Essent group ltd. announces first quarter 2022 results and increases quarterly dividend
Hamilton, bermuda--(business wire)--essent group ltd. (nyse: esnt) today reported net income for the quarter ended march 31, 2022 of $274.2 million or $2.52 per diluted share, compared to $135.6 million or $1.21 per diluted share for the quarter ended march 31, 2021. essent also announced today that its board of directors has declared a quarterly cash dividend of $0.21 per common share. the dividend is payable on june 10, 2022, to shareholders of record on june 1, 2022. “our strong results for the quarter reflect the continued favorable credit performance of our portfolio,” said mark a. casale, chairman and chief executive officer. “our outlook on housing remains positive, and we believe that the fundamentals of our business remain solid. more importantly, with the strength of our balance sheet and buy, manage, and distribute operating model, we are built to manage through economic cycles. in connection with that, we are pleased to announce that our board has approved an increase in our quarterly dividend to $0.21 per share.” first quarter 2022 financial highlights: insurance in force as of march 31, 2022 was $206.8 billion, compared to $207.2 billion as of december 31, 2021 and $197.1 billion as of march 31, 2021. new insurance written for the first quarter was $12.8 billion, compared to $16.4 billion in the fourth quarter of 2021 and $19.3 billion in the first quarter of 2021. net premiums earned for the first quarter were $215.3 million, compared to $217.3 million in the fourth quarter of 2021 and $219.1 million in the first quarter of 2021. income from other invested assets for the first quarter was $24.7 million, compared to $15.0 million in the fourth quarter of 2021. the expense ratio for the first quarter was 18.9%, compared to 19.0% in the fourth quarter of 2021 and 19.3% in the first quarter of 2021. the provision for losses and lae for the first quarter was a benefit of $106.9 million, compared to a benefit of $3.4 million in the fourth quarter of 2021 and a provision of $32.3 million in the first quarter of 2021. the provision in the first quarter of 2022 included a $101.2 million benefit associated with a change in the claim rate assumption for covid-19 defaults recorded in the second and third quarters of 2020. the provision in the first quarter of 2022 included a $101.2 million benefit associated with a change in the claim rate assumption for covid-19 defaults recorded in the second and third quarters of 2020. the percentage of loans in default as of march 31, 2022 was 1.93%, compared to 2.16% as of december 31, 2021 and 3.70% as of march 31, 2021. the combined ratio for the first quarter was negative (30.7%), compared to 17.4% in the fourth quarter of 2021 and 34.0% in the first quarter of 2021. the consolidated balance of cash and investments at march 31, 2022 was $5.1 billion, which includes holding company net cash and investments available for sale of $578.6 million. the combined risk-to-capital ratio of the u.s. mortgage insurance business, which includes statutory capital for both essent guaranty, inc. and essent guaranty of pa, inc., was 9.9:1 as of march 31, 2022. during the quarter, we entered into a second quota share reinsurance transaction with a panel of highly rated third-party reinsurers. the quota share agreement covers 20% of all eligible policies written by essent guaranty, inc. for the period january 1, 2022 through december 31, 2022. essent’s board of directors has authorized a new share repurchase plan of up to $250 million of the company’s common shares through december 31, 2023. the prior repurchase authorization from may 2021 was