Note 6 - Investments (Note)

9 Months Ended

Sep. 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
	September 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	$	256,519	$	—	$	523	$	(1,884)	$	255,158
State and municipal obligations	146,234		—		15,134		(357)		161,011
Corporate bonds and notes	2,892,347		—		155,631		(24,981)		3,022,997
RMBS	695,481		—		20,925		(3,300)		713,106
CMBS	680,503		—		28,619		(2,481)		706,641
CLO	558,523		—		1,340		(543)		559,320
Other ABS	193,727		—		1,768		(476)		195,019
Foreign government and agency securities	5,107		—		237		—		5,344
Mortgage insurance-linked notes (1)	45,384		—		2,307		—		47,691
Total securities available for sale, including loaned securities	5,473,825		$	—	$	226,484	$	(34,022)	5,666,287
Less: loaned securities (2)	82,241								86,075
Total fixed-maturities available for sale	$	5,391,584							$	5,580,212

(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 September 30,				Nine Months Ended September 30,
(In thousands)	2021		2020		2021		2020
Beginning balance	$	—	$	2,476	$	948	$	—
Current provision for securities without prior allowance	—		—		—		2,596
Net increases (decreases) in allowance on previously impaired securities	—		(186)		(918)		—
Reduction for securities sold	—		—		(30)		(306)
Ending balance	$	—	$	2,290	$	—	$	2,290

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, 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
	September 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	14	$	175,339	$	(1,207)	2	$	9,477	$	(677)	16	$	184,816	$	(1,884)
State and municipal obligations	15	20,223		(254)		1	2,831		(103)		16	23,054		(357)
Corporate bonds and notes	175	719,649		(16,424)		32	90,207		(8,557)		207	809,856		(24,981)
RMBS	36	258,829		(3,291)		2	758		(9)		38	259,587		(3,300)
CMBS	59	118,990		(1,555)		12	25,224		(926)		71	144,214		(2,481)
CLO	68	251,734		(287)		14	55,150		(256)		82	306,884		(543)
Other ABS	44	99,325		(453)		2	859		(23)		46	100,184		(476)
Total	411	$	1,644,089	$	(23,471)	65	$	184,506	$	(10,551)	476	$	1,828,595	$	(34,022)

	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 $97.4 million and $43.3 million as of September 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 September 30,				Nine Months Ended September 30,
(In thousands)	2021		2020		2021		2020
Net realized gains (losses)
Fixed-maturities available for sale (1)	$	4,098	$	13,777	$	5,684	$	31,998
Trading securities	—		—		391		4
Equity securities	8,632		—		8,405		361
Other investments	1,516		196		3,850		273
Net realized gains (losses) on investments	14,246		13,973		18,330		32,636
Impairment losses due to intent to sell	—		—		—		(1,401)
Net decrease (increase) in expected credit losses	—		186		918		(2,596)
Net unrealized gains (losses) on investments	(11,342)		2,813		(5,825)		916
Total net gains (losses) on investments	$	2,904	$	16,972	$	13,423	$	29,555

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

	Three Months Ended September 30,				Nine Months Ended September 30,
(In thousands)	2021		2020		2021		2020
Gross investment gains from sales and redemptions	$	5,874	$	14,219	$	19,588	$	34,422
Gross investment losses from sales and redemptions	(1,776)		(442)		(13,904)		(2,424)

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 September 30,				Nine Months Ended September 30,
(In thousands)	2021		2020		2021		2020
Net unrealized gains (losses) on investments still held
Trading securities	$	(2,659)	$	(1,150)	$	(6,011)	$	9,990
Equity securities	(1,086)		4,455		6,251		(8,158)
Other investments	(13)		(173)		1,050		152
Net unrealized gains (losses) on investments still held	$	(3,758)	$	3,132	$	1,290	$	1,984

Contractual Maturities

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

Contractual maturities of fixed-maturities available for sale
	September 30, 2021
	Available for Sale
(In thousands)	Amortized Cost		Fair Value
Due in one year or less	$	194,384	$	195,823
Due after one year through five years (1)	1,113,491		1,159,751
Due after five years through 10 years (1)	1,222,598		1,276,635
Due after 10 years (1)	769,734		812,301
Asset-backed and mortgage-backed securities (2)	2,173,618		2,221,777
Total	5,473,825		5,666,287
Less: loaned securities	82,241		86,075
Total fixed-maturities available for sale	$	5,391,584	$	5,580,212

(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, 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 $18.2 million and $16.9 million at September 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.