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Investment securities (Tables)
 12 Months Ended
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Schedule of net investment income
Net investment income for the years ended December 31, 2019, 2018, and 2017 consisted of the following:
(Millions)
2019

2018

2017

Fixed maturity investments
$
52.1

$
53.2

$
51.5

Short-term investments
15.8

5.1

1.5

Equity securities
15.2

16.5

5.1

Other long-term investments
14.2

8.4

8.5

Interest on funds held under reinsurance treaties
—

(0.5
)
—

Total investment income
97.3

82.7

66.6

Investment expenses
(12.6
)
(11.3
)
(9.8
)
Net investment income
$
84.7

$
71.4

$
56.8
Schedule of net realized and unrealized investment (losses) gains
Net realized and unrealized investment gains (losses) for the years ended December 31, 2019, 2018, and 2017 consisted of the following:
(Millions)
2019
2018
2017
Gross realized gains
$
99.3

$
42.3

$
24.4

Gross realized (losses)
(42.6
)
(40.0
)
(51.6
)
Net realized gains (losses) on investments(1)
56.7

2.3

(27.2
)
Net unrealized gains (losses) on investments(2)
80.6

(23.2
)
(10.5
)
Net realized and unrealized investment gains (losses) on investments
$
137.3

$
(20.9
)
$
(37.7
)
(1)Includes $50.4, $17.3, and $(19.1) of realized gains (losses) due to foreign currency during 2019, 2018, and 2017, respectively.
(2)Includes $(5.7), $35.7, and $(51.7) of unrealized (losses) gains due to foreign currency during 2019, 2018, and 2017, respectively.
Schedule of net realized investment gains (losses)
Net realized investment gains (losses) for the years ended December 31, 2019, 2018, and 2017 consisted of the following:
(Millions)
2019
2018
2017
Fixed maturity investments
$
33.7

$
3.6

$
(19.1
)
Equity securities
9.4

(6.4
)
0.1

Short-term investments
14.8

—

—

Derivative instruments
(2.5
)
—

—

Other long-term investments
1.3

5.1

(8.2
)
Net realized investment gains (losses)
$
56.7

$
2.3

$
(27.2
)
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 years ended December 31, 2019, 2018, and 2017:
(Millions)
2019
2018
2017
Fixed maturity investments
$
—

$
(6.1
)
$
(0.2
)
Equity securities
—

—

0.1

Other long-term investments
15.9

4.0

(0.6
)
Total unrealized investment gains (losses) - Level 3 investments
$
15.9

$
(2.1
)
$
(0.7
)
The following table summarizes the net unrealized investment gains (losses) and changes in fair value for the years ended December 31, 2019, 2018, and 2017:
(Millions)
2019
2018
2017
Fixed maturity investments
$
24.1

$
14.1

$
(41.3
)
Equity securities
51.4

(51.1
)
25.2

Short-term investments
(5.2
)
—

—

Derivative instruments
(0.5
)
—

—

Other long-term investments
10.8

13.8

5.6

Net unrealized investment gains (losses)
$
80.6

$
(23.2
)
$
(10.5
)
Schedule of investment securities and other long-term investments
The cost or amortized cost, gross unrealized investment gains and losses, net foreign currency gains and losses, and fair values of Sirius Group's equity securities and other long-term investments as of December 31, 2019 and 2018, were as follows:
 
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

 
2018
(Millions)
Cost or
amortized
cost

Gross
unrealized
gains

Gross
unrealized
losses

Net foreign
currency
gains

Fair value

Equity securities
$
409.4

$
17.8

$
(50.8
)
$
3.6

$
380.0

Other long-term investments
$
337.6

$
32.6

$
(13.5
)
$
8.3

$
365.0

Equity securities at fair value consisted of the following as of December 31, 2019 and 2018:
(Millions)
2019

2018

Fixed income mutual funds
$
175.3

$
157.7

Common stocks
228.1

222.3

Other equity securities
1.8

—

Total Equity securities
$
405.2

$
380.0

Other long-term investments at fair value consisted of the following as of December 31, 2019 and 2018:
(Millions)
2019

2018

Hedge funds and private equity funds
$
269.0

$
301.4

Limited liability companies and private equity securities
77.8

63.6

Total Other long-term investments
$
346.8

$
365.0

The following table summarizes the total mortgage and asset-backed securities held at fair value in Sirius Group's investment portfolio as of December 31, 2019 and 2018:
(Millions)
2019

2018

Mortgage-backed securities:
 
 
Agency:
 
 
Federal national mortgage association
$
235.9

$
185.0

Federal home loan mortgage corporation
165.0

166.9

Government national mortgage association
52.2

59.4

Total agency(1)
453.1

411.3

Non-agency:
 
 
Commercial
60.9

85.5

Residential
13.9

32.6

Total non-agency
74.8

118.1

Total mortgage-backed securities
527.9

529.4

Asset-backed securities:
 
