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Fair Value Measurement (Tables)
 9 Months Ended
Sep. 30, 2020
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, 2020 and December 31, 2019 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, 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
$
—

 
$
117,364

 
$
—

 
$
117,364

U.S. Government-sponsored enterprise obligations
—

 
11,055

 
—

 
11,055

State and municipal bonds
—

 
319,092

 
—

 
319,092

Corporate debt, multiple observable inputs
—

 
1,303,186

 
—

 
1,303,186

Corporate debt, limited observable inputs
—

 
—

 
3,995

 
3,995

Residential mortgage-backed securities
—

 
243,198

 
4,120

 
247,318

Agency commercial mortgage-backed securities
—

 
14,171

 
—

 
14,171

Other commercial mortgage-backed securities
—

 
99,076

 
—

 
99,076

Other asset-backed securities
—

 
261,994

 
8,834

 
270,828

Fixed maturities, trading
—

 
53,081

 
—

 
53,081

Equity investments
 
 
 
 
 
 

Financial
10,622

 
—

 
—

 
10,622

Utilities/Energy
436

 
—

 
—

 
436

Consumer oriented
1,144

 
—

 
—

 
1,144

Industrial
1,707

 
—

 
—

 
1,707

Bond funds
72,044

 
—

 
—

 
72,044

All other
19,285

 
—

 
—

 
19,285

Short-term investments
351,206

 
26,333

 
—

 
377,539

Other investments
1,493

 
36,221

 
—

 
37,714

Other assets
—

 
341

 
—

 
341

Total assets categorized within the fair value hierarchy
$
457,937

 
$
2,485,112

 
$
16,949

 
2,959,998

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
 
 
 
 
 
 
24,147

Investment in unconsolidated subsidiaries
 
 
 
 
 
 
233,142

Total assets at fair value
 
 
 
 
 
 
$
3,217,287

 
December 31, 2019
 
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
$
—

 
$
110,467

 
$
—

 
$
110,467

U.S. Government-sponsored enterprise obligations
—

 
17,340

 
—

 
17,340

State and municipal bonds
—

 
296,093

 
—

 
296,093

Corporate debt, multiple observable inputs
—

 
1,335,285

 
—

 
1,335,285

Corporate debt, limited observable inputs
—

 
—

 
5,079

 
5,079

Residential mortgage-backed securities
—

 
208,408

 
—

 
208,408

Agency commercial mortgage-backed securities
—

 
8,221

 
—

 
8,221

Other commercial mortgage-backed securities
—

 
71,868

 
—

 
71,868

Other asset-backed securities
—

 
233,032

 
2,992

 
236,024

Fixed maturities, trading
—

 
47,284

 
—

 
47,284

Equity investments
 
 
 
 
 
 

Financial
40,294

 
—

 
—

 
40,294

Utilities/Energy
21,195

 
—

 
—

 
21,195

Consumer oriented
29,288

 
—

 
—

 
29,288

Industrial
26,440

 
—

 
—

 
26,440

Bond funds
58,346

 
—

 
—

 
58,346

All other
52,512

 
—

 
—

 
52,512

Short-term investments
317,313

 
22,594

 
—

 
339,907

Other investments
219

 
32,713

 
3,086

 
36,018

Other assets
—

 
760

 
—

 
760

Total assets categorized within the fair value hierarchy
$
545,607


$
2,384,065


$
11,157


2,940,829

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
 
 
 
 
 
 
22,477

Investment in unconsolidated subsidiaries
 
 
 
 
 
 
270,524

Total assets at fair value
 
 
 
 
 
 
$
3,233,830
Schedule of quantitative information regarding level 3 valuations
Quantitative Information Regarding Level 3 Valuations
 
 
Fair Value at
 
 
 
 
 
 
($ in thousands)
 
September 30, 2020
 
December 31, 2019
 
Valuation Technique
 
Unobservable Input
 
Range
(Weighted Average)
Assets:
 
 
 
 
 
 
 
 
 
 
Corporate debt, limited observable inputs
 
$3,995
 
$5,079
 
Market Comparable
Securities
 
Comparability Adjustment
 
0% - 5% (2.5%)
 
 
 
 
 
 
Discounted Cash Flows
 
Comparability Adjustment
 
0% - 5% (2.5%)
Residential mortgage-backed securities
 
$4,120
 
—
 
Market Comparable
Securities
 
Comparability Adjustment
 
0% - 5% (2.5%)
 
 
 
 
 
 
Discounted Cash Flows
 
Comparability Adjustment
 
0% - 5% (2.5%)
Other asset-backed securities
 
$8,834
 
$2,992
 
Market Comparable
Securities
 
Comparability Adjustment
 
0% - 5% (2.5%)
 
 
 
 
 
 
Discounted Cash Flows
 
Comparability Adjustment
 
0% - 5% (2.5%)
Other investments
 
$—
 
$3,086
 
Discounted Cash Flows
 
Comparability Adjustment
 
0% - 10% (5%)
Schedule of fair value measurements - level 3 assets
The following tables (the Level 3 Tables) present summary information regarding changes in the fair value of assets measured at fair value using Level 3 inputs.
 
