Title of each class | Trading symbol | Name of each exchange on which registered | ||
Common shares, par value $0.01 per share | SG | Nasdaq Global Select Market |
Page | ||
• | the continued impact of the COVID-19 pandemic on Sirius Group’s business, operations and loss reserve estimates; |
• | the effect of judicial, legislative and regulatory actions to address and contain the impact of COVID-19; |
• | the uncertainty as to the estimate of ultimate industry loss claims; |
• | the general economic conditions and market conditions in the markets in which Sirius Group operates; |
• | Sirius Group's exposure to unpredictable catastrophic and casualty events and unexpected accumulations of attritional losses; |
• | increased competition from existing insurers and reinsurers and from alternative capital providers, such as insurance-linked funds and collateralized special purpose insurers; |
• | decreased demand for Sirius Group's insurance or reinsurance products, consolidation and cyclical changes in the insurance and reinsurance industry; |
• | the inherent uncertainty of estimating loss and loss adjustment expenses reserves, including asbestos and environmental reserves, and the possibility that such reserves may be inadequate to cover Sirius Group's ultimate liability for losses; |
• | a decline in or withdrawal of Sirius Group's operating subsidiaries' ratings with rating agencies; |
• | the exposure of Sirius Group's investments to interest rate, credit, equity risks and market volatility, which may limit Sirius Group's net income and may affect the adequacy of its capital and liquidity; |
• | losses related to cyber-attacks on Sirius Group's information technology systems; |
• | the impact of various risks associated with transacting business in foreign countries, including foreign currency exchange-rate risk and political risks on investments in, and revenues from, Sirius Group's operations outside the U.S.; |
• | the possibility that Sirius Group may become subject to additional onerous governmental or regulatory requirements or fail to comply with applicable regulatory and solvency requirements; |
• | Sirius Group's significant deferred tax assets may become materially impaired as a result of insufficient taxable income or a reduction in applicable corporate tax rates or other change in applicable tax law; |
• | a decrease in the fair value of Global A&H and/or Sirius Group's intangible assets may result in future impairments; |
• | the limited liquidity and trading of the Company's securities; |
• | CMIG International Holding Pte. Ltd.'s status as a majority shareholder, including its affiliates' liquidity issues, and actions taken by CMIG International Holding Pte. Ltd. or any other parties in interest in connection with such liquidity issues including ownership changes; |
• | Sirius Group's status as a publicly traded company, foreign private issuer and controlled company; |
• | the consequences of the written resolution of Sirius Group's majority shareholder which may prohibit the Board of Sirius Group from issuing any form of equity without shareholder approval; |
• | the impact of lawsuits initiated by minority shareholders, including lawsuits claiming that they are being unfairly oppressed by Sirius Group’s majority shareholder or lawsuits claiming a right of redemption of the Series B preference shares; and |
• | other risks identified elsewhere in this Quarterly Report on Form 10-Q, the Company's Annual Report on Form 10-K for the year ended December 31, 2019 and in the Company's other filings with the U.S. Securities and Exchange Commission. |
(Expressed in millions of U.S. dollars, except share information) | March 31, 2020 | December 31, 2019 | ||||
Unaudited | ||||||
Assets | ||||||
Fixed maturity investments, trading, at fair value (Amortized cost 2020: $1,705.0; 2019: $1,656.6) | $ | 1,732.1 | $ | 1,681.0 | ||
Short-term investments, at fair value (Amortized cost 2020: $1,032.7; 2019: $1,090.8) | 1,041.8 | 1,085.2 | ||||
Equity securities, trading, at fair value (Cost 2020: $409.5; 2019: $379.2) | 366.6 | 405.2 | ||||
Other long-term investments, at fair value (Cost 2020: $323.2; 2019: $315.4) | 355.5 | 346.8 | ||||
Cash | 140.5 | 136.3 | ||||
Restricted cash | 15.3 | 14.3 | ||||
Total investments and cash | 3,651.8 | 3,668.8 | ||||
Accrued investment income | 10.9 | 11.2 | ||||
Insurance and reinsurance premiums receivable | 964.2 | 730.1 | ||||
Reinsurance recoverable on unpaid losses | 444.2 | 410.3 | ||||
Reinsurance recoverable on paid losses | 85.7 | 73.9 | ||||
Funds held by ceding companies | 260.5 | 293.9 | ||||
Ceded unearned insurance and reinsurance premiums | 245.5 | 162.0 | ||||
Deferred acquisition costs | 168.2 | 148.2 | ||||
Deferred tax asset | 171.0 | 166.7 | ||||
Accounts receivable on unsettled investment sales | 35.2 | 6.7 | ||||
Goodwill | 400.8 | 400.8 | ||||
Intangible assets | 175.9 | 179.8 | ||||
Other assets | 143.7 | 161.4 | ||||
Total assets | $ | 6,757.6 | $ | 6,413.8 | ||
Liabilities | ||||||
Loss and loss adjustment expense reserves | $ | 2,519.6 | $ | 2,331.5 | ||
Unearned insurance and reinsurance premiums | 979.2 | 708.0 | ||||
Ceded reinsurance payable | 332.8 | 244.7 | ||||
Funds held under reinsurance treaties | 148.0 | 169.1 | ||||
Deferred tax liability | 183.5 | 205.9 | ||||
Debt | 664.8 | 685.2 | ||||
Accounts payable on unsettled investment purchases | 53.0 | 2.3 | ||||
Other liabilities | 200.4 | 201.3 | ||||
Total liabilities | 5,081.3 | 4,548.0 | ||||
Commitments and contingencies (see Note 19) | ||||||
Mezzanine equity | ||||||
Series B preference shares | 199.6 | 223.0 | ||||
Common shareholders' equity | ||||||
Common shares (shares issued and outstanding, 2020 & 2019: 115,299,341) | 1.2 | 1.2 | ||||
Additional paid-in surplus | 1,100.1 | 1,098.2 | ||||
Retained earnings | 673.7 | 778.5 | ||||
Accumulated other comprehensive (loss) | (300.9 | ) | (237.5 | ) | ||
Total common shareholders' equity | 1,474.1 | 1,640.4 | ||||
Non-controlling interests | 2.6 | 2.4 | ||||
Total equity | 1,476.7 | 1,642.8 | ||||
Total liabilities, mezzanine equity, and equity | $ | 6,757.6 | $ | 6,413.8 |
Three months ended March 31, | ||||||
(Expressed in millions of U.S. dollars, except share and per share information) | 2020 | 2019 | ||||
Revenues | ||||||
Net earned insurance and reinsurance premiums | $ | 434.7 | $ | 311.9 | ||
Net investment income | 13.5 | 20.1 | ||||
Net realized investment gains | 20.3 | 9.0 | ||||
Net unrealized investment (losses) gains | (43.8 | ) | 74.0 | |||
Net foreign exchange gains | 18.5 | 5.1 | ||||
Other revenue | 4.3 | 19.6 | ||||
Total revenues | 447.5 | 439.7 | ||||
Expenses | ||||||
Loss and loss adjustment expenses | 427.1 | 183.9 | ||||
Insurance and reinsurance acquisition expenses | 74.7 | 63.3 | ||||
Other underwriting expenses | 38.0 | 35.3 | ||||
General and administrative expenses | 32.1 | 24.4 | ||||
Intangible asset amortization expenses | 3.9 | 3.9 | ||||
Interest expense on debt | 7.8 | 7.6 | ||||
Total expenses | 583.6 | 318.4 | ||||
Pre-tax (loss) income | (136.1 | ) | 121.3 | |||
Income tax benefit (expense) | 14.8 | (17.2 | ) | |||
Net (loss) income | (121.3 | ) | 104.1 | |||
Income attributable to non-controlling interests | (0.2 | ) | (0.4 | ) | ||
(Loss) income attributable to Sirius Group | (121.5 | ) | 103.7 | |||
Change in carrying value of Series B preference shares | 23.4 | (8.4 | ) | |||
Net (loss) income attributable to Sirius Group's common shareholders | $ | (98.1 | ) | $ | 95.3 | |
Net (loss) income per common share and common share equivalent | ||||||
Basic earnings per common share and common share equivalent | $ | (0.85 | ) | $ | 0.75 | |
Diluted earnings per common share and common share equivalent | $ | (0.96 | ) | $ | 0.74 | |
Weighted average number of common shares and common share equivalents outstanding: | ||||||
Basic weighted average number of common shares and common share equivalents outstanding | 115,262,302 | 115,182,331 | ||||
Diluted weighted average number of common shares and common share equivalents outstanding | 127,163,972 | 127,335,314 |
Three months ended March 31, | ||||||
(Expressed in millions of U.S. dollars) | 2020 | 2019 | ||||
Comprehensive (loss) income | ||||||
Net (loss) income | $ | (121.3 | ) | $ | 104.1 | |
Other comprehensive (loss) | ||||||
Change in foreign currency translation, net of tax | (63.4 | ) | (27.8 | ) | ||
Total other comprehensive (loss) | (63.4 | ) | (27.8 | ) | ||
Comprehensive (loss) income | (184.7 | ) | 76.3 | |||
Net (income) attributable to non-controlling interests | (0.2 | ) | (0.4 | ) | ||
Comprehensive (loss) income attributable to Sirius Group | $ | (184.9 | ) | $ | 75.9 |
Three months ended March 31, | ||||||
(Expressed in millions of U.S. dollars) | 2020 | 2019 | ||||
Common shares | ||||||
Balance at beginning and end of period | $ | 1.2 | $ | 1.2 | ||
Additional paid-in surplus | ||||||
Balance at beginning of period | 1,098.2 | 1,089.1 | ||||
Share-based compensation | 1.9 | 1.2 | ||||
Other, net | — | (0.1 | ) | |||
Balance at end of period | 1,100.1 | 1,090.2 | ||||
Retained earnings | ||||||
Balance at beginning of period | 778.5 | 816.6 | ||||
Cumulative effect of an accounting change | (6.8 | ) | — | |||
Balance at beginning of period, as adjusted | 771.7 | 816.6 | ||||
Net (loss) income | (121.3 | ) | 104.1 | |||
Income attributable to non-controlling interests | (0.2 | ) | (0.4 | ) | ||
Change in carrying value of Series B preference shares | 23.4 | (8.4 | ) | |||
Other, net | 0.1 | (0.1 | ) | |||
Balance at end of period | 673.7 | 911.8 | ||||
Accumulated other comprehensive (loss) | ||||||
Balance at beginning of period | (237.5 | ) | (202.4 | ) | ||
Accumulated net foreign currency translation (losses) | ||||||
Balance at beginning of period | (237.5 | ) | (202.4 | ) | ||
Net change in foreign currency translation | (63.4 | ) | (27.8 | ) | ||
Balance at the end of period | (300.9 | ) | (230.2 | ) | ||
Balance at the end of period | (300.9 | ) | (230.2 | ) | ||
Total common shareholders' equity | $ | 1,474.1 | $ | 1,773.0 | ||
Non-controlling interests | 2.6 | 2.2 | ||||
Total equity | $ | 1,476.7 | $ | 1,775.2 |
Three months ended March 31, | ||||||
(Expressed in millions of U.S. dollars) | 2020 | 2019 | ||||
Cash flows from operations: | ||||||
Net (loss) income | $ | (121.3 | ) | $ | 104.1 | |
Adjustments to reconcile net income to net cash provided from operations: | ||||||
Net realized and unrealized investment losses (gains) | 23.5 | (83.0 | ) | |||
Amortization of premium on fixed maturity investments | 0.4 | (0.8 | ) | |||
Amortization of intangible assets | 3.9 | 3.9 | ||||
Depreciation and other amortization | 1.7 | 2.2 | ||||
Share-based compensation | 1.9 | 1.2 | ||||
Other operating items: | ||||||
Net change in loss and loss adjustment expense reserves | 278.6 | (1.1 | ) | |||
Net change in reinsurance recoverable on paid and unpaid losses | (91.1 | ) | (8.7 | ) | ||
Net change in funds held by ceding companies | 22.5 | (20.1 | ) | |||
Net change in unearned insurance and reinsurance premiums | 309.5 | 232.4 | ||||
Net change in ceded reinsurance payable | 111.3 | 37.7 | ||||
Net change in ceded unearned insurance and reinsurance premiums | (96.6 | ) | (47.6 | ) | ||
Net change in insurance and reinsurance premiums receivable | (280.5 | ) | (208.8 | ) | ||
Net change in deferred acquisition costs | (26.4 | ) | (14.2 | ) | ||
Net change in funds held under reinsurance treaties | (12.7 | ) | 15.4 | |||
Net change in current and deferred income taxes, net | (11.5 | ) | 9.1 | |||
Net change in other assets and liabilities, net | 2.0 | 2.9 | ||||
Net cash provided from operations | 115.2 | 24.6 | ||||
Cash flows from investing activities: | ||||||
Net change in short-term investments | 33.8 | (120.1 | ) | |||
Sales of fixed maturities and convertible fixed maturity investments | 99.3 | 135.1 | ||||
Maturities, calls, and paydowns of fixed maturity and convertible fixed maturity investments | 62.0 | 59.3 | ||||
Sales of common equity securities | 205.0 | 45.9 | ||||
Distributions, redemptions, and maturities of other long-term investments | 7.4 | 15.3 | ||||
Return of principal on loan participations | 0.1 | — | ||||
Contributions to other long-term investments | (17.6 | ) | (25.0 | ) | ||
Purchases of common equity securities | (253.6 | ) | (39.8 | ) | ||
Purchases of fixed maturities and convertible fixed maturity investments | (261.2 | ) | (105.1 | ) | ||
Net change in unsettled investment purchases and sales | 22.5 | 10.0 | ||||
Other, net | (0.4 | ) | 0.3 | |||
Net cash (used for) investing activities | (102.7 | ) | (24.1 | ) | ||
Cash flows from financing activities: | ||||||
Change in collateral held on Interest Rate Cap | — | (0.1 | ) | |||
Net cash (used for) from financing activities | — | (0.1 | ) | |||
Effect of exchange rate changes on cash | (7.3 | ) | (3.6 | ) | ||
Net increase (decrease) in cash during period | 5.2 | (3.2 | ) | |||
Cash and restricted cash balance at beginning of period | 150.6 | 132.2 | ||||
Cash and restricted cash balance at end of period | $ | 155.8 | $ | 129.0 |
For the three months ended March 31, 2020 | ||||||||||||||||||
(Expressed in millions of U.S. dollars) | Global Reinsurance | Global A&H | U.S. Specialty | Runoff & Other | Corporate Elimination | Total | ||||||||||||
Gross written premiums | $ | 465.3 | $ | 262.1 | $ | 20.8 | $ | 69.4 | $ | — | $ | 817.6 | ||||||
Net written premiums | $ | 345.4 | $ | 200.7 | $ | 15.2 | $ | 68.6 | $ | — | $ | 629.9 | ||||||
Net earned insurance and reinsurance premiums | $ | 235.0 | $ | 117.9 | $ | 12.8 | $ | 69.0 | $ | — | $ | 434.7 | ||||||
Loss and allocated LAE(1) | (257.2 | ) | (80.3 | ) | (7.7 | ) | (68.9 | ) | — | (414.1 | ) | |||||||
Insurance and reinsurance acquisition expenses | (50.9 | ) | (30.8 | ) | (3.0 | ) | (0.4 | ) | 10.4 | (74.7 | ) | |||||||
Technical profit | (73.1 | ) | 6.8 | 2.1 | (0.3 | ) | 10.4 | (54.1 | ) | |||||||||
Unallocated LAE(2) | (5.0 | ) | (1.7 | ) | (0.1 | ) | (0.8 | ) | (5.4 | ) | (13.0 | ) | ||||||