completed in april 2022. conference call: essent management will hold a conference call at 10:00 am eastern time today to discuss its results. the conference call will be broadcast live over the internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. the call may also be accessed by dialing 888-330-2384 inside the u.s., or 240-789-2701 for international callers, using passcode 9824537 or by referencing essent. a replay of the webcast will be available on the essent website approximately two hours after the live broadcast ends for a period of one year. a replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the u.s., or 647-362-9199 for international callers, passcode 9824537. in addition to the information provided in the company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx. forward-looking statements: this press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of covid-19 and related economic conditions; changes in or to fannie mae and freddie mac (the “gses”), whether through federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the gses; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); an increase in the number of loans insured through federal government mortgage insurance programs, including those offered by the federal housing administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "qualified mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "qualified residential mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the basel iii capital accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; our non-u.s. operations becoming subject to u.s. federal income taxation; becoming considered a passive foreign investment company for u.s. federal income tax purposes; and other risks and factors described in part i, item 1a “risk factors” of our annual report on form 10-k for the year ended december 31, 2021 filed with the securities and exchange commission on february 16, 2022, as subsequently updated through other reports we file with the securities and exchange commission. any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise. about the company: essent group ltd. (nyse: esnt) is a bermuda-based holding company (collectively with its subsidiaries, “essent”) which, through its wholly-owned subsidiary, essent guaranty, inc., offers private mortgage insurance for single-family mortgage loans in the united states. essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. headquartered in radnor, pennsylvania, essent guaranty, inc. is licensed to write mortgage insurance in all 50 states and the district of columbia, and is approved by fannie mae and freddie mac. essent also offers mortgage-related insurance, reinsurance and advisory services through its bermuda-based subsidiary, essent reinsurance ltd. essent is committed to supporting environmental, social and governance (“esg”) initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. additional information regarding essent may be found at www.essentgroup.com and www.essent.us. essent group ltd. and subsidiaries financial results and supplemental information (unaudited) quarter ended march 31, 2022 exhibit a condensed consolidated statements of comprehensive income (unaudited) exhibit b condensed consolidated balance sheets (unaudited) exhibit c historical quarterly data exhibit d new insurance written exhibit e insurance in force and risk in force exhibit f other risk in force exhibit g portfolio vintage data exhibit h reinsurance vintage data exhibit i portfolio geographic data exhibit j rollforward of defaults and reserve for losses and lae exhibit k detail of reserves by default delinquency exhibit l investments available for sale exhibit m insurance company capital