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Investments (Tables)
3 Months Ended
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Schedule of available-for-sale fixed maturities
Available-for-sale fixed maturities at March 31, 2020 and December 31, 2019 included the following:
 
March 31, 2020
(In thousands)
Amortized
Cost
 
Allowance for Expected Credit Losses
 
Gross Unrealized Gains
 
Gross Unrealized Losses
 
Estimated Fair Value
Fixed maturities, available-for-sale
 
 
 
 
 
 
 
 
 
U.S. Treasury obligations
$
123,840

 
$

 
$
5,420

 
$

 
$
129,260

U.S. Government-sponsored enterprise obligations
12,205

 

 
205

 

 
12,410

State and municipal bonds
282,451

 

 
9,795

 
579

 
291,667

Corporate debt
1,302,979

 
1,163

 
20,157

 
33,255

 
1,288,718

Residential mortgage-backed securities
228,584

 

 
7,174

 
5,160

 
230,598

Agency commercial mortgage-backed securities
12,901

 

 
464

 
2

 
13,363

Other commercial mortgage-backed securities
80,470

 

 
1,446

 
2,792

 
79,124

Other asset-backed securities
244,526

 

 
1,130

 
9,132

 
236,524

 
$
2,287,956

 
$
1,163

 
$
45,791

 
$
50,920

 
$
2,281,664


Schedule of available-for-sale securities by contractual maturity
The recorded cost basis and estimated fair value of available-for-sale fixed maturities at March 31, 2020, by contractual maturity, are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
(In thousands)
Amortized
Cost
 
Due in one
year or less
 
Due after
one year
through
five years
 
Due after
five years
through
ten years
 
Due after
ten years
 
Total Fair
Value
Fixed maturities, available-for-sale
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury obligations
$
123,840

 
$
28,290

 
$
79,453

 
$
21,059

 
$
458

 
$
129,260

U.S. Government-sponsored enterprise obligations
12,205

 
2,001

 
5,057

 
5,197

 
155

 
12,410

State and municipal bonds
282,451

 
22,973

 
113,255

 
123,840

 
31,599

 
291,667

Corporate debt
1,302,979

 
130,833

 
762,741

 
371,657

 
23,487

 
1,288,718

Residential mortgage-backed securities
228,584

 

 

 

 

 
230,598

Agency commercial mortgage-backed securities
12,901

 

 

 

 

 
13,363

Other commercial mortgage-backed securities
80,470

 

 

 

 

 
79,124

Other asset-backed securities
244,526

 

 

 

 

 
236,524

 
$
2,287,956

 
 
 
 
 
 
 
 
 
$
2,281,664


Schedule of investments held in an unrealized loss position
The following tables provide summarized information with respect to investments held in an unrealized loss position at March 31, 2020 and December 31, 2019, including the length of time the investment had been held in a continuous unrealized loss position.
 
March 31, 2020
 
Total
 
Less than 12 months
 
12 months or longer
 
Fair
 
Unrealized
 
Fair
 
Unrealized
 
Fair
 
Unrealized
(In thousands)
Value
 
Loss
 
Value
 
Loss
 
Value
 
Loss
Fixed maturities, available-for-sale
 
 
 
 
 
 
 
 
 
 
 
State and municipal bonds
$
26,636

 
$
579

 
$
26,636

 
$
579

 
$

 
$

Corporate debt
532,748

 
33,255

 
510,054

 
30,631

 
22,694

 
2,624

Residential mortgage-backed securities
66,200

 
5,160

 
62,274

 
5,143

 
3,926

 
17

Agency commercial mortgage-backed securities
311

 
2

 

 

 
311

 
2

Other commercial mortgage-backed securities
36,679

 
2,792

 
36,059

 
2,771

 
620

 
21

Other asset-backed securities
159,054

 
9,132

 
157,064

 
9,116

 
1,990

 
16

 
$
821,628

 
$
50,920

 
$
792,087

 
$
48,240

 
$
29,541

 
$
2,680


 
December 31, 2019
 
Total
 
Less than 12 months
 
12 months or longer
 
Fair
 
Unrealized
 
Fair
 
Unrealized
 
Fair
 
Unrealized
(In thousands)
Value
 
Loss
 
Value
 
Loss
 
Value
 
Loss
Fixed maturities, available-for-sale
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury obligations
$
25,959

 
$
126

 
$
15,305

 
$
103

 
$
10,654

 
$
23

State and municipal bonds
36,565

 
675

 
35,621

 
674

 
944

 
1

Corporate debt
128,254

 
1,575

 
88,582

 
932

 
39,672

 
643

Residential mortgage-backed securities
59,291

 
319

 
28,048

 
63

 
31,243

 
256

Agency commercial mortgage-backed securities
459

 
15

 
158

 

