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

May 06, 2022

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2022 of $274.2 million or $2.52 per diluted share, compared to $135.6 million or $1.21 per diluted share for the quarter ended March 31, 2021.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.21 per common share. The dividend is payable on June 10, 2022, to shareholders of record on June 1, 2022.

“Our strong results for the quarter reflect the continued favorable credit performance of our portfolio,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our outlook on housing remains positive, and we believe that the fundamentals of our business remain solid. More importantly, with the strength of our balance sheet and buy, manage, and distribute operating model, we are built to manage through economic cycles. In connection with that, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.21 per share.”

First Quarter 2022 Financial Highlights:

  • Insurance in force as of March 31, 2022 was $206.8 billion, compared to $207.2 billion as of December 31, 2021 and $197.1 billion as of March 31, 2021.
  • New insurance written for the first quarter was $12.8 billion, compared to $16.4 billion in the fourth quarter of 2021 and $19.3 billion in the first quarter of 2021.
  • Net premiums earned for the first quarter were $215.3 million, compared to $217.3 million in the fourth quarter of 2021 and $219.1 million in the first quarter of 2021.
  • Income from other invested assets for the first quarter was $24.7 million, compared to $15.0 million in the fourth quarter of 2021.
  • The expense ratio for the first quarter was 18.9%, compared to 19.0% in the fourth quarter of 2021 and 19.3% in the first quarter of 2021.
  • The provision for losses and LAE for the first quarter was a benefit of $106.9 million, compared to a benefit of $3.4 million in the fourth quarter of 2021 and a provision of $32.3 million in the first quarter of 2021.
    • The provision in the first quarter of 2022 included a $101.2 million benefit associated with a change in the claim rate assumption for COVID-19 defaults recorded in the second and third quarters of 2020.
  • The percentage of loans in default as of March 31, 2022 was 1.93%, compared to 2.16% as of December 31, 2021 and 3.70% as of March 31, 2021.
  • The combined ratio for the first quarter was negative (30.7%), compared to 17.4% in the fourth quarter of 2021 and 34.0% in the first quarter of 2021.
  • The consolidated balance of cash and investments at March 31, 2022 was $5.1 billion, which includes holding company net cash and investments available for sale of $578.6 million.
  • The combined risk-to-capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 9.9:1 as of March 31, 2022.
  • During the quarter, we entered into a second quota share reinsurance transaction with a panel of highly rated third-party reinsurers. The quota share agreement covers 20% of all eligible policies written by Essent Guaranty, Inc. for the period January 1, 2022 through December 31, 2022.
  • Essent’s Board of Directors has authorized a new share repurchase plan of up to $250 million of the Company’s common shares through December 31, 2023. The prior repurchase authorization from May 2021 was completed in April 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.

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended March 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 March 31,

(In thousands, except per share amounts)

 

 

2022

 

 

 

2021

 

Revenues:

 

 

 

 

Direct premiums written

 

$

220,254

 

 

$

235,257

 

Ceded premiums

 

 

(20,523

)

 

 

(30,896

)

Net premiums written

 

 

199,731

 

 

 

204,361

 

Decrease in unearned premiums

 

 

15,599

 

 

 

14,706

 

Net premiums earned

 

 

215,330

 

 

 

219,067

 

Net investment income

 

 

24,680

 

 

 

21,788

 

Realized investment (losses) gains, net

 

 

(7,352

)

 

 

641

 

Income from other invested assets

 

 

24,705

 

 

 

526

 

Other income

 

 

7,248

 

 

 

2,775

 

Total revenues

 

 

264,611

 

 

 

244,797

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

(Benefit) provision for losses and LAE

 

 

(106,858

)

 

 

32,322

 

Other underwriting and operating expenses

 

 

40,796

 

 

 

42,239

 

Interest expense

 

 

2,226

 

 

 

2,051

 

Total losses and expenses

 

 

(63,836

)

 

 

76,612

 

 

 

 

 

 

Income before income taxes

 

 

328,447

 

 

 

168,185

 

Income tax expense

 

 

54,280

 

 

 

32,537

 

Net income

 

$

274,167

 

 

$

135,648

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

Basic

 

$

2.53

 

 

$

1.21

 

Diluted

 

 

2.52

 

 

 

1.21

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

Basic

 

 

108,166

 

 

 

112,016

 

Diluted

 

 

108,590

 

 

 

112,378

 

 

