Essent Group Ltd. Announces Second Quarter 2022 Results and Increases Quarterly Dividend

August 05, 2022 6:30 AM

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2022 of $231.8 million or $2.16 per diluted share, compared to $159.8 million or $1.42 per diluted share for the quarter ended June 30, 2021.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.22 per common share. The dividend is payable on September 12, 2022, to shareholders of record on September 1, 2022.

“We are pleased with our strong financial results for the second quarter, which reflect the continued favorable credit performance of our portfolio,” said Mark A. Casale, Chairman and Chief Executive Officer. “We believe that the fundamentals of our business remain solid, and despite near-term headwinds, our long-term structural outlook for the housing market remains positive. In connection with that, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.22 per share."

Second Quarter 2022 Financial Highlights:

  • New insurance written for the second quarter was $20.1 billion, compared to $12.8 billion in the first quarter of 2022 and $25.0 billion in the second quarter of 2021.
  • Insurance in force as of June 30, 2022 was $215.9 billion, compared to $206.8 billion as of March 31, 2022 and $203.6 billion as of June 30, 2021.
  • The combined ratio for the second quarter was negative (16.2%), compared to negative (30.7%) in the first quarter of 2022 and 23.3% in the second quarter of 2021.
  • The provision in the second quarter of 2022 included a $62.9 million benefit associated with a change in the claim rate assumption for COVID-19 defaults recorded in the second and third quarters of 2020.
  • During the quarter, Essent entered into a forward excess of loss transaction with a panel of reinsurers. The agreement covers 20% of all eligible policies written by Essent Guaranty, Inc. for the period October 1, 2021 through December 31, 2022.

Conference Call:

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

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

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

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: 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 Ended June 30, 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 June 30,

 

Six Months Ended June 30,

(In thousands, except per share amounts)

2022

 

2021

 

2022

 

2021

Revenues:

 

 

 

 

 

 

 

Direct premiums written

$

232,660

 

 

$

228,949

 

 

$

452,914

 

 

$

464,206

 

Ceded premiums

 

(22,318

)

 

 

(26,662

)

 

 

(42,841

)

 

 

(57,558

)

Net premiums written

 

210,342

 

 

 

202,287

 

 

 

410,073

 

 

 

406,648

 

Decrease in unearned premiums

 

1,669

 

 

 

15,150

 

 

 

17,268

 

 

 

29,856

 

Net premiums earned

 

212,011

 

 

 

217,437

 

 

 

427,341

 

 

 

436,504

 

Net investment income

 

29,339

 

 

 

21,743

 

 

 

54,019

 

 

 

43,531

 

Realized investment (losses) gains, net

 

(471

)

 

 

(253

)

 

 

(7,823

)

 

 

388

 

Income from other invested assets

 

1,953

 

 

 

122

 

 

 

26,658

 

 

 

648

 

Other income

 

1,577

 

 

 

4,212

 

 

 

8,825

 

 

 

6,987

 

Total revenues

 

244,409

 

 

 

243,261

 

 

 

509,020

 

 

 

488,058

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

(Benefit) provision for losses and LAE

 

(76,199

)

 

 

9,651

 

 

 

(183,057

)

 

 

41,973

 

Other underwriting and operating expenses

 

41,898

 

 

 

41,114

 

 

 

82,694

 

 

 

83,353

 

Interest expense

 

2,887

 

 

 

2,073

 

 

 

5,113

 

 

 

4,124

 

Total losses and expenses

 

(31,414

)

 

 

52,838

 

 

 

(95,250

)

 

 

129,450

 

 

 

 

 

 

 

 

 

Income before income taxes

 

275,823

 

 

 

190,423

 

 

 

604,270

 

 

 

358,608

 

Income tax expense

 

44,054

 

 

 

30,628

 

 

 

98,334

 

 

 

63,165

 

Net income

$

231,769

 

 

$

159,795

 

 

$

505,936

 

 

$

295,443

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

2.17

 

 

$

1.43

 

 

$

4.70

 

 

$

2.64

 

Diluted

 

2.16

 

 

 

1.42

 

 

 

4.69

 

 

 

2.63

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

 

106,921

 

 

 

112,118

 

 

 

107,540

 

 

 

112,067

 

Diluted

 

107,283

 

 

 

112,454

 

 

 

107,933

 

 

 

112,416

 

 

 

 

 

 

 

 

 

Net income

$

231,769

 

 

$

159,795

 

 

$

505,936

 

 

$

295,443

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

Change in unrealized appreciation (depreciation) of investments

 

(134,268

)

 

 

36,360

 

 

 

(337,274

)

 

 

(22,843

)

Total other comprehensive income (loss)

 

(134,268

)

 

 

36,360

 

 

 

(337,274

)

 

 

(22,843

)

Comprehensive income

$

97,501

 

 

$

196,155

 

 

$

168,662

 

 

$

272,600

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio

 

(35.9

%)

 

 

4.4

%

 

 

(42.8

%)

 

 

9.6

%

Expense ratio

 

19.8

 

 

 

18.9

 

 

 

19.4

 

 

 

19.1

 

