View all news

Essent Group Ltd. Announces Fourth Quarter & Full Year 2021 Results and Increases Quarterly Dividend

Feb 11, 2022

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2021 of $181.0 million or $1.64 per diluted share, compared to $123.6 million or $1.10 per diluted share for the quarter ended December 31, 2020. For the full year 2021, net income was $681.8 million or $6.11 per diluted share, compared to $413.0 million or $3.88 per diluted share for 2020.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.20 per common share. The dividend is payable on March 21, 2022, to shareholders of record on March 10, 2022.

“We are pleased with our fourth quarter and full year 2021 financial results, which reflect our continued focus on optimizing our unit economics in generating high-quality earnings and strong returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our strong operating performance also generated excess capital, which we continued to deploy in a balanced manner between reinvestment in our franchise and distribution to shareholders. In connection with this, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.20 per share.”

Fourth Quarter & Full Year 2021 Financial Highlights:

  • Insurance in force as of December 31, 2021 was $207.2 billion, compared to $208.2 billion as of September 30, 2021 and $198.9 billion as of December 31, 2020.
  • New insurance written for the fourth quarter was $16.4 billion, compared to $23.6 billion in the third quarter of 2021 and $29.6 billion in the fourth quarter of 2020.
  • Net premiums earned for the fourth quarter were $217.3 million, compared to $218.7 million in the third quarter of 2021 and $222.3 million in the fourth quarter of 2020.
  • Income from other invested assets for the fourth quarter included $12.0 million, or $0.09 per diluted share on an after-tax basis, pertaining to net unrealized gains associated with strategic investments in limited partnerships.
  • The expense ratio for the fourth quarter was 19.0%, compared to 19.3% in the third quarter of 2021 and 16.6% in the fourth quarter of 2020.
  • The provision for losses and LAE for the fourth quarter was a benefit of $3.4 million, compared to a benefit of $7.5 million in the third quarter of 2021 and a provision of $62.1 million in the fourth quarter of 2020.
  • The percentage of loans in default as of December 31, 2021 was 2.16%, compared to 2.47% as of September 30, 2021 and 3.93% as of December 31, 2020.
  • The combined ratio for the fourth quarter was 17.4%, compared to 15.9% in the third quarter of 2021 and 44.5% in the fourth quarter of 2020.
  • The consolidated balance of cash and investments at December 31, 2021 was $5.2 billion, which includes holding company net cash and investments available for sale of $618.3 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 10.4:1 as of December 31, 2021.
  • On November 10, 2021, Essent Guaranty, Inc. obtained $439.4 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in April 1, 2021 through September 30, 2021 from Radnor Re 2021-2 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2021-2 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd.
  • On December 10, 2021, Essent Group Ltd. entered into an amended and restated credit facility, increasing to $825 million the committed capacity and extending the contractual maturity to December 10, 2026.

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 888-510-2507 inside the U.S., or 646-960-0351 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; 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; deteriorating economic conditions; 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, 2020 filed with the Securities and Exchange Commission on February 26, 2021, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

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

Source: Essent Group Ltd.

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter and Year Ended December 31, 2021

 

 

 

 

 

 

Exhibit A

 

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

Exhibit B

 

Condensed Consolidated Balance Sheets (Unaudited)

Exhibit C

 

Historical Quarterly Data

Exhibit D

 

New Insurance Written

Exhibit E

 

Insurance in Force and Risk in Force

Exhibit F

 

Other Risk in Force

Exhibit G

 

Portfolio Vintage Data

Exhibit H

 

Reinsurance Vintage Data

Exhibit I

 

Portfolio Geographic Data

Exhibit J

 

Rollforward of Defaults and Reserve for Losses and LAE

Exhibit K

 

Detail of Reserves by Default Delinquency

Exhibit L

 

Investments Available for Sale

Exhibit M

 

Insurance Company Capital

 

 

 

 

 

 

 

 

Exhibit A

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended December 31,

 

Year Ended December 31,

(In thousands, except per share amounts)

 

2021

 

 

 

2020

 

 

 

2021

 

 

 

2020

 

Revenues:

 

 

 

 

 

 

 

Direct premiums written

$

224,972

 

 

$

245,437

 

 

$

918,406

 

 

$

922,851

 

Ceded premiums

 

(26,476

)

 

 

(31,194

)

 

 

(110,914

)

 

 

(88,738

)

Net premiums written

 

198,496

 

 

 

214,243

 

 

 

807,492

 

 

 

834,113

 

Decrease in unearned premiums

 

18,825

 

 

 

8,096

 

 

 

65,051

 

 

 

28,451

 

Net premiums earned

 

217,321

 

 

 

222,339

 

 

 

872,543

 

 

 

862,564

 

Net investment income

 

23,661

 

 

 

20,949

 

 