Other underwriting expenses | (21.3 | ) | (5.6 | ) | (5.2 | ) | (0.9 | ) | (5.0 | ) | (38.0 | ) | ||||||
Underwriting income | (99.4 | ) | (0.5 | ) | (3.2 | ) | (2.0 | ) | — | (105.1 | ) | |||||||
Service fee revenue(3) | — | 35.9 | — | — | (11.0 | ) | 24.9 | |||||||||||
Managing general underwriter unallocated LAE | — | (6.0 | ) | — | — | 6.0 | — | |||||||||||
Managing general underwriter other underwriting expenses | — | (5.0 | ) | — | — | 5.0 | — | |||||||||||
General and administrative expenses, MGU + Runoff & Other(4) | — | (14.2 | ) | — | (1.5 | ) | — | (15.7 | ) | |||||||||
Underwriting (loss) income, including net service fee income | (99.4 | ) | 10.2 | (3.2 | ) | (3.5 | ) | — | (95.9 | ) | ||||||||
Net investment income | 13.5 | |||||||||||||||||
Net realized investment gains | 20.3 | |||||||||||||||||
Net unrealized investment (losses) gains | (43.8 | ) | ||||||||||||||||
Net foreign exchange gains | 18.5 | |||||||||||||||||
Other revenue(5) | (20.6 | ) | ||||||||||||||||
General and administrative expenses(6) | (16.4 | ) | ||||||||||||||||
Intangible asset amortization expenses | (3.9 | ) | ||||||||||||||||
Interest expense on debt | (7.8 | ) | ||||||||||||||||
Pre-tax (loss) income | $ | (136.1 | ) | |||||||||||||||
Underwriting Ratios | ||||||||||||||||||
Loss ratio | 111.6 | % | 69.6 | % | 60.9 | % | NM | NM | 98.3 | % | ||||||||
Acquisition expense ratio | 21.7 | % | 26.1 | % | 23.4 | % | NM | NM | 17.2 | % | ||||||||
Other underwriting expense ratio | 9.1 | % | 4.7 | % | 40.6 | % | NM | NM | 8.7 | % | ||||||||
Combined ratio(7) | 142.4 | % | 100.4 | % | 124.9 | % | NM | NM | 124.2 | % | ||||||||
Goodwill and intangible assets(8) | $ | — | $ | 568.6 | $ | — | $ | 8.1 | $ | — | $ | 576.7 |
For the three months ended March 31, 2019 | ||||||||||||||||||
(Expressed in millions of U.S. dollars) | Global Reinsurance | Global A&H | U.S. Specialty | Runoff & Other | Corporate Elimination | Total | ||||||||||||
Gross written premiums | $ | 435.0 | $ | 169.3 | $ | 16.6 | $ | 1.4 | $ | — | $ | 622.3 | ||||||
Net written premiums | $ | 335.9 | $ | 134.9 | $ | 13.6 | $ | 0.4 | $ | — | $ | 484.8 | ||||||
Net earned insurance and reinsurance premiums | $ | 211.3 | $ | 96.1 | $ | 4.1 | $ | 0.4 | $ | — | $ | 311.9 | ||||||
Loss and allocated LAE(1) | (107.8 | ) | (63.2 | ) | (2.4 | ) | (1.1 | ) | — | (174.5 | ) | |||||||
Insurance and reinsurance acquisition expenses | (45.6 | ) | (26.6 | ) | (0.7 | ) | (0.7 | ) | 10.3 | (63.3 | ) | |||||||
Technical profit | 57.9 | 6.3 | 1.0 | (1.4 | ) | 10.3 | 74.1 | |||||||||||
Unallocated LAE(2) | (4.0 | ) | (1.5 | ) | — | (0.5 | ) | (3.4 | ) | (9.4 | ) | |||||||
Other underwriting expenses | (21.6 | ) | (6.1 | ) | (2.8 | ) | (2.1 | ) | (2.7 | ) | (35.3 | ) | ||||||
Underwriting income | 32.3 | (1.3 | ) | (1.8 | ) | (4.0 | ) | 4.2 | 29.4 | |||||||||
Service fee revenue(3) | — | 36.3 | — | — | (11.0 | ) | 25.3 | |||||||||||
Managing general underwriter unallocated LAE | — | (4.1 | ) | — | — | 4.1 | — | |||||||||||
Managing general underwriter other underwriting expenses | — | (2.7 | ) | — | — | 2.7 | — | |||||||||||
General and administrative expenses, MGU + Runoff & Other(4) | — | (16.2 | ) | — | (0.8 | ) | — | (17.0 | ) | |||||||||
Underwriting (loss) income, including net service fee income | 32.3 | 12.0 | (1.8 | ) | (4.8 | ) | — | 37.7 | ||||||||||
Net investment income | 20.1 | |||||||||||||||||
Net realized investment gains | 9.0 | |||||||||||||||||
Net unrealized investment (losses) gains | 74.0 | |||||||||||||||||
Net foreign exchange gains | 5.1 | |||||||||||||||||
Other revenue(5) | (5.7 | ) | ||||||||||||||||
General and administrative expenses(6) | (7.4 | ) | ||||||||||||||||
Intangible asset amortization expenses | (3.9 | ) | ||||||||||||||||
Interest expense on debt | (7.6 | ) | ||||||||||||||||
Pre-tax (loss) income | $ | 121.3 | ||||||||||||||||
Underwriting Ratios | ||||||||||||||||||
Loss ratio | 52.9 | % | 67.3 | % | 58.5 | % | NM | NM | 59.0 | % | ||||||||
Acquisition expense ratio | 21.6 | % | 27.7 | % | 17.1 | % | NM | NM | 20.3 | % | ||||||||
Other underwriting expense ratio | 10.2 | % | 6.3 | % | 68.3 | % | NM | NM | 11.3 | % | ||||||||
Combined ratio(7) | 84.7 | % | 101.3 | % | 143.9 | % | NM | NM | 90.6 | % | ||||||||
Goodwill and intangible assets(8) | $ | — | $ | 584.2 | $ | — | $ | 8.1 | $ | — | $ | 592.3 |
For the three months ended March 31, 2020 | |||||||||||||||
(Expressed in millions of U.S. dollars) | Global Reinsurance | Global A&H | U.S. Specialty | Runoff & Other | Total | ||||||||||
Net written premiums by client location: | |||||||||||||||
United States | $ | 104.3 | $ | 180.7 | $ | 15.2 | $ | 68.1 | $ | 368.3 | |||||
Europe | 172.8 | 7.2 | — | 0.3 | 180.3 | ||||||||||
Canada, the Caribbean, Bermuda and Latin America | 29.4 | 6.5 | — | — | 35.9 | ||||||||||
Asia and Other | 38.9 | 6.3 | — | 0.2 | 45.4 | ||||||||||
Total net written premium by client location for the three months ended March 31, 2020 | $ | 345.4 | $ | 200.7 | $ | 15.2 | $ | 68.6 | $ | 629.9 | |||||
Net written premiums by underwriting location: | |||||||||||||||
United States | $ | 72.6 | $ | 131.2 | $ | 15.2 | $ | 68.0 | $ | 287.0 | |||||
Europe | 208.2 | 69.5 | — | 0.4 | 278.1 | ||||||||||
Canada, the Caribbean, Bermuda and Latin America | 48.1 | — | — | — | 48.1 | ||||||||||
Asia and Other | 16.5 | — | — | 0.2 | 16.7 | ||||||||||
Total written premiums by underwriting location for the three months ended March 31, 2020 | $ | 345.4 | $ | 200.7 | $ | 15.2 | $ | 68.6 | $ | 629.9 |
For the three months ended March 31, 2019 | |||||||||||||||
(Expressed in millions of U.S. dollars) | Global Reinsurance | Global A&H | U.S. Specialty | Runoff & Other | Total | ||||||||||
Net written premiums by client location: | |||||||||||||||
United States | $ | 116.6 | $ | 111.1 | $ | 13.6 | $ | 0.2 | $ | 241.5 | |||||
Europe | 149.5 | 8.0 | — | 0.1 | 157.6 | ||||||||||
Canada, the Caribbean, Bermuda and Latin America | 29.0 | 5.0 | — | — | 34.0 | ||||||||||
Asia and Other | 40.8 | 10.8 | — | 0.1 | 51.7 | ||||||||||
Total net written premium by client location for the three months ended March 31, 2019 | $ | 335.9 | $ | 134.9 | $ | 13.6 | $ | 0.4 | $ | 484.8 | |||||
Net written premiums by underwriting location: | |||||||||||||||
United States | $ | 75.7 | $ | 71.0 | $ | 13.6 | $ | 0.2 | $ | 160.5 | |||||
Europe | 207.0 | 63.6 | — | 0.1 | 270.7 | ||||||||||
Canada, the Caribbean, Bermuda and Latin America | 35.9 | — | — | — | 35.9 | ||||||||||
Asia and Other | 17.3 | 0.3 | — | 0.1 | 17.7 | ||||||||||
Total written premiums by underwriting location for the three months ended March 31, 2019 | $ | 335.9 | $ | 134.9 | $ | 13.6 | $ | 0.4 | $ | 484.8 |
Three months ended March 31, | ||||||
(Millions) | 2020 | 2019 | ||||
Gross beginning balance | $ | 2,331.5 | $ | 2,016.7 | ||
Less beginning reinsurance recoverable on unpaid losses | (410.3 | ) | (350.2 | ) | ||
Net loss and LAE reserve balance | 1,921.2 | 1,666.5 | ||||
Losses and LAE incurred relating to: | ||||||
Current year losses | 422.9 | 167.3 | ||||
Prior years losses | 4.2 | 16.6 | ||||
Total net incurred losses and LAE | 427.1 | 183.9 | ||||
Foreign currency translation adjustment to net loss and LAE reserves | (21.8 | ) | (3.4 | ) | ||
Loss and LAE paid relating to: | ||||||
Current year losses | 43.1 | 36.2 | ||||
Prior years losses | 208.0 | 183.8 | ||||
Total loss and LAE payments | 251.1 | 220.0 | ||||
Net ending balance | 2,075.4 | 1,627.0 | ||||
Plus ending reinsurance recoverable on unpaid losses | 444.2 | 349.3 | ||||
Gross ending balance | $ | 2,519.6 | $ | 1,976.3 |
(in millions) | Gross Assets in Scope | Allowance for Expected Credit Losses | ||||
Premiums receivable & Funds held by ceding companies | $ | 1,224.7 | $ | 10.6 | ||
Reinsurance recoverable on unpaid and paid loss | 529.9 | 3.9 | ||||
MGU Trade receivables(1) | 25.6 | 0.4 | ||||
Total as of March 31, 2020 | $ | 1,780.2 | $ | 14.9 |
For the three months ended March 31, | ||||||
(Millions) | 2020 | 2019 | ||||
Fixed maturity investments | $ | 10.3 | $ | 16.8 | ||
Short-term investments | 3.3 | 0.4 | ||||
Equity securities | 2.6 | 2.7 | ||||
Other long-term investments | 0.2 | 3.9 | ||||
Total investment income | 16.4 | 23.8 | ||||
Investment expenses | (2.9 | ) | (3.7 | ) | ||
Net investment income | $ | 13.5 | $ | 20.1 |
For the three months ended March 31, | ||||||
(Millions) | 2020 | 2019 | ||||
Gross realized gains | $ | 42.0 | $ | 14.1 | ||
Gross realized (losses) | (21.7 | ) | (5.1 | ) | ||
Net realized gains on investments(1) | 20.3 | 9.0 | ||||
Net unrealized gains (losses) on investments(2) | (43.8 | ) | 74.0 | |||
Net realized and unrealized gains (losses) on investments | $ | (23.5 | ) | $ | 83.0 |
For the three months ended March 31, | ||||||
(Millions) | 2020 | 2019 | ||||
Fixed maturity investments | $ | 7.8 | $ | 6.8 | ||
Equity securities | 0.5 | (0.6 | ) | |||
Short-term investments | 2.8 | 0.1 | ||||
Derivative instruments | 8.3 | (0.6 | ) | |||
Other long-term investments | 0.9 | 3.3 | ||||
Net realized investment gains | $ | 20.3 | $ | 9.0 |
For the three months ended March 31, | ||||||
(Millions) | 2020 | 2019 | ||||
Fixed maturity investments | $ | 7.9 | $ | 29.7 | ||
Equity securities | (69.1 | ) | 25.1 | |||
Short-term investments | 15.7 | 2.7 | ||||
Derivative instruments | 0.1 | (0.6 | ) | |||
Other long-term investments | 1.6 | 17.1 | ||||
Net unrealized investment gains (losses) | $ | (43.8 | ) | $ | 74.0 |
For the three months ended March 31, | ||||||
(Millions) | 2020 | 2019 | ||||
Fixed maturity investments | $ | 0.3 | $ | — | ||
Equity securities | — | — | ||||
Other long-term investments | (0.9 | ) | 8.8 | |||
Total unrealized investment (losses) gains – Level 3 investments | $ | (0.6 | ) | $ | 8.8 |
March 31, 2020 | |||||||||||||||
(Millions) | Cost or amortized cost | Gross unrealized gains | Gross unrealized (losses) | Net foreign currency gains (losses) | Fair value | ||||||||||
Corporate debt securities | $ | 424.5 | $ | 2.8 | $ | (5.0 | ) | $ | 22.0 | $ | 444.3 | ||||
Asset-backed securities | 551.9 | 1.9 | (30.1 | ) | 0.7 | 524.4 | |||||||||
Residential mortgage-backed securities | 443.5 | 23.1 | (1.2 | ) | 6.5 | 471.9 | |||||||||
U.S. government and government agency | 119.9 | 6.8 | (0.1 | ) | 1.6 | 128.2 | |||||||||
Commercial mortgage-backed securities | 97.4 | 1.6 | (5.0 | ) | 0.3 | 94.3 | |||||||||
Non-U.S. government and government agency | 60.4 | 0.4 | (0.4 | ) | 0.4 | 60.8 | |||||||||
Preferred stocks | 5.8 | 0.9 | (0.2 | ) | — | 6.5 | |||||||||
U.S. States, municipalities and political subdivision | 1.6 | — | — | 0.1 | 1.7 | ||||||||||
Total fixed maturity investments | $ | 1,705.0 | $ | 37.5 | $ | (42.0 | ) | $ | 31.6 | $ | 1,732.1 |
December 31, 2019 | |||||||||||||||
(Millions) | Cost or amortized cost | Gross unrealized gains | Gross unrealized (losses) | Net foreign currency gains (losses) | Fair value | ||||||||||
Corporate debt securities | $ | 458.6 | $ | 5.2 | $ | (1.2 | ) | $ | 11.5 | $ | 474.1 | ||||
Asset-backed securities | 489.4 | 1.4 | (3.9 | ) | (0.1 | ) | 486.8 | ||||||||
Residential mortgage-backed securities | 426.2 | 10.5 | (1.4 | ) | 3.6 | 438.9 | |||||||||
U.S. government and government agency | 111.5 | 0.7 | (0.4 | ) | (1.3 | ) | 110.5 | ||||||||
Commercial mortgage-backed securities | 88.5 | 0.9 | (0.6 | ) | 0.2 | 89.0 | |||||||||
Non-U.S. government and government agency | 63.7 | — | (0.7 | ) | — | 63.0 | |||||||||
Preferred stocks | 17.0 | — | — | — | 17.0 | ||||||||||
U.S. States, municipalities and political subdivision | 1.7 | — | — | — | 1.7 | ||||||||||
Total fixed maturity investments | $ | 1,656.6 | $ | 18.7 | $ | (8.2 | ) | $ | 13.9 | $ | 1,681.0 |
March 31, 2020 | December 31, 2019 | |||||||||||
(Millions) | Cost or amortized cost | Fair value | Cost or amortized cost | Fair value | ||||||||
Due in one year or less | $ | 106.2 | $ | 112.9 | $ | 85.0 | $ | 88.4 | ||||
Due after one year through five years | 429.1 | 446.3 | 479.1 | 490.3 | ||||||||
Due after five years through ten years | 45.9 | 47.0 | 46.3 | 46.0 | ||||||||
Due after ten years | 25.2 | 28.8 | 25.1 | 24.6 | ||||||||
Mortgage-backed and asset-backed securities | 1,092.8 | 1,090.6 | 1,004.1 | 1,014.7 | ||||||||
Preferred stocks | 5.8 | 6.5 | 17.0 | 17.0 | ||||||||
Total | $ | 1,705.0 | $ | 1,732.1 | $ | 1,656.6 | $ | 1,681.0 |
(Millions) | March 31, 2020 | December 31, 2019 | ||||
AAA | $ | 588.4 | $ | 559.8 | ||
AA | 786.8 | 724.3 | ||||
A | 208.5 | 219.0 | ||||
BBB | 88.0 | 95.8 | ||||
Other | 60.4 | 82.1 | ||||
Total fixed maturity investments(1) | $ | 1,732.1 | $ | 1,681.0 |
March 31, 2020 | |||||||||||||||
(Millions) | Cost or amortized cost | Gross unrealized gains | Gross unrealized losses | Net foreign currency gains | Fair value | ||||||||||
Equity securities | $ | 409.5 | $ | 37.4 | $ | (98.4 | ) | $ | 18.1 | $ | 366.6 | ||||
Other long-term investments | $ | 323.2 | $ | 50.3 | $ | (31.7 | ) | $ | 13.7 | $ | 355.5 |
December 31, 2019 | |||||||||||||||
(Millions) | Cost or amortized cost | Gross unrealized gains | Gross unrealized losses | Net foreign currency gains | Fair value | ||||||||||
Equity securities | $ | 379.2 | $ | 55.6 | $ | (37.3 | ) | $ | 7.7 | $ | 405.2 | ||||
Other long-term investments | $ | 315.4 | $ | 49.9 | $ | (29.3 | ) | $ | 10.8 | $ | 346.8 |
(Millions) | March 31, 2020 | December 31, 2019 | ||||
Fixed income mutual funds | $ | 192.1 | $ | 175.3 | ||
Common stocks | 184.4 | 228.1 | ||||
Other equity securities(1) | (9.9 | ) | 1.8 | |||
Total Equity securities | $ | 366.6 | $ | 405.2 |
(Millions) | March 31, 2020 | December 31, 2019 | ||||
Hedge funds and private equity funds | $ | 279.6 | $ | 269.0 | ||
Limited liability companies and private equity securities | 75.9 | 77.8 | ||||
Total other long-term investments | $ | 355.5 | $ | 346.8 |
March 31, 2020 | December 31, 2019 | |||||||||||
(Millions) | Fair value | Unfunded commitments | Fair value | Unfunded commitments | ||||||||
Hedge funds: | ||||||||||||
