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Derivatives (Tables) | 6 Months Ended
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Jun. 30, 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 gross notional amount associated with the forward currency contracts:
|  | June 30, 2017
Millions |  | Notional Amount(1) |  | Carrying Value |  | Standard & Poor's Rating (2)
Barclays Bank PLC |  | $ | 187.3 |  |  | $ | (8.2 | ) |  | A-
JP Morgan |  | 114.7 |  |  | (4.3 | ) |  | A+
Total |  | $ | 302.0 |  |  | $ | (12.5 | ) |  |
(1) At June 30, 2017, WTM entered into a spot trade of $57.0 (EUR 50.0) in anticipation of settling a forward currency contract (gross notional: $52.7 (EUR 50.0) with JP Morgan set to expire on July 6, 2017. (2) Standard & Poor’s ratings as detailed above are: “A+” (Strong, which is the fifth highest of twenty-three creditworthiness ratings) and “A-” (Strong, which is the seventh highest of twenty-three 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 and six months ended June 30, 2016.
|  | Three Months Ended |  | Six Months Ended
Millions |  | June 30, 2016 |  | June 30, 2016
Fees, included in other revenue |  | $ | .3 |  |  | $ | 1.2 |
Change in fair value of variable annuity liability, included in other revenue |  | .1 |  |  | (.3 | )
Change in fair value of derivatives, included in other revenue |  | (.3 | ) |  | (2.0 | )
Foreign exchange, included in other revenue |  | .4 |  |  | 1.3 |
Total revenue |  | .5 |  |  | .2 |
Death benefit claims paid, included in general and administrative expenses |  | (.2 | ) |  | (.3 | )
General and administrative expenses |  | (1.2 | ) |  | (1.9 | )
Pre-tax loss |  | $ | (.9 | ) |  | $ | (2.0 | )
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 six months ended June 30, 2016 and the carrying values, included in other assets, as of December 31, 2016 by type of instrument:
|  | Gains (losses) |  | Carrying Value
|  | Three Months Ended |  | Six Months Ended |  | As of
Millions |  | June 30, 2016 |  | June 30, 2016 |  | December 31, 2016
Fixed income/interest rate |  | $ | — |  |  | $ | 1.8 |  |  | $ | — |
Foreign exchange |  | (.6 | ) |  | (4.8 | ) |  | — |
Equity |  | .3 |  |  | 1.0 |  |  | — |
Total |  | $ | (.3 | ) |  | $ | (2.0 | ) |  | $ | — |
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 six months ended June 30, 2016.
|  | Three Months Ended June 30, 2016
|  | Variable Annuity Liabilities |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total
Beginning of period |  | $ | (.1 | ) |  | $ | 2.6 |  |  | $ | 10.3 |  |  | $ | .2 |  |  | $ | 13.1 |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Realized and unrealized gains (losses) |  | .1 |  |  | 1.7 |  |  | (1.8 | ) |  | (.2 | ) |  | (.3 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (4.3 | ) |  | (8.5 | ) |  | — |  |  | (12.8 | )
End of period |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
|  | Six Months Ended June 30, 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 |  | (.3 | ) |  | 2.9 |  |  | (.7 | ) |  | (4.2 | ) |  | (2.0 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (5.6 | ) |  | (15.8 | ) |  | 3.3 |  |  | (18.1 | )
End of period |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
(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.

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