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Investment Securities (Tables) | 9 Months Ended
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Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract] |
Pre-tax net investment income | The following table presents pre-tax net investment income for the three and nine months ended September 30, 2019 and 2018:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2019 |  | 2018 |  | 2019 |  | 2018
Fixed maturity investments |  | $ | 8.0 |  |  | $ | 7.5 |  |  | $ | 24.4 |  |  | $ | 27.3 |
Short-term investments |  | 1.3 |  |  | 1.8 |  |  | 3.9 |  |  | 6.5 |
Common equity securities |  | 2.5 |  |  | 3.4 |  |  | 10.8 |  |  | 11.2 |
Other long-term investments |  | 7.0 |  |  | 1.2 |  |  | 17.4 |  |  | 1.7 |
Total investment income |  | 18.8 |  |  | 13.9 |  |  | 56.5 |  |  | 46.7 |
Third-party investment expenses |  | (.4 | ) |  | (.5 | ) |  | (1.1 | ) |  | (1.8 | )
Net investment income, pre-tax |  | $ | 18.4 |  |  | $ | 13.4 |  |  | $ | 55.4 |  |  | $ | 44.9 |
Schedule of Realized and Unrealized Gain (Loss) on Investments | The following table presents net realized and unrealized investment gains (losses) for the three and nine months ended September 30, 2019 and 2018:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2019 |  | 2018 |  | 2019 |  | 2018
Net realized investment gains (losses), pre-tax (1) |  | $ | 19.6 |  |  | $ | (10.2 | ) |  | $ | 90.8 |  |  | $ | (13.9 | )
Net unrealized investment gains, pre-tax (2) |  | 47.4 |  |  | 76.3 |  |  | 257.0 |  |  | 36.8 |
Net realized and unrealized investment gains, pre-tax |  | 67.0 |  |  | 66.1 |  |  | 347.8 |  |  | 22.9 |
Income tax expense attributable to net realized and unrealized investment gains |  | (13.2 | ) |  | (9.7 | ) |  | (69.5 | ) |  | (5.9 | )
Net realized and unrealized investment gains, after-tax |  | $ | 53.8 |  |  | $ | 56.4 |  |  | $ | 278.3 |  |  | $ | 17.0 |
(1) Excludes $67.5 realized gain associated with the MediaAlpha Transaction, which is recorded in a separate line item in the statement of operations titled realized gain and unrealized investment gain from the MediaAlpha Transaction. See Note 2 — “Significant Transactions.” (2) Includes $114.7 unrealized investment gain associated with the MediaAlpha Transaction, which is recorded in a separate line item in the statement of operations titled realized gain and unrealized investment gain from the MediaAlpha Transaction. See Note 2 — “Significant Transactions.”
