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Derivatives | 9 Months Ended
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Sep. 30, 2019
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Derivatives | Derivatives
Interest Rate Swap |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Derivatives | NSM Interest Rate Swap On May 11, 2018, NSM entered into the NSM Bank Facility. Interest on the NSM Bank Facility accrues at a floating interest rate equal to the three month LIBOR or the Prime Rate, as published by the Wall Street Journal plus, in each case, an applicable margin. The margin over LIBOR may vary between 4.25% and 4.75%, and the margin over the Prime Rate may vary between 3.25% and 3.75%, in each case, depending on the consolidated total leverage ratio of the borrower. On June 15, 2018, NSM entered into an interest rate swap agreement to hedge its exposure to interest rate risk on $151.0 million of its variable rate term loans. Under the terms of the swap agreement, NSM pays a fixed rate of 2.97% and receives a variable rate, which is reset monthly, based on the then-current LIBOR. As of September 30, 2019, the variable rate received by NSM under the swap agreement was 2.11%. Over the term of the swap, the notional amount decreases in accordance with the principal repayments NSM expects to make on its term loans. As of September 30, 2019, the interest rate, including the effect of the swap, for the outstanding term loans of $149.1 million that are hedged by the swap was 7.47%, excluding the effect of debt issuance costs. NSM’s obligations under the swap are secured by the same collateral securing the NSM Bank Facility on a pari passu basis. NSM does not currently hold any collateral deposits from or provide any collateral deposits to the swap counterparty. NSM evaluated the effectiveness of the swap to hedge its interest rate risk associated with its variable rate debt and concluded at the swap inception date that the swap was highly effective in hedging that risk. NSM will evaluate the effectiveness of the hedging relationship on an ongoing basis. For the three and nine months ended September 30, 2019, White Mountains recognized net interest expense of $0.3 million and $0.6 million for the periodic net settlement payments on the swap. For the three months and nine months ended September 30, 2018, White Mountains recognized net interest expense of $0.3 million and $0.4 million for the periodic net settlement payments on the swap. As of September 30, 2019 and December 31, 2018, the estimated fair value of the swap and the accrual of the periodic net settlement payments recorded in other liabilities was $7.8 million and $2.7 million. There was no ineffectiveness in the hedge for the three and nine months ended September 30, 2019 or the three and nine months ended September 30, 2018. For the three and nine months ended September 30, 2019, the $(0.8) million and $(5.1) million change in the fair value of the swap is included within accumulated other comprehensive income (loss). For the three months and nine months ended September 30, 2018, the $1.0 million and $(0.1) million change in the fair value of the swap is included within White Mountains’s accumulated other comprehensive income (loss).
Forward Contracts |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Derivatives | Foreign Currency Forward Contracts White Mountains’s investment portfolio includes investments denominated in GBP, Japanese Yen, Euros and other foreign currencies. White Mountains previously entered into foreign currency forward contracts to manage its foreign currency exposure related to certain of these investments. In the first quarter of 2018, White Mountains closed an outstanding foreign currency forward contract in conjunction with the termination of its GBP investment grade corporate bond mandate. As of September 30, 2019 and December 31, 2018, White Mountains no longer had any open foreign currency forward contracts. The derivative losses recognized in net realized and unrealized investment gains (losses) for the nine months ended September 30, 2018 were $(3.5) million.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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