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Fair Value Measurement (Tables)
 12 Months Ended
Dec. 31, 2019
Fair Value Disclosures [Abstract]  
Assets and liabilities measured at fair value
Fair values of assets measured at fair value on a recurring basis as of December 31, 2019 and December 31, 2018 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.
 
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



 
December 31, 2018
 
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
$
—

 
$
120,201

 
$
—

 
$
120,201

U.S. Government-sponsored enterprise obligations
—

 
35,354

 
—

 
35,354

State and municipal bonds
—

 
293,772

 
—

 
293,772

Corporate debt, multiple observable inputs
2,319

 
1,216,834

 
—

 
1,219,153

Corporate debt, limited observable inputs
—

 
—

 
4,322

 
4,322

Residential mortgage-backed securities
—

 
181,238

 
—

 
181,238

Agency commercial mortgage-backed securities
—

 
13,108

 
—

 
13,108

Other commercial mortgage-backed securities
—

 
30,993

 
—

 
30,993

Other asset-backed securities
—

 
191,807

 
3,850

 
195,657

Fixed maturities, trading
—

 
38,188

 
—

 
38,188

Equity investments
 
 
 
 
 
 

Financial
62,344

 
—

 
—

 
62,344

Utilities/Energy
46,533

 
—

 
—

 
46,533

Consumer oriented
47,462

 
—

 
—

 
47,462

Industrial
41,487

 
—

 
—

 
41,487

Bond funds
174,753

 
—

 
—

 
174,753

All other
50,066

 
—

 
—

 
50,066

Short-term investments
265,910

 
42,409

 
—

 
308,319

Other investments
—

 
31,341

 
3

 
31,344

Other assets
—

 
1,884

 
—

 
1,884

Total assets categorized within the fair value hierarchy
$
690,874

 
$
2,197,129

 
$
8,175

 
2,896,178

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
 
 
 
 
 
 
20,292

Investment in unconsolidated subsidiaries
 
 
 
 
 
 
268,436

Total assets at fair value

 

 

 
$
3,184,906
Summary of quantitative information about Level 3 fair value measurements
Quantitative Information Regarding Level 3 Valuations
 
 
Fair Value at
 
 
 
 
 
 
($ in thousands)
 
December 31, 2019
 
December 31, 2018
 
Valuation Technique
 
Unobservable Input
 
Range
(Weighted Average)
Assets:
 
 
 
 
 
 
 
 
 
 
Corporate debt, limited observable inputs
 
$5,079
 
$4,322
 
Market Comparable
Securities
 
Comparability Adjustment
 
0% - 5% (2.5%)
 
 
 
 
 
 
Discounted Cash Flows
 
Comparability Adjustment
 
0% - 5% (2.5%)
Other asset-backed securities
 
$2,992
 
$3,850
 
Market Comparable
Securities
 
Comparability Adjustment
 
0% - 5% (2.5%)
 
 
 
 
 
 
Discounted Cash Flows
 
Comparability Adjustment
 
0% - 5% (2.5%)
Other investments
 
$3,086
 
$3
 
Discounted Cash Flows
 
Comparability Adjustment
 
0% - 10% (5%)
Summary of changes in the fair value of assets measured at fair value
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.
 
December 31, 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

 
(204
)
 
—

 
(202
)
Net realized investment gains (losses)
—

 
—

 
151

 
151

Included in other comprehensive income
37

 
202

 
—

 
239

Purchases
3,575

 
—

 
3,091

 
6,666

Sales
(3,702
)
 
(494
)
 
(172
)
 
(4,368
)
Transfers in
3,095

 
2,216

 
418

 
5,729

Transfers out
(2,250
)
 
(2,578
)
 
(405
)
 
(5,233
)
Balance December 31, 2019
$
5,079

 
$
2,992

 
$
3,086

 
$
11,157

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

 
$
—

 
$
164

 
$
164

 
December 31, 2018
 
Level 3 Fair Value Measurements – Assets
(In thousands)
Corporate Debt
 
Asset-backed Securities
 
Other investments
 
Total
Balance December 31, 2017
$
13,703

 
$
4,986

 
$
409

 
$
19,098

Total gains (losses) realized and unrealized:
 
 
 
 
 
 
 
Included in earnings, as a part of:
 
 
 
 
 
 
 
Net investment income
(148
)
 
2

 
—

 
(146
)
Net realized investment gains (losses)
(8
)
 
—

 
(40
)
 
(48
)
Included in other comprehensive income
(233
)
 
(105
)
 
—

 
(338
)
Purchases
8,005

 
20,093

 
—

 
28,098

Sales
(6,406
)
 
(438
)
 
(366
)
 
(7,210
)
Transfers in
2,627

 
—

 
—

 
2,627

Transfers out
(13,218
)
 
(20,688
)
 
—

 
(33,906
)
Balance December 31, 2018
$
4,322

 
$
3,850

 
$
3

 
$
8,175

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

 
$
—

 
$
—

 
$
—
Investments in limited liability companies and limited partnerships The amount of ProAssurance's unfunded commitments related to these investments as of December 31, 2019 and fair values of these investments as of December 31, 2019 and 2018 was as follows:
 
Unfunded
Commitments
 
Fair Value
(In thousands)
December 31,
2019
 
December 31,
2019
 
December 31,
2018
Equity investments:
 
 
 
 
 
Mortgage fund (1)
$
—

 
$
22,477

 
$
20,292

Investment in unconsolidated subsidiaries:
 
 
 
 
 
Private debt funds (2)
$
11,886

 
19,011

 
18,196

Long equity fund (3)
None

 
5,293

 
6,561

Long/short equity funds (4)
None

 
30,542

 
28,805

Non-public equity funds (5)
$
73,366

 
120,343

 
114,811

Multi-strategy fund of funds (6)
None

 
1,951

 
9,322

Credit funds (7)
$
2,048

 
42,415

 
29,164

Long/short commodities fund (8)
None

 
14,519

 
12,958

Strategy focused funds (9)
$
44,135

 
36,450

 
48,619

 
 
 
270,524

 
268,436

Total investments carried at NAV
 
 
$
293,001

 
$
288,728

Below is additional information regarding each of the investments listed in the table above as of December 31, 2019.
(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 three 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; the other two do 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. Redemptions are allowed at the end of any calendar month with a prior notice requirement of 15 days and are paid within 10 days of the end of the calendar month of the redemption request.
(4) 
This investment is comprised of interests in multiple unrelated LP funds. The funds hold primarily long and short North American equities and target absolute returns using strategies designed to take advantage of market opportunities. The funds generally permit quarterly or semi-annual capital redemptions subject to notice requirements of 30 to 90 days. For some funds, 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. Following an initial one-year lock-up period, redemptions are allowed with a prior notice requirement of 30 days and are payable within 30 days.
(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.
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.
 
December 31, 2019
 
December 31, 2018
(In thousands)
Carrying
Value
 
Fair
Value
 
Carrying
Value
 
Fair
Value
Financial assets:
 
 
 
 
 
 
 
BOLI
$
66,112

 
$
66,112

 
$
64,096

 
$
64,096

Other investments
$
2,931

 
$
2,931

 
$
2,943

 
$
2,943

Other assets
$
28,645

 
$
28,650

 
$
35,921

 
$
35,468

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

 
$
273,865

 
$
250,000

 
$
264,810

Mortgage Loans*
$
37,617

 
$
37,617

 
$
39,064

 
$
39,064

Other liabilities
$
27,953

 
$
27,953

 
$
21,300

 
$
21,300

* Carrying value excludes unamortized debt issuance costs.