Investment securities (Tables)

12 Months Ended

Dec. 31, 2018

Marketable securities

Schedule of net investment income

(Millions)	2018		2017		2016
Fixed maturity investments	$	53.2	$	51.5	$	58.0
Short-term investments		5.1		1.5		0.9
Equity securities		16.5		5.1		4.1
Other long-term investments		8.4		8.5		4.9
Interest on funds held under reinsurance treaties		(0.5)		—		(0.5)
Total investment income		82.7		66.6		67.4
Investment expenses		(11.3)		(9.8)		(11.2)
Net investment income	$	71.4	$	56.8	$	56.2

Schedule of net realized and unrealized investment (losses) gains

(Millions)	2018		2017		2016
Gross realized gains	$	42.3	$	24.4	$	310.8
Gross realized (losses)		(40.0)		(51.6)		(22.5)
Net realized gains (losses) on investments(1)(2)		2.3		(27.2)		288.3
Net unrealized (losses) on investments(3)		(23.2)		(10.5)		(238.2)
Net realized and unrealized investment (losses) gains on investments	$	(20.9)	$	(37.7)	$	50.1

(1) Includes 17.3, $(19.1), and $50.0 of realized gains (losses) due to foreign currency during 2018, 2017, and 2016, respectively.

(2) Includes net realized gains of $222.5 related to Symetra in 2016. (See Note 3.)

(3) Includes $35.7, $(51.7), and $(7.7) of unrealized gains (losses) due to foreign currency during 2018, 2017, and 2016, respectively.

Schedule of net realized investment gains (losses)

(Millions)	2018		2017		2016
Fixed maturity investments	$	3.6	$	(19.1)	$	57.4
Equity securities		(6.4)		0.1		231.9
Other long-term investments		5.1		(8.2)		(1.0)
Net realized investment gains (losses)	$	2.3	$	(27.2)	$	288.3

Schedule of net unrealized investment gains (losses)

(Millions)	2018		2017		2016
Fixed maturity investments	$	14.1	$	(41.3)	$	(25.0)
Equity securities		(51.1)		25.2		(214.5)
Other long-term investments		13.8		5.6		1.3
Net unrealized investment (losses)	$	(23.2)	$	(10.5)	$	(238.2)

Level 3

Marketable securities

Schedule of net unrealized investment gains (losses)

(Millions)	2018		2017		2016
Fixed maturity investments	$	(6.1)	$	(0.2)	$	(0.1)
Equity securities		—		0.1		—
Other long-term investments		4.0		(0.6)		1.2
Total unrealized investment (losses) gains - Level 3 investments	$	(2.1)	$	(0.7)	$	1.1

Hedge funds and private equity funds

Marketable securities

Schedule of redemption frequency and advance notice period requirements for investments

The following summarizes the December 31, 2018 fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds:

	Notice Period
Redemption Frequency	30-59 days		60-89 days		90-119 days		120+ days
(Millions)	notice		notice		notice		notice		Total
Monthly	$	—	$	25.4	$	—	$	—	$	25.4
Quarterly		0.8		—		—		—		0.8
Semi-annual		—		0.8		—		—		0.8
Annual		—		15.6		55.7		20.0		91.3
Total	$	0.8	$	41.8	$	55.7	$	20.0	$	118.3

Private equity securities

Marketable securities

Schedule of investment securities by lock-up period.

As of December 31, 2018, investments in private equity funds were subject to lock-up periods as follows:

(Millions)	1 - 3 years		3 – 5 years		5 – 10 years		Total
Private Equity Funds -- expected lock up period remaining	$	17.2	$	4.6	$	161.3	$	183.1

Fixed maturity investments

Marketable securities

Schedule of investment securities and other long-term investments

	2018
	Cost or		Gross				Net foreign
	amortized		unrealized		Gross		currency gains
(Millions)	cost		gains		unrealized losses		(losses)		Fair value
Corporate debt securities	$	694.1	$	1.4	$	(7.3)	$	7.6	$	695.8
Asset-backed securities		496.3		0.1		(3.8)		1.9		494.5
Residential mortgage-backed securities		413.0		1.7		(7.1)		5.9		413.5
U.S. government and government agency		163.9		0.3		(0.5)		4.2		167.9
Commercial mortgage-backed securities		117.7		0.2		(2.7)		0.7		115.9
Non-U.S. government and government agency		50.6		—		(0.2)		(0.1)		50.3
Preferred stocks		14.5		0.6		(6.8)		0.2		8.5
U.S. States, municipalities and political subdivision		2.8		—		—		—		2.8
Total fixed maturity investments	$	1,952.9	$	4.3	$	(28.4)	$	20.4	$	1,949.2

	2017
	Cost or		Gross		Gross		Net foreign
	amortized		unrealized		unrealized		currency gains
(Millions)	cost		gains		losses		(losses)		Fair value
Corporate debt securities	$	1,017.0	$	3.1	$	(4.8)	$	(0.8)	$	1,014.5
Asset-backed securities		478.1		0.4		(0.6)		(2.5)		475.4
Residential mortgage-backed securities(1)		300.7		0.1		(5.6)		(1.7)		293.5
U.S. government and government agency		85.8		—		(0.8)		(0.2)		84.8
Commercial mortgage-backed securities(1)		193.8		0.8		(3.6)		—		191.0
Non-U.S. government and government agency		106.8		0.1		(0.9)		1.2		107.2
Preferred stocks		9.3		0.3		—		0.2		9.8
U.S. States, municipalities and political subdivision		3.8		—		—		—		3.8
Total fixed maturity investments	$	2,195.3	$	4.8	$	(16.3)	$	(3.8)	$	2,180.0

(1)   2017 figures have been revised to correct for a misclassification in prior disclosure of subcategories within residential mortgage-backed securities. Cost or amortized cost and fair value balances increased by $41.4 for residential mortgage-backed securities and decreased by the same amounts for commercial mortgage-backed securities. Gross unrealized losses and net foreign currency gains (losses) increased by $0.3 for residential mortgage-backed securities and decreased by the same amounts for commercial mortgage-backed securities.

