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Essent Group Ltd. Announces First Quarter 2023 Results and Declares Quarterly Dividend

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2023 of $170.8 million or $1.59 per diluted share, compared to $274.2 million or $2.52 per diluted share for the quarter ended March 31, 2022.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.25 per common share. The dividend is payable on June 12, 2023, to shareholders of record on June 1, 2023.

“We are pleased with our first quarter 2023 financial results, which benefited from rising interest rates and favorable credit performance,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results continue to demonstrate the earnings power of our business and provide us with attractive levels of operating cash flows. We continue to believe deploying our capital in a balanced manner is in the best long-term interest of our shareholders.”

Financial Highlights:

  • New insurance written for the first quarter of 2023 was $12.9 billion, compared to $13.0 billion in the fourth quarter of 2022 and $12.8 billion in the first quarter of 2022.
  • Insurance in force as of March 31, 2023 was $231.5 billion, compared to $227.1 billion as of December 31, 2022 and $206.8 billion as of March 31, 2022.
  • The combined ratio for the first quarter of 2023 was 22.7%, compared to 24.6% in the fourth quarter of 2022 and (30.7)% in the first quarter of 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: 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); the impact of COVID-19 and related economic conditions; 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, 2022 filed with the Securities and Exchange Commission on February 17, 2023, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

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

Source: Essent Group Ltd.

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended March 31, 2023

 

 

 

 

 

 

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)

 

2023

 

 

 

2022

 

Revenues:

 

 

 

Direct premiums written

$

239,491

 

 

$

220,254

 

Ceded premiums

 

(33,591

)

 

 

(20,523

)

Net premiums written

 

205,900

 

 

 

199,731

 

Decrease in unearned premiums

 

5,358

 

 

 

15,599

 

Net premiums earned

 

211,258

 

 

 

215,330

 

Net investment income

 

43,236

 

 

 

24,680

 

Realized investment losses, net

 

(488

)

 

 

(7,352

)

(Loss) income from other invested assets

 

(2,702

)

 

 

24,705

 

Other income

 

4,942

 

 

 

7,248

 

Total revenues

 

256,246

 

 

 

264,611

 

 

 

 

 

Losses and expenses:

 

 

 

(Benefit) provision for losses and LAE

 

(180

)

 

 

(106,858

)

Other underwriting and operating expenses

 

48,195

 

 

 

40,796

 

Interest expense

 

6,936

 

 

 

2,226

 

Total losses and expenses

 

54,951

 

 

 

(63,836

)

 

 

 

 

Income before income taxes

 

201,295

 

 

 

328,447

 

Income tax expense

 

30,468

 

 

 

54,280

 

Net income

$

170,827

 

 

$

274,167

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

Basic

$

1.60

 

 

$

2.53

 

Diluted

 

1.59

 

 

 

2.52

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

Basic

 

106,943

 

 

 

108,166

 

Diluted

 

107,585

 

 

 

108,590

 

 

 

 

 

Net income

$

170,827

 

 

$

274,167

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

Change in unrealized appreciation (depreciation) of investments

 

58,753

 

 

 

(203,006

)

Total other comprehensive income (loss)

 

58,753

 

 

 

(203,006

)

Comprehensive income

$

229,580

 

 

$

71,161

 

 

 

 

 

 

 

 

 

Loss ratio

 

(0.1

%)

 

 

(49.6

%)

Expense ratio

 

22.8

 

 

 

18.9

 

Combined ratio

 

22.7

%

 

 

(30.7

%)

 

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

March 31,

 

December 31,

(In thousands, except per share amounts)

 

2023

 

 

 

2022

 

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

4,602,284

 

 

$

4,489,598

 

Short-term investments available for sale, at fair value

 

347,752

 

 

 

252,027

 

Total investments available for sale

 

4,950,036

 

 

 

4,741,625

 

Other invested assets

 

255,288

 

 

 

257,941

 

Total investments

 

5,205,324

 

 

 

4,999,566

 

Cash

 

68,633

 

 

 

81,240

 

Accrued investment income

 

36,896

 

 

 

33,162

 

Accounts receivable

 

61,282

 

 

 

57,399

 

Deferred policy acquisition costs

 

9,511

 

 

 

9,910

 

Property and equipment

 

18,514

 

 

 

19,571

 

Prepaid federal income tax

 

418,460

 

 

 

418,460

 

Other assets

 

108,886

 

 

 

104,489

 

 

 

 

 

Total assets

$

5,927,506

 

 

$

5,723,797

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

216,022

 

 

$

216,464

 

Unearned premium reserve

 

157,529

 

 

 

162,887

 

Net deferred tax liability

 

383,116

 

 

 

356,810

 

Credit facility borrowings, net of deferred costs

 

421,128

 

 

 

420,864

 

Other accrued liabilities

 

100,770

 

 

 

104,463

 

Total liabilities

 

1,278,565

 

