | 2013 |  | 2014 |  | 2013
Investment income: |  |  |  |  |  |  |  |
Fixed maturity investments |  | $ | 24.4 |  |  | $ | 25.1 |  |  | $ | 72.4 |  |  | $ | 76.3 |
Short-term investments |  | .8 |  |  | 1.1 |  |  | 2.0 |  |  | 2.9 |
Common equity securities |  | 4.3 |  |  | 4.4 |  |  | 15.2 |  |  | 14.0 |
Convertible fixed maturity investments |  | 1.1 |  |  | .7 |  |  | 2.3 |  |  | 2.1 |
Other long-term investments |  | .1 |  |  | 1.2 |  |  | 1.8 |  |  | 2.7 |
Interest on funds held under reinsurance treaties |  | (.1 | ) |  | — |  |  | (.1 | ) |  | .2 |
Total investment income |  | 30.6 |  |  | 32.5 |  |  | 93.6 |  |  | 98.2 |
Less third-party investment expenses |  | (5.9 | ) |  | (5.2 | ) |  | (15.5 | ) |  | (13.7 | )
Net investment income, pre-tax |  | $ | 24.7 |  |  | $ | 27.3 |  |  | $ | 78.1 |  |  | $ | 84.5 |
Schedule of Realized and Unrealized Gain (Loss) on Investments | Net realized and unrealized investment gains and losses for the three and nine months ended September 30, 2014 and 2013 consisted of the following:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2014 |  | 2013 |  | 2014 |  | 2013
Net realized investment gains, pre-tax |  | $ | 76.0 |  |  | $ | 11.7 |  |  | $ | 128.3 |  |  | $ | 60.2 |
Net unrealized investment (losses) gains, pre-tax |  | (55.2 | ) |  | 16.5 |  |  | 70.2 |  |  | 5.9 |
Net realized and unrealized investment gains, pre-tax |  | 20.8 |  |  | 28.2 |  |  | 198.5 |  |  | 66.1 |
Income tax expense attributable to net realized and unrealized investment gains |  | (6.6 | ) |  | (1.2 | ) |  | (45.4 | ) |  | (2.5 | )
Net realized and unrealized investment gains, after tax |  | $ | 14.2 |  |  | $ | 27.0 |  |  | $ | 153.1 |  |  | $ | 63.6 |
Realized Gain (Loss) on Investments | Net realized investment gains (losses) for the three and nine months ended September 30, 2014 and 2013 consisted of the following:
|  | Three Months Ended |  | Three Months Ended
|  | September 30, 2014 |  | September 30, 2013
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 |  | $ | 6.9 |  |  | $ | 7.6 |  |  | $ | 14.5 |  |  | $ | (9.1 | ) |  | $ | (.3 | ) |  | $ | (9.4 | )
Short-term investments |  | — |  |  | 1.1 |  |  | 1.1 |  |  | — |  |  | (.6 | ) |  | (.6 | )
Common equity securities |  | 54.6 |  |  | .1 |  |  | 54.7 |  |  | 23.5 |  |  | (3.0 | ) |  | 20.5 |
Convertible fixed maturity investments |  | 2.1 |  |  | — |  |  | 2.1 |  |  | (.2 | ) |  | — |  |  | (.2 | )
Other long-term investments |  | 3.9 |  |  | (.6 | ) |  | 3.3 |  |  | (1.1 | ) |  | 3.0 |  |  | 1.9 |
Forward contracts |  | .3 |  |  | — |  |  | .3 |  |  | (.5 | ) |  | — |  |  | (.5 | )
Net realized investment gains (losses), pre-tax |  | 67.8 |  |  | 8.2 |  |  | 76.0 |  |  | 12.6 |  |  | (.9 | ) |  | 11.7 |
Income tax (expense) benefit attributable to net realized investment gains (losses) |  | (9.6 | ) |  | (2.0 | ) |  | (11.6 | ) |  | (.4 | ) |  | .4 |  |  | — |
Net realized investment gains (losses), after tax |  | $ | 58.2 |  |  | $ | 6.2 |  |  | $ | 64.4 |  |  | $ | 12.2 |  |  | $ | (.5 | ) |  | $ | 11.7 |
|  | Nine Months Ended |  | Nine Months Ended
|  | September 30, 2014 |  | September 30, 2013
