|
Investment Securities (Tables)
|
9 Months Ended |
|
Sep. 30, 2012
|
| 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, 2012 and 2011 consisted of the following: | | | | | | | | | | | | | | | | | | Three Months Ended | | Nine Months Ended | | Sept 30, | | Sept 30, | Millions | 2012 | | 2011 | | 2012 | | 2011 | Investment income: | | | | | | | | Fixed maturity investments | $ | 33.0 |
| | $ | 38.5 |
| | $ | 105.1 |
| | $ | 127.0 |
| Short-term investments | .5 |
| | .9 |
| | 2.3 |
| | 3.2 |
| Common equity securities | 4.8 |
| | 3.6 |
| | 13.8 |
| | 10.1 |
| Convertible fixed maturity investments | 2.0 |
| | 1.3 |
| | 5.9 |
| | 3.9 |
| Other long-term investments | .7 |
| | 1.2 |
| | 2.2 |
| | 1.9 |
| Interest on funds held under reinsurance treaties | — |
| | .2 |
| | — |
| | (.6 | ) | Total investment income | 41.0 |
| | 45.7 |
| | 129.3 |
| | 145.5 |
| Less third-party investment expenses | (3.4 | ) | | (2.9 | ) | | (9.5 | ) | | (7.4 | ) | Net investment income, pre-tax | $ | 37.6 |
| | $ | 42.8 |
| | $ | 119.8 |
| | $ | 138.1 |
|
|
| Net Realized and Unrealized Investment Gains and Losses |
Net realized and unrealized investment gains and losses for the three and nine months ended September 30, 2012 and 2011 consisted of the following: | | | | | | | | | | | | | | | | | | Three Months Ended | | Nine Months Ended | | Sept 30, | | Sept 30, | Millions | 2012 | | 2011 | | 2012 | | 2011 | Net realized investment gains, pre-tax | $ | 23.7 |
| | $ | 38.3 |
| | $ | 40.5 |
| | $ | 67.7 |
| Net unrealized investment (losses) gains, pre-tax | 49.0 |
| | (35.4 | ) | | 82.7 |
| | (31.3 | ) | Net realized and unrealized investment gains, pre-tax | 72.7 |
| | 2.9 |
| | 123.2 |
| | 36.4 |
| Income tax expense attributable to net realized and unrealized investment gains (losses) | (12.3 | ) | | (1.4 | ) | | (28.3 | ) | | (12.7 | ) | Net realized and unrealized investment gains, after tax | $ | 60.4 |
| | $ | 1.5 |
| | $ | 94.9 |
| | $ | 23.7 |
|
|
| Net realized investment gains (losses) |
Net realized investment gains (losses) for the three and nine months ended September 30, 2012 and 2011 consisted of the following: | | | | | | | | | | | | | | | | | | Three Months Ended | | Nine Months Ended | | Sept 30, | | Sept 30, | Millions | 2012 | | 2011 | | 2012 | | 2011 | Fixed maturity investments | $ | 29.0 |
| | $ | 14.1 |
| | $ | 69.5 |
| | $ | 3.3 |
| Short-term investments | (3.4 | ) | | .4 |
| | (3.9 | ) | | (10.9 | ) | Common equity securities | 3.9 |
| | 23.1 |
| | (2.2 | ) | | 41.0 |
| Convertible fixed maturity investments | 1.1 |
| | (.7 | ) | | 3.2 |
| | 6.3 |
| Other long-term investments | (7.2 | ) | | 1.4 |
| | (26.4 | ) | | 28.0 |
| Forward contracts | .3 |
| | — |
| | .3 |
| | — |
| Net realized investment gains, pre-tax | 23.7 |
| | 38.3 |
| | 40.5 |
| | 67.7 |
| Income tax expense attributable to net realized investment gains | (7.4 | ) | | (8.3 | ) | | (12.8 | ) | | (20.7 | ) | Net realized investment gains, after tax | $ | 16.3 |
| | $ | 30.0 |
| | $ | 27.7 |
| | $ | 47.0 |
|
|
| Unrealized Gain (Loss) on Investments [Table Text Block] |
The following table summarizes changes in the carrying value of investments measured at fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended | | Nine Months Ended | | September 30, 2012 | | September 30, 2012 | Millions | Net
unrealized
gains
(losses) | | Net
foreign
exchange
gains
(losses) | | Total
changes in
fair value
reflected in
earnings | | Net
unrealized
gains
(losses) | | Net
foreign
exchange
gains
(losses) | | Total
changes in
fair value
reflected in
earnings | Fixed maturity investments | $ | 27.2 |
| | $ | (40.6 | ) | | $ | (13.4 | ) | | $ | 35.5 |
| | $ | (36.9 | ) | | $ | (1.4 | ) | Short-term investments | — |
| | .1 |
| | .1 |
| | — |
| | .1 |
| | .1 |
| Common equity securities | 65.1 |
| | (.1 | ) | | 65.0 |
| | 71.5 |
| | (.1 | ) | | 71.4 |
| Convertible fixed maturity investments | (.6 | ) | | — |
| | (.6 | ) | | (2.9 | ) | | — |
| | (2.9 | ) | Other long-term investments | 1.6 |
| | (3.7 | ) | | (2.1 | ) | | 18.2 |
| | (2.7 | ) | | 15.5 |
| Net unrealized investment gains (losses), pre-tax | 93.3 |
| | (44.3 | ) | | 49.0 |
| | 122.3 |
| | (39.6 | ) | | 82.7 |
| Income tax expense attributable to net unrealized investment (losses) gains | (16.7 | ) | | 11.8 |
| | (4.9 | ) | | (25.9 | ) | | 10.4 |
| | (15.5 | ) | Net unrealized investment gains (losses), after tax | $ | 76.6 |
| | $ | (32.5 | ) | | $ | 44.1 |
| | $ | 96.4 |
| | $ | (29.2 | ) | | $ | 67.2 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended | | Nine Months Ended | | September 30, 2011 | | September 30, 2011 | Millions | Net
unrealized
gains
(losses) | | Net
foreign
exchange
gains
(losses) | | Total
changes in
fair value
reflected in
earnings | | Net
unrealized
gains
(losses) | | Net
foreign
exchange
gains
(losses) | | Total
changes in
fair value
reflected in
earnings | Fixed maturity investments | $ | 3.5 |
| | $ | 67.5 |
| | $ | 71.0 |
| | $ | 12.6 |
| | $ | 77.7 |
| | $ | 90.3 |
| Short-term investments | (.1 | ) | | (.4 | ) | | (.5 | ) | | (.1 | ) | | (1.4 | ) | | (1.5 | ) | Common equity securities | (101.0 | ) | | (.9 | ) | | (101.9 | ) | | (95.1 | ) | | (1.8 | ) | | (96.9 | ) | Convertible fixed maturity investments | (11.2 | ) | | — |
| | (11.2 | ) | | (19.3 | ) | | — |
| | (19.3 | ) | Other long-term investments | (1.2 | ) | | 8.4 |
| | 7.2 |
| | (8.4 | ) | | 4.5 |
| | (3.9 | ) | Net unrealized investment (losses) gains, pre-tax | (110.0 | ) | | 74.6 |
| | (35.4 | ) | | (110.3 | ) | | 79.0 |
| | (31.3 | ) | Income tax benefit (expense) attributable to net unrealized investment gains (losses) | 26.4 |
| | (19.5 | ) | | 6.9 |
| | 28.5 |
| | (20.5 | ) | | 8.0 |
| Net unrealized investment (losses) gains, after tax | $ | (83.6 | ) | | $ | 55.1 |
| | $ | (28.5 | ) | | $ | (81.8 | ) | | $ | 58.5 |
| | $ | (23.3 | ) |
|
| Net unrealized investment gains (losses) for Level 3 investments |
The following table summarizes the amount of total pre-tax gains (losses) included in earnings attributable to unrealized investment gains (losses) for Level 3 investments for the three and nine months ended September 30, 2012 and 2011: | | | | | | | | | | | | | | | | | | Three Months Ended | | Nine Months Ended | | Sept 30, | | Sept 30, | Millions | 2012 | | 2011 | | 2012 | | 2011 | Fixed maturity investments | $ | (1.0 | ) | | $ | (13.5 | ) | | $ | 7.3 |
| | $ | (14.9 | ) | Common equity securities | .8 |
| | (17.5 | ) | | 1.8 |
| | (17.0 | ) | Convertible fixed maturities | — |
| | — |
| | — |
| | — |
