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Derivatives (Tables) | 12 Months Ended
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Dec. 31, 2017
Derivative [Line Items] |
Schedule of collateral | the gross notional amounts and carrying values associated with the foreign currency forward contracts as of December 31, 2017 and 2016:
|  | December 31, 2017 |  | December 31, 2016
Millions |  | Notional Amount |  | Carrying Value |  | Standard & Poor's Rating (1) |  | Notional Amount |  | Carrying Value |  | Standard & Poor's Rating (1)
Barclays Bank PLC |  | $ | 206.3 |  |  | $ | (3.7 | ) |  | A |  | $ | 184.6 |  |  | $ | (1.2 | ) |  | A-
(1) Standard & Poor’s ratings “A” (Strong, which is the sixth highest of twenty-three creditworthiness ratings) and “A-” (which is the seventh highest of twenty-three creditworthiness ratings.
Variable Annuity Reinsurance |
Derivative [Line Items] |
Pre-tax operating results | The following table presents the pre-tax operating results of WM Life Re for the years ended December 31, 2016 and 2015:
|  | Year Ended December 31,
Millions |  | 2016 |  | 2015
Fees, included in other revenue |  | $ | 1.2 |  |  | $ | 9.3 |
Change in fair value of variable annuity liability, included in other revenue |  | (.3 | ) |  | (.4 | )
Change in fair value of derivatives, included in other revenue |  | (2.0 | ) |  | (8.8 | )
Foreign exchange, included in other revenue |  | 1.3 |  |  | (1.3 | )
Other investment loss |  | — |  |  | (.4 | )
Total revenues |  | .2 |  |  | (1.6 | )
Death benefit claims paid, included in general and administrative expenses |  | (.3 | ) |  | (.1 | )
General and administrative expenses |  | (2.6 | ) |  | (4.0 | )
Pre-tax loss |  | $ | (2.7 | ) |  | $ | (5.7 | )
Realized and unrealized derivative gains (losses) recognized in other revenues and carrying values, by the type of instrument | The following table presents realized and unrealized derivative gains (losses) recognized in other revenue for the years ended December 31, 2016 and 2015 and the carrying values, included in other assets, as of December 31, 2016 by type of instrument:
|  | Gains (Losses) | Carrying Value as of
|  | Year Ended December 31, |  | December 31,
Millions |  | 2016 |  | 2015 |  | 2016
Fixed income/interest rate |  | $ | 1.8 |  |  | $ | 6.4 |  |  | $ | — |
Foreign exchange |  | (4.8 | ) |  | (7.3 | ) |  | — |
Equity |  | 1.0 |  |  | (7.9 | ) |  | — |
Total |  | $ | (2.0 | ) |  | $ | (8.8 | ) |  | $ | — |
Fair Value of Assets and Liabilities Measured on Recurring and Non-recurring Basis Table | The following tables present the changes in White Mountains’s variable annuity reinsurance liabilities and derivative instruments for the years ended December 31, 2016 and 2015:
|  | Variable Annuity Liabilities |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | Level 2 (1)(2) |  | Level 1 (3) |  | Total
Balance at January 1, 2016 |  | $ | .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 | )
Balance at December 31, 2016 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
(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.
|  | Variable Annuity Liabilities |  | Derivative Instruments
Millions |  | Level 3 |  | Level 3 (1) |  | 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 | ) |  | (9.7 | ) |  | (7.5 | ) |  | 8.4 |  |  | (8.8 | )
Transfers in |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/settlements |  | — |  |  | (6.5 | ) |  | (9.8 | ) |  | (11.2 | ) |  | (27.5 | )
Balance at December 31, 2015 |  | $ | .3 |  |  | $ | 2.7 |  |  | $ | 16.5 |  |  | $ | .9 |  |  | $ | 20.1 |
(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.
(4) | In addition to derivative instruments, WM Life Re held cash, short-term and fixed maturity investments of $5.8 as of December 31, 2015 posted as collateral to its reinsurance counterparties.

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