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Derivatives (Tables) | 3 Months Ended
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Mar. 31, 2013
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 three months ended March 31, 2013 and 2012
|  | Three Months Ended
|  | March 31,
Millions |  | 2013 |  | 2012
Fees, included in other revenues |  | $ | 6.8 |  |  | $ | 8.0 |
Change in fair value of variable annuity liability, included in other revenues |  | 184.3 |  |  | 211.2 |
Change in fair value of derivatives, included in other revenues |  | (181.8 | ) |  | (206.5 | )
Foreign exchange, included in other revenues |  | (14.6 | ) |  | (23.0 | )
Other investment income and gains (losses) |  | (4.0 | ) |  | (2.1 | )
Total revenues |  | (9.3 | ) |  | (12.4 | )
Change in fair value of variable annuity death benefit liabilities, included in other general and administrative expenses |  | 5.6 |  |  | 8.8 |
Death benefit claims paid, included in general and administrative expenses |  | (1.1 | ) |  | (1.8 | )
General and administrative expenses |  | (1.7 | ) |  | (1.3 | )
Pre-tax loss |  | $ | (6.5 | ) |  | $ | (6.7 | )
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 months ended March 31, 2013 and 2012 and the carrying values, included in other assets, at March 31, 2013 and December 31, 2012 by type of instrument:
|  |  |  | Carrying Value
|  | Three Months Ended |  | As of
|  | March 31, |  | March 31, 2013 |  | December 31, 2012
Millions |  | 2013 |  | 2012 |  |
Fixed income/interest rate |  | $ | (30.9 | ) |  | $ | (79.0 | ) |  | $ | (16.2 | ) |  | $ | 27.1 |
Foreign exchange |  | (53.6 | ) |  | (55.0 | ) |  | 74.1 |  |  | 52.8 |
Equity |  | (97.3 | ) |  | (72.5 | ) |  | 17.9 |  |  | 18.4 |
Total |  | $ | (181.8 | ) |  | $ | (206.5 | ) |  | $ | 75.8 |  |  | $ | 98.3 |
Fair Value of Assets and Liabilities Measured on Recurring and Non-recurring Basis Table | The following tables summarize the changes in White Mountains’ variable annuity reinsurance liabilities and derivative instruments for the three months ended March 31, 2013 and 2012:
|  | Three Months Ended March 31, 2013
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total
Beginning of period |  | $ | (441.5 | ) |  | $ | 140.5 |  |  | $ | (20.5 | ) |  | $ | (21.7 | ) |  | $ | 98.3 |
Purchases |  | — |  |  | 36.1 |  |  | — |  |  | — |  |  | 36.1 |
Realized and unrealized gains (losses) |  | 189.9 |  | (4) | (49.2 | ) |  | (85.5 | ) |  | (47.1 | ) |  | (181.8 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | — |  |  | 63.1 |  |  | 60.1 |  |  | 123.2 |
End of period |  | $ | (251.6 | ) |  | $ | 127.4 |  |  | $ | (42.9 | ) |  | $ | (8.7 | ) |  | $ | 75.8 |
|  | Three Months Ended March 31, 2012
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total
Beginning of period |  | $ | (768.5 | ) |  | $ | 247.1 |  |  | $ | 39.2 |  |  | $ | 4.1 |  |  | $ | 290.4 |
Purchases |  | — |  |  | 6.1 |  |  | — |  |  | — |  |  | 6.1 |
Realized and unrealized gains (losses) |  | 220.0 |  | (4) | (60.3 | ) |  | (98.2 | ) |  | (48.0 | ) |  | (206.5 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (9.1 | ) |  | 58.9 |  |  | 34.5 |  |  | 84.3 |
End of period |  | $ | (548.5 | ) |  | $ | 183.8 |  |  | $ | (.1 | ) |  | $ | (9.4 | ) |  | $ | 174.3 |