Combined ratio

 

(16.2

%)

 

 

23.3

%

 

 

(23.5

%)

 

 

28.7

%

 

 

 

Exhibit B

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

June 30,

 

December 31,

(In thousands, except per share amounts)

2022

 

2021

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

4,264,715

 

 

$

4,649,800

 

Short-term investments available for sale, at fair value

 

355,625

 

 

 

313,087

 

Total investments available for sale

 

4,620,340

 

 

 

4,962,887

 

Other invested assets

 

217,757

 

 

 

170,472

 

Total investments

 

4,838,097

 

 

 

5,133,359

 

Cash

 

77,852

 

 

 

81,491

 

Accrued investment income

 

26,716

 

 

 

26,546

 

Accounts receivable

 

51,281

 

 

 

46,157

 

Deferred policy acquisition costs

 

10,809

 

 

 

12,178

 

Property and equipment

 

20,569

 

 

 

11,921

 

Prepaid federal income tax

 

391,910

 

 

 

360,810

 

Other assets

 

103,868

 

 

 

49,712

 

 

 

 

 

Total assets

$

5,521,102

 

 

$

5,722,174

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

209,973

 

 

$

407,445

 

Unearned premium reserve

 

168,117

 

 

 

185,385

 

Net deferred tax liability

 

348,374

 

 

 

373,654

 

Credit facility borrowings, net of deferred costs

 

420,336

 

 

 

419,823

 

Other accrued liabilities

 

102,307

 

 

 

99,753

 

Total liabilities

 

1,249,107

 

 

 

1,486,060

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 107,696 shares in 2022 and 109,377 shares in 2021

 

1,615

 

 

 

1,641

 

Additional paid-in capital

 

1,340,650

 

 

 

1,428,952

 

Accumulated other comprehensive (loss) income

 

(286,567

)

 

 

50,707

 

Retained earnings

 

3,216,297

 

 

 

2,754,814

 

Total stockholders' equity

 

4,271,995

 

 

 

4,236,114

 

 

 

 

 

Total liabilities and stockholders' equity

$

5,521,102

 

 

$

5,722,174

 

 

 

 

 

Return on average equity (1)

 

23.8

%

 

 

16.8

%

(1) The 2022 return on average equity is calculated by dividing annualized year-to-date 2022 net income by average equity. The 2021 return on average equity is calculated by dividing full year 2021 net income by average equity.

 

 

 

 

 

 

 

 

 

 

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

2022

 

2021

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

 

$

198,891

 

 

$

203,312

 

 

$

205,877

 

 

$

207,127

 

 

$

204,149

 

GSE and other risk share

 

 

13,120

 

 

 

12,018

 

 

 

11,444

 

 

 

11,591

 

 

 

13,288

 

Net premiums earned

 

 

212,011

 

 

 

215,330

 

 

 

217,321

 

 

 

218,718

 

 

 

217,437

 

Net investment income

 

 

29,339

 

 

 

24,680

 

 

 

23,661

 

 

 

21,573

 

 

 

21,743

 

Realized investment (losses) gains, net

 

 

(471

)

 

 

(7,352

)

 

 

(191

)

 

 

221

 

 

 

(253

)

Income from other invested assets (1)

 

 

1,953

 

 

 

24,705

 

 

 

14,997

 

 

 

40,741

 

 

 

122

 

Other income (2)

 

 

1,577

 

 

 

7,248

 

 

 

1,128

 

 

 

2,283

 

 

 

4,212

 

Total revenues

 

 

244,409

 

 

 

264,611

 

 

 

256,916

 

 

 

283,536

 

 

 

243,261

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

(Benefit) provision for losses and LAE

 

 

(76,199

)

 

 

(106,858

)

 

 

(3,433

)

 

 

(7,483

)

 

 

9,651

 

Other underwriting and operating expenses

 

 

41,898

 

 

 

40,796

 

 

 

41,232

 

 

 

42,272

 

 

 

41,114

 

Interest expense

 

 

2,887

 

 

 

2,226

 

 

 

2,095

 

 

 

2,063

 

 

 

2,073

 

Total losses and expenses

 

 

(31,414

)

 

 

(63,836

)

 

 

39,894

 

 

 

36,852

 

 

 

52,838

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

 

275,823

 

 

 

328,447

 

 

 

217,022

 

 

 

246,684

 

 

 

190,423

 

Income tax expense (3)

 

 

44,054

 

 

 

54,280

 

 

 

36,035

 

 

 

41,331

 

 

 

30,628

 

Net income

 

$

231,769

 

 

$

274,167

 

 

$

180,987

 

 

$

205,353

 

 

$

159,795

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

2.17

 

 

$

2.53

 

 

$

1.65

 

 

$

1.85

 

 

$

1.43

 

Diluted

 

 

2.16

 

 

 

2.52

 

 

 

1.64

 

 

 

1.84

 

 

 

1.42

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

 

106,921

 

 

 

108,166

 

 

 

109,550

 

 

 

111,001

 

 

 

112,118

 

Diluted

 

 

107,283

 

 

 

108,590

 

 

 

110,028

 

 

 

