Essent Group Ltd. Announces Second Quarter 2022 Results and Increases Quarterly Dividend
08/05/2022 - 06:30 AM
HAMILTON, Bermuda --(BUSINESS WIRE)--
Essent Group Ltd. (NYSE: ESNT ) today reported net income for the quarter ended June 30, 2022 of $231.8 million or $2.16 per diluted share, compared to $159.8 million or $1.42 per diluted share for the quarter ended June 30, 2021 .
Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.22 per common share. The dividend is payable on September 12, 2022 , to shareholders of record on September 1, 2022 .
“We are pleased with our strong financial results for the second quarter, which reflect the continued favorable credit performance of our portfolio,” said Mark A. Casale , Chairman and Chief Executive Officer. “We believe that the fundamentals of our business remain solid, and despite near-term headwinds, our long-term structural outlook for the housing market remains positive. In connection with that, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.22 per share."
Second Quarter 2022 Financial Highlights:
New insurance written for the second quarter was $20.1 billion , compared to $12.8 billion in the first quarter of 2022 and $25.0 billion in the second quarter of 2021.
Insurance in force as of June 30, 2022 was $215.9 billion , compared to $206.8 billion as of March 31, 2022 and $203.6 billion as of June 30, 2021 .
The combined ratio for the second quarter was negative (16.2% ), compared to negative (30.7% ) in the first quarter of 2022 and 23.3% in the second quarter of 2021.
The provision in the second quarter of 2022 included a $62.9 million benefit associated with a change in the claim rate assumption for COVID-19 defaults recorded in the second and third quarters of 2020.
During the quarter, Essent entered into a forward excess of loss transaction with a panel of reinsurers. The agreement covers 20% of all eligible policies written by Essent Guaranty, Inc. for the period October 1, 2021 through December 31, 2022 .
Conference Call:
Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx . The call may also be accessed by dialing 888-330-2384 inside the U.S. , or 240-789-2701 for international callers, using passcode 9824537 or by referencing Essent .
A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the U.S. , or 647-362-9199 for international callers, passcode 9824537.
In addition to the information provided in the Company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx .
Forward-Looking Statements:
This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration ; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2021 filed with the Securities and Exchange Commission on February 16, 2022 , as subsequently updated through other reports we file with the Securities and Exchange Commission . Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.
About the Company:
Essent Group Ltd. (NYSE: ESNT ) is a Bermuda -based holding company (collectively with its subsidiaries, “Essent”) which, through its wholly-owned subsidiary, Essent Guaranty, Inc. , offers private mortgage insurance for single-family mortgage loans in the United States . Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania , Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia , and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda -based subsidiary, Essent Reinsurance Ltd. Essent is committed to supporting environmental, social and governance (“ESG”) initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us .
Source: Essent Group Ltd.
Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended June 30, 2022
Exhibit A
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B
Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C
Historical Quarterly Data
Exhibit D
New Insurance Written
Exhibit E
Insurance in Force and Risk in Force
Exhibit F
Other Risk in Force
Exhibit G
Portfolio Vintage Data
Exhibit H
Reinsurance Vintage Data
Exhibit I
Portfolio Geographic Data
Exhibit J
Rollforward of Defaults and Reserve for Losses and LAE
Exhibit K
Detail of Reserves by Default Delinquency
Exhibit L
Investments Available for Sale
Exhibit M
Insurance Company Capital
Exhibit A
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Three Months Ended June 30 ,
Six Months Ended June 30 ,
(In thousands, except per share amounts)
2022
2021
2022
2021
Revenues:
Direct premiums written
$
232,660
$
228,949
$
452,914
$
464,206
Ceded premiums
(22,318
)
(26,662
)
(42,841
)
(57,558
)
Net premiums written
210,342
202,287
410,073
406,648
Decrease in unearned premiums
1,669
15,150
17,268
29,856
Net premiums earned
212,011
217,437
427,341
436,504
Net investment income
29,339
21,743
54,019
43,531
Realized investment (losses) gains, net
(471
)
(253
)
(7,823
)
388
Income from other invested assets
1,953
122
26,658
648
Other income
1,577
4,212
8,825
6,987
Total revenues
244,409
243,261
509,020
488,058
Losses and expenses:
