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Derivatives (Tables) | 12 Months Ended
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Dec. 31, 2012
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Pre-tax operating results of WM Life Re | The following table summarizes the pre-tax operating results of WM Life Re for the years ended December 31, 2012, 2011 and 2010:
|  | Year Ended December 31,
Millions |  | 2012 |  | 2011 |  | 2010
Fees, included in other revenues |  | $ | 31.8 |  |  | $ | 32.5 |  |  | $ | 30.2 |
Change in fair value of variable annuity liability, included in other revenues |  | 312.8 |  |  | (156.5 | ) |  | (223.5 | )
Change in fair value of derivatives, included in other revenues |  | (339.0 | ) |  | 92.9 |  |  | 127.0 |
Foreign exchange, included in other revenues |  | (30.3 | ) |  | 15.1 |  |  | 21.4 |
Other investment income and gains (losses) |  | 2.5 |  |  | (.9 | ) |  | (.9 | )
Total revenues |  | (22.2 | ) |  | (16.9 | ) |  | (45.8 | )
Change in fair value of variable annuity death benefit liabilities, included in general and administrative expenses |  | 14.2 |  |  | (1.8 | ) |  | (6.0 | )
Death benefit claims paid, included in general and administrative expenses |  | (5.7 | ) |  | (3.8 | ) |  | (2.7 | )
General and administrative expenses |  | (5.2 | ) |  | (4.7 | ) |  | (6.3 | )
Pre-tax loss |  | $ | (18.9 | ) |  | $ | (27.2 | ) |  | $ | (60.8 | )
Fair Value of Assets and Liabilities Measured on Recurring and Non-recurring Basis Table | The following table summarizes the changes in White Mountains’ variable annuity reinsurance liabilities and derivative instruments for the year ended December 31, 2012, 2011 and 2010:
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4)
Balance at January 1, 2012 |  | $ | (768.5 | ) |  | $ | 247.1 |  |  | $ | 39.2 |  |  | $ | 4.1 |  |  | $ | 290.4 |
Purchases |  | — |  |  | 6.1 |  |  | — |  |  | — |  |  | 6.1 |
Realized and unrealized gains (losses) |  | 327.0 |  |  | (84.0 | ) |  | (186.9 | ) |  | (68.1 | ) |  | (339.0 | )
Transfers in (out) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (28.7 | ) |  | 127.2 |  |  | 42.3 |  |  | 140.8 |
Balance at December 31, 2012 |  | $ | (441.5 | ) |  | $ | 140.5 |  |  | $ | (20.5 | ) |  | $ | (21.7 | ) |  | $ | 98.3 |
|  | 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 (losses) gains |  | (158.3 | ) |  | 14.5 |  |  | 67.7 |  |  | 10.7 |  |  | 92.9 |
Transfers in (out) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (47.7 | ) |  | (100.7 | ) |  | (6.6 | ) |  | (155.0 | )
Balance at December 31, 2011 |  | $ | (768.5 | ) |  | $ | 247.1 |  |  | $ | 39.2 |  |  | $ | 4.1 |  |  | $ | 290.4 |
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total (4)
Balance at January 1, 2010 |  | $ | (380.7 | ) |  | $ | 208.5 |  |  | $ | 23.8 |  |  | $ | (38.0 | ) |  | $ | 194.3 |
Purchases |  | — |  |  | 19.4 |  |  | — |  |  | — |  |  | 19.4 |
Realized and unrealized (losses) gains |  | (229.5 | ) |  | 66.4 |  |  | 80.0 |  |  | (19.4 | ) |  | 127.0 |
Transfers in (out) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (19.0 | ) |  | (31.6 | ) |  | 57.4 |  |  | 6.8 |
Balance at December 31, 2010 |  | $ | (610.2 | ) |  | $ | 275.3 |  |  | $ | 72.2 |  |  | $ | — |  |  | $ | 347.5 |
(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 , $393.6, $485.3 and $326.0 at December 31, 2012, 2011 and 2010 posted as collateral to its reinsurance counterparties. The following tables summarize the changes in White Mountains’ forward contracts for the year ended December 31, 2012:
Millions |  | Year ended December 31, 2012
Beginning of period |  | $ | — |
Purchases |  | — |
Realized and unrealized gains(losses) |  | (.3 | )
