Essent group ltd. reports second quarter 2020 results & declares quarterly dividend
Hamilton, bermuda--(business wire)--essent group ltd. (nyse: esnt) today reported net income for the quarter ended june 30, 2020 of $15.4 million or $0.15 per diluted share, compared to $136.4 million or $1.39 per diluted share for the quarter ended june 30, 2019. essent also announced today that its board of directors has declared a quarterly cash dividend of $0.16 per common share. the dividend is payable on september 10, 2020, to shareholders of record on august 31, 2020. "our financial results for the second quarter reflect the initial impact of the covid-19 pandemic on our insured portfolio,” said mark casale, chairman and chief executive officer. “our outlook on the timing and shape of an economic recovery remains cautious. however, we remain confident that with the strength and sustainability of our operating model, in conjunction with our strong balance sheet, capital and liquidity, we are well suited to navigate this challenging operating environment.” financial highlights: insurance in force as of june 30, 2020 was $174.6 billion, compared to $165.6 billion as of march 31, 2020 and $153.3 billion as of june 30, 2019. new insurance written for the second quarter was $28.2 billion, compared to $13.5 billion in the first quarter of 2020 and $18.0 billion in the second quarter of 2019. net premiums earned for the second quarter were $211.5 million, compared to $206.5 million in the first quarter of 2020 and $188.5 million in the second quarter of 2019. the expense ratio for the second quarter was 18.4%, compared to 20.3% in the first quarter of 2020 and 22.0% in the second quarter of 2019. the provision for losses and lae for the second quarter was $175.9 million, compared to a provision of $8.1 million in the first quarter of 2020 and a provision of $5.0 million in the second quarter of 2019. the percentage of loans in default as of june 30, 2020 was 5.19%, compared to 0.83% as of march 31, 2020 and 0.66% as of june 30, 2019. as of july 31, 2020, the percentage of loans in default was 5.01%. as of july 31, 2020, the percentage of loans in default was 5.01%. the combined ratio for the second quarter was 101.5%, compared to 24.2% in the first quarter of 2020 and 24.7% in the second quarter of 2019. other income for the second quarter includes a $2.5 million gain for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a loss of $4.2 million in the first quarter of 2020 and a gain of $1.2 million in the second quarter of 2019. the consolidated balance of cash and investments at june 30, 2020 was $4.5 billion, including cash and investment balances at essent group ltd. of $702.2 million. the combined risk-to-capital ratio of the u.s. mortgage insurance business, which includes statutory capital for both essent guaranty, inc. and essent guaranty of pa, inc., was 11.7:1 as of june 30, 2020. on june 2, 2020, essent group ltd. completed an offering of 13,800,000 common shares at $33.25 per share, generating net proceeds of $440.0 million. during the second quarter, a.m. best affirmed its “a (excellent)” financial strength rating of essent guaranty, inc., acknowledging the strength in our business model and capital position. 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 833-287-0797 inside the u.s., or 647-689-4456 for international callers, using passcode 5617769 or by referencing essent. a replay of the webcast will be available on the essent website approximately two hours after the live broadcast ends for a period of one year. a replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-585-8367 inside the u.s., or 416-621-4642 for international callers, passcode 5617769. in addition to the information provided in the company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx. forward-looking statements: this press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of covid-19 and related economic conditions; changes in or to fannie mae and freddie mac (the “gses”), whether through federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the gses; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through federal government mortgage insurance programs, including those offered by the federal housing administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "qualified mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "qualified residential mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the basel iii capital accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; deteriorating economic conditions; our non-u.s. operations becoming subject to u.s. federal income taxation; becoming considered a passive foreign investment company for u.s. federal income tax purposes; and other risks and factors described in part i, item 1a “risk factors” of our annual report on form 10-k for the year ended december 31, 2019 filed with the securities and exchange commission on february 18, 2020, 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, 2020 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 defaults, reserve for losses and lae, and claims exhibit k investments available for sale exhibit l insurance company capital exhibit m reconciliation of non-gaap financial measure - adjusted book value per share 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) 2020 2019 2020 2019 revenues: direct premiums written $ 228,044 $ 196,832 $ 434,024 $ 380,514 ceded premiums (22,140 ) (8,428 ) (36,377 ) (14,466 ) net premiums written 205,904 188,404 397,647 366,048 decrease in unearned premiums 5,567 86 20,320 233 net premiums earned 211,471 188,490 417,967 366,281 net investment income 19,866 20,581 40,499 40,461 realized investment gains (losses), net (1,269 ) 583 1,866 1,243 other income 6,009 2,238 4,585 4,433 total revenues 236,077 211,892 464,917 412,418 losses and expenses: provision for losses and lae 175,877 4,960 183,940 12,067 other underwriting and operating expenses 38,819 41,520 80,766 82,550 interest expense 2,566 2,679 4,698 5,349 total losses and expenses 217,262 49,159 269,404 99,966 income before income taxes 18,815 162,733 195,513 312,452 income tax expense 3,435 26,328 30,610 48,327 net income $ 15,380 $ 136,405 $ 164,903 $ 264,125 earnings per share: basic $ 0.15 $ 1.39 $ 1.65 $ 2.70 diluted 0.15 1.39 1.64 2.69 weighted average shares outstanding: basic 102,500 97,798 100,224 97,697 diluted 102,605 98,170 100,466 98,137 net income $ 15,380 $ 136,405 $ 164,903 $ 264,125 other comprehensive income (loss): change in unrealized appreciation of investments 74,285 35,987 64,211 74,353 total other comprehensive income 74,285 35,987 64,211 74,353 comprehensive income $ 89,665 $ 172,392 $ 229,114 $ 338,478 loss ratio 83.2 % 2.6 % 44.0 % 3.3 % expense ratio 18.4 22.0 19.3 22.5 combined ratio 101.5 % 24.7 % 63.3 % 25.8 % exhibit b essent group ltd. and subsidiaries condensed consolidated balance sheets (unaudited) june 30, december 31, (in thousands, except per share amounts) 2020 2019 assets investments fixed maturities available for sale, at fair value $ 3,221,149 $ 3,035,385 short-term investments available for sale, at fair value 1,130,954 315,362 total investments available for sale 4,352,103 3,350,747 other invested assets 78,536 78,873 total investments 4,430,639 3,429,620 cash 72,787 71,350 accrued investment income 18,711 18,535 accounts receivable 39,750 40,655 deferred policy acquisition costs 15,856 15,705 property and equipment 15,458 17,308 prepaid federal income tax 279,136 261,885 other assets 27,611 18,367 total assets $ 4,899,948 $ 3,873,425 liabilities and stockholders' equity liabilities reserve for losses and lae $ 250,890 $ 69,362 unearned premium reserve 258,567 278,887 net deferred tax liability 272,746 249,620 credit facility borrowings, net of deferred costs 424,523 224,237 other accrued liabilities 69,893 66,474 total liabilities 1,276,619 888,580 commitments and contingencies stockholders' equity common shares, $0.015 par value: authorized - 233,333; issued and outstanding - 112,423 shares in 2020 and 98,394 shares in 2019 1,686 1,476 additional paid-in capital 1,561,737 1,118,655 accumulated other comprehensive income 120,398 56,187 retained earnings 1,939,508 1,808,527 total stockholders' equity 3,623,329 2,984,845 total liabilities and stockholders' equity $ 4,899,948 $ 3,873,425 return on average equity (1) 10.0 % 20.8 % (1) the 2020 return on average equity is calculated by dividing annualized year-to-date 2020 net income by average equity. the 2019 return on average equity is calculated by dividing full year 2019 net income by average equity. exhibit c essent group ltd. and subsidiaries supplemental information historical quarterly data 2020 2019 selected income statement data june 30 march 31 december 31 september 30 june 30 march 31 (in thousands, except per share amounts) revenues: net premiums written $ 205,904 $ 191,743 $ 196,493 $ 198,304 $ 188,404 $ 177,644 net premiums earned (1) 211,471 206,496 207,671 203,473 188,490 177,791 other revenues (2) 24,606 22,344 21,091 22,914 23,402 22,735 total revenues 236,077 228,840 228,762 226,387 211,892 200,526 losses and expenses: provision for losses and lae 175,877 8,063 10,929 9,990 4,960 7,107 other underwriting and operating expenses 38,819 41,947 41,231 41,588 41,520 41,030 interest expense 2,566 2,132 2,218 2,584 2,679 2,670 total losses and expenses 217,262 52,142 54,378 54,162 49,159 50,807 income before income taxes 18,815 176,698 174,384 172,225 162,733 149,719 income tax expense (3) 3,435 27,175 27,426 27,595 26,328 21,999 net income $ 15,380 $ 149,523 $ 146,958 $ 144,630 $ 136,405 $ 127,720 earnings per share: basic $ 0.15 $ 1.53 $ 1.50 $ 1.48 $ 1.39 $ 1.31 diluted 0.15 1.52 1.49 1.47 1.39 1.30 weighted average shares outstanding: basic 102,500 97,949 97,830 97,822 97,798 97,595 diluted 102,605 98,326 98,376 98,257 98,170 98,104 other data: loss ratio (4) 83.2 % 3.9 % 5.3 % 4.9 % 2.6 % 4.0 % expense ratio (5) 18.4 20.3 19.9 20.4 22.0 23.1 combined ratio 101.5 % 24.2 % 25.1 % 25.3 % 24.7 % 27.1 % return on average equity (annualized) 1.8 % 19.6 % 20.1 % 20.8 % 20.9 % 20.9 % (1) net premiums earned also includes premiums earned on gse and other risk share. see exhibit f. (2) certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. other revenues for the three months ended june 30, 2020, march 31, 2020, december 31, 2019, september 30, 2019, june 30, 2019 and march 31, 2019 include net favorable (unfavorable) changes of $2,502, ($4,200), ($3,585), ($760), $1,160 and $1,424, respectively, in the fair value of these embedded derivatives. (3) income tax expense for the three months ended march 31, 2020 and 2019 was reduced by $620 and $1,956, respectively, of excess tax benefits associated with the vesting of common shares and common share units during each period. (4) loss ratio is calculated by dividing the provision for losses and lae by net premiums earned. (5) expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. exhibit c, continued essent group ltd. and subsidiaries supplemental information historical quarterly data 2020 2019 other data, continued: june 30 march 31 december 31 september 30 june 30 march 31 ($ in thousands) u.s. mortgage insurance portfolio flow: new insurance written $ 28,163,212 $ 13,549,299 $ 15,839,836 $ 18,719,876 $ 17,973,505 $ 10,945,307 new risk written 6,875,250 3,384,171 3,966,363 4,695,611 4,485,217 2,713,389 bulk: new insurance written $ — $ 151 $ — $ 6,133 $ 29,524 $ 55,002 new risk written — 24 — 842 2,129 6,542 total: average gross premium rate (6) 0.53 % 0.51 % 0.51 % 0.52 % 0.51 % 0.50 % average net premium rate (7) 0.48 % 0.48 % 0.49 % 0.49 % 0.49 % 0.48 % new insurance written $ 28,163,212 $ 13,549,450 $ 15,839,836 $ 18,726,009 $ 18,003,029 $ 11,000,309 new risk written $ 6,875,250 $ 3,384,195 $ 3,966,363 $ 4,696,453 $ 4,487,346 $ 2,719,931 insurance in force (end of period) $ 174,646,273 $ 165,615,503 $ 164,005,853 $ 160,962,192 $ 153,317,157 $ 143,181,641 gross risk in force (end of period) (8) $ 43,993,989 $ 41,865,977 $ 41,402,950 $ 40,540,289 $ 38,531,090 $ 35,925,830 risk in force (end of period) $ 39,113,879 $ 38,290,022 $ 38,947,857 $ 38,784,584 $ 37,034,687 $ 34,744,417 policies in force 733,651 706,714 702,925 693,085 666,705 629,808 weighted average coverage (9) 25.2 % 25.3 % 25.2 % 25.2 % 25.1 % 25.1 % annual persistency 67.9 % 73.9 % 77.5 % 82.1 % 84.8 % 85.1 % loans in default (count) 38,068 5,841 5,947 5,232 4,405 4,096 percentage of loans in default 5.19 % 0.83 % 0.85 % 0.75 % 0.66 % 0.65 % other risk in force gse and other risk share (10) $ 1,031,699 $ 1,100,966 $ 895,374 $ 849,184 $ 802,530 $ 771,175 credit facility borrowings outstanding $ 425,000 $ 425,000 $ 225,000 $ 225,000 $ 225,000 $ 225,000 undrawn committed capacity $ 75,000 $ 75,000 $ 275,000 $ 275,000 $ 275,000 $ 275,000 weighted average interest rate (end of period) 1.93 % (6) average gross premium rate is calculated by dividing annualized premiums earned for the u.s. mortgage insurance portfolio, before reductions for premiums ceded under third-party reinsurance, by average insurance in force for the period. (7) average net premium rate is calculated by dividing annualized net premiums earned for the u.s. mortgage insurance portfolio by average insurance in force for the period. (8) gross risk in force includes risk ceded under third-party reinsurance. (9) weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force. (10) gse and other risk share includes gse risk share and other reinsurance transactions. essent re provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by freddie mac and fannie mae. 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, 2020 june 30, 2019 june 30, 2020 june 30, 2019 ($ in thousands) >=760 $ 12,163,927 43.2 % $ 7,313,814 40.7 % $ 17,819,643 42.7 % $ 11,784,317 40.8 % 740-759 5,300,459 18.8 3,073,807 17.1 7,758,491 18.6 4,985,948 17.2 720-739 4,352,367 15.5 2,572,580 14.3 6,371,241 15.3 4,138,193 14.3 700-719 3,278,269 11.6 2,140,363 11.9 4,837,012 11.6 3,492,908 12.1 680-699 1,950,905 6.9 1,534,959 8.5 2,995,823 7.2 2,442,928 8.4 =760 $ 71,570,804 41.0 % $ 68,385,363 41.3 % $ 64,977,185 42.4 % 740-759 30,265,718 17.3 28,289,661 17.1 25,747,495 16.8 720-739 26,130,764 15.0 24,441,834 14.7 22,203,764 14.5 700-719 20,721,839 11.9 19,442,133 11.7 17,723,067 