Investments

6 Months Ended

Jun. 30, 2022

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

	June 30, 2022
(In thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Fixed-maturities available for sale
U.S. government and agency securities	$	198,819	$	35	$	(18,350)	$	180,504
State and municipal obligations	166,024		1,006		(12,050)		154,980
Corporate bonds and notes	3,042,032		1,838		(271,736)		2,772,134
RMBS	840,157		146		(63,917)		776,386
CMBS	649,521		89		(31,007)		618,603
CLO	520,479		—		(17,665)		502,814
Other ABS	184,182		42		(4,202)		180,022
Foreign government and agency securities	5,113		—		(64)		5,049
Mortgage insurance-linked notes (1)	53,685		—		(1,085)		52,600
Total securities available for sale, including loaned securities	5,660,012		$	3,156	$	(420,076)	5,243,092
Less: loaned securities (2)	16,128						14,348
Total fixed-maturities available for sale	$	5,643,884					$	5,228,744

(1)Comprises the notes purchased by Radian Group in connection with the Excess-of-Loss Program. See Note 8 for more information.

(2)Included in other assets in our condensed consolidated balance sheets as further described below. See “—Securities Lending Agreements” below for a discussion of our securities lending agreements.


Available for sale securities

	December 31, 2021
(In thousands)	Amortized Cost		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.

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. There was no allowance as of June 30, 2022, or December 31, 2021.


Rollforward of allowance for credit losses on fixed-maturities available for sale

(In thousands)	Three Months Ended June 30, 2021		Six Months Ended June 30, 2021
Beginning balance	$	638	$	948

Net decreases in allowance on previously impaired securities	(608)		(918)
Reduction for securities sold	(30)		(30)
Ending balance	$	—	$	—

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 June 30, 2022, and December 31, 2021, 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

	June 30, 2022
($ 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	19	$	122,570	$	(17,028)	5	$	20,027	$	(1,322)	24	$	142,597	$	(18,350)
State and municipal obligations	51	103,028		(12,050)		—	—		—		51	103,028		(12,050)
Corporate bonds and notes	532	2,308,451		(214,471)		71	198,415		(57,265)		603	2,506,866		(271,736)
RMBS	142	607,722		(43,891)		22	128,182		(20,026)		164	735,904		(63,917)
CMBS	144	558,045		(24,441)		17	43,123		(6,566)		161	601,168		(31,007)
CLO	136	413,093		(13,506)		22	89,722		(4,159)		158	502,815		(17,665)
Other ABS	74	161,012		(3,933)		4	4,806		(269)		78	165,818		(4,202)
Mortgage insurance linked-notes	3	52,600		(1,085)		—	—		—		3	52,600		(1,085)
Foreign government and agency securities	1	5,049		(64)		—	—		—		1	5,049		(64)
Total	1,102	$	4,331,570	$	(330,469)	141	$	484,275	$	(89,607)	1,243	$	4,815,845	$	(420,076)


	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)

See “—Net Gains (Losses) on Investments and Other Financial Instruments” below for additional details on our net gains (losses) on investments and other financial instruments, 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. During the three and six months ended June 30, 2022, we did not recognize any allowance for credit losses or other impairments related to fixed-maturities available for sale in an unrealized loss position. See Note 2 of Notes to Consolidated Financial Statements in our 2021 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 2021 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 $14.1 million and $57.8 million as of June 30, 2022, and December 31, 2021, 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 and Other Financial Instruments

Net gains (losses) on investments and other financial instruments consisted of the following.


Net gains (losses) on investments and other financial instruments

	Three Months Ended June 30,				Six Months Ended June 30,
(In thousands)	2022		2021		2022		2021
Net realized gains (losses) on investments sold or redeemed
Fixed-maturities available for sale
Gross realized gains	$	713	$	9,597	$	2,143	$	13,714
Gross realized losses	(4,653)		(7,221)		(8,061)		(12,128)
Fixed-maturities available for sale, net	(3,940)		2,376		(5,918)		1,586
Trading securities	(106)		(112)		(106)		391
Equity securities	—		(227)		1,655		(227)
Other investments	54		2,229		54		2,334
Net realized gains (losses) on investments sold or redeemed	(3,992)		4,266		(4,315)		4,084

Change in unrealized gains (losses) on investments sold or redeemed	(28)		(1,883)		(2,198)		(2,080)

Net decrease (increase) in expected credit losses	—		608		—		918

Net unrealized gains (losses) on investments still held
Trading securities	(8,221)		4,601		(21,138)		(3,448)
Equity securities	(20,707)		5,140		(25,014)		9,983
Other investments	(185)		178		(421)		1,062
Net unrealized gains (losses) on investments still held	(29,113)		9,919		(46,573)		7,597
Total net gains (losses) on investments	(33,133)		12,910		(53,086)		10,519
Net gains (losses) on other financial instruments	(8,736)		2,751		(18,240)		(39)
Net gains (losses) on investments and other financial instruments	$	(41,869)	$	15,661	$	(71,326)	$	10,480

Contractual Maturities

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


Contractual maturities of fixed-maturities available for sale

	June 30, 2022

(In thousands)	Amortized Cost		Fair Value
Due in one year or less	$	151,491	$	150,543
Due after one year through five years (1)	1,298,176		1,249,795
Due after five years through 10 years (1)	1,112,921		1,001,606
Due after 10 years (1)	849,400		710,723
Asset-backed and mortgage-backed securities (2)	2,248,024		2,130,425
Total	5,660,012		5,243,092
Less: loaned securities	16,128		14,348
Total fixed-maturities available for sale	$	5,643,884	$	5,228,744

(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 six months ended June 30, 2022, 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 $13.5 million and $14.3 million at June 30, 2022, and December 31, 2021, 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.