Essent group ltd. announces third quarter 2022 results and increases quarterly dividend
Hamilton, bermuda--(business wire)--november 4, 2022--essent group ltd. (nyse: esnt) today reported net income for the quarter ended september 30, 2022 of $178.1 million or $1.66 per diluted share, compared to $205.4 million or $1.84 per diluted share for the quarter ended september 30, 2021. essent also announced today that its board of directors has declared a quarterly cash dividend of $0.23 per common share. the dividend is payable on december 12, 2022, to shareholders of record on december 1, 2022. “we are pleased with our financial performance for the third quarter as we produced strong earnings and robust returns,” said mark a. casale, chairman and chief executive officer. “our results reflect our focus on optimizing unit economics along with continued favorable credit performance. at the same time, we remain committed to taking a measured approach to capital management. in connection with this, we are pleased to announce that our board has approved an increase in our quarterly dividend to $0.23 per share.” third quarter 2022 financial highlights: new insurance written for the third quarter was $17.1 billion, compared to $20.1 billion in the second quarter of 2022 and $23.6 billion in the third quarter of 2021. insurance in force as of september 30, 2022 was $222.5 billion, compared to $215.9 billion as of june 30, 2022 and $208.2 billion as of september 30, 2021. the combined ratio for the third quarter was 22.3%, compared to negative (16.2%) in the second quarter of 2022 and 15.9% in the third quarter of 2021. during the quarter, essent guaranty, inc. obtained $237.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by essent in october 2021 through july 2022 from radnor re 2022-1 ltd., a newly formed bermuda special purpose insurer. radnor re 2022-1 ltd. is not a subsidiary or an affiliate of essent group ltd. during the quarter, a.m. best affirmed its “a (excellent)” financial strength rating of essent guaranty, inc. and essent reinsurance ltd. and the long-term issuer credit rating of "a" of the operating subsidiaries of essent group ltd. essent guaranty, inc. also has financial strength ratings of “a3” by moody’s and “bbb+” by s&p. 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 september 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 september 30, nine months ended september 30, (in thousands, except per share amounts) 2022 2021 2022 2021 revenues: direct premiums written $ 239,773 $ 229,228 $ 692,687 $ 693,434 ceded premiums (30,543 ) (26,880 ) (73,384 ) (84,438 ) net premiums written 209,230 202,348 619,303 608,996 decrease (increase) in unearned premiums (1,296 ) 16,370 15,972 46,226 net premiums earned 207,934 218,718 635,275 655,222 net investment income 32,594 21,573 86,613 65,104 realized investment (losses) gains, net 175 221 (7,648 ) 609 income from other invested assets 9,617 40,741 36,275 41,389 other income 11,447 2,283 20,272 9,270 total revenues 261,767 283,536 770,787 771,594 losses and expenses: (benefit) provision for losses and lae 4,252 (7,483 ) (178,805 ) 34,490 other underwriting and operating expenses 42,144 42,272 124,838 125,625 interest expense 4,450 2,063 9,563 6,187 total losses and expenses 50,846 36,852 (44,404 ) 166,302 income before income taxes 210,921 246,684 815,191 605,292 income tax expense 32,870 41,331 131,204 104,496 net income $ 178,051 $ 205,353 $ 683,987 $ 500,796 earnings per share: basic $ 1.67 $ 1.85 $ 6.37 $ 4.48 diluted 1.66 1.84 6.35 4.47 weighted average shares outstanding: basic 106,870 111,001 107,314 111,708 diluted 107,337 111,387 107,732 112,070 net income $ 178,051 $ 205,353 $ 683,987 $ 500,796 other comprehensive income (loss): change in unrealized appreciation (depreciation) of investments (137,010 ) (36,917 ) (474,284 ) (59,760 ) total other comprehensive income (loss) (137,010 ) (36,917 ) (474,284 ) (59,760 ) comprehensive income $ 41,041 $ 168,436 $ 209,703 $ 441,036 loss ratio 2.0 % (3.4 %) (28.1 %) 5.3 % expense ratio 20.3 19.3 19.7 19.2 combined ratio 22.3 % 15.9 % (8.5 %) 24.4 % exhibit b essent group ltd. and subsidiaries condensed consolidated balance sheets (unaudited) september 30, december 31, (in thousands, except per share amounts) 2022 2021 assets investments fixed maturities available for sale, at fair value $ 4,253,705 $ 4,649,800 short-term investments available for sale, at fair value 331,139 313,087 total investments available for sale 4,584,844 4,962,887 other invested assets 263,126 170,472 total investments 4,847,970 5,133,359 cash 79,467 81,491 accrued investment income 29,598 26,546 accounts receivable 59,069 46,157 deferred policy acquisition costs 10,408 12,178 property and equipment 19,778 11,921 prepaid federal income tax 405,910 360,810 other assets 104,704 49,712 total assets $ 5,556,904 $ 5,722,174 liabilities and stockholders' equity liabilities reserve for losses and lae $ 212,494 $ 407,445 unearned premium reserve 169,413 185,385 net deferred tax liability 340,627 373,654 credit facility borrowings, net of deferred costs 420,600 419,823 other accrued liabilities 119,562 99,753 total liabilities 1,262,696 1,486,060 commitments and contingencies stockholders' equity common shares, $0.015 par value: authorized - 233,333; issued and outstanding - 107,697 shares in 2022 and 109,377 shares in 2021 1,615 1,641 additional paid-in capital 1,345,598 1,428,952 accumulated other comprehensive (loss) income (423,577 ) 50,707 retained earnings 3,370,572 2,754,814 total stockholders' equity 4,294,208 4,236,114 total liabilities and stockholders' equity $ 5,556,904 $ 5,722,174 return on average equity (1) 21.4 % 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 september 30 june 30 march 31 december 31 september 30 (in thousands, except per share amounts) revenues: net premiums earned: u.s. mortgage insurance portfolio $ 194,272 $ 198,891 $ 203,312 $ 205,877 $ 207,127 gse and other risk share 13,662 13,120 12,018 11,444 11,591 net premiums earned 207,934 212,011 215,330 217,321 218,718 net investment income 32,594 29,339 24,680 23,661 21,573 realized investment (losses) gains, net 175 (471 ) (7,352 ) (191 ) 221 income from other invested assets (1) 9,617 1,953 24,705 14,997 40,741 other income (2) 11,447 1,577 7,248 1,128 2,283 total revenues 261,767 244,409 264,611 256,916 283,536 losses and expenses: (benefit) provision for losses and lae 4,252 (76,199 ) (106,858 ) (3,433 ) (7,483 ) other underwriting and operating expenses 42,144 41,898 40,796 41,232 42,272 interest expense 4,450 2,887 2,226 2,095 2,063 total losses and expenses 50,846 (31,414 ) (63,836 ) 39,894 36,852 income before income taxes 210,921 275,823 328,447 217,022 246,684 income tax expense (3) 32,870 44,054 54,280 36,035 41,331 net income $ 178,051 $ 231,769 $ 274,167 $ 180,987 $ 205,353 earnings per share: basic $ 1.67 $ 2.17 $ 2.53 $ 1.65 $ 1.85 diluted 1.66 2.16 2.52 1.64 1.84 weighted average shares outstanding: basic 106,870 106,921 108,166 109,550 111,001 diluted 107,337 107,283 108,590 110,028 111,387 book value per share $ 39.87 $ 39.67 $ 38.98 $ 38.73 $ 37.58 return on average equity (annualized) 16.6 % 21.8 % 26.0 % 17.2 % 19.9 % other data: loss ratio (4) 2.0 % (35.9 %) (49.6 %) (1.6 %) (3.4 %) expense ratio (5) 20.3 19.8 18.9 19.0 19.3 combined ratio 22.3 % (16.2 %) (30.7 %) 17.4 % 15.9 % credit facility borrowings outstanding $ 425,000 $ 425,000 $ 425,000 $ 425,000 $ 325,000 undrawn committed capacity $ 400,000 $ 400,000 $ 400,000 $ 400,000 $ 300,000 weighted average interest rate (end of period) 4.39 % 2.92 % 1.99 % 1.79 % 2.13 % debt-to-capital 9.01 % 9.05 % 9.16 % 9.12 % 7.23 % (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: september 30, 2022: $5,177; june 30, 2022: ($5,549); march 31, 2022: $4,365; december 31, 2021: ($2,931); september 30, 2021: ($1,493). (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 september 30, 2022, june 30, 2022, march 31, 2022, december 31, 2021 and september 30, 2021 includes $2,925, ($299), $7,002, $1,759 and $8,271, respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. (4) loss ratio is calculated by dividing the provision for losses and lae by net premiums earned. (5) expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. exhibit c, continued essent group ltd. and subsidiaries supplemental information historical quarterly data 2022 2021 other data, continued: september 30 june 30 march 31 december 31 september 30 ($ in thousands) u.s. mortgage insurance portfolio flow: new insurance written $ 17,112,017 $ 20,096,135 $ 12,841,482 $ 16,379,082 $ 23,579,884 new risk written 4,570,699 5,442,115 3,438,016 4,331,531 6,273,735 bulk: new insurance written $ — $ 196 $ — $ 416 $ — new risk written — 29 — 41 — total: new insurance written $ 17,112,017 $ 20,096,331 $ 12,841,482 $ 16,379,498 $ 23,579,884 new risk written $ 4,570,699 $ 5,442,144 $ 3,438,016 $ 4,331,572 $ 6,273,735 average insurance in force $ 219,280,350 $ 210,896,297 $ 206,631,135 $ 207,388,906 $ 206,732,478 insurance in force (end of period) $ 222,542,569 $ 215,896,531 $ 206,842,996 $ 207,190,544 $ 208,216,549 gross risk in force (end of period) (6) $ 57,743,091 $ 55,678,063 $ 52,847,985 $ 52,554,246 $ 52,457,020 risk in force (end of period) $ 48,690,571 $ 47,289,910 $ 45,261,164 $ 45,273,383 $ 45,074,159 policies in force 800,745 789,652 774,002 785,119 798,877 weighted average coverage (7) 25.9 % 25.8 % 25.5 % 25.4 % 25.2 % annual persistency 77.9 % 73.4 % 69.1 % 65.4 % 62.2 % loans in default (count) 12,435 12,707 14,923 16,963 19,721 percentage of loans in default 1.55 % 1.61 % 1.93 % 2.16 % 2.47 % u.s. mortgage insurance portfolio premium rate: base average premium rate (8) 0.40 % 0.41 % 0.41 % 0.42 % 0.42 % single premium cancellations (9) 0.01 % 0.01 % 0.02 % 0.03 % 0.03 % gross average premium rate 0.41 % 0.42 % 0.43 % 0.45 % 0.45 % ceded premiums (0.06 %) (0.04 %) (0.04 %) (0.05 %) (0.05 %) net average premium rate 0.35 % 0.38 % 0.39 % 0.40 % 0.40 % (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 nine months ended september 30, 2022 september 30, 2021 september 30, 2022 september 30, 2021 ($ in thousands) >=760 $ 6,976,123 40.8 % $ 9,257,407 39.3 % $ 20,942,108 41.8 % $ 27,778,887 40.9 % 740-759 2,965,115 17.3 3,892,226 16.5 8,499,739 17.0 10,858,015 16.0 720-739 2,788,573 16.3 3,656,963 15.5 7,885,166 15.8 10,316,977 15.2 700-719 2,277,251 13.3 3,345,696 14.2 6,452,721 12.9 9,328,577 13.8 680-699 1,476,982 8.6 2,361,529 10.0 4,409,944 8.8 5,855,301 8.6 =760 $ 92,309,692 41.5 % $ 89,790,212 41.6 % $ 85,833,588 41.2 % 740-759 37,821,201 17.0 36,606,394 17.0 35,234,863 16.9 720-739 33,910,646 15.2 32,637,422 15.1 31,291,415 15.1 700-719 28,263,518 12.7 27,258,759 12.6 26,136,910 12.6 680-699 18,351,570 8.2 17,697,662 8.2 16,758,439 8.0 =760 $ 23,743,335 41.1 % $ 22,956,271 41.2 % $ 21,414,607 40.8 % 740-759 9,920,331 17.2 9,540,921 17.1 8,958,297 17.1 720-739 8,934,327 15.5 8,545,969 15.3 8,020,171 15.3 700-719 7,412,542 12.8 7,107,888 12.8 6,652,117 12.7 680-699 4,801,986 8.3 4,601,675 8.3 4,250,044 8.1 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 $ 2,280,001 3.8 % 14,375 4.33 % 78.4 % 70.2 % 5.8 % 15.2 % 43.1 % 2.7 % 553 3.85 % 2015 26,193,656 2,065,692 7.9 12,351 4.18 85.9 75.1 4.1 17.9 39.2 2.9 446 3.61 2016 34,949,319 4,588,046 13.1 25,722 3.86 88.7 69.8 9.9 15.6 43.4 3.2 801 3.11 2017 43,858,322 6,284,345 14.3 36,267 4.26 91.1 68.4 19.7 20.1 38.2 4.6 1,485 4.09 2018 47,508,525 7,061,896 14.9 38,551 4.78 94.2 68.5 24.5 21.5 33.0 6.1 1,840 4.77 2019 63,569,183 15,479,873 24.4 71,764 4.21 87.0 66.2 23.5 18.7 35.6 7.1 2,195 3.06 2020 107,944,065 63,098,179 58.5 232,949 3.17 65.2 53.5 11.9 10.8 45.5 5.4 2,660 1.14 2021 84,218,250 73,219,138 86.9 233,240 3.07 83.9 60.2 14.5 14.0 40.4 7.9 2,164 0.93 2022 (through september 30) 50,049,830 48,465,399 96.8 135,526 4.76 97.3 63.8 10.9 12.6 41.3 8.4 291 0.21 total $ 518,960,001 $ 222,542,569 42.9 800,745 3.67 82.3 60.4 13.8 13.6 41.5 4.6 12,435 1.55 (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 september 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 $ 6,415,924 $ 1,740,167 $ 333,844 $ — $ 333,844 $ 61,478 $ — $ 61,478 $ — $ 208,111 $ 206,925 $ 628 $ 2,464 $ — 2017 6,129,801 1,610,026 424,412 165,167 589,579 242,123 127,770 369,893 — 224,689 216,632 3,091 8,631 — 2018 6,961,516 1,791,216 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 248,875 3,896 10,553 — 2019 (3) 8,578,642 2,203,474 495,889 55,102 550,991 448,805 49,870 498,675 — 215,605 214,874 3,596 9,518 — 2019 & 2020 (4) — — 399,159 — 399,159 — — — — 465,690 — 1,049 5,222 — 2020 & 2021 (5) 43,021,732 10,731,139 557,911 — 557,911 486,933 — 486,933 — 278,956 278,919 3,791 11,008 433,123 2021 (6) 42,367,258 11,236,549 439,407 — 439,407 423,462 — 423,462 — 279,415 279,415 4,473 12,829 371,346 2021 & 2022 (10) 63,515,812 17,043,854 — 119,307 119,307 — 119,307 119,307 — 426,096 426,096 1,348 1,684 116,743 2021 & 2022 (11) 34,325,434 9,205,630 237,868 — 237,868 237,868 — 237,868 — 303,761 303,761 567 567 237,868 total $ 211,316,119 $ 55,562,055 $ 3,361,674 $ 458,226 $ 3,819,900 $ 2,226,206 $ 373,091 $ 2,599,297 $ — $ 2,655,966 $ 1,940,960 (12) $ 22,439 $ 62,476 $ 1,159,080 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 ) $ 69,631,402 $ 17,558,346 $ 15,413,517 $ 3,846,679 $ (1,084 ) $ (13,657 ) $ 3,266 $ 10,481 $ 4,957 $ 5,732 $ 240,698 2022 (8 ) 48,406,637 13,032,720 9,681,327 2,606,544 686 998 1,295 2,187 3,146 5,153 178,854 total $ 118,038,039 $ 30,591,066 $ 25,094,844 $ 6,453,223 $ (398 ) $ (12,659 ) $ 4,561 $ 12,668 $ 8,103 $ 10,885 $ 419,552 (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. this iln was called during the third quarter of 2022. (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 as well as coverage on new insurance written from october 1, 2021 through july 31, 2022 through an iln. (11) reinsurance coverage on new insurance written from october 1, 2021 through july 31, 2022. (12) the total remaining first layer retention differs from the sum of the individual reinsurance transactions as a result of overlapping coverage between certain transactions. exhibit i essent group ltd. and subsidiaries supplemental information portfolio geographic data iif by state september 30, 2022 june 30, 2022 september 30, 2021 ca 13.2 % 13.2 % 13.1 % tx 10.3 10.2 9.8 fl 10.1 10.0 9.5 co 4.1 4.2 4.1 az 3.5 3.4 3.4 wa 3.4 3.5 3.7 il 3.1 3.2 3.4 ga 3.1 3.1 3.1 va 3.1 3.1 3.1 nj 3.0 3.1 3.1 all others 43.1 43.0 43.7 total 100.0 % 100.0 % 100.0 % gross rif by state september 30, 2022 june 30, 2022 september 30, 2021 ca 13.0 % 13.0 % 12.9 % tx 10.6 10.6 10.1 fl 10.5 10.3 9.8 co 4.1 4.1 4.1 az 3.5 3.4 3.3 wa 3.3 3.4 3.7 ga 3.2 3.2 3.1 il 3.1 3.1 3.3 va 3.0 3.0 3.1 nj 2.9 2.9 3.0 all others 42.8 43.0 43.6 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 september 30 june 30 march 31 december 31 september 30 beginning default inventory 12,707 14,923 16,963 19,721 23,504 plus: new defaults (a) 6,448 5,495 6,188 5,809 5,132 less: cures (6,642 ) (7,639 ) (8,167 ) (8,514 ) (8,862 ) less: claims paid (68 ) (65 ) (55 ) (47 ) (41 ) less: rescissions and denials, net (10 ) (7 ) (6 ) (6 ) (12 ) ending default inventory 12,435 12,707 14,923 16,963 19,721 (a) new defaults remaining as of september 30, 2022 4,752 2,114 1,461 955 523 cure rate (1) 26 % 62 % 76 % 84 % 90 % total amount paid for claims (in thousands) $ 1,261 $ 1,137 $ 826 $ 992 $ 1,069 average amount paid per claim (in thousands) $ 19 $ 17 $ 15 $ 21 $ 26 severity 47 % 50 % 35 % 45 % 60 % rollforward of reserve for losses and lae three months ended 2022 2021 ($ in thousands) september 30 june 30 march 31 december 31 september 30 reserve for losses and lae at beginning of period $ 209,829 $ 292,818 $ 406,096 $ 411,567 $ 420,482 less: reinsurance recoverables 13,657 19,335 25,940 26,970 27,286 net reserve for losses and lae at beginning of period 196,172 273,483 380,156 384,597 393,196 add provision for losses and lae occurring in: current period 20,144 18,720 24,346 13,231 11,371 prior years (15,850 ) (94,809 ) (130,114 ) (16,624 ) (18,853 ) incurred losses and lae during the period 4,294 (76,089 ) (105,768 ) (3,393 ) (7,482 ) deduct payments for losses and lae occurring in: current period 30 80 1 157 103 prior years 1,288 1,142 904 891 1,014 loss and lae payments during the period 1,318 1,222 905 1,048 1,117 net reserve for losses and lae at end of period 199,148 196,172 273,483 380,156 384,597 plus: reinsurance recoverables 13,244 13,657 19,335 25,940 26,970 reserve for losses and lae at end of period $ 212,392 $ 209,829 $ 292,818 $ 406,096 $ 411,567 (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 september 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 4,971 40 % $ 22,279 12 % $ 313,531 7 % four to eleven payments 4,443 36 55,431 28 292,644 19 twelve or more payments 2,923 23 114,250 58 174,589 65 pending claims 98 1 3,879 2 4,611 84 total case reserves 12,435 100 % 195,839 100 % $ 785,375 25 ibnr 14,688 lae 1,865 total reserves for losses and lae $ 212,392 average reserve per default: case $ 15.7 total $ 17.1 default rate 1.55 % 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 % september 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 3,823 20 % $ 20,438 5 % $ 223,065 9 % four to eleven payments 6,738 34 103,062 27 426,282 24 twelve or more payments 9,108 46 254,499 67 595,444 43 pending claims 52 — 2,037 1 2,516 81 total case reserves 19,721 100 % 380,036 100 % $ 1,247,307 30 ibnr 28,503 lae 3,028 total reserves for losses and lae $ 411,567 average reserve per default: case $ 19.3 total $ 20.9 default rate 2.47 % exhibit l essent group ltd. and subsidiaries supplemental information investments available for sale investments available for sale by asset class asset class september 30, 2022 december 31, 2021 ($ in thousands) fair value percent fair value percent u.s. treasury securities $ 535,636 11.7 % $ 448,793 9.1 % u.s. agency securities — — 5,504 0.1 u.s. agency mortgage-backed securities 752,236 16.4 1,008,863 20.3 municipal debt securities 559,784 12.2 627,599 12.7 non-u.s. government securities 60,834 1.3 79,743 1.6 corporate debt securities 1,345,269 29.4 1,455,247 29.3 residential and commercial mortgage securities 523,608 11.4 545,423 11.0 asset-backed securities 608,330 13.3 581,703 11.7 money market funds 199,147 4.3 210,012 4.2 total investments available for sale $ 4,584,844 100.0 % $ 4,962,887 100.0 % investments available for sale by credit rating rating (1) september 30, 2022 december 31, 2021 ($ in thousands) fair value percent fair value percent aaa $ 2,227,988 48.6 % $ 2,412,273 48.6 % aa1 101,547 2.2 96,331 1.9 aa2 334,435 7.3 354,951 7.2 aa3 215,688 4.7 221,914 4.5 a1 375,063 8.2 263,820 5.3 a2 356,469 7.8 427,282 8.6 a3 244,309 5.3 274,525 5.5 baa1 220,295 4.8 305,204 6.1 baa2 220,303 4.8 274,011 5.5 baa3 191,386 4.2 240,755 4.9 below baa3 97,361 2.1 91,821 1.9 total investments available for sale $ 4,584,844 100.0 % $ 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 september 30, 2022 december 31, 2021 ($ in thousands) fair value percent fair value percent < 1 year $ 1,222,876 26.7 % $ 1,104,397 22.2 % 1 to < 2 years 472,273 10.3 561,297 11.3 2 to < 3 years 501,955 10.9 539,174 10.9 3 to < 4 years 469,386 10.2 593,663 12.0 4 to < 5 years 445,986 9.7 663,127 13.4 5 or more years 1,472,368 32.2 1,501,229 30.2 total investments available for sale $ 4,584,844 100.0 % $ 4,962,887 100.0 % pre-tax investment income yield: three months ended september 30, 2022 2.74 % nine months ended september 30, 2022 2.45 % holding company net cash and investments available for sale: ($ in thousands) as of september 30, 2022 $ 647,922 as of december 31, 2021 $ 618,306 exhibit m essent group ltd. and subsidiaries supplemental information insurance company capital 2022 2021 september 30 june 30 march 31 december 31 september 30 ($ in thousands) u.s. mortgage insurance subsidiaries: combined statutory capital (1) $ 3,128,681 $ 3,062,438 $ 3,058,880 $ 2,950,107 $ 2,916,802 combined net risk in force (2) $ 31,736,095 $ 31,221,406 $ 30,331,197 $ 30,660,272 $ 30,766,379 risk-to-capital ratios: (3) essent guaranty, inc. 10.5:1 10.6:1 10.3:1 10.8:1 10.9:1 essent guaranty of pa, inc. 0.6:1 0.6:1 0.7:1 0.8:1 1.0:1 combined (4) 10.1:1 10.2:1 9.9:1 10.4:1 10.5:1 essent guaranty, inc. pmiers data (5): available assets $ 3,147,545 $ 3,120,098 $ 3,194,939 $ 3,170,881 $ 3,161,780 minimum required assets 1,759,182 1,869,524 1,840,069 1,791,551 1,951,096 pmiers excess available assets $ 1,388,363 $ 1,250,574 $ 1,354,870 $ 1,379,330 $ 1,210,684 pmiers sufficiency ratio (6) 179 % 167 % 174 % 177 % 162 % essent reinsurance ltd.: stockholder's equity (gaap basis) $ 1,397,287 $ 1,380,067 $ 1,330,840 $ 1,301,937 $ 1,249,996 net risk in force (2) $ 18,694,500 $ 17,758,801 $ 16,527,587 $ 15,997,129 $ 15,466,651 (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.
