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Essent Group Ltd. Announces Fourth Quarter & Full Year 2022 Results and Increases Quarterly Dividend

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2022 of $147.4 million or $1.37 per diluted share, compared to $181.0 million or $1.64 per diluted share for the quarter ended December 31, 2021. For the full year 2022, net income was $831.4 million or $7.72 per diluted share, compared to $681.8 million or $6.11 per diluted share for 2021.

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 March 20, 2023, to shareholders of record on March 10, 2023.

“We are pleased with our fourth quarter and full year 2022 financial results, which reflect our continued focus on generating high-quality earnings and solid returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results reflect our focus on optimizing unit economics along with continued favorable credit performance. We remain committed to taking a measured approach to capital management. In connection with this, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.25 per share.”

Financial Highlights:

  • New insurance written for the fourth quarter of 2022 was $13.0 billion, compared to $17.1 billion in the third quarter of 2022 and $16.4 billion in the fourth quarter of 2021.
  • Insurance in force as of December 31, 2022 was $227.1 billion, compared to $222.5 billion as of September 30, 2022 and $207.2 billion as of December 31, 2021.
  • The combined ratio for the fourth quarter was 24.6%, compared to 22.3% in the third quarter of 2022 and 17.4% in the fourth quarter of 2021.
  • During the fourth quarter of 2022, we entered into a quota share reinsurance transaction with a panel of highly rated third-party reinsurers. The quota share agreement covers 17.5% of all eligible policies written by Essent Guaranty, Inc. in the calendar year 2023.
  • Last week, Essent US Holdings entered into an agreement to acquire the title insurance operations from a subsidiary of Finance of America Companies for $100 million.

Conference Call:

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. The call may also be accessed by dialing 888-330-2384 inside the U.S., or 240-789-2701 for international callers, using passcode 9824537 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the U.S., or 647-362-9199 for international callers, passcode 9824537.

In addition to the information provided in the Company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx.

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2021 filed with the Securities and Exchange Commission on February 16, 2022, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which, through its wholly-owned subsidiary, Essent Guaranty, Inc., offers private mortgage insurance for single-family mortgage loans in the United States. Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania, Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia, and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Essent is committed to supporting environmental, social and governance (“ESG”) initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.

Source: Essent Group Ltd.

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter and Year Ended December 31, 2022

 

 

 

 

 

 

Exhibit A

 

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

Exhibit B

 

Condensed Consolidated Balance Sheets (Unaudited)

Exhibit C

 

Historical Quarterly Data

Exhibit D

 

New Insurance Written

Exhibit E

 

Insurance in Force and Risk in Force

Exhibit F

 

Other Risk in Force

Exhibit G

 

Portfolio Vintage Data

Exhibit H

 

Reinsurance Vintage Data

Exhibit I

 

Portfolio Geographic Data

Exhibit J

 

Rollforward of Defaults and Reserve for Losses and LAE

Exhibit K

 

Detail of Reserves by Default Delinquency

Exhibit L

 

Investments Available for Sale

Exhibit M

 

Insurance Company Capital

 

 

 

 

 

 

 

 

Exhibit A

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended December 31,

 

Year Ended December 31,

(In thousands, except per share amounts)

2022

 

2021

 

2022

 

2021

Revenues:

 

 

 

 

 

 

 

Direct premiums written

$

235,015

 

 

$

224,972

 

 

$

927,702

 

 

$

918,406

 

Ceded premiums

 

(34,289

)

 

 

(26,476

)

 

 

(107,673

)

 

 

(110,914

)

Net premiums written

 

200,726

 

 

 

198,496

 

 

 

820,029

 

 

 

807,492

 

Decrease in unearned premiums

 

6,526

 

 

 

18,825

 

 

 

22,498

 

 

 

65,051

 

Net premiums earned

 

207,252

 

 

 

217,321

 

 

 

842,527

 

 

 

872,543

 

Net investment income

 

37,796

 

 

 

23,661

 

 

 

124,409

 

 

 

88,765

 

Realized investment (losses) gains, net

 

(5,524

)

 

 

(191

)

 

 

(13,172

)

 

 

418

 

Income (loss) from other invested assets

 

(7,599

)

 

 

14,997

 

 

 

28,676

 

 

 

56,386

 

Other income

 

(1,888

)

 

 

1,128

 

 

 

18,384

 

 

 

10,398

 

Total revenues

 

230,037

 

 

 

256,916

 

 

 

1,000,824

 

 

 

1,028,510

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

(Benefit) provision for losses and LAE

 

4,101

 

 

 

(3,433

)

 

 

(174,704

)

 

 

31,057

 

Other underwriting and operating expenses

 

46,895

 

 

 

41,232

 

 

 

171,733

 

 

 

166,857

 

Interest expense

 

6,045

 

 

 

2,095

 

 

 

15,608

 

 

 

8,282

 

Total losses and expenses

 

57,041

 

 

 

39,894

 

 

 

12,637

 

 

 

206,196

 

 

 

 

 

 

 

 

 

Income before income taxes

 

172,996

 

 

 

217,022

 

 

 

988,187

 

 

 

822,314

 

Income tax expense

 

25,630

 

 

 

36,035

 

 

 

156,834

 

 

 

140,531

 

Net income

$

147,366

 

 

$

180,987

 

 

$

831,353

 

 

$

681,783

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

1.38

 

 

$

1.65

 

 

$

7.75

 

 

$

6.13

 

Diluted

 

1.37

 

 

 

1.64

 

 

 

7.72

 

 

 

6.11

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

 

106,881

 

 

 

109,550

 

 

 

107,205

 