 

 

 

 

Net income

 

$

274,167

 

 

$

135,648

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

Change in unrealized depreciation of investments

 

 

(203,006

)

 

 

(59,203

)

Total other comprehensive loss

 

 

(203,006

)

 

 

(59,203

)

Comprehensive income

 

$

71,161

 

 

$

76,445

 

 

 

 

 

 

 

 

 

 

 

Loss ratio

 

 

(49.6

%)

 

 

14.8

%

Expense ratio

 

 

18.9

 

 

 

19.3

 

Combined ratio

 

 

(30.7

%)

 

 

34.0

%

 
 

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

March 31,

 

December 31,

(In thousands, except per share amounts)

 

2022

 

 

 

2021

 

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

4,145,542

 

 

$

4,649,800

 

Short-term investments available for sale, at fair value

 

517,363

 

 

 

313,087

 

Total investments available for sale

 

4,662,905

 

 

 

4,962,887

 

Other invested assets

 

212,521

 

 

 

170,472

 

Total investments

 

4,875,426

 

 

 

5,133,359

 

Cash

 

203,845

 

 

 

81,491

 

Accrued investment income

 

23,233

 

 

 

26,546

 

Accounts receivable

 

45,167

 

 

 

46,157

 

Deferred policy acquisition costs

 

11,148

 

 

 

12,178

 

Property and equipment

 

20,308

 

 

 

11,921

 

Prepaid federal income tax

 

360,810

 

 

 

360,810

 

Other assets

 

46,208

 

 

 

49,712

 

 

 

 

 

Total assets

$

5,586,145

 

 

$

5,722,174

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

293,072

 

 

$

407,445

 

Unearned premium reserve

 

169,786

 

 

 

185,385

 

Net deferred tax liability

 

359,919

 

 

 

373,654

 

Credit facility borrowings, net of deferred costs

 

420,073

 

 

 

419,823

 

Other accrued liabilities

 

128,227

 

 

 

99,753

 

Total liabilities

 

1,371,077

 

 

 

1,486,060

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 108,140 shares in 2022 and 109,377 shares in 2021

 

1,622

 

 

 

1,641

 

Additional paid-in capital

 

1,358,583

 

 

 

1,428,952

 

Accumulated other comprehensive (loss) income

 

(152,299

)

 

 

50,707

 

Retained earnings

 

3,007,162

 

 

 

2,754,814

 

Total stockholders' equity

 

4,215,068

 

 

 

4,236,114

 

 

 

 

 

Total liabilities and stockholders' equity

$

5,586,145

 

 

$

5,722,174

 

 

 

 

 

Return on average equity (1)

 

26.0

%

 

 

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

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

Net premiums earned:

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

$

203,312

 

 

$

205,877

 

 

$

207,127

 

 

$

204,149

 

 

$

207,840

 

GSE and other risk share

 

 

12,018

 

 

 

11,444

 

 

 

11,591

 

 

 

13,288

 

 

 

11,227

 

Net premiums earned

 

 

215,330

 

 

 

217,321

 

 

 

218,718

 

 

 

217,437

 

 

 

219,067

 

Net investment income

 

 

24,680

 

 

 

23,661

 

 

 

21,573

 

 

 

21,743

 

 

 

21,788

 

Realized investment (losses) gains, net

 

 

(7,352

)

 

 

(191

)

 

 

221

 

 

 

(253

)

 

 

641

 

Income from other invested assets (1)

 

 

24,705

 

 

 

14,997

 

 

 

40,741

 

 

 

122

 

 

 

526

 

Other income (2)

 

 

7,248

 

 

 

1,128

 

 

 

2,283

 

 

 

4,212

 

 

 

2,775

 

Total revenues

 

 

264,611

 

 

 

256,916

 

 

 

283,536

 

 

 

243,261

 

 

 

244,797

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

(Benefit) provision for losses and LAE

 

 

(106,858

)

 

 

(3,433

)

 

 

(7,483

)

 

 

9,651

 

 

 

32,322

 

Other underwriting and operating expenses

 

 

40,796

 

 

 

41,232

 

 

 

42,272

 

 

 

41,114

 

 

 

42,239

 

Interest expense

 

 

2,226

 

 

 

2,095

 

 

 

2,063

 

 

 

2,073

 

 

 

2,051

 

Total losses and expenses

 

 

(63,836

)

 

 

39,894

 

 

 

36,852

 

