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Investment Securities (Tables) | 12 Months Ended
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Dec. 31, 2017
Investments, Debt and Equity Securities [Abstract] |
Pre-tax net investment income | The following table presents pre-tax net investment income for 2017, 2016 and 2015:
|  | Year Ended December 31,
Millions |  | 2017 |  | 2016 |  | 2015
Investment income: |  |  |  |  |  |
Fixed maturity investments |  | $ | 44.9 |  |  | $ | 28.5 |  |  | $ | 8.9 |
Short-term investments |  | 1.8 |  |  | .9 |  |  | — |
Common equity securities |  | 10.6 |  |  | 4.0 |  |  | 4.0 |
Other long-term investments |  | 1.2 |  |  | 1.1 |  |  | 2.4 |
Total investment income |  | 58.5 |  |  | 34.5 |  |  | 15.3 |
Third-party investment expenses |  | (2.5 | ) |  | (2.4 | ) |  | (4.4 | )
Net investment income, pre-tax |  | $ | 56.0 |  |  | $ | 32.1 |  |  | $ | 10.9 |
Net Realized and Unrealized Investment Gains and Losses | The following table presents net realized and unrealized investment gains (losses) for 2017, 2016, and 2015:
|  | Year Ended December 31,
Millions |  | 2017 |  | 2016 |  | 2015
Net realized investment gains, pre-tax |  | $ | 24.1 |  |  | $ | 270.0 |  |  | $ | 30.0 |
Net unrealized investment gains (losses), pre-tax |  | 109.2 |  |  | (297.4 | ) |  | 230.5 |
Net realized and unrealized investment gains (losses), pre-tax |  | 133.3 |  |  | (27.4 | ) |  | 260.5 |
Income tax (expense) benefit attributable to net realized and unrealized investment gains (losses) |  | (12.9 | ) |  | 2.7 |  |  | (47.7 | )
Net realized and unrealized investment gains (losses), after-tax |  | $ | 120.4 |  |  | $ | (24.7 | ) |  | $ | 212.8 |
Realized Gain (Loss) on Investments | The following tables present net realized investment gains (losses) for 2017, 2016 and 2015:
|  | Year Ended December 31, 2017
Millions |  | Net realized (losses) gains |  | Net foreign exchange gains (losses) |  | Total net realized gains (losses) reflected in earnings
Fixed maturity investments |  | $ | (1.6 | ) |  | $ | 4.1 |  |  | $ | 2.5 |
Short-term investments |  | (.3 | ) |  | — |  |  | (.3 | )
Common equity securities |  | 18.1 |  |  | 6.0 |  |  | 24.1 |
Other long-term investments |  | 19.1 |  |  | (21.3 | ) |  | (2.2 | )
Net realized investment gains (losses), pre-tax |  | 35.3 |  |  | (11.2 | ) |  | 24.1 |
Income tax expense attributable to net realized investment gains (losses) |  | (8.9 | ) |  | — |  |  | (8.9 | )
Net realized investment gains (losses), after-tax |  | $ | 26.4 |  |  | $ | (11.2 | ) |  | $ | 15.2 |
|  | Year Ended December 31, 2016
Millions |  | Net realized (losses) gains |  | Net foreign exchange gains |  | Total net realized (losses) gains reflected in earnings
Fixed maturity investments |  | $ | (1.9 | ) |  | $ | .3 |  |  | $ | (1.6 | )
Short-term investments |  | .4 |  |  | — |  |  | .4 |
Common equity securities |  | 268.5 |  |  | — |  |  | 268.5 |
Other long-term investments |  | 2.7 |  |  | — |  |  | 2.7 |
Net realized investment gains, pre-tax |  | 269.7 |  |  | .3 |  |  | 270.0 |
Income tax expense attributable to net realized investment gains |  | (45.6 | ) |  | — |  |  | (45.6 | )
Net realized investment gains, after-tax |  | $ | 224.1 |  |  | $ | .3 |  |  | $ | 224.4 |
|  | Year Ended December 31, 2015
Millions |  | Net realized (losses) gains |  | Net foreign exchange gains |  | Total net realized (losses) gains reflected in earnings
Fixed maturity investments |  | $ | (.2 | ) |  | $ | — |  |  | $ | (.2 | )
Common equity securities |  | 31.0 |  |  | — |  |  | 31.0 |
Other long-term investments |  | (.8 | ) |  | — |  |  | (.8 | )
