Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2020


	December 31, 2020
			Significant
	Quoted Prices in		Other		Significant
	Active Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
($ in thousands)	(Level 1)		(Level 2)		(Level 3)		Total
Fixed maturity securities:
U.S. Treasury securities	$	—	$	52,157	$	—	$	52,157
Government agency securities		—		31,007		—		31,007
Corporate debt securities		—		1,139,066		257,965		1,397,031
Municipal debt obligations		—		207,094		—		207,094
ABS		—		55,258		—		55,258
CLO		—		139,126		—		139,126
CMBS		—		117,960		—		117,960
RMBS - non agency		—		116,136		—		116,136
RMBS - agency		—		150,288		—		150,288
Total fixed maturity securities		—		2,008,092		257,965		2,266,057
Non-redeemable preferred stock securities		—		5,649		1,400		7,049
Bond exchange-traded funds		44,882		—		—		44,882
Total categorized	$	44,882	$	2,013,741	$	259,365		2,317,988

Investments measured at net asset value:
Limited partnerships and limited liability companies								90,468
Total of invested assets carried at fair value							$	2,408,456


	December 31, 2019
			Significant
	Quoted Prices in		Other		Significant
	Active Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
($ in thousands)	(Level 1)		(Level 2)		(Level 3)		Total
Fixed maturity securities:
U.S. Treasury securities	$	—	$	49,985	$	—	$	49,985
Government agency securities		—		6,531		—		6,531
Corporate debt securities		—		1,189,181		149,631		1,338,812
Municipal debt obligations		—		79,815		—		79,815
ABS		—		73,582		—		73,582
CLO		—		179,549		—		179,549
CMBS		—		97,526		—		97,526
RMBS - non agency		—		71,610		—		71,610
RMBS - agency		—		143,272		—		143,272
Total categorized	$	—	$	1,891,051	$	149,631		2,040,682

Investments measured at net asset value:
Limited partnerships and limited liability companies								66,660
Total of invested assets carried at fair value							$	2,107,342


	December 31, 2020
	Carrying		Fair Value
($ in thousands)	Value		Total		Level 1		Level 2		Level 3
Assets
Commercial levered loans	$	12,308	$	12,180	$	—	$	—	$	12,180

Liabilities
Notes payable		207,000		207,537		—		207,537		—
Unamortized debt issuance costs		(3,733)
Notes payable, net of debt issuance costs	$	203,267

Secured loan payable		22,750		23,265		—		23,265		—
Unamortized debt issuance costs		(82)
Secured loan payable, net of debt issuance costs	$	22,668


	December 31, 2019
	Carrying		Fair Value
($ in thousands)	Value		Total		Level 1		Level 2		Level 3
Assets
Commercial levered loans	$	14,069	$	13,950	$	—	$	—	$	13,950

Liabilities
Notes payable		165,000		167,507		—		167,507		—
Unamortized debt issuance costs		(307)
Notes payable, net of debt issuance costs	$	164,693


			Non-Redeemable
	Corporate Debt		Preferred Stock		Level 3
($ in thousands)	Securities		Securities		Total
Fair value, December 31, 2018	$	126,497	$	—	$	126,497
Total net gains (losses) for the period included in:
Other comprehensive income		3,011		—		3,011
Net realized loss		(5)		—		(5)
Purchases		23,905		—		23,905
Sales		—		—		—
Issuances		—		—		—
Settlements		(3,777)		—		(3,777)
Transfers into Level 3		—		—		—
Transfers out of Level 3		—		—		—
Fair value, December 31, 2019		149,631		—		149,631
Total net gains (losses) for the period included in:
Other comprehensive income		6,241		—		6,241
Net realized loss		(5)		—		(5)
Purchases		107,197		1,400		108,597
Sales		—		—		—
Issuances		—		—		—
Settlements		(5,099)		—		(5,099)
Transfers into Level 3		—		—		—
Transfers out of Level 3		—		—		—
Fair value, December 31, 2020	$	257,965	$	1,400	$	259,365

ProSight Global, Inc. 10-K