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Investments | 9 Months Ended
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Sep. 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
|  | September 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 |  | $ | 175,175 |  |  |  |  | $ | — |  |  | $ | (28,511) |  |  | $ | 146,664 |
State and municipal obligations |  | 164,045 |  |  |  |  | — |  |  | (21,302) |  |  | 142,743 |
Corporate bonds and notes |  | 2,869,400 |  |  |  |  | 132 |  |  | (400,572) |  |  | 2,468,960 |
RMBS |  | 1,010,453 |  |  |  |  | 522 |  |  | (110,384) |  |  | 900,591 |
CMBS |  | 656,321 |  |  |  |  | 4 |  |  | (47,196) |  |  | 609,129 |
CLO |  | 518,261 |  |  |  |  | — |  |  | (20,312) |  |  | 497,949 |
Other ABS |  | 177,299 |  |  |  |  | 26 |  |  | (6,362) |  |  | 170,963 |
Foreign government and agency securities |  | 5,115 |  |  |  |  | — |  |  | (145) |  |  | 4,970 |
Mortgage insurance-linked notes (1) |  | 45,384 |  |  |  |  | — |  |  | (1,947) |  |  | 43,437 |
Total securities available for sale, including loaned securities and securities sold under repurchase agreements |  | 5,621,453 |  |  |  |  | $ | 684 |  |  | $ | (636,731) |  | (2) | 4,985,406 |
Less: loaned securities and securities sold under repurchase agreements (3) |  | 85,921 |  |  |  |  |  |  |  |  | 76,174 |
Total fixed-maturities available for sale |  | $ | 5,535,532 |  |  |  |  |  |  |  |  | $ | 4,909,232 |
(1)Comprises the notes purchased by Radian Group in connection with the Excess-of-Loss Program. See Note 8 for more information. (2)See “—Gross Unrealized Losses and Related Fair Value of Available for Sale Securities” below for additional details. (3)Included in other assets in our condensed consolidated balance sheets as further described below. See “—Loaned Securities and Securities Sold Under Repurchase Agreements” below for a discussion of our securities lending and repurchase 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) |  | (2) | 5,582,689 |
Less: loaned securities (3) |  | 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)See “—Gross Unrealized Losses and Related Fair Value of Available for Sale Securities” below for additional details. (3)Included in other assets in our condensed consolidated balance sheets as further described below. See “—Loaned Securities and Securities Sold Under Repurchase Agreements” below for a discussion of our securities lending and repurchase 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 September 30, 2022, or December 31, 2021.
Rollforward of allowance for credit losses on fixed-maturities available for sale
(In thousands) |  |  |  | Nine Months Ended September 30, 2021
Beginning balance |  |  |  | $ | 948 |
Net decreases in allowance on previously impaired securities |  |  |  | (918) |
Reduction for securities sold |  |  |  | (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 September 30, 2022, and December 31, 2021, are loaned securities and securities sold under repurchase 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
|  | September 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 |  | 16 |  |  | $ | 94,560 |  |  | $ | (22,377) |  |  | 8 |  |  | $ | 48,322 |  |  | $ | (6,134) |  |  | 24 |  |  | $ | 142,882 |  |  | $ | (28,511) |
State and municipal obligations |  | 57 |  |  | 133,696 |  |  | (19,265) |  |  | 7 |  |  | 8,747 |  |  | (2,037) |  |  | 64 |  |  | 142,443 |  |  | (21,302) |
Corporate bonds and notes |  | 487 |  |  | 1,992,250 |  |  | (266,626) |  |  | 123 |  |  | 451,971 |  |  | (133,946) |  |  | 610 |  |  | 2,444,221 |  |  | (400,572) |
RMBS |  | 152 |  |  | 716,471 |  |  | (80,207) |  |  | 24 |  |  | 130,465 |  |  | (30,177) |  |  | 176 |  |  | 846,936 |  |  | (110,384) |
CMBS |  | 129 |  |  | 517,151 |  |  | (35,210) |  |  | 39 |  |  | 86,743 |  |  | (11,986) |  |  | 168 |  |  | 603,894 |  |  | (47,196) |
CLO |  | 121 |  |  | 359,365 |  |  | (14,230) |  |  | 36 |  |  | 138,584 |  |  | (6,082) |  |  | 157 |  |  | 497,949 |  |  | (20,312) |
Other ABS |  | 76 |  |  | 133,593 |  |  | (3,938) |  |  | 8 |  |  | 18,850 |  |  | (2,424) |  |  | 84 |  |  | 152,443 |  |  | (6,362) |
Mortgage insurance-linked notes |  | 2 |  |  | 43,437 |  |  | (1,947) |  |  | — |  |  | — |  |  | — |  |  | 2 |  |  | 43,437 |  |  | (1,947) |
Foreign government and agency securities |  | 1 |  |  | 4,970 |  |  | (145) |  |  | — |  |  | — |  |  | — |  |  | 1 |  |  | 4,970 |  |  | (145) |
