XML 52 R34.htm IDEA: XBRL DOCUMENT
v3.7.0.1

Derivatives (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2017
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Schedule of Collateral | White Mountains does not hold or provide any collateral under its forward contracts. The following table summarizes the notional amount and the uncollateralized balance associated with the forward currency contracts:
|  | March 31, 2017
Millions |  | Notional Amount |  | Carrying Value |  | Standard & Poor's Rating (1)
Barclays Bank PLC |  | $ | 247.2 |  |  | $ | (3.2 | ) |  | A-
JP Morgan |  | 52.7 |  |  | (1.0 | ) |  | A-
Total |  | $ | 299.9 |  |  | $ | (4.2 | ) |  |
(1) Standard & Poor’s ratings “A-” (Strong, which is the ninth highest of twenty-one creditworthiness ratings).
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 months ended March 31, 2016.
| Three Months Ended
| March 31,
Millions |  | 2016
Fees, included in other revenue |  | $ | 1.0 |
Change in fair value of variable annuity liability, included in other revenue |  | (.4 | )
Change in fair value of derivatives, included in other revenue |  | (1.7 | )
Foreign exchange, included in other revenue |  | .9 |
Other investment income and losses |  | — |
Total revenue |  | (.2 | )
Death benefit claims paid, included in general and administrative expenses |  | (.1 | )
General and administrative expenses |  | (.8 | )
Pre-tax loss |  | $ | (1.1 | )
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 months ended March 31, 2016 and the carrying values, included in other assets, as of December 31, 2016 by type of instrument:
|  | Gains (losses) |
|  | Three Months Ended |  | Carrying Value
|  | March 31, |  | As of
Millions |  | 2016 |  | December 31, 2016
Fixed income/interest rate |  | $ | 1.8 |  |  | $ | — |
Foreign exchange |  | (4.2 | ) |  | — |
Equity |  | .7 |  |  | — |
Total |  | $ | (1.7 | ) |  | $ | — |
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 months ended March 31, 2016.
|  | Three Months Ended March 31, 2016
|  | Variable Annuity Liabilities |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total
Beginning of period |  | $ | .3 |  |  | $ | 2.7 |  |  | $ | 16.5 |  |  | $ | .9 |  |  | $ | 20.1 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized (losses) gains |  | (.4 | ) |  | 1.2 |  |  | 1.1 |  |  | (4.0 | ) |  | (1.7 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (1.3 | ) |  | (7.3 | ) |  | 3.3 |  |  | (5.3 | )
End of period |  | $ | (.1 | ) |  | $ | 2.6 |  |  | $ | 10.3 |  |  | $ | .2 |  |  | $ | 13.1 |
(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.
Exchange traded and OTC derivative instruments | The following summarizes amounts offset under master netting agreements:
|  | March 31, 2016
Millions |  | Gross asset amounts before offsets (1) |  | Gross liability amounts offset under master netting arrangements |  | Net amounts recognized in Other Assets
Interest rate contracts |  |  |  |  |  |
OTC |  | $ | 2.2 |  |  | $ | (2.5 | ) |  | $ | (.3 | )
Foreign exchange contracts |  |  |  |  |  |
OTC |  | 12.7 |  |  | — |  |  | 12.7 |
Exchange traded |  | — |  |  | (.1 | ) |  | (.1 | )
Equity contracts |  |  |  |  |  |
OTC |  | 1.5 |  |  | (.9 | ) |  | .6 |
Exchange traded |  | .3 |  |  | (.1 | ) |  | .2 |
Total(2) |  | $ | 16.7 |  |  | $ | (3.6 | ) |  | $ | 13.1 |
(1) Amount equal to fair value of instrument as recognized in other assets (2) All derivative instruments held by WM Life Re were 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 as of March 31, 2016:
|  | March 31, 2016 |
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 WM Life Re- Cash |  | Net amount of exposure to counter-party |  | Standard & Poor's Rating(1)
JP Morgan |  | $ | 6.5 |  |  | $ | — |  |  | $ | — |  |  | $ | 6.5 |  |  | $ | — |  |  | $ | — |  |  | $ | 5.4 |  |  | $ | 1.1 |  |  | A | +
Bank of America |  | 1.4 |  |  | — |  |  | — |  |  | 1.4 |  |  | — |  |  | — |  |  | — |  |  | 1.4 |  |  | A |
Citigroup - OTC |  | 5.0 |  |  | — |  |  | — |  |  | 5.0 |  |  | — |  |  | — |  |  | .5 |  |  | 4.5 |  |  | A |
Citigroup - Exchange Traded |  | .2 |  |  | — |  |  | — |  |  | .2 |  |  | 7.9 |  |  | — |  |  | — |  |  | 8.1 |  |  | A |
Total |  | $ | 13.1 |  |  | $ | — |  |  | $ | — |  |  | $ | 13.1 |  |  | $ | 7.9 |  |  | $ | — |  |  | $ | 5.9 |  |  | $ | 15.1 |  |  |  |
(1) Standard & Poor’s ratings as detailed above are: “A+” (Strong, which is the fifth highest of twenty-three creditworthiness ratings), “A” (Strong, which is the sixth highest of twenty-three creditworthiness ratings), “A-” (Strong, which is the seventh highest of twenty-three creditworthiness ratings) and “BBB+” (Adequate, which is the eighth highest of twenty-three creditworthiness ratings).

X
- Definition Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosuresLineItems
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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=51824906&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=51824906&loc=SL20225862-175312 + Details
Name: | us-gaap_OffsettingLiabilitiesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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=64837297&loc=SL5618551-113959 + Details
Name: | us-gaap_ScheduleOfDerivativesInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | wtm_FairValueOfAssetsAndLiabilitiesMeasuredOnRecurringAndNonRecurringBasisTableTextBlock
Namespace Prefix: | wtm_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Offestting Assets and Liabilities [Table Text Block] + References No definition available. + Details
Name: | wtm_OffesttingAssetsAndLiabilitiesTableTextBlock
Namespace Prefix: | wtm_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of Life Re's pre-tax operating results. + References No definition available. + Details
Name: | wtm_PretaxOperatingResultsTableTextBlock
Namespace Prefix: | wtm_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Schedule of collateral [Table Text Block] + References No definition available. + Details
Name: | wtm_ScheduleofcollateralTableTextBlock
Namespace Prefix: | wtm_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Details
Name: | us-gaap_DerivativeInstrumentRiskAxis=us-gaap_VariableAnnuityMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |