Essent Group Ltd. (NYSE: ESNT) today reported net income for the
quarter ended December 31, 2021 of $181.0 million or $1.64 per
diluted share, compared to $123.6 million or $1.10 per diluted
share for the quarter ended December 31, 2020. For the full year
2021, net income was $681.8 million or $6.11 per diluted share,
compared to $413.0 million or $3.88 per diluted share for 2020.
Essent also announced today that its Board of Directors has
declared a quarterly cash dividend of $0.20 per common share. The
dividend is payable on March 21, 2022, to shareholders of record on
March 10, 2022.
“We are pleased with our fourth quarter and full year 2021
financial results, which reflect our continued focus on optimizing
our unit economics in generating high-quality earnings and strong
returns,” said Mark A. Casale, Chairman and Chief Executive
Officer. “Our strong operating performance also generated excess
capital, which we continued to deploy in a balanced manner between
reinvestment in our franchise and distribution to shareholders. In
connection with this, we are pleased to announce that our Board has
approved an increase in our quarterly dividend to $0.20 per
share.”
Fourth Quarter & Full Year 2021 Financial
Highlights:
- Insurance in force as of December 31, 2021 was $207.2 billion,
compared to $208.2 billion as of September 30, 2021 and $198.9
billion as of December 31, 2020.
- New insurance written for the fourth quarter was $16.4 billion,
compared to $23.6 billion in the third quarter of 2021 and $29.6
billion in the fourth quarter of 2020.
- Net premiums earned for the fourth quarter were $217.3 million,
compared to $218.7 million in the third quarter of 2021 and $222.3
million in the fourth quarter of 2020.
- Income from other invested assets for the fourth quarter
included $12.0 million, or $0.09 per diluted share on an after-tax
basis, pertaining to net unrealized gains associated with strategic
investments in limited partnerships.
- The expense ratio for the fourth quarter was 19.0%, compared to
19.3% in the third quarter of 2021 and 16.6% in the fourth quarter
of 2020.
- The provision for losses and LAE for the fourth quarter was a
benefit of $3.4 million, compared to a benefit of $7.5 million in
the third quarter of 2021 and a provision of $62.1 million in the
fourth quarter of 2020.
- The percentage of loans in default as of December 31, 2021 was
2.16%, compared to 2.47% as of September 30, 2021 and 3.93% as of
December 31, 2020.
- The combined ratio for the fourth quarter was 17.4%, compared
to 15.9% in the third quarter of 2021 and 44.5% in the fourth
quarter of 2020.
- The consolidated balance of cash and investments at December
31, 2021 was $5.2 billion, which includes holding company net cash
and investments available for sale of $618.3 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 10.4:1
as of December 31, 2021.
- On November 10, 2021, Essent Guaranty, Inc. obtained $439.4
million of fully collateralized excess of loss reinsurance coverage
on mortgage insurance policies written by Essent in April 1, 2021
through September 30, 2021 from Radnor Re 2021-2 Ltd., a newly
formed Bermuda special purpose insurer. Radnor Re 2021-2 Ltd. is
not a subsidiary or an affiliate of Essent Group Ltd.
- On December 10, 2021, Essent Group Ltd. entered into an amended
and restated credit facility, increasing to $825 million the
committed capacity and extending the contractual maturity to
December 10, 2026.
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 888-510-2507 inside the
U.S., or 646-960-0351 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; 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, 2020
filed with the Securities and Exchange Commission on February 26,
2021, 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 and Year Ended
December 31, 2021
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 December
31,
Year Ended December
31,
(In thousands,
except per share amounts)
2021
2020
2021
2020
Revenues:
Direct premiums written
$
224,972
$
245,437
$
918,406
$
922,851
Ceded premiums
(26,476
)
(31,194
)
(110,914
)
(88,738
)
Net premiums written
198,496
214,243
807,492
834,113
Decrease in unearned premiums
18,825
8,096
65,051
28,451
Net premiums earned
217,321
222,339
872,543
862,564
Net investment income
23,661
20,949
88,765
80,087
Realized investment (losses) gains,
net
(191
)
564
418
2,697
Income (loss) from other invested
assets
14,997
2
56,386
(215
)
Other income
1,128
3,345
10,398
10,021
Total revenues
256,916
247,199
1,028,510
955,154
Losses and expenses:
(Benefit) provision for losses and LAE
(3,433
)
62,073
31,057
301,293
Other underwriting and operating
expenses
41,232
36,825
166,857
154,691
Interest expense
2,095
2,149
8,282
9,074
Total losses and expenses
39,894
101,047
206,196
465,058
Income before income taxes
217,022
146,152
822,314
490,096
Income tax expense
36,035
22,550
140,531
77,055
Net income
$
180,987
$
123,602
$
681,783
$
413,041
Earnings per share:
Basic
$
1.65
$
1.10
$
6.13
$
3.89
Diluted
1.64
1.10
6.11
3.88
Weighted average shares
outstanding:
Basic
109,550
111,908
111,164
106,098
Diluted
110,028
112,310
111,555
106,376
Net income
$
180,987
$
123,602
$
681,783
$
413,041
Other comprehensive income
(loss):
Change in unrealized (depreciation)
appreciation of investments
(27,807
)
5,840
(87,567
)
82,087
Total other comprehensive (loss)
income
(27,807
)
5,840
(87,567
)
82,087
Comprehensive income
$
153,180
$
129,442
$
594,216
$
495,128
Loss ratio
(1.6
%)
27.9
%
3.6
%
34.9
%
Expense ratio
19.0
16.6
19.1
17.9
Combined ratio
17.4
%
44.5
%
22.7
%
52.9
%
Exhibit B
Essent Group Ltd. and
Subsidiaries
Condensed Consolidated Balance
Sheets (Unaudited)
December 31,
December 31,
(In thousands,
except per share amounts)
2021
2020
Assets
Investments
Fixed maturities available for sale, at
fair value
$
4,649,800
$
3,838,513
Short-term investments available for sale,
at fair value
313,087
726,860
Total investments available for sale
4,962,887
4,565,373
Other invested assets
170,472
88,904
Total investments
5,133,359
4,654,277
Cash
81,491
102,830
Accrued investment income
26,546
19,948
Accounts receivable
46,157
50,140
Deferred policy acquisition costs
12,178
17,005
Property and equipment
11,921
15,095
Prepaid federal income tax
360,810
302,636
Other assets
49,712
40,793
Total assets
$
5,722,174
$
5,202,724
Liabilities and Stockholders'
Equity
Liabilities
Reserve for losses and LAE
$
407,445
$
374,941
Unearned premium reserve
185,385
250,436
Net deferred tax liability
373,654
305,109
Credit facility borrowings, net of
deferred costs
419,823
321,720
Other accrued liabilities
99,753
87,885
Total liabilities
1,486,060
1,340,091
