Essent Group Ltd. (NYSE: ESNT) today reported net income for the
quarter ended March 31, 2023 of $170.8 million or $1.59 per diluted
share, compared to $274.2 million or $2.52 per diluted share for
the quarter ended March 31, 2022.
Essent also announced today that its Board of Directors has
declared a quarterly cash dividend of $0.25 per common share. The
dividend is payable on June 12, 2023, to shareholders of record on
June 1, 2023.
“We are pleased with our first quarter 2023 financial results,
which benefited from rising interest rates and favorable credit
performance,” said Mark A. Casale, Chairman and Chief Executive
Officer. “Our results continue to demonstrate the earnings power of
our business and provide us with attractive levels of operating
cash flows. We continue to believe deploying our capital in a
balanced manner is in the best long-term interest of our
shareholders.”
Financial Highlights:
- New insurance written for the first quarter of 2023 was $12.9
billion, compared to $13.0 billion in the fourth quarter of 2022
and $12.8 billion in the first quarter of 2022.
- Insurance in force as of March 31, 2023 was $231.5 billion,
compared to $227.1 billion as of December 31, 2022 and $206.8
billion as of March 31, 2022.
- The combined ratio for the first quarter of 2023 was 22.7%,
compared to 24.6% in the fourth quarter of 2022 and (30.7)% in the
first quarter of 2022.
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: 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); the impact of COVID-19 and related economic conditions; 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, 2022 filed with the Securities and
Exchange Commission on February 17, 2023, 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 March 31,
2023
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 March
31,
(In thousands,
except per share amounts)
2023
2022
Revenues:
Direct premiums written
$
239,491
$
220,254
Ceded premiums
(33,591
)
(20,523
)
Net premiums written
205,900
199,731
Decrease in unearned premiums
5,358
15,599
Net premiums earned
211,258
215,330
Net investment income
43,236
24,680
Realized investment losses, net
(488
)
(7,352
)
(Loss) income from other invested
assets
(2,702
)
24,705
Other income
4,942
7,248
Total revenues
256,246
264,611
Losses and expenses:
(Benefit) provision for losses and LAE
(180
)
(106,858
)
Other underwriting and operating
expenses
48,195
40,796
Interest expense
6,936
2,226
Total losses and expenses
54,951
(63,836
)
Income before income taxes
201,295
328,447
Income tax expense
30,468
54,280
Net income
$
170,827
$
274,167
Earnings per share:
Basic
$
1.60
$
2.53
Diluted
1.59
2.52
Weighted average shares
outstanding:
Basic
106,943
108,166
Diluted
107,585
108,590
Net income
$
170,827
$
274,167
Other comprehensive income
(loss):
Change in unrealized appreciation
(depreciation) of investments
58,753
(203,006
)
Total other comprehensive income
(loss)
58,753
(203,006
)
Comprehensive income
$
229,580
$
71,161
Loss ratio
(0.1
%)
(49.6
%)
Expense ratio
22.8
18.9
Combined ratio
22.7
%
(30.7
%)
Exhibit B
Essent Group Ltd. and
Subsidiaries
Condensed Consolidated Balance
Sheets (Unaudited)
March 31,
December 31,
(In thousands,
except per share amounts)
2023
2022
Assets
Investments
Fixed maturities available for sale, at
fair value
$
4,602,284
$
4,489,598
Short-term investments available for sale,
at fair value
347,752
252,027
Total investments available for sale
4,950,036
4,741,625
Other invested assets
255,288
257,941
Total investments
5,205,324
4,999,566
Cash
68,633
81,240
Accrued investment income
36,896
33,162
Accounts receivable
61,282
57,399
Deferred policy acquisition costs
9,511
9,910
Property and equipment
18,514
19,571
Prepaid federal income tax
418,460
418,460
Other assets
108,886
104,489
Total assets
$
5,927,506
$
5,723,797
Liabilities and Stockholders'
Equity
Liabilities
Reserve for losses and LAE
$
216,022
$
216,464
Unearned premium reserve
157,529
162,887
Net deferred tax liability
383,116
356,810
Credit facility borrowings, net of
deferred costs
421,128
420,864
Other accrued liabilities
100,770
104,463
Total liabilities
1,278,565
1,261,488
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and
outstanding - 107,659 shares in 2023 and 107,683 shares in 2022
1,615
1,615
Additional paid-in capital
1,334,607
1,350,377
Accumulated other comprehensive loss
(324,037
)
(382,790
)
Retained earnings
3,636,756
3,493,107
Total stockholders' equity
4,648,941
4,462,309
Total liabilities and stockholders'
equity
$
5,927,506
$
5,723,797
Return on average equity (1)
15.0
%
19.1
%
(1) The 2023 return on average
equity is calculated by dividing annualized year-to-date 2023 net
income by average equity. The 2022 return on average equity is
calculated by dividing full year 2022 net income by average
equity.
Exhibit C
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Historical Quarterly
Data
2023
2022
Selected Income Statement Data
March 31
December 31
September 30
June 30
March 31
(In thousands,
except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio
$
196,565
$
192,670
$
194,272
$
198,891
$
203,312
GSE and other risk share
14,693
14,582
13,662
13,120
12,018
Net premiums earned
211,258
207,252
207,934
212,011
215,330
Net investment income
43,236
37,796
32,594
29,339
24,680
Realized investment (losses) gains,
net
(488
)
(5,524
)
175
(471
)
(7,352
)
(Loss) income from other invested
assets
(2,702
)
(7,599
)
9,617
1,953
24,705
Other income (loss) (1)
4,942
(1,888
)
11,447
1,577
7,248
Total revenues
256,246
230,037
261,767
244,409
264,611
Losses and expenses:
(Benefit) provision for losses and LAE
(180
)
4,101
4,252
(76,199
)
(106,858
)
Other underwriting and operating
expenses
48,195
46,895
42,144
41,898
40,796
Interest expense
6,936
6,045
4,450
2,887
2,226
Total losses and expenses
54,951
57,041
50,846
(31,414
)
(63,836
)
Income before income taxes
201,295
172,996
210,921
275,823
328,447
Income tax expense (2)
30,468
25,630
32,870
44,054
54,280
Net income
$
170,827
$
147,366
$
178,051
$
231,769
$
274,167
Earnings per share:
Basic
$
1.60
$
1.38
$
1.67
$
2.17
$
2.53
Diluted
1.59
1.37
1.66
2.16
2.52
Weighted average shares
outstanding:
Basic
106,943
106,881
106,870
106,921
108,166
Diluted
107,585
107,419
107,337
107,283
108,590
Book value per share
$
43.18
$
41.44
$
39.87
$
39.67
$
38.98
Return on average equity
(annualized)
15.0
%
13.5
%
16.6
%
21.8
%
26.0
%
Other Data:
Loss ratio (3)
(0.1
%)
2.0
%
2.0
%
(35.9
)%
(49.6
)%
Expense ratio (4)
22.8
22.6
20.3
19.8
18.9
Combined ratio
22.7
%
24.6
%
22.3
%
(16.2
)%
(30.7
)%
Credit Facility
Borrowings outstanding
$
425,000
$
425,000
$
425,000
$
425,000
$
425,000
Undrawn committed capacity
$
400,000
$
400,000
$
400,000
$
400,000
$
400,000
Weighted average interest rate (end of
period)
6.52
%
6.02
%
4.39
%
2.92
%
1.99
%
Debt-to-capital
8.38
%
8.70
%
9.01
%
9.05
%
9.16
%
(1) Other income includes net
favorable (unfavorable) changes in the fair value of embedded
derivatives associated with certain of our third-party reinsurance
agreements, which for the quarters ended March 31, 2023, December
31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022 was
($368), ($6,515),$5,177, ($5,549), and $4,365, respectively.