| Other long-term investments | 2.9 |
| | (3.2 | ) | | 11.3 |
| | (6.5 | ) | Total unrealized investment losses, pre-tax - Level 3 investments | $ | 2.7 |
| | $ | (34.2 | ) | | $ | 20.4 |
| | $ | (38.4 | ) |
|
| Investment holdings, fixed maturity investments |
The cost or amortized cost, gross unrealized investment gains and losses, net foreign currency gains and losses and carrying values of White Mountains’ fixed maturity investments as of September 30, 2012 and December 31, 2011, were as follows: | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2012 | Millions | | Cost or amortized cost | | Gross unrealized gains | | Gross unrealized losses | | Net foreign currency gains (losses) | | Carrying value | U.S. Government and agency obligations | | $ | 393.7 |
| | $ | 1.2 |
| | $ | (.1 | ) | | $ | (.1 | ) | | $ | 394.7 |
| Debt securities issued by corporations | | 2,213.8 |
| | 91.6 |
| | (3.0 | ) | | (21.1 | ) | | 2,281.3 |
| Municipal obligations | | 3.8 |
| | — |
| | — |
| | — |
| | 3.8 |
| Mortgage-backed and asset-backed securities | | 2,023.3 |
| | 30.3 |
| | (1.1 | ) | | (5.1 | ) | | 2,047.4 |
| Foreign government, agency and provincial obligations | | 475.2 |
| | 8.0 |
| | (.4 | ) | | (6.4 | ) | | 476.4 |
| Preferred stocks | | 79.8 |
| | 6.3 |
| | — |
| | — |
| | 86.1 |
| Total fixed maturity investments including assets held for sale | | $ | 5,189.6 |
| | $ | 137.4 |
| | $ | (4.6 | ) | | $ | (32.7 | ) | | $ | 5,289.7 |
| Fixed maturity investments reclassified to assets held for sale related the Runoff Transaction | | | | | | | | | | (377.3 | ) | Total fixed maturity investments | | | | | | | | | | $ | 4,912.4 |
|
| | | | | | | | | | | | | | | | | | | | | | | | December 31, 2011 | Millions | | Cost or amortized cost | | Gross unrealized gains | | Gross unrealized losses | | Net foreign currency gains (losses) | | Carrying value | U.S. Government and agency obligations | | $ | 299.4 |
| | $ | 5.3 |
| | $ | (.1 | ) | | $ | .4 |
| | $ | 305.0 |
| Debt securities issued by corporations | | 2,072.1 |
| | 73.7 |
| | (7.8 | ) | | (2.9 | ) | | 2,135.1 |
| Municipal obligations | | 2.7 |
| | — |
| | — |
| | — |
| | 2.7 |
| Mortgage-backed and asset-backed securities | | 3,190.5 |
| | 25.9 |
| | (3.9 | ) | | 10.4 |
| | 3,222.9 |
| Foreign government, agency and provincial obligations | | 581.2 |
| | 11.0 |
| | (.1 | ) | | (2.9 | ) | | 589.2 |
| Preferred stocks | | 82.3 |
| | 3.2 |
| | (6.7 | ) | | — |
| | 78.8 |
| Total fixed maturity investments including assets held for sale | | $ | 6,228.2 |
| | $ | 119.1 |
| | $ | (18.6 | ) | | $ | 5.0 |
| | $ | 6,333.7 |
| Fixed maturity investments reclassified to assets held for sale related to AutoOne | | |
| | |
| | |
| | |
| | (111.8 | ) | Total fixed maturity investments | | |
| | |
| | |
| | |
| | $ | 6,221.9 |
|
|
| Investment holdings, equity securities, convertible fixed maturities and other long-term investments |
The cost or amortized cost, gross unrealized investment gains and losses, net foreign currency gains and losses and carrying values of White Mountains’ common equity securities, convertible fixed maturities and other long-term investments as of September 30, 2012 and December 31, 2011, were as follows: | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2012 | Millions | | Cost or amortized cost | | Gross unrealized gains | | Gross unrealized losses | | Net foreign currency losses | | Carrying value | Common equity securities | | $ | 870.0 |
