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Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Schedule of Fair Value of Assets

Fair values of assets measured at fair value on a recurring basis as of September 30, 2021 and December 31, 2020 are shown in the following tables. Where applicable, the tables also indicate the fair value hierarchy of the valuation techniques utilized to determine those fair values. For some assets, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. When this is the case, the asset is categorized based on the level of the most significant input to the fair value measurement. Assessments of the significance of a particular input to the fair value measurement require judgment and consideration of factors specific to the assets being valued.

			September 30, 2021
			Fair Value Measurements Using																		Total
(In thousands)			Level 1						Level 2						Level 3						Fair Value
Assets:
Fixed maturities, available-for-sale
U.S. Treasury obligations			$	—					$	242,705					$	—					$	242,705
U.S. Government-sponsored enterprise obligations			—						20,468						—						20,468
State and municipal bonds			—						522,707						—						522,707
Corporate debt, multiple observable inputs			—						1,943,401						—						1,943,401
Corporate debt, limited observable inputs			—						—						19,712						19,712
Residential mortgage-backed securities			—						473,674						4,235						477,909
Agency commercial mortgage-backed securities			—						14,942						—						14,942
Other commercial mortgage-backed securities			—						219,024						—						219,024
Other asset-backed securities			—						432,261						11,007						443,268
Fixed maturities, trading			—						45,049						—						45,049
Equity investments
Financial			—						868						—						868
Utilities/Energy			—						—						69						69
Industrial			—						—						2,500						2,500
Bond funds			191,834						—						—						191,834
All other			19,259						—						—						19,259
Short-term investments			112,706						39,002						—						151,708
Other investments			1,864						104,978						—						106,842
Other assets			—						601						—						601
Total assets categorized within the fair value hierarchy			$	325,663					$	4,059,680					$	37,523					4,422,866
Assets carried at NAV, which approximates fair value and which are not categorized within the fair value hierarchy, reported as a part of:
Investment in unconsolidated subsidiaries																					251,675
Total assets at fair value																					$	4,674,541
Liabilities:
Other liabilities			$	—					$	—					$	24,000					$	24,000
Total liabilities categorized within the fair value hierarchy			$	—					$	—					$	24,000					$	24,000

			December 31, 2020
			Fair Value Measurements Using																		Total
(In thousands)			Level 1						Level 2						Level 3						Fair Value
Assets:
Fixed maturities, available-for-sale
U.S. Treasury obligations			$	—					$	107,059					$	—					$	107,059
U.S. Government-sponsored enterprise obligations			—						12,261						—						12,261
State and municipal bonds			—						332,920						—						332,920
Corporate debt, multiple observable inputs			—						1,326,077						—						1,326,077
Corporate debt, limited observable inputs			—						—						3,265						3,265
Residential mortgage-backed securities			—						274,509						2,032						276,541
Agency commercial mortgage-backed securities			—						13,310						—						13,310
Other commercial mortgage-backed securities			—						113,092						—						113,092
Other asset-backed securities			—						266,345						6,661						273,006
Fixed maturities, trading			—						48,456						—						48,456
Equity investments
Financial			13,810						—						—						13,810
Utilities/Energy			564						—						—						564
Consumer oriented			1,262						—						—						1,262
Industrial			2,240						—						—						2,240
Bond funds			69,475						—						—						69,475
All other			20,202						—						—						20,202
Short-term investments			307,695						30,118						—						337,813
Other investments			1,509						42,607						—						44,116
Other assets			—						329						—						329
Total assets categorized within the fair value hierarchy			$	416,757					$	2,567,083					$	11,958					2,995,798
Assets carried at NAV, which approximates fair value and which are not categorized within the fair value hierarchy, reported as a part of:
Equity investments																					12,548
Investment in unconsolidated subsidiaries																					233,711
Total assets at fair value																					$	3,242,057

Schedule of Quantitative Information Regarding Level 3 Valuations

Quantitative Information Regarding Level 3 Valuations

Fair Value at

($ in thousands)

September 30, 2021

December 31, 2020

Valuation Technique

Unobservable Input

Range (Weighted Average)