exhibit a essent group ltd. and subsidiaries condensed consolidated statements of comprehensive income (unaudited) three months ended march 31, (in thousands, except per share amounts) 2022 2021 revenues: direct premiums written $ 220,254 $ 235,257 ceded premiums (20,523 ) (30,896 ) net premiums written 199,731 204,361 decrease in unearned premiums 15,599 14,706 net premiums earned 215,330 219,067 net investment income 24,680 21,788 realized investment (losses) gains, net (7,352 ) 641 income from other invested assets 24,705 526 other income 7,248 2,775 total revenues 264,611 244,797 losses and expenses: (benefit) provision for losses and lae (106,858 ) 32,322 other underwriting and operating expenses 40,796 42,239 interest expense 2,226 2,051 total losses and expenses (63,836 ) 76,612 income before income taxes 328,447 168,185 income tax expense 54,280 32,537 net income $ 274,167 $ 135,648 earnings per share: basic $ 2.53 $ 1.21 diluted 2.52 1.21 weighted average shares outstanding: basic 108,166 112,016 diluted 108,590 112,378 net income $ 274,167 $ 135,648 other comprehensive income (loss): change in unrealized depreciation of investments (203,006 ) (59,203 ) total other comprehensive loss (203,006 ) (59,203 ) comprehensive income $ 71,161 $ 76,445 loss ratio (49.6 %) 14.8 % expense ratio 18.9 19.3 combined ratio (30.7 %) 34.0 % exhibit b essent group ltd. and subsidiaries condensed consolidated balance sheets (unaudited) march 31, december 31, (in thousands, except per share amounts) 2022 2021 assets investments fixed maturities available for sale, at fair value $ 4,145,542 $ 4,649,800 short-term investments available for sale, at fair value 517,363 313,087 total investments available for sale 4,662,905 4,962,887 other invested assets 212,521 170,472 total investments 4,875,426 5,133,359 cash 203,845 81,491 accrued investment income 23,233 26,546 accounts receivable 45,167 46,157 deferred policy acquisition costs 11,148 12,178 property and equipment 20,308 11,921 prepaid federal income tax 360,810 360,810 other assets 46,208 49,712 total assets $ 5,586,145 $ 5,722,174 liabilities and stockholders' equity liabilities reserve for losses and lae $ 293,072 $ 407,445 unearned premium reserve 169,786 185,385 net deferred tax liability 359,919 373,654 credit facility borrowings, net of deferred costs 420,073 419,823 other accrued liabilities 128,227 99,753 total liabilities 1,371,077 1,486,060 commitments and contingencies stockholders' equity common shares, $0.015 par value: authorized - 233,333; issued and outstanding - 108,140 shares in 2022 and 109,377 shares in 2021 1,622 1,641 additional paid-in capital 1,358,583 1,428,952 accumulated other comprehensive (loss) income (152,299 ) 50,707 retained earnings 3,007,162 2,754,814 total stockholders' equity 4,215,068 4,236,114 total liabilities and stockholders' equity $ 5,586,145 $ 5,722,174 return on average equity (1) 26.0 % 16.8 % (1) the 2022 return on average equity is calculated by dividing annualized year-to-date 2022 net income by average equity. the 2021 return on average equity is calculated by dividing full year 2021 net income by average equity. exhibit c essent group ltd. and subsidiaries supplemental information historical quarterly data 2022 2021 selected income statement data march 31 december 31 september 30 june 30 march 31 (in thousands, except per share amounts) revenues: net premiums earned: u.s. mortgage insurance portfolio $ 203,312 $ 205,877 $ 207,127 $ 204,149 $ 207,840 gse and other risk share 12,018 11,444 11,591 13,288 11,227 net premiums earned 215,330 217,321 218,718 217,437 219,067 net investment income 24,680 23,661 21,573 21,743 21,788 realized investment (losses) gains, net (7,352 ) (191 ) 221 (253 ) 641 income from other invested assets (1) 24,705 14,997 40,741 122 526 other income (2) 7,248 1,128 2,283 4,212 2,775 total revenues 264,611 256,916 283,536 243,261 244,797 losses and expenses: (benefit) provision for losses and lae (106,858 ) (3,433 ) (7,483 ) 9,651 32,322 other underwriting and operating expenses 40,796 41,232 42,272 41,114 42,239 interest expense 2,226 2,095 2,063 2,073 2,051 total losses and expenses (63,836 ) 39,894 36,852 52,838 76,612 income before income taxes 328,447 217,022 246,684 190,423 168,185 income tax expense (3) 54,280 36,035 41,331 30,628 32,537 net income $ 274,167 $ 180,987 $ 205,353 $ 159,795 $ 135,648 earnings per share: basic $ 2.53 $ 1.65 $ 1.85 $ 1.43 $ 1.21 diluted 2.52 1.64 1.84 1.42 1.21 weighted average shares outstanding: basic 108,166 109,550 111,001 112,118 112,016 diluted 108,590 110,028 111,387 112,454 112,378 book value per share $ 38.98 $ 38.73 $ 37.58 $ 36.32 $ 34.75 return on average equity (annualized) 26.0 % 17.2 % 19.9 % 16.0 % 13.9 % other data: loss ratio (4) (49.6 %) (1.6 %) (3.4 %) 4.4 % 14.8 % expense ratio (5) 18.9 19.0 19.3 18.9 19.3 combined ratio (30.7 %) 17.4 % 15.9 % 23.3 % 34.0 % credit facility borrowings outstanding $ 425,000 $ 425,000 $ 325,000 $ 325,000 $ 325,000 undrawn committed capacity $ 400,000 $ 400,000 $ 300,000 $ 300,000 $ 300,000 weighted average interest rate (end of period) 1.99 % 1.79 % 2.13 % 2.13 % 2.13 % debt-to-capital 9.16 % 9.12 % 7.23 % 7.37 % 7.65 % (1) income from other invested assets for the three months ended september 30, 2021 includes $39.5 million of net unrealized gains, which includes $21.1 million of net unrealized gains that were accumulated in other comprehensive income at june 30, 2021 and prior periods. (2) for each of the three month periods noted, other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements as follows: march 31, 2022: $4,365; december 31, 2021: ($2,931); september 30, 2021: ($1,493); june 30, 2021: $950; march 31, 2021: ($606). (3) income tax expense for the quarters ended december 31, 2021 and march 31, 2021 includes $2,473 and $5,718, respectively, of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. income tax expense for the quarters ended march 31, 2022, december 31, 2021 and september 30, 2021 includes $7,002, $1,759 and $8,271, respectively, of discrete tax expense associated with realized and unrealized gains and losses. (4) loss ratio is calculated by dividing the provision for losses and lae by net premiums earned. (5) expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. exhibit c, continued essent group ltd. and subsidiaries supplemental information historical quarterly data 2022 2021 other data, continued: march 31 december 31 september 30 june 30 march 31 ($ in thousands) u.s. mortgage insurance portfolio flow: new insurance written $ 12,841,482 $ 16,379,082 $ 23,579,884 $ 25,004,854 $ 19,254,014 new risk written 3,438,016 4,331,531 6,273,735 6,445,864 4,616,450 bulk: new insurance written $ — $ 416 $ — $ — $ — new risk written — 41 — — — total: new insurance written $ 12,841,482 $ 16,379,498 $ 23,579,884 $ 25,004,854 $ 19,254,014 new risk written $ 3,438,016 $ 4,331,572 $ 6,273,735 $ 6,445,864 $ 4,616,450 average insurance in force $ 206,631,135 $ 207,388,906 $ 206,732,478 $ 199,739,297 $ 197,749,668 insurance in force (end of period) $ 206,842,996 $ 207,190,544 $ 208,216,549 $ 203,559,859 $ 197,091,191 gross risk in force (end of period) (6) $ 52,847,985 $ 52,554,246 $ 52,457,020 $ 50,835,835 $ 48,951,602 risk in force (end of period) $ 45,261,164 $ 45,273,383 $ 45,074,159 $ 42,906,519 $ 41,135,978 policies in force 774,002 785,119 798,877 794,743 785,382 weighted average coverage (7) 25.5 % 25.4 % 25.2 % 25.0 % 24.8 % annual persistency 69.1 % 65.4 % 62.2 % 58.3 % 56.1 % loans in default (count) 14,923 16,963 19,721 23,504 29,080 percentage of loans in default 1.93 % 2.16 % 2.47 % 2.96 % 3.70 % u.s. mortgage insurance portfolio premium rate: base average premium rate (8) 0.41 % 0.42 % 0.42 % 0.43 % 0.44 % single premium cancellations (9) 0.02 % 0.03 % 0.03 % 0.03 % 0.04 % gross average premium rate 0.43 % 0.45 % 0.45 % 0.46 % 0.48 % ceded premiums (0.04 %) (0.05 %) (0.05 %) (0.05 %) (0.06 %) net average premium rate 0.39 % 0.40 % 0.40 % 0.41 % 0.42 % (6) gross risk in force includes risk ceded under third-party reinsurance. (7) weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force. (8) base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period. (9) single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period. exhibit d essent group ltd. and subsidiaries supplemental information new insurance written: flow niw by credit score three months ended march 31, 2022 december 31, 2021 march 31, 2021 ($ in thousands) >=760 $ 5,410,654 42.1 % $ 6,643,740 40.6 % $ 8,471,121 44.0 % 740-759 2,113,232 16.5 2,833,379 17.3 3,153,327 16.4 720-739 1,991,318 15.5 2,472,738 15.1 2,753,296 14.3 700-719 1,620,473 12.6 2,170,829 13.2 2,358,634 12.2 680-699 1,147,766 8.9 1,504,268 9.2 1,227,408 6.4 =760 $ 85,707,070 41.4 % $ 85,501,113 41.3 % $ 81,629,166 41.4 % 740-759 35,048,891 17.0 35,111,019 17.0 33,969,375 17.2 720-739 31,180,765 15.1 31,158,325 15.0 29,323,182 14.9 700-719 26,040,114 12.6 26,105,790 12.6 23,775,892 12.1 680-699 16,847,202 8.1 16,819,629 8.1 15,241,886 7.7 =760 $ 21,707,751 41.1 % $ 21,488,011 40.9 % $ 20,063,586 41.0 % 740-759 9,041,350 17.1 8,992,181 17.1 8,512,926 17.4 720-739 8,091,445 15.3 8,029,952 15.3 7,410,503 15.1 700-719 6,724,288 12.7 6,693,045 12.7 5,947,590 12.1 680-699 4,338,206 8.2 4,299,245 8.2 3,798,221 7.8 90% ltv >95% ltv fico = 760 incurred loss ratio (inception to date) (1) number of loans in default percentage of loans in default 2010 - 2014 $ 60,668,851 $ 2,761,581 4.6 % 17,165 4.33 % 79.9 % 71.9 % 5.5 % 15.2 % 42.7 % 2.9 % 730 4.25 % 2015 26,193,656 2,684,417 10.2 15,613 4.17 86.5 69.6 3.6 18.1 39.7 3.5 618 3.96 2016 34,949,319 5,591,978 16.0 30,487 3.86 88.4 66.9 9.2 15.4 43.6 3.9 1,114 3.65 2017 43,858,322 7,526,131 17.2 42,330 4.26 90.7 66.7 18.9 20.1 37.9 5.8 2,042 4.82 2018 47,508,525 8,357,025 17.6 44,754 4.78 93.9 67.4 23.8 21.4 33.0 9.2 2,542 5.68 2019 63,569,183 18,001,459 28.3 81,777 4.21 86.4 65.6 22.8 18.9 35.5 13.4 3,150 3.85 2020 107,944,065 71,633,103 66.4 260,871 3.18 63.8 52.4 11.5 10.9 45.2 9.7 3,263 1.25 2021 84,218,250 77,556,621 92.1 244,657 3.07 83.0 59.3 14.1 14.0 40.4 9.4 1,456 0.60 2022 (through march 31) 12,841,482 12,730,681 99.1 36,348 3.63 94.1 63.6 13.7 13.3 42.0 2.2 8 0.02 total $ 481,751,653 $ 206,842,996 42.9 774,002 3.40 78.2 58.8 14.1 14.0 41.4 6.4 14,923 1.93 (1) incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned. exhibit h essent group ltd. and subsidiaries supplemental information reinsurance vintage data march 31, 2022 ($ in thousands) excess of loss reinsurance original reinsurance in force remaining reinsurance in force earned premiums ceded year remaining insurance in force remaining risk in force iln (1) other reinsurance (2) total iln other reinsurance total losses ceded to date original first layer retention remaining first layer retention year-to-date reduction in pmiers minimum required assets (9) 2015 & 2016 $ 7,994,097 $ 2,161,454 $ 333,844 $ — $ 333,844 $ 135,785 $ — $ 135,785 $ — $ 208,111 $ 207,023 $ 969 $ — 2017 7,329,533 1,908,895 424,412 165,167 589,579 242,123 165,167 407,290 — 224,689 217,185 2,662 — 2018 8,233,272 2,104,668 