 

 

1,261,488

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 107,659 shares in 2023 and 107,683 shares in 2022

 

1,615

 

 

 

1,615

 

Additional paid-in capital

 

1,334,607

 

 

 

1,350,377

 

Accumulated other comprehensive loss

 

(324,037

)

 

 

(382,790

)

Retained earnings

 

3,636,756

 

 

 

3,493,107

 

Total stockholders' equity

 

4,648,941

 

 

 

4,462,309

 

 

 

 

 

Total liabilities and stockholders' equity

$

5,927,506

 

 

$

5,723,797

 

 

 

 

 

Return on average equity (1)

 

15.0

%

 

 

19.1

%

 

 

 

 

(1) The 2023 return on average equity is calculated by dividing annualized year-to-date 2023 net income by average equity. The 2022 return on average equity is calculated by dividing full year 2022 net income by average equity.

 

 

 

 

 

 

 

 

 

 

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

 

2022

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

 

$

196,565

 

 

$

192,670

 

 

$

194,272

 

 

$

198,891

 

 

$

203,312

 

GSE and other risk share

 

 

14,693

 

 

 

14,582

 

 

 

13,662

 

 

 

13,120

 

 

 

12,018

 

Net premiums earned

 

 

211,258

 

 

 

207,252

 

 

 

207,934

 

 

 

212,011

 

 

 

215,330

 

Net investment income

 

 

43,236

 

 

 

37,796

 

 

 

32,594

 

 

 

29,339

 

 

 

24,680

 

Realized investment (losses) gains, net

 

 

(488

)

 

 

(5,524

)

 

 

175

 

 

 

(471

)

 

 

(7,352

)

(Loss) income from other invested assets

 

 

(2,702

)

 

 

(7,599

)

 

 

9,617

 

 

 

1,953

 

 

 

24,705

 

Other income (loss) (1)

 

 

4,942

 

 

 

(1,888

)

 

 

11,447

 

 

 

1,577

 

 

 

7,248

 

Total revenues

 

 

256,246

 

 

 

230,037

 

 

 

261,767

 

 

 

244,409

 

 

 

264,611

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

(Benefit) provision for losses and LAE

 

 

(180

)

 

 

4,101

 

 

 

4,252

 

 

 

(76,199

)

 

 

(106,858

)

Other underwriting and operating expenses

 

 

48,195

 

 

 

46,895

 

 

 

42,144

 

 

 

41,898

 

 

 

40,796

 

Interest expense

 

 

6,936

 

 

 

6,045

 

 

 

4,450

 

 

 

2,887

 

 

 

2,226

 

Total losses and expenses

 

 

54,951

 

 

 

57,041

 

 

 

50,846

 

 

 

(31,414

)

 

 

(63,836

)

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

 

201,295

 

 

 

172,996

 

 

 

210,921

 

 

 

275,823

 

 

 

328,447

 

Income tax expense (2)

 

 

30,468

 

 

 

25,630

 

 

 

32,870

 

 

 

44,054

 

 

 

54,280

 

Net income

 

$

170,827

 

 

$

147,366

 

 

$

178,051

 

 

$

231,769

 

 

$

274,167

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.60

 

 

$

1.38

 

 

$

1.67

 

 

$

2.17

 

 

$

2.53

 

Diluted

 

 

1.59

 

 

 

1.37

 

 

 

1.66

 

 

 

2.16

 

 

 

2.52

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

 

106,943

 

 

 

106,881

 

 

 

106,870

 

 

 

106,921

 

 

 

108,166

 

Diluted

 

 

107,585

 

 

 

107,419

 

 

 

107,337

 

 

 

107,283

 

 

 

108,590

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

43.18

 

 

$

41.44

 

 

$

39.87

 

 

$

39.67

 

 

$

38.98

 

Return on average equity (annualized)

 

 

15.0

%

 

 

13.5

%

 

 

16.6

%

 

 

21.8

%

 

 

26.0

%

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

Loss ratio (3)

 

 

(0.1

%)

 

 

2.0

%

 

 

2.0

%

 

 

(35.9

)%

 

 

(49.6

)%

Expense ratio (4)

 

 

22.8

 

 

 

22.6

 

 

20.3

 

 

19.8

 

 

18.9

Combined ratio

 

 

22.7

%

 

 

24.6

%

 

 

22.3

%

 

 

(16.2

)%

 

 

(30.7

)%

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

Undrawn committed capacity

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

Weighted average interest rate (end of period)

 

 

6.52

%

 

 

6.02

%

 

 

4.39

%

 

 

2.92

%

 

 

1.99

%

Debt-to-capital

 

 

8.38

%

 

 

8.70

%

 

 

9.01

%

 

 

9.05

%

 

 

9.16

%

 

 

 

 

 

 

 

 

 

 

 

(1) Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended March 31, 2023, December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022 was ($368), ($6,515),$5,177, ($5,549), and $4,365, respectively.

