XML 66 R69.htm IDEA: XBRL DOCUMENT v2.4.0.8
Derivatives (Variable Annuity Reinsurance Liabilities and Derivative Instruments (Details) (White Mountains Life Re, USD $)
In Millions, unless otherwise specified
3 Months Ended 6 Months Ended
Jun. 30, 2013
Jun. 30, 2012
Jun. 30, 2013
Jun. 30, 2012
Dec. 31, 2012
Changes in variable annuity liabilities          
Realized and unrealized gains (losses) $ 1.5        
Changes in derivative instruments          
Beginning balance     98.3    
Realized and unrealized gains (losses) 63.5 (95.5) 245.3 111.0  
Ending balance 141.3   141.3    
Collateral cash and investments 120.6 471.6 120.6 471.6 393.6
Change in fair value of variable annuity death benefit liabilities, included in other general and administrative expenses 1.6 (2.8) 7.2 5.9  
Fair Value
         
Changes in derivative instruments          
Beginning balance 75.8 174.3 98.3 290.4  
Purchases 23.3 0 59.4 6.1  
Realized and unrealized gains (losses) (63.5) 95.5 (245.3) (111.0)  
Transfers in 0 0 0 0  
Sales/settlements 105.7 (19.5) 228.9 64.8  
Ending balance 141.3 250.3 141.3 250.3  
Level 3 Inputs
         
Changes in variable annuity liabilities          
Beginning balance (251.6) (548.5) (441.5) (768.5)  
Purchases 0 0 0 0  
Realized and unrealized gains (losses) 57.5 [1] (113.3) [1] 247.4 [1] 106.7 [1]  
Transfers in 0 0 0 0  
Sales/settlements    0    0  
Ending balance (194.1) (661.8) (194.1) (661.8)  
Changes in derivative instruments          
Beginning balance 127.4 [2] 183.8 [2] 140.5 [2] 247.1 [2]  
Purchases 23.3 [2] 0 [2] 59.4 [2] 6.1 [2]  
Realized and unrealized gains (losses) (24.2) [2] 29.5 [2] (73.4) [2] (30.8) [2]  
Transfers in 0 [2] 0 [2] 0 [2] 0 [2]  
Sales/settlements    [2] (0.3) [2]    [2] (9.4) [2]  
Ending balance 126.5 [2] 213.0 [2] 126.5 [2] 213.0 [2]  
Level 2 Inputs
         
Changes in derivative instruments          
Beginning balance (42.9) [2],[3] (0.1) [2],[3] (20.5) [2],[3] 39.2 [2],[3]  
Purchases 0 [2],[3] 0 [2],[3] 0 [2],[3] 0 [2],[3]  
Realized and unrealized gains (losses) (30.6) [2],[3] 41.7 [2],[3] (116.0) [2],[3] (56.5) [2],[3]  
Transfers in 0 [2],[3] 0 [2],[3] 0 [2],[3] 0 [2],[3]  
Sales/settlements 91.7 [2],[3] 19.4 [2],[3] 154.7 [2],[3] 78.3 [2],[3]  
Ending balance 18.2 [2],[3] 61.0 [2],[3] 18.2 [2],[3] 61.0 [2],[3]  
Level 1 Inputs
         
Changes in derivative instruments          
Beginning balance (8.7) [4] (9.4) [4] (21.7) [4] 4.1 [4]  
Purchases 0 [4] 0 [4] 0 [4] 0 [4]  
Realized and unrealized gains (losses) (8.7) [4] 24.3 [4] (55.9) [4] (23.7) [4]  
Transfers in 0 [4] 0 [4] 0 [4] 0 [4]  
Sales/settlements 14.0 [4] (38.6) [4] 74.2 [4] (4.1) [4]  
Ending balance $ (3.4) [4] $ (23.7) [4] $ (3.4) [4] $ (23.7) [4]  
[1] Includes $1.6 and $7.2 for the three and six months ended June 30, 2013 and $(2.8) and $5.9 for the three and six months ended June 30, 2012 related to the change in the fair value of variable annuity death benefit liabilities, which are included in general and administrative expenses.
[2] Consists of over-the-counter instruments.
[3] 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.
[4] 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.