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.
View source
version on businesswire.com: https://www.businesswire.com/news/home/20230210005032/en/
Media 610.230.0556 media@essentgroup.com
Investor Relations Philip Stefano Vice President,
Investor Relations 855-809-ESNT ir@essentgroup.com
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