 

 

52,838

 

 

 

76,612

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

 

328,447

 

 

 

217,022

 

 

 

246,684

 

 

 

190,423

 

 

 

168,185

 

Income tax expense (3)

 

 

54,280

 

 

 

36,035

 

 

 

41,331

 

 

 

30,628

 

 

 

32,537

 

Net income

 

$

274,167

 

 

$

180,987

 

 

$

205,353

 

 

$

159,795

 

 

$

135,648

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

2.53

 

 

$

1.65

 

 

$

1.85

 

 

$

1.43

 

 

$

1.21

 

Diluted

 

 

2.52

 

 

 

1.64

 

 

 

1.84

 

 

 

1.42

 

 

 

1.21

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

 

108,166

 

 

 

109,550

 

 

 

111,001

 

 

 

112,118

 

 

 

112,016

 

Diluted

 

 

108,590

 

 

 

110,028

 

 

 

111,387

 

 

 

112,454

 

 

 

112,378

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

38.98

 

 

$

38.73

 

 

$

37.58

 

 

$

36.32

 

 

$

34.75

 

Return on average equity (annualized)

 

 

26.0

%

 

 

17.2

%

 

 

19.9

%

 

 

16.0

%

 

 

13.9

%

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

Loss ratio (4)

 

 

(49.6

%)

 

 

(1.6

%)

 

 

(3.4

%)

 

 

4.4

%

 

 

14.8

%

Expense ratio (5)

 

 

18.9

 

 

 

19.0

 

 

 

19.3

 

 

 

18.9

 

 

 

19.3

 

Combined ratio

 

 

(30.7

%)

 

 

17.4

%

 

 

15.9

%

 

 

23.3

%

 

 

34.0

%

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

425,000

 

 

$

425,000

 

 

$

325,000

 

 

$

325,000

 

 

$

325,000

 

Undrawn committed capacity

 

$

400,000

 

 

$

400,000

 

 

$

300,000

 

 

$

300,000

 

 

$

300,000

 

Weighted average interest rate (end of period)

 

 

1.99

%

 

 

1.79

%

 

 

2.13

%

 

 

2.13

%

 

 

2.13

%

Debt-to-capital

 

 

9.16

%

 

 

9.12

%

 

 

7.23

%

 

 

7.37

%

 

 

7.65

%

 

 

 

 

 

 

 

 

 

 

 

(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: March 31, 2022: $4,365; December 31, 2021: ($2,931); September 30, 2021: ($1,493); June 30, 2021: $950; March 31, 2021: ($606).

(3) Income tax expense for the quarters ended December 31, 2021 and March 31, 2021 includes $2,473 and $5,718, respectively, 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 March 31, 2022, December 31, 2021 and September 30, 2021 includes $7,002, $1,759 and $8,271, respectively, of discrete tax 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:

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

12,841,482

 

 

$

16,379,082

 

 

$

23,579,884

 

 

$

25,004,854

 

 

$

19,254,014

 

New risk written

 

 

3,438,016

 

 

 

4,331,531

 

 

 

6,273,735

 

 

 

6,445,864

 

 

 

4,616,450

 

 

 

 

 

 

 

 

 

 

 

 

Bulk:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

 

 

$

416

 

 

$

 

 

$

 

 

$

 

New risk written

 

 

 

 

 

41

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

12,841,482

 

 

$

16,379,498

 

 

$

23,579,884

 

 

$

25,004,854

 

 

$

19,254,014

 

New risk written

 

$

3,438,016

 

 

$

4,331,572

 

 

$

6,273,735

 

 

$

6,445,864

 

 

$

4,616,450

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

$

206,631,135

 

 

$

207,388,906

 

 

$

206,732,478

 

 

$

199,739,297

 

 

$

197,749,668

 

Insurance in force (end of period)

 

$

206,842,996

 

 

$

207,190,544

 

 

$

208,216,549

 

 

$

203,559,859

 

 

$

197,091,191

 

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

 

$

52,847,985

 

 

$

52,554,246

 

 

$

52,457,020

 

 

$

50,835,835

 

 

$

48,951,602

 

Risk in force (end of period)

 

$

45,261,164

 

 

$

45,273,383

 

 

$

45,074,159

 

 

$

42,906,519

 

 

$

41,135,978

 

Policies in force

 

 

774,002

 

 

 

785,119

 

 

 

798,877

 

 

 

794,743

 

