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Derivatives (Tables)
 9 Months Ended
Sep. 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 as of September 30, 2017:
 
 
September 30, 2017
Millions
 
Notional Amount
 
Carrying Value
 
Standard & Poor's Rating (1)
Barclays Bank PLC
 
$
201.3

 
$
(14.1
)
 
A-
JP Morgan Chase Bank N.A.
 
60.5

 
(1.3
)
 
A+
Total
 
$
261.8

 
$
(15.4
)
 
 
(1) 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 nine months ended September 30, 2016.
 
 
Three Months Ended
 
Nine Months Ended
Millions
 
September 30, 2016
 
September 30, 2016
Fees, included in other revenue
 
$
—

 
$
1.2

Change in fair value of variable annuity liability, included in other revenue
 
—

 
(.3
)
Change in fair value of derivatives, included in other revenue
 
—

 
(2.0
)
Foreign exchange, included in other revenue
 
—

 
1.4

Total revenue
 
—

 
.3

Death benefit claims paid, included in general and administrative expenses
 
—

 
(.3
)
General and administrative expenses
 
(.5
)
 
(2.4
)
Pre-tax loss
 
$
(.5
)
 
$
(2.4
)
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 nine months ended September 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
 
Nine Months Ended
 
As of
Millions
 
September 30, 2016
 
September 30, 2016
 
December 31, 2016
Fixed income/interest rate
 
$
—

 
$
1.8

 
$
—

Foreign exchange
 
—

 
(4.8
)
 
—

Equity
 
—

 
1.0

 
—

Total
 
$
—

 
$
(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 nine months ended September 30, 2016.
 
 
Nine Months Ended September 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.