Essent group ltd. announces first quarter 2021 results, increase of quarterly dividend, and board authorization of $250 million share repurchase plan
Hamilton, bermuda--(business wire)--essent group ltd. (nyse: esnt) today reported net income for the quarter ended march 31, 2021 of $135.6 million or $1.21 per diluted share, compared to $149.5 million or $1.52 per diluted share for the quarter ended march 31, 2020. essent also announced today that its board of directors has authorized a $250 million share repurchase plan to be executed by the end of 2022 and declared a quarterly cash dividend of $0.17 per common share. the dividend is payable on june 10, 2021, to shareholders of record on june 1, 2021. "we are pleased with our financial results for the first quarter which we believe demonstrate a return to pre-covid-19 profitability, as the u.s. economy gains momentum coming out of the pandemic and our defaults continue to normalize,” said mark a. casale, chairman and chief executive officer. “at quarter end, our capital position remains strong as our buy, manage and distribute operating model has our franchise well positioned. as a reflection of this, we are pleased to announce our $250 million share repurchase program and $0.01 per share increase in our quarterly dividend." first quarter 2021 financial highlights: insurance in force as of march 31, 2021 was $197.1 billion, compared to $198.9 billion as of december 31, 2020 and $165.6 billion as of march 31, 2020. new insurance written for the first quarter was $19.3 billion, compared to $29.6 billion in the fourth quarter of 2020 and $13.5 billion in the first quarter of 2020. net premiums earned for the first quarter were $219.1 million, compared to $222.3 million in the fourth quarter of 2020 and $206.5 million in the first quarter of 2020. the expense ratio for the first quarter was 19.3%, compared to 16.6% in the fourth quarter of 2020 and 20.3% in the first quarter of 2020. the provision for losses and lae for the first quarter was $32.3 million, compared to a provision of $62.1 million in the fourth quarter of 2020 and a provision of $8.1 million in the first quarter of 2020. the percentage of loans in default as of march 31, 2021 was 3.70%, compared to 3.93% as of december 31, 2020 and 0.83% as of march 31, 2020. the combined ratio for the first quarter was 34.0%, compared to 44.5% in the fourth quarter of 2020 and 24.2% in the first quarter of 2020. the consolidated balance of cash and investments at march 31, 2021 was $4.9 billion, including cash and investment balances at essent group ltd. of $540.3 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 10.6:1 as of march 31, 2021. income taxes for the quarter ended march 31, 2021 include $5.7 million of discrete tax expense associated with an increase in our state deferred income tax liability. 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 833-287-0797 inside the u.s., or 647-689-4456 for international callers, using passcode 4881985 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 4881985. 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 march 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 march 31, (in thousands, except per share amounts) 2021 2020 revenues: direct premiums written $ 235,257 $ 205,980 ceded premiums (30,896) (14,237) net premiums written 204,361 191,743 decrease in unearned premiums 14,706 14,753 net premiums earned 219,067 206,496 net investment income 21,788 20,633 realized investment gains, net 641 3,135 other income (loss) 3,301 (1,424) total revenues 244,797 228,840 losses and expenses: provision for losses and lae 32,322 8,063 other underwriting and operating expenses 42,239 41,947 interest expense 2,051 2,132 total losses and expenses 76,612 52,142 income before income taxes 168,185 176,698 income tax expense 32,537 27,175 net income $ 135,648 $ 149,523 earnings per share: basic $ 1.21 $ 1.53 diluted 1.21 1.52 weighted average shares outstanding: basic 112,016 97,949 diluted 112,378 98,326 net income $ 135,648 $ 149,523 other comprehensive income (loss): change in unrealized depreciation of investments (59,203) (10,074) total other comprehensive loss (59,203) (10,074) comprehensive income $ 76,445 $ 139,449 loss ratio 14.8 % 3.9 % expense ratio 19.3 20.3 combined ratio 34.0 % 24.2 % exhibit b essent group ltd. and subsidiaries condensed consolidated balance sheets (unaudited) march 31, december 31, (in thousands, except per share amounts) 2021 2020 assets investments fixed maturities available for sale, at fair value $ 4,252,144 $ 3,838,513 short-term investments available for sale, at fair value 449,332 726,860 total investments available for sale 4,701,476 4,565,373 other invested assets 100,393 88,904 total investments 4,801,869 4,654,277 cash 81,022 102,830 accrued investment income 23,600 19,948 accounts receivable 45,618 50,140 deferred policy acquisition costs 14,723 17,005 property and equipment 14,258 15,095 prepaid federal income tax 302,636 302,636 other assets 48,120 40,793 total assets $ 5,331,846 $ 5,202,724 liabilities and stockholders' equity liabilities reserve for losses and lae $ 411,123 $ 374,941 unearned premium reserve 235,730 250,436 net deferred tax liability 318,622 305,109 credit facility borrowings, net of deferred costs 322,018 321,720 other accrued liabilities 123,416 87,885 total liabilities 1,410,909 1,340,091 commitments and contingencies stockholders' equity common shares, $0.015 par value: authorized - 233,333; issued and outstanding - 112,847 shares in 2021 and 112,423 shares in 2020 1,693 1,686 additional paid-in capital 1,571,134 1,571,163 accumulated other comprehensive income 79,071 138,274 retained earnings 2,269,039 2,151,510 total stockholders' equity 3,920,937 3,862,633 total liabilities and stockholders' equity $ 5,331,846 $ 5,202,724 return on average equity (1) 13.9 % 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 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 $ 207,840 $ 208,715 $ 211,126 $ 200,816 $ 195,718 gse and other risk share 11,227 13,624 11,132 10,655 10,778 net premiums earned 219,067 222,339 222,258 211,471 206,496 other revenues (1) 25,730 24,860 20,780 24,606 22,344 total revenues 244,797 247,199 243,038 236,077 228,840 losses and expenses: provision for losses and lae 32,322 62,073 55,280 175,877 8,063 other underwriting and operating expenses 42,239 36,825 37,100 38,819 41,947 interest expense 2,051 2,149 2,227 2,566 2,132 total losses and expenses 76,612 101,047 94,607 217,262 52,142 income before income taxes 168,185 146,152 148,431 18,815 176,698 income tax expense (2) 32,537 22,550 23,895 3,435 27,175 net income $ 135,648 $ 123,602 $ 124,536 $ 15,380 $ 149,523 earnings per share: basic $ 1.21 $ 1.10 $ 1.11 $ 0.15 $ 1.53 diluted 1.21 1.10 1.11 0.15 1.52 weighted average shares outstanding: basic 112,016 111,908 111,908 102,500 97,949 diluted 112,378 112,310 112,134 102,605 98,326 book value per share $ 34.75 $ 34.36 $ 33.33 $ 32.23 $ 31.51 return on average equity (annualized) 13.9 % 13.0 % 13.5 % 1.8 % 19.6 % other data: loss ratio (3) 14.8 % 27.9 % 24.9 % 83.2 % 3.9 % expense ratio (4) 19.3 16.6 16.7 18.4 20.3 combined ratio 34.0 % 44.5 % 41.6 % 101.5 % 24.2 % credit facility borrowings outstanding $ 325,000 $ 325,000 $ 425,000 $ 425,000 $ 425,000 undrawn committed capacity $ 300,000 $ 300,000 $ 75,000 $ 75,000 $ 75,000 weighted average interest rate (end of period) 2.13 % 2.19 % 1.90 % 1.93 % 2.87 % debt-to-capital 7.65 % 7.76 % 10.19 % 10.50 % 12.03 % (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: march 31, 2021: ($606); december 31, 2020: ($209); september 30, 2020: ($677); june 30, 2020: $2,502; march 31, 2020: ($4,200). (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. income tax expense for the three months ended march 31, 2020 was reduced by $620 of excess tax benefits associated with the vesting of common shares and common share units during each period. (3) loss ratio is calculated by dividing the provision for losses and lae by net premiums earned. (4) expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. exhibit c, continued essent group ltd. and subsidiaries supplemental information historical quarterly data 2021 2020 other data, continued: march 31 december 31 september 30 june 30 march 31 ($ in thousands) u.s. mortgage insurance portfolio flow: new insurance written $ 19,254,014 $ 29,566,820 $ 36,664,583 $ 28,163,212 $ 13,549,299 new risk written 4,616,450 7,051,173 8,938,544 6,875,250 3,384,171 bulk: new insurance written $ — $ — $ — $ — $ 151 new risk written — — — — 24 total: new insurance written $ 19,254,014 $ 29,566,820 $ 36,664,583 $ 28,163,212 $ 13,549,450 new risk written $ 4,616,450 $ 7,051,173 $ 8,938,544 $ 6,875,250 $ 3,384,195 average insurance in force $ 197,749,668 $ 195,670,925 $ 183,135,315 $ 168,635,275 $ 164,782,361 insurance in force (end of period) $ 197,091,191 $ 198,882,352 $ 190,811,292 $ 174,646,273 $ 165,615,503 gross risk in force (end of period) (5) $ 48,951,602 $ 49,565,150 $ 47,838,668 $ 43,993,989 $ 41,865,977 risk in force (end of period) $ 41,135,978 $ 41,339,262 $ 41,219,216 $ 39,113,879 $ 38,290,022 policies in force 785,382 799,893 781,836 733,651 706,714 weighted average coverage (6) 24.8 % 24.9 % 25.1 % 25.2 % 25.3 % annual persistency 56.1 % 60.1 % 64.2 % 67.9 % 73.9 % loans in default (count) 29,080 31,469 35,464 38,068 5,841 percentage of loans in default 3.70 % 3.93 % 4.54 % 5.19 % 0.83 % u.s. mortgage insurance portfolio premium rate: base average premium rate (7) 0.44 % 0.44 % 0.45 % 0.47 % 0.47 % single premium cancellations (8) 0.04 % 0.05 % 0.06 % 0.06 % 0.04 % gross average premium rate 0.48 % 0.49 % 0.51 % 0.53 % 0.51 % ceded premiums (0.06 %) (0.06 %) (0.05 %) (0.05 %) (0.03 %) net average premium rate 0.42 % 0.43 % 0.46 % 0.48 % 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 march 31, 2021 december 31, 2020 march 31, 2020 ($ in thousands) >=760 $ 8,471,121 44.0 % $ 13,330,379 45.1 % $ 5,655,716 41.8 % 740-759 3,153,327 16.4 5,069,530 17.1 2,458,032 18.1 720-739 2,753,296 14.3 4,134,782 14.0 2,018,874 14.9 700-719 2,358,634 12.2 3,385,670 11.5 1,558,743 11.5 680-699 1,227,408 6.4 1,743,694 5.9 1,044,918 7.7 =760 $ 81,629,166 41.4 % $ 82,452,139 41.5 % $ 68,385,363 41.3 % 740-759 33,969,375 17.2 34,538,761 17.3 28,289,661 17.1 720-739 29,323,182 14.9 29,599,646 14.9 24,441,834 14.7 700-719 23,775,892 12.1 23,807,982 12.0 19,442,133 11.7 680-699 15,241,886 7.7 15,538,235 7.8 13,859,727 8.4 =760 $ 20,063,586 41.0 % $ 20,336,799 41.0 % $ 17,138,596 40.9 % 740-759 8,512,926 17.4 8,682,265 17.5 7,181,181 17.2 720-739 7,410,503 15.1 7,504,065 15.1 6,262,376 15.0 700-719 5,947,590 12.1 5,970,851 12.1 4,950,746 11.8 680-699 3,798,221 7.8 3,887,059 7.9 3,537,973 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 $ 5,129,571 8.5 % 30,610 4.29 % 82.8 % 69.9 % 4.5 % 14.2 % 43.1 % 3.3 % 1,715 5.60 % 2015 26,193,656 4,850,420 18.5 26,439 4.15 86.4 64.1 3.2 17.1 40.6 4.5 1,422 5.38 2016 34,949,319 9,643,407 27.6 48,920 3.85 87.3 63.7 8.3 14.9 44.1 6.2 2,760 5.64 2017 43,858,322 13,655,157 31.1 70,677 4.25 89.7 63.7 17.2 18.9 38.7 9.6 5,017 7.10 2018 47,508,525 15,685,099 33.0 77,094 4.76 93.3 66.1 22.1 19.5 34.9 16.0 6,106 7.92 2019 63,569,183 32,499,325 51.1 135,127 4.22 84.0 64.1 21.2 18.5 35.9 29.9 8,222 6.08 2020 107,944,065 96,534,141 89.4 335,081 3.21 60.9 50.5 10.9 11.7 43.9 23.5 3,819 1.14 2021 (through march 31) 19,254,014 19,094,071 99.2 61,434 2.87 62.3 46.0 9.3 13.1 43.9 2.4 19 0.03 total $ 403,945,935 $ 197,091,191 48.8 785,382 3.62 71.9 55.9 13.3 14.4 41.4 10.3 29,080 3.70 (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, 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 year-to-date reduction in pmiers minimum required assets (6) 2015 & 2016 $ 13,987,747 $ 3,777,142 $ 333,844 $ — $ 333,844 $ 216,480 $ — $ 216,480 $ — $ 208,111 $ 207,588 $ 1,212 $ 48,644 2017 13,285,965 3,404,783 424,412 165,167 589,579 242,123 165,167 407,290 — 224,689 218,262 2,644 53,839 2018 15,328,438 3,897,423 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 250,350 3,186 98,593 2019 (3) 18,493,963 4,724,213 495,889 55,102 550,991 495,889 55,102 550,991 — 215,605 215,481 2,763 227,756 2019 & 2020 (4) 43,365,923 10,872,860 399,159 — 399,159 399,159 — 399,159 — 465,690 465,690 5,102 289,031 total $ 104,462,036 $ 26,676,421 $ 2,126,488 $ 338,919 $ 2,465,407 $ 1,679,188 $ 296,413 $ 1,975,601 $ — $ 1,367,738 $ 1,357,371 $ 14,907 $ 717,863 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 (6) 2019 & 2020 (5) $ 109,753,017 $ 26,943,264 $ 24,013,881 $ 5,840,023 $ 5,869 $ 5,060 $ 15,989 $ 389,362 (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 40% of eligible single premium policies and 20% of all other eligible policies written from september 1, 2019 through december 31, 2020. (6) 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, 2021 december 31, 2020 march 31, 2020 ca 12.5 % 12.0 % 10.4 % tx 9.8 9.7 8.9 fl 9.0 8.7 8.0 co 4.1 4.1 3.8 wa 3.7 3.8 4.2 az 3.5 3.6 3.3 il 3.4 3.4 3.6 nj 3.2 3.3 3.6 va 3.1 3.1 3.1 ga 3.0 3.0 3.1 all others 44.7 45.3 48.0 total 100.0 % 100.0 % 100.0 % gross rif by state march 31, 2021 december 31, 2020 march 31, 2020 ca 12.2 % 11.8 % 10.1 % tx 10.1 10.0 9.2 fl 9.3 9.0 8.2 co 4.0 4.1 3.7 wa 3.6 3.8 4.2 az 3.5 3.5 3.3 il 3.3 3.3 3.5 nj 3.1 3.2 3.5 ga 3.1 3.1 3.2 va 3.0 3.1 3.1 all others 44.8 45.1 48.0 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 march 31 december 31 september 30 june 30 march 31 beginning default inventory 31,469 35,464 38,068 5,841 5,947 plus: new defaults (a) 7,422 8,745 12,614 37,357 3,933 less: cures (9,737) (12,679) (15,135) (4,983) (3,914) less: claims paid (61) (49) (67) (144) (118) less: rescissions and denials, net (13) (12) (16) (3) (7) ending default inventory 29,080 31,469 35,464 38,068 5,841 (a) new defaults remaining as of march 31, 2021 5,775 4,640 5,009 11,450 764 cure rate (1) 22 % 47 % 60 % 69 % 81 % total amount paid for claims (in thousands) $ 1,989 $ 1,922 $ 2,557 $ 5,718 $ 4,157 average amount paid per claim (in thousands) $ 33 $ 39 $ 38 $ 40 $ 35 severity 70 % 62 % 77 % 78 % 77 % rollforward of reserve for losses and lae three months ended 2021 2020 ($ in thousands) march 31 december 31 september 30 june 30 march 31 reserve for losses and lae at beginning of period $ 373,868 $ 307,019 $ 250,862 $ 73,325 $ 69,183 less: reinsurance recoverables 19,061 11,898 7,761 98 71 net reserve for losses and lae at beginning of period 354,807 295,121 243,101 73,227 69,112 add provision for losses and lae occurring in: current period 47,763 63,597 55,660 181,776 15,419 prior years (15,680) (1,879) (1,070) (5,911) (7,193) incurred losses and lae during the period 32,083 61,718 54,590 175,865 8,226 deduct payments for losses and lae occurring in: current period 114 524 205 288 1 prior years 1,872 1,508 2,365 5,703 4,110 loss and lae payments during the period 1,986 2,032 2,570 5,991 4,111 net reserve for losses and lae at end of period 384,904 354,807 295,121 243,101 73,227 plus: reinsurance recoverables 24,907 19,061 11,898 7,761 98 reserve for losses and lae at end of period $ 409,811 $ 373,868 $ 307,019 $ 250,862 $ 73,325 (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, 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% 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% march 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 3,043 52 % $ 15,128 23 % $ 170,374 9 % four to eleven payments 2,140 37 30,493 45 114,135 27 twelve or more payments 518 9 15,235 23 29,596 51 pending claims 140 2 6,241 9 7,074 88 total case reserves 5,841 100 % 67,097 100 % $ 321,179 21 ibnr 5,032 lae 1,196 total reserves for losses and lae $ 73,325 average reserve per default: case $ 11.5 total $ 12.6 default rate 0.83% exhibit l essent group ltd. and subsidiaries supplemental information investments available for sale investments available for sale by asset class asset class march 31, 2021 december 31, 2020 ($ in thousands) fair value percent fair value percent u.s. treasury securities $ 262,309 5.6 % $ 268,444 5.9 % u.s. agency securities 16,138 0.3 18,085 0.4 u.s. agency mortgage-backed securities 1,022,991 21.7 995,905 21.8 municipal debt securities 572,263 12.2 551,517 12.1 non-u.s. government securities 79,280 1.7 61,607 1.3 corporate debt securities 1,414,938 30.1 1,126,512 24.7 residential and commercial mortgage securities 446,208 9.5 409,282 9.0 asset-backed securities 473,804 10.1 454,717 9.9 money market funds 413,545 8.8 679,304 14.9 total investments available for sale $ 4,701,476 100.0 % $ 4,565,373 100.0 % investments available for sale by credit rating rating (1) march 31, 2021 december 31, 2020 ($ in thousands) fair value percent fair value percent aaa $ 2,310,267 49.1 % $ 2,564,746 56.2 % aa1 138,510 3.0 133,100 2.9 aa2 288,583 6.1 260,462 5.7 aa3 217,683 4.6 204,917 4.5 a1 266,937 5.7 249,710 5.5 a2 426,285 9.1 401,175 8.8 a3 278,424 5.9 229,882 5.0 baa1 296,627 6.3 260,602 5.7 baa2 274,367 5.8 178,926 3.9 baa3 140,688 3.0 48,199 1.1 below baa3 63,105 1.4 33,654 0.7 total investments available for sale $ 4,701,476 100.0 % $ 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 march 31, 2021 december 31, 2020 ($ in thousands) fair value percent fair value percent < 1 year $ 1,158,371 24.6 % $ 1,568,505 34.4 % 1 to < 2 years 443,897 9.4 581,003 12.7 2 to < 3 years 708,723 15.1 616,069 13.5 3 to < 4 years 473,707 10.1 426,333 9.3 4 to < 5 years 511,955 10.9 367,633 8.1 5 or more years 1,404,823 29.9 1,005,830 22.0 total investments available for sale $ 4,701,476 100.0 % $ 4,565,373 100.0 % pre-tax investment income yield: three months ended march 31, 2021 2.02 % net cash and investments at holding company, essent group ltd.: ($ in thousands) as of march 31, 2021 $ 540,330 as of december 31, 2020 $ 562,714 exhibit m essent group ltd. and subsidiaries supplemental information insurance company capital 2021 2020 march 31 december 31 september 30 june 30 march 31 ($ in thousands) u.s. mortgage insurance subsidiaries: combined statutory capital (1) $ 2,778,131 $ 2,659,161 $ 2,581,136 $ 2,457,368 $ 2,452,730 combined net risk in force (2) $ 29,358,191 $ 29,493,572 $ 29,821,246 $ 28,787,600 $ 28,729,105 risk-to-capital ratios: (3) essent guaranty, inc. 11.0:1 11.5:1 12.0:1 12.1:1 12.1:1 essent guaranty of pa, inc. 1.4:1 1.7:1 2.0:1 2.3:1 2.7:1 combined (4) 10.6:1 11.1:1 11.6:1 11.7:1 11.7:1 essent guaranty, inc. pmiers data (5): available assets $ 2,996,651 $ 2,855,923 $ 2,720,432 $ 2,586,394 $ 2,453,705 minimum required assets 1,864,262 1,671,011 1,739,479 1,458,273 1,226,824 pmiers excess available assets $ 1,132,389 $ 1,184,912 $ 980,953 $ 1,128,121 $ 1,226,881 pmiers sufficiency ratio (6) 161 % 171 % 156 % 177 % 200 % essent reinsurance ltd.: stockholder's equity (gaap basis) $ 1,136,504 $ 1,101,003 $ 1,061,546 $ 1,022,689 $ 1,005,038 net risk in force (2) $ 12,905,289 $ 12,892,300 $ 12,312,124 $ 11,113,079 $ 10,589,736 (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.