| | $ | 139.7 |
| | $ | (4.9 | ) | | $ | — |
| | $ | 1,004.8 |
| Convertible fixed maturity investments | | $ | 140.2 |
| | $ | 7.6 |
| | $ | (5.8 | ) | | $ | — |
| | $ | 142.0 |
| Other long-term investments | | $ | 264.8 |
| | $ | 57.1 |
| | $ | (8.6 | ) | | $ | (6.2 | ) | | $ | 307.1 |
|
| | | | | | | | | | | | | | | | | | | | | | | | December 31, 2011 | Millions | | Cost or amortized cost | | Gross unrealized gains | | Gross unrealized losses | | Net foreign currency losses | | Carrying value | Common equity securities | | $ | 691.7 |
| | $ | 72.0 |
| | $ | (8.7 | ) | | $ | — |
| | $ | 755.0 |
| Convertible fixed maturity investments | | $ | 139.2 |
| | $ | 6.2 |
| | $ | (1.6 | ) | | $ | — |
| | $ | 143.8 |
| Other long-term investments | | $ | 274.4 |
| | $ | 55.5 |
| | $ | (25.2 | ) | | $ | (3.4 | ) | | $ | 301.3 |
|
|
| Other long-term investments |
The following table summarizes investments in hedge funds and private equity interests by investment objective and sector at September 30, 2012 and December 31, 2011: | | | | | | | | | | | | | | | | | | September 30, 2012 | | December 31, 2011 | Millions | Fair Value | | Unfunded Commitments | | Fair Value | | Unfunded Commitments | Hedge funds | |
| | |
| | |
| | |
| Long/short equity | $ | 58.6 |
| | $ | — |
| | $ | 48.8 |
| | $ | — |
| Long/short credit & distressed | 33.8 |
| | — |
| | 32.3 |
| | — |
| Long diversified strategies | 2.3 |
| | — |
| | 16.9 |
| | — |
| Long/short equity REIT | 15.2 |
| | — |
| | 14.5 |
| | — |
| Long/short equity activist | 14.0 |
| | — |
| | 12.3 |
| | — |
| Long bank loan | .4 |
| | — |
| | .5 |
| | — |
| Total hedge funds | 124.3 |
| | — |
| | 125.3 |
| | — |
| | | | | | | | | Private equity funds | |
| | |
| | |
| | |
| Multi-sector | 29.3 |
| | 6.4 |
| | 26.9 |
| | 8.2 |
| Energy infrastructure & services | 32.9 |
| | 11.7 |
| | 28.0 |
| | 9.9 |
| Distressed residential real estate | 19.2 |
| | — |
| | 27.4 |
| | — |
| Real estate | 12.2 |
| | 3.3 |
| | 9.5 |
| | 3.3 |
| Private equity secondaries | 11.0 |
| | 3.2 |
| | 11.3 |
| | 4.0 |
| International multi-sector, Europe | 4.3 |
| | 4.9 |
| | 7.8 |
| | 4.7 |
| Manufacturing/Industrial | 10.6 |
| | 29.1 |
| | 6.2 |
| | — |
| Healthcare | 4.3 |
| | 5.4 |
| | 2.3 |
| | 7.0 |
| International multi-sector, Asia | .4 |
| | 2.7 |
| | 3.6 |
| | 2.6 |
| Insurance | 3.2 |
| | 41.3 |
| | 3.5 |
| | 41.3 |
| Venture capital | 2.4 |
| | .5 |
| | 2.4 |
| | .5 |
| Total private equity funds | 129.8 |
| | 108.5 |
| | 128.9 |
| | 81.5 |
| | | | | | | | | Total hedge and private equity funds included in other long-term investments | $ | 254.1 |
| | $ | 108.5 |
| | $ | 254.2 |
| | $ | 81.5 |
|
|
| Fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds |
The following summarizes the September 30, 2012 fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds: | | | | | | | | | | | | | | | | | | | | | | Notice Period | Millions Redemption frequency | 30-59 days notice | | 60-89 days notice | | 90-119 days notice | | 120+ days notice | | Total | Monthly | $ | — |
| | $ | — |
| | $ | — |
| | $ | 6.8 |