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and
outstanding - 109,377 shares in 2021 and 112,423 shares in 2020
1,641
1,686
Additional paid-in capital
1,428,952
1,571,163
Accumulated other comprehensive income
50,707
138,274
Retained earnings
2,754,814
2,151,510
Total stockholders' equity
4,236,114
3,862,633
Total liabilities and stockholders'
equity
$
5,722,174
$
5,202,724
Return on average equity
16.8
%
12.1
%
Exhibit C
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Historical Quarterly
Data
2021
2020
Selected Income Statement Data
December 31
September 30
June 30
March 31
December 31
(In thousands,
except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio
$
205,877
$
207,127
$
204,149
$
207,840
$
208,715
GSE and other risk share
11,444
11,591
13,288
11,227
13,624
Net premiums earned
217,321
218,718
217,437
219,067
222,339
Income from other invested assets
(1)
14,997
40,741
122
526
2
Other revenues (2)
24,598
24,077
25,702
25,204
24,858
Total revenues
256,916
283,536
243,261
244,797
247,199
Losses and expenses:
(Benefit) provision for losses and LAE
(3,433
)
(7,483
)
9,651
32,322
62,073
Other underwriting and operating
expenses
41,232
42,272
41,114
42,239
36,825
Interest expense
2,095
2,063
2,073
2,051
2,149
Total losses and expenses
39,894
36,852
52,838
76,612
101,047
Income before income taxes
217,022
246,684
190,423
168,185
146,152
Income tax expense (3)
36,035
41,331
30,628
32,537
22,550
Net income
$
180,987
$
205,353
$
159,795
$
135,648
$
123,602
Earnings per share:
Basic
$
1.65
$
1.85
$
1.43
$
1.21
$
1.10
Diluted
1.64
1.84
1.42
1.21
1.10
Weighted average shares
outstanding:
Basic
109,550
111,001
112,118
112,016
111,908
Diluted
110,028
111,387
112,454
112,378
112,310
Book value per share
$
38.73
$
37.58
$
36.32
$
34.75
$
34.36
Return on average equity
(annualized)
17.2
%
19.9
%
16.0
%
13.9
%
13.0
%
Other Data:
Loss ratio (4)
(1.6
%)
(3.4
%)
4.4
%
14.8
%
27.9
%
Expense ratio (5)
19.0
19.3
18.9
19.3
16.6
Combined ratio
17.4
%
15.9
%
23.3
%
34.0
%
44.5
%
Credit Facility
Borrowings outstanding
$
425,000
$
325,000
$
325,000
$
325,000
$
325,000
Undrawn committed capacity
$
400,000
$
300,000
$
300,000
$
300,000
$
300,000
Weighted average interest rate (end of
period)
1.79
%
2.13
%
2.13
%
2.13
%
2.19
%
Debt-to-capital
9.12
%
7.23
%
7.37
%
7.65
%
7.76
%
(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) 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. For each of the three month periods noted, Other
revenues include net favorable (unfavorable) changes in the fair
value of these embedded derivatives as follows: December 31, 2021:
($2,931); September 30, 2021: ($1,493); June 30, 2021: $950; March
31, 2021: ($606); December 31, 2020: ($209).
(3) Income tax expense for the
quarters ended December 31, 2021 and March 31, 2021 includes $2,473
and $5,718, respectively, 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 December 31, 2021 and September 30, 2021 includes $1,759 and
$8,271, respectively, of discrete tax expense associated with
realized and unrealized gains and losses.
(4) Loss ratio is calculated by
dividing the provision for losses and LAE by net premiums
earned.
(5) Expense ratio is calculated by
dividing other underwriting and operating expenses by net premiums
earned.
