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Investment securities (Tables)
 6 Months Ended
Jun. 30, 2020
Investments, Debt and Equity Securities [Abstract]  
Schedule of net investment income
Net investment income for the three and six months ended June 30, 2020 and 2019 consisted of the following:
 
For the three months ended June 30,
For the six months ended June 30,
(Millions)
2020
2019
2020

2019

Fixed maturity investments
$
11.1

$
13.1

$
21.4

$
27.2

Short-term investments
1.3

4.8

4.6

7.9

Equity securities
2.1

7.1

4.7

9.8

Other long-term investments
3.1

3.2

3.3

7.1

Total investment income
17.6

28.2

34.0

52.0

Investment expenses
(2.8
)
(3.8
)
(5.7
)
(7.5
)
Net investment income
$
14.8

$
24.4

$
28.3

$
44.5
Schedule of net realized and unrealized investment gains (losses)
Net realized and unrealized investment gains (losses) for the three and six months ended June 30, 2020 and 2019 consisted of the following:
 
For the three months ended June 30,
For the six months ended June 30,
(Millions)
2020
2019
2020

2019

Gross realized gains
$
57.4

$
26.9

$
99.4

$
41.0

Gross realized (losses)
(50.3
)
(11.3
)
(72.0
)
(16.4
)
Net realized gains on investments(1)(2)
7.1

15.6

27.4

24.6

Net unrealized gains (losses) on investments(3)(4)
8.7

15.5

(35.1
)
89.5

Net realized and unrealized gains (losses) on investments
$
15.8

$
31.1

$
(7.7
)
$
114.1

(1)Includes $5.4 and $9.7 of realized gains due to foreign currency for the three months ended June 30, 2020 and 2019, respectively.
(2)Includes $16.5 and $20.5 of realized gains due to foreign currency for the six months ended June 30, 2020 and 2019, respectively.
(3)Includes $(65.7) and $(7.2) of unrealized gains (losses) due to foreign currency for the three months ended June 30, 2020 and 2019, respectively.
(4)Includes $(13.1) and $17.8 of unrealized gains (losses) due to foreign currency for the six months ended June 30, 2020 and 2019, respectively.
Schedule of net realized investment gains (losses)
Net realized investment gains for the three and six months ended June 30, 2020 and 2019 consisted of the following:
 
For the three months ended June 30,
For the six months ended June 30,
(Millions)
2020
2019
2020
2019
Fixed maturity investments
$
9.9

$
8.1

$
17.7

$
14.9

Equity securities
(6.5
)
(1.2
)
(6.0
)
(1.8
)
Short-term investments
1.0

3.1

3.8

3.2

Derivative instruments
0.2

(0.2
)
8.5

(0.8
)
Other long-term investments
2.5

5.8

3.4

9.1

Net realized investment gains
$
7.1

$
15.6

$
27.4

$
24.6
Schedule of net unrealized investment gains (losses)
Net unrealized investment gains (losses) for the three and six months ended June 30, 2020 and 2019 consisted of the following:
 
For the three months ended June 30,
For the six months ended June 30,
(Millions)
2020
2019
2020

2019

Fixed maturity investments
$
(3.7
)
$
11.0

$
3.2

$
40.7

Equity securities
16.9

13.3

(52.2
)
38.4

Short-term investments
(15.8
)
(0.9
)
(0.1
)
1.8

Derivative instruments
2.1

(0.1
)
2.2

(0.7
)
Other long-term investments
9.2

(7.8
)
11.8

9.3

Net unrealized investment gains (losses)
$
8.7

$
15.5

$
(35.1
)
$
89.5


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 and six months ended June 30, 2020 and 2019:
 
For the three months ended June 30,
For the six months ended June 30,
(Millions)
2020
2019
2020
2019
Fixed maturity investments
$
—

$
—

$
0.3

$
—

Other long-term investments
(4.2
)
—

(5.1
)
8.8

Total unrealized investment (losses) gains – Level 3 investments
$
(4.2
)
$
—

$
(4.8
)
$
8.8
Schedule of investment securities and other long-term investments
Equity securities at fair value consisted of the following as of June 30, 2020 and December 31, 2019:
(Millions)
June 30, 2020
December 31, 2019
Fixed income mutual funds
$
1.7

$
175.3

Common stocks
161.5

228.1

Other equity securities(1)
(13.3
)
1.8

Total Equity securities
$
149.9

$
405.2

(1)Sirius Group engaged in short selling of certain equity securities for which settlement was pending as of June 30, 2020.
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 June 30, 2020 and December 31, 2019, were as follows:
 