 

 

111,164

 

Diluted

 

107,419

 

 

 

110,028

 

 

 

107,653

 

 

 

111,555

 

 

 

 

 

 

 

 

 

Net income

$

147,366

 

 

$

180,987

 

 

$

831,353

 

 

$

681,783

 

 

 

 

 

 

 

 

 

Other comprehensive (loss) income:

 

 

 

 

 

 

 

Change in unrealized (depreciation) appreciation of investments

 

40,787

 

 

 

(27,807

)

 

 

(433,497

)

 

 

(87,567

)

Total other comprehensive (loss) income

 

40,787

 

 

 

(27,807

)

 

 

(433,497

)

 

 

(87,567

)

Comprehensive income

$

188,153

 

 

$

153,180

 

 

$

397,856

 

 

$

594,216

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio

 

2.0

%

 

 

(1.6

%)

 

 

(20.7

%)

 

 

3.6

%

Expense ratio

 

22.6

 

 

 

19.0

 

 

 

20.4

 

 

 

19.1

 

Combined ratio

 

24.6

%

 

 

17.4

%

 

 

(0.4

%)

 

 

22.7

%

 

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

December 31,

 

December 31,

(In thousands, except per share amounts)

2022

 

2021

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

4,489,598

 

 

$

4,649,800

 

Short-term investments available for sale, at fair value

 

252,027

 

 

 

313,087

 

Total investments available for sale

 

4,741,625

 

 

 

4,962,887

 

Other invested assets

 

257,941

 

 

 

170,472

 

Total investments

 

4,999,566

 

 

 

5,133,359

 

Cash

 

81,240

 

 

 

81,491

 

Accrued investment income

 

33,162

 

 

 

26,546

 

Accounts receivable

 

57,399

 

 

 

46,157

 

Deferred policy acquisition costs

 

9,910

 

 

 

12,178

 

Property and equipment

 

19,571

 

 

 

11,921

 

Prepaid federal income tax

 

418,460

 

 

 

360,810

 

Other assets

 

104,489

 

 

 

49,712

 

 

 

 

 

Total assets

$

5,723,797

 

 

$

5,722,174

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

216,464

 

 

$

407,445

 

Unearned premium reserve

 

162,887

 

 

 

185,385

 

Net deferred tax liability

 

356,810

 

 

 

373,654

 

Credit facility borrowings, net of deferred costs

 

420,864

 

 

 

419,823

 

Other accrued liabilities

 

104,463

 

 

 

99,753

 

Total liabilities

 

1,261,488

 

 

 

1,486,060

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 107,683 shares in 2022 and 109,377 shares in 2021

 

1,615

 

 

 

1,641

 

Additional paid-in capital

 

1,350,377

 

 

 

1,428,952

 

Accumulated other comprehensive income (loss)

 

(382,790

)

 

 

50,707

 

Retained earnings

 

3,493,107

 

 

 

2,754,814

 

Total stockholders' equity

 

4,462,309

 

 

 

4,236,114

 

 

 

 

 

Total liabilities and stockholders' equity

$

5,723,797

 

 

$

5,722,174

 

 

 

 

 

Return on average equity

 

19.1

%

 

 

16.8

%

 

 

 

 

 

 

 

 

 

 

 

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

2022

 

2021

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

 

$

192,670

 

 

$

194,272

 

 

$

198,891

 

 

$

203,312

 

 

$

205,877

 

GSE and other risk share

 

 

14,582

 

 

 

13,662

 

 

 

13,120

 

 

 

12,018

 

 

 

11,444

 

Net premiums earned

 

 

207,252

 

 

 

207,934

 

 

 

212,011

 

 

 

215,330

 

 

 

217,321

 

Net investment income

 

 

37,796

 

 

 

32,594

 

 

 

29,339

 

 

 

24,680

 

 

 

23,661

 

Realized investment (losses) gains, net

 

 

(5,524

)

 

 

175

 

 

 

(471

)

 

 

(7,352

)

 

 

(191

)

Income (loss) from other invested assets

 

 

(7,599

)

 

 

9,617

 

 

 

1,953

 

 

 

24,705

 

 

 

14,997

 

Other income (loss) (1)

 

 

(1,888

)

 

 

11,447

 

 

 

1,577

 

 

 

7,248

 

 

 

1,128

 

Total revenues

 

 

230,037

 

 

 

261,767

 

 

 

244,409

 

 

 

264,611

 

 

 

256,916

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

(Benefit) provision for losses and LAE

 

 

4,101

 

 

 

4,252

 

 

 

(76,199

)

 

 

(106,858

)

 

 

(3,433

)

Other underwriting and operating expenses

 

 

46,895

 

 

 

42,144

 

 

 

41,898

 

 

 

40,796

 

 

 

41,232

 

Interest expense

 

 

6,045

 

 

 

4,450

 

 

 

2,887

 

 

 

2,226

 

 

 

2,095

 

Total losses and expenses

 

 

57,041

 

 

 

50,846

 

 

 

(31,414

)

 

 

(63,836

)

 

 

39,894

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

 

172,996

 

 

 

210,921

 

 

 

275,823

 

 

 

328,447

 

 

 

217,022

 

Income tax expense (2)

 

 

25,630

 

 

 

32,870

 

 

 

44,054

 

 

 

54,280

 

 

 

36,035

 

Net income

 

$

147,366

 

 

$

178,051

 

 

$

231,769

 

 

$

274,167

 

 

$

180,987

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.38

 

 

$

1.67

 

 

$

2.17

 

 

$

2.53

 

 

$

1.65

 

Diluted

 

 

1.37

 

 

 

