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Derivatives
 9 Months Ended
Sep. 30, 2020
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 September 30, 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 of September 30, 2020 and December 31, 2019, Sirius Group held collateral balances of $0.1 million and $0.2 million, respectively
Foreign Currency Risk Derivatives
Sirius Group executes foreign currency forwards, call options, 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, are 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 September 30, 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 September 30, 2020 and December 31, 2019:
(Millions)September 30, 2020December 31, 2019
Derivatives not designated as hedging instrumentsNotional
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$40.0 $0.3 $— $90.0 $— $3.6 
Foreign currency forwards$225.2 $0.3 $— $(30.0)$2.7 $5.7 
Weather derivatives$53.6 $— $3.5 $110.7 $7.0 $— 
Equity futures contracts$(1.0)$— $— $34.5 $— $— 
Foreign currency futures contracts$22.3 $— $— $— $— $— 
Equity call options$34.6 $2.5 $— $— $— $— 
Equity put options$77.3 $1.9 $0.1 $31.0 $1.3 $0.2 
Foreign currency call options$50.6 $2.2 $— $— $— $— 
Equity warrants$0.5 $0.5 $— $0.4 $0.4 $— 
(1)Asset derivatives are classified within Other assets within the Company's Consolidated Balance Sheets at September 30, 2020 and December 31, 2019.
(2)Liability derivatives are classified within Other liabilities within the Company's Consolidated Balance Sheets at September 30, 2020 and December 31, 2019.
The following table summarizes information on the classification and net impact on earnings, recognized in the Company's Consolidated Statements of (Loss) Income relating to derivatives during the three and nine months ended September 30, 2020 and 2019:
(Millions)For the three months ended September 30,For the nine months ended September 30,
Derivatives not designated as hedging instrumentsClassification of gains (losses) recognized in earnings2020201920202019
Interest rate capOther revenues$— $— $— $(0.2)
Foreign currency swapsNet foreign exchange (losses) gains$(0.9)$3.7 $1.8 $6.1 
Foreign currency forwardsNet foreign exchange (losses) gains$(0.4)$(7.8)$(0.9)$(10.8)
Weather derivativesOther revenues$(0.4)$1.9 $(21.8)$(3.6)
Equity futures contractsNet realized investment (losses) gains$(0.2)$0.1 $2.4 $(0.7)
Equity futures contractsNet unrealized investment gains (losses)$(0.1)$(0.5)$0.4 $(0.6)
Foreign currency futures contractsNet foreign exchange (losses) gains$0.8 $— $0.1 $— 
Equity put optionsNet realized investment (losses) gains$1.9 $(0.8)$7.8 $(0.8)
Equity put options Net unrealized investment gains (losses)$(0.6)$0.7 $0.8 $0.2 
Foreign currency call optionsNet foreign exchange (losses) gains$1.0 $— $0.8 $— 
Equity warrantsNet unrealized investment gains (losses)$(0.1)$0.3 $0.1 $0.7