(Benefit) provision for losses and LAE
(76,199
)
9,651
(183,057
)
41,973
Other underwriting and operating expenses
41,898
41,114
82,694
83,353
Interest expense
2,887
2,073
5,113
4,124
Total losses and expenses
(31,414
)
52,838
(95,250
)
129,450
Income before income taxes
275,823
190,423
604,270
358,608
Income tax expense
44,054
30,628
98,334
63,165
Net income
$
231,769
$
159,795
$
505,936
$
295,443
Earnings per share:
Basic
$
2.17
$
1.43
$
4.70
$
2.64
Diluted
2.16
1.42
4.69
2.63
Weighted average shares outstanding:
Basic
106,921
112,118
107,540
112,067
Diluted
107,283
112,454
107,933
112,416
Net income
$
231,769
$
159,795
$
505,936
$
295,443
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments
(134,268
)
36,360
(337,274
)
(22,843
)
Total other comprehensive income (loss)
(134,268
)
36,360
(337,274
)
(22,843
)
Comprehensive income
$
97,501
$
196,155
$
168,662
$
272,600
Loss ratio
(35.9
%)
4.4
%
(42.8
%)
9.6
%
Expense ratio
19.8
18.9
19.4
19.1
Combined ratio
(16.2
%)
23.3
%
(23.5
%)
28.7
%
Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
June 30 ,
December 31 ,
(In thousands, except per share amounts)
2022
2021
Assets
Investments
Fixed maturities available for sale, at fair value
$
4,264,715
$
4,649,800
Short-term investments available for sale, at fair value
355,625
313,087
Total investments available for sale
4,620,340
4,962,887
Other invested assets
217,757
170,472
Total investments
4,838,097
5,133,359
Cash
77,852
81,491
Accrued investment income
26,716
26,546
Accounts receivable
51,281
46,157
Deferred policy acquisition costs
10,809
12,178
Property and equipment
20,569
11,921
Prepaid federal income tax
391,910
360,810
Other assets
103,868
49,712
Total assets
$
5,521,102
$
5,722,174
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE
$
209,973
$
407,445
Unearned premium reserve
168,117
185,385
Net deferred tax liability
348,374
373,654
Credit facility borrowings, net of deferred costs
420,336
419,823
Other accrued liabilities
102,307
99,753
Total liabilities
1,249,107
1,486,060
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 107,696 shares in 2022 and 109,377 shares in 2021
1,615
1,641
Additional paid-in capital
1,340,650
1,428,952
Accumulated other comprehensive (loss) income
(286,567
)
50,707
Retained earnings
3,216,297
2,754,814
Total stockholders' equity
4,271,995
4,236,114
Total liabilities and stockholders' equity
$
5,521,102
$
5,722,174
Return on average equity (1)
23.8
%
16.8
%
(1) The 2022 return on average equity is calculated by dividing annualized year-to-date 2022 net income by average equity. The 2021 return on average equity is calculated by dividing full year 2021 net income by average equity.
Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2022
2021
Selected Income Statement Data
June 30
March 31
December 31
September 30
June 30
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio
$
198,891
$
203,312
$
205,877
$
207,127
$
204,149
GSE and other risk share
13,120
12,018
11,444
11,591
13,288
Net premiums earned
212,011
215,330
217,321
218,718
217,437
Net investment income
29,339
24,680
23,661
21,573
21,743
Realized investment (losses) gains, net
(471
)
(7,352
)
(191
)
221
(253
)
Income from other invested assets (1)
1,953
24,705
14,997
40,741
122
Other income (2)
1,577
7,248
1,128
2,283
4,212
Total revenues
244,409
264,611
256,916
283,536
243,261
Losses and expenses:
(Benefit) provision for losses and LAE
(76,199
)
(106,858
)
(3,433
)
(7,483
)
9,651
Other underwriting and operating expenses
41,898
40,796
41,232
42,272
41,114
Interest expense
2,887
2,226
2,095
2,063
2,073
Total losses and expenses
(31,414
)
(63,836
)
39,894
36,852
52,838
Income before income taxes
275,823
328,447
217,022
246,684
190,423
Income tax expense (3)
44,054
54,280
36,035
41,331
30,628
Net income
$
231,769
$
274,167
$
180,987
$
205,353
$
159,795
Earnings per share:
Basic
$
2.17
$
2.53
$
1.65
$
1.85
$
1.43
Diluted
2.16
2.52
1.64
1.84
1.42
Weighted average shares outstanding:
Basic
106,921
108,166
109,550
111,001
112,118
Diluted
107,283
108,590
110,028
111,387
112,454
Book value per share
$
39.67
$
38.98
$
38.73
$
37.58
$
36.32
Return on average equity (annualized)
21.8
%
26.0
%
17.2
%
19.9
%
16.0
%
Other Data:
Loss ratio (4)
(35.9
%)
(49.6
%)
(1.6
%)
(3.4
%)
4.4
%
Expense ratio (5)
19.8
18.9
19.0
19.3
18.9
Combined ratio
(16.2
%)
(30.7
%)
17.4
%
15.9
%
23.3
%
Credit Facility
Borrowings outstanding
$
425,000
$
425,000
$
425,000
$
325,000
$
325,000
Undrawn committed capacity
$
400,000
$
400,000
$
400,000
$
300,000
$
300,000
Weighted average interest rate (end of period)
2.92
%
1.99
%
1.79
%
2.13
%
2.13
%
Debt-to-capital
9.05
%
9.16
%
9.12
%
7.23
%
7.37
%
(1) Income from other invested assets for the three months ended September 30, 2021 includes $39.5 million of net unrealized gains, which includes $21.1 million of net unrealized gains that were accumulated in other comprehensive income at June 30, 2021 and prior periods.
