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Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of Fair Value of Assets

Fair values of assets measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021 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. For more information on the valuation methodologies used regarding securities in the Level 2 and Level 3 categories, see Note 3 of the Notes to Consolidated Financial Statements in ProAssurance’s December 31, 2021 report on Form 10-K.

			June 30, 2022
			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			$	—					$	221,744					$	—					$	221,744
U.S. Government-sponsored enterprise obligations			—						17,633						—						17,633
State and municipal bonds			—						473,168						—						473,168
Corporate debt, multiple observable inputs			—						1,715,796						—						1,715,796
Corporate debt, limited observable inputs			—						—						74,212						74,212
Residential mortgage-backed securities			—						384,952						273						385,225
Agency commercial mortgage-backed securities			—						11,940						—						11,940
Other commercial mortgage-backed securities			—						207,922						565						208,487
Other asset-backed securities			—						420,410						3,200						423,610
Fixed maturities, trading			—						45,274						—						45,274
Equity investments
Financial			10,813						289						2,125						13,227
Utilities/Energy			912						—						—						912
Industrial			—						—						2,500						2,500
Bond funds			116,358						—						—						116,358
All other			14,615						—						—						14,615
Short-term investments			287,642						38,408						—						326,050
Other investments			1,948						89,355						901						92,204
Total assets categorized within the fair value hierarchy			$	432,288					$	3,626,891					$	83,776					4,142,955
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																					270,288
Total assets at fair value																					$	4,413,243
Liabilities:
Other liabilities			$	—					$	—					$	24,000					$	24,000
Total liabilities categorized within the fair value hierarchy			$	—					$	—					$	24,000					$	24,000

			December 31, 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			$	—					$	238,507					$	—					$	238,507
U.S. Government-sponsored enterprise obligations			—						20,234						—						20,234
State and municipal bonds			—						519,196						—						519,196
Corporate debt, multiple observable inputs			—						1,851,427						—						1,851,427
Corporate debt, limited observable inputs			—						—						47,129						47,129
Residential mortgage-backed securities			—						453,644						297						453,941
Agency commercial mortgage-backed securities			—						14,141						—						14,141
Other commercial mortgage-backed securities			—						231,483						—						231,483
Other asset-backed securities			—						451,459						6,205						457,664
Fixed maturities, trading			—						43,670						—						43,670
Equity investments
Financial			6,615						855						—						7,470
Industrial			—						—						2,500						2,500
Bond funds			187,059						—						—						187,059
All other			17,778						—						—						17,778
Short-term investments			174,944						42,043						—						216,987
Other investments			1,889						95,288						1,434						98,611
Other assets			—						649						—						649
Total assets categorized within the fair value hierarchy			$	388,285					$	3,962,596					$	57,565					4,408,446
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																					270,816
Total assets at fair value																					$	4,679,262
Liabilities:
Other liabilities			$	—					$	—					$	24,000					$	24,000
Total liabilities categorized within the fair value hierarchy			$	—					$	—					$	24,000					$	24,000

Schedule of Quantitative Information Regarding Level 3 Valuations

Quantitative Information Regarding Level 3 Valuations

Below is a quantitative information regarding securities in the Level 3 category, by security type:

Fair Value at

($ in thousands)

June 30, 2022

December 31, 2021

Valuation Technique

Unobservable Input

Range (Weighted Average)

Assets:

Corporate debt, limited observable inputs

$74,212

$47,129

Market Comparable Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Residential mortgage-backed securities

$273

$297

Market Comparable Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Other commercial mortgage-backed securities

$565

$—

Market Comparable Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Other asset-backed securities

$3,200

$6,205

Market Comparable Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Equity investments

$4,625

$2,500

Discounted Cash Flows

Comparability Adjustment

0% - 10% (5%)

Other investments

$901

$1,434

Discounted Cash Flows

Comparability Adjustment

0% - 10% (5%)

Liabilities:

Other liabilities

$24,000

$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.

															June 30, 2022
															Level 3 Fair Value Measurements – Assets
(In thousands)															Corporate Debt						Asset-backed Securities						Equity Investments						Other Investments						Total
Balance, March 31, 2022															$	53,325					$	9,303					$	2,500					$	3,440					$	68,568
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net investment income															—						—						—						—						—
Net realized investment gains (losses)															—						—						—						(787)						(787)
Included in other comprehensive income															(1,319)						(177)						—						—						(1,496)
Purchases															8,787						1,473						—						—						10,260
Sales															(2,007)						(192)						—						—						(2,199)
Transfers in															17,828						570						2,125						—						20,523
Transfers out															(2,402)						(6,939)						—						(1,752)						(11,093)
Balance, June 30, 2022															$	74,212					$	4,038					$	4,625					$	901					$	83,776
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end															$	—					$	—					$	—					$	(787)					$	(787)