(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) Includes $5.6 and $8.8 for the three months ended March 31, 2013 and 2012, respectively, related to the increase in the fair value of variable annuity death benefit liabilities, which are included in other general and administrative expenses The following tables summarize the changes in White Mountains' forward contracts for the three months ended March 31, 2013:
Millions |  | March 31, 2013
Beginning of period |  | $ | (.1 | )
Purchases |  | — |
Net realized and unrealized gains |  | .4 |
Sales/settlements |  | (.5 | )
End of period |  | $ | (.2 | )
Summary of additional collateral posted for variable reinsurance counterparties | In addition to derivative instruments, WM Life Re held cash, short-term and fixed maturity investments posted as collateral to its variable annuity reinsurance counterparties. The total collateral comprises the following:
Millions |  | March 31, 2013 |  | December 31, 2012 |  | March 31, 2012
Cash |  | $ | 188.5 |  |  | $ | 249.8 |  |  | $ | 360.1 |
Short-term investments |  | 15.6 |  |  | 5.1 |  |  | 1.5 |
Fixed maturity investments |  | 25.7 |  |  | 138.7 |  |  | 29.3 |
Total |  | $ | 229.8 |  |  | $ | 393.6 |  |  | $ | 390.9 |
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:
($ in Millions) |  | March 31, 2013
Description |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range |  | Weighted Average
Variable annuity benefit guarantee liabilities |  | $ | 251.6 |  |  | Discounted cash flows |  | Surrenders |  |  |  |  |  |
|  |  |  | 1 year |  | 0.3 | % | - | 3.0% |  | 0.7 | %
|  |  |  | 2 year |  | 0.2 | % | - | 3.0% |  | 0.8 | %
|  |  |  |  | 3 and more years |  | 0.1 | % | - | 3.0% |  | 0.7 | %
|  |  |  |  | Mortality |  | 0.0 | % | - | 5.3% |  | 0.9 | %
|  |  |  |  | Foreign exchange volatilities |  |  |  |  |  |
|  |  |  |  |  | 1 year |  | 11.2 | % | - | 13.3% |  | 12.2 | %
|  |  |  |  |  | 2 year |  | 11.7 | % | - | 14.0% |  | 12.6 | %
|  |  |  |  |  | 3 and more years |  | 12.3 | % | - | 14.6% |  | 13.2 | %
|  |  |  |  |  | Index volatilities |  |  |  |  |  |
|  |  |  |  |  | 1 year |  | 11.9 | % | - | 17.9% |  | 13.3 | %
|  |  |  |  |  | 2 year |  | 16.5 | % | - | 20.7% |  | 18.0 | %
|  |  |  |  |  | 3 and more years |  | 18.6 | % | - | 22.3% |  | 20.9 | %
Foreign exchange options |  | $ | 74.2 |  |  | Counterparty valuations, adjusted for unwind quote discount |  | Adjustment to counterparty valuations |  | (0.1 | )% | - | (3.2)% |  | (2.1 | )%
Equity index options | $ | 53.2 |  |  | Counterparty valuations, adjusted for unwind quote discount |  | Adjustment to counterparty valuations |  | (1.7 | )% | - | (3.0)% |  | (2.5 | )%
Summary of value, collateral provided (held) by WM Life Re and net exposure on OTC derivative instruments | The following summarizes amounts offset under master netting agreements:
|  | March 31, 2013 |  | December 31, 2012
Millions |  | Gross asset amounts before offsets(1) |  | Gross liability amounts offset under master netting arrangements |  | Net amounts recognized in Other Assets |  | Gross asset amounts before offsets(1) |  | Gross liability amounts offset under master netting arrangements |  | Net amounts recognized in Other Assets
