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Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2023

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, 2023 and December 31, 2022 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, 2022 report on Form 10-K.

			September 30, 2023
			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			$	—					$	237,828					$	—					$	237,828
U.S. Government-sponsored enterprise obligations			—						18,871						—						18,871
State and municipal bonds			—						436,268						—						436,268
Corporate debt, multiple observable inputs			—						1,598,018						—						1,598,018
Corporate debt, limited observable inputs			—						—						65,960						65,960
Residential mortgage-backed securities			—						396,676						271						396,947
Agency commercial mortgage-backed securities			—						8,652						—						8,652
Other commercial mortgage-backed securities			—						185,809						—						185,809
Other asset-backed securities			—						406,018						941						406,959
Fixed maturities, trading			—						45,999						—						45,999
Equity investments
Financial			8,594						2,214						287						11,095
Utilities/Energy			845						—						—						845
Industrial			—						—						4,946						4,946
Bond funds			109,907						—						—						109,907
All other			17,127						—						—						17,127
Short-term investments			184,853						62,541						—						247,394
Other investments			1,074						56,150						2,388						59,612
Other assets			—						10,366						—						10,366
Total assets categorized within the fair value hierarchy			$	322,400					$	3,465,410					$	74,793					3,862,603
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																					264,681
Total assets at fair value																					$	4,127,284
Liabilities:
Other liabilities			$	10,680					$	—					$	9,500					$	20,180
Total liabilities categorized within the fair value hierarchy			$	10,680					$	—					$	9,500					$	20,180

			December 31, 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			$	—					$	221,608					$	—					$	221,608
U.S. Government-sponsored enterprise obligations			—						19,934						—						19,934
State and municipal bonds			—						439,450						—						439,450
Corporate debt, multiple observable inputs			—						1,717,479						—						1,717,479
Corporate debt, limited observable inputs			—						—						63,973						63,973
Residential mortgage-backed securities			—						389,291						249						389,540
Agency commercial mortgage-backed securities			—						9,704						—						9,704
Other commercial mortgage-backed securities			—						194,090						—						194,090
Other asset-backed securities			—						413,989						2,705						416,694
Fixed maturities, trading			—						43,434						—						43,434
Equity investments
Financial			9,850						2,219						303						12,372
Utilities/Energy			854						—						—						854
Industrial			—						—						2,500						2,500
Bond funds			112,136						—						—						112,136
All other			15,876						—						—						15,876
Short-term investments			181,937						63,376						—						245,313
Other investments			1,881						88,783						1,783						92,447
Total assets categorized within the fair value hierarchy			$	322,534					$	3,603,357					$	71,513					3,997,404
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																					262,485
Total assets at fair value																					$	4,259,889
Liabilities:
Other liabilities			$	—					$	—					$	15,000					$	15,000
Total liabilities categorized within the fair value hierarchy			$	—					$	—					$	15,000					$	15,000

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)

September 30, 2023

December 31, 2022

Valuation Technique

Unobservable Input

Range (Weighted Average)

Assets:

Corporate debt, limited observable inputs

$65,960

$63,973

Market Comparable Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Residential mortgage-backed securities

$271

$249

Market Comparable Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Other asset-backed securities

$941

$2,705

Market Comparable Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Equity investments

$5,233

$2,803

Discounted Cash Flows

Comparability Adjustment

0% - 10% (5%)

Other investments

$2,388

$1,783

Discounted Cash Flows

Comparability Adjustment

0% - 10% (5%)

Liabilities:

Other liabilities

$9,500

$15,000

Stochastic Model/Discounted Cash Flows

Weighted Average Cost of Capital

0% - 10% (9%)

Schedule of Fair Value Measurements - Level 3 Assets & Liabilities

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

															September 30, 2023
															Level 3 Fair Value Measurements
															Assets																														Liabilities
(In thousands)															Corporate Debt						Asset-backed Securities						Equity Investments						Other Investments						Total Assets						Other Liabilities						Total Liabilities
Balance, June 30, 2023															$	67,394					$	1,229					$	5,234					$	500					$	74,357					$	(11,000)					$	(11,000)
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net investment gains (losses)															199						—						(1)						(152)						46						1,500						1,500
Included in other comprehensive income (loss)															(818)						(15)						—						—						(833)						—						—
Purchases															1,236						—						—						2,040						3,276						—						—
Sales															(1,188)						(2)						—						—						(1,190)						—						—
Transfers out															(863)						—						—						—						(863)						—						—
Balance, September 30, 2023															$	65,960					$	1,212					$	5,233					$	2,388					$	74,793					$	(9,500)					$	(9,500)
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets and liabilities held at period-end															$	—					$	—					$	(1)					$	(152)					$	(153)					$	—					$	—

