Investments (Tables)

9 Months Ended

Sep. 30, 2022

Summary of 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, 2022
(In thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Fixed-maturities available for sale
U.S. government and agency securities	$	175,175	$	—	$	(28,511)		$	146,664
State and municipal obligations	164,045		—		(21,302)			142,743
Corporate bonds and notes	2,869,400		132		(400,572)			2,468,960
RMBS	1,010,453		522		(110,384)			900,591
CMBS	656,321		4		(47,196)			609,129
CLO	518,261		—		(20,312)			497,949
Other ABS	177,299		26		(6,362)			170,963
Foreign government and agency securities	5,115		—		(145)			4,970
Mortgage insurance-linked notes (1)	45,384		—		(1,947)			43,437
Total securities available for sale, including loaned securities and securities sold under repurchase agreements	5,621,453		$	684	$	(636,731)	(2)	4,985,406
Less: loaned securities and securities sold under repurchase agreements (3)	85,921							76,174
Total fixed-maturities available for sale	$	5,535,532						$	4,909,232

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

(2)See “—Gross Unrealized Losses and Related Fair Value of Available for Sale Securities” below for additional details.

(3)Included in other assets in our condensed consolidated balance sheets as further described below. See “—Loaned Securities and Securities Sold Under Repurchase Agreements” below for a discussion of our securities lending and repurchase 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)	(2)	5,582,689
Less: loaned securities (3)	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.

(2)See “—Gross Unrealized Losses and Related Fair Value of Available for Sale Securities” below for additional details.

Rollforward of Allowance for Credit Losses on Fixed-Maturities Available for Sale

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 September 30, 2022, or December 31, 2021.


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

(In thousands)	Nine Months Ended September 30, 2021
Beginning balance	$	948

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

Unrealized Losses on Fixed-Maturities Available for Sale by Category and Length of Time

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, 2022, and December 31, 2021, are loaned securities and securities sold under repurchase 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, 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	16	$	94,560	$	(22,377)	8	$	48,322	$	(6,134)	24	$	142,882	$	(28,511)
State and municipal obligations	57	133,696		(19,265)		7	8,747		(2,037)		64	142,443		(21,302)
Corporate bonds and notes	487	1,992,250		(266,626)		123	451,971		(133,946)		610	2,444,221		(400,572)
RMBS	152	716,471		(80,207)		24	130,465		(30,177)		176	846,936		(110,384)
CMBS	129	517,151		(35,210)		39	86,743		(11,986)		168	603,894		(47,196)
CLO	121	359,365		(14,230)		36	138,584		(6,082)		157	497,949		(20,312)
Other ABS	76	133,593		(3,938)		8	18,850		(2,424)		84	152,443		(6,362)
Mortgage insurance-linked notes	2	43,437		(1,947)		—	—		—		2	43,437		(1,947)
Foreign government and agency securities	1	4,970		(145)		—	—		—		1	4,970		(145)
Total	1,041	$	3,995,493	$	(443,945)	245	$	883,682	$	(192,786)	1,286	$	4,879,175	$	(636,731)


	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)

Net Gains (Losses) on Investments

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 September 30,				Nine Months Ended September 30,
(In thousands)	2022		2021		2022		2021
Net realized gains (losses) on investments sold or redeemed
Fixed-maturities available for sale
Gross realized gains	$	411	$	5,874	$	2,554	$	19,588
Gross realized losses	(4,564)		(1,776)		(12,625)		(13,904)
Fixed-maturities available for sale, net	(4,153)		4,098		(10,071)		5,684
Trading securities	(30)		—		(136)		391
Equity securities	—		8,632		1,655		8,405
Other investments	44		1,516		98		3,850
Net realized gains (losses) on investments sold or redeemed	(4,139)		14,246		(8,454)		18,330

Change in unrealized gains (losses) on investments sold or redeemed	29		(7,584)		(2,914)		(7,115)

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

Net unrealized gains (losses) on investments still held
Trading securities	(7,398)		(2,659)		(27,892)		(6,011)
Equity securities	(7,256)		(1,086)		(32,249)		6,251
Other investments	(149)		(13)		(490)		1,050
Net unrealized gains (losses) on investments still held	(14,803)		(3,758)		(60,631)		1,290
Total net gains (losses) on investments	(18,913)		2,904		(71,999)		13,423
Net gains (losses) on other financial instruments	2,661		(806)		(15,579)		(845)
Net gains (losses) on investments and other financial instruments	$	(16,252)	$	2,098	$	(87,578)	$	12,578

Contractual Maturities of Fixed-Maturities Available for Sale

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


Contractual maturities of fixed-maturities available for sale

	September 30, 2022

(In thousands)	Amortized Cost		Fair Value
Due in one year or less	$	105,948	$	104,459
Due after one year through five years (1)	1,264,301		1,178,849
Due after five years through 10 years (1)	1,004,494		847,994
Due after 10 years (1)	838,992		632,035
Asset-backed and mortgage-backed securities (2)	2,407,718		2,222,069
Total	5,621,453		4,985,406
Less: loaned securities and securities sold under repurchase agreements	85,921		76,174
Total fixed-maturities available for sale	$	5,535,532	$	4,909,232

(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.