1.66

 

 

 

2.16

 

 

 

2.52

 

 

 

1.64

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

 

106,881

 

 

 

106,870

 

 

 

106,921

 

 

 

108,166

 

 

 

109,550

 

Diluted

 

 

107,419

 

 

 

107,337

 

 

 

107,283

 

 

 

108,590

 

 

 

110,028

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

41.44

 

 

$

39.87

 

 

$

39.67

 

 

$

38.98

 

 

$

38.73

 

Return on average equity (annualized)

 

 

13.5

%

 

 

16.6

%

 

 

21.8

%

 

 

26.0

%

 

 

17.2

%

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

Loss ratio (3)

 

 

2.0

%

 

 

2.0

%

 

 

(35.9

%)

 

 

(49.6

%)

 

 

(1.6

%)

Expense ratio (4)

 

 

22.6

 

 

 

20.3

 

 

 

19.8

 

 

 

18.9

 

 

 

19.0

 

Combined ratio

 

 

24.6

%

 

 

22.3

%

 

 

(16.2

%)

 

 

(30.7

%)

 

 

17.4

%

 

 

 

 

 

 

 

 

 

 

 

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)

 

 

6.02

%

 

 

4.39

%

 

 

2.92

%

 

 

1.99

%

 

 

1.79

%

Debt-to-capital

 

 

8.70

%

 

 

9.01

%

 

 

9.05

%

 

 

9.16

%

 

 

9.12

%

 

 

 

 

 

 

 

 

 

 

 

(1) For each of the three month periods noted, Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements as follows: December 31, 2022: ($6,515); September 30, 2022: $5,177; June 30, 2022: ($5,549); March 31, 2022: $4,365; December 31, 2021: ($2,931).

(2) Income tax expense for the quarter ended December 31, 2021 includes $2,473 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. Income tax expense for the quarters ended December 31, 2022, September 30, 2022, June 30, 2022, March 31, 2022 and December 31, 2021 includes ($4,122), $2,925, ($299), $7,002 and $1,759, 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2022

 

2021

Other Data, continued:

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

13,011,432

 

 

$

17,112,017

 

 

$

20,096,135

 

 

$

12,841,482

 

 

$

16,379,082

 

New risk written

 

 

3,522,726

 

 

 

4,570,699

 

 

 

5,442,115

 

 

 

3,438,016

 

 

 

4,331,531

 

 

 

 

 

 

 

 

 

 

 

 

Bulk:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

 

 

$

 

 

$

196

 

 

$

 

 

$

416

 

New risk written

 

 

 

 

 

 

 

 

29

 

 

 

 

 

 

41

 

 

 

 

 

 

 

 

 

 

 

 

Total:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

13,011,432

 

 

$

17,112,017

 

 

$

20,096,331

 

 

$

12,841,482

 

 

$

16,379,498

 

New risk written

 

$

3,522,726

 

 

$

4,570,669

 

 

$

5,442,144

 

 

$

3,438,016

 

 

$

4,331,572

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

$

224,840,675

 

 

$

219,280,350

 

 

$

210,896,297

 

 

$

206,631,135

 

 

$

207,388,906

 

Insurance in force (end of period)

 

$

227,062,055

 

 

$

222,542,569

 

 

$

215,896,531

 

 

$

206,842,996

 

 

$

207,190,544

 

Gross risk in force (end of period) (5)

 

$

59,276,489

 

 

$

57,743,091

 

 

$

55,678,063

 

 

$

52,847,985

 

 

$

52,554,246

 

Risk in force (end of period)

 

$

49,903,626

 

 

$

48,690,571

 

 

$

47,289,910

 

 

$

45,261,164

 

 

$

45,273,383

 

Policies in force

 

 

808,596

 

 

 

800,745

 

 

 

789,652

 

 

 

774,002

 

 

 

785,119

 

Weighted average coverage (6)

 

 

26.1

%

 

 

25.9

%

 

 

25.8

%

 

 

25.5

%

 

 

25.4

%

Annual persistency

 

 

82.1

%

 

 

77.9

%

 

 

73.4

%

 

 

69.1

%

 

 

65.4

%

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

 

13,433

 

 

 

12,435

 

 

 

12,707

 

 

 

14,923

 

 

 

16,963

 

Percentage of loans in default

 

 

1.66

%

 

 

1.55

%

 

 

1.61

%

 

 

1.93

%

 

 

2.16

%

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio premium rate:

 

 

 

 

 

 

 

 

 

Base average premium rate (7)

 

 

0.40

%

 

 

0.40

%

 

 

0.41

%

 

 

0.41

%

 

 

0.42

%

Single premium cancellations (8)

 

 

%

 

 

0.01

%

 

 

0.01

%

 

 

0.02

%

 

 

0.03

%

Gross average premium rate

 

 

0.40

%

 

 

0.41

%

 

 

0.42

%

 

 

0.43

%

 

 

0.45

%

Ceded premiums

 

 

(0.06

%)

 

 

(0.06

%)

 

 

(0.04

%)

 

 

(0.04

%)

 

 

(0.05

%)

Net average premium rate

 

 

0.34

%

 

 

0.35

%

 

 

0.38

%

 

 

0.39

%

 

 

0.40

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

Year Ended

 

December 31, 2022

 

December 31, 2021

 

December 31, 2022

 

December 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

4,761,917

 

36.6

%

 

$

6,643,740

 

40.6

%

 

$

25,704,025

 

40.8

%

 

$

34,422,627

 

40.9

%

740-759

 

2,428,164

 

18.7

 

 

 

2,833,379

 

17.3

 

 

 

10,927,903

 