Sales/settlements |  | .2 |
End of period |  | $ | (.1 | )
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following summarizes realized and unrealized derivative gains (losses) recognized in net realized and unrealized investment gains and the carrying values, included in other long-term investments, at December 31, 2012 by type of currency:
|  | December 31, 2012
Millions |  | Gains (Losses) |  | Carrying Value
USD |  | $ | (.2 | ) |  | $ | — |
SEK |  | — |  |  | — |
EUR |  | (.1 | ) |  | (.1 | )
GBP |  | — |  |  | — |
Currency Translation |  | — |  |  | — |
Total |  | $ | (.3 | ) |  | $ | (.1 | )
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:
|  | December 31, 2012
($ in Millions) Description |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range |  | Weighted Average
Variable annuity benefit guarantee liabilities |  | $ | 441.5 |  |  | Discounted cash flows |  | Surrenders |  |  |  |  |  |  |
|  |  |  | 1 year |  | 0.3 | % | - | 3.0 | % |  | 0.5 | %
|  |  |  | 2 year |  | 0.2 | % | - | 3.0 | % |  | 0.4 | %
|  |  |  | 3 and more years |  | 0.1 | % | - | 3.0 | % |  | 0.4 | %
|  |  |  |  | Mortality |  | 0.0 | % | - | 4.8 | % |  | 0.9 | %
|  |  |  |  | Foreign exchange volatilities |  |  |  |  |  |  |
|  |  |  | 1 year |  | 11.3 | % | - | 12.5 | % |  | 12.2 | %
|  |  |  | 2 year |  | 10.7 | % | - | 13.2 | % |  | 12.1 | %
|  |  |  | 3 and more years |  | 10.0 | % | - | 15.4 | % |  | 13.1 | %
|  |  |  | Index volatilities |  |  |  |  |  |  |
|  |  |  | 1 year |  | 13.6 | % | - | 19.3 | % |  | 14.5 | %
|  |  |  | 2 year |  | 17.5 | % | - | 22.7 | % |  | 19.2 | %
|  |  |  |  | 3 and more years |  | 19.9 | % | - | 22.7 | % |  | 21.8 | %
Foreign Exchange Options |  | $ | 76.8 |  |  | Counterparty valuations, adjusted for unwind quote discount |  | Adjustment to counterparty valuations |  | (2.2 | )% | - | (7.9 | )% |  | (3.4 | )%
Equity Index Options |  | $ | 63.7 |  |  | Counterparty valuations, adjusted for unwind quote discount |  | Adjustment to counterparty valuations |  | (1.1 | )% | - | (2.5 | )% |  | (1.5 | )%
Realized and unrealized derivative gains (losses) recognized in other revenues and carrying values, by the type of instrument | The following summarizes realized and unrealized gains (losses) recognized in other revenues for the years ended December 31, 2012, 2011 and 2010 and the carrying values at December 31, 2012 and 2011 by type of instrument:
|  |  |  |  |  |  |  | Carrying Value
|  | Year Ended December 31, |  | December 31,
Millions |  | 2012 |  | 2011 |  | 2010 |  | 2012 |  | 2011
Fixed income/interest rate |  | $ | (149.5 | ) |  | $ | 8.9 |  |  | $ | 17.6 |  |  | $ | 4.3 |  |  | $ | 31.1 |
Foreign exchange |  | (102.3 | ) |  | 29.5 |  |  | 144.6 |  |  | 51.3 |  |  | 161.3 |
Equity |  | (87.2 | ) |  | 54.5 |  |  | (35.2 | ) |  | 42.7 |  |  | 98.0 |
Total |  | $ | (339.0 | ) |  | $ | 92.9 |  |  | $ | 127.0 |  |  | $ | 98.3 |  |  | $ | 290.4 |
Summary of value, collateral provided (held) by WM Life Re and net exposure on OTC derivative instruments | The following summarizes the value of collateral provided (held) by WM Life Re and net exposure on OTC derivative instruments recorded within other assets:
Millions |  | December 31, 2012 |  | December 31, 2011
OTC derivative instruments (1) |  | $ | 123.5 |  |  | $ | 295.4 |
Collateral held |  | (30.6 | ) |  | (73.2 | )
Collateral provided |  | 119.3 |  |  | 83.0 |
Net exposure on fair value of OTC instruments |  | $ | 212.2 |  |  | $ | 305.2 |
(1)Value of OTC derivative instruments as of December 31, 2012 and 2011 excludes adjustments for counterparty credit risk of $(3.6) and $(9.1) included in fair value under GAAP.