111,387

 

 

 

112,454

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

39.67

 

 

$

38.98

 

 

$

38.73

 

 

$

37.58

 

 

$

36.32

 

Return on average equity (annualized)

 

 

21.8

%

 

 

26.0

%

 

 

17.2

%

 

 

19.9

%

 

 

16.0

%

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

Loss ratio (4)

 

 

(35.9

%)

 

 

(49.6

%)

 

 

(1.6

%)

 

 

(3.4

%)

 

 

4.4

%

Expense ratio (5)

 

 

19.8

 

 

 

18.9

 

 

 

19.0

 

 

 

19.3

 

 

 

18.9

 

Combined ratio

 

 

(16.2

%)

 

 

(30.7

%)

 

 

17.4

%

 

 

15.9

%

 

 

23.3

%

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

 

$

325,000

 

 

$

325,000

 

Undrawn committed capacity

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

 

$

300,000

 

 

$

300,000

 

Weighted average interest rate (end of period)

 

 

2.92

%

 

 

1.99

%

 

 

1.79

%

 

 

2.13

%

 

 

2.13

%

Debt-to-capital

 

 

9.05

%

 

 

9.16

%

 

 

9.12

%

 

 

7.23

%

 

 

7.37

%

(1) Income from other invested assets for the three months ended September 30, 2021 includes $39.5 million of net unrealized gains, which includes $21.1 million of net unrealized gains that were accumulated in other comprehensive income at June 30, 2021 and prior periods.

(2) 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: June 30, 2022: ($5,549); March 31, 2022: $4,365; December 31, 2021: ($2,931); September 30, 2021: ($1,493); June 30, 2021: $950.

(3) 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 June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021 includes ($299), $7,002, $1,759 and $8,271, respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses.

(4) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.

(5) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.

 

 

 

 

 

 

 

 

Exhibit C, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

2022

 

2021

Other Data, continued:

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

20,096,135

 

 

$

12,841,482

 

 

$

16,379,082

 

 

$

23,579,884

 

 

$

25,004,854

 

New risk written

 

 

5,442,115

 

 

 

3,438,016

 

 

 

4,331,531

 

 

 

6,273,735

 

 

 

6,445,864

 

 

 

 

 

 

 

 

 

 

 

 

Bulk:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

196

 

 

$

 

 

$

416

 

 

$

 

 

$

 

New risk written

 

 

29

 

 

 

 

 

 

41

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

20,096,331

 

 

$

12,841,482

 

 

$

16,379,498

 

 

$

23,579,884

 

 

$

25,004,854

 

New risk written

 

$

5,442,144

 

 

$

3,438,016

 

 

$

4,331,572

 

 

$

6,273,735

 

 

$

6,445,864

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

$

210,896,297

 

 

$

206,631,135

 

 

$

207,388,906

 

 

$

206,732,478

 

 

$

199,739,297

 

Insurance in force (end of period)

 

$

215,896,531

 

 

$

206,842,996

 

 

$

207,190,544

 

 

$

208,216,549

 

 

$

203,559,859

 

Gross risk in force (end of period) (6)

 

$

55,678,063

 

 

$

52,847,985

 

 

$

52,554,246

 

 

$

52,457,020

 

 

$

50,835,835

 

Risk in force (end of period)

 

$

47,289,910

 

 

$

45,261,164

 

 

$

45,273,383

 

 

$

45,074,159

 

 

$

42,906,519

 

Policies in force

 

 

789,652

 

 

 

774,002

 

 

 

785,119

 

 

 

798,877

 

 

 

794,743

 

Weighted average coverage (7)

 

 

25.8

%

 

 

25.5

%

 

 

25.4

%

 

 

25.2

%

 

 

25.0

%

Annual persistency

 

 

73.4

%

 

 

69.1

%

 

 

65.4

%

 

 

62.2

%

 

 

58.3

%

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

 

12,707

 

 

 

14,923

 

 

 

16,963

 

 

 

19,721

 

 

 

23,504

 

Percentage of loans in default

 

 

1.61

%

 

 

1.93

%

 

 

2.16

%

 

 

2.47

%

 

 

2.96

%

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio premium rate:

 

 

 

 

 

 

 

 

Base average premium rate (8)

 

 

0.41

%

 

 

0.41

%

 

 

0.42

%

 

 

0.42

%

 

 

0.43

%

Single premium cancellations (9)

 

 

0.01

%

 

 

0.02

%

 

 

0.03

%

 

 

0.03

%

 

 

0.03

%

Gross average premium rate

 

 

0.42

%

 

 

0.43

%

 

 

0.45

%

 

 

0.45

%

 

 

0.46

%

Ceded premiums

 

 

(0.04

%)

 

 

(0.04

%)

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.05

%)

Net average premium rate

 

 

0.38

%

 

 

0.39

%

 

 

0.40

%

 

 

0.40

%

 

 

0.41

%

(6) Gross risk in force includes risk ceded under third-party reinsurance.

(7) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.

(8) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.

(9) Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.