 
301

 
15

Other commercial mortgage-backed securities
18,339

 
221

 
16,924

 
206

 
1,415

 
15

Other asset-backed securities
48,912

 
153

 
37,322

 
145

 
11,590

 
8

 
$
317,779

 
$
3,084

 
$
221,960

 
$
2,123

 
$
95,819

 
$
961


Schedule of a roll forward of cumulative credit losses recorded in earnings related to impaired debt securities
The following table presents a roll forward of the allowance for expected credit losses on available-for-sale fixed maturities for the three months ended March 31, 2020.
(In thousands)
Corporate Debt
Total
Balance December 31, 2019
$

$

Additional credit losses related to securities for which:
 


No allowance for credit losses has been previously recognized
1,163

1,163

Balance March 31, 2020
$
1,163

$
1,163


Schedule of other information regarding available-for-sale securities
Other information regarding sales and purchases of fixed maturity available-for-sale securities is as follows:
 
Three Months Ended
March 31
(In millions)
2020
 
2019
Proceeds from sales (exclusive of maturities and paydowns)
$
64.9

 
$
31.5

Purchases
$
227.5

 
$
179.1


Schedule of net investment income
Net investment income by investment category was as follows:
 
Three Months Ended
March 31
(In thousands)
2020
 
2019
Fixed maturities
$
18,285

 
$
17,517

Equities
1,909

 
4,823

Short-term investments, including Other
1,472

 
1,835

BOLI
456

 
453

Investment fees and expenses
(1,292
)
 
(1,810
)
Net investment income
$
20,830

 
$
22,818


Schedule of investment in unconsolidated subsidiaries
ProAssurance's investment in unconsolidated subsidiaries were as follows:
 
March 31, 2020
 
Carrying Value
(In thousands)
Percentage
Ownership
 
March 31,
2020
 
December 31,
2019
Qualified affordable housing project tax credit partnerships
See below
 
$
42,079

 
$
46,421

Other tax credit partnerships
See below
 
1,763

 
2,085

All other investments, primarily investment fund LPs/LLCs
See below
 
327,530

 
310,314

 
 
 
$
371,372

 
$
358,820


Schedule of losses and tax credits related to tax credit partnership investments Losses recorded and tax credits recognized related to ProAssurance's tax credit partnership investments were as follows:
 
Three Months Ended
March 31
(In thousands)
2020
 
2019
Qualified affordable housing project tax credit partnerships
 
 
 
Losses recorded
$
4,342

 
$
4,430

Tax credits recognized
$
4,369

 
$
4,531

 
 
 
 
Historic tax credit partnership
 
 
 
Losses recorded
$
323

 
$
189

Tax credits recognized
$
103

 
$
103


Schedule of net realized investment gains (losses)
Realized investment gains and losses are recognized on the first-in, first-out basis. The following table provides detailed information regarding net realized investment gains (losses):
 
Three Months Ended
March 31
(In thousands)
2020
 
2019
Total impairment losses:
 
 
 
Corporate debt
$
(1,817
)
 
$
(136
)
Portion of impairment losses recognized in other comprehensive income before taxes:
 
 
 
Corporate debt
654

 
87

Net impairment losses recognized in earnings
(1,163
)
 
(49
)
Gross realized gains, available-for-sale fixed maturities
2,427

 
367

Gross realized (losses), available-for-sale fixed maturities
(1,403
)
 
(336
)
Net realized gains (losses), trading fixed maturities
103

 
(28
)
Net realized gains (losses), equity investments
15,190

 
1,790

Net realized gains (losses), other investments
48

 
379

Change in unrealized holding gains (losses), trading fixed maturities
(118
)
 
210

Change in unrealized holding gains (losses), equity investments
(38,477
)
 
32,394

Change in unrealized holding gains (losses), convertible securities, carried at fair value
(5,273
)
 
1,895

Other
(7
)
 
1

Net realized investment gains (losses)
$
(28,673
)
 
$
36,623


Schedule of cumulative credit losses recorded in earnings related to impaired debt securities for which a portion of the OTTI has been recorded in OCI
The following table presents a roll forward of cumulative credit losses recorded in earnings related to impaired debt securities for which a portion of the impairment was recorded in OCI.
 
Three Months Ended
March 31
(In thousands)
2020
 
2019
Balance beginning of period
$
470

 
$
93

Additional credit losses recognized during the period, related to securities for which:
 
 
 
No impairment has been previously recognized
1,064

 
49

Balance March 31
$
1,534

 
$
142