 

 

785,382

 

Weighted average coverage (7)

 

 

25.5

%

 

 

25.4

%

 

 

25.2

%

 

 

25.0

%

 

 

24.8

%

Annual persistency

 

 

69.1

%

 

 

65.4

%

 

 

62.2

%

 

 

58.3

%

 

 

56.1

%

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

 

14,923

 

 

 

16,963

 

 

 

19,721

 

 

 

23,504

 

 

 

29,080

 

Percentage of loans in default

 

 

1.93

%

 

 

2.16

%

 

 

2.47

%

 

 

2.96

%

 

 

3.70

%

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio premium rate:

 

 

 

 

 

 

 

 

Base average premium rate (8)

 

 

0.41

%

 

 

0.42

%

 

 

0.42

%

 

 

0.43

%

 

 

0.44

%

Single premium cancellations (9)

 

 

0.02

%

 

 

0.03

%

 

 

0.03

%

 

 

0.03

%

 

 

0.04

%

Gross average premium rate

 

 

0.43

%

 

 

0.45

%

 

 

0.45

%

 

 

0.46

%

 

 

0.48

%

Ceded premiums

 

 

(0.04

%)

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.06

%)

Net average premium rate

 

 

0.39

%

 

 

0.40

%

 

 

0.40

%

 

 

0.41

%

 

 

0.42

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

March 31, 2022

 

December 31, 2021

 

March 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

5,410,654

 

42.1

%

 

$

6,643,740

 

40.6

%

 

$

8,471,121

 

44.0

%

740-759

 

2,113,232

 

16.5

 

 

 

2,833,379

 

17.3

 

 

 

3,153,327

 

16.4

 

720-739

 

1,991,318

 

15.5

 

 

 

2,472,738

 

15.1

 

 

 

2,753,296

 

14.3

 

700-719

 

1,620,473

 

12.6

 

 

 

2,170,829

 

13.2

 

 

 

2,358,634

 

12.2

 

680-699

 

1,147,766

 

8.9

 

 

 

1,504,268

 

9.2

 

 

 

1,227,408

 

6.4

 

<=679

 

558,039

 

4.4

 

 

 

754,128

 

4.6

 

 

 

1,290,228

 

6.7

 

Total

$

12,841,482

 

100.0

%

 

$

16,379,082

 

100.0

%

 

$

19,254,014

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

747

 

 

 

 

745

 

 

 

 

747

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

March 31, 2022

 

December 31, 2021

 

March 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

1,262,038

 

9.8

%

 

$

1,799,336

 

11.0

%

 

$

3,968,576

 

20.6

%

85.01% to 90.00%

 

3,415,938

 

26.6

 

 

 

4,372,552

 

26.7

 

 

 

6,441,997

 

33.5

 

90.01% to 95.00%

 

6,416,255

 

50.0

 

 

 

7,722,842

 

47.1

 

 

 

7,052,522

 

36.6

 

95.01% and above

 

1,747,251

 

13.6

 

 

 

2,484,352

 

15.2

 

 

 

1,790,919

 

9.3

 

Total

$

12,841,482

 

100.0

%

 

$

16,379,082

 

100.0

%

 

$

19,254,014

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

92

%

 

 

 

91

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

March 31, 2022

 

December 31, 2021

 

March 31, 2021

Single Premium policies

 

1.9

%

 

 

2.7

%

 

 

6.9

%

Monthly Premium policies

 

98.1

 

 

 

97.3

 

 

 

93.1

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

March 31, 2022

 

December 31, 2021

 

March 31, 2021

Purchase

 

94.1

%

 

 

92.1

%

 

 

62.3

%

Refinance

 

5.9

 

 

 

7.9

 

 

 

37.7

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit E

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio by Credit Score

IIF by FICO score

March 31, 2022

 

December 31, 2021

 

March 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

85,707,070

 

41.4

%

 

$

85,501,113

 

41.3

%

 

$

81,629,166

 

41.4

%

740-759

 

 

35,048,891

 

17.0

 

 

 

35,111,019

 

17.0

 

 

 

33,969,375

 

17.2

 

720-739

 

 

31,180,765

 

15.1

 

 

 

31,158,325

 

15.0

 

 

 

29,323,182

 

14.9

 

700-719

 

 

26,040,114

 

12.6

 

 

 

26,105,790

 

12.6

 

 

 

23,775,892

 

12.1

 

