Essent group ltd. announces fourth quarter & full year 2021 results and increases quarterly dividend
Hamilton, bermuda--(business wire)--essent group ltd. (nyse: esnt) today reported net income for the quarter ended december 31, 2021 of $181.0 million or $1.64 per diluted share, compared to $123.6 million or $1.10 per diluted share for the quarter ended december 31, 2020. for the full year 2021, net income was $681.8 million or $6.11 per diluted share, compared to $413.0 million or $3.88 per diluted share for 2020. essent also announced today that its board of directors has declared a quarterly cash dividend of $0.20 per common share. the dividend is payable on march 21, 2022, to shareholders of record on march 10, 2022. “we are pleased with our fourth quarter and full year 2021 financial results, which reflect our continued focus on optimizing our unit economics in generating high-quality earnings and strong returns,” said mark a. casale, chairman and chief executive officer. “our strong operating performance also generated excess capital, which we continued to deploy in a balanced manner between reinvestment in our franchise and distribution to shareholders. in connection with this, we are pleased to announce that our board has approved an increase in our quarterly dividend to $0.20 per share.” fourth quarter & full year 2021 financial highlights: insurance in force as of december 31, 2021 was $207.2 billion, compared to $208.2 billion as of september 30, 2021 and $198.9 billion as of december 31, 2020. new insurance written for the fourth quarter was $16.4 billion, compared to $23.6 billion in the third quarter of 2021 and $29.6 billion in the fourth quarter of 2020. net premiums earned for the fourth quarter were $217.3 million, compared to $218.7 million in the third quarter of 2021 and $222.3 million in the fourth quarter of 2020. income from other invested assets for the fourth quarter included $12.0 million, or $0.09 per diluted share on an after-tax basis, pertaining to net unrealized gains associated with strategic investments in limited partnerships. the expense ratio for the fourth quarter was 19.0%, compared to 19.3% in the third quarter of 2021 and 16.6% in the fourth quarter of 2020. the provision for losses and lae for the fourth quarter was a benefit of $3.4 million, compared to a benefit of $7.5 million in the third quarter of 2021 and a provision of $62.1 million in the fourth quarter of 2020. the percentage of loans in default as of december 31, 2021 was 2.16%, compared to 2.47% as of september 30, 2021 and 3.93% as of december 31, 2020. the combined ratio for the fourth quarter was 17.4%, compared to 15.9% in the third quarter of 2021 and 44.5% in the fourth quarter of 2020. the consolidated balance of cash and investments at december 31, 2021 was $5.2 billion, which includes holding company net cash and investments available for sale of $618.3 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 10.4:1 as of december 31, 2021. on november 10, 2021, essent guaranty, inc. obtained $439.4 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by essent in april 1, 2021 through september 30, 2021 from radnor re 2021-2 ltd., a newly formed bermuda special purpose insurer. radnor re 2021-2 ltd. is not a subsidiary or an affiliate of essent group ltd. on december 10, 2021, essent group ltd. entered into an amended and restated credit facility, increasing to $825 million the committed capacity and extending the contractual maturity to december 10, 2026. 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 888-510-2507 inside the u.s., or 646-960-0351 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; 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; deteriorating economic conditions; 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, 2020 filed with the securities and exchange commission on february 26, 2021, 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. source: essent group ltd. essent group ltd. and subsidiaries financial results and supplemental information (unaudited) quarter and year ended december 31, 2021 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 december 31, year ended december 31, (in thousands, except per share amounts) 2021 2020 2021 2020 revenues: direct premiums written $ 224,972 $ 245,437 $ 918,406 $ 922,851 ceded premiums (26,476 ) (31,194 ) (110,914 ) (88,738 ) net premiums written 198,496 214,243 807,492 834,113 decrease in unearned premiums 18,825 8,096 65,051 28,451 net premiums earned 217,321 222,339 872,543 862,564 net investment income 23,661 20,949 88,765 80,087 realized investment (losses) gains, net (191 ) 564 418 2,697 income (loss) from other invested assets 14,997 2 56,386 (215 ) other income 1,128 3,345 10,398 10,021 total revenues 256,916 247,199 1,028,510 955,154 losses and expenses: (benefit) provision for losses and lae (3,433 ) 62,073 31,057 301,293 other underwriting and operating expenses 41,232 36,825 166,857 154,691 interest expense 2,095 2,149 8,282 9,074 total losses and expenses 39,894 101,047 206,196 465,058 income before income taxes 217,022 146,152 822,314 490,096 income tax expense 36,035 22,550 140,531 77,055 net income $ 180,987 $ 123,602 $ 681,783 $ 413,041 earnings per share: basic $ 1.65 $ 1.10 $ 6.13 $ 3.89 diluted 1.64 1.10 6.11 3.88 weighted average shares outstanding: basic 109,550 111,908 111,164 106,098 diluted 110,028 112,310 111,555 106,376 net income $ 180,987 $ 123,602 $ 681,783 $ 413,041 other comprehensive income (loss): change in unrealized (depreciation) appreciation of investments (27,807 ) 5,840 (87,567 ) 82,087 total other comprehensive (loss) income (27,807 ) 5,840 (87,567 ) 82,087 comprehensive income $ 153,180 $ 129,442 $ 594,216 $ 495,128 loss ratio (1.6 %) 27.9 % 3.6 % 34.9 % expense ratio 19.0 16.6 19.1 17.9 combined ratio 17.4 % 44.5 % 22.7 % 52.9 % exhibit b essent group ltd. and subsidiaries condensed consolidated balance sheets (unaudited) december 31, december 31, (in thousands, except per share amounts) 2021 2020 assets investments fixed maturities available for sale, at fair value $ 4,649,800 $ 3,838,513 short-term investments available for sale, at fair value 313,087 726,860 total investments available for sale 4,962,887 4,565,373 other invested assets 170,472 88,904 total investments 5,133,359 4,654,277 cash 81,491 102,830 accrued investment income 26,546 19,948 accounts receivable 46,157 50,140 deferred policy acquisition costs 12,178 17,005 property and equipment 11,921 15,095 prepaid federal income tax 360,810 302,636 other assets 49,712 40,793 total assets $ 5,722,174 $ 5,202,724 liabilities and stockholders' equity liabilities reserve for losses and lae $ 407,445 $ 374,941 unearned premium reserve 185,385 250,436 net deferred tax liability 373,654 305,109 credit facility borrowings, net of deferred costs 419,823 321,720 other accrued liabilities 99,753 87,885 total liabilities 1,486,060 1,340,091 commitments and contingencies stockholders' equity common shares, $0.015 par value: authorized - 233,333; issued and outstanding - 109,377 shares in 2021 and 112,423 shares in 2020 1,641 1,686 additional paid-in capital 1,428,952 1,571,163 