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Investment Securities (Tables) | 9 Months Ended
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Sep. 30, 2015
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, 2015 and 2014 consisted of the following:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2015 |  | 2014 |  | 2015 |  | 2014
Investment income: |  |  |  |  |  |  |  |
Fixed maturity investments |  | $ | 13.7 |  |  | $ | 12.7 |  |  | $ | 38.5 |  |  | $ | 38.4 |
Short-term investments |  | — |  |  | .1 |  |  | .1 |  |  | .2 |
Common equity securities |  | 1.4 |  |  | 3.3 |  |  | 5.7 |  |  | 11.9 |
Convertible fixed maturity and preferred investments |  | .1 |  |  | 1.0 |  |  | .4 |  |  | 1.5 |
Other long-term investments |  | 1.9 |  |  | .2 |  |  | 2.5 |  |  | 2.2 |
Total investment income |  | 17.1 |  |  | 17.3 |  |  | 47.2 |  |  | 54.2 |
External investment expenses |  | (.3 | ) |  | (3.5 | ) |  | (4.6 | ) |  | (9.5 | )
Net investment income, pre-tax |  | $ | 16.8 |  |  | $ | 13.8 |  |  | $ | 42.6 |  |  | $ | 44.7 |
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, 2015 and 2014 consisted of the following:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2015 |  | 2014 |  | 2015 |  | 2014
Net realized investment (losses) gains, pre-tax |  | $ | (7.4 | ) |  | $ | 57.9 |  |  | $ | 49.7 |  |  | $ | 97.0 |
Net unrealized investment (losses), pre-tax |  | (36.5 | ) |  | (85.4 | ) |  | (83.6 | ) |  | (32.6 | )
Net realized and unrealized investment (losses) gains, pre-tax |  | (43.9 | ) |  | (27.5 | ) |  | (33.9 | ) |  | 64.4 |
Income tax benefit (expense) attributable to net realized and unrealized investment gains (losses) |  | 9.4 |  |  | 5.6 |  |  | 6.9 |  |  | (12.2 | )
Net realized and unrealized investment (losses) gains, after tax |  | $ | (34.5 | ) |  | $ | (21.9 | ) |  | $ | (27.0 | ) |  | $ | 52.2 |
Realized Gain (Loss) on Investments | Net realized investment gains (losses) for the three and nine months ended September 30, 2015 and 2014 consisted of the following:
|  | Three Months Ended |  | Three Months Ended
|  | September 30, 2015 |  | September 30, 2014
Millions |  | Net realized (losses) |  | Net foreign currency gains |  | Total net realized (losses) reflected in earnings |  | Net realized gains |  | Net foreign currency (losses) |  | Total net realized gains reflected in earnings
Fixed maturity investments |  | $ | (.1 | ) |  | $ | — |  |  | $ | (.1 | ) |  | $ | 2.3 |  |  | $ | (.1 | ) |  | $ | 2.2 |
Short-term investments |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Common equity securities |  | (5.9 | ) |  | — |  |  | (5.9 | ) |  | 51.4 |  |  | — |  |  | 51.4 |
Convertible fixed maturity and preferred investments |  | — |  |  | — |  |  | — |  |  | 1.6 |  |  | — |  |  | 1.6 |
Other long-term investments |  | (1.4 | ) |  | — |  |  | (1.4 | ) |  | 2.7 |  |  | — |  |  | 2.7 |
Net realized investment (losses) gains, pre-tax |  | (7.4 | ) |  | — |  |  | (7.4 | ) |  | 58.0 |  |  | (.1 | ) |  | 57.9 |
Income tax benefit (expense) attributable to net realized investment gains |  | 1.5 |  |  | — |  |  | 1.5 |  |  | (7.0 | ) |  | — |  |  | (7.0 | )
Net realized investment (losses) gains, after tax |  | $ | (5.9 | ) |  | $ | — |  |  | $ | (5.9 | ) |  | $ | 51.0 |  |  | $ | (.1 | ) |  | $ | 50.9 |
|  | Nine Months Ended |  | Nine Months Ended
|  | September 30, 2015 |  | September 30, 2014
Millions |  | Net realized gains (losses) |  | Net foreign currency gains |  | Total net realized gains (losses) reflected in earnings |  | Net realized gains |  | Net foreign currency (losses) |  | Total net realized gains reflected in earnings
Fixed maturity investments |  | $ | 2.0 |  |  | $ | — |  |  | $ | 2.0 |  |  | $ | 4.7 |  |  | $ | (.1 | ) |  | $ | 4.6 |
Short-term investments |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Common equity securities |  | 41.6 |  |  | .4 |  |  | 42.0 |  |  | 83.2 |  |  | — |  |  | 83.2 |
Convertible fixed maturity and preferred investments |  | (4.3 | ) |  | — |  |  | (4.3 | ) |  | 6.5 |  |  | — |  |  | 6.5 |