(2) Income tax expense for the
quarters ended March 31, 2023, December 31, 2022, September 30,
2022, June 30, 2022 and March 31, 2022 includes ($368), ($4,122),
$2,925, ($299), and $7,002, respectively, of discrete tax (benefit)
expense associated with realized and unrealized gains and
losses.
(3) Loss ratio is calculated by
dividing the provision for losses and LAE by net premiums
earned.
(4) Expense ratio is calculated by
dividing other underwriting and operating expenses by net premiums
earned.
Exhibit C, continued
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Historical Quarterly
Data
2023
2022
Other Data, continued:
March 31
December 31
September 30
June 30
March 31
($ in
thousands)
U.S. Mortgage Insurance
Portfolio
Flow:
New insurance written
$
12,893,789
$
13,011,432
$
17,112,017
$
20,096,135
$
12,841,482
New risk written
3,548,015
3,522,726
4,570,699
5,442,115
3,438,016
Bulk:
New insurance written
$
—
$
—
$
—
$
196
$
—
New risk written
—
—
—
29
—
Total:
New insurance written
$
12,893,789
$
13,011,432
$
17,112,017
$
20,096,331
$
12,841,482
New risk written
$
3,548,015
$
3,522,726
$
4,570,669
$
5,442,144
$
3,438,016
Average insurance in force
$
228,885,174
$
224,840,675
$
219,280,350
$
210,896,297
$
206,631,135
Insurance in force (end of period)
$
231,537,417
$
227,062,055
$
222,542,569
$
215,896,531
$
206,842,996
Gross risk in force (end of period)
(5)
$
60,879,979
$
59,276,489
$
57,743,091
$
55,678,063
$
52,847,985
Risk in force (end of period)
$
51,469,312
$
49,903,626
$
48,690,571
$
47,289,910
$
45,261,164
Policies in force
815,751
808,596
800,745
789,652
774,002
Weighted average coverage (6)
26.3
%
26.1
%
25.9
%
25.8
%
25.5
%
Annual persistency
84.4
%
82.1
%
77.9
%
73.4
%
69.1
%
Loans in default (count)
12,773
13,433
12,435
12,707
14,923
Percentage of loans in default
1.57
%
1.66
%
1.55
%
1.61
%
1.93
%
U.S. Mortgage Insurance Portfolio
premium rate:
Base average premium rate (7)
0.40
%
0.40
%
0.40
%
0.41
%
0.41
%
Single premium cancellations
(8)
—
%
—
%
0.01
%
0.01
%
0.02
%
Gross average premium rate
0.40
%
0.40
%
0.41
%
0.42
%
0.43
%
Ceded premiums
(0.06
%)
(0.06
%)
(0.06
%)
(0.04
%)
(0.04
%)
Net average premium rate
0.34
%
0.34
%
0.35
%
0.38
%
0.39
%
(5) Gross risk in force includes
risk ceded under third-party reinsurance.
(6) Weighted average coverage is
calculated by dividing end of period gross risk in force by end of
period insurance in force.
(7) Base average premium rate is
calculated by dividing annualized base premiums earned by average
insurance in force for the period.
(8) 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
March 31, 2023
December 31, 2022
March 31, 2022
($ in
thousands)
>=760
$
4,847,058
37.7
%
$
4,761,917
36.6
%
$
5,410,654
42.1
%
740-759
2,397,982
18.6
2,428,164
18.7
2,113,232
16.5
720-739
2,204,844
17.1
2,301,392
17.7
1,991,318
15.5
700-719
2,002,892
15.5
1,919,146
14.6
1,620,473
12.6
680-699
1,100,815
8.5
1,138,743
8.8
1,147,766
8.9
<=679
340,198
2.6
462,070
3.6
558,039
4.4
Total
$
12,893,789
100.0
%
$
13,011,432
100.0
%
$
12,841,482
100.0
%
Weighted average credit score
745
744
747
NIW by LTV
Three Months Ended
March 31, 2023
December 31, 2022
March 31, 2022
($ in
thousands)
85.00% and below
$
963,009
7.5
%
$
1,121,853
8.6
%
$
1,262,038
9.8
%
85.01% to 90.00%
2,685,828
20.8
3,075,304
23.6
3,415,938
26.6
90.01% to 95.00%
7,430,113
57.6
7,464,333
57.4
6,416,255
50.0
95.01% and above
1,814,839
14.1
1,349,942
10.4
1,747,251
13.6
Total
$
12,893,789
100.0
%
$
13,011,432
100.0
%
$
12,841,482
100.0
%
Weighted average LTV
93
%
93
%
93
%
NIW by Product
Three Months Ended
March 31, 2023
December 31, 2022
March 31, 2022
Single Premium policies
4.1
%
4.3
%
1.9
%
Monthly Premium policies
95.9
95.7
98.1
100.0
%
100.0
%
100.0
%
NIW by Purchase vs.
