Essent group ltd. announces second quarter 2021 results & increases quarterly dividend
Hamilton, bermuda--(business wire)--essent group ltd. (nyse: esnt) today reported net income for the quarter ended june 30, 2021 of $159.8 million or $1.42 per diluted share, compared to $15.4 million or $0.15 per diluted share for the quarter ended june 30, 2020. essent also announced today that its board of directors has declared a quarterly cash dividend of $0.18 per common share. the dividend is payable on september 10, 2021, to shareholders of record on september 1, 2021. "we are pleased with our financial performance for the second quarter as we produced strong earnings and generated excess capital,” said mark a. casale, chairman and chief executive officer. “our results reflect a favorable operating environment as credit continues to normalize and housing demand remains elevated. our buy, manage and distribute model is operating on all cylinders and confidence in our economic engine remains high." second quarter 2021 financial highlights: insurance in force as of june 30, 2021 was $203.6 billion, compared to $197.1 billion as of march 31, 2021 and $174.6 billion as of june 30, 2020. new insurance written for the second quarter was $25.0 billion, compared to $19.3 billion in the first quarter of 2021 and $28.2 billion in the second quarter of 2020. net premiums earned for the second quarter were $217.4 million, compared to $219.1 million in the first quarter of 2021 and $211.5 million in the second quarter of 2020. the expense ratio for the second quarter was 18.9%, compared to 19.3% in the first quarter of 2021 and 18.4% in the second quarter of 2020. the provision for losses and lae for the second quarter was $9.7 million, compared to a provision of $32.3 million in the first quarter of 2021 and a provision of $175.9 million in the second quarter of 2020. the percentage of loans in default as of june 30, 2021 was 2.96%, compared to 3.70% as of march 31, 2021 and 5.19% as of june 30, 2020. the combined ratio for the second quarter was 23.3%, compared to 34.0% in the first quarter of 2021 and 101.5% in the second quarter of 2020. the consolidated balance of cash and investments at june 30, 2021 was $5.0 billion, including cash and investment balances at essent group ltd. of $509.8 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 10.6:1 as of june 30, 2021. on june 23, 2021, essent guaranty, inc. obtained $557.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by essent in august 2020 through march 2021 from radnor re 2021-1 ltd., a newly formed bermuda special purpose insurer. radnor re 2021-1 ltd. is not a subsidiary or an affiliate of essent group ltd. 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 833-921-1656 inside the u.s., or 236-389-2661 for international callers, using passcode 2073556 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: 800-585-8367 inside the u.s., or 416-621-4642 for international callers, passcode 2073556. 