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.
View source
version on businesswire.com: https://www.businesswire.com/news/home/20221104005104/en/
Media 610.230.0556 media@essentgroup.com
Investor Relations Philip Stefano Vice President,
Investor Relations 855-809-ESNT ir@essentgroup.com
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