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Investment Securities (Tables) | 6 Months Ended
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Jun. 30, 2016
Investments, Debt and Equity Securities [Abstract] |
Par Value to Fair Value Reconciliation of Surplus Notes [Table Text Block] | Below is a table illustrating the valuation adjustments taken to arrive at estimated fair value of the surplus notes as of June 30, 2016 and December 31, 2015:
|  | Type of Surplus Note |  | Total as of June 30, 2016 |  | Total as of December 31, 2015
Millions |  | Seller Priority |  | Pari Passu |
Par Value |  | $ | 57.9 |  |  | $ | 43.1 |  |  | $ | 101.0 |  |  | $ | 101.0 |
Fair value adjustments to reflect: |  |  |  |  |  |  |  |
Current market rates on public debt and contract-based repayments(1) |  | 2.7 |  |  | (8.4 | ) |  | (5.7 | ) |  | (15.1 | )
Regulatory approval (2) |  | (7.4 | ) |  | (12.5 | ) |  | (19.9 | ) |  | (24.2 | )
Liquidity adjustment (3) |  | (9.0 | ) |  | (3.6 | ) |  | (12.6 | ) |  | (10.2 | )
Total adjustments |  | (13.7 | ) |  | (24.5 | ) |  | (38.2 | ) |  | (49.5 | )
Fair value(4) |  | $ | 44.2 |  |  | $ | 18.6 |  |  | $ | 62.8 |  |  | $ | 51.5 |
(1) | Represents the value of the surplus notes, at current market yields on comparable publicly traded debt, and assuming issuer is allowed to make principal and interest payments when its financial capacity is available, as measured by statutory capital in excess of a 250% RBC score.
(2) | Represents anticipated timing of securing regulatory approvals for interest and principal payments to reflect graduated changes in Issuer’s statutory surplus. T he monetary impact of the anticipated timing is measured based on credit spreads of publicly traded debt with roughly equivalent percentages of discounted payments missed.
(3) Represents impact of liquidity spread to account for OneBeacon’s sole ownership of the surplus notes, lack of a trading market and ongoing regulatory approval risk. (4) The increase in the fair value of the surplus notes during the six months ended June 30, 2016 was driven primarily by the narrowing of non-investment grade credit spreads as well as the time value of money benefit generated by moving six months closer to modeled cash receipts, partially offset by the impact of an interest payment received in the first quarter of 2016.
Pre-tax net investment income | Pre-tax net investment income for the three and six months ended June 30, 2016 and 2015 consisted of the following:
|  | Three Months Ended |  | Six Months Ended
|  | June 30, |  | June 30,
Millions |  | 2016 |  | 2015 |  | 2016 |  | 2015
Investment income: |  |  |  |  |  |  |  |
Fixed maturity investments |  | $ | 17.9 |  |  | $ | 12.4 |  |  | $ | 32.5 |  |  | $ | 24.8 |
Short-term investments |  | .5 |  |  | .1 |  |  | .6 |  |  | .1 |
Common equity securities |  | .9 |  |  | 2.1 |  |  | 2.0 |  |  | 4.3 |
Other long-term investments |  | .6 |  |  | .9 |  |  | 3.4 |  |  | .9 |
Total investment income |  | 19.9 |  |  | 15.5 |  |  | 38.5 |  |  | 30.1 |
Third-party investment expenses |  | (.7 | ) |  | (2.3 | ) |  | (1.4 | ) |  | (4.3 | )
Net investment income, pre-tax |  | $ | 19.2 |  |  | $ | 13.2 |  |  | $ | 37.1 |  |  | $ | 25.8 |
Schedule of Realized and Unrealized Gain (Loss) on Investments | Net realized and unrealized investment gains (losses) consisted of the following:
|  | Three Months Ended |  | Six Months Ended
|  | June 30, |  | June 30,
Millions |  | 2016 |  | 2015 |  | 2016 |  | 2015
Net realized investment gains, pre-tax |  | $ | 2.7 |  |  | $ | 42.3 |  |  | $ | 259.5 |  |  | $ | 57.1 |
Net unrealized investment gains (losses), pre-tax |  | 25.4 |  |  | (57.3 | ) |  | (201.9 | ) |  | (47.1 | )
Net realized and unrealized investment gains (losses), pre-tax |  | 28.1 |  |  | (15.0 | ) |  | 57.6 |  |  | 10.0 |
Income tax (expense) benefit attributable to net realized and unrealized investment gains (losses) |  | (9.9 | ) |  | 4.5 |  |  | (18.4 | ) |  | (2.6 | )
Net realized and unrealized investment gains (losses), after tax |  | $ | 18.2 |  |  | $ | (10.5 | ) |  | $ | 39.2 |  |  | $ | 7.4 |
Realized Gain (Loss) on Investments | Net realized investment gains (losses) for the three and six months ended June 30, 2016 and 2015 consisted of the following:
|  | Three Months Ended |  | Three Months Ended
|  | June 30, 2016 |  | June 30, 2015
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 |  | $ | 1.8 |  |  | $ | — |  |  | $ | 1.8 |  |  | $ | 1.6 |  |  | $ | — |  |  | $ | 1.6 |
