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Derivatives (Tables) | 9 Months Ended
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Sep. 30, 2012
Derivatives Disclosure [Abstract] |
Derivative [Text Block] | Variable Annuity Reinsurance White Mountains has entered into agreements to reinsure death and living benefit guarantees associated with certain variable annuities in Japan. At September 30, 2012 and December 31, 2011, the total guarantee value was approximately ¥230.5 billion (approximately $3.0 billion at exchange rates on that date) and ¥233.7 billion (approximately $3.0 billion at exchange rates on that date). The collective account values of the underlying variable annuities were approximately 80% and 78% of the guarantee value at September 30, 2012 and December 31, 2011. The following table summarizes the pre-tax operating results of WM Life Re for the three and nine months ended September 30, 2012 and 2011:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2012 |  | 2011 |  | 2012 |  | 2011
Fees, included in other revenues |  | $ | 8.1 |  |  | $ | 8.4 |  |  | $ | 24.1 |  |  | $ | 24.3 |
Change in fair value of variable annuity liability, included in other revenues |  | (11.3 | ) |  | (164.4 | ) |  | 89.4 |  |  | (148.0 | )
Change in fair value of derivatives, included in other revenues |  | (11.0 | ) |  | 148.9 |  |  | (122.0 | ) |  | 105.4 |
Foreign exchange, included in other revenues |  | 9.0 |  |  | 14.8 |  |  | (6.4 | ) |  | 17.1 |
Other investment income and gains (losses) |  | 3.8 |  |  | .5 |  |  | 2.9 |  |  | (.1 | )
Total revenues |  | (1.4 | ) |  | 8.2 |  |  | (12.0 | ) |  | (1.3 | )
Change in fair value of variable annuity death benefit liabilities, included in other expenses |  | .7 |  |  | (5.6 | ) |  | 6.7 |  |  | (3.1 | )
Death benefit claims paid, included in other expenses |  | (1.5 | ) |  | (.7 | ) |  | (4.9 | ) |  | (2.4 | )
General and administrative expenses |  | (1.1 | ) |  | (1.1 | ) |  | (3.8 | ) |  | (3.2 | )
Pre-tax (loss) income |  | $ | (3.3 | ) |  | $ | .8 |  |  | $ | (14.0 | ) |  | $ | (10.0 | )
All of White Mountains’ variable annuity reinsurance liabilities were classified as Level 3 measurements at September 30, 2012 and 2011. The following tables summarize the changes in White Mountains’ variable annuity reinsurance liabilities and derivative instruments for the three and nine months ended September 30, 2012 and 2011:
|  | Three Months Ended September 30, 2012
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4)
Beginning of period |  | $ | (661.8 | ) |  | $ | 213.0 |  |  | $ | 61.0 |  |  | $ | (23.7 | ) |  | $ | 250.3 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized (losses) gains |  | (10.6 | ) |  | 6.7 |  |  | (15.3 | ) |  | (2.4 | ) |  | (11.0 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (6.7 | ) |  | (12.5 | ) |  | 22.0 |  |  | 2.8 |
End of period |  | $ | (672.4 | ) |  | $ | 213.0 |  |  | $ | 33.2 |  |  | $ | (4.1 | ) |  | $ | 242.1 |
|  | Nine Months Ended September 30, 2012
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4)
Beginning of period |  | $ | (768.5 | ) |  | $ | 247.1 |  |  | $ | 39.2 |  |  | $ | 4.1 |  |  | $ | 290.4 |
Purchases |  | — |  |  | 6.1 |  |  | — |  |  | — |  |  | 6.1 |
Realized and unrealized gains (losses) |  | 96.1 |  |  | (24.1 | ) |  | (71.8 | ) |  | (26.1 | ) |  | (122.0 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (16.1 | ) |  | 65.8 |  |  | 17.9 |  |  | 67.6 |
End of period |  | $ | (672.4 | ) |  | $ | 213.0 |  |  | $ | 33.2 |  |  | $ | (4.1 | ) |  | $ | 242.1 |
|  | Three Months Ended September 30, 2011
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4)
