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Fair Value of Financial Instruments | 12 Months Ended
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Dec. 31, 2022
Fair Value Disclosures [Abstract] |
Fair Value of Financial Instruments | Fair Value of Financial Instruments The following tables include a list of assets that are measured at fair value by hierarchy level as of December 31, 2022 and 2021.
Assets and liabilities carried at fair value by hierarchy level |
|  | December 31, 2022 |
(In thousands) |  | Level I |  | Level II |  | Level III |  | Total |
Investments |  |  |  |  |  |  |  |  |
Fixed-maturities available for sale |  |  |  |  |  |  |  |  |
U.S. government and agency securities |  | $ | 140,011 |  |  | $ | 5,431 |  |  | $ | — |  |  | $ | 145,442 |  |
State and municipal obligations |  | — |  |  | 142,386 |  |  | — |  |  | 142,386 |  |
Corporate bonds and notes |  | — |  |  | 2,490,582 |  |  | — |  |  | 2,490,582 |  |
RMBS |  | — |  |  | 928,399 |  |  | — |  |  | 928,399 |  |
CMBS |  | — |  |  | 593,357 |  |  | — |  |  | 593,357 |  |
CLO |  | — |  |  | 498,192 |  |  | — |  |  | 498,192 |  |
Other ABS |  | — |  |  | 161,359 |  |  | — |  |  | 161,359 |  |
Foreign government and agency securities |  | — |  |  | 4,975 |  |  | — |  |  | 4,975 |  |
Mortgage insurance-linked notes (1) |  | — |  |  | 53,019 |  |  | — |  |  | 53,019 |  |
Total fixed-maturities available for sale |  | 140,011 |  |  | 4,877,700 |  |  | — |  |  | 5,017,711 |  |
Trading securities |  |  |  |  |  |  |  |  |
State and municipal obligations |  | — |  |  | 70,511 |  |  | — |  |  | 70,511 |  |
Corporate bonds and notes |  | — |  |  | 32,827 |  |  | — |  |  | 32,827 |  |
RMBS |  | — |  |  | 6,847 |  |  | — |  |  | 6,847 |  |
CMBS |  | — |  |  | 5,480 |  |  | — |  |  | 5,480 |  |
Total trading securities |  | — |  |  | 115,665 |  |  | — |  |  | 115,665 |  |
Equity securities |  | 138,716 |  |  | 7,749 |  |  | 2,500 |  |  | 148,965 |  |
Mortgage loans held for sale |  | — |  |  | 3,549 |  |  | — |  |  | 3,549 |  |
Other invested assets (2) |  | — |  |  | — |  |  | 4,296 |  |  | 4,296 |  |
Short-term investments |  |  |  |  |  |  |  |  |
State and municipal obligations |  | — |  |  | 2,785 |  |  | — |  |  | 2,785 |  |
Money market instruments |  | 241,440 |  |  | — |  |  | — |  |  | 241,440 |  |
Corporate bonds and notes |  | — |  |  | 42,385 |  |  | — |  |  | 42,385 |  |
Other investments (3) |  | — |  |  | 115,480 |  |  | — |  |  | 115,480 |  |
Total short-term investments |  | 241,440 |  |  | 160,650 |  |  | — |  |  | 402,090 |  |
Total investments at fair value (2) |  | 520,167 |  |  | 5,165,313 |  |  | 6,796 |  |  | 5,692,276 |  |
Other |  |  |  |  |  |  |  |  |
Derivative assets |  | — |  |  | 11 |  |  | — |  |  | 11 |  |
Loaned securities (4) |  |  |  |  |  |  |  |  |
Corporate bonds and notes |  | — |  |  | 47,585 |  |  | — |  |  | 47,585 |  |
Equity securities |  | 64,554 |  |  | — |  |  | — |  |  | 64,554 |  |
Total assets at fair value (2) |  | $ | 584,721 |  |  | $ | 5,212,909 |  |  | $ | 6,796 |  |  | $ | 5,804,426 |  |
Assets and liabilities carried at fair value by hierarchy level |
|  | December 31, 2022 |
(In thousands) |  | Level I |  | Level II |  | Level III |  | Total |
Liabilities |  |  |  |  |  |  |  |  |
Derivative liabilities (5) |  | $ | — |  |  | $ | 42 |  |  | $ | 4,858 |  |  | $ | 4,900 |  |
Total liabilities at fair value |  | $ | — |  |  | $ | 42 |  |  | $ | 4,858 |  |  | $ | 4,900 |  |
(1)Includes mortgage insurance-linked notes purchased by Radian Group in connection with the Excess-of-Loss Program. See Note 8 for more information. (2)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. (3)Comprises short-term certificates of deposit and commercial paper. (4)Securities loaned to third-party borrowers under securities lending agreements are classified as other assets in our 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 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 |  |
Other invested assets (2) |  | — |  |  | — |  |  | 3,000 |  |  | 3,000 |  |
Assets carried at fair value by hierarchy level |
|  | December 31, 2021 |
(In thousands) |  | Level I |  | Level II |  | Level III |  | Total |
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 (3) |  | — |  |  | 101,824 |  |  | — |  |  | 101,824 |  |
Total short-term investments |  | 369,200 |  |  | 182,308 |  |  | — |  |  | 551,508 |  |
Total investments at fair value (2) |  | 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 (2) |  | $ | 776,482 |  |  | $ | 5,836,891 |  |  | $ | 7,200 |  |  | $ | 6,620,573 |  |
(1)Includes mortgage insurance-linked notes purchased by Radian Group in connection with the Excess-of-Loss Program. See Note 8 for more information. (2)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. (3)Comprises short-term certificates of deposit and commercial paper. (4)Consists primarily of embedded derivatives related to our Excess-of-Loss Program, which are classified as other assets in our 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 consolidated balance sheets. See Note 6 for more information. There were no transfers to or from Level III for the years ended December 31, 2022 and 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 years ended December 31, 2022 and 2021. Valuation Methodologies for Assets Measured at Fair Value We are responsible for the determination of the value of all investments carried at fair value and the supporting methodologies and assumptions. To assist us in this responsibility, we utilize independent third-party valuation service providers to gather, analyze and interpret market information and estimate fair values based upon relevant methodologies and assumptions for various asset classes and individual securities. We perform monthly quantitative and qualitative analyses on the prices received from third parties to determine whether the prices are reasonable estimates of fair value. Our analysis includes: (i) a review of the methodology used by third-party pricing services; (ii) a comparison of pricing services’ valuations to other independent sources; (iii) a review of month-to-month price fluctuations; and (iv) a comparison of actual purchase and sale