680-699

 

 

16,847,202

 

8.1

 

 

 

16,819,629

 

8.1

 

 

 

15,241,886

 

7.7

 

<=679

 

 

12,018,954

 

5.8

 

 

 

12,494,668

 

6.0

 

 

 

13,151,690

 

6.7

 

Total

$

206,842,996

 

100.0

%

 

$

207,190,544

 

100.0

%

 

$

197,091,191

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

 

 

745

 

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

March 31, 2022

 

December 31, 2021

 

March 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

21,707,751

 

41.1

%

 

$

21,488,011

 

40.9

%

 

$

20,063,586

 

41.0

%

740-759

 

 

9,041,350

 

17.1

 

 

 

8,992,181

 

17.1

 

 

 

8,512,926

 

17.4

 

720-739

 

 

8,091,445

 

15.3

 

 

 

8,029,952

 

15.3

 

 

 

7,410,503

 

15.1

 

700-719

 

 

6,724,288

 

12.7

 

 

 

6,693,045

 

12.7

 

 

 

5,947,590

 

12.1

 

680-699

 

 

4,338,206

 

8.2

 

 

 

4,299,245

 

8.2

 

 

 

3,798,221

 

7.8

 

<=679

 

 

2,944,945

 

5.6

 

 

 

3,051,812

 

5.8

 

 

 

3,218,776

 

6.6

 

Total

$

52,847,985

 

100.0

%

 

$

52,554,246

 

100.0

%

 

$

48,951,602

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

March 31, 2022

 

December 31, 2021

 

March 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

26,057,055

 

12.6

%

 

$

27,362,267

 

13.2

%

 

$

28,285,671

 

14.4

%

85.01% to 90.00%

 

 

59,113,908

 

28.6

 

 

 

59,567,378

 

28.7

 

 

 

58,587,812

 

29.7

 

90.01% to 95.00%

 

 

92,460,810

 

44.7

 

 

 

91,350,909

 

44.1

 

 

 

84,042,974

 

42.6

 

95.01% and above

 

 

29,211,223

 

14.1

 

 

 

28,909,990

 

14.0

 

 

 

26,174,734

 

13.3

 

Total

$

206,842,996

 

100.0

%

 

$

207,190,544

 

100.0

%

 

$

197,091,191

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

92

%

 

 

 

92

%

 

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

March 31, 2022

 

December 31, 2021

 

March 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

3,062,878

 

5.8

%

 

$

3,200,124

 

6.1

%

 

$

3,260,280

 

6.7

%

85.01% to 90.00%

 

 

14,288,854

 

27.0

 

 

 

14,366,450

 

27.3

 

 

 

14,061,301

 

28.7

 

90.01% to 95.00%

 

 

26,960,457

 

51.0

 

 

 

26,592,162

 

50.6

 

 

 

24,287,268

 

49.6

 

95.01% and above

 

 

8,535,796

 

16.2

 

 

 

8,395,510

 

16.0

 

 

 

7,342,753

 

15.0

 

Total

$

52,847,985

 

100.0

%

 

$

52,554,246

 

100.0

%

 

$

48,951,602

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

March 31, 2022

 

December 31, 2021

 

March 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

198,658,948

 

96.1

%

 

$

198,243,758

 

95.7

%

 

$

186,190,300

 

94.5

%

FRM 20-25 years

 

 

3,365,533

 

1.6

 

 

 

3,658,366

 

1.8

 

 

 

4,354,432

 

2.2

 

FRM 15 years

 

 

3,580,416

 

1.7

 

 

 

3,996,684

 

1.9

 

 

 

4,763,796

 

2.4

 

ARM 5 years and higher

 

 

1,238,099

 

0.6

 

 

 

1,291,736

 

0.6

 

 

 

1,782,663

 

0.9

 

Total

$

206,842,996

 

100.0

%

 

$

207,190,544

 

100.0

%

 

$

197,091,191

 

100.0

%

 
 

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2022

 

 

2021

($ in thousands)

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

1,888,437

 

 

$

1,788,918

 

 

$

1,568,800

 

 

$

1,496,247

 

 

$

1,534,174

 

Reserve for losses and LAE

 

$

254

 

 

$

1,349

 

 

$

1,389

 

 

$

1,390

 

 

$

1,312

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

748

 

 

 

748

 

 

 

748

 

 

 

747

 

 

 

