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Investment Securities (Tables) | 9 Months Ended
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Sep. 30, 2017
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, 2017 and 2016 consisted of the following:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2017 |  | 2016 |  | 2017 |  | 2016
Investment income: |  |  |  |  |  |  |  |
Fixed maturity investments |  | $ | 9.8 |  |  | $ | 9.3 |  |  | $ | 32.9 |  |  | $ | 17.4 |
Short-term investments |  | .3 |  |  | .2 |  |  | .6 |  |  | .7 |
Common equity securities |  | 2.7 |  |  | .5 |  |  | 7.7 |  |  | 1.0 |
Other long-term investments |  | .1 |  |  | — |  |  | .5 |  |  | .4 |
Total investment income |  | 12.9 |  |  | 10.0 |  |  | 41.7 |  |  | 19.5 |
Third-party investment expenses |  | (.7 | ) |  | (.4 | ) |  | (2.0 | ) |  | (1.3 | )
Net investment income, pre-tax |  | $ | 12.2 |  |  | $ | 9.6 |  |  | $ | 39.7 |  |  | $ | 18.2 |
Schedule of Realized and Unrealized Gain (Loss) on Investments | Net realized and unrealized investment gains (losses) for the three and nine months ended September 30, 2017 and 2016 consisted of the following:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2017 |  | 2016 |  | 2017 |  | 2016
Net realized investment gains, pre-tax |  | $ | 6.8 |  |  | $ | .7 |  |  | $ | 20.8 |  |  | $ | 265.0 |
Net unrealized investment gains (losses), pre-tax |  | 25.7 |  |  | 10.2 |  |  | 81.7 |  |  | (237.8 | )
Net realized and unrealized investment gains, pre-tax |  | 32.5 |  |  | 10.9 |  |  | 102.5 |  |  | 27.2 |
Income tax expense attributable to net realized and unrealized investment gains |  | (3.9 | ) |  | — |  |  | (9.5 | ) |  | (4.0 | )
Net realized and unrealized investment gains, after tax |  | $ | 28.6 |  |  | $ | 10.9 |  |  | $ | 93.0 |  |  | $ | 23.2 |
Schedule of realized gain (loss) on investments | Net Realized Investment Gains (Losses) Net realized investment gains (losses) for the three and nine months ended September 30, 2017 and 2016 consisted of the following:
|  | Three Months Ended |  | Three Months Ended
|  | September 30, 2017 |  | September 30, 2016
Millions |  | Net realized gains (losses) |  | Net foreign currency gains (losses) |  | Total net realized gains (losses) reflected in earnings |  | Net realized gains |  | Net foreign currency gains (losses) |  | Total net realized gains reflected in earnings
Fixed maturity investments |  | $ | .6 |  |  | $ | 1.2 |  |  | $ | 1.8 |  |  | $ | .3 |  |  | $ | — |  |  | $ | .3 |
Short-term investments |  | (.1 | ) |  | — |  |  | (.1 | ) |  | .2 |  |  | — |  |  | .2 |
Common equity securities |  | 4.9 |  |  | 5.4 |  |  | 10.3 |  |  | .2 |  |  | — |  |  | .2 |
Other long-term investments |  | 2.0 |  |  | (7.2 | ) |  | (5.2 | ) |  | — |  |  | — |  |  | — |
Net realized investment gains (losses), pre-tax |  | 7.4 |  |  | (.6 | ) |  | 6.8 |  |  | .7 |  |  | — |  |  | .7 |
Income tax expense attributable to net realized investment gains |  | (.6 | ) |  | — |  |  | (.6 | ) |  | (.1 | ) |  | — |  |  | (.1 | )
Net realized investment gains (losses), after tax |  | $ | 6.8 |  |  | $ | (.6 | ) |  | $ | 6.2 |  |  | $ | .6 |  |  | $ | — |  |  | $ | .6 |
|  | Nine Months Ended |  | Nine Months Ended
|  | September 30, 2017 |  | September 30, 2016
Millions |  | Net realized (losses) gains |  | Net foreign currency gains (losses) |  | Total net realized gains (losses) reflected in earnings |  | Net realized gains |  | Net foreign currency gains (losses) |  | Total net realized gains reflected in earnings
Fixed maturity investments |  | $ | (.4 | ) |  | $ | 2.7 |  |  | $ | 2.3 |  |  | $ | 2.0 |  |  | $ | — |  |  | $ | 2.0 |
Short-term investments |  | (.1 | ) |  | — |  |  | (.1 | ) |  | .4 |  |  | — |  |  | .4 |
Common equity securities |  | 18.5 |  |  | 6.0 |  |  | 24.5 |  |  | 262.6 |  |  | — |  |  | 262.6 |
Other long-term investments |  | 3.0 |  |  | (8.9 | ) |  | (5.9 | ) |  | — |  |  | — |  |  | — |
Net realized investment gains (losses), pre-tax |  | 21.0 |  |  | (.2 | ) |  | 20.8 |  |  | 265.0 |  |  | — |  |  | 265.0 |
Income tax expense attributable to net realized investment gains |  | (3.6 | ) |  | — |  |  | (3.6 | ) |  | (45.1 | ) |  | — |  |  | (45.1 | )
Net realized investment gains (losses), after tax |  | $ | 17.4 |  |  | $ | (.2 | ) |  | $ | 17.2 |  |  | $ | 219.9 |  |  | $ | — |  |  | $ | 219.9 |
Schedule of unrealized gain (loss) on investments | Net Unrealized Investment Gains (Losses) Net unrealized investment gains (losses) and changes in the carrying value of investments measured at fair value for the three and nine months ended September 30, 2017 and 2016 consisted of the following:
|  | Three Months Ended |  | Three Months Ended
|  | September 30, 2017 |  | September 30, 2016
Millions |  | Net unrealized gains (losses) |  | Net foreign currency gains (losses) |  | Total net unrealized gains (losses) reflected in earnings |  | Net unrealized (losses) gains |  | Net foreign currency gains |  | Total net unrealized (losses) gains reflected in earnings
Fixed maturity investments |  | $ | 2.0 |  |  | $ | 5.1 |  |  | $ | 7.1 |  |  | $ | (2.0 | ) |  | $ | — |  |  | $ | (2.0 | )
Common equity securities |  | 26.6 |  |  | (3.1 | ) |  | 23.5 |  |  | 8.5 |  |  | .2 |  |  | 8.7 |
Other long-term investments |  | (2.5 | ) |  | (2.4 | ) |  | (4.9 | ) |  | 3.4 |  |  | .1 |  |  | 3.5 |
Net unrealized investment gains (losses), pre-tax |  | 26.1 |  |  | (.4 | ) |  | 25.7 |  |  | 9.9 |  |  | .3 |  |  | 10.2 |
Income tax (expense) benefit attributable to net unrealized investment gains (losses) |  | (3.3 | ) |  | — |  |  | (3.3 | ) |  | .1 |  |  | — |  |  | .1 |
Net unrealized investment gains (losses), after tax |  | $ | 22.8 |  |  | $ | (.4 | ) |  | $ | 22.4 |  |  | $ | 10.0 |  |  | $ | .3 |  |  | $ | 10.3 |
|  | Nine Months Ended |  | Nine Months Ended
|  | September 30, 2017 |  | September 30, 2016
Millions |  | Net unrealized gains |  | Net foreign currency gains (losses) |  | Total net unrealized gains (losses) reflected in earnings |  | Net unrealized gains (losses) |  | Net foreign currency gains |  | Total net unrealized gains (losses) reflected in earnings
Fixed maturity investments |  | $ | 19.4 |  |  | $ | 12.6 |  |  | $ | 32.0 |  |  | $ | 13.3 |  |  | $ | — |  |  | $ | 13.3 |
Common equity securities |  | 53.5 |  |  | — |  |  | 53.5 |  |  | (256.1 | ) |  | 2.6 |  |  | (253.5 | )
Other long-term investments |  | 9.2 |  |  | (13.0 | ) |  | (3.8 | ) |  | 2.1 |  |  | .3 |  |  | 2.4 |
Net unrealized investment gains (losses), pre-tax |  | 82.1 |  |  | (.4 | ) |  | 81.7 |  |  | (240.7 | ) |  | 2.9 |  |  | (237.8 | )
Income tax (expense) benefit attributable to net unrealized investment gains (losses) |  | (5.9 | ) |  | — |  |  | (5.9 | ) |  | 41.1 |  |  | — |  |  | 41.1 |
Net unrealized investment gains (losses), after tax |  | $ | 76.2 |  |  | $ | (.4 | ) |  | $ | 75.8 |  |  | $ | (199.6 | ) |  | $ | 2.9 |  |  | $ | (196.7 | )
Net unrealized investment gains (losses) for Level 3 investments | Total gains (losses) included in earnings attributable to unrealized investment gains (losses) for Level 3 investments for the three and nine months ended September 30, 2017 and 2016 consisted of the following:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2017 |  | 2016 |  | 2017 |  | 2016
Fixed maturity investments |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | .1 |
Other long-term investments |  | (.7 | ) |  | (.9 | ) |  | (2.2 | ) |  | .7 |
Total unrealized investment (losses) gains, pre-tax - Level 3 investments |  | $ | (.7 | ) |  | $ | (.9 | ) |  | $ | (2.2 | ) |  | $ | .8 |