(2) Income tax expense for the quarters ended March 31, 2023, December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022 includes ($368), ($4,122), $2,925, ($299), and $7,002, respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses.

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

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

 

 

 

 

 

Exhibit C, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

 

 

2022

Other Data, continued:

 

March 31

 

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

12,893,789

 

 

 

$

13,011,432

 

 

$

17,112,017

 

 

$

20,096,135

 

 

$

12,841,482

 

New risk written

 

 

3,548,015

 

 

 

 

3,522,726

 

 

 

4,570,699

 

 

 

5,442,115

 

 

 

3,438,016

 

 

 

 

 

 

 

 

 

 

 

 

 

Bulk:

 

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

 

 

 

$

 

 

$

 

 

$

196

 

 

$

 

New risk written

 

 

 

 

 

 

 

 

 

 

 

 

29

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total:

 

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

12,893,789

 

 

 

$

13,011,432

 

 

$

17,112,017

 

 

$

20,096,331

 

 

$

12,841,482

 

New risk written

 

$

3,548,015

 

 

 

$

3,522,726

 

 

$

4,570,669

 

 

$

5,442,144

 

 

$

3,438,016

 

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

$

228,885,174

 

 

 

$

224,840,675

 

 

$

219,280,350

 

 

$

210,896,297

 

 

$

206,631,135

 

Insurance in force (end of period)

 

$

231,537,417

 

 

 

$

227,062,055

 

 

$

222,542,569

 

 

$

215,896,531

 

 

$

206,842,996

 

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

 

$

60,879,979

 

 

 

$

59,276,489

 

 

$

57,743,091

 

 

$

55,678,063

 

 

$

52,847,985

 

Risk in force (end of period)

 

$

51,469,312

 

 

 

$

49,903,626

 

 

$

48,690,571

 

 

$

47,289,910

 

 

$

45,261,164

 

Policies in force

 

 

815,751

 

 

 

 

808,596

 

 

 

800,745

 

 

 

789,652

 

 

 

774,002

 

Weighted average coverage (6)

 

 

26.3

%

 

 

 

26.1

%

 

 

25.9

%

 

 

25.8

%

 

 

25.5

%

Annual persistency

 

 

84.4

%

 

 

 

82.1

%

 

 

77.9

%

 

 

73.4

%

 

 

69.1

%

 

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

 

12,773

 

 

 

 

13,433

 

 

 

12,435

 

 

 

12,707

 

 

 

14,923

 

Percentage of loans in default

 

 

1.57

%

 

 

 

1.66

%

 

 

1.55

%

 

 

1.61

%

 

 

1.93

%

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio premium rate:

 

 

 

 

 

 

 

 

 

Base average premium rate (7)

 

 

0.40

%

 

 

 

0.40

%

 

 

0.40

%

 

 

0.41

%

 

 

0.41

%

Single premium cancellations (8)

 

 

%

 

 

 

%

 

 

0.01

%

 

 

0.01

%

 

 

0.02

%

Gross average premium rate

 

 

0.40

%

 

 

 

0.40

%

 

 

0.41

%

 

 

0.42

%

 

 

0.43

%

Ceded premiums

 

 

(0.06

%)

 

 

 

(0.06

%)

 

 

(0.06

%)

 

 

(0.04

%)

 

 

(0.04

%)

Net average premium rate

 

 

0.34

%

 

 

 

0.34

%

 

 

0.35

%

 

 

0.38

%

 

 

0.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

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

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

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

 

 

 

 

 

 

 

 

Exhibit D

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

New Insurance Written: Flow

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Credit Score

 

Three Months Ended

 

March 31, 2023

 

December 31, 2022

 

March 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

4,847,058

 

37.7

%

 

$

4,761,917

 

36.6

%

 

$

5,410,654

 

42.1

%

740-759

 

2,397,982

 

18.6

 

 

 

2,428,164

 

18.7

 

 

 

2,113,232

 

16.5

 

720-739

 

2,204,844

 

17.1

 

 

 

2,301,392

 

17.7

 

 

 

1,991,318

 

15.5

 

700-719

 

2,002,892

 

15.5

 

 

 

1,919,146

 

14.6

 

 

 

1,620,473

 

12.6

 

680-699

 

1,100,815

 

8.5

 

 

 

1,138,743

 

8.8

 

 

 

1,147,766

 

8.9

 

<=679

 

340,198

 

2.6

 

 

 

462,070

 

3.6

 

 

 

558,039

 

4.4

 

Total

$

12,893,789

 

100.0

%

 

$

13,011,432

 

100.0

%

 

$

12,841,482

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

745

 

 

 

 

744

 

 

 

 

747

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

March 31, 2023

 

December 31, 2022

 

March 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

963,009

 

7.5

%

 

$

1,121,853

 

8.6

%

 

$

1,262,038

 