Interest rate contracts |  |  |  |  |  |  |  |  |  |  |  |
OTC |  | $ | — |  |  | $ | (15.6 | ) |  | $ | (15.6 | ) |  | $ | 52.6 |  |  | $ | (26.9 | ) |  | $ | 25.7 |
Exchange traded |  | 1.0 |  |  | (1.6 | ) |  | (.6 | ) |  | 1.6 |  |  | (.2 | ) |  | 1.4 |
Foreign exchange contracts |  |  |  |  |  |  |  |  |  |  |  |
OTC |  | 89.6 |  |  | (15.5 | ) |  | 74.1 |  |  | 87.8 |  |  | (34.4 | ) |  | 53.4 |
Exchange traded |  | .6 |  |  | (.6 | ) |  | — |  |  | .8 |  |  | (1.4 | ) |  | (.6 | )
Equity contracts |  |  |  |  |  |  |  |  |  |  |  |
OTC |  | 53.2 |  |  | (27.2 | ) |  | 26.0 |  |  | 63.6 |  |  | (22.9 | ) |  | 40.7 |
Exchange traded |  | .4 |  |  | (8.5 | ) |  | (8.1 | ) |  | .1 |  |  | (22.4 | ) |  | (22.3 | )
Total(2) |  | $ | 144.8 |  |  | $ | (69.0 | ) |  | $ | 75.8 |  |  | $ | 206.5 |  |  | $ | (108.2 | ) |  | $ | 98.3 |
(1) Amount equal to fair value of instrument as recognized in other assets. (2) All derivative instruments held by WM Life Re are subject to master netting arrangements.
Schedule of Uncollateralized Amounts Due | The following summarizes the value, collateral held or provided by WM Life Re and net exposure to credit losses on OTC and exchange traded derivative instruments by counterparty recorded within other assets:
|  | March 31, 2013
Millions |  | Net amount of assets reflected in Balance Sheet |  | Collateral provided - Financial Instruments |  | Collateral held - Financial Instruments |  | Collateral provided - Cash |  | Collateral held - Cash |  | Net amount of exposure after effect of collateral held |  | Standard & Poor's Rating(1)
Bank of America |  | $ | 60.0 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 10.8 |  |  | $ | 49.2 |  |  | A |
Barclays |  | 6.5 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 6.5 |  |  | A | +
JP Morgan |  | 3.1 |  |  | — |  |  | — |  |  | 31.3 |  |  | — |  |  | 34.4 |  |  | A | +
Royal Bank of Scotland |  | 26.4 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 26.4 |  |  | A |
Nomura |  | (6.2 | ) |  | 25.6 |  |  | — |  |  | 8.2 |  |  | — |  |  | 27.6 |  |  | BBB | +
Goldman Sachs |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | A | -
Citigroup - OTC |  | (5.3 | ) |  | — |  |  | — |  |  | 25.3 |  |  | — |  |  | 20.0 |  |  | A |
Citigroup - Exchange Traded |  | (8.7 | ) |  | — |  |  | — |  |  | 24.7 |  |  | — |  |  | 16.0 |  |  | A |
Total |  | $ | 75.8 |  |  | $ | 25.6 |  |  | $ | — |  |  | $ | 89.5 |  |  | $ | 10.8 |  |  | $ | 180.1 |  |  |  |
|  | December 31, 2012 |
Millions |  | Net amount of assets reflected in Balance Sheet |  | Collateral provided - Financial Instruments |  | Collateral held - Financial Instruments |  | Collateral provided - Cash |  | Collateral held - Cash |  | Net amount of exposure after effect of collateral held |  | Standard & Poor's Rating(1)
Bank of America |  | $ | 78.5 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 30.6 |  |  | $ | 47.9 |  |  | A |
Barclays |  | 11.6 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 11.6 |  |  | A | +
JP Morgan |  | (22.8 | ) |  | — |  |  | — |  |  | 55.6 |  |  | — |  |  | 32.8 |  |  | A | +
Royal Bank of Scotland |  | 33.6 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 33.6 |  |  | A |
Nomura |  | (0.9 | ) |  | 28.1 |  |  | — |  |  | 1.7 |  |  | — |  |  | 28.9 |  |  | BBB | +