Short-term investments |  | .1 |  |  | — |  |  | .1 |  |  | — |  |  | — |  |  | — |
Common equity securities |  | 3.8 |  |  | — |  |  | 3.8 |  |  | 25.5 |  |  | (.1 | ) |  | 25.4 |
Other long-term investments |  | (3.0 | ) |  | — |  |  | (3.0 | ) |  | 15.3 |  |  | — |  |  | 15.3 |
Net realized investment gains (losses), pre-tax |  | 2.7 |  |  | — |  |  | 2.7 |  |  | 42.4 |  |  | (.1 | ) |  | 42.3 |
Income tax expense attributable to net realized investment gains (losses) |  | (.4 | ) |  | — |  |  | (.4 | ) |  | (12.7 | ) |  | — |  |  | (12.7 | )
Net realized investment gains (losses), after tax |  | $ | 2.3 |  |  | $ | — |  |  | $ | 2.3 |  |  | $ | 29.7 |  |  | $ | (.1 | ) |  | $ | 29.6 |
|  | Six Months Ended |  | Six Months Ended
|  | June 30, 2016 |  | June 30, 2015
Millions |  | Net realized gains (losses) |  | Net foreign currency gains |  | Total net realized (losses) gains reflected in earnings |  | Net realized gains |  | Net foreign currency gains |  | Total net realized gains reflected in earnings
Fixed maturity investments |  | $ | .7 |  |  | $ | — |  |  | $ | .7 |  |  | $ | 2.1 |  |  | $ | — |  |  | $ | 2.1 |
Short-term investments |  | .2 |  |  | — |  |  | .2 |  |  | — |  |  | — |  |  | — |
Common equity securities |  | 261.4 |  |  | — |  |  | 261.4 |  |  | 47.5 |  |  | .4 |  |  | 47.9 |
Other long-term investments |  | (2.8 | ) |  | — |  |  | (2.8 | ) |  | 7.1 |  |  | — |  |  | 7.1 |
Net realized investment gains, pre-tax |  | 259.5 |  |  | — |  |  | 259.5 |  |  | 56.7 |  |  | .4 |  |  | 57.1 |
Income tax expense attributable to net realized investment gains |  | (43.3 | ) |  | — |  |  | (43.3 | ) |  | (17.2 | ) |  | — |  |  | (17.2 | )
Net realized investment gains, after tax |  | $ | 216.2 |  |  | $ | — |  |  | $ | 216.2 |  |  | $ | 39.5 |  |  | $ | .4 |  |  | $ | 39.9 |
Schedule of unrealized gain (loss) on investments | The following table summarizes net unrealized investment gains (losses) and changes in the carrying value of investments measured at fair value:
|  | Three Months Ended |  | Three Months Ended
|  | June 30, 2016 |  | June 30, 2015
Millions |  | Net unrealized gains (losses) |  | Net foreign currency losses |  | Total net unrealized gains (losses) reflected in earnings |  | Net unrealized losses |  | Net foreign currency gains |  | Total net unrealized losses reflected in earnings
Fixed maturity investments |  | $ | 20.7 |  |  | $ | — |  |  | $ | 20.7 |  |  | $ | (13.4 | ) |  | $ | — |  |  | $ | (13.4 | )
Short-term investments |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Common equity securities |  | (10.6 | ) |  | — |  |  | (10.6 | ) |  | (22.6 | ) |  | 1.6 |  |  | (21.0 | )
Other long-term investments |  | 15.5 |  |  | (.2 | ) |  | 15.3 |  |  | (23.1 | ) |  | .2 |  |  | (22.9 | )
Net unrealized investment gains (losses), pre-tax |  | 25.6 |  |  | (.2 | ) |  | 25.4 |  |  | (59.1 | ) |  | 1.8 |  |  | (57.3 | )
Income tax (expense) benefit attributable to net unrealized investment gains (losses) |  | (9.5 | ) |  | — |  |  | (9.5 | ) |  | 17.3 |  |  | (.1 | ) |  | 17.2 |
Net unrealized investment gains (losses), after tax |  | $ | 16.1 |  |  | $ | (.2 | ) |  | $ | 15.9 |  |  | $ | (41.8 | ) |  | $ | 1.7 |  |  | $ | (40.1 | )
|  | Six Months Ended |  | Six Months Ended
|  | June 30, 2016 |  | June 30, 2015
Millions |  | Net unrealized gains (losses) |  | Net foreign currency gains |  | 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 |  | $ | 42.4 |  |  | $ | — |  |  | $ | 42.4 |  |  | $ | (2.0 | ) |  | $ | — |  |  | $ | (2.0 | )
Short-term investments |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Common equity securities |  | (260.4 | ) |  | 2.4 |  |  | (258.0 | ) |  | (25.3 | ) |  | (2.4 | ) |  | (27.7 | )
Other long-term investments |  | 13.5 |  |  | .2 |  |  | 13.7 |  |  | (16.6 | ) |  | (.8 | ) |  | (17.4 | )
Net unrealized investment (losses) gains, pre-tax |  | (204.5 | ) |  | 2.6 |  |  | (201.9 | ) |  | (43.9 | ) |  | (3.2 | ) |  | (47.1 | )
Income tax benefit (expense) attributable to net unrealized investment (losses) gains |  | 24.9 |  |  | — |  |  | 24.9 |  |  | 14.7 |  |  | (.1 | ) |  | 14.6 |
Net unrealized investment (losses) gains, after tax |  | $ | (179.6 | ) |  | $ | 2.6 |  |  | $ | (177.0 | ) |  | $ | (29.2 | ) |  | $ | (3.3 | ) |  | $ | (32.5 | )