11.5 680-699 14,545,011 8.3 13,859,727 8.4 12,697,092 8.3 =760 $ 17,871,881 40.6 % $ 17,138,596 40.9 % $ 16,258,608 42.2 % 740-759 7,672,436 17.4 7,181,181 17.2 6,478,145 16.8 720-739 6,673,863 15.2 6,262,376 15.0 5,643,012 14.6 700-719 5,246,989 11.9 4,950,746 11.8 4,473,871 11.6 680-699 3,693,448 8.4 3,537,973 8.4 3,217,062 8.4 90% ltv >95% ltv fico = 760 incurred loss ratio (inception to date) (1) number of loans in default percentage of loans in default 2010 - 2014 $ 60,668,851 $ 8,530,559 14.1 % 47,938 83.7 % 69.0 % 3.9 % 12.6 % 45.3 % 3.2 % 2,532 5.28 % 2015 26,193,656 7,936,090 30.3 40,235 85.6 61.8 2.9 15.1 43.2 4.2 2,305 5.73 2016 34,949,319 15,675,316 44.9 73,492 85.4 60.2 7.4 13.6 45.5 5.9 4,493 6.11 2017 43,858,322 23,247,877 53.0 110,369 88.6 61.7 15.3 16.5 41.3 8.8 7,354 6.66 2018 47,508,525 26,920,663 56.7 121,708 92.7 63.7 19.8 16.8 38.3 14.0 8,598 7.06 2019 63,569,183 51,138,928 80.4 196,033 81.1 61.0 18.7 16.3 38.5 27.3 11,098 5.66 2020 (through june 30) 41,712,662 41,196,840 98.8 143,876 58.9 51.9 12.2 11.8 42.6 34.5 1,688 1.17 total $ 318,460,518 $ 174,646,273 54.8 733,651 79.3 59.7 14.4 14.9 41.0 7.9 38,068 5.19 (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, 2020 ($ 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 (5) 2015 & 2016 $ 22,315,283 $ 6,025,734 $ 333,844 $ — $ 333,844 $ 216,480 $ — $ 216,480 $ — $ 208,111 $ 207,849 $ 1,449 $ 3,287 $ 174,682 2017 22,597,869 5,742,641 424,412 165,167 589,579 242,123 165,167 407,290 — 224,689 220,308 2,801 6,154 204,148 2018 26,393,162 6,676,437 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 252,392 3,473 7,578 299,170 2019 (3) 30,475,038 7,724,225 495,889 55,102 550,991 495,889 55,102 550,991 — 215,605 215,605 2,953 5,442 423,843 total $ 101,781,352 $ 26,169,037 $ 1,727,329 $ 338,919 $ 2,066,248 $ 1,280,029 $ 296,413 $ 1,576,442 $ — $ 902,048 $ 896,154 $ 10,676 $ 22,461 $ 1,101,843 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 (5) 2019 & 2020 (4) $ 61,036,696 $ 15,141,048 $ 13,463,715 $ 3,303,668 $ 7,598 $ 7,696 $ 1,933 $ 3,110 $ 11,464 $ 13,916 $ 223,393 (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 40% of eligible single premium policies and 20% of all other eligible policies written from september 1, 2019 through december 31, 2020. (5) represents the reduction in essent guaranty, inc.'s minimum required assets based on our interpretation of the pmiers. exhibit i essent group ltd. and subsidiaries supplemental information portfolio geographic data iif by state june 30, 2020 march 31, 2020 june 30, 2019 ca 10.6 % 10.4 % 9.6 % tx 9.4 8.9 8.0 fl 8.2 8.0 7.5 wa 4.0 4.2 4.6 co 3.9 3.8 3.6 il 3.5 3.6 3.8 nj 3.5 3.6 3.7 az 3.5 3.3 3.2 va 3.2 3.1 3.2 oh 3.2 3.3 3.4 all others 47.0 47.8 49.4 total 100.0 % 100.0 % 100.0 % gross rif by state june 30, 2020 march 31, 2020 june 30, 2019 ca 10.3 % 10.1 % 9.4 % tx 9.7 9.2 8.3 fl 8.4 8.2 7.6 wa 4.0 4.2 4.6 co 3.8 3.7 3.5 nj 3.4 3.5 3.6 az 3.4 3.3 3.1 il 3.4 3.5 3.7 ga 3.2 3.2 3.4 oh 3.2 3.3 3.4 all others 47.2 47.8 49.4 total 100.0 % 100.0 % 100.0 % exhibit j essent group ltd. and subsidiaries supplemental information defaults, reserve for losses and lae, and claims rollforward of insured loans in default three months ended six months ended june 30, june 30, june 30, june 30, 2020 2019 2020 2019 beginning default inventory 5,841 4,096 5,947 4,024 plus: new defaults 37,357 2,849 41,290 5,767 less: cures (4,983 ) (2,433 ) (8,897 ) (5,182 ) less: claims paid (144 ) (106 ) (262 ) (194 ) less: rescissions and denials, net (3 ) (1 ) (10 ) (10 ) ending default inventory 38,068 4,405 38,068 4,405 