Assets:

Corporate debt, limited observable inputs

$19,712

$3,265

Market Comparable Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Residential mortgage-backed securities

$4,235

$2,032

Market Comparable Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Other asset-backed securities

$11,007

$6,661

Market Comparable Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Equity securities

$2,569

$—

Discounted Cash Flows

Comparability Adjustment

0% - 10% (5%)

Liabilities:

Other liabilities

$24,000

$—

Stochastic Model/Discounted Cash Flows

N/A

0% - 10% (8%)

Schedule of Fair Value Measurements - Level 3 Assets

The following tables present summary information regarding changes in the fair value of assets measured using Level 3 inputs.

															September 30, 2021
															Level 3 Fair Value Measurements - Assets
(In thousands)															Corporate Debt						Asset-backed Securities						Equity Securities						Other Investments						Total
Balance, June 30, 2021															$	15,065					$	9,857					$	852					$	2,222					$	27,996
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net realized investment gains (losses)															—						—						(2)						(639)						(641)
Included in other comprehensive income															49						(74)						18						—						(7)
Purchases															10,881						12,666						2,500						—						26,047
Sales															(284)						(17)						—						—						(301)
Transfers in															—						—						69						—						69
Transfers out															(5,999)						(7,190)						(868)						(1,583)						(15,640)
Balance, September 30, 2021															$	19,712					$	15,242					$	2,569					$	—					$	37,523
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end															$	—					$	—					$	(1)					$	(639)					$	(640)
															September 30, 2021
															Level 3 Fair Value Measurements - Assets
(In thousands)															Corporate Debt						Asset-backed Securities						Equity Securities						Other Investments						Total
Balance, December 31, 2020															$	3,265					$	8,693					$	—					$	—					$	11,958
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net investment income															1						(2)						—						—						(1)
Net realized investment gains (losses)															—						(11)						(1)						(774)						(786)
Included in other comprehensive income															82						(171)						16						—						(73)
Purchases															24,971						28,026						9,083						205						62,285
Sales															(461)						(506)						(5,730)						—						(6,697)
Transfers in															858						—						69						2,152						3,079
Transfers out															(9,004)						(20,787)						(868)						(1,583)						(32,242)
Balance, September 30, 2021															$	19,712					$	15,242					$	2,569					$	—					$	37,523
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end															$	—					$	—					$	(1)					$	(774)					$	(775)

															September 30, 2020
															Level 3 Fair Value Measurements – Assets
(In thousands)															Corporate Debt						Asset-backed Securities						Other Investments						Total
Balance, June 30, 2020															$	3,117					$	5,978					$	1,568					$	10,663
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net realized investment gains (losses)															—						(2)						143						141
Included in other comprehensive income															(6)						(58)						—						(64)
Purchases															900						8,513						—						9,413
Sales															(16)						(99)						—						(115)
Transfers out															—						(1,378)						(1,711)						(3,089)
Balance, September 30, 2020															$	3,995					$	12,954					$	—					$	16,949
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end															$	—					$	—					$	143					$	143
															September 30, 2020
															Level 3 Fair Value Measurements – Assets
(In thousands)															Corporate Debt						Asset-backed Securities						Other Investments						Total
Balance, December 31, 2019															$	5,079					$	2,992					$	3,086					$	11,157
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net investment income															—						(10)						—						(10)
Net realized investment gains (losses)															—						(2)						151						149
Included in other comprehensive income															38						23						—						61
Purchases															900						13,341						—						14,241
Sales															(2,173)						(888)						—						(3,061)
Transfers in															945						605						—						1,550
Transfers out															(794)						(3,107)						(3,237)						(7,138)
Balance, September 30, 2020															$	3,995					$	12,954					$	—					$	16,949
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end															$	—					$	—					$	151					$	151

Schedule of Investments in LLCs and Limited Partnerships

The amount of ProAssurance's unfunded commitments related to these investments as of September 30, 2021 and fair values of these investments as of September 30, 2021 and December 31, 2020 were as follows:

			Unfunded Commitments						Fair Value
(In thousands)			September 30, 2021						September 30, 2021						December 31, 2020
Equity investments:
Mortgage fund (1)			None						$	—					$	12,548
Investment in unconsolidated subsidiaries:
Private debt funds (2)			$8,929						18,523						16,387
Long/short equity funds (3)			None						533						596
Non-public equity funds (4)			$38,713						144,539						138,357
Credit funds (5)			$41,123						43,125						34,848
Strategy focused funds (6)			$34,988						44,955						43,523
									251,675						233,711
Total investments carried at NAV									$	251,675					$	246,259

Below is additional information regarding each of the investments listed in the table above as of September 30, 2021.

