
	September 30, 2022
(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	$	241,993	$	—	$	1	$	24,043	$	217,951
U.S. Government-sponsored enterprise obligations	21,602		—		—		1,709		19,893
State and municipal bonds	497,943		—		68		47,172		450,839
Corporate debt	1,980,541		553		407		229,308		1,751,087
Residential mortgage-backed securities	434,926		—		621		61,740		373,807
Agency commercial mortgage-backed securities	12,232		—		—		940		11,292
Other commercial mortgage-backed securities	216,327		—		121		21,115		195,333
Other asset-backed securities	437,477		—		1,567		28,103		410,941
	$	3,843,041	$	553	$	2,785	$	414,130	$	3,431,143


	December 31, 2021
(In thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
Fixed maturities, available-for-sale
U.S. Treasury obligations	$	239,765	$	1,166	$	2,424	$	238,507
U.S. Government-sponsored enterprise obligations	20,467		29		262		20,234
State and municipal bonds	511,750		9,620		2,174		519,196
Corporate debt	1,884,455		29,050		14,949		1,898,556
Residential mortgage-backed securities	455,438		4,254		5,751		453,941
Agency commercial mortgage-backed securities	13,909		294		62		14,141
Other commercial mortgage-backed securities	231,226		2,530		2,273		231,483
Other asset-backed securities	457,837		2,747		2,920		457,664
	$	3,814,847	$	49,690	$	30,815	$	3,833,722

The recorded cost basis and estimated fair value of available-for-sale fixed maturities at September 30, 2022, 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	$	241,993	$	15,516	$	129,039	$	72,193	$	1,203	$	217,951
U.S. Government-sponsored enterprise obligations	21,602		2,212		13,930		3,751		—		19,893
State and municipal bonds	497,943		30,979		154,449		153,991		111,420		450,839
Corporate debt	1,980,541		164,958		829,789		656,686		99,654		1,751,087
Residential mortgage-backed securities	434,926										373,807
Agency commercial mortgage-backed securities	12,232										11,292
Other commercial mortgage-backed securities	216,327										195,333
Other asset-backed securities	437,477										410,941
	$	3,843,041									$	3,431,143

Excluding obligations of the U.S. Government, U.S. Government-sponsored enterprises and a U.S. Government obligations money market fund, no investment in any entity or its affiliates exceeded 10% of shareholders’ equity at September 30, 2022.

Cash and securities with a carrying value of $52.4 million at September 30, 2022 were on deposit with various state insurance departments to meet regulatory requirements. ProAssurance also held securities with a carrying value of $31.0 million at September 30, 2022 that are pledged as collateral security for advances under the Company's borrowing relationships with FHLBs.

As a member of Lloyd's, ProAssurance is required to maintain capital at Lloyd's, referred to as FAL, to support underwriting by Syndicate 1729. At September 30, 2022, ProAssurance's FAL investments were comprised of available-for-sale fixed maturities with a fair value of $29.7 million and cash and cash equivalents of $0.4 million on deposit with Lloyd's in order to satisfy these FAL requirements. During the second quarter of 2022, ProAssurance received a return of approximately $5.5 million of cash from its FAL balances given Syndicate 6131 ceased underwriting on a quota share basis with Syndicate 1729 as Syndicate 6131's business is retained within Syndicate 1729 beginning with the 2022 underwriting year. In addition, the return of FAL during the second quarter of 2022 related to the settlement of the Company's participation in the results of Syndicate 1729 and Syndicate 6131 for the 2019 underwriting year.

The following tables provide summarized information with respect to investments held in an unrealized loss position at September 30, 2022 and December 31, 2021, including the length of time the investment had been held in a continuous unrealized loss position.