(2) For each of the three month periods noted, Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements as follows: June 30, 2022 : ($5,549 ); March 31, 2022 : $4,365 ; December 31, 2021 : ($2,931 ); September 30, 2021 : ($1,493 ); June 30, 2021 : $950 .
(3) Income tax expense for the quarter ended December 31, 2021 includes $2,473 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. Income tax expense for the quarters ended June 30, 2022 , March 31, 2022 , December 31, 2021 and September 30, 2021 includes ($299 ), $7,002 , $1,759 and $8,271 , respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses.
(4) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
(5) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.
Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2022
2021
Other Data, continued:
June 30
March 31
December 31
September 30
June 30
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written
$
20,096,135
$
12,841,482
$
16,379,082
$
23,579,884
$
25,004,854
New risk written
5,442,115
3,438,016
4,331,531
6,273,735
6,445,864
Bulk:
New insurance written
$
196
$
—
$
416
$
—
$
—
New risk written
29
—
41
—
—
Total:
New insurance written
$
20,096,331
$
12,841,482
$
16,379,498
$
23,579,884
$
25,004,854
New risk written
$
5,442,144
$
3,438,016
$
4,331,572
$
6,273,735
$
6,445,864
Average insurance in force
$
210,896,297
$
206,631,135
$
207,388,906
$
206,732,478
$
199,739,297
Insurance in force (end of period)
$
215,896,531
$
206,842,996
$
207,190,544
$
208,216,549
$
203,559,859
Gross risk in force (end of period) (6)
$
55,678,063
$
52,847,985
$
52,554,246
$
52,457,020
$
50,835,835
Risk in force (end of period)
$
47,289,910
$
45,261,164
$
45,273,383
$
45,074,159
$
42,906,519
Policies in force
789,652
774,002
785,119
798,877
794,743
Weighted average coverage (7)
25.8
%
25.5
%
25.4
%
25.2
%
25.0
%
Annual persistency
73.4
%
69.1
%
65.4
%
62.2
%
58.3
%
Loans in default (count)
12,707
14,923
16,963
19,721
23,504
Percentage of loans in default
1.61
%
1.93
%
2.16
%
2.47
%
2.96
%
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (8)
0.41
%
0.41
%
0.42
%
0.42
%
0.43
%
Single premium cancellations (9)
0.01
%
0.02
%
0.03
%
0.03
%
0.03
%
Gross average premium rate
0.42
%
0.43
%
0.45
%
0.45
%
0.46
%
Ceded premiums
(0.04
%)
(0.04
%)
(0.05
%)
(0.05
%)
(0.05
%)
Net average premium rate
0.38
%
0.39
%
0.40
%
0.40
%
0.41
%
(6) Gross risk in force includes risk ceded under third-party reinsurance.
(7) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
(8) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
(9) Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.
