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Fair Value of Financial Instruments | 9 Months Ended
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Sep. 30, 2022
Fair Value Disclosures [Abstract] |
Fair Value of Financial Instruments | Fair Value of Financial Instruments For discussion of our valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, see Note 5 of Notes to Consolidated Financial Statements in our 2021 Form 10-K. The following tables include a list of assets that are measured at fair value by hierarchy level as of September 30, 2022, and December 31, 2021.
Assets and liabilities carried at fair value by hierarchy level
|  | September 30, 2022
(In thousands) |  | Level I |  | Level II |  | Level III |  | Total
Investments |  |  |  |  |  |  |  |
Fixed-maturities available for sale |  |  |  |  |  |  |  |
U.S. government and agency securities |  | $ | 142,882 |  |  | $ | 3,782 |  |  | $ | — |  |  | $ | 146,664 |
State and municipal obligations |  | — |  |  | 142,743 |  |  | — |  |  | 142,743 |
Corporate bonds and notes |  | — |  |  | 2,429,325 |  |  | — |  |  | 2,429,325 |
RMBS |  | — |  |  | 900,591 |  |  | — |  |  | 900,591 |
CMBS |  | — |  |  | 599,478 |  |  | — |  |  | 599,478 |
CLO |  | — |  |  | 490,832 |  |  | — |  |  | 490,832 |
Other ABS |  | — |  |  | 168,087 |  |  | — |  |  | 168,087 |
Foreign government and agency securities |  | — |  |  | 4,970 |  |  | — |  |  | 4,970 |
Mortgage insurance-linked notes (1) |  | — |  |  | 26,542 |  |  | — |  |  | 26,542 |
Total fixed-maturities available for sale |  | 142,882 |  |  | 4,766,350 |  |  | — |  |  | 4,909,232 |
Trading securities |  |  |  |  |  |  |  |
State and municipal obligations |  | — |  |  | 70,475 |  |  | — |  |  | 70,475 |
Corporate bonds and notes |  | — |  |  | 47,802 |  |  | — |  |  | 47,802 |
RMBS |  | — |  |  | 7,058 |  |  | — |  |  | 7,058 |
CMBS |  | — |  |  | 14,566 |  |  | — |  |  | 14,566 |
Total trading securities |  | — |  |  | 139,901 |  |  | — |  |  | 139,901 |
Equity securities |  | 134,907 |  |  | 7,748 |  |  | 2,500 |  |  | 145,155 |
Short-term investments |  |  |  |  |  |  |  |
State and municipal obligations |  | — |  |  | 2,885 |  |  | — |  |  | 2,885 |
Money market instruments |  | 241,866 |  |  | — |  |  | — |  |  | 241,866 |
Corporate bonds and notes |  | — |  |  | 53,406 |  |  | — |  |  | 53,406 |
Other investments (2) |  | — |  |  | 94,357 |  |  | — |  |  | 94,357 |
Total short-term investments |  | 241,866 |  |  | 150,648 |  |  | — |  |  | 392,514 |
Other invested assets (3) |  | — |  |  | — |  |  | 4,000 |  |  | 4,000 |
Total investments at fair value (3) |  | 519,655 |  |  | 5,064,647 |  |  | 6,500 |  |  | 5,590,802 |
Other |  |  |  |  |  |  |  |
Derivative assets |  | — |  |  | 56 |  |  | 651 |  |  | 707 |
Loaned securities and securities sold under repurchase agreements (4) |  |  |  |  |  |  |  |
Corporate bonds and notes |  | — |  |  | 40,377 |  |  | — |  |  | 40,377 |
CMBS |  | — |  |  | 9,651 |  |  | — |  |  | 9,651 |
CLO |  | — |  |  | 7,117 |  |  | — |  |  | 7,117 |
Other ABS |  | — |  |  | 2,876 |  |  | — |  |  | 2,876 |
Equity securities |  | 60,366 |  |  | — |  |  | — |  |  | 60,366 |
Mortgage insurance-linked notes (1) |  | — |  |  | 16,895 |  |  | — |  |  | 16,895 |
Total assets at fair value (3) |  | $ | 580,021 |  |  | $ | 5,141,619 |  |  | $ | 7,151 |  |  | $ | 5,728,791 |
Liabilities |  |  |  |  |  |  |  |
Derivative liabilities (5) |  | $ | — |  |  | $ | 33 |  |  | $ | 4,601 |  |  | $ | 4,634 |
Total liabilities at fair value |  | $ | — |  |  | $ | 33 |  |  | $ | 4,601 |  |  | $ | 4,634 |
(1)Comprises the mortgage insurance-linked notes purchased by Radian Group in connection with the Excess-of-Loss Program. See Note 8 for more information. (2)Comprises short-term certificates of deposit and commercial paper. (3)Does not include other invested assets of $1.1 million that are primarily invested in limited partnership investments valued using the net asset value as a practical expedient. (4)Securities loaned to third-party borrowers under securities lending agreements or sold under repurchase agreements are classified as other assets in our condensed consolidated balance sheets. See Note 6 for more information. (5)Consists primarily of embedded derivatives related to our Excess-of-Loss Program, which are classified as other liabilities in our condensed consolidated balance sheets. See Note 8 for more information.