Exhibit C, continued
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Historical Quarterly
Data
2021
2020
Other Data, continued:
December 31
September 30
June 30
March 31
December 31
($ in
thousands)
U.S. Mortgage Insurance
Portfolio
Flow:
New insurance written
$
16,379,082
$
23,579,884
$
25,004,854
$
19,254,014
$
29,566,820
New risk written
4,331,531
6,273,735
6,445,864
4,616,450
7,051,173
Bulk:
New insurance written
$
416
$
—
$
—
$
—
$
—
New risk written
41
—
—
—
—
Total:
New insurance written
$
16,379,498
$
23,579,884
$
25,004,854
$
19,254,014
$
29,566,820
New risk written
$
4,331,572
$
6,273,735
$
6,445,864
$
4,616,450
$
7,051,173
Average insurance in force
$
207,388,906
$
206,732,478
$
199,739,297
$
197,749,668
$
195,670,925
Insurance in force (end of period)
$
207,190,544
$
208,216,549
$
203,559,859
$
197,091,191
$
198,882,352
Gross risk in force (end of period)
(6)
$
52,554,246
$
52,457,020
$
50,835,835
$
48,951,602
$
49,565,150
Risk in force (end of period)
$
45,273,383
$
45,074,159
$
42,906,519
$
41,135,978
$
41,339,262
Policies in force
785,119
798,877
794,743
785,382
799,893
Weighted average coverage (7)
25.4
%
25.2
%
25.0
%
24.8
%
24.9
%
Annual persistency
65.4
%
62.2
%
58.3
%
56.1
%
60.1
%
Loans in default (count)
16,963
19,721
23,504
29,080
31,469
Percentage of loans in default
2.16
%
2.47
%
2.96
%
3.70
%
3.93
%
U.S. Mortgage Insurance Portfolio
premium rate:
Base average premium rate (8)
0.42
%
0.42
%
0.43
%
0.44
%
0.44
%
Single premium cancellations
(9)
0.03
%
0.03
%
0.03
%
0.04
%
0.05
%
Gross average premium rate
0.45
%
0.45
%
0.46
%
0.48
%
0.49
%
Ceded premiums
(0.05
%)
(0.05
%)
(0.05
%)
(0.06
%)
(0.06
%)
Net average premium rate
0.40
%
0.40
%
0.41
%
0.42
%
0.43
%
(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
Year Ended
December 31, 2021
December 31, 2020
December 31, 2021
December 31, 2020
($ in
thousands)
>=760
$
6,643,740
40.6
%
$
13,330,379
45.1
%
$
34,422,627
40.9
%
$
48,037,084
44.5
%
740-759
2,833,379
17.3
5,069,530
17.1
13,691,394
16.3
19,385,541
17.9
720-739
2,472,738
15.1
4,134,782
14.0
12,789,715
15.2
15,744,485
14.6
700-719
2,170,829
13.2
3,385,670
11.5
11,499,406
13.6
12,409,936
11.5
680-699
1,504,268
9.2
1,743,694
5.9
7,359,569
8.7
6,871,511
6.4
<=679
754,128
4.6
1,902,765
6.4
4,455,123
5.3
5,495,357
5.1
Total
$
16,379,082
100.0
%
$
29,566,820
100.0
%
$
84,217,834
100.0
%
$
107,943,914
100.0
%
Weighted average credit score
745
748
745
749
NIW by LTV
Three Months Ended
Year Ended
December 31, 2021
December 31, 2020
December 31, 2021
December 31, 2020
($ in
thousands)
85.00% and below
$
1,799,336
11.0
%
$
6,317,550
21.4
%
$
11,460,273
13.6
%
$
20,124,987
18.6
%
85.01% to 90.00%
4,372,552
26.7
9,629,373
32.6
23,565,227
28.0
34,020,882
31.5
90.01% to 95.00%
7,722,842
47.1
11,134,923
37.6
37,813,167
44.9
42,517,221
39.4
95.01% and above
2,484,352
15.2
2,484,974
8.4
11,379,167
13.5
11,280,824
10.5
Total
$
16,379,082
100.0
%
$
29,566,820
100.0
%
$
84,217,834
100.0
%
$
107,943,914
100.0
%
Weighted average LTV
92
%
91
%
92
%
91
%
NIW by Product
Three Months Ended
Year Ended
December 31, 2021
December 31, 2020
December 31, 2021
December 31, 2020
Single Premium policies
2.7
%
7.7
%
3.8
%
9.0
%
Monthly Premium policies
97.3
92.3
96.2
91.0
100.0
%
100.0
%
100.0
%
100.0
%
NIW by Purchase vs.
Refinance
Three Months Ended
Year Ended
December 31, 2021
December 31, 2020
December 31, 2021
December 31, 2020
Purchase
92.1
%
61.6
%
82.1
%
60.4
%
Refinance
7.9
38.4
17.9
39.6
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
December 31, 2021
September 30, 2021
December 31, 2020
($ in
thousands)
>=760
$
85,501,113
41.3
%
$
85,833,588
41.2
%
$
82,452,139
41.5
%
740-759
35,111,019
17.0
35,234,863
16.9
34,538,761
17.3
720-739
31,158,325
15.0
31,291,415
15.1
29,599,646
14.9
700-719
26,105,790
12.6
26,136,910
12.6
23,807,982
12.0
680-699
16,819,629
8.1
16,758,439
8.0
15,538,235
7.8
<=679
12,494,668
6.0
12,961,334
6.2
12,945,589
6.5
Total
$
207,190,544
100.0
%
$
208,216,549
100.0
%
$
198,882,352
100.0
%
Weighted average credit score
745
745
745
Gross RIF by FICO score
December 31, 2021
September 30, 2021
December 31, 2020
($ in
thousands)
>=760
$
21,488,011
40.9
%
$
21,414,607
40.8
%
$
20,336,799
41.0
%
740-759
8,992,181
17.1
8,958,297
17.1
8,682,265
17.5
720-739
8,029,952
15.3
8,020,171
15.3
7,504,065
15.1
700-719
6,693,045
12.7
6,652,117
12.7
5,970,851
12.1
680-699
4,299,245
8.2
4,250,044
8.1
3,887,059
7.9
<=679
3,051,812
5.8
3,161,784
6.0
3,184,111
6.4
Total
$
52,554,246
100.0
%
$
52,457,020
100.0
%
$
49,565,150
100.0
%
Portfolio by LTV
IIF by LTV
December 31, 2021
September 30, 2021
December 31, 2020
($ in
thousands)
85.00% and below
$
27,362,267
13.2
%
$
28,452,535
13.7
%
$
27,308,296
13.7
%
85.01% to 90.00%
59,567,378
28.7
60,257,704
28.9
58,606,394
29.5
90.01% to 95.00%
91,350,909
44.1
90,957,363
43.7
86,169,485
43.3
95.01% and above
28,909,990
14.0
28,548,947
13.7
26,798,177
13.5
Total
$
207,190,544
100.0
%
$
208,216,549
100.0
%
$
198,882,352
100.0
%
Weighted average LTV
92
%
92
%
92
%
Gross RIF by LTV
December 31, 2021
September 30, 2021
December 31, 2020
($ in
thousands)
85.00% and below
$
3,200,124
6.1
%
$
3,311,106
6.3
%
$
3,142,034
6.3
%
85.01% to 90.00%
14,366,450
27.3
14,506,577
27.7
14,061,553
28.4
90.01% to 95.00%
26,592,162
50.6
26,410,513
50.3
24,895,471
50.2
95.01% and above
8,395,510
16.0
8,228,824
15.7
7,466,092
15.1
Total
$
52,554,246
100.0
%
$
52,457,020
100.0
%
$
49,565,150
100.0
%
Portfolio by Loan Amortization
Period
IIF by Loan Amortization Period
December 31, 2021
September 30, 2021
December 31, 2020
($ in
thousands)
FRM 30 years and higher
$
198,243,758
95.7
%
$
198,392,156
95.3
%
$
187,704,000
94.4
%
FRM 20-25 years
3,658,366
1.8
3,974,602
1.9
4,365,585
2.2
FRM 15 years
3,996,684
1.9
4,419,750
2.1
4,776,068
2.4
ARM 5 years and higher
1,291,736
0.6
1,430,041
0.7
2,036,699
1.0
Total
$
207,190,544
100.0
%
$
208,216,549
100.0
%
$
