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Derivatives (Tables) | 9 Months Ended
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Sep. 30, 2014
Interest Rate Cap |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Fair Value of Assets and Liabilities Measured on Recurring and Non-recurring Basis Table | The following tables summarize the changes in the fair value of the Interest Rate Cap for the three and nine months ended September 30, 2014:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2014 |  | 2014
Beginning of period |  | $ | 6.2 |  |  | $ | 11.1 |
Net realized and unrealized losses |  | (.8 | ) |  | (5.7 | )
End of period |  | $ | 5.4 |  |  | $ | 5.4 |
Variable Annuity |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
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, 2014 and 2013.
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Millions |  | 2014 |  | 2013 |  | 2014 |  | 2013
Fees, included in other revenue |  | $ | 4.5 |  |  | $ | 6.2 |  |  | $ | 15.0 |  |  | $ | 19.2 |
Change in fair value of variable annuity liability, included in other revenue |  | 19.9 |  |  | 49.1 |  |  | 40.5 |  |  | 289.3 |
Change in fair value of derivatives, included in other revenue |  | (23.8 | ) |  | (63.1 | ) |  | (56.5 | ) |  | (308.4 | )
Foreign exchange, included in other revenue |  | (1.7 | ) |  | .6 |  |  | (1.2 | ) |  | (13.9 | )
Other investment income and (losses) gains |  | (.9 | ) |  | .2 |  |  | (.4 | ) |  | (5.2 | )
Total revenue |  | (2.0 | ) |  | (7.0 | ) |  | (2.6 | ) |  | (19.0 | )
Change in fair value of variable annuity death benefit liabilities, included in other general and administrative expenses |  | .2 |  |  | 1.3 |  |  | .6 |  |  | 8.5 |
Death benefit claims paid, included in general and administrative expenses |  | — |  |  | (.2 | ) |  | (.1 | ) |  | (1.6 | )
General and administrative expenses |  | (.9 | ) |  | (1.0 | ) |  | (3.3 | ) |  | (3.8 | )
Pre-tax loss |  | $ | (2.7 | ) |  | $ | (6.9 | ) |  | $ | (5.4 | ) |  | $ | (15.9 | )
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 revenue for the three and nine months ended September 30, 2014 and 2013 and the carrying values, included in other assets, at September 30, 2014 and December 31, 2013 by type of instrument:
|  | Gains (losses) |  | Carrying Value
|  | Three Months Ended |  | Nine Months Ended |  | As of
|  | September 30, |  | September 30, |  | September 30, 2014 |  | December 31, 2013
Millions |  | 2014 |  | 2013 |  | 2014 |  | 2013 |  |
Fixed income/interest rate |  | $ | (8.4 | ) |  | $ | (24.1 | ) |  | $ | (20.4 | ) |  | $ | (97.4 | ) |  | $ | (2.1 | ) |  | $ | (9.7 | )
Foreign exchange |  | (.4 | ) |  | (28.5 | ) |  | (13.3 | ) |  | (144.5 | ) |  | 52.3 |  |  | 58.0 |
Equity |  | (15.0 | ) |  | (10.5 | ) |  | (22.8 | ) |  | (66.5 | ) |  | 15.1 |  |  | 20.9 |
Total |  | $ | (23.8 | ) |  | $ | (63.1 | ) |  | $ | (56.5 | ) |  | $ | (308.4 | ) |  | $ | 65.3 |  |  | $ | 69.2 |
Fair Value of Assets and Liabilities Measured on Recurring and Non-recurring Basis Table | The following tables summarize the changes in White Mountains’s variable annuity reinsurance liabilities and derivative instruments for the three and nine months ended September 30, 2014 and 2013:
|  | Three Months Ended September 30, 2014
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total
Beginning of period |  | $ | (31.8 | ) |  | $ | 53.3 |  |  | $ | 22.3 |  |  | $ | (.8 | ) |  | $ | 74.8 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized gains (losses) |  | 20.1 |  | (4) | (17.4 | ) |  | (19.8 | ) |  | 13.4 |  |  | (23.8 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | — |  |  | 22.5 |  |  | (8.2 | ) |  | 14.3 |
End of period |  | $ | (11.7 | ) |  | $ | 35.9 |  |  | $ | 25.0 |  |  | $ | 4.4 |  |  | $ | 65.3 |
|  | Nine Months Ended September 30, 2014
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total
Beginning of period |  | $ | (52.8 | ) |  | $ | 63.4 |  |  | $ | 4.7 |  |  | $ | 1.1 |  |  | $ | 69.2 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized gains (losses) |  | 41.1 |  | (4) | (27.5 | ) |  | (42.1 | ) |  | 13.1 |  |  | (56.5 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | — |  |  | 62.4 |  |  | (9.8 | ) |  | 52.6 |
End of period |  | $ | (11.7 | ) |  | $ | 35.9 |  |  | $ | 25.0 |  |  | $ | 4.4 |  |  | $ | 65.3 |
|  | Three Months Ended September 30, 2013
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total
Beginning of period |  | $ | (194.1 | ) |  | $ | 126.5 |  |  | $ | 18.2 |  |  | $ | (3.4 | ) |  | $ | 141.3 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized gains (losses) |  | 50.4 |  | (4) | (24.1 | ) |  | (28.5 | ) |  | (10.5 | ) |  | (63.1 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | — |  |  | 3.2 |  |  | 10.1 |  |  | 13.3 |
End of period |  | $ | (143.7 | ) |  | $ | 102.4 |  |  | $ | (7.1 | ) |  | $ | (3.8 | ) |  | $ | 91.5 |
|  | Nine Months Ended September 30, 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 |  | — |  |  | 59.3 |  |  | — |  |  | — |  |  | 59.3 |
Realized and unrealized gains (losses) |  | 297.8 |  | (4) | (97.4 | ) |  | (144.5 | ) |  | (66.5 | ) |  | (308.4 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | — |  |  | 157.9 |  |  | 84.4 |  |  | 242.3 |
End of period |  | $ | (143.7 | ) |  | $ | 102.4 |  |  | $ | (7.1 | ) |  | $ | (3.8 | ) |  | $ | 91.5 |
(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) Includes $0.2 and $0.6 for the three and nine months ended September 30, 2014 and $1.3 and $8.5 for the three and nine months ended September 30, 2013 related to the change in the fair value of variable annuity death benefit liabilities, which are included in general and administrative expenses
Assets Held under Reinsurance Counterparty Trust Agreement | 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 includes the following:
Millions |  | September 30, 2014 |  | December 31, 2013 |  | September 30, 2013
Cash |  | $ | 23.8 |  |  | $ | 56.1 |  |  | $ | 74.4 |
Short-term investments |  | — |  |  | 2.0 |  |  | 15.8 |
Fixed maturity investments |  | 10.4 |  |  | 23.2 |  |  | 24.6 |
Total |  | $ | 34.2 |  |  | $ | 81.3 |  |  | $ | 114.8 |
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) |  | September 30, 2014
Description |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range |  | Weighted Average
Variable annuity benefit guarantee liabilities |  | $ | 11.7 |  |  | Discounted cash flows |  | Surrenders |  |  |  |  |  |