9.8

%

85.01% to 90.00%

 

2,685,828

 

20.8

 

 

 

3,075,304

 

23.6

 

 

 

3,415,938

 

26.6

 

90.01% to 95.00%

 

7,430,113

 

57.6

 

 

 

7,464,333

 

57.4

 

 

 

6,416,255

 

50.0

 

95.01% and above

 

1,814,839

 

14.1

 

 

 

1,349,942

 

10.4

 

 

 

1,747,251

 

13.6

 

Total

$

12,893,789

 

100.0

%

 

$

13,011,432

 

100.0

%

 

$

12,841,482

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

March 31, 2023

 

December 31, 2022

 

March 31, 2022

Single Premium policies

 

4.1

%

 

 

4.3

%

 

 

1.9

%

Monthly Premium policies

 

95.9

 

 

 

95.7

 

 

 

98.1

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

March 31, 2023

 

December 31, 2022

 

March 31, 2022

Purchase

 

98.6

%

 

 

98.9

%

 

 

94.1

%

Refinance

 

1.4

 

 

 

1.1

 

 

 

5.9

 

 

 

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, 2023

 

December 31, 2022

 

March 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

94,560,292

 

40.8

%

 

$

93,389,066

 

41.1

%

 

$

85,707,070

 

41.4

%

740-759

 

 

39,870,193

 

17.2

 

 

 

38,842,311

 

17.2

 

 

 

35,048,891

 

17.0

 

720-739

 

 

35,950,319

 

15.5

 

 

 

34,981,632

 

15.4

 

 

 

31,180,765

 

15.1

 

700-719

 

 

30,103,007

 

13.0

 

 

 

29,146,543

 

12.8

 

 

 

26,040,114

 

12.6

 

680-699

 

 

19,338,187

 

8.4

 

 

 

18,859,824

 

8.3

 

 

 

16,847,202

 

8.1

 

<=679

 

 

11,715,419

 

5.1

 

 

 

11,842,679

 

5.2

 

 

 

12,018,954

 

5.8

 

Total

$

231,537,417

 

100.0

%

 

$

227,062,055

 

100.0

%

 

$

206,842,996

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

 

 

746

 

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

March 31, 2023

 

December 31, 2022

 

March 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

24,613,214

 

40.4

%

 

$

24,152,726

 

40.8

%

 

$

21,707,751

 

41.1

%

740-759

 

 

10,612,582

 

17.4

 

 

 

10,255,195

 

17.3

 

 

 

9,041,350

 

17.1

 

720-739

 

 

9,602,368

 

15.8

 

 

 

9,276,750

 

15.6

 

 

 

8,091,445

 

15.3

 

700-719

 

 

8,017,430

 

13.2

 

 

 

7,696,965

 

13.0

 

 

 

6,724,288

 

12.7

 

680-699

 

 

5,126,581

 

8.4

 

 

 

4,963,470

 

8.4

 

 

 

4,338,206

 

8.2

 

<=679

 

 

2,907,804

 

4.8

 

 

 

2,931,383

 

4.9

 

 

 

2,944,945

 

5.6

 

Total

$

60,879,979

 

100.0

%

 

$

59,276,489

 

100.0

%

 

$

52,847,985

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

March 31, 2023

 

December 31, 2022

 

March 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

23,502,232

 

10.2

%

 

$

24,454,468

 

10.8

%

 

$

26,057,055

 

12.6

%

85.01% to 90.00%

 

 

63,478,244

 

27.3

 

 

 

63,436,445

 

27.8

 

 

 

59,113,908

 

28.6

 

90.01% to 95.00%

 

 

112,184,833

 

48.5

 

 

 

107,932,064

 

47.6

 

 

 

92,460,810

 

44.7

 

95.01% and above

 

 

32,372,108

 

14.0

 

 

 

31,239,078

 

13.8

 

 

 

29,211,223

 

14.1

 

Total

$

231,537,417

 

100.0

%

 

$

227,062,055

 

100.0

%

 

$

206,842,996

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

92

%

 

 

 

92

%

 

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

March 31, 2023

 

December 31, 2022

 

March 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

2,793,895

 

4.6

%

 

$

2,903,877

 

4.9

%

 

$

3,062,878

 

5.8

%

85.01% to 90.00%

 

 

15,529,427

 

25.5

 

 

 

15,477,031

 

26.1

 

 

 

14,288,854

 

27.0

 

90.01% to 95.00%

 

 

32,929,489

 

54.1

 

 

 

31,642,669

 

53.4

 

 

 

26,960,457

 

51.0

 

95.01% and above

 

 

9,627,168

 

15.8

 

 

 

9,252,912

 

15.6

 

 

 

8,535,796

 

16.2

 

Total

$

60,879,979

 

100.0

%

 

$

59,276,489

 

100.0

%

 

$

52,847,985

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

March 31, 2023

 

December 31, 2022

 

March 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

224,230,607

 

