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Derivatives (Tables) | 12 Months Ended
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Dec. 31, 2014
Forward contracts |
Derivative [Line Items] |
Schedule of Derivative Instruments | The following table summarizes the notional amounts and the uncollateralized balances associated with foreign currency forward contracts:
|  | December 31, 2014 |  | December 31, 2013
Millions |  | Notional Amount |  | Carrying Value |  | Standard & Poor's Rating(1) |  | Notional Amount |  | Carrying Value
Barclays Bank Plc |  | $ | 2.1 |  |  | $ | — |  |  | A |  | $ | 5.8 |  |  | $ | — |
Deutsche Bank |  | — |  |  | — |  |  | A |  | 7.7 |  |  | — |
Goldman Sachs |  | 8.7 |  |  | — |  |  | A |  | 2.1 |  |  | — |
HSBC Bank Plc |  | 11.2 |  |  | — |  |  | AA- |  | 3.3 |  |  | (.1 | )
JP Morgan |  | 5.7 |  |  | — |  |  | A+ |  | 1.3 |  |  | — |
Royal Bank of Canada |  | 5.4 |  |  | — |  |  | AA- |  | .2 |  |  | — |
Total |  | $ | 33.1 |  |  | $ | — |  |  |  |  | $ | 20.4 |  |  | $ | (.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).
Variable Annuity Reinsurance |
Derivative [Line Items] |
Pre-tax operating results | The following table summarizes the pre-tax operating results of WM Life Re for the years ended December 31, 2014, 2013 and 2012:
|  | Year Ended December 31,
Millions |  | 2014 |  | 2013 |  | 2012
Fees, included in other revenue |  | $ | 18.6 |  |  | $ | 25.0 |  |  | $ | 31.8 |
Change in fair value of variable annuity liability, included in other revenue |  | 52.9 |  |  | 378.5 |  |  | 312.8 |
Change in fair value of derivatives, included in other revenue |  | (72.4 | ) |  | (402.0 | ) |  | (339.0 | )
Foreign exchange, included in other revenue |  | (3.2 | ) |  | (14.5 | ) |  | (30.3 | )
Other investment income and (losses) gains |  | (1.4 | ) |  | (7.1 | ) |  | 2.5 |
Total revenues |  | (5.5 | ) |  | (20.1 | ) |  | (22.2 | )
Change in fair value of variable annuity death benefit liabilities, included in general and administrative expenses |  | .6 |  |  | 10.2 |  |  | 14.2 |
Death benefit claims paid, included in general and administrative expenses |  | (.1 | ) |  | (1.9 | ) |  | (5.7 | )
General and administrative expenses |  | (4.3 | ) |  | (4.9 | ) |  | (5.2 | )
Pre-tax loss |  | $ | (9.3 | ) |  | $ | (16.7 | ) |  | $ | (18.9 | )
Fair Value of Assets and Liabilities Measured on Recurring and Non-recurring Basis Table | The following table summarizes the changes in White Mountains’s variable annuity reinsurance liabilities and derivative instruments for the year ended December 31, 2014, 2013 and 2012:
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3(1)(6) |  | Level 2(1)(2) |  | Level 1(3) |  | Total(4)
Balance at January 1, 2014 |  | $ | (52.8 | ) |  | $ | 63.4 |  |  | $ | 4.7 |  |  | $ | 1.1 |  |  | $ | 69.2 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized gains (losses) |  | 53.5 |  | (5) | (38.6 | ) |  | (71.0 | ) |  | 37.2 |  |  | (72.4 | )
Transfers in (out) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (5.9 | ) |  | 100.1 |  |  | (34.6 | ) |  | 59.6 |
Balance at December 31, 2014 |  | $ | .7 |  |  | $ | 18.9 |  |  | $ | 33.8 |  |  | $ | 3.7 |  |  | $ | 56.4 |
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3(1)(6) |  | Level 2(1)(2) |  | Level 1(3) |  | Total(4)
Balance at January 1, 2013 |  | $ | (441.5 | ) |  | $ | 140.5 |  |  | $ | (20.5 | ) |  | $ | (21.7 | ) |  | $ | 98.3 |
Purchases |  | — |  |  | 59.4 |  |  | — |  |  | — |  |  | 59.4 |
Realized and unrealized gains (losses) |  | 388.7 |  | (5) | (136.5 | ) |  | (196.1 | ) |  | (69.4 | ) |  | (402.0 | )
Transfers in (out) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | — |  |  | 221.3 |  |  | 92.2 |  |  | 313.5 |
Balance at December 31, 2013 |  | $ | (52.8 | ) |  | $ | 63.4 |  |  | $ | 4.7 |  |  | $ | 1.1 |  |  | $ | 69.2 |
|  | Variable Annuity (Liabilities) |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3(1)(6) |  | 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 |  | (5) | (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 |
(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 $33.2, $81.3 and $393.6 as of December 31, 2014, 2013 and 2012 posted as collateral to its reinsurance counterparties.