	September 30, 2022
	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	$	217,841	$	24,043	$	105,612	$	10,660	$	112,229	$	13,383
U.S. Government-sponsored enterprise obligations	19,893		1,709		8,523		689		11,370		1,020
State and municipal bonds	429,055		47,172		319,924		32,688		109,131		14,484
Corporate debt	1,698,649		229,308		1,066,618		127,409		632,031		101,899
Residential mortgage-backed securities	357,193		61,740		218,420		30,747		138,773		30,993
Agency commercial mortgage-backed securities	11,292		940		7,532		515		3,760		425
Other commercial mortgage-backed securities	193,129		21,115		119,991		10,531		73,138		10,584
Other asset-backed securities	386,032		28,103		243,955		14,182		142,077		13,921
	$	3,313,084	$	414,130	$	2,090,575	$	227,421	$	1,222,509	$	186,709


	December 31, 2021
	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	$	190,054	$	2,424	$	181,689	$	2,206	$	8,365	$	218
U.S. Government-sponsored enterprise obligations	16,287		262		16,287		262		—		—
State and municipal bonds	175,442		2,174		171,930		2,039		3,512		135
Corporate debt	945,196		14,949		866,731		11,828		78,465		3,121
Residential mortgage-backed securities	326,248		5,751		290,019		4,320		36,229		1,431
Agency commercial mortgage-backed securities	4,529		62		4,355		54		174		8
Other commercial mortgage-backed securities	151,827		2,273		145,467		1,884		6,360		389
Other asset-backed securities	278,915		2,920		271,463		2,796		7,452		124
	$	2,088,498	$	30,815	$	1,947,941	$	25,389	$	140,557	$	5,426

As of September 30, 2022, excluding U.S. Government or U.S. Government-sponsored enterprise obligations, there were 2,909 debt securities (74.7% of all available-for-sale fixed maturity securities held) in an unrealized loss position representing 1,431 issuers. The greatest and second greatest unrealized loss positions among those securities were approximately $5.1 million and $4.7 million, respectively. The securities were evaluated for impairment as of September 30, 2022.

As of December 31, 2021, excluding U.S. Government or U.S. Government-sponsored enterprise obligations, there were 1,766 debt securities (45.8% of all available-for-sale fixed maturity securities held) in an unrealized loss position representing 998 issuers. The greatest and second greatest unrealized loss positions among those securities were each approximately $0.4 million. The securities were evaluated for impairment as of December 31, 2021.

Each quarter, ProAssurance performs a detailed analysis for the purpose of assessing whether any of the securities it holds in an unrealized loss position has suffered an impairment due to credit or non-credit factors. A detailed discussion of the factors considered in the assessment is included in Note 1 of the Notes to Consolidated Financial Statements in ProAssurance's December 31, 2021 report on Form 10-K.

Fixed maturity securities held in an unrealized loss position at September 30, 2022, excluding asset-backed securities, have paid all scheduled contractual payments and are expected to continue. Expected future cash flows of asset-backed securities, excluding those issued by GNMA, FNMA and FHLMC, held in an unrealized loss position were estimated as part of the September 30, 2022 impairment evaluation using the most recently available six-month historical performance data for the collateral (loans) underlying the security or, if historical data was not available, sector based assumptions, and equaled or exceeded the current amortized cost basis of the security.

The following tables present a roll forward of the allowance for expected credit losses on available-for-sale fixed maturities for the three and nine months ended September 30, 2022 and nine months ended September 30, 2021. There was no allowance for expected credit losses for the three months ended September 30, 2021.


	Three Months Ended September 30, 2022
(In thousands)	Corporate Debt		Total
Balance, at July 1, 2022	$	553	$	553
Additional credit losses related to securities for which:
No allowance for credit losses has been previously recognized	—		—







Balance, at September 30, 2022	$	553	$	553


	Nine Months Ended September 30, 2022
(In thousands)	Corporate Debt		Total
Balance, at December 31, 2021	$	—	$	—
Additional credit losses related to securities for which:
No allowance for credit losses has been previously recognized	553		553







Balance, at September 30, 2022	$	553	$	553

ProAssurance's equity investments are carried at fair value with changes in fair value recognized in income as a component of net investment gains (losses) during the period of change. Equity investments on the Condensed Consolidated Balance Sheets as of September 30, 2022 and December 31, 2021 primarily included bond funds and, to a lesser degree, stocks and investment funds.

ProAssurance's short-term investments, which have a maturity at purchase of one year or less, are primarily comprised of investments in U.S. treasury obligations, commercial paper and money market funds. Short-term investments are carried at fair value which approximates the cost of the securities due to their short-term nature.

ProAssurance holds BOLI policies that are carried at the current cash surrender value of the policies (original cost $42 million), which includes the BOLI policies acquired from NORCAL (original cost $10 million). All insured individuals were members of ProAssurance or NORCAL management at the time the policies were acquired. The primary purpose of the program is to offset future employee benefit expenses through earnings on the cash value of the policies. ProAssurance is the owner and beneficiary of these policies.