Other long-term investments |  | 10.0 |  |  | — |  |  | 10.0 |  |  | 2.7 |  |  | — |  |  | 2.7 |
Net realized investment gains (losses), pre-tax |  | 49.3 |  |  | .4 |  |  | 49.7 |  |  | 97.1 |  |  | (.1 | ) |  | 97.0 |
Income tax (expense) attributable to net realized investment gains (losses) |  | (15.7 | ) |  | — |  |  | (15.7 | ) |  | (13.3 | ) |  | — |  |  | (13.3 | )
Net realized investment gains (losses), after tax |  | $ | 33.6 |  |  | $ | .4 |  |  | $ | 34.0 |  |  | $ | 83.8 |  |  | $ | (.1 | ) |  | $ | 83.7 |
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, 2015 and 2014:
|  | Three Months Ended |  | Three Months Ended
|  | September 30, 2015 |  | September 30, 2014
Millions |  | Net unrealized gains (losses) |  | Net foreign currency (losses) |  | Total net unrealized gains (losses) reflected in earnings |  | Net unrealized (losses) |  | Net foreign currency (losses) |  | Total net unrealized (losses) reflected in earnings
Fixed maturity investments |  | $ | 3.3 |  |  | $ | — |  |  | $ | 3.3 |  |  | $ | (10.0 | ) |  | $ | — |  |  | $ | (10.0 | )
Short-term investments |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Common equity securities |  | (30.6 | ) |  | (.2 | ) |  | (30.8 | ) |  | (63.9 | ) |  | (5.3 | ) |  | (69.2 | )
Convertible fixed maturity and preferred investments |  | 1.1 |  |  | — |  |  | 1.1 |  |  | (3.4 | ) |  | — |  |  | (3.4 | )
Other long-term investments |  | (10.1 | ) |  | — |  |  | (10.1 | ) |  | (2.8 | ) |  | — |  |  | (2.8 | )
Net unrealized investment (losses), pre-tax |  | (36.3 | ) |  | (.2 | ) |  | (36.5 | ) |  | (80.1 | ) |  | (5.3 | ) |  | (85.4 | )
Income tax benefit attributable to net unrealized investment (losses) |  | 7.9 |  |  | — |  |  | 7.9 |  |  | 12.6 |  |  | — |  |  | 12.6 |
Net unrealized investment (losses), after tax |  | $ | (28.4 | ) |  | $ | (.2 | ) |  | $ | (28.6 | ) |  | $ | (67.5 | ) |  | $ | (5.3 | ) |  | $ | (72.8 | )
|  | Nine Months Ended |  | Nine Months Ended
|  | September 30, 2015 |  | September 30, 2014
Millions |  | Net unrealized gains (losses) |  | Net foreign currency (losses) |  | Total net unrealized gains (losses) reflected in earnings |  | Net unrealized gains (losses) |  | Net foreign currency (losses) |  | Total net unrealized gains (losses) reflected in earnings
Fixed maturity investments |  | $ | 1.3 |  |  | $ | — |  |  | $ | 1.3 |  |  | $ | 12.3 |  |  | $ | — |  |  | $ | 12.3 |
Short-term investments |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Common equity securities |  | (56.0 | ) |  | (2.5 | ) |  | (58.5 | ) |  | (43.2 | ) |  | (5.3 | ) |  | (48.5 | )
Convertible fixed maturity and preferred investments |  | 2.0 |  |  | — |  |  | 2.0 |  |  | (5.1 | ) |  | — |  |  | (5.1 | )
Other long-term investments |  | (27.6 | ) |  | (.8 | ) |  | (28.4 | ) |  | 8.7 |  |  | — |  |  | 8.7 |
Net unrealized investment (losses), pre-tax |  | (80.3 | ) |  | (3.3 | ) |  | (83.6 | ) |  | (27.3 | ) |  | (5.3 | ) |  | (32.6 | )
Income tax benefit attributable to net unrealized investment losses |  | 22.6 |  |  | — |  |  | 22.6 |  |  | 1.1 |  |  | — |  |  | 1.1 |
Net unrealized investment (losses), after tax |  | $ | (57.7 | ) |  | $ | (3.3 | ) |  | $ | (61.0 | ) |  | $ | (26.2 | ) |  | $ | (5.3 | ) |  | $ | (31.5 | )
Net unrealized investment gains (losses) for Level 3 investments | The following table summarizes the amount of total pre-tax unrealized investment (losses) gains included in earnings for Level 3 investments for the three and nine months ended September 30, 2015 and 2014:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2015 |  | 2014 |  | 2015 |  | 2014
Fixed maturity investments |  | $ | (1.0 | ) |  | $ | 2.1 |  |  | $ | (.9 | ) |  | $ | 2.7 |
Common equity securities |  | 1.1 |  |  | 1.0 |  |  | 4.0 |  |  | 3.8 |
Convertible fixed maturity and preferred investments |  | 1.1 |  |  | .1 |  |  | 1.8 |  |  | 3.3 |
Other long-term investments |  | (10.0 | ) |  | (3.5 | ) |  | (28.1 | ) |  | (5.7 | )