rollforward of reserve for losses and lae three months ended six months ended june 30, june 30, june 30, june 30, ($ in thousands) 2020 2019 2020 2019 reserve for losses and lae at beginning of period $ 73,341 $ 53,484 $ 69,362 $ 49,464 less: reinsurance recoverables 98 — 71 — net reserve for losses and lae at beginning of period 73,243 53,484 69,291 49,464 add provision for losses and lae occurring in: current period 181,776 11,354 197,195 23,182 prior years (5,899 ) (6,394 ) (13,255 ) (11,115 ) incurred losses and lae during the period 175,877 4,960 183,940 12,067 deduct payments for losses and lae occurring in: current period 288 230 289 245 prior years 5,703 3,076 9,813 6,148 loss and lae payments during the period 5,991 3,306 10,102 6,393 net reserve for losses and lae at end of period 243,129 55,138 243,129 55,138 plus: reinsurance recoverables 7,761 — 7,761 — reserve for losses and lae at end of period $ 250,890 $ 55,138 $ 250,890 $ 55,138 claims three months ended six months ended june 30, june 30, june 30, june 30, 2020 2019 2020 2019 number of claims paid 144 106 262 194 total amount paid for claims (in thousands) $ 5,718 $ 3,208 $ 9,875 $ 6,107 average amount paid per claim (in thousands) $ 40 $ 30 $ 38 $ 31 severity 78 % 69 % 78 % 74 % exhibit j, continued essent group ltd. and subsidiaries supplemental information defaults, reserve for losses and lae, and claims u.s. mortgage insurance portfolio june 30, 2020 number of policies in default percentage of policies in default amount of reserves percentage of reserves defaulted rif reserves as a percentage of defaulted rif ($ in thousands) missed payments: three payments or less 33,514 88 % $ 166,897 73 % $ 2,233,678 7 % four to eleven payments 3,813 10 39,028 17 234,152 17 twelve or more payments 664 2 18,590 8 36,694 51 pending claims 77 — 3,271 2 3,846 85 total case reserves (1) 38,068 100 % 227,786 100 % $ 2,508,370 9 ibnr 17,084 lae 5,992 total reserves for losses and lae (1) $ 250,862 average reserve per default: case $ 6.0 total $ 6.6 default rate 5.19% (1) the u.s. mortgage insurance portfolio reserves exclude reserves on gse and other risk share at essent re of $28. december 31, 2019 number of policies in default percentage of policies in default amount of reserves percentage of reserves defaulted rif reserves as a percentage of defaulted rif ($ in thousands) missed payments: three payments or less 3,310 56 % $ 15,793 25 % $ 177,238 9 % four to eleven payments 2,035 34 28,006 44 108,743 26 twelve or more payments 473 8 13,549 22 27,152 50 pending claims 129 2 5,832 9 6,777 86 total case reserves (2) 5,947 100 % 63,180 100 % $ 319,910 20 ibnr 4,738 lae 1,265 total reserves for losses and lae (2) $ 69,183 average reserve per default: case $ 10.6 total $ 11.6 default rate 0.85% (2) the u.s. mortgage insurance portfolio reserves exclude reserves on gse and other risk share at essent re of $179. june 30, 2019 number of policies i n default percentage of policies in default amount of reserves percentage of reserves defaulted rif reserves as a percentage of defaulted rif ($ in thousands) missed payments: three payments or less 2,511 57 % $ 12,646 25 % $ 133,536 9 % four to eleven payments 1,443 33 22,292 44 78,047 29 twelve or more payments 369 8 11,583 23 22,093 52 pending claims 82 2 4,055 8 4,657 87 total case reserves 4,405 100 % 50,576 100 % $ 238,333 21 ibnr 3,792 lae 770 total reserves for losses and lae $ 55,138 average reserve per default: case $ 11.5 total $ 12.5 default rate 0.66% exhibit k essent group ltd. and subsidiaries supplemental information