Essent group ltd. announces second quarter 2022 results and increases quarterly dividend
Hamilton, bermuda--(business wire)--essent group ltd. (nyse: esnt) today reported net income for the quarter ended june 30, 2022 of $231.8 million or $2.16 per diluted share, compared to $159.8 million or $1.42 per diluted share for the quarter ended june 30, 2021. essent also announced today that its board of directors has declared a quarterly cash dividend of $0.22 per common share. the dividend is payable on september 12, 2022, to shareholders of record on september 1, 2022. “we are pleased with our strong financial results for the second quarter, which reflect the continued favorable credit performance of our portfolio,” said mark a. casale, chairman and chief executive officer. “we believe that the fundamentals of our business remain solid, and despite near-term headwinds, our long-term structural outlook for the housing market remains positive. in connection with that, we are pleased to announce that our board has approved an increase in our quarterly dividend to $0.22 per share." second quarter 2022 financial highlights: new insurance written for the second quarter was $20.1 billion, compared to $12.8 billion in the first quarter of 2022 and $25.0 billion in the second quarter of 2021. insurance in force as of june 30, 2022 was $215.9 billion, compared to $206.8 billion as of march 31, 2022 and $203.6 billion as of june 30, 2021. the combined ratio for the second quarter was negative (16.2%), compared to negative (30.7%) in the first quarter of 2022 and 23.3% in the second quarter of 2021. the provision in the second quarter of 2022 included a $62.9 million benefit associated with a change in the claim rate assumption for covid-19 defaults recorded in the second and third quarters of 2020. during the quarter, essent entered into a forward excess of loss transaction with a panel of reinsurers. the agreement covers 20% of all eligible policies written by essent guaranty, inc. for the period october 1, 2021 through december 31, 2022. conference call: essent management will hold a conference call at 10:00 am eastern time today to discuss its results. the conference call will be broadcast live over the internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. the call may also be accessed by dialing 888-330-2384 inside the u.s., or 240-789-2701 for international callers, using passcode 9824537 or by referencing essent. a replay of the webcast will be available on the essent website approximately two hours after the live broadcast ends for a period of one year. a replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the u.s., or 647-362-9199 for international callers, passcode 9824537. in addition to the information provided in the company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx. forward-looking statements: this press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of covid-19 and related economic conditions; changes in or to fannie mae and freddie mac (the “gses”), whether through federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the gses; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); an increase in the number of loans insured through federal government mortgage insurance programs, including those offered by the federal housing administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "qualified mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "qualified residential mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the basel iii capital accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; our non-u.s. operations becoming subject to u.s. federal income taxation; becoming considered a passive foreign investment company for u.s. federal income tax purposes; and other risks and factors described in part i, item 1a “risk factors” of our annual report on form 10-k for the year ended december 31, 2021 filed with the securities and exchange commission on february 16, 2022, as subsequently updated through other reports we file with the securities and exchange commission. any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise. about the company: essent group ltd. (nyse: esnt) is a bermuda-based holding company (collectively with its subsidiaries, “essent”) which, through its wholly-owned subsidiary, essent guaranty, inc., offers private mortgage insurance for single-family mortgage loans in the united states. essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. headquartered in radnor, pennsylvania, essent guaranty, inc. is licensed to write mortgage insurance in all 50 states and the district of columbia, and is approved by fannie mae and freddie mac. essent also offers mortgage-related insurance, reinsurance and advisory services through its bermuda-based subsidiary, essent reinsurance ltd. essent is committed to supporting environmental, social and governance (“esg”) initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. additional information regarding essent may be found at www.essentgroup.com and www.essent.us. source: essent group ltd. essent group ltd. and subsidiaries financial results and supplemental information (unaudited) quarter ended june 30, 2022 exhibit a condensed consolidated statements of comprehensive income (unaudited) exhibit b condensed consolidated balance sheets (unaudited) exhibit c historical quarterly data exhibit d new insurance written exhibit e insurance in force and risk in force exhibit f other risk in force exhibit g portfolio vintage data exhibit h reinsurance vintage data exhibit i portfolio geographic data exhibit j rollforward of defaults and reserve for losses and lae exhibit k detail of reserves by default delinquency exhibit l investments available for sale exhibit m insurance company capital exhibit a essent group ltd. and subsidiaries condensed consolidated statements of comprehensive income (unaudited) three months ended june 30, six months ended june 30, (in thousands, except per share amounts) 2022 2021 2022 2021 revenues: direct premiums written $ 232,660 $ 228,949 $ 452,914 $ 464,206 ceded premiums (22,318 ) (26,662 ) (42,841 ) (57,558 ) net premiums written 210,342 202,287 410,073 406,648 decrease in unearned premiums 1,669 15,150 17,268 29,856 net premiums earned 212,011 217,437 427,341 436,504 net investment income 29,339 21,743 54,019 43,531 realized investment (losses) gains, net (471 ) (253 ) (7,823 ) 388 income from other invested assets 1,953 122 26,658 648 other income 1,577 4,212 8,825 6,987 total revenues 244,409 243,261 509,020 488,058 losses and expenses: (benefit) provision for losses and lae (76,199 ) 9,651 (183,057 ) 41,973 other underwriting and operating expenses 41,898 41,114 82,694 83,353 interest expense 2,887 2,073 5,113 4,124 total losses and expenses (31,414 ) 52,838 (95,250 ) 129,450 income before income taxes 275,823 190,423 604,270 358,608 income tax expense 44,054 30,628 98,334 63,165 net income $ 231,769 $ 159,795 $ 505,936 $ 295,443 earnings per share: basic $ 2.17 $ 1.43 $ 4.70 $ 2.64 diluted 2.16 1.42 4.69 2.63 weighted average shares outstanding: basic 106,921 112,118 107,540 112,067 diluted 107,283 112,454 107,933 112,416 net income $ 231,769 $ 159,795 $ 505,936 $ 295,443 other comprehensive income (loss): change in unrealized appreciation (depreciation) of investments (134,268 ) 36,360 (337,274 ) (22,843 ) total other comprehensive income (loss) (134,268 ) 36,360 (337,274 ) (22,843 ) comprehensive income $ 97,501 $ 196,155 $ 168,662 $ 272,600 loss ratio (35.9 %) 4.4 % (42.8 %) 9.6 % expense ratio 19.8 18.9 19.4 19.1 combined ratio (16.2 %) 23.3 % (23.5 %) 28.7 % exhibit b essent group ltd. and subsidiaries condensed consolidated balance sheets (unaudited) june 30, december 31, (in thousands, except per share amounts) 2022 2021 assets investments fixed maturities available for sale, at fair value $ 4,264,715 $ 4,649,800 short-term investments available for sale, at fair value 355,625 313,087 total investments available for sale 4,620,340 4,962,887 other invested assets 217,757 170,472 total investments 4,838,097 5,133,359 cash 77,852 81,491 accrued investment income 26,716 26,546 accounts receivable 51,281 46,157 deferred policy acquisition costs 10,809 12,178 property and equipment 20,569 11,921 prepaid federal income tax 391,910 360,810 other assets 103,868 49,712 total assets $ 5,521,102 $ 5,722,174 liabilities and stockholders' equity liabilities reserve for losses and lae $ 209,973 $ 407,445 unearned premium reserve 168,117 185,385 net deferred tax liability 348,374 373,654 credit facility borrowings, net of deferred costs 420,336 419,823 other accrued liabilities 102,307 99,753 total liabilities 1,249,107 1,486,060 commitments and contingencies stockholders' equity common shares, $0.015 par value: authorized - 233,333; issued and outstanding - 107,696 shares in 2022 and 109,377 shares in 2021 1,615 1,641 additional paid-in capital 1,340,650 1,428,952 accumulated other comprehensive (loss) income (286,567 ) 50,707 retained earnings 3,216,297 2,754,814 total stockholders' equity 4,271,995 4,236,114 total liabilities and stockholders' equity $ 5,521,102 $ 5,722,174 return on average equity (1) 23.8 % 16.8 % (1) the 2022 return on average equity is calculated by dividing annualized year-to-date 2022 net income by average equity. the 2021 return on average equity is calculated by dividing full year 2021 net income by average equity. exhibit c essent group ltd. and subsidiaries supplemental information historical quarterly data 2022 2021 selected income statement data 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 $ 198,891 $ 203,312 $ 205,877 $ 207,127 $ 204,149 gse and other risk share 13,120 12,018 11,444 11,591 13,288 net premiums earned 212,011 215,330 217,321 218,718 217,437 net investment income 29,339 24,680 23,661 21,573 21,743 realized investment (losses) gains, net (471 ) (7,352 ) (191 ) 221 (253 ) income from other invested assets (1) 1,953 24,705 14,997 40,741 122 other income (2) 1,577 7,248 1,128 2,283 4,212 total revenues 244,409 264,611 256,916 283,536 243,261 losses and expenses: (benefit) provision for losses and lae (76,199 ) (106,858 ) (3,433 ) (7,483 ) 9,651 other underwriting and operating expenses 41,898 40,796 41,232 42,272 41,114 interest expense 2,887 2,226 2,095 2,063 2,073 total losses and expenses (31,414 ) (63,836 ) 39,894 36,852 52,838 income before income taxes 275,823 328,447 217,022 246,684 190,423 income tax expense (3) 44,054 54,280 36,035 41,331 30,628 net income $ 231,769 $ 274,167 $ 180,987 $ 205,353 $ 159,795 earnings per share: basic $ 2.17 $ 2.53 $ 1.65 $ 1.85 $ 1.43 diluted 2.16 2.52 1.64 1.84 1.42 weighted average shares outstanding: basic 106,921 108,166 109,550 111,001 112,118 diluted 107,283 108,590 110,028 111,387 112,454 book value per share $ 39.67 $ 38.98 $ 38.73 $ 37.58 $ 36.32 return on average equity (annualized) 21.8 % 26.0 % 17.2 % 19.9 % 16.0 % other data: loss ratio (4) (35.9 %) (49.6 %) (1.6 %) (3.4 %) 4.4 % expense ratio (5) 19.8 18.9 19.0 19.3 18.9 combined ratio (16.2 %) (30.7 %) 17.4 % 15.9 % 23.3 % credit facility borrowings outstanding $ 425,000 $ 425,000 $ 425,000 $ 325,000 $ 325,000 undrawn committed capacity $ 400,000 $ 400,000 $ 400,000 $ 300,000 $ 300,000 weighted average interest rate (end of period) 2.92 % 1.99 % 1.79 % 2.13 % 2.13 % debt-to-capital 9.05 % 9.16 % 9.12 % 7.23 % 7.37 % (1) income from other invested assets for the three months ended september 30, 2021 includes $39.5 million of net unrealized gains, which includes $21.1 million of net unrealized gains that were accumulated in other comprehensive income at june 30, 2021 and prior periods. (2) for each of the three month periods noted, other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements as follows: june 30, 2022: ($5,549); march 31, 2022: $4,365; december 31, 2021: ($2,931); september 30, 2021: ($1,493); june 30, 2021: $950. (3) income tax expense for the quarter ended december 31, 2021 includes $2,473 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 june 30, 2022, march 31, 2022, december 31, 2021 and september 30, 2021 includes ($299), $7,002, $1,759 and $8,271, respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. (4) loss ratio is calculated by dividing the provision for losses and lae by net premiums earned. (5) expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. exhibit c, continued essent group ltd. and subsidiaries supplemental information historical quarterly data 2022 2021 other data, continued: june 30 march 31 december 31 september 30 june 30 ($ in thousands) u.s. mortgage insurance portfolio flow: new insurance written $ 20,096,135 $ 12,841,482 $ 16,379,082 $ 23,579,884 $ 25,004,854 new risk written 5,442,115 3,438,016 4,331,531 6,273,735 6,445,864 bulk: new insurance written $ 196 $ — $ 416 $ — $ — new risk written 29 — 41 — — total: new insurance written $ 20,096,331 $ 12,841,482 $ 16,379,498 $ 23,579,884 $ 25,004,854 new risk written $ 5,442,144 $ 3,438,016 $ 4,331,572 $ 6,273,735 $ 6,445,864 average insurance in force $ 210,896,297 $ 206,631,135 $ 207,388,906 $ 206,732,478 $ 199,739,297 insurance in force (end of period) $ 215,896,531 $ 206,842,996 $ 207,190,544 $ 208,216,549 $ 203,559,859 gross risk in force (end of period) (6) $ 55,678,063 $ 52,847,985 $ 52,554,246 $ 52,457,020 $ 50,835,835 risk in force (end of period) $ 47,289,910 $ 45,261,164 $ 45,273,383 $ 45,074,159 $ 42,906,519 policies in force 789,652 774,002 785,119 798,877 794,743 weighted average coverage (7) 25.8 % 25.5 % 25.4 % 25.2 % 25.0 % annual persistency 73.4 % 69.1 % 65.4 % 62.2 % 58.3 % loans in default (count) 12,707 14,923 16,963 19,721 23,504 percentage of loans in default 1.61 % 1.93 % 2.16 % 2.47 % 2.96 % u.s. mortgage insurance portfolio premium rate: base average premium rate (8) 0.41 % 0.41 % 0.42 % 0.42 % 0.43 % single premium cancellations (9) 0.01 % 0.02 % 0.03 % 0.03 % 0.03 % gross average premium rate 0.42 % 0.43 % 0.45 % 0.45 % 0.46 % ceded premiums (0.04 %) (0.04 %) (0.05 %) (0.05 %) (0.05 %) net average premium rate 0.38 % 0.39 % 0.40 % 0.40 % 0.41 % (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 six months ended june 30, 2022 june 30, 2021 june 30, 2022 june 30, 2021 ($ in thousands) >=760 $ 8,555,331 42.6 % $ 10,050,359 40.2 % $ 13,965,985 42.4 % $ 18,521,480 41.9 % 740-759 3,421,392 17.0 3,812,462 15.2 5,534,624 16.8 6,965,789 15.7 720-739 3,105,275 15.4 3,906,718 15.6 5,096,593 15.5 6,660,014 15.0 700-719 2,554,997 12.7 3,624,247 14.5 4,175,470 12.7 5,982,881 13.5 680-699 1,785,196 8.9 2,266,364 9.1 2,932,962 8.9 3,493,772 7.9 =760 $ 89,790,212 41.6 % $ 85,707,070 41.4 % $ 84,110,514 41.3 % 740-759 36,606,394 17.0 35,048,891 17.0 34,636,115 17.0 720-739 32,637,422 15.1 31,180,765 15.1 30,471,320 15.0 700-719 27,258,759 12.6 26,040,114 12.6 25,177,026 12.4 680-699 17,697,662 8.2 16,847,202 8.1 15,962,389 7.8 =760 $ 22,956,271 41.2 % $ 21,707,751 41.1 % $ 20,807,006 40.9 % 740-759 9,540,921 17.1 9,041,350 17.1 8,729,038 17.2 720-739 8,545,969 15.3 8,091,445 15.3 7,745,794 15.2 700-719 7,107,888 12.8 6,724,288 12.7 6,342,378 12.5 680-699 4,601,675 8.3 4,338,206 8.2 3,998,410 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 $ 2,490,613 4.1 % 15,566 4.33 % 79.1 % 71.1 % 5.6 % 15.1 % 43.0 % 2.7 % 615 3.95 % 2015 26,193,656 2,332,124 8.9 13,792 4.18 86.4 72.4 3.9 17.8 39.6 2.8 492 3.57 2016 34,949,319 5,030,997 14.4 27,817 3.86 88.4 68.3 9.5 15.5 43.5 3.1 907 3.26 2017 43,858,322 6,809,618 15.5 38,842 4.26 91.0 67.6 19.4 20.1 38.1 4.4 1,626 4.19 2018 47,508,525 7,611,480 16.0 41,168 4.78 94.0 67.9 24.2 21.4 33.0 6.0 2,003 4.87 2019 63,569,183 16,560,800 26.1 76,072 4.21 86.7 66.0 23.1 18.8 35.6 8.1 2,437 3.20 2020 107,944,065 67,409,464 62.4 247,090 3.18 64.6 53.0 11.7 10.8 45.3 6.3 2,814 1.14 2021 84,218,250 75,326,623 89.4 238,857 3.07 83.5 59.7 14.3 14.0 40.4 9.0 1,727 0.72 2022 (through june 30) 32,937,813 32,324,812 98.1 90,448 4.40 96.5 64.2 11.7 12.7 42.1 6.5 86 0.10 total $ 501,847,984 $ 215,896,531 43.0 789,652 3.53 80.5 59.8 14.0 13.7 41.6 4.7 12,707 1.61 (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, 2022 ($ in thousands) excess of loss reinsurance original reinsurance in force remaining reinsurance in force earned premiums ceded year remaining insurance in force remaining risk in force iln (1) other reinsurance (2) total iln other reinsurance total losses ceded to date original first layer retention remaining first layer retention quarter-to-date year-to-date reduction in pmiers minimum required assets (9) 2015 & 2016 $ 7,103,695 $ 1,923,750 $ 333,844 $ — $ 333,844 $ 92,252 $ — $ 92,252 $ — $ 208,111 $ 206,949 $ 867 $ 1,836 $ — 2017 6,635,437 1,737,626 424,412 165,167 589,579 242,123 163,289 405,412 — 224,689 216,924 2,878 5,540 — 2018 7,501,596 1,923,568 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 249,142 3,465 6,657 — 2019 (3) 9,163,963 2,349,594 495,889 55,102 550,991 495,889 55,102 550,991 — 215,605 214,983 3,162 5,922 — 2019 & 2020 (4) 26,585,463 6,789,598 399,159 — 399,159 64,499 — 64,499 — 465,690 465,676 1,676 4,173 — 2020 & 2021 (5) 45,196,322 11,204,778 557,911 — 557,911 519,999 — 519,999 — 278,956 278,919 3,614 7,217 474,736 2021 (6) 43,511,188 11,508,673 439,407 — 439,407 439,407 — 439,407 — 279,415 279,415 4,205 8,356 379,188 2021 & 2022 (10) 47,680,467 12,798,770 — 89,591 89,591 — 89,591 89,591 — 319,969 319,969 336 336 88,670 total $ 193,378,131 $ 50,236,357 $ 3,123,806 $ 428,510 $ 3,552,316 $ 2,179,706 $ 384,126 $ 2,563,832 $ — $ 2,246,078 $ 2,231,977 $ 20,203 $ 40,037 $ 942,594 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 (9) 2019 & 2020 (7) $ 74,399,753 $ 18,667,689 $ 16,422,951 $ 4,078,992 $ (5,954 ) $ (12,573 ) $ 3,467 $ 7,215 $ 460 $ 775 $ 264,432 2022 (8) 32,285,262 8,717,258 6,457,052 1,743,452 289 312 707 892 1,633 2,007 118,723 total $ 106,685,015 $ 27,384,947 $ 22,880,003 $ 5,822,444 $ (5,665 ) $ (12,261 ) $ 4,174 $ 8,107 $ 2,093 $ 2,782 $ 383,155 (1) reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ilns"). (2) reinsurance provided by panels of reinsurers. (3) reinsurance coverage on new insurance written from january 1, 2019 through august 31, 2019. (4) reinsurance coverage on new insurance written from september 1, 2019 through july 31, 2020. (5) reinsurance coverage on new insurance written from august 1, 2020 through march 31, 2021. (6) reinsurance coverage on new insurance written from april 1, 2021 through september 30, 2021. (7) reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from september 1, 2019 through december 31, 2020. (8) reinsurance coverage on 20% of all eligible policies written from january 1, 2022 through december 31, 2022. (9) represents the reduction in essent guaranty, inc.'s minimum required assets based on our interpretation of the pmiers. (10) reinsurance coverage on 20% of all eligible policies written from october 1, 2021 through december 31, 2022. exhibit i essent group ltd. and subsidiaries supplemental information portfolio geographic data iif by state june 30, 2022 march 31, 2022 june 30, 2021 ca 13.2 % 13.2 % 12.9 % tx 10.2 10.0 9.8 fl 10.0 9.9 9.3 co 4.2 4.1 4.1 wa 3.5 3.6 3.7 az 3.4 3.3 3.5 il 3.2 3.3 3.3 ga 3.1 3.1 3.1 va 3.1 3.1 3.1 nj 3.1 3.1 3.1 all others 43.0 43.3 44.1 total 100.0 % 100.0 % 100.0 % gross rif by state june 30, 2022 march 31, 2022 june 30, 2021 ca 13.0 % 13.1 % 12.7 % tx 10.6 10.4 10.1 fl 10.3 10.2 9.6 co 4.1 4.0 4.1 az 3.4 3.4 3.4 wa 3.4 3.6 3.6 ga 3.2 3.2 3.1 il 3.1 3.2 3.2 va 3.0 3.0 3.0 nj 2.9 3.0 3.0 all others 43.0 42.9 44.2 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 2022 2021 june 30 march 31 december 31 september 30 june 30 beginning default inventory 14,923 16,963 19,721 23,504 29,080 plus: new defaults (a) 5,495 6,188 5,809 5,132 4,934 less: cures (7,639 ) (8,167 ) (8,514 ) (8,862 ) (10,453 ) less: claims paid (65 ) (55 ) (47 ) (41 ) (46 ) less: rescissions and denials, net (7 ) (6 ) (6 ) (12 ) (11 ) ending default inventory 12,707 14,923 16,963 19,721 23,504 (a) new defaults remaining as of june 30, 2022 3,928 2,225 1,483 955 556 cure rate (1) 29 % 64 % 74 % 81 % 89 % total amount paid for claims (in thousands) $ 1,137 $ 826 $ 992 $ 1,069 $ 1,154 average amount paid per claim (in thousands) $ 17 $ 15 $ 21 $ 26 $ 25 severity 50 % 35 % 45 % 60 % 57 % rollforward of reserve for losses and lae three months ended 2022 2021 ($ in thousands) june 30 march 31 december 31 september 30 june 30 reserve for losses and lae at beginning of period $ 292,818 $ 406,096 $ 411,567 $ 420,482 $ 409,811 less: reinsurance recoverables 19,335 25,940 26,970 27,286 24,907 net reserve for losses and lae at beginning of period 273,483 380,156 384,597 393,196 384,904 add provision for losses and lae occurring in: current period 18,720 24,346 13,231 11,371 24,534 prior years (94,809 ) (130,114 ) (16,624 ) (18,853 ) (14,961 ) incurred losses and lae during the period (76,089 ) (105,768 ) (3,393 ) (7,482 ) 9,573 deduct payments for losses and lae occurring in: current period 80 1 157 103 14 prior years 1,142 904 891 1,014 1,267 loss and lae payments during the period 1,222 905 1,048 1,117 1,281 net reserve for losses and lae at end of period 196,172 273,483 380,156 384,597 393,196 plus: reinsurance recoverables 13,657 19,335 25,940 26,970 27,286 reserve for losses and lae at end of period $ 209,829 $ 292,818 $ 406,096 $ 411,567 $ 420,482 (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, 2022 number of policies in default percentage of policies in default amount of reserves percentage of reserves defaulted rif reserves as a percentage of defaulted rif ($ in thousands) missed payments: three payments or less 4,036 32 % $ 18,653 10 % $ 250,303 7 % four to eleven payments 4,741 37 59,753 31 304,764 20 twelve or more payments 3,849 30 111,442 57 236,440 47 pending claims 81 1 3,568 2 3,574 100 total case reserves 12,707 100 % 193,416 100 % $ 795,081 24 ibnr 14,506 lae 1,907 total reserves for losses and lae $ 209,829 average reserve per default: case $ 15.2 total $ 16.5 default rate 1.61 % 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 % 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 % exhibit l essent group ltd. and subsidiaries supplemental information investments available for sale investments available for sale by asset class asset class june 30, 2022 december 31, 2021 ($ in thousands) fair value percent fair value percent u.s. treasury securities $ 470,146 10.2 % $ 448,793 9.1 % u.s. agency securities 2,000 — 5,504 0.1 u.s. agency mortgage-backed securities 783,438 17.0 1,008,863 20.3 municipal debt securities 540,772 11.7 627,599 12.7 non-u.s. government securities 65,135 1.4 79,743 1.6 corporate debt securities 1,354,110 29.3 1,455,247 29.3 residential and commercial mortgage securities 545,999 11.8 545,423 11.0 asset-backed securities 618,115 13.4 581,703 11.7 money market funds 240,625 5.2 210,012 4.2 total investments available for sale $ 4,620,340 100.0 % $ 4,962,887 100.0 % investments available for sale by credit rating rating (1) june 30, 2022 december 31, 2021 ($ in thousands) fair value percent fair value percent aaa $ 2,247,042 48.6 % $ 2,412,273 48.6 % aa1 87,609 1.9 96,331 1.9 aa2 340,956 7.4 354,951 7.2 aa3 212,582 4.6 221,914 4.5 a1 343,606 7.4 263,820 5.3 a2 379,762 8.2 427,282 8.6 a3 237,827 5.2 274,525 5.5 baa1 237,793 5.1 305,204 6.1 baa2 212,313 4.6 274,011 5.5 baa3 211,721 4.6 240,755 4.9 below baa3 109,129 2.4 91,821 1.9 total investments available for sale $ 4,620,340 100.0 % $ 4,962,887 100.0 % (1) based on ratings issued by moody's, if available. s&p or fitch rating utilized if moody's not available. investments available for sale by duration and book yield effective duration june 30, 2022 december 31, 2021 ($ in thousands) fair value percent fair value percent < 1 year $ 1,225,902 26.5 % $ 1,104,397 22.2 % 1 to < 2 years 377,295 8.2 561,297 11.3 2 to < 3 years 525,739 11.4 539,174 10.9 3 to < 4 years 469,535 10.2 593,663 12.0 4 to < 5 years 601,988 13.0 663,127 13.4 5 or more years 1,419,881 30.7 1,501,229 30.2 total investments available for sale $ 4,620,340 100.0 % $ 4,962,887 100.0 % pre-tax investment income yield: three months ended june 30, 2022 2.50 % six months ended june 30, 2022 2.30 % holding company net cash and investments available for sale: ($ in thousands) as of june 30, 2022 $ 619,165 as of december 31, 2021 $ 618,306 exhibit m essent group ltd. and subsidiaries supplemental information insurance company capital 2022 2021 june 30 march 31 december 31 september 30 june 30 ($ in thousands) u.s. mortgage insurance subsidiaries: combined statutory capital (1) $ 3,062,438 $ 3,058,880 $ 2,950,107 $ 2,916,802 $ 2,809,087 combined net risk in force (2) $ 31,221,406 $ 30,331,197 $ 30,660,272 $ 30,766,379 $ 29,646,042 risk-to-capital ratios: (3) essent guaranty, inc. 10.6:1 10.3:1 10.8:1 10.9:1 10.9:1 essent guaranty of pa, inc. 0.6:1 0.7:1 0.8:1 1.0:1 1.1:1 combined (4) 10.2:1 9.9:1 10.4:1 10.5:1 10.6:1 essent guaranty, inc. pmiers data (5): available assets $ 3,120,098 $ 3,194,939 $ 3,170,881 $ 3,161,780 $ 3,016,050 minimum required assets 1,869,524 1,840,069 1,791,551 1,951,096 1,731,843 pmiers excess available assets $ 1,250,574 $ 1,354,870 $ 1,379,330 $ 1,210,684 $ 1,284,207 pmiers sufficiency ratio (6) 167 % 174 % 177 % 162 % 174 % essent reinsurance ltd.: stockholder's equity (gaap basis) $ 1,380,067 $ 1,330,840 $ 1,301,937 $ 1,249,996 $ 1,192,077 net risk in force (2) $ 17,758,801 $ 16,527,587 $ 15,997,129 $ 15,466,651 $ 14,338,567 (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.
