Investments

12 Months Ended

Dec. 31, 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

	December 31, 2022
(In thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Fixed-maturities available for sale
U.S. government and agency securities	$	174,138	$	206	$	(28,902)		$	145,442
State and municipal obligations	164,325		—		(21,939)			142,386
Corporate bonds and notes	2,886,905		1,403		(350,537)			2,537,771
RMBS	1,025,795		1,163		(98,559)			928,399
CMBS	645,890		13		(52,546)			593,357
CLO	518,677		—		(20,485)			498,192
Other ABS	168,033		69		(6,743)			161,359
Foreign government and agency securities	5,118		—		(143)			4,975
Mortgage insurance-linked notes (1)	54,578		80		(1,639)			53,019
Total securities available for sale, including loaned securities	5,643,459		$	2,934	$	(581,493)	(2)	5,064,900
Less: loaned securities (3)	56,198							47,189
Total fixed-maturities available for sale	$	5,587,261						$	5,017,711



	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)Includes mortgage insurance-linked 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 consolidated balance sheets as further described below. See “—Loaned Securities” below for a discussion of our securities lending.

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 December 31, 2022.


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

	Year Ended December 31,
(In thousands)	2021
Beginning balance	$	948

Net increases (decreases) in allowance on previously impaired securities	(918)
Reduction for securities sold	(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 December 31, 2022 and 2021, are loaned securities 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, 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	14	$	86,964	$	(21,370)	10	$	47,770	$	(7,532)	24	$	134,734	$	(28,902)
State and municipal obligations	43	116,285		(14,231)		20	25,401		(7,708)		63	141,686		(21,939)
Corporate bonds and notes	411	1,769,547		(176,768)		203	701,936		(173,769)		614	2,471,483		(350,537)
RMBS	124	610,812		(46,117)		59	261,370		(52,442)		183	872,182		(98,559)
CMBS	108	469,100		(38,178)		55	121,277		(14,368)		163	590,377		(52,546)
CLO	94	246,705		(10,271)		61	245,584		(10,214)		155	492,289		(20,485)
Other ABS	61	115,181		(3,603)		18	31,041		(3,140)		79	146,222		(6,743)
Mortgage insurance-linked notes	2	43,745		(1,639)		—	—		—		2	43,745		(1,639)
Foreign government and agency securities	1	4,975		(143)		—	—		—		1	4,975		(143)
Total	858	$	3,463,314	$	(312,320)	426	$	1,434,379	$	(269,173)	1,284	$	4,897,693	$	(581,493)


	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)

Given our intent and ability as of December 31, 2022, to hold these securities until recovery of their amortized cost basis, we do not expect to realize a loss on any of our investments in an unrealized loss position. See Note 2 for information regarding our accounting policy for impairments.

Loaned Securities

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 within investments, the detailed information we provide in this Note 6 includes these securities. See Note 5 for additional detail on the loaned securities.

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 $16.2 million and $57.8 million as of December 31, 2022 and 2021, 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)	2022		2021		2020
Investment income
Fixed-maturities	$	184,189	$	145,613	$	148,127
Equity securities	11,210		8,158		6,378
Mortgage loans	39		—		—
Short-term investments	5,716		817		5,774
Other	1,370		368		354
Gross investment income	202,524		154,956		160,633
Investment expenses	(6,866)		(7,047)		(6,596)
Net investment income	$	195,658	$	147,909	$	154,037

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

	Years Ended December 31,
(In thousands)	2022		2021		2020
Net realized gains (losses) on investments sold or redeemed
Fixed-maturities available for sale
Gross realized gains	$	2,763	$	22,766	$	37,431
Gross realized losses	(12,737)		(17,105)		(2,562)
Fixed-maturities available for sale, net	(9,974)		5,661		34,869
Trading securities	(135)		390		4
Equity securities	1,655		10,820		353
Mortgage loans held for sale	28		—		—
Other investments	148		3,971		600
Net realized gains (losses) on investments sold or redeemed	(8,278)		20,842		35,826

Change in unrealized gains (losses) on investments sold or redeemed	(3,458)		(8,714)		(1,630)

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 still held
Trading securities	(27,700)		(7,330)		10,583
Equity securities	(25,255)		10,210		1,759
Mortgage loans held for sale	51		—		—
Other investments	(387)		1,173		248
Net unrealized gains (losses) on investments still held	(53,291)		4,053		12,590
Total net gains (losses) on investments	(65,027)		17,099		44,131
Net gains (losses) on other financial instruments (1)	(15,706)		(1,496)		16,146
Net gains (losses) on investments and other financial instruments	$	(80,733)	$	15,603	$	60,277

(1)Primarily reflects the change in fair value of the embedded derivatives associated with our Excess-of-Loss program. See Note 8 for more information.

Contractual Maturities

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


Contractual maturities of fixed-maturities available for sale

	December 31, 2022
(In thousands)	Amortized Cost		Fair Value
Due in one year or less	$	111,909	$	110,443
Due after one year through five years (1)	1,274,935		1,197,900
Due after five years through 10 years (1)	989,545		857,164
Due after 10 years (1)	854,097		665,067
Asset-backed securities and mortgage-related assets (2)	2,412,973		2,234,326
Total	5,643,459		5,064,900
Less: loaned securities	56,198		47,189
Total fixed-maturities available for sale	$	5,587,261	$	5,017,711

(1)Actual maturities may differ as a result of calls before scheduled maturity.

(2)Includes RMBS, CMBS, CLO, Other ABS, mortgage insurance-linked notes and mortgage loans, which are not due at a single maturity date.

Other

Our fixed-maturities available for sale include securities totaling $13.3 million and $14.3 million at December 31, 2022 and 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.