17.3

 

 

 

13,691,394

 

16.3

 

720-739

 

2,301,392

 

17.7

 

 

 

2,472,738

 

15.1

 

 

 

10,186,558

 

16.2

 

 

 

12,789,715

 

15.2

 

700-719

 

1,919,146

 

14.6

 

 

 

2,170,829

 

13.2

 

 

 

8,371,867

 

13.2

 

 

 

11,499,406

 

13.6

 

680-699

 

1,138,743

 

8.8

 

 

 

1,504,268

 

9.2

 

 

 

5,548,687

 

8.8

 

 

 

7,359,569

 

8.7

 

<=679

 

462,070

 

3.6

 

 

 

754,128

 

4.6

 

 

 

2,322,026

 

3.7

 

 

 

4,455,123

 

5.3

 

Total

$

13,011,432

 

100.0

%

 

$

16,379,082

 

100.0

%

 

$

63,061,066

 

100.0

%

 

$

84,217,834

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

744

 

 

 

 

745

 

 

 

 

746

 

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Year Ended

 

December 31, 2022

 

December 31, 2021

 

December 31, 2022

 

December 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

1,121,853

 

8.6

%

 

$

1,799,336

 

11.0

%

 

$

5,678,058

 

9.0

%

 

$

11,460,273

 

13.6

%

85.01% to 90.00%

 

3,075,304

 

23.6

 

 

 

4,372,552

 

26.7

 

 

 

16,732,649

 

26.5

 

 

 

23,565,227

 

28.0

 

90.01% to 95.00%

 

7,464,333

 

57.4

 

 

 

7,722,842

 

47.1

 

 

 

33,925,998

 

53.8

 

 

 

37,813,167

 

44.9

 

95.01% and above

 

1,349,942

 

10.4

 

 

 

2,484,352

 

15.2

 

 

 

6,724,361

 

10.7

 

 

 

11,379,167

 

13.5

 

Total

$

13,011,432

 

100.0

%

 

$

16,379,082

 

100.0

%

 

$

63,061,066

 

100.0

%

 

$

84,217,834

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

92

%

 

 

 

93

%

 

 

 

92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Year Ended

 

December 31, 2022

 

December 31, 2021

 

December 31, 2022

 

December 31, 2021

Single Premium policies

 

4.3

%

 

 

2.7

%

 

 

5.6

%

 

 

3.8

%

Monthly Premium policies

 

95.7

 

 

 

97.3

 

 

 

94.4

 

 

 

96.2

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Year Ended

 

December 31, 2022

 

December 31, 2021

 

December 31, 2022

 

December 31, 2021

Purchase

 

98.9

%

 

 

92.1

%

 

 

97.6

%

 

 

82.1

%

Refinance

 

1.1

 

 

 

7.9

 

 

 

2.4

 

 

 

17.9

 

 

 

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, 2022

 

September 30, 2022

 

December 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

>=760

 

$

93,389,066

 

41.1

%

 

$

92,309,692

 

41.5

%

 

$

85,501,113

 

41.3

%

740-759

 

 

38,842,311

 

17.2

 

 

 

37,821,201

 

17.0

 

 

 

35,111,019

 

17.0

 

720-739

 

 

34,981,632

 

15.4

 

 

 

33,910,646

 

15.2

 

 

 

31,158,325

 

15.0

 

700-719

 

 

29,146,543

 

12.8

 

 

 

28,263,518

 

12.7

 

 

 

26,105,790

 

12.6

 

680-699

 

 

18,859,824

 

8.3

 

 

 

18,351,570

 

8.2

 

 

 

16,819,629

 

8.1

 

<=679

 

 

11,842,679

 

5.2

 

 

 

11,885,942

 

5.4

 

 

 

12,494,668

 

6.0

 

Total

 

$

227,062,055

 

100.0

%

 

$

222,542,569

 

100.0

%

 

$

207,190,544

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

746

 

 

 

 

746

 

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

 

December 31, 2022

 

September 30, 2022

 

December 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

>=760

 

$

24,152,726

 

40.8

%

 

$

23,743,335

 

41.1

%

 

$

21,488,011

 

40.9

%

740-759

 

 

10,255,195

 

17.3

 

 

 

9,920,331

 

17.2

 

 

 

8,992,181

 

17.1

 

720-739

 

 

9,276,750

 

15.6

 

 

 

8,934,327

 

15.5

 

 

 

8,029,952

 

15.3

 

700-719

 

 

7,696,965

 

13.0

 

 

 

7,412,542

 

12.8

 

 

 

6,693,045

 

12.7

 

680-699

 

 

4,963,470

 

8.4

 

 

 

4,801,986

 

8.3

 

 

 

4,299,245

 

8.2

 

<=679

 

 

2,931,383

 

4.9

 

 

 

2,930,570

 

5.1

 

 

 

3,051,812

 

5.8

 

Total

 

$

59,276,489

 

100.0

%

 

$

57,743,091

 

100.0

%

 

$

52,554,246

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

 

December 31, 2022

 

September 30, 2022

 

December 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

85.00% and below

 

$

24,454,468

 

10.8

%

 

$

25,121,995

 

11.3

%

 

$

27,362,267

 

13.2

%

85.01% to 90.00%

 

 

63,436,445

 

27.8

 

 

 

62,963,331

 

28.3

 

 

 

59,567,378

 

28.7

 

90.01% to 95.00%

 

 

107,932,064

 

47.6

 

 

 

103,794,020

 

46.6

 

 

 

91,350,909

 

44.1

 

95.01% and above

 

 

31,239,078

 

13.8

 

 

 

30,663,223

 

13.8

 

 

 

28,909,990

 

14.0

 

Total

 

$

227,062,055

 

100.0

%

 

$

222,542,569

 

100.0

%

 

$

207,190,544

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

 

92

%

 

 

 

92

%

 

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

 

December 31, 2022

 

September 30, 2022

 

December 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

85.00% and below

 

$

2,903,877

 

4.9

%

 

$

2,975,898

 

5.2

%

 

$

3,200,124

 

6.1

%

85.01% to 90.00%

 

 

15,477,031

 

26.1

 

 

 

15,317,449

 

26.5

 

 

 

14,366,450

 

27.3

 

90.01% to 95.00%

 

 

31,642,669

 

53.4

 

 

 

30,388,328

 

52.6

 

 

 

26,592,162

 

50.6

 

95.01% and above

 

 

9,252,912

 

15.6

 

 

 

9,061,416

 

15.7

 

 

 

8,395,510

 

16.0

 

Total

 

$

59,276,489

 

100.0

%

 

$

57,743,091

 

100.0

%

 

$

52,554,246

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

 

December 31, 2022

 

September 30, 2022

 

December 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

219,416,408

 

96.7

%

 

$

214,688,363

 

96.5

%

 

$

198,243,758

 

95.7

%

FRM 20-25 years

 

 

2,601,108

 

1.1

 

 

 

2,859,734

 

1.3

 

 

 

3,658,366

 

1.8

 

FRM 15 years

 

 

2,552,931

 

1.1

 

 

 

2,903,355

 

1.3

 

 

 

3,996,684

 

1.9

 

ARM 5 years and higher

 

 

2,491,608

 

1.1

 

 

 

2,091,117

 

0.9

 

 

 

1,291,736

 

0.6

 

Total

 

$

227,062,055

 

100.0

%

 

$

222,542,569

 

100.0

%

 

$

207,190,544

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

2022

 

2021

($ in thousands)

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

2,030,571

 

 

$

2,026,895

 

 

$

1,898,364

 

 

$

1,888,437

 

 

$

1,788,918

 

Reserve for losses and LAE

 

$

74

 

 

$

102

 

 

$

144

 

 

$

254

 

 

$

1,349

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

749

 

 

 

748

 

 

 

748

 

 

 

748

 

 

 

748

 

Weighted average LTV

 

 

83

%

 

 

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, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance in Force

 

 

 

 

 

 

Year

 

Original

Insurance

Written

($ in thousands)

 

Remaining

Insurance

in Force

($ in thousands)

 

% Remaining of

Original

Insurance

 

Number of

Policies in

Force

 

Weighted

Average

Coupon

 

% Purchase

 

>90% LTV

 

>95% LTV

 

FICO < 700

 

FICO >= 760

 

Incurred Loss

Ratio

(Inception to

Date) (1)

 

Number of

Loans in

Default

 

Percentage of

Loans in

Default

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2010 - 2014

 

$

60,668,851

 

$

2,121,713

 

3.5

%

 

 

13,410

 

4.33

%

 

77.6

%

 

69.1

%

 

5.9

%

 

15.1

%

 

43.1

%

 

2.6

%

 

523

 

3.90

%

2015

 

 

26,193,656

 

 

1,917,056

 

7.3

 

 

 

11,486

 

4.18

 

 

85.5

 

 

76.1

 

 

4.3

 

 

17.6

 

 

39.3

 

 

2.7

 

 

425

 

3.70

 

2016

 

 

34,949,319

 

 

4,241,287

 

12.1

 

 

 

24,006

 

3.87

 

 

88.6

 

 

72.2

 

 

10.3

 

 

15.8

 

 

43.1

 

 

2.8

 

 

758

 

3.16

 

2017

 

 

43,858,322

 

 

5,953,785

 

13.6

 

 

 

34,592

 

4.26

 

 

91.1

 

 

68.9

 

 

19.9

 

 

20.1

 

 

38.2

 

 

4.0

 

 

1,432

 

4.14

 

2018

 

 

47,508,525

 

 

6,714,277

 

14.1

 

 

 

36,913

 

4.78

 

 

94.4

 

 

69.0

 

 

24.9

 

 

21.5

 

 

32.9

 

 

5.3

 

 

1,748

 

4.74

 

2019

 

 

63,569,183

 

 

14,742,465

 

23.2

 

 

 

68,798

 

4.22

 

 

87.3

 

 

66.7

 

 

23.8

 

 

18.7

 

 

35.7

 

 

5.8

 

 

2,158

 

3.14

 

2020

 

 

107,944,065

 

 

59,228,334

 

54.9

 

 

 

220,705

 

3.18

 

 

65.8

 

 

54.0

 

 

12.1

 

 

10.8

 

 

45.5

 

 

4.4

 

 

2,856

 

1.29

 

2021

 

 

84,218,250

 

 

71,533,600

 

84.9

 

 

 

228,943

 

3.07

 

 

84.4

 

 

60.6

 

 

14.6

 

 

13.9

 

 

40.4

 

 

7.9

 

 

2,750

 

1.20

 

2022

 

 

63,061,262

 

 

60,609,538

 

96.1

 

 

 

169,743

 

5.07

 

 

97.7

 

 

64.8

 

 

10.9

 

 

12.6

 

 

40.0

 

 

14.4

 

 

783

 

0.46

 

Total

 

$

531,971,433

 

$

227,062,055

 

42.7

 

 

808,596

 

3.83

 

 

83.8

 

 

61.3

 

 

13.8

 

 

13.5

 

 

41.1

 

 

4.3

 

 

13,433

 

1.66

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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, 2022

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess of Loss Reinsurance

 

Original

Reinsurance in Force

 

Remaining

Reinsurance in Force

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Year

 

Remaining

Insurance

in Force

 

Remaining

Risk

in Force

 

ILN (1)

 

Other

Reinsurance

(2)

 

Total

 

ILN

 

Other

Reinsurance

 

Total

 

Losses

Ceded

to Date

 

Original

First Layer

Retention

 

Remaining

First Layer

Retention

 

Quarter-to-

Date

 

Year-to-

Date

 

Reduction in

PMIERs

Minimum

Required

Assets (9)

2015 & 2016

 

$

5,931,479

 

$

1,610,997

 

$

333,844

 

$

 

$

333,844

 

$

41,764

 

$

 

$

41,764

 

$

 

$

208,111

 

$

206,843

 

$

389

 

$

2,852

 

$

2017

 

 

5,810,456

 

 

1,527,469

 

 

424,412

 

 

165,167

 

 

589,579

 

 

225,562

 

 

85,627

 

 

311,189

 

 

 

 

224,689

 

 

216,143

 

 

2,429

 

 

11,060

 

 

2018

 

 

6,620,816

 

 

1,708,129

 

 

473,184

 

 

118,650

 

 

591,834

 

 

325,537

 

 

76,144

 

 

401,681

 

 

 

 

253,643

 

 

248,675

 

 

3,873

 

 

14,425

 

 

2019 (3)

 

 

8,185,651

 

 

2,108,121

 

 

495,889

 

 

55,102

 

 

550,991

 

 

418,006

 

 

46,448

 

 

464,454

 

 

 

 

215,605

 

 

214,708

 

 

3,233

 

 

12,751

 

 

2019 & 2020 (4)

 

 

 

 

 

 

399,159

 

 

 

 

399,159

 

 

 

 

 

 

 

 

 

 

465,690

 

 

 

 

 

 

5,222

 

 

2020 & 2021 (5)

 

 

40,676,403

 

 

10,206,068

 

 

557,911

 

 

 

 

557,911

 

 

451,093

 

 

 

 

451,093

 

 

 

 

278,956

 

 

278,919

 

 

3,498

 

 

14,528

 

 

376,024

2021 (6)

 

 

41,455,845

 

 

11,027,751

 

 

439,407

 

 

 

 

439,407

 

 

410,778

 

 

 

 

410,778

 

 

 

 

279,415

 

 

279,400

 

 

4,250

 

 

17,080

 

 

368,047

2021 & 2022

(10)

 

 

75,406,975

 

 

20,284,551

 

 

 

 

141,992

 

 

141,992

 

 

 

 

141,992

 

 

141,992

 

 

 

 

507,114

 

 

507,114

 

 

1,610

 

 

3,295

 

 

138,300

2021 & 2022

(11)

 

 

33,815,842

 

 

9,079,729

 

 

237,868

 

 

 

 

237,868

 

 

237,868

 

 

 

 

237,868

 

 

 

 

303,761

 

 

303,761

 

 

4,563

 

 

5,131

 

 

218,839

Total

 

$

217,903,467

 

$

57,552,815

 

$

3,361,674

 

$

480,911

 

$

3,842,585

 

$

2,110,608

 

$

350,211

 

$

2,460,819

 

$

 

$

2,736,984

 

$

2,028,750

(12)

$

23,845

 

$

86,344

 

$

1,101,210

       

Quota Share Reinsurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses Ceded

 

Ceding Commission

 

Earned Premiums Ceded

 

 

Year

 

 

 

Remaining

Insurance

in Force

 

Remaining

Risk

in Force

 

Remaining Ceded

Insurance in Force

 

Remaining Ceded

Risk in Force

 

Quarter-to-Date

 

Year-to-Date

 

Quarter-to-Date

 

Year-to-Date

 

Quarter-to-Date

 

Year-to-Date

 

Reduction in

PMIERs Minimum

Required

Assets (9)

2019 & 2020

 

(7

)

 

$

65,434,808

 

$

16,603,792

 

$

14,520,550

 

$

3,645,733

 

$

(703

)

 

$

(14,360

)

 

$

3,099

 

$

13,580

 

$

5,031

 

$

10,763

 

$

220,812

2022

 

(8

)

 

 

60,546,185

 

 

16,331,557

 

 

12,109,237

 

 

3,266,311

 

 

2,089

 

 

 

3,087

 

 

 

1,749

 

 

3,936

 

 

5,413

 

 

10,566

 

 

228,185

Total

 

 

 

$

125,980,993

 

$

32,935,349

 

$

26,629,787

 

$

6,912,044

 

$

1,386

 

 

$

(11,273

)

 

$

4,848

 

$

17,516

 

$

10,444

 

$

21,329

 

$

448,997

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").

(2) Reinsurance provided by panels of reinsurers.

(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.

(4) Reinsurance coverage on new insurance written from September 1, 2019 through July 31, 2020. This ILN was called during the third quarter of 2022.

(5) Reinsurance coverage on new insurance written from August 1, 2020 through March 31, 2021.

(6) Reinsurance coverage on new insurance written from April 1, 2021 through September 30, 2021.

(7) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.

(8) Reinsurance coverage on 20% of all eligible policies written from January 1, 2022 through December 31, 2022.

(9) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.

(10) Reinsurance coverage on 20% of all eligible policies written from October 1, 2021 through December 31, 2022.

(11) Reinsurance coverage on new insurance written from October 1, 2021 through July 31, 2022.

(12) The total remaining first layer retention differs from the sum of the individual reinsurance transactions as a result of overlapping coverage between certain transactions.