 

88,765

 

 

 

80,087

 

Realized investment (losses) gains, net

 

(191

)

 

 

564

 

 

 

418

 

 

 

2,697

 

Income (loss) from other invested assets

 

14,997

 

 

 

2

 

 

 

56,386

 

 

 

(215

)

Other income

 

1,128

 

 

 

3,345

 

 

 

10,398

 

 

 

10,021

 

Total revenues

 

256,916

 

 

 

247,199

 

 

 

1,028,510

 

 

 

955,154

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

(Benefit) provision for losses and LAE

 

(3,433

)

 

 

62,073

 

 

 

31,057

 

 

 

301,293

 

Other underwriting and operating expenses

 

41,232

 

 

 

36,825

 

 

 

166,857

 

 

 

154,691

 

Interest expense

 

2,095

 

 

 

2,149

 

 

 

8,282

 

 

 

9,074

 

Total losses and expenses

 

39,894

 

 

 

101,047

 

 

 

206,196

 

 

 

465,058

 

 

 

 

 

 

 

 

 

Income before income taxes

 

217,022

 

 

 

146,152

 

 

 

822,314

 

 

 

490,096

 

Income tax expense

 

36,035

 

 

 

22,550

 

 

 

140,531

 

 

 

77,055

 

Net income

$

180,987

 

 

$

123,602

 

 

$

681,783

 

 

$

413,041

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

1.65

 

 

$

1.10

 

 

$

6.13

 

 

$

3.89

 

Diluted

 

1.64

 

 

 

1.10

 

 

 

6.11

 

 

 

3.88

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

 

109,550

 

 

 

111,908

 

 

 

111,164

 

 

 

106,098

 

Diluted

 

110,028

 

 

 

112,310

 

 

 

111,555

 

 

 

106,376

 

 

 

 

 

 

 

 

 

Net income

$

180,987

 

 

$

123,602

 

 

$

681,783

 

 

$

413,041

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

Change in unrealized (depreciation) appreciation of investments

 

(27,807

)

 

 

5,840

 

 

 

(87,567

)

 

 

82,087

 

Total other comprehensive (loss) income

 

(27,807

)

 

 

5,840

 

 

 

(87,567

)

 

 

82,087

 

Comprehensive income

$

153,180

 

 

$

129,442

 

 

$

594,216

 

 

$

495,128

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio

 

(1.6

%)

 

 

27.9

%

 

 

3.6

%

 

 

34.9

%

Expense ratio

 

19.0

 

 

 

16.6

 

 

 

19.1

 

 

 

17.9

 

Combined ratio

 

17.4

%

 

 

44.5

%

 

 

22.7

%

 

 

52.9

%

 

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

December 31,

 

December 31,

(In thousands, except per share amounts)

2021

 

2020

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

4,649,800

 

 

$

3,838,513

 

Short-term investments available for sale, at fair value

 

313,087

 

 

 

726,860

 

Total investments available for sale

 

4,962,887

 

 

 

4,565,373

 

Other invested assets

 

170,472

 

 

 

88,904

 

Total investments

 

5,133,359

 

 

 

4,654,277

 

Cash

 

81,491

 

 

 

102,830

 

Accrued investment income

 

26,546

 

 

 

19,948

 

Accounts receivable

 

46,157

 

 

 

50,140

 

Deferred policy acquisition costs

 

12,178

 

 

 

17,005

 

Property and equipment

 

11,921

 

 

 

15,095

 

Prepaid federal income tax

 

360,810

 

 

 

302,636

 

Other assets

 

49,712

 

 

 

40,793

 

 

 

 

 

Total assets

$

5,722,174

 

 

$

5,202,724

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

407,445

 

 

$

374,941

 

Unearned premium reserve

 

185,385

 

 

 

250,436

 

Net deferred tax liability

 

373,654

 

 

 

305,109

 

Credit facility borrowings, net of deferred costs

 

419,823

 

 

 

321,720

 

Other accrued liabilities

 

99,753

 

 

 

87,885

 

Total liabilities

 

1,486,060

 

 

 

1,340,091

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 109,377 shares in 2021 and 112,423 shares in 2020

 

1,641

 

 

 

1,686

 

Additional paid-in capital

 

1,428,952

 

 

 

1,571,163

 

Accumulated other comprehensive income

 

50,707

 

 

 

138,274

 

Retained earnings

 

2,754,814

 

 

 

2,151,510

 

Total stockholders' equity

 

4,236,114

 

 

 

3,862,633

 

 

 

 

 

Total liabilities and stockholders' equity

$

5,722,174

 

 

$

5,202,724

 

 

 

 

 

Return on average equity

 

16.8

%

 

 

12.1

%

 

 

 

 

 

 

 

 

 

 

 

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

2021

 

 

2020

 

