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Note 6 - Investments (Note)

6 Months Ended

Jun. 30, 2021

Investments [Abstract]

Investments

Investments

Available for Sale Securities

Our available for sale securities within our investment portfolio consisted of the following as of the dates indicated.

Available for sale securities
						June 30, 2021
(In thousands)						Amortized Cost						Allowance for Credit Losses						Gross Unrealized Gains						Gross Unrealized Losses						Fair Value
Fixed-maturities available for sale
U.S. government and agency securities						$	213,954					$	—					$	1,161					$	(902)					$	214,213
State and municipal obligations						141,431						—						16,635						(122)						157,944
Corporate bonds and notes						2,909,453						—						175,493						(19,486)						3,065,460
RMBS						701,664						—						21,478						(3,302)						719,840
CMBS						685,595						—						31,437						(2,361)						714,671
CLO						519,909						—						1,851						(607)						521,153
Other ABS						225,012						—						2,190						(234)						226,968
Foreign government and agency securities						5,105						—						294						—						5,399
Mortgage insurance-linked notes (1)						45,384						—						2,649						—						48,033
Total securities available for sale, including loaned securities						5,447,507						$	—					$	253,188					$	(27,014)					5,673,681
Less: loaned securities (2)						98,102																								100,868
Total fixed-maturities available for sale						$	5,349,405																							$	5,572,813

(1)Comprises the notes purchased by Radian Group in connection with the Excess-of-Loss Program. See Note 8 for more information about our reinsurance programs.

(2)Included in other assets in our consolidated balance sheet as further described below. See below for a discussion of our securities lending agreements.

Available for sale securities
						December 31, 2020
(In thousands)						Amortized Cost						Allowance for Credit Losses						Gross Unrealized Gains						Gross Unrealized Losses						Fair Value
Fixed-maturities available for sale
U.S. government and agency securities						$	176,033					$	—					$	1,677					$	(3,611)					$	174,099
State and municipal obligations						149,258						—						16,113						(100)						165,271
Corporate bonds and notes						2,832,350						(948)						250,771						(3,758)						3,078,415
RMBS						799,814						—						34,439						(314)						833,939
CMBS						645,071						—						39,495						(3,301)						681,265
CLO						569,173						—						2,026						(2,641)						568,558
Other ABS						249,988						—						2,901						(432)						252,457
Foreign government and agency securities						5,100						—						338						—						5,438
Total securities available for sale, including loaned securities						5,426,787						$	(948)					$	347,760					$	(14,157)					5,759,442
Less: loaned securities (1)						33,164																								36,102
Total fixed-maturities available for sale						$	5,393,623																							$	5,723,340

(1)Included in other assets in our consolidated balance sheet as further described below. See below for a discussion of our securities lending agreements.

The following table provides a rollforward of the allowance for credit losses on fixed-maturities available for sale, which relates entirely to corporate bonds and notes for the periods indicated.

Rollforward of allowance for credit losses on fixed-maturities available for sale
						Three Months Ended June 30,												Six Months Ended June 30,
(In thousands)						2021						2020						2021						2020
Beginning balance						$	638					$	—					$	948					$	—
Current provision for securities without prior allowance						—						2,782						—						2,782
Net increases (decreases) in allowance on previously impaired securities						(608)						—						(918)						—
Reduction for securities sold						(30)						(306)						(30)						(306)
Ending balance						$	—					$	2,476					$	—					$	2,476

Gross Unrealized Losses and Related Fair Value of Available for Sale Securities

For securities deemed “available for sale” that are in an unrealized loss position and for which an allowance for credit loss has not been established, the following tables show the gross unrealized losses and fair value, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, as of the dates indicated. Included in the amounts as of June 30, 2021 and December 31, 2020 are loaned securities under securities lending agreements that are classified as other assets in our condensed consolidated balance sheets, as further described below.

Unrealized losses on fixed-maturities available for sale by category and length of time
						June 30, 2021
($ in thousands)						Less Than 12 Months																		12 Months or Greater																		Total
Description of Securities						# of securities						Fair Value						Unrealized Losses						# of securities						Fair Value						Unrealized Losses						# of securities						Fair Value						Unrealized Losses
U.S. government and agency securities						6						$	59,708					$	(902)					—						$	—					$	—					6						$	59,708					$	(902)
State and municipal obligations						8						10,034						(122)						—						—						—						8						10,034						(122)
Corporate bonds and notes						174						684,401						(19,380)						1						2,626						(106)						175						687,027						(19,486)
RMBS						35						260,712						(3,292)						2						803						(10)						37						261,515						(3,302)
CMBS						49						106,289						(1,280)						16						35,577						(1,081)						65						141,866						(2,361)
CLO						43						151,791						(242)						16						76,845						(365)						59						228,636						(607)
Other ABS						45						93,360						(210)						1						677						(24)						46						94,037						(234)
Total						360						$	1,366,295					$	(25,428)					36						$	116,528					$	(1,586)					396						$	1,482,823					$	(27,014)

