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Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 2024

Fair values of assets measured at fair value on a recurring basis as of June 30, 2024 and December 31, 2023 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 2 of the Notes to Consolidated Financial Statements in ProAssurance’s December 31, 2023 report on Form 10-K.


	June 30, 2024
	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	$	—	$	240,992	$	—	$	240,992
U.S. Government-sponsored enterprise obligations	—		19,011		—		19,011
State and municipal bonds	—		456,114		—		456,114
Corporate debt, multiple observable inputs	—		1,660,872		—		1,660,872
Corporate debt, limited observable inputs	—		—		66,951		66,951

Residential mortgage-backed securities	—		467,156		—		467,156
Agency commercial mortgage-backed securities	—		7,611		—		7,611
Other commercial mortgage-backed securities	—		238,255		—		238,255
Other asset-backed securities	—		425,819		724		426,543
Fixed maturities, trading	—		51,782		—		51,782
Equity investments
Financial	9,190		2,272		283		11,745
Utilities/Energy	843		—		—		843

Industrial	—		—		3,955		3,955
Bond funds	101,104		—		—		101,104
All other	11,213		—		—		11,213
Short-term investments	130,887		88,713		—		219,600
Other investments	—		1,724		500		2,224
Other assets	—		8,022		—		8,022
Total assets categorized within the fair value hierarchy	$	253,237	$	3,668,343	$	72,413	3,993,993
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							248,177
Total assets at fair value							$	4,242,170

Liabilities:
Other liabilities	$	9,430	$	—	$	—	$	9,430
Total liabilities categorized within the fair value hierarchy	$	9,430	$	—	$	—	$	9,430


	December 31, 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	$	—	$	243,525	$	—	$	243,525
U.S. Government-sponsored enterprise obligations	—		18,724		—		18,724
State and municipal bonds	—		454,381		—		454,381
Corporate debt, multiple observable inputs	—		1,668,197		—		1,668,197
Corporate debt, limited observable inputs	—		—		82,377		82,377

Residential mortgage-backed securities	—		429,883		254		430,137
Agency commercial mortgage-backed securities	—		8,387		—		8,387
Other commercial mortgage-backed securities	—		188,464		1,010		189,474
Other asset-backed securities	—		395,245		3,150		398,395
Fixed maturities, trading	—		48,324		—		48,324
Equity investments
Financial	9,464		2,287		291		12,042
Utilities/Energy	1,256		—		—		1,256

Industrial	—		—		4,946		4,946
Bond funds	114,901		—		—		114,901
All other	18,150		—		—		18,150
Short-term investments	163,499		72,286		—		235,785
Other investments	—		57,478		5,126		62,604
Other assets	—		3,876		—		3,876
Total assets categorized within the fair value hierarchy	$	307,270	$	3,591,057	$	97,154	3,995,481
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							245,455
Total assets at fair value							$	4,240,936

Liabilities:
Other liabilities	$	4,030	$	—	$	6,500	$	10,530
Total liabilities categorized within the fair value hierarchy	$	4,030	$	—	$	6,500	$	10,530

Schedule of Quantitative Information Regarding Level 3 Valuations

Quantitative Information Regarding Level 3 Valuations

Below is quantitative information regarding securities in the Level 3 category, by security type:

Fair Value at

($ in thousands)

June 30, 2024

December 31, 2023

Valuation Technique

Unobservable Input

Range
(Weighted Average)

Assets:

Corporate debt, limited observable inputs

$66,951

$82,377

Market Comparable
Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Residential mortgage-backed, other commercial mortgage-backed and other asset-backed securities

$724

$4,414

Market Comparable
Securities

Comparability Adjustment

0% - 5% (2.5%)

Discounted Cash Flows

Comparability Adjustment

0% - 5% (2.5%)

Equity investments

$4,238

$5,237

Discounted Cash Flows

Comparability Adjustment

0% - 10% (5%)

Other investments

$500

$5,126

Discounted Cash Flows

Comparability Adjustment

0% - 10% (5%)

Liabilities:

Other liabilities

$—

$6,500

Stochastic Model/Discounted Cash Flows

Weighted Average Cost of Capital

0% - 10% (8%)

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.