Total unrealized investment (losses) gains, pre-tax - Level 3 investments |  | $ | (8.8 | ) |  | $ | (.3 | ) |  | $ | (23.2 | ) |  | $ | 4.1 |
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, 2015 and December 31, 2014 were as follows:
|  | September 30, 2015
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value
U.S. Government and agency obligations |  | $ | 99.6 |  |  | $ | .2 |  |  | $ | — |  |  | $ | — |  |  | $ | 99.8 |
Debt securities issued by corporations |  | 998.6 |  |  | 8.7 |  |  | (1.5 | ) |  | — |  |  | 1,005.8 |
Municipal obligations |  | 145.8 |  |  | 1.8 |  |  | (.8 | ) |  | — |  |  | 146.8 |
Mortgage-backed and asset-backed securities |  | 1,261.2 |  |  | 6.4 |  |  | (2.2 | ) |  | — |  |  | 1,265.4 |
Foreign government, agency and provincial obligations |  | 1.0 |  |  | .3 |  |  | — |  |  | — |  |  | 1.3 |
Preferred stocks |  | 78.3 |  |  | 4.8 |  |  | — |  |  | — |  |  | 83.1 |
Total fixed maturity investments |  | $ | 2,584.5 |  |  | $ | 22.2 |  |  | $ | (4.5 | ) |  | $ | — |  |  | $ | 2,602.2 |
|  | December 31, 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 |  | $ | 105.4 |  |  | $ | .1 |  |  | $ | (.3 | ) |  | $ | — |  |  | $ | 105.2 |
Debt securities issued by corporations |  | 1,162.0 |  |  | 13.1 |  |  | (3.4 | ) |  | — |  |  | 1,171.7 |
Municipal obligations |  | 81.0 |  |  | 1.4 |  |  | (.2 | ) |  | — |  |  | 82.2 |
Mortgage-backed and asset-backed securities |  | 967.5 |  |  | 2.8 |  |  | (2.4 | ) |  | — |  |  | 967.9 |
Foreign government, agency and provincial obligations |  | 11.5 |  |  | .3 |  |  | (1.0 | ) |  | — |  |  | 10.8 |
Preferred stocks |  | 78.3 |  |  | 5.9 |  |  | — |  |  | — |  |  | 84.2 |
Total fixed maturity investments |  | $ | 2,405.7 |  |  | $ | 23.6 |  |  | $ | (7.3 | ) |  | $ | — |  |  | $ | 2,422.0 |
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 and preferred investments and other long-term investments as of September 30, 2015 and December 31, 2014 were as follows:
|  | September 30, 2015
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency (losses) |  | Carrying value
Common equity securities |  | $ | 453.0 |  |  | $ | 52.0 |  |  | $ | (22.9 | ) |  | $ | — |  |  | $ | 482.1 |
Convertible fixed maturity and preferred investments |  | $ | 3.1 |  |  | $ | 2.5 |  |  | $ | — |  |  | $ | — |  |  | $ | 5.6 |
Other long-term investments |  | $ | 271.9 |  |  | $ | 37.7 |  |  | $ | (12.9 | ) |  | $ | (2.1 | ) |  | $ | 294.6 |
|  | December 31, 2014
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency (losses) |  | Carrying value
Common equity securities |  | $ | 495.3 |  |  | $ | 127.4 |  |  | $ | (3.6 | ) |  | $ | (7.4 | ) |  | $ | 611.7 |
Convertible fixed maturity and preferred investments |  | $ | 13.4 |  |  | $ | .8 |  |  | $ | (.3 | ) |  | $ | — |  |  | $ | 13.9 |
Other long-term investments |  | $ | 273.3 |  |  | $ | 52.5 |  |  | $ | (6.5 | ) |  | $ | (1.3 | ) |  | $ | 318.0 |
Other Long-term Investments Other long-term investments consist of the following as of September 30, 2015 and December 31, 2014:
|  | Carrying Value at
Millions |  | September 30, 2015 |  | December 31, 2014
Hedge funds and private equity funds, at fair value(1) |  | $ | 148.6 |  |  | $ | 178.5 |
Surplus notes investments, at fair value(1)(4) |  | 58.0 |  |  | 65.1 |
Private equity securities and limited liability companies, at fair value(1)(2) |  | 65.3 |  |  | 45.3 |
Tax advantaged federal affordable housing development fund(3) |  | 15.2 |  |  | 16.8 |
Partnership investments accounted for under the equity method |  | 3.9 |  |  | 5.1 |
Other(1) |  | 3.6 |  |  | 7.2 |
Total other-long term investments |  | $ | 294.6 |  |  | $ | 318.0 |
(1) See Fair Value Measurements by Level table. (2) On April 2, 2015, White Mountains invested $21.0 in PassportCard. White Mountains has chosen to take the fair value election for its investment. (3) Fund accounted for using the proportional amortization method. (4) The decrease in the fair value of the surplus notes during the nine months ended September 30, 2015 was primarily due to widening of non- investment grade credit spreads.