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 |  | $ | 17.1 |  |  | $ | 7.1 |  |  | $ | 24.2 |  |  | $ | 12.9 |  |  | $ | (14.4 | ) |  | $ | (1.5 | )
Short-term investments |  | — |  |  | 1.1 |  |  | 1.1 |  |  | .2 |  |  | — |  |  | .2 |
Common equity securities |  | 92.9 |  |  | — |  |  | 92.9 |  |  | 60.7 |  |  | (3.0 | ) |  | 57.7 |
Convertible fixed maturity investments |  | 5.9 |  |  | — |  |  | 5.9 |  |  | (.7 | ) |  | — |  |  | (.7 | )
Other long-term investments |  | 4.2 |  |  | (.2 | ) |  | 4.0 |  |  | 4.8 |  |  | — |  |  | 4.8 |
Forward contracts |  | .2 |  |  | — |  |  | .2 |  |  | (.3 | ) |  | — |  |  | (.3 | )
Net realized investment gains (losses), pre-tax |  | 120.3 |  |  | 8.0 |  |  | 128.3 |  |  | 77.6 |  |  | (17.4 | ) |  | 60.2 |
Income tax (expense) benefit attributable to net realized investment gains (losses) |  | (19.6 | ) |  | (2.1 | ) |  | (21.7 | ) |  | (17.8 | ) |  | 5.1 |  |  | (12.7 | )
Net realized investment gains (losses), after tax |  | $ | 100.7 |  |  | $ | 5.9 |  |  | $ | 106.6 |  |  | $ | 59.8 |  |  | $ | (12.3 | ) |  | $ | 47.5 |
Schedule of unrealized gain (loss) on investments | The following table summarizes net unrealized investment gains (losses) for the three and nine months ended September 30, 2014 and 2013:
|  | Three Months Ended |  | Three Months Ended
|  | September 30, 2014 |  | September 30, 2013
Millions |  | Net unrealized gains (losses) |  | Net foreign exchange gains (losses) |  | Total net unrealized gains (losses) reflected in earnings |  | Net unrealized gains (losses) |  | Net foreign exchange gains (losses) |  | Total net unrealized gains (losses) reflected in earnings
Fixed maturity investments |  | $ | (14.3 | ) |  | $ | 37.6 |  |  | $ | 23.3 |  |  | $ | 9.3 |  |  | $ | (30.5 | ) |  | $ | (21.2 | )
Short-term investments |  | — |  |  | — |  |  | — |  |  | — |  |  | .1 |  |  | .1 |
Common equity securities |  | (67.8 | ) |  | (2.1 | ) |  | (69.9 | ) |  | 35.6 |  |  | (2.0 | ) |  | 33.6 |
Convertible fixed maturity investments |  | (4.0 | ) |  | .1 |  |  | (3.9 | ) |  | 2.4 |  |  | (.1 | ) |  | 2.3 |
Other long-term investments |  | (6.4 | ) |  | 1.7 |  |  | (4.7 | ) |  | 3.1 |  |  | (1.4 | ) |  | 1.7 |
Net unrealized investment (losses) gains, pre-tax |  | (92.5 | ) |  | 37.3 |  |  | (55.2 | ) |  | 50.4 |  |  | (33.9 | ) |  | 16.5 |
Income tax benefit (expense) attributable to net unrealized investment (losses) gains |  | 15.8 |  |  | (10.8 | ) |  | 5.0 |  |  | (8.6 | ) |  | 7.4 |  |  | (1.2 | )
Net unrealized investment (losses) gains, after tax |  | $ | (76.7 | ) |  | $ | 26.5 |  |  | $ | (50.2 | ) |  | $ | 41.8 |  |  | $ | (26.5 | ) |  | $ | 15.3 |
|  | Nine Months Ended |  | Nine Months Ended
|  | September 30, 2014 |  | September 30, 2013
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 |  | $ | 30.0 |  |  | $ | 78.0 |  |  | $ | 108.0 |  |  | $ | (94.8 | ) |  | $ | 6.2 |  |  | $ | (88.6 | )
Common equity securities |  | (42.8 | ) |  | (.2 | ) |  | (43.0 | ) |  | 85.2 |  |  | (1.0 | ) |  | 84.2 |
Convertible fixed maturity investments |  | (5.8 | ) |  | .4 |  |  | (5.4 | ) |  | (.5 | ) |  | — |  |  | (.5 | )
Other long-term investments |  | 7.2 |  |  | 3.4 |  |  | 10.6 |  |  | 7.6 |  |  | 3.2 |  |  | 10.8 |