Schedule of Uncollateralized Amounts Due | The following table summarizes uncollateralized amounts due under WM Life Re’s OTC derivative contracts as of December 31, 2012 by counterparty:
Millions |  | Uncollateralized balance as of December 31, 2012 |  | Standard & Poor’s Rating (1)
Citigroup (2) |  | $ | 54.9 |  |  | A
Bank of America |  | 49.6 |  |  | A
Royal Bank of Scotland |  | 34.5 |  |  | A
JP Morgan Chase (2) |  | 30.9 |  |  | A+
Nomura (2) |  | 26.9 |  |  | BBB+
Barclays |  | 12.3 |  |  | A+
Goldman Sachs |  | 3.1 |  |  | A-
Total |  | $ | 212.2 |  |  |
(1) | Standard & Poor’s ratings as detailed above are: “A+” (Strong, which is the fifth highest of twenty-one creditworthiness ratings),“A” (which is the sixth highest of twenty-one creditworthiness ratings), “A-” (which is the seventh highest of twenty-one creditworthiness ratings), and BBB+ (which is the eighth highest of twenty-one creditworthiness ratings).
(2) | Collateral provided (held) calculated under master netting agreement.
The following table summarizes the notional amounts and the uncollateralized balances associated with forward currency contracts by counterparty:
|  | December 31, 2012 |  |
Millions |  | Notional amount |  | Uncollateralized Balance |  | S&P Rating (1)
Deutsche Bank |  | $ | 11.1 |  |  | $ | — |  |  | A+
Barclays Bank London |  | 7.7 |  |  | (.1 | ) |  | A+
HSBC Bank plc |  | 10.1 |  |  | — |  |  | AA-
JP Morgan |  | 1.9 |  |  | — |  |  | A+
Goldman Sachs |  | .4 |  |  | — |  |  | A-
Total |  | $ | 31.2 |  |  | $ | (.1 | ) |  |
(1) Standard & Poor’s (“S&P”) ratings as detailed above are: “AA-” (Very Strong, which is the sixth highest of twenty-one creditworthiness ratings), “A+” (Strong, which is the seventh highest of twenty-one creditworthiness ratings) and “A” (Strong, which is the eighth highest of twenty-one creditworthiness ratings).
Summary of additional collateral posted for variable reinsurance counterparties | The total collateral comprises the following:
|  | Year Ended December 31,
Millions |  | 2012 |  | 2011
Cash |  | $ | 249.8 |  |  | $ | 453.5 |
Short-term investments |  | 5.1 |  |  | .6 |
Fixed maturity investments |  | 138.7 |  |  | 31.2 |
Total |  | $ | 393.6 |  |  | $ | 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 Assets posted as collateral under variable annuity reinsurance trust agreement for the benefit of the reinsurance counterparty. + References No definition available. + 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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