Schedule of realized gain (loss) on investments | The following tables present net realized investment gains (losses) for the three and nine months ended September 30, 2019 and 2018:
|  | Three Months Ended |  | Three Months Ended
|  | September 30, 2019 |  | September 30, 2018
Millions |  | Net Realized Gains |  | Net Foreign Exchange Gains (Losses) |  | Total Net Realized Gains Reflected in Earnings |  | Net Realized Losses |  | Net Foreign Exchange Gains (Losses) |  | Total Net Realized Losses Reflected in Earnings
Fixed maturity investments |  | $ | 1.4 |  |  | $ | — |  |  | $ | 1.4 |  |  | $ | (5.1 | ) |  | $ | — |  |  | $ | (5.1 | )
Common equity securities |  | 14.0 |  |  | — |  |  | 14.0 |  |  | (1.5 | ) |  | — |  |  | (1.5 | )
Other long-term investments |  | 4.2 |  |  | — |  |  | 4.2 |  |  | (3.6 | ) |  | — |  |  | (3.6 | )
Net realized investment gains (losses), pre-tax |  | 19.6 |  |  | — |  |  | 19.6 |  |  | (10.2 | ) |  | — |  |  | (10.2 | )
Income tax (expense) benefit attributable to net realized investment gains (losses) |  | (.2 | ) |  | — |  |  | (.2 | ) |  | 2.3 |  |  | — |  |  | 2.3 |
Net realized investment gains (losses), after-tax |  | $ | 19.4 |  |  | $ | — |  |  | $ | 19.4 |  |  | $ | (7.9 | ) |  | $ | — |  |  | $ | (7.9 | )
|  | Nine Months Ended |  | Nine Months Ended
|  | September 30, 2019 |  | September 30, 2018
Millions |  | Net Realized Gains |  | Net Foreign Exchange Gains (Losses) |  | Total Net Realized Gains Reflected in Earnings |  | Net Realized (Losses) Gains |  | Net Foreign Exchange Gains (Losses) |  | Total Net Realized (Losses) Gains Reflected in Earnings
Fixed maturity investments |  | $ | 3.5 |  |  | $ | — |  |  | $ | 3.5 |  |  | $ | (27.6 | ) |  | $ | 18.2 |  |  | $ | (9.4 | )
Short-term investments |  | .1 |  |  | — |  |  | .1 |  |  | (.8 | ) |  | — |  |  | (.8 | )
Common equity securities |  | 81.4 |  |  | — |  |  | 81.4 |  |  | 10.5 |  |  | — |  |  | 10.5 |
Other long-term investments (1) |  | 5.8 |  |  | — |  |  | 5.8 |  |  | (7.0 | ) |  | (7.2 | ) |  | (14.2 | )
Net realized investment gains (losses), pre-tax |  | 90.8 |  |  | — |  |  | 90.8 |  |  | (24.9 | ) |  | 11.0 |  |  | (13.9 | )
Income tax (expense) benefit attributable to net realized investment gains (losses) |  | (9.0 | ) |  | — |  |  | (9.0 | ) |  | 11.2 |  |  | — |  |  | 11.2 |
Net realized investment gains (losses), after-tax |  | $ | 81.8 |  |  | $ | — |  |  | $ | 81.8 |  |  | $ | (13.7 | ) |  | $ | 11.0 |  |  | $ | (2.7 | )
Schedule of 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 three and nine months ended September 30, 2019 and 2018:
|  | Three Months Ended |  | Three Months Ended
|  | September 30, 2019 |  | September 30, 2018
Millions |  | Net Unrealized Gains (Losses) |  | Net Foreign Exchange (Losses) |  | Total Net Unrealized Gains (Losses) Reflected in Earnings |  | Net Unrealized Gains (Losses) |  | Net Foreign Exchange (Losses) |  | Total Net Unrealized Gains (Losses) Reflected in Earnings
Fixed maturity investments |  | $ | 7.5 |  |  | $ | — |  |  | $ | 7.5 |  |  | $ | 1.5 |  |  | $ | — |  |  | $ | 1.5 |
Short-term investments |  | — |  |  | — |  |  | — |  |  | (.1 | ) |  | — |  |  | (.1 | )