Net unrealized investment (losses) gains, pre-tax |  | (11.4 | ) |  | 81.6 |  |  | 70.2 |  |  | (2.5 | ) |  | 8.4 |  |  | 5.9 |
Income tax (expense) benefit attributable to net unrealized investment (losses) gains |  | (3.1 | ) |  | (20.6 | ) |  | (23.7 | ) |  | 13.1 |  |  | (2.9 | ) |  | 10.2 |
Net unrealized investment (losses) gains, after tax |  | $ | (14.5 | ) |  | $ | 61.0 |  |  | $ | 46.5 |  |  | $ | 10.6 |  |  | $ | 5.5 |  |  | $ | 16.1 |
Net unrealized investment gains (losses) for Level 3 investments | The following table summarizes the amount of total pre-tax (losses) gains included in earnings attributable to unrealized investment (losses) gains for Level 3 investments for the three and nine months ended September 30, 2014 and 2013:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2014 |  | 2013 |  | 2014 |  | 2013
Fixed maturity investments |  | $ | 1.8 |  |  | $ | (2.2 | ) |  | $ | 2.2 |  |  | $ | (2.4 | )
Common equity securities |  | .9 |  |  | (.7 | ) |  | 3.7 |  |  | — |
Convertible fixed maturity investments |  | .1 |  |  | — |  |  | 3.3 |  |  | — |
Other long-term investments |  | (6.7 | ) |  | .9 |  |  | 8.3 |  |  | 8.7 |
Total unrealized investment (losses) gains, pre-tax - Level 3 investments |  | $ | (3.9 | ) |  | $ | (2.0 | ) |  | $ | 17.5 |  |  | $ | 6.3 |
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’s fixed maturity investments as of September 30, 2014 and December 31, 2013 were as follows:
|  | September 30, 2014
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value
U.S. Government and agency obligations |  | $ | 254.4 |  |  | $ | .2 |  |  | $ | (.5 | ) |  | $ | 5.6 |  |  | $ | 259.7 |
Debt securities issued by corporations |  | 2,314.6 |  |  | 48.9 |  |  | (6.3 | ) |  | 30.1 |  |  | 2,387.3 |
Municipal obligations |  | 78.9 |  |  | 1.3 |  |  | (.3 | ) |  | — |  |  | 79.9 |
Mortgage-backed and asset-backed securities |  | 1,846.7 |  |  | 6.8 |  |  | (4.6 | ) |  | 16.0 |  |  | 1,864.9 |
Foreign government, agency and provincial obligations |  | 311.6 |  |  | 3.7 |  |  | (.8 | ) |  | (3.3 | ) |  | 311.2 |
Preferred stocks |  | 79.7 |  |  | 6.7 |  |  | — |  |  | — |  |  | 86.4 |
Total fixed maturity investments including assets held for sale |  | $ | 4,885.9 |  |  | $ | 67.6 |  |  | $ | (12.5 | ) |  | $ | 48.4 |  |  | $ | 4,989.4 |
Fixed maturity investments reclassified to assets held for sale related to the Runoff Transaction |  |  |  |  |  |  |  |  |  | (203.9 | )
Total fixed maturity investments |  |  |  |  |  |  |  |  |  | $ | 4,785.5 |
|  | December 31, 2013
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency losses |  | Carrying value
U.S. 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 related to the Runoff Transaction |  |  |  |  |  |  |  |  |  |  |  |  |  | (236.3 | )
Total fixed maturity investments |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 5,030.5 |
The cost or amortized cost, gross unrealized investment gains and losses, net foreign currency gains and losses, and carrying values of White Mountains’s common equity securities, convertible fixed maturity investments and other long-term investments as of September 30, 2014 and December 31, 2013 were as follows:
|  | September 30, 2014
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value
