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Derivatives (Tables)
 12 Months Ended
Dec. 31, 2018
Derivative [Line Items]  
Schedule of collateral
The following table presents the gross notional amounts and carrying values associated with the foreign currency forward contracts as of December 31, 2017:
 
 
December 31, 2017
Millions
 
Notional Amount
 
Carrying Value
 
Standard & Poor’s Rating (1)
Barclays Bank PLC
 
$
206.3

 
$
(3.7
)
 
A
(1)
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 year ended December 31, 2016:
Millions
 
Year Ended
December 31, 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
 
1.3

Total revenues
 
.2

Death benefit claims paid, included in general and administrative expenses
 
(.3
)
General and administrative expenses
 
(2.6
)
Pre-tax loss
 
$
(2.7
)
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 year ended December 31, 2016 by type of instrument:
Millions
 
Gains (Losses)
Year Ended
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 present the changes in White Mountains’s variable annuity reinsurance liabilities and derivative instruments for the year ended December 31, 2016:
 
 
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.