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 ended june 30, 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 june 30, six months ended june 30, (in thousands, except per share amounts) 2021 2020 2021 2020 revenues: direct premiums written $ 228,949 $ 228,044 $ 464,206 $ 434,024 ceded premiums (26,662 ) (22,140 ) (57,558 ) (36,377 ) net premiums written 202,287 205,904 406,648 397,647 decrease in unearned premiums 15,150 5,567 29,856 20,320 net premiums earned 217,437 211,471 436,504 417,967 net investment income 21,743 19,866 43,531 40,499 realized investment (losses) gains, net (253 ) (1,269 ) 388 1,866 other income 4,334 6,009 7,635 4,585 total revenues 243,261 236,077 488,058 464,917 losses and expenses: provision for losses and lae 9,651 175,877 41,973 183,940 other underwriting and operating expenses 41,114 38,819 83,353 80,766 interest expense 2,073 2,566 4,124 4,698 total losses and expenses 52,838 217,262 129,450 269,404 income before income taxes 190,423 18,815 358,608 195,513 income tax expense 30,628 3,435 63,165 30,610 net income $ 159,795 $ 15,380 $ 295,443 $ 164,903 earnings per share: basic $ 1.43 $ 0.15 $ 2.64 $ 1.65 diluted 1.42 0.15 2.63 1.64 weighted average shares outstanding: basic 112,118 102,500 112,067 100,224 diluted 112,454 102,605 112,416 100,466 net income $ 159,795 $ 15,380 $ 295,443 $ 164,903 other comprehensive income (loss): change in unrealized appreciation (depreciation) of investments 36,360 74,285 (22,843 ) 64,211 total other comprehensive income (loss) 36,360 74,285 (22,843 ) 64,211 comprehensive income $ 196,155 $ 89,665 $ 272,600 $ 229,114 loss ratio 4.4 % 83.2 % 9.6 % 44.0 % expense ratio 18.9 18.4 19.1 19.3 combined ratio 23.3 % 101.5 % 28.7 % 63.3 % exhibit b essent group ltd. and subsidiaries condensed consolidated balance sheets (unaudited) june 30, december 31, (in thousands, except per share amounts) 2021 2020 assets investments fixed maturities available for sale, at fair value $ 4,374,008 $ 3,838,513 short-term investments available for sale, at fair value 372,320 726,860 total investments available for sale 4,746,328 4,565,373 other invested assets 145,310 88,904 total investments 4,891,638 4,654,277 cash 142,140 102,830 accrued investment income 24,468 19,948 accounts receivable 53,127 50,140 deferred policy acquisition costs 14,070 17,005 property and equipment 12,989 15,095 prepaid federal income tax 332,886 302,636 other assets 50,471 40,793 total assets $ 5,521,789 $ 5,202,724 liabilities and stockholders' equity liabilities reserve for losses and lae $ 421,872 $ 374,941 unearned premium reserve 220,580 250,436 net deferred tax liability 343,098 305,109 credit facility borrowings, net of deferred costs 322,316 321,720 other accrued liabilities 129,095 87,885 total liabilities 1,436,961 1,340,091 commitments and contingencies stockholders' equity common shares, $0.015 par value: authorized - 233,333; issued and outstanding - 112,481 shares in 2021 and 112,423 shares in 2020 1,687 1,686 additional paid-in capital 1,558,142 1,571,163 accumulated other comprehensive income 115,431 138,274 retained earnings 2,409,568 2,151,510 total stockholders' equity 4,084,828 3,862,633 total liabilities and stockholders' equity $ 5,521,789 $ 5,202,724 return on average equity (1) 14.9 % 12.1 % (1) the 2021 return on average equity is calculated by dividing annualized year-to-date 2021 net income by average equity. the 2020 return on average equity is calculated by dividing full year 2020 net income by average equity. exhibit c essent group ltd. and subsidiaries supplemental information historical quarterly data 2021 2020 selected income statement data june 30 march 31 december 31 september 30 june 30 (in thousands, except per share amounts) revenues: net premiums earned: u.s. mortgage insurance portfolio $ 204,149 $ 207,840 $ 208,715 $ 211,126 $ 200,816 gse and other risk