Fair value measurements (Tables)

12 Months Ended

Dec. 31, 2019

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 December 31, 2019 and 2018 by level:



	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

⁽¹⁾Excludes fair value of $269.0 associated with hedge funds and private equity funds which fair value is measured at net asset value using the practical expedient.



	2018
(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	$	167.9	$	164.7	$	3.2	$	—
Corporate debt securities	695.8		—		695.8		—
Asset-backed securities	494.5		—		494.5		—
Residential mortgage-backed securities	413.5		—		413.5		—
Commercial mortgage-backed securities	115.9		—		115.9		—
Non-U.S. government and government agency	50.3		42.9		7.4		—
Preferred stocks	8.5		—		3.1		5.4
U.S. States, municipalities, and political subdivision	2.8		—		2.8		—
Total fixed maturity investments	1,949.2		207.6		1,736.2		5.4
Equity securities:
Fixed income mutual funds	157.7		157.7		—		—
Common stocks	222.3		222.3		—		—
Other equity securities	—		—		—		—
Total equity securities	380.0		380.0		—		—
Short-term investments	715.5		679.3		36.2		—
Other long-term investments⁽¹⁾	63.6		—		—		63.6
Total investments	$	3,108.3	$	1,266.9	$	1,772.4	$	69.0
Loan participation	—		—		—		—
Derivative instruments	4.1		—		—		4.1
Total assets measured at fair value	$	3,112.4	$	1,266.9	$	1,772.4	$	73.1
Liabilities measured at fair value
Contingent consideration liabilities	$	28.8	$	—	$	—	$	28.8
Derivative instruments	5.1		0.5		—		4.6
Total liabilities measured at fair value	$	33.9	$	0.5	$	—	$	33.4

⁽¹⁾Excludes fair value of $301.4 associated with hedge funds and private equity funds which fair value is measured at net asset value using the practical expedient.

Rollforward of Level 3 fair value measurements

The following tables present changes in Level 3 for financial instruments measured at fair value for the years ended December 31, 2019 and 2018:



	2019
(Millions)	Fixed maturities			Other long-term investments⁽¹⁾			Loan participation		Derivative instruments assets & (liabilities)			Contingent consideration (liabilities)
Balance at January 1, 2019	$	5.4		$	63.6		$	—	$	(0.5	)	$	(28.8	)
Total realized and unrealized gains	—			7.3			—		(7.1		)	(6.3		)
Foreign currency losses through Other Comprehensive Income	—			(0.6		)	—		—			—
Purchases	17.0			15.7			20.0		—			—
Sales/settlements	(5.4		)	(8.2		)	—		8.4			6.9
Balance at December 31, 2019	$	17.0		$	77.8		$	20.0	$	0.8		$	(28.2	)

⁽¹⁾Excludes fair value of $269.0 associated with hedge funds and private equity funds which fair value is measured at net asset value using the practical expedient.



	2018
(Millions)	Fixed maturities			Other long-term investments⁽¹⁾			Loan participation		Derivative instruments assets & (liabilities)			Contingent consideration (liabilities)
Balance at January 1, 2018	$	8.0		$	64.2		$	—	$	(6.1	)	$	(42.8	)
Total realized and unrealized gains	(6.1		)	6.8			—		12.0			9.6
Foreign currency losses through Other Comprehensive Income	—			(4.4		)	—		—			—
Purchases	4.0			1.2			—		—			—
Sales/settlements	(0.5		)	(4.2		)	—		(6.4		)	4.4
Balance at December 31, 2018	$	5.4		$	63.6		$	—	$	(0.5	)	$	(28.8	)

⁽¹⁾Excludes fair value of $301.5 associated with hedge funds and private equity funds which fair value is measured at net asset value using the practical expedient.

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 December 31, 2019 and 2018, 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.



(Millions)	2019
Description	Valuation technique(s)	Fair value			Unobservable input
Private equity securitiesﾠ⁽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 securitiesﾠ⁽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 instrumentﾠ⁽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 securitiesﾠ⁽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 securitiesﾠ⁽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 securitiesﾠ⁽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	)

⁽¹⁾As of December 31, 2019, each asset type consists of one security.

⁽²⁾See Note 13 for discussion of derivative instruments.



(Millions)	2018
Description	Valuation technique(s)	Fair value			Unobservable input
Private equity securitiesﾠ⁽¹⁾	Share price of recent transaction	$	32.5		Purchase share price	$	40.63
Private equity securitiesﾠ⁽¹⁾	Multiple of GAAP book value	$	14.7		Book value multiple	0.9
Private debt instrumentﾠ⁽¹⁾	Purchase price of recent transaction	$	9.0		Purchase price	$	9.0
Private debt instrumentﾠ⁽¹⁾	Purchase price of recent transaction	$	6.0		Purchase price	$	6.0
Preferred stock⁽¹⁾	Purchase price of recent transaction	$	4.6		Average share price	$	1.88
Weather derivatives⁽²⁾	Third party appraisal	$	3.9		Broker quote	$	3.9
Common stock⁽¹⁾	Purchase price of recent transaction	$	0.9		Purchase price	$	1.88
Preferred stock⁽¹⁾	Share price of recent transaction	$	0.8		Purchase price	$	0.8
Common stock⁽¹⁾	Share price of recent transaction	$	0.3		Purchase price	$	10.0
Private debt instrumentﾠ⁽¹⁾	Purchase price of recent transaction	$	0.2		Purchase price	$	0.2
Interest rate cap⁽²⁾	Third party appraisal	$	0.2		Broker quote	$	0.2
Currency swaps⁽²⁾	Third party appraisal	$	(4.6	)	Broker quote	$	(4.6	)
Contingent consideration	External valuation model	$	(28.8	)	Discounted future payments	$	(28.8	)

⁽¹⁾As of December 31, 2018, each asset type consists of one security.

⁽²⁾See Note 13 for discussion of derivative instruments.

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 as of December 31, 2019 and 2018:



	2019				2018
(Millions)	Fair value⁽¹⁾		Carrying value		Fair value⁽¹⁾		Carrying value
Liabilities, Mezzanine equity, and Non-controlling interest:
2017 SEK Subordinated Notes	$	294.5	$	291.2	$	309.5	$	303.6
2016 SIG Senior Notes	$	394.5	$	394.0	$	347.6	$	393.2
Series B preference shares	$	186.4	$	223.0	$	191.7	$	232.2

⁽¹⁾Fair value estimated by internal pricing and considered a Level 3 measurement.