Net unrealized investment gains (losses) for Level 3 investments | The following table summarizes the amount of total gains (losses) included in earnings attributable to unrealized investment gains (losses) for Level 3 investments for the three and six months ended June 30, 2016 and 2015:
|  | Three Months Ended |  | Six Months Ended
|  | June 30, |  | June 30,
Millions |  | 2016 |  | 2015 |  | 2016 |  | 2015
Fixed maturity investments |  | $ | .8 |  |  | $ | (.2 | ) |  | $ | 1.3 |  |  | $ | — |
Common equity securities |  | — |  |  | 4.7 |  |  | — |  |  | 2.9 |
Other long-term investments |  | 11.8 |  |  | (5.5 | ) |  | 12.9 |  |  | .2 |
Total unrealized investment gains (losses), pre-tax - Level 3 investments |  | $ | 12.6 |  |  | $ | (1.0 | ) |  | $ | 14.2 |  |  | $ | 3.1 |
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 June 30, 2016 and December 31, 2015 were as follows:
|  | June 30, 2016
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value
U.S. Government and agency obligations |  | $ | 261.2 |  |  | $ | .7 |  |  | $ | — |  |  | $ | — |  |  | $ | 261.9 |
Debt securities issued by corporations |  | 1,046.9 |  |  | 19.3 |  |  | (.1 | ) |  | — |  |  | 1,066.1 |
Municipal obligations |  | 294.8 |  |  | 8.2 |  |  | (.1 | ) |  | — |  |  | 302.9 |
Mortgage and asset-backed securities |  | 2,646.8 |  |  | 10.4 |  |  | (2.0 | ) |  | — |  |  | 2,655.2 |
Foreign government, agency and provincial obligations |  | 1.0 |  |  | .2 |  |  | — |  |  | — |  |  | 1.2 |
Preferred stocks |  | 78.3 |  |  | 6.4 |  |  | — |  |  | — |  |  | 84.7 |
Total fixed maturity investments |  | $ | 4,329.0 |  |  | $ | 45.2 |  |  | $ | (2.2 | ) |  | $ | — |  |  | $ | 4,372.0 |
Less: fixed maturity investments reclassified to assets held for sale related to SSIE |  |  |  |  |  |  |  |  |  | 9.2 |
Total fixed maturity investments |  |  |  |  |  |  |  |  |  | $ | 4,362.8 |
|  | December 31, 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 |  | $ | 160.4 |  |  | $ | — |  |  | $ | (.4 | ) |  | $ | — |  |  | $ | 160.0 |
Debt securities issued by corporations |  | 1,001.0 |  |  | 4.3 |  |  | (5.3 | ) |  | — |  |  | 1,000.0 |
Municipal obligations |  | 227.8 |  |  | 2.2 |  |  | (1.2 | ) |  | — |  |  | 228.8 |
Mortgage and asset-backed securities |  | 1,170.6 |  |  | 2.0 |  |  | (5.6 | ) |  | — |  |  | 1,167.0 |
Foreign government, agency and provincial obligations |  | 1.0 |  |  | .2 |  |  | — |  |  | — |  |  | 1.2 |
Preferred stocks |  | 78.3 |  |  | 4.4 |  |  | — |  |  | — |  |  | 82.7 |
Total fixed maturity investments |  | $ | 2,639.1 |  |  | $ | 13.1 |  |  | $ | (12.5 | ) |  | $ | — |  |  | $ | 2,639.7 |
Less: fixed maturity investments reclassified to assets held for sale related to SSIE |  |  |  |  |  |  |  |  |  | 9.5 |
Total fixed maturity investments |  |  |  |  |  |  |  |  |  | $ | 2,630.2 |
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 and other long-term investments as of June 30, 2016 and December 31, 2015 were as follows:
|  | June 30, 2016
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency (losses) |  | Carrying value
Common equity securities |  | $ | 374.1 |  |  | $ | 43.5 |  |  | $ | (10.1 | ) |  | $ | — |  |  | $ | 407.5 |
Other long-term investments |  | $ | 305.0 |  |  | $ | 36.7 |  |  | $ | (10.3 | ) |  | $ | (2.2 | ) |  | $ | 329.2 |
|  | December 31, 2015
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency (losses) |  | Carrying value
Common equity securities |  | $ | 822.5 |  |  | $ | 302.8 |  |  | $ | (11.4 | ) |  | $ | — |  |  | $ | 1,113.9 |
Other long-term investments |  | $ | 304.5 |  |  | $ | 32.0 |  |  | $ | (18.4 | ) |  | $ | (2.3 | ) |  | $ | 315.8 |
Other Long-term Investments Other long-term investments consist of the following as of June 30, 2016 and December 31, 2015:
|  | Carrying Value at
Millions |  | June 30, 2016 |  | December 31, 2015
Hedge funds and private equity funds, at fair value(1) |  | $ | 127.8 |  |  | $ | 127.8 |
Private equity securities and limited liability companies, at fair value(1) |  | 84.3 |  |  | 82.1 |
Surplus notes investments, at fair value(1) |  | 62.8 |  |  | 51.5 |
Private convertible preferred securities(1) |  | 34.1 |  |  | 32.7 |
Tax advantaged federal affordable housing development fund(2) |  | 13.4 |  |  | 14.7 |
Partnership investments accounted for under the equity method |  | 3.5 |  |  | 3.8 |
Other |  | 3.3 |  |  | 3.2 |
Total other-long term investments |  | $ | 329.2 |  |  | $ | 315.8 |
(1) See Fair Value Measurements by Level table. (2) Fund accounted for using the proportional amortization method.