share 13,288 11,227 13,624 11,132 10,655 net premiums earned 217,437 219,067 222,339 222,258 211,471 other revenues (1) 25,824 25,730 24,860 20,780 24,606 total revenues 243,261 244,797 247,199 243,038 236,077 losses and expenses: provision for losses and lae 9,651 32,322 62,073 55,280 175,877 other underwriting and operating expenses 41,114 42,239 36,825 37,100 38,819 interest expense 2,073 2,051 2,149 2,227 2,566 total losses and expenses 52,838 76,612 101,047 94,607 217,262 income before income taxes 190,423 168,185 146,152 148,431 18,815 income tax expense (2) 30,628 32,537 22,550 23,895 3,435 net income $ 159,795 $ 135,648 $ 123,602 $ 124,536 $ 15,380 earnings per share: basic $ 1.43 $ 1.21 $ 1.10 $ 1.11 $ 0.15 diluted 1.42 1.21 1.10 1.11 0.15 weighted average shares outstanding: basic 112,118 112,016 111,908 111,908 102,500 diluted 112,454 112,378 112,310 112,134 102,605 book value per share $ 36.32 $ 34.75 $ 34.36 $ 33.33 $ 32.23 return on average equity (annualized) 16.0 % 13.9 % 13.0 % 13.5 % 1.8 % other data: loss ratio (3) 4.4 % 14.8 % 27.9 % 24.9 % 83.2 % expense ratio (4) 18.9 19.3 16.6 16.7 18.4 combined ratio 23.3 % 34.0 % 44.5 % 41.6 % 101.5 % credit facility borrowings outstanding $ 325,000 $ 325,000 $ 325,000 $ 425,000 $ 425,000 undrawn committed capacity $ 300,000 $ 300,000 $ 300,000 $ 75,000 $ 75,000 weighted average interest rate (end of period) 2.13 % 2.13 % 2.19 % 1.90 % 1.93 % debt-to-capital 7.37 % 7.65 % 7.76 % 10.19 % 10.50 % (1) 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: june 30, 2021: $950; march 31, 2021: ($606); december 31, 2020: ($209); september 30, 2020: ($677); june 30, 2020: $2,502. (2) income tax expense for the quarter ended march 31, 2021 includes $5,718 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. (3) loss ratio is calculated by dividing the provision for losses and lae by net premiums earned. (4) expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. exhibit c, continued essent group ltd. and subsidiaries supplemental information historical quarterly data 2021 2020 other data, continued: june 30 march 31 december 31 september 30 june 30 ($ in thousands) u.s. mortgage insurance portfolio flow: new insurance written $ 25,004,854 $ 19,254,014 $ 29,566,820 $ 36,664,583 $ 28,163,212 new risk written 6,445,864 4,616,450 7,051,173 8,938,544 6,875,250 bulk: new insurance written $ — $ — $ — $ — $ — new risk written — — — — — total: new insurance written $ 25,004,854 $ 19,254,014 $ 29,566,820 $ 36,664,583 $ 28,163,212 new risk written $ 6,445,864 $ 4,616,450 $ 7,051,173 $ 8,938,544 $ 6,875,250 average insurance in force $ 199,739,297 $ 197,749,668 $ 195,670,925 $ 183,135,315 $ 168,635,275 insurance in force (end of period) $ 203,559,859 $ 197,091,191 $ 198,882,352 $ 190,811,292 $ 174,646,273 gross risk in force (end of period) (5) $ 50,835,835 $ 48,951,602 $ 49,565,150 $ 47,838,668 $ 43,993,989 risk in force (end of period) $ 42,906,519 $ 41,135,978 $ 41,339,262 $ 41,219,216 $ 39,113,879 policies in force 794,743 785,382 799,893 781,836 733,651 weighted average coverage (6) 25.0 % 24.8 % 24.9 % 25.1 % 25.2 % annual persistency 58.3 % 56.1 % 60.1 % 64.2 % 67.9 % loans in default (count) 23,504 29,080 31,469 35,464 38,068 percentage of loans in default 2.96 % 3.70 % 3.93 % 4.54 % 5.19 % u.s. mortgage insurance portfolio premium rate: base average premium rate (7) 0.43 % 0.44 % 0.44 % 0.45 % 0.47 % single premium cancellations (8) 0.03 % 0.04 % 0.05 % 0.06 % 0.06 % gross average premium rate 0.46 % 0.48 % 0.49 % 0.51 % 0.53 % ceded premiums (0.05 %) (0.06 %) (0.06 %) (0.05 %) (0.05 %) net average premium rate 0.41 % 0.42 % 0.43 % 0.46 % 0.48 % (5) gross risk in force includes risk ceded under third-party reinsurance. (6) weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force. (7) base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period. (8) 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 six months ended june 30, 2021 june 30, 2020 june 30, 2021 june 30, 2020 ($ in thousands) >=760 $ 10,050,359 40.2 % $ 12,163,927 43.2 % $ 18,521,480 41.9 % $ 17,819,643 42.7 % 740-759 3,812,462 15.2 5,300,459 18.8 6,965,789 15.7 7,758,491 18.6 720-739 3,906,718 15.6 4,352,367 15.5 6,660,014 15.0 6,371,241 15.3 700-719 3,624,247 14.5 3,278,269 11.6 5,982,881 13.5 4,837,012 11.6 680-699 2,266,364 9.1 1,950,905 6.9 3,493,772 7.9 2,995,823 7.2 =760 $ 84,110,514 41.3 % $ 81,629,166 41.4 % $ 71,570,804 41.0 % 740-759 34,636,115 17.0 33,969,375 17.2 30,265,718 17.3 720-739 30,471,320 15.0 29,323,182 14.9 26,130,764 15.0 700-719 25,177,026 12.4 23,775,892 12.1 20,721,839 11.9 680-699 15,962,389 7.8 15,241,886 7.7 14,545,011 8.3 =760 $ 20,807,006 40.9 % $ 20,063,586 41.0 % $ 17,871,881 40.6 % 740-759 8,729,038 17.2 8,512,926 17.4 7,672,436 17.4 720-739 7,745,794 15.2 7,410,503 15.1 6,673,863 15.2 700-719 6,342,378 12.5 5,947,590 12.1 5,246,989 11.9 680-699 3,998,410 7.9 3,798,221 7.8 3,693,448 8.4 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 $ 4,330,210 7.1 % 26,195 4.30 % 82.3 % 70.2 % 4.7 % 14.6 % 42.9 % 3.3 % 1,363 5.20 % 2015 26,193,656 4,152,528 15.9 23,093 4.15 86.4 64.7 3.2 17.4 40.3 4.5 1,116 4.83 2016 34,949,319 8,275,662 23.7 42,914 3.85 87.6 64.3 8.5 15.1 43.9 6.0 2,118 4.94 2017 43,858,322 11,454,788 26.1 60,927 4.25 90.0 64.2 17.7 19.4 38.2 9.4 3,902 6.40 2018 47,508,525 12,993,723 27.4 65,716 4.77 93.4 66.4 22.7 20.2 34.2 15.3 4,740 7.21 2019 63,569,183 27,678,727 43.5 118,342 4.22 84.6 64.5 21.6 18.6 35.7 27.2 6,329 5.35 2020 107,944,065 91,202,454 84.5 320,176 3.20 61.4 50.8 11.0 11.5 44.0 20.3 3,758 1.17 2021 (through june 30) 44,258,868 43,471,767 98.2 137,380 3.02 73.7 53.5 11.6 13.9 41.7 7.0 178 0.13 total $ 428,950,789 $ 203,559,859 47.5 794,743 3.53 72.8 56.2 13.3 14.3 41.3 10.0 23,504 2.96 (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 june 30, 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 (7) 2015 & 2016 $ 12,018,660 $ 3,243,956 $ 333,844 $ — $ 333,844 $ 216,480 $ — $ 216,480 $ — $ 208,111 $ 207,359 $ 1,207 $ 2,419 $ 12,242 2017 11,155,879 2,865,141 424,412 165,167 589,579 242,123 165,167 407,290 — 224,689 217,930 2,651 5,295 15,146 2018 12,752,743 3,245,746 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 249,912 3,197 6,383 44,631 2019 (3) 15,581,172 3,979,796 495,889 55,102 550,991 495,889 55,102 550,991 — 215,605 215,282 2,749 5,512 147,849 2019 & 2020 (4) 39,400,549 9,903,301 399,159 — 399,159 313,772 — 313,772 — 465,690 465,690 4,811 9,913 225,548 2020 & 2021 (5) 56,303,818 13,658,801 557,911 — 557,911 557,911 — 557,911 — 278,956 278,956 266 266 557,911 total $ 147,212,821 $ 36,896,741 $ 2,684,399 $ 338,919 $ 3,023,318 $ 2,151,712 $ 296,413 $ 2,448,125 $ — $ 1,646,694 $ 1,635,129 $ 14,881 $ 29,788 $ 1,003,327 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 (7) 2019 & 2020 (6) $ 102,624,392 $ 25,254,668 $ 22,482,650 $ 5,481,191 $ 2,387 $ 8,256 $ 4,697 $ 9,757 $ 11,781 $ 27,770 $ 366,706 (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 40% of eligible single premium policies and 20% of all other eligible policies written from september 1, 2019 through december 31, 2020. (7) 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 june 30, 2021 march 31, 2021 june 30, 2020 ca 12.9 % 12.5 % 10.6 % tx 9.8 9.8 9.4 fl 9.3 9.0 8.2 co 4.1 4.1 3.9 wa 3.7 3.7 4.0 az 3.5 3.5 3.5 il 3.3 3.4 3.5 nj 3.1 3.2 3.5 va 3.1 3.1 3.2 ga 3.1 3.0 3.1 all others 44.1 44.7 47.1 total 100.0 % 100.0 % 100.0 % gross rif by state june 30, 2021 march 31, 2021 june 30, 2020 ca 12.7 % 12.2 % 10.3 % tx 10.1 10.1 9.7 fl 9.6 9.3 8.4 co 4.1 4.0 3.8 wa 3.6 3.6 4.0 az 3.4 3.5 3.4 il 3.2 3.3 3.4 ga 3.1 3.1 3.2 va 3.0 3.0 3.2 nj 3.0 3.1 3.4 all others 44.2 44.8 47.2 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 june 30 march 31 december 31 september 30 june 30 beginning default inventory 29,080 31,469 35,464 38,068 5,841 plus: new defaults (a) 4,934 7,422 8,745 12,614 37,357 less: cures (10,453 ) (9,737 ) (12,679 ) (15,135 ) (4,983 ) less: claims paid (46 ) (61 ) (49 ) (67 ) (144 ) less: rescissions and denials, net (11 ) (13 ) (12 ) (16 ) (3 ) ending default inventory 23,504 29,080 31,469 35,464 38,068 (a) new defaults remaining as of june 30, 2021 3,813 3,408 3,158 3,448 7,821 cure rate (1) 23 % 54 % 64 % 73 % 79 % total amount paid for claims (in thousands) $ 1,154 $ 1,989 $ 1,922 $ 2,557 $ 5,718 average amount paid per claim (in thousands) $ 25 $ 33 $ 39 $ 38 $ 40 severity 57 % 70 % 62 % 77 % 78 % rollforward of reserve for losses and lae three months ended 2021 2020 ($ in thousands) june 30 march 31 december 31 september 30 june 30 reserve for losses and lae at beginning of period $ 409,811 $ 373,868 $ 307,019 $ 250,862 $ 73,325 less: reinsurance recoverables 24,907 19,061 11,898 7,761 98 net reserve for losses and lae at beginning of period 384,904 354,807 295,121 243,101 73,227 add provision for losses and lae occurring in: current period 24,534 47,763 63,597 55,660 181,776 prior years (14,961 ) (15,680 ) (1,879 ) (1,070 ) (5,911 ) incurred losses and lae during the period 9,573 32,083 61,718 54,590 175,865 deduct payments for losses and lae occurring in: current period 14 114 524 205 288 prior years 1,267 1,872 1,508 2,365 5,703 loss and lae payments during the period 1,281 1,986 2,032 2,570 5,991 net reserve for losses and lae at end of period 393,196 384,904 354,807 295,121 243,101 plus: reinsurance recoverables 27,286 24,907 19,061 11,898 7,761 reserve for losses and lae at end of period $ 420,482 $ 409,811 $ 373,868 $ 307,019 $ 250,862 (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 june 30, 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 3,926 17 % $ 25,915 7 % $ 234,604 11 % four to eleven payments 9,316 40 147,383 38 585,390 25 twelve or more payments 10,217 43 212,634 55 680,733 31 pending claims 45 — 1,758 — 2,139 82 total case reserves 23,504 100 % 387,690 100 % $ 1,502,866 26 ibnr 29,077 lae 3,715 total reserves for losses and lae $ 420,482 average reserve per default: case $ 16.5 total $ 17.9 default rate 2.96% 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% june 30, 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 33,514 88 % $ 166,897 73 % $ 2,233,678 7 % four to eleven payments 3,813 10 39,028 17 234,152 17 twelve or more payments 664 2 18,590 8 36,694 51 pending claims 77 — 3,271 2 3,846 85 total case reserves 38,068 100 % 227,786 100 % $ 2,508,370 9 ibnr 17,084 lae 5,992 total reserves for losses and lae $ 250,862 average reserve per default: case $ 6.0 total $ 6.6 default rate 5.19% exhibit l essent group ltd. and subsidiaries supplemental information investments available for sale investments available for sale by asset class asset class june 30, 2021 december 31, 2020 ($ in thousands) fair value percent fair value percent u.s. treasury securities $ 289,961 6.1 % $ 268,444 5.9 % u.s. agency securities 16,088 0.4 18,085 0.4 u.s. agency mortgage-backed securities 1,006,655 21.2 995,905 21.8 municipal debt securities 580,894 12.2 551,517 12.1 non-u.s. government securities 81,528 1.7 61,607 1.3 corporate debt securities 1,551,712 32.7 1,126,512 24.7 residential and commercial mortgage securities 461,985 9.7 409,282 9.0 asset-backed securities 456,069 9.6 454,717 9.9 money market funds 301,436 6.4 679,304 14.9 total investments available for sale $ 4,746,328 100.0 % $ 4,565,373 100.0 % investments available for sale by credit rating rating (1) june 30, 2021 december 31, 2020 ($ in thousands) fair value percent fair value percent aaa $ 2,251,468 47.4 % $ 2,564,746 56.2 % aa1 105,851 2.2 133,100 2.9 aa2 291,517 6.1 260,462 5.7 aa3 226,011 4.8 204,917 4.5 a1 306,340 6.5 249,710 5.5 a2 477,726 10.1 401,175 8.8 a3 283,669 6.0 229,882 5.0 baa1 314,072 6.6 260,602 5.7 baa2 272,914 5.7 178,926 3.9 baa3 150,425 3.2 48,199 1.1 below baa3 66,335 1.4 33,654 0.7 total investments available for sale $ 4,746,328 100.0 % $ 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 june 30, 2021 december 31, 2020 ($ in thousands) fair value percent fair value percent < 1 year $ 1,094,953 23.0 % $ 1,568,505 34.4 % 1 to < 2 years 549,219 11.6 581,003 12.7 2 to < 3 years 682,585 14.4 616,069 13.5 3 to < 4 years 601,629 12.7 426,333 9.3 4 to < 5 years 446,775 9.4 367,633 8.1 5 or more years 1,371,167 28.9 1,005,830 22.0 total investments available for sale $ 4,746,328 100.0 % $ 4,565,373 100.0 % pre-tax investment income yield: three months ended june 30, 2021 1.96 % six months ended june 30, 2021 1.99 % net cash and investments at holding company, essent group ltd.: ($ in thousands) as of june 30, 2021 $ 509,775 as of december 31, 2020 $ 562,714 exhibit m essent group ltd. and subsidiaries supplemental information insurance company capital 2021 2020 june 30 march 31 december 31 september 30 june 30 ($ in thousands) u.s. mortgage insurance subsidiaries: combined statutory capital (1) $ 2,809,087 $ 2,778,131 $ 2,659,161 $ 2,581,136 $ 2,457,368 combined net risk in force (2) $ 29,646,042 $ 29,358,191 $ 29,493,572 $ 29,821,246 $ 28,787,600 risk-to-capital ratios: (3) essent guaranty, inc. 10.9:1 11.0:1 11.5:1 12.0:1 12.1:1 essent guaranty of pa, inc. 1.1:1 1.4:1 1.7:1 2.0:1 2.3:1 combined (4) 10.6:1 10.6:1 11.1:1 11.6:1 11.7:1 essent guaranty, inc. pmiers data (5): available assets $ 3,016,050 $ 2,996,651 $ 2,855,923 $ 2,720,432 $ 2,586,394 minimum required assets 1,731,843 1,864,262 1,671,011 1,739,479 1,458,273 pmiers excess available assets $ 1,284,207 $ 1,132,389 $ 1,184,912 $ 980,953 $ 1,128,121 pmiers sufficiency ratio (6) 174 % 161 % 171 % 156 % 177 % essent reinsurance ltd.: stockholder's equity (gaap basis) $ 1,192,077 $ 1,136,504 $ 1,101,003 $ 1,061,546 $ 1,022,689 net risk in force (2) $ 14,338,567 $ 12,905,289 $ 12,892,300 $ 12,312,124 $ 11,113,079 (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.
