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Essent Group Ltd. Announces Third Quarter 2022 Results and Increases Quarterly Dividend

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

 

<=679

 

627,973

 

3.7

 

 

 

1,066,063

 

4.5

 

 

 

1,859,956

 

3.7

 

 

 

3,700,995

 

5.5

 

Total

$

17,112,017

 

100.0

%

 

$

23,579,884

 

100.0

%

 

$

50,049,634

 

100.0

%

 

$

67,838,752

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

 

 

744

 

 

 

 

747

 

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2022

 

September 30, 2021

 

September 30, 2022

 

September 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

1,618,912

 

9.5

%

 

$

2,336,949

 

9.9

%

 

$

4,556,205

 

9.1

%

 

$

9,660,937

 

14.2

%

85.01% to 90.00%

 

4,753,686

 

27.8

 

 

 

5,860,301

 

24.9

 

 

 

13,657,345

 

27.3

 

 

 

19,192,675

 

28.3

 

90.01% to 95.00%

 

9,171,095

 

53.5

 

 

 

11,574,090

 

49.1

 

 

 

26,461,665

 

52.9

 

 

 

30,090,325

 

44.4

 

95.01% and above

 

1,568,324

 

9.2

 

 

 

3,808,544

 

16.1

 

 

 

5,374,419

 

10.7

 

 

 

8,894,815

 

13.1

 

Total

$

17,112,017

 

100.0

%

 

$

23,579,884

 

100.0

%

 

$

50,049,634

 

100.0

%

 

$

67,838,752

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2022

 

September 30, 2021

 

September 30, 2022

 

September 30, 2021

Single Premium policies

 

8.2

%

 

 

2.5

%

 

 

5.9

%

 

 

4.1

%

Monthly Premium policies

 

91.8

 

 

 

97.5

 

 

 

94.1

 

 

 

95.9

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2022

 

September 30, 2021

 

September 30, 2022

 

September 30, 2021

Purchase

 

98.7

%

 

 

90.9

%

 

 

97.2

%

 

 

79.6

%

Refinance

 

1.3

 

 

 

9.1

 

 

 

2.8

 

 

 

20.4

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

Exhibit E

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio by Credit Score

IIF by FICO score

September 30, 2022

 

June 30, 2022

 

September 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

>=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

 

<=679

 

 

11,885,942

 

5.4

 

 

 

11,906,082

 

5.5

 

 

 

12,961,334

 

6.2

 

Total

$

222,542,569

 

100.0

%

 

$

215,896,531

 

100.0

%

 

$

208,216,549

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

 

 

746

 

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

September 30, 2022

 

June 30, 2022

 

September 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

>=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

 

<=679

 

 

2,930,570

 

5.1

 

 

 

2,925,339

 

5.3

 

 

 

3,161,784

 

6.0

 

Total

$

57,743,091

 

100.0

%

 

$

55,678,063

 

100.0

%

 

$

52,457,020

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

September 30, 2022

 

June 30, 2022

 

September 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

25,121,995

 

11.3

%

 

$

25,510,400

 

11.8

%

 

$

28,452,535

 

13.7

%

85.01% to 90.00%

 

 

62,963,331

 

28.3

 

 

 

61,304,806

 

28.4

 

 

 

60,257,704

 

28.9

 

90.01% to 95.00%

 

 

103,794,020

 

46.6

 

 

 

98,938,435

 

45.8

 

 

 

90,957,363

 

43.7

 

95.01% and above

 

 

30,663,223

 

13.8

 

 

 

30,142,890

 

14.0

 

 

 

28,548,947

 

13.7

 

Total

$

222,542,569

 

100.0

%

 

$

215,896,531

 

100.0

%

 

$

208,216,549

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

92

%

 

 

 

92

%

 

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

September 30, 2022

 

June 30, 2022

 

September 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

2,975,898

 

5.2

%

 

$

3,012,030

 

5.4

%

 

$

3,311,106

 

6.3

%

85.01% to 90.00%

 

 

15,317,449

 

26.5

 

 

 

14,868,579

 

26.7

 

 

 

14,506,577

 

27.7

 

90.01% to 95.00%

 

 

30,388,328

 

52.6

 

 

 

28,921,722

 

52.0

 

 

 

26,410,513

 

50.3

 

95.01% and above

 

 

9,061,416

 

15.7

 

 

 

8,875,732

 

15.9

 

 

 

8,228,824

 

15.7

 

Total

$

57,743,091

 

100.0

%

 

$

55,678,063

 

100.0

%

 

$

52,457,020

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

September 30, 2022

 

June 30, 2022

 

September 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

214,688,363

 

96.5

%

 

$

207,888,842

 

96.3

%

 

$

198,392,156

 

95.3

%

FRM 20-25 years

 

 

2,859,734

 

1.3

 

 

 

3,114,962

 

1.4

 

 

 

3,974,602

 

1.9

 

FRM 15 years

 

 

2,903,355

 

1.3

 

 

 

3,222,801

 

1.5

 

 

 

4,419,750

 

2.1

 

ARM 5 years and higher

 

 

2,091,117

 

0.9

 

 

 

1,669,926

 

0.8

 

 

 

1,430,041

 

0.7

 

Total

$

222,542,569

 

100.0

%

 

$

215,896,531

 

100.0

%

 

$

208,216,549

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

2022

 

2021

($ in thousands)

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

2,026,895

 

 

$

1,898,364

 

 

$

1,888,437

 

 

$

1,788,918

 

 

$

1,568,800

 

Reserve for losses and LAE

 

$

102

 

 

$

144

 

 

$

254

 

 

$

1,349

 

 

$

1,389

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

748

 

 

 

748

 

 

 

748

 

 

 

748

 

 

 

748

 

Weighted average LTV

 

 

84

%

 

 

84

%

 

 

84

%

 

 

84

%

 

 

84

%

 

 

 

 

 

 

 

 

 

 

 

(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("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 G

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Vintage Data

September 30, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance in Force

 

 

 

Year

Original

Insurance

Written

($ in thousands)

Remaining

Insurance

in Force

($ in thousands)

% Remaining of

Original

Insurance

Number of

Policies in

Force

Weighted

Average

Coupon

% Purchase

>90% LTV

>95% LTV

FICO < 700

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.

 

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