| | $ | 6.8 |
| Quarterly | 27.1 |
| | 29.3 |
| | 19.9 |
| | 9.4 |
| | 85.7 |
| Semi-annual | — |
| | 20.6 |
| | — |
| | — |
| | 20.6 |
| Annual | 2.3 |
| | — |
| | 8.5 |
| | .4 |
| | 11.2 |
| Total | $ | 29.4 |
| | $ | 49.9 |
| | $ | 28.4 |
| | $ | 16.6 |
| | $ | 124.3 |
|
|
| Fair Value of private equity funds subject to lock-up periods |
At September 30, 2012, investments in private equity funds were subject to lock-up periods as follows: | | | | | | | Millions | 1-3 years | 3 – 5 years | 5 – 10 years | >10 years | Total | Private Equity Funds — expected lock-up period remaining | $27.7 | $15.6 | $75.9 | $10.6 | $129.8 |
|
| Fair value measurements by level, investment securities |
The following tables summarize White Mountains’ fair value measurements for investments at September 30, 2012 and December 31, 2011, by level. | | | | | | | | | | | | | | | | | | September 30, 2012 | Millions | Fair value | | Level 1 Inputs | | Level 2 Inputs | | Level 3 Inputs | Fixed maturity investments: | |
| | |
| | |
| | |
| US Government and agency obligations | $ | 394.7 |
| | $ | 340.5 |
| | $ | 54.2 |
| | $ | — |
| | | | | | | | | Debt securities issued by corporations: | |
| | | | | | | Consumer | 597.2 |
| | — |
| | 597.2 |
| | — |
| Industrial | 488.1 |
| | — |
| | 488.1 |
| | — |
| Financials | 405.4 |
| | 1.1 |
| | 404.3 |
| | — |
| Communications | 217.1 |
| | — |
| | 217.1 |
| | — |
| Basic materials | 175.1 |
| | — |
| | 175.1 |
| | — |
| Energy | 172.9 |
| | — |
| | 172.9 |
| | — |
| Utilities | 204.4 |
| | — |
| | 204.4 |
| | — |
| Technology | 21.1 |
| | — |
| | 21.1 |
| | — |
| Diversified | — |
| | — |
| | — |
| | — |
| Total debt securities issued by corporations: | 2,281.3 |
| | 1.1 |
| | 2,280.2 |
| | — |
| | | | | | | | | Municipal obligations | 3.8 |
| | — |
| | 3.8 |
| | — |
| Mortgage-backed and asset-backed securities | 2,047.4 |
| | — |
| | 2,041.9 |
| | 5.5 |
| Foreign government, agency and provincial obligations | 476.4 |
| | 56.9 |
| | 419.5 |
| | — |
| Preferred stocks | 86.1 |
| | — |
| | 15.5 |
| | 70.6 |
| Total fixed maturity investments (1) | 5,289.7 |
| | 398.5 |
| | 4,815.1 |
| | 76.1 |
| | | | | | | | | Short-term investments | 917.3 |
| | 917.3 |
| | — |
| | — |
| | | | | | | | | Common equity securities: | |
| | |
| | |
| | |
| Financials | 316.1 |
| | 277.9 |
| | 2.3 |
| | 35.9 |
| Consumer | 249.7 |
| | 249.6 |
| | .1 |
| | — |
| Basic materials | 118.2 |
| | 118.2 |
| | — |
| | — |
| Energy | 96.8 |
| | 96.8 |
| | — |
| | — |
| Technology | 51.6 |
| | 51.6 |
| | — |
| | — |
| Utilities | 42.9 |
| | 42.7 |
| | .2 |
| | — |
| Other | 129.5 |
| | 73.2 |
| | 56.3 |
| | — |
| Total common equity securities | 1,004.8 |
| | 910.0 |
| | 58.9 |
| | 35.9 |
| | | | | | | | | Convertible fixed maturity investments | 142.0 |
| | — |
| | 142.0 |
| | — |
| Other long-term investments (2) | 272.6 |
| | — |
| | — |
| | 272.6 |
| Total investments | $ | 7,626.4 |
| | $ | 2,225.8 |
| | $ | 5,016.0 |
| | $ | 384.6 |
|
(1) Carrying value includes $377.3 that is classified as assets held for sale relating to discontinued operations. (2) Excludes carrying value of $34.3 associated with other long-term investment limited partnerships accounted for using the equity method and $0.3 related to forward contracts.