Long/short multi-sector | $ | 49.5 | $ | — | $ | 53.0 | $ | — | ||||
Distressed mortgage credit | 59.4 | — | 51.6 | — | ||||||||
Private credit | 21.8 | — | 21.5 | — | ||||||||
Other | 1.1 | — | 1.4 | — | ||||||||
Total hedge funds | 131.8 | — | 127.5 | — | ||||||||
Private equity funds: | ||||||||||||
Energy infrastructure & services | 51.5 | 34.1 | 53.6 | 34.6 | ||||||||
Multi-sector | 16.0 | 7.8 | 8.7 | 7.8 | ||||||||
Healthcare | 28.2 | 6.8 | 25.9 | 10.4 | ||||||||
Life settlement | 22.9 | — | 23.9 | — | ||||||||
Manufacturing/Industrial | 26.3 | — | 27.6 | 3.9 | ||||||||
Private equity secondaries | 0.6 | 0.8 | 0.6 | 0.8 | ||||||||
Other | 2.3 | 1.8 | 1.2 | 2.6 | ||||||||
Total private equity funds | 147.8 | 51.3 | 141.5 | 60.1 | ||||||||
Total hedge and private equity funds included in Other long-term investments | $ | 279.6 | $ | 51.3 | $ | 269.0 | $ | 60.1 |
Notice Period | |||||||||||||||
Redemption Frequency (Millions) | 30-59 days notice | 60-89 days notice | 90-119 days notice | 120+ days notice | Total | ||||||||||
Monthly | $ | — | $ | 33.5 | $ | — | $ | — | $ | 33.5 | |||||
Quarterly | 0.6 | — | — | — | 0.6 | ||||||||||
Semi-annual | — | 0.2 | — | — | 0.2 | ||||||||||
Annual | — | 16.0 | 59.6 | 21.9 | 97.5 | ||||||||||
Total | $ | 0.6 | $ | 49.7 | $ | 59.6 | $ | 21.9 | $ | 131.8 |
(Millions) | 1 - 3 years | 3 – 5 years | 5 – 10 years | Total | ||||||||
Private Equity Funds – expected lock up period remaining | $ | 9.1 | $ | 2.1 | $ | 136.6 | $ | 147.8 |
March 31, 2020 | ||||||||||||
(Millions) | Fair Value | Level 1 Inputs | Level 2 Inputs | Level 3 Inputs | ||||||||
Assets measured at fair value | ||||||||||||
Fixed maturity investments: | ||||||||||||
U.S. Government and government agency | $ | 128.2 | $ | 127.1 | $ | 1.1 | $ | — | ||||
Corporate debt securities | 444.3 | — | 444.3 | — | ||||||||
Residential mortgage-backed securities | 471.9 | — | 471.9 | — | ||||||||
Asset-backed securities | 524.4 | — | 524.4 | — | ||||||||
Commercial mortgage-backed securities | 94.3 | — | 94.3 | — | ||||||||
Non-U.S. government and government agency | 60.8 | 29.7 | 31.1 | — | ||||||||
Preferred stocks | 6.5 | — | 3.9 | 2.6 | ||||||||
U.S. States, municipalities, and political subdivision | 1.7 | — | 1.7 | — | ||||||||
Total fixed maturity investments | 1,732.1 | 156.8 | 1,572.7 | 2.6 | ||||||||
Equity securities: | ||||||||||||
Fixed income mutual funds | 192.1 | 192.1 | — | — | ||||||||
Common stocks | 184.4 | 184.4 | — | — | ||||||||
Other equity securities(1) | (9.9 | ) | (11.6 | ) | 1.7 | — | ||||||
Total equity securities | 366.6 | 364.9 | 1.7 | — | ||||||||
Short-term investments | 1,041.8 | 1,019.5 | 22.3 | — | ||||||||
Other long-term investments(2) | 75.9 | — | — | 75.9 | ||||||||
Total investments | $ | 3,216.4 | $ | 1,541.2 | $ | 1,596.7 | $ | 78.5 | ||||
Loan participation | 19.9 | — | — | 19.9 | ||||||||
Derivative instruments | 11.7 | 1.0 | — | 10.7 | ||||||||
Total assets measured at fair value | $ | 3,248.0 | $ | 1,542.2 | $ | 1,596.7 | $ | 109.1 | ||||
Liabilities measured at fair value | ||||||||||||
Contingent consideration liabilities | $ | 28.3 | $ | — | $ | — | $ | 28.3 | ||||
Derivative instruments | 20.4 | 0.8 | — | 19.6 | ||||||||
Total liabilities measured at fair value | $ | 48.7 | $ | 0.8 | $ | — | $ | 47.9 |
December 31, 2019 | ||||||||||||
(Millions) | Fair value | Level 1 inputs | Level 2 inputs | Level 3 inputs | ||||||||
Assets measured at fair value | ||||||||||||
Fixed maturity investments: | ||||||||||||
U.S. Government and government agency | $ | 110.5 | $ | 109.1 | $ | 1.4 | $ | — | ||||
Corporate debt securities | 474.1 | — | 474.1 | — | ||||||||
Asset-backed securities | 486.8 | — | 486.8 | — | ||||||||
Residential mortgage-backed securities | 438.9 | — | 438.9 | — | ||||||||
Commercial mortgage-backed securities | 89.0 | — | 89.0 | — | ||||||||
Non-U.S. government and government agency | 63.0 | 31.7 | 31.3 | — | ||||||||
Preferred stocks | 17.0 | — | — | 17.0 | ||||||||
U.S. States, municipalities, and political subdivision | 1.7 | — | 1.7 | — | ||||||||
Total fixed maturity investments | 1,681.0 | 140.8 | 1,523.2 | 17.0 | ||||||||
Equity securities: | ||||||||||||
Fixed income mutual funds | 175.3 | 175.3 | — | — | ||||||||
Common stocks | 228.1 | 228.1 | — | — | ||||||||
Other equity securities | 1.8 | — | 1.8 | — | ||||||||
Total equity securities | 405.2 | 403.4 | 1.8 | — | ||||||||
Short-term investments | 1,085.2 | 1,073.7 | 11.5 | — | ||||||||
Other long-term investments(1) | 77.8 | — | — | 77.8 | ||||||||
Total investments | $ | 3,249.2 | $ | 1,617.9 | $ | 1,536.5 | $ | 94.8 | ||||
Loan participation | 20.0 | — | — | 20.0 | ||||||||
Derivative instruments | 11.4 | 1.3 | — | 10.1 | ||||||||
Total assets measured at fair value | $ | 3,280.6 | $ | 1,619.2 | $ | 1,536.5 | $ | 124.9 | ||||
Liabilities measured at fair value | ||||||||||||
Contingent consideration liabilities | $ | 28.2 | $ | — | $ | — | $ | 28.2 | ||||
Derivative instruments | 9.5 | 0.2 | — | 9.3 | ||||||||
Total liabilities measured at fair value | $ | 37.7 | $ | 0.2 | $ | — | $ | 37.5 |
For the three months ended March 31, 2020 | |||||||||||||||
(Millions) | Fixed Maturities | Other long-term investments(1) | Loan Participation | Derivative instruments assets & (liabilities) | Contingent consideration (liabilities) | ||||||||||
Balance as of January 1, 2020 | $ | 17.0 | $ | 77.8 | $ | 20.0 | $ | 0.8 | $ | (28.2 | ) | ||||
Total realized and unrealized gains (losses) | 2.6 | (0.9 | ) | — | (13.3 | ) | (0.1 | ) | |||||||
Foreign currency gains (losses) through Other Comprehensive Income | — | (1.0 | ) | — | — | — | |||||||||
Purchases | — | — | — | — | — | ||||||||||
Sales/Settlements | (17.0 | ) | — | (0.1 | ) | 3.6 | — | ||||||||
Balance as of March 31, 2020 | $ | 2.6 | $ | 75.9 | $ | 19.9 | $ | (8.9 | ) | $ | (28.3 | ) |
For the three months ended March 31, 2019 | |||||||||||||||
(Millions) | Fixed Maturities | Other long-term investments(1) | Loan Participation | Derivative instruments assets & (liabilities) | Contingent consideration (liabilities) | ||||||||||
Balance as of January 1, 2019 | $ | 5.4 | $ | 63.6 | $ | — | $ | (0.5 | ) | $ | (28.8 | ) | |||
Total realized and unrealized gains (losses) | — | 9.3 | — | (5.1 | ) | — | |||||||||
Foreign currency gains (losses) through Other Comprehensive Income | — | (0.7 | ) | — | — | — | |||||||||
Purchases | — | 15.8 | — | — | — | ||||||||||
Sales/Settlements | (5.4 | ) | — | — | 0.8 | — | |||||||||
Balance as of March 31, 2019 | $ | — | $ | 88.0 | $ | — | $ | (4.8 | ) | $ | (28.8 | ) |
(Millions, except share prices) | March 31, 2020 | |||||||
Description | Valuation Technique(s) | Fair value | Unobservable input | |||||
Private equity securities(1) | Share price of recent transaction | $ | 32.5 | Purchase share price | 40.6 | |||
Loan participation(1) | Purchase price of recent transaction | $ | 19.9 | Comparable yields | Range - 4.46% - 7.25% Median - 5.75% | |||
Preferred stock(1) | Share price of recent transaction | $ | 17.5 | Purchase price | 7.74 | |||
Private equity securities(1) | Multiple of GAAP book value | $ | 13.3 | Book value multiple | Range - 0.73x-0.91x Median - 0.82x | |||
Private debt instrument(1) | Discounted cash flow | $ | 6.2 | Discount yield | Range - 11.87% - 12.32% Median - 12.08% | |||
Private equity securities(1) | Purchase price of recent transaction | $ | 5.1 | Purchase price | 7.74 | |||
Currency swaps(2) | Third party appraisal | $ | 2.4 | Broker quote | $ | 2.4 | ||
Preferred stock(1) | Purchase price of recent transaction | $ | 1.9 | Purchase price | $ | 1.9 | ||
Currency forwards(2) | Third party appraisal | $ | 1.7 | Broker quote | $ | 1.7 | ||
Private equity securities(1) | Purchase price of recent transaction | $ | 1.0 | Purchase price | $ | 10.0 | ||
Equity warrants(2) | Option pricing model | $ | 0.9 | Strike price | $ | 0.2 | ||
Preferred stock(1) | Purchase price of recent transaction | $ | 0.7 | Purchase price | $ | 0.70 | ||
Private equity securities(1) | Purchase price of recent transaction | $ | 0.3 | Purchase price | $ | 0.3 | ||
Weather derivatives(2) | Third party appraisal | $ | (13.9 | ) | Broker quote | $ | (13.9 | ) |
Contingent consideration | External valuation model | $ | (28.3 | ) | Discounted future payments | $ | (28.3 | ) |
(Millions, except share prices) | December 31, 2019 | |||||||
Description | Valuation Technique(s) | Fair value | Unobservable input | |||||
Private equity securities(1) | Share price of recent transaction | $ | 32.5 | Purchase share price | $ | 40.6 | ||
Loan participation(1) | Purchase price of recent transaction | $ | 20.0 | Purchase price | 20.0 | |||
Preferred stock(1) | Share price of recent transaction | $ | 17.5 | Purchase price | $ | 7.74 | ||
Private equity securities(1) | Multiple of GAAP book value | $ | 14.2 | Book value multiple | 0.9 | |||
Preferred stock(1) | Purchase price of recent transaction | $ | 12.2 | Purchase price | $ | 12.2 | ||
Private debt instrument(1) | Purchase price of recent transaction | $ | 7.2 | Purchase price | $ | 9.0 | ||
Weather derivatives(2) | Third party appraisal | $ | 7.0 | Broker quote | $ | 7.0 | ||
Private equity security(1) | Purchase price of recent transaction | $ | 5.1 | Purchase price | $ | 7.74 | ||
Preferred stock(1) | Purchase price of recent transaction | $ | 4.8 | Purchase price | $ | 4.80 | ||
Currency forwards(2) | Third party appraisal | $ | 2.7 | Broker quote | $ | 2.7 | ||
Private equity securities(1) | Purchase price of recent transaction | $ | 1.0 | Purchase price | $ | 10.0 | ||
Equity warrants(2) | Option pricing model | $ | 0.4 | Strike price | $ | 0.2 | ||
Private equity securities(1) | Purchase price of recent transaction | $ | 0.3 | Purchase price | $ | 0.3 | ||
Currency swaps(2) | Third party appraisal | $ | (3.6 | ) | Broker quote | $ | (3.6 | ) |
Currency forwards(2) | Third party appraisal | $ | (5.7 | ) | Broker quote | $ | (5.7 | ) |
Contingent consideration | External valuation model | $ | (28.2 | ) | Discounted future payments | $ | (28.2 | ) |
March 31, 2020 | December 31, 2019 | |||||||||||
(Millions) | Fair Value(1) | Carrying Value | Fair Value(1) | Carrying Value | ||||||||
Liabilities, Mezzanine equity, and Non-controlling interest: | ||||||||||||
2017 SEK Subordinated Notes | $ | 268.3 | $ | 270.6 | $ | 294.5 | $ | 291.2 | ||||
2016 SIG Senior Notes | $ | 394.9 | $ | 394.2 | $ | 394.5 | $ | 394.0 | ||||
Series B preference shares | $ | 171.4 | $ | 205.0 | $ | 186.4 | $ | 223.0 |
(Millions) | March 31, 2020 | Effective Rate(1) | December 31, 2019 | Effective Rate(1) | ||||||
2017 SEK Subordinated Notes, at face value | $ | 274.2 | 4.2 | % | $ | 295.0 | 4.0 | % | ||
Unamortized issuance costs | (3.6 | ) | (3.8 | ) | ||||||
2017 SEK Subordinated Notes, carrying value | 270.6 | 291.2 | ||||||||
2016 SIG Senior Notes, at face value | 400.0 | 4.7 | % | 400.0 | 4.7 | % | ||||
Unamortized discount | (2.2 | ) | (2.3 | ) | ||||||
Unamortized issuance costs | (3.6 | ) | (3.7 | ) | ||||||
2016 SIG Senior Notes, carrying value | 394.2 | 394.0 | ||||||||
Total debt | $ | 664.8 | $ | 685.2 |
(Millions) | March 31, 2020 | December 31, 2019 | ||||||||||||||||
Derivatives not designated as hedging instruments | Notional Value | Asset derivative at fair value(1) | Liability derivative at fair value(2) | Notional Value | Asset derivative at fair value(1) | Liability derivative at fair value(2) | ||||||||||||
Interest rate cap | $ | 250.0 | $ | — | $ | — | $ | 250.0 | $ | — | $ | — | ||||||
Foreign currency swaps | $ | 90.0 | $ | 2.4 | $ | — | $ | 90.0 | $ | — | $ | 3.6 | ||||||
Foreign currency forwards | $ | 215.2 | $ | 7.3 | $ | 5.7 | $ | (30.0 | ) | $ | 2.7 | $ | 5.7 | |||||
Weather derivatives | $ | 105.9 | $ | — | $ | 13.9 | $ | 110.7 | $ | 7.0 | $ | — | ||||||
Equity futures contracts | $ | 20.1 | $ | — | $ | — | $ | 34.5 | $ | — | $ | — | ||||||
Equity call options | $ | 1.9 | $ | 0.1 | $ | — | $ | — | $ | — | $ | — | ||||||
Equity put options | $ | 11.4 | $ | 1.0 | $ | 0.8 | $ | 31.0 | $ | 1.3 | $ | 0.2 | ||||||
Equity warrants | $ | 0.9 | $ | 0.9 | $ | — | $ | 0.4 | $ | 0.4 | $ | — |
(Millions) | For the three months ended March 31, | ||||||
Derivatives not designated as hedging instruments | Classification of gains (losses) recognized in earnings | 2020 | 2019 | ||||
Interest rate cap | Other revenues | $ | — | $ | (0.1 | ) | |
Foreign currency swaps | Net foreign exchange gains | $ | 6.0 | $ | 0.8 | ||
Foreign currency forwards | Net foreign exchange gains | $ | 0.5 | $ | 0.2 | ||
Weather derivatives | Other revenues | $ | (20.4 | ) | $ | (6.0 | ) |
Equity futures contracts | Net realized investment gains (losses) | $ | 2.9 | $ | (0.6 | ) | |
Equity futures contracts | Net unrealized investment gains | $ | (1.0 | ) | $ | (0.2 | ) |
Equity put options | Net realized investment gains (losses) | $ | 5.5 | $ | — | ||
Equity put options | Net unrealized investment gains | $ | 0.5 | $ | (0.4 | ) | |
Equity warrants | Net unrealized investment gains | $ | 0.5 | $ | — |
(Millions) | March 31, 2020 | ||||||||||||||
PSUs - IPO Incentive Awards | PSUs - 2019 Long Term Incentive (LTI) | RSUs | Stock Options | 2018 Long Term Incentive Plan (LTIP) | |||||||||||
Unrecognized compensation cost related to unvested awards | $ | 2.6 | $ | 1.1 | $ | 9.8 | $ | 1.8 | $ | 0.2 | |||||
Weighted average recognition period (years) | 1.8 years | 1.8 years | 1.7 years | 1.9 years | 0.8 years |
As of and for the quarter ended March 31, 2020 | Number of Shares | |||||||||
PSUs - IPO Incentive Awards | PSUs - 2019 LTI | RSUs | Stock Options | 2018 Long Term Incentive Plan (LTIP) | ||||||
Unvested, beginning of period | 555,163 | 391,136 | 1,353,852 | 1,374,945 | 870,471 | |||||
Granted | — | — | — | — | — | |||||
Vested | — | — | — | — | — | |||||
Forfeited | 11,967 | 8,809 | 33,015 | — | 14,372 | |||||
Unvested, end of period | 543,196 | 382,327 | 1,320,837 | 1,374,945 | 856,099 |
Three months ended March 31, | ||||
(Millions) | 2020 | 2019 | ||
Common shares: | ||||