Selected Income Statement Data

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

Net premiums earned:

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

$

205,877

 

 

$

207,127

 

 

$

204,149

 

 

$

207,840

 

 

$

208,715

 

GSE and other risk share

 

 

11,444

 

 

 

11,591

 

 

 

13,288

 

 

 

11,227

 

 

 

13,624

 

Net premiums earned

 

 

217,321

 

 

 

218,718

 

 

 

217,437

 

 

 

219,067

 

 

 

222,339

 

Income from other invested assets (1)

 

 

14,997

 

 

 

40,741

 

 

 

122

 

 

 

526

 

 

 

2

 

Other revenues (2)

 

 

24,598

 

 

 

24,077

 

 

 

25,702

 

 

 

25,204

 

 

 

24,858

 

Total revenues

 

 

256,916

 

 

 

283,536

 

 

 

243,261

 

 

 

244,797

 

 

 

247,199

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

(Benefit) provision for losses and LAE

 

 

(3,433

)

 

 

(7,483

)

 

 

9,651

 

 

 

32,322

 

 

 

62,073

 

Other underwriting and operating expenses

 

 

41,232

 

 

 

42,272

 

 

 

41,114

 

 

 

42,239

 

 

 

36,825

 

Interest expense

 

 

2,095

 

 

 

2,063

 

 

 

2,073

 

 

 

2,051

 

 

 

2,149

 

Total losses and expenses

 

 

39,894

 

 

 

36,852

 

 

 

52,838

 

 

 

76,612

 

 

 

101,047

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

 

217,022

 

 

 

246,684

 

 

 

190,423

 

 

 

168,185

 

 

 

146,152

 

Income tax expense (3)

 

 

36,035

 

 

 

41,331

 

 

 

30,628

 

 

 

32,537

 

 

 

22,550

 

Net income

 

$

180,987

 

 

$

205,353

 

 

$

159,795

 

 

$

135,648

 

 

$

123,602

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.65

 

 

$

1.85

 

 

$

1.43

 

 

$

1.21

 

 

$

1.10

 

Diluted

 

 

1.64

 

 

 

1.84

 

 

 

1.42

 

 

 

1.21

 

 

 

1.10

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

 

109,550

 

 

 

111,001

 

 

 

112,118

 

 

 

112,016

 

 

 

111,908

 

Diluted

 

 

110,028

 

 

 

111,387

 

 

 

112,454

 

 

 

112,378

 

 

 

112,310

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

38.73

 

 

$

37.58

 

 

$

36.32

 

 

$

34.75

 

 

$

34.36

 

Return on average equity (annualized)

 

 

17.2

%

 

 

19.9

%

 

 

16.0

%

 

 

13.9

%

 

 

13.0

%

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

Loss ratio (4)

 

 

(1.6

%)

 

 

(3.4

%)

 

 

4.4

%

 

 

14.8

%

 

 

27.9

%

Expense ratio (5)

 

 

19.0

 

 

 

19.3

 

 

 

18.9

 

 

 

19.3

 

 

 

16.6

 

Combined ratio

 

 

17.4

%

 

 

15.9

%

 

 

23.3

%

 

 

34.0

%

 

 

44.5

%

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

425,000

 

 

$

325,000

 

 

$

325,000

 

 

$

325,000

 

 

$

325,000

 

Undrawn committed capacity

 

$

400,000

 

 

$

300,000

 

 

$

300,000

 

 

$

300,000

 

 

$

300,000

 

Weighted average interest rate (end of period)

 

 

1.79

%

 

 

2.13

%

 

 

2.13

%

 

 

2.13

%

 

 

2.19

%

Debt-to-capital

 

 

9.12

%

 

 

7.23

%

 

 

7.37

%

 

 

7.65

%

 

 

7.76

%

 

 

 

 

 

 

 

 

 

 

 

(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) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. For each of the three month periods noted, Other revenues include net favorable (unfavorable) changes in the fair value of these embedded derivatives as follows: December 31, 2021: ($2,931); September 30, 2021: ($1,493); June 30, 2021: $950; March 31, 2021: ($606); December 31, 2020: ($209).