Other long-term investments | The following table summarizes investments in hedge funds and private equity funds by investment objective and sector as of June 30, 2016 and December 31, 2015:
|  | June 30, 2016 |  | December 31, 2015
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments
Hedge funds |  |  |  |  |  |  |  |  |  |  |  |
Long/short equity REIT |  | $ | 20.5 |  |  | $ | — |  |  | $ | 20.6 |  |  | $ | — |
Long/short banks and financial |  | 13.6 |  |  | — |  |  | 12.8 |  |  | — |
Other |  | 3.5 |  |  | — |  |  | 3.6 |  |  | — |
Total hedge funds |  | 37.6 |  |  | — |  |  | 37.0 |  |  | — |
Private equity funds |  |  |  |  |  |  |  |  |  |  |  |
Aerospace/Defense/Government |  | 25.9 |  |  | 23.5 |  |  | 19.8 |  |  | 30.3 |
Manufacturing/Industrial |  | 24.8 |  |  | 20.2 |  |  | 24.9 |  |  | 2.5 |
Energy infrastructure & services |  | 19.1 |  |  | 3.2 |  |  | 20.7 |  |  | 3.4 |
Multi-sector |  | 11.1 |  |  | 2.1 |  |  | 14.8 |  |  | 2.1 |
Private equity secondaries |  | 3.8 |  |  | 2.1 |  |  | 4.4 |  |  | 2.1 |
Healthcare |  | 3.5 |  |  | .4 |  |  | 3.8 |  |  | .4 |
Insurance |  | 1.7 |  |  | 41.3 |  |  | 2.0 |  |  | 41.3 |
Real estate |  | .3 |  |  | .1 |  |  | .4 |  |  | .1 |
Direct lending/Mezzanine debt |  | — |  |  | 37.5 |  |  | — |  |  | — |
Total private equity funds |  | 90.2 |  |  | 130.4 |  |  | 90.8 |  |  | 82.2 |
Total hedge funds and private equity funds included in other long-term investments |  | $ | 127.8 |  |  | $ | 130.4 |  |  | $ | 127.8 |  |  | $ | 82.2 |
Fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds | The following summarizes the June 30, 2016 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 |  |  | Total
Monthly |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | $ | — |
Quarterly |  | 14.6 |  |  | — |  |  | — |  |  |  | 14.6 |
Semi-annual |  | — |  |  | 20.5 |  |  | — |  |  |  | 20.5 |
Annual |  | — |  |  | — |  |  | 2.5 |  |  |  | 2.5 |
Total |  | $ | 14.6 |  |  | $ | 20.5 |  |  | $ | 2.5 |  |  |  | $ | 37.6 |
Fair Value of private equity funds subject to lock-up periods | As of June 30, 2016, 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 |  | $27.1 |  | $3.5 |  | $59.6 |  | $— |  | $90.2
Fair value measurements by level, investment securities | The following tables summarize White Mountains’s fair value measurements for investments as of June 30, 2016 and December 31, 2015 by level. The major security types were based on the legal form of the securities. 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 mortgage-backed or asset-backed securities vary depending on the nature of the issuing entity type. White Mountains further disaggregates debt securities issued by corporations and common 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 U.S. Intermediate Aggregate and S&P 500 indices.
|  | June 30, 2016
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 261.9 |  |  | $ | 252.3 |  |  | $ | 9.6 |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 333.5 |  |  | — |  |  | 333.5 |  |  | — |
Health Care |  | 157.3 |  |  | — |  |  | 157.3 |  |  | — |
Financials |  | 154.8 |  |  | — |  |  | 154.8 |  |  | — |
Industrial |  | 139.0 |  |  | — |  |  | 139.0 |  |  | — |
Utilities |  | 94.3 |  |  | — |  |  | 94.3 |  |  | — |
Energy |  | 60.6 |  |  | — |  |  | 60.6 |  |  | — |
Technology |  | 57.3 |  |  | — |  |  | 57.3 |  |  | — |
Communications |  | 43.3 |  |  | — |  |  | 43.3 |  |  | — |
Materials |  | 26.0 |  |  | — |  |  | 26.0 |  |  | — |
Total debt securities issued by corporations |  | 1,066.1 |  |  | — |  |  | 1,066.1 |  |  | — |
Mortgage and asset-backed securities |  | 2,655.2 |  |  |  |  |  | 2,573.2 |  |  | 82.0 |
Municipal obligations |  | 302.9 |  |  | — |  |  | 302.9 |  |  | — |
Foreign government, agency and provincial obligations |  | 1.2 |  |  | .6 |  |  | .6 |  |  | — |
Preferred stocks |  | 84.7 |  |  | — |  |  | 13.5 |  |  | 71.2 |
Total fixed maturity investments(4) |  | 4,372.0 |  |  | 252.9 |  |  | 3,965.9 |  |  | 153.2 |
Short-term investments(4) |  | 422.1 |  |  | 422.1 |  |  | — |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Consumer |  | 152.8 |  |  | 152.8 |  |  | — |  |  | — |
Exchange traded funds (1) |  | 87.5 |  |  | 65.6 |  |  | 21.9 |  |  | — |
Health Care |  | 36.4 |  |  | 36.4 |  |  | — |  |  | — |
Communications |  | 32.7 |  |  | 32.7 |  |  | — |  |  | — |
Technology |  | 24.8 |  |  | 24.8 |  |  | — |  |  | — |
Other |  | 73.3 |  |  | — |  |  | 73.3 |  |  | — |
Total common equity securities |  | 407.5 |  |  | 312.3 |  |  | 95.2 |  |  | — |
Other long-term investments (2)(3) |  | 184.5 |  |  | — |  |  | — |  |  | 184.5 |
Total investments(4) |  | $ | 5,386.1 |  |  | $ | 987.3 |  |  | $ | 4,061.1 |  |  | $ | 337.7 |
(1) ETFs 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 $3.5 associated with other long-term investment limited partnerships accounted for using the equity method. Excludes carrying value of $13.4 associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method. (3) Excludes carrying value of $127.8 associated with hedge funds and private equity funds for which fair value is measured at net asset value using the practical expedient. (4) Includes carrying value of $9.2 in fixed maturity investments and $0.3 in short-term investments that are classified as assets held for sale related to SSIE.