96.8

%

 

$

219,416,408

 

96.7

%

 

$

198,658,948

 

96.1

%

FRM 20-25 years

 

 

2,364,623

 

1.0

 

 

 

2,601,108

 

1.1

 

 

 

3,365,533

 

1.6

 

FRM 15 years

 

 

2,214,448

 

1.0

 

 

 

2,552,931

 

1.1

 

 

 

3,580,416

 

1.7

 

ARM 5 years and higher

 

 

2,727,739

 

1.2

 

 

 

2,491,608

 

1.1

 

 

 

1,238,099

 

0.6

 

Total

$

231,537,417

 

100.0

%

 

$

227,062,055

 

100.0

%

 

$

206,842,996

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

 

2022

($ in thousands)

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

2,098,033

 

 

$

2,030,571

 

 

$

2,026,895

 

 

$

1,898,364

 

 

$

1,888,437

 

Reserve for losses and LAE

 

$

65

 

 

$

74

 

 

$

102

 

 

$

144

 

 

$

254

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

749

 

 

 

749

 

 

 

748

 

 

 

748

 

 

 

748

 

Weighted average LTV

 

 

83

%

 

 

83

%

 

 

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, 2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

1,970,588

3.2

%

12,429

4.32

%

76.7

%

67.7

%

6.1

%

15.0

%

43.0

%

2.6

%

469

3.77

%

2015

 

26,193,656

 

 

1,774,450

6.8

 

10,695

4.19

 

85.1

 

76.3

 

4.4

 

17.4

 

39.6

 

2.7

 

384

3.59

 

2016

 

34,949,319

 

 

3,808,006

10.9

 

21,772

3.88

 

88.3

 

76.6

 

11.0

 

16.2

 

42.4

 

2.6

 

642

2.95

 

2017

 

43,858,322

 

 

5,637,892

12.9

 

33,053

4.27

 

91.2

 

69.7

 

20.0

 

20.2

 

38.0

 

3.8

 

1,251

3.78

 

2018

 

47,508,525

 

 

6,439,876

13.6

 

35,612

4.79

 

94.4

 

69.7

 

25.3

 

21.6

 

32.8

 

5.3

 

1,593

4.47

 

2019

 

63,569,183

 

 

14,135,010

22.2

 

66,304

4.22

 

87.7

 

67.2

 

24.1

 

18.7

 

35.6

 

5.5

 

1,957

2.95

 

2020

 

107,944,065

 

 

55,661,138

51.6

 

209,325

3.18

 

66.6

 

54.8

 

12.4

 

10.7

 

45.6

 

4.2

 

2,594

1.24

 

2021

 

84,218,250

 

 

69,593,624

82.6

 

223,703

3.08

 

85.0

 

61.2

 

14.8

 

13.9

 

40.4

 

7.8

 

2,743

1.23

 

2022

 

63,061,262

 

 

59,703,096

94.7

 

168,003

5.07

 

97.7

 

64.9

 

11.0

 

12.7

 

39.9

 

17.4

 

1,131

0.67

 

2023 (through March 31)

 

12,893,789

 

 

12,813,737

99.4

 

34,855

6.24

 

98.6

 

71.8

 

14.1

 

11.2

 

37.4

 

3.1

 

9

0.03

 

Total

$

544,865,222

 

$

231,537,417

42.5

 

815,751

3.97

 

85.2

 

62.4

 

14.0

 

13.4

 

40.8

 

4.4

 

12,773

1.57

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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, 2023

($ 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 (3)

2017

$

5,511,131

 

$

1,450,432

 

$

424,412

$

165,167

$

589,579

 

$

$

70,895

$

70,895

 

$

 

$

678,283

$

421,003

(9)

$

2,136

 

$

2018

 

6,349,474

 

 

1,644,287

 

 

473,184

 

118,650

 

591,834

 

 

325,537

 

76,144

 

401,681

 

 

 

 

253,643

 

248,221

 

 

4,113

 

 

2019 (4)

 

7,859,217

 

 

2,029,598

 

 

495,889

 

55,102

 

550,991

 

 

395,889

 

43,991

 

439,880

 

 

 

 

215,605

 

214,485

 

 

2,691

 

 

2020 & 2021 (5)

 

38,168,321

 

 

9,652,777

 

 

557,911

 

 

557,911

 

 

414,005

 

 

414,005

 

 

 

 

278,956

 

278,909

 

 

3,195

 

 

326,919

2021 (6)

 

40,543,749

 

 

10,825,130

 

 

439,407

 

 

439,407

 

 

399,786

 

 

399,786

 

 

 

 

279,415

 

279,400

 

 

4,153

 

 

363,292

2021 & 2022 (7)

 

74,276,338

 

 

19,998,840

 

 

 

141,992

 

141,992

 

 

 

141,992

 

141,992

 

 

 

 

507,114

 

507,114

 

 