Assets carried at fair value by hierarchy level |  |  |  |  |  |  |  |
|  | December 31, 2021
(In thousands) |  | Level I |  | Level II |  | Level III |  | Total
Investments |  |  |  |  |  |  |  |
Fixed-maturities available for sale |  |  |  |  |  |  |  |
U.S. government and agency securities |  | $ | 192,452 |  |  | $ | 29,278 |  |  | $ | — |  |  | $ | 221,730 |
State and municipal obligations |  | — |  |  | 177,257 |  |  | — |  |  | 177,257 |
Corporate bonds and notes |  | — |  |  | 2,910,231 |  |  | — |  |  | 2,910,231 |
RMBS |  | — |  |  | 705,117 |  |  | — |  |  | 705,117 |
CMBS |  | — |  |  | 709,203 |  |  | — |  |  | 709,203 |
CLO |  | — |  |  | 530,040 |  |  | — |  |  | 530,040 |
Other ABS |  | — |  |  | 211,187 |  |  | — |  |  | 211,187 |
Foreign government and agency securities |  | — |  |  | 5,296 |  |  | — |  |  | 5,296 |
Mortgage insurance-linked notes (1) |  | — |  |  | 47,017 |  |  | — |  |  | 47,017 |
Total fixed-maturities available for sale |  | 192,452 |  |  | 5,324,626 |  |  | — |  |  | 5,517,078 |
Trading securities |  |  |  |  |  |  |  |
State and municipal obligations |  | — |  |  | 94,637 |  |  | — |  |  | 94,637 |
Corporate bonds and notes |  | — |  |  | 119,186 |  |  | — |  |  | 119,186 |
RMBS |  | — |  |  | 9,438 |  |  | — |  |  | 9,438 |
CMBS |  | — |  |  | 33,285 |  |  | — |  |  | 33,285 |
Total trading securities |  | — |  |  | 256,546 |  |  | — |  |  | 256,546 |
Equity securities |  | 176,828 |  |  | 7,417 |  |  | — |  |  | 184,245 |
Short-term investments |  |  |  |  |  |  |  |
U.S. government and agency securities |  | 94,665 |  |  | — |  |  | — |  |  | 94,665 |
State and municipal obligations |  | — |  |  | 12,270 |  |  | — |  |  | 12,270 |
Money market instruments |  | 274,535 |  |  | — |  |  | — |  |  | 274,535 |
Corporate bonds and notes |  | — |  |  | 65,191 |  |  | — |  |  | 65,191 |
CMBS |  | — |  |  | 3,023 |  |  | — |  |  | 3,023 |
Other investments (2) |  | — |  |  | 101,824 |  |  | — |  |  | 101,824 |
Total short-term investments |  | 369,200 |  |  | 182,308 |  |  | — |  |  | 551,508 |
Other invested assets (3) |  | — |  |  | — |  |  | 3,000 |  |  | 3,000 |
Total investments at fair value (3) |  | 738,480 |  |  | 5,770,897 |  |  | 3,000 |  |  | 6,512,377 |
Other |  |  |  |  |  |  |  |
Derivative assets (4) |  | — |  |  | — |  |  | 4,200 |  |  | 4,200 |
Loaned securities (5) |  |  |  |  |  |  |  |
Corporate bonds and notes |  | — |  |  | 65,994 |  |  | — |  |  | 65,994 |
Equity securities |  | 38,002 |  |  | — |  |  | — |  |  | 38,002 |
Total assets at fair value (3) |  | $ | 776,482 |  |  | $ | 5,836,891 |  |  | $ | 7,200 |  |  | $ | 6,620,573 |
(1)Comprises the mortgage insurance-linked notes purchased by Radian Group in connection with the Excess-of-Loss Program. See Note 8 for more information. (2)Comprises short-term certificates of deposit and commercial paper. (3)Does not include other invested assets of $1.2 million that are primarily invested in limited partnership investments valued using the net asset value as a practical expedient. (4)Consists primarily of embedded derivatives related to our Excess-of-Loss Program, which are classified as other assets in our condensed consolidated balance sheets. See Note 8 for more information. (5)Securities loaned to third-party borrowers under securities lending agreements are classified as other assets in our condensed consolidated balance sheets. See Note 6 for more information. There were no transfers to or from Level III for the three and nine months ended September 30, 2022, or the year ended December 31, 2021. Activity related to Level III assets and liabilities (including realized and unrealized gains and losses, purchases, sales, issuances, settlements and transfers) was immaterial for the three and nine months ended September 30, 2022, and the year ended December 31, 2021. Other Fair Value Disclosure The carrying value and estimated fair value of other selected liabilities not carried at fair value in our condensed consolidated balance sheets were as follows as of the dates indicated.
Financial liabilities not carried at fair value
|  | September 30, 2022 |  | December 31, 2021
(In thousands) |  | Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
Senior notes |  | $ | 1,412,473 |  |  | $ | 1,336,403 |  |  | $ | 1,409,473 |  |  | $ | 1,534,378 |
FHLB advances |  | 153,550 |  |  | 153,562 |  |  | 150,983 |  |  | 152,117 |
The fair value of our senior notes is estimated based on quoted market prices. The fair value of our FHLB advances is estimated based on contractual cash flows discounted at current borrowing rates for similar borrowing arrangements. These liabilities are categorized in Level II of the fair value hierarchy. See Note 12 for further information about these borrowings. The fair value of our remaining financial instruments included in other assets and other liabilities in our condensed consolidated balance sheets approximates their carrying amount as of September 30, 2022, and December 31, 2021.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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