
	September 30, 2021
(In thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
Fixed maturities, available-for-sale
U.S. Treasury obligations	$	241,696	$	1,681	$	672	$	242,705
U.S. Government-sponsored enterprise obligations	20,509		57		98		20,468
State and municipal bonds	513,111		11,155		1,559		522,707
Corporate debt	1,928,543		41,493		6,923		1,963,113
Residential mortgage-backed securities	475,368		5,513		2,972		477,909
Agency commercial mortgage-backed securities	14,531		460		49		14,942
Other commercial mortgage-backed securities	216,595		3,545		1,116		219,024
Other asset-backed securities	440,536		3,661		929		443,268
	$	3,850,889	$	67,565	$	14,318	$	3,904,136


	December 31, 2020
(In thousands)	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
Fixed maturities, available-for-sale
U.S. Treasury obligations	$	104,097	$	—	$	2,985	$	23	$	107,059
U.S. Government-sponsored enterprise obligations	12,103		—		158		—		12,261
State and municipal bonds	316,022		—		16,937		39		332,920
Corporate debt	1,267,992		552		63,204		1,302		1,329,342
Residential mortgage-backed securities	269,752		—		7,171		382		276,541
Agency commercial mortgage-backed securities	12,623		—		687		—		13,310
Other commercial mortgage-backed securities	109,244		—		4,788		940		113,092
Other asset-backed securities	269,742		—		4,006		742		273,006
	$	2,361,575	$	552	$	99,936	$	3,428	$	2,457,531

The recorded cost basis and estimated fair value of available-for-sale fixed maturities at September 30, 2021, by contractual maturity, are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.


(In thousands)	Amortized Cost		Due in one year or less		Due after one year through five years		Due after five years through ten years		Due after ten years		Total Fair Value
Fixed maturities, available-for-sale
U.S. Treasury obligations	$	241,696	$	19,945	$	133,884	$	86,726	$	2,150	$	242,705
U.S. Government-sponsored enterprise obligations	20,509		3,826		11,363		5,134		145		20,468
State and municipal bonds	513,111		15,273		174,664		188,717		144,053		522,707
Corporate debt	1,928,543		119,700		927,016		809,889		106,508		1,963,113
Residential mortgage-backed securities	475,368										477,909
Agency commercial mortgage-backed securities	14,531										14,942
Other commercial mortgage-backed securities	216,595										219,024
Other asset-backed securities	440,536										443,268
	$	3,850,889									$	3,904,136

As a member of Lloyd's, ProAssurance is required to maintain capital at Lloyd's, referred to as FAL, to support underwriting by Syndicate 1729 and Syndicate 6131. At September 30, 2021, ProAssurance's FAL investments were comprised of available-for-sale fixed maturities with a fair value of $64.3 million and cash and cash equivalents of $8.2 million on deposit with Lloyd's in order to satisfy these FAL requirements. During the second quarter of 2021, ProAssurance received a return of approximately $24.5 million of FAL given the reduction in the Company's participation in the results of Syndicate 1729, to 5% from 29%, and Syndicate 6131, to 50% from 100%, for the 2021 underwriting year.


	September 30, 2021
	Total				Less than 12 months				12 months or longer
	Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
(In thousands)	Value		Loss		Value		Loss		Value		Loss
Fixed maturities, available-for-sale
U.S. Treasury obligations	$	162,063	$	672	$	157,445	$	582	$	4,618	$	90
U.S. Government-sponsored enterprise obligations	14,422		98		14,422		98		—		—
State and municipal bonds	194,740		1,559		192,610		1,467		2,130		92
Corporate debt	637,694		6,923		607,003		6,134		30,691		789
Residential mortgage-backed securities	284,636		2,972		276,253		2,732		8,383		240
Agency commercial mortgage-backed securities	4,040		49		4,040		49		—		—
Other commercial mortgage-backed securities	77,254		1,116		72,541		783		4,713		333
Other asset-backed securities	166,667		929		162,161		867		4,506		62
	$	1,541,516	$	14,318	$	1,486,475	$	12,712	$	55,041	$	1,606


	December 31, 2020
	Total				Less than 12 months				12 months or longer
	Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
(In thousands)	Value		Loss		Value		Loss		Value		Loss
Fixed maturities, available-for-sale
U.S. Treasury obligations	$	14,390	$	23	$	14,390	$	23	$	—	$	—

State and municipal bonds	6,416		39		6,416		39		—		—
Corporate debt	94,695		1,302		79,436		1,020		15,259		282
Residential mortgage-backed securities	34,928		382		34,509		381		419		1

Other commercial mortgage-backed securities	18,766		940		18,480		935		286		5
Other asset-backed securities	43,739		742		37,850		701		5,889		41
	$	212,934	$	3,428	$	191,081	$	3,099	$	21,853	$	329

As of September 30, 2021, excluding U.S. Government or U.S. Government-sponsored enterprise obligations, there were 1,246 debt securities (32.3% of all available-for-sale fixed maturity securities held) in an unrealized loss position representing 768 issuers. The greatest and second greatest unrealized loss positions among those securities were approximately $0.3 million and $0.2 million, respectively. The securities were evaluated for impairment as of September 30, 2021.