Net realized investment gains, pre-tax |  | 30.0 |  |  | — |  |  | 30.0 |
Income tax expense attributable to net realized investment gains |  | (6.4 | ) |  | — |  |  | (6.4 | )
Net realized investment gains, after-tax |  | $ | 23.6 |  |  | $ | — |  |  | $ | 23.6 |
Unrealized Gain (Loss) on Investments | The following tables present net unrealized investment gains (losses) and changes in the carrying value of investments measured at fair value for the years ended 2017, 2016 and 2015:
|  | Year Ended December 31, 2017
Millions |  | Net unrealized gains (losses) |  | Net foreign exchange gains (losses) |  | Total net unrealized gains (losses) reflected in earnings
Fixed maturity investments |  | $ | 13.8 |  |  | $ | 12.7 |  |  | $ | 26.5 |
Common equity securities |  | 99.3 |  |  | — |  |  | 99.3 |
Other long-term investments |  | (15.6 | ) |  | (1.0 | ) |  | (16.6 | )
Net unrealized investment gains, pre-tax |  | 97.5 |  |  | 11.7 |  |  | 109.2 |
Income tax expense attributable to net unrealized investment gains |  | (4.0 | ) |  | — |  |  | (4.0 | )
Net unrealized investment gains, after-tax |  | $ | 93.5 |  |  | $ | 11.7 |  |  | $ | 105.2 |
|  | Year Ended December 31, 2016
Millions |  | Net unrealized losses |  | Net foreign exchange gains (losses) |  | Total net unrealized losses reflected in earnings
Fixed maturity investments |  | $ | (14.6 | ) |  | $ | 2.1 |  |  | $ | (12.5 | )
Common equity securities |  | (257.4 | ) |  | (3.3 | ) |  | (260.7 | )
Other long-term investments |  | (22.7 | ) |  | (1.5 | ) |  | (24.2 | )
Net unrealized investment losses, pre-tax |  | (294.7 | ) |  | (2.7 | ) |  | (297.4 | )
Income tax benefit attributable to net unrealized investment losses |  | 48.3 |  |  | — |  |  | 48.3 |
Net unrealized investment losses, after-tax |  | $ | (246.4 | ) |  | $ | (2.7 | ) |  | $ | (249.1 | )
|  | Year Ended December 31, 2015
Millions |  | Net unrealized gains (losses) |  | Net foreign exchange losses |  | Total net unrealized gains (losses) reflected in earnings
Fixed maturity investments |  | $ | .1 |  |  | $ | — |  |  | $ | .1 |
Common equity securities |  | 240.8 |  |  | (3.9 | ) |  | 236.9 |
Other long-term investments |  | (5.4 | ) |  | (1.1 | ) |  | (6.5 | )
Net unrealized investment gains (losses), pre-tax |  | 235.5 |  |  | (5.0 | ) |  | 230.5 |
Income tax expense attributable to net unrealized investment gains |  | (41.3 | ) |  | — |  |  | (41.3 | )
Net unrealized investment gains (losses), after-tax |  | $ | 194.2 |  |  | $ | (5.0 | ) |  | $ | 189.2 |
Net unrealized investment gains (losses) for Level 3 investments | The following table presents total gains (losses) included in earnings attributable to unrealized investment gains (losses) for Level 3 investments for the years ended December 31, 2017, 2016 and 2015:
|  | Year Ended December 31,
Millions |  | 2017 |  | 2016 |  | 2015
Fixed maturity investments |  | $ | — |  |  | $ | .1 |  |  | $ | — |
Common equity securities |  | — |  |  | — |  |  | (9.0 | )
Other long-term investments |  | (15.4 | ) |  | (14.3 | ) |  | 0.9 |
Total net unrealized investment losses, pre-tax - Level 3 investments |  | $ | (15.4 | ) |  | $ | (14.2 | ) |  | $ | (8.1 | )
Net realized and unrealized investment gains, after-tax, as recorded on the statements of operations and comprehensive income (losses) | The following table presents the components of White Mountains’s net realized and unrealized investment gains (losses), after-tax, as recorded on the statements of operations and comprehensive income:
|  | Year Ended December 31,
Millions |  | 2017 |  | 2016 |  | 2015
