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Derivatives | 12 Months Ended
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Dec. 31, 2019
Derivative [Line Items] |
Derivatives | Derivatives
Interest Rate Swap |
Derivative [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 December 31, 2019, the variable rate received by NSM under the swap agreement was 1.71%. 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 December 31, 2019, the interest rate, including the effect of the swap, for the outstanding term loans of $148.7 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 twelve months ending December 31, 2019, NSM recognized net interest expense of $1.1 million for the periodic net settlement payments on the swap. For the period from May 11, 2018 through December 31, 2018, NSM recognized net interest expense of $0.7 million for the periodic net settlement payments on the swap. As of December 31, 2019 and 2018, the estimated fair value of the swap and the accrual of the periodic net settlement payments recorded in other liabilities was $6.6 million and $2.7 million. There was no ineffectiveness in the hedge for the twelve months ending December 31, 2019 and for the period from May 11, 2018 through December 31, 2018. For the twelve months ending December 31, 2019, the $(3.9) million change in the fair value is included within accumulated other comprehensive income (loss). For the period from May 11, 2018 through December 31, 2018, the $(2.7) million change in the fair value of the swap is included within accumulated other comprehensive income (loss).
Forward Contracts |
Derivative [Line Items] |
Derivatives | Foreign Currency Forward Contracts White Mountains’s investment portfolio includes investments denominated in GBP, Euros, Japanese Yen 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. The foreign currency forward contracts did not meet the criteria to be accounted for as a hedge. Mismatches between currency driven movements in foreign denominated investments and foreign currency forward contracts may result in net foreign currency positions being outside pre-defined ranges and/or may result in net foreign currency gains (losses). White Mountains’s foreign currency forward contracts were traded over-the-counter. The fair value of the foreign currency forward contracts was estimated using over-the-counter quotes for similar instruments and accordingly, the measurements were classified as Level 2 measurements. During the fourth quarter of 2017, White Mountains closed the foreign currency forward contracts associated with certain of its non-U.S. common equity securities. In conjunction with the liquidation of the GBP investment grade corporate bond mandate in the first quarter of 2018, White Mountains closed the associated foreign currency forward contract. As of December 31, 2019 and 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 years ended December 31, 2018 and 2017 were $(3.5) million and $(23.8) million. White Mountains did not hold or provide any collateral under its foreign currency forward contracts.

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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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