Shares issued and outstanding, beginning of period | 115,299,341 | 115,151,251 | ||
Issuance of shares to directors and employees | — | 111,052 | ||
Shares issued and outstanding, end of period | 115,299,341 | 115,262,303 |
(Millions) | For the three months ended March 31, 2020 | For the three months ended March 31, 2019 | ||||
Non-controlling interests, beginning of the period | $ | 2.4 | $ | 1.7 | ||
Net income attributable to non-controlling interests | 0.2 | 0.4 | ||||
Other, net | — | 0.1 | ||||
Non-controlling interests, end of the period | $ | 2.6 | $ | 2.2 |
For the three months ended March 31, | ||||||
(Millions, except share and per share information) | 2020 | 2019 | ||||
Basic earnings per share | ||||||
Numerator: | ||||||
Net income | $ | (121.3 | ) | $ | 104.1 | |
Less: Income attributable to non-controlling interests | (0.2 | ) | (0.4 | ) | ||
Less: Change in carrying value of Series B preference shares | 23.4 | (8.4 | ) | |||
Net income available for dividends out of undistributed earnings | $ | (98.1 | ) | $ | 95.3 | |
Less: Earnings attributable to Series B preference shares | — | (8.9 | ) | |||
Net income available to Sirius Group common shareholders | $ | (98.1 | ) | $ | 86.4 | |
Denominator: | ||||||
Weighted average shares outstanding for basic earnings per share | 115,262,302 | 115,182,331 | ||||
Basic earnings per share | $ | (0.85 | ) | $ | 0.75 | |
Diluted earnings per share | ||||||
Numerator: | ||||||
Net income available to Sirius Group common shareholders | $ | (98.1 | ) | $ | 86.4 | |
Add: Change in carrying value of Series B preference shares | (23.4 | ) | 8.4 | |||
Net income available to Sirius Group common shareholders on a diluted basis | $ | (121.5 | ) | $ | 94.8 | |
Denominator: | ||||||
Weighted average shares outstanding for basic earnings per share | 115,262,302 | 115,182,331 | ||||
Add: Series B preference shares | 11,901,670 | 11,901,670 | ||||
Add: Unvested performance share units and restricted share units | — | 251,313 | ||||
Weighted average shares outstanding for diluted earnings per share(1) | 127,163,972 | 127,335,314 | ||||
Diluted earnings per share | $ | (0.96 | ) | $ | 0.74 |
(Millions) | March 31, 2020 | December 31, 2019 | ||||
Equity method eligible unconsolidated entities, at fair value | $ | 151.8 | $ | 151.9 | ||
Other unconsolidated investments, at fair value(1) | 203.7 | 194.9 | ||||
Total Other long-term investments(2) | $ | 355.5 | $ | 346.8 |
Ownership interest as of | |||||
Investee | March 31, 2020 | December 31, 2019 | Instrument Held | ||
BE Reinsurance Limited | 24.9 | % | 24.9 | % | Common shares |
BioVentures Investors (Offshore) IV LP | 73.0 | % | 73.0 | % | Units |
Camden Partners Strategic Fund V (Cayman), LP | 39.4 | % | 39.4 | % | Units |
Diamond LS I LP | 16.0 | % | 16.0 | % | Units |
Gateway Fund LP | 19.3 | % | 15.0 | % | Units |
Monarch | 12.8 | % | 12.8 | % | Units |
New Energy Capital Infrastructure Credit Fund LP | 30.5 | % | 30.5 | % | Units |
New Energy Capital Infrastructure Offshore Credit Fund LP | 30.5 | % | 30.5 | % | Units |
Pie Preferred Stock(1) | 30.1 | % | 30.1 | % | Preferred shares |
Pie Series B Preferred Stock(1) | 22.4 | % | 22.4 | % | Preferred shares |
Quintana Energy Partners | 21.8 | % | 21.8 | % | Units |
Tuckerman Capital V LP | 48.3 | % | 48.3 | % | Units |
Tuckerman Capital V Co-Investment I LP | 48.3 | % | 48.1 | % | Units |
(Millions) | March 31, 2020 | December 31, 2019 | ||||
Assets: | ||||||
Fixed maturity investments | $ | 3.6 | $ | 3.9 | ||
Short-term investments | 0.5 | 0.5 | ||||
Cash | 0.1 | 0.1 | ||||
Total investments | 4.2 | 4.5 | ||||
Insurance and reinsurance premiums receivable | (0.5 | ) | (0.3 | ) | ||
Funds held by ceding companies | 3.4 | 3.4 | ||||
Deferred acquisition costs | 0.1 | 0.3 | ||||
Other assets | — | — | ||||
Total assets | $ | 7.2 | $ | 7.9 | ||
Liabilities | ||||||
Loss and loss adjustment expense reserves | $ | 0.4 | $ | 0.5 | ||
Unearned insurance and reinsurance premiums | 0.1 | 0.6 | ||||
Other liabilities | 0.1 | 0.1 | ||||
Total liabilities | $ | 0.6 | $ | 1.2 |
Maximum Exposure to Loss | ||||||||||||
(Millions) | Total VIE Assets | On-Balance Sheet | Off-Balance Sheet | Total | ||||||||
March 31, 2020 | ||||||||||||
Other long-term investments(1) | $ | 250.7 | $ | 103.0 | $ | 8.8 | $ | 111.8 | ||||
Total at March 31, 2020 | $ | 250.7 | $ | 103.0 | $ | 8.8 | $ | 111.8 | ||||
December 31, 2019 | ||||||||||||
Other long-term investments(1) | $ | 257.8 | $ | 102.6 | $ | 16.3 | $ | 118.9 | ||||
Total at December 31, 2019 | $ | 257.8 | $ | 102.6 | $ | 16.3 | $ | 118.9 |
(millions) | Balance Sheet Classification | March 31, 2020 | December 31, 2019 | ||||
Operating lease right-of-use assets | Other assets | $26.1 | $27.4 | ||||
Current lease liabilities | Other liabilities | $7.6 | $8.3 | ||||
Non-current lease liabilities | Other liabilities | $20.2 | $21.0 |
Weighted average lease term (years) as at March 31, 2020 | ||
Leased offices | 7 years | |
Leased equipment | 3 years | |
Weighted average discount rate: | ||
Leased offices | 3.6 | % |
Leased equipment | 3.4 | % |
(Millions) | Future Payments | ||
2020 | $ | 6.5 | |
2021 | 8.1 | ||
2022 | 7.2 | ||
2023 | 4.7 | ||
2024 | 2.3 | ||
2025 and after | 1.1 | ||
Total future annual minimum rental payments as of March 31, 2020 | 29.9 | ||
Less: present value discount | (2.1 | ) | |
Total lease liability as of March 31, 2020 | $ | 27.8 |
Page | |
• | Global Reinsurance consists of Sirius Group's underwriting lines of business that offer Other Property, Property Catastrophe Excess Reinsurance, Agriculture Reinsurance, Aviation & Space, Marine & Energy, Trade Credit, Contingency, and Casualty Reinsurance; |
• | Global A&H consists of Sirius Group's Global A&H insurance and reinsurance underwriting business along with IMG and Armada, which provide supplemental healthcare and medical travel insurance products as well as related administration services; |
• | U.S. Specialty consists of Sirius Group's specialty insurance product offerings, which includes Environmental, Surety, and Workers’ Compensation. In April 2020, the Company decided to exit the Surety business due to competitive market conditions in that business line. In addition, the recent economic downturn presents new risks and challenges for this line of business; and |
• | Runoff & Other consists of the results of Sirius Global Solutions, which specializes in the acquisition and management of runoff liabilities for insurance and reinsurance companies, both in the United States and internationally, as well as asbestos risks, environmental risks and other long-tailed liability exposures. |
Three months ended March 31, | ||||||
2020 | 2019 | |||||
Revenues | ||||||
Gross written premiums | $ | 817.6 | $ | 622.3 | ||
Net written premiums | $ | 629.9 | $ | 484.8 | ||
Net earned insurance and reinsurance premiums | $ | 434.7 | $ | 311.9 | ||
Net investment income | 13.5 | 20.1 | ||||
Net realized investment gains | 20.3 | 9.0 | ||||
Net unrealized investment (losses) gains | (43.8 | ) | 74.0 | |||
Net foreign exchange gains | 18.5 | 5.1 | ||||
Other revenue | 4.3 | 19.6 | ||||
Total revenues | 447.5 | 439.7 | ||||
Expenses | ||||||
Loss and loss adjustment expenses ("LAE") | 427.1 | 183.9 | ||||
Insurance and reinsurance acquisition expenses | 74.7 | 63.3 | ||||
Other underwriting expenses | 38.0 | 35.3 | ||||
General and administrative expenses | 32.1 | 24.4 | ||||
Intangible asset amortization expenses | 3.9 | 3.9 | ||||
Interest expense on debt | 7.8 | 7.6 | ||||
Total expenses | 583.6 | 318.4 | ||||
Pre-tax (loss) income | (136.1 | ) | 121.3 | |||
Income tax benefit (expense) | 14.8 | (17.2 | ) | |||
Net (loss) income | (121.3 | ) | 104.1 | |||
Income attributable to non-controlling interests | (0.2 | ) | (0.4 | ) | ||
Net (loss) income attributable to Sirius Group | (121.5 | ) | 103.7 | |||
Change in carrying value of Series B preference shares | 23.4 | (8.4 | ) | |||
Net (loss) income attributable to Sirius Group's common shareholders | $ | (98.1 | ) | $ | 95.3 | |
Comprehensive (loss) income | ||||||
Net (loss) income | $ | (121.3 | ) | $ | 104.1 | |
Other comprehensive (loss), net of tax | ||||||
Change in foreign currency translation, net of tax | (63.4 | ) | (27.8 | ) | ||
Total other comprehensive (loss) | (63.4 | ) | (27.8 | ) | ||
Comprehensive (loss) income | (184.7 | ) | 76.3 | |||
Income attributable to non-controlling interests | (0.2 | ) | (0.4 | ) | ||
Comprehensive (loss) income attributable to Sirius Group | $ | (184.9 | ) | $ | 75.9 | |
Ratios: | ||||||
Loss ratio(1) | 98.3 | % | 59.0 | % | ||
Acquisition expense ratio(2) | 17.2 | % | 20.3 | % | ||
Other underwriting expense ratio(3) | 8.7 | % | 11.3 | % | ||
Combined ratio(4) | 124.2 | % | 90.6 | % | ||
Selected financial data: | ||||||
Basic earnings per common share and common shares equivalent | $ | (0.85 | ) | $ | 0.75 | |
Diluted earnings per common share and common shares equivalent | $ | (0.96 | ) | $ | 0.74 | |
Basic weighted average number of common shares and common share equivalents outstanding | 115,262,302 | 115,182,331 | ||||
Diluted weighted average number of common shares and common share equivalents outstanding | 127,163,972 | 127,335,314 | ||||
Return on equity(5) | (6.0 | )% | 5.6 | % | ||
Operating (loss) income attributable to common shareholders(6) | $ | (100.3 | ) | $ | 18.9 |
As of March 31, 2020 | As of December 31, 2019 | |||||
Selected balance sheet data: | ||||||
Book value per common share (1) | $ | 12.78 | $ | 14.23 | ||
Adjusted book value per share (2) | $ | 13.08 | $ | 14.57 | ||
Adjusted tangible book value per share (2) | $ | 8.75 | $ | 10.22 |
Three months ended March 31, | ||||||
(Millions) | 2020 | 2019 | ||||
Pre-tax investment results | ||||||
Net investment income | $ | 13.5 | $ | 20.1 | ||
Net realized and unrealized investment (losses) gains (1) | (23.5 | ) | 83.0 | |||
Change in foreign currency translation on investments recognized through other comprehensive income(2) | (94.6 | ) | (41.7 | ) | ||
Net pre-tax investment (losses) gains | $ | (104.6 | ) | $ | 61.4 |
Three months ended March 31, | ||||
2020 | 2019 | |||
Performance metrics | ||||
Total fixed income investment returns: | ||||
In U.S. dollars | (1.3 | )% | 1.1 | % |
In local currencies | (0.6 | )% | 1.2 | % |
Bloomberg Barclays U.S. Agg 1-3 Year Total Return Value Unhedged USD | 1.8 | % | 1.2 | % |
OMX Stockholm OMRX Total Bond Index | 0.6 | % | 0.9 | % |
Bloomberg Barclays Pan-European Aggregate: Corp 1-3 Years Total Return | (3.3 | )% | 1.3 | % |
Total equity securities and other long-term investments returns: | ||||
In U.S. dollars | (8.8 | )% | 6.0 | % |
In local currencies | (8.0 | )% | 5.9 | % |
S&P 500 Index (total return) | (19.6 | )% | 13.6 | % |
Total consolidated portfolio | ||||
In U.S. dollars | (2.6 | )% | 1.9 | % |
In local currencies | (1.8 | )% | 2.0 | % |
Currency | Closing Rate March 31, 2020 | Closing Rate December 31, 2019 | ||
Swedish kronor | 10.0294 | 9.3210 | ||
British pound | 0.8061 | 0.7568 | ||
Euro | 0.9129 | 0.8912 | ||
Canadian dollar | 1.4333 | 1.3003 |
(Millions) | Three months ended March 31, | |||||
2020 | 2019 | |||||
Net realized investment gains - foreign currency(1) | $ | 11.1 | $ | 10.9 | ||
Net unrealized investment gains - foreign currency(2) | 52.7 | 25.0 | ||||
Net realized and unrealized investment gains - foreign currency | 63.8 | 35.9 | ||||
Net foreign exchange gains - foreign currency translation gains (3) | 12.0 | 4.1 | ||||
Net foreign exchange gains - currency swaps(3) | 6.0 | 1.0 | ||||
Net foreign exchange gains - currency forwards(3) | 0.5 | — | ||||
Income tax (expense) | (1.4 | ) | (0.2 | ) | ||
Total foreign currency remeasurement gains recognized through net (loss) income, after tax | 80.9 | 40.8 | ||||
Change in foreign currency translation on investments recognized through other comprehensive (loss), after tax | (94.6 | ) | (41.7 | ) | ||
Change in foreign currency translation on non - investment net liabilities recognized through other comprehensive (loss), after tax | 31.2 | 13.9 | ||||
Total foreign currency translation (losses) recognized through other comprehensive (loss), after tax | (63.4 | ) | (27.8 | ) | ||
Total foreign currency gains recognized in comprehensive (loss) income, after tax | $ | 17.5 | $ | 13.0 |
Carrying Value at March 31, 2020 | Carrying Value at December 31, 2019 | |||||
Currency (Millions) | Local Currency | USD | Local Currency | USD | ||
U.S. Dollar | 3,001.4 | $3,001.4 | 3,034.1 | $3,034.1 | ||
Swedish kronor | 1,461.3 | 145.7 | 1,513.7 | 162.4 | ||
Canadian dollar | 111.4 | 77.7 | 113.1 | 87.0 | ||
Euro | 58.9 | 64.5 | 78.2 | 87.7 | ||
Israeli shekel | 214.9 | 60.6 | 264.8 | 76.6 | ||
British pound | 8.5 | 10.5 | 8.5 | 11.2 | ||
Other | — | 135.6 | — | 59.2 | ||
Total investments | $3,496.0 | $3,518.2 |
Three months ended March 31, | ||||||
Global Reinsurance (Millions) | 2020 | 2019 | ||||
Gross written premiums | $ | 465.3 | $ | 435.0 | ||
Net written premiums | 345.4 | 335.9 | ||||
Net earned insurance and reinsurance premiums | 235.0 | 211.3 | ||||
Loss and allocated LAE | (257.2 | ) | (107.8 | ) | ||
Insurance and reinsurance acquisition expenses | (50.9 | ) | (45.6 | ) | ||
Technical (loss) profit | $ | (73.1 | ) | $ | 57.9 | |
Unallocated LAE | (5.0 | ) | (4.0 | ) | ||
Other underwriting expenses | (21.3 | ) | (21.6 | ) | ||
Underwriting (loss) income | $ | (99.4 | ) | $ | 32.3 | |
Ratios: | ||||||
Loss ratio(1) | 111.6 | % | 52.9 | % | ||
Acquisition expense ratio(2) | 21.7 | % | 21.6 | % | ||
Other underwriting expense ratio(3) | 9.1 | % | 10.2 | % | ||
Combined ratio(4) | 142.4 | % | 84.7 | % |
Three months ended March 31, | ||||||
Global Reinsurance (Millions) | 2020 | 2019 | ||||
Property Catastrophe Excess Reinsurance | $ | 169.7 | $ | 165.3 | ||
Other Property | 155.3 | 153.3 | ||||
Casualty Reinsurance | 64.8 | 50.7 | ||||
Aviation & Space | 23.8 | 17.3 | ||||
Trade Credit | 18.3 | 19.7 | ||||
Marine & Energy | 18.3 | 14.4 | ||||
Agriculture Reinsurance | 11.3 | 12.6 | ||||
