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Investments | 6 Months Ended
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Jun. 30, 2022
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, 2022
(In thousands) |  | Amortized Cost |  |  |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Fixed-maturities available for sale |  |  |  |  |  |  |  |  |  |
U.S. government and agency securities |  | $ | 198,819 |  |  |  |  | $ | 35 |  |  | $ | (18,350) |  |  | $ | 180,504 |
State and municipal obligations |  | 166,024 |  |  |  |  | 1,006 |  |  | (12,050) |  |  | 154,980 |
Corporate bonds and notes |  | 3,042,032 |  |  |  |  | 1,838 |  |  | (271,736) |  |  | 2,772,134 |
RMBS |  | 840,157 |  |  |  |  | 146 |  |  | (63,917) |  |  | 776,386 |
CMBS |  | 649,521 |  |  |  |  | 89 |  |  | (31,007) |  |  | 618,603 |
CLO |  | 520,479 |  |  |  |  | — |  |  | (17,665) |  |  | 502,814 |
Other ABS |  | 184,182 |  |  |  |  | 42 |  |  | (4,202) |  |  | 180,022 |
Foreign government and agency securities |  | 5,113 |  |  |  |  | — |  |  | (64) |  |  | 5,049 |
Mortgage insurance-linked notes (1) |  | 53,685 |  |  |  |  | — |  |  | (1,085) |  |  | 52,600 |
Total securities available for sale, including loaned securities |  | 5,660,012 |  |  |  |  | $ | 3,156 |  |  | $ | (420,076) |  |  | 5,243,092 |
Less: loaned securities (2) |  | 16,128 |  |  |  |  |  |  |  |  | 14,348 |
Total fixed-maturities available for sale |  | $ | 5,643,884 |  |  |  |  |  |  |  |  | $ | 5,228,744 |
(1)Comprises the notes purchased by Radian Group in connection with the Excess-of-Loss Program. See Note 8 for more information. (2)Included in other assets in our condensed consolidated balance sheets as further described below. See “—Securities Lending Agreements” below for a discussion of our securities lending agreements.
Available for sale securities
|  | December 31, 2021
(In thousands) |  | Amortized Cost |  |  |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Fixed-maturities available for sale |  |  |  |  |  |  |  |  |  |
U.S. government and agency securities |  | $ | 221,407 |  |  |  |  | $ | 1,719 |  |  | $ | (1,396) |  |  | $ | 221,730 |
State and municipal obligations |  | 162,964 |  |  |  |  | 14,694 |  |  | (401) |  |  | 177,257 |
Corporate bonds and notes |  | 2,867,063 |  |  |  |  | 133,665 |  |  | (24,886) |  |  | 2,975,842 |
RMBS |  | 697,581 |  |  |  |  | 14,313 |  |  | (6,777) |  |  | 705,117 |
CMBS |  | 690,827 |  |  |  |  | 21,444 |  |  | (3,068) |  |  | 709,203 |
CLO |  | 529,906 |  |  |  |  | 1,032 |  |  | (898) |  |  | 530,040 |
Other ABS |  | 210,657 |  |  |  |  | 1,142 |  |  | (612) |  |  | 211,187 |
Foreign government and agency securities |  | 5,109 |  |  |  |  | 187 |  |  | — |  |  | 5,296 |
Mortgage insurance-linked notes (1) |  | 45,384 |  |  |  |  | 1,633 |  |  | — |  |  | 47,017 |
Total securities available for sale, including loaned securities |  | 5,430,898 |  |  |  |  | $ | 189,829 |  |  | $ | (38,038) |  |  | 5,582,689 |
Less: loaned securities (2) |  | 63,169 |  |  |  |  |  |  |  |  | 65,611 |
Total fixed-maturities available for sale |  | $ | 5,367,729 |  |  |  |  |  |  |  |  | $ | 5,517,078 |
(1)Comprises the notes purchased by Radian Group in connection with the Excess-of-Loss Program. See Note 8 for more information. (2)Included in other assets in our condensed consolidated balance sheets as further described below. See “—Securities Lending Agreements” 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. There was no allowance as of June 30, 2022, or December 31, 2021.