Common equity securities |  | (11.6 | ) |  | — |  |  | (11.6 | ) |  | 54.9 |  |  | — |  |  | 54.9 |
Other long-term investments |  | 52.3 |  |  | (.8 | ) |  | 51.5 |  |  | 20.1 |  |  | (.1 | ) |  | 20.0 |
Net unrealized investment gains (losses), pre-tax |  | 48.2 |  |  | (.8 | ) |  | 47.4 |  |  | 76.4 |  |  | (.1 | ) |  | 76.3 |
Income tax expense attributable to net unrealized investment gains |  | (13.0 | ) |  | — |  |  | (13.0 | ) |  | (12.0 | ) |  | — |  |  | (12.0 | )
Net unrealized investment gains (losses), after-tax |  | $ | 35.2 |  |  | $ | (.8 | ) |  | $ | 34.4 |  |  | $ | 64.4 |  |  | $ | (.1 | ) |  | $ | 64.3 |
|  | Nine Months Ended |  | Nine Months Ended
|  | September 30, 2019 |  | September 30, 2018
Millions |  | Net Unrealized Gains |  | Net Foreign Exchange (Losses) |  | Total Net Unrealized Gains Reflected in Earnings |  | Net Unrealized (Losses) Gains |  | Net Foreign Exchange (Losses) Gains |  | Total Net Unrealized (Losses) Gains Reflected in Earnings
Fixed maturity investments |  | $ | 43.4 |  |  | $ | — |  |  | $ | 43.4 |  |  | $ | (15.7 | ) |  | $ | (14.8 | ) |  | $ | (30.5 | )
Short-term investments |  | .2 |  |  | — |  |  | .2 |  |  | (.1 | ) |  | — |  |  | (.1 | )
Common equity securities |  | 60.1 |  |  | — |  |  | 60.1 |  |  | 43.7 |  |  | — |  |  | 43.7 |
Other long-term investments(1) |  | 154.1 |  |  | (.8 | ) |  | 153.3 |  |  | 20.5 |  |  | 3.2 |  |  | 23.7 |
Net unrealized investment gains (losses), pre-tax |  | 257.8 |  |  | (.8 | ) |  | 257.0 |  |  | 48.4 |  |  | (11.6 | ) |  | 36.8 |
Income tax expense attributable to net unrealized investment gains |  | (60.5 | ) |  | — |  |  | (60.5 | ) |  | (17.1 | ) |  | — |  |  | (17.1 | )
Net unrealized investment gains (losses), after-tax |  | $ | 197.3 |  |  | $ | (.8 | ) |  | $ | 196.5 |  |  | $ | 31.3 |  |  | $ | (11.6 | ) |  | $ | 19.7 |
(1) Includes $114.7 unrealized investment gain associated with the MediaAlpha Transaction, which is recorded in a separate line item in the statement of operations titled realized gain and unrealized investment gain from the MediaAlpha Transaction. See Note 2 — “Significant Transactions.”
Net unrealized investment gains (losses) for Level 3 investments | The following table presents total gains (losses) included in earnings attributable to net unrealized investment gains (losses) for Level 3 investments for the three and nine months ended September 30, 2019 and 2018 for investments held at September 30, 2019 and 2018:
|  | Three Months Ended | Nine Months Ended
|  | September 30, | September 30,
Millions |  | 2019 |  | 2018 | 2019 |  | 2018
Other long-term investments |  | $ | 54.4 |  |  | $ | 4.0 |  | $ | 154.4 |  |  | $ | 2.1 |
Total net unrealized investment gains, pre-tax - Level 3 investments |  | $ | 54.4 |  |  | $ | 4.0 |  | $ | 154.4 |  |  | $ | 2.1 |
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) and carrying values of White Mountains’s fixed maturity investments as of September 30, 2019 and December 31, 2018:
|  | September 30, 2019
Millions |  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Carrying Value
U.S. Government and agency obligations |  | $ | 196.3 |  |  | $ | 1.3 |  |  | $ | — |  |  | $ | 197.6 |