															September 30, 2023
															Level 3 Fair Value Measurements
															Assets																														Liabilities
(In thousands)															Corporate Debt						Asset-backed Securities						Equity Investments						Other Investments						Total Assets						Other Liabilities						Total Liabilities
Balance, December 31, 2022															$	63,973					$	2,954					$	2,803					$	1,783					$	71,513					$	(15,000)					$	(15,000)
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net investment income (loss)															(23)						—						—						—						(23)						—						—
Net investment gains (losses)															212						—						(741)						(152)						(681)						4,500						4,500
Operating expense															—						—						—						—						—						1,000						1,000
Included in other comprehensive income (loss)															(751)						11						—						—						(740)						—						—
Purchases															11,642						1,863						3,171						2,040						18,716						—						—
Sales															(5,215)						(398)						—						—						(5,613)						—						—
Transfers in															11,220						1,779						—						—						12,999						—						—
Transfers out															(15,098)						(4,997)						—						(1,283)						(21,378)						—						—
Balance, September 30, 2023															$	65,960					$	1,212					$	5,233					$	2,388					$	74,793					$	(9,500)					$	(9,500)
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets and liabilities held at period-end															$	—					$	—					$	(741)					$	(152)					$	(893)					$	—					$	—

									September 30, 2022
									Level 3 Fair Value Measurements
									Assets																																				Liabilities
(In thousands)									State and Municipal Bonds						Corporate Debt						Asset-backed Securities						Equity Investments						Other Investments						Total Assets						Other Liabilities						Total Liabilities
Balance, June 30, 2022									$	—					$	74,212					$	4,038					$	4,625					$	901					$	83,776					$	(24,000)					$	(24,000)
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net investment income (loss)									—						(1)						2						—						—						1						—						—
Net investment gains (losses)									—						—						—						66						14						80						—						—
Included in other comprehensive income (loss)									(24)						(2,057)						(152)						—						—						(2,233)						—						—
Purchases									750						9,204						2,819						17						500						13,290						—						—
Sales									—						(1,777)						(90)						—						—						(1,867)						—						—
Transfers in									—						—						—						252						—						252						—						—
Transfers out									—						(21,427)						(2,444)						(2,193)						—						(26,064)						—						—
Balance, September 30, 2022									$	726					$	58,154					$	4,173					$	2,767					$	1,415					$	67,235					$	(24,000)					$	(24,000)
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets and liabilities held at period-end									$	—					$	—					$	—					$	66					$	14					$	80					$	—					$	—

									September 30, 2022
									Level 3 Fair Value Measurements
															Assets																														Liabilities
(In thousands)									State and Municipal Bonds						Corporate Debt						Asset-backed Securities						Equity Investments						Other Investments						Total Assets						Other Liabilities						Total Liabilities
Balance, December 31, 2021									$	—					$	47,129					$	6,502					$	2,500					$	1,434					$	57,565					$	(24,000)					$	(24,000)
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net investment income (loss)									—						(1)						3						—						—						2						—						—
Net investment gains (losses)									—						—						—						66						(663)						(597)						—						—
Included in other comprehensive income (loss)									(24)						(4,369)						(589)						—						—						(4,982)						—						—
Purchases									750						27,702						9,877						17						1,983						40,329						—						—
Sales									—						(4,803)						(287)						—						(116)						(5,206)						—						—
Transfers in									—						18,828						570						2,377						529						22,304						—						—
Transfers out									—						(26,332)						(11,903)						(2,193)						(1,752)						(42,180)						—						—
Balance, September 30, 2022									$	726					$	58,154					$	4,173					$	2,767					$	1,415					$	67,235					$	(24,000)					$	(24,000)
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets and liabilities held at period-end									$	—					$	—					$	—					$	66					$	(709)					$	(643)					$	—					$	—

Schedule of Investments in LLCs and Limited Partnerships

The amount of ProAssurance's unfunded contractual commitments related to these investments as of September 30, 2023 and fair values of these investments as of September 30, 2023 and December 31, 2022 were as follows:

			Unfunded Contractual Commitments						Fair Value
(In thousands)			September 30, 2023						September 30, 2023						December 31, 2022
Investment in unconsolidated subsidiaries:
Private debt funds (1)			$1,788						$	19,763					$	19,620
Long/short equity funds (2)			None						4,626						5,089
Non-public equity funds (3)			$46,837						140,140						144,560
Credit funds (4)			$30,635						49,982						49,245
Strategy focused funds (5)			$8,354						50,170						43,971
Total investments carried at NAV									$	264,681					$	262,485

Below is additional information regarding each of the investments listed in the table above as of September 30, 2023.

(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 one LP fund, which holds long and short publicly traded securities that will passively generate income. Redemptions are permitted with 30 days written notice if outside of a lock-up period.

(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. 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, 2023												December 31, 2022
(In thousands)			Carrying Value						Fair Value						Carrying Value						Fair Value
Financial assets:
BOLI			$	77,502					$	77,502					$	81,746					$	81,746
Other investments			$	3,204					$	3,204					$	3,322					$	3,322
Other assets			$	30,673					$	30,652					$	28,819					$	28,790
Financial liabilities:
Senior notes due 2023*			$	250,000					$	249,528					$	250,000					$	248,153
Contribution Certificates			$	178,910					$	130,503					$	177,525					$	134,479
Other liabilities			$	29,429					$	29,429					$	27,905					$	27,905
* Carrying value excludes unamortized debt issuance costs.

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