|  | December 31, 2015
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 160.0 |  |  | $ | 133.4 |  |  | $ | 26.6 |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |  |  |  |
Consumer |  | 253.3 |  |  | — |  |  | 253.3 |  |  | — |
Financials |  | 175.9 |  |  | — |  |  | 175.9 |  |  | — |
Health Care |  | 151.3 |  |  | — |  |  | 151.3 |  |  | — |
Industrial |  | 135.6 |  |  | — |  |  | 135.6 |  |  | — |
Energy |  | 82.0 |  |  | — |  |  | 82.0 |  |  | — |
Utilities |  | 61.5 |  |  | — |  |  | 61.5 |  |  | — |
Technology |  | 60.0 |  |  | — |  |  | 60.0 |  |  | — |
Communications |  | 49.2 |  |  | — |  |  | 49.2 |  |  | — |
Materials |  | 31.2 |  |  | — |  |  | 31.2 |  |  | — |
Total debt securities issued by corporations |  | 1,000.0 |  |  | — |  |  | 1,000.0 |  |  | — |
Mortgage and asset-backed securities |  | 1,167.0 |  |  | — |  |  | 1,167.0 |  |  | — |
Municipal obligations |  | 228.8 |  |  | — |  |  | 228.8 |  |  | — |
Foreign government, agency and provincial obligations |  | 1.2 |  |  | .6 |  |  | .6 |  |  | — |
Preferred stocks |  | 82.7 |  |  | — |  |  | 12.7 |  |  | 70.0 |
Total fixed maturity investments(4) |  | 2,639.7 |  |  | 134.0 |  |  | 2,435.7 |  |  | 70.0 |
Short-term investments(4) |  | 211.3 |  |  | 211.3 |  |  | — |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Financials |  | 694.7 |  |  | 694.7 |  |  | — |  |  | — |
Exchange traded funds(1) |  | 141.8 |  |  | 120.5 |  |  | 21.3 |  |  | — |
Consumer |  | 70.0 |  |  | 70.0 |  |  | — |  |  | — |
Communications |  | 43.7 |  |  | 43.7 |  |  | — |  |  | — |
Health Care |  | 35.7 |  |  | 35.7 |  |  | — |  |  | — |
Technology |  | 27.0 |  |  | 27.0 |  |  | — |  |  | — |
Industrial |  | 26.6 |  |  | 26.6 |  |  | — |  |  | — |
Other |  | 74.4 |  |  | — |  |  | 74.4 |  |  | — |
Total common equity securities |  | 1,113.9 |  |  | 1,018.2 |  |  | 95.7 |  |  | — |
Other long-term investments (2)(3) |  | 169.5 |  |  | — |  |  | — |  |  | 169.5 |
Total investments(4) |  | $ | 4,134.4 |  |  | $ | 1,363.5 |  |  | $ | 2,531.4 |  |  | $ | 239.5 |
(1) ETFs 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 $3.8 associated with other long-term investment limited partnerships accounted for using the equity method. Excludes carrying value of $14.7 associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method. (3) Excludes carrying value of $127.8 associated with hedge funds and private equity funds for which fair value is measured at net asset value using the practical expedient. (4) Includes carrying value of $9.5 in fixed maturity investments and $0.1 in short-term investments that are classified as assets held for sale related to SSIE.
Debt securities issued by corporations, credit ratings | The following table summarizes the ratings of debt securities issued by corporations held in White Mountains’s investment portfolio as of June 30, 2016 and December 31, 2015:
|  | Fair Value at
Millions |  | June 30, 2016 |  | December 31, 2015
AAA |  | $ | — |  |  | $ | — |
AA |  | 125.7 |  |  | 95.2 |
A |  | 376.6 |  |  | 397.7 |
BBB |  | 563.8 |  |  | 507.1 |
Other |  | — |  |  | — |
Debt securities issued by corporations(1) |  | $ | 1,066.1 |  |  | $ | 1,000.0 |
(1) Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor’s and 2) Moody’s.
