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Derivatives (Tables) - Variable Annuity Reinsurance
 12 Months Ended
Dec. 31, 2015
Derivative [Line Items]  
Pre-tax operating results
The following table summarizes the pre-tax operating results of WM Life Re for the years ended December 31, 2015, 2014 and 2013:
 
 
Year Ended December 31,
Millions
 
2015
 
2014
 
2013
Fees, included in other revenue
 
$
9.3

 
$
18.6

 
$
25.0

Change in fair value of variable annuity liability, included in other revenue
 
(.4
)
 
52.9

 
378.5

Change in fair value of derivatives, included in other revenue
 
(8.8
)
 
(72.4
)
 
(402.0
)
Foreign exchange, included in other revenue
 
(1.3
)
 
(3.2
)
 
(14.5
)
Other investment income and (losses) gains
 
(.4
)
 
(1.4
)
 
(7.1
)
Total revenues
 
(1.6
)
 
(5.5
)
 
(20.1
)
Change in fair value of variable annuity death benefit liabilities, included in
   general and administrative expenses
 
—

 
.6

 
10.2

Death benefit claims paid, included in general and administrative expenses
 
(.1
)
 
(.1
)
 
(1.9
)
General and administrative expenses
 
(4.0
)
 
(4.3
)
 
(4.9
)
Pre-tax loss
 
$
(5.7
)
 
$
(9.3
)
 
$
(16.7
)
Fair Value of Assets and Liabilities Measured on Recurring and Non-recurring Basis Table
The following table summarizes the changes in White Mountains’s variable annuity reinsurance liabilities and derivative instruments for the year ended December 31, 2015, 2014 and 2013:
 
 
Variable Annuity
(Liabilities)
 
Derivative Instruments
Millions
 
Level 3
 
Level 3(1)(6)
 
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
)
(5) 
(9.7
)
 
(7.5
)
 
8.4

 
(8.8
)
Transfers in (out)
 
—

 
—

 
—

 
—

 
—

Sales/settlements
 
—

 
(6.5
)
 
(9.8
)
 
(11.2
)
 
(27.5
)
Balance at December 31, 2015
 
$
.3

 
$
2.7

 
$
16.5

 
$
0.9

 
$
20.1

 
 
Variable Annuity
(Liabilities)
 
Derivative Instruments
Millions
 
Level 3
 
Level 3(1)(6)
 
Level 2(1)(2)
 
Level 1(3)
 
Total(4)
Balance at January 1, 2014
 
$
(52.8
)
 
$
63.4

 
$
4.7

 
$
1.1

 
$
69.2

Purchases
 
—

 
—

 
—

 
—

 
—

Realized and unrealized gains (losses)
 
53.5

(5) 
(38.6
)
 
(71.0
)
 
37.2

 
(72.4
)
Transfers in (out)
 
—

 
—

 
—

 
—

 
—

Sales/settlements
 
—

 
(5.9
)
 
100.1

 
(34.6
)
 
59.6

Balance at December 31, 2014
 
$
.7

 
$
18.9

 
$
33.8

 
$
3.7

 
$
56.4

 
 
Variable Annuity
(Liabilities)
 
Derivative Instruments
Millions
 
Level 3
 
Level 3(1)(6)
 
Level 2(1)(2)
 
Level 1(3)
 
Total(4)
Balance at January 1, 2013
 
$
(441.5
)
 
$
140.5

 
$
(20.5
)
 
$
(21.7
)
 
$
98.3

Purchases
 
—

 
59.4

 
—

 
—

 
59.4

Realized and unrealized gains (losses)
 
388.7

(5) 
(136.5
)
 
(196.1
)
 
(69.4
)
 
(402.0
)
Transfers in (out)
 
—

 
—

 
—

 
—

 
—

Sales/settlements
 
—

 
—

 
221.3

 
92.2

 
313.5

Balance at December 31, 2013
 
$
(52.8
)
 
$
63.4

 
$
4.7

 
$
1.1

 
$
69.2

(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, $33.2 and $81.3 as of December 31, 2015, 2014 and 2013 posted as collateral to its reinsurance counterparties.
(5) 
There was no changes in the fair value of variable annuity death benefit liabilities for the year ended December 31, 2015. In 2014 and 2013, $0.6 and $10.2 related to the change in the fair value of variable annuity death benefit liabilities, which are included in general and administrative expenses.
(6) Consists of foreign currency options and equity options.
Schedule of collateral

In addition, WM Life Re held cash and short-term investments posted as collateral to its variable annuity reinsurance and derivatives counterparties. The total collateral includes the following:
 
 
December 31,
Millions
 
2015
 
2014
Cash
 
$
5.8

 
$
23.7

Fixed maturity investments
 
—

 
9.5

Total
 
$
5.8

 
$
33.2
Schedule of significant unobservable inputs associated with the fair value estimates for variable annuity reinsurance liabilities and derivative instruments
The following summarizes quantitative information about significant unobservable inputs associated with the fair value estimates for variable annuity reinsurance liabilities and derivative instruments that have been classified as Level 3 measurements:
Description
 
December 31, 2015
$ in millions
 
Fair 
Value
 
Valuation 
Technique(s)
 
Unobservable Input
 
Range
 
Weighted Average
Variable annuity benefit guarantee asset
 
$
(.3
)
 
Discounted cash flows
 
Surrenders
 
0.1
 %
-
40.0
%
 
40.0
 %
 
 
 

 
 
 
Mortality
 
0.0
 %
-
6.4%
 
1.0
 %
 
 
 

 
 
 
Foreign exchange volatilities
 
 
 
 
 
 
 
 
 
 
 
 
     0-1 year
 
11.5
 %
-
18.7%
 
13.1
 %
 
 
 
 
 
 
Index volatilities
 
 
 