Other long-term investments | The following table summarizes investments in hedge funds and private equity funds by investment objective and sector as of September 30, 2015 and December 31, 2014:
|  | September 30, 2015 |  | December 31, 2014
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments
Hedge funds |  |  |  |  |  |  |  |  |  |  |  |
Long/short equity REIT |  | $ | 20.0 |  |  | $ | — |  |  | $ | 20.4 |  |  | $ | — |
Long/short credit & distressed |  | 8.1 |  |  | — |  |  | 8.4 |  |  | — |
Long/short equity banks and financial |  | 15.4 |  |  | — |  |  | 29.9 |  |  | — |
Other |  | 12.1 |  |  | — |  |  | 15.7 |  |  | — |
Total hedge funds |  | 55.6 |  |  | — |  |  | 74.4 |  |  | — |
Private equity funds |  |  |  |  |  |  |  |  |  |  |  |
Energy infrastructure & services |  | 26.3 |  |  | 4.0 |  |  | 33.1 |  |  | 4.8 |
Manufacturing/Industrial |  | 23.5 |  |  | 2.5 |  |  | 23.2 |  |  | 7.3 |
Multi-sector |  | 14.9 |  |  | 2.1 |  |  | 14.5 |  |  | 2.2 |
Aerospace/Defense/Government |  | 17.1 |  |  | 33.6 |  |  | 20.7 |  |  | 5.1 |
Healthcare |  | 3.9 |  |  | .4 |  |  | 3.1 |  |  | 1.4 |
Private equity secondaries |  | 4.5 |  |  | 2.1 |  |  | 5.7 |  |  | 2.1 |
Insurance |  | 2.0 |  |  | 41.3 |  |  | 2.1 |  |  | 41.3 |
Real estate |  | .8 |  |  | .1 |  |  | 1.7 |  |  | .1 |
Total private equity funds |  | 93.0 |  |  | 86.1 |  |  | 104.1 |  |  | 64.3 |
Total hedge funds and private equity funds included in other long-term investments |  | $ | 148.6 |  |  | $ | 86.1 |  |  | $ | 178.5 |  |  | $ | 64.3 |
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, 2015 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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Quarterly |  | 16.4 |  |  | 8.1 |  |  | — |  |  | 8.4 |  |  | 32.9 |
Semi-annual |  | — |  |  | 20.0 |  |  | — |  |  | — |  |  | 20.0 |
Annual |  | — |  |  | — |  |  | 2.7 |  |  | — |  |  | 2.7 |
Total |  | $ | 16.4 |  |  | $ | 28.1 |  |  | $ | 2.7 |  |  | $ | 8.4 |  |  | $ | 55.6 |
Fair Value of private equity funds subject to lock-up periods | As of September 30, 2015, 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 |  | $25.8 |  | $11.1 |  | $56.1 |  | $— |  | $93.0
Fair value measurements by level, investment securities | The following tables summarize White Mountains’s fair value measurements for investments as of September 30, 2015 and December 31, 2014, by major security type and class by level. The major security types were based on the legal form of the securities, with a separate break-out for convertible fixed maturity investments as they may react similar to either debt securities or equity securities, depending on prevailing market conditions. White Mountains has disaggregated its fixed maturity investments based on the issuing entity type, which impacts credit quality, with debt securities issued by U.S. government entities carrying minimal credit risk, while the credit and other risks associated with other issuers, such as corporations, foreign governments, municipalities or entities issuing asset-backed securities vary depending on the nature of the issuing entity type. White Mountains further disaggregates debt securities issued by corporations and equity securities by industry sector because investors often reference commonly used benchmarks and their subsectors to monitor risk and performance. Accordingly, White Mountains has further disaggregated these asset classes into subclasses based on the similar sectors and industry classifications it uses to evaluate investment risk and performance against commonly used benchmarks, such as the Barclays Intermediate Aggregate and S&P 500 indices:
|  | September 30, 2015
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 99.8 |  |  | $ | 61.8 |  |  | $ | 38.0 |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 223.1 |  |  | — |  |  | 223.1 |  |  | — |
Financials |  | 201.3 |  |  | — |  |  | 201.3 |  |  | — |
Health Care |  | 177.2 |  |  | — |  |  | 177.2 |  |  | — |
Industrial |  | 132.8 |  |  | — |  |  | 132.8 |  |  | — |
Communications |  | 52.7 |  |  | — |  |  | 52.7 |  |  | — |
Energy |  | 57.8 |  |  | — |  |  | 57.8 |  |  | — |
Utilities |  | 62.5 |  |  | — |  |  | 62.5 |  |  | — |
Technology |  | 64.7 |  |  | — |  |  | 64.7 |  |  | — |
Materials |  | 31.4 |  |  | — |  |  | 31.4 |  |  | — |
Other |  | 2.3 |  |  | — |  |  | 2.3 |  |  | — |
Total debt securities issued by corporations |  | 1,005.8 |  |  | — |  |  | 1,005.8 |  |  | — |
Municipal obligations |  | 146.8 |  |  | — |  |  | 146.8 |  |  | — |
Mortgage-backed and asset-backed securities |  | 1,265.4 |  |  | — |  |  | 1,265.4 |  |  | — |
Foreign government, agency and provincial obligations |  | 1.3 |  |  | .6 |  |  | .7 |  |  | — |
Preferred stocks |  | 83.1 |  |  | — |  |  | 12.8 |  |  | 70.3 |
Total fixed maturity investments |  | 2,602.2 |  |  | 62.4 |  |  | 2,469.5 |  |  | 70.3 |
Short-term investments |  | 325.0 |  |  | 325.0 |  |  | — |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Exchange traded funds(1) |  | 172.6 |  |  | 152.6 |  |  | 20.0 |  |  | — |
Financials |  | 63.2 |  |  | 29.0 |  |  | — |  |  | 34.2 |
Consumer |  | 56.5 |  |  | 56.5 |  |  | — |  |  | — |
Health Care |  | 34.5 |  |  | 34.5 |  |  | — |  |  | — |
Industrial |  | 25.2 |  |  | 25.2 |  |  | — |  |  | — |
Technology |  | 22.0 |  |  | 22.0 |  |  | — |  |  | — |
Communications |  | 36.0 |  |  | 36.0 |  |  | — |  |  | — |
Energy |  | — |  |  | — |  |  | — |  |  | — |
Materials |  | — |  |  | — |  |  | — |  |  | — |
Utilities |  | — |  |  | — |  |  | — |  |  | — |
Other |  | 72.1 |  |  | — |  |  | 72.1 |  |  | — |
Total common equity securities |  | 482.1 |  |  | 355.8 |  |  | 92.1 |  |  | 34.2 |
Convertible fixed maturity and preferred investments |  | 5.6 |  |  | — |  |  | — |  |  | 5.6 |
Other long-term investments (2) |  | 275.5 |  |  | — |  |  | — |  |  | 275.5 |
Total investments |  | $ | 3,690.4 |  |  | $ | 743.2 |  |  | $ | 2,561.6 |  |  | $ | 385.6 |
(1) ETF's traded on foreign exchanges are priced using the fund's published NAV to account for the difference in market close times and are therefore designated a level 2 measurement. (2) Excludes carrying value of $3.9 associated with other long-term investment limited partnerships accounted for using the equity method. Excludes carrying value of $15.2 associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method.