Rollforward of allowance for credit losses on fixed-maturities available for sale
(In thousands) |  | Three Months Ended June 30, 2021 |  | Six Months Ended June 30, 2021
Beginning balance |  | $ | 638 |  |  | $ | 948 |
Net decreases in allowance on previously impaired securities |  | (608) |  |  | (918) |
Reduction for securities sold |  | (30) |  |  | (30) |
Ending balance |  | $ | — |  |  | $ | — |
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, 2022, and December 31, 2021, 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, 2022
($ 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 |  | 19 |  |  | $ | 122,570 |  |  | $ | (17,028) |  |  | 5 |  |  | $ | 20,027 |  |  | $ | (1,322) |  |  | 24 |  |  | $ | 142,597 |  |  | $ | (18,350) |
State and municipal obligations |  | 51 |  |  | 103,028 |  |  | (12,050) |  |  | — |  |  | — |  |  | — |  |  | 51 |  |  | 103,028 |  |  | (12,050) |
Corporate bonds and notes |  | 532 |  |  | 2,308,451 |  |  | (214,471) |  |  | 71 |  |  | 198,415 |  |  | (57,265) |  |  | 603 |  |  | 2,506,866 |  |  | (271,736) |
RMBS |  | 142 |  |  | 607,722 |  |  | (43,891) |  |  | 22 |  |  | 128,182 |  |  | (20,026) |  |  | 164 |  |  | 735,904 |  |  | (63,917) |
CMBS |  | 144 |  |  | 558,045 |  |  | (24,441) |  |  | 17 |  |  | 43,123 |  |  | (6,566) |  |  | 161 |  |  | 601,168 |  |  | (31,007) |
CLO |  | 136 |  |  | 413,093 |  |  | (13,506) |  |  | 22 |  |  | 89,722 |  |  | (4,159) |  |  | 158 |  |  | 502,815 |  |  | (17,665) |
Other ABS |  | 74 |  |  | 161,012 |  |  | (3,933) |  |  | 4 |  |  | 4,806 |  |  | (269) |  |  | 78 |  |  | 165,818 |  |  | (4,202) |
Mortgage insurance linked-notes |  | 3 |  |  | 52,600 |  |  | (1,085) |  |  | — |  |  | — |  |  | — |  |  | 3 |  |  | 52,600 |  |  | (1,085) |
Foreign government and agency securities |  | 1 |  |  | 5,049 |  |  | (64) |  |  | — |  |  | — |  |  | — |  |  | 1 |  |  | 5,049 |  |  | (64) |
Total |  | 1,102 |  |  | $ | 4,331,570 |  |  | $ | (330,469) |  |  | 141 |  |  | $ | 484,275 |  |  | $ | (89,607) |  |  | 1,243 |  |  | $ | 4,815,845 |  |  | $ | (420,076) |
|  | December 31, 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 |  | 14 |  |  | $ | 101,602 |  |  | $ | (1,165) |  |  | 2 |  |  | $ | 6,937 |  |  | $ | (231) |  |  | 16 |  |  | $ | 108,539 |  |  | $ | (1,396) |
State and municipal obligations |  | 20 |  |  | 32,721 |  |  | (401) |  |  | — |  |  | — |  |  | — |  |  | 20 |  |  | 32,721 |  |  | (401) |
Corporate bonds and notes |  | 209 |  |  | 864,355 |  |  | (16,799) |  |  | 34 |  |  | 99,475 |  |  | (8,087) |  |  | 243 |  |  | 963,830 |  |  | (24,886) |
RMBS |  | 57 |  |  | 365,476 |  |  | (6,749) |  |  | 3 |  |  | 1,543 |  |  | (28) |  |  | 60 |  |  | 367,019 |  |  | (6,777) |
CMBS |  | 81 |  |  | 188,457 |  |  | (2,053) |  |  | 9 |  |  | 22,050 |  |  | (1,015) |  |  | 90 |  |  | 210,507 |  |  | (3,068) |
CLO |  | 84 |  |  | 313,380 |  |  | (675) |  |  | 11 |  |  | 35,612 |  |  | (223) |  |  | 95 |  |  | 348,992 |  |  | (898) |
Other ABS |  | 54 |  |  | 138,851 |  |  | (603) |  |  | 1 |  |  | 631 |  |  | (9) |  |  | 55 |  |  | 139,482 |  |  | (612) |
Total |  | 519 |  |  | $ | 2,004,842 |  |  | $ | (28,445) |  |  | 60 |  |  | $ | 166,248 |  |  | $ | (9,593) |  |  | 579 |  |  | $ | 2,171,090 |  |  | $ | (38,038) |
See “—Net Gains (Losses) on Investments and Other Financial Instruments” below for additional details on our net gains (losses) on investments and other financial instruments, 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. During the three and six months ended June 30, 2022, we did not recognize any allowance for credit losses or other impairments related to fixed-maturities available for sale in an unrealized loss position. See Note 2 of Notes to Consolidated Financial Statements in our 2021 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 2021 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 $14.1 million and $57.8 million as of June 30, 2022, and December 31, 2021, 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 and Other Financial Instruments Net gains (losses) on investments and other financial instruments consisted of the following.
