Investments

12 Months Ended

Dec. 31, 2021

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

	December 31, 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	$	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 about our reinsurance programs. (2)Included in other assets in our consolidated balance sheets as further described below. See below for a discussion of our securities lending agreements.
	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 sheets 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

	Years Ended December 31,
(In thousands)	2021		2020
Beginning balance	$	948	$	—
Current provision for securities without prior allowance	—		1,254
Net increases (decreases) in allowance on previously impaired securities	(918)		—
Reduction for securities sold	(30)		(306)
Ending balance	$	—	$	948

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 December 31, 2021 and 2020, are loaned securities under securities lending agreements that are classified as other assets in our consolidated balance sheets, as further described below.


Unrealized losses on fixed-maturities available for sale by category and length of time

	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)


	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 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 for a discussion of 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. These securities lending agreements are collateralized financing arrangements whereby we transfer securities to third parties through an intermediary in exchange for cash or other securities. However, pursuant to the terms of these agreements, we maintain effective control over all loaned securities. Although we report such securities at fair value within other assets in our consolidated balance sheets, rather than in investments, the detailed information provided in this Note includes these securities. See Note 9 for additional information.

Under our securities lending agreements, the borrower is required to provide to us collateral, consisting of cash or securities, in amounts generally equal to or exceeding: (i) 102% of the value of the loaned securities (105% in the case of foreign securities) or (ii) another agreed-upon percentage not less than 100% of the market value of the loaned securities. Any cash collateral we receive may be invested in liquid assets. Cash collateral, which is reinvested for our benefit by the intermediary in accordance with the investment guidelines contained in the securities lending and collateral agreements, is reflected in short-term investments, with an offsetting liability recognized in other liabilities for the obligation to return the cash collateral. Securities collateral we receive is held on deposit for the borrower’s benefit and we may not transfer or loan such securities collateral unless the borrower is in default. Therefore, such securities collateral is not reflected in our consolidated financial statements given that the risks and rewards of ownership are not transferred to us from the borrowers.

Fees received and paid in connection with securities lending agreements are recorded in net investment income and interest expense, respectively, on the consolidated statements of operations.

All of our securities lending agreements are classified as overnight and revolving. Securities collateral on deposit with us from third-party borrowers totaling $57.8 million and $43.3 million as of December 31, 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 consolidated financial statements.

Net Investment Income

Net investment income consisted of the following.


Net investment income

	Years Ended December 31,
(In thousands)	2021		2020		2019
Investment income
Fixed-maturities	$	145,613	$	148,127	$	155,104
Equity securities	8,158		6,378		7,028
Short-term investments	817		5,774		17,255
Other	368		354		545
Gross investment income	154,956		160,633		179,932
Investment expenses	(7,047)		(6,596)		(8,136)
Net investment income	$	147,909	$	154,037	$	171,796

Net Gains on Investments

Net gains on investments consisted of the following.


Net gains on investments

	Years Ended December 31,
(In thousands)	2021		2020		2019
Net realized gains (losses)
Fixed-maturities available for sale (1)	$	5,661	$	34,869	$	11,262
Trading securities	390		4		(303)
Equity securities	10,820		353		(719)
Other investments	3,971		600		603
Net realized gains on investments	20,842		35,826		10,843
Impairment losses due to intent to sell	—		(1,401)		—
Net decrease (increase) in expected credit losses	918		(1,254)		—
Net unrealized gains (losses) on investments	(4,661)		10,960		33,220
Total net gains on investments	$	17,099	$	44,131	$	44,063

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


	Years Ended December 31,
(In thousands)	2021		2020		2019
Gross investment gains from sales and redemptions	$	22,766	$	37,431	$	17,663
Gross investment losses from sales and redemptions	(17,105)		(2,562)		(6,401)

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

	Years Ended December 31,
(In thousands)	2021		2020		2019
Net unrealized gains (losses) on investments still held
Trading securities	$	(7,330)	$	10,583	$	16,346
Equity securities	10,210		1,759		11,906
Other investments	1,173		248		(174)
Net unrealized gains (losses) on investments still held	$	4,053	$	12,590	$	28,078

Contractual Maturities

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


Contractual maturities of fixed-maturities available for sale

	December 31, 2021
(In thousands)	Amortized Cost		Fair Value
Due in one year or less	$	182,884	$	183,770
Due after one year through five years (1)	1,116,102		1,150,676
Due after five years through 10 years (1)	1,191,992		1,228,959
Due after 10 years (1)	765,565		816,720
Asset-backed and mortgage-backed securities (2)	2,174,355		2,202,564
Total	5,430,898		5,582,689
Less: loaned securities	63,169		65,611
Total fixed-maturities available for sale	$	5,367,729	$	5,517,078

(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 years ended December 31, 2021, 2020 and 2019, 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 $14.3 million and $16.9 million at December 31, 2021 and 2020, 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.