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

March 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

$

2,761,581

4.6

%

17,165

4.33

%

79.9

%

71.9

%

5.5

%

15.2

%

42.7

%

2.9

%

730

4.25

%

2015

 

26,193,656

 

2,684,417

10.2

 

15,613

4.17

 

86.5

 

69.6

 

3.6

 

18.1

 

39.7

 

3.5

 

618

3.96

 

2016

 

34,949,319

 

5,591,978

16.0

 

30,487

3.86

 

88.4

 

66.9

 

9.2

 

15.4

 

43.6

 

3.9

 

1,114

3.65

 

2017

 

43,858,322

 

7,526,131

17.2

 

42,330

4.26

 

90.7

 

66.7

 

18.9

 

20.1

 

37.9

 

5.8

 

2,042

4.82

 

2018

 

47,508,525

 

8,357,025

17.6

 

44,754

4.78

 

93.9

 

67.4

 

23.8

 

21.4

 

33.0

 

9.2

 

2,542

5.68

 

2019

 

63,569,183

 

18,001,459

28.3

 

81,777

4.21

 

86.4

 

65.6

 

22.8

 

18.9

 

35.5

 

13.4

 

3,150

3.85

 

2020

 

107,944,065

 

71,633,103

66.4

 

260,871

3.18

 

63.8

 

52.4

 

11.5

 

10.9

 

45.2

 

9.7

 

3,263

1.25

 

2021

 

84,218,250

 

77,556,621

92.1

 

244,657

3.07

 

83.0

 

59.3

 

14.1

 

14.0

 

40.4

 

9.4

 

1,456

0.60

 

2022 (through March 31)

 

12,841,482

 

12,730,681

99.1

 

36,348

3.63

 

94.1

 

63.6

 

13.7

 

13.3

 

42.0

 

2.2

 

8

0.02

 

Total

$

481,751,653

$

206,842,996

42.9

 

774,002

3.40

 

78.2

 

58.8

 

14.1

 

14.0

 

41.4

 

6.4

 

14,923

1.93

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit H

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Reinsurance Vintage Data

March 31, 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

 

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (9)

2015 & 2016

$

7,994,097

$

2,161,454

 

$

333,844

$

$

333,844

 

$

135,785

$

$

135,785

 

$

 

$

208,111

$

207,023

 

$

969

 

$

2017

 

7,329,533

 

1,908,895

 

 

424,412

 

165,167

 

589,579

 

 

242,123

 

165,167

 

407,290

 

 

 

 

224,689

 

217,185

 

 

2,662

 

 

2018

 

8,233,272

 

2,104,668

 

 

473,184

 

118,650

 

591,834

 

 

325,537

 

76,144

 

401,681

 

 

 

 

253,643

 

249,213

 

 

3,192

 

 

2019 (3)

 

9,954,519

 

2,549,289

 

 

495,889

 

55,102

 

550,991

 

 

495,889

 

55,102

 

550,991

 

 

 

 

215,605

 

215,054

 

 

2,760

 

 

13,924

2019 & 2020 (4)

 

28,615,471

 

7,271,864

 

 

399,159

 

 

399,159

 

 

102,726

 

 

102,726

 

 

 

 

465,690

 

465,681

 

 

2,497

 

 

32,257

2020 & 2021 (5)

 

47,520,573

 

11,699,693

 

 

557,911

 

 

557,911

 

 

557,911

 

 

557,911

 

 

 

 

278,956

 

278,936

 

 

3,603

 

 

503,240

2021 (6)

 

44,685,107

 

11,789,932

 

 

439,407

 

 

439,407

 

 

439,407

 

 

439,407

 

 

 

 

279,415

 

279,415

 

 

4,151

 

 

388,513

Total

$

154,332,572

$

39,485,795

 

$

3,123,806

$

338,919

$

3,462,725

 

$

2,299,378

$

296,413

$

2,595,791

 

$

 

$

1,926,109

$

1,912,507

 

$

19,834

 

$

937,934

 
 

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

 

Year-to-Date

 

Year-to-Date

 

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (9)

2019 & 2020

(7)

$

79,216,280

$

19,757,783

 

$

17,451,969

 

$

4,309,817

 

$

(6,619

)

 

$

3,748

 

$

315

 

$

286,276

2022

(8)

$

12,714,671

$

3,406,064

 

$

2,542,934

 

$

681,213

 

$

23

 

 

$

185

 

$

374

 

$

46,627

Total

 

$

91,930,951

$

23,163,847

 

$

19,994,903

 

$

4,991,030

 

$

(6,596

)

 

$

3,933

 

$

689

 

$

332,903

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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.