 
 
 
 
 
 
 
 
 
     0-1 year
 
25.0
 %
-
27.5%
 
26.4
 %
Foreign Exchange Options
 
$
1.9

 
Counterparty valuations, adjusted for unwind quote discount
 
Adjustment to counterparty valuations
 
(0.5
)%
-
(7.3)%
 
(5.9
)%
 
 
 
 
 
 
 
 
Equity Index Options
 
$
.8

 
Counterparty valuations, adjusted for unwind quote discount
 
Adjustment to counterparty valuations
 
0.7
 %
-
(6.7)%
 
(2.5
)%
 

 
 
 
 
 
 
 
Offestting Assets and Liabilities
The following summarizes amounts offset under master netting agreements:
 
 
December 31, 2015
 
December 31, 2014
Millions
 
Gross asset amounts before offsets(1)
 
Gross liability amounts offset under master netting arrangements
 
Net amounts recognized in Other Assets
 
Gross asset amounts before offsets(1)
 
Gross liability amounts offset under master netting arrangements
 
Net amounts recognized in Other Assets
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
OTC
 
$
2.4

 
$
(2.1
)
 
$
0.3

 
$
1.0

 
$
(5.4
)
 
$
(4.4
)
Exchange traded
 
.1

 
(.1
)
 
—

 
2.8

 
(.1
)
 
2.7

Foreign exchange contracts
 
 
 
 
 
 
 
 
 
 
 
 
OTC
 
15.0

 
—

 
15.0

 
45.5

 
—

 
45.5

Exchange traded
 
.1

 
(.3
)
 
(0.2
)
 
—

 
(1.4
)
 
(1.4
)
Equity contracts
 
 
 
 
 
 
 
 
 
 
 
 
OTC
 
4.4

 
(.6
)
 
3.8

 
11.7

 
(.2
)
 
11.5

Exchange traded
 
1.2

 
—

 
1.2

 
3.4

 
(.9
)
 
2.5

Total(2)
 
$
23.2

 
$
(3.1
)
 
$
20.1

 
$
64.4

 
$
(8.0
)
 
$
56.4


(1) Amount equal to fair value of instrument as recognized in other assets.
(2) All derivative instruments held by WM Life Re are subject to master netting arrangements.
Offsetting Assets
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:
 
 
December 31, 2015
Millions
 
Net amount of assets reflected in Balance Sheet
 
Collateral provided to counterparty - 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
 
$
8.5

 
$
—

 
$
—

 
$
8.5

 
$
—

 
$
—

 
$
5.5

 
$
3.0

 
A
+
Bank of America
 
.7

 
—

 
—

 
.7

 
—

 
—

 
—

 
.7

 
A
 
Citigroup - OTC
 
9.9

 
—

 
—

 
9.9

 
—

 
—

 
1.4

 
8.5

 
A
 
Citigroup - Exchange Traded
 
1.0

 
—

 
—

 
1.0

 
5.8

 
—

 
—

 
6.8

 
A
 
   Total
 
$
20.1

 
$
—

 
$
—

 
$
20.1

 
$
5.8

 
$
—

 
$
6.9

 
$
19.0

 
 
 
 
 
December 31, 2014
Millions
 
Net amount of assets reflected in Balance Sheet
 
Collateral provided to counterparty - 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
 
$
24.3

 
$
—

 
$
—

 
$
24.3

 
$
—

 
$
—

 
$
8.8

 
$
15.5

 
A
+
Bank of America
 
5.6

 
—

 
—

 
5.6

 
—

 
—

 
—

 
5.6

 
A
 
Nomura
 
(3.5
)
 
3.5

 
—

 
—

 
1.7

 
9.5

 
—

 
11.2

 
BBB
+
Citigroup - OTC
 
22.2

 
—

 
—

 
22.2

 
—

 
—

 
1.1

 
21.1

 
A
 
Citigroup - Exchange Traded
 
3.7

 
—

 
—

 
3.7

 
16.0

 
—

 
—

 
19.7

 
A
 
Royal Bank of Scotland
 
4.0

 
—

 
—

 
4.0

 
—

 
—

 
—

 
4.0

 
A
-
Barclays
 
.1

 
—

 
—

 
.1

 
—

 
—

 
—

 
.1

 
A

   Total
 
$
56.4

 
$
3.5

 
$
—

 
$
59.9

 
$
17.7

 
$
9.5

 
$
9.9

 
$
77.2

 
 
 
(1) 
Standard & Poor’s ratings as detailed above are:  “A+” (Strong, which is the fifth highest of twenty-one creditworthiness ratings),“A” (which is the sixth highest of twenty-one creditworthiness ratings), “A-” (which is the seventh highest of twenty-one creditworthiness ratings), and BBB+ (which is the eighth highest of twenty-one creditworthiness ratings).
Realized and unrealized derivative gains (losses) recognized in other revenues and carrying values, by the type of instrument
The following summarizes realized and unrealized gains (losses) recognized in other revenues for the years ended December 31, 2015, 2014 and 2013 and the carrying values as of December 31, 2015 and 2014 by type of derivative instrument:
 
 
 
 
 
 
 
 
Carrying Value
 
 
Year Ended December 31,
 
December 31,
Millions
 
2015
 
2014
 
2013
 
2015
 
2014
Fixed income/interest rate
 
$
6.4

 
$
(33.7
)
 
$
(108.7
)
 
$
.5

 
$
(1.7
)
Foreign exchange
 
(7.3
)
 
(1.3
)
 
(96.7
)
 
14.8

 
44.1

Equity
 
(7.9
)
 
(37.4
)
 
(196.6
)
 
4.8

 
14.0

Total
 
$
(8.8
)
 
$
(72.4
)
 
$
(402.0
)
 
$
20.1

 
$
56.4