(5) | Includes $0.6, $10.2, $14.2 for December 31, 2014, 2013 and 2012 related to the change in the fair value of variable annuity death benefit liabilities, which are included in general and administrative expenses.
(6) Consists of foreign currency options and equity options.
Schedule of collateral | In addition, WM Life Re held cash and short-term investments posted as collateral to its variable annuity reinsurance and derivatives counterparties. The total collateral includes the following:
|  | December 31,
Millions |  | 2014 |  | 2013
Cash |  | $ | 23.7 |  |  | $ | 56.1 |
Short-term investments |  | — |  |  | 2.0 |
Fixed maturity investments |  | 9.5 |  |  | 23.2 |
Total |  | $ | 33.2 |  |  | $ | 81.3 |
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) |  | December 31, 2014
Description |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range |  | Weighted Average
Variable annuity benefit guarantee asset |  | $ | .7 |  |  | Discounted cash flows |  | Surrenders |  |  |  |  |  |
|  |  |  |  | 0-1 year |  | 0.2 | % | - | 40.0% |  | 40.0 | %
|  |  |  |  | 1-2 years |  | 0.1 | % | - | 40.0% |  | 32.1 | %
|  |  |  |  |  |  | Mortality |  | 0.0 | % | - | 5.9% |  | 1.0 | %
|  |  |  |  |  |  | Foreign exchange volatilities |  |  |  |  |  |
|  |  |  |  |  | 0-1 year |  | 12.6 | % | - | 15.1% |  | 13.3 | %
|  |  |  |  |  | 1-2 years |  | 11.7 | % | - | 13.8% |  | 12.6 | %
|  |  |  |  |  | Index volatilities |  |  |  |  |  |
|  |  |  |  |  | 0-1 year |  | 24.0 | % | - | 26.6% |  | 25.6 | %
|  |  |  |  |  | 1-2 years |  | 19.4 | % | - | 23.1% |  | 21.8 | %
Foreign Exchange Options |  | $ | 7.2 |  |  | Counterparty valuations, adjusted for unwind quote discount |  | Adjustment to counterparty valuations |  | (0.5 | )% | - | 11.6% |  | 3.6 | %
Equity Index Options |  | $ | 11.7 |  |  | Counterparty valuations, adjusted for unwind quote discount |  | Adjustment to counterparty valuations |  | 0.7 | % | - | 6.5% |  | 2.0 | %
Offestting Assets and Liabilities | The following summarizes amounts offset under master netting agreements:
|  | December 31, 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 |  | $ | 1.0 |  |  | $ | (5.4 | ) |  | $ | (4.4 | ) |  | $ | 2.4 |  |  | $ | (11.7 | ) |  | $ | (9.3 | )
Exchange traded |  | 2.8 |  |  | (.1 | ) |  | 2.7 |  |  | 1.0 |  |  | (1.6 | ) |  | (.6 | )
Foreign exchange contracts |  |  |  |  |  |  |  |  |  |  |  |
OTC |  | 45.5 |  |  | — |  |  | 45.5 |  |  | 67.8 |  |  | (12.0 | ) |  | 55.8 |
Exchange traded |  | — |  |  | (1.4 | ) |  | (1.4 | ) |  | 2.3 |  |  | — |  |  | 2.3 |
Equity contracts |  |  |  |  |  |  |  |  |  |  |  |
OTC |  | 11.7 |  |  | (.2 | ) |  | 11.5 |  |  | 30.7 |  |  | (9.2 | ) |  | 21.5 |
Exchange traded |  | 3.4 |  |  | (.9 | ) |  | 2.5 |  |  | 1.8 |  |  | (2.3 | ) |  | (.5 | )
Total(2) |  | $ | 64.4 |  |  | $ | (8.0 | ) |  | $ | 56.4 |  |  | $ | 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.