Refinance
Three Months Ended
March 31, 2023
December 31, 2022
March 31, 2022
Purchase
98.6
%
98.9
%
94.1
%
Refinance
1.4
1.1
5.9
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
March 31, 2023
December 31, 2022
March 31, 2022
($ in
thousands)
>=760
$
94,560,292
40.8
%
$
93,389,066
41.1
%
$
85,707,070
41.4
%
740-759
39,870,193
17.2
38,842,311
17.2
35,048,891
17.0
720-739
35,950,319
15.5
34,981,632
15.4
31,180,765
15.1
700-719
30,103,007
13.0
29,146,543
12.8
26,040,114
12.6
680-699
19,338,187
8.4
18,859,824
8.3
16,847,202
8.1
<=679
11,715,419
5.1
11,842,679
5.2
12,018,954
5.8
Total
$
231,537,417
100.0
%
$
227,062,055
100.0
%
$
206,842,996
100.0
%
Weighted average credit score
746
746
746
Gross RIF by FICO score
March 31, 2023
December 31, 2022
March 31, 2022
($ in
thousands)
>=760
$
24,613,214
40.4
%
$
24,152,726
40.8
%
$
21,707,751
41.1
%
740-759
10,612,582
17.4
10,255,195
17.3
9,041,350
17.1
720-739
9,602,368
15.8
9,276,750
15.6
8,091,445
15.3
700-719
8,017,430
13.2
7,696,965
13.0
6,724,288
12.7
680-699
5,126,581
8.4
4,963,470
8.4
4,338,206
8.2
<=679
2,907,804
4.8
2,931,383
4.9
2,944,945
5.6
Total
$
60,879,979
100.0
%
$
59,276,489
100.0
%
$
52,847,985
100.0
%
Portfolio by LTV
IIF by LTV
March 31, 2023
December 31, 2022
March 31, 2022
($ in
thousands)
85.00% and below
$
23,502,232
10.2
%
$
24,454,468
10.8
%
$
26,057,055
12.6
%
85.01% to 90.00%
63,478,244
27.3
63,436,445
27.8
59,113,908
28.6
90.01% to 95.00%
112,184,833
48.5
107,932,064
47.6
92,460,810
44.7
95.01% and above
32,372,108
14.0
31,239,078
13.8
29,211,223
14.1
Total
$
231,537,417
100.0
%
$
227,062,055
100.0
%
$
206,842,996
100.0
%
Weighted average LTV
92
%
92
%
92
%
Gross RIF by LTV
March 31, 2023
December 31, 2022
March 31, 2022
($ in
thousands)
85.00% and below
$
2,793,895
4.6
%
$
2,903,877
4.9
%
$
3,062,878
5.8
%
85.01% to 90.00%
15,529,427
25.5
15,477,031
26.1
14,288,854
27.0
90.01% to 95.00%
32,929,489
54.1
31,642,669
53.4
26,960,457
51.0
95.01% and above
9,627,168
15.8
9,252,912
15.6
8,535,796
16.2
Total
$
60,879,979
100.0
%
$
59,276,489
100.0
%
$
52,847,985
100.0
%
Portfolio by Loan Amortization
Period
IIF by Loan Amortization Period
March 31, 2023
December 31, 2022
March 31, 2022
($ in
thousands)
FRM 30 years and higher
$
224,230,607
96.8
%
$
219,416,408
96.7
%
$
198,658,948
96.1
%
FRM 20-25 years
2,364,623
1.0
2,601,108
1.1
3,365,533
1.6
FRM 15 years
2,214,448
1.0
2,552,931
1.1
3,580,416
1.7
ARM 5 years and higher
2,727,739
1.2
2,491,608
1.1
1,238,099
0.6
Total
$
231,537,417
100.0
%
$
227,062,055
100.0
%
$
206,842,996
100.0
%
Exhibit F
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Other Risk in Force
2023
2022
($ in
thousands)
March 31
December 31
September 30
June 30
March 31
GSE and other risk share (1):
Risk in Force
$
2,098,033
$
2,030,571
$
2,026,895
$
1,898,364
$
1,888,437
Reserve for losses and LAE
$
65
$
74
$
102
$
144
$
254
Weighted average credit score
749
749
748
748
748
Weighted average LTV
83
%
83
%
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
March 31, 2023
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
$
1,970,588
3.2
%
12,429
4.32
%
76.7
%
67.7
%
6.1
%
15.0
%
43.0
%
2.6
%
469
3.77
%
2015
26,193,656
1,774,450
6.8
10,695
4.19
85.1
76.3
4.4
17.4
39.6
2.7
384
3.59
2016
34,949,319
3,808,006
10.9
21,772
3.88
88.3
76.6
11.0
16.2
42.4
2.6
642
2.95
2017
43,858,322
5,637,892
12.9
33,053
4.27
91.2
69.7
20.0
20.2
38.0
3.8
1,251
3.78
2018
47,508,525
6,439,876
13.6
35,612
4.79
94.4
69.7
25.3
21.6
32.8
5.3
1,593
4.47
2019
63,569,183
14,135,010
22.2
66,304
4.22
87.7
67.2
24.1
18.7
35.6
5.5
1,957
2.95
2020
107,944,065
55,661,138
51.6
209,325
3.18
66.6
54.8
12.4
10.7
45.6
4.2
2,594
1.24
2021
84,218,250
69,593,624
82.6
223,703
3.08
85.0
61.2
14.8
13.9
40.4
7.8
2,743
1.23
2022
63,061,262
59,703,096
94.7
168,003
5.07
97.7
64.9
11.0
12.7
39.9
17.4
1,131
0.67
2023 (through March 31)
12,893,789
12,813,737
99.4
34,855
6.24
98.6
71.8
14.1
11.2
37.4
3.1
9
0.03
Total
$
544,865,222
$
231,537,417
42.5
815,751
3.97
85.2
62.4
14.0
13.4
40.8
4.4
12,773
1.57
(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
March 31, 2023
($ 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
Year-to-Date
Reduction in PMIERs Minimum
Required
Assets (3)
2017
$
5,511,131
$
1,450,432
$
424,412
$
165,167
$
589,579
$
—
$
70,895
$
70,895
$
—
$
678,283
$
421,003
(9)
$
2,136
$
—
2018
6,349,474
1,644,287
473,184
118,650
591,834
325,537
76,144
401,681
—
253,643
248,221
4,113
—
2019 (4)
7,859,217
2,029,598
495,889
55,102
550,991
395,889
43,991
439,880
—
215,605
214,485
2,691
—
2020 & 2021 (5)
38,168,321
9,652,777
557,911
—
557,911
414,005
—
414,005
—
278,956
278,909
3,195
326,919
2021 (6)
40,543,749
10,825,130
439,407
—
439,407
399,786
—
399,786
—
279,415
279,400
4,153
363,292
2021 & 2022 (7)
74,276,338
19,998,840
—
141,992
141,992
—
141,992
141,992
—
507,114
507,114
1,553
138,375
2021 & 2022 (8)
33,357,208
8,966,697
237,868
—
237,868
237,868
—
237,868
—
303,761
303,761
4,215
218,839
Total
$
206,065,438
$
54,567,761
$
2,628,671
$
480,911
$
3,109,582
$
1,773,085
$
333,022
$
2,106,107
$
—
$
2,289,964
$
2,025,706
(10)
$
22,276
(11)
$
1,047,425
Quota Share Reinsurance
Losses Ceded
Ceding Commission
Earned Premiums Ceded
Year
Ceding Percentage
Remaining
Insurance
in Force
Remaining
Risk
in Force
Remaining Ceded Insurance in
Force
Remaining Ceded Risk in
Force
Year-to-Date
Year-to-Date
Year-to-Date
Reduction in PMIERs Minimum
Required
Assets (3)
2019 & 2020
(12)
$
61,601,698
$
15,757,097
$
13,706,657
$
3,467,883
$
(729
)
$
2,927
$
4,686
$
210,467
2022
20%
59,645,799
16,099,874
11,929,160
3,219,975
2,493
1,979
6,253
228,069
2023
17.5%
12,796,821
3,524,010
2,559,364
616,702
29
166
376
43,519
Total
$
134,044,318
$
35,380,981
$
28,195,181
$
7,304,560
$
1,793
$
5,072
$
11,315
$
482,055