|  | December 31, 2014
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 105.2 |  |  | $ | 51.2 |  |  | $ | 54.0 |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |  |  |  |
Consumer |  | 259.2 |  |  | — |  |  | 259.2 |  |  | — |
Financials |  | 254.7 |  |  | — |  |  | 254.7 |  |  | — |
Health Care |  | 181.8 |  |  | — |  |  | 181.8 |  |  | — |
Industrial |  | 107.3 |  |  | — |  |  | 102.0 |  |  | 5.3 |
Communications |  | 71.5 |  |  | — |  |  | 71.5 |  |  | — |
Energy |  | 65.6 |  |  | — |  |  | 65.6 |  |  | — |
Utilities |  | 84.1 |  |  | — |  |  | 84.1 |  |  | — |
Technology |  | 88.3 |  |  | — |  |  | 88.3 |  |  | — |
Materials |  | 51.7 |  |  | — |  |  | 51.7 |  |  | — |
Other |  | 7.5 |  |  | — |  |  | 7.5 |  |  | — |
Total debt securities issued by corporations |  | 1,171.7 |  |  | — |  |  | 1,166.4 |  |  | 5.3 |
Mortgage-backed and asset-backed securities |  | 967.9 |  |  | — |  |  | 967.9 |  |  | — |
Foreign government, agency and provincial obligations |  | 10.8 |  |  | .6 |  |  | 10.2 |  |  | — |
Preferred stocks |  | 84.2 |  |  | — |  |  | 13.1 |  |  | 71.1 |
Municipal obligations |  | 82.2 |  |  | — |  |  | 82.2 |  |  | — |
Total fixed maturity investments |  | 2,422.0 |  |  | 51.8 |  |  | 2,293.8 |  |  | 76.4 |
Short-term investments |  | 376.8 |  |  | 376.3 |  |  | .5 |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Financials |  | 180.7 |  |  | 141.2 |  |  | — |  |  | 39.5 |
Consumer |  | 116.0 |  |  | 115.9 |  |  | .1 |  |  | — |
Health Care |  | 74.4 |  |  | 74.4 |  |  | — |  |  | — |
Industrial |  | 57.1 |  |  | 57.1 |  |  | — |  |  | — |
Technology |  | 44.8 |  |  | 44.8 |  |  | — |  |  | — |
Communications |  | 28.5 |  |  | 28.5 |  |  | — |  |  | — |
Energy |  | 18.1 |  |  | 18.1 |  |  | — |  |  | — |
Materials |  | 12.0 |  |  | 12.0 |  |  | — |  |  | — |
Utilities |  | 4.9 |  |  | 4.9 |  |  | — |  |  | — |
Other |  | 75.2 |  |  | 1.9 |  |  | 73.3 |  |  | — |
Total common equity securities |  | 611.7 |  |  | 498.8 |  |  | 73.4 |  |  | 39.5 |
Convertible fixed maturity and preferred investments |  | 13.9 |  |  | — |  |  | 5.7 |  |  | 8.2 |
Other long-term investments (1) |  | 296.0 |  |  | — |  |  | — |  |  | 296.0 |
Total investments |  | $ | 3,720.4 |  |  | $ | 926.9 |  |  | $ | 2,373.4 |  |  | $ | 420.1 |
(1) Excludes carrying value of $5.2 associated with other long-term investment limited partnerships accounted for using the equity method. Excludes carrying value of $16.8 associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method.