Contingency | 3.8 | 1.7 | ||||
Total | $ | 465.3 | $ | 435.0 |
Three months ended March 31, | ||||||
Global Reinsurance (Millions) | 2020 | 2019 | ||||
Other Property | $ | 86.9 | $ | 90.6 | ||
Casualty Reinsurance | 54.3 | 36.0 | ||||
Property Catastrophe Excess Reinsurance | 47.4 | 44.1 | ||||
Aviation & Space | 19.3 | 14.6 | ||||
Trade Credit | 12.7 | 10.8 | ||||
Marine & Energy | 7.0 | 8.5 | ||||
Agriculture Reinsurance | 4.6 | 5.2 | ||||
Contingency | 2.8 | 1.6 | ||||
Total | $ | 235.0 | $ | 211.4 |
Three months ended March 31, | ||||||
Global A&H (Millions) | 2020 | 2019 | ||||
Gross written premiums | $ | 262.1 | $ | 169.3 | ||
Net written premiums | 200.7 | 134.9 | ||||
Net earned insurance and reinsurance premiums | 117.9 | 96.1 | ||||
Loss and allocated LAE | (80.3 | ) | (63.2 | ) | ||
Insurance and reinsurance acquisition expenses | (30.8 | ) | (26.6 | ) | ||
Technical profit | $ | 6.8 | $ | 6.3 | ||
Unallocated LAE | (1.7 | ) | (1.5 | ) | ||
Other underwriting expenses | (5.6 | ) | (6.1 | ) | ||
Underwriting (loss) | $ | (0.5 | ) | $ | (1.3 | ) |
Service fee revenue | 35.9 | 36.3 | ||||
MGU unallocated LAE | (6.0 | ) | (4.1 | ) | ||
MGU other underwriting expenses | (5.0 | ) | (2.7 | ) | ||
MGU general and administrative expenses | (14.2 | ) | (16.2 | ) | ||
Underwriting income, including net service fee income | $ | 10.2 | $ | 12.0 | ||
Ratios: | ||||||
Loss ratio(1) | 69.6 | % | 67.3 | % | ||
Acquisition expense ratio(2) | 26.1 | % | 27.7 | % | ||
Other underwriting expense ratio(3) | 4.7 | % | 6.3 | % | ||
Combined ratio(4) | 100.4 | % | 101.3 | % |
Three months ended March 31, | ||||||
U.S. Specialty (Millions) | 2020 | 2019 | ||||
Gross written premiums | $ | 20.8 | $ | 16.6 | ||
Net written premiums | 15.2 | 13.6 | ||||
Net earned insurance premiums | 12.8 | 4.1 | ||||
Loss and allocated LAE | (7.7 | ) | (2.4 | ) | ||
Insurance acquisition expenses | (3.0 | ) | (0.7 | ) | ||
Technical profit | $ | 2.1 | $ | 1.0 | ||
Unallocated LAE | (0.1 | ) | — | |||
Other underwriting expenses | (5.2 | ) | (2.8 | ) | ||
Underwriting (loss) | $ | (3.2 | ) | $ | (1.8 | ) |
Ratios: | ||||||
Loss ratio(1) | 60.9 | % | 58.5 | % | ||
Acquisition expense ratio(2) | 23.4 | % | 17.1 | % | ||
Other underwriting expense ratio(3) | 40.6 | % | 68.3 | % | ||
Combined ratio(4) | 124.9 | % | 143.9 | % |
Three months ended March 31, | ||||||
U.S. Specialty (Millions) | 2020 | 2019 | ||||
Workers' Compensation | $ | 14.8 | $ | 11.1 | ||
Environmental | 5.1 | 4.4 | ||||
Surety | 0.9 | 1.1 | ||||
Total | $ | 20.8 | $ | 16.6 |
Three months ended March 31, | ||||||
U.S. Specialty (Millions) | 2020 | 2019 | ||||
Workers' Compensation | $ | 9.8 | $ | 2.4 | ||
Environmental | 1.4 | 0.6 | ||||
Surety | 1.6 | 1.0 | ||||
Total | $ | 12.8 | $ | 4.0 |
Three months ended March 31, | ||||||
Runoff & Other (Millions) | 2020 | 2019 | ||||
Gross written premiums | $ | 69.4 | $ | 1.4 | ||
Net written premiums | 68.6 | 0.4 | ||||
Net earned insurance and reinsurance premiums | 69.0 | 0.4 | ||||
Loss and allocated LAE | (68.9 | ) | (1.1 | ) | ||
Insurance and reinsurance acquisition expenses | (0.4 | ) | (0.7 | ) | ||
Technical (loss) | $ | (0.3 | ) | $ | (1.4 | ) |
Unallocated LAE | (0.8 | ) | (0.5 | ) | ||
Other underwriting expenses | (0.9 | ) | (2.1 | ) | ||
Underwriting (loss) | $ | (2.0 | ) | $ | (4.0 | ) |
General and administrative expenses | (1.5 | ) | (0.8 | ) | ||
Underwriting (loss), net of service fee income | $ | (3.5 | ) | $ | (4.8 | ) |
Three months ended March 31, 2020 | ||||
Global Reinsurance | Global A&H | U.S. Specialty | Total | |
Gross ratios: | ||||
Loss ratio | 107.8% | 72.1% | 56.4% | 96.3% |
Acquisition expense ratio | 21.7% | 24.9% | 21.5% | 18.0% |
Other underwriting expense ratio | 7.2% | 3.6% | 37.7% | 7.1% |
Gross Combined ratio | 136.7% | 100.6% | 115.6% | 121.4% |
Ceded ratios: | ||||
Loss ratio | 93.5% | 80.0% | —% | 87.5% |
Acquisition expense ratio | 21.9% | 21.2% | —% | 21.4% |
Ceded Combined ratio | 115.4% | 101.2% | —% | 108.9% |
Net ratios: | ||||
Loss ratio | 111.6% | 69.6% | 60.9% | 98.3% |
Acquisition expense ratio | 21.7% | 26.1% | 23.4% | 17.2% |
Other underwriting expense ratio | 9.1% | 4.7% | 40.6% | 8.7% |
Net Combined ratio | 142.4% | 100.4% | 124.9% | 124.2% |
Three months ended March 31, 2019 | ||||
Global Reinsurance | Global A&H | U.S. Specialty | Total | |
Gross ratios: | ||||
Loss ratio | 48.4% | 70.5% | 56.4% | 56.7% |
Acquisition expense ratio | 23.5% | 26.0% | 8.1% | 21.7% |
Other underwriting expense ratio | 8.1% | 4.7% | 56.5% | 8.8% |
Gross Combined ratio | 80.0% | 101.2% | 121.0% | 87.2% |
Ceded ratios: | ||||
Loss ratio | 33.0% | 80.1% | n/m | 49.3% |
Acquisition expense ratio | 30.0% | 21.1% | n/m | 26.4% |
Ceded Combined ratio | 63.0% | 101.2% | n/m | 75.7% |
Net ratios: | ||||
Loss ratio | 52.9% | 67.3% | 58.5% | 59.0% |
Acquisition expense ratio | 21.6% | 27.7% | 17.1% | 20.3% |
Other underwriting expense ratio | 10.2% | 6.3% | 68.3% | 11.3% |
Net Combined ratio | 84.7% | 101.3% | 143.9% | 90.6% |
n/m = not meaningful |
(Expressed in millions of U.S. dollars) | Three months ended March 31, | ||||||
2020 | 2019 | ||||||
Net (loss) income attributable to common shareholders | $ | (98.1 | ) | $ | 95.3 | ||
Adjustment for net realized and unrealized (gains) losses on investments | 23.5 | (83.0 | ) | ||||
Adjustment for net foreign exchange (gains) losses | (18.5 | ) | (5.1 | ) | |||
Adjustment for income tax expense (benefits) (1) | (7.2 | ) | 11.7 | ||||
Operating (loss) income attributable to common shareholders | $ | (100.3 | ) | $ | 18.9 |
March 31, | December 31, | ||||||
(Expressed in millions of U.S. dollars, except share and per share amounts) | 2020 | 2019 | |||||
Common shares outstanding | 115,299,341 | 115,299,341 | |||||
Series B preference shares outstanding | 11,901,670 | 11,901,670 | |||||
Earned share-based compensation awards, excluding stock options | 785,297 | 629,716 | |||||
Earned portion of Stock option awards issued | 496,508 | 381,929 | |||||
Adjusted shares outstanding | 128,482,816 | 128,212,656 | |||||
Total common shareholders’ equity | $ | 1,474.1 | $ | 1,640.4 | |||
Series B preference shares | 199.6 | 223.0 | |||||
Earned portion of future proceeds from stock option awards | 6.3 | 4.9 | |||||
Adjusted book value | $ | 1,680.0 | $ | 1,868.3 | |||
Goodwill | (400.8 | ) | (400.8 | ) | |||
Intangible assets | (175.9 | ) | (179.8 | ) | |||
Net deferred tax liability on intangible assets | 21.2 | 22.8 | |||||
Adjusted tangible book value | $ | 1,124.5 | $ | 1,310.5 | |||
Book value per common share | $ | 12.78 | $ | 14.23 | |||
Adjusted book value per share | $ | 13.08 | $ | 14.57 | |||
Adjusted tangible book value per share | $ | 8.75 | $ | 10.22 |
(Expressed in millions of U.S. dollars, except multiples) | March 31, 2020 | December 31, 2019 | |||||
Loss and LAE reserves | $ | 2,519.6 | $ | 2,331.5 | |||
Unearned insurance and reinsurance premiums | 979.2 | 708.0 | |||||
Ceded reinsurance payable | 332.8 | 244.7 | |||||
Funds held under reinsurance treaties | 148.0 | 169.1 | |||||
Deferred tax liability on safety reserve | 222.5 | 239.4 | |||||
Float liabilities | 4,202.1 | 3,692.7 | |||||
Cash | 140.5 | 136.3 | |||||
Reinsurance recoverable on paid and unpaid losses | 529.9 | 484.2 | |||||
Insurance and reinsurance premiums receivable | 964.2 | 730.1 | |||||
Funds held by ceding companies | 260.5 | 293.9 | |||||
Deferred acquisition costs | 168.2 | 148.2 | |||||
Ceded unearned insurance and reinsurance premiums | 245.5 | 162.0 | |||||
Float assets | 2,308.8 | 1,954.7 | |||||
Insurance float | $ | 1,893.3 | $ | 1,738.0 | |||
Insurance float as a multiple of total capital(1) | 0.8 | x | 0.7 | x | |||
Insurance float as a multiple of Sirius Group's common shareholders' equity | 1.3 | x | 1.1 | x |
(Expressed in millions of U.S. dollars, except ratios) | March 31, 2020 | December 31, 2019 | |||||
2017 SEK Subordinated Notes | $ | 270.6 | $ | 291.2 | |||
2016 SIG Senior Notes | 394.2 | 394.0 | |||||
Total debt | 664.8 | 685.2 | |||||
Series B preference shares | 199.6 | 223.0 | |||||
Common shareholders' equity | 1,474.1 | 1,640.4 | |||||
Total capital | $ | 2,338.5 | $ | 2,548.6 | |||
Total debt to total capital | 28 | % | 27 | % | |||
Total debt and Series B preference shares to total capital | 37 | % | 36 | % |
Three months ended | |||||||
(Millions) | March 31, 2020 | March 31, 2019 | |||||
Net cash provided from (used for)(1) | |||||||
Operations | $ | 115.2 | $ | 24.6 | |||
Investing activities | (102.7 | ) | (24.1 | ) | |||
Financing activities | — | (0.1 | ) | ||||
Effect of exchange rate changes on cash | (7.3 | ) | (3.6 | ) | |||
Increase (decrease) in cash during year | $ | 5.2 | $ | (3.2 | ) |
• | Gross Written Premiums. We expect that the impact of COVID-19 on general economic activity will negatively impact our premium volumes. The degree of the impact will depend on the extent and duration of the economic contraction. As a result of the anticipated impact of the pandemic on our earned premiums, we expect an increase in our underwriting expense ratio in the near term. Sirius Group may also experience lower gross written premiums for travel medical and trip cancellation insurance. |
• | Increased Risk of Loss. Sirius Group has experienced and may continue to experience an increased risk of loss in certain lines of business, including contingency, accident and health, workers ' compensation, trade credit, casualty and its property (re)insurance due to business interruption and global supply chains disruptions. For example, Sirius Group has recorded losses of $52 million in its other property and property catastrophe excess reinsurance lines of business due to business interruption, and has experienced losses of $55 million pertaining to actual and projected canceled or postponed major events. Sirius Group may also experience elevated frequency and severity in its workers’ compensation lines related to compensable claims by workers who have suffered from injury or illness in the course of their employment. Sirius Group has experienced and may continue to experience risk of loss in its casualty business, including professional liability treaties that cover health care, hospitals, long term care providers and directors and officers. Sirius Group has experienced and may continue to experience losses resulting from mortality, increased medical expenses, and trip cancellation in its accident and health portfolio. The economic volatility may also lead to increased losses within the trade credit portfolio. For further discussion of the risks and exposure related to unpredictable catastrophic events, see “Sirius Group is exposed to unpredictable catastrophic events that could adversely affect its results of operations and financial condition” included in Part I, Item 1A. "Risk Factors” in the Company’s 2019 Annual Report. |
• | Estimated Loss Reserves. The anticipated and unknown risks related to COVID-19 may cause additional uncertainty in the estimation of claim and claim adjustment expense reserves. For example, the behavior of claimants and policyholders may change in unexpected ways. The disruption to court systems may have an impact on the timing and amounts of claims settlements; and the actions taken by governmental bodies, both legislative and regulatory, in reaction to COVID-19 and their related impacts are difficult to predict. As a result, our estimated level of claims and claim adjustment expense reserves may change. |
• | Investments. Sirius Group has experienced losses in its investment portfolio as a result of volatile markets, such as a decline in interest rates, a sharp decline in equity markets and a widening of credit risk spreads for bonds. In addition, the disruption in the financial markets caused by COVID-19 has contributed to net unrealized investment losses, primarily due to the impact of changes in fair value on our equity investments and, to a lesser extent, change in unrealized losses in our fixed-income investment portfolio. Our corporate fixed income portfolio may be adversely impacted by ratings downgrades, increased bankruptcies and credit spread widening in distressed industries, such as energy, gaming, lodging and leisure, autos, airlines and retail. In addition, in recent years, many state and local governments have been operating under deficits or projected deficits. These deficits may be exacerbated by the costs of responding to COVID-19 and reduced tax revenues due to adverse economic conditions. Our investment portfolio also includes residential mortgage-backed securities, commercial mortgage-backed securities and wholly-owned real estate, all of which could be adversely impacted by declines in real estate valuations and/or financial market disruption, including a heightened default risk on the underlying mortgages and on rent receivables. Further disruptions in global financial markets due to the continuing impact of COVID-19 could result in additional net realized investment losses, including potential impairments in our fixed income portfolio. Further disruptions in global financial markets could adversely impact our net investment income in future periods from our non-fixed income investment portfolio. For further discussion of the risks related to our investment portfolio see “Sirius Group’s investment portfolio may suffer reduced returns or losses, which could adversely affect Sirius Group’s results of operations and financial condition. Adverse changes in interest rates, foreign currency exchange rates, equity markets, debt markets or market volatility could result in significant losses to the fair value of Sirius Group’s investment portfolio” and “Unexpected volatility or illiquidity associated with some of Sirius Group’s investments could significantly and negatively affect Sirius Group’s financial results, liquidity and ability to conduct business” included in Part I, Item 1A. "Risk Factors” in the Company’s 2019 Annual Report. |
