XML 24 R27.htm IDEA: XBRL DOCUMENT
v2.3.0.15

Variable Annuity Reinsurance (Tables) | 9 Months Ended
--- | ---
Sep. 30, 2011
Variable Annuity Reinsurance |
Pre-tax operating results of WM Life Re |
|  | Three Months Ended September 30, |  | Nine Months Ended September 30, |
Millions |  | 2011 |  | 2010 |  | 2011 |  | 2010 |
Fees, included in other revenues |  | $ | 8.4 |  | $ | 7.7 |  | $ | 24.3 |  | $ | 22.3 |
Change in fair value of variable annuity liability, included in other revenues |  | (164.4 | ) | (53.5 | ) | (148.0 | ) | (204.7 | )
Change in fair value of derivatives, included in other revenues |  | 148.9 |  | (15.7 | ) | 105.4 |  | 114.7 |
Foreign exchange, included in other revenues |  | 14.8 |  | 10.4 |  | 17.1 |  | 16.0 |
Other investment income and gains (losses) |  | .5 |  | (.2 | ) | (.1 | ) | (.7 | )
Total revenues |  | 8.2 |  | (51.3 | ) | (1.3 | ) | (52.4 | )
Change in fair value of variable annuity death benefit liabilities, included in other expenses |  | (5.6 | ) | .3 |  | (3.1 | ) | (5.8 | )
Death benefit claims paid, included in other expenses |  | (.7 | ) | (.6 | ) | (2.4 | ) | (1.4 | )
General and administrative expenses |  | (1.1 | ) | (1.4 | ) | (3.2 | ) | (5.0 | )
Pre-tax income (loss) |  | $ | .8 |  | $ | (53.0 | ) | $ | (10.0 | ) | $ | (64.6 | )
Changes in White Mountains' variable annuity reinsurance liabilities and derivative instruments |
|  | Variable Annuity (Liabilities) |  | Derivative Instruments |
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4) |
Balance at January 1, 2011 |  | $ | (610.2 | ) | $ | 275.3 |  | $ | 72.2 |  | $ | — |  | $ | 347.5 |
Purchases |  | — |  | 5.0 |  | — |  | — |  | 5.0 |
Realized and unrealized gains (losses) |  | (151.1 | ) | 27.1 |  | 67.5 |  | 10.8 |  | 105.4 |
Transfers in (out) |  | — |  | — |  | — |  | — |  | — |
Sales/settlements |  | — |  | (29.1 | ) | (64.2 | ) | (10.8 | ) | (104.1 | )
Balance at September 30, 2011 |  | $ | (761.3 | ) | $ | 278.3 |  | $ | 75.5 |  | $ | — |  | $ | 353.8 |
|  | Variable Annuity (Liabilities) |  | Derivative Instruments |
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4) |
Balance at June 30, 2011 |  | $ | (591.3 | ) | $ | 232.7 |  | $ | 48.2 |  | $ | (11.9 | ) | $ | 269.0 |
Purchases |  | — |  | — |  | — |  | — |  | — |
Realized and unrealized gains (losses) |  | (170.0 | ) | 45.6 |  | 75.7 |  | 27.6 |  | 148.9 |
Transfers in (out) |  | — |  | — |  | — |  | — |  | — |
Sales/settlements |  | — |  | — |  | (48.4 | ) | (15.7 | ) | (64.1 | )
Balance at September 30, 2011 |  | $ | (761.3 | ) | $ | 278.3 |  | $ | 75.5 |  | $ | — |  | $ | 353.8 |
(1) | Comprises over-the-counter instruments.
(2) | Comprises interest rate swaps, total return swaps, foreign currency forward contracts, and bond forwards. Fair value measurement based upon bid/ask pricing quotes for similar instruments that are actively traded, where available. Swaps for which an active market does not exist have been priced using observable inputs including the swap curve and the underlying bond index.
(3) | Comprises exchange traded equity index, foreign currency and interest rate futures. Fair value measurements based upon quoted prices for identical instruments that are actively traded.
(4) | In addition to derivative instruments, WM Life Re held cash, short-term and fixed maturity investments of $419.7 at September 30, 2011 posted as collateral to its reinsurance counterparties.