Beginning of period |  | $ | (591.3 | ) |  | $ | 232.7 |  |  | $ | 48.2 |  |  | $ | (11.9 | ) |  | $ | 269.0 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized (losses) gains |  | (170.0 | ) |  | 45.6 |  |  | 75.7 |  |  | 27.6 |  |  | 148.9 |
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | — |  |  | (48.4 | ) |  | (15.7 | ) |  | (64.1 | )
End of period |  | $ | (761.3 | ) |  | $ | 278.3 |  |  | $ | 75.5 |  |  | $ | — |  |  | $ | 353.8 |
|  | Nine Months Ended September 30, 2011
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4)
Beginning of period |  | $ | (610.2 | ) |  | $ | 275.3 |  |  | $ | 72.2 |  |  | $ | — |  |  | $ | 347.5 |
Purchases |  | — |  |  | 5.0 |  |  | — |  |  | — |  |  | 5.0 |
Realized and unrealized (losses) gains |  | (151.1 | ) |  | 27.1 |  |  | 67.5 |  |  | 10.8 |  |  | 105.4 |
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (29.1 | ) |  | (64.2 | ) |  | (10.8 | ) |  | (104.1 | )
End of period |  | $ | (761.3 | ) |  | $ | 278.3 |  |  | $ | 75.5 |  |  | $ | — |  |  | $ | 353.8 |
(1) Consists of over-the-counter instruments. (2) Consists of 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) Consists of 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 $477.5 and $419.7 at September 30, 2012 and 2011 posted as collateral to its reinsurance counterparties. The fair value of White Mountains’ variable annuity reinsurance liabilities are estimated using actuarial and capital market assumptions related to the projected discounted cash flows over the term of the reinsurance agreement. Assumptions regarding future policyholder behavior, including surrender and lapse rates, are generally unobservable inputs and significantly impact the fair value estimates. Market conditions including, but not limited to, changes in interest rates, equity indices, market volatility and foreign currency exchange rates as well as the variations in actuarial assumptions regarding policyholder behavior may result in significant fluctuations in the fair value estimates. Generally, the liabilities associated with these guarantees increase with declines in the equity markets, interest rates and currencies against the Japanese yen, as well as with increases in market volatilities. White Mountains uses derivative instruments, including put options, interest rate swaps, total return swaps on bond and equity indices and forwards and futures contracts on major equity indices, currency pairs and government bonds, to mitigate the risks associated with changes in the fair value of the reinsured variable annuity guarantees. The types of inputs used to estimate the fair value of these derivative instruments, with the exception of actuarial assumptions regarding policyholder behavior and risk margins, are generally the same as those used to estimate the fair value of variable annuity liabilities. The following summarizes quantitative information about significant unobservable inputs associated with the fair value estimates for variable annuity reinsurance liabilities and derivative instruments that have been classified as Level 3 measurements:
|  | September 30, 2012
($ in Millions) Description |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range |  | Weighted Average
Variable annuity benefit guarantee liabilities |  | $ | 672.4 |  |  | Discounted cash flows |  | Surrenders |  | 0.1 | % | - | 3.0 | % |  | 0.4 | %
|  |  |  |  | Mortality |  | 0.0 | % | - | 6.4 | % |  | 0.9 | %
|  |  |  |  | Foreign exchange volatilities |  | 10.8 | % | - | 17.4 | % |  | 12.8 | %
|  |  |  |  | Index volatilities |  | 13.1 | % | - | 23.9 | % |  | 19.5 | %
Foreign exchange and equity index options |  | $ | 213.0 |  |  | Black-Scholes option pricing model |  | Expected equity dividends |  | 1.9 | % | - | 5.2 | % |  | 3.1 | %
|  |  | Foreign exchange volatilities |  | 10.8 | % | - | 17.4 | % |  | 12.8 | %
