Essent group ltd. announces first quarter 2023 results and declares quarterly dividend
Hamilton, bermuda--(business wire)--essent group ltd. (nyse: esnt) today reported net income for the quarter ended march 31, 2023 of $170.8 million or $1.59 per diluted share, compared to $274.2 million or $2.52 per diluted share for the quarter ended march 31, 2022. essent also announced today that its board of directors has declared a quarterly cash dividend of $0.25 per common share. the dividend is payable on june 12, 2023, to shareholders of record on june 1, 2023. “we are pleased with our first quarter 2023 financial results, which benefited from rising interest rates and favorable credit performance,” said mark a. casale, chairman and chief executive officer. “our results continue to demonstrate the earnings power of our business and provide us with attractive levels of operating cash flows. we continue to believe deploying our capital in a balanced manner is in the best long-term interest of our shareholders.” financial highlights: new insurance written for the first quarter of 2023 was $12.9 billion, compared to $13.0 billion in the fourth quarter of 2022 and $12.8 billion in the first quarter of 2022. insurance in force as of march 31, 2023 was $231.5 billion, compared to $227.1 billion as of december 31, 2022 and $206.8 billion as of march 31, 2022. the combined ratio for the first quarter of 2023 was 22.7%, compared to 24.6% in the fourth quarter of 2022 and (30.7)% in the first quarter of 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: 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); the impact of covid-19 and related economic conditions; 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, 2022 filed with the securities and exchange commission on february 17, 2023, 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, 2023 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) 2023 2022 revenues: direct premiums written $ 239,491 $ 220,254 ceded premiums (33,591 ) (20,523 ) net premiums written 205,900 199,731 decrease in unearned premiums 5,358 15,599 net premiums earned 211,258 215,330 net investment income 43,236 24,680 realized investment losses, net (488 ) (7,352 ) (loss) income from other invested assets (2,702 ) 24,705 other income 4,942 7,248 total revenues 256,246 264,611 losses and expenses: (benefit) provision for losses and lae (180 ) (106,858 ) other underwriting and operating expenses 48,195 40,796 interest expense 6,936 2,226 total losses and expenses 54,951 (63,836 ) income before income taxes 201,295 328,447 income tax expense 30,468 54,280 net income $ 170,827 $ 274,167 earnings per share: basic $ 1.60 $ 2.53 diluted 1.59 2.52 weighted average shares outstanding: basic 106,943 108,166 diluted 107,585 108,590 net income $ 170,827 $ 274,167 other comprehensive income (loss): change in unrealized appreciation (depreciation) of investments 58,753 (203,006 ) total other comprehensive income (loss) 58,753 (203,006 ) comprehensive income $ 229,580 $ 71,161 loss ratio (0.1 %) (49.6 %) expense ratio 22.8 18.9 combined ratio 22.7 % (30.7 %) exhibit b essent group ltd. and subsidiaries condensed consolidated balance sheets (unaudited) march 31, december 31, (in thousands, except per share amounts) 2023 2022 assets investments fixed maturities available for sale, at fair value $ 4,602,284 $ 4,489,598 short-term investments available for sale, at fair value 347,752 252,027 total investments available for sale 4,950,036 4,741,625 other invested assets 255,288 257,941 total investments 5,205,324 4,999,566 cash 68,633 81,240 accrued investment income 36,896 33,162 accounts receivable 61,282 57,399 deferred policy acquisition costs 9,511 9,910 property and equipment 18,514 19,571 prepaid federal income tax 418,460 418,460 other assets 108,886 104,489 total assets $ 5,927,506 $ 5,723,797 liabilities and stockholders' equity liabilities reserve for losses and lae $ 216,022 $ 216,464 unearned premium reserve 157,529 162,887 net deferred tax liability 383,116 356,810 credit facility borrowings, net of deferred costs 421,128 420,864 other accrued liabilities 100,770 104,463 total liabilities 1,278,565 1,261,488 commitments and contingencies stockholders' equity common shares, $0.015 par value: authorized - 233,333; issued and outstanding - 107,659 shares in 2023 and 107,683 shares in 2022 1,615 1,615 additional paid-in capital 1,334,607 1,350,377 accumulated other comprehensive loss (324,037 ) (382,790 ) retained earnings 3,636,756 3,493,107 total stockholders' equity 4,648,941 4,462,309 total liabilities and stockholders' equity $ 5,927,506 $ 5,723,797 return on average equity (1) 15.0 % 19.1 % (1) the 2023 return on average equity is calculated by dividing annualized year-to-date 2023 net income by average equity. the 2022 return on average equity is calculated by dividing full year 2022 net income by average equity. exhibit c essent group ltd. and subsidiaries supplemental information historical quarterly data 2023 2022 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 $ 196,565 $ 192,670 $ 194,272 $ 198,891 $ 203,312 gse and other risk share 14,693 14,582 13,662 13,120 12,018 net premiums earned 211,258 207,252 207,934 212,011 215,330 net investment income 43,236 37,796 32,594 29,339 24,680 realized investment (losses) gains, net (488 ) (5,524 ) 175 (471 ) (7,352 ) (loss) income from other invested assets (2,702 ) (7,599 ) 9,617 1,953 24,705 other income (loss) (1) 4,942 (1,888 ) 11,447 1,577 7,248 total revenues 256,246 230,037 261,767 244,409 264,611 losses and expenses: (benefit) provision for losses and lae (180 ) 4,101 4,252 (76,199 ) (106,858 ) other underwriting and operating expenses 48,195 46,895 42,144 41,898 40,796 interest expense 6,936 6,045 4,450 2,887 2,226 total losses and expenses 54,951 57,041 50,846 (31,414 ) (63,836 ) income before income taxes 201,295 172,996 210,921 275,823 328,447 income tax expense (2) 30,468 25,630 32,870 44,054 54,280 net income $ 170,827 $ 147,366 $ 178,051 $ 231,769 $ 274,167 earnings per share: basic $ 1.60 $ 1.38 $ 1.67 $ 2.17 $ 2.53 diluted 1.59 1.37 1.66 2.16 2.52 weighted average shares outstanding: basic 106,943 106,881 106,870 106,921 108,166 diluted 107,585 107,419 107,337 107,283 108,590 book value per share $ 43.18 $ 41.44 $ 39.87 $ 39.67 $ 38.98 return on average equity (annualized) 15.0 % 13.5 % 16.6 % 21.8 % 26.0 % other data: loss ratio (3) (0.1 %) 2.0 % 2.0 % (35.9 )% (49.6 )% expense ratio (4) 22.8 22.6 20.3 19.8 18.9 combined ratio 22.7 % 24.6 % 22.3 % (16.2 )% (30.7 )% credit facility borrowings outstanding $ 425,000 $ 425,000 $ 425,000 $ 425,000 $ 425,000 undrawn committed capacity $ 400,000 $ 400,000 $ 400,000 $ 400,000 $ 400,000 weighted average interest rate (end of period) 6.52 % 6.02 % 4.39 % 2.92 % 1.99 % debt-to-capital 8.38 % 8.70 % 9.01 % 9.05 % 9.16 % (1) other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended march 31, 2023, december 31, 2022, september 30, 2022, june 30, 2022 and march 31, 2022 was ($368), ($6,515),$5,177, ($5,549), and $4,365, respectively. (2) income tax expense for the quarters ended march 31, 2023, december 31, 2022, september 30, 2022, june 30, 2022 and march 31, 2022 includes ($368), ($4,122), $2,925, ($299), and $7,002, respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. (3) loss ratio is calculated by dividing the provision for losses and lae by net premiums earned. (4) expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. exhibit c, continued essent group ltd. and subsidiaries supplemental information historical quarterly data 2023 2022 other data, continued: march 31 december 31 september 30 june 30 march 31 ($ in thousands) u.s. mortgage insurance portfolio flow: new insurance written $ 12,893,789 $ 13,011,432 $ 17,112,017 $ 20,096,135 $ 12,841,482 new risk written 3,548,015 3,522,726 4,570,699 5,442,115 3,438,016 bulk: new insurance written $ — $ — $ — $ 196 $ — new risk written — — — 29 — total: new insurance written $ 12,893,789 $ 13,011,432 $ 17,112,017 $ 20,096,331 $ 12,841,482 new risk written $ 3,548,015 $ 3,522,726 $ 4,570,669 $ 5,442,144 $ 3,438,016 average insurance in force $ 228,885,174 $ 224,840,675 $ 219,280,350 $ 210,896,297 $ 206,631,135 insurance in force (end of period) $ 231,537,417 $ 227,062,055 $ 222,542,569 $ 215,896,531 $ 206,842,996 gross risk in force (end of period) (5) $ 60,879,979 $ 59,276,489 $ 57,743,091 $ 55,678,063 $ 52,847,985 risk in force (end of period) $ 51,469,312 $ 49,903,626 $ 48,690,571 $ 47,289,910 $ 45,261,164 policies in force 815,751 808,596 800,745 789,652 774,002 weighted average coverage (6) 26.3 % 26.1 % 25.9 % 25.8 % 25.5 % annual persistency 84.4 % 82.1 % 77.9 % 73.4 % 69.1 % loans in default (count) 12,773 13,433 12,435 12,707 14,923 percentage of loans in default 1.57 % 1.66 % 1.55 % 1.61 % 1.93 % u.s. mortgage insurance portfolio premium rate: base average premium rate (7) 0.40 % 0.40 % 0.40 % 0.41 % 0.41 % single premium cancellations (8) — % — % 0.01 % 0.01 % 0.02 % gross average premium rate 0.40 % 0.40 % 0.41 % 0.42 % 0.43 % ceded premiums (0.06 %) (0.06 %) (0.06 %) (0.04 %) (0.04 %) net average premium rate 0.34 % 0.34 % 0.35 % 0.38 % 0.39 % (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, 2023 december 31, 2022 march 31, 2022 ($ in thousands) >=760 $ 4,847,058 37.7 % $ 4,761,917 36.6 % $ 5,410,654 42.1 % 740-759 2,397,982 18.6 2,428,164 18.7 2,113,232 16.5 720-739 2,204,844 17.1 2,301,392 17.7 1,991,318 15.5 700-719 2,002,892 15.5 1,919,146 14.6 1,620,473 12.6 680-699 1,100,815 8.5 1,138,743 8.8 1,147,766 8.9 =760 $ 94,560,292 40.8 % $ 93,389,066 41.1 % $ 85,707,070 41.4 % 740-759 39,870,193 17.2 38,842,311 17.2 35,048,891 17.0 720-739 35,950,319 15.5 34,981,632 15.4 31,180,765 15.1 700-719 30,103,007 13.0 29,146,543 12.8 26,040,114 12.6 680-699 19,338,187 8.4 18,859,824 8.3 16,847,202 8.1 =760 $ 24,613,214 40.4 % $ 24,152,726 40.8 % $ 21,707,751 41.1 % 740-759 10,612,582 17.4 10,255,195 17.3 9,041,350 17.1 720-739 9,602,368 15.8 9,276,750 15.6 8,091,445 15.3 700-719 8,017,430 13.2 7,696,965 13.0 6,724,288 12.7 680-699 5,126,581 8.4 4,963,470 8.4 4,338,206 8.2 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 $ 1,970,588 3.2 % 12,429 4.32 % 76.7 % 67.7 % 6.1 % 15.0 % 43.0 % 2.6 % 469 3.77 % 2015 26,193,656 1,774,450 6.8 10,695 4.19 85.1 76.3 4.4 17.4 39.6 2.7 384 3.59 2016 34,949,319 3,808,006 10.9 21,772 3.88 88.3 76.6 11.0 16.2 42.4 2.6 642 2.95 2017 43,858,322 5,637,892 12.9 33,053 4.27 91.2 69.7 20.0 20.2 38.0 3.8 1,251 3.78 2018 47,508,525 6,439,876 13.6 35,612 4.79 94.4 69.7 25.3 21.6 32.8 5.3 1,593 4.47 2019 63,569,183 14,135,010 22.2 66,304 4.22 87.7 67.2 24.1 18.7 35.6 5.5 1,957 2.95 2020 107,944,065 55,661,138 51.6 209,325 3.18 66.6 54.8 12.4 10.7 45.6 4.2 2,594 1.24 2021 84,218,250 69,593,624 82.6 223,703 3.08 85.0 61.2 14.8 13.9 40.4 7.8 2,743 1.23 2022 63,061,262 59,703,096 94.7 168,003 5.07 97.7 64.9 11.0 12.7 39.9 17.4 1,131 0.67 2023 (through march 31) 12,893,789 12,813,737 99.4 34,855 6.24 98.6 71.8 14.1 11.2 37.4 3.1 9 0.03 total $ 544,865,222 $ 231,537,417 42.5 815,751 3.97 85.2 62.4 14.0 13.4 40.8 4.4 12,773 1.57 (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, 2023 ($ 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 (3) 2017 $ 5,511,131 $ 1,450,432 $ 424,412 $ 165,167 $ 589,579 $ — $ 70,895 $ 70,895 $ — $ 678,283 $ 421,003 (9) $ 2,136 $ — 2018 6,349,474 1,644,287 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 248,221 4,113 — 2019 (4) 7,859,217 2,029,598 495,889 55,102 550,991 395,889 43,991 439,880 — 215,605 214,485 2,691 — 2020 & 2021 (5) 38,168,321 9,652,777 557,911 — 557,911 414,005 — 414,005 — 278,956 278,909 3,195 326,919 2021 (6) 40,543,749 10,825,130 439,407 — 439,407 399,786 — 399,786 — 279,415 279,400 4,153 363,292 2021 & 2022 (7) 74,276,338 19,998,840 — 141,992 141,992 — 141,992 141,992 — 507,114 507,114 1,553 138,375 2021 & 2022 (8) 33,357,208 8,966,697 237,868 — 237,868 237,868 — 237,868 — 303,761 303,761 4,215 218,839 total $ 206,065,438 $ 54,567,761 $ 2,628,671 $ 480,911 $ 3,109,582 $ 1,773,085 $ 333,022 $ 2,106,107 $ — $ 2,289,964 $ 2,025,706 (10) $ 22,276 (11) $ 1,047,425 quota share reinsurance losses ceded ceding commission earned premiums ceded year ceding percentage 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 (3) 2019 & 2020 (12) $ 61,601,698 $ 15,757,097 $ 13,706,657 $ 3,467,883 $ (729 ) $ 2,927 $ 4,686 $ 210,467 2022 20% 59,645,799 16,099,874 11,929,160 3,219,975 2,493 1,979 6,253 228,069 2023 17.5% 12,796,821 3,524,010 2,559,364 616,702 29 166 376 43,519 total $ 134,044,318 $ 35,380,981 $ 28,195,181 $ 7,304,560 $ 1,793 $ 5,072 $ 11,315 $ 482,055 (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) represents the reduction in essent guaranty, inc.'s minimum required assets based on our interpretation of the pmiers. (4) reinsurance coverage on new insurance written from january 1, 2019 through august 31, 2019. (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 20% of all eligible policies written from october 1, 2021 through december 31, 2022. (8) reinsurance coverage on new insurance written from october 1, 2021 through july 31, 2022. (9) the original and remaining first layer retention is associated with reinsurance provided by a panel of reinsurers. amounts reported in prior periods reflected the retention associated with an iln that is no longer outstanding as of march 31, 2023. (10) the total remaining first layer retention differs from the sum of the individual reinsurance transactions as a result of overlapping coverage between certain transactions. (11) the total ceded premium differs from the sum of the individual reinsurance transactions as a result of iln's that ceded premiums during 2023 but are no longer outstanding as of march 31, 2023. (12) 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. exhibit i essent group ltd. and subsidiaries supplemental information portfolio geographic data iif by state march 31, 2023 december 31, 2022 march 31, 2022 ca 13.2 % 13.2 % 13.2 % tx 10.5 10.4 10.0 fl 10.4 10.2 9.9 co 4.2 4.2 4.1 az 3.6 3.5 3.3 wa 3.4 3.4 3.6 ga 3.2 3.2 3.1 il 3.0 3.1 3.3 va 3.0 3.0 3.1 nj 2.9 3.0 3.1 all others 42.6 42.8 43.3 total 100.0 % 100.0 % 100.0 % gross rif by state march 31, 2023 december 31, 2022 march 31, 2022 ca 13.0 % 13.0 % 13.1 % tx 10.8 10.7 10.4 fl 10.7 10.5 10.2 co 4.1 4.1 4.0 az 3.7 3.6 3.4 wa 3.4 3.3 3.6 ga 3.3 3.2 3.2 il 2.9 3.0 3.2 va 2.9 3.0 3.0 nj 2.8 2.9 3.0 all others 42.4 42.7 42.9 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 2023 2022 march 31 december 31 september 30 june 30 march 31 beginning default inventory 13,433 12,435 12,707 14,923 16,963 plus: new defaults (a) 7,015 7,505 6,448 5,495 6,188 less: cures (7,574 ) (6,425 ) (6,642 ) (7,639 ) (8,167 ) less: claims paid (94 ) (73 ) (68 ) (65 ) (55 ) less: rescissions and denials, net (7 ) (9 ) (10 ) (7 ) (6 ) ending default inventory 12,773 13,433 12,435 12,707 14,923 (a) new defaults remaining as of march 31, 2023 4,755 2,897 1,658 990 540 cure rate (1) 32 % 61 % 74 % 82 % 91 % total amount paid for claims (in thousands) $ 1,959 $ 1,441 $ 1,261 $ 1,137 $ 826 average amount paid per claim (in thousands) $ 21 $ 20 $ 19 $ 17 $ 15 severity 59 % 46 % 47 % 50 % 35 % rollforward of reserve for losses and lae three months ended 2023 2022 ($ in thousands) march 31 december 31 september 30 june 30 march 31 reserve for losses and lae at beginning of period $ 216,390 $ 212,392 $ 209,829 $ 292,818 $ 406,096 less: reinsurance recoverables 14,618 13,244 13,657 19,335 25,940 net reserve for losses and lae at beginning of period 201,772 199,148 196,172 273,483 380,156 add provision for losses and lae occurring in: current period 32,693 36,141 20,144 18,720 24,346 prior years (32,864 ) (32,012 ) (15,850 ) (94,809 ) (130,114 ) incurred losses and lae during the period (171 ) 4,129 4,294 (76,089 ) (105,768 ) deduct payments for losses and lae occurring in: current period — 113 30 80 1 prior years 2,001 1,392 1,288 1,142 904 loss and lae payments during the period 2,001 1,505 1,318 1,222 905 net reserve for losses and lae at end of period 199,600 201,772 199,148 196,172 273,483 plus: reinsurance recoverables 16,357 14,618 13,244 13,657 19,335 reserve for losses and lae at end of period $ 215,957 $ 216,390 $ 212,392 $ 209,829 $ 292,818 (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, 2023 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 5,366 42 % $ 31,080 16 % $ 366,993 8 % four to eleven payments 5,106 40 78,125 39 363,299 22 twelve or more payments 2,188 17 85,517 43 130,520 66 pending claims 113 1 4,386 2 5,004 88 total case reserves 12,773 100 % 199,108 100 % $ 865,816 23 ibnr 14,933 lae 1,916 total reserves for losses and lae $ 215,957 average reserve per default: case $ 15.6 total $ 16.9 default rate 1.57 % december 31, 2022 number of policies in default percentage of policies in default amount of reserves percentage of reserves defaulted rif reserves as a percentage of defaulted rif ($ in thousands) missed payments: three payments or less 6,154 46 % $ 32,242 16 % $ 411,624 8 % four to eleven payments 4,684 35 65,071 33 317,417 21 twelve or more payments 2,474 18 98,291 49 147,247 67 pending claims 121 1 3,815 2 4,860 78 total case reserves 13,433 100 % 199,419 100 % $ 881,148 23 ibnr 14,956 lae 2,015 total reserves for losses and lae $ 216,390 average reserve per default: case $ 14.8 total $ 16.1 default rate 1.66 % march 31, 2022 number of policies in default percentage of policies in default amount of reserves percentage of reserves defaulted rif reserves as a percentage of defaulted rif ($ in thousands) missed payments: three payments or less 4,338 29 % $ 21,348 8 % $ 269,069 8 % four to eleven payments 4,971 33 64,332 24 312,976 21 twelve or more payments 5,540 37 181,859 67 347,926 52 pending claims 74 1 2,753 1 3,341 82 total case reserves 14,923 100 % 270,292 100 % $ 933,312 29 ibnr 20,272 lae 2,254 total reserves for losses and lae $ 292,818 average reserve per default: case $ 18.1 total $ 19.6 default rate 1.93 % exhibit l essent group ltd. and subsidiaries supplemental information investments available for sale investments available for sale by asset class asset class march 31, 2023 december 31, 2022 ($ in thousands) fair value percent fair value percent u.s. treasury securities $ 475,784 9.6 % $ 556,438 11.7 % u.s. agency securities 12,690 0.3 49,058 1.0 u.s. agency mortgage-backed securities 850,124 17.2 783,743 16.5 municipal debt securities 609,010 12.3 602,690 12.8 non-u.s. government securities 63,018 1.3 62,399 1.3 corporate debt securities 1,462,596 29.5 1,414,321 29.8 residential and commercial mortgage securities 542,013 10.9 511,824 10.8 asset-backed securities 648,109 13.1 624,561 13.2 money market funds 286,692 5.8 136,591 2.9 total investments available for sale $ 4,950,036 100.0 % $ 4,741,625 100.0 % investments available for sale by credit rating rating (1) march 31, 2023 december 31, 2022 ($ in thousands) fair value percent fair value percent aaa $ 2,152,791 46.1 % $ 2,122,599 46.2 % aa1 106,131 2.3 111,262 2.4 aa2 329,046 7.1 325,241 7.1 aa3 233,021 5.0 232,500 5.0 a1 407,348 8.7 396,095 8.6 a2 388,296 8.3 410,163 8.9 a3 281,073 6.0 268,928 5.8 baa1 246,921 5.3 236,793 5.1 baa2 245,523 5.3 221,308 4.8 baa3 175,828 3.8 187,117 4.1 below baa3 97,366 2.1 93,028 2.0 total (2) $ 4,663,344 100.0 % $ 4,605,034 100.0 % (1) based on ratings issued by moody's, if available. s&p or fitch rating utilized if moody's not available. (2) excludes $286,692 and $136,591 of money market funds at march 31, 2023 and december 31, 2022, respectively. investments available for sale by duration and book yield effective duration march 31, 2023 december 31, 2022 ($ in thousands) fair value percent fair value percent < 1 year $ 1,297,860 26.2 % $ 1,245,839 26.3 % 1 to < 2 years 517,407 10.5 534,038 11.3 2 to < 3 years 416,003 8.4 511,701 10.8 3 to < 4 years 586,055 11.8 525,683 11.1 4 to < 5 years 438,784 8.9 400,540 8.4 5 or more years 1,693,927 34.2 1,523,824 32.1 total investments available for sale $ 4,950,036 100.0 % $ 4,741,625 100.0 % pre-tax investment income yield: three months ended 3.40 % 3.03 % holding company net cash and investments available for sale: ($ in thousands) as of march 31, 2023 $ 723,050 as of december 31, 2022 $ 685,178 exhibit m essent group ltd. and subsidiaries supplemental information insurance company capital 2023 2022 march 31 december 31 september 30 june 30 march 31 ($ in thousands) u.s. mortgage insurance subsidiaries: combined statutory capital (1) $ 3,207,102 $ 3,178,151 $ 3,128,681 $ 3,062,438 $ 3,058,880 combined net risk in force (2) $ 33,038,825 $ 32,265,701 $ 31,736,095 $ 31,221,406 $ 30,331,197 risk-to-capital ratios: (3) essent guaranty, inc. 10.6:1 10.5:1 10.5:1 10.6:1 10.3:1 essent guaranty of pa, inc. 0.5:1 0.6:1 0.6:1 0.6:1 0.7:1 combined (4) 10.3:1 10.2:1 10.1:1 10.2:1 9.9:1 essent guaranty, inc. pmiers data (5): available assets $ 3,226,436 $ 3,191,047 $ 3,147,545 $ 3,120,098 $ 3,194,939 minimum required assets 1,917,769 1,832,363 1,759,182 1,869,524 1,840,069 pmiers excess available assets $ 1,308,667 $ 1,358,684 $ 1,388,363 $ 1,250,574 $ 1,354,870 pmiers sufficiency ratio (6) 168 % 174 % 179 % 167 % 174 % essent reinsurance ltd.: stockholder's equity (gaap basis) $ 1,573,013 $ 1,478,772 $ 1,397,287 $ 1,380,067 $ 1,330,840 net risk in force (2) $ 20,305,111 $ 19,454,046 $ 18,694,500 $ 17,758,801 $ 16,527,587 (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.