Realized and unrealized derivative gains (losses) recognized in other revenues and carrying values, by the type of instrument |
Three Months Ended |  | Nine Months Ended |  | Carrying Value |
|  | September 30, |  | September 30, |  | September 30, |  | December 31, |
Millions |  | 2011 |  | 2010 |  | 2011 |  | 2010 |  | 2011 |  | 2010 |
Fixed income/Interest rate |  | $ | 29.8 |  | $ | (25.5 | ) | $ | 17.3 |  | $ | (1.9 | ) | $ | 50.3 |  | $ | 43.9 |
Foreign exchange |  | 63.0 |  | 33.0 |  | 32.8 |  | 99.6 |  | 212.0 |  | 225.3 |
Equity |  | 56.1 |  | (23.2 | ) | 55.3 |  | 17.0 |  | 91.5 |  | 78.3 |
Total |  | $ | 148.9 |  | $ | (15.7 | ) | $ | 105.4 |  | $ | 114.7 |  | $ | 353.8 |  | $ | 347.5 |
Summary of collateral provided to WM Life Re from counterparties |
Millions |  | September 30, 2011 |  | December 31, 2010 |
Short-term investments |  | $ | 72.2 |  | $ | 52.4 |
Fixed maturity securities |  | 58.1 |  | 48.6 |
Total |  | $ | 130.3 |  | $ | 101.0 |
Summary of value, collateral provided (held) by WM Life Re and net exposure on OTC derivative instruments |
Millions |  | September 30, 2011 |  | December 31, 2010 |
OTC derivative instruments(1) |  | $ | 363.4 |  | $ | 351.5 |
Collateral held |  | (130.3 | ) | (101.0 | )
Collateral provided |  | 22.6 |  | 25.3 |
Net exposure to credit losses on fair value of OTC instruments |  | $ | 255.7 |  | $ | 275.8 |
(1) | Value of OTC derivative instruments as of September 30, 2011 and December 31, 2010 excludes adjustments for counterparty credit risk of $(9.6) and $(4.0) included in fair value under GAAP.
Summary of uncollateralized amounts due under WM Life Re's OTC derivative contracts |
Millions |  | Uncollateralized balance as of September 30, 2011 |  | S&P Rating(1) |
Royal Bank of Scotland |  | $ | 86.5 |  |  | A |
Bank of America |  | 49.7 |  |  | A |
Citigroup (3) |  | 46.7 |  |  | A |
Barclays |  | 32.2 |  |  | A+ |
Nomura |  | 15.6 |  |  | BBB+ |
JP Morgan |  | 14.7 |  |  | A+ |
BNP Paribas |  | 7.5 |  |  | AA |
Goldman Sachs(2) |  | 2.8 |  |  | A |
Total |  | $ | 255.7 |  |  |  |
(1) | Standard & Poor’s (“S&P”) ratings as detailed above are: “AA” (Very Strong, which is the third highest of twenty-one creditworthiness ratings), “A+” (which is the fifth highest of twenty-one creditworthiness ratings), “A” (which is the sixth highest of twenty-one creditworthiness ratings) and “BBB+” (Adequate, which is the eighth highest of twenty-one creditworthiness ratings).
(2) | Collateral provided (held) calculated under master netting agreement.
Summary of additional collateral posted for variable reinsurance counterparties |
Millions |  | September 30, 2011 |  | December 31, 2010 |
Cash |  | $ | 393.3 |  | $ | 291.1 |
Short-term investments |  | 14.5 |  | 31.6 |
Fixed maturity investments |  | 11.9 |  | 3.3 |
Total |  | $ | 419.7 |  | $ | 326.0 |

X
- Definition Tabular disclosure of derivative instruments (including nonderivative instruments that are designated and qualify as hedging instruments) of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Topic 815 -SubTopic 10 -Publisher FASB -Number -Article -Subparagraph -Name Accounting Standards Codification -Paragraph 4A -Section 50 -URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5618551-113959 + Details
Name: | us-gaap_ScheduleOfDerivativesInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Assets posted as collateral under variable annuity reinsurance trust agreement for the benefit of the reinsurance counterparty. + Details
Name: | wtm_AssetsHeldUnderReinsuranceCounterpartyTrustAgreementTableTextBlock
Namespace Prefix: | wtm
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition This element represents the disclosure related to assets and liabilities by class, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring and/or nonrecurring basis in periods after initial recognition (for example, impaired assets). The disclosures that may be required or desired include: (a) the fair value measurements recorded during the period and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset. + Details
Name: | wtm_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisTableTextBlock1
Namespace Prefix: | wtm
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of Life Re's pre-tax operating results. + Details
Name: | wtm_LifeRePretaxOperatingResultsTableTextBlock
Namespace Prefix: | wtm
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the value, collateral provided (held) and net exposure on fair value of OTC instruments. + Details
Name: | wtm_NetExposureOnOTCDerivativeInstrumentsTableTextBlock
Namespace Prefix: | wtm
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Summary of collateral provided to WM Life Re from counterparties. + Details
Name: | wtm_ScheduleOfCollateralProvidedByCounterpartiesTableTextBlock
Namespace Prefix: | wtm
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of uncollateralized amounts due under derivative contracts. + Details
Name: | wtm_ScheduleOfUncollateralizedAmountsDueTableTextBlock
Namespace Prefix: | wtm
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Details
Name: | wtm_VariableAnnuityReinsuranceDisclosureAbstract
Namespace Prefix: | wtm
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration