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Derivatives | 12 Months Ended
--- | ---
Dec. 31, 2015
Derivative [Line Items] |
Derivatives | Derivatives
Variable Annuity Reinsurance |
Derivative [Line Items] |
Derivatives | Variable Annuity Reinsurance White Mountains has entered into agreements to reinsure death and living benefit guarantees associated with certain variable annuities in Japan. As of December 31, 2015, the total guarantee value was approximately ¥50.7 billion (approximately $0.4 billion at exchange rates on that date). The collective account values of the underlying variable annuities were approximately 109% of the guarantee value as of December 31, 2015. The following table summarizes the pre-tax operating results of WM Life Re for the years ended December 31, 2015, 2014 and 2013:
|  | Year Ended December 31,
Millions |  | 2015 |  | 2014 |  | 2013
Fees, included in other revenue |  | $ | 9.3 |  |  | $ | 18.6 |  |  | $ | 25.0 |
Change in fair value of variable annuity liability, included in other revenue |  | (.4 | ) |  | 52.9 |  |  | 378.5 |
Change in fair value of derivatives, included in other revenue |  | (8.8 | ) |  | (72.4 | ) |  | (402.0 | )
Foreign exchange, included in other revenue |  | (1.3 | ) |  | (3.2 | ) |  | (14.5 | )
Other investment income and (losses) gains |  | (.4 | ) |  | (1.4 | ) |  | (7.1 | )
Total revenues |  | (1.6 | ) |  | (5.5 | ) |  | (20.1 | )
Change in fair value of variable annuity death benefit liabilities, included in general and administrative expenses |  | — |  |  | .6 |  |  | 10.2 |
Death benefit claims paid, included in general and administrative expenses |  | (.1 | ) |  | (.1 | ) |  | (1.9 | )
General and administrative expenses |  | (4.0 | ) |  | (4.3 | ) |  | (4.9 | )
Pre-tax loss |  | $ | (5.7 | ) |  | $ | (9.3 | ) |  | $ | (16.7 | )
During 2013, the ratio of annuitants’ aggregate account values to the aggregate guarantee value provided by WM Life Re increased, and as a result, annuitants surrendered their policies at higher rates than WM Life Re observed in the past. In response to this trend, WM Life Re adjusted the projected surrender assumptions used in the valuation of its variable annuity reinsurance liability upward. In 2014, surrender rates continued to outpace assumptions and WM Life Re again adjusted the projected surrender assumptions. For the year ended December 31, 2014, the change in the fair value of the variable annuity liability included $0.2 million of losses associated with changes in projected surrender assumptions. There was no change in projected surrender assumptions in 2015. All of White Mountains’s variable annuity reinsurance liabilities were classified as Level 3 measurements as of December 31, 2015. The following summarizes realized and unrealized gains (losses) recognized in other revenues for the years ended December 31, 2015, 2014 and 2013 and the carrying values as of December 31, 2015 and 2014 by type of derivative instrument:
|  |  |  |  |  |  |  | Carrying Value
|  | Year Ended December 31, |  | December 31,
Millions |  | 2015 |  | 2014 |  | 2013 |  | 2015 |  | 2014
Fixed income/interest rate |  | $ | 6.4 |  |  | $ | (33.7 | ) |  | $ | (108.7 | ) |  | $ | .5 |  |  | $ | (1.7 | )
Foreign exchange |  | (7.3 | ) |  | (1.3 | ) |  | (96.7 | ) |  | 14.8 |  |  | 44.1 |
Equity |  | (7.9 | ) |  | (37.4 | ) |  | (196.6 | ) |  | 4.8 |  |  | 14.0 |
Total |  | $ | (8.8 | ) |  | $ | (72.4 | ) |  | $ | (402.0 | ) |  | $ | 20.1 |  |  | $ | 56.4 |
The following table summarizes the changes in White Mountains’s variable annuity reinsurance liabilities and derivative instruments for the year ended December 31, 2015, 2014 and 2013:
|  | 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, 2015 |  | $ | .7 |  |  | $ | 18.9 |  |  | $ | 33.8 |  |  | $ | 3.7 |  |  | $ | 56.4 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized (losses) gains |  | (.4 | ) | (5) | (9.7 | ) |  | (7.5 | ) |  | 8.4 |  |  | (8.8 | )
Transfers in (out) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (6.5 | ) |  | (9.8 | ) |  | (11.2 | ) |  | (27.5 | )
Balance at December 31, 2015 |  | $ | .3 |  |  | $ | 2.7 |  |  | $ | 16.5 |  |  | $ | 0.9 |  |  | $ | 20.1 |
|  | 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 |
(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 $5.8, $33.2 and $81.3 as of December 31, 2015, 2014 and 2013 posted as collateral to its reinsurance counterparties.
(5) | There was no changes in the fair value of variable annuity death benefit liabilities for the year ended December 31, 2015. In 2014 and 2013, $0.6 and $10.2 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. 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 |  | 2015 |  | 2014
Cash |  | $ | 5.8 |  |  | $ | 23.7 |
Fixed maturity investments |  | — |  |  | 9.5 |
Total |  | $ | 5.8 |  |  | $ | 33.2 |
Collateral in the form of fixed maturity securities consists of Government of Japan Bonds, which are recorded at fair value. Collateral in the form of short-term investments consists of money-market instruments, carried at amortized cost, which approximates fair value. All of White Mountains’s variable annuity reinsurance liabilities were classified as Level 3 measurements as of December 31, 2015 and 2014. The fair value of White Mountains’s variable annuity reinsurance liabilities are estimated using actuarial and capital market assumptions related to the projected discounted cash flows over the term of the reinsurance agreement. Assumptions regarding future policyholder behavior, including surrender and lapse rates, are generally unobservable inputs and significantly impact the fair value estimates. Market conditions including, but not limited to, changes in interest rates, equity indices, market volatility and foreign currency exchange rates as well as the variations in actuarial assumptions regarding policyholder behavior may result in significant fluctuations in the fair value estimates. Generally, the liabilities associated with these guarantees increase with declines in the equity markets, interest rates and currencies against the Japanese yen, as well as with increases in market volatilities. White Mountains uses derivative instruments, including put options, interest rate swaps, total return swaps on bond and equity indices and forwards and futures contracts on major equity indices, currency pairs and government bonds, to mitigate the risks associated with changes in the fair value of the reinsured variable annuity guarantees. The types of inputs used to estimate the fair value of these derivative instruments, with the exception of actuarial assumptions regarding policyholder behavior and risk margins, are generally the same as those used to estimate the fair value of variable annuity liabilities. 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:
Description |  | December 31, 2015
$ in millions |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range |  | Weighted Average
Variable annuity benefit guarantee asset |  | $ | (.3 | ) |  | Discounted cash flows |  | Surrenders |  | 0.1 | % | - | 40.0 | % |  | 40.0 | %
|  |  |  |  |  |  | Mortality |  | 0.0 | % | - | 6.4% |  | 1.0 | %
|  |  |  |  |  |  | Foreign exchange volatilities |  |  |  |  |  |
|  |  |  |  |  | 0-1 year |  | 11.5 | % | - | 18.7% |  | 13.1 | %
|  |  |  |  |  | Index volatilities |  |  |  |  |  |
|  |  |  |  |  | 0-1 year |  | 25.0 | % | - | 27.5% |  | 26.4 | %
Foreign Exchange Options |  | $ | 1.9 |  |  | Counterparty valuations, adjusted for unwind quote discount |  | Adjustment to counterparty valuations |  | (0.5 | )% | - | (7.3)% |  | (5.9 | )%
Equity Index Options |  | $ | .8 |  |  | Counterparty valuations, adjusted for unwind quote discount |  | Adjustment to counterparty valuations |  | 0.7 | % | - | (6.7)% |  | (2.5 | )%
WM Life Re enters into both over-the-counter (“OTC”) and exchange traded derivative instruments to economically hedge the liability from the variable annuity benefit guarantee. In the case of OTC derivatives, WM Life Re has exposure to credit risk for amounts that are uncollateralized by counterparties. WM Life Re’s internal risk management guidelines establish net counterparty exposure thresholds that take into account OTC counterparties’ credit ratings. The OTC derivative contracts are subject to restrictions on liquidation of the instruments and distribution of proceeds under collateral agreements. In the case of exchange traded instruments, WM Life Re has exposure to credit risk for amounts uncollateralized by margin balances. WM Life Re has entered into master netting agreements with certain of its counterparties whereby the collateral provided (held) is calculated on a net basis. The following summarizes amounts offset under master netting agreements:
|  | December 31, 2015 |  | December 31, 2014
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 |  | $ | 2.4 |  |  | $ | (2.1 | ) |  | $ | 0.3 |  |  | $ | 1.0 |  |  | $ | (5.4 | ) |  | $ | (4.4 | )
Exchange traded |  | .1 |  |  | (.1 | ) |  | — |  |  | 2.8 |  |  | (.1 | ) |  | 2.7 |
Foreign exchange contracts |  |  |  |  |  |  |  |  |  |  |  |
OTC |  | 15.0 |  |  | — |  |  | 15.0 |  |  | 45.5 |  |  | — |  |  | 45.5 |
Exchange traded |  | .1 |  |  | (.3 | ) |  | (0.2 | ) |  | — |  |  | (1.4 | ) |  | (1.4 | )
Equity contracts |  |  |  |  |  |  |  |  |  |  |  |
OTC |  | 4.4 |  |  | (.6 | ) |  | 3.8 |  |  | 11.7 |  |  | (.2 | ) |  | 11.5 |
Exchange traded |  | 1.2 |  |  | — |  |  | 1.2 |  |  | 3.4 |  |  | (.9 | ) |  | 2.5 |
Total(2) |  | $ | 23.2 |  |  | $ | (3.1 | ) |  | $ | 20.1 |  |  | $ | 64.4 |  |  | $ | (8.0 | ) |  | $ | 56.4 |
(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. 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, 2015
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 |  | $ | 8.5 |  |  | $ | — |  |  | $ | — |  |  | $ | 8.5 |  |  | $ | — |  |  | $ | — |  |  | $ | 5.5 |  |  | $ | 3.0 |  |  | A | +
Bank of America |  | .7 |  |  | — |  |  | — |  |  | .7 |  |  | — |  |  | — |  |  | — |  |  | .7 |  |  | A |
Citigroup - OTC |  | 9.9 |  |  | — |  |  | — |  |  | 9.9 |  |  | — |  |  | — |  |  | 1.4 |  |  | 8.5 |  |  | A |
Citigroup - Exchange Traded |  | 1.0 |  |  | — |  |  | — |  |  | 1.0 |  |  | 5.8 |  |  | — |  |  | — |  |  | 6.8 |  |  | A |
Total |  | $ | 20.1 |  |  | $ | — |  |  | $ | — |  |  | $ | 20.1 |  |  | $ | 5.8 |  |  | $ | — |  |  | $ | 6.9 |  |  | $ | 19.0 |  |  |  |
|  | 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 |  |  |  |
(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).
Tranzact [Member] | Interest Rate Swap [Member] |
Derivative [Line Items] |
Derivatives | Tranzact Interest Rate Swap Tranzact has a $101.0 million term loan facility (see Note 7 - “Debt”) that carries a variable rate equal to the U.S. dollar LIBOR rate, plus an applicable margin. At December 31, 2015, the variable interest rate on the term loan was 4.73%, including a margin over LIBOR of 4.50%. Effective October 22, 2014, to effectively fix the rate it pays on this term loan, Tranzact entered into an interest rate swap agreement with a notional amount of $70.0 million. The notional amount decreases over the term of the swap by amounts equivalent to scheduled principal repayments made on Tranzact’s term loan. Under the terms of the swap agreement, Tranzact pays a fixed rate of 1.34% and receives a variable rate, which is reset monthly, based on the then-current U.S. dollar LIBOR rate. The variable rate received by Tranzact under the swap agreement was 0.15% at inception and 0.23% at December 31, 2015. The total current effective rate on Tranzact's debt was 6.07% at December 31, 2015. The swap is measured at fair value with changes therein recognized within other revenues and is accounted for as a non-hedge derivative instrument. As of December 31, 2015, the estimated fair value of the swap was $(0.2) million. There are no collateral arrangements associated with the swap.

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