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


 
September 30, 2019
 
Level 3 Fair Value Measurements – Assets
(In thousands)
Corporate Debt
 
Asset-backed Securities
 
Other Investments
 
Total
Balance June 30, 2019
$
2,304

 
$
4,163

 
$
624

 
$
7,091

Total gains (losses) realized and unrealized:
 
 
 
 
 
 
 
Included in earnings, as a part of:
 
 
 
 
 
 
 
Net investment income
—

 
(23
)
 
—

 
(23
)
Net realized investment gains (losses)
—

 
—

 
2

 
2

Included in other comprehensive income
74

 
14

 
—

 
88

Purchases
1,545

 
—

 
1,296

 
2,841

Sales
(1,566
)
 
(24
)
 
—

 
(1,590
)
Transfers in
1,750

 
1,016

 
—

 
2,766

Transfers out
—

 
—

 
(405
)
 
(405
)
Balance September 30, 2019
$
4,107

 
$
5,146

 
$
1,517

 
$
10,770

Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end
$
—

 
$
—

 
$
2

 
$
2


 
September 30, 2019
 
Level 3 Fair Value Measurements – Assets
(In thousands)
Corporate Debt
 
Asset-backed Securities
 
Other Investments
 
Total
Balance December 31, 2018
$
4,322

 
$
3,850

 
$
3

 
$
8,175

Total gains (losses) realized and unrealized:
 
 
 
 
 
 
 
Included in earnings, as a part of:
 
 
 
 
 
 
 
Net investment income
2

 
(163
)
 
—

 
(161
)
Net realized investment gains (losses)
—

 
—

 
35

 
35

Included in other comprehensive income
85

 
224

 
—

 
309

Purchases
2,850

 
—

 
1,466

 
4,316

Sales
(3,702
)
 
(30
)
 
—

 
(3,732
)
Transfers in
1,750

 
2,216

 
418

 
4,384

Transfers out
(1,200
)
 
(951
)
 
(405
)
 
(2,556
)
Balance September 30, 2019
$
4,107

 
$
5,146

 
$
1,517

 
$
10,770

Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end
$
—

 
$
—

 
$
35

 
$
35
Schedule of investments in LLCs and limited partnerships The amount of ProAssurance's unfunded commitments related to these investments as of September 30, 2020 and fair values of these investments as of September 30, 2020 and December 31, 2019 were as follows:
 
Unfunded
Commitments
 
Fair Value
(In thousands)
September 30,
2020
 
September 30,
2020
 
December 31,
2019
Equity investments:
 
 
 
 
 
Mortgage fund (1)
None
 
$
24,147

 
$
22,477

Investment in unconsolidated subsidiaries:
 
 
 
 
 
Private debt funds (2)
$11,961
 
18,054

 
19,011

Long equity fund (3)
None
 
—

 
5,293

Long/short equity funds (4)
None
 
608

 
30,542

Non-public equity funds (5)
$46,956
 
133,777

 
120,343

Multi-strategy fund of funds (6)
None
 
2,092

 
1,951

Credit funds (7)
$1,962
 
39,638

 
42,415

Long/short commodities fund (8)
None
 
—

 
14,519

Strategy focused funds (9)
$41,441
 
38,973

 
36,450

 
 
 
233,142

 
270,524

Total investments carried at NAV
 
 
$
257,289


$
293,001

Below is additional information regarding each of the investments listed in the table above as of September 30, 2020.
(1) 
This investment fund is focused on the structured mortgage market. The fund will primarily invest 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 fund is a LP that holds long equities of public international companies and was fully redeemed during the second quarter of 2020.
(4) 
This investment holds primarily long and short North American equities and target 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.
(5) 
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.
(6) 
This fund is a LLC structured to build and manage low volatility, multi-manager portfolios that have little or no correlation to the broader fixed income and equity security markets. Redemptions are not permitted but offers to repurchase units of the LLC may be extended periodically.
(7) 
This investment is comprised of four 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. A third fund focuses on private middle market company mezzanine loans, while the remaining fund seeks event driven opportunities across the corporate credit spectrum. Two funds are allowed redemptions at any quarter-end with a prior notice requirement of 90 days; one fund permits redemption at any quarter-end with a prior notice requirement of 180 days and one fund does not allow redemptions. For the fund that does not allow redemptions, income and capital are to be periodically distributed at the discretion of the LP over time frames that are anticipated to span up to twelve years.
(8) 
This fund is a LLC invested across a broad range of commodities and focuses primarily on market neutral, relative value strategies, seeking to generate absolute returns with low correlation to broad commodity, equity and fixed income markets. This fund was fully redeemed during the second quarter of 2020.
(9) This investment is comprised of multiple unrelated LPs/LLCs funds. One fund is a 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 a 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, 2020
 
December 31, 2019
(In thousands)
Carrying
Value
 
Fair
Value
 
Carrying
Value
 
Fair
Value
Financial assets:
 
 
 
 
 
 
 
BOLI
$
67,393

 
$
67,393

 
$
66,112

 
$
66,112

Other investments
$
2,936

 
$
2,936

 
$
2,931

 
$
2,931

Other assets
$
27,697

 
$
27,710

 
$
28,645

 
$
28,650

Financial liabilities:
 
 
 
 
 
 
 
Senior notes due 2023*
$
250,000

 
$
266,585

 
$
250,000

 
$
273,865

Mortgage Loans*
$
36,489

 
$
36,489

 
$
37,617

 
$
37,617

Other liabilities
$
27,077

 
$
27,077

 
$
27,953

 
$
27,953

* Carrying value excludes unamortized debt issuance costs.