Net change in pre-tax unrealized investment losses on investments in unconsolidated affiliates |  | $ | — |  |  | $ | — |  |  | $ | (39.2 | )
Income tax benefit |  | — |  |  | — |  |  | 2.9 |
Net change in unrealized investment losses on investments in unconsolidated affiliates, after-tax |  | — |  |  | — |  |  | (36.3 | )
Reversal of accumulated other comprehensive income related to change in accounting for the investment in Symetra |  | — |  |  | — |  |  | 1.4 |
Total investment losses through accumulated other comprehensive income |  | — |  |  | — |  |  | (34.9 | )
Net realized and unrealized investment gains (losses), after-tax |  | 120.4 |  |  | (24.7 | ) |  | 212.8 |
Total investment gains (losses) recorded during the period, after-tax |  | $ | 120.4 |  |  | $ | (24.7 | ) |  | $ | 177.9 |
Investment holdings, fixed maturity investments | The following tables present the cost or amortized cost, gross unrealized investment gains (losses), net foreign currency gains, and carrying values of White Mountains’s fixed maturity investments as of December 31, 2017 and 2016.
|  | December 31, 2017
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains |  | Carrying value
U.S. Government and agency obligations |  | $ | 297.8 |  |  | $ | — |  |  | $ | (1.3 | ) |  | $ | — |  |  | $ | 296.5 |
Debt securities issued by corporations |  | 867.6 |  |  | 2.9 |  |  | (4.3 | ) |  | 14.7 |  |  | 880.9 |
Mortgage and asset-backed securities |  | 697.2 |  |  | 1.6 |  |  | (4.1 | ) |  | — |  |  | 694.7 |
Municipal obligations |  | 252.0 |  |  | 3.7 |  |  | (.8 | ) |  | — |  |  | 254.9 |
Foreign government, agency and provincial obligations |  | 2.6 |  |  | — |  |  | — |  |  | .1 |  |  | 2.7 |
Total fixed maturity investments |  | $ | 2,117.2 |  |  | $ | 8.2 |  |  | $ | (10.5 | ) |  | $ | 14.8 |  |  | $ | 2,129.7 |
|  | 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 |
Schedule of contractual maturities of fixed maturities | The following table presents the cost or amortized cost and carrying value of White Mountains’s fixed maturity investments by contractual maturity as of December 31, 2017. Actual maturities could differ from contractual maturities because borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties.
|  | December 31, 2017
Millions |  | Cost or amortized cost |  | Carrying value
Due in one year or less |  | $ | 109.0 |  |  | $ | 108.8 |
Due after one year through five years |  | 663.0 |  |  | 660.9 |
Due after five years through ten years |  | 464.9 |  |  | 472.0 |
Due after ten years |  | 183.1 |  |  | 193.3 |
Mortgage and asset-backed securities |  | 697.2 |  |  | 694.7 |
Total |  | $ | 2,117.2 |  |  | $ | 2,129.7 |
Investment holdings, equity securities, convertible fixed maturities and other long-term investments | The following tables present the cost or amortized cost, gross unrealized investment gains (losses), net foreign currency losses, and carrying values of White Mountains’s common equity securities and other long-term investments as of December 31, 2017 and 2016:
|  | December 31, 2017
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency losses |  | Carrying value
Common equity securities |  | $ | 739.7 |  |  | $ | 129.4 |  |  | $ | (3.0 | ) |  | $ | — |  |  | $ | 866.1 |
Other long-term investments |  | $ | 246.6 |  |  | $ | 6.8 |  |  | $ | (39.7 | ) |  | $ | (4.9 | ) |  | $ | 208.8 |
|  | 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 |
Fair value measurements by level, investment securities | The following tables present White Mountains’s fair value measurements for investments as of December 31, 2017 and 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 See Note 7 — “Derivatives — Variable Annuity Reinsurance”.