Common equity securities |  | $ | 766.7 |  |  | $ | 229.9 |  |  | $ | (9.1 | ) |  | $ | (1.4 | ) |  | $ | 986.1 |
Convertible fixed maturity investments |  | $ | 45.0 |  |  | $ | 4.4 |  |  | $ | (1.1 | ) |  | $ | .6 |  |  | $ | 48.9 |
Other long-term investments |  | $ | 256.1 |  |  | $ | 85.5 |  |  | $ | (21.6 | ) |  | $ | .9 |  |  | $ | 320.9 |
|  | 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 |
Other Long-term Investments Other long-term investments consist of the following at September 30, 2014 and December 31, 2013:
|  | Fair Value at
Millions |  | September 30, 2014 |  | December 31, 2013
Hedge funds and private equity funds, at fair value(1) |  | $ | 241.9 |  |  | $ | 239.0 |
Partnership investments accounted for under the equity method |  | 23.5 |  |  | 26.6 |
Limited liability companies and private equity securities, at fair value(1) |  | 50.1 |  |  | 20.3 |
Other(1) |  | 5.2 |  |  | 3.1 |
Forward contracts at fair value (see Note 8) |  | .2 |  |  | (.1 | )
Total other-long term investments |  | $ | 320.9 |  |  | $ | 288.9 |
(1) See Fair Value Measurements by Level table.
Other long-term investments | The following table summarizes investments in hedge funds and private equity funds by investment objective and sector at September 30, 2014 and December 31, 2013:
|  | September 30, 2014 |  | December 31, 2013
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments
Hedge funds |  |  |  |  |  |  |  |  |  |  |  |
Long/short equity |  | $ | 54.8 |  |  | $ | — |  |  | $ | 62.6 |  |  | $ | — |
Long/short credit & distressed |  | 22.9 |  |  | — |  |  | 22.8 |  |  | — |
Long/short equity REIT |  | 19.5 |  |  | — |  |  | 18.3 |  |  | — |
Long/short equity activist |  | 17.2 |  |  | — |  |  | 16.8 |  |  | — |
Long bank loan |  | .2 |  |  | — |  |  | .2 |  |  | — |
Long diversified strategies |  | — |  |  | — |  |  | .1 |  |  | — |
Total hedge funds |  | 114.6 |  |  | — |  |  | 120.8 |  |  | — |
Private equity funds |  |  |  |  |  |  |  |  |  |  |  |
Energy infrastructure & services |  | 46.8 |  |  | 11.0 |  |  | 45.9 |  |  | 13.1 |
Multi-sector |  | 24.5 |  |  | 5.9 |  |  | 23.8 |  |  | 6.5 |
Manufacturing/Industrial |  | 18.8 |  |  | 14.8 |  |  | 11.2 |  |  | 15.5 |
Aerospace/Defense/Government |  | 12.1 |  |  | 13.4 |  |  | 5.8 |  |  | 19.2 |
Private equity secondaries |  | 9.4 |  |  | 3.1 |  |  | 9.5 |  |  | 3.1 |
Healthcare |  | 5.8 |  |  | 2.8 |  |  | 5.6 |  |  | 2.8 |
Real estate |  | 3.5 |  |  | 3.3 |  |  | 8.2 |  |  | 3.3 |
Insurance |  | 2.2 |  |  | 41.3 |  |  | 2.3 |  |  | 41.3 |
Venture capital |  | 1.4 |  |  | .3 |  |  | 1.6 |  |  | .3 |
International multi-sector, Asia |  | — |  |  | — |  |  | — |  |  | 2.7 |
International multi-sector, Europe |  | 2.8 |  |  | 2.5 |  |  | 3.9 |  |  | 2.8 |
Distressed residential real estate |  | — |  |  | — |  |  | .4 |  |  | — |
Total private equity funds |  | 127.3 |  |  | 98.4 |  |  | 118.2 |  |  | 110.6 |
Total hedge funds and private equity funds included in other long-term investments |  | $ | 241.9 |  |  | $ | 98.4 |  |  | $ | 239.0 |  |  | $ | 110.6 |
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, 2014 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 |  | $ | 4.5 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4.5 |