|  |  |  | 1 year |  | 0.2 | % | - | 32.0% |  | 26.0 | %
|  |  |  | 2 year |  | 0.1 | % | - | 14.0% |  | 7.2 | %
|  |  |  |  | Mortality |  | 0.0 | % | - | 5.9% |  | 1.0 | %
|  |  |  |  | Foreign exchange volatilities |  |  |  |  |  |
|  |  |  |  |  | 1 year |  | 10.3 | % | - | 13.0% |  | 10.9 | %
|  |  |  |  |  | 2 year |  | 10.6 | % | - | 12.6% |  | 11.4 | %
|  |  |  |  |  | Index volatilities |  |  |  |  |  |
|  |  |  |  |  | 1 year |  | 18.3 | % | - | 21.0% |  | 20.3 | %
|  |  |  |  |  | 2 year |  | 18.2 | % | - | 21.1% |  | 20.3 | %
Foreign exchange options |  | $ | 15.4 |  |  | Counterparty valuations, adjusted for unwind quote discount |  | Adjustment to counterparty valuations |  | (1.2 | )% | - | 8.0% |  | 2.6 | %
Equity index options | $ | 20.5 |  |  | Counterparty valuations, adjusted for unwind quote discount |  | Adjustment to counterparty valuations |  | 0.5 | % | - | 9.7% |  | 3.2 | %
Exchange traded and OTC derivative instruments | The following summarizes amounts offset under master netting agreements:
|  | September 30, 2014 |  | December 31, 2013
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 |  | $ | .2 |  |  | $ | (3.1 | ) |  | $ | (2.9 | ) |  | $ | 2.4 |  |  | $ | (11.7 | ) |  | $ | (9.3 | )
Exchange traded |  | .8 |  |  | — |  |  | .8 |  |  | 1.0 |  |  | (1.6 | ) |  | (.6 | )
Foreign exchange contracts |  |  |  |  |  |  |  |  |  |  |  |
OTC |  | 48.0 |  |  | — |  |  | 48.0 |  |  | 67.8 |  |  | (12.0 | ) |  | 55.8 |
Exchange traded |  | 5.0 |  |  | (.7 | ) |  | 4.3 |  |  | 2.3 |  |  | — |  |  | 2.3 |
Equity contracts |  |  |  |  |  |  |  |  |  |  |  |
OTC |  | 20.5 |  |  | (4.7 | ) |  | 15.8 |  |  | 30.7 |  |  | (9.2 | ) |  | 21.5 |
Exchange traded |  | .6 |  |  | (1.3 | ) |  | (.7 | ) |  | 1.8 |  |  | (2.3 | ) |  | (.5 | )
Total(2) |  | $ | 75.1 |  |  | $ | (9.8 | ) |  | $ | 65.3 |  |  | $ | 106.0 |  |  | $ | (36.8 | ) |  | $ | 69.2 |
(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.
Net exposure to collateral | 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:
|  | September 30, 2014
Millions |  | Net amount of assets reflected in Balance Sheet |  | Collateral provided to counterparty - Cash |  | Collateral provided to counter-party - Financial Instruments |  | Net amount of exposure after effect of collateral provided |  | Excess collateral provided to counter-party- Cash |  | Excess collateral provided - Financial Instruments |  | Counter-party collateral held by WMLife Re - Cash |  | Net amount of exposure to counter-party |  | Standard & Poor's Rating(1)
Bank of America |  | $ | 16.5 |  |  | $ | — |  |  | $ | — |  |  | $ | 16.5 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 16.5 |  |  | A |
Barclays |  | .5 |  |  | — |  |  | — |  |  | .5 |  |  | — |  |  | — |  |  | — |  |  | .5 |  |  | A |
JP Morgan |  | 21.7 |  |  | — |  |  | — |  |  | 21.7 |  |  | — |  |  | — |  |  | — |  |  | 21.7 |  |  | A | +
Royal Bank of Scotland |  | 7.1 |  |  | — |  |  | — |  |  | 7.1 |  |  | — |  |  | — |  |  | — |  |  | 7.1 |  |  | A | -
Nomura |  | (.3 | ) |  | .3 |  |  | — |  |  | — |  |  | 2.6 |  |  | 10.4 |  |  | — |  |  | 13.0 |  |  | BBB | +
Citigroup - OTC |  | 15.5 |  |  | — |  |  | — |  |  | 15.5 |  |  | 6.9 |  |  | — |  |  | — |  |  | 22.4 |  |  | A |
