Essent Group Ltd. (NYSE: ESNT) today reported net income for the
quarter ended June 30, 2023 of $172.2 million or $1.61 per diluted
share, compared to $231.8 million or $2.16 per diluted share for
the quarter ended June 30, 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 September 11, 2023, to shareholders of
record on September 1, 2023.
“We are pleased with our second quarter 2023 financial results,
which reflect the high quality of our portfolio and the resilience
in housing and employment,” said Mark A. Casale, Chairman and Chief
Executive Officer. “Our strong operational performance continues to
demonstrate the earnings power of our business and provide us with
attractive levels of excess capital, which we can then deploy in
the best long-term interest of our shareholders.”
Financial Highlights:
- New insurance written for the second quarter of 2023 was $13.5
billion, compared to $12.9 billion in the first quarter of 2023 and
$20.1 billion in the second quarter of 2022.
- Insurance in force as of June 30, 2023 was $235.6 billion,
compared to $231.5 billion as of March 31, 2023 and $215.9 billion
as of June 30, 2022.
- The combined ratio for the second quarter of 2023 was 20.4%,
compared to 22.7% in the first quarter of 2023 and (16.2)% in the
second quarter of 2022.
- During the quarter, Essent successfully executed a consent and
tender process on $637 million of outstanding notes from two
seasoned ILN deals that provided no regulatory or economic capital
credit.
- On July 1, 2023, Essent Group Ltd. completed its previously
announced acquisition of Agents National Title Holding Company and
Boston National Holdings LLC for $92.6 million.
- On July 27, 2023, Essent priced its 9th insurance-link note
transaction, Radnor Re 2023-1, which provides $281.5 million of
collateralized reinsurance coverage for NIW from August 2022
through June 2023.
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 serves
the housing finance industry by offering private mortgage
insurance, reinsurance, risk management products and title
insurance and settlement services to mortgage lenders, borrowers,
and investors to support homeownership. Additional information
regarding Essent may be found at www.essentgroup.com and
www.essent.us.
Source: Essent Group Ltd.
Essent Group Ltd. and
Subsidiaries
Financial Results and
Supplemental Information (Unaudited)
Quarter Ended June 30,
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 June
30,
Six Months Ended June
30,
(In thousands,
except per share amounts)
2023
2022
2023
2022
Revenues:
Direct premiums written
$
249,167
$
232,660
$
488,658
$
452,914
Ceded premiums
(39,546
)
(22,318
)
(73,137
)
(42,841
)
Net premiums written
209,621
210,342
415,521
410,073
Decrease in unearned premiums
3,608
1,669
8,966
17,268
Net premiums earned
213,229
212,011
424,487
427,341
Net investment income
45,250
29,339
88,486
54,019
Realized investment losses, net
(1,589
)
(471
)
(2,077
)
(7,823
)
(Loss) income from other invested
assets
(4,852
)
1,953
(7,554
)
26,658
Other income
8,090
1,577
13,032
8,825
Total revenues
260,128
244,409
516,374
509,020
Losses and expenses:
Provision (benefit) for losses and LAE
1,260
(76,199
)
1,080
(183,057
)
Other underwriting and operating
expenses
42,174
41,898
90,369
82,694
Interest expense
7,394
2,887
14,330
5,113
Total losses and expenses
50,828
(31,414
)
105,779
(95,250
)
Income before income taxes
209,300
275,823
410,595
604,270
Income tax expense
37,067
44,054
67,535
98,334
Net income
$
172,233
$
231,769
$
343,060
$
505,936
Earnings per share:
Basic
$
1.62
$
2.17
$
3.22
$
4.70
Diluted
1.61
2.16
3.20
4.69
Weighted average shares
outstanding:
Basic
106,249
106,921
106,594
107,540
Diluted
107,093
107,283
107,338
107,933
Net income
$
172,233
$
231,769
$
343,060
$
505,936
Other comprehensive income
(loss):
Change in unrealized appreciation
(depreciation) of investments
(36,098
)
(134,268
)
22,655
(337,274
)
Total other comprehensive income
(loss)
(36,098
)
(134,268
)
22,655
(337,274
)
Comprehensive income
$
136,135
$
97,501
$
365,715
$
168,662
Loss ratio
0.6
%
(35.9
%)
0.3
%
(42.8
%)
Expense ratio
19.8
19.8
21.3
19.4
Combined ratio
20.4
%
(16.2
%)
21.5
%
(23.5
%)
Exhibit B
Essent Group Ltd. and
Subsidiaries
Condensed Consolidated Balance
Sheets (Unaudited)
June 30,
December 31,
(In thousands,
except per share amounts)
2023
2022
Assets
Investments
Fixed maturities available for sale, at
fair value
$
4,438,554
$
4,489,598
Short-term investments available for sale,
at fair value
583,540
252,027
Total investments available for sale
5,022,094
4,741,625
Other invested assets
266,559
257,941
Total investments
5,288,653
4,999,566
Cash
68,101
81,240
Accrued investment income
36,099
33,162
Accounts receivable
62,692
57,399
Deferred policy acquisition costs
9,460
9,910
Property and equipment
31,324
19,571
Prepaid federal income tax
446,460
418,460
Other assets
40,526
104,489
Total assets
$
5,983,315
$
5,723,797
Liabilities and Stockholders'
Equity
Liabilities
Reserve for losses and LAE
$
216,943
$
216,464
Unearned premium reserve
153,921
162,887
Net deferred tax liability
328,340
356,810
Credit facility borrowings, net of
deferred costs
421,392
420,864
Other accrued liabilities
129,367
104,463
Total liabilities
1,249,963
1,261,488
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and
outstanding - 106,988 shares in 2023 and 107,683 shares in 2022
1,605
1,615
Additional paid-in capital
1,309,834
1,350,377
Accumulated other comprehensive loss
(360,135
)
(382,790
)
Retained earnings
3,782,048
3,493,107
Total stockholders' equity
4,733,352
4,462,309
Total liabilities and stockholders'
equity
$
5,983,315
$
5,723,797
Return on average equity (1)
14.9
%
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
June 30
March 31
December 31
September 30
June 30
(In thousands,
except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio
$
195,502
$
196,565
$
192,670
$
194,272
$
198,891
GSE and other risk share
17,727
14,693
14,582
13,662
13,120
Net premiums earned
213,229
211,258
207,252
207,934
212,011
Net investment income
45,250
43,236
37,796
32,594
29,339
Realized investment (losses) gains,
net
(1,589
)
(488
)
(5,524
)
175
(471
)
(Loss) income from other invested
assets
(4,852
)
(2,702
)
(7,599
)
9,617
1,953
Other income (loss) (1)
8,090
4,942
(1,888
)
11,447
1,577
Total revenues
260,128
256,246
230,037
261,767
244,409
Losses and expenses:
Provision (benefit) for losses and LAE
1,260
(180
)
4,101
4,252
(76,199
)
Other underwriting and operating
expenses
42,174
48,195
46,895
42,144
41,898
Interest expense
7,394
6,936
6,045
4,450
2,887
Total losses and expenses
50,828
54,951
57,041
50,846
(31,414
)
Income before income taxes
209,300
201,295
172,996
210,921
275,823
Income tax expense (2)
37,067
30,468
25,630
32,870
44,054
Net income
$
172,233
$
170,827
$
147,366
$
178,051
$
231,769
Earnings per share:
Basic
$
1.62
$
1.60
$
1.38
$
1.67
$
2.17
Diluted
1.61
1.59
1.37
1.66
2.16
Weighted average shares
outstanding:
Basic
106,249
106,943
106,881
106,870
106,921
Diluted
107,093
107,585
107,419
107,337
107,283
Book value per share
$
44.24
$
43.18
$
41.44
$
39.87
$
39.67
Return on average equity
(annualized)
14.7
%
15.0
%
13.5
%
16.6
%
21.8
%
Other Data:
Loss ratio (3)
0.6
%
(0.1
)%
2.0
%
2.0
%
(35.9
)%
Expense ratio (4)
19.8
22.8
22.6
20.3
19.8
Combined ratio
20.4
%
22.7
%
24.6
%
22.3
%
(16.2
)%
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)
6.87
%
6.52
%
6.02
%
4.39
%
2.92
%
Debt-to-capital
8.24
%
8.38
%
8.70
%
9.01
%
9.05
%
(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 June 30, 2023, March 31,
2023, December 31, 2022, September 30, 2022, and June 30, 2022 was
$2,726, ($368), ($6,515), $5,177, and ($5,549), respectively.
(2) Income tax expense for the
quarters ended June 30, 2023, March 31, 2023, December 31, 2022,
September 30, 2022, and June 30, 2022 includes $(888), ($368),
($4,122), $2,925, and ($299) respectively, of discrete tax
(benefit) expense associated with realized and unrealized gains and
losses. Income tax expense for the quarter ended June 30, 2023 also
includes $5,295 of net discrete tax expense associated with prior
year tax returns.
(3) Loss ratio is calculated by
dividing the provision for losses and LAE by net premiums
earned.
(4) Expense ratio is calculated by
dividing other underwriting and operating expenses by net premiums
earned.
Exhibit C, continued
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Historical Quarterly
Data
2023
2022
Other Data, continued:
June 30
March 31
December 31
September 30
June 30
($ in
thousands)
U.S. Mortgage Insurance
Portfolio
Flow:
New insurance written
$
13,498,080
$
12,893,789
$
13,011,432
$
17,112,017
$
20,096,135
New risk written
3,726,513
3,548,015
3,522,726
4,570,699
5,442,115
Bulk:
New insurance written
$
—
$
—
$
—
$
—
$
196
New risk written
—
—
—
—
29
Total:
New insurance written
$
13,498,080
$
12,893,789
$
13,011,432
$
17,112,017
$
20,096,331
New risk written
$
3,726,513
$
3,548,015
$
3,522,726
$
4,570,669
$
5,442,144
Average insurance in force
$
233,484,941
$
228,885,174
$
224,840,675
$
219,280,350
$
210,896,297
Insurance in force (end of period)
$
235,649,884
$
231,537,417
$
227,062,055
$
222,542,569
$
215,896,531
Gross risk in force (end of period)
(5)
$
62,403,400
$
60,879,979
$
59,276,489
$
57,743,091
$
55,678,063
Risk in force (end of period)
$
53,290,643
$
51,469,312
$
49,903,626
$
48,690,571
$
47,289,910
Policies in force
821,690
815,751
808,596
800,745
789,652
Weighted average coverage (6)
26.5
%
26.3
%
26.1
%
25.9
%
25.8
%
Annual persistency
85.8
%
84.4
%
82.1
%
77.9
%
73.4
%
Loans in default (count)
12,480
12,773
13,433
12,435
12,707
Percentage of loans in default
1.52
%
1.57
%
1.66
%
1.55
%
1.61
%
U.S. Mortgage Insurance Portfolio
premium rate:
Base average premium rate (7)
0.40
%
0.40
%
0.40
%
0.40
%
0.41
%
Single premium cancellations
(8)
—
%
—
%
—
%
0.01
%
0.01
%
Gross average premium rate
0.40
%
0.40
%
0.40
%
0.41
%
0.42
%
Ceded premiums
(0.07
%)
(0.06
%)
(0.06
%)
(0.06
%)
(0.04
%)
Net average premium rate
0.33
%
0.34
%
0.34
%
0.35
%
0.38
%
(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
Six Months Ended
June 30, 2023
June 30, 2022
June 30, 2023
June 30, 2022
($ in
thousands)
>=760
$
5,413,790
40.1
%
$
8,555,331
42.6
%
$
10,260,848
38.9
%
$
13,965,985
42.4
%
740-759
2,428,773
18.0
3,421,392
17.0
4,826,755
18.3
5,534,624
16.8
720-739
2,194,400
16.3
3,105,275