 
Collateralized loan obligations
417.0

373.0

Vehicle receivables
32.9

63.8

Credit card receivables
5.7

10.7

Other
31.2

47.0

Total asset-backed securities
486.8

494.5

Total mortgage and asset-backed securities(2)
$
1,014.7

$
1,023.9

(1)Represents publicly traded mortgage-backed securities which carry the full faith and credit guaranty of the U.S. government (i.e., GNMA) or are guaranteed by a government-sponsored entity (i.e., FNMA, FHLMC).
(2)As of December 31, 2019 and 2018, all mortgage- and asset-backed securities held by Sirius Group were classified as Level 2 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 December 31, 2019 and 2018, were as follows:
 
2019
(Millions)
Cost or
amortized
cost

Gross
unrealized
gains

Gross
unrealized
losses

Net foreign
currency
gains
(losses)

Fair value

Asset-backed securities
$
489.4

$
1.4

$
(3.9
)
$
(0.1
)
$
486.8

Corporate debt securities
458.6

5.2

(1.2
)
11.5

474.1

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

 
2018
(Millions)
Cost or
amortized
cost

Gross
unrealized
gains

Gross
unrealized
losses

Net foreign
currency
gains
(losses)

Fair value

Asset-backed securities
$
496.3

$
0.1

$
(3.8
)
$
1.9

$
494.5

Corporate debt securities
694.1

1.4

(7.3
)
7.6

695.8

Residential mortgage-backed securities
413.0

1.7

(7.1
)
5.9

413.5

U.S. government and government agency
163.9

0.3

(0.5
)
4.2

167.9

Commercial mortgage-backed securities
117.7

0.2

(2.7
)
0.7

115.9

Non-U.S. government and government agency
50.6

—

(0.2
)
(0.1
)
50.3

Preferred stocks
14.5

0.6

(6.8
)
0.2

8.5

U.S. States, municipalities and political subdivision
2.8

—

—

—

2.8

Total fixed maturity investments
$
1,952.9

$
4.3

$
(28.4
)
$
20.4

$
1,949.2
Schedule of fixed maturity investment by contractual maturity
 
2019
2018
(Millions)
Cost or amortized
cost

Fair value

Cost or amortized
cost

Fair value

Due in one year or less
$
85.0

$
88.4

$
249.6

$
254.6

Due after one year through five years
479.1

490.3

635.6

636.4

Due after five years through ten years
46.3

46.0

26.2

25.7

Due after ten years
25.1

24.6

0.1

0.1

Mortgage-backed and asset-backed securities
1,004.1

1,014.7

1,026.9

1,023.9

Preferred stocks
17.0

17.0

14.5

8.5

Total
$
1,656.6

$
1,681.0

$
1,952.9

$
1,949.2
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 December 31, 2019 and 2018:
(Millions)
2019

2018

AAA
$
559.8

$
602.0

AA
724.3

818.0

A
219.0

290.5

BBB
95.8

167.4

Other
82.1

71.3

Total fixed maturity investments(1)
$
1,681.0

$
1,949.2

(1)Credit ratings are assigned based on the following hierarchy: 1) Standard & Poor's and 2) Moody's Investor Service.
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 December 31, 2019 and 2018:
 
2019
2018
(Millions)
Fair value

Unfunded
commitments

Fair value

Unfunded
commitments

Hedge funds:
 
 
 
 
Long/short multi-sector
$
53.0

$
—

$
41.0

$
—

Distressed mortgage credit
51.6

—

54.8

—

Private credit
21.5

—

20.0

—

Other
1.4

—

2.5

—

Total hedge funds
127.5

—

118.3

—

Private equity funds:
 
 
 
 
Energy infrastructure & services
53.6

34.6

93.7

54.2

Multi-sector
8.7

7.8

9.0

0.7

Healthcare
25.9

10.4

31.7

15.6

Life settlement
23.9

—

23.7

—

Manufacturing/Industrial
27.6

3.9

23.6

10.4

Private equity secondaries
0.6

0.8

1.1

1.1

Real estate
—

—

0.3

—

Other
1.2

2.6

—

—

Total private equity funds
141.5

60.1

183.1

82.0

Total hedge and private equity funds included in Other long-term investments
$
269.0

$
60.1

$
301.4

$
82.0
Schedule of redemption frequency and advance notice period requirements for investments
The following summarizes the December 31, 2019 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
$
—

$
36.2

$
—

$
—

$
36.2

Quarterly
0.8

—

—

—

0.8

Semi-annual
—

0.3

—

—

0.3

Annual
—

16.8

51.9

21.5

90.2

Total
$
0.8

$
53.3

$
51.9

$
21.5

$
127.5
Schedule of investment securities by lock-up period.
As of December 31, 2019, 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
$
4.7

$
1.4

$
135.4

$
141.5