Net gains (losses) on investments and other financial instruments
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Net realized gains (losses) on investments sold or redeemed |  |  |  |  |  |  |  |
Fixed-maturities available for sale |  |  |  |  |  |  |  |
Gross realized gains |  | $ | 713 |  |  | $ | 9,597 |  |  | $ | 2,143 |  |  | $ | 13,714 |
Gross realized losses |  | (4,653) |  |  | (7,221) |  |  | (8,061) |  |  | (12,128) |
Fixed-maturities available for sale, net |  | (3,940) |  |  | 2,376 |  |  | (5,918) |  |  | 1,586 |
Trading securities |  | (106) |  |  | (112) |  |  | (106) |  |  | 391 |
Equity securities |  | — |  |  | (227) |  |  | 1,655 |  |  | (227) |
Other investments |  | 54 |  |  | 2,229 |  |  | 54 |  |  | 2,334 |
Net realized gains (losses) on investments sold or redeemed |  | (3,992) |  |  | 4,266 |  |  | (4,315) |  |  | 4,084 |
Change in unrealized gains (losses) on investments sold or redeemed |  | (28) |  |  | (1,883) |  |  | (2,198) |  |  | (2,080) |
Net decrease (increase) in expected credit losses |  | — |  |  | 608 |  |  | — |  |  | 918 |
Net unrealized gains (losses) on investments still held |  |  |  |  |  |  |  |
Trading securities |  | (8,221) |  |  | 4,601 |  |  | (21,138) |  |  | (3,448) |
Equity securities |  | (20,707) |  |  | 5,140 |  |  | (25,014) |  |  | 9,983 |
Other investments |  | (185) |  |  | 178 |  |  | (421) |  |  | 1,062 |
Net unrealized gains (losses) on investments still held |  | (29,113) |  |  | 9,919 |  |  | (46,573) |  |  | 7,597 |
Total net gains (losses) on investments |  | (33,133) |  |  | 12,910 |  |  | (53,086) |  |  | 10,519 |
Net gains (losses) on other financial instruments |  | (8,736) |  |  | 2,751 |  |  | (18,240) |  |  | (39) |
Net gains (losses) on investments and other financial instruments |  | $ | (41,869) |  |  | $ | 15,661 |  |  | $ | (71,326) |  |  | $ | 10,480 |
Contractual Maturities The contractual maturities of fixed-maturities available for sale were as follows.
Contractual maturities of fixed-maturities available for sale
|  | June 30, 2022
(In thousands) |  | Amortized Cost |  | Fair Value
Due in one year or less |  | $ | 151,491 |  |  | $ | 150,543 |
Due after one year through five years (1) |  | 1,298,176 |  |  | 1,249,795 |
Due after five years through 10 years (1) |  | 1,112,921 |  |  | 1,001,606 |
Due after 10 years (1) |  | 849,400 |  |  | 710,723 |
Asset-backed and mortgage-backed securities (2) |  | 2,248,024 |  |  | 2,130,425 |
Total |  | 5,660,012 |  |  | 5,243,092 |
Less: loaned securities |  | 16,128 |  |  | 14,348 |
Total fixed-maturities available for sale |  | $ | 5,643,884 |  |  | $ | 5,228,744 |
(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, 2022, 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 $13.5 million and $14.3 million at June 30, 2022, and December 31, 2021, respectively, on deposit and serving as collateral with various state regulatory authorities. Our fixed-maturities available for sale and trading securities also include securities serving as collateral for our FHLB advances. See Note 12 for additional information about our FHLB advances.

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