15.4
4,399,244
16.7
5,096,593
15.5
700-719
2,022,302
15.0
2,554,997
12.7
4,025,194
15.2
4,175,470
12.7
680-699
1,032,061
7.6
1,785,196
8.9
2,132,876
8.1
2,932,962
8.9
<=679
406,754
3.0
673,944
3.4
746,952
2.8
1,231,983
3.7
Total
$
13,498,080
100.0
%
$
20,096,135
100.0
%
$
26,391,869
100.0
%
$
32,937,617
100.0
%
Weighted average credit score
746
747
746
747
NIW by LTV
Three Months Ended
Six Months Ended
June 30, 2023
June 30, 2022
June 30, 2023
June 30, 2022
($ in
thousands)
85.00% and below
$
988,752
7.3
%
$
1,675,255
8.3
%
$
1,951,761
7.4
%
$
2,937,293
8.9
%
85.01% to 90.00%
2,819,310
20.9
5,487,721
27.3
5,505,138
20.9
8,903,659
27.0
90.01% to 95.00%
7,339,533
54.4
10,874,315
54.1
14,769,646
55.9
17,290,570
52.5
95.01% and above
2,350,485
17.4
2,058,844
10.3
4,165,324
15.8
3,806,095
11.6
Total
$
13,498,080
100.0
%
$
20,096,135
100.0
%
$
26,391,869
100.0
%
$
32,937,617
100.0
%
Weighted average LTV
93
%
93
%
93
%
93
%
NIW by Product
Three Months Ended
Six Months Ended
June 30, 2023
June 30, 2022
June 30, 2023
June 30, 2022
Single Premium policies
4.3
%
6.5
%
4.1
%
4.7
%
Monthly Premium policies
95.7
93.5
95.9
95.3
100.0
%
100.0
%
100.0
%
100.0
%
NIW by Purchase vs.
Refinance
Three Months Ended
Six Months Ended
June 30, 2023
June 30, 2022
June 30, 2023
June 30, 2022
Purchase
98.8
%
98.0
%
98.7
%
96.5
%
Refinance
1.2
2.0
1.3
3.5
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
June 30, 2023
March 31, 2023
June 30, 2022
($ in
thousands)
>=760
$
95,925,520
40.8
%
$
94,560,292
40.8
%
$
89,790,212
41.6
%
740-759
40,733,799
17.3
39,870,193
17.2
36,606,394
17.0
720-739
36,791,104
15.6
35,950,319
15.5
32,637,422
15.1
700-719
30,970,132
13.1
30,103,007
13.0
27,258,759
12.6
680-699
19,667,866
8.3
19,338,187
8.4
17,697,662
8.2
<=679
11,561,463
4.9
11,715,419
5.1
11,906,082
5.5
Total
$
235,649,884
100.0
%
$
231,537,417
100.0
%
$
215,896,531
100.0
%
Weighted average credit score
746
746
746
Gross RIF by FICO score
June 30, 2023
March 31, 2023
June 30, 2022
($ in
thousands)
>=760
$
25,138,762
40.3
%
$
24,613,214
40.4
%
$
22,956,271
41.2
%
740-759
10,922,780
17.5
10,612,582
17.4
9,540,921
17.1
720-739
9,896,425
15.9
9,602,368
15.8
8,545,969
15.3
700-719
8,319,353
13.3
8,017,430
13.2
7,107,888
12.8
680-699
5,248,349
8.4
5,126,581
8.4
4,601,675
8.3
<=679
2,877,731
4.6
2,907,804
4.8
2,925,339
5.3
Total
$
62,403,400
100.0
%
$
60,879,979
100.0
%
$
55,678,063
100.0
%
Portfolio by LTV
IIF by LTV
June 30, 2023
March 31, 2023
June 30, 2022
($ in
thousands)
85.00% and below
$
22,427,649
9.5
%
$
23,502,232
10.2
%
$
25,510,400
11.8
%
85.01% to 90.00%
63,562,258
27.0
63,478,244
27.3
61,304,806
28.4
90.01% to 95.00%
115,768,826
49.1
112,184,833
48.5
98,938,435
45.8
95.01% and above
33,891,151
14.4
32,372,108
14.0
30,142,890
14.0
Total
$
235,649,884
100.0
%
$
231,537,417
100.0
%
$
215,896,531
100.0
%
Weighted average LTV
93
%
92
%
92
%
Gross RIF by LTV
June 30, 2023
March 31, 2023
June 30, 2022
($ in
thousands)
85.00% and below
$
2,667,981
4.3
%
$
2,793,895
4.6
%
$
3,012,030
5.4
%
85.01% to 90.00%
15,583,198
25.0
15,529,427
25.5
14,868,579
26.7
90.01% to 95.00%
34,026,320
54.5
32,929,489
54.1
28,921,722
52.0
95.01% and above
10,125,901
16.2
9,627,168
15.8
8,875,732
15.9
Total
$
62,403,400
100.0
%
$
60,879,979
100.0
%
$
55,678,063
100.0
%
Portfolio by Loan Amortization
Period
IIF by Loan Amortization Period
June 30, 2023
March 31, 2023
June 30, 2022
($ in
thousands)
FRM 30 years and higher
$
228,745,641
97.1
%
$
224,230,607
96.8
%
$
207,888,842
96.3
%
FRM 20-25 years
2,124,690
0.9
2,364,623
1.0
3,114,962
1.4
FRM 15 years
1,953,448
0.8
2,214,448
1.0
3,222,801
1.5
ARM 5 years and higher
2,826,105
1.2
2,727,739
1.2
1,669,926
0.8
Total
$
235,649,884
100.0
%
$
231,537,417
100.0
%
$
215,896,531
100.0
%
Exhibit F
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Other Risk in Force
2023
2022
($ in
thousands)
June 30
March 31
December 31
September 30
June 30
GSE and other risk share (1):
Risk in Force
$
2,276,702
$
2,098,033
$
2,030,571
$
2,026,895
$
1,898,364
Reserve for losses and LAE
$
55
$
65
$
74
$
102
$
144
Weighted average credit score
749
749
749
748
748
Weighted average LTV
83
%
83
%
83
%
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
June 30, 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
$
1,807,238
3.0
%
11,385
4.31
%
75.6
%
65.8
%
6.4
%
14.9
%
43.4
%
2.5
%
416
3.65
%
2015
26,193,656
1,649,738
6.3
9,997
4.19
84.7
75.8
4.5
17.4
39.6
2.6
367
3.67
2016
34,949,319
3,476,870
9.9
19,998
3.89
87.9
79.3
11.6
16.2
42.4
2.5
586
2.93
2017
43,858,322
5,316,345
12.1
31,404
4.27
91.3
70.7
20.4
20.4
37.9
3.5
1,134
3.61
2018
47,508,525
6,113,917
12.9
34,026
4.79
94.6
70.5
25.6
21.7
32.7
4.8
1,456
4.28
2019
63,569,183
13,481,766
21.2
63,599
4.22
87.9
67.6
24.3
18.7
35.6
4.9
1,845
2.90
2020
107,944,065
52,266,774
48.4
198,262
3.19
67.3
55.6
12.7
10.8
45.6
3.6
2,359
1.19
2021
84,218,250
66,928,946
79.5
216,319
3.08
85.7
61.9
15.0
13.9
40.5
7.5
2,799
1.29
2022
63,061,262
58,725,613
93.1
165,953
5.07
97.8
65.0
11.1
12.7
39.7
18.7
1,429
0.86
2023 (through June 30)
26,391,869
25,882,677
98.1
70,747
6.34
98.7
71.9
16.0
11.0
38.4
7.8
89
0.13
Total
$
558,363,302
$
235,649,884
42.2
821,690
4.12
86.5
63.5
14.4
13.3
40.7
4.3
12,480
1.52
(1) Incurred loss ratio is
calculated by dividing the sum of case reserves and cumulative
amount paid for claims by cumulative net premiums earned.
Exhibit H
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Reinsurance Vintage
Data
June 30, 2023
($ in
thousands)
Insurance Linked Notes (1)
Earned Premiums Ceded
Deal Name
Vintage
Remaining
Insurance
in Force
Remaining
Risk
in Force
Original
Reinsurance in Force
Remaining
Reinsurance in Force
Losses
Ceded
to Date
Original
First Layer
Retention
Remaining
First Layer
Retention
Quarter-to-Date
Year-to-Date
Reduction in PMIERs Minimum
Required
Assets (3)
Radnor Re 2018-1
Jan. 2017 - Dec. 2017
$
—
$
—
$
—
$
—
$
—
$
—
$
—
$
—
$
1,781
$
—
Radnor Re 2019-1
Jan. 2018 - Dec. 2018
6,031,462
1,568,566
473,184
21,467
—
253,643
247,780
9,948
13,447
—
Radnor Re 2019-2
Jan. 2015 - Dec. 2016
—
—
—
—
—
—
—
—
220
—
Radnor Re 2020-1
Jan. 2019 - Aug. 2019
7,496,071
1,939,751
495,889
52,691
—
215,605
214,221
3,497
5,871
—
Radnor Re 2021-1
Aug. 2020 - Mar. 2021
35,742,003
9,110,919
557,911
374,172
—
278,956
278,827
2,984
6,178
289,810
Radnor Re 2021-2
Apr. 2021 - Sep. 2021
39,179,542
10,503,842
439,407
384,452
—
279,415
279,297
4,121
8,274
331,024
Radnor Re 2022-1
Oct. 2021 - Jul. 2022
32,744,576
8,818,357
237,868
237,868
—
303,761
303,761
4,306
8,521
218,839
Total
$
121,193,654
$
31,941,435
$
2,204,259
$
1,070,650
$
—
$
1,331,380
$
1,323,886
$
24,856
$
44,292
$
839,673
Excess of Loss Reinsurance (2)
Earned Premiums Ceded
Deal Name
Vintage
Remaining
Insurance
in Force
Remaining
Risk
in Force
Original
Reinsurance in Force
Remaining
Reinsurance in Force
Losses
Ceded
to Date
Original
First Layer
Retention
Remaining
First Layer
Retention
Quarter-to-Date
Year-to-Date
Reduction in PMIERs Minimum
Required
Assets (3)
XOL 2018-1
Jan. 2017 - Dec. 2017
$
5,200,346
$
1,369,342
$
165,167
$
65,983
$
—
$
678,283
$
421,003
$
309
$
664
$
—
XOL 2019-1
Jan. 2018 - Dec. 2018
6,031,462
1,568,566
118,650
76,144
—
253,643
247,780
(4
)
621
1,234
—
XOL 2020-1
Jan. 2019 - Dec. 2019
7,496,071
1,939,751
55,102
41,162
—
215,605
214,221
(4
)
311
628
—
XOL 2022-1
Oct. 2021 - Dec. 2022
72,971,240
19,674,482
141,992
141,992
—
507,114
507,114
1,615
3,169
138,395
Total
$
91,699,119
$
24,552,141
$
480,911
$
325,281
$
—
$
1,654,645
$
1,390,118
$
2,856
$
5,695
$
138,395
(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) First layer retentions shown
are ILN retention levels as a result of overlapping coverage within
the vintage.
Quota Share Reinsurance (2)
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
Quarter-to-Date
Year-to-Date
Quarter-to-Date
Year-to-Date
Quarter-to-Date
Year-to-Date
Reduction in PMIERs Minimum
Required
Assets (3)
Sep. 2019 - Dec. 2020
(5
)
$
57,938,827
$
14,951,010
$
12,929,459
$
3,298,284
$
(1,015
)
$
(1,744
)
$
2,785
$
5,712
$
4,138
$
8,824
$
198,708
Jan. 2022 - Dec. 2023
20
%
58,669,337
15,850,694
11,733,867
3,170,139
2,388
4,881
1,959
3,938
6,110
12,364
227,761
Jan. 2023 - Dec. 2023
17.5
%
25,838,027
7,133,730
4,521,655
1,248,403
304
332
611
776
1,586
1,962
88,320
Total
$
142,446,191
$
37,935,434
$
29,184,981
$
7,716,826
$
1,677
$
3,469
$
5,355
$
10,426
$
11,834
$
23,150
$
514,789
(5) Reinsurance coverage on 40% of
eligible single premium policies and 20% of all other eligible
policies.
Exhibit I
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Portfolio Geographic
Data
IIF by State
June 30, 2023
March 31, 2023
June 30, 2022
CA
13.1
%
13.2
%
13.2
%
FL
10.8
10.4
10.0
TX
10.5
10.5
10.2
CO
4.1
4.2
4.2
AZ
3.7
3.6
3.4
WA
3.4
3.4
3.5
GA
3.3
3.2
3.1
IL
2.9
3.0
3.2
VA
2.9
3.0
3.1
NJ
2.9
2.9
3.1
All Others
42.4
42.6
43.0
Total
100.0
%
100.0
%
100.0
%
Gross RIF by State
June 30, 2023
March 31, 2023
June 30, 2022
CA
13.0
%
13.0
%
13.0
%
FL
11.1
10.7
10.3
TX
10.8
10.8
10.6
CO
4.1
4.1
4.1
AZ
3.8
3.7
3.4
WA
3.4
3.4
3.4
GA
3.4
3.3
3.2
IL
2.8
2.9
3.1
VA
2.8
2.9
3.0
NJ
2.8
2.8
2.9
All Others
42.0
42.4
43.0
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
June 30
March 31
December 31
September 30
June 30
Beginning default inventory
12,773
13,433
12,435
12,707
14,923
Plus: new defaults (A)
6,575
7,015
7,505
6,448
5,495
Less: cures
(6,761
)
(7,574
)
(6,425
)
(6,642
)
(7,639
)
Less: claims paid
(96
)
(94
)
(73
)
(68
)
(65
)
Less: rescissions and denials, net
(11
)
(7
)
(9
)
(10
)
(7
)
Ending default inventory
12,480
12,773
13,433
12,435
12,707
(A) New defaults remaining as of
June 30, 2023
4,876
2,343
1,797
1,104
559
Cure rate (1)
26
%
67
%
76
%
83
%
90
%
Total amount paid for claims (in
thousands)
$
1,890
$
1,959
$
1,441
$
1,261
$
1,137
Average amount paid per claim (in
thousands)
$
20
$
21
$
20
$
19
$
17
Severity
58
%
59
%
46
%
47
%
50
%
Rollforward of Reserve for
Losses and LAE
Three Months Ended
2023
2022
($ in
thousands)
June 30
March 31
December 31
September 30
June 30
Reserve for losses and LAE at beginning of
period
$
215,957
$
216,390
$
212,392
$
209,829
$
292,818
Less: Reinsurance recoverables
16,357
14,618
13,244
13,657
19,335
Net reserve for losses and LAE at
beginning of period
199,600
201,772
199,148
196,172
273,483
Add provision for losses and LAE occurring
in:
Current period
31,377
32,693
36,141
20,144
18,720
Prior years
(30,107
)
(32,864
)
(32,012
)
(15,850
)
(94,809
)
Incurred losses and LAE during the
period
1,270
(171
)
4,129
4,294
(76,089
)
Deduct payments for losses and LAE
occurring in:
Current period
31
—
113
30
80
Prior years
1,909
2,001
1,392
1,288
1,142
Loss and LAE payments during the
period
1,940
2,001
1,505
1,318
1,222
Net reserve for losses and LAE at end of
period
198,930
199,600
201,772
199,148
196,172
Plus: Reinsurance recoverables
17,958
16,357
14,618
13,244
13,657
Reserve for losses and LAE at end of
period
$
216,888
$
215,957
$
216,390
$
212,392
$
209,829
(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
June 30, 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
5,581
45
%
$
33,864
17
%
$
388,012
9
%
Four to eleven payments
4,725
38
82,196
41
348,955
24
Twelve or more payments
2,045
16
78,236
39
123,903
63
Pending claims
129
1
5,680
3
6,687
85
Total case reserves
12,480
100
%
199,976
100
%
$
867,557
23
%
IBNR
14,998
LAE
1,914
Total reserves for losses and LAE
$
216,888
Average reserve per default:
Case
$
16.0
Total
$
17.4
Default Rate
1.52
%
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
%
June 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
4,036
32
%
$
18,653
10
%
$
250,303
7
%
Four to eleven payments
4,741
37
59,753
31
304,764
20
Twelve or more payments
3,849
30
111,442
57
236,440
47
Pending claims
81
1
3,568
2
3,574
100
Total case reserves
12,707
100
%
193,416
100
%
$
795,081
24
%
IBNR
14,506
LAE
1,907
Total reserves for losses and LAE
$
209,829
Average reserve per default:
Case
$
15.2
Total
$
16.5
Default Rate
1.61
%
Exhibit L