 
 

 

 

 

 

 

Exhibit I

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Geographic Data

 

 

 

 

 

 

 

 

 

 

 

 

IIF by State

 

March 31, 2022

 

December 31, 2021

 

March 31, 2021

CA

13.2

%

 

13.1

%

 

12.5

%

TX

10.0

 

 

9.9

 

 

9.8

 

FL

9.9

 

 

9.7

 

 

9.0

 

CO

4.1

 

 

4.1

 

 

4.1

 

WA

3.6

 

 

3.7

 

 

3.7

 

AZ

3.3

 

 

3.3

 

 

3.5

 

IL

3.3

 

 

3.3

 

 

3.4

 

GA

3.1

 

 

3.1

 

 

3.0

 

NJ

3.1

 

 

3.1

 

 

3.2

 

VA

3.1

 

 

3.1

 

 

3.1

 

All Others

43.3

 

 

43.6

 

 

44.7

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

March 31, 2022

 

December 31, 2021

 

March 31, 2021

CA

13.1

%

 

13.0

%

 

12.2

%

TX

10.4

 

 

10.2

 

 

10.1

 

FL

10.2

 

 

10.0

 

 

9.3

 

CO

4.0

 

 

4.0

 

 

4.0

 

WA

3.6

 

 

3.6

 

 

3.6

 

AZ

3.4

 

 

3.3

 

 

3.5

 

IL

3.2

 

 

3.2

 

 

3.3

 

GA

3.2

 

 

3.1

 

 

3.1

 

VA

3.0

 

 

3.0

 

 

3.0

 

NJ

3.0

 

 

3.0

 

 

3.1

 

All Others

42.9

 

 

43.6

 

 

44.8

 

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

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

Beginning default inventory

 

 

16,963

 

 

 

19,721

 

 

 

23,504

 

 

 

29,080

 

 

 

31,469

 

Plus: new defaults (A)

 

 

6,188

 

 

 

5,809

 

 

 

5,132

 

 

 

4,934

 

 

 

7,422

 

Less: cures

 

 

(8,167

)

 

 

(8,514

)

 

 

(8,862

)

 

 

(10,453

)

 

 

(9,737

)

Less: claims paid

 

 

(55

)

 

 

(47

)

 

 

(41

)

 

 

(46

)

 

 

(61

)

Less: rescissions and denials, net

 

 

(6

)

 

 

(6

)

 

 

(12

)

 

 

(11

)

 

 

(13

)

Ending default inventory

 

 

14,923

 

 

 

16,963

 

 

 

19,721

 

 

 

23,504

 

 

 

29,080

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

4,347

 

 

 

2,243

 

 

 

1,453

 

 

 

1,042

 

 

 

1,165

 

Cure rate (1)

 

 

30

%

 

 

61

%

 

 

72

%

 

 

79

%

 

 

84

%

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

$

826

 

 

$

992

 

 

$

1,069

 

 

$

1,154

 

 

$

1,989

 

Average amount paid per claim (in thousands)

 

$

15

 

 

$

21

 

 

$

26

 

 

$

25

 

 

$

33

 

Severity

 

 

35

%

 

 

45

%

 

 

60

%

 

 

57

%

 

 

70

%

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

 

2022

 

 

2021

($ in thousands)

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

Reserve for losses and LAE at beginning of period

 

$

406,096

 

 

$

411,567

 

 

$

420,482

 

 

$

409,811

 

 

$

373,868

 

Less: Reinsurance recoverables

 

 

25,940

 

 

 

26,970

 

 

 

27,286

 

 

 

24,907

 

 

 

19,061

 

Net reserve for losses and LAE at beginning of period

 

 

380,156

 

 

 

384,597

 

 

 

393,196

 

 

 

384,904

 

 

 

354,807

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

24,346

 

 

 

13,231

 

 

 

11,371

 

 

 

24,534

 

 

 

47,763

 

Prior years

 

 

(130,114

)

 

 

(16,624

)

 

 

(18,853

)

 

 

(14,961

)

 

 

(15,680

)

Incurred losses and LAE during the period

 

 

(105,768

)

 

 

(3,393

)

 

 

(7,482

)

 

 

9,573

 

 

 