Investment holdings, equity securities, convertible fixed maturities and other long-term investments | The cost or amortized cost, gross unrealized investment gains (losses), net foreign currency gains (losses), and carrying values of White Mountains’s fixed maturity investments as of September 30, 2017 and December 31, 2016 were as follows:
|  | September 30, 2017
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains |  | Carrying value
U.S. Government and agency obligations |  | $ | 218.1 |  |  | $ | .1 |  |  | $ | (.4 | ) |  | $ | — |  |  | $ | 217.8 |
Debt securities issued by corporations |  | 608.3 |  |  | 3.2 |  |  | (1.0 | ) |  | 14.5 |  |  | 625.0 |
Mortgage and asset-backed securities |  | 389.1 |  |  | 1.2 |  |  | (2.4 | ) |  | — |  |  | 387.9 |
Municipal obligations |  | 252.1 |  |  | 3.1 |  |  | (.5 | ) |  | — |  |  | 254.7 |
Foreign government, agency and provincial obligations |  | 4.5 |  |  | — |  |  | (.1 | ) |  | .2 |  |  | 4.6 |
Total fixed maturity investments |  | $ | 1,472.1 |  |  | $ | 7.6 |  |  | $ | (4.4 | ) |  | $ | 14.7 |  |  | $ | 1,490.0 |
|  | December 31, 2016
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains |  | Carrying value
U.S. Government and agency obligations |  | $ | 112.1 |  |  | $ | — |  |  | $ | (1.1 | ) |  | $ | — |  |  | $ | 111.0 |
Debt securities issued by corporations |  | 752.0 |  |  | 2.3 |  |  | (10.1 | ) |  | 2.1 |  |  | 746.3 |
Mortgage and asset-backed securities |  | 986.9 |  |  | .8 |  |  | (7.9 | ) |  | — |  |  | 979.8 |
Municipal obligations |  | 238.7 |  |  | 1.1 |  |  | (1.3 | ) |  | — |  |  | 238.5 |
Foreign government, agency and provincial obligations |  | 12.0 |  |  | .1 |  |  | — |  |  | — |  |  | 12.1 |
Total fixed maturity investments |  | $ | 2,101.7 |  |  | $ | 4.3 |  |  | $ | (20.4 | ) |  | $ | 2.1 |  |  | $ | 2,087.7 |
Less: fixed maturity investments reclassified to assets held for sale related to SSIE |  |  |  |  |  |  |  |  |  | (6.6 | )
Total fixed maturity investments |  |  |  |  |  |  |  |  |  | $ | 2,081.1 |
The cost or amortized cost, gross unrealized investment gains (losses), net foreign currency gains (losses), and carrying values of White Mountains’s common equity securities and other long-term investments as of September 30, 2017 and December 31, 2016 were as follows:
|  | September 30, 2017
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency losses |  | Carrying value
Common equity securities |  | $ | 693.8 |  |  | $ | 82.6 |  |  | $ | (2.0 | ) |  | $ | — |  |  | $ | 774.4 |
Other long-term investments |  | $ | 254.5 |  |  | $ | 13.1 |  |  | $ | (21.2 | ) |  | $ | (16.8 | ) |  | $ | 229.6 |
|  | December 31, 2016
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency losses |  | Carrying value
Common equity securities |  | $ | 258.6 |  |  | $ | 29.0 |  |  | $ | (2.0 | ) |  | $ | — |  |  | $ | 285.6 |
Other long-term investments |  | $ | 194.0 |  |  | $ | 7.9 |  |  | $ | (25.2 | ) |  | $ | (3.9 | ) |  | $ | 172.8 |
Other Long-term Investments Other long-term investments as of September 30, 2017 and December 31, 2016 were as follows:
|  | Carrying Value at
Millions |  | September 30, 2017 |  | December 31, 2016
Hedge funds and private equity funds, at fair value |  | $ | 154.9 |  |  | $ | 82.6 |
Private equity securities and limited liability companies, at fair value (1)(2) |  | 59.1 |  |  | 57.6 |
Private convertible preferred securities, at fair value (1) |  | 27.2 |  |  | 30.6 |
Forward Contracts |  | (15.4 | ) |  | (1.2 | )
Other |  | 3.8 |  |  | 3.2 |
Total other-long term investments |  | $ | 229.6 |  |  | $ | 172.8 |
(1) See Fair Value Measurements by Level table. (2) White Mountains holds a 20% ownership interest in OneTitle Holdings LLC (“OTH”) and has provided a $10.0 million surplus note facility under which OTH’s wholly-owned insurance subsidiary, OneTitle National Guaranty Company, Inc. may, under certain circumstances, draw funds. At September 30, 2017, no funds had been drawn on the surplus note facility.