Debt securities issued by corporations |  | 449.5 |  |  | 13.8 |  |  | (.1 | ) |  | 463.2 |
Municipal obligations |  | 292.4 |  |  | 15.7 |  |  | (.1 | ) |  | 308.0 |
Mortgage and asset-backed securities |  | 195.0 |  |  | 2.5 |  |  | (.3 | ) |  | 197.2 |
Total fixed maturity investments |  | $ | 1,133.2 |  |  | $ | 33.3 |  |  | $ | (.5 | ) |  | $ | 1,166.0 |
|  | December 31, 2018
Millions |  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Carrying Value
U.S. Government and agency obligations |  | $ | 154.0 |  |  | $ | .1 |  |  | $ | (.9 | ) |  | $ | 153.2 |
Debt securities issued by corporations |  | 519.0 |  |  | 1.0 |  |  | (9.5 | ) |  | 510.5 |
Municipal obligations |  | 279.0 |  |  | 2.4 |  |  | (1.1 | ) |  | 280.3 |
Mortgage and asset-backed securities |  | 136.1 |  |  | .1 |  |  | (2.7 | ) |  | 133.5 |
Total fixed maturity investments |  | $ | 1,088.1 |  |  | $ | 3.6 |  |  | $ | (14.2 | ) |  | $ | 1,077.5 |
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 September 30, 2019 and December 31, 2018:
|  | September 30, 2019
Millions |  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Net Foreign Currency Losses |  | Carrying Value
Common equity securities |  | $ | 548.8 |  |  | $ | 80.9 |  |  | $ | — |  |  | $ | — |  |  | $ | 629.7 |
Other long-term investments |  | $ | 619.5 |  |  | $ | 222.8 |  |  | $ | (65.9 | ) |  | $ | (2.7 | ) |  | $ | 773.7 |
|  | December 31, 2018
Millions |  | Cost or Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Net Foreign Currency Losses |  | Carrying Value
Common equity securities |  | $ | 904.7 |  |  | $ | 51.0 |  |  | $ | (30.1 | ) |  | $ | — |  |  | $ | 925.6 |
Other long-term investments |  | $ | 330.3 |  |  | $ | 52.2 |  |  | $ | (54.9 | ) |  | $ | (2.0 | ) |  | $ | 325.6 |
Other Long-Term Investments The following table presents the carrying values of White Mountains’s other long-term investments as of September 30, 2019 and December 31, 2018:
|  | Carrying Value at
Millions |  | September 30, 2019 |  | December 31, 2018
Kudu investments (1)(2) |  | $ | 219.3 |  |  | $ | — |
MediaAlpha (1)(3) |  | 150.0 |  |  | — |
PassportCard/DavidShield (1) |  | 90.0 |  |  | 75.0 |
Elementum (1) |  | 55.1 |  |  | — |
Other unconsolidated entities (1)(4) |  | 39.5 |  |  | 60.0 |
Kudu (5) |  | — |  |  | 30.7 |
Total unconsolidated entities (1) |  | 553.9 |  |  | 165.7 |
Private equity funds and hedge funds |  | 145.5 |  |  | 146.1 |
Insurance-linked securities funds |  | 41.4 |  |  | — |
Other |  | 32.9 |  |  | 13.8 |
Total other long-term investments |  | $ | 773.7 |  |  | $ | 325.6 |
(1) See Fair Value Measurements by Level table. (2) Includes Kudu’s non-controlling equity interests in the form of revenue and earnings participations. As of September 30, 2019 White Mountains consolidates Kudu. See Note 2 — “Significant Transactions”. (3) The MediaAlpha Transaction was completed on February 26, 2019. See Note 2 — “Significant Transactions”. (4) Includes White Mountains’s non-controlling interests in certain private common equity securities, limited liability companies and convertible preferred securities. (5) Includes White Mountains non-controlling interest in Kudu prior to consolidation. See Note 2 — “Significant Transactions”.