accumulated other comprehensive income 50,707 138,274 retained earnings 2,754,814 2,151,510 total stockholders' equity 4,236,114 3,862,633 total liabilities and stockholders' equity $ 5,722,174 $ 5,202,724 return on average equity 16.8 % 12.1 % exhibit c essent group ltd. and subsidiaries supplemental information historical quarterly data 2021 2020 selected income statement data december 31 september 30 june 30 march 31 december 31 (in thousands, except per share amounts) revenues: net premiums earned: u.s. mortgage insurance portfolio $ 205,877 $ 207,127 $ 204,149 $ 207,840 $ 208,715 gse and other risk share 11,444 11,591 13,288 11,227 13,624 net premiums earned 217,321 218,718 217,437 219,067 222,339 income from other invested assets (1) 14,997 40,741 122 526 2 other revenues (2) 24,598 24,077 25,702 25,204 24,858 total revenues 256,916 283,536 243,261 244,797 247,199 losses and expenses: (benefit) provision for losses and lae (3,433 ) (7,483 ) 9,651 32,322 62,073 other underwriting and operating expenses 41,232 42,272 41,114 42,239 36,825 interest expense 2,095 2,063 2,073 2,051 2,149 total losses and expenses 39,894 36,852 52,838 76,612 101,047 income before income taxes 217,022 246,684 190,423 168,185 146,152 income tax expense (3) 36,035 41,331 30,628 32,537 22,550 net income $ 180,987 $ 205,353 $ 159,795 $ 135,648 $ 123,602 earnings per share: basic $ 1.65 $ 1.85 $ 1.43 $ 1.21 $ 1.10 diluted 1.64 1.84 1.42 1.21 1.10 weighted average shares outstanding: basic 109,550 111,001 112,118 112,016 111,908 diluted 110,028 111,387 112,454 112,378 112,310 book value per share $ 38.73 $ 37.58 $ 36.32 $ 34.75 $ 34.36 return on average equity (annualized) 17.2 % 19.9 % 16.0 % 13.9 % 13.0 % other data: loss ratio (4) (1.6 %) (3.4 %) 4.4 % 14.8 % 27.9 % expense ratio (5) 19.0 19.3 18.9 19.3 16.6 combined ratio 17.4 % 15.9 % 23.3 % 34.0 % 44.5 % credit facility borrowings outstanding $ 425,000 $ 325,000 $ 325,000 $ 325,000 $ 325,000 undrawn committed capacity $ 400,000 $ 300,000 $ 300,000 $ 300,000 $ 300,000 weighted average interest rate (end of period) 1.79 % 2.13 % 2.13 % 2.13 % 2.19 % debt-to-capital 9.12 % 7.23 % 7.37 % 7.65 % 7.76 % (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) certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. for each of the three month periods noted, other revenues include net favorable (unfavorable) changes in the fair value of these embedded derivatives as follows: december 31, 2021: ($2,931); september 30, 2021: ($1,493); june 30, 2021: $950; march 31, 2021: ($606); december 31, 2020: ($209). (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 december 31, 2021 and september 30, 2021 includes $1,759 and $8,271, respectively, of discrete tax expense associated with realized and unrealized gains and losses. (4) loss ratio is calculated by dividing the provision for losses and lae by net premiums earned. (5) expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. exhibit c, continued essent group ltd. and subsidiaries supplemental information historical quarterly data 2021 2020 other data, continued: december 31 september 30 june 30 march 31 december 31 ($ in thousands) u.s. mortgage insurance portfolio flow: new insurance written $ 16,379,082 $ 23,579,884 $ 25,004,854 $ 19,254,014 $ 29,566,820 new risk written 4,331,531 6,273,735 6,445,864 4,616,450 7,051,173 bulk: new insurance written $ 416 $ — $ — $ — $ — new risk written 41 — — — — total: new insurance written $ 16,379,498 $ 23,579,884 $ 25,004,854 $ 19,254,014 $ 29,566,820 new risk written $ 4,331,572 $ 6,273,735 $ 6,445,864 $ 4,616,450 $ 7,051,173 average insurance in force $ 207,388,906 $ 206,732,478 $ 199,739,297 $ 197,749,668 $ 195,670,925 insurance in force (end of period) $ 207,190,544 $ 208,216,549 $ 203,559,859 $ 197,091,191 $ 198,882,352 gross risk in force (end of period) (6) $ 52,554,246 $ 52,457,020 $ 50,835,835 $ 48,951,602 $ 49,565,150 risk in force (end of period) $ 45,273,383 $ 45,074,159 $ 42,906,519 $ 41,135,978 $ 41,339,262 policies in force 785,119 798,877 794,743 785,382 799,893 weighted average coverage (7) 25.4 % 25.2 % 25.0 % 24.8 % 24.9 % annual persistency 65.4 % 62.2 % 58.3 % 56.1 % 60.1 % loans in default (count) 16,963 19,721 23,504 29,080 31,469 percentage of loans in default 2.16 % 2.47 % 2.96 % 3.70 % 3.93 % u.s. mortgage insurance portfolio premium rate: base average premium rate (8) 0.42 % 0.42 % 0.43 % 0.44 % 0.44 % single premium cancellations (9) 0.03 % 0.03 % 0.03 % 0.04 % 0.05 % gross average premium rate 0.45 % 0.45 % 0.46 % 0.48 % 0.49 % ceded premiums (0.05 %) (0.05 %) (0.05 %) (0.06 %) (0.06 %) net average premium rate 0.40 % 0.40 % 0.41 % 0.42 % 0.43 % (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 year ended december 31, 2021 december 31, 2020 december 31, 2021 december 31, 2020 ($ in thousands) >=760 $ 6,643,740 40.6 % $ 13,330,379 45.1 % $ 34,422,627 40.9 % $ 48,037,084 44.5 % 740-759 2,833,379 17.3 5,069,530 17.1 13,691,394 16.3 19,385,541 17.9 720-739 2,472,738 15.1 4,134,782 14.0 12,789,715 15.2 15,744,485 14.6 700-719 2,170,829 13.2 3,385,670 11.5 11,499,406 13.6 12,409,936 11.5 680-699 1,504,268 9.2 1,743,694 5.9 7,359,569 8.7 6,871,511 6.4 =760 $ 85,501,113 41.3 % $ 85,833,588 41.2 % $ 82,452,139 41.5 % 740-759 35,111,019 17.0 35,234,863 16.9 34,538,761 17.3 720-739 31,158,325 15.0 31,291,415 15.1 29,599,646 14.9 700-719 26,105,790 12.6 26,136,910 12.6 23,807,982 12.0 680-699 16,819,629 8.1 16,758,439 8.0 15,538,235 7.8 =760 $ 21,488,011 40.9 % $ 21,414,607 40.8 % $ 20,336,799 41.0 % 740-759 8,992,181 17.1 8,958,297 17.1 8,682,265 17.5 720-739 8,029,952 15.3 8,020,171 15.3 7,504,065 15.1 700-719 6,693,045 12.7 6,652,117 12.7 5,970,851 12.1 680-699 4,299,245 8.2 4,250,044 8.1 3,887,059 7.9 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 $ 3,122,498 5.1 % 19,269 4.32 % 80.6 % 71.7 % 5.2 % 15.3 % 42.4 % 3.3 % 900 4.67 % 2015 26,193,656 3,114,853 11.9 17,893 4.16 86.5 67.1 3.5 17.8 39.8 4.3 742 4.15 2016 34,949,319 6,326,129 18.1 33,941 3.86 88.1 65.3 8.9 15.2 43.9 5.3 1,327 3.91 2017 43,858,322 8,509,847 19.4 47,080 4.26 90.5 65.6 18.3 20.0 37.9 8.3 2,458 5.22 2018 47,508,525 9,482,084 20.0 49,923 4.77 93.7 66.9 23.5 21.2 33.3 13.7 3,096 6.20 2019 63,569,183 20,252,049 31.9 90,476 4.21 86.0 65.3 22.4 19.0 35.5 21.8 3,953 4.37 2020 107,944,065 76,550,717 70.9 276,407 3.18 63.0 51.7 11.3 11.1 44.8 13.6 3,490 1.26 2021 84,218,250 79,832,367 94.8 250,130 3.07 82.7 59.0 13.9 14.1 40.4 9.1 997 0.40 total $ 468,910,171 $ 207,190,544 44.2 785,119 3.41 76.8 58.0 14.0 14.1 41.3 8.9 16,963 2.16 (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 december 31, 2021 ($ 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 quarter-to-date year-to-date reduction in pmiers minimum required assets (8) 2015 & 2016 $ 9,131,102 $ 2,462,841 $ 333,844 $ — $ 333,844 $ 178,717 $ — $ 178,717 $ — $ 208,111 $ 207,140 $ 1,177 $ 4,808 $ — 2017 8,286,495 2,143,551 424,412 165,167 589,579 242,123 165,167 407,290 — 224,689 217,409 2,679 10,655 — 2018 9,341,880 2,382,994 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 249,450 3,220 12,824 — 2019 (3) 11,238,898 2,874,767 495,889 55,102 550,991 495,889 55,102 550,991 — 215,605 