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, 2017 and December 31, 2016:
|  | September 30, 2017 |  | December 31, 2016
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments
Hedge funds |  |  |  |  |  |  |  |  |  |  |  |
Long/short banks and financials |  | $ | 54.7 |  |  | $ | — |  |  | $ | 21.5 |  |  | $ | — |
Long/short equity REIT |  | 19.1 |  |  | — |  |  | 19.9 |  |  | — |
Total hedge funds |  | 73.8 |  |  | — |  |  | 41.4 |  |  | — |
Private equity funds |  |  |  |  |  |  |  |  |  |  |  |
Manufacturing/Industrial |  | 42.7 |  |  | 12.1 |  |  | 19.4 |  |  | 22.9 |
Aerospace/Defense/Government |  | 28.7 |  |  | 15.6 |  |  | 19.4 |  |  | 25.9 |
Direct lending |  | 6.7 |  |  | 23.3 |  |  | 1.4 |  |  | 28.6 |
Financial Services |  | 3.0 |  |  | 13.0 |  |  | 1.0 |  |  | 5.0 |
Insurance |  | — |  |  | 41.2 |  |  | — |  |  | 41.2 |
Total private equity funds |  | 81.1 |  |  | 105.2 |  |  | 41.2 |  |  | 123.6 |
Total hedge funds and private equity funds included in other long-term investments |  | $ | 154.9 |  |  | $ | 105.2 |  |  | $ | 82.6 |  |  | $ | 123.6 |
Fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds | The following table summarizes the fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds as of September 30, 2017:
|  | Notice Period
Millions Redemption frequency |  | 30-59 days notice |  | 60-89 days notice |  | Total
Semi-annual |  | $ | 54.7 |  |  | $ | 19.1 |  |  | $ | 73.8 |
Fair Value of private equity funds subject to lock-up periods | The following table summarizes investments in private equity funds that were subject to lock-up periods as of September 30, 2017:
Millions |  | 1-3 years |  | 3 – 5 years |  | 5 – 10 years |  | >10 years |  | Total
Private Equity Funds — expected lock-up period remaining |  | $4.0 |  | $18.2 |  | $33.5 |  | $25.4 |  | $81.1
Fair value measurements by level, investment securities | The following tables summarize White Mountains’s fair value measurements for investments as of September 30, 2017 and December 31, 2016 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 and 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 Bloomberg Barclays U.S. Intermediate Aggregate and S&P 500 indices. The fair value measurements for derivative assets associated with White Mountains’s variable annuity business are presented in Note 7.