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 249,213 3,192 — 2019 (3) 9,954,519 2,549,289 495,889 55,102 550,991 495,889 55,102 550,991 — 215,605 215,054 2,760 13,924 2019 & 2020 (4) 28,615,471 7,271,864 399,159 — 399,159 102,726 — 102,726 — 465,690 465,681 2,497 32,257 2020 & 2021 (5) 47,520,573 11,699,693 557,911 — 557,911 557,911 — 557,911 — 278,956 278,936 3,603 503,240 2021 (6) 44,685,107 11,789,932 439,407 — 439,407 439,407 — 439,407 — 279,415 279,415 4,151 388,513 total $ 154,332,572 $ 39,485,795 $ 3,123,806 $ 338,919 $ 3,462,725 $ 2,299,378 $ 296,413 $ 2,595,791 $ — $ 1,926,109 $ 1,912,507 $ 19,834 $ 937,934 quota share reinsurance losses ceded ceding commission earned premiums ceded year remaining insurance in force remaining risk in force remaining ceded insurance in force remaining ceded risk in force year-to-date year-to-date year-to-date reduction in pmiers minimum required assets (9) 2019 & 2020 (7) $ 79,216,280 $ 19,757,783 $ 17,451,969 $ 4,309,817 $ (6,619 ) $ 3,748 $ 315 $ 286,276 2022 (8) $ 12,714,671 $ 3,406,064 $ 2,542,934 $ 681,213 $ 23 $ 185 $ 374 $ 46,627 total $ 91,930,951 $ 23,163,847 $ 19,994,903 $ 4,991,030 $ (6,596 ) $ 3,933 $ 689 $ 332,903 (1) reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ilns"). (2) reinsurance provided by panels of reinsurers. (3) reinsurance coverage on new insurance written from january 1, 2019 through august 31, 2019. (4) reinsurance coverage on new insurance written from september 1, 2019 through july 31, 2020. (5) reinsurance coverage on new insurance written from august 1, 2020 through march 31, 2021. (6) reinsurance coverage on new insurance written from april 1, 2021 through september 30, 2021. (7) reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from september 1, 2019 through december 31, 2020. (8) reinsurance coverage on 20% of all eligible policies written from january 1, 2022 through december 31, 2022. (9) represents the reduction in essent guaranty, inc.'s minimum required assets based on our interpretation of the pmiers. exhibit i essent group ltd. and subsidiaries supplemental information portfolio geographic data iif by state march 31, 2022 december 31, 2021 march 31, 2021 ca 13.2 % 13.1 % 12.5 % tx 10.0 9.9 9.8 fl 9.9 9.7 9.0 co 4.1 4.1 4.1 wa 3.6 3.7 3.7 az 3.3 3.3 3.5 il 3.3 3.3 3.4 ga 3.1 3.1 3.0 nj 3.1 3.1 3.2 va 3.1 3.1 3.1 all others 43.3 43.6 44.7 total 100.0 % 100.0 % 100.0 % gross rif by state march 31, 2022 december 31, 2021 march 31, 2021 ca 13.1 % 13.0 % 12.2 % tx 10.4 10.2 10.1 fl 10.2 10.0 9.3 co 4.0 4.0 4.0 wa 3.6 3.6 3.6 az 3.4 3.3 3.5 il 3.2 3.2 3.3 ga 3.2 3.1 3.1 va 3.0 3.0 3.0 nj 3.0 3.0 3.1 all others 42.9 43.6 44.8 total 100.0 % 100.0 % 100.0 % exhibit j essent group ltd. and subsidiaries supplemental information rollforward of defaults and reserve for losses and lae u.s. mortgage insurance portfolio rollforward of insured loans in default three months ended 2022 2021 march 31 december 31 september 30 june 30 march 31 beginning default inventory 16,963 19,721 23,504 29,080 31,469 plus: new defaults (a) 6,188 5,809 5,132 4,934 7,422 less: cures (8,167 ) (8,514 ) (8,862 ) (10,453 ) (9,737 ) less: claims paid (55 ) (47 ) (41 ) (46 ) (61 ) less: rescissions and denials, net (6 ) (6 ) (12 ) (11 ) (13 ) ending default inventory 14,923 16,963 19,721 23,504 29,080 (a) new defaults remaining as of march 31, 2022 4,347 2,243 1,453 1,042 1,165 cure rate (1) 30 % 61 % 72 % 79 % 84 % total amount paid for claims (in thousands) $ 826 $ 992 $ 1,069 $ 1,154 $ 1,989 average amount paid per claim (in thousands) $ 15 $ 21 $ 26 $ 25 $ 33 severity 35 % 45 % 60 % 57 % 70 % rollforward of reserve for losses and lae three months ended 2022 2021 ($ in thousands) march 31 december 