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, 2015 and December 31, 2014:
|  | Fair Value at
Millions |  | September 30, 2015 |  | December 31, 2014
AAA |  | $ | — |  |  | $ | — |
AA |  | 112.3 |  |  | 144.9 |
A |  | 439.7 |  |  | 594.9 |
BBB |  | 453.8 |  |  | 426.5 |
BB |  | — |  |  | — |
Other |  | — |  |  | 5.4 |
Debt securities issued by corporations(1) |  | $ | 1,005.8 |  |  | $ | 1,171.7 |
(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, 2015 and December 31, 2014:
|  | September 30, 2015 |  | December 31, 2014
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
GNMA |  | $ | 293.9 |  |  | $ | 293.9 |  |  | $ | — |  |  | $ | 308.7 |  |  | $ | 308.7 |  |  | $ | — |
FNMA |  | 41.6 |  |  | 41.6 |  |  | — |  |  | 33.4 |  |  | 33.4 |  |  | — |
FHLMC |  | 24.8 |  |  | 24.8 |  |  | — |  |  | 28.9 |  |  | 28.9 |  |  | — |
Total Agency(1) |  | 360.3 |  |  | 360.3 |  |  | — |  |  | 371.0 |  |  | 371.0 |  |  | — |
Non-agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential |  | 123.7 |  |  | 123.7 |  |  | — |  |  | 71.0 |  |  | 71.0 |  |  | — |
Commercial |  | 133.7 |  |  | 133.7 |  |  | — |  |  | 109.3 |  |  | 109.3 |  |  | — |
Total Non-agency |  | 257.4 |  |  | 257.4 |  |  | — |  |  | 180.3 |  |  | 180.3 |  |  | — |
Total mortgage-backed securities |  | 617.7 |  |  | 617.7 |  |  | — |  |  | 551.3 |  |  | 551.3 |  |  | — |
Other asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit card receivables |  | 293.3 |  |  | 293.3 |  |  | — |  |  | 218.1 |  |  | 218.1 |  |  | — |
Vehicle receivables |  | 276.4 |  |  | 276.4 |  |  | — |  |  | 152.8 |  |  | 152.8 |  |  | — |
Other |  | 78.0 |  |  | 78.0 |  |  | — |  |  | 45.7 |  |  | 45.7 |  |  | — |
Total other asset-backed securities |  | 647.7 |  |  | 647.7 |  |  | — |  |  | 416.6 |  |  | 416.6 |  |  | — |
Total mortgage and asset-backed securities |  | $ | 1,265.4 |  |  | $ | 1,265.4 |  |  | $ | — |  |  | $ | 967.9 |  |  | $ | 967.9 |  |  | $ | — |
(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 commercial mortgage-backed securities (“CMBS”) as of September 30, 2015 are as follows:
|  |  |  |  |  | Security Issuance Year |  |  |  |  |  |
Millions |  | Fair Value |  | 2004 |  | 2005 |  | 2006 |  | 2007 |  | 2008 |  | 2009 |  | 2010 |  | 2011 |  | 2012 |  | 2013 |  | 2014 |  | 2015
Non-agency RMBS |  | $ | 123.7 |  |  | $ | 18.3 |  |  | $ | 2.9 |  |  | $ | 4.0 |  |  | $ | — |  |  | $ | 4.2 |  |  | $ | — |  |  | $ | 17.1 |  |  | $ | 14.6 |  |  | $ | 13.4 |  |  | $ | 14.7 |  |  | $ | 34.5 |  |  | $ | — |
Non-agency CMBS |  | 133.7 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 5.7 |  |  | — |  |  | 8.6 |  |  | 18.4 |  |  | 55.6 |  |  | 45.4 |
Total |  | $ | 257.4 |  |  | $ | 18.3 |  |  | $ | 2.9 |  |  | $ | 4.0 |  |  | $ | — |  |  | $ | 4.2 |  |  | $ | — |  |  | $ | 22.8 |  |  | $ | 14.6 |  |  | $ | 22.0 |  |  | $ | 33.1 |  |  | $ | 90.1 |  |  | $ | 45.4 |
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, 2015:
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate (3)
Prime |  | $ | 123.7 |  |  | $ | 35.1 |  |  | $ | 88.6 |  |  | $ | — |
Non-prime |  | — |  |  | — |  |  | — |  |  | — |
Sub-prime |  | — |  |  | — |  |  | — |  |  | — |
Total |  | $ | 123.7 |  |  | $ | 35.1 |  |  | $ | 88.6 |  |  | $ | — |
(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, 2015:
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate (3)
Fixed rate CMBS |  | $ | 93.2 |  |  | $ | 9.6 |  |  | $ | 41.4 |  |  | $ | 42.2 |
Floating rate CMBS |  | 40.5 |  |  | — |  |  | — |  |  | 40.5 |
Total |  | $ | 133.7 |  |  | $ | 9.6 |  |  | $ | 41.4 |  |  | $ | 82.7 |
(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.