 

 

 

 

 

 

 

 

 

Exhibit D

Essent Group Ltd. and Subsidiaries

Supplemental Information

New Insurance Written: Flow

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Credit Score

 

Three Months Ended

 

Six Months Ended

 

June 30, 2022

 

June 30, 2021

 

June 30, 2022

 

June 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

8,555,331

 

42.6

%

 

$

10,050,359

 

40.2

%

 

$

13,965,985

 

42.4

%

 

$

18,521,480

 

41.9

%

740-759

 

3,421,392

 

17.0

 

 

 

3,812,462

 

15.2

 

 

 

5,534,624

 

16.8

 

 

 

6,965,789

 

15.7

 

720-739

 

3,105,275

 

15.4

 

 

 

3,906,718

 

15.6

 

 

 

5,096,593

 

15.5

 

 

 

6,660,014

 

15.0

 

700-719

 

2,554,997

 

12.7

 

 

 

3,624,247

 

14.5

 

 

 

4,175,470

 

12.7

 

 

 

5,982,881

 

13.5

 

680-699

 

1,785,196

 

8.9

 

 

 

2,266,364

 

9.1

 

 

 

2,932,962

 

8.9

 

 

 

3,493,772

 

7.9

 

<=679

 

673,944

 

3.4

 

 

 

1,344,704

 

5.4

 

 

 

1,231,983

 

3.7

 

 

 

2,634,932

 

6.0

 

Total

$

20,096,135

 

100.0

%

 

$

25,004,854

 

100.0

%

 

$

32,937,617

 

100.0

%

 

$

44,258,868

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

747

 

 

 

 

744

 

 

 

 

747

 

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Six Months Ended

 

June 30, 2022

 

June 30, 2021

 

June 30, 2022

 

June 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

1,675,255

 

8.3

%

 

$

3,355,412

 

13.4

%

 

$

2,937,293

 

8.9

%

 

$

7,323,988

 

16.6

%

85.01% to 90.00%

 

5,487,721

 

27.3

 

 

 

6,890,377

 

27.6

 

 

 

8,903,659

 

27.0

 

 

 

13,332,374

 

30.1

 

90.01% to 95.00%

 

10,874,315

 

54.1

 

 

 

11,463,713

 

45.8

 

 

 

17,290,570

 

52.5

 

 

 

18,516,235

 

41.8

 

95.01% and above

 

2,058,844

 

10.3

 

 

 

3,295,352

 

13.2

 

 

 

3,806,095

 

11.6

 

 

 

5,086,271

 

11.5

 

Total

$

20,096,135

 

100.0

%

 

$

25,004,854

 

100.0

%

 

$

32,937,617

 

100.0

%

 

$

44,258,868

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

92

%

 

 

 

93

%

 

 

 

91

%

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Six Months Ended

 

June 30, 2022

 

June 30, 2021

 

June 30, 2022

 

June 30, 2021

Single Premium policies

 

6.5

%

 

 

3.4

%

 

 

4.7

%

 

 

4.9

%

Monthly Premium policies

 

93.5

 

 

 

96.6

 

 

 

95.3

 

 

 

95.1

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Six Months Ended

 

June 30, 2022

 

June 30, 2021

 

June 30, 2022

 

June 30, 2021

Purchase

 

98.0

%

 

 

82.3

%

 

 

96.5

%

 

 

73.6

%

Refinance

 

2.0

 

 

 

17.7

 

 

 

3.5

 

 

 

26.4

 

 

 

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, 2022

 

March 31, 2022

 

June 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

89,790,212

 

41.6

%

 

$

85,707,070

 

41.4

%

 

$

84,110,514

 

41.3

%

740-759

 

36,606,394

 

17.0

 

 

 

35,048,891

 

17.0

 

 

 

34,636,115

 

17.0

 

720-739

 

32,637,422

 

15.1

 

 

 

31,180,765

 

15.1

 

 

 

30,471,320

 

15.0

 

700-719

 

27,258,759

 

12.6

 

 

 

26,040,114

 

12.6

 

 

 

25,177,026

 

12.4

 

680-699

 

17,697,662

 

8.2

 

 

 

16,847,202

 

8.1

 

 

 

15,962,389

 

7.8

 

<=679

 

11,906,082

 

5.5

 

 

 

12,018,954

 

5.8

 

 

 

13,202,495

 

6.5

 

Total

$

215,896,531

 

100.0

%

 

$

206,842,996

 

100.0

%

 

$

203,559,859

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

 

 

746

 

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

June 30, 2022

 

March 31, 2022

 

June 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

22,956,271

 

41.2

%

 

$

21,707,751

 

41.1

%

 

$

20,807,006

 

40.9

%

740-759

 

9,540,921

 

17.1

 

 

 

9,041,350

 

17.1

 

 

 

8,729,038

 

17.2

 

720-739

 

8,545,969

 

15.3

 

 

 

8,091,445

 

15.3

 

 

 

7,745,794

 

15.2

 

700-719

 

7,107,888

 

12.8

 

 

 

6,724,288

 

12.7

 

 

 

6,342,378

 

12.5

 

680-699

 

4,601,675

 

8.3

 

 

 

4,338,206

 

8.2

 

 

 