1,553

 

 

138,375

2021 & 2022 (8)

 

33,357,208

 

 

8,966,697

 

 

237,868

 

 

237,868

 

 

237,868

 

 

237,868

 

 

 

 

303,761

 

303,761

 

 

4,215

 

 

218,839

Total

$

206,065,438

 

$

54,567,761

 

$

2,628,671

$

480,911

$

3,109,582

 

$

1,773,085

$

333,022

$

2,106,107

 

$

 

$

2,289,964

$

2,025,706

(10)

$

22,276

(11)

$

1,047,425

 

Quota Share Reinsurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses Ceded

 

Ceding Commission

 

Earned Premiums Ceded

 

 

Year

Ceding Percentage

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 (3)

2019 & 2020

(12)

$

61,601,698

$

15,757,097

 

$

13,706,657

 

$

3,467,883

 

$

(729

)

 

$

2,927

 

$

4,686

 

$

210,467

2022

20%

 

59,645,799

 

16,099,874

 

 

11,929,160

 

 

3,219,975

 

 

2,493

 

 

 

1,979

 

 

6,253

 

 

228,069

2023

17.5%

 

12,796,821

 

3,524,010

 

 

2,559,364

 

 

616,702

 

 

29

 

 

 

166

 

 

376

 

 

43,519

Total

 

$

134,044,318

$

35,380,981

 

$

28,195,181

 

$

7,304,560

 

$

1,793

 

 

$

5,072

 

$

11,315

 

$

482,055

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

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

(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 20% of all eligible policies written from October 1, 2021 through December 31, 2022.

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

(9) The original and remaining first layer retention is associated with reinsurance provided by a panel of reinsurers. Amounts reported in prior periods reflected the retention associated with an ILN that is no longer outstanding as of March 31, 2023.

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

(11) The total ceded premium differs from the sum of the individual reinsurance transactions as a result of ILN's that ceded premiums during 2023 but are no longer outstanding as of March 31, 2023.

(12) 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.

 

 

 

 

 

Exhibit I

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Geographic Data

 

 

 

 

 

 

 

 

 

 

 

 

IIF by State

 

March 31, 2023

 

December 31, 2022

 

March 31, 2022

CA

13.2

%

 

13.2

%

 

13.2

%

TX

10.5

 

 

10.4

 

 

10.0

 

FL

10.4

 

 

10.2

 

 

9.9

 

CO

4.2

 

 

4.2

 

 

4.1

 

AZ

3.6

 

 

3.5

 

 

3.3

 

WA

3.4

 

 

3.4

 

 

3.6

 

GA

3.2

 

 

3.2

 

 

3.1

 

IL

3.0

 

 

3.1

 

 

3.3

 

VA

3.0

 

 

3.0

 

 

3.1

 

NJ

2.9

 

 

3.0

 

 

3.1

 

All Others

42.6

 

 

42.8

 

 

43.3

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

March 31, 2023

 

December 31, 2022

 

March 31, 2022

CA

13.0

%

 

13.0

%

 

13.1

%

TX

10.8

 

 

10.7

 

 

10.4

 

FL

10.7

 

 

10.5

 

 

10.2

 

CO

4.1

 

 

4.1

 

 

4.0

 

AZ

3.7

 

 

3.6

 

 

3.4

 

WA

3.4

 

 

3.3

 

 

3.6

 

GA

3.3

 

 

3.2

 

 

3.2

 

IL

2.9

 

 

3.0

 

 

3.2

 

VA

2.9

 

 

3.0

 

 

3.0

 

NJ

2.8

 

 

2.9

 

 

3.0

 

All Others

42.4

 

 

42.7

 

 

42.9

 

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

 

 

 

2023

 

 

2022

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

Beginning default inventory

 

 

13,433

 

 

 

12,435

 

 

 

12,707

 

 

 

14,923

 

 

 

16,963

 

Plus: new defaults (A)

 

 

7,015

 

 

 

7,505

 

 

 

6,448

 

 

 

5,495

 

 

 

6,188

 

Less: cures

 

 

(7,574

)

 

 

(6,425

)

 

 

(6,642

)

 

 

(7,639

)

 

 

(8,167

)

Less: claims paid

 

 

(94

)

 

 

(73

)

 

 

(68

)

 

 

(65

)

 

 

(55

)

Less: rescissions and denials, net

 

 

(7

)

 

 

(9

)

 

 

(10

)

 

 

(7

)

 

 

(6

)

Ending default inventory

 

 

12,773

 

 

 

13,433

 

 

 

12,435

 

 

 

12,707

 

 

 

14,923

 

 

 

 

 

 

 

 

 

 

 

 

(A) New defaults remaining as of March 31, 2023

 

 

4,755

 

 

 

2,897

 

 

 

1,658

 

 

 

990

 

 

 

540

 

Cure rate (1)

 

 

32

%

 

 

61

%

 

 