198,882,352
100.0
%
Exhibit F
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Other Risk in Force
2021
2020
($ in
thousands)
December 31
September 30
June 30
March 31
December 31
GSE and other risk share (1):
Risk in Force
$
1,788,918
$
1,568,800
$
1,496,247
$
1,534,174
$
1,416,719
Reserve for losses and LAE
$
1,349
$
1,389
$
1,390
$
1,312
$
1,073
Weighted average credit score
748
748
747
747
746
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
December 31, 2021
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
$
3,122,498
5.1
%
19,269
4.32
%
80.6
%
71.7
%
5.2
%
15.3
%
42.4
%
3.3
%
900
4.67
%
2015
26,193,656
3,114,853
11.9
17,893
4.16
86.5
67.1
3.5
17.8
39.8
4.3
742
4.15
2016
34,949,319
6,326,129
18.1
33,941
3.86
88.1
65.3
8.9
15.2
43.9
5.3
1,327
3.91
2017
43,858,322
8,509,847
19.4
47,080
4.26
90.5
65.6
18.3
20.0
37.9
8.3
2,458
5.22
2018
47,508,525
9,482,084
20.0
49,923
4.77
93.7
66.9
23.5
21.2
33.3
13.7
3,096
6.20
2019
63,569,183
20,252,049
31.9
90,476
4.21
86.0
65.3
22.4
19.0
35.5
21.8
3,953
4.37
2020
107,944,065
76,550,717
70.9
276,407
3.18
63.0
51.7
11.3
11.1
44.8
13.6
3,490
1.26
2021
84,218,250
79,832,367
94.8
250,130
3.07
82.7
59.0
13.9
14.1
40.4
9.1
997
0.40
Total
$
468,910,171
$
207,190,544
44.2
785,119
3.41
76.8
58.0
14.0
14.1
41.3
8.9
16,963
2.16
(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
December 31, 2021
($ 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 (8)
2015 & 2016
$
9,131,102
$
2,462,841
$
333,844
$
—
$
333,844
$
178,717
$
—
$
178,717
$
—
$
208,111
$
207,140
$
1,177
$
4,808
$
—
2017
8,286,495
2,143,551
424,412
165,167
589,579
242,123
165,167
407,290
—
224,689
217,409
2,679
10,655
—
2018
9,341,880
2,382,994
473,184
118,650
591,834
325,537
76,144
401,681
—
253,643
249,450
3,220
12,824
—
2019 (3)
11,238,898
2,874,767
495,889
55,102
550,991
495,889
55,102
550,991
—
215,605
215,115
2,778
11,068
43,674
2019 & 2020 (4)
31,050,401
7,848,926
399,159
—
399,159
153,530
—
153,530
—
465,690
465,690
3,174
17,573
78,211
2020 & 2021 (5)
50,143,288
12,263,000
557,911
—
557,911
557,911
—
557,911
—
278,956
278,956
3,695
7,675
534,049
2021 (6)
45,887,021
12,086,006
439,407
—
439,407
439,407
—
439,407
—
279,415
279,415
2,367
2,367
400,151
Total
$
165,079,085
$
42,062,085
$
3,123,806
$
338,919
$
3,462,725
$
2,393,114
$
296,413
$
2,689,527
$
—
$
1,926,109
$
1,913,175
$
19,090
$
66,970
$
1,056,085
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 (8)
2019 & 2020 (7)
$
85,045,135
$
21,077,760
$
18,703,480
$
4,591,336
$
(1,023
)
$
6,926
$
4,205
$
18,509
$
7,386
$
43,944
$
306,548
(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.