Mortgage-backed, asset-backed securities |
|  | June 30, 2016 |  | December 31, 2015
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
GNMA |  | $ | 284.7 |  |  | $ | 284.7 |  |  | $ | — |  |  | $ | 265.5 |  |  | $ | 265.5 |  |  | $ | — |
FNMA |  | 203.5 |  |  | 152.5 |  |  | 51.0 |  |  | 42.2 |  |  | 42.2 |  |  | — |
FHLMC |  | 37.5 |  |  | 37.5 |  |  | — |  |  | 22.8 |  |  | 22.8 |  |  | — |
Total Agency(1) |  | 525.7 |  |  | 474.7 |  |  | 51.0 |  |  | 330.5 |  |  | 330.5 |  |  | — |
Non-agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential |  | 194.3 |  |  | 194.3 |  |  | — |  |  | 133.2 |  |  | 133.2 |  |  | — |
Commercial |  | 104.5 |  |  | 104.5 |  |  | — |  |  | 140.4 |  |  | 140.4 |  |  | — |
Total Non-agency |  | 298.8 |  |  | 298.8 |  |  | — |  |  | 273.6 |  |  | 273.6 |  |  | — |
Total mortgage-backed securities |  | 824.5 |  |  | 773.5 |  |  | 51.0 |  |  | 604.1 |  |  | 604.1 |  |  | — |
Other asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit card receivables |  | 689.1 |  |  | 658.1 |  |  | 31.0 |  |  | 217.7 |  |  | 217.7 |  |  | — |
Vehicle receivables |  | 977.4 |  |  | 977.4 |  |  | — |  |  | 269.7 |  |  | 269.7 |  |  | — |
Other |  | 164.2 |  |  | 164.2 |  |  | — |  |  | 75.5 |  |  | 75.5 |  |  | — |
Total other asset-backed securities |  | 1,830.7 |  |  | 1,799.7 |  |  | 31.0 |  |  | 562.9 |  |  | 562.9 |  |  | — |
Total mortgage and asset-backed securities |  | $ | 2,655.2 |  |  | $ | 2,573.2 |  |  | $ | 82.0 |  |  | $ | 1,167.0 |  |  | $ | 1,167.0 |  |  | $ | — |
(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 RMBS and non-agency CMBS securities as of June 30, 2016 are as follows:
|  |  |  |  |  |  |  | Security Issuance Year |  |  |  |
Millions |  | Fair Value |  | 2004 |  | 2005 |  | 2006 |  | 2007 |  | 2008 |  | 2009 |  | 2010 |  | 2011 |  | 2012 |  | 2013 |  | 2014 |  | 2015
Non-agency RMBS |  | $ | 194.3 |  |  | $ | 21.9 |  |  | $ | 6.4 |  |  | $ | 3.4 |  |  | $ | — |  |  | $ | 3.2 |  |  | $ | — |  |  | $ | 10.8 |  |  | $ | 11.8 |  |  | $ | 6.9 |  |  | $ | 12.3 |  |  | $ | 65.3 |  |  | $ | 52.3 |
Non-agency CMBS |  | 104.5 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 5.0 |  |  | — |  |  | 18.4 |  |  | 11.6 |  |  | 23.4 |  |  | 46.1 |
Total |  | $ | 298.8 |  |  | $ | 21.9 |  |  | $ | 6.4 |  |  | $ | 3.4 |  |  | $ | — |  |  | $ | 3.2 |  |  | $ | — |  |  | $ | 15.8 |  |  | $ | 11.8 |  |  | $ | 25.3 |  |  | $ | 23.9 |  |  | $ | 88.7 |  |  | $ | 98.4 |
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 June 30, 2016:
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate (3)
Prime |  | $ | 187.4 |  |  | $ | 133.6 |  |  | $ | 53.8 |  |  | $ | — |
Non-prime |  | 6.9 |  |  | — |  |  | 6.9 |  |  | — |
Sub-prime |  | — |  |  | — |  |  | — |  |  | — |
Total |  | $ | 194.3 |  |  | $ | 133.6 |  |  | $ | 60.7 |  |  | $ | — |
(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” bonds. (2) At issuance, Senior, or in the case of resecuritization, the underlying securities, were rated “AAA” by Standard & Poor’s, “Aaa” by Moody’s or “AAA” by Fitch and were senior to non-“AAA” or non-“Aaa” bonds. (3) At issuance, Subordinate were not rated “AAA” by Standard & Poor’s, “Aaa” by Moody’s or “AAA” by Fitch and were junior to “AAA” or “Aaa” bonds.
Non-agency commercial mortgage securities, type of interest rate and tranche levels | The amount of fixed and floating rate securities and their tranche levels of White Mountains’s non-agency CMBS securities are as follows as of June 30, 2016:
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate (3)
Fixed rate CMBS |  | $ | 93.2 |  |  | $ | 8.9 |  |  | $ | 46.1 |  |  | $ | 38.2 |
Floating rate CMBS |  | 11.3 |  |  | — |  |  | — |  |  | 11.3 |
Total |  | $ | 104.5 |  |  | $ | 8.9 |  |  | $ | 46.1 |  |  | $ | 49.5 |
(1) At issuance, Super Senior, or in the case of resecuritization, the underlying securities, were rated “AAA” by Standard & Poor’s, “Aaa” by Moody’s or “AAA” by Fitch Ratings (“Fitch”) and were senior to other “AAA” or “Aaa” bonds. (2) At issuance, Senior, or in the case of resecuritization, the underlying securities, were rated “AAA” by Standard & Poor’s, “Aaa” by Moody’s or “AAA” by Fitch and were senior to non-“AAA” or non-“Aaa” bonds. (3) At issuance, Subordinate were not rated “AAA” by Standard & Poor’s, “Aaa” by Moody’s or “AAA” by Fitch and were junior to “AAA” or “Aaa” bonds.