	June 30, 2024
	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, March 31, 2024	$	66,208	$	2,141	$	5,234	$	742	$	74,325	$	(6,500)	$	(6,500)
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:


Net investment gains (losses)	—		—		(996)		10		(986)		6,500		6,500

Included in other comprehensive income (loss)	27		6		—		—		33		—		—
Purchases	4,567		—		—		—		4,567		—		—
Sales	(837)		(217)		—		(252)		(1,306)		—		—
Transfers in	—		—		—		—		—		—		—
Transfers out	(3,014)		(1,206)		—		—		(4,220)		—		—
Balance, June 30, 2024	$	66,951	$	724	$	4,238	$	500	$	72,413	$	—	$	—
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end	$	—	$	—	$	(996)	$	—	$	(996)	$	—	$	—


	June 30, 2024
	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, 2023	$	82,377	$	4,414	$	5,237	$	5,126	$	97,154	$	(6,500)	$	(6,500)
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:


Net investment gains (losses)	—		—		(999)		98		(901)		6,500		6,500

Included in other comprehensive income (loss)	(144)		(22)		—		—		(166)		—		—
Purchases	6,768		1,200		—		—		7,968		—		—

Sales	(1,539)		(217)		—		(252)		(2,008)		—		—
Transfers in	—		—		—		—		—		—		—
Transfers out	(20,511)		(4,651)		—		(4,472)		(29,634)		—		—
Balance, June 30, 2024	$	66,951	$	724	$	4,238	$	500	$	72,413	$	—	$	—
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets and liabilities held at period-end	$	—	$	—	$	(999)	$	88	$	(911)	$	—	$	—


	June 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, March 31, 2023	$	76,157	$	5,054	$	2,800	$	500	$	84,511	$	(13,000)	$	(13,000)
Total gains (losses) realized and unrealized:
Included in earnings, as a part of:
Net investment income	(23)		—		—		—		(23)		—		—

Net investment gains (losses)	(3)		—		(737)		—		(740)		2,000		2,000

Included in other comprehensive income (loss)	(142)		(13)		—		—		(155)		—		—
Purchases	4,084		—		3,171		—		7,255		—		—
Sales	(3,595)		(396)		—		—		(3,991)				—

Transfers out	(9,084)		(3,416)		—		—		(12,500)		—		—
Balance, June 30, 2023	$	67,394	$	1,229	$	5,234	$	500	$	74,357	$	(11,000)	$	(11,000)
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets held at period-end	$	—	$	—	$	(737)	$	—	$	(737)	$	—	$	—


	June 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)	13		—		(740)		—		(727)		3,000		3,000
Operating expense	—		—		—		—		—		1,000		1,000
Included in other comprehensive income (loss)	67		26		—		—		93		—		—
Purchases	10,406		1,863		3,171		—		15,440		—		—
Sales	(4,027)		(396)		—		—		(4,423)		—		—
Transfers in	11,220		1,779		—		—		12,999		—		—
Transfers out	(14,235)		(4,997)		—		(1,283)		(20,515)		—		—
Balance, June 30, 2023	$	67,394	$	1,229	$	5,234	$	500	$	74,357	$	(11,000)	$	(11,000)
Change in unrealized gains (losses) included in earnings for the above period for Level 3 assets and liabilities held at period-end	$	—	$	—	$	(740)	$	—	$	(740)	$	—	$	—

Schedule of Investments in LLCs and Limited Partnerships

The amount of ProAssurance's unfunded contractual commitments related to these investments as of June 30, 2024 and fair values of these investments as of June 30, 2024 and December 31, 2023 were as follows:


	Unfunded Contractual Commitments	Fair Value
(In thousands)	June 30, 2024	June 30, 2024		December 31, 2023


Investment in unconsolidated subsidiaries:
Private debt funds (1)	$4,529	$	16,991	$	19,886

Long/short equity funds (2)	None	4,198		4,497
Non-public equity funds (3)	$33,308	115,167		111,251

Credit funds (4)	$30,593	55,503		55,740

Strategy focused funds (5)	$50,090	56,318		54,081

Total investments carried at NAV		$	248,177	$	245,455

Below is additional information regarding each of the investments listed in the table above as of June 30, 2024.

(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. A third fund is an LLC focused on acquiring ownership stakes in insurance agencies. For all three funds, redemptions are not permitted. The remaining funds are real estate focused LPs, two of which allow 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.


	June 30, 2024				December 31, 2023
(In thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets:
BOLI	$	79,191	$	79,191	$	78,205	$	78,205
Other investments	$	4,064	$	4,064	$	3,215	$	3,215
Other assets	$	34,237	$	34,237	$	33,231	$	33,221
Financial liabilities:

Revolving Credit Agreement*	$	125,000	$	125,000	$	125,000	$	125,000
Term Loan*	$	123,438	$	123,438	$	125,000	$	125,000
Contribution Certificates	$	180,345	$	151,491	$	179,387	$	149,782

Other liabilities	$	32,926	$	32,926	$	32,043	$	32,043
* Carrying value excludes unamortized debt issuance costs.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details