Investments

3 Months Ended

Mar. 31, 2023

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

	March 31, 2023
(In thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Fixed-maturities available for sale
U.S. government and agency securities	$	191,827	$	713	$	(24,369)		$	168,171
State and municipal obligations	182,415		478		(16,471)			166,422
Corporate bonds and notes	2,901,464		3,882		(303,775)			2,601,571
RMBS	1,043,417		1,776		(82,724)			962,469
CMBS	637,554		3		(47,719)			589,838
CLO	506,227		2		(17,445)			488,784
Other ABS	203,111		615		(4,967)			198,759
Foreign government and agency securities	5,121		—		(107)			5,014
Mortgage insurance-linked notes (1)	61,318		194		(53)			61,459
Total securities available for sale, including loaned securities	5,732,454		$	7,663	$	(497,630)	(2)	5,242,487
Less: loaned securities (3)	77,174							70,112
Total fixed-maturities available for sale	$	5,655,280						$	5,172,375

	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

(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 condensed consolidated balance sheets as further described below. See “Loaned Securities” below for a discussion of our securities lending agreements.

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 March 31, 2023, and December 31, 2022, are loaned securities 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

	March 31, 2023
($ 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	7	$	35,340	$	(2,589)	17	$	108,647	$	(21,780)	24	$	143,987	$	(24,369)
State and municipal obligations	24	84,812		(4,293)		36	53,004		(12,178)		60	137,816		(16,471)
Corporate bonds and notes	227	980,939		(46,110)		362	1,418,761		(257,665)		589	2,399,700		(303,775)
RMBS	49	319,516		(10,804)		132	500,482		(71,920)		181	819,998		(82,724)
CMBS	40	134,349		(6,053)		120	452,445		(41,666)		160	586,794		(47,719)
CLO	35	93,096		(4,139)		111	383,681		(13,306)		146	476,777		(17,445)
Other ABS	47	89,870		(1,270)		26	43,541		(3,697)		73	133,411		(4,967)
Mortgage insurance-linked notes	2	10,636		(53)		—	—		—		2	10,636		(53)
Foreign government and agency securities	—	—		—		1	5,014		(107)		1	5,014		(107)
Total	431	$	1,748,558	$	(75,311)	805	$	2,965,575	$	(422,319)	1,236	$	4,714,133	$	(497,630)


	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)

As of March 31, 2023, we did not expect to realize a loss for our investments in an unrealized loss position given our intent and ability to hold these investment securities until recovery of their amortized cost basis. See Note 2 of Notes to Consolidated Financial Statements in our 2022 Form 10-K for information regarding our accounting policy for impairments of investments.

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. 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.

All of our securities lending agreements are classified as overnight and revolving. Securities collateral on deposit with us from third-party borrowers totaling $41.1 million and $16.2 million as of March 31, 2023, and December 31, 2022, 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.

See Note 5 herein for additional detail on the loaned securities, and see Note 6 of Notes to Consolidated Financial Statements in our 2022 Form 10-K for additional information about our accounting policies with respect to our securities lending agreements and the collateral requirements thereunder.

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 March 31,
(In thousands)		2023		2022
Net realized gains (losses) on investments sold or redeemed
Fixed-maturities available for sale
Gross realized gains		$	78	$	1,430
Gross realized losses		(5,310)		(3,408)
Fixed-maturities available for sale, net		(5,232)		(1,978)
Trading securities		(302)		—
Equity securities		—		1,655
Mortgage loans held for sale		1		—
Other investments		28		—
Net realized gains (losses) on investments sold or redeemed		(5,505)		(323)

Change in unrealized gains (losses) on investments sold or redeemed		439		(1,949)





Net unrealized gains (losses) on investments still held
Trading securities		2,078		(13,033)
Equity securities		3,444		(4,385)
Mortgage loans held for sale		86		—
Other investments		(37)		(263)
Net unrealized gains (losses) on investments still held		5,571		(17,681)
Total net gains (losses) on investments		505		(19,953)
Net gains (losses) on other financial instruments (1)		5,080		(9,504)
Net gains (losses) on investments and other financial instruments		$	5,585	$	(29,457)

(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

	March 31, 2023

(In thousands)	Amortized Cost		Fair Value
Due in one year or less	$	112,649	$	110,871
Due after one year through five years (1)	1,296,849		1,226,557
Due after five years through 10 years (1)	992,330		887,695
Due after 10 years (1)	878,999		716,055
Asset-backed and mortgage-backed securities (2)	2,451,627		2,301,309
Total	5,732,454		5,242,487
Less: loaned securities	77,174		70,112
Total fixed-maturities available for sale	$	5,655,280	$	5,172,375

(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 $13.5 million and $13.3 million at March 31, 2023, and December 31, 2022, 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.