Fair Value of Financial Instruments

6 Months Ended

Jun. 30, 2023

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 2022 Form 10-K.

The following tables include a list of assets and liabilities that are measured at fair value by hierarchy level as of June 30, 2023, and December 31, 2022.

Assets and liabilities carried at fair value by hierarchy level
	June 30, 2023
(In thousands)	Level I		Level II		Level III		Total
Investments
Fixed-maturities available for sale
U.S. government and agency securities	$	135,417	$	10,391	$	—	$	145,808
State and municipal obligations	—		163,239		—		163,239
Corporate bonds and notes	—		2,502,777		—		2,502,777
RMBS	—		990,257		—		990,257
CMBS	—		573,756		—		573,756
CLO	—		488,415		—		488,415
Other ABS	—		235,918		—		235,918
Foreign government and agency securities	—		5,017		—		5,017
Mortgage insurance-linked notes (1)	—		50,710		—		50,710
Total fixed-maturities available for sale	135,417		5,020,480		—		5,155,897
Trading securities
State and municipal obligations	—		70,954		—		70,954
Corporate bonds and notes	—		24,236		—		24,236
RMBS	—		6,266		—		6,266
CMBS	—		4,473		—		4,473
Total trading securities	—		105,929		—		105,929
Equity securities	123,977		6,629		2,500		133,106
Mortgage loans held for sale	—		59,252		—		59,252
Other invested assets (2)	—		—		4,296		4,296
Short-term investments
State and municipal obligations	—		2,685		—		2,685
Money market instruments	228,985		—		—		228,985
Corporate bonds and notes	—		101,557		—		101,557
RMBS	—		1,680		—		1,680
CMBS	—		1,325		—		1,325
Other ABS	—		11,620		—		11,620
Other investments (3)	—		88,073		—		88,073
Total short-term investments	228,985		206,940		—		435,925
Total investments at fair value (2)	488,379		5,399,230		6,796		5,894,405
Other
Derivative assets (4)	—		312		166		478
Loaned securities (5)
Corporate bonds and notes	—		44,322		—		44,322
Equity securities	45,597		—		—		45,597
Total assets at fair value (2)	$	533,976	$	5,443,864	$	6,962	$	5,984,802
Liabilities
Derivative liabilities	$	—	$	—	$	103	$	103
Total liabilities at fair value	$	—	$	—	$	103	$	103

(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)Does not include other invested assets of $1.5 million that are primarily invested in limited partnership investments valued using the net asset value as a practical expedient.

(3)Comprises short-term certificates of deposit and commercial paper.

(4)Level III derivative assets consist of embedded derivatives related to our Excess-of-Loss Program, which 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.

Assets and liabilities carried at fair value by hierarchy level
	December 31, 2022
(In thousands)	Level I		Level II		Level III		Total
Investments
Fixed-maturities available for sale
U.S. government and agency securities	$	140,011	$	5,431	$	—	$	145,442
State and municipal obligations	—		142,386		—		142,386
Corporate bonds and notes	—		2,490,582		—		2,490,582
RMBS	—		928,399		—		928,399
CMBS	—		593,357		—		593,357
CLO	—		498,192		—		498,192
Other ABS	—		161,359		—		161,359
Foreign government and agency securities	—		4,975		—		4,975
Mortgage insurance-linked notes (1)	—		53,019		—		53,019
Total fixed-maturities available for sale	140,011		4,877,700		—		5,017,711
Trading securities
State and municipal obligations	—		70,511		—		70,511
Corporate bonds and notes	—		32,827		—		32,827
RMBS	—		6,847		—		6,847
CMBS	—		5,480		—		5,480
Total trading securities	—		115,665		—		115,665
Equity securities	138,716		7,749		2,500		148,965
Mortgage loans held for sale	—		3,549		—		3,549
Other invested assets (2)	—		—		4,296		4,296
Short-term investments
State and municipal obligations	—		2,785		—		2,785
Money market instruments	241,440		—		—		241,440
Corporate bonds and notes	—		42,385		—		42,385
Other investments (3)	—		115,480		—		115,480
Total short-term investments	241,440		160,650		—		402,090
Total investments at fair value (2)	520,167		5,165,313		6,796		5,692,276
Other
Derivative assets	—		11		—		11
Loaned securities (4)
Corporate bonds and notes	—		47,585		—		47,585
Equity securities	64,554		—		—		64,554
Total assets at fair value (2)	$	584,721	$	5,212,909	$	6,796	$	5,804,426
Liabilities
Derivative liabilities (5)	$	—	$	42	$	4,858	$	4,900
Total liabilities at fair value	$	—	$	42	$	4,858	$	4,900

(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)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.

(3)Comprises short-term certificates of deposit and commercial paper.

(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)Level III derivative liabilities consist of embedded derivatives related to our Excess-of-Loss Program, which are classified as other liabilities in our condensed consolidated balance sheets. See Note 8 for more information.

There were no transfers to or from Level III for the three and six months ended June 30, 2023 or 2022. 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, 2023 and 2022.

Other Fair Value Disclosure

The carrying value and estimated fair value of other selected assets and liabilities not carried at fair value in our condensed consolidated balance sheets were as follows as of the dates indicated.

Financial instruments not carried at fair value
	June 30, 2023				December 31, 2022
(In thousands)	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
Company-owned life insurance	$	107,953	$	98,953	$	105,331	$	94,943
Senior notes	$	1,415,610	$	1,386,675	$	1,413,504	$	1,361,844
Secured borrowings
FHLB advances	$	129,813	$	129,836	$	153,686	$	153,728
Mortgage financing facilities	48,949		48,949		2,136		2,136
Total secured borrowings	$	178,762	$	178,785	$	155,822	$	155,864

The fair value of our company-owned life insurance is estimated based on market surrender value less applicable surrender charges. These assets are categorized in Level III of the fair value hierarchy. See Note 9 for further information on our company-owned life insurance. The fair value of our senior notes is estimated based on quoted market prices. The fair value of our secured borrowings is estimated based on contractual cash flows discounted at current borrowing rates for similar borrowing arrangements. These liabilities are categorized in Level II of the fair value hierarchy. See Note 12 for further information about our senior notes and secured borrowings.