(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) Represents the reduction in
Essent Guaranty, Inc.'s Minimum Required Assets based on our
interpretation of the PMIERs.
(4) Reinsurance coverage on new
insurance written from January 1, 2019 through August 31, 2019.
(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 20% of
all eligible policies written from October 1, 2021 through December
31, 2022.
(8) Reinsurance coverage on new
insurance written from October 1, 2021 through July 31, 2022.
(9) The original and remaining
first layer retention is associated with reinsurance provided by a
panel of reinsurers. Amounts reported in prior periods reflected
the retention associated with an ILN that is no longer outstanding
as of March 31, 2023.
(10) The total remaining first
layer retention differs from the sum of the individual reinsurance
transactions as a result of overlapping coverage between certain
transactions.
(11) The total ceded premium
differs from the sum of the individual reinsurance transactions as
a result of ILN's that ceded premiums during 2023 but are no longer
outstanding as of March 31, 2023.
(12) 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.
Exhibit I
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Portfolio Geographic
Data
IIF by State
March 31, 2023
December 31, 2022
March 31, 2022
CA
13.2
%
13.2
%
13.2
%
TX
10.5
10.4
10.0
FL
10.4
10.2
9.9
CO
4.2
4.2
4.1
AZ
3.6
3.5
3.3
WA
3.4
3.4
3.6
GA
3.2
3.2
3.1
IL
3.0
3.1
3.3
VA
3.0
3.0
3.1
NJ
2.9
3.0
3.1
All Others
42.6
42.8
43.3
Total
100.0
%
100.0
%
100.0
%
Gross RIF by State
March 31, 2023
December 31, 2022
March 31, 2022
CA
13.0
%
13.0
%
13.1
%
TX
10.8
10.7
10.4
FL
10.7
10.5
10.2
CO
4.1
4.1
4.0
AZ
3.7
3.6
3.4
WA
3.4
3.3
3.6
GA
3.3
3.2
3.2
IL
2.9
3.0
3.2
VA
2.9
3.0
3.0
NJ
2.8
2.9
3.0
All Others
42.4
42.7
42.9
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
2023
2022
March 31
December 31
September 30
June 30
March 31
Beginning default inventory
13,433
12,435
12,707
14,923
16,963
Plus: new defaults (A)
7,015
7,505
6,448
5,495
6,188
Less: cures
(7,574
)
(6,425
)
(6,642
)
(7,639
)
(8,167
)
Less: claims paid
(94
)
(73
)
(68
)
(65
)
(55
)
Less: rescissions and denials, net
(7
)
(9
)
(10
)
(7
)
(6
)
Ending default inventory
12,773
13,433
12,435
12,707
14,923
(A) New defaults remaining as of
March 31, 2023
4,755
2,897
1,658
990
540
Cure rate (1)
32
%
61
%
74
%
82
%
91
%
Total amount paid for claims (in
thousands)
$
1,959
$
1,441
$
1,261
$
1,137
$
826
Average amount paid per claim (in
thousands)
$
21
$
20
$
19
$
17
$
15
Severity
59
%
46
%
47
%
50
%
35
%
Rollforward of Reserve for
Losses and LAE
Three Months Ended
2023
2022
($ in
thousands)
March 31
December 31
September 30
June 30
March 31
Reserve for losses and LAE at beginning of
period
$
216,390
$
212,392
$
209,829
$
292,818
$
406,096
Less: Reinsurance recoverables
14,618
13,244
13,657
19,335
25,940