Offsetting Assets | 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:
|  | December 31, 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 WM Life Re - Cash |  | Net amount of exposure to counter-party |  | Standard & Poor's Rating(1)
JP Morgan |  | $ | 24.3 |  |  | $ | — |  |  | $ | — |  |  | $ | 24.3 |  |  | $ | — |  |  | $ | — |  |  | $ | 8.8 |  |  | $ | 15.5 |  |  | A | +
Bank of America |  | 5.6 |  |  | — |  |  | — |  |  | 5.6 |  |  | — |  |  | — |  |  | — |  |  | 5.6 |  |  | A |
Nomura |  | (3.5 | ) |  | 3.5 |  |  | — |  |  | — |  |  | 1.7 |  |  | 9.5 |  |  | — |  |  | 11.2 |  |  | BBB | +
Citigroup - OTC |  | 22.2 |  |  | — |  |  | — |  |  | 22.2 |  |  | — |  |  | — |  |  | 1.1 |  |  | 21.1 |  |  | A |
Citigroup - Exchange Traded |  | 3.7 |  |  | — |  |  | — |  |  | 3.7 |  |  | 16.0 |  |  | — |  |  | — |  |  | 19.7 |  |  | A |
Royal Bank of Scotland |  | 4.0 |  |  | — |  |  | — |  |  | 4.0 |  |  | — |  |  | — |  |  | — |  |  | 4.0 |  |  | A | -
Barclays |  | .1 |  |  | — |  |  | — |  |  | .1 |  |  | — |  |  | — |  |  | — |  |  | .1 |  |  | A |
Total |  | $ | 56.4 |  |  | $ | 3.5 |  |  | $ | — |  |  | $ | 59.9 |  |  | $ | 17.7 |  |  | $ | 9.5 |  |  | $ | 9.9 |  |  | $ | 77.2 |  |  |  |
|  | December 31, 2013
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 WM Life Re- Cash |  | Net amount of exposure to counter-party |  | Standard & Poor's Rating(1)
JP Morgan |  | $ | 9.1 |  |  | $ | — |  |  | $ | — |  |  | $ | 9.1 |  |  | $ | 22.0 |  |  | $ | — |  |  | $ | — |  |  | $ | 31.1 |  |  | A | +
Bank of America |  | 27.2 |  |  | — |  |  | — |  |  | 27.2 |  |  | — |  |  | — |  |  | — |  |  | 27.2 |  |  | 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 |
Royal Bank of Scotland |  | 11.3 |  |  | — |  |  | — |  |  | 11.3 |  |  | — |  |  | — |  |  | — |  |  | 11.3 |  |  | A | -
Barclays |  | 1.4 |  |  | — |  |  | — |  |  | 1.4 |  |  | — |  |  | — |  |  | — |  |  | 1.4 |  |  | 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” (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).
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, 2014, 2013 and 2012 and the carrying values as of December 31, 2014 and 2013 by type of derivative instrument:
|  |  |  |  |  |  |  | Carrying Value
|  | Year Ended December 31, |  | December 31,
Millions |  | 2014 |  | 2013 |  | 2012 |  | 2014 |  | 2013
Fixed income/interest rate |  | $ | (33.7 | ) |  | $ | (108.7 | ) |  | $ | (149.5 | ) |  | $ | (1.7 | ) |  | $ | (9.7 | )
Foreign exchange |  | (1.3 | ) |  | (96.7 | ) |  | (102.3 | ) |  | 44.1 |  |  | 58.0 |
Equity |  | (37.4 | ) |  | (196.6 | ) |  | (87.2 | ) |  | 14.0 |  |  | 20.9 |
Total |  | $ | (72.4 | ) |  | $ | (402.0 | ) |  | $ | (339.0 | ) |  | $ | 56.4 |  |  | $ | 69.2 |
Interest Rate Cap |
Derivative [Line Items] |
Schedule of collateral | The following table summarizes the Interest Rate Cap collateral balances held by White Mountains and ratings by counterparty:
|  | December 31, 2014
Millions |  | Collateral Balances Held |  | Standard & Poor’s Rating(1)
Barclays Bank Plc |  | $ | 3.0 |  |  | A
Nordea Bank Finland Plc |  | 1.3 |  |  | AA-
Total |  | $ | 4.3 |  |  |
(1) | Standard & Poor’s ratings as detailed above are: “A” (Strong, which is the sixth highest of twenty-one creditworthiness ratings) and “AA-” (Very Strong, which is the fourth highest of twenty-one creditworthiness ratings).
Fair Value of Assets and Liabilities Measured on Recurring and Non-recurring Basis Table | The following table summarizes the change in the fair value of the Interest Rate Cap for the year ended December 31, 2014:
|  | December 31,
Millions |  | 2014 |  | 2013
Beginning of period |  | $ | 11.1 |  |  | $ | — |
Purchases |  | — |  |  | 9.9 |
Net realized and unrealized gains |  | (7.0 | ) |  | 1.2 |
Sales/settlements |  | — |  |  | — |
End of period |  | $ | 4.1 |  |  | $ | 11.1 |

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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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- Definition Offestting Assets and Liabilities [Table Text Block] + References No definition available. + Details
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- Definition Schedule of collateral [Table Text Block] + References No definition available. + Details
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