Exhibit D
Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow
NIW by Credit Score
Three Months Ended
Six Months Ended
June 30, 2022
June 30, 2021
June 30, 2022
June 30, 2021
($ in thousands)
>=760
$
8,555,331
42.6
%
$
10,050,359
40.2
%
$
13,965,985
42.4
%
$
18,521,480
41.9
%
740-759
3,421,392
17.0
3,812,462
15.2
5,534,624
16.8
6,965,789
15.7
720-739
3,105,275
15.4
3,906,718
15.6
5,096,593
15.5
6,660,014
15.0
700-719
2,554,997
12.7
3,624,247
14.5
4,175,470
12.7
5,982,881
13.5
680-699
1,785,196
8.9
2,266,364
9.1
2,932,962
8.9
3,493,772
7.9
<=679
673,944
3.4
1,344,704
5.4
1,231,983
3.7
2,634,932
6.0
Total
$
20,096,135
100.0
%
$
25,004,854
100.0
%
$
32,937,617
100.0
%
$
44,258,868
100.0
%
Weighted average credit score
747
744
747
745
NIW by LTV
Three Months Ended
Six Months Ended
June 30, 2022
June 30, 2021
June 30, 2022
June 30, 2021
($ in thousands)
85.00% and below
$
1,675,255
8.3
%
$
3,355,412
13.4
%
$
2,937,293
8.9
%
$
7,323,988
16.6
%
85.01% to 90.00%
5,487,721
27.3
6,890,377
27.6
8,903,659
27.0
13,332,374
30.1
90.01% to 95.00%
10,874,315
54.1
11,463,713
45.8
17,290,570
52.5
18,516,235
41.8
95.01% and above
2,058,844
10.3
3,295,352
13.2
3,806,095
11.6
5,086,271
11.5
Total
$
20,096,135
100.0
%
$
25,004,854
100.0
%
$
32,937,617
100.0
%
$
44,258,868
100.0
%
Weighted average LTV
93
%
92
%
93
%
91
%
NIW by Product
Three Months Ended
Six Months Ended
June 30, 2022
June 30, 2021
June 30, 2022
June 30, 2021
Single Premium policies
6.5
%
3.4
%
4.7
%
4.9
%
Monthly Premium policies
93.5
96.6
95.3
95.1
100.0
%
100.0
%
100.0
%
100.0
%
NIW by Purchase vs. Refinance
Three Months Ended
Six Months Ended
June 30, 2022
June 30, 2021
June 30, 2022
June 30, 2021
Purchase
98.0
%
82.3
%
96.5
%
73.6
%
Refinance
2.0
17.7
3.5
26.4
100.0
%
100.0
%
100.0
%
100.0
%
Exhibit E
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance in Force and Risk in Force
Portfolio by Credit Score
IIF by FICO score
June 30, 2022
March 31, 2022
June 30, 2021
($ in thousands)
>=760
$
89,790,212
41.6
%
$
85,707,070
41.4
%
$
84,110,514
41.3
%
740-759
36,606,394
17.0
35,048,891
17.0
34,636,115
17.0
720-739
32,637,422
15.1
31,180,765
15.1
30,471,320
15.0
700-719
27,258,759
12.6
26,040,114
12.6
25,177,026
12.4
680-699
17,697,662
8.2
16,847,202
8.1
15,962,389
7.8
<=679
11,906,082
5.5
12,018,954
5.8
13,202,495
6.5
Total
$
215,896,531
100.0
%
$
206,842,996
100.0
%
$
203,559,859
100.0
%
Weighted average credit score
746
746
745
Gross RIF by FICO score
June 30, 2022
March 31, 2022
June 30, 2021
($ in thousands)
>=760
$
22,956,271
41.2
%
$
21,707,751
41.1
%
$
20,807,006
40.9
%
740-759
9,540,921
17.1
9,041,350
17.1
8,729,038
17.2
720-739
8,545,969
15.3
8,091,445
15.3
7,745,794
15.2
700-719
7,107,888
12.8
6,724,288
12.7
6,342,378
12.5
680-699
4,601,675
8.3
4,338,206
8.2
3,998,410
7.9
<=679
2,925,339
5.3
2,944,945
5.6
3,213,209
6.3
Total
$
55,678,063
100.0
%
$
52,847,985
100.0
%
$
50,835,835
100.0
%
Portfolio by LTV
IIF by LTV
June 30, 2022
March 31, 2022
June 30, 2021
($ in thousands)
85.00% and below
$
25,510,400
11.8
%
$
26,057,055
12.6
%
$
29,045,720
14.3
%
85.01% to 90.00%
61,304,806
28.4
59,113,908
28.6
60,027,287
29.5
90.01% to 95.00%
98,938,435
45.8
92,460,810
44.7
87,382,625
42.9
95.01% and above
30,142,890
14.0
29,211,223
14.1
27,104,227
13.3
Total
$
215,896,531
100.0
%
$
206,842,996
100.0
%
$
203,559,859
100.0
%
Weighted average LTV
92
%
92
%
92
%
Gross RIF by LTV
June 30, 2022
March 31, 2022
June 30, 2021
($ in thousands)
85.00% and below
$
3,012,030
5.4
%
$
3,062,878
5.8
%
$
3,360,970
6.6
%
85.01% to 90.00%
14,868,579
26.7
14,288,854
27.0
14,421,749
28.4
90.01% to 95.00%
28,921,722
52.0
26,960,457
51.0
25,329,870
49.8
95.01% and above
8,875,732
15.9
8,535,796
16.2
7,723,246
15.2
Total
$
55,678,063
100.0
%
$
52,847,985
100.0
%
$
50,835,835
100.0
%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period
June 30, 2022
March 31, 2022
June 30, 2021
($ in thousands)
FRM 30 years and higher
$
207,888,842
96.3
%
$
198,658,948
96.1
%
$
192,995,698
94.8
%
FRM 20-25 years
3,114,962
1.4
3,365,533
1.6
4,269,217
2.1
FRM 15 years
3,222,801
1.5
3,580,416
1.7
4,742,281
2.3
ARM 5 years and higher
1,669,926
0.8
1,238,099
0.6
1,552,663
0.8
Total
$
215,896,531
100.0
%
$
206,842,996
100.0
%
$
203,559,859
100.0
%
Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
2022
2021
($ in thousands)
June 30
March 31
December 31
September 30
June 30
GSE and other risk share (1):
Risk in Force
$
1,898,364
$
1,888,437
$
1,788,918
$
1,568,800
$
1,496,247
Reserve for losses and LAE
$
144
$
254
$
1,349
$
1,389
$
1,390
Weighted average credit score
748
748
748
748
747
Weighted average LTV
84
%
84
%
84
%
84
%
84
%
(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.