|  | September 30, 2017
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 217.8 |  |  | $ | 217.8 |  |  | $ | — |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 121.9 |  |  | — |  |  | 121.9 |  |  | — |
Utilities |  | 109.3 |  |  | — |  |  | 109.3 |  |  | — |
Health Care |  | 85.6 |  |  | — |  |  | 85.6 |  |  | — |
Communications |  | 81.7 |  |  | — |  |  | 81.7 |  |  | — |
Materials |  | 68.6 |  |  | — |  |  | 68.6 |  |  | — |
Financials |  | 55.6 |  |  | — |  |  | 50.0 |  |  | 5.6 |
Technology |  | 52.0 |  |  | — |  |  | 52.0 |  |  | — |
Industrial |  | 38.3 |  |  | — |  |  | 38.3 |  |  | — |
Energy |  | 12.0 |  |  | — |  |  | 12.0 |  |  | — |
Total debt securities issued by corporations |  | 625.0 |  |  | — |  |  | 619.4 |  |  | 5.6 |
Mortgage and asset-backed securities |  | 387.9 |  |  | — |  |  | 387.9 |  |  | — |
Municipal obligations |  | 254.7 |  |  | — |  |  | 254.7 |  |  | — |
Foreign government, agency and provincial obligations |  | 4.6 |  |  | — |  |  | 4.6 |  |  | — |
Total fixed maturity investments |  | 1,490.0 |  |  | 217.8 |  |  | 1,266.6 |  |  | 5.6 |
Short-term investments(1) |  | 786.5 |  |  | 764.5 |  |  | 22.0 |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Exchange traded funds (2) |  | 492.5 |  |  | 434.6 |  |  | 57.9 |  |  | — |
Health Care |  | 17.1 |  |  | 17.1 |  |  | — |  |  | — |
Financials |  | 14.9 |  |  | 14.9 |  |  | — |  |  | — |
Consumer |  | 13.0 |  |  | 13.0 |  |  | — |  |  | — |
Technology |  | 11.7 |  |  | 11.7 |  |  | — |  |  | — |
Communications |  | 10.3 |  |  | 10.3 |  |  | — |  |  | — |
Industrial |  | 10.2 |  |  | 10.2 |  |  | — |  |  | — |
Energy |  | 4.0 |  |  | 4.0 |  |  | — |  |  | — |
Other(3) |  | 200.7 |  |  | — |  |  | 200.7 |  |  | — |
Total common equity securities |  | 774.4 |  |  | 515.8 |  |  | 258.6 |  |  | — |
Other long-term investments (4)(5) |  | 90.1 |  |  | — |  |  | — |  |  | 90.1 |
Total investments |  | $ | 3,141.0 |  |  | $ | 1,498.1 |  |  | $ | 1,547.2 |  |  | $ | 95.7 |
(1) Short-term investments are measured at amortized cost, which approximates fair value. (2) 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. (3) Consists of two investments in unit trusts that primarily invest in international equities. (4) Excludes carrying value of $(15.4) related to foreign currency forward contracts. (5) Excludes carrying value of $154.9 associated with hedge funds and private equity funds for which fair value is measured at NAV using the practical expedient.
|  | December 31, 2016
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 111.0 |  |  | $ | 101.5 |  |  | $ | 9.5 |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |  |  |  |
Consumer |  | 190.8 |  |  | — |  |  | 190.8 |  |  | — |
Utilities |  | 140.8 |  |  | — |  |  | 140.8 |  |  | — |
Health Care |  | 114.9 |  |  | — |  |  | 114.9 |  |  | — |
Financials |  | 79.7 |  |  | — |  |  | 79.7 |  |  | — |
Communications |  | 72.0 |  |  | — |  |  | 72.0 |  |  | — |
Materials |  | 65.0 |  |  | — |  |  | 65.0 |  |  | — |
Technology |  | 48.8 |  |  | — |  |  | 48.8 |  |  | — |
Industrial |  | 28.2 |  |  | — |  |  | 28.2 |  |  | — |
Energy |  | 6.1 |  |  | — |  |  | 6.1 |  |  | — |
Total debt securities issued by corporations |  | 746.3 |  |  | — |  |  | 746.3 |  |  | — |
Mortgage and asset-backed securities |  | 979.8 |  |  | — |  |  | 979.8 |  |  | — |
Municipal obligations |  | 238.5 |  |  | — |  |  | 238.5 |  |  | — |
Foreign government, agency and provincial obligations |  | 12.1 |  |  | — |  |  | 12.1 |  |  | — |
Total fixed maturity investments(1) |  | 2,087.7 |  |  | 101.5 |  |  | 1,986.2 |  |  | — |
Short-term investments(1)(2) |  | 175.0 |  |  | 162.3 |  |  | 12.7 |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Exchange traded funds(3) |  | 157.2 |  |  | 129.4 |  |  | 27.8 |  |  | — |
Health Care |  | 13.9 |  |  | 13.9 |  |  | — |  |  | — |
Consumer |  | 8.6 |  |  | 8.6 |  |  | — |  |  | — |
Financials |  | 7.7 |  |  | 7.7 |  |  | — |  |  | — |
Technology |  | 7.3 |  |  | 7.3 |  |  | — |  |  | — |
Communications |  | 7.0 |  |  | 7.0 |  |  | — |  |  | — |
Energy |  | 2.5 |  |  | 2.5 |  |  | — |  |  | — |
Industrial |  | 1.5 |  |  | 1.5 |  |  | — |  |  | — |
Other(4) |  | 79.9 |  |  | — |  |  | 79.9 |  |  | — |
Total common equity securities |  | 285.6 |  |  | 177.9 |  |  | 107.7 |  |  | — |
Other long-term investments (5)(6) |  | 91.4 |  |  | — |  |  | — |  |  | 91.4 |
Total investments(1) |  | $ | 2,639.7 |  |  | $ | 441.7 |  |  | $ | 2,106.6 |  |  | $ | 91.4 |
(1) Includes carrying value of $6.6 in fixed maturity investments and $0.1 in short-term investments that are classified as assets held for sale related to SSIE. (2) Short-term investments are measured at amortized cost, which approximates fair value. (3) 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. (3) Consists of one investment in a unit trust that primarily invests in international equities. (5) Excludes carrying value of $(1.2) related to foreign currency forward contracts. (6) Excludes carrying value of $82.6 associated with hedge funds and private equity funds for which fair value is measured at NAV using the practical expedient.