| | | | | | | | | | | | | | | | | | December 31, 2011 | Millions | Fair value | | Level 1 Inputs | | Level 2 Inputs | | Level 3 Inputs | Fixed maturity investments: | |
| | |
| | |
| | |
| US Government and agency obligations | $ | 305.0 |
| | $ | 296.2 |
| | $ | 8.8 |
| | $ | — |
| | | | | | | | | Debt securities issued by corporations: | |
| | |
| | |
| | |
| Consumer | 790.7 |
| | — |
| | 790.7 |
| | — |
| Industrial | 359.4 |
| | — |
| | 359.4 |
| | — |
| Financials | 239.6 |
| | 3.8 |
| | 235.8 |
| | — |
| Communications | 225.8 |
| | — |
| | 225.8 |
| | — |
| Basic materials | 195.7 |
| | — |
| | 195.7 |
| | — |
| Energy | 155.8 |
| | — |
| | 155.8 |
| | — |
| Utilities | 140.1 |
| | — |
| | 140.1 |
| | — |
| Technology | 24.5 |
| | — |
| | 24.5 |
| | — |
| Diversified | 3.5 |
| | — |
| | 3.5 |
| | — |
| Total debt securities issued by corporations: | 2,135.1 |
| | 3.8 |
| | 2,131.3 |
| | — |
| | | | | | | | | Municipal obligations | 2.7 |
| | — |
| | 2.7 |
| | — |
| Mortgage-backed and asset-backed securities | 3,222.9 |
| | — |
| | 3,207.8 |
| | 15.1 |
| Foreign government, agency and provincial obligations | 589.2 |
| | 65.7 |
| | 523.5 |
| | — |
| Preferred stocks | 78.8 |
| | — |
| | 15.0 |
| | 63.8 |
| Total fixed maturity investments (1) | 6,333.7 |
| | 365.7 |
| | 5,889.1 |
| | 78.9 |
| | | | | | | | | Short-term investments | 846.0 |
| | 846.0 |
| | — |
| | — |
| | | | | | | | | Common equity securities: | |
| | |
| | |
| | |
| Financials | 219.2 |
| | 185.8 |
| | 1.5 |
| | 31.9 |
| Consumer | 188.8 |
| | 188.5 |
| | .3 |
| | — |
| Basic materials | 121.0 |
| | 119.9 |
| | 1.1 |
| | — |
| Energy | 72.6 |
| | 72.6 |
| | — |
| | — |
| Utilities | 42.0 |
| | 41.8 |
| | .2 |
| | — |
| Technology | 25.8 |
| | 25.8 |
| | — |
| | — |
| Other | 85.6 |
| | 33.0 |
| | 52.2 |
| | .4 |
| Total common equity securities | 755.0 |
| | 667.4 |
| | 55.3 |
| | 32.3 |
| | | | | | | | | Convertible fixed maturity investments | 143.8 |
| | — |
| | 143.8 |
| | — |
| Other long-term investments (2) | 268.3 |
| | — |
| | — |
| | 268.3 |
| Total investments | $ | 8,346.8 |
| | $ | 1,879.1 |
| | $ | 6,088.2 |
| | $ | 379.5 |
|
(1) Carrying value includes $111.8 that is classified as assets held for sale relating to AutoOne discontinued operations. (2) Excludes carrying value of $33.0 associated with other long-term investments accounted for using the equity method.
|
| Debt securities issued by corporations, credit ratings |
The following table summarizes the ratings of the corporate debt securities held in White Mountains’ investment portfolio as of September 30, 2012 and December 31, 2011:
| | | | | | | | | Millions | September 30, 2012 | | December 31, 2011 | AAA | $ | — |
| | $ | — |
| AA | 165.5 |
| | 206.8 |
| A | 992.8 |
| | 802.8 |
| BBB | 1,108.5 |
| | 1,110.8 |
| BB | 7.6 |
| | 6.2 |
| Other | 6.9 |
| | 8.5 |
| Debt securities issued by corporations (1) | $ | 2,281.3 |
| | $ | 2,135.1 |
|
(1) Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor’s, 2) Moody’s and 3) Bloomberg |
| Mortgage-backed, asset-backed securities |
The following table summarizes mortgage and asset-backed securities as of September 30, 2012 and December 31, 2011:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2012 | | December 31, 2011 | Millions | | Fair Value | | Level 2 | | Level 3 | | Fair Value | | Level 2 | | Level 3 | Mortgage-backed securities: | | |
| | |
| | |
| | |
| | |
| | |
| Agency: | | |
| | |
| | |
| | |
| | |
| | |
| GNMA | | $ | 1,165.5 |
| | $ | 1,165.5 |
| | $ | — |
| | $ | 1,365.8 |
| | $ | 1,365.8 |
| | $ | — |
| FNMA | | 97.2 |
| | 97.2 |
| | — |
| | 712.6 |
| | 712.6 |
| | — |
| FHLMC | | 37.6 |
| | 37.6 |
| | — |
| | 35.9 |
| | 35.9 |
| | — |
| Total Agency (1) | | 1,300.3 |
| | 1,300.3 |
| | — |
| | 2,114.3 |
| | 2,114.3 |
| | — |
| Non-agency: | | |
| | |
| | |
| | |
| | |
| | |
| Residential | | 160.5 |
| | 160.5 |
| | — |
| | 83.1 |
| | 68.0 |
| | 15.1 |
| Commercial | | 389.3 |
| | 383.8 |
| | 5.5 |
| | 276.7 |
| | 276.7 |
| | — |
| Total Non-agency | | 549.8 |
| | 544.3 |
| | 5.5 |
| | 359.8 |
| | 344.7 |
| | 15.1 |
| | | | | | | | | | | | | | Total mortgage-backed securities | | 1,850.1 |
| | 1,844.6 |
| | 5.5 |
| | 2,474.1 |
| | 2,459.0 |
| | 15.1 |
| Other asset-backed securities: | |
|
| | |
| | |
| | |
| | |
| | |
| Credit card receivables | | 80.8 |
| | 80.8 |
| | — |
| | 380.6 |
| | 380.6 |
| | — |
| Vehicle receivables | | 80.3 |
| | 80.3 |
| | — |
| | 345.6 |
| | 345.6 |
| | — |
| Other | | 36.2 |
| | 36.2 |
| | — |
| | 22.6 |
| | 22.6 |
| | — |
| Total other asset-backed securities | | 197.3 |
| | 197.3 |
| | — |
| | 748.8 |
| | 748.8 |
| | — |
| Total mortgage and asset- backed securities | | $ | 2,047.4 |
| | $ | 2,041.9 |
| | $ | 5.5 |
| | $ | 3,222.9 |
| | $ | 3,207.8 |
| | $ | 15.1 |
|
(1) Represents publicly traded mortgage-backed securities which carry the full faith and credit guaranty of the U.S. government (i.e., GNMA) or are guaranteed by a government sponsored entity (i.e., FNMA, FHLMC).