June 30, 2020
(Millions)
Cost or
amortized
cost

Gross
unrealized
gains

Gross
unrealized
(losses)

Net foreign
currency
gains
(losses)

Fair value

Corporate debt securities
$
468.2

$
9.8

$
(0.8
)
$
6.5

$
483.7

Asset-backed securities
737.4

5.2

(18.5
)
(0.9
)
723.2

Residential mortgage-backed securities
403.6

22.3

(0.8
)
3.1

428.2

U.S. government and government agency
105.5

1.2

(0.1
)
(2.1
)
104.5

Commercial mortgage-backed securities
96.2

2.5

(2.3
)
0.1

96.5

Non-U.S. government and government agency
50.4

0.3

(0.2
)
(0.4
)
50.1

Preferred stocks
14.8

2.3

(0.3
)
—

16.8

U.S. States, municipalities and political subdivision
1.6

0.1

—

—

1.7

Total fixed maturity investments
$
1,877.7

$
43.7

$
(23.0
)
$
6.3

$
1,904.7

 
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 June 30, 2020 and December 31, 2019, were as follows:
 
June 30, 2020
(Millions)
Cost or
amortized
cost

Gross
unrealized
gains

Gross
unrealized
(losses)

Net foreign
currency
gains

Fair value

Equity securities
$
178.1

$
40.1

$
(69.1
)
$
0.8

$
149.9

Other long-term investments
$
324.7

$
61.3

$
(28.8
)
$
10.9

$
368.1

 
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

Other long-term investments at fair value consisted of the following as of June 30, 2020 and December 31, 2019:
(Millions)
June 30, 2020
December 31, 2019
Hedge funds and private equity funds
$
289.9

$
269.0

Limited liability companies and private equity securities
78.2

77.8

Total other long-term investments
$
368.1

$
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 June 30, 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.
 
June 30, 2020
December 31, 2019
(Millions)
Cost or
amortized cost

Fair value

Cost or
amortized cost

Fair value

Due in one year or less
$
127.3

$
131.4

$
85.0

$
88.4

Due after one year through five years
446.3

456.2

479.1

490.3

Due after five years through ten years
43.9

44.3

46.3

46.0

Due after ten years
8.2

8.1

25.1

24.6

Mortgage-backed and asset-backed securities
1,237.2

1,247.9

1,004.1

1,014.7

Preferred stocks
14.8

16.8

17.0

17.0

Total
$
1,877.7

$
1,904.7

$
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 June 30, 2020 and December 31, 2019:
(Millions)
June 30, 2020
December 31, 2019
AAA
$
785.6

$
559.8

AA
716.8

724.3

A
217.4

219.0

BBB
102.5

95.8

Other
82.4

82.1

Total fixed maturity investments(1)
$
1,904.7

$
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 June 30, 2020 and December 31, 2019:
 
June 30, 2020
December 31, 2019
(Millions)
Fair value

Unfunded
commitments

Fair value

Unfunded
commitments

Hedge funds:
 
 
 
 
Long/short multi-sector
$
51.0

$
—

$
53.0

$
—

Distressed mortgage credit
64.2

—

51.6

—

Private credit
21.8

—

21.5

—

Other
1.1

—

1.4

—

Total hedge funds
138.1

—

127.5

—

Private equity funds:
 
 
 
 
Energy infrastructure & services
54.1

32.8

53.6

34.6

Multi-sector
16.2

7.8

8.7

7.8

Healthcare
28.4

6.3

25.9

10.4

Life settlement
22.8

—

23.9

—

Manufacturing/Industrial
27.2

—

27.6

3.9

Private equity secondaries
0.6

0.8

0.6

0.8

Other
2.5

1.7

1.2

2.6

Total private equity funds
151.8

49.4

141.5

60.1

Total hedge and private equity funds included in Other long-term investments
$
289.9

$
49.4

$
269.0

$
60.1
Schedule of redemption frequency and advance notice period requirements for investments
The following summarizes the June 30, 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
$
—

$
28.8

$
—

$
—

$
28.8

Quarterly
0.6

22.2

64.2

—

87.0

Semi-annual
—

0.2

—

—

0.2

Annual
—

—

0.2

21.9

22.1

Total
$
0.6

$
51.2

$
64.4

$
21.9

$
138.1
Schedule of investment securities by lock-up period.
As of June 30, 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
$
54.6

$
1.8

$
95.4

$
151.8