															June 30, 2022
															Level 3 Fair Value Measurements - Assets
(In thousands)															Corporate Debt						Asset-backed Securities						Equity Investments						Other Investments						Total
Balance, December 31, 2021															$	47,129					$	6,502					$	2,500					$	1,434					$	57,565
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net investment income															—						1						—						—						1
Net investment gains (losses)															—						—						—						(677)						(677)
Included in other comprehensive income															(2,312)						(437)						—						—						(2,749)
Purchases															18,498						7,058						—						1,483						27,039
Sales															(3,026)						(197)						—						(116)						(3,339)
Transfers in															18,828						570						2,125						529						22,052
Transfers out															(4,905)						(9,459)						—						(1,752)						(16,116)
Balance, June 30, 2022															$	74,212					$	4,038					$	4,625					$	901					$	83,776
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end															$	—					$	—					$	—					$	(723)					$	(723)

															June 30, 2021
															Level 3 Fair Value Measurements – Assets
(In thousands)															Corporate Debt						Asset-backed Securities						Equity Investments						Other Investments						Total
Balance, March 31, 2021															$	7,769					$	9,313					$	—					$	2,152					$	19,234
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net investment income															—						—						—						—						—
Net investment gains (losses)															—						—						1						(135)						(134)
Included in other comprehensive income															13						82						(2)						—						93
Purchases															9,215						8,003						6,583						205						24,006
Sales															(160)						(185)						(5,730)						—						(6,075)
Transfers in															—						—						—						—						—
Transfers out															(1,772)						(7,356)						—						—						(9,128)
Balance, June 30, 2021															$	15,065					$	9,857					$	852					$	2,222					$	27,996
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end															$	—					$	—					$	—					$	(135)					$	(135)

															June 30, 2021
															Level 3 Fair Value Measurements – Assets
(In thousands)															Corporate Debt						Asset-backed Securities						Equity Investments						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 investment gains (losses)															—						(11)						1						(135)						(145)
Included in other comprehensive income															33						(97)						(2)						—						(66)
Purchases															14,090						15,360						6,583						205						36,238
Sales															(177)						(489)						(5,730)						—						(6,396)
Transfers in															858						—						—						2,152						3,010
Transfers out															(3,005)						(13,597)						—						—						(16,602)
Balance, June 30, 2021															$	15,065					$	9,857					$	852					$	2,222					$	27,996
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end															$	—					$	—					$	—					$	(135)					$	(135)

Schedule of Investments in LLCs and Limited Partnerships

The amount of ProAssurance's unfunded commitments related to these investments as of June 30, 2022 and fair values of these investments as of June 30, 2022 and December 31, 2021 were as follows:

			Unfunded Commitments						Fair Value
(In thousands)			June 30, 2022						June 30, 2022						December 31, 2021
Investment in unconsolidated subsidiaries:
Private debt funds (1)			$4,699						$	17,290					$	18,465
Long/short equity funds (2)			None						5,335						655
Non-public equity funds (3)			$52,262						160,067						160,219
Credit funds (4)			$54,045						45,760						47,300
Strategy focused funds (5)			$19,108						41,836						44,177
Total investments carried at NAV									$	270,288					$	270,816

Below is additional information regarding each of the investments listed in the table above as of June 30, 2022.

(1)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.

(2)This investment is comprised of interests in two unrelated LP funds. One LP fund holds primarily long and short North American equities and targets absolute returns using strategies designed to take advantage of market opportunities. The other LP holds long and short publicly traded securities that will passively generate income. Redemptions are permitted; one with 30 days written notice if outside of a lock-up period and the other above specified thresholds (lowest threshold is 90%) which may be only partially payable until after a fund audit is completed and are then payable within 30 days.

(3)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.

(4)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. One fund allows redemptions at any quarter-end with prior notice requirements of 180 days, while two other funds allow 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.

(5)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.

			June 30, 2022												December 31, 2021
(In thousands)			Carrying Value						Fair Value						Carrying Value						Fair Value
Financial assets:
BOLI			$	80,818					$	80,818					$	81,767					$	81,767
Other investments			$	3,292					$	3,292					$	3,183					$	3,183
Other assets			$	28,743					$	28,724					$	40,581					$	40,583
Financial liabilities:
Senior notes due 2023*			$	250,000					$	250,653					$	250,000					$	264,000
Contribution Certificates			$	176,606					$	132,724					$	175,900					$	179,892
Other liabilities			$	27,593					$	27,593					$	52,332					$	52,332
* Carrying value excludes unamortized debt issuance costs.

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