Citigroup - Exchange Traded |  | 4.3 |  |  | — |  |  | — |  |  | 4.3 |  |  | 13.9 |  |  | — |  |  | — |  |  | 18.2 |  |  | A |
Total |  | $ | 65.3 |  |  | $ | .3 |  |  | $ | — |  |  | $ | 65.6 |  |  | $ | 23.4 |  |  | $ | 10.4 |  |  | $ | — |  |  | $ | 99.4 |  |  |  |
|  | December 31, 2013 |
Millions |  | Net amount of assets reflected in Balance Sheet |  | Collateral provided to counter-party - Cash |  | Collateral provided to counter-party - Financial Instruments |  | Net amount of exposure after effect of collateral provided |  | Excess collateral provided to counter-party- Cash |  | Excess collateral provided - Financial Instruments |  | Counter-party collateral held by WMLife Re- Cash |  | Net amount of exposure to counter-party |  | Standard & Poor's Rating(1)
Bank of America |  | $ | 27.2 |  |  | $ | — |  |  | — |  |  | $ | 27.2 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 27.2 |  |  | A |
Barclays |  | 1.4 |  |  | — |  |  | — |  |  | 1.4 |  |  | — |  |  | — |  |  | — |  |  | 1.4 |  |  | A |
JP Morgan |  | 9.1 |  |  | — |  |  | — |  |  | 9.1 |  |  | 22.0 |  |  | — |  |  | — |  |  | 31.1 |  |  | A | +
Royal Bank of Scotland |  | 11.3 |  |  | — |  |  | — |  |  | 11.3 |  |  | — |  |  | — |  |  | — |  |  | 11.3 |  |  | A |
Nomura |  | (.4 | ) |  | — |  |  | .4 |  |  | — |  |  | — |  |  | 22.8 |  |  | (.8 | ) |  | 22.0 |  |  | BBB | +
Citigroup - OTC |  | 19.4 |  |  | — |  |  | — |  |  | 19.4 |  |  | 2.3 |  |  | — |  |  | — |  |  | 21.7 |  |  | A |
Citigroup - Exchange Traded |  | 1.2 |  |  | — |  |  | — |  |  | 1.2 |  |  | 19.8 |  |  | — |  |  | — |  |  | 21.0 |  |  | A |
Total |  | $ | 69.2 |  |  | $ | — |  |  | $ | .4 |  |  | $ | 69.6 |  |  | $ | 44.1 |  |  | $ | 22.8 |  |  | $ | (.8 | ) |  | $ | 135.7 |  |  |  |
(1) Standard & Poor’s 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).
Forward Contracts |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Schedule of uncollateralized amounts due | The following table summarizes the notional amounts and uncollateralized balances associated with forward currency contracts:
|  | September 30, 2014 |  | December 31, 2013
Millions |  | Notional Amount |  | Carrying Value |  | Standard & Poor's Rating(1) |  | Notional Amount |  | Carrying Value
Barclays Bank Plc |  | $ | 1.3 |  |  | $ | — |  |  | A |  | $ | 5.8 |  |  | $ | — |
Deutsche Bank |  | 2.2 |  |  | .1 |  |  | A |  | 7.7 |  |  | — |
Goldman Sachs |  | 3.6 |  |  | .1 |  |  | A |  | 2.1 |  |  | — |
HSBC Bank Plc |  | 1.1 |  |  | — |  |  | AA- |  | 3.3 |  |  | (.1 | )
JP Morgan |  | 1.2 |  |  | — |  |  | A+ |  | 1.3 |  |  | — |
Royal Bank of Canada |  | — |  |  | — |  |  | AA- |  | .2 |  |  | — |
Total |  | $ | 9.4 |  |  | $ | .2 |  |  |  |  | $ | 20.4 |  |  | $ | (.1 | )
(1) Standard & Poor's 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 derivative and other financial liabilities that are subject to offsetting, including master netting arrangements. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=20225523&loc=SL20225877-175312 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=20225523&loc=SL20225862-175312 + 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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