Changes in White Mountains' variable annuity reinsurance liabilities and derivative instruments

	Variable Annuity (Liabilities)			Derivative Instruments
Millions	Level 3			Level 3 (1)			Level 2 (1)(2)			Level 1 (3)			Total (4)
Balance at January 1, 2011	$	(610.2	)	$	275.3		$	72.2		$	—		$	347.5
Purchases	—			5.0			—			—			5.0
Realized and unrealized gains (losses)	(151.1		)	27.1			67.5			10.8			105.4
Transfers in (out)	—			—			—			—			—
Sales/settlements	—			(29.1		)	(64.2		)	(10.8		)	(104.1		)
Balance at September 30, 2011	$	(761.3	)	$	278.3		$	75.5		$	—		$	353.8

	Variable Annuity (Liabilities)			Derivative Instruments
Millions	Level 3			Level 3 (1)		Level 2 (1)(2)			Level 1 (3)			Total (4)
Balance at June 30, 2011	$	(591.3	)	$	232.7	$	48.2		$	(11.9	)	$	269.0
Purchases	—			—		—			—			—
Realized and unrealized gains (losses)	(170.0		)	45.6		75.7			27.6			148.9
Transfers in (out)	—			—		—			—			—
Sales/settlements	—			—		(48.4		)	(15.7		)	(64.1		)
Balance at September 30, 2011	$	(761.3	)	$	278.3	$	75.5		$	—		$	353.8

(1)	Comprises over-the-counter instruments.
(2)	Comprises 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)	Comprises 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 $419.7 at September 30, 2011 posted as collateral to its reinsurance counterparties.

Summary of collateral provided to WM Life Re from counterparties

Millions	September 30, 2011		December 31, 2010
Short-term investments	$	72.2	$	52.4
Fixed maturity securities	58.1		48.6
Total	$	130.3	$	101.0

Summary of uncollateralized amounts due under WM Life Re's OTC derivative contracts

Millions	Uncollateralized balance as of September 30, 2011		S&P Rating(1)
Royal Bank of Scotland	$	86.5		A
Bank of America	49.7			A
Citigroup (3)	46.7			A
Barclays	32.2			A+
Nomura	15.6			BBB+
JP Morgan	14.7			A+
BNP Paribas	7.5			AA
Goldman Sachs(2)	2.8			A
Total	$	255.7

(1)

Standard & Poor’s (“S&P”) ratings as detailed above are: “AA” (Very Strong, which is the third highest of twenty-one creditworthiness ratings), “A+” (which is the fifth highest of twenty-one creditworthiness ratings), “A” (which is the sixth highest of twenty-one creditworthiness ratings) and “BBB+” (Adequate, which is the eighth highest of twenty-one creditworthiness ratings).

(2)

Collateral provided (held) calculated under master netting agreement.