215,115 2,778 11,068 43,674 2019 & 2020 (4) 31,050,401 7,848,926 399,159 — 399,159 153,530 — 153,530 — 465,690 465,690 3,174 17,573 78,211 2020 & 2021 (5) 50,143,288 12,263,000 557,911 — 557,911 557,911 — 557,911 — 278,956 278,956 3,695 7,675 534,049 2021 (6) 45,887,021 12,086,006 439,407 — 439,407 439,407 — 439,407 — 279,415 279,415 2,367 2,367 400,151 total $ 165,079,085 $ 42,062,085 $ 3,123,806 $ 338,919 $ 3,462,725 $ 2,393,114 $ 296,413 $ 2,689,527 $ — $ 1,926,109 $ 1,913,175 $ 19,090 $ 66,970 $ 1,056,085 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 quarter-to-date year-to-date quarter-to-date year-to-date quarter-to-date year-to-date reduction in pmiers minimum required assets (8) 2019 & 2020 (7) $ 85,045,135 $ 21,077,760 $ 18,703,480 $ 4,591,336 $ (1,023 ) $ 6,926 $ 4,205 $ 18,509 $ 7,386 $ 43,944 $ 306,548 (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) 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 december 31, 2021 september 30, 2021 december 31, 2020 ca 13.1 % 13.1 % 12.0 % tx 9.9 9.8 9.7 fl 9.7 9.5 8.7 co 4.1 4.1 4.1 wa 3.7 3.7 3.8 il 3.3 3.4 3.4 az 3.3 3.4 3.6 nj 3.1 3.1 3.3 va 3.1 3.1 3.1 ga 3.1 3.1 3.0 all others 43.6 43.7 45.3 total 100.0 % 100.0 % 100.0 % gross rif by state december 31, 2021 september 30, 2021 december 31, 2020 ca 13.0 % 12.9 % 11.8 % tx 10.2 10.1 10.0 fl 10.0 9.8 9.0 co 4.0 4.1 4.1 wa 3.6 3.7 3.8 az 3.3 3.3 3.5 il 3.2 3.3 3.3 ga 3.1 3.1 3.1 va 3.0 3.1 3.1 nj 3.0 3.0 3.2 all others 43.6 43.6 45.1 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 2021 2020 december 31 september 30 june 30 march 31 december 31 beginning default inventory 19,721 23,504 29,080 31,469 35,464 plus: new defaults (a) 5,809 5,132 4,934 7,422 8,745 less: cures (8,514 ) (8,862 ) (10,453 ) (9,737 ) (12,679 ) less: claims paid (47 ) (41 ) (46 ) (61 ) (49 ) less: rescissions and denials, net (6 ) (12 ) (11 ) (13 ) (12 ) ending default inventory 16,963 19,721 23,504 29,080 31,469 (a) new defaults remaining as of december 31, 2021 4,316 2,162 1,523 1,686 1,516 cure rate (1) 26 % 58 % 69 % 77 % 83 % total amount paid for claims (in thousands) $ 992 $ 1,069 $ 1,154 $ 1,989 $ 1,922 average amount paid per claim (in thousands) $ 21 $ 26 $ 25 $ 33 $ 39 severity 45 % 60 % 57 % 70 % 62 % rollforward of reserve for losses and lae three months ended 2021 2020 ($ in thousands) december 31 september 30 june 30 march 31 december 31 reserve for losses and lae at beginning of period $ 411,567 $ 420,482 $ 409,811 $ 373,868 $ 307,019 less: reinsurance recoverables 26,970 27,286 24,907 19,061 11,898 net reserve for losses and lae at beginning of period 384,597 393,196 384,904 354,807 295,121 add provision for losses and lae occurring in: current period 13,231 11,371 24,534 47,763 63,597 prior years (16,624 ) (18,853 ) (14,961 ) (15,680 ) (1,879 ) incurred losses and lae during the period (3,393 ) (7,482 ) 9,573 32,083 61,718 deduct payments for losses and lae occurring in: current period 157 103 14 114 524 prior years 891 1,014 1,267 1,872 1,508 loss and lae payments during the period 1,048 1,117 1,281 1,986 2,032 net reserve for losses and lae at end of period 380,156 384,597 393,196 384,904 354,807 plus: reinsurance recoverables 25,940 26,970 27,286 24,907 19,061 reserve for losses and lae at end of period $ 406,096 $ 411,567 $ 420,482 $ 409,811 $ 373,868 (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 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 % december 31, 2020 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 6,631 21 % $ 47,905 14 % $ 384,668 12 % four to eleven payments 23,543 75 260,593 76 