|  |  |  |  | Index volatilities |  | 13.1 | % | - | 23.9 | % |  | 19.5 | %
The following summarizes realized and unrealized derivative gains (losses) recognized in other revenues for the three and nine months ended September 30, 2012 and 2011 and the carrying values, included in other assets, at September 30, 2012 and December 31, 2011, by type of instrument:
|  | Gains (Losses) |  | Carrying Value
|  | Three Months Ended |  | Nine Months Ended |  | As of
|  | Sept 30, |  | Sept 30, |  | Sept 30, 2012 |  | Dec 31, 2011
Millions |  | 2012 |  | 2011 |  | 2012 |  | 2011 |  |
Fixed income/Interest rate |  | $ | (22.6 | ) |  | $ | 29.8 |  |  | $ | (73.1 | ) |  | $ | 17.3 |  |  | $ | 29.1 |  |  | $ | 31.1 |
Foreign exchange |  | 6.5 |  |  | 63.0 |  |  | (21.0 | ) |  | 32.8 |  |  | 127.9 |  |  | 161.3 |
Equity |  | 5.1 |  |  | 56.1 |  |  | (27.9 | ) |  | 55.3 |  |  | 85.1 |  |  | 98.0 |
Total |  | $ | (11.0 | ) |  | $ | 148.9 |  |  | $ | (122.0 | ) |  | $ | 105.4 |  |  | $ | 242.1 |  |  | $ | 290.4 |
WM Life Re enters into both over-the-counter (“OTC”) and exchange traded derivative instruments to economically hedge the liability from the variable annuity benefit guarantee. In the case of OTC derivatives, WM Life Re has exposure to credit risk for amounts that are uncollateralized by counterparties. WM Life Re’s internal risk management guidelines establish net counterparty exposure thresholds that take into account OTC counterparties’ credit ratings. WM Life Re has entered into master netting agreements with certain of its counterparties whereby the collateral provided (held) is calculated on a net basis. The following summarizes collateral provided to WM Life Re from counterparties:
Millions |  | September 30, 2012 |  | December 31, 2011
Short-term investments |  | $ | 63.3 |  |  | $ | 73.2 |
Fixed maturity securities |  | — |  |  | — |
Total |  | $ | 63.3 |  |  | $ | 73.2 |
Collateral held by or provided by WM Life Re in the form of fixed maturity securities comprise U.S. Treasury securities, which are recorded at fair value. Collateral in the form of short-term investments consists of money-market instruments, carried at amortized cost, which approximates fair value. The following summarizes the value, collateral (held) provided by WM Life Re and net exposure to credit losses on OTC derivative instruments recorded within other assets:
Millions |  | September 30, 2012 |  | December 31, 2011
OTC derivative instruments (1) |  | $ | 251.4 |  |  | $ | 295.4 |
Collateral held |  | (63.3 | ) |  | (73.2 | )
Collateral provided |  | 85.6 |  |  | 83.0 |
Net exposure to credit losses on fair value of OTC instruments |  | $ | 273.7 |  |  | $ | 305.2 |
(1) Value of OTC derivative instruments as of September 30, 2012 and December 31, 2011 excludes adjustments for counterparty credit risk of $(5.2) and $(9.1) included in fair value under GAAP. The following table summarizes uncollateralized amounts due under WM Life Re’s OTC derivative contracts:
| Uncollateralized balance as of |  |
Millions | September 30, 2012 |  | S&P Rating(1)
Citigroup (2) | $ | 63.4 |  |  | A
Royal Bank of Scotland | 58.5 |  |  | A
Bank of America | 50.3 |  |  | A
JP Morgan (2) | 40.8 |  |  | A+
Nomura (2) | 35.9 |  |  | BBB+
Barclays | 20.7 |  |  | A+
Goldman Sachs (2) | 4.1 |  |  | A-
Total | $ | 273.7 |  |  |
(1) Standard & Poor’s (“S&P”) ratings as detailed above are: “A+” (Strong, which is the fifth highest of twenty-two creditworthiness ratings), “A” (Strong, which is the sixth highest of twenty-two creditworthiness ratings), “A-” (Strong, which is the seventh highest of twenty-two creditworthiness ratings) and “BBB+” (Adequate, which is the eighth highest of twenty-two creditworthiness ratings). (2) Collateral provided (held) calculated under master netting agreement. The OTC derivative contracts are subject to restrictions on liquidation of the instruments and distribution of proceeds under collateral agreements. In addition, WM Life Re held cash, short-term and fixed maturity investments posted as collateral to its reinsurance counterparties. The additional collateral consists of the following:
Millions |  | September 30, 2012 |  | December 31, 2011
Cash |  | $ | 341.7 |  |  | $ | 453.5 |
Short-term investments |  | 14.6 |  |  | .6 |
Fixed maturity investments |  | 121.2 |  |  | 31.2 |
Total |  | $ | 477.5 |  |  | $ | 485.3 |
Forward Contracts Beginning in September 2012, White Mountains has entered into forward contracts as a tool to assist in maintaining currency positions within pre-defined ranges at Sirius Group. White Mountains monitors its exposure to foreign currency and adjusts its forward positions within the risk guidelines and ranges established by senior management for each currency, as necessary. While White Mountains actively manages its forward positions, mismatches between movements in foreign currency rates and its forward contracts may result in currency positions being outside the pre-defined ranges and/or foreign currency losses. At September 30, 2012, White Mountains held approximately $38.8 million (SEK 254.0 million) total gross notional value of foreign currency forward contracts. All of White Mountains' forward contracts are traded over-the-counter. The fair value of the contracts has been estimated using OTC quotes for similar instruments and accordingly, the measurements have been classified as Level 2 measurements at September 30, 2012. The following tables summarize the changes in White Mountains' forward contracts for the three and nine months ended September 30, 2012:
|  | Forward contracts |
|  | Three Months Ended |  | Nine Months Ended |
Millions |  | September 30, 2012 |  | September 30, 2012 |
Beginning of period |  | $ | — |  |  | $ | — |  |
Purchases |  | — |  |  | — |  |
Realized and unrealized gains(losses) |  | .3 |  |  | .3 |  |
Sales/settlements |  | — |  |  | — |  |
End of period |  | $ | .3 |  |  | $ | .3 |  |
The following summarizes realized and unrealized derivative gains (losses) recognized in net realized and unrealized investment gains for the three and nine months ended September 30, 2012 and the carrying values, included in other long-term investments, at September 30, 2012 by type of currency:
|  | Gains (Losses) |  |  |
|  | Three Months Ended |  | Nine Months Ended |  | Carrying Value As of |
|  | September 30, |  | September 30, |  | September 30, |
Millions |  | 2012 |  | 2012 |  | 2012 |
USD |  | $ | .4 |  |  | $ | .4 |  |  | $ | .4 |  |
SEK |  | — |  |  | — |  |  | — |  |
EUR |  | (.1 | ) |  | (.1 | ) |  | (.1 | ) |
GBP |  | — |  |  | — |  |  | — |  |
Currency Translation |  | — |  |  | — |  |  | — |  |
Total |  | $ | .3 |  |  | $ | .3 |  |  | $ | .3 |  |
White Mountains does not hold or provide any collateral for the forward contracts. The following table summarizes uncollateralized notional amounts associated with forward currency contracts:
|  | Uncollateralized balance as of
Millions |  | September 30, 2012 |  | S&P Rating(1)
Deutsche Bank |  | $ | 5.5 |  |  | A+
Royal Bank of Canada |  | 8.0 |  |  | A+
HSBC Bank plc |  | 12.4 |  |  | AA-
JP Morgan |  | 7.3 |  |  | A
Goldman Sachs |  | 5.6 |  |  | AA-
Total |  | $ | 38.8 |  |  |
(1) Standard & Poor's (“S&P”) ratings as detailed above are: “AA-” (Very Strong, which is the sixth highest of twenty-two creditworthiness ratings), “A+” (Strong, which is the seventh highest of twenty-two creditworthiness ratings) and “A” (Strong, which is the eighth highest of twenty-two creditworthiness ratings).