Other long-term investments | The following table presents investments and unfunded commitments in private equity funds and hedge funds by investment objective and sector as of September 30, 2019 and December 31, 2018:
|  | September 30, 2019 |  | December 31, 2018
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments
Private equity funds |  |  |  |  |  |  |  |  |  |  |  |
Manufacturing/Industrial |  | $ | 45.3 |  |  | $ | 4.1 |  |  | $ | 42.9 |  |  | $ | 10.5 |
Aerospace/Defense/Government |  | 32.9 |  |  | 24.5 |  |  | 27.6 |  |  | 34.9 |
Financial services |  | 12.4 |  |  | 26.2 |  |  | 8.3 |  |  | 13.6 |
Direct lending |  | — |  |  | — |  |  | 13.0 |  |  | 17.7 |
Total private equity funds |  | 90.6 |  |  | 54.8 |  |  | 91.8 |  |  | 76.7 |
Hedge funds |  |  |  |  |  |  |  |  |  |  |  |
Long/short banks and financials |  | 54.9 |  |  | — |  |  | 54.3 |  |  | — |
Total hedge funds |  | 54.9 |  |  | — |  |  | 54.3 |  |  | — |
Total private equity funds and hedge funds included in other long-term investments |  | $ | 145.5 |  |  | $ | 54.8 |  |  | $ | 146.1 |  |  | $ | 76.7 |
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 September 30, 2019:
Millions |  | 1 – 3 years |  | 3 – 5 years |  | 5 – 10 years |  | >10 years |  | Total
Private equity funds — expected lock-up period remaining |  | $5.4 |  | $16.5 |  | $56.3 |  | $12.4 |  | $90.6
Fair value measurements by level, investment securities | The following tables present White Mountains’s fair value measurements for investments as of September 30, 2019 and December 31, 2018 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.
|  | September 30, 2019
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 197.6 |  |  | $ | 197.6 |  |  | $ | — |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Financials |  | 143.3 |  |  | — |  |  | 143.3 |  |  | — |
Industrial |  | 60.5 |  |  | — |  |  | 60.5 |  |  | — |
Healthcare |  | 55.0 |  |  | — |  |  | 55.0 |  |  | — |
Consumer |  | 49.3 |  |  | — |  |  | 49.3 |  |  | — |
Energy |  | 45.0 |  |  | — |  |  | 45.0 |  |  | — |
Technology |  | 44.5 |  |  | — |  |  | 44.5 |  |  | — |
Communications |  | 27.1 |  |  | — |  |  | 27.1 |  |  | — |
Utilities |  | 22.3 |  |  | — |  |  | 22.3 |  |  | — |
Materials |  | 16.2 |  |  | — |  |  | 16.2 |  |  | — |
Total debt securities issued by corporations |  | 463.2 |  |  | — |  |  | 463.2 |  |  | — |
Mortgage and asset-backed securities |  | 197.2 |  |  | — |  |  | 197.2 |  |  | — |
Municipal obligations |  | 308.0 |  |  | — |  |  | 308.0 |  |  | — |
Total fixed maturity investments |  | 1,166.0 |  |  | 197.6 |  |  | 968.4 |  |  | — |
Short-term investments (1) |  | 272.5 |  |  | 261.0 |  |  | 11.5 |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Exchange traded funds (2) |  | 519.7 |  |  | 506.1 |  |  | 13.6 |  |  | — |
Other (3) |  | 110.0 |  |  | — |  |  | 110.0 |  |  | — |
Total common equity securities |  | 629.7 |  |  | 506.1 |  |  | 123.6 |  |  | — |
Other long-term investments |  | 586.8 |  |  | — |  |  | — |  |  | 586.8 |
Other long-term investments — NAV (4) |  | 186.9 |  |  | — |  |  | — |  |  | — |
Total investments |  | $ | 2,841.9 |  |  | $ | 964.7 |  |  | $ | 1,103.5 |  |  | $ | 586.8 |
(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) Consists of private equity funds, one hedge fund and ILS funds for which fair value is measured at NAV using the practical expedient. Investments for which fair value is measured at NAV are not classified within the fair value hierarchy.