31 september 30 june 30 march 31 reserve for losses and lae at beginning of period $ 406,096 $ 411,567 $ 420,482 $ 409,811 $ 373,868 less: reinsurance recoverables 25,940 26,970 27,286 24,907 19,061 net reserve for losses and lae at beginning of period 380,156 384,597 393,196 384,904 354,807 add provision for losses and lae occurring in: current period 24,346 13,231 11,371 24,534 47,763 prior years (130,114 ) (16,624 ) (18,853 ) (14,961 ) (15,680 ) incurred losses and lae during the period (105,768 ) (3,393 ) (7,482 ) 9,573 32,083 deduct payments for losses and lae occurring in: current period 1 157 103 14 114 prior years 904 891 1,014 1,267 1,872 loss and lae payments during the period 905 1,048 1,117 1,281 1,986 net reserve for losses and lae at end of period 273,483 380,156 384,597 393,196 384,904 plus: reinsurance recoverables 19,335 25,940 26,970 27,286 24,907 reserve for losses and lae at end of period $ 292,818 $ 406,096 $ 411,567 $ 420,482 $ 409,811 (1) the cure rate is calculated by dividing new defaults remaining as of the reporting date by the original number of new defaults reported in the quarterly period and subtracting that percentage from 100%. exhibit k essent group ltd. and subsidiaries supplemental information detail of reserves by default delinquency u.s. mortgage insurance portfolio march 31, 2022 number of policies in default percentage of policies in default amount of reserves percentage of reserves defaulted rif reserves as a percentage of defaulted rif ($ in thousands) missed payments: three payments or less 4,338 29 % $ 21,348 8 % $ 269,069 8 % four to eleven payments 4,971 33 64,332 24 312,976 21 twelve or more payments 5,540 37 181,859 67 347,926 52 pending claims 74 1 2,753 1 3,341 82 total case reserves 14,923 100 % 270,292 100 % $ 933,312 29 ibnr 20,272 lae 2,254 total reserves for losses and lae $ 292,818 average reserve per default: case $ 18.1 total $ 19.6 default rate 1.93 % december 31, 2021 number of policies in default percentage of policies in default amount of reserves percentage of reserves defaulted rif reserves as a percentage of defaulted rif ($ in thousands) missed payments: three payments or less 4,113 24 % $ 20,712 5 % $ 243,511 9 % four to eleven payments 5,459 32 77,822 21 349,494 22 twelve or more payments 7,331 43 274,465 73 470,859 58 pending claims 60 1 2,397 1 2,852 84 total case reserves 16,963 100 % 375,396 100 % $ 1,066,716 35 ibnr 28,155 lae 2,545 total reserves for losses and lae $ 406,096 average reserve per default: case $ 22.1 total $ 23.9 default rate 2.16 % march 31, 2021 number of policies in default percentage of policies in default amount of reserves percentage of reserves defaulted rif reserves as a percentage of defaulted rif ($ in thousands) missed payments: three payments or less 5,487 19 % $ 39,244 10 % $ 329,223 12 % four to eleven payments 16,157 56 215,949 57 1,022,979 21 twelve or more payments 7,393 25 120,128 32 500,658 24 pending claims 43 — 1,758 1 2,236 79 total case reserves 29,080 100 % 377,079 100 % $ 1,855,096 20 ibnr 28,281 lae 4,451 total reserves for losses and lae $ 409,811 average reserve per default: case $ 13.0 total $ 14.1 default rate 3.70 % exhibit l essent group ltd. and subsidiaries supplemental information investments available for sale investments available for sale by asset class asset class march 31, 2022 december 31, 2021 ($ in thousands) fair value percent fair value percent u.s. treasury securities $ 423,640 9.1 % $ 448,793 9.1 % u.s. agency securities — — 5,504 0.1 u.s. agency mortgage-backed securities 854,775 18.3 1,008,863 20.3 municipal debt securities 512,185 11.0 627,599 12.7 non-u.s. government securities 71,743 1.5 79,743 1.6 corporate debt