investments available for sale investments available for sale by asset class asset class june 30, 2020 december 31, 2019 ($ in thousands) fair value percent fair value percent u.s. treasury securities $ 259,259 5.9 % $ 242,206 7.2 % u.s. agency securities 14,682 0.3 33,605 1.0 u.s. agency mortgage-backed securities 830,124 19.1 848,334 25.3 municipal debt securities 465,063 10.7 361,638 10.8 non-u.s. government securities 54,637 1.2 54,995 1.7 corporate debt securities 912,137 21.0 880,301 26.3 residential and commercial mortgage securities 312,511 7.2 288,281 8.6 asset-backed securities 385,486 8.9 326,025 9.7 money market funds 1,118,204 25.7 315,362 9.4 total investments available for sale $ 4,352,103 100.0 % $ 3,350,747 100.0 % investments available for sale by credit rating rating (1) june 30, 2020 december 31, 2019 ($ in thousands) fair value percent fair value percent aaa $ 2,642,359 60.7 % $ 1,817,905 54.2 % aa1 129,451 3.0 109,122 3.3 aa2 171,704 3.9 145,282 4.3 aa3 235,462 5.4 159,599 4.8 a1 213,946 4.9 206,643 6.2 a2 253,507 5.8 183,780 5.5 a3 211,209 4.9 191,933 5.7 baa1 244,669 5.6 232,490 6.9 baa2 183,639 4.2 179,664 5.4 baa3 37,005 0.9 65,119 1.9 below baa3 29,152 0.7 59,210 1.8 total investments available for sale $ 4,352,103 100.0 % $ 3,350,747 100.0 % (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, 2020 december 31, 2019 ($ in thousands) fair value percent fair value percent < 1 year $ 2,140,698 49.2 % $ 1,038,782 31.0 % 1 to < 2 years 415,342 9.5 306,148 9.1 2 to < 3 years 369,123 8.5 348,708 10.4 3 to < 4 years 258,405 5.9 361,147 10.8 4 to < 5 years 343,687 7.9 443,382 13.2 5 or more years 824,848 19.0 852,580 25.5 total investments available for sale $ 4,352,103 100.0 % $ 3,350,747 100.0 % pre-tax investment income yield: three months ended june 30, 2020 2.16 % six months ended june 30, 2020 2.33 % net cash and investments at holding company, essent group ltd.: ($ in thousands) as of june 30, 2020 $ 702,225 as of december 31, 2019 $ 98,376 exhibit l essent group ltd. and subsidiaries supplemental information insurance company capital june 30, 2020 december 31, 2019 ($ in thousands) u.s. mortgage insurance subsidiaries: combined statutory capital (1) $ 2,457,368 $ 2,335,828 combined net risk in force (2) $ 28,787,600 $ 29,460,191 risk-to-capital ratios: (3) essent guaranty, inc. 12.1:1 13.1:1 essent guaranty of pa, inc. 2.3:1 2.9:1 combined (4) 11.7:1 12.6:1 essent guaranty, inc. pmiers data (5): available assets $ 2,586,394 $ 2,337,086 minimum required assets 1,458,273 1,499,369 pmiers excess available assets $ 1,128,121 $ 837,717 essent reinsurance ltd.: stockholder's equity (gaap basis) $ 1,022,689 $ 939,360 net risk in force (2) $ 11,113,079 $ 10,314,942 (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) pmiers data is based on our interpretation of pmiers 2.0 as of the dates indicated. . exhibit m essent group ltd. and subsidiaries supplemental information reconciliation of non-gaap financial measure - adjusted book value per share (in thousands, except per share amounts) june 30, 2020 december 31, 2019 june 30, 2019 numerator: total stockholders' equity (book value) $ 3,623,329 $ 2,984,845 $ 2,704,292 subtract: accumulated other comprehensive income 120,398 56,187 45,360 adjusted book value $ 3,502,931 $ 2,928,658 $ 2,658,932 denominator: total common shares outstanding 112,423 98,394 98,396 add: restricted share units and dividend equivalent units outstanding 510 356 365 total common shares and share units outstanding 112,933 98,750 98,761 adjusted book value per share $ 31.02 $ 29.66 $ 26.92