3,998,410

 

7.9

 

<=679

 

2,925,339

 

5.3

 

 

 

2,944,945

 

5.6

 

 

 

3,213,209

 

6.3

 

Total

$

55,678,063

 

100.0

%

 

$

52,847,985

 

100.0

%

 

$

50,835,835

 

100.0

%

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

June 30, 2022

 

March 31, 2022

 

June 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

25,510,400

 

11.8

%

 

$

26,057,055

 

12.6

%

 

$

29,045,720

 

14.3

%

85.01% to 90.00%

 

61,304,806

 

28.4

 

 

 

59,113,908

 

28.6

 

 

 

60,027,287

 

29.5

 

90.01% to 95.00%

 

98,938,435

 

45.8

 

 

 

92,460,810

 

44.7

 

 

 

87,382,625

 

42.9

 

95.01% and above

 

30,142,890

 

14.0

 

 

 

29,211,223

 

14.1

 

 

 

27,104,227

 

13.3

 

Total

$

215,896,531

 

100.0

%

 

$

206,842,996

 

100.0

%

 

$

203,559,859

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

92

%

 

 

 

92

%

 

 

 

92

%

 

 

 

 

 

 

 

Gross RIF by LTV

June 30, 2022

 

March 31, 2022

 

June 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

3,012,030

 

5.4

%

 

$

3,062,878

 

5.8

%

 

$

3,360,970

 

6.6

%

85.01% to 90.00%

 

14,868,579

 

26.7

 

 

 

14,288,854

 

27.0

 

 

 

14,421,749

 

28.4

 

90.01% to 95.00%

 

28,921,722

 

52.0

 

 

 

26,960,457

 

51.0

 

 

 

25,329,870

 

49.8

 

95.01% and above

 

8,875,732

 

15.9

 

 

 

8,535,796

 

16.2

 

 

 

7,723,246

 

15.2

 

Total

$

55,678,063

 

100.0

%

 

$

52,847,985

 

100.0

%

 

$

50,835,835

 

100.0

%

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

June 30, 2022

 

March 31, 2022

 

June 30, 2021

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

$

207,888,842

 

96.3

%

 

$

198,658,948

 

96.1

%

 

$

192,995,698

 

94.8

%

FRM 20-25 years

 

3,114,962

 

1.4

 

 

 

3,365,533

 

1.6

 

 

 

4,269,217

 

2.1

 

FRM 15 years

 

3,222,801

 

1.5

 

 

 

3,580,416

 

1.7

 

 

 

4,742,281

 

2.3

 

ARM 5 years and higher

 

1,669,926

 

0.8

 

 

 

1,238,099

 

0.6

 

 

 

1,552,663

 

0.8

 

Total

$

215,896,531

 

100.0

%

 

$

206,842,996

 

100.0

%

 

$

203,559,859

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Exhibit F

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

2022

 

2021

($ in thousands)

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

1,898,364

 

 

$

1,888,437

 

 

$

1,788,918

 

 

$

1,568,800

 

 

$

1,496,247

 

Reserve for losses and LAE

 

$

144

 

 

$

254

 

 

$

1,349

 

 

$

1,389

 

 

$

1,390

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

748

 

 

 

748

 

 

 

748

 

 

 

748

 

 

 

747

 

Weighted average LTV

 

 

84

%

 

 

84

%

 

 

84

%

 

 

84

%

 

 

84

%

(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit G

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Vintage Data

June 30, 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

$

2,490,613

4.1

%

15,566

4.33

%

79.1

%

71.1

%

5.6

%

15.1

%

43.0

%

2.7

%

615

3.95

%

2015

 

26,193,656

 

2,332,124

8.9

 

13,792

4.18

 

86.4

 

72.4

 

3.9

 

17.8

 

39.6

 

2.8

 

492

3.57

 

2016

 

34,949,319

 

5,030,997

14.4

 

27,817

3.86

 

88.4

 

68.3

 

9.5

 

15.5

 

43.5

 

3.1

 

907

3.26

 

2017

 

43,858,322

 

6,809,618

15.5

 

38,842

4.26

 

91.0

 

67.6

 

19.4

 

20.1

 

38.1

 

4.4

 

1,626

4.19

 

2018

 

47,508,525

 

7,611,480

16.0

 

41,168

4.78

 

94.0

 

67.9

 

24.2

 

21.4

 

33.0

 

6.0

 

2,003

4.87

 

2019

 

63,569,183

 

16,560,800

26.1

 

76,072

4.21

 

86.7

 

66.0

 

23.1

 

18.8

 

35.6

 

8.1

 

2,437

3.20

 

2020

 

107,944,065

 

67,409,464

62.4

 

247,090

3.18

 

64.6

 

53.0

 

11.7

 

10.8

 

45.3

 

6.3

 

2,814

1.14

 

2021

 

84,218,250

 

75,326,623

89.4

 

238,857

3.07

 

83.5

 

59.7

 

14.3

 

14.0

 

40.4

 

9.0

 

1,727

0.72

 

2022 (through June 30)

 

32,937,813

 

32,324,812

98.1

 

90,448

4.40

 