|  | December 31, 2017
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 296.5 |  |  | $ | 296.5 |  |  | $ | — |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 185.1 |  |  | — |  |  | 185.1 |  |  | — |
Communications |  | 127.8 |  |  | — |  |  | 127.8 |  |  | — |
Financials |  | 114.8 |  |  | — |  |  | 114.8 |  |  |
Utilities |  | 108.9 |  |  | — |  |  | 108.9 |  |  | — |
Materials |  | 95.5 |  |  | — |  |  | 95.5 |  |  | — |
Health Care |  | 94.3 |  |  | — |  |  | 94.3 |  |  | — |
Technology |  | 80.5 |  |  | — |  |  | 80.5 |  |  | — |
Energy |  | 48.1 |  |  | — |  |  | 48.1 |  |  | — |
Industrial |  | 25.9 |  |  | — |  |  | 25.9 |  |  | — |
Total debt securities issued by corporations: |  | 880.9 |  |  | — |  |  | 880.9 |  |  | — |
Mortgage and asset-backed securities |  | 694.7 |  |  | — |  |  | 694.7 |  |  | — |
Municipal obligations |  | 254.9 |  |  | — |  |  | 254.9 |  |  | — |
Foreign government, agency and provincial obligations |  | 2.7 |  |  | — |  |  | 2.7 |  |  | — |
Total fixed maturity investments |  | 2,129.7 |  |  | 296.5 |  |  | 1,833.2 |  |  | — |
Short-term investments (1) |  | 176.1 |  |  | 151.0 |  |  | 25.1 |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Exchange traded funds (2) |  | 569.7 |  |  | 508.1 |  |  | 61.6 |  |  | — |
Health Care |  | 17.1 |  |  | 17.1 |  |  | — |  |  | — |
Financials |  | 16.3 |  |  | 16.3 |  |  | — |  |  | — |
Technology |  | 15.1 |  |  | 15.1 |  |  | — |  |  | — |
Industrial |  | 11.9 |  |  | 11.9 |  |  | — |  |  | — |
Communications |  | 10.9 |  |  | 10.9 |  |  | — |  |  | — |
Consumer |  | 10.7 |  |  | 10.7 |  |  | — |  |  | — |
Energy |  | 3.8 |  |  | 3.8 |  |  | — |  |  | — |
Other (3) |  | 210.6 |  |  | — |  |  | 210.6 |  |  | — |
Total common equity securities |  | 866.1 |  |  | 593.9 |  |  | 272.2 |  |  | — |
Other long-term investments (4)(5) |  | 87.2 |  |  | — |  |  | — |  |  | 87.2 |
Total investments |  | $ | 3,259.1 |  |  | $ | 1,041.4 |  |  | $ | 2,130.5 |  |  | $ | 87.2 |
(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 $(3.7) related to foreign currency forward contracts. (5) Excludes carrying value of $125.3 associated with a hedge fund 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. (4) Consists of an 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 presents the ratings of debt securities issued by corporations held in White Mountains’s investment portfolio as of December 31, 2017 and 2016:
|  | Fair Value at December 31,
Millions |  | 2017 |  | 2016
AAA |  | $ | 1.6 |  |  | $ | — |
AA |  | 42.6 |  |  | 37.3 |
A |  | 192.5 |  |  | 212.8 |
BBB |  | 465.2 |  |  | 335.6 |
BB |  | 161.7 |  |  | 143.2 |
B |  | 17.3 |  |  | 17.4 |
Debt securities issued by corporations (1)(2) |  | $ | 880.9 |  |  | $ | 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 presents the carrying value of White Mountains’s mortgage and asset-backed securities as of December 31, 2017 and 2016:
|  | December 31, 2017 |  | December 31, 2016
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
GNMA |  | $ | 46.3 |  |  | $ | 46.3 |  |  | $ | — |  |  | $ | 70.3 |  |  | $ | 70.3 |  |  | $ | — |
FNMA |  | 84.5 |  |  | 84.5 |  |  | — |  |  | 235.5 |  |  | 235.5 |  |  | — |
FHLMC |  | 62.0 |  |  | 62.0 |  |  | — |  |  | 59.5 |  |  | 59.5 |  |  | — |
Total Agency (1) |  | 192.8 |  |  | 192.8 |  |  | — |  |  | 365.3 |  |  | 365.3 |  |  | — |
Non-agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential |  | — |  |  | — |  |  | — |  |  | 70.3 |  |  | 70.3 |  |  | — |
Commercial |  | 70.5 |  |  | 70.5 |  |  | — |  |  | 3.9 |  |  | 3.9 |  |  | — |
Total Non-agency |  | 70.5 |  |  | 70.5 |  |  | — |  |  | 74.2 |  |  | 74.2 |  |  | — |
Total mortgage-backed securities |  | 263.3 |  |  | 263.3 |  |  | — |  |  | 439.5 |  |  | 439.5 |  |  | — |
Other asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit card receivables |  | 206.0 |  |  | 206.0 |  |  | — |  |  | 214.2 |  |  | 214.2 |  |  | — |
Vehicle receivables |  | 142.4 |  |  | 142.4 |  |  | — |  |  | 205.9 |  |  | 205.9 |  |  | — |
Other |  | 83.0 |  |  | 83.0 |  |  | — |  |  | 120.2 |  |  | 120.2 |  |  | — |
Total other asset-backed securities |  | 431.4 |  |  | 431.4 |  |  | — |  |  | 540.3 |  |  | 540.3 |  |  | — |
Total mortgage and asset-backed securities |  | $ | 694.7 |  |  | $ | 694.7 |  |  | $ | — |  |  | $ | 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).
Non-agency commercial mortgage securities, type of interest rate and tranche levels | The following table presents the amount of fixed and floating rate securities and their tranche levels of White Mountains’s non-agency CMBS securities as of December 31, 2017:
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate (3)
Fixed rate CMBS |  | $ | 35.1 |  |  | $ | — |  |  | $ | 27.5 |  |  | $ | 7.6 |
Floating rate CMBS |  | 35.4 |  |  | — |  |  | — |  |  | 35.4 |
Total |  | $ | 70.5 |  |  | $ | — |  |  | $ | 27.5 |  |  | $ | 43.0 |
(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 backed mortgage securities | The following table presents the security issuance years of White Mountains’s investments in non-agency CMBS as of December 31, 2017:
|  |  |  | Security Issuance Year
Millions |  | Fair Value |  | 2017 |  | 2016
Non-agency CMBS |  | $ | 70.5 |  |  | $ | 67.0 |  |  | $ | 3.5 |
Other Investments Not Readily Marketable | The following table presents the carrying values of White Mountains’s other long-term investments as of December 31, 2017 and 2016:
|  | Carrying Value at December 31,
Millions |  | 2017 |  | 2016
Hedge funds and private equity funds, at fair value |  | $ | 125.3 |  |  | $ | 82.6 |
Private equity securities, at fair value (1)(2)(3) |  | 83.2 |  |  | 88.2 |
Foreign currency forward contracts |  | (3.7 | ) |  | (1.2 | )
Other |  | 4.0 |  |  | 3.2 |
Total other long-term investments |  | $ | 208.8 |  |  | $ | 172.8 |
(1) See Fair Value Measurements by Level table. (2) Includes non-controlling interests in common equity securities, limited liability companies and private convertible preferred securities. (3) White Mountains holds a 20% ownership interest in OneTitle Holdings LLC (“OneTitle”) and has provided a $10.0 million surplus note facility under which OneTitle’s wholly-owned insurance subsidiary, OneTitle National Guaranty Company, Inc. may draw funds under certain circumstances. At December 31, 2017, no funds had been drawn on the surplus note facility.
Other long-term investments | The following table presents investments in hedge funds and private equity funds by investment objective and sector as of December 31, 2017 and 2016:
|  | December 31, 2017 |  | December 31, 2016
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments
Hedge funds |  |  |  |  |  |  |  |  |  |  |  |
Long/short banks and financial |  | $ | 54.9 |  |  | $ | — |  |  | $ | 21.5 |  |  | $ | — |
Long/short equity REIT |  | — |  |  | — |  |  | 19.9 |  |  | — |
Total hedge funds |  | 54.9 |  |  | — |  |  | 41.4 |  |  | — |
Private equity funds |  |  |  |  |  |  |  |  |  |  |  |
Manufacturing/Industrial |  | 43.3 |  |  | 10.4 |  |  | 19.4 |  |  | 22.9 |
Aerospace/Defense/Government |  | 15.8 |  |  | 12.9 |  |  | 19.4 |  |  | 25.9 |
Direct lending |  | 7.1 |  |  | 23.1 |  |  | 1.4 |  |  | 28.6 |
Financial Services |  | 4.2 |  |  | 11.7 |  |  | 1.0 |  |  | 5.0 |
Insurance |  | — |  |  | 41.2 |  |  | — |  |  | 41.2 |
Total private equity funds |  | 70.4 |  |  | 99.3 |  |  | 41.2 |  |  | 123.6 |
Total hedge and private equity funds included in other long-term investments |  | $ | 125.3 |  |  | $ | 99.3 |  |  | $ | 82.6 |  |  | $ | 123.6 |
Fair Value of private equity funds subject to lock-up periods | The following table presents investments in private equity funds that were subject to lock-up periods as of December 31, 2017:
Millions |  | 1 – 3 years |  | 3 – 5 years |  | 5 – 10 years |  | >10 years |  | Total
Private Equity Funds — expected lock-up period remaining |  | $ | 4.7 |  |  | $ | 5.6 |  |  | $ | 32.9 |  |  | $ | 27.2 |  |  | $ | 70.4 |
Rollforward of fair value investments by level | The following tables present the changes in White Mountains’s fair value measurements by level for the years ended December 31, 2017 and 2016:
|  |  |  |  |  | Level 3 Investments |  | Hedge Funds and Private Equity Funds measured at NAV (3) |  |  |
Millions |  | Level 1 Investments |  | Level 2 Investments |  | Fixed maturity investments |  | Other long-term investments |  |  | Total |
Balance at January 1, 2017 |  | $ | 279.5 |  |  | $ | 2,093.8 |  |  | $ | — |  |  | $ | 91.4 |  |  | $ | 82.6 |  |  | $ | 2,547.3 |  | (1)(2)(5)
Net realized and unrealized gains (losses) |  | 82.7 |  |  | 69.6 |  |  | — |  |  | (15.3 | ) |  | 20.4 |  |  | 157.4 |  | (4)
Amortization/Accretion |  | — |  |  | (9.1 | ) |  | — |  |  | — |  |  | — |  |  | (9.1 | ) |
Purchases |  | 1,209.3 |  |  | 2,007.9 |  |  | 31.2 |  |  | 13.1 |  |  | 71.0 |  |  | 3,332.5 |  |
Sales |  | (681.1 | ) |  | (2,070.3 | ) |  | (12.5 | ) |  | (2.0 | ) |  | (48.7 | ) |  | (2,814.6 | ) |
Deconsolidation of SSIE |  | — |  |  | (5.2 | ) |  | — |  |  | — |  |  | — |  |  | (5.2 | ) |
Transfers in |  | — |  |  | 18.7 |  |  | — |  |  | — |  |  | — |  |  | 18.7 |  |
Transfers out |  | — |  |  | — |  |  | (18.7 | ) |  | — |  |  | — |  |  | (18.7 | ) |
Balance at December 31, 2017 |  | $ | 890.4 |  |  | $ | 2,105.4 |  |  | $ | — |  |  | $ | 87.2 |  |  | $ | 125.3 |  |  | $ | 3,208.3 |  | (1)(2)
(1) | Excludes carrying value of $(3.7) and $(1.2) as of December 31, 2017 and January 1, 2017 associated with foreign currency forward contracts.