As of December 31, 2020, excluding U.S. Government or U.S. Government-sponsored enterprise obligations, there were 292 debt securities (11.1% of all available-for-sale fixed maturity securities held) in an unrealized loss position representing 229 issuers. The greatest and second greatest unrealized loss positions among those securities were approximately $0.4 million and $0.2 million, respectively. The securities were evaluated for impairment as of December 31, 2020.

Each quarter, ProAssurance performs a detailed analysis for the purpose of assessing whether any of the securities it holds in an unrealized loss position has suffered an impairment due to credit or non-credit factors. A detailed discussion of the factors considered in the assessment is included in Note 1 of the Notes to Consolidated Financial Statements in ProAssurance's December 31, 2020 report on Form 10-K.

Fixed maturity securities held in an unrealized loss position at September 30, 2021, excluding asset-backed securities, have paid all scheduled contractual payments and are expected to continue. Expected future cash flows of asset-backed securities, excluding those issued by GNMA, FNMA and FHLMC, held in an unrealized loss position were estimated as part of the September 30, 2021 impairment evaluation using the most recently available six-month historical performance data for the collateral (loans) underlying the security or, if historical data was not available, sector based assumptions, and equaled or exceeded the current amortized cost basis of the security.

The following tables present a roll forward of the allowance for expected credit losses on available-for-sale fixed maturities for the nine months ended September 30, 2021 and three and nine months ended September 30, 2020. There was no change in the allowance for expected credit losses for the three months ended September 30, 2021.


	Nine Months Ended September 30, 2020
(In thousands)	Corporate Debt		Total
Balance, at December 31, 2019	$	—	$	—
Additional credit losses related to securities for which:
No allowance for credit losses has been previously recognized	1,508		1,508


Reductions related to:
Securities sold during the period	(956)		(956)



Balance, at September 30, 2020	$	552	$	552

ProAssurance's equity investments are carried at fair value with changes in fair value recognized in income as a component of net realized investment gains (losses) during the period of change. Equity investments on the Condensed Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020 primarily included stocks, bond funds and investment funds.

ProAssurance's short-term investments, which have a maturity at purchase of one year or less, are primarily comprised of investments in U.S. treasury obligations, commercial paper and money market funds. Short-term investments are carried at fair value which approximates the cost of the securities due to their short-term nature.

ProAssurance holds BOLI policies that are carried at the current cash surrender value of the policies (original cost $43 million), which includes the BOLI policies acquired from NORCAL (original cost $10 million). All insured individuals were members of ProAssurance or NORCAL management at the time the policies were acquired. The primary purpose of the program is to offset future employee benefit expenses through earnings on the cash value of the policies. ProAssurance is the owner and beneficiary of these policies.


	Three Months Ended September 30				Nine Months Ended September 30
(In thousands)	2021		2020		2021		2020
Fixed maturities	$	20,121	$	16,902	$	53,969	$	52,863
Equities	648		706		1,790		3,598
Short-term investments, including Other	587		405		1,539		2,386
BOLI	622		655		1,752		1,568
Investment fees and expenses	(2,700)		(1,744)		(7,337)		(4,538)
Net investment income	$	19,278	$	16,924	$	51,713	$	55,877


	September 30, 2021	Carrying Value
(In thousands)	Percentage Ownership	September 30, 2021		December 31, 2020
Qualified affordable housing project tax credit partnerships	See below	$	15,980	$	27,719

All other investments, primarily investment fund LPs/LLCs	See below	301,889		282,810
		$	317,869	$	310,529

Qualified affordable housing project tax credit partnership interests held by ProAssurance generate investment returns by providing tax benefits to fund investors in the form of tax credits and project operating losses. The carrying value of these investments reflects ProAssurance's total commitments (both funded and unfunded) to the partnerships, less any amortization. ProAssurance's ownership percentage relative to two of the tax credit partnership interests is almost 100%; these interests had a carrying value of $4.9 million at September 30, 2021 and $9.4 million at December 31, 2020. ProAssurance's ownership percentage relative to the remaining tax credit partnership interests is less than 20%; these interests had a carrying value of $11.1 million at September 30, 2021 and $18.3 million at December 31, 2020. Since ProAssurance has the ability to exert influence over the partnerships but does not control them, all are accounted for using the equity method. See further discussion of the entities in which ProAssurance holds passive interests in Note 13.

ProAssurance holds interests in investment fund LPs/LLCs and other equity method investments and LPs/LLCs which are not considered to be investment funds. ProAssurance's ownership percentage relative to four of the LPs/LLCs is greater than 25%, which is expected to be reduced as the funds mature and other investors participate in the funds; these investments had a carrying value of $49.2 million at September 30, 2021 and $46.2 million at December 31, 2020. ProAssurance's ownership percentage relative to the remaining investments and LPs/LLCs is less than 25%; these interests had a carrying value of $252.7 million at September 30, 2021 and $236.6 million at December 31, 2020. ProAssurance does not have the ability to exert control over any of these funds.