• | Inflation. It is possible that changes in economic conditions and steps taken by the federal government and the Federal Reserve in response to COVID-19 could lead to higher inflation than we had anticipated, which could in turn lead to an increase in our loss costs and the need to strengthen claims and claim adjustment expense reserves. These impacts of inflation on loss costs and claims and claim adjustment expense reserves could be more pronounced for those lines of business that require a relatively longer period of time to finalize and settle claims for a given year and, therefore more inflation sensitive. Inflation could also adversely impact our general and administrative expenses. Changes in interest rates caused by inflation affect the carrying value of our fixed maturity investments and returns on our fixed maturity and short-term investments. An increase in interest rates reduces the market value of existing fixed maturity investments, thereby negatively impacting our book value. |
• | Foreign Currency Exchange Rate Changes. As a result of our business outside of the United States, primarily in Europe, Japan, and the United Kingdom (including Lloyd’s), our shareholders' equity is also subject to the effects of changes in foreign currency exchange rates. Movement of the U.S. dollar compared to other currencies could result in a further reduction of shareholders’ equity. |
• | Further Ratings Downgrades. Third-party rating agencies assess and rate the financial strength, including claims-paying ability, of insurers and reinsurers. These ratings are based upon criteria established by the rating agencies and are subject to revision at any time at the sole discretion of the agencies. Rating agencies periodically evaluate Sirius Group to confirm that it continues to meet the criteria of the ratings previously assigned to Sirius Group. If the rating agencies determine that Sirius Group's operating performance has further deteriorated as a result of the COVID-19 pandemic, they could downgrade or withdraw Sirius Group's financial strength ratings which could have a material adverse effect on our results of operations, financial position and/or liquidity. For additional discussion on how a ratings downgrade can impact Sirius Group see, "Sirius Group is reliant on financial strength and creditworthiness ratings, and any downgrade or withdrawal of ratings and/or change in outlook may have a material adverse effect on Sirius Group's business, prospects, financial condition and results from operations" included in Part I, Item 1A. "Risk Factors” in the Company’s 2019 Annual Report. |
• | Counterparty Credit Risk. A prolonged economic downturn due to the COVID-19 pandemic would increase our credit risk, reflecting our counterparty dealings with agents, brokers, customers and retrocessionaires. For a further discussion, see “Sirius Group’s reliance on intermediaries subjects it to the intermediaries’ credit risk” included in Part I, Item 1A. "Risk Factors” in the Company’s 2019 Annual Report. |
• | Potential Adverse Judicial, Legislative and/or Regulatory Action. Like many reinsurers and insurers, we have exposure to losses from the COVID-19 related claims, primarily in our property and contingency business. Whether the COVID-19 pandemic triggers coverage is dependent on specific policy language, terms and exclusions. However, certain domestic and international governmental authorities and regulatory bodies have proposed to take actions to address and contain the impact of the COVID-19 pandemic that may adversely affect Sirius Group. For example, we are subject to government and/or regulatory action that may seek to retroactively mandate coverage for losses which our (re)insurance policies were not designed or priced to cover. Currently, in some countries there is proposed legislation to require (re)insurers to cover business interruption claims irrespective of terms, exclusions or other conditions included in the policies that would otherwise preclude coverage. Should such proposed regulations and or legislation be implemented, our (re)insurance contracts may be interpreted to provide coverage for these business interruption losses, notwithstanding the fact that such losses fall outside of the terms and conditions of the underlying contracts. These and other future judicial, legislative or regulatory actions could have a material adverse impact on our results of operations, financial position and/ or liquidity and make it difficult to predict the total amount of losses we could incur as a result of the COVID-19 pandemic. In addition, a number of states in the United States have instituted, and others are considering instituting, changes designed to effectively expand workers' compensation coverage by creating presumptions of compensability of claims for certain types of workers. Regulatory restrictions or requirements could also impact pricing, risk selection and our rights and obligations with respect to our policies and insureds, including Sirius Group’s ability to cancel policies or Sirius Group’s right to collect premiums. In the United States, at least one state regulator has issued an order requiring insurers to issue premium refunds, and regulators in other states could take similar actions. |
• | Operational Disruptions and Heightened Cybersecurity Risks. Sirius Group’s operations could be disrupted if key members of our senior management or a significant percentage of our workforce or the workforce of our agents, brokers, suppliers or third party providers are unable to continue to work because of illness, death, government directives or otherwise. In addition, the interruption of our, or their, system capabilities could result in a deterioration of our ability to write and process new and renewal business, provide customer service, pay claims in a timely manner or perform other necessary business functions. Having shifted to remote working arrangements, we also face a heightened risk of cybersecurity attacks or data security incidents and are more dependent on internet and telecommunications access and capabilities. An extended period of remote work arrangements could strain our business continuity plans and could negatively affect our internal control over financial reporting as most of our employees are required to work from home. As a result, new processes, procedures and controls could be required to respond to changes in our business environment. For a further discussion, see “Sirius Group may be unable to adequately maintain its systems and safeguard the security of the data it holds or the data held by its business partners and service providers, which may adversely impact Sirius Group’s ability to operate its business and cause reputational harm and financial loss” included in Part I, Item 1A. "Risk Factors” in the Company’s 2019 Annual Report. |
3.1 | ||
3.2 | ||
3.3 | ||
10.1 | ||
10.9.1 | ||
10.9.2 | ||
31.1 | ||
31.2 | ||
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32.2 | ||
101.INS | XBRL Instance Document | |
101.SCH | XBRL Taxonomy Extension Schema Document | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document |
SIRIUS INTERNATIONAL INSURANCE GROUP, LTD. (Registrant) | ||
Date: May 13, 2020 | By: | /s/ KERNAN "KIP" V. OBERTING |
Kernan "Kip" V. Oberting President and Chief Executive Officer (Principal Executive Officer) | ||
Date: May 13, 2020 | By: | /s/ RALPH A. SALAMONE |
Ralph A. Salamone Chief Financial Officer (Principal Financial Officer & Principal Accounting Officer) |
Grant Date: | [•] |
Book Value per Share at Grant Date: | [•] |
Restricted Share Units: | You have been awarded a restricted share unit award with respect to [•] Common Shares (the “Restricted Share Units”), subject to adjustment as provided in the Plan. |
Vesting Schedule: | Except as otherwise provided in the Plan, the Agreement or any other agreement between you and the Company or any of its Affiliates, the Restricted Share Units shall vest as of the third anniversary of the Grant Date (the “Vesting Date”), provided that you satisfy the employment vesting conditions set forth in the Restricted Share Unit Award Agreement. |
Form of Settlement | Notwithstanding anything to the contrary in the Agreement, the Award shall be settled in the form of a cash payment in an amount equal to the book value per share of the Common Shares, calculated as of [•], that otherwise would be issued to you pursuant to Section 4 of the Agreement. |
Sirius International Insurance Group, Ltd. By: [•] Name: [•] Title: [•] |
If to the Company: | Sirius International Insurance Group, Ltd. |
If to the Holder: | At the most recent address |
Grant Date: | [•] |
Book Value per Share at Grant Date: | $[•] |
Performance Share Units: | You have been awarded a performance share unit award with respect to [•] Common Shares earned at the target level of performance, as set forth in Exhibit A hereto (the “Restricted Share Units”), subject to adjustment based on the extent to which the Company has attained the performance goals set forth in Exhibit A and the terms of the Plan. |
Vesting Schedule: | Except as otherwise provided in the Plan, the Agreement or any other agreement between you and the Company or any of its Affiliates, the Performance Share Units shall vest based on the achievement of the performance goals set forth in Exhibit A over the performance period beginning [•] and ending [•] (such period, the “Performance Period,” and the last day of the Performance Period, the “Vesting Date”), provided that you satisfy the employment vesting conditions set forth in the Performance Share Unit Award Agreement. |
Form of Settlement | Notwithstanding anything to the contrary in the Agreement, the Award shall be settled in the form of a cash payment in an amount equal to the book value per share of the Common Shares, calculated as of [•], that otherwise would be issued to you pursuant to Section 4 of the Agreement. |
Sirius International Insurance Group, Ltd. By: [•] Name: [•] Title: [•] |
If to the Company: | Sirius International Insurance Group, Ltd. |
If to the Holder: | At the most recent address |
1. | I have reviewed this Quarterly Report on Form 10-Q of Sirius International Insurance Group, Ltd.; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) internal control over financial reporting (as defined by Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; |
d. | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | May 13, 2020 | ||
By: | /s/ KERNAN "KIP" V. OBERTING | ||
Name: | Kernan "Kip" V. Oberting | ||
Title: | President and Chief Executive Officer |
1. | I have reviewed this Quarterly Report on Form 10-Q of Sirius International Insurance Group, Ltd.; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) internal control over financial reporting (as defined by Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; |
d. | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | May 13, 2020 | ||
By: | /s/ RALPH A. SALAMONE | ||
Name: | Ralph A. Salamone | ||
Title: | Chief Financial Officer |
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company. |
Date: | May 13, 2020 | ||
By: | /s/ KERNAN "KIP" V. OBERTING | ||
Name: | Kernan "Kip" V. Oberting | ||
Title: | President and Chief Executive Officer |
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company. |
Date: | May 13, 2020 | ||
By: | /s/ RALPH A. SALAMONE | ||
Name: | Ralph A. Salamone | ||
Title: | Chief Financial Officer |
Common shareholder's equity, mezzanine equity, and non-controlling interests (Tables) |
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Schedule of changes in the company's issued and outstanding common shares | The following table presents changes in the Company's issued and outstanding Common shares as of March 31, 2020 and 2019, respectively:
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Schedule of change in non-controlling interest | The following tables show the change in non-controlling interest for the three months ended March 31, 2020 and 2019:
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Fair value measurements (Tables) |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of financial assets and liabilities measured at fair value | The following tables summarize Sirius Group's financial assets and liabilities measured at fair value as of March 31, 2020 and December 31, 2019 by level:
(1)Sirius Group engaged in short selling of certain equity securities for which settlement was pending as of March 31, 2020. (2)Excludes fair value of $279.6 associated with hedge funds and private equity funds which fair value is measured using NAV practical expedient.
(1)Excludes fair value of $269.0 associated with hedge funds and private equity funds which fair value is measured using NAV practical expedient. |
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Rollforward of Level 3 fair value measurements | The following tables present changes in Level 3 for financial instruments measured at fair value for the three months ended March 31, 2020 and March 31, 2019:
(1)Excludes fair value of $279.6 associated with hedge funds and private equity funds which fair value is measured using NAV practical expedient.
(1)Excludes fair value of $301.7 associated with hedge funds and private equity funds which fair value is measured using NAV practical expedient. |
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Schedule of significant unobservable inputs used for recurring fair value measurements for Level 3 instruments | The table below presents information about the significant unobservable inputs used for recurring fair value measurements for certain Level 3 instruments as of March 31, 2020 and December 31, 2019, and includes only those instruments for which information about the inputs is reasonably available to Sirius Group, such as data from independent third-party valuation service providers and from internal valuation models.
(1)As of March 31, 2020, each asset type consists of one security. (2)See Note 12 for discussion of derivative instruments.