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 September 30, 2017 and December 31, 2016:
|  | Fair Value at
Millions |  | September 30, 2017 |  | December 31, 2016
AA |  | $ | 26.7 |  |  | $ | 37.3 |
A |  | 119.4 |  |  | 212.8 |
BBB |  | 291.9 |  |  | 335.6 |
BB |  | 165.4 |  |  | 143.2 |
B |  | 21.6 |  |  | 17.4 |
Debt securities issued by corporations(1)(2) |  | $ | 625.0 |  |  | $ | 746.3 |
(1) Credit ratings are assigned based on the following hierarchy: (1) Standard & Poor’s Financial Services LLC ("Standard & Poor's") and (2) Moody's Investor Service, Inc. ("Moody’s").
(2) | Includes carrying value of $4.2 of fixed maturity investments at December 31, 2016 that is classified as assets held for sale related to SSIE.
Mortgage-backed, asset-backed securities | The following table summarizes the carrying value of White Mountains’s mortgage and asset-backed securities as of September 30, 2017 and December 31, 2016:
|  | September 30, 2017 |  | December 31, 2016
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
GNMA |  | $ | 51.0 |  |  | $ | 51.0 |  |  | $ | — |  |  | $ | 70.3 |  |  | $ | 70.3 |  |  | $ | — |
FNMA |  | 88.9 |  |  | 88.9 |  |  | — |  |  | 235.5 |  |  | 235.5 |  |  | — |
FHLMC |  | 59.7 |  |  | 59.7 |  |  | — |  |  | 59.5 |  |  | 59.5 |  |  | — |
Total Agency(1) |  | 199.6 |  |  | 199.6 |  |  | — |  |  | 365.3 |  |  | 365.3 |  |  | — |
Non-agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential |  | 70.1 |  |  | 70.1 |  |  | — |  |  | 70.3 |  |  | 70.3 |  |  | — |
Commercial |  | 39.0 |  |  | 39.0 |  |  | — |  |  | 3.9 |  |  | 3.9 |  |  | — |
Total Non-agency |  | 109.1 |  |  | 109.1 |  |  | — |  |  | 74.2 |  |  | 74.2 |  |  | — |
Total mortgage-backed securities |  | 308.7 |  |  | 308.7 |  |  | — |  |  | 439.5 |  |  | 439.5 |  |  | — |
Other asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit card receivables |  | 40.5 |  |  | 40.5 |  |  | — |  |  | 214.2 |  |  | 214.2 |  |  | — |
Vehicle receivables |  | 22.7 |  |  | 22.7 |  |  | — |  |  | 205.9 |  |  | 205.9 |  |  | — |
Other |  | 16.0 |  |  | 16.0 |  |  | — |  |  | 120.2 |  |  | 120.2 |  |  | — |
Total other asset-backed securities |  | 79.2 |  |  | 79.2 |  |  | — |  |  | 540.3 |  |  | 540.3 |  |  | — |
Total mortgage and asset-backed securities |  | $ | 387.9 |  |  | $ | 387.9 |  |  | $ | — |  |  | $ | 979.8 |  |  | $ | 979.8 |  |  | $ | — |
(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 following table summarizes the security issuance years of White Mountains’s investments in non-agency RMBS and non-agency CMBS securities as of September 30, 2017:
|  |  |  |  |  | Security Issuance Year |  |  |  |  |  |
Millions |  | Fair Value |  | 2004 |  |  | 2013 |  | 2014 |  | 2015 |  | 2016 |  | 2017
Non-agency RMBS |  | $ | 70.1 |  |  | $ | .3 |  |  |  | $ | 1.3 |  |  | $ | 20.6 |  |  | $ | 47.9 |  |  | $ | — |  |  | $ | — |
Non-agency CMBS |  | 39.0 |  |  | — |  |  |  | — |  |  | — |  |  | — |  |  | 3.7 |  |  | 35.3 |