Equity in earnings (loss) of unconsolidated subsidiaries included losses from qualified affordable housing project tax credit partnerships and a historic tax credit partnership. Investment results recorded reflect ProAssurance's allocable portion of partnership operating results. Tax credits reduce income tax expense in the period they are recognized. The results recorded and tax credits recognized related to ProAssurance's tax credit partnership investments were as follows:


	Three Months Ended September 30				Nine Months Ended September 30
(In thousands)	2021		2020		2021		2020
Qualified affordable housing project tax credit partnerships
Losses recorded	$	3,591	$	4,798	$	11,712	$	14,152
Tax credits recognized	$	3,226	$	4,369	$	9,880	$	13,106

Historic tax credit partnership*
Losses (gains) recorded	$	—	$	(264)	$	(182)	$	1,820
Tax credits recognized (reversed)	$	(100)	$	103	$	—	$	309
* ProAssurance holds a historic tax credit partnership which was fully amortized in 2020. ProAssurance received a distribution associated with this investment during the first quarter of 2021 as a result of positive cash flows from a project recognizing an operating gain. See further discussion on this investment in Note 3 of the Notes to the Consolidated Financial Statements in ProAssurance’s December 31, 2020 report on Form 10-K.

Tax credits provided by the underlying projects of the Company's historic tax credit partnership are typically available in the tax year in which the project is put into active service, whereas the tax credits provided by qualified affordable housing project tax credit partnerships are provided over approximately a ten year period.


	Three Months Ended September 30				Nine Months Ended September 30
(In thousands)	2021		2020		2021		2020
Total impairment losses:


Corporate debt	$	—	$	—	$	—	$	(1,745)


Portion of impairment losses recognized in other comprehensive income before taxes:

Corporate debt	—		—		—		237


Net impairment losses recognized in earnings	—		—		—		(1,508)
Gross realized gains, available-for-sale fixed maturities	2,225		3,996		12,540		10,941
Gross realized (losses), available-for-sale fixed maturities	(259)		(396)		(798)		(2,266)

Net realized gains (losses), trading fixed maturities	(47)		116		17		268
Net realized gains (losses), equity investments	426		31		6,616		10,589
Net realized gains (losses), other investments	1,699		530		6,192		2,442
Change in unrealized holding gains (losses), trading fixed maturities	(49)		373		(489)		637
Change in unrealized holding gains (losses), equity investments	(945)		2,766		(2,182)		(21,012)
Change in unrealized holding gains (losses), convertible securities, carried at fair value	(2,457)		1,170		(2,118)		(190)

Other	(63)		252		434		249
Net realized investment gains (losses)	$	530	$	8,838	$	20,212	$	150

ProAssurance did not recognize any credit-related impairment losses in earnings or non-credit impairment losses in OCI during the three and nine months ended September 30, 2021 or the three months ended September 30, 2020. ProAssurance recognized credit-related impairment losses in earnings of $1.5 million and a nominal amount of non-credit impairment losses in OCI for the nine months ended September 30, 2020. The credit-related impairment losses recognized during the 2020 nine-month period related to corporate bonds in the energy and consumer sectors. Additionally, the 2020 nine-month period included credit-related impairment losses related to four corporate bonds in various sectors, which were sold during 2020. The non-credit related impairment losses recognized during the 2020 nine-month period related to three corporate bonds in the energy and consumer sectors.

ProAssurance recognized $0.5 million and $20.2 million of net realized investment gains during the three and nine months ended September 30, 2021, respectively, driven primarily by realized gains on the sale of certain available-for-sale fixed maturities and other investments, which were partially offset by unrealized holding losses resulting from changes in the fair value of our convertible securities. ProAssurance recognized $8.8 million and $0.2 million of net realized investment gains during the three and nine months ended September 30, 2020, respectively. Net realized investment gains during the 2020 three-month period were driven by gains in the Company's available-for-sale fixed maturities due to the sale of corporate bonds and, to a lesser extent, unrealized holding gains resulting from an increase in the fair value of the Company's equity portfolio and convertible securities. Net realized investment gains for the 2020 nine-month period were driven by realized gains on the sale of available-for-sale fixed maturities and equity investments and, to a lesser extent, unrealized holding gains on trading securities, which were almost entirely offset by unrealized holding losses resulting from decreases in the fair value of the Company's equity portfolio due to the volatility in the global financial markets related to COVID-19.


	Three Months Ended September 30				Nine Months Ended September 30
(In thousands)	2021		2020		2021		2020
Balance, beginning of period	$	—	$	1,322	$	552	$	470
Additional credit losses recognized during the period, related to securities for which:
No impairment has been previously recognized	—		—		—		1,064
Impairment has been previously recognized	—		—		—		258
Reductions due to:
Securities sold during the period (realized)	—		(770)		(552)		(1,240)

Balance, September 30	$	—	$	552	$	—	$	552