96.5

 

64.2

 

11.7

 

12.7

 

42.1

 

6.5

 

86

0.10

 

Total

$

501,847,984

$

215,896,531

43.0

 

789,652

3.53

 

80.5

 

59.8

 

14.0

 

13.7

 

41.6

 

4.7

 

12,707

1.61

 

(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, 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

$

7,103,695

$

1,923,750

 

$

333,844

$

$

333,844

 

$

92,252

$

$

92,252

 

$

 

$

208,111

$

206,949

 

$

867

$

1,836

 

$

2017

 

6,635,437

 

1,737,626

 

 

424,412

 

165,167

 

589,579

 

 

242,123

 

163,289

 

405,412

 

 

 

 

224,689

 

216,924

 

 

2,878

 

5,540

 

 

2018

 

7,501,596

 

1,923,568

 

 

473,184

 

118,650

 

591,834

 

 

325,537

 

76,144

 

401,681

 

 

 

 

253,643

 

249,142

 

 

3,465

 

6,657

 

 

2019 (3)

 

9,163,963

 

2,349,594

 

 

495,889

 

55,102

 

550,991

 

 

495,889

 

55,102

 

550,991

 

 

 

 

215,605

 

214,983

 

 

3,162

 

5,922

 

 

2019 & 2020 (4)

 

26,585,463

 

6,789,598

 

 

399,159

 

 

399,159

 

 

64,499

 

 

64,499

 

 

 

 

465,690

 

465,676

 

 

1,676

 

4,173

 

 

2020 & 2021 (5)

 

45,196,322

 

11,204,778

 

 

557,911

 

 

557,911

 

 

519,999

 

 

519,999

 

 

 

 

278,956

 

278,919

 

 

3,614

 

7,217

 

 

474,736

2021 (6)

 

43,511,188

 

11,508,673

 

 

439,407

 

 

439,407

 

 

439,407

 

 

439,407

 

 

 

 

279,415

 

279,415

 

 

4,205

 

8,356

 

 

379,188

2021 & 2022 (10)

 

47,680,467

 

12,798,770

 

 

 

89,591

 

89,591

 

 

 

89,591

 

89,591

 

 

 

 

319,969

 

319,969

 

 

336

 

336

 

 

88,670

Total

$

193,378,131

$

50,236,357

 

$

3,123,806

$

428,510

$

3,552,316

 

$

2,179,706

$

384,126

$

2,563,832

 

$

 

$

2,246,078

$

2,231,977

 

$

20,203

$

40,037

 

$

942,594

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)

$

74,399,753

$

18,667,689

 

$

16,422,951

 

$

4,078,992

 

$

(5,954

)

$

(12,573

)

 

$

3,467

$

7,215

 

$

460

$

775

 

$

264,432

2022

(8)

 

32,285,262

 

8,717,258

 

 

6,457,052

 

 

1,743,452

 

 

289

 

 

312

 

 

 

707

 

892

 

 

1,633

 

2,007

 

 

118,723

Total

 

$

106,685,015

$

27,384,947

 

$

22,880,003

 

$

5,822,444

 

$

(5,665

)

$

(12,261

)

 

$

4,174

$

8,107

 

$

2,093

$

2,782

 

$

383,155

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

(2) Reinsurance provided by panels of reinsurers.

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

(4) Reinsurance coverage on new insurance written from September 1, 2019 through July 31, 2020.

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

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

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

(8) 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.

 

 

 

 

 

Exhibit I

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Geographic Data

 

 

 

 

 

 

IIF by State

 

June 30, 2022

 

March 31, 2022

 

June 30, 2021

CA

13.2

%

 

13.2

%

 

12.9

%

TX

10.2

 

 

10.0

 

 

9.8

 

FL

10.0

 

 

9.9

 

 

9.3

 

CO

4.2

 

 

4.1

 

 

4.1

 

WA

3.5

 

 

3.6

 

 

3.7

 

AZ

3.4

 

 

3.3

 

 

3.5

 

IL

3.2

 

 

3.3

 

 

3.3

 

GA

3.1

 

 

3.1

 

 

3.1

 

VA

3.1

 

 

3.1

 

 

3.1

 

NJ

3.1

 

 

3.1

 

 

3.1

 

All Others

43.0

 

 

43.3

 

 

44.1

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

June 30, 2022

 

March 31, 2022

 

June 30, 2021

CA

13.0

%

 

13.1

%

 

12.7

%

TX

10.6

 

 

10.4

 

 

10.1

 

FL

10.3

 

 

10.2

 

 

9.6

 

CO

4.1

 

 

4.0

 

 

4.1

 

AZ

3.4

 

 

3.4

 

 

3.4

 

WA

3.4

 

 

3.6

 

 

3.6

 

GA

3.2

 

 

3.2

 

 

3.1

 

IL

3.1

 

 

3.2

 

 

3.2

 

VA

3.0

 

 

3.0

 

 

3.0

 

NJ

2.9

 

 

3.0

 

 

3.0

 

All Others

43.0

 

 

42.9

 

 

44.2

 

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

 

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

Beginning default inventory

 