(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 December 31, 2021 and September 30, 2021 includes $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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2021

 

 

2020

 

Other Data, continued:

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

16,379,082

 

 

$

23,579,884

 

 

$

25,004,854

 

 

$

19,254,014

 

 

$

29,566,820

 

New risk written

 

 

4,331,531

 

 

 

6,273,735

 

 

 

6,445,864

 

 

 

4,616,450

 

 

 

7,051,173

 

 

 

 

 

 

 

 

 

 

 

 

Bulk:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

416

 

 

$

 

 

$

 

 

$

 

 

$

 

New risk written

 

 

41

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

16,379,498

 

 

$

23,579,884

 

 

$

25,004,854

 

 

$

19,254,014

 

 

$

29,566,820

 

New risk written

 

$

4,331,572

 

 

$

6,273,735

 

 

$

6,445,864

 

 

$

4,616,450

 

 

$

7,051,173

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

$

207,388,906

 

 

$

206,732,478

 

 

$

199,739,297

 

 

$

197,749,668

 

 

$

195,670,925

 

Insurance in force (end of period)

 

$

207,190,544

 

 

$

208,216,549

 

 

$

203,559,859

 

 

$

197,091,191

 

 

$

198,882,352

 

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

 

$

52,554,246

 

 

$

52,457,020

 

 

$

50,835,835

 

 

$

48,951,602

 

 

$

49,565,150

 

Risk in force (end of period)

 

$

45,273,383

 

 

$

45,074,159

 

 

$

42,906,519

 

 

$

41,135,978

 

 

$

41,339,262

 

Policies in force

 

 

785,119

 

 

 

798,877

 

 

 

794,743

 

 

 

785,382

 

 

 

799,893

 

Weighted average coverage (7)

 

 

25.4

%

 

 

25.2

%

 

 

25.0

%

 

 

24.8

%

 

 

24.9

%

Annual persistency

 

 

65.4

%

 

 

62.2

%

 

 

58.3

%

 

 

56.1

%

 

 

60.1

%

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

 

16,963

 

 

 

19,721

 

 

 

23,504

 

 

 

29,080

 

 

 

31,469

 

Percentage of loans in default

 

 

2.16

%

 

 

2.47

%

 

 

2.96

%

 

 

3.70

%

 

 

3.93

%

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio premium rate:

 

 

 

 

 

 

 

 

Base average premium rate (8)

 

 

0.42

%

 

 

0.42

%

 

 

0.43

%

 

 

0.44

%

 

 

0.44

%

Single premium cancellations (9)

 

 

0.03

%

 

 

0.03

%

 

 

0.03

%

 

 

0.04

%

 

 

0.05

%

Gross average premium rate

 

 

0.45

%

 

 

0.45

%

 

 

0.46

%

 

 

0.48

%

 

 

0.49

%

Ceded premiums

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.06

%)

 

 

(0.06

%)

Net average premium rate

 

 

0.40

%

 

 

0.40

%

 

 

0.41

%

 

 

0.42

%

 

 

0.43

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

Year Ended

 

December 31, 2021

 

December 31, 2020

 

December 31, 2021

 

December 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

6,643,740

 

40.6

%

 

$

13,330,379

 

45.1

%

 

$

34,422,627

 

40.9

%

 

$

48,037,084

 

44.5

%

740-759

 

2,833,379

 

17.3

 

 

 

5,069,530

 

17.1

 

 

 

13,691,394

 

16.3

 

 

 

19,385,541

 

17.9

 

720-739

 

2,472,738

 

15.1

 

 

 

4,134,782

 

14.0

 

 

 

12,789,715

 

15.2

 

 

 

15,744,485

 

14.6

 

700-719

 

2,170,829

 

13.2

 

 

 

3,385,670

 

11.5

 

 

 

11,499,406

 

13.6

 

 

 

12,409,936

 

11.5

 

680-699

 

1,504,268

 

9.2

 

 

 

1,743,694

 

5.9

 

 

 

7,359,569

 

8.7

 

 

 

6,871,511

 

6.4

 

<=679

 

754,128

 

4.6

 

 

 

1,902,765

 

6.4

 

 

 

4,455,123

 

5.3

 

 

 

5,495,357

 

5.1

 

Total

$

16,379,082

 

100.0

%

 

$

29,566,820

 

100.0

%

 

$

84,217,834

 

100.0

%

 

$

107,943,914

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

745

 

 

 

 

748

 

 

 

 

745

 

 

 

 

749

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Year Ended

 

December 31, 2021

 

December 31, 2020

 

December 31, 2021

 

December 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

1,799,336

 

11.0

%

 

$

6,317,550

 

21.4

%

 

$

11,460,273

 

13.6

%

 

$

20,124,987

 

18.6

%

85.01% to 90.00%

 

4,372,552

 

26.7

 

 

 

9,629,373

 

32.6

 

 

 

23,565,227

 

28.0

 

 

 

34,020,882

 

31.5

 

90.01% to 95.00%

 

7,722,842

 

47.1

 

 

 

11,134,923

 

37.6

 

 

 

37,813,167

 

44.9

 

 

 

42,517,221

 

39.4

 

95.01% and above

 

2,484,352

 

15.2

 

 

 

2,484,974

 

8.4

 

 

 

11,379,167

 

13.5

 

 

 

11,280,824

 

10.5

 

Total

$

16,379,082

 

100.0

%

 

$

29,566,820

 

100.0

%

 

$

84,217,834

 

100.0

%

 

