Fair Value of Financial Instruments

6 Months Ended

Jun. 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 June 30, 2022, and December 31, 2021.

Assets and liabilities carried at fair value by hierarchy level
	June 30, 2022
(In thousands)	Level I		Level II		Level III		Total
Investments
Fixed-maturities available for sale
U.S. government and agency securities	$	153,098	$	27,406	$	—	$	180,504
State and municipal obligations	—		154,980		—		154,980
Corporate bonds and notes	—		2,757,786		—		2,757,786
RMBS	—		776,386		—		776,386
CMBS	—		618,603		—		618,603
CLO	—		502,814		—		502,814
Other ABS	—		180,022		—		180,022
Foreign government and agency securities	—		5,049		—		5,049
Mortgage insurance-linked notes (1)	—		52,600		—		52,600
Total fixed-maturities available for sale	153,098		5,075,646		—		5,228,744
Trading securities
State and municipal obligations	—		80,661		—		80,661
Corporate bonds and notes	—		78,289		—		78,289
RMBS	—		7,941		—		7,941
CMBS	—		22,550		—		22,550
Total trading securities	—		189,441		—		189,441
Equity securities	137,601		8,973		—		146,574
Short-term investments
State and municipal obligations	—		12,070		—		12,070
Money market instruments	149,341		—		—		149,341
Corporate bonds and notes	—		105,571		—		105,571
Other ABS	—		325		—		325
Other investments (2)	—		68,999		—		68,999
Total short-term investments	149,341		186,965		—		336,306
Other invested assets (3)	—		—		4,000		4,000
Total investments at fair value (3)	440,040		5,461,025		4,000		5,905,065
Other
Loaned securities (4)
Corporate bonds and notes	—		15,376		—		15,376
Equity securities	63,697		—		—		63,697
Total assets at fair value (3)	$	503,737	$	5,476,401	$	4,000	$	5,984,138
Liabilities
Embedded derivatives (5)	$	—	$	—	$	6,495	$	6,495
Total liabilities at fair value	$	—	$	—	$	6,495	$	6,495

(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 are classified as other assets in our condensed consolidated balance sheets. See Note 6 for more information.

(5)Embedded derivatives related to our Excess-of-Loss Program 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
Embedded derivatives (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)Embedded derivatives related to our Excess-of-Loss Program 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 six months ended June 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 six months ended June 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
	June 30, 2022				December 31, 2021
(In thousands)	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
Senior notes	$	1,411,458	$	1,338,878	$	1,409,473	$	1,534,378
FHLB advances	184,284		184,352		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 expected cash flows for similar borrowings. These liabilities are categorized in Level II of the fair value hierarchy. See Note 12 for further information about these borrowings.