Rollforward of fair value investments by level | The following tables summarize the changes in White Mountains’s fair value measurements by level for the six months ended June 30, 2016 and 2015:
|  |  | Level 3 Investments |
Millions | Level 1 investments | Level 2 investments | Fixed maturity investments | Common equity securities | Other long-term investments | Hedge Funds and Private Equity Funds measured at NAV(3) |  | Total |
Balance at January 1, 2016 | $ | 1,152.2 |  | $ | 2,531.4 |  | $ | 70.0 |  | $ | — |  | $ | 169.5 |  | $ | 127.8 |  |  | $ | 4,050.9 |  | (1)(2)(4)
Total realized and unrealized gains (losses) | 7.1 |  | 38.3 |  | 1.3 |  | — |  | 12.9 |  | (2.0 | ) |  | 57.6 |  |
Amortization/Accretion | .1 |  | (8.1 | ) | — |  | — |  | — |  | — |  |  | (8.0 | ) |
Purchases | 1,449.7 |  | 2,076.9 |  | 84.7 |  | — |  | 2.1 |  | 9.1 |  |  | 3,622.5 |  |
Sales | (2,043.9 | ) | (577.4 | ) | (2.8 | ) | — |  | — |  | (7.1 | ) |  | (2,631.2 | ) |
Transfers in | — |  | — |  | — |  | — |  | — |  | — |  |  | — |  |
Transfers out | — |  | — |  | — |  | — |  | — |  | — |  |  | — |  |
Balance at June 30, 2016 | $ | 565.2 |  | $ | 4,061.1 |  | $ | 153.2 |  | $ | — |  | $ | 184.5 |  | $ | 127.8 |  |  | $ | 5,091.8 |  | (1)(2)(4)
(1) Excludes carrying value of $3.8 and $3.5 at January 1, 2016 and June 30, 2016 associated with other long-term investments accounted for using the equity method. Excludes carrying value of $14.7 and $13.4 at January 1, 2016 and June 30, 2016 associated with a tax advantaged federal affordable housing development fund accounted for using the proportional amortization method. (2) Excludes carrying value of $211.3 and $422.1 at January 1, 2016 and June 30, 2016 associated with short-term investments, of which $0.1 and $0.3 is classified as held for sale at January 1, 2016 and June 30, 2016. (3) Investments for which fair value is measured at net asset value using the practical expedient are no longer classified within the fair value hierarchy. (See Note 1 - “Summary of Significant Accounting Policies”). (4) Includes carrying value of $9.5 and $9.2 of fixed maturity investments at January 1, 2016 and June 30, 2016 that is classified as assets held for sale related to SSIE.
|  |  | Level 3 Investments |  |  |
Millions | Level 1 investments | Level 2 investments | Fixed maturity investments | Common equity securities | Other long-term investments | Hedge Funds and Private Equity Funds measured at NAV(4) | Total |
Balance at January 1, 2015 | $ | 550.6 |  | $ | 2,372.9 |  | $ | 76.4 |  | $ | 39.5 |  | $ | 126.9 |  | $ | 177.3 |  | $ | 3,343.6 |  | (1)(2)(5)
Total realized and unrealized gains (losses) | 9.0 |  | 5.9 |  | — |  | 6.6 |  | (6.8 | ) | (3.6 | ) | 11.1 |  | (3)
Amortization/Accretion | — |  | (9.9 | ) | — |  | — |  | — |  | — |  | (9.9 | ) |
Purchases | 495.4 |  | 734.3 |  | 35.3 |  | — |  | 22.5 |  | 6.2 |  | 1,293.7 |  |
Sales | (604.2 | ) | (616.0 | ) | — |  | (13.1 | ) | (2.3 | ) | (23.3 | ) | (1,258.9 | ) |
Transfers in | — |  | 34.9 |  | — |  | — |  | — |  | — |  | 34.9 |  |
Transfers out | — |  | — |  | (34.9 | ) | — |  | — |  | — |  | (34.9 | ) |
Balance at June 30, 2015 | $ | 450.8 |  | $ | 2,522.1 |  | $ | 76.8 |  | $ | 33.0 |  | $ | 140.3 |  | $ | 156.6 |  | $ | 3,379.6 |  | (1)(2)(5)
(1) Excludes carrying value of $5.2 and $3.9 at January 1, 2015 and June 30, 2015 associated with other long-term investment limited partnerships accounted for using the equity method. Excludes carrying value of $16.8 and $15.8 at January 1, 2015 and June 30, 2015 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 $401.3 at January 1, 2015 and June 30, 2015 associated with short-term investments of which $1.9 and $1.1 is classified as held for sale at January 1, 2015 and June 30, 2015. (3) Excludes $0.9 realized and unrealized losses associated with the Prospector Offshore Fund consolidation of investment-related liabilities. (4) Investments for which fair value is measured at net asset value using the practical expedient are no longer classified within the fair value hierarchy. (See Note 1 - “Summary of Significant Accounting Policies”). (5) Includes carrying value of $10.1 and $9.1 of fixed maturity investments at January 1, 2015 and June 30, 2015 that is classified as assets held for sale related to SSIE.
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 as of June 30, 2016 and December 31, 2015. The fair value of investments in hedge funds and private equity funds are estimated using the net asset value of the funds.