32,083

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

1

 

 

 

157

 

 

 

103

 

 

 

14

 

 

 

114

 

Prior years

 

 

904

 

 

 

891

 

 

 

1,014

 

 

 

1,267

 

 

 

1,872

 

Loss and LAE payments during the period

 

 

905

 

 

 

1,048

 

 

 

1,117

 

 

 

1,281

 

 

 

1,986

 

Net reserve for losses and LAE at end of period

 

 

273,483

 

 

 

380,156

 

 

 

384,597

 

 

 

393,196

 

 

 

384,904

 

Plus: Reinsurance recoverables

 

 

19,335

 

 

 

25,940

 

 

 

26,970

 

 

 

27,286

 

 

 

24,907

 

Reserve for losses and LAE at end of period

 

$

292,818

 

 

$

406,096

 

 

$

411,567

 

 

$

420,482

 

 

$

409,811

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) The cure rate is calculated by dividing new defaults remaining as of the reporting date by the original number of new defaults reported in the quarterly period and subtracting that percentage from 100%.

 

 

 

 

 

 

 

Exhibit K

Essent Group Ltd. and Subsidiaries

Supplemental Information

Detail of Reserves by Default Delinquency

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

March 31, 2022

 

 

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

4,338

 

29

%

$

21,348

8

%

$

269,069

8

%

Four to eleven payments

 

4,971

 

33

 

 

64,332

24

 

 

312,976

21

 

Twelve or more payments

 

5,540

 

37

 

 

181,859

67

 

 

347,926

52

 

Pending claims

 

74

 

1

 

 

2,753

1

 

 

3,341

82

 

Total case reserves

 

14,923

 

100

%

 

270,292

100

%

$

933,312

29

 

IBNR

 

 

 

 

20,272

 

 

 

LAE

 

 

 

 

2,254

 

 

 

Total reserves for losses and LAE

 

 

 

$

292,818

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

18.1

 

 

 

Total

 

 

 

$

19.6

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 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

 

5,487

 

19

%

$

39,244

10

%

$

329,223

12

%

Four to eleven payments

 

16,157

 

56

 

 

215,949

57

 

 

1,022,979

21

 

Twelve or more payments

 

7,393

 

25

 

 

120,128

32

 

 

500,658

24

 

Pending claims

 

43

 

 

 

1,758

1

 

 

2,236

79

 

Total case reserves

 

29,080

 

100

%

 

377,079

100

%

$

1,855,096

20

 

IBNR

 

 

 

 

28,281

 

 

 

LAE

 

 

 

 

4,451

 

 

 

Total reserves for losses and LAE

 

 

 

$

409,811

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

13.0

 

 

 

Total

 

 

 

$

14.1

 

 

 

 

 

 

 

 

 

 

 

Default Rate

3.70

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit L

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

 

March 31, 2022

 

December 31, 2021

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

 

$

423,640

 

 

9.1

%

 

$

448,793

 

9.1

%

U.S. agency securities

 

 

 

 

 

 

 

5,504

 

0.1

 

U.S. agency mortgage-backed securities

 

 

854,775

 

 

18.3

 

 

 

1,008,863

 

20.3

 

Municipal debt securities

 

 

512,185

 

 

11.0

 

 

 

627,599

 

12.7

 

Non-U.S. government securities

 

 

71,743

 

 

1.5

 

 

 

79,743

 

1.6

 

Corporate debt securities

 

 

1,283,644

 

 

27.5

 

 

 

1,455,247

 

29.3

 

Residential and commercial mortgage securities

 

 

538,870

 

 

11.6

 

 

 

545,423

 

11.0

 

Asset-backed securities

 

 

594,451

 

 

12.8

 

 

 

581,703

 

11.7

 

Money market funds

 

 

383,597

 

 

8.2

 

 

 

210,012

 

4.2

 

Total investments available for sale

 

$

4,662,905

 

 

100.0

%

 

$

4,962,887

 

100.0

%

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

 

March 31, 2022

 

December 31, 2021

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

 

$

2,372,351

 

 

50.9

%

 

$

2,412,273

 

48.6

%

Aa1

 

 

80,491

 

 

1.7

 

 

 

96,331

 

1.9

 

Aa2

 

 

334,764

 

 

7.2

 

 

 

354,951

 

7.2

 

Aa3

 

 

212,344

 

 

4.5

 

 

 

221,914

 

4.5

 

A1