 

14,923

 

 

 

16,963

 

 

 

19,721

 

 

 

23,504

 

 

 

29,080

 

Plus: new defaults (A)

 

 

5,495

 

 

 

6,188

 

 

 

5,809

 

 

 

5,132

 

 

 

4,934

 

Less: cures

 

 

(7,639

)

 

 

(8,167

)

 

 

(8,514

)

 

 

(8,862

)

 

 

(10,453

)

Less: claims paid

 

 

(65

)

 

 

(55

)

 

 

(47

)

 

 

(41

)

 

 

(46

)

Less: rescissions and denials, net

 

 

(7

)

 

 

(6

)

 

 

(6

)

 

 

(12

)

 

 

(11

)

Ending default inventory

 

 

12,707

 

 

 

14,923

 

 

 

16,963

 

 

 

19,721

 

 

 

23,504

 

 

 

 

 

 

 

 

 

 

 

 

(A) New defaults remaining as of June 30, 2022

 

 

3,928

 

 

 

2,225

 

 

 

1,483

 

 

 

955

 

 

 

556

 

Cure rate (1)

 

 

29

%

 

 

64

%

 

 

74

%

 

 

81

%

 

 

89

%

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

$

1,137

 

 

$

826

 

 

$

992

 

 

$

1,069

 

 

$

1,154

 

Average amount paid per claim (in thousands)

 

$

17

 

 

$

15

 

 

$

21

 

 

$

26

 

 

$

25

 

Severity

 

 

50

%

 

 

35

%

 

 

45

%

 

 

60

%

 

 

57

%

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

2022

 

2021

($ in thousands)

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

Reserve for losses and LAE at beginning of period

 

$

292,818

 

 

$

406,096

 

 

$

411,567

 

 

$

420,482

 

 

$

409,811

 

Less: Reinsurance recoverables

 

 

19,335

 

 

 

25,940

 

 

 

26,970

 

 

 

27,286

 

 

 

24,907

 

Net reserve for losses and LAE at beginning of period

 

 

273,483

 

 

 

380,156

 

 

 

384,597

 

 

 

393,196

 

 

 

384,904

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

18,720

 

 

 

24,346

 

 

 

13,231

 

 

 

11,371

 

 

 

24,534

 

Prior years

 

 

(94,809

)

 

 

(130,114

)

 

 

(16,624

)

 

 

(18,853

)

 

 

(14,961

)

Incurred losses and LAE during the period

 

 

(76,089

)

 

 

(105,768

)

 

 

(3,393

)

 

 

(7,482

)

 

 

9,573

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

80

 

 

 

1

 

 

 

157

 

 

 

103

 

 

 

14

 

Prior years

 

 

1,142

 

 

 

904

 

 

 

891

 

 

 

1,014

 

 

 

1,267

 

Loss and LAE payments during the period

 

 

1,222

 

 

 

905

 

 

 

1,048

 

 

 

1,117

 

 

 

1,281

 

Net reserve for losses and LAE at end of period

 

 

196,172

 

 

 

273,483

 

 

 

380,156

 

 

 

384,597

 

 

 

393,196

 

Plus: Reinsurance recoverables

 

 

13,657

 

 

 

19,335

 

 

 

25,940

 

 

 

26,970

 

 

 

27,286

 

Reserve for losses and LAE at end of period

 

$

209,829

 

 

$

292,818

 

 

$

406,096

 

 

$

411,567

 

 

$

420,482

 

(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, 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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 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

 

3,926

 

17

%

$

25,915

7

%

$

234,604

11

%

Four to eleven payments

 

9,316

 

40

 

 

147,383

38

 

 

585,390

25

 

Twelve or more payments

 

10,217

 

43

 

 

212,634

55

 

 

680,733

31

 

Pending claims

 

45

 

 

 

1,758

 

 

2,139

82

 

Total case reserves

 

23,504

 

100

%

 

387,690

100

%

$

1,502,866

26

 

IBNR

 

 

 

 

29,077

 

 

 

LAE

 

 

 

 

3,715

 

 

 

Total reserves for losses and LAE

 

 

 

$

420,482

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

16.5

 

 

 

Total

 

 

 

$

17.9

 

 

 

 

 

 

 

 

 

 

 

Default Rate

2.96

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit L

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

 

June 30, 2022

 

December 31, 2021

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

 

$

470,146

 

 

10.2

%

 

$

448,793

 

9.1

%

U.S. agency securities

 

 

2,000

 

 

 

 

 

5,504

 

0.1

 

U.S. agency mortgage-backed securities

 

 

783,438

 

 

17.0

 

 

 

1,008,863

 

20.3

 

Municipal debt securities

 

 

540,772

 

 

11.7

 

 

 

627,599

 

12.7

 

Non-U.S. government securities

 

 

65,135

 

 

1.4

 

 

 

79,743

 

1.6

 

Corporate debt securities

 

 

1,354,110

 

 

29.3

 

 

 

1,455,247

 

29.3

 

Residential and commercial mortgage securities

 

 

545,999

 

 

11.8

 

 

 

545,423

 

11.0

 