Net reserve for losses and LAE at
beginning of period
201,772
199,148
196,172
273,483
380,156
Add provision for losses and LAE occurring
in:
Current period
32,693
36,141
20,144
18,720
24,346
Prior years
(32,864
)
(32,012
)
(15,850
)
(94,809
)
(130,114
)
Incurred losses and LAE during the
period
(171
)
4,129
4,294
(76,089
)
(105,768
)
Deduct payments for losses and LAE
occurring in:
Current period
—
113
30
80
1
Prior years
2,001
1,392
1,288
1,142
904
Loss and LAE payments during the
period
2,001
1,505
1,318
1,222
905
Net reserve for losses and LAE at end of
period
199,600
201,772
199,148
196,172
273,483
Plus: Reinsurance recoverables
16,357
14,618
13,244
13,657
19,335
Reserve for losses and LAE at end of
period
$
215,957
$
216,390
$
212,392
$
209,829
$
292,818
(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
March 31, 2023
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
5,366
42
%
$
31,080
16
%
$
366,993
8
%
Four to eleven payments
5,106
40
78,125
39
363,299
22
Twelve or more payments
2,188
17
85,517
43
130,520
66
Pending claims
113
1
4,386
2
5,004
88
Total case reserves
12,773
100
%
199,108
100
%
$
865,816
23
IBNR
14,933
LAE
1,916
Total reserves for losses and LAE
$
215,957
Average reserve per default:
Case
$
15.6
Total
$
16.9
Default Rate
1.57
%
December 31, 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
6,154
46
%
$
32,242
16
%
$
411,624
8
%
Four to eleven payments
4,684
35
65,071
33
317,417
21
Twelve or more payments
2,474
18
98,291
49
147,247
67
Pending claims
121
1
3,815
2
4,860
78
Total case reserves
13,433
100
%
199,419
100
%
$
881,148
23
IBNR
14,956
LAE
2,015
Total reserves for losses and LAE
$
216,390
Average reserve per default:
Case
$
14.8
Total
$
16.1
Default Rate
1.66
%
March 31, 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
4,338
29
%
$
21,348
8
%
$
269,069
8
%
Four to eleven payments
4,971
33
64,332
24
312,976
21
Twelve or more payments
5,540
37
181,859
67
347,926
52
Pending claims
74
1
2,753
1
3,341
82
Total case reserves
14,923
100
%
270,292
100
%
$
933,312
29
IBNR
20,272
LAE
2,254
Total reserves for losses and LAE
$
292,818
Average reserve per default:
Case
$
18.1
Total
$
19.6
Default Rate
1.93
%
Exhibit L
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Investments Available for
Sale
Investments Available for Sale
by Asset Class
Asset Class
March 31, 2023
December 31, 2022
($ in
thousands)
Fair Value
Percent
Fair Value
Percent
U.S. Treasury securities
$
475,784
9.6
%
$
556,438
11.7
%
U.S. agency securities
12,690
0.3
49,058
1.0
U.S. agency mortgage-backed securities
850,124
17.2
783,743
16.5
Municipal debt securities
609,010
12.3
602,690
12.8
Non-U.S. government securities
63,018
1.3
62,399
1.3
Corporate debt securities
1,462,596
29.5
1,414,321
29.8
Residential and commercial mortgage
securities
542,013
10.9
511,824
10.8
Asset-backed securities
648,109
13.1
624,561
13.2