$

107,943,914

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

92

%

 

 

 

91

%

 

 

 

92

%

 

 

 

91

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Year Ended

 

December 31, 2021

 

December 31, 2020

 

December 31, 2021

 

December 31, 2020

Single Premium policies

 

2.7

%

 

 

7.7

%

 

 

3.8

%

 

 

9.0

%

Monthly Premium policies

 

97.3

 

 

 

92.3

 

 

 

96.2

 

 

 

91.0

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Year Ended

 

December 31, 2021

 

December 31, 2020

 

December 31, 2021

 

December 31, 2020

Purchase

 

92.1

%

 

 

61.6

%

 

 

82.1

%

 

 

60.4

%

Refinance

 

7.9

 

 

 

38.4

 

 

 

17.9

 

 

 

39.6

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Exhibit E

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio by Credit Score

IIF by FICO score

December 31, 2021

 

September 30, 2021

 

December 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

85,501,113

 

41.3

%

 

$

85,833,588

 

41.2

%

 

$

82,452,139

 

41.5

%

740-759

 

 

35,111,019

 

17.0

 

 

 

35,234,863

 

16.9

 

 

 

34,538,761

 

17.3

 

720-739

 

 

31,158,325

 

15.0

 

 

 

31,291,415

 

15.1

 

 

 

29,599,646

 

14.9

 

700-719

 

 

26,105,790

 

12.6

 

 

 

26,136,910

 

12.6

 

 

 

23,807,982

 

12.0

 

680-699

 

 

16,819,629

 

8.1

 

 

 

16,758,439

 

8.0

 

 

 

15,538,235

 

7.8

 

<=679

 

 

12,494,668

 

6.0

 

 

 

12,961,334

 

6.2

 

 

 

12,945,589

 

6.5

 

Total

$

207,190,544

 

100.0

%

 

$

208,216,549

 

100.0

%

 

$

198,882,352

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

745

 

 

 

 

745

 

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

December 31, 2021

 

September 30, 2021

 

December 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

21,488,011

 

40.9

%

 

$

21,414,607

 

40.8

%

 

$

20,336,799

 

41.0

%

740-759

 

 

8,992,181

 

17.1

 

 

 

8,958,297

 

17.1

 

 

 

8,682,265

 

17.5

 

720-739

 

 

8,029,952

 

15.3

 

 

 

8,020,171

 

15.3

 

 

 

7,504,065

 

15.1

 

700-719

 

 

6,693,045

 

12.7

 

 

 

6,652,117

 

12.7

 

 

 

5,970,851

 

12.1

 

680-699

 

 

4,299,245

 

8.2

 

 

 

4,250,044

 

8.1

 

 

 

3,887,059

 

7.9

 

<=679

 

 

3,051,812

 

5.8

 

 

 

3,161,784

 

6.0

 

 

 

3,184,111

 

6.4

 

Total

$

52,554,246

 

100.0

%

 

$

52,457,020

 

100.0

%

 

$

49,565,150

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

December 31, 2021

 

September 30, 2021

 

December 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

27,362,267

 

13.2

%

 

$

28,452,535

 

13.7

%

 

$

27,308,296

 

13.7

%

85.01% to 90.00%

 

 

59,567,378

 

28.7

 

 

 

60,257,704

 

28.9

 

 

 

58,606,394

 

29.5

 

90.01% to 95.00%

 

 

91,350,909

 

44.1

 

 

 

90,957,363

 

43.7

 

 

 

86,169,485

 

43.3

 

95.01% and above

 

 

28,909,990

 

14.0

 

 

 

28,548,947

 

13.7

 

 

 

26,798,177

 

13.5

 

Total

$

207,190,544

 

100.0

%

 

$

208,216,549

 

100.0

%

 

$

198,882,352

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

92

%

 

 

 

92

%

 

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

December 31, 2021

 

September 30, 2021

 

December 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

3,200,124

 

6.1

%

 

$

3,311,106

 

6.3

%

 

$

3,142,034

 

6.3

%

85.01% to 90.00%

 

 

14,366,450

 

27.3

 

 

 

14,506,577

 

27.7

 

 

 

14,061,553

 

28.4

 

90.01% to 95.00%

 

 

26,592,162

 

50.6

 

 

 

26,410,513

 

50.3

 

 

 

24,895,471

 

50.2

 

95.01% and above

 

 

8,395,510

 

16.0

 

 

 

8,228,824

 

15.7

 

 

 

7,466,092

 

15.1

 

Total

$

52,554,246

 

100.0

%

 

$

52,457,020

 

100.0

%

 

$

49,565,150

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

December 31, 2021

 

September 30, 2021

 

December 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

198,243,758

 

95.7

%

 

$

198,392,156

 

95.3

%

 

$

187,704,000

 