Total |  | $ | 109.1 |  |  | $ | .3 |  |  |  | $ | 1.3 |  |  | $ | 20.6 |  |  | $ | 47.9 |  |  | $ | 3.7 |  |  | $ | 35.3 |
Non-agency residential mortgage securities, collateral quality and tranche levels | The following table summarizes the classification of the underlying collateral quality and the tranche levels of White Mountains’s non-agency RMBS securities as of September 30, 2017:
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate (3)
Prime |  | $ | 70.1 |  |  | $ | 58.4 |  |  | $ | 11.7 |  |  | $ | — |
Non-prime |  | — |  |  | — |  |  | — |  |  | — |
Sub-prime |  | — |  |  | — |  |  | — |  |  | — |
Total |  | $ | 70.1 |  |  | $ | 58.4 |  |  | $ | 11.7 |  |  | $ | — |
(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, Inc. (“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 following table summarizes the amount of fixed and floating rate securities and their tranche levels of White Mountains’s non-agency CMBS securities as of September 30, 2017:
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate (3)
Fixed rate CMBS |  | $ | 17.8 |  |  | $ | — |  |  | $ | 16.2 |  |  | $ | 1.6 |
Floating rate CMBS |  | 21.2 |  |  | — |  |  | — |  |  | 21.2 |
Total |  | $ | 39.0 |  |  | $ | — |  |  | $ | 16.2 |  |  | $ | 22.8 |
(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.
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, 2017 and 2016:
|  |  | Level 3 Investments |
Millions | Level 1 investments | Level 2 investments | Fixed maturity investments | Other long-term investments | Hedge Funds and Private Equity Funds measured at NAV(3) |  | Total |
Balance at January 1, 2017 | $ | 279.5 |  | $ | 2,093.8 |  | $ | — |  | $ | 91.4 |  | $ | 82.6 |  |  | $ | 2,547.3 |  | (1)(2)(4)
Net realized and unrealized gains (losses) | 52.4 |  | 59.8 |  | — |  | (2.2 | ) | 15.6 |  |  | 125.6 |  |
Amortization/Accretion | — |  | (6.6 | ) | — |  | — |  | — |  |  | (6.6 | ) |
Purchases | 940.7 |  | 1,038.5 |  | 31.2 |  | 2.9 |  | 64.9 |  |  | 2,078.2 |  |
Sales | (539.0 | ) | (1,668.2 | ) | (12.5 | ) | (2.0 | ) | (8.2 | ) |  | (2,229.9 | ) |
Deconsolidation of SSIE | — |  | (5.2 | ) | — |  | — |  | — |  |  | (5.2 | ) |
Transfers in | — |  | 13.1 |  | — |  | — |  | — |  |  | 13.1 |  |
Transfers out | — |  | — |  | (13.1 | ) | — |  | — |  |  | (13.1 | ) |
Balance at September 30, 2017 | $ | 733.6 |  | $ | 1,525.2 |  | $ | 5.6 |  | $ | 90.1 |  | $ | 154.9 |  |  | $ | 2,509.4 |  | (1)(2)
(1) Excludes carrying value of $(1.2) and $(15.4) as of January 1, 2017 and September 30, 2017 associated with foreign currency forward contracts. (2) Excludes carrying value of $175.0 and $786.5 at January 1, 2017 and September 30, 2017 associated with short-term investments, of which $0.1 is classified as held for sale at January 1, 2017. (3) Investments for which fair value is measured at NAV 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 $6.6 of fixed maturity investments at January 1, 2017 that is classified as assets held for sale related to SSIE.