Description |  | June 30, 2016
$ in millions, except share price |  | Rating(2) |  | Valuation Technique(s) |  | Fair Value(3) |  | Unobservable Input
Preferred Stock(1) |  | NR |  | Discounted cash flow |  | $71.2 |  | Discount yield | - | 7.04%
Asset-backed securities (1) |  | AAA |  | Broker pricing |  | $31.0 |  | Broker quote |  |
Agency residential mortgage-backed securities (1) (7) |  | AA+ |  | Discounted cash flow |  | $51.0 |  | Prepayment | - | 15 CPR
|  |  |  |  |  |  |  | Discount spread/Treasury | - | 95 bps
Private equity security(1) |  | NR |  | Share price of most recent transaction |  | $21.0 |  | Share price | - | $1.00
Private equity security(1) |  | NR |  | Share price of most recent transaction |  | $33.8 |  | Share price | - | $1.03
Private equity security(1) |  | NR |  | Share price of most recent transaction |  | $3.2 |  | Share price | - | $2.52
Convertible preferred security(1) |  | NR |  | Multiple of EBITDA |  | $7.1 |  | EBITDA multiple | - | 6.00
Convertible preferred security(1) |  | NR |  | Share price of most recent transaction |  | $27.0 |  | Share price | - | $3.83
Private equity security(1) |  | NR |  | Option pricing method |  | $9.7 |  |  |  |
|  |  |  |  |  |  |  | Time until expiration | - | 4 years
|  |  |  |  |  | Volatility/Standard deviation | - | 60.0%
|  |  |  |  |  | Risk free rate | - | 1.15%
Surplus notes: |  | NR |  |  |  |  |  |
- Seller priority |  |  |  | Discounted cash flow |  | $44.2 |  | Discount rate(4) | - | 10.6%
|  |  |  |  |  | Timing of interest payments(6) | - | 5 years
|  |  |  |  |  | Timing of principal payments(6) | - | 10 years
- Pari passu |  |  |  | Discounted cash flow |  | $18.6 |  | Discount rate(5) | - | 18.0%
|  |  |  |  |  | Timing of interest payments(6) | - | 5 years
|  |  |  |  |  | Timing of principal payments(6) | - | 15 years
(1) As of June 30, 2016, each asset type consists of one security. (2) Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's and 2) Moody’s. (3) Includes the unrealized gains and losses associated with foreign currency; foreign currency effects based on observable inputs. (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 seller priority 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) OneBeacon has assumed for valuation purposes that subsequent interest payments will begin in year five (2020) and principal repayments begin on a graduated basis in year ten (2025) for the seller priority note and year fifteen (2030) for the pari passu note. (7) Conditional prepayment rate (“CPR”) is an annualized percentage of the existing mortgage pool that is expected to be prepaid in a year. The assumed prepayment rate is a significant unobservable input used to estimate the fair value of investments in mortgage-backed securities. Generally for bonds priced at a premium, increases in prepayment speeds will result in a lower fair value, while decreases in prepayment speed may result in a higher fair value, with the inverse for bonds priced at a discount.
Description |  | December 31, 2015
$ in millions, except share price |  | Rating(2) |  | Valuation Technique(s) |  | Fair Value(3) |  | Unobservable Input
Preferred Stock(1)(7) |  | NR |  | Par value(7) |  | $70.0 |  | Issuer’s intent to call | - | $70.0
Private equity security(1) |  | NR |  | Share price of most recent transaction |  | $21.0 |  | Share price | - | $1.00
Private equity security(1) |  | NR |  | Share price of most recent transaction |  | $33.8 |  | Share price | - | $1.03
Convertible preferred security(1) |  | NR |  | Multiple of EBITDA |  | $5.7 |  | EBITDA multiple | - | 6.00
Convertible preferred security(1) |  | NR |  | Share price of most recent transaction |  | $27.0 |  | Share price | - | $3.83
Private equity security(1) |  | NR |  | Option pricing method |  | $9.6 |  |  |  |
|  |  |  |  |  |  |  | Time until expiration | - | 4 years
|  |  |  |  |  | Volatility/Standard deviation | - | 60.0%
|  |  |  |  |  | Risk free rate | - | 1.15%
Surplus notes: |  | NR |  |  |  |  |  |
- Seller priority |  |  |  | Discounted cash flow |  | $38.0 |  | Discount rate(4) | - | 13.0%
|  |  |  |  |  | Timing of interest payments(6) | - | 5 years
|  |  |  |  |  | Timing of principal payments(6) | - | 10 years
- Pari passu |  |  |  | Discounted cash flow |  | $13.5 |  | Discount rate(5) | - | 22.4%
|  |  |  |  |  | Timing of interest payments(6) | - | 5 years
|  |  |  |  |  | Timing of principal payments(6) | - | 15 years
(1) As of December 31, 2015 each asset type consists of one security. (2) Credit ratings are assigned based on the following hierarchy: 1) Standard and Poor's and 2) Moody’s. (3) Includes the unrealized gains and losses associated with foreign currency; foreign currency effects based on observable inputs. (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 seller priority 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 that principal repayments being on a graduated basis in year ten for the seller priority notes and year fifteen for the pari passu note. (7) Valuation based on the issuer’s intent as of December 31, 2015 to call the security in the near term.

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- Definition Tabular disclosure of investment income, including, but not limited to, interest and dividend income and amortization of discount (premium) derived from debt and equity securities. Excludes realized and unrealized gain (loss) on investments. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 225 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.9) -URI http://asc.fasb.org/extlink&oid=26872669&loc=d3e20235-122688 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 944 -SubTopic 225 -Section S99 -Paragraph 1 -Subparagraph (SX 210.7-04.2) -URI http://asc.fasb.org/extlink&oid=6879464&loc=d3e573970-122913 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 225 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.8) -URI http://asc.fasb.org/extlink&oid=26872669&loc=d3e20235-122688 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 225 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.7(a),(b)) -URI http://asc.fasb.org/extlink&oid=26872669&loc=d3e20235-122688 + Details
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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 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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