Asset-backed securities

 

 

618,115

 

 

13.4

 

 

 

581,703

 

11.7

 

Money market funds

 

 

240,625

 

 

5.2

 

 

 

210,012

 

4.2

 

Total investments available for sale

 

$

4,620,340

 

 

100.0

%

 

$

4,962,887

 

100.0

%

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

 

June 30, 2022

 

December 31, 2021

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

 

$

2,247,042

 

 

48.6

%

 

$

2,412,273

 

48.6

%

Aa1

 

 

87,609

 

 

1.9

 

 

 

96,331

 

1.9

 

Aa2

 

 

340,956

 

 

7.4

 

 

 

354,951

 

7.2

 

Aa3

 

 

212,582

 

 

4.6

 

 

 

221,914

 

4.5

 

A1

 

 

343,606

 

 

7.4

 

 

 

263,820

 

5.3

 

A2

 

 

379,762

 

 

8.2

 

 

 

427,282

 

8.6

 

A3

 

 

237,827

 

 

5.2

 

 

 

274,525

 

5.5

 

Baa1

 

 

237,793

 

 

5.1

 

 

 

305,204

 

6.1

 

Baa2

 

 

212,313

 

 

4.6

 

 

 

274,011

 

5.5

 

Baa3

 

 

211,721

 

 

4.6

 

 

 

240,755

 

4.9

 

Below Baa3

 

 

109,129

 

 

2.4

 

 

 

91,821

 

1.9

 

Total investments available for sale

 

$

4,620,340

 

 

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

 

June 30, 2022

 

December 31, 2021

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

 

$

1,225,902

 

 

26.5

%

 

$

1,104,397

 

22.2

%

1 to < 2 Years

 

 

377,295

 

 

8.2

 

 

 

561,297

 

11.3

 

2 to < 3 Years

 

 

525,739

 

 

11.4

 

 

 

539,174

 

10.9

 

3 to < 4 Years

 

 

469,535

 

 

10.2

 

 

 

593,663

 

12.0

 

4 to < 5 Years

 

 

601,988

 

 

13.0

 

 

 

663,127

 

13.4

 

5 or more Years

 

 

1,419,881

 

 

30.7

 

 

 

1,501,229

 

30.2

 

Total investments available for sale

 

$

4,620,340

 

 

100.0

%

 

$

4,962,887

 

100.0

%

 

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

 

Three months ended June 30, 2022

 

 

2.50

%

 

 

 

 

 

 

Six months ended June 30, 2022

 

 

2.30

%

 

 

 

 

 

 

Holding company net cash and investments available for sale:

 

 

 

($ in thousands)

 

 

 

As of June 30, 2022

 

$

619,165

 

As of December 31, 2021

 

$

618,306

 

 

 

 

 

 

 

 

 

 

 

Exhibit M

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

2022

 

2021

 

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

($ in thousands)

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

 

 

 

 

 

 

Combined statutory capital (1)

 

$

3,062,438

 

 

$

3,058,880

 

 

$

2,950,107

 

 

$

2,916,802

 

 

$

2,809,087

 

 

 

 

 

 

 

 

 

 

 

 

Combined net risk in force (2)

 

$

31,221,406

 

 

$

30,331,197

 

 

$

30,660,272

 

 

$

30,766,379

 

 

$

29,646,042

 

 

 

 

 

 

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc.

 

10.6:1

 

10.3:1

 

10.8:1

 

10.9:1

 

10.9:1

Essent Guaranty of PA, Inc.

 

0.6:1

 

0.7:1

 

0.8:1

 

1.0:1

 

1.1:1

Combined (4)

 

10.2:1

 

9.9:1

 

10.4:1

 

10.5:1

 

10.6:1

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

 

 

 

 

 

 

Available Assets

 

$

3,120,098

 

 

$

3,194,939

 

 

$

3,170,881

 

 

$

3,161,780

 

 

$

3,016,050

 

Minimum Required Assets

 

 

1,869,524

 

 

 

1,840,069

 

 

 

1,791,551

 

 

 

1,951,096

 

 

 

1,731,843

 

PMIERs excess Available Assets

 

$

1,250,574

 

 

$

1,354,870

 

 

$

1,379,330

 

 

$

1,210,684

 

 

$

1,284,207

 

PMIERs sufficiency ratio (6)

 

 

167

%

 

 

174

%

 

 

177

%

 

 

162

%

 

 

174

%

 

 

 

 

 

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

 

 

 

 

 

 

 

 

Stockholder's equity (GAAP basis)

 

$

1,380,067

 

 

$

1,330,840

 

 

$

1,301,937

 

 

$

1,249,996

 

 

$

1,192,077

 

 

 

 

 

 

 

 

 

 

 

 

Net risk in force (2)

 

$

17,758,801

 

 

$

16,527,587

 

 

$

15,997,129

 

 

$

15,466,651

 

 

$

14,338,567

 

(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.

 

Media
610.230.0556
media@essentgroup.com

Investor Relations
Philip Stefano
Vice President, Investor Relations
855-809-ESNT
ir@essentgroup.com

Source: Essent Group Ltd.