(2) | Excludes carrying value of $176.1 and $175.0 as of December 31, 2017 and January 1, 2017 classified as 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) Excludes realized and unrealized losses associated with foreign currency forward contracts and short-term investments of $23.8 and $0.3 for the year ended December 31, 2017.
(5) | 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 |  | Hedge Funds and Private Equity Funds measured at NAV (3) |  |
Millions |  | Level 1 Investments |  | Level 2 Investments |  | Fixed maturity investments |  | Other long-term investments |  | Total |
Balance at January 1, 2016 |  | $ | 789.0 |  |  | $ | 585.6 |  |  | $ | — |  |  | $ | 103.6 |  |  | $ | 65.3 |  | $ | 1,543.5 |  | (1)(2)
Net realized and unrealized gains (losses) |  | 2.0 |  |  | (8.0 | ) |  | .1 |  |  | (14.3 | ) |  | (6.0 | ) | (26.2 | ) | (4)
Amortization/Accretion |  | .1 |  |  | (6.2 | ) |  | — |  |  | — |  |  | — |  | (6.1 | ) |
Purchases |  | 1,746.9 |  |  | 2,868.8 |  |  | 69.9 |  |  | 2.2 |  |  | 40.5 |  | 4,728.3 |  |
Sales |  | (2,258.5 | ) |  | (1,416.4 | ) |  | — |  |  | (.1 | ) |  | (17.2 | ) | (3,692.2 | ) |
Transfers in |  | — |  |  | 70.0 |  |  | — |  |  | — |  |  | — |  | 70.0 |  |
Transfers out |  | — |  |  | — |  |  | (70.0 | ) |  | — |  |  | — |  | (70.0 | ) |
Balance at December 31, 2016 |  | $ | 279.5 |  |  | $ | 2,093.8 |  |  | $ | — |  |  | $ | 91.4 |  |  | $ | 82.6 |  | $ | 2,547.3 |  | (1)(2)(5)
(1) | Excludes carrying value of $175.0 and $142.0 as of December 31, 2016 and January 1, 2016 classified as short-term investments of which $0.1 and $0.1 is classified as held for sale at December 31, 2016 and January 1, 2016.
(2) Includes carrying value of $9.5 and $6.6 of fixed maturity investments at January 1, 2016 and December 31, 2016 that is classified as assets held for sale related to SSIE.
(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) Excludes realized and unrealized losses associated with foreign currency forward contracts of $1.2 for the year ended December 31, 2016.
(5) | Excludes carrying value of $(1.2) as of December 31, 2016 associated with foreign currency forward contracts.
Schedule of significant unobservable inputs used in estimating the fair value of investment securities | The following tables present 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 December 31, 2017 and 2016. The fair value of investments in hedge funds and private equity funds are generally estimated using the NAV of the funds.
$ in millions, except share price |  | December 31, 2017
Description |  | 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 |  | Implied share price | - | $.68
Private equity security |  | Share price of most recent transaction |  | $3.6 |  | Share price | - | $2.52
Private convertible preferred security |  | Multiple of EBITDA |  | $0.6 |  | EBITDA multiple | - | 6.00
Private convertible preferred security |  | Discounted cash flow |  | $14.5 |  | Implied share price | - | $2.06
Private equity security |  | Discounted cash flow/ Option pricing method |  | $11.3 |  | Discount rate |  | 21.0%
|  |  |  |  |  | Time until expiration | - | 4 years
|  |  |  | Volatility/Standard deviation | - | 50.0%
|  |  |  | Risk free rate | - | 1.77%
(1) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs.
$ in millions, except share price |  | December 31, 2016
Description |  | 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 |  | Implied share price | - | $.68
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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