	Three Months Ended September 30				Nine Months Ended September 30
(In thousands)	2022		2021		2022		2021
Fixed maturities	$	23,725	$	20,121	$	67,275	$	53,969
Equities	846		648		2,514		1,790
Short-term investments, including Other	1,812		587		2,965		1,539
BOLI	421		622		635		1,752
Investment fees and expenses	(2,059)		(2,700)		(6,257)		(7,337)
Net investment income	$	24,745	$	19,278	$	67,132	$	51,713


	September 30, 2022	Carrying Value
(In thousands)	Percentage Ownership	September 30, 2022		December 31, 2021
Qualified affordable housing project tax credit partnerships	See below	$	5,037	$	12,424

All other investments, primarily investment fund LPs/LLCs	See below	300,147		323,152
		$	305,184	$	335,576

Qualified affordable housing project tax credit partnership interests held by ProAssurance generate investment returns by providing tax benefits to fund investors in the form of tax credits and project operating losses. The carrying value of these investments reflects ProAssurance's total commitments (both funded and unfunded) to the partnerships, less any amortization. At September 30, 2022, ProAssurance did not have an ownership percentage greater than 20% in any tax credit partnership interests. At December 31, 2021, ProAssurance's ownership percentage relative to two of the tax credit partnership interests was almost 100%; these interests had a carrying value of $3.2 million at December 31, 2021. ProAssurance's ownership percentage relative to the remaining tax credit partnership interests is less than 20%; these interests had a carrying value of $5.0 million at September 30, 2022 and $9.2 million at December 31, 2021. Since ProAssurance has the ability to exert influence over the partnerships but does not control them, all are accounted for using the equity method. See further discussion of the entities in which ProAssurance holds passive interests in Note 9.

ProAssurance holds interests in investment fund LPs/LLCs and other equity method investments and LPs/LLCs which are not considered to be investment funds. ProAssurance's ownership percentage relative to three of the LPs/LLCs is greater than 25%, which is expected to be reduced as the funds mature and other investors participate in the funds; these investments had a carrying value of $39.0 million at September 30, 2022 and $49.0 million at December 31, 2021. ProAssurance's ownership percentage relative to the remaining investments and LPs/LLCs is less than 25%; these interests had a carrying value of $261.1 million at September 30, 2022 and $274.2 million at December 31, 2021. ProAssurance does not have the ability to exert control over any of these funds.

Equity in earnings (loss) of unconsolidated subsidiaries included losses from qualified affordable housing project tax credit partnerships and a historic tax credit partnership. Investment results recorded reflect ProAssurance's allocable portion of partnership operating results. Tax credits reduce income tax expense in the period they are utilized. The results recorded and tax credits recognized related to ProAssurance's tax credit partnership investments were as follows:


	Three Months Ended September 30				Nine Months Ended September 30
(In thousands)	2022		2021		2022		2021
Qualified affordable housing project tax credit partnerships
Losses recorded	$	2,164	$	3,591	$	7,360	$	11,712
Tax credits recognized	$	1,201	$	3,226	$	3,604	$	9,880

Historic tax credit partnership
Losses (gains) recorded*	$	—	$	—	$	(961)	$	(182)
Tax credits recognized	$	—	$	(100)	$	—	$	—
*ProAssurance holds a historic tax credit partnership which was fully amortized in 2020. This partnership generated investment returns by providing benefits to partnership investors in the form of tax credits, tax deductible project operating losses and distributions resulting from positive cash flows. ProAssurance received a distribution associated with this investment during the second quarter of 2022 and the first quarter of 2021, as a result of positive cash flows from a completed project, which was recognized as an operating gain in each respective period.

The tax credits generated from the Company's tax credit partnership investments of $1.2 million and $3.6 million for the three and nine months ended September 30, 2022, respectively, were deferred for use in future periods due to the Company's expected consolidated loss calculated on a tax basis. For the three and nine months ended September 30, 2021, the tax credits generated from the Company's tax credit partnership investments of $3.1 million and $9.9 million, respectively, were deferred and are expected to be utilized in future periods. Not included in the table above is $2.7 million of tax credits recaptured from the 2019 tax year during the nine months ended September 30, 2022 due to the carryback of the Company's estimated NOL for the nine months ended September 30, 2022 to the 2021 tax year. The recaptured tax credits were earned in 2019 but not utilized until 2021 due to NOL's generated in both 2019 and 2020. As of September 30, 2022, the Company had approximately $52.3 million of available tax credit carryforwards generated from its investments in tax credit partnerships which they expect to utilize in future periods.