74

%

 

 

82

%

 

 

91

%

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

$

1,959

 

 

$

1,441

 

 

$

1,261

 

 

$

1,137

 

 

$

826

 

Average amount paid per claim (in thousands)

 

$

21

 

 

$

20

 

 

$

19

 

 

$

17

 

 

$

15

 

Severity

 

 

59

%

 

 

46

%

 

 

47

%

 

 

50

%

 

 

35

%

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

 

2023

 

 

2022

($ in thousands)

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

Reserve for losses and LAE at beginning of period

 

$

216,390

 

 

$

212,392

 

 

$

209,829

 

 

$

292,818

 

 

$

406,096

 

Less: Reinsurance recoverables

 

 

14,618

 

 

 

13,244

 

 

 

13,657

 

 

 

19,335

 

 

 

25,940

 

Net reserve for losses and LAE at beginning of period

 

 

201,772

 

 

 

199,148

 

 

 

196,172

 

 

 

273,483

 

 

 

380,156

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

32,693

 

 

 

36,141

 

 

 

20,144

 

 

 

18,720

 

 

 

24,346

 

Prior years

 

 

(32,864

)

 

 

(32,012

)

 

 

(15,850

)

 

 

(94,809

)

 

 

(130,114

)

Incurred losses and LAE during the period

 

 

(171

)

 

 

4,129

 

 

 

4,294

 

 

 

(76,089

)

 

 

(105,768

)

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

 

 

 

113

 

 

 

30

 

 

 

80

 

 

 

1

 

Prior years

 

 

2,001

 

 

 

1,392

 

 

 

1,288

 

 

 

1,142

 

 

 

904

 

Loss and LAE payments during the period

 

 

2,001

 

 

 

1,505

 

 

 

1,318

 

 

 

1,222

 

 

 

905

 

Net reserve for losses and LAE at end of period

 

 

199,600

 

 

 

201,772

 

 

 

199,148

 

 

 

196,172

 

 

 

273,483

 

Plus: Reinsurance recoverables

 

 

16,357

 

 

 

14,618

 

 

 

13,244

 

 

 

13,657

 

 

 

19,335

 

Reserve for losses and LAE at end of period

 

$

215,957

 

 

$

216,390

 

 

$

212,392

 

 

$

209,829

 

 

$

292,818

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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, 2023

 

 

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

 

5,366

 

42

%

$

31,080

16

%

$

366,993

8

%

Four to eleven payments

 

5,106

 

40

 

 

78,125

39

 

 

363,299

22

 

Twelve or more payments

 

2,188

 

17

 

 

85,517

43

 

 

130,520

66

 

Pending claims

 

113

 

1

 

 

4,386

2

 

 

5,004

88

 

Total case reserves

 

12,773

 

100

%

 

199,108

100

%

$

865,816

23

 

IBNR

 

 

 

 

14,933

 

 

 

LAE

 

 

 

 

1,916

 

 

 

Total reserves for losses and LAE

 

 

 

$

215,957

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

15.6

 

 

 

Total

 

 

 

$

16.9

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.57

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2022

 

 

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

6,154

 

46

%

$

32,242

16

%

$

411,624

8

%

Four to eleven payments

 

4,684

 

35

 

 

65,071

33

 

 

317,417

21

 

Twelve or more payments

 

2,474

 

18

 

 

98,291

49

 

 

147,247

67

 

Pending claims

 

121

 

1

 

 

3,815

2

 

 

4,860

78

 

Total case reserves

 

13,433

 

100

%

 

199,419

100

%

$

881,148

23

 

IBNR

 

 

 

 

14,956

 

 

 

LAE

 

 

 

 

2,015

 

 

 

Total reserves for losses and LAE

 

 

 

$

216,390

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

14.8

 

 

 

Total

 

 

 

$

16.1

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.66

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit L

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

 

March 31, 2023

 

December 31, 2022

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

 

$

475,784

 

 

9.6

%

 

$

556,438

 

 

11.7

%

U.S. agency securities

 

 

12,690

 

 

0.3

 

 

 

49,058

 

 

1.0

 

U.S. agency mortgage-backed securities

 

 

850,124

 

 

17.2

 

 

 

783,743

 

 

16.5

 

Municipal debt securities

 

 

609,010

 

 

12.3

 

 

 

602,690

 

 

12.8

 

Non-U.S. government securities

 

 

63,018

 

 

1.3

 

 

 

62,399

 

 

1.3

 

Corporate debt securities

 

 

1,462,596

 

 

29.5

 

 

 

1,414,321

 

 

29.8

 

Residential and commercial mortgage securities

 

 

542,013

 

 

10.9

 

 

 

511,824

 

 

10.8

 

Asset-backed securities

 

 

648,109

 

 

13.1

 

 

 

624,561

 

 

13.2

 

Money market funds

 

 

286,692

 

 

5.8

 

 

 

136,591

 