94.4

%

FRM 20-25 years

 

 

3,658,366

 

1.8

 

 

 

3,974,602

 

1.9

 

 

 

4,365,585

 

2.2

 

FRM 15 years

 

 

3,996,684

 

1.9

 

 

 

4,419,750

 

2.1

 

 

 

4,776,068

 

2.4

 

ARM 5 years and higher

 

 

1,291,736

 

0.6

 

 

 

1,430,041

 

0.7

 

 

 

2,036,699

 

1.0

 

Total

$

207,190,544

 

100.0

%

 

$

208,216,549

 

100.0

%

 

$

198,882,352

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

2021

 

 

2020

 

($ in thousands)

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

1,788,918

 

 

$

1,568,800

 

 

$

1,496,247

 

 

$

1,534,174

 

 

$

1,416,719

 

Reserve for losses and LAE

 

$

1,349

 

 

$

1,389

 

 

$

1,390

 

 

$

1,312

 

 

$

1,073

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

748

 

 

 

748

 

 

 

747

 

 

 

747

 

 

 

746

 

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

December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

$

3,122,498

5.1

%

19,269

4.32

%

80.6

%

71.7

%

5.2

%

15.3

%

42.4

%

3.3

%

900

4.67

%

2015

 

26,193,656

 

3,114,853

11.9

 

17,893

4.16

 

86.5

 

67.1

 

3.5

 

17.8

 

39.8

 

4.3

 

742

4.15

 

2016

 

34,949,319

 

6,326,129

18.1

 

33,941

3.86

 

88.1

 

65.3

 

8.9

 

15.2

 

43.9

 

5.3

 

1,327

3.91

 

2017

 

43,858,322

 

8,509,847

19.4

 

47,080

4.26

 

90.5

 

65.6

 

18.3

 

20.0

 

37.9

 

8.3

 

2,458

5.22

 

2018

 

47,508,525

 

9,482,084

20.0

 

49,923

4.77

 

93.7

 

66.9

 

23.5

 

21.2

 

33.3

 

13.7

 

3,096

6.20

 

2019

 

63,569,183

 

20,252,049

31.9

 

90,476

4.21

 

86.0

 

65.3

 

22.4

 

19.0

 

35.5

 

21.8

 

3,953

4.37

 

2020

 

107,944,065

 

76,550,717

70.9

 

276,407

3.18

 

63.0

 

51.7

 

11.3

 

11.1

 

44.8

 

13.6

 

3,490

1.26

 

2021

 

84,218,250

 

79,832,367

94.8

 

250,130

3.07

 

82.7

 

59.0

 

13.9

 

14.1

 

40.4

 

9.1

 

997

0.40

 

Total

$

468,910,171

$

207,190,544

44.2

 

785,119

3.41

 

76.8

 

58.0

 

14.0

 

14.1

 

41.3

 

8.9

 

16,963

2.16

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit H

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Reinsurance Vintage Data

December 31, 2021

($ 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 (8)

2015 & 2016

$

9,131,102

$

2,462,841

 

$

333,844

$

$

333,844

 

$

178,717

$

$

178,717

 

$

 

$

208,111

$

207,140

 

$

1,177

$

4,808

 

$

2017

 

8,286,495

 

2,143,551

 

 

424,412

 

165,167

 

589,579

 

 

242,123

 

165,167

 

407,290

 

 

 

 

224,689

 

217,409

 

 

2,679

 

10,655

 

 

2018

 

9,341,880

 

2,382,994

 

 

473,184

 

118,650

 

591,834

 

 

325,537

 

76,144

 

401,681

 

 

 

 

253,643

 

249,450

 

 

3,220

 

12,824

 

 

2019 (3)

 

11,238,898

 

2,874,767

 

 

495,889

 

55,102

 

550,991

 

 

495,889

 

55,102

 

550,991

 

 

 

 

215,605

 

215,115

 

 

2,778

 

11,068

 

 

43,674

2019 & 2020 (4)

 

31,050,401

 

7,848,926

 

 

399,159

 

 

399,159

 

 

153,530

 

 

153,530

 

 

 

 

465,690

 

465,690

 

 

3,174

 

17,573

 

 

78,211

2020 & 2021 (5)

 

50,143,288

 

12,263,000

 

 

557,911

 

 

557,911

 

 

557,911

 

 

557,911

 

 

 

 

278,956

 

278,956

 

 

3,695

 

7,675

 

 

534,049

2021 (6)

 

45,887,021

 

12,086,006

 

 

439,407

 

 

439,407

 

 

439,407

 

 

439,407

 

 

 

 

279,415

 

279,415

 

 

2,367

 

2,367

 

 

400,151

Total

$

165,079,085

$

42,062,085

 

$

3,123,806

$

338,919

$

3,462,725

 