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Investments Available for
Sale
Investments Available for Sale
by Asset Class
Asset Class
June 30, 2023
December 31, 2022
($ in
thousands)
Fair Value
Percent
Fair Value
Percent
U.S. Treasury securities
$
643,586
12.8
%
$
556,438
11.7
%
U.S. agency securities
9,671
0.2
49,058
1.0
U.S. agency mortgage-backed securities
810,108
16.1
783,743
16.5
Municipal debt securities
600,162
12.0
602,690
12.8
Non-U.S. government securities
50,553
1.0
62,399
1.3
Corporate debt securities
1,349,221
26.9
1,414,321
29.8
Residential and commercial mortgage
securities
510,350
10.2
511,824
10.8
Asset-backed securities
634,910
12.6
624,561
13.2
Money market funds
413,533
8.2
136,591
2.9
Total investments available for sale
$
5,022,094
100.0
%
$
4,741,625
100.0
%
Investments Available for Sale
by Credit Rating
Rating (1)
June 30, 2023
December 31, 2022
($ in
thousands)
Fair Value
Percent
Fair Value
Percent
Aaa
$
2,251,533
48.9
%
$
2,122,599
46.2
%
Aa1
113,007
2.5
111,262
2.4
Aa2
305,630
6.6
325,241
7.1
Aa3
230,676
5.0
232,500
5.0
A1
401,624
8.7
396,095
8.6
A2
313,849
6.8
410,163
8.9
A3
263,496
5.7
268,928
5.8
Baa1
237,699
5.2
236,793
5.1
Baa2
241,926
5.2
221,308
4.8
Baa3
161,797
3.5
187,117
4.1
Below Baa3
87,324
1.9
93,028
2.0
Total (2)
$
4,608,561
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 $413,533 and $136,591
of money market funds at June 30, 2023 and December 31, 2022,
respectively.
Investments Available for Sale
by Duration and Book Yield
Effective Duration
June 30, 2023
December 31, 2022
($ in
thousands)
Fair Value
Percent
Fair Value
Percent
< 1 Year
$
1,511,281
30.1
%
$
1,245,839
26.3
%
1 to < 2 Years
545,993
10.9
534,038
11.3
2 to < 3 Years
408,377
8.1
511,701
10.8
3 to < 4 Years
529,277
10.5
525,683
11.1
4 to < 5 Years
395,775
7.9
400,540
8.4
5 or more Years
1,631,391
32.5
1,523,824
32.1
Total investments available for sale
$
5,022,094
100.0
%
$
4,741,625
100.0
%
Pre-tax investment income yield:
Three months ended
3.46
%
3.03
%
Six months ended June 30, 2023
3.42
%
Holding company net cash and investments
available for sale:
($ in
thousands)
As of June 30, 2023
$
739,525
As of December 31, 2022
$
685,178
Exhibit M
Essent Group Ltd. and
Subsidiaries
Supplemental
Information
Insurance Company
Capital
2023
2022
June 30
March 31
December 31
September 30
June 30
($ in
thousands)
U.S. Mortgage Insurance
Subsidiaries:
Combined statutory capital (1)
$
3,243,086
$
3,207,102
$
3,178,151
$
3,128,681
$
3,062,438
Combined net risk in force (2)
$
34,019,643
$
33,038,825
$
32,265,701
$
31,736,095
$
31,221,406
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.
10.8:1
10.6:1
10.5:1
10.5:1
10.6:1
Essent Guaranty of PA, Inc.
0.5:1
0.5:1
0.6:1
0.6:1
0.6:1
Combined (4)
10.5:1
10.3:1
10.2:1
10.1:1
10.2:1
Essent Guaranty, Inc. PMIERs Data
(5):
Available Assets
$
3,245,481
$
3,226,436
$
3,191,047
$
3,147,545
$
3,120,098
Minimum Required Assets
1,991,741
1,917,769
1,832,363
1,759,182
1,869,524
PMIERs excess Available Assets
$
1,253,740
$
1,308,667
$
1,358,684
$
1,388,363
$
1,250,574
PMIERs sufficiency ratio (6)
163
%
168
%
174
%
179
%
167
%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)
$
1,633,763
$
1,573,013
$
1,478,772
$
1,397,287
$
1,380,067
Net risk in force (2)
$
21,327,762
$
20,305,111
$
19,454,046
$
18,694,500
$
17,758,801
(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/20230804672391/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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