(1)As of December 31, 2019, each asset type consists of one security. (2)See Note 12 for discussion of derivative instruments. |
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Schedule of financial instruments disclosed, but not carried at fair value | The following table includes financial instruments for which the carrying value differs from the estimated fair values at March 31, 2020 and December 31, 2019:
(1)Fair value estimated by internal pricing and considered a Level 3 measurement. |
Derivatives |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives | Derivatives Interest Rate Cap Sirius Group entered into an interest rate swap ("Interest Rate Cap") with two financial institutions where it paid an upfront premium and in return receives a series of quarterly payments based on the 3-month London Interbank Offered Rate at the time of payment. The Interest Rate Cap does not qualify for hedge accounting. Changes in fair value are recognized as unrealized gains or losses and are presented within Other revenue. The fair value of the interest rate cap has been estimated using a single broker quote and, accordingly, has been classified as a Level 3 measurement as of March 31, 2020 and December 31, 2019. Collateral held is recorded within short-term investments with an equal amount recognized as a liability to return collateral. Sirius Group's liability to return that collateral is based on the amounts provided by the counterparties and investment earnings thereon. As at March 31, 2020 and December 31, 2019, Sirius Group held collateral balances of $0.2 million at the end of each period. Foreign Currency Risk Derivatives Sirius Group executes foreign currency forwards, swaps, and futures to manage foreign currency exposure. The foreign currency risk derivatives are not designated or accounted for under hedge accounting. Changes in fair value are recognized as unrealized gains or losses and are presented within Net foreign exchange gains. The fair value of the swaps and forwards are estimated using a single broker quote and accordingly, classified as a Level 3 measurement. The fair value of the futures is widely available and have quoted prices in active markets and accordingly, were classified as a Level 1 measurement. Sirius Group did not provide or hold any collateral associated with the foreign currency risk derivatives. Weather Derivatives Sirius Group holds assets and assumes liabilities related to weather and weather contingent risk management products. Weather and weather contingent derivative contracts are entered into with the objective of generating profits in normal climatic conditions. Accordingly, Sirius Group's weather and weather contingent derivatives are not designed to meet the criteria for hedge accounting under GAAP. Sirius Group receives payment of premium at the contract inception in exchange for bearing the risk of variations in a quantifiable weather index. Changes in fair value are recognized as unrealized gains or losses and are presented within Other revenue. The fair value of the weather derivatives was estimated using a broker quote. Because of the significance of the unobservable inputs used to estimate the fair value of Sirius Group's weather risk contracts, the fair value measurements of the contracts are deemed to be Level 3 measurements in the fair value hierarchy as of March 31, 2020 and December 31, 2019. Sirius Group does not provide or hold any collateral associated with the weather derivatives. Equity Contracts Sirius Group executes trades in equity futures contracts, call options, and put options to hedge against positions in Common equities. The equity contracts are not designated or accounted for under hedge accounting. Changes in fair value are presented within Net unrealized investment (losses) gains. The fair value of the equity contracts is widely available and have quoted prices in active markets and accordingly, were classified as a Level 1 measurement. Equity Warrants Sirius Group holds restricted equity warrants as part of its investment strategy. The equity warrants are not designated or accounted for under hedge accounting. Changes in fair value are presented within Net unrealized investment (losses) gains. The fair value of the equity warrants is estimated using a single broker quote and accordingly, classified as a Level 3 measurement. Sirius Group did not provide or hold any collateral associated with the equity warrants. The following tables summarize information on the classification and amount of the fair value of derivatives not designated as hedging instruments within the Company's Consolidated Balance Sheets as at March 31, 2020 and December 31, 2019:
(1)Asset derivatives are classified within Other assets within the Company's Consolidated Balance Sheets at March 31, 2020 and December 31, 2019. (2)Liability derivatives are classified within Other liabilities within the Company's Consolidated Balance Sheets at March 31, 2020 and December 31, 2019. The following table summarizes information on the classification and net impact on earnings, recognized in the Company's Consolidated Statements of Income relating to derivatives during the three months ended March 31, 2020 and 2019:
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Segment information |
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment information | Segment information On December 31, 2019, Sirius Group completed an internal reorganization and beginning on January 1, 2020, Sirius Group's reportable segments consist of four reportable segments – Global Reinsurance, Global Accident & Health ("Global A&H"), U.S. Specialty, and Runoff & Other. The accounting policies of the reportable segments are the same as those used for the preparation of the Company's consolidated financial statements. The Company's Global Reinsurance, Global A&H, U.S. Specialty, and Runoff & Other reportable segments each have managers who are responsible for the overall profitability of their respective segments and who are directly accountable to the Company's chief operating decision maker, the Chief Executive Officer ("CEO") of the Company. The CEO assesses segment operating performance, allocates capital, and makes resource allocation decisions based on Technical profit (loss), Underwriting profit (loss), and Underwriting profit (loss), including net service fee revenue. Segment results are shown prior to corporate eliminations. Corporate eliminations are shown to reconcile to consolidated Technical profit (loss), consolidated Underwriting profit (loss) and consolidated Underwriting profit (loss), including net service fee revenue. Sirius Group does not allocate its assets by segment, with the exception of goodwill and intangible assets, and, accordingly, investment income is not allocated to each segment. The internal reorganization had no impact to the allocation of goodwill and intangible assets to the Global A&H segment. Where applicable, all prior periods presented have been revised to conform to this new presentation. Global Reinsurance Global Reinsurance consists of Sirius Group's underwriting lines of business that offer Other Property, Property Catastrophe Excess Reinsurance, Agriculture Reinsurance, Aviation & Space, Marine & Energy, Trade Credit, Contingency, and Casualty Reinsurance: Other Property—Sirius Group participates in the broker market for property reinsurance treaties written on a proportional and excess of loss basis. For Sirius Group's international business, the book consists of treaty, written on both a proportional and excess of loss basis, facultative, and primary business, primarily in Europe, Asia and Latin America. In the United States, the book predominantly centers on significant participations on proportional and excess of loss treaties mostly in the excess and surplus lines segment of the market. Property Catastrophe Excess Reinsurance—Property catastrophe excess of loss reinsurance treaties cover losses from catastrophic events. Sirius Group writes a worldwide book with the largest concentration of exposure in Europe and the United States. The U.S. book written in Bermuda has a national account focus supporting principally the lower and/or middle layers of large capacity programs. Additionally, Stockholm writes a U.S. book mainly consisting of select small regional and standard lines carriers. The exposures written in the international book are diversified across many countries, regions, perils and layers. Agriculture Reinsurance—Sirius Group provides stop-loss reinsurance coverage to companies writing U.S. government-sponsored multi-peril crop insurance ("MPCI"). Sirius Group's participation is net of the government's stop-loss reinsurance protection. Sirius Group also provides coverage for crop-hail and certain named perils when bundled with MPCI business. Sirius Group also writes agriculture business outside of the United States. Aviation & Space—Sirius Group provides aviation insurance that covers loss of or damage to an aircraft and the aircraft operations' liability to passengers, cargo and hull as well as to third parties. Additionally, liability arising out of non-aircraft operations such as hangars, airports and aircraft products can be covered. Space insurance primarily covers loss of or damage to a satellite during launch and in orbit. The book consists of treaty, written on both a proportional and excess of loss basis, facultative, and primary business. Marine & Energy—Sirius Group provides marine & energy reinsurance, primarily written on an excess of loss and proportional basis. Coverage offered includes damage to ships and goods in transit, marine liability lines, and offshore energy industry insurance. Sirius Group also writes yacht business, both on reinsurance and a primary basis. The marine & energy portfolio is diversified across many countries and regions. Trade Credit—Sirius Group writes credit and bond reinsurance worldwide. The bulk of the business is traditional short-term commercial credit insurance, covering pre-agreed domestic and export sales of goods and services with typical coverage periods of 60 to 120 days. Losses under these policies are correlated to adverse changes in a respective country's gross national product. Contingency—Sirius Group underwrote a contingency insurance book primarily for event cancellation and non-appearance. Additionally, coverage for probability based risks with prize redemption was also offered. The contingency insurance business was exited in 2018 with no new exposures written; however, Sirius Group continues to offer this class on a treaty reinsurance basis on a selective basis for a few key clients. Casualty Reinsurance—Sirius Group underwrites a cross section of all casualty lines, including general liability, umbrella, auto, workers compensation, professional liability, and other specialty classes, written on a proportional and excess of loss basis. Global A&H Global A&H consists of Sirius Group’s insurance and reinsurance business, and the managing general underwriting (“MGU”) units (which include ArmadaCorp Capital, LLC ("Armada") and International Medical Group, Inc. ("IMG")). Armada’s products are offered in the United States while IMG and the insurance and reinsurance business write accident and health products on a worldwide basis: Accident and Health insurance and reinsurance—Sirius Group is an insurer of accident and health business in the United States and internationally, on either an admitted or surplus lines basis, as well as a reinsurer of medical expense, travel and personal accident on a treaty or facultative basis worldwide. The MGU unit writes health insurance business worldwide through IMG and within the United States via Armada. U.S. Specialty U.S. Specialty consists of Sirius Group's specialty insurance product offerings, which currently includes Environmental, Surety, and Workers’ Compensation. Environmental underwrites a pure environmental insurance book in the United States consisting of four core products that revolve around pollution coverage, which are premises pollution liability, contractor's pollution liability, contractor's pollution and professional liability. Surety underwrites commercial surety bonds, including non-construction contract bonds, in a broad range of business segments in the United States. Workers’ Compensation, is a state-mandated insurance program that provides medical, disability, survivor, burial, and rehabilitation benefits to employees who are injured or killed due to a work-related injury or illness. Runoff & Other Runoff & Other includes the results of Sirius Global Solutions Holding Company ("Sirius Global Solutions"), which specializes in the acquisition and management of runoff liabilities for insurance and reinsurance companies, both in the United States and internationally, as well as asbestos risks, environmental risks and other long-tailed liability exposures. The following tables summarize the segment results for the three months ended March 31, 2020 and 2019:
(1)Loss and allocated loss adjustment expenses ("LAE") are part of Loss and loss adjustment expenses on the Consolidated Statements of Income (the sum of Loss and allocated LAE and Unallocated LAE is equal to Loss and loss adjustment expenses on the Consolidated Statements of Income). (2)Unallocated LAE are part of Loss and loss adjustment expenses on the Consolidated Statements of Income (the sum of Loss and allocated LAE and Unallocated LAE is equal to Loss and loss adjustment expenses on the Consolidated Statements of Income). (3)Service fee revenue is part of Other revenue on the Consolidated Statements of Income (the sum of Service fee revenue and Other revenue is equal to Other revenue on the Consolidated Statements of Income). (4)General and administrative expenses, MGU + Runoff & Other is part of General and administrative expenses on the Consolidated Statements of Income (the sum of General and administrative expenses, MGU + Runoff & Other and General and administrative expenses is equal to General and administrative expenses on the Consolidated Statements of Income). (5)Other revenue is presented net of Service fee revenue and is comprised mainly of losses from derivatives (see Note 12) (the sum of Service fee revenue and Other revenue is equal to Other revenue on the Consolidated Statements of Income). (6)General and administrative expenses are presented net of General and administrative expenses, MGU + Runoff & Other (the sum of General and administrative expenses, MGU + Runoff & Other and General and administrative expenses is equal to General and administrative expenses on the Consolidated Statements of Income). (7)Ratios considered not meaningful ("NM") to Runoff & Other and Corporate Elimination. (8)Sirius Group does not allocate its assets by segment, with the exception of goodwill and intangible assets.
(1)Loss and allocated LAE are part of Loss and loss adjustment expenses on the Consolidated Statements of Income (the sum of Loss and allocated LAE and Unallocated LAE is equal to Loss and loss adjustment expenses on the Consolidated Statements of Income). (2)Unallocated LAE are part of Loss and loss adjustment expenses on the Consolidated Statements of Income (the sum of Loss and allocated LAE and Unallocated LAE is equal to Loss and loss adjustment expenses on the Consolidated Statements of Income). (3)Service fee revenue is part of Other revenue on the Consolidated Statements of Income (the sum of Service fee revenue and Other revenue is equal to Other revenue on the Consolidated Statements of Income). (4)General and administrative expenses, MGU + Runoff & Other is part of General and administrative expenses on the Consolidated Statements of Income (the sum of General and administrative expenses, MGU + Runoff & Other and General and administrative expenses is equal to General and administrative expenses on the Consolidated Statements of Income). (5)Other revenue is presented net of Service fee revenue and is comprised mainly of losses from derivatives (see Note 12) (the sum of Service fee revenue and Other revenue is equal to Other revenue on the Consolidated Statements of Income). (6)General and administrative expenses are presented net of General and administrative expenses, MGU + Runoff & Other (the sum of General and administrative expenses, MGU + Runoff & Other and General and administrative expenses is equal to General and administrative expenses on the Consolidated Statements of Income). (7)Ratios considered not meaningful ("NM") to Runoff & Other and Corporate Elimination. (8)Sirius Group does not allocate its assets by segment, with the exception of goodwill and intangible assets. The following tables provide summary information regarding net premiums written by client location and underwriting location by reportable segment for the three months ended March 31, 2020 and 2019:
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Investment securities |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities | Investment securities Sirius Group's invested assets consist of investment securities and other long-term investments held for general investment purposes. The portfolio of investment securities includes fixed maturity investments, short-term investments, equity securities, and other-long term investments which are all classified as trading securities. Realized and unrealized investment gains and losses on trading securities are reported in pre-tax revenues. Net Investment Income Sirius Group's net investment income is comprised primarily of interest income along with associated amortization of premium and accretion of discount on Sirius Group's fixed maturity investments, dividend income from its equity investments, and interest income from its short-term investments. Net investment income for the three months ended March 31, 2020 and 2019 consisted of the following:
Net Realized and Unrealized Investment Gains (Losses) Net realized and unrealized investment gains (losses) for the three months ended March 31, 2020 and 2019 consisted of the following:
(1)Includes $11.1 and $10.9 of realized gains due to foreign currency for the three months ended March 31, 2020 and 2019, respectively. (2)Includes $52.7 and $25.0 of unrealized gains due to foreign currency for the three months ended March 31, 2020 and 2019, respectively. Net realized investment gains Net realized investment gains for the three months ended March 31, 2020 and 2019 consisted of the following:
Net unrealized investment gains (losses) Net unrealized investment gains (losses) for the three months ended March 31, 2020 and 2019 consisted of the following:
The following table summarizes the amount of total gains (losses) included in earnings attributable to unrealized investment gains (losses) for Level 3 investments for the three months ended March 31, 2020 and 2019:
Investment Holdings Fixed maturity investments The cost or amortized cost, gross unrealized investment gains (losses), net foreign currency gains (losses), and fair value of Sirius Group's fixed maturity investments as of March 31, 2020 and December 31, 2019, were as follows:
The weighted average duration of Sirius Group's fixed income portfolio as of March 31, 2020 was approximately 1.5 years, including short-term investments, and approximately 2.3 years excluding short-term investments. The cost or amortized cost and fair value of Sirius Group's fixed maturity investments as of March 31, 2020 and December 31, 2019 are presented below by contractual maturity. Actual maturities could differ from contractual maturities because borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties.
The following table summarizes the ratings and fair value of fixed maturity investments held in Sirius Group's investment portfolio as of March 31, 2020 and December 31, 2019:
(1)Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor's ("S&P") and 2) Moody's Investors Service ("Moody's"). At March 31, 2020, the above totals included $37.8 million of sub-prime securities. Of this total, $18.3 million was rated AAA, $17.2 million rated AA, $2.2 million rated A and $0.1 million classified as Other. At December 31, 2019, the above totals included $43.3 million of sub-prime securities. Of this total, $21.7 million was rated AAA, $18.4 million rated AA, $3.1 million rated A and $0.1 million classified as Other. Equity securities and Other long-term investments The cost or amortized cost, gross unrealized investment gains and losses, net foreign currency gains, and fair values of Sirius Group's equity securities and other long-term investments as of March 31, 2020 and December 31, 2019, were as follows:
Equity securities at fair value consisted of the following as of March 31, 2020 and December 31, 2019:
(1)Sirius Group engaged in short selling of certain equity securities for which settlement was pending as of March 31, 2020. Other long-term investments at fair value consisted of the following as of March 31, 2020 and December 31, 2019:
Hedge Funds and Private Equity Funds Sirius Group holds investments in hedge funds and private equity funds, which are included in other long-term investments. The fair value of these investments has been estimated using the net asset value of the funds. As of March 31, 2020, Sirius Group held investments in 9 hedge funds and 33 private equity funds. The largest investment in a single fund was $59.4 million as of March 31, 2020 and $51.6 million as of December 31, 2019. The following table summarizes investments in hedge funds and private equity interests by investment objective and sector as of March 31, 2020 and December 31, 2019:
Redemption of investments in certain hedge funds is subject to restrictions including lock-up periods where no redemptions or withdrawals are allowed, restrictions on redemption frequency, and advance notice periods for redemptions. Amounts requested for redemptions remain subject to market fluctuations until the redemption effective date, which generally falls at the end of the defined redemption period. The following summarizes the March 31, 2020 fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds:
Certain of the hedge fund and private equity fund investments in which Sirius Group is invested are no longer active and are in the process of disposing of their underlying investments. Distributions from such funds are remitted to investors as the fund's underlying investments are liquidated. As of March 31, 2020, no distributions were outstanding from these investments. Investments in private equity funds are generally subject to a "lock-up" period during which investors may not request a redemption. Distributions prior to the expected termination date of the fund may be limited to dividends or proceeds arising from the liquidation of the fund's underlying investments. In addition, certain private equity funds provide an option to extend the lock-up period at either the sole discretion of the fund manager or upon agreement between the fund and the investors. As of March 31, 2020, investments in private equity funds were subject to lock-up periods as follows:
Investments Held on Deposit or as Collateral As of March 31, 2020 and December 31, 2019 investments of $971.1 million and $1,309.5 million, respectively, were held in trusts required to be maintained in relation to various reinsurance agreements. Sirius Group's reinsurance operations are required to maintain deposits with certain insurance regulatory agencies in order to maintain their insurance licenses. The fair value of such deposits that are included within total investments totaled $1,002.8 million and $1,315.5 million as of March 31, 2020 and December 31, 2019, respectively. As of March 31, 2020, Sirius Group held $0.2 million of collateral in the form of short-term investments associated with Interest Rate Cap agreements. (See Note 12.) Unsettled investment purchases and sales As of March 31, 2020 and December 31, 2019 Sirius Group reported $53.0 million and $2.3 million, respectively, in Accounts payable on unsettled investment purchases. As of March 31, 2020 and December 31, 2019, Sirius Group reported $35.2 million and $6.7 million, respectively, in Accounts receivable on unsettled investment sales. |
Commitments and contingencies - Weighted average remaining lease term and weighted average discount rate (Details) |
Mar. 31, 2020 |
---|---|
Leased offices | |
Property, Plant and Equipment [Line Items] | |
Weighted average lease term (years) | 7 years |
Weighted average discount rate: | 3.60% |
Leased equipment | |
Property, Plant and Equipment [Line Items] | |
Weighted average lease term (years) | 3 years |
Weighted average discount rate: | 3.40% |
Common shareholder's equity, mezzanine equity, and non controlling interests - Mezzanine equity (Details) - USD ($) $ / shares in Units, $ in Millions |
3 Months Ended | ||
---|---|---|---|
Mar. 31, 2020 |
Dec. 31, 2019 |
Nov. 05, 2018 |
|
Mezzanine equity | |||
Preference shares authorized / designated ( in shares) | 100,000,000 | ||
Preference shares par value (usd per share) | $ 0.01 | ||
Carrying value of preference shares | $ 199.6 | $ 223.0 | |
Series B preference shares | |||
Mezzanine equity | |||
Preference shares authorized / designated ( in shares) | 15,000,000 | ||
Preference shares par value (usd per share) | $ 0.01 | ||
Preferential rights, aggregate gross proceeds from the issuance of senior or pari passu shares | $ 100.0 | ||
Series B preference shares | Sirius Group Private Placement | Preference Share Investors | |||
Mezzanine equity | |||
Share subscriptions (in shares) | 11,901,670 |
Variable interest entities - Unconsolidated VIE (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
---|---|---|
Variable interest entities | ||
Other long-term investments | $ 355.5 | $ 346.8 |
Total assets | 6,757.6 | 6,413.8 |
Unconsolidated VIE | ||
Variable interest entities | ||
Other long-term investments | 250.7 | 257.8 |
Total assets | 250.7 | 257.8 |
On-Balance Sheet | ||
Variable interest entities | ||
Other long term investments | 103.0 | 102.6 |
Total assets | 103.0 | 102.6 |
Off-Balance Sheet | ||
Variable interest entities | ||
Other long term investments | 8.8 | 16.3 |
Total assets | 8.8 | 16.3 |
Other long-term investments | ||
Variable interest entities | ||
Other long term investments | 111.8 | 118.9 |
Total assets | $ 111.8 | $ 118.9 |
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
---|---|---|
Statement of Financial Position [Abstract] | ||
Fixed maturity investments, trading, amortized cost | $ 1,705.0 | $ 1,656.6 |
Short-term investments, amortized cost | 1,032.7 | 1,090.8 |
Equity securities, at cost | 409.5 | 379.2 |
Other long-term investments, cost | $ 323.2 | $ 315.4 |
Shares issued (in shares) | 115,299,341 | 115,299,341 |
Shares outstanding (in shares) | 115,299,341 | 115,299,341 |
Debt and standby letters of credit facilities - 2017 SEK Subordinated Notes and 2016 SIG Senior Notes (Details) |
3 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Sep. 22, 2017
USD ($)
|
Sep. 22, 2017
SEK (kr)
|
Nov. 01, 2016
USD ($)
|
Mar. 31, 2020
USD ($)
|
Mar. 31, 2019
USD ($)
|
Dec. 31, 2019
USD ($)
|
Sep. 22, 2017
SEK (kr)
|
|
Debt and standby letters of credit facilities | |||||||
Interest expense on debt | $ 7,800,000 | $ 7,600,000 | |||||
2017 SEK Subordinated Notes | |||||||
Debt and standby letters of credit facilities | |||||||
Debt notes issued | $ 346,100,000 | 274,200,000 | $ 295,000,000 | kr 2,750,000,000 | |||
Issue price (as a percent) | 100.00% | 100.00% | |||||
Term of redemption following occurrence of Specified Event (in days) | 90 days | 90 days | |||||
Debt issuance costs | $ 4,600,000 | ||||||
Underwriting fees | $ 3,500,000 | kr 27,500,000 | |||||
Foreign currency exchange (losses) gains on remeasurement of debt | $ 20,600,000 | $ 11,000,000 | |||||
Effective rate | 4.20% | 3.70% | |||||
Interest expense on debt | $ 3,000,000 | $ 2,800,000 | |||||
Effective rate | 4.20% | 4.00% | |||||
2016 SIG Senior Notes | |||||||
Debt and standby letters of credit facilities | |||||||
Debt notes issued | $ 400,000,000 | $ 400,000,000 | $ 400,000,000 | ||||
Issue price (as a percent) | 99.209% | ||||||
Debt issuance costs | $ 5,100,000 | ||||||
Underwriting fees | 3,400,000 | ||||||
Interest expense on debt | $ 4,800,000 | $ 4,800,000 | |||||
Net proceeds | $ 392,400,000 | ||||||
Annual interest rate (as a percent) | 4.60% | ||||||
Effective rate | 4.70% | 4.70% |
Income taxes (Details) - USD ($) |
3 Months Ended | 12 Months Ended | |
---|---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
Dec. 31, 2019 |
|
Income Tax Disclosure [Abstract] | |||
Income tax expense (benefit) | $ (14,800,000) | $ 17,200,000 | |
Pre-tax income (loss) | $ (136,100,000) | $ 121,300,000 | |
Effective tax rate (as a percent) | 10.90% | 14.20% | |
Statutory tax rate (as a percent) | 21.40% | 21.40% | |
Tax Cuts and Jobs Act of 2017, BEAT tax rate, 2019-2025 (as a percent) | 10.00% | ||
Tax Cuts and Jobs Act of 2017, BEAT tax rate, 2026 and thereafter (as a percent) | 12.50% | ||
Provision for income taxes related to BEAT | $ 0 | $ 0 | |
Provision for income taxes related to GILTI | $ 0 | $ 0 |
Reserves for unpaid losses and loss adjustment expenses - By segment (Details) - USD ($) $ in Millions |
3 Months Ended | |
---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
|
Reserves for unpaid losses and loss adjustment expenses | ||
Prior years losses | $ 4.2 | $ 16.6 |
Natural catastrophes | ||
Reserves for unpaid losses and loss adjustment expenses | ||
Prior years losses | 15.6 | |
Global Reinsurance | ||
Reserves for unpaid losses and loss adjustment expenses | ||
Prior years losses | 9.1 | 10.3 |
Global A&H | ||
Reserves for unpaid losses and loss adjustment expenses | ||
Prior years losses | $ (4.2) | 5.1 |
Runoff & Other | ||
Reserves for unpaid losses and loss adjustment expenses | ||
Prior years losses | $ 1.2 |
Significant transactions - Loss portfolio transfer (Details) $ in Millions |
Jan. 23, 2020
USD ($)
|
---|---|
Significant transactions | |
Cash received in loss portfolio transfer agreement | $ 69.7 |
Investments in unconsolidated entities |
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Investments in unconsolidated entities | Investments in unconsolidated entities Sirius Group's investments in unconsolidated entities are included within Other long-term investments and consist of investments in common equity securities or similar instruments, which give Sirius Group the ability to exert significant influence over the investee's operating and financial policies ("equity method eligible unconsolidated entities"). Such investments may be accounted for under either the equity method or, alternatively, Sirius Group may elect to account for them under the fair value option. The following table presents the components of Other long-term investments as of March 31, 2020 and December 31, 2019:
(1)Includes Other long-term investments that are not equity method eligible. (2)There were no investments accounted for using the equity method as of March 31, 2020 and December 31, 2019. Equity method eligible unconsolidated entities, at fair value Sirius Group has elected the fair value option to account for its equity method eligible investments accounted for as part of Other long-term investments for consistency of presentation with the rest of its investment portfolio. The following table presents Sirius Group's investments in equity method eligible unconsolidated entities as of March 31, 2020 and December 31, 2019:
(1)Sirius Group holds investments in several financing instruments of Pie Insurance Holding, Inc. |
Summary of significant accounting policies (Policies) |
3 Months Ended |
---|---|
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of presentation | Basis of presentation The accompanying Unaudited Consolidated Financial Statements at March 31, 2020, have been prepared in accordance with generally accepted accounting principles in the United States of America ("GAAP") and the rules and regulations of the U.S. Securities and Exchange Commission ("SEC") for interim financial information. The accompanying Unaudited Consolidated Financial Statements present the consolidated results of operations, financial condition, and cash flows of the Company and its subsidiaries and those entities in which the Company has control and a majority economic interest as well as those variable interest entities ("VIEs") that meet the requirements for consolidation. All significant intercompany transactions have been eliminated in consolidation. These Unaudited Consolidated Financial Statements do not include all disclosures normally included in annual financial statements prepared in accordance with GAAP and should be read in conjunction with the Audited Consolidated Financial Statements and the related notes for the year ended December 31, 2019. The consolidated financial information as of December 31, 2019 included herein has been derived from the Audited Consolidated Financial Statements as of December 31, 2019. Effective January 1, 2020, the Company changed its reportable segments. The change in reportable segments had no impact on the Company’s historical consolidated financial positions, results of operations or cash flows as previously reported. Where applicable, all prior periods presented have been revised to conform to this new presentation. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In the opinion of management, the accompanying Unaudited Consolidated Financial Statements reflect all adjustments (consisting of normally recurring accruals) necessary for a fair statement of results on an interim basis. Tabular dollar amounts are in millions, with the exception of share and per share amounts. All amounts are reported in U.S. dollars, except where noted otherwise. |
Recently adopted changes in accounting principles and accounting pronouncements | Recently adopted changes in accounting principles Credit losses Effective January 1, 2020, Sirius Group adopted Accounting Standards Update ("ASU") 2016-13, Measurement of Credit Losses on Financial Instruments (ASC 326), which establishes new guidance for the recognition of credit losses for financial assets measured at amortized cost ("current expected credit losses" or "CECL"). The guidance applies to financial assets that have the contractual right to receive cash, including reinsurance receivables and recoverables and requires reporting entities to estimate the credit losses expected over the life of a credit exposure using historical information, current information and reasonable and supportable forecasts that affect the collectability of the financial asset. The expected credit losses, and subsequent adjustments to such losses, are recorded through an allowance account that is deducted from the amortized cost basis of the financial asset, with the net carrying value of the financial asset presented on the consolidated balance sheet at the amount expected to be collected. Sirius Group adopted the new guidance using a modified retrospective transition method through a cumulative-effect adjustment to retained earnings. As a result of the adoption of the new guidance, Sirius Group estimated a total CECL allowance of $14.9 million. The adoption of this guidance did not materially impact our results of operations or cash flows. Due to the adoption of the standard using the retrospective cumulative-effect adjustment method, the Company recorded $(6.8) million cumulative-effect adjustment net of taxes to its opening retained earnings. (See Note 7.) Fair Value Measurement Disclosures Effective January 1, 2020, Sirius Group adopted ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement, which modifies the disclosure requirements of fair value measurements. The adoption of this guidance did not have any impact on the consolidated financial statements but expanded disclosure of the ranges and weighted averages of significant unobservable inputs used in Level 3 fair values. (See Note 9.) Simplifying the Accounting for Income Taxes Effective January 1, 2020, Sirius Group adopted ASU 2019-12, Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes, which eliminates certain exceptions, and clarifies and simplifies certain aspects of accounting for income taxes. Sirius Group has fully adopted all provisions of the guidance with consideration of the various transition methods. Sirius Group adopted the removal of the exception to the general methodology for calculating income taxes in an interim period when a year-to-date loss exceeds the anticipated loss for the year. The removal of this exception allowed Sirius Group to record a benefit for a year-to-date loss in excess of its forecasted loss in certain jurisdictions. The removal of this exception was applied prospectively to the Income tax benefit (expense) line on the Consolidated Statements of Income. Sirius Group adopted all other provisions in the guidance, including the requirement for an entity to recognize a franchise tax (or similar tax) that is partially based on income as an income-based tax and account for any incremental amount incurred as a non-income-based tax through a cumulative-effect adjustment to retained earnings. These provisions did not have a material impact on the Consolidated Financial Statements or were not applicable to Sirius Group. |
Debt and standby letters of credit facilities (Details) |
Mar. 31, 2020
USD ($)
|
Dec. 31, 2019
USD ($)
|
Sep. 22, 2017
USD ($)
|
Sep. 22, 2017
SEK (kr)
|
Nov. 01, 2016
USD ($)
|
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Debt and standby letters of credit facilities | |||||
Long-term Debt, Total | $ 664,800,000 | $ 685,200,000 | |||
2017 SEK Subordinated Notes | |||||
Debt and standby letters of credit facilities | |||||
Debt, at face value | 274,200,000 | 295,000,000 | $ 346,100,000 | kr 2,750,000,000 | |
Unamortized issuance costs | (3,600,000) | (3,800,000) | |||
Long-term Debt, Total | $ 270,600,000 | $ 291,200,000 | |||
Effective rate | 4.20% | 4.00% | |||
2016 SIG Senior Notes | |||||
Debt and standby letters of credit facilities | |||||
Debt, at face value | $ 400,000,000 | $ 400,000,000 | $ 400,000,000 | ||
Unamortized issuance costs | (3,600,000) | (3,700,000) | |||
Unamortized discount | (2,200,000) | (2,300,000) | |||
Long-term Debt, Total | $ 394,200,000 | $ 394,000,000 | |||
Effective rate | 4.70% | 4.70% |
Debt and standby letters of credit facilities - Interest (Details) - USD ($) $ in Millions |
3 Months Ended | |
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Mar. 31, 2020 |
Mar. 31, 2019 |
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Debt Disclosure [Abstract] | ||
Interest expense on debt | $ 7.8 | $ 7.6 |
Total interest paid | $ 2.8 | $ 2.7 |
Third party reinsurance (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Insurance [Abstract] | ||
Reinsurance recoverable on paid losses | $ 85.7 | $ 73.9 |
Reinsurance recoverable on unpaid losses | $ 444.2 | $ 410.3 |
Earnings per share |
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Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings per share | Earnings per share Basic earnings per share is computed by dividing net income available to Sirius Group common shareholders by the weighted-average number of common shares outstanding during the period. Diluted earnings per share is computed by dividing net income (loss) available to Sirius Group common shareholders on a diluted basis by the weighted-average number of common shares outstanding adjusted to give effect to potentially dilutive securities. The Series B preference shares qualify as participating securities, which requires the application of the two-class method to compute both basic and diluted earnings per share. The two-class method is an earnings allocation formula that treats participating securities as having rights to earnings that would otherwise have been available to common shareholders. The Series B preference shares have no obligation to absorb losses of the Company in periods of net loss. The following table sets forth the computation of basic and diluted earnings per common share for the three months ended March 31, 2020 and 2019:
(1)For the three months ended March 31, 2020, there were a total of 15,972,398 potentially dilutive securities excluded from the calculation of Diluted earnings per share. For the three months ended March 31, 2019, there were 19,510,830 potentially dilutive securities excluded from the calculation of Diluted earnings per share. |
Commitments and contingencies |
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and contingencies | Commitments and contingencies Legal Proceedings Sirius Group, and the insurance and reinsurance industry in general, are routinely subject to claims related litigation and arbitration in the normal course of business, as well as litigation and arbitration that do not arise from, or are directly related to, claims activity. Sirius Group estimates of the costs of settling matters routinely encountered in claims activity are reflected in the reserves for unpaid loss and LAE. (See Note 5.) Sirius Group considers the requirements of ASC 450, Contingencies ("ASC 450"), when evaluating its exposure to non-claims related litigation and arbitration. ASC 450 requires that accruals be established for litigation and arbitration if it is probable that a loss has been incurred and it can be reasonably estimated. ASC 450 also requires that litigation and arbitration be disclosed if it is probable that a loss has been incurred or it there is a reasonable possibility that a loss may have been incurred. Management has considered all pending and/or threatened non-claims related litigation and has not identified any matters triggering disclosure under ASC 450. Leases Sirius Group leases office space and equipment under various noncancelable operating lease agreements. The average life of the office leases is 7 years and the equipment leases is 3 years. During the three months ended March 31, 2020 and March 31, 2019, Sirius Group recognized operating lease expense of $3.0 million and $2.6 million, respectively, including property taxes and routine maintenance expense as well as rental expenses related to short term leases. As of March 31, 2020 and December 31, 2019, Sirius Group had $26.1 million and $27.4 million of operating lease right-of-use assets, respectively, included in Other assets. As of March 31, 2020 and December 31, 2019, Sirius Group had $27.8 million and $29.3 million of operating lease liability, respectively, included in Other liabilities. The following table presents the lease balances within the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019:
The following table presents weighted average remaining lease term and weighted average discount rate as of March 31, 2020:
The following table presents future annual minimum rental payments required under non-cancellable leases and the present value discount to arrive at total lease liability as of March 31, 2020:
As of March 31, 2020, the Company's future operating lease obligations that have not yet commenced are immaterial. |
Earnings per share (Tables) |
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Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of computation of basic and diluted earnings per common share | The following table sets forth the computation of basic and diluted earnings per common share for the three months ended March 31, 2020 and 2019:
(1)For the three months ended March 31, 2020, there were a total of 15,972,398 potentially dilutive securities excluded from the calculation of Diluted earnings per share. For the three months ended March 31, 2019, there were 19,510,830 potentially dilutive securities excluded from the calculation of Diluted earnings per share. |
Debt and standby letters of credit facilities (Tables) |
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Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of debt outstanding | Sirius Group's debt outstanding as of March 31, 2020 and December 31, 2019 consisted of the following:
(1) Effective rate considers the effect of the debt issuance costs. |
Significant transactions |
3 Months Ended |
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Mar. 31, 2020 | |
Significant transactions | |
Significant transactions | Significant transactions Loss portfolio transfer On January 23, 2020, Sirius Group entered into a loss portfolio transfer with Pacific Re, Inc. Under the agreement, Sirius Group received $69.7 million in cash and assumed net undiscounted loss and LAE reserves with the same value. In addition, Sirius Group recognized Gross written premium and Loss and losses adjustment expenses for $69.7 million. |
Allowance for expected credit losses |
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Credit Loss [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for expected credit losses | Allowance for expected credit losses Sirius Group is exposed to credit losses primarily through sales of its insurance and reinsurance products and services. The financial assets in scope of the current expected credit losses impairment model primarily include Sirius Group's premium receivables and reinsurance recoverables. Sirius Group pools the premium receivables and reinsurance recoverables by counterparty credit rating and applies a credit default rate that is determined based on the studies published by the rating agencies (e.g., A.M. Best, Standard & Poor's ("S&P")). In circumstances where ratings are unavailable, Sirius Group applies an internally developed default rate based on historical experience, reference data including research publications, and other relevant inputs. To estimate the allowance for expected credit losses, Sirius Group considered the current and expected future economic and market conditions surrounding the COVID-19 pandemic. To the extent the current environment continues beyond our expectations or deteriorates further, we may experience further increases to our allowance for credit losses related to COVID-19. As of March 31, 2020, Sirius Group's allowance for expected credit losses is as follows:
(1) Included as part of Other assets on the Consolidated Balance Sheet Sirius Group monitors counterparty credit ratings and macroeconomic conditions, and considers the most current A.M. Best and S&P credit ratings to determine the allowance each quarter. Of the total gross assets in scope as of March 31, 2020, approximately 63% were balances with counterparties rated by either A.M. Best or S&P. Of the total rated, 76% were rated A- or better. |
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