(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) 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
December 31, 2021
September 30, 2021
December 31, 2020
CA
13.1
%
13.1
%
12.0
%
TX
9.9
9.8
9.7
FL
9.7
9.5
8.7
CO
4.1
4.1
4.1
WA
3.7
3.7
3.8
IL
3.3
3.4
3.4
AZ
3.3
3.4
3.6
NJ
3.1
3.1
3.3
VA
3.1
3.1
3.1
GA
3.1
3.1
3.0
All Others
43.6
43.7
45.3
Total
100.0
%
100.0
%
100.0
%
Gross RIF by State
December 31, 2021
September 30, 2021
December 31, 2020
CA
13.0
%
12.9
%
11.8
%
TX
10.2
10.1
10.0
FL
10.0
9.8
9.0
CO
4.0
4.1
4.1
WA
3.6
3.7
3.8
AZ
3.3
3.3
3.5
IL
3.2
3.3
3.3
GA
3.1
3.1
3.1
VA
3.0
3.1
3.1
NJ
3.0
3.0
3.2
All Others
43.6
43.6
45.1
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
2021
2020
December 31
September 30
June 30
March 31
December 31
Beginning default inventory
19,721
23,504
29,080
31,469
35,464
Plus: new defaults (A)
5,809
5,132
4,934
7,422
8,745
Less: cures
(8,514
)
(8,862
)
(10,453
)
(9,737
)
(12,679
)
Less: claims paid
(47
)
(41
)
(46
)
(61
)
(49
)
Less: rescissions and denials, net
(6
)
(12
)
(11
)
(13
)
(12
)
Ending default inventory
16,963
19,721
23,504
29,080
31,469
(A) New defaults remaining as of
December 31, 2021
4,316
2,162
1,523
1,686
1,516
Cure rate (1)
26
%
58
%
69
%
77
%
83
%
Total amount paid for claims (in
thousands)
$
992
$
1,069
$
1,154
$
1,989
$
1,922
Average amount paid per claim (in
thousands)
$
21
$
26
$
25
$
33
$
39
Severity
45
%
60
%
57
%
70
%
62
%
Rollforward of Reserve for
Losses and LAE
Three Months Ended
2021
2020
($ in
thousands)
December 31
September 30
June 30
March 31
December 31
Reserve for losses and LAE at beginning of
period
$
411,567
$
420,482
$
409,811
$
373,868
$
307,019
Less: Reinsurance recoverables
26,970
27,286
24,907
19,061
11,898
Net reserve for losses and LAE at
beginning of period
384,597
393,196
384,904
354,807
295,121
Add provision for losses and LAE occurring
in:
Current period
13,231
11,371
24,534
47,763
63,597
Prior years
(16,624
)
(18,853
)
(14,961
)
(15,680
)
(1,879
)
Incurred losses and LAE during the
period
(3,393
)
(7,482
)
9,573
32,083
61,718
Deduct payments for losses and LAE
occurring in:
Current period
157
103
14
114
524
Prior years
891
1,014
1,267
1,872
1,508
Loss and LAE payments during the
period
1,048
1,117
1,281
1,986
2,032
Net reserve for losses and LAE at end of
period
380,156
384,597
393,196
384,904
354,807
Plus: Reinsurance recoverables
25,940
26,970
27,286
24,907
19,061
Reserve for losses and LAE at end of
period
$
406,096
$
411,567
$
420,482
$
409,811
$
373,868
(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
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
%
December 31, 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
6,631
21
%
$
47,905
14
%
$
384,668
12
%
Four to eleven payments
23,543
75
260,593
76
1,553,593
17
Twelve or more payments
1,243
4
32,593
9
67,501
48
Pending claims
52
—
2,199
1
2,843
77
Total case reserves
31,469
100
%
343,290
100
%
$
2,008,605
17
IBNR
25,747
LAE
4,831
Total reserves for losses and LAE
$
373,868
Average reserve per default:
Case
$
10.9
Total
$
11.9
Default Rate
3.93
%
Exhibit L
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Investments Available for
Sale
Investments Available for Sale
by Asset Class
Asset Class
December 31, 2021
December 31, 2020
($ in
thousands)
Fair Value
Percent