|  | December 31, 2018
Millions |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Fixed maturity investments: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and agency obligations |  | $ | 153.2 |  |  | $ | 153.2 |  |  | $ | — |  |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |  |  |  |
Financials |  | 143.4 |  |  | — |  |  | 143.4 |  |  | — |
Consumer |  | 68.5 |  |  | — |  |  | 68.5 |  |  | — |
Technology |  | 60.5 |  |  | — |  |  | 60.5 |  |  | — |
Energy |  | 57.6 |  |  | — |  |  | 57.6 |  |  | — |
Healthcare |  | 55.0 |  |  | — |  |  | 55.0 |  |  | — |
Industrial |  | 47.6 |  |  | — |  |  | 47.6 |  |  | — |
Communications |  | 31.8 |  |  | — |  |  | 31.8 |  |  | — |
Materials |  | 26.3 |  |  | — |  |  | 26.3 |  |  | — |
Utilities |  | 19.8 |  |  | — |  |  | 19.8 |  |  | — |
Total debt securities issued by corporations |  | 510.5 |  |  | — |  |  | 510.5 |  |  | — |
Mortgage and asset-backed securities |  | 133.5 |  |  | — |  |  | 133.5 |  |  | — |
Municipal obligations |  | 280.3 |  |  | — |  |  | 280.3 |  |  | — |
Total fixed maturity investments |  | 1,077.5 |  |  | 153.2 |  |  | 924.3 |  |  | — |
Short-term investments (1) |  | 214.2 |  |  | 204.4 |  |  | 9.8 |  |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |  |  |  |
Exchange traded funds (2) |  | 675.3 |  |  | 617.0 |  |  | 58.3 |  |  | — |
Healthcare |  | 14.0 |  |  | 14.0 |  |  | — |  |  | — |
Financials |  | 13.5 |  |  | 13.5 |  |  | — |  |  | — |
Communications |  | 12.7 |  |  | 12.7 |  |  | — |  |  | — |
Industrial |  | 11.4 |  |  | 11.4 |  |  | — |  |  | — |
Technology |  | 7.4 |  |  | 7.4 |  |  | — |  |  | — |
Consumer |  | 6.2 |  |  | 6.2 |  |  | — |  |  | — |
Energy |  | 4.1 |  |  | 4.1 |  |  | — |  |  | — |
Materials |  | 3.1 |  |  | 3.1 |  |  | — |  |  | — |
Other (3) |  | 177.9 |  |  | — |  |  | 177.9 |  |  | — |
Total common equity securities |  | 925.6 |  |  | 689.4 |  |  | 236.2 |  |  | — |
Other long-term investments |  | 138.7 |  |  | — |  |  | — |  |  | 138.7 |
Other long-term investments — NAV (4) |  | 186.9 |  |  | — |  |  | — |  |  | — |
Total investments |  | $ | 2,542.9 |  |  | $ | 1,047.0 |  |  | $ | 1,170.3 |  |  | $ | 138.7 |
(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) Consists of unconsolidated entities, private equity funds and one hedge fund for which fair value is measured at NAV using the practical expedient. Investments for which fair value is measured at NAV are not classified within the fair value hierarchy.
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 September 30, 2019 and December 31, 2018:
|  | Fair Value at
Millions |  | September 30, 2019 |  | December 31, 2018
AAA |  | $ | 9.9 |  |  | $ | 8.9 |
AA |  | 79.9 |  |  | 88.7 |
A |  | 286.7 |  |  | 270.5 |
BBB |  | 86.7 |  |  | 142.4 |
Debt securities issued by corporations (1) |  | $ | 463.2 |  |  | $ | 510.5 |
(1) | Credit ratings are based upon issuer credit ratings provided by Standard & Poor’s Financial Services LLC (“Standard & Poor’s”), or if unrated by Standard & Poor’s, long-term obligation ratings provided by Moody’s Investor Service, Inc.