Pre-tax operating results of WM Life Re | The following table summarizes the pre-tax operating results of WM Life Re for the three and nine months ended September 30, 2012 and 2011:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2012 |  | 2011 |  | 2012 |  | 2011
Fees, included in other revenues |  | $ | 8.1 |  |  | $ | 8.4 |  |  | $ | 24.1 |  |  | $ | 24.3 |
Change in fair value of variable annuity liability, included in other revenues |  | (11.3 | ) |  | (164.4 | ) |  | 89.4 |  |  | (148.0 | )
Change in fair value of derivatives, included in other revenues |  | (11.0 | ) |  | 148.9 |  |  | (122.0 | ) |  | 105.4 |
Foreign exchange, included in other revenues |  | 9.0 |  |  | 14.8 |  |  | (6.4 | ) |  | 17.1 |
Other investment income and gains (losses) |  | 3.8 |  |  | .5 |  |  | 2.9 |  |  | (.1 | )
Total revenues |  | (1.4 | ) |  | 8.2 |  |  | (12.0 | ) |  | (1.3 | )
Change in fair value of variable annuity death benefit liabilities, included in other expenses |  | .7 |  |  | (5.6 | ) |  | 6.7 |  |  | (3.1 | )
Death benefit claims paid, included in other expenses |  | (1.5 | ) |  | (.7 | ) |  | (4.9 | ) |  | (2.4 | )
General and administrative expenses |  | (1.1 | ) |  | (1.1 | ) |  | (3.8 | ) |  | (3.2 | )
Pre-tax (loss) income |  | $ | (3.3 | ) |  | $ | .8 |  |  | $ | (14.0 | ) |  | $ | (10.0 | )
Fair Value of Assets and Liabilities Measured on Recurring and Non-recurring Basis Table [Text Block] | The following tables summarize the changes in White Mountains’ variable annuity reinsurance liabilities and derivative instruments for the three and nine months ended September 30, 2012 and 2011:
|  | Three Months Ended September 30, 2012
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4)
Beginning of period |  | $ | (661.8 | ) |  | $ | 213.0 |  |  | $ | 61.0 |  |  | $ | (23.7 | ) |  | $ | 250.3 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized (losses) gains |  | (10.6 | ) |  | 6.7 |  |  | (15.3 | ) |  | (2.4 | ) |  | (11.0 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (6.7 | ) |  | (12.5 | ) |  | 22.0 |  |  | 2.8 |
End of period |  | $ | (672.4 | ) |  | $ | 213.0 |  |  | $ | 33.2 |  |  | $ | (4.1 | ) |  | $ | 242.1 |
|  | Nine Months Ended September 30, 2012
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4)
Beginning of period |  | $ | (768.5 | ) |  | $ | 247.1 |  |  | $ | 39.2 |  |  | $ | 4.1 |  |  | $ | 290.4 |
Purchases |  | — |  |  | 6.1 |  |  | — |  |  | — |  |  | 6.1 |
Realized and unrealized gains (losses) |  | 96.1 |  |  | (24.1 | ) |  | (71.8 | ) |  | (26.1 | ) |  | (122.0 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (16.1 | ) |  | 65.8 |  |  | 17.9 |  |  | 67.6 |
End of period |  | $ | (672.4 | ) |  | $ | 213.0 |  |  | $ | 33.2 |  |  | $ | (4.1 | ) |  | $ | 242.1 |
|  | Three Months Ended September 30, 2011
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4)
Beginning of period |  | $ | (591.3 | ) |  | $ | 232.7 |  |  | $ | 48.2 |  |  | $ | (11.9 | ) |  | $ | 269.0 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized (losses) gains |  | (170.0 | ) |  | 45.6 |  |  | 75.7 |  |  | 27.6 |  |  | 148.9 |
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | — |  |  | (48.4 | ) |  | (15.7 | ) |  | (64.1 | )
End of period |  | $ | (761.3 | ) |  | $ | 278.3 |  |  | $ | 75.5 |  |  | $ | — |  |  | $ | 353.8 |
|  | Nine Months Ended September 30, 2011
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4)
Beginning of period |  | $ | (610.2 | ) |  | $ | 275.3 |  |  | $ | 72.2 |  |  | $ | — |  |  | $ | 347.5 |
Purchases |  | — |  |  | 5.0 |  |  | — |  |  | — |  |  | 5.0 |
Realized and unrealized (losses) gains |  | (151.1 | ) |  | 27.1 |  |  | 67.5 |  |  | 10.8 |  |  | 105.4 |
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (29.1 | ) |  | (64.2 | ) |  | (10.8 | ) |  | (104.1 | )
End of period |  | $ | (761.3 | ) |  | $ | 278.3 |  |  | $ | 75.5 |  |  | $ | — |  |  | $ | 353.8 |
(1) Consists of over-the-counter instruments. (2) Consists of 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) Consists of 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 $477.5 and $419.7 at September 30, 2012 and 2011 posted as collateral to its reinsurance counterparties. The following tables summarize the changes in White Mountains' forward contracts for the three and nine months ended September 30, 2012:
|  | Forward contracts |
|  | Three Months Ended |  | Nine Months Ended |
Millions |  | September 30, 2012 |  | September 30, 2012 |
Beginning of period |  | $ | — |  |  | $ | — |  |
Purchases |  | — |  |  | — |  |
Realized and unrealized gains(losses) |  | .3 |  |  | .3 |  |
Sales/settlements |  | — |  |  | — |  |
End of period |  | $ | .3 |  |  | $ | .3 |  |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following summarizes realized and unrealized derivative gains (losses) recognized in net realized and unrealized investment gains for the three and nine months ended September 30, 2012 and the carrying values, included in other long-term investments, at September 30, 2012 by type of currency:
|  | Gains (Losses) |  |  |
|  | Three Months Ended |  | Nine Months Ended |  | Carrying Value As of |
|  | September 30, |  | September 30, |  | September 30, |
Millions |  | 2012 |  | 2012 |  | 2012 |
USD |  | $ | .4 |  |  | $ | .4 |  |  | $ | .4 |  |
SEK |  | — |  |  | — |  |  | — |  |
EUR |  | (.1 | ) |  | (.1 | ) |  | (.1 | ) |
GBP |  | — |  |  | — |  |  | — |  |
Currency Translation |  | — |  |  | — |  |  | — |  |
Total |  | $ | .3 |  |  | $ | .3 |  |  | $ | .3 |  |
Schedule of significant unobservable inputs associated with the fair value estimates for variable annuity reinsurance liabilities and derivative instruments | The following summarizes quantitative information about significant unobservable inputs associated with the fair value estimates for variable annuity reinsurance liabilities and derivative instruments that have been classified as Level 3 measurements:
|  | September 30, 2012
($ in Millions) Description |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range |  | Weighted Average
Variable annuity benefit guarantee liabilities |  | $ | 672.4 |  |  | Discounted cash flows |  | Surrenders |  | 0.1 | % | - | 3.0 | % |  | 0.4 | %
|  |  |  |  | Mortality |  | 0.0 | % | - | 6.4 | % |  | 0.9 | %
|  |  |  |  | Foreign exchange volatilities |  | 10.8 | % | - | 17.4 | % |  | 12.8 | %
|  |  |  |  | Index volatilities |  | 13.1 | % | - | 23.9 | % |  | 19.5 | %
Foreign exchange and equity index options |  | $ | 213.0 |  |  | Black-Scholes option pricing model |  | Expected equity dividends |  | 1.9 | % | - | 5.2 | % |  | 3.1 | %
|  |  | Foreign exchange volatilities |  | 10.8 | % | - | 17.4 | % |  | 12.8 | %
|  |  |  |  | Index volatilities |  | 13.1 | % | - | 23.9 | % |  | 19.5 | %
Realized and unrealized derivative gains (losses) recognized in other revenues and carrying values, by the type of instrument | The following summarizes realized and unrealized derivative gains (losses) recognized in other revenues for the three and nine months ended September 30, 2012 and 2011 and the carrying values, included in other assets, at September 30, 2012 and December 31, 2011, by type of instrument:
|  | Gains (Losses) |  | Carrying Value
|  | Three Months Ended |  | Nine Months Ended |  | As of
|  | Sept 30, |  | Sept 30, |  | Sept 30, 2012 |  | Dec 31, 2011
Millions |  | 2012 |  | 2011 |  | 2012 |  | 2011 |  |
Fixed income/Interest rate |  | $ | (22.6 | ) |  | $ | 29.8 |  |  | $ | (73.1 | ) |  | $ | 17.3 |  |  | $ | 29.1 |  |  | $ | 31.1 |
Foreign exchange |  | 6.5 |  |  | 63.0 |  |  | (21.0 | ) |  | 32.8 |  |  | 127.9 |  |  | 161.3 |
Equity |  | 5.1 |  |  | 56.1 |  |  | (27.9 | ) |  | 55.3 |  |  | 85.1 |  |  | 98.0 |
Total |  | $ | (11.0 | ) |  | $ | 148.9 |  |  | $ | (122.0 | ) |  | $ | 105.4 |  |  | $ | 242.1 |  |  | $ | 290.4 |
Summary of collateral provided to WM Life Re from counterparties | The following summarizes collateral provided to WM Life Re from counterparties:
Millions |  | September 30, 2012 |  | December 31, 2011
Short-term investments |  | $ | 63.3 |  |  | $ | 73.2 |
Fixed maturity securities |  | — |  |  | — |
Total |  | $ | 63.3 |  |  | $ | 73.2 |
Summary of value, collateral provided (held) by WM Life Re and net exposure on OTC derivative instruments | The following summarizes the value, collateral (held) provided by WM Life Re and net exposure to credit losses on OTC derivative instruments recorded within other assets:
Millions |  | September 30, 2012 |  | December 31, 2011
OTC derivative instruments (1) |  | $ | 251.4 |  |  | $ | 295.4 |
Collateral held |  | (63.3 | ) |  | (73.2 | )
Collateral provided |  | 85.6 |  |  | 83.0 |
Net exposure to credit losses on fair value of OTC instruments |  | $ | 273.7 |  |  | $ | 305.2 |
(1) Value of OTC derivative instruments as of September 30, 2012 and December 31, 2011 excludes adjustments for counterparty credit risk of $(5.2) and $(9.1) included in fair value under GAAP. Th
Schedule of Uncollateralized Amounts Due [Table Text Block] | The following table summarizes uncollateralized amounts due under WM Life Re’s OTC derivative contracts:
| Uncollateralized balance as of |  |
Millions | September 30, 2012 |  | S&P Rating(1)
Citigroup (2) | $ | 63.4 |  |  | A
Royal Bank of Scotland | 58.5 |  |  | A
Bank of America | 50.3 |  |  | A
JP Morgan (2) | 40.8 |  |  | A+
Nomura (2) | 35.9 |  |  | BBB+
Barclays | 20.7 |  |  | A+
Goldman Sachs (2) | 4.1 |  |  | A-
Total | $ | 273.7 |  |  |
(1) Standard & Poor’s (“S&P”) ratings as detailed above are: “A+” (Strong, which is the fifth highest of twenty-two creditworthiness ratings), “A” (Strong, which is the sixth highest of twenty-two creditworthiness ratings), “A-” (Strong, which is the seventh highest of twenty-two creditworthiness ratings) and “BBB+” (Adequate, which is the eighth highest of twenty-two creditworthiness ratings). (2) Collateral provided (held) calculated under master netting agreement. The following table summarizes uncollateralized notional amounts associated with forward currency contracts:
|  | Uncollateralized balance as of
Millions |  | September 30, 2012 |  | S&P Rating(1)
Deutsche Bank |  | $ | 5.5 |  |  | A+
Royal Bank of Canada |  | 8.0 |  |  | A+
HSBC Bank plc |  | 12.4 |  |  | AA-
JP Morgan |  | 7.3 |  |  | A
Goldman Sachs |  | 5.6 |  |  | AA-
Total |  | $ | 38.8 |  |  |
(1) Standard & Poor's (“S&P”) ratings as detailed above are: “AA-” (Very Strong, which is the sixth highest of twenty-two creditworthiness ratings), “A+” (Strong, which is the seventh highest of twenty-two creditworthiness ratings) and “A” (Strong, which is the eighth highest of twenty-two creditworthiness ratings).
Summary of additional collateral posted for variable reinsurance counterparties | The additional collateral consists of the following:
Millions |  | September 30, 2012 |  | December 31, 2011
Cash |  | $ | 341.7 |  |  | $ | 453.5 |
Short-term investments |  | 14.6 |  |  | .6 |
Fixed maturity investments |  | 121.2 |  |  | 31.2 |
Total |  | $ | 477.5 |  |  | $ | 485.3 |

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- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 205G -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624163-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44C -Subparagraph a -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. + Details
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- 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 -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5618551-113959 + Details
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- Definition Tabular disclosure of quantitative information about the inputs used in the fair value measurement of variable annuity liabilities and derivative instruments. This disclosure may include, but is not limited to, the fair value of the liability, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs. + References No definition available. + Details
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- Definition Represents the disclosure, in tabular form, related to assets and liabilities by class, that are measured at fair value on a recurring and/or nonrecurring basis in periods after initial recognition. 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 fall, segregating fair value measurements using Levels 1, 2, and 3. + References No definition available. + Details
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- Definition Tabular disclosure of Life Re's pre-tax operating results. + References No definition available. + Details
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