Fair Value
Percent
U.S. Treasury securities
$
448,793
9.1
%
$
268,444
5.9
%
U.S. agency securities
5,504
0.1
18,085
0.4
U.S. agency mortgage-backed securities
1,008,863
20.3
995,905
21.8
Municipal debt securities
627,599
12.7
551,517
12.1
Non-U.S. government securities
79,743
1.6
61,607
1.3
Corporate debt securities
1,455,247
29.3
1,126,512
24.7
Residential and commercial mortgage
securities
545,423
11.0
409,282
9.0
Asset-backed securities
581,703
11.7
454,717
9.9
Money market funds
210,012
4.2
679,304
14.9
Total investments available for sale
$
4,962,887
100.0
%
$
4,565,373
100.0
%
Investments Available for Sale
by Credit Rating
Rating (1)
December 31, 2021
December 31, 2020
($ in
thousands)
Fair Value
Percent
Fair Value
Percent
Aaa
$
2,412,273
48.6
%
$
2,564,746
56.2
%
Aa1
96,331
1.9
133,100
2.9
Aa2
354,951
7.2
260,462
5.7
Aa3
221,914
4.5
204,917
4.5
A1
263,820
5.3
249,710
5.5
A2
427,282
8.6
401,175
8.8
A3
274,525
5.5
229,882
5.0
Baa1
305,204
6.1
260,602
5.7
Baa2
274,011
5.5
178,926
3.9
Baa3
240,755
4.9
48,199
1.1
Below Baa3
91,821
1.9
33,654
0.7
Total investments available for sale
$
4,962,887
100.0
%
$
4,565,373
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
December 31, 2021
December 31, 2020
($ in
thousands)
Fair Value
Percent
Fair Value
Percent
< 1 Year
$
1,104,397
22.2
%
$
1,568,505
34.4
%
1 to < 2 Years
561,297
11.3
581,003
12.7
2 to < 3 Years
539,174
10.9
616,069
13.5
3 to < 4 Years
593,663
12.0
426,333
9.3
4 to < 5 Years
663,127
13.4
367,633
8.1
5 or more Years
1,501,229
30.2
1,005,830
22.0
Total investments available for sale
$
4,962,887
100.0
%
$
4,565,373
100.0
%
Pre-tax investment income yield:
Three months ended December 31, 2021
2.06
%
Year ended December 31, 2021
1.99
%
Holding company net cash and investments
available for sale:
($ in
thousands)
As of December 31, 2021
$
618,306
As of December 31, 2020
$
574,901
Exhibit M
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Insurance Company
Capital
2021
2020
December 31
September 30
June 30
March 31
December 31
($ in
thousands)
U.S. Mortgage Insurance
Subsidiaries:
Combined statutory capital (1)
$
2,950,107
$
2,916,802
$
2,809,087
$
2,778,131
$
2,659,161
Combined net risk in force (2)
$
30,660,272
$
30,766,379
$
29,646,042
$
29,358,191
$
29,493,572
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.
10.8:1
10.9:1
10.9:1
11.0:1
11.5:1
Essent Guaranty of PA, Inc.
0.8:1
1.0:1
1.1:1
1.4:1
1.7:1
Combined (4)
10.4:1
10.5:1
10.6:1
10.6:1
11.1:1
Essent Guaranty, Inc. PMIERs Data
(5):
Available Assets
$
3,170,881
$
3,161,780
$
3,016,050
$
2,996,651
$
2,855,923
Minimum Required Assets
1,791,551
1,951,096
1,731,843
1,864,262
1,671,011
PMIERs excess Available Assets
$
1,379,330
$
1,210,684
$
1,284,207
$
1,132,389
$
1,184,912
PMIERs sufficiency ratio (6)
177
%
162
%
174
%
161
%
171
%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)
$
1,301,937
$
1,249,996
$
1,192,077
$
1,136,504
$
1,101,003
Net risk in force (2)
$
15,997,129
$
15,466,651
$
14,338,567
$
12,905,289
$
12,892,300
(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/20220211005069/en/
Media Contact 610.230.0556 media@essentgroup.com
Investor Relations Contact Philip Stefano Vice President,
Investor Relations 855-809-ESNT ir@essentgroup.com
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