Quarterly |  | 30.7 |  |  | 22.9 |  |  | 11.1 |  |  | 8.4 |  |  | 73.1 |
Semi-annual |  | — |  |  | 26.9 |  |  | — |  |  | — |  |  | 26.9 |
Annual |  | — |  |  | — |  |  | 9.9 |  |  | .2 |  |  | 10.1 |
Total |  | $ | 35.2 |  |  | $ | 49.8 |  |  | $ | 21.0 |  |  | $ | 8.6 |  |  | $ | 114.6 |
Fair Value of private equity funds subject to lock-up periods | At September 30, 2014, 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 |  | $14.4 |  | $31.6 |  | $60.6 |  | $20.7 |  | $127.3
Fair value measurements by level, investment securities | The following tables summarize White Mountains’s fair value measurements for investments at September 30, 2014 and December 31, 2013, by level:
|  | September 30, 2014
Millions |  | Fair value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 259.7 |  |  | $ | 197.1 |  |  | $ | 62.6 |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 680.5 |  |  | — |  |  | 680.5 |  |  | — |
Financials |  | 476.4 |  |  | — |  |  | 476.4 |  |  | — |
Communications |  | 260.3 |  |  | — |  |  | 260.3 |  |  | — |
Industrial |  | 407.8 |  |  | — |  |  | 407.8 |  |  | — |
Energy |  | 179.8 |  |  | — |  |  | 179.8 |  |  | — |
Utilities |  | 161.1 |  |  | — |  |  | 161.1 |  |  | — |
Basic Materials |  | 140.7 |  |  | — |  |  | 134.7 |  |  | 6.0 |
Technology |  | 56.8 |  |  | — |  |  | 56.8 |  |  | — |
Other |  | 23.9 |  |  | — |  |  | 23.9 |  |  | — |
Total debt securities issued by corporations: |  | 2,387.3 |  |  | — |  |  | 2,381.3 |  |  | 6.0 |
Mortgage-backed and asset-backed securities |  | 1,864.9 |  |  | — |  |  | 1,842.9 |  |  | 22.0 |
Foreign government, agency and provincial obligations |  | 311.2 |  |  | 22.1 |  |  | 289.1 |  |  | — |
Preferred stocks |  | 86.4 |  |  | — |  |  | 14.9 |  |  | 71.5 |
Municipal obligations |  | 79.9 |  |  | — |  |  | 79.9 |  |  | — |
Total fixed maturity investments (1) |  | 4,989.4 |  |  | 219.2 |  |  | 4,670.7 |  |  | 99.5 |
Short-term investments |  | 834.9 |  |  | 833.9 |  |  | 1.0 |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Financials |  | 296.4 |  |  | 257.5 |  |  | — |  |  | 38.9 |
Consumer |  | 277.5 |  |  | 277.2 |  |  | .3 |  |  | — |
Industrial |  | 97.1 |  |  | 97.1 |  |  | — |  |  | — |
Energy |  | 58.8 |  |  | 58.8 |  |  | — |  |  | — |
Communications |  | 54.6 |  |  | 54.6 |  |  | — |  |  | — |
Basic materials |  | 38.9 |  |  | 38.9 |  |  | — |  |  | — |
Technology |  | 36.8 |  |  | 36.8 |  |  | — |  |  | — |
Utilities |  | 22.3 |  |  | 22.3 |  |  | — |  |  | — |
Other |  | 103.7 |  |  | 27.5 |  |  | 76.2 |  |  | — |
Total common equity securities |  | 986.1 |  |  | 870.7 |  |  | 76.5 |  |  | 38.9 |
Convertible fixed maturity investments |  | 48.9 |  |  | — |  |  | 38.0 |  |  | 10.9 |
Other long-term investments (2) |  | 297.2 |  |  | — |  |  | — |  |  | 297.2 |
Total investments |  | $ | 7,156.5 |  |  | $ | 1,923.8 |  |  | $ | 4,786.2 |  |  | $ | 446.5 |
(1) Carrying value includes $203.9 that is classified as assets held for sale relating to discontinued operations. (2) Excludes carrying value of $23.5 associated with other long-term investment limited partnerships accounted for using the equity method and $0.2 related to forward contracts.
|  | December 31, 2013
Millions |  | Fair value |  | Level 1 |  | Level 2 |  | Level 3
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 $(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’s investment portfolio as of September 30, 2014 and December 31, 2013:
|  | Fair Value at
Millions |  | September 30, 2014 |  | December 31, 2013
AAA |  | $ | — |  |  | $ | — |
AA |  | 233.3 |  |  | 228.8 |
A |  | 974.6 |  |  | 1,039.5 |
BBB |  | 1,167.9 |  |  | 1,075.5 |
BB |  | — |  |  | — |
Other |  | 11.5 |  |  | 3.4 |
Debt securities issued by corporations(1) |  | $ | 2,387.3 |  |  | $ | 2,347.2 |
(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, 2014 and December 31, 2013:
|  | September 30, 2014 |  | December 31, 2013
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
GNMA |  | $ | 429.6 |  |  | $ | 429.6 |  |  | $ | — |  |  | $ | 512.3 |  |  | $ | 512.3 |  |  | $ | — |
FNMA |  | 56.6 |  |  | 56.6 |  |  | — |  |  | 81.2 |  |  | 81.2 |  |  | — |
FHLMC |  | 45.0 |  |  | 45.0 |  |  | — |  |  | 91.3 |  |  | 91.3 |  |  | — |
Total Agency(1) |  | 531.2 |  |  | 531.2 |  |  | — |  |  | 684.8 |  |  | 684.8 |  |  | — |
Non-agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential |  | 196.6 |  |  | 196.6 |  |  | — |  |  | 125.7 |  |  | 125.7 |  |  | — |
Commercial |  | 256.2 |  |  | 256.2 |  |  | — |  |  | 282.3 |  |  | 282.3 |  |  | — |
Total Non-agency |  | 452.8 |  |  | 452.8 |  |  | — |  |  | 408.0 |  |  | 408.0 |  |  | — |
Total mortgage-backed securities |  | 984.0 |  |  | 984.0 |  |  | — |  |  | 1,092.8 |  |  | 1,092.8 |  |  | — |
Other asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit card receivables |  | 385.7 |  |  | 363.7 |  |  | 22.0 |  |  | 311.4 |  |  | 289.4 |  |  | 22.0 |
Vehicle receivables |  | 305.9 |  |  | 305.9 |  |  | — |  |  | 365.0 |  |  | 365.0 |  |  | — |
Other |  | 189.3 |  |  | 189.3 |  |  | — |  |  | 245.3 |  |  | 245.3 |  |  | — |
Total other asset-backed securities |  | 880.9 |  |  | 858.9 |  |  | 22.0 |  |  | 921.7 |  |  | 899.7 |  |  | 22.0 |
Total mortgage and asset-backed securities |  | $ | 1,864.9 |  |  | $ | 1,842.9 |  |  | $ | 22.0 |  |  | $ | 2,014.5 |  |  | $ | 1,992.5 |  |  | $ | 22.0 |
(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’s investments in non-agency residential mortgage-backed securities ("RMBS") and non-agency CMBS securities as of September 30, 2014 are as follows:
|  |  |  |  |  | Security Issuance Year |  |  |  |
Millions |  | Fair Value |  | 2004 |  | 2005 |  | 2006 |  | 2007 |  | 2008 |  | 2009 |  | 2010 |  | 2011 |  | 2012 |  | 2013 |  | 2014
Non-agency RMBS |  | $ | 196.6 |  |  | $ | 9.5 |  |  | $ | 16.1 |  |  | $ | 10.6 |  |  | $ | — |  |  | $ | 17.2 |  |  | $ | — |  |  | $ | 16.3 |  |  | $ | 23.5 |  |  | $ | 6.2 |  |  | $ | 42.6 |  |  | $ | 54.6 |
Non-agency CMBS |  | 256.2 |  |  | — |  |  | — |  |  | 8.5 |  |  | 2.8 |  |  | — |  |  | — |  |  | 12.0 |  |  | — |  |  | 20.6 |  |  | 94.5 |  |  | 117.8 |
Total |  | $ | 452.8 |  |  | $ | 9.5 |  |  | $ | 16.1 |  |  | $ | 19.1 |  |  | $ | 2.8 |  |  | $ | 17.2 |  |  | $ | — |  |  | $ | 28.3 |  |  | $ | 23.5 |  |  | $ | 26.8 |  |  | $ | 137.1 |  |  | $ | 172.4 |
Non-agency residential mortgage securities, collateral quality and tranche levels | The classification of the underlying collateral quality and the tranche levels of White Mountains’s non-agency RMBS securities are as follows as of September 30, 2014:
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate (3)
Prime |  | $ | 180.3 |  |  | $ | 71.7 |  |  | $ | 108.6 |  |  | $ | — |
Non-prime |  | 12.1 |  |  | — |  |  | 12.1 |  |  | — |
Sub-prime |  | 4.2 |  |  | 4.2 |  |  | — |  |  | — |
Total |  | $ | 196.6 |  |  | $ | 75.9 |  |  | $ | 120.7 |  |  | $ | — |
(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 Ratings ("Fitch") and were senior to other "AAA" or "Aaa" securities. (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" securities. (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" securities.
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’s non-agency CMBS securities are as follows as of September 30, 2014:
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate (3)
Fixed rate CMBS |  | $ | 149.3 |  |  | $ | 55.4 |  |  | $ | 52.3 |  |  | $ | 41.6 |
Floating rate CMBS |  | 106.9 |  |  | 2.8 |  |  | — |  |  | 104.1 |
Total |  | $ | 256.2 |  |  | $ | 58.2 |  |  | $ | 52.3 |  |  | $ | 145.7 |
(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" securities. (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" securities. (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" securities.
Rollforward of fair value investments by level | The following tables summarize the changes in White Mountains’s fair value measurements by level for the nine months ended September 30, 2014 and 2013:
|  |  | 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, 2014 | $ | 1,376.7 |  | $ | 4,982.2 |  | $ | 93.0 |  | $ | 46.1 |  | $ | 6.1 |  | $ | 262.4 |  |  | $ | 6,766.5 |  | (1)(2)(3)
Total realized and unrealized gains | 57.5 |  | 115.0 |  | 3.1 |  | 3.7 |  | 3.3 |  | 15.6 |  |  | 198.2 |  | (4)
Foreign currency losses through OCI | (16.8 | ) | (142.1 | ) | (.9 | ) | — |  | — |  | (3.5 | ) |  | (163.3 | ) |
Amortization/Accretion | (.4 | ) | (33.2 | ) | (.1 | ) | — |  | — |  | — |  |  | (33.7 | ) |
Purchases | 1,261.6 |  | 2,595.3 |  | 80.0 |  | — |  | 1.5 |  | 47.1 |  |  | 3,985.5 |  |
Sales | (1,585.8 | ) | (2,815.2 | ) | — |  | (10.9 | ) | — |  | (24.4 | ) |  | (4,436.3 | ) |
Net change in investments related to (sales) purchases of consolidated affiliates | (2.7 | ) | 7.4 |  | — |  | — |  | — |  | — |  |  | 4.7 |  |
Transfers in | — |  | 75.8 |  | — |  | — |  | — |  | — |  |  | 75.8 |  |
Transfers out | (.2 | ) | — |  | (75.6 | ) | — |  | — |  | — |  |  | (75.8 | ) |
Balance at September 30, 2014 | $ | 1,089.9 |  | $ | 4,785.2 |  | $ | 99.5 |  | $ | 38.9 |  | $ | 10.9 |  | $ | 297.2 |  |  | $ | 6,321.6 |  | (1)(2)(3)
(1) Excludes carrying value of $26.6 and $23.5 at January 1, 2014 and September 30, 2014 associated with other long-term investments accounted for using the equity method and $(0.1) and $0.2 at January 1, 2014 and September 30, 2014 related to forward contracts. (2) Carrying value includes $236.3 and $203.9 at January 1, 2014 and September 30, 2014 that is classified as assets held for sale relating to discontinued operations. (3) Excludes carrying value of $635.9 and $834.9 at January 1, 2014 and September 30, 2014 associated with short-term investments. (4) Excludes $0.6 realized and unrealized gains associated with the Prospector Funds consolidation of investment-related liabilities.