$

2,393,114

$

296,413

$

2,689,527

 

$

 

$

1,926,109

$

1,913,175

 

$

19,090

$

66,970

 

$

1,056,085

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 (8)

2019 & 2020 (7)

 

$

85,045,135

 

$

21,077,760

 

$

18,703,480

 

$

4,591,336

 

$

(1,023

)

 

$

6,926

 

$

4,205

 

$

18,509

 

$

7,386

 

$

43,944

 

$

306,548

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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) 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

 

December 31, 2021

 

September 30, 2021

 

December 31, 2020

CA

13.1

%

 

13.1

%

 

12.0

%

TX

9.9

 

 

9.8

 

 

9.7

 

FL

9.7

 

 

9.5

 

 

8.7

 

CO

4.1

 

 

4.1

 

 

4.1

 

WA

3.7

 

 

3.7

 

 

3.8

 

IL

3.3

 

 

3.4

 

 

3.4

 

AZ

3.3

 

 

3.4

 

 

3.6

 

NJ

3.1

 

 

3.1

 

 

3.3

 

VA

3.1

 

 

3.1

 

 

3.1

 

GA

3.1

 

 

3.1

 

 

3.0

 

All Others

43.6

 

 

43.7

 

 

45.3

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

December 31, 2021

 

September 30, 2021

 

December 31, 2020

CA

13.0

%

 

12.9

%

 

11.8

%

TX

10.2

 

 

10.1

 

 

10.0

 

FL

10.0

 

 

9.8

 

 

9.0

 

CO

4.0

 

 

4.1

 

 

4.1

 

WA

3.6

 

 

3.7

 

 

3.8

 

AZ

3.3

 

 

3.3

 

 

3.5

 

IL

3.2

 

 

3.3

 

 

3.3

 

GA

3.1

 

 

3.1

 

 

3.1

 

VA

3.0

 

 

3.1

 

 

3.1

 

NJ

3.0

 

 

3.0

 

 

3.2

 

All Others

43.6

 

 

43.6

 

 

45.1

 

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

 

 

2021

 

 

2020

 

 

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

Beginning default inventory

 

 

19,721

 

 

 

23,504

 

 

 

29,080

 

 

 

31,469

 

 

 

35,464

 

Plus: new defaults (A)

 

 

5,809

 

 

 

5,132

 

 

 

4,934

 

 

 

7,422

 

 

 

8,745

 

Less: cures

 

 

(8,514

)

 

 

(8,862

)

 

 

(10,453

)

 

 

(9,737

)

 

 

(12,679

)

Less: claims paid

 

 

(47

)

 

 

(41

)

 

 

(46

)

 

 

(61

)

 

 

(49

)

Less: rescissions and denials, net

 

 

(6

)

 

 

(12

)

 

 

(11

)

 

 

(13

)

 

 

(12

)

Ending default inventory

 

 

16,963

 

 

 

19,721

 

 

 

23,504

 

 

 

29,080

 

 

 

31,469

 

 

 

 

 

 

 

 

 

 

 

 

(A) New defaults remaining as of December 31, 2021

 

 

4,316

 

 

 

2,162

 

 

 

1,523

 

 

 

1,686

 

 

 

1,516

 

Cure rate (1)

 

 

26

%

 

 

58

%

 

 

69

%

 

 

77

%

 

 

83

%

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

$

992

 

 

$

1,069

 

 

$

1,154

 

 

$

1,989

 

 

$

1,922

 

Average amount paid per claim (in thousands)

 

$

21

 

 

$

26

 

 

$

25

 

 

$

33

 

 

$

39

 

Severity

 

 

45

%

 

 

60

%

 

 

57

%

 

 

70

%

 

 

62

%

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

2021

 

 

2020

 

($ in thousands)

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

Reserve for losses and LAE at beginning of period

 

$

411,567

 

 

$

420,482

 

 

$

409,811

 

 

$

373,868

 

 

$

307,019

 

Less: Reinsurance recoverables

 

 

26,970

 

 

 

27,286

 

 

 

24,907

 

 

 

19,061

 

 

 

11,898

 

Net reserve for losses and LAE at beginning of period

 

 

384,597

 

 

 

393,196

 

 

 

384,904

 

 

 

354,807

 

 

 

295,121

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

13,231

 

 

 

11,371

 

 

 

24,534

 

 

 

47,763

 

 

 

63,597

 

Prior years

 

 

(16,624

)

 

 

(18,853

)

 

 

(14,961

)

 

 

(15,680

)

 

 

(1,879

)

Incurred losses and LAE during the period

 

 

(3,393

)

 

 

(7,482

)

 

 

9,573

 

 

 

32,083

 

 

 

61,718

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

157

 

 

 

103

 

 

 

14

 

 

 

114

 

 

 

524

 

Prior years

 

 

891

 

 