Mortgage-backed, asset-backed securities | The following table presents the fair value of White Mountains’s mortgage and asset-backed securities as of September 30, 2019 and December 31, 2018:
|  | September 30, 2019 |  | December 31, 2018
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FNMA |  | $ | 79.8 |  |  | $ | 79.8 |  |  | $ | — |  |  | $ | 53.6 |  |  | $ | 53.6 |  |  | $ | — |
FHLMC |  | 53.5 |  |  | 53.5 |  |  | — |  |  | 38.1 |  |  | 38.1 |  |  | $ | — |
GNMA |  | 33.5 |  |  | 33.5 |  |  | — |  |  | 23.7 |  |  | 23.7 |  |  | $ | — |
Total agency (1) |  | 166.8 |  |  | 166.8 |  |  | — |  |  | 115.4 |  |  | 115.4 |  |  | — |
Total mortgage-backed securities |  | 166.8 |  |  | 166.8 |  |  | — |  |  | 115.4 |  |  | 115.4 |  |  | — |
Other asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Vehicle receivables |  | 16.5 |  |  | 16.5 |  |  | — |  |  | 9.2 |  |  | 9.2 |  |  | — |
Credit card receivables |  | 13.9 |  |  | 13.9 |  |  | — |  |  | 8.9 |  |  | 8.9 |  |  | — |
Total other asset-backed securities |  | 30.4 |  |  | 30.4 |  |  | — |  |  | 18.1 |  |  | 18.1 |  |  | — |
Total mortgage and asset-backed securities |  | $ | 197.2 |  |  | $ | 197.2 |  |  | $ | — |  |  | $ | 133.5 |  |  | $ | 133.5 |  |  | $ | — |
(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 |
Rollforward of fair value investments by level | The following tables present the changes in White Mountains’s fair value measurements by level for the three months ended September 30, 2019 and 2018:
|  |  | Level 3 Investments | Unconsolidated Entities, Private Equity Funds, Hedge Funds and ILS Funds Measured at NAV (3)(5) |  |  |
Millions | Level 1 Investments | Level 2 Investments | Other Long-term Investments(2)(5)(6) |  | Total |
Balance at December 31, 2018 | $ | 842.6 |  | $ | 1,160.5 |  | $ | 138.7 |  | $ | 186.9 |  |  | $ | 2,328.7 |  | (1)
Net realized and unrealized gains | 121.8 |  | 66.6 |  | 154.2 |  | 4.9 |  |  | 347.5 |  | (2,4)
Amortization/Accretion | .2 |  | (1.2 | ) | — |  | — |  |  | (1.0 | ) |
Purchases | 101.4 |  | 331.3 |  | 211.3 |  | 106.4 |  |  | 750.4 |  | (6)
Sales | (362.3 | ) | (465.2 | ) | — |  | (28.7 | ) |  | (856.2 | ) |
Transfers in | — |  | — |  | 82.6 |  | — |  |  | 82.6 |  |
Transfers out | — |  | — |  | — |  | (82.6 | ) |  | (82.6 | ) |
Balance at September 30, 2019 | $ | 703.7 |  | $ | 1,092.0 |  | $ | 586.8 |  | $ | 186.9 |  |  | $ | 2,569.4 |  | (1)
(1) Excludes carrying value of $272.5 million and $214.2 as of September 30, 2019 and December 31, 2018 classified as short-term investments. (2) Includes $114.7 unrealized investment gain associated with the MediaAlpha Transaction, which is recorded in a separate line item in the statement of operations titled realized gain and unrealized investment gain from the MediaAlpha Transaction. See Note 2 — “Significant Transactions”. (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 — “Basis of Presentation and Significant Accounting Policies”. (4) Excludes realized and unrealized losses associated with short-term investments of $0.3 for the nine months ended September 30, 2019. (5) Transfers include $71.7 associated with the Kudu Transaction. See Note 2 — “Significant Transactions”. (6) Purchases include $70.1 associated with the Kudu Transaction. See Note 2 — “Significant Transactions”.