(1)This investment fund was focused on the structured mortgage market. The fund primarily invested in U.S. Agency mortgage-backed securities. Redemptions are allowed at the end of any calendar quarter with a prior notice requirement of 65 days and are paid within 45 days at the end of the redemption dealing day.

(2)This investment is comprised of interests in two unrelated LP funds that are structured to provide interest distributions primarily through diversified portfolios of private debt instruments. One LP allows redemption by special consent, while the other does not permit redemption. Income and capital are to be periodically distributed at the discretion of the LPs over an anticipated time frame that spans from three to eight years.

(3)This investment holds primarily long and short North American equities and targets absolute returns using strategies designed to take advantage of market opportunities. Redemptions are permitted; however, redemptions above specified thresholds (lowest threshold is 90%) may be only partially payable until after a fund audit is completed and are then payable within 30 days.

(4)This investment is comprised of interests in multiple unrelated LP funds, each structured to provide capital appreciation through diversified investments in private equity, which can include investments in buyout, venture capital, debt including senior, second lien and mezzanine, distressed debt, collateralized loan obligations and other private equity-oriented LPs. Two of the LPs allow redemption by terms set forth in the LP agreements; the others do not permit redemption. Income and capital are to be periodically distributed at the discretion of the LP over time frames that are anticipated to span up to ten years.

(5)This investment is comprised of multiple unrelated LP funds. Two funds seek to obtain superior risk-adjusted absolute returns through a diversified portfolio of debt securities, including bonds, loans and other asset-backed instruments. The remaining funds focus on private middle market company mezzanine and senior secured loans, opportunities across the credit spectrum, mortgage backed-loans, as well as various types of loan-backed investments. Three of the funds allow redemptions at any quarter-end with prior notice requirements that vary from 90 to 180 days, while another fund allows for redemptions with consent of the General Partner. The remaining funds do not allow redemptions. For the funds that do not allow redemptions, income and capital are to be periodically distributed at the discretion of the LP over time frames throughout the remaining life of the funds.

(6) This investment is comprised of multiple unrelated LPs/LLCs funds. One fund is an LLC focused on investing in North American consumer products companies, comprised of equity and equity-related securities, as well as debt instruments. A second fund is focused on aircraft investments, along with components and assets related to aircrafts. For both funds, redemptions are not permitted. Another fund is an LP focused on North American energy infrastructure assets that allows redemption with consent of the General Partner. The remaining funds are real estate focused LPs, one of which allows for redemption with prior notice.

Schedule of Financial Instruments Not Measured at Fair Value

The following table provides the estimated fair value of the Company's financial instruments that, in accordance with GAAP for the type of investment, are measured using a methodology other than fair value. Fair values provided primarily fall within the Level 3 fair value category.

			September 30, 2021												December 31, 2020
(In thousands)			Carrying Value						Fair Value						Carrying Value						Fair Value
Financial assets:
BOLI			$	80,821					$	80,821					$	67,847					$	67,847
Other investments			$	3,170					$	3,170					$	2,952					$	2,952
Other assets			$	39,584					$	39,593					$	31,128					$	31,141
Financial liabilities:
Senior notes due 2023*			$	250,000					$	267,988					$	250,000					$	269,160
Mortgage Loans*			$	—					$	—					$	36,113					$	36,113
Contribution Certificates			$	175,766					$	178,728					$	—					$	—
Other liabilities			$	51,456					$	51,456					$	30,334					$	30,334
* Carrying value excludes unamortized debt issuance costs.

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