Total |  | 1,041 |  |  | $ | 3,995,493 |  |  | $ | (443,945) |  |  | 245 |  |  | $ | 883,682 |  |  | $ | (192,786) |  |  | 1,286 |  |  | $ | 4,879,175 |  |  | $ | (636,731) |
|  | 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) |
Given our intent and ability as of September 30, 2022, to hold these securities until recovery of their amortized cost basis, we do not expect to realize a loss on any of our investments 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. Loaned Securities and Securities Sold Under Repurchase 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 $20.1 million and $57.8 million as of September 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. In addition, from time to time, we may agree to transfer certain investment securities to a transferee in exchange for cash, while simultaneously entering into an agreement to reacquire the securities on a specified future date for an amount equal to the cash received plus interest. As of September 30, 2022, amounts owed under securities repurchase agreements totaled $23.1 million and are included in other liabilities in our condensed consolidated balance sheets. These amounts were paid in full in October 2022. We report securities pledged under such repurchase agreements at fair value within other assets in our condensed balance sheets, and include those amounts in this Note 6. We did not have any outstanding securities repurchase agreements as of December 31, 2021. 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 September 30, |  | Nine Months Ended September 30,
(In thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Net realized gains (losses) on investments sold or redeemed |  |  |  |  |  |  |  |
Fixed-maturities available for sale |  |  |  |  |  |  |  |
Gross realized gains |  | $ | 411 |  |  | $ | 5,874 |  |  | $ | 2,554 |  |  | $ | 19,588 |
Gross realized losses |  | (4,564) |  |  | (1,776) |  |  | (12,625) |  |  | (13,904) |
Fixed-maturities available for sale, net |  | (4,153) |  |  | 4,098 |  |  | (10,071) |  |  | 5,684 |
Trading securities |  | (30) |  |  | — |  |  | (136) |  |  | 391 |
Equity securities |  | — |  |  | 8,632 |  |  | 1,655 |  |  | 8,405 |
Other investments |  | 44 |  |  | 1,516 |  |  | 98 |  |  | 3,850 |
Net realized gains (losses) on investments sold or redeemed |  | (4,139) |  |  | 14,246 |  |  | (8,454) |  |  | 18,330 |
Change in unrealized gains (losses) on investments sold or redeemed |  | 29 |  |  | (7,584) |  |  | (2,914) |  |  | (7,115) |
Net decrease (increase) in expected credit losses |  | — |  |  | — |  |  | — |  |  | 918 |
Net unrealized gains (losses) on investments still held |  |  |  |  |  |  |  |
Trading securities |  | (7,398) |  |  | (2,659) |  |  | (27,892) |  |  | (6,011) |
Equity securities |  | (7,256) |  |  | (1,086) |  |  | (32,249) |  |  | 6,251 |
Other investments |  | (149) |  |  | (13) |  |  | (490) |  |  | 1,050 |
Net unrealized gains (losses) on investments still held |  | (14,803) |  |  | (3,758) |  |  | (60,631) |  |  | 1,290 |
Total net gains (losses) on investments |  | (18,913) |  |  | 2,904 |  |  | (71,999) |  |  | 13,423 |
Net gains (losses) on other financial instruments |  | 2,661 |  |  | (806) |  |  | (15,579) |  |  | (845) |
Net gains (losses) on investments and other financial instruments |  | $ | (16,252) |  |  | $ | 2,098 |  |  | $ | (87,578) |  |  | $ | 12,578 |
Contractual Maturities The contractual maturities of fixed-maturities available for sale were as follows.
Contractual maturities of fixed-maturities available for sale
|  | September 30, 2022
(In thousands) |  | Amortized Cost |  | Fair Value
Due in one year or less |  | $ | 105,948 |  |  | $ | 104,459 |
Due after one year through five years (1) |  | 1,264,301 |  |  | 1,178,849 |
Due after five years through 10 years (1) |  | 1,004,494 |  |  | 847,994 |
Due after 10 years (1) |  | 838,992 |  |  | 632,035 |
Asset-backed and mortgage-backed securities (2) |  | 2,407,718 |  |  | 2,222,069 |
Total |  | 5,621,453 |  |  | 4,985,406 |
Less: loaned securities and securities sold under repurchase agreements |  | 85,921 |  |  | 76,174 |
Total fixed-maturities available for sale |  | $ | 5,535,532 |  |  | $ | 4,909,232 |
(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 nine months ended September 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 $13.1 million and $14.3 million at September 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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