						December 31, 2020
($ in thousands)						Less Than 12 Months																		12 Months or Greater																		Total
Description of Securities						# of securities						Fair Value						Unrealized Losses						# of securities						Fair Value						Unrealized Losses						# of securities						Fair Value						Unrealized Losses
U.S. government and agency securities						4						$	90,591					$	(3,611)					—						$	—					$	—					4						$	90,591					$	(3,611)
State and municipal obligations						4						9,626						(100)						—						—						—						4						9,626						(100)
Corporate bonds and notes						60						174,848						(3,758)						—						—						—						60						174,848						(3,758)
RMBS						5						42,003						(305)						2						915						(9)						7						42,918						(314)
CMBS						43						118,345						(3,035)						6						8,312						(266)						49						126,657						(3,301)
CLO						52						173,459						(970)						25						137,506						(1,671)						77						310,965						(2,641)
Other ABS						26						70,759						(322)						3						12,119						(110)						29						82,878						(432)
Total						194						$	679,631					$	(12,101)					36						$	158,852					$	(2,056)					230						$	838,483					$	(14,157)

See “Net Gains (Losses) on Investments” below for additional details on our net gains (losses) on investments, including the changes in the allowance for credit losses on fixed maturities available for sale and other impairments due to our intent to sell securities in an unrealized loss position. See Note 2 of Notes to Consolidated Financial Statements in our 2020 Form 10-K for information regarding our accounting policy for impairments.

Securities Lending Agreements

We participate in a securities lending program whereby we loan certain securities in our investment portfolio to third-party borrowers for short periods of time. Although we report such securities at fair value within other assets in our condensed consolidated balance sheets, rather than within investments, the detailed information we provide in this Note 6 includes these securities. See Note 5 for additional detail on the loaned securities, and see Note 6 of Notes to Consolidated Financial Statements in our 2020 Form 10-K for additional information about our accounting policies with respect to our securities lending agreements and the collateral requirements thereunder.

All of our securities lending agreements are classified as overnight and revolving. Securities collateral on deposit with us from third-party borrowers totaling $102.0 million and $43.3 million as of June 30, 2021 and December 31, 2020, respectively, may not be transferred or re-pledged unless the third-party borrower is in default, and is therefore not reflected in our condensed consolidated financial statements.

Net Gains (Losses) on Investments

Net gains (losses) on investments consisted of the following.

Net gains (losses) on investments
						Three Months Ended June 30,															Six Months Ended June 30,
(In thousands)						2021						2020									2021						2020
Net realized gains (losses)
Fixed-maturities available for sale (1)						$	2,376					$	6,974								$	1,586					$	18,221
Trading securities						(112)						(45)									391						4
Equity securities						(227)						51									(227)						361
Other investments						2,229						44									2,334						77
Net realized gains (losses) on investments						4,266						7,024									4,084						18,663
Impairment losses due to intent to sell						—						(779)									—						(1,401)
Net decrease (increase) in expected credit losses						608						(2,782)									918						(2,782)
Net unrealized gains (losses) on investments						8,036						24,948									5,517						(1,897)
Total net gains (losses) on investments						$	12,910					$	28,411								$	10,519					$	12,583

(1)Components of net realized gains (losses) on fixed-maturities available for sale include the following.

						Three Months Ended June 30,												Six Months Ended June 30,
(In thousands)						2021						2020						2021						2020
Gross investment gains from sales and redemptions						$	9,597					$	8,304					$	13,714					$	20,203
Gross investment losses from sales and redemptions						(7,221)						(1,330)						(12,128)						(1,982)

The net changes in unrealized gains (losses) recognized in earnings on investments that were still held at each period-end were as follows.

Net changes in unrealized gains (losses) on investments still held
						Three Months Ended June 30,												Six Months Ended June 30,
(In thousands)						2021						2020						2021						2020
Net unrealized gains (losses) on investments still held
Trading securities						$	4,601					$	13,790					$	(3,448)					$	11,131
Equity securities						5,140						10,443						9,983						(12,612)
Other investments						178						(201)						1,062						471
Net unrealized gains (losses) on investments still held						$	9,919					$	24,032					$	7,597					$	(1,010)

Contractual Maturities

The contractual maturities of fixed-maturities available for sale were as follows.

Contractual maturities of fixed-maturities available for sale
						June 30, 2021
						Available for Sale
(In thousands)						Amortized Cost						Fair Value
Due in one year or less						$	187,546					$	189,292
Due after one year through five years (1)						1,130,214						1,182,709
Due after five years through 10 years (1)						1,242,012						1,308,582
Due after 10 years (1)						710,171						762,433
Asset-backed and mortgage-backed securities (2)						2,177,564						2,230,665
Total						5,447,507						5,673,681
Less: loaned securities						98,102						100,868
Total fixed-maturities available for sale						$	5,349,405					$	5,572,813

(1)Actual maturities may differ as a result of calls before scheduled maturity.

(2)Includes RMBS, CMBS, CLO, Other ABS and mortgage insurance-linked notes, which are not due at a single maturity date.

Other

For the three and six months ended June 30, 2021, we did not transfer any securities to or from the available for sale or trading categories.

Our fixed-maturities available for sale include securities totaling $18.1 million and $16.9 million at June 30, 2021 and December 31, 2020, respectively, on deposit and serving as collateral with various state regulatory authorities. Our fixed-maturities available for sale also include securities serving as collateral for our FHLB advances. See Note 12 for additional information about our FHLB advances.

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The entire disclosure for investments in certain debt and equity securities.

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