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Investment Securities (Tables)
 9 Months Ended
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.