 

 

 

 

 

 

Exhibit I

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Geographic Data

 

 

 

 

 

 

 

 

 

 

 

 

IIF by State

 

December 31, 2022

 

September 30, 2022

 

December 31, 2021

CA

13.2

%

 

13.2

%

 

13.1

%

TX

10.4

 

 

10.3

 

 

9.9

 

FL

10.2

 

 

10.1

 

 

9.7

 

CO

4.2

 

 

4.1

 

 

4.1

 

AZ

3.5

 

 

3.5

 

 

3.3

 

WA

3.4

 

 

3.4

 

 

3.7

 

GA

3.2

 

 

3.1

 

 

3.1

 

IL

3.1

 

 

3.1

 

 

3.3

 

VA

3.0

 

 

3.1

 

 

3.1

 

NJ

3.0

 

 

3.0

 

 

3.1

 

All Others

42.8

 

 

43.1

 

 

43.6

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

December 31, 2022

 

September 30, 2022

 

December 31, 2021

CA

13.0

%

 

13.0

%

 

13.0

%

TX

10.7

 

 

10.6

 

 

10.2

 

FL

10.5

 

 

10.5

 

 

10.0

 

CO

4.1

 

 

4.1

 

 

4.0

 

AZ

3.6

 

 

3.5

 

 

3.3

 

WA

3.3

 

 

3.3

 

 

3.6

 

GA

3.2

 

 

3.2

 

 

3.1

 

IL

3.0

 

 

3.1

 

 

3.2

 

VA

3.0

 

 

3.0

 

 

3.0

 

NJ

2.9

 

 

2.9

 

 

3.0

 

All Others

42.7

 

 

42.8

 

 

43.6

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit J

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Rollforward of Defaults and Reserve for Losses and LAE

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Insured Loans in Default

 

 

Three Months Ended

 

 

2022

 

2021

 

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

Beginning default inventory

 

 

12,435

 

 

 

12,707

 

 

 

14,923

 

 

 

16,963

 

 

 

19,721

 

Plus: new defaults (A)

 

 

7,505

 

 

 

6,448

 

 

 

5,495

 

 

 

6,188

 

 

 

5,809

 

Less: cures

 

 

(6,425

)

 

 

(6,642

)

 

 

(7,639

)

 

 

(8,167

)

 

 

(8,514

)

Less: claims paid

 

 

(73

)

 

 

(68

)

 

 

(65

)

 

 

(55

)

 

 

(47

)

Less: rescissions and denials, net

 

 

(9

)

 

 

(10

)

 

 

(7

)

 

 

(6

)

 

 

(6

)

Ending default inventory

 

 

13,433

 

 

 

12,435

 

 

 

12,707

 

 

 

14,923

 

 

 

16,963

 

 

 

 

 

 

 

 

 

 

 

 

(A) New defaults remaining as of December 31, 2022

 

 

5,744

 

 

 

2,541

 

 

 

1,489

 

 

 

981

 

 

 

514

 

Cure rate (1)

 

 

23

%

 

 

61

%

 

 

73

%

 

 

84

%

 

 

91

%

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

$

1,441

 

 

$

1,261

 

 

$

1,137

 

 

$

826

 

 

$

992

 

Average amount paid per claim (in thousands)

 

$

20

 

 

$

19

 

 

$

17

 

 

$

15

 

 

$

21

 

Severity

 

 

46

%

 

 

47

%

 

 

50

%

 

 

35

%

 

 

45

%

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

2022

 

2021

($ in thousands)

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

Reserve for losses and LAE at beginning of period

 

$

212,392

 

 

$

209,829

 

 

$

292,818

 

 

$

406,096

 

 

$

411,567

 

Less: Reinsurance recoverables

 

 

13,244

 

 

 

13,657

 

 

 

19,335

 

 

 

25,940

 

 

 

26,970

 

Net reserve for losses and LAE at beginning of period

 

 

199,148

 

 

 

196,172

 

 

 

273,483

 

 

 

380,156

 

 

 

384,597

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

36,141

 

 

 

20,144

 

 

 

18,720

 

 

 

24,346

 

 

 

13,231

 

Prior years

 

 

(32,012

)

 

 

(15,850

)

 

 

(94,809

)

 

 

(130,114

)

 

 

(16,624

)

Incurred losses and LAE during the period

 

 

4,129

 

 

 

4,294

 

 

 

(76,089

)

 

 

(105,768

)

 

 

(3,393

)

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

113

 

 

 

30

 

 

 

80

 

 

 

1

 

 

 

157

 

Prior years

 

 

1,392

 

 

 

1,288

 

 

 

1,142

 

 

 

904

 

 

 

891

 

Loss and LAE payments during the period

 

 

1,505

 

 

 

1,318

 

 

 

1,222

 

 

 

905

 

 

 

1,048

 

Net reserve for losses and LAE at end of period

 

 

201,772

 

 

 

199,148

 

 

 

196,172

 

 

 

273,483

 

 

 

380,156

 

Plus: Reinsurance recoverables

 

 

14,618

 

 

 

13,244

 

 

 

13,657

 

 

 

19,335

 

 

 

25,940

 

Reserve for losses and LAE at end of period

 

$

216,390

 

 

$

212,392

 

 

$

209,829

 

 

$

292,818

 

 

$

406,096

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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, 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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit L

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

 

December 31, 2022

 

December 31, 2021

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

 

$

556,438

 

 

11.7

%

 

$

448,793

 

9.1

%

U.S. agency securities

 

 

49,058

 

 

1.0

 

 

 

5,504

 

0.1

 