transactions with valuations received from third parties. These processes are designed to ensure that our investment values are accurately recorded, that the data inputs and valuation techniques utilized are appropriate and consistently applied and that the assumptions are reasonable and consistent with the objective of determining fair value. The following are descriptions of our valuation methodologies for financial assets measured at fair value. U.S. Government and Agency Securities. The fair value of U.S. government and agency securities is estimated using observed market transactions, including broker-dealer quotes and actual trade activity as a basis for valuation. U.S. government and agency securities are categorized in either Level I or Level II of the fair value hierarchy. State and Municipal Obligations. The fair value of state and municipal obligations is estimated using recent transaction activity, including market observations. Valuation models are used, which incorporate bond structure, yield curve, credit spreads and other factors. These securities are generally categorized in Level II of the fair value hierarchy or in Level III when market-based transaction activity is unavailable. Money Market Instruments. The fair value of money market instruments is based on daily prices, which are published and available to all potential investors and market participants. As such, these securities are categorized in Level I of the fair value hierarchy. Corporate Bonds and Notes. The fair value of corporate bonds and notes is estimated using recent transaction activity, including market observations. Spread models are used that incorporate issuer and structure characteristics, such as credit risk and early redemption features, where applicable. These securities are generally categorized in Level II of the fair value hierarchy or in Level III when market-based transaction activity is unavailable. Asset-backed and Mortgage-backed Securities. The fair value of these instruments, which include RMBS, CMBS, CLO, Other ABS and mortgage insurance-linked notes, is estimated based on prices of comparable securities and spreads and observable prepayment speeds. These securities are generally categorized in Level II of the fair value hierarchy or in Level III when market-based transaction activity is unavailable. The fair value of any Level III securities is generally estimated by discounting estimated future cash flows. Foreign Government and Agency Securities. The fair value of foreign government and agency securities is estimated using observed market yields used to create a maturity curve and observed credit spreads from market makers and broker-dealers. These securities are categorized in Level II of the fair value hierarchy. Equity Securities. The fair value of these securities is generally estimated using observable market data in active markets or bid prices from market makers and broker-dealers. Generally, these securities are categorized in Level I or II of the fair value hierarchy, as observable market data are readily available. Certain equity securities may be categorized in Level III of the fair value hierarchy due to a lack of market-based transaction data or the use of model-based valuations. Mortgage Loans Held for Sale. The fair value of these mortgage loans is generally estimated using measurements derived from observable market data, adjusted for certain loan-level factors such as loan type, loan amount, note rate, LTV, and expected exit value of the loan. As such, these loans are generally categorized in Level II of the fair value hierarchy. Other Investments. These securities primarily consist of commercial paper and short-term certificates of deposit, which are categorized in Level II of the fair value hierarchy. The fair value of these investments is estimated using market data for comparable instruments of similar maturity and average yield. Other Invested Assets. These assets consist of interests in private debt or equity investments. The estimated fair value of these other invested assets is primarily based on the private company’s performance, as well as the terms of the instrument and general market benchmarks. As such, these investments are categorized in Level III of the fair value hierarchy. Derivative Assets and Liabilities. These instruments primarily consist of embedded derivatives related to our Excess-of-Loss Program, which are categorized in Level III of the fair value hierarchy. The fair value of these derivatives reflects the present value impact of the variation in investment income on the assets held by the reinsurance trusts and the contractual reference rate used to calculate the reinsurance premiums we will pay. Beginning in 2022, our derivative assets and liabilities also include the fair value of certain forward commitments and hedging instruments related to our investments in mortgage loans held for sale. These derivative assets and liabilities are categorized in either Level II or III of the fair value hierarchy. Other Fair Value Disclosure The carrying value and estimated fair value of other selected liabilities not carried at fair value in our consolidated balance sheets were as follows as of the dates indicated.
Financial liabilities not carried at fair value |  |  |  |  |  |  |  |
|  | December 31, 2022 |  | December 31, 2021
(In thousands) |  | Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
Senior notes |  | $ | 1,413,504 |  |  | $ | 1,361,844 |  |  | $ | 1,409,473 |  |  | $ | 1,534,378 |
Other borrowings |  |  |  |  |  |  |  |
FHLB advances |  | $ | 153,686 |  |  | $ | 153,728 |  |  | $ | 150,983 |  |  | $ | 152,117 |
Mortgage financing facilities |  | 2,136 |  |  | 2,136 |  |  | — |  |  | — |
Total other borrowings |  | $ | 155,822 |  |  | $ | 155,864 |  |  | $ | 150,983 |  |  | $ | 152,117 |
The fair value of our senior notes is estimated based on quoted market prices. The fair value of our other borrowings 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 consolidated balance sheets approximates their carrying amounts as of December 31, 2022 and 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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