1,553,593 17 twelve or more payments 1,243 4 32,593 9 67,501 48 pending claims 52 — 2,199 1 2,843 77 total case reserves 31,469 100 % 343,290 100 % $ 2,008,605 17 ibnr 25,747 lae 4,831 total reserves for losses and lae $ 373,868 average reserve per default: case $ 10.9 total $ 11.9 default rate 3.93 % exhibit l essent group ltd. and subsidiaries supplemental information investments available for sale investments available for sale by asset class asset class december 31, 2021 december 31, 2020 ($ in thousands) fair value percent fair value percent u.s. treasury securities $ 448,793 9.1 % $ 268,444 5.9 % u.s. agency securities 5,504 0.1 18,085 0.4 u.s. agency mortgage-backed securities 1,008,863 20.3 995,905 21.8 municipal debt securities 627,599 12.7 551,517 12.1 non-u.s. government securities 79,743 1.6 61,607 1.3 corporate debt securities 1,455,247 29.3 1,126,512 24.7 residential and commercial mortgage securities 545,423 11.0 409,282 9.0 asset-backed securities 581,703 11.7 454,717 9.9 money market funds 210,012 4.2 679,304 14.9 total investments available for sale $ 4,962,887 100.0 % $ 4,565,373 100.0 % investments available for sale by credit rating rating (1) december 31, 2021 december 31, 2020 ($ in thousands) fair value percent fair value percent aaa $ 2,412,273 48.6 % $ 2,564,746 56.2 % aa1 96,331 1.9 133,100 2.9 aa2 354,951 7.2 260,462 5.7 aa3 221,914 4.5 204,917 4.5 a1 263,820 5.3 249,710 5.5 a2 427,282 8.6 401,175 8.8 a3 274,525 5.5 229,882 5.0 baa1 305,204 6.1 260,602 5.7 baa2 274,011 5.5 178,926 3.9 baa3 240,755 4.9 48,199 1.1 below baa3 91,821 1.9 33,654 0.7 total investments available for sale $ 4,962,887 100.0 % $ 4,565,373 100.0 % (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 december 31, 2021 december 31, 2020 ($ in thousands) fair value percent fair value percent < 1 year $ 1,104,397 22.2 % $ 1,568,505 34.4 % 1 to < 2 years 561,297 11.3 581,003 12.7 2 to < 3 years 539,174 10.9 616,069 13.5 3 to < 4 years 593,663 12.0 426,333 9.3 4 to < 5 years 663,127 13.4 367,633 8.1 5 or more years 1,501,229 30.2 1,005,830 22.0 total investments available for sale $ 4,962,887 100.0 % $ 4,565,373 100.0 % pre-tax investment income yield: three months ended december 31, 2021 2.06 % year ended december 31, 2021 1.99 % holding company net cash and investments available for sale: ($ in thousands) as of december 31, 2021 618,306 as of december 31, 2020 574,901 exhibit m essent group ltd. and subsidiaries supplemental information insurance company capital 2021 2020 december 31 september 30 june 30 march 31 december 31 ($ in thousands) u.s. mortgage insurance subsidiaries: combined statutory capital (1) $ 2,950,107 $ 2,916,802 $ 2,809,087 $ 2,778,131 $ 2,659,161 combined net risk in force (2) $ 30,660,272 $ 30,766,379 $ 29,646,042 $ 29,358,191 $ 29,493,572 risk-to-capital ratios: (3) essent guaranty, inc. 10.8:1 10.9:1 10.9:1 11.0:1 11.5:1 essent guaranty of pa, inc. 0.8:1 1.0:1 1.1:1 1.4:1 1.7:1 combined (4) 10.4:1 10.5:1 10.6:1 10.6:1 11.1:1 essent guaranty, inc. pmiers data (5): available assets $ 3,170,881 $ 3,161,780 $ 3,016,050 $ 2,996,651 $ 2,855,923 minimum required assets 1,791,551 1,951,096 1,731,843 1,864,262 1,671,011 pmiers excess available assets $ 1,379,330 $ 1,210,684 $ 1,284,207 $ 1,132,389 $ 1,184,912 pmiers sufficiency ratio (6) 177 % 162 % 174 % 161 % 171 % essent reinsurance ltd.: stockholder's equity (gaap basis) $ 1,301,937 $ 1,249,996 $ 1,192,077 $ 1,136,504 $ 1,101,003 net risk in force (2) $ 15,997,129 $ 15,466,651 $ 14,338,567 $ 12,905,289 $ 12,892,300 (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.