Tax credits provided by the underlying projects of the Company's historic tax credit partnership are typically available in the tax year in which the project is put into active service, whereas the tax credits provided by qualified affordable housing project tax credit partnerships are provided over approximately a ten year period.

As previously discussed, ProAssurance holds certain investments that are measured using the equity method of accounting, primarily investments in LPs/LLCs, which are carried as a part of investment in unconsolidated subsidiaries on the Condensed Consolidated Balance Sheets. Each quarter, ProAssurance assesses the significance of its equity method investees. As of September 30, 2022, ProAssurance determined NB Co Investment Fund II, LP to be significant, which is a private equity fund that is a co-investor in small and mid-cap companies.

The following table presents aggregated gross summarized financial information for the fund that ProAssurance determined to be significant as of September 30, 2022, including the portion not attributable to ProAssurance, derived from the fund's financial statements which are prepared in accordance with GAAP. As the majority of ProAssurance's equity method investments report their results to the Company on a one quarter lag, the majority of the summarized financial information below is for the nine months ended June 30, 2022 and 2021.


(In thousands)	Nine Months Ended September 30
	2022		2021
Net investment income (loss)	$	(2,354)	$	(3,070)
Net investment gains (losses)	(70,855)		17,314
Net change in unrealized appreciation (depreciation)	(30,606)		51,181

Net gain (loss)	$	(103,815)	$	65,425

Net gain (loss) attributable to ProAssurance(1)	$	(5,053)	$	3,146

(1) Represents ProAssurance's share of the fund's aggregate income or loss, which is included as a component of equity in earnings (loss) of unconsolidated subsidiaries in its Condensed Consolidated Statements of Income and Comprehensive Income for the nine months ended September 30, 2022 and 2021.


	Three Months Ended September 30				Nine Months Ended September 30
(In thousands)	2022		2021		2022		2021
Total impairment losses:


Corporate debt	$	—	$	—	$	(972)	$	—


Portion of impairment losses recognized in other comprehensive income before taxes:

Corporate debt	—		—		419		—


Net impairment losses recognized in earnings	—		—		(553)		—
Gross realized gains, available-for-sale fixed maturities	142		2,225		1,594		12,540
Gross realized (losses), available-for-sale fixed maturities	(57)		(259)		(2,146)		(798)

Net realized gains (losses), trading fixed maturities	(30)		(47)		(127)		17
Net realized gains (losses), equity investments	—		426		(5,346)		6,616
Net realized gains (losses), other investments	209		1,699		99		6,192
Change in unrealized holding gains (losses), trading fixed maturities	(100)		(49)		(881)		(489)
Change in unrealized holding gains (losses), equity investments	(6,655)		(945)		(24,063)		(2,182)
Change in unrealized holding gains (losses), convertible securities, carried at fair value	(1,443)		(2,457)		(14,502)		(2,118)

Other	(328)		(63)		273		434
Net investment gains (losses)	$	(8,262)	$	530	$	(45,652)	$	20,212

ProAssurance did not recognize any credit-related impairment losses in earnings or non-credit impairment losses in OCI during the three months ended September 30, 2022 or the three and nine months ended September 30, 2021. For the nine months ended, ProAssurance recognized credit-related impairment losses in earnings of $0.6 million and non-credit impairment losses in OCI of $0.4 million. The credit-related and non-credit impairment losses recognized during the nine months ended September 30, 2022 related to a corporate bond in the consumer sector.


	Three Months Ended September 30				Nine Months Ended September 30
(In thousands)	2022		2021		2022		2021
Balance beginning of period	$	553	$	—	$	—	$	552
Additional credit losses recognized during the period, related to securities for which:
No impairment has been previously recognized	—		—		553		—

Reductions due to:
Securities sold during the period (realized)	—		—		—		(552)

Balance September 30	$	553	$	—	$	553	$	—