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Investment securities (Tables)
 3 Months Ended
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Schedule of net investment income
Net investment income for the three months ended March 31, 2020 and 2019 consisted of the following:
 
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
Schedule of 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:
 
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

(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.
Schedule of net realized investment gains (losses)
Net realized investment gains for the three months ended March 31, 2020 and 2019 consisted of the following:
 
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
Schedule of net unrealized investment gains (losses)
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:
 
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

Net unrealized investment gains (losses) for the three months ended March 31, 2020 and 2019 consisted of the following:
 
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
Schedule of investment securities and other long-term investments
Equity securities at fair value consisted of the following as of March 31, 2020 and December 31, 2019:
(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

(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:
(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

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:
 
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

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:
 
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
Schedule of fixed maturity investment by contractual maturity
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.
 
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
Schedule of ratings and fair value of fixed maturity investments
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:
(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

(1)Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor's ("S&P") and 2) Moody's Investors Service ("Moody's").
Summary of investment securities by investment objective and sector
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:
 
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
Schedule of redemption frequency and advance notice period requirements for investments
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:
 
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
Schedule of investment securities by lock-up period.
As of March 31, 2020, investments in private equity funds were subject to lock-up periods as follows:
(Millions)
1 - 3 years

3 – 5 years

5 – 10 years

Total

Private Equity Funds – expected lock up period remaining
$
9.1

$
2.1

$
136.6

$
147.8