XML 116 R108.htm IDEA: XBRL DOCUMENT v2.4.0.8
Derivatives (Variable Annuity Reinsurance Liabilities and Derivative Instruments) (Details) (White Mountains Life Re, USD $)
In Millions, unless otherwise specified
 12 Months Ended
Dec. 31, 2013
Dec. 31, 2012
Dec. 31, 2011
Changes in derivative instruments      
Beginning of period $ 98.3    
Realized and unrealized gains (losses) 402.0 339.0 (92.9)
Ending balance 69.2 98.3  
Level 3
      
Changes in variable annuity (liabilities)      
Beginning balance (441.5) (768.5) (610.2)
Purchases 0 0 0
Realized and unrealized gains (losses) (388.7) [1] (327.0) [1] 158.3 [1]
Transfers in (out) 0 0 0
Sales/settlements    0 0
Ending balance (52.8) (441.5) (768.5)
Changes in derivative instruments      
Beginning of period 140.5 [2] 247.1 [2] 275.3 [2]
Purchases 59.4 [2] 6.1 [2] 5.0 [2]
Realized and unrealized gains (losses) (136.5) [2] (84.0) [2] 14.5 [2]
Transfers in (out) 0 [2] 0 [2] 0 [2]
Sales/settlements    [2] (28.7) [2] (47.7) [2]
Ending balance 63.4 [2] 140.5 [2] 247.1 [2]
Level 2
      
Changes in derivative instruments      
Beginning of period (20.5) [2],[3] 39.2 [2],[3] 72.2 [2],[3]
Purchases 0 [2],[3] 0 [2],[3] 0 [2],[3]
Realized and unrealized gains (losses) (196.1) [2],[3] (186.9) [2],[3] 67.7 [2],[3]
Transfers in (out) 0 [2],[3] 0 [2],[3] 0 [2],[3]
Sales/settlements 221.3 [2],[3] 127.2 [2],[3] (100.7) [2],[3]
Ending balance 4.7 [2],[3] (20.5) [2],[3] 39.2 [2],[3]
Level 1
      
Changes in derivative instruments      
Beginning of period (21.7) [4] 4.1 [4] 0 [4]
Purchases 0 [4] 0 [4] 0 [4]
Realized and unrealized gains (losses) (69.4) [4] (68.1) [4] 10.7 [4]
Transfers in (out) 0 [4] 0 [4] 0 [4]
Sales/settlements 92.2 [4] 42.3 [4] (6.6) [4]
Ending balance 1.1 [4] (21.7) [4] 4.1 [4]
Fair value
      
Changes in derivative instruments      
Beginning of period 98.3 [5] 290.4 [5] 347.5 [5]
Purchases 59.4 [5] 6.1 [5] 5.0 [5]
Realized and unrealized gains (losses) (402.0) [5] (339.0) [5] 92.9 [5]
Transfers in (out) 0 [5] 0 [5] 0 [5]
Sales/settlements 313.5 [5] 140.8 [5] (155.0) [5]
Ending balance $ 69.2 [5] $ 98.3 [5] $ 290.4 [5]
[1] Includes $10.2, $14.2, $(1.8) for December 31, 2013, 2012 and 2011 related to the change in the fair value of variable annuity death benefit liabilities, which are included in general and administrative expenses.
[2] Consists of over-the-counter instruments.
[3] 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.
[4] 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.
[5] In addition to derivative instruments, WM Life Re held cash, short-term and fixed maturity investments of $81.3, $393.6 and $485.3 at December 31, 2013, 2012 and 2011 posted as collateral to its reinsurance counterparties.