|  |  | 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 |  |  | $ | 6,950.7 |  | (1)(2)(3)
Total realized and unrealized gains (losses) | 140.6 |  | (70.7 | ) | (3.3 | ) | — |  | — |  | 14.0 |  |  | 80.6 |  | (4)
Foreign currency gains 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 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 investment limited partnerships 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 loss for the period of $0.2 associated with short-term investments. (4) Excludes $14.1 realized and unrealized losses associated with the Prospector Funds consolidation of investment-related liabilities.
Schedule of significant unobservable inputs used in estimating the fair value of investment securities | The following summarizes significant unobservable inputs used in estimating the fair value of investment securities classified within Level 3 other than hedge funds and private equity funds as of September 30, 2014 and December 31, 2013. The fair value of investments in hedge funds and private equity funds, which are classified within Level 3, are estimated using the net asset value of the funds.
($ in Millions) |  | September 30, 2014
Description |  | Fair Value |  | Rating (2) |  | Valuation Technique(s) |  | Unobservable Input
Debt securities issued by corporations(1)(3) |  | $6.0 |  | NR |  | Exchange Transaction |  |  |  |  |
Asset-backed securities(1) |  | $22.0 |  | AA+ |  | Broker pricing |  | Broker quote |  |  |
Preferred stock(1) |  | $71.5 |  | NR |  | Discounted cash flow |  | Discount yield |  | 6.6% |
Private equity security(1) |  | $38.4 |  | NR |  | Multiple of GAAP book value |  | Book value multiple |  | 1.0 |
Private equity security(1) |  | $15.7 |  | NR |  | Share price of recent transaction |  | Share price |  | $1.10 |
Convertible fixed maturity investment (1) |  | $6.4 |  | NR |  | Multiple of EBITDA |  | EBITDA multiple |  | 6X |
Convertible fixed maturity investment (1) |  | $4.5 |  | NR |  | Share price of recent transaction |  | Share price |  | $0.71 |
Private equity security(1) |  | $11.7 |  | NR |  | Share price of recent transaction |  | Share price |  | $290.96 |
(1) As of September 30, 2014, consists of one security. (2) Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's and 2) Moody’s. (3) Derived from the exchange of a convertible fixed maturity investment, where the valuation of the debt security issued by a corporation represents a portion of the total exchange price after taking into consideration the cash and value of the common equity security that was also received in the exchange transaction.
($ in Millions) |  | December 31, 2013
Description |  | Fair Value |  | Rating (2) |  | Valuation Technique(s) |  | Unobservable Input
Asset-backed securities(1) |  | $22.0 |  | AA+ |  | Broker pricing |  | Broker quote |  |  |
Preferred stock(1) |  | $71.0 |  | NR |  | Discounted cash flow |  | Discount yield |  | 7.4% |
Private equity security(1) |  | $35.6 |  | NR |  | Multiple of GAAP book value |  | Book value multiple |  | 1.0 |
Private equity security(1) |  | $10.5 |  | NR |  | Share price of recent transaction |  | Share price |  | $1.10 |
Convertible fixed maturity investments |  | $6.1 |  | NR |  | Share price of recent transaction |  | Recent market transaction |  | $6.1 |
(1) As of December 31, 2013, consists of one security. (2) Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's and 2) Moody’s.

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