 

1,014

 

 

 

1,267

 

 

 

1,872

 

 

 

1,508

 

Loss and LAE payments during the period

 

 

1,048

 

 

 

1,117

 

 

 

1,281

 

 

 

1,986

 

 

 

2,032

 

Net reserve for losses and LAE at end of period

 

 

380,156

 

 

 

384,597

 

 

 

393,196

 

 

 

384,904

 

 

 

354,807

 

Plus: Reinsurance recoverables

 

 

25,940

 

 

 

26,970

 

 

 

27,286

 

 

 

24,907

 

 

 

19,061

 

Reserve for losses and LAE at end of period

 

$

406,096

 

 

$

411,567

 

 

$

420,482

 

 

$

409,811

 

 

$

373,868

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

Exhibit K

Essent Group Ltd. and Subsidiaries

Supplemental Information

Detail of Reserves by Default Delinquency

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

December 31, 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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2020

 

 

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of

Reserves

Percentage of

Reserves

Defaulted RIF

Reserves as a

Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

6,631

 

21

%

$

47,905

14

%

$

384,668

12

%

Four to eleven payments

 

23,543

 

75

 

 

260,593

76

 

 

1,553,593

17

 

Twelve or more payments

 

1,243

 

4

 

 

32,593

9

 

 

67,501

48

 

Pending claims

 

52

 

 

 

2,199

1

 

 

2,843

77

 

Total case reserves

 

31,469

 

100

%

 

343,290

100

%

$

2,008,605

17

 

IBNR

 

 

 

 

25,747

 

 

 

LAE

 

 

 

 

4,831

 

 

 

Total reserves for losses and LAE

 

 

 

$

373,868

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

10.9

 

 

 

Total

 

 

 

$

11.9

 

 

 

 

 

 

 

 

 

 

 

Default Rate

3.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit L

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

 

December 31, 2021

 

December 31, 2020

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

 

$

448,793

 

 

9.1

%

 

$

268,444

 

5.9

%

U.S. agency securities

 

 

5,504

 

 

0.1

 

 

 

18,085

 

0.4

 

U.S. agency mortgage-backed securities

 

 

1,008,863

 

 

20.3

 

 

 

995,905

 

21.8

 

Municipal debt securities

 

 

627,599

 

 

12.7

 

 

 

551,517

 

12.1

 

Non-U.S. government securities

 

 

79,743

 

 

1.6

 

 

 

61,607

 

1.3

 

Corporate debt securities

 

 

1,455,247

 

 

29.3

 

 

 

1,126,512

 

24.7

 

Residential and commercial mortgage securities

 

 

545,423

 

 

11.0

 

 

 

409,282

 

9.0

 

Asset-backed securities

 

 

581,703

 

 

11.7

 

 

 

454,717

 

9.9

 

Money market funds

 

 

210,012

 

 

4.2

 

 

 

679,304

 

14.9

 

Total investments available for sale

 

$

4,962,887

 

 

100.0

%

 

$

4,565,373

 

100.0

%

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

 

December 31, 2021

 

December 31, 2020

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

 

$

2,412,273

 

 

48.6

%

 

$

2,564,746

 

56.2

%

Aa1

 

 

96,331

 

 

1.9

 

 

 

133,100

 

2.9

 

Aa2

 

 

354,951

 

 

7.2

 

 

 

260,462

 

5.7

 

Aa3

 

 

221,914

 

 

4.5

 

 

 

204,917

 

4.5

 

A1

 

 

263,820

 

 

5.3

 

 

 

249,710

 

5.5

 

A2

 

 

427,282

 

 

8.6

 

 

 

401,175

 

8.8

 

A3

 

 

274,525

 

 

5.5

 

 

 

229,882

 

5.0

 

Baa1

 

 

305,204

 

 

6.1

 

 

 

260,602

 

5.7

 

Baa2

 

 

274,011

 

 

5.5

 

 

 

178,926

 

3.9

 

Baa3

 

 

240,755

 

 

4.9

 

 

 

48,199

 

1.1

 

Below Baa3

 

 

91,821

 

 

1.9

 

 

 

33,654

 

0.7

 

Total investments available for sale

 

$

4,962,887

 

 

100.0

%

 

$

4,565,373

 

100.0

%

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

 

December 31, 2021

 

December 31, 2020

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

 

$

1,104,397

 

 

22.2

%

 

$

1,568,505

 

34.4

%

1 to < 2 Years

 

 

561,297

 

 

11.3

 

 

 

581,003

 

12.7

 

2 to < 3 Years

 

 

539,174

 

 

10.9

 

 

 

616,069

 

13.5

 

3 to < 4 Years

 

 

593,663

 

 

12.0

 

 

 

426,333

 

9.3

 

4 to < 5 Years

 

 

663,127

 

 

13.4