|  |  | Level 3 Investments |  |  |
Millions | Level 1 investments | Level 2 investments | Fixed maturity investments | Other long-term investments | Hedge Funds and Private Equity Funds measured at NAV(2) | Total |
Balance at January 1, 2016 | $ | 789.0 |  | $ | 585.6 |  | $ | — |  | $ | 103.6 |  | $ | 65.3 |  | $ | 1,543.5 |  | (1)(3)
Net realized and unrealized gains | 7.2 |  | 17.4 |  | .1 |  | .8 |  | 1.7 |  | 27.2 |  |
Amortization/Accretion | .1 |  | (3.8 | ) | — |  | — |  | — |  | (3.7 | ) |
Purchases | 1,387.8 |  | 2,228.5 |  | 70.0 |  | 2.2 |  | 38.4 |  | 3,726.9 |  |
Sales | (1,992.7 | ) | (884.1 | ) | — |  | (.1 | ) | (10.1 | ) | (2,887.0 | ) |
Transfers in | — |  | 68.0 |  | — |  | — |  | — |  | 68.0 |  |
Transfers out | — |  | — |  | (68.0 | ) | — |  | — |  | (68.0 | ) |
Balance at September 30, 2016 | $ | 191.4 |  | $ | 2,011.6 |  | $ | 2.1 |  | $ | 106.5 |  | $ | 95.3 |  | $ | 2,406.9 |  | (1)(3)
(1) Excludes carrying value of $142.0 and $230.0 at January 1, 2016 and September 30, 2016 associated with short-term investments of which $0.1 and $0.1 is classified as held for sale at January 1, 2016 and September 30, 2016. (2) Investments for which fair value is measured at NAV using the practical expedient are no longer classified within the fair value hierarchy. See Note 1 — “Summary of Significant Accounting Policies”. (3) Includes carrying value of $9.5 and $8.3 of fixed maturity investments at January 1, 2016 and September 30, 2016 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 table summarizes significant unobservable inputs used in estimating the fair value of investment securities, other than hedge funds and private equity funds, classified within Level 3 as of September 30, 2017 and December 31, 2016. The fair value of investments in hedge funds and private equity funds are generally estimated using the NAV of the funds.
Description |  | September 30, 2017
$ in millions, except share price |  | Rating(2) |  | Valuation Technique(s) |  | Fair Value(3) |  | Unobservable Input
Debt securities issued by corporations (1) |  | BBB |  | Broker pricing |  | $5.6 |  | Broker quote | - | 133.792
Private equity security |  | NR |  | Share price of most recent transaction |  | $21.0 |  | Share price | - | $1.00
Private equity security |  | NR |  | Discounted cash flow |  | $22.1 |  | Discount rate | - | 25.0%
Private equity security |  | NR |  | Share price of most recent transaction |  | $3.6 |  | Share price | - | $2.52
Private convertible preferred security |  | NR |  | Multiple of EBITDA |  | $0.2 |  | EBITDA multiple | - | 6.00
Private convertible preferred security |  | NR |  | Share price of most recent transaction |  | $27.0 |  | Share price | - | $3.83
Private equity security |  | NR |  | Discounted cash flow/ Option pricing method |  | $10.4 |  | Discount rate | - | 21.0%
|  |  |  |  |  |  |  | Time until expiration | - | 4 years
|  |  |  |  |  | Volatility/Standard deviation | - | 50.0%
|  |  |  |  |  | Risk free rate | - | 1.00%
(1) As of September 30, 2017, 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 net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs.
Description |  | December 31, 2016
$ in millions, except share price |  | Valuation Technique(s) |  | Fair Value (1) |  | Unobservable Input
Private equity security |  | Share price of most recent transaction |  | $21.0 |  | Share price | - | $1.00
Private equity security |  | Discounted cash flow |  | $22.1 |  | Discount rate | - | 25.0%
Private equity security |  | Share price of most recent transaction |  | $3.2 |  | Share price | - | $2.52
Private convertible preferred security |  | Multiple of EBITDA |  | $3.6 |  | EBITDA multiple | - | 6.00
Private convertible preferred security |  | Share price of most recent transaction |  | $27.0 |  | Share price | - | $3.83
Private equity security |  | Discounted cash flow/ Option pricing method |  | $9.3 |  | Discount rate | - | 21.0%
|  |  |  |  |  | Time until expiration | - | 4 years
|  |  |  | Volatility/Standard deviation | - | 50.0%
|  |  |  | Risk free rate | - | 1.00%
(1) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs.

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