Schedule of fixed maturity investment by contractual maturity

	2018				2017
	Cost or amortized				Cost or amortized
(Millions)	cost		Fair value		cost		Fair value
Due in one year or less	$	249.6	$	254.6	$	106.3	$	106.5
Due after one year through five years		635.6		636.4		1,009.0		1,006.4
Due after five years through ten years		26.2		25.7		71.2		70.8
Due after ten years		0.1		0.1		26.9		26.6
Mortgage-backed and asset-backed securities		1,026.9		1,023.9		972.6		959.9
Preferred stocks		14.5		8.5		9.3		9.8
Total	$	1,952.9	$	1,949.2	$	2,195.3	$	2,180.0

Schedule of ratings and fair value of fixed maturity investments

(Millions)	2018		2017
AAA	$	602.0	$	689.4
AA		818.0		635.2
A		290.5		416.4
BBB		167.4		333.8
Other		71.3		105.2
Total fixed maturity investments(1)	$	1,949.2	$	2,180.0

(1) Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor’s and 2) Moody’s Investor Service.

Fixed maturity investments | Estate, Equity and Other

Marketable securities

Schedule of investment securities and other long-term investments

(Millions)	2018		2017 (1)
Mortgage-backed securities:
Agency:
Federal national mortgage association	$	185.0	$	159.8
Federal home loan mortgage corporation		166.9		62.0
Government national mortgage association		59.4		57.2
Total agency(2)		411.3		279.0
Non-agency:
Commercial		85.5		148.3
Residential		32.6		57.2
Total non-agency		118.1		205.5
Total mortgage-backed securities		529.4		484.5
Asset-backed securities:
Collateralized loan obligations		373.0		—
Vehicle receivables		63.8		314.6
Credit card receivables		10.7		53.0
Other		47.0		107.8
Total asset-backed securities		494.5		475.4
Total mortgage and asset-backed securities(3)	$	1,023.9	$	959.9

(1) 2017 figures have been revised to correct for a misclassification in prior disclosure of subcategories within agency and non-agency mortgage-backed securities: total agency balances increased by $39.7 and total non-agency balances decreased by the same amount. 

(2) Represents publicly traded mortgage-backed securities which carry the full faith and credit guaranty of the U.S. government (i.e., GNMA) or are guaranteed by a government-sponsored entity (i.e., FNMA, FHLMC).

(3) At December 31, 2018 and 2017, all mortgage- and asset-backed securities held by Sirius Group were classified as Level 2 investments.

Other long-term investments

Marketable securities

Schedule of investment securities and other long-term investments

(Millions)	2018		2017
Hedge funds and private equity funds	$	301.4	$	205.3
Limited liability companies and private equity securities		63.6		64.2
Total other long-term investments	$	365.0	$	269.5

Other long-term investments | Hedge funds and private equity funds

Marketable securities

Summary of investment securities by investment objective and sector

(Millions)	2018				2017
			Unfunded				Unfunded
	Fair Value		Commitments		Fair Value		Commitments
Hedge funds:
Long/short multi-sector	$	41.0	$	—	$	31.5	$	—
Distressed mortgage credit		54.8		—		25.5		—
Private credit		20.0		—		—		—
Other		2.5		—		3.2		—
Total hedge funds		118.3		—		60.2		—
Private equity funds:
Energy infrastructure & services		93.7		54.2		73.5		56.4
Multi-sector		9.0		0.7		9.5		1.0
Healthcare		31.7		15.6		23.4		28.6
Life settlement		23.7		—		21.5		—
Manufacturing/Industrial		23.6		10.4		15.9		5.1
Private equity secondaries		1.1		1.1		1.1		1.0
Real estate		0.3		—		0.2		—
Total private equity funds		183.1		82.0		145.1		92.1
Total hedge and private equity funds included in other long-term investments	$	301.4	$	82.0	$	205.3	$	92.1

Equity securities and Other long-term investments

Marketable securities

Schedule of investment securities and other long-term investments

(Millions)	2018
	Cost or amortized		Gross unrealized		Gross unrealized		Net foreign currency
	cost		gains		losses		gains (losses)		Fair value
Equity securities	$	409.4	$	17.8	$	(50.8)	$	3.6	$	380.0
Other long-term investments	$	337.6	$	32.6	$	(13.5)	$	8.3	$	365.0

(Millions)	2017
	Cost or amortized		Gross unrealized		Gross unrealized		Net foreign currency
	cost		gains		losses		gains (losses)		Fair value
Equity securities	$	275.1	$	29.3	$	(5.1)	$	(0.1)	$	299.2
Other long-term investments	$	255.5	$	14.2	$	(4.1)	$	3.9	$	269.5