|
| Schedule of security issuance years of investments in non-agency RMBS and non-agency CMBS securities |
The security issuance years of White Mountains’ investments in non-agency RMBS and non-agency CMBS securities as of September 30, 2012 are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | Security Issuance Year | Millions | Fair Value | 2003 | 2006 | 2007 | 2009 | 2010 | 2011 | 2012 | Non-agency RMBS | $ | 160.5 |
| $ | 2.2 |
| $ | 21.4 |
| $ | 7.1 |
| $ | 1.7 |
| $ | 53.2 |
| $ | 74.9 |
| $ | — |
| Non-agency CMBS | 389.3 |
| — |
| 4.5 |
| 15.3 |
| 11.9 |
| 6.1 |
| 127.4 |
| 224.1 |
| Total | $ | 549.8 |
| $ | 2.2 |
| $ | 25.9 |
| $ | 22.4 |
| $ | 13.6 |
| $ | 59.3 |
| $ | 202.3 |
| $ | 224.1 |
|
|
| Non-agency residential mortgage securities, collateral quality and tranche levels |
The classification of the underlying collateral quality and the tranche levels of White Mountains’ non-agency RMBS securities are as follows as of September 30, 2012:
| | | | | | | | | | | | | | | | | Millions | Fair Value | | Super Senior (1) | | Senior (2) | | Subordinate (3) | Prime | $ | 160.0 |
| | $ | 13.0 |
| | $ | 147.0 |
| | $ | — |
| Non-prime | .5 |
| | — |
| | .5 |
| | — |
| Sub-prime | — |
| | — |
| | — |
| | — |
| Total | $ | 160.5 |
| | $ | 13.0 |
| | $ | 147.5 |
| | $ | — |
|
(1) At issuance, Super Senior 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 were rated AAA by Standard & Poor’s, Aaa by Moody’s or AAA by Fitch and were senior to non-AAA or non-Aaa bonds. (3) At issuance, Subordinate were not rated AAA by Standard & Poor’s, Aaa by Moody’s or AAA by Fitch and were junior to AAA or Aaa bonds.
|
| Non-agency commercial mortgage securities, type of interest rate and tranche levels |
The amount of fixed and floating rate securities and their tranche levels of White Mountains’ non-agency CMBS securities are as follows as of September 30, 2012:
| | | | | | | | | | | | | | | | | Millions | Fair Value | | Super Senior (1) | | Senior (2) | | Subordinate (3) | Fixed rate CMBS | $ | 367.1 |
| | $ | 253.0 |
| | $ | 109.6 |
| | $ | 4.5 |
| Floating rate CMBS | 22.2 |
| | 15.3 |
| | 1.4 |
| | 5.5 |
| Total | $ | 389.3 |
| | $ | 268.3 |
| | $ | 111.0 |
| | $ | 10.0 |
|
(1) At issuance, Super Senior 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 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’ fair value measurements by level for the three and nine months ended September 30, 2012 and 2011: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level 3 Investments | | | | Millions | Level 1 Investments | Level 2 Investments | Fixed Maturities | Common equity securities | Convertible fixed maturities | Other long-term investments | | Total | | Balance at January 1, 2012 | $ | 1,879.1 |
| $ | 6,088.2 |
| $ | 78.9 |
| $ | 32.3 |
| $ | — |
| $ | 268.3 |
| | $ | 8,346.8 |
| (1)(2) | Total realized and unrealized gains (losses) | 57.8 |
| 53.8 |
| 8.4 |
| 11.4 |
| — |
| (8.2 | ) | | 123.2 |
| | Foreign currency gains (losses) through OCI | 13.2 |
| 75.5 |
| .7 |
| .1 |
| — |
| 3.1 |
| | 92.6 |
| | Amortization/Accretion | (.7 | ) | (34.0 | ) | (.7 | ) | — |
| — |
| — |
| | (35.4 | ) | | Purchases | 6,712.0 |
| 3,823.7 |
| 144.3 |
| 2.5 |
| — |
| 40.6 |
| | 10,723.1 |
| | Sales | (6,435.6 | ) | (5,048.1 | ) | (99.2 | ) | (9.8 | ) | — |
| (31.2 | ) | | (11,623.9 | ) | | Transfers in | — |
| 56.9 |
| — |
| — |
| — |
| — |
| | 56.9 |
| | Transfers out | — |
| — |
| (56.3 | ) | (.6 | ) | — |
| — |
| | (56.9 | ) | | Balance at September 30, 2012 | $ | 2,225.8 |
| $ | 5,016.0 |
| $ | 76.1 |
| $ | 35.9 |
| $ | — |
| $ | 272.6 |
| | $ | 7,626.4 |
| (1)(2) |
(1) Excludes carrying value of $33.0 and $34.3 at January 1, 2012 and September 30, 2012 associated with other long-term investments accounted for using the equity method and $0.3 at September 30, 2012 related to forward contracts. (2) Carrying value includes $111.8 and $377.3 at January 1, 2012 and September 30, 2012 that is classified as assets held for sale relating to discontinued operations. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level 3 Investments | | Millions | Level 1 Investments | Level 2 Investments | Fixed Maturities | Common equity securities | Convertible fixed maturities | Other long-term investments | | | Total | | Balance at January 1, 2011 | $ | 1,894.4 |
| $ | 5,477.4 |
| $ | 128.4 |
| $ | 71.2 |
| $ | — |
| $ | 330.2 |
| (1) | | $ | 7,901.6 |
| (1) | Total realized and unrealized gains (losses) | (50.5 | ) | 115.9 |
| (10.6 | ) | (4.9 | ) | — |
| 22.5 |
| | | 72.4 |
| | Foreign currency gains (losses) through OCI | .3 |
| (84.4 | ) | (4.4 | ) | 1.6 |
| — |
| (5.0 | ) | | | (91.9 | ) | | Amortization/Accretion | 2.4 |
| (40.7 | ) | (.1 | ) | — |
| — |
| — |
| | | (38.4 | ) | | Purchases | 6,690.7 |
| 3,987.4 |
| 212.8 |
| 19.7 |
| — |
| 27.9 |
| | | 10,938.5 |
| | Sales | (6,782.1 | ) | (4,596.9 | ) | 1.6 |
| (55.5 | ) | — |
| (83.4 | ) | | | (11,516.3 | ) | | Transfers in | — |
| 111.8 |
| 1.0 |
| — |
| — |
| — |
| | | 112.8 |
| | Transfers out | — |
| (1.0 | ) | (111.8 | ) | — |
| — |
| — |
| | | (112.8 | ) | | Balance at September 30, 2011 | $ | 1,755.2 |
| $ | 4,969.5 |
| $ | 216.9 |
| $ | 32.1 |
| $ | — |
| $ | 292.2 |
| (1) | | $ | 7,265.9 |
| (1) |
(1) Excludes carrying value of $36.6 and $41.9 at September 30, 2011 and January 1, 2011 associated with other long-term investment limited partnerships accounted for using the equity method. |
| Schedule of significant unobservable inputs used in estimating the fair value of investment securities |
The following summarizes significant unobservable inputs used in estimating the fair value of investment securities classified within Level 3 at September 30, 2012: | | | | | | | | | ($ in Millions) | September 30, 2012 | | Description | Fair Value | Rating (1) | Valuation Technique(s) | Unobservable Input | Range(1) | | Non-agency commercial mortgage-backed securities | $5.5 | A2 | Discounted cash flow | Prepayment Rate | 0.0 | % | CPY (2) |
|
|
|
| Discount Margin over LIBOR | 2.1 | % | | Preferred Stock | $70.6 | NR | Discounted cash flow | Discount yield | 8.0 | % | |
(1) Each asset type consists of one security. (2) CPY refers to the market convention for CMBS prepayment. T |