Money market funds
286,692
5.8
136,591
2.9
Total investments available for sale
$
4,950,036
100.0
%
$
4,741,625
100.0
%
Investments Available for Sale
by Credit Rating
Rating (1)
March 31, 2023
December 31, 2022
($ in
thousands)
Fair Value
Percent
Fair Value
Percent
Aaa
$
2,152,791
46.1
%
$
2,122,599
46.2
%
Aa1
106,131
2.3
111,262
2.4
Aa2
329,046
7.1
325,241
7.1
Aa3
233,021
5.0
232,500
5.0
A1
407,348
8.7
396,095
8.6
A2
388,296
8.3
410,163
8.9
A3
281,073
6.0
268,928
5.8
Baa1
246,921
5.3
236,793
5.1
Baa2
245,523
5.3
221,308
4.8
Baa3
175,828
3.8
187,117
4.1
Below Baa3
97,366
2.1
93,028
2.0
Total (2)
$
4,663,344
100.0
%
$
4,605,034
100.0
%
(1) Based on ratings issued by
Moody's, if available. S&P or Fitch rating utilized if Moody's
not available.
(2) Excludes $286,692 and $136,591
of money market funds at March 31, 2023 and December 31, 2022,
respectively.
Investments Available for Sale
by Duration and Book Yield
Effective Duration
March 31, 2023
December 31, 2022
($ in
thousands)
Fair Value
Percent
Fair Value
Percent
< 1 Year
$
1,297,860
26.2
%
$
1,245,839
26.3
%
1 to < 2 Years
517,407
10.5
534,038
11.3
2 to < 3 Years
416,003
8.4
511,701
10.8
3 to < 4 Years
586,055
11.8
525,683
11.1
4 to < 5 Years
438,784
8.9
400,540
8.4
5 or more Years
1,693,927
34.2
1,523,824
32.1
Total investments available for sale
$
4,950,036
100.0
%
$
4,741,625
100.0
%
Pre-tax investment income yield:
Three months ended
3.40
%
3.03
%
Holding company net cash and investments
available for sale:
($ in
thousands)
As of March 31, 2023
$
723,050
As of December 31, 2022
$
685,178
Exhibit M
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Insurance Company
Capital
2023
2022
March 31
December 31
September 30
June 30
March 31
($ in
thousands)
U.S. Mortgage Insurance
Subsidiaries:
Combined statutory capital (1)
$
3,207,102
$
3,178,151
$
3,128,681
$
3,062,438
$
3,058,880
Combined net risk in force (2)
$
33,038,825
$
32,265,701
$
31,736,095
$
31,221,406
$
30,331,197
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.
10.6:1
10.5:1
10.5:1
10.6:1
10.3:1
Essent Guaranty of PA, Inc.
0.5:1
0.6:1
0.6:1
0.6:1
0.7:1
Combined (4)
10.3:1
10.2:1
10.1:1
10.2:1
9.9:1
Essent Guaranty, Inc. PMIERs Data
(5):
Available Assets
$
3,226,436
$
3,191,047
$
3,147,545
$
3,120,098
$
3,194,939
Minimum Required Assets
1,917,769
1,832,363
1,759,182
1,869,524
1,840,069
PMIERs excess Available Assets
$
1,308,667
$
1,358,684
$
1,388,363
$
1,250,574
$
1,354,870
PMIERs sufficiency ratio (6)
168
%
174
%
179
%
167
%
174
%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)
$
1,573,013
$
1,478,772
$
1,397,287
$
1,380,067
$
1,330,840
Net risk in force (2)
$
20,305,111
$
19,454,046
$
18,694,500
$
17,758,801
$
16,527,587
(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/20230505005064/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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