|  |  | Level 3 Investments | Unconsolidated Entities, Private Equity Funds, and Hedge Funds, Measured at NAV (3) |  |
Millions | Level 1 Investments | Level 2 Investments | Other Long-term Investments | Total |
Balance at December 31, 2017 | $ | 890.4 |  | $ | 2,105.4 |  | $ | 77.2 |  | $ | 135.3 |  | $ | 3,208.3 |  | (1)(2)
Net realized and unrealized gains (losses) | 51.9 |  | (33.6 | ) | (5.3 | ) | 18.3 |  | 31.3 |  | (4)
Amortization/Accretion | .1 |  | (2.3 | ) | — |  | — |  | (2.2 | ) |
Purchases | 412.6 |  | 673.5 |  | 55.1 |  | 10.7 |  | 1,151.9 |  |
Sales | (457.6 | ) | (1,565.0 | ) | — |  | (1.6 | ) | (2,024.2 | ) |
Transfers in | — |  | — |  | — |  | — |  | — |  |
Transfers out | — |  | — |  | — |  | — |  | — |  |
Balance at September 30, 2018 | $ | 897.4 |  | $ | 1,178.0 |  | $ | 127.0 |  | $ | 162.7 |  | $ | 2,365.1 |  | (1)
(1) Excludes carrying value of $313.7 and $176.1 as of September 30, 2018 and December 31, 2017 classified as short-term investments. (2) Excludes carrying value of $(3.7) as of December 31, 2017 associated with foreign currency forward contracts. (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 — “Basis of Presentation and Significant Accounting Policies”. (4) Excludes realized and unrealized losses associated with foreign currency forward contracts, foreign currency on cash and open trades and short-term investments of $3.5, $4.2 and $0.7 for the nine months ended September 30, 2018.
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 other long-term investments, other than private equity funds, hedge funds and ILS funds, classified within Level 3 as of September 30, 2019 and December 31, 2018. The fair value of investments in private equity funds, hedge funds and ILS funds are generally estimated using the NAV of the funds.
$ in Millions |  | September 30, 2019
Description |  | Valuation Technique(s) |  | Fair Value (1) |  | Unobservable Inputs
|  |  |  |  |  | Discount Rate |  | Terminal revenue exit multiple (x) or terminal revenue growth rate (%)
Kudu investments |  | Discounted cash flow |  | $219.3 |  | 15% - 20% |  | 6x - 12x
MediaAlpha |  | Discounted cash flow |  | $150.0 |  | 17% |  | 4%
PassportCard/DavidShield |  | Discounted cash flow |  | $90.0 |  | 18% |  | 1x
Private debt instruments |  | Discounted cash flow |  | $22.7 |  | 6% - 9% |  | N/A
All other |  | Discounted cash flow |  | $29.3 |  | 23% |  | 2x - 4x
Elementum Holdings, L.P. |  | Price of recent transaction (2) |  | $55.1 |  | Transaction price: |  | $55.1
Compare.com |  | Estimated net realizable value |  | $2.5 |  | Net asset value: |  | $2.5
Galvanic Applied Sciences |  | Multiple of EBITDA |  | $2.7 |  | EBITDA multiple: |  | 6
(1) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs. (2) The Elementum Transaction was completed on May 31, 2019. See Note 2 — “Significant Transactions”.
$ in Millions |  | December 31, 2018
Description |  | Valuation Technique(s) |  | Fair Value (1) |  | Unobservable Inputs
|  |  |  |  |  | Discount Rate |  | Terminal revenue exit multiple (x)
PassportCard/DavidShield |  | Discounted cash flow |  | $75.0 |  | 18% |  | 1x
Compare.com |  | Discounted cash flow |  | $16.9 |  | 22% |  | 3x
Private debt instrument |  | Discounted cash flow |  | $10.0 |  | 9% |  | N/A
All other |  | Discounted cash flow |  | $30.0 |  | 23% |  | 2x - 4x
Galvanic Applied Sciences |  | Multiple of EBITDA |  | $3.1 |  | EBITDA multiple: |  | 6
(1) Includes the net unrealized investment gains (losses) associated with foreign currency; foreign currency effects based on observable inputs.

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