 

2.9

 

Total investments available for sale

 

$

4,950,036

 

 

100.0

%

 

$

4,741,625

 

 

100.0

%

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

 

March 31, 2023

 

December 31, 2022

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

 

$

2,152,791

 

 

46.1

%

 

$

2,122,599

 

 

46.2

%

Aa1

 

 

106,131

 

 

2.3

 

 

 

111,262

 

 

2.4

 

Aa2

 

 

329,046

 

 

7.1

 

 

 

325,241

 

 

7.1

 

Aa3

 

 

233,021

 

 

5.0

 

 

 

232,500

 

 

5.0

 

A1

 

 

407,348

 

 

8.7

 

 

 

396,095

 

 

8.6

 

A2

 

 

388,296

 

 

8.3

 

 

 

410,163

 

 

8.9

 

A3

 

 

281,073

 

 

6.0

 

 

 

268,928

 

 

5.8

 

Baa1

 

 

246,921

 

 

5.3

 

 

 

236,793

 

 

5.1

 

Baa2

 

 

245,523

 

 

5.3

 

 

 

221,308

 

 

4.8

 

Baa3

 

 

175,828

 

 

3.8

 

 

 

187,117

 

 

4.1

 

Below Baa3

 

 

97,366

 

 

2.1

 

 

 

93,028

 

 

2.0

 

Total (2)

 

$

4,663,344

 

 

100.0

%

 

$

4,605,034

 

 

100.0

%

 

 

 

 

 

 

 

 

 

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

 

 

(2) Excludes $286,692 and $136,591 of money market funds at March 31, 2023 and December 31, 2022, respectively.

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

 

March 31, 2023

 

December 31, 2022

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

 

$

1,297,860

 

 

26.2

%

 

$

1,245,839

 

 

26.3

%

1 to < 2 Years

 

 

517,407

 

 

10.5

 

 

 

534,038

 

 

11.3

 

2 to < 3 Years

 

 

416,003

 

 

8.4

 

 

 

511,701

 

 

10.8

 

3 to < 4 Years

 

 

586,055

 

 

11.8

 

 

 

525,683

 

 

11.1

 

4 to < 5 Years

 

 

438,784

 

 

8.9

 

 

 

400,540

 

 

8.4

 

5 or more Years

 

 

1,693,927

 

 

34.2

 

 

 

1,523,824

 

 

32.1

 

Total investments available for sale

 

$

4,950,036

 

 

100.0

%

 

$

4,741,625

 

 

100.0

%

 

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

 

Three months ended

 

 

3.40

%

 

 

 

 

3.03

%

 

 

Holding company net cash and investments available for sale:

 

 

 

 

($ in thousands)

 

 

 

 

As of March 31, 2023

 

$

723,050

 

 

As of December 31, 2022

 

$

685,178

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit M

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

2022

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

 

 

 

 

 

 

Combined statutory capital (1)

 

$

3,207,102

 

 

$

3,178,151

 

 

$

3,128,681

 

 

$

3,062,438

 

 

$

3,058,880

 

 

 

 

 

 

 

 

 

 

 

 

Combined net risk in force (2)

 

$

33,038,825

 

 

$

32,265,701

 

 

$

31,736,095

 

 

$

31,221,406

 

 

$

30,331,197

 

 

 

 

 

 

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc.

 

10.6:1

 

10.5:1

 

10.5:1

 

10.6:1

 

10.3:1

Essent Guaranty of PA, Inc.

 

0.5:1

 

0.6:1

 

0.6:1

 

0.6:1

 

0.7:1

Combined (4)

 

10.3:1

 

10.2:1

 

10.1:1

 

10.2:1

 

9.9:1

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

 

 

 

 

 

 

Available Assets

 

$

3,226,436

 

 

$

3,191,047

 

 

$

3,147,545

 

 

$

3,120,098

 

 

$

3,194,939

 

Minimum Required Assets

 

 

1,917,769

 

 

 

1,832,363

 

 

 

1,759,182

 

 

 

1,869,524

 

 

 

1,840,069

 

PMIERs excess Available Assets

 

$

1,308,667

 

 

$

1,358,684

 

 

$

1,388,363

 

 

$

1,250,574

 

 

$

1,354,870

 

PMIERs sufficiency ratio (6)

 

 

168

%

 

 

174

%

 

 

179

%

 

 

167

%

 

 

174

%

 

 

 

 

 

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

 

 

 

 

 

 

Stockholder's equity (GAAP basis)

 

$

1,573,013

 

 

$

1,478,772

 

 

$

1,397,287

 

 

$

1,380,067

 

 

$

1,330,840

 

 

 

 

 

 

 

 

 

 

 

 

Net risk in force (2)

 

$

20,305,111

 

 

$

19,454,046

 

 

$

18,694,500

 

 

$

17,758,801

 

 

$

16,527,587

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

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

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

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

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

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

 

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