Goldman Sachs |  | (0.1 | ) |  | — |  |  | — |  |  | 3.2 |  |  | — |  |  | 3.1 |  |  | A | -
Citigroup - OTC |  | 19.9 |  |  | — |  |  | — |  |  | 30.8 |  |  | — |  |  | 50.7 |  |  | A |
Citigroup - Exchange Traded |  | (21.5 | ) |  | — |  |  | — |  |  | 35.0 |  |  | — |  |  | 13.5 |  |  | A |
Total |  | $ | 98.3 |  |  | $ | 28.1 |  |  | $ | — |  |  | $ | 126.3 |  |  | $ | 30.6 |  |  | $ | 222.1 |  |  |  |
(1) Standard & Poor’s (“S&P”) ratings as detailed above are: “A+” (Strong, which is the fifth highest of twenty-one creditworthiness ratings), “A” (Strong, which is the sixth highest of twenty-one creditworthiness ratings), “A-” (Strong, which is the seventh highest of twenty-one creditworthiness ratings) and “BBB+” (Adequate, which is the eighth highest of twenty-one creditworthiness ratings). The following summarizes amounts offset under master netting agreements:
|  | March 31, 2013 |  | December 31, 2012
Millions |  | Gross asset amounts before offsets(1) |  | Gross liability amounts offset under master netting arrangements |  | Net amounts recognized in Other assets |  | Gross asset amounts before offsets(1) |  | Gross liability amounts offset under master netting arrangements |  | Net amounts recognized in Other assets
USD |  | $ | .1 |  |  | $ | (.4 | ) |  | $ | (.3 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |
EUR |  | — |  |  | — |  |  | — |  |  | — |  |  | (.1 | ) |  | (.1 | )
GBP |  | .2 |  |  | (.1 | ) |  | .1 |  |  | — |  |  | — |  |  | — |
Total |  | $ | .3 |  |  | $ | (.5 | ) |  | $ | (.2 | ) |  | $ | — |  |  | $ | (.1 | ) |  | $ | (.1 | )
(1) Amount equal to fair value of instrument as recognized in other assets.
Unrealized derivative gains and losses | The following summarizes realized and unrealized derivative gains (losses) recognized in net realized and unrealized investment gains for the three months ended March 31, 2013 and the carrying values, included in other long-term investments, at March 31, 2013 by type of currency:
|  | March 31, 2013
Millions |  | Gains (Losses) |  | Carrying Value
USD |  | $ | (.3 | ) |  | $ | (.3 | )
SEK |  | — |  |  | — |
EUR |  | — |  |  | — |
GBP |  | .7 |  |  | .1 |
Total |  | $ | .4 |  |  | $ | (.2 | )
Schedule of uncollateralized amounts due | The following table summarizes the notional amounts and uncollateralized balances associated with forward currency contracts:
|  | March 31, 2013 |  | December 31, 2012
Millions |  | Notional Amount |  | Carrying Value |  | Standard & Poor's Rating(1) |  | Notional Amount |  | Carrying Value
Barclays |  | 24.7 |  |  | .1 |  |  | A+ |  | 7.7 |  |  | (.1 | )
Deutsche Bank |  | 13.8 |  |  | (.2 | ) |  | A+ |  | 11.1 |  |  | — |
Goldman Sachs |  | 1.1 |  |  | — |  |  | A- |  | .4 |  |  | — |
HSBC |  | .1 |  |  | — |  |  | AA- |  | 10.1 |  |  | — |
JP Morgan |  | 22.1 |  |  | .1 |  |  | A+ |  | 1.9 |  |  | — |
Royal Bank of Canada |  | 17.5 |  |  | (.2 | ) |  | AA- |  | — |  |  | — |
Total |  | $ | 79.3 |  |  | $ | (.2 | ) |  |  |  | $ | 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).

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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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