Rollforward of fair value investments by level | The following tables summarize the changes in White Mountains’s fair value measurements by level for the three months ended September 30, 2015 and 2014:
|  |  | Level 3 Investments |  |  |
Millions | Level 1 investments | Level 2 investments | Fixed maturity investments | Common equity securities | Convertible fixed maturity and preferred investments | Other long-term investments |  | Total |
Balance at January 1, 2015 | $ | 550.6 |  | $ | 2,372.9 |  | $ | 76.4 |  | $ | 39.5 |  | $ | 8.2 |  | $ | 296.0 |  |  | $ | 3,343.6 |  | (1)(2)
Total realized and unrealized (losses) gains | (19.5 | ) | .6 |  | (.9 | ) | 7.7 |  | (2.6 | ) | (18.0 | ) |  | (32.7 | ) | (3)
Amortization/Accretion | — |  | (15.2 | ) | — |  | — |  | — |  | — |  |  | (15.2 | ) |
Purchases | 550.0 |  | 1,056.0 |  | 35.3 |  | — |  | — |  | 30.7 |  |  | 1,672.0 |  |
Sales | (618.2 | ) | (894.4 | ) | — |  | (9.4 | ) | — |  | (18.9 | ) |  | (1,540.9 | ) |
Effect of redemption of Prospector hedge funds | (43.5 | ) | — |  | — |  | (3.6 | ) | — |  | (14.3 | ) |  | (61.4 | ) |
Transfers in | — |  | 41.7 |  | — |  | — |  | — |  | — |  |  | 41.7 |  |
Transfers out | (1.2 | ) | — |  | (40.5 | ) | — |  | — |  | — |  |  | (41.7 | ) |
Balance at September 30, 2015 | $ | 418.2 |  | $ | 2,561.6 |  | $ | 70.3 |  | $ | 34.2 |  | $ | 5.6 |  | $ | 275.5 |  |  | $ | 3,365.4 |  | (1)(2)
(1) Excludes carrying value of $5.2 and $3.9 at January 1, 2015 and September 30, 2015 associated with other long-term investments accounted for using the equity method. Excludes carrying value of $16.8 and $15.2 at January 1, 2015 and September 30, 2015 million associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method. (2) Excludes carrying value of $376.8 and $325.0 at January 1, 2015 and September 30, 2015 associated with short-term investments. (3) Excludes $0.8 realized and unrealized losses associated with the Prospector Offshore Fund consolidation of investment-related liabilities.
|  |  | Level 3 Investments |  |  |
Millions | Level 1 investments | Level 2 investments | Fixed maturity investments | Common equity securities | Convertible fixed maturity and preferred investments | Other long-term investments |  | Total |
Balance at January 1, 2014 | $ | 997.2 |  | $ | 2,575.4 |  | $ | 81.8 |  | $ | 45.4 |  | $ | 6.1 |  | $ | 183.1 |  |  | $ | 3,889.0 |  | (1)(2)(3)
Total realized and unrealized gains (losses) | 30.7 |  | 12.5 |  | 2.7 |  | 3.7 |  | 3.3 |  | (3.2 | ) |  | 49.7 |  | (4)
Amortization/Accretion | .1 |  | (14.3 | ) | (.1 | ) | — |  | — |  | — |  |  | (14.3 | ) |
Purchases | 661.2 |  | 1,265.3 |  | 45.5 |  | — |  | 1.5 |  | 42.7 |  |  | 2,016.2 |  |
Sales | (926.2 | ) | (1,392.5 | ) | — |  | (10.9 | ) | — |  | (11.1 | ) |  | (2,340.7 | ) |
Net change in investments related to purchases of consolidated affiliates | 3.4 |  | 7.4 |  | — |  | — |  | — |  | — |  |  | 10.8 |  |
Transfers in | — |  | 42.1 |  | — |  | — |  | — |  | — |  |  | 42.1 |  |
Transfers out | (.2 | ) | — |  | (41.9 | ) | — |  | — |  | — |  |  | (42.1 | ) |
Balance at September 30, 2014 | $ | 766.2 |  | $ | 2,495.9 |  | $ | 88.0 |  | $ | 38.2 |  | $ | 10.9 |  | $ | 211.5 |  |  | $ | 3,610.7 |  | (1)(2)(3)
(1) Excludes carrying value of $6.8 and $5.1 at January 1, 2014 and September 30, 2014 associated with other long-term investment limited partnerships accounted for using the equity method. Excludes carrying value of $19.1 and $17.3 at January 1, 2014 and September 30, 2014 associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method. (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 $310.4 and $402.7 at January 1, 2014 and September 30, 2014 associated with short-term investments. (4) Excludes $0.5 realized and unrealized gains associated with the Prospector Offshore Fund and Prospector Turtle Fund consolidation of investment-related liabilities.
Schedule of significant unobservable inputs used in estimating the fair value of investment securities | The following summarizes significant unobservable inputs used in estimating the fair value of investment securities classified within Level 3 other than hedge funds and private equity funds as of September 30, 2015 and December 31, 2014. The fair value of investments in hedge funds and private equity funds, which are classified within Level 3, are estimated using the net asset value of the funds.