securities 1,283,644 27.5 1,455,247 29.3 residential and commercial mortgage securities 538,870 11.6 545,423 11.0 asset-backed securities 594,451 12.8 581,703 11.7 money market funds 383,597 8.2 210,012 4.2 total investments available for sale $ 4,662,905 100.0 % $ 4,962,887 100.0 % investments available for sale by credit rating rating (1) march 31, 2022 december 31, 2021 ($ in thousands) fair value percent fair value percent aaa $ 2,372,351 50.9 % $ 2,412,273 48.6 % aa1 80,491 1.7 96,331 1.9 aa2 334,764 7.2 354,951 7.2 aa3 212,344 4.5 221,914 4.5 a1 275,127 5.9 263,820 5.3 a2 413,390 8.9 427,282 8.6 a3 240,922 5.2 274,525 5.5 baa1 226,229 4.8 305,204 6.1 baa2 218,244 4.7 274,011 5.5 baa3 190,644 4.1 240,755 4.9 below baa3 98,399 2.1 91,821 1.9 total investments available for sale $ 4,662,905 100.0 % $ 4,962,887 100.0 % (1) based on ratings issued by moody's, if available. s&p or fitch rating utilized if moody's not available. investments available for sale by duration and book yield effective duration march 31, 2022 december 31, 2021 ($ in thousands) fair value percent fair value percent < 1 year $ 1,277,568 27.4 % $ 1,104,397 22.2 % 1 to < 2 years 398,752 8.6 561,297 11.3 2 to < 3 years 412,012 8.8 539,174 10.9 3 to < 4 years 514,026 11.0 593,663 12.0 4 to < 5 years 615,448 13.2 663,127 13.4 5 or more years 1,445,099 31.0 1,501,229 30.2 total investments available for sale $ 4,662,905 100.0 % $ 4,962,887 100.0 % pre-tax investment income yield: three months ended march 31, 2022 2.10 % holding company net cash and investments available for sale: ($ in thousands) as of march 31, 2022 $ 578,579 as of december 31, 2021 $ 618,306 exhibit m essent group ltd. and subsidiaries supplemental information insurance company capital 2022 2021 march 31 december 31 september 30 june 30 march 31 ($ in thousands) u.s. mortgage insurance subsidiaries: combined statutory capital (1) $ 3,058,880 $ 2,950,107 $ 2,916,802 $ 2,809,087 $ 2,778,131 combined net risk in force (2) $ 30,331,197 $ 30,660,272 $ 30,766,379 $ 29,646,042 $ 29,358,191 risk-to-capital ratios: (3) essent guaranty, inc. 10.3:1 10.8:1 10.9:1 10.9:1 11.0:1 essent guaranty of pa, inc. 0.7:1 0.8:1 1.0:1 1.1:1 1.4:1 combined (4) 9.9:1 10.4:1 10.5:1 10.6:1 10.6:1 essent guaranty, inc. pmiers data (5): available assets $ 3,194,939 $ 3,170,881 $ 3,161,780 $ 3,016,050 $ 2,996,651 minimum required assets 1,840,069 1,791,551 1,951,096 1,731,843 1,864,262 pmiers excess available assets $ 1,354,870 $ 1,379,330 $ 1,210,684 $ 1,284,207 $ 1,132,389 pmiers sufficiency ratio (6) 174 % 177 % 162 % 174 % 161 % essent reinsurance ltd.: stockholder's equity (gaap basis) $ 1,330,840 $ 1,301,937 $ 1,249,996 $ 1,192,077 $ 1,136,504 net risk in force (2) $ 16,527,587 $ 15,997,129 $ 15,466,651 $ 14,338,567 $ 12,905,289 (1) combined statutory capital equals the sum of statutory capital of essent guaranty, inc. plus essent guaranty of pa, inc., after eliminating the impact of intercompany transactions. statutory capital is computed based on accounting practices prescribed or permitted by the pennsylvania insurance department and the national association of insurance commissioners accounting practices and procedures manual. (2) net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established. (3) the risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital. (4) the combined risk-to-capital ratio equals the sum of the net risk in force of essent guaranty, inc. and essent guaranty of pa, inc. divided by the combined statutory capital. (5) data is based on our interpretation of the pmiers as of the dates indicated. (6) pmiers sufficiency ratio is calculated by dividing available assets by minimum required assets. source: essent group ltd.