U.S. agency mortgage-backed securities

 

 

783,743

 

 

16.5

 

 

 

1,008,863

 

20.3

 

Municipal debt securities

 

 

602,690

 

 

12.8

 

 

 

627,599

 

12.7

 

Non-U.S. government securities

 

 

62,399

 

 

1.3

 

 

 

79,743

 

1.6

 

Corporate debt securities

 

 

1,414,321

 

 

29.8

 

 

 

1,455,247

 

29.3

 

Residential and commercial mortgage securities

 

 

511,824

 

 

10.8

 

 

 

545,423

 

11.0

 

Asset-backed securities

 

 

624,561

 

 

13.2

 

 

 

581,703

 

11.7

 

Money market funds

 

 

136,591

 

 

2.9

 

 

 

210,012

 

4.2

 

Total investments available for sale

 

$

4,741,625

 

 

100.0

%

 

$

4,962,887

 

100.0

%

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

 

December 31, 2022

 

December 31, 2021

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

 

$

2,226,951

 

 

46.9

%

 

$

2,412,273

 

48.6

%

Aa1

 

 

111,342

 

 

2.3

 

 

 

96,331

 

1.9

 

Aa2

 

 

327,742

 

 

6.9

 

 

 

354,951

 

7.2

 

Aa3

 

 

234,994

 

 

5.0

 

 

 

221,914

 

4.5

 

A1

 

 

421,752

 

 

8.9

 

 

 

263,820

 

5.3

 

A2

 

 

411,670

 

 

8.7

 

 

 

427,282

 

8.6

 

A3

 

 

268,928

 

 

5.7

 

 

 

274,525

 

5.5

 

Baa1

 

 

236,793

 

 

5.0

 

 

 

305,204

 

6.1

 

Baa2

 

 

221,308

 

 

4.7

 

 

 

274,011

 

5.5

 

Baa3

 

 

187,117

 

 

3.9

 

 

 

240,755

 

4.9

 

Below Baa3

 

 

93,028

 

 

2.0

 

 

 

91,821

 

1.9

 

Total investments available for sale

 

$

4,741,625

 

 

100.0

%

 

$

4,962,887

 

100.0

%

 

 

 

 

 

 

 

 

 

(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

 

December 31, 2022

 

December 31, 2021

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

 

$

1,245,839

 

 

26.3

%

 

$

1,104,397

 

22.2

%

1 to < 2 Years

 

 

534,038

 

 

11.3

 

 

 

561,297

 

11.3

 

2 to < 3 Years

 

 

511,701

 

 

10.8

 

 

 

539,174

 

10.9

 

3 to < 4 Years

 

 

525,683

 

 

11.1

 

 

 

593,663

 

12.0

 

4 to < 5 Years

 

 

400,540

 

 

8.4

 

 

 

663,127

 

13.4

 

5 or more Years

 

 

1,523,824

 

 

32.1

 

 

 

1,501,229

 

30.2

 

Total investments available for sale

 

$

4,741,625

 

 

100.0

%

 

$

4,962,887

 

100.0

%

 

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

 

Three months ended December 31, 2022

 

 

3.03

%

 

 

 

 

 

 

Year ended December 31, 2022

 

 

2.59

%

 

 

 

 

 

 

Holding company net cash and investments available for sale:

 

 

 

 

($ in thousands)

 

 

 

 

As of December 31, 2022

 

$

685,178

 

 

As of December 31, 2021

 

$

618,306

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit M

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

2022

 

2021

 

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

 

 

 

 

 

 

Combined statutory capital (1)

 

$

3,175,889

 

 

$

3,128,681

 

 

$

3,062,438

 

 

$

3,058,880

 

 

$

2,950,107

 

 

 

 

 

 

 

 

 

 

 

 

Combined net risk in force (2)

 

$

32,265,701

 

 

$

31,736,095

 

 

$

31,221,406

 

 

$

30,331,197

 

 

$

30,660,272

 

 

 

 

 

 

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc.

 

10.5:1

 

10.5:1

 

10.6:1

 

10.3:1

 

10.8:1

Essent Guaranty of PA, Inc.

 

0.6:1

 

0.6:1

 

0.6:1

 

0.7:1

 

0.8:1

Combined (4)

 

10.2:1

 

10.1:1

 

10.2:1

 

9.9:1

 

10.4:1

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

 

 

 

 

 

 

Available Assets

 

$

3,191,047

 

 

$

3,147,545

 

 

$

3,120,098

 

 

$

3,194,939

 

 

$

3,170,881

 

Minimum Required Assets

 

 

1,832,363

 

 

 

1,759,182

 

 

 

1,869,524

 

 

 

1,840,069

 

 

 

1,791,551

 

PMIERs excess Available Assets

 

$

1,358,684

 

 

$

1,388,363

 

 

$

1,250,574

 

 

$

1,354,870

 

 

$

1,379,330

 

PMIERs sufficiency ratio (6)

 

 

174

%

 

 

179

%

 

 

167

%

 

 

174

%

 

 

177

%

 

 

 

 

 

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

 

 

 

 

 

 

Stockholder's equity (GAAP basis)

 

$

1,478,772

 

 

$

1,397,287

 

 

$

1,380,067

 

 

$

1,330,840

 

 

$

1,301,937

 

 

 

 

 

 

 

 

 

 

 

 

Net risk in force (2)

 

$

19,454,046

 

 

$

18,694,500

 

 

$

17,758,801

 

 

$

16,527,587

 

 

$

15,997,129

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.

(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.

(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.

(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.

(5) Data is based on our interpretation of the PMIERs as of the dates indicated.

(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.

 

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