($ in millions) |  |  |  |  |  | September 30, 2015 |  | December 31, 2014
Description |  | Rating(2) |  | Valuation Technique(s) |  | Fair Value(7) |  | Unobservable Input |  | Fair Value(7) |  | Unobservable Input
Preferred Stock(1) |  | NR |  | Discounted cash flow |  | $70.3 |  | Discount yield | - | 8.4% |  | $71.1 |  | Discount yield | - | 7.1%
Private equity security(1)(9) |  | NR |  | Share price of pending transaction(9) |  | $34.2 |  | Share price | - | $17.16 |  | $39.5 |  | Multiple of GAAP book value(9) | - | 1.10
Private equity security(1) |  | NR |  | Share price of most recent transaction |  | $21.0 |  | Share price | - | $1.00 |  | N/A |  | N/A | - | N/A
Private equity security(1) |  | NR |  | Share price of most recent transaction |  | $20.1 |  | Share price | - | $1.06 |  | $20.1 |  | Share price | - | $1.06
Private equity security(1) |  | NR |  | Share price of most recent transaction |  | $9.6 |  | Share price | - | $290.96 |  | $10.4 |  | Share price | - | $290.96
Convertible preferred security(1) |  | NR |  | Multiple of EBITDA |  | $5.6 |  | EBITDA multiple | - | 6.00 |  | $3.8 |  | EBITDA multiple | - | 6.00
Convertible preferred security(1) |  | NR |  | Share price of most recent transaction |  | N/A |  | N/A |  | N/A |  | $4.5 |  | Share price | - | $0.71
Debt security issued by corporation(1) |  | NR |  | Discounted cash flow |  | N/A |  | N/A |  | N/A |  | $5.3 |  | Illiquidity discount(3) | - | 10%
Surplus notes(8): |  | NR |  |  |  |  |  |  |  |  |  |
- Seller priority |  |  |  | Discounted cash flow |  | $41.0 |  | Discount rate (4) | - | 11.6% |  | $44.0 |  | Discount rate (4) | - | 9.3%
|  |  |  |  |  | Timing of interest payments(5) | - | 5 years |  | Timing of interest payments(5) | - | 5 years
|  |  |  |  |  | Timing of principal payments(5) | - | 10 years |  | Timing of principal payments(5) | - | 10 years
- Pari passu |  |  |  | Discounted cash flow |  | $17.0 |  | Discount rate(5) | - | 18.3% |  | $21.1 |  | Discount rate(5) | - | 13.5%
|  |  |  |  |  | Timing of interest payments(6) | - | 5 years |  | Timing of interest payments(6) | - | 5 years
|  |  |  |  |  | Timing of principal payments(6) | - | 15 years |  | Timing of principal payments(6) | - | 10 years
(1) As of September 30, 2015, consists of 1 security. (2) Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's and 2) Moody’s. (3) Judgmentally determined based on the Company’s limited trading ability of the issuer. (4) Stochastic modeling supporting the fair value estimation indicates that the average percentage of discounted payments missed on the seller priority note is roughly equivalent to that of a conventional debt security with a credit rating of ‘B’. The corresponding credit spread increased by an additional 250 bps to reflect both a liquidity discount for a private debt instrument and regulatory payment approval uncertainty, was added to the treasury rate to determine the discount rate for the pari passu note. (5) Stochastic modeling supporting the fair value estimation indicates that the average percentage of discounted payments missed on the pari passu note is roughly equivalent to that of a conventional debt security with a credit rating of ‘CCC’. The corresponding credit spread increased by an additional 250 bps to reflect both a liquidity discount for a private debt instrument and regulatory payment approval uncertainty, was added to the treasury rate to determine the discount rate for the seller priority note. (6) For estimated value purposes, the assumption has been made that interest payouts begin in year five and principal repayments begin on a graduated basis in year ten for the seller priority note and year fifteen for the pari passu note. (7) Includes the unrealized gains and losses associated with foreign currency; foreign currency effects based on observable inputs. (8) The decrease in the fair value of the surplus notes during the nine months ended September 30, 2015 was primarily due to widening of non-investment grade credit spreads. (9) As of December 31, 2014, the valuation technique for the private equity security was a multiple of GAAP book value. As of September 30, 2015, the valuation technique was the estimated share price from a pending transaction that is expected to close in the fourth quarter of 2015.

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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19190-110258 + Details
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- Definition Tabular disclosure of investments in trading securities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 45 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=49167202&loc=d3e26610-111562 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -Subparagraph (c),(e) -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27357-111563 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Trading Securities -URI http://asc.fasb.org/extlink&oid=6526789 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=49167202&loc=d3e26626-111562 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 45 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=6467456&loc=d3e113888-111728 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.5-02.2) -URI http://asc.fasb.org/extlink&oid=6877327&loc=d3e13212-122682 + Details
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- Definition Tabular disclosure of unrealized gains and losses on investments. + References No definition available. + Details
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- Definition Tabular disclosure of the fair value measurement of assets measured at fair value on a recurring basis, including a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: total gains or losses for the period (realized and unrealized), amortization or accretion of discount, purchases, sales, issuances, transfers in and transfers out of each level of the fair value hierarchy by class of asset. + References No definition available. + Details
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- Definition Tabular disclosure of hedge funds and private equity investments held at fair value by investment objective or sector and the amount of unfunded commitments associated with each objective or sector. + References No definition available. + Details
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- Definition Fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds. + References No definition available. + Details
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- Definition Tabular disclosure of fixed maturity securities by credit quality indicator. + References No definition available. + Details
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- Definition Tabular disclosure of non-agency commercial mortgage-backed securities by type and by seniority level. + References No definition available. + Details
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- Definition Tabular disclosure of non-agency residential mortgage-backed securities by credit quality indicator and seniority. + References No definition available. + Details
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- Definition Tabular disclosure of expected lock up period of private equity investments. + References No definition available. + Details
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- Definition Tabular disclosure of realized and unrealized gains and losses on investments reported in the statement of income. + References No definition available. + Details
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- Definition Tabular disclosure of security issuance years of investments in non-agency RMBS and non-agency CMBS securities. + References No definition available. + Details
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