XML 121 R103.htm IDEA: XBRL DOCUMENT v2.4.0.6
Derivatives (Variable Annuity Reinsurance Liabilities and Derivative Instruments) (Details) (White Mountains Life Re, USD $)
In Millions, unless otherwise specified
12 Months Ended
Dec. 31, 2012
Dec. 31, 2011
Dec. 31, 2010
Variable Annuity Reinsurance [Line Items]      
Derivative Collateral Right to Reclaim $ 30.6 $ 73.2  
Changes in derivative instruments      
Beginning of period 290.4    
Change in fair value of derivatives, included in other revenues (339.0) 92.9 127.0
Ending balance 98.3 290.4  
Level 3
     
Changes in variable annuity (liabilities)      
Beginning balance (768.5) (610.2) (380.7)
Purchases 0 0 0
Realized and unrealized gains (losses) 327.0 (158.3) (229.5)
Transfers in (out) 0 0 0
Sales/settlements 0 0 0
Ending balance (441.5) (768.5) (610.2)
Changes in derivative instruments      
Beginning of period 247.1 [1] 275.3 [1] 208.5 [1]
Purchases 6.1 [1] 5.0 [1] 19.4 [1]
Change in fair value of derivatives, included in other revenues (84.0) [1] 14.5 [1] 66.4 [1]
Transfers in (out) 0 [1] 0 [1] 0 [1]
Sales/settlements (28.7) [1] (47.7) [1] (19.0) [1]
Ending balance 140.5 [1] 247.1 [1] 275.3 [1]
Level 2
     
Changes in derivative instruments      
Beginning of period 39.2 [1],[2] 72.2 [1],[2] 23.8 [1],[2]
Purchases 0 [1],[2] 0 [1],[2] 0 [1],[2]
Change in fair value of derivatives, included in other revenues (186.9) [1],[2] 67.7 [1],[2] 80.0 [1],[2]
Transfers in (out) 0 [1],[2] 0 [1],[2] 0 [1],[2]
Sales/settlements 127.2 [1],[2] (100.7) [1],[2] (31.6) [1],[2]
Ending balance (20.5) [1],[2] 39.2 [1],[2] 72.2 [1],[2]
Level 1
     
Changes in derivative instruments      
Beginning of period 4.1 [3] 0 [3] (38.0) [3]
Purchases 0 [3] 0 [3] 0 [3]
Change in fair value of derivatives, included in other revenues (68.1) [3] 10.7 [3] (19.4) [3]
Transfers in (out) 0 [3] 0 [3] 0 [3]
Sales/settlements 42.3 [3] (6.6) [3] 57.4 [3]
Ending balance (21.7) [3] 4.1 [3] 0 [3]
Fair value
     
Changes in derivative instruments      
Beginning of period 290.4 [4] 347.5 [4] 194.3 [4]
Purchases 6.1 [4] 5.0 [4] 19.4 [4]
Change in fair value of derivatives, included in other revenues (339.0) [4] 92.9 [4] 127.0 [4]
Transfers in (out) 0 [4] 0 [4] 0 [4]
Sales/settlements 140.8 [4] (155.0) [4] 6.8 [4]
Ending balance 98.3 [4] 290.4 [4] 347.5 [4]
Cash
     
Variable Annuity Reinsurance [Line Items]      
Derivative Collateral Right to Reclaim $ 249.8 $ 453.5 $ 326.0
[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.