Exhibit G
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
June 30, 2022
Insurance in Force
Year
Original
Insurance
Written
($ in thousands)
Remaining
Insurance
in Force
($ in thousands)
% Remaining of
Original
Insurance
Number of
Policies in
Force
Weighted
Average
Coupon
% Purchase
>90% LTV
>95% LTV
FICO < 700
FICO >= 760
Incurred Loss
Ratio (Inception to
Date) (1)
Number of
Loans in
Default
Percentage of
Loans in
Default
2010 - 2014
$
60,668,851
$
2,490,613
4.1
%
15,566
4.33
%
79.1
%
71.1
%
5.6
%
15.1
%
43.0
%
2.7
%
615
3.95
%
2015
26,193,656
2,332,124
8.9
13,792
4.18
86.4
72.4
3.9
17.8
39.6
2.8
492
3.57
2016
34,949,319
5,030,997
14.4
27,817
3.86
88.4
68.3
9.5
15.5
43.5
3.1
907
3.26
2017
43,858,322
6,809,618
15.5
38,842
4.26
91.0
67.6
19.4
20.1
38.1
4.4
1,626
4.19
2018
47,508,525
7,611,480
16.0
41,168
4.78
94.0
67.9
24.2
21.4
33.0
6.0
2,003
4.87
2019
63,569,183
16,560,800
26.1
76,072
4.21
86.7
66.0
23.1
18.8
35.6
8.1
2,437
3.20
2020
107,944,065
67,409,464
62.4
247,090
3.18
64.6
53.0
11.7
10.8
45.3
6.3
2,814
1.14
2021
84,218,250
75,326,623
89.4
238,857
3.07
83.5
59.7
14.3
14.0
40.4
9.0
1,727
0.72
2022 (through June 30 )
32,937,813
32,324,812
98.1
90,448
4.40
96.5
64.2
11.7
12.7
42.1
6.5
86
0.10
Total
$
501,847,984
$
215,896,531
43.0
789,652
3.53
80.5
59.8
14.0
13.7
41.6
4.7
12,707
1.61
(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.
Exhibit H
Essent Group Ltd. and Subsidiaries
Supplemental Information
Reinsurance Vintage Data
June 30, 2022
($ in thousands)
Excess of Loss Reinsurance
Original
Reinsurance in Force
Remaining
Reinsurance in Force
Earned Premiums Ceded
Year
Remaining Insurance in Force
Remaining Risk in Force
ILN (1)
Other Reinsurance (2)
Total
ILN
Other Reinsurance
Total
Losses Ceded to Date
Original First Layer Retention
Remaining First Layer Retention
Quarter-to- Date
Year-to- Date
Reduction in PMIERs Minimum Required Assets (9)
2015 & 2016
$
7,103,695
$
1,923,750
$
333,844
$
—
$
333,844
$
92,252
$
—
$
92,252
$
—
$
208,111
$
206,949
$
867
$
1,836
$
—
2017
6,635,437
1,737,626
424,412
165,167
589,579
242,123
163,289
405,412
—
224,689
216,924
2,878
5,540
—
2018
7,501,596
1,923,568
473,184
118,650
591,834
325,537
76,144
401,681
—
253,643
249,142
3,465
6,657
—
2019 (3)
9,163,963
2,349,594
495,889
55,102
550,991
495,889
55,102
550,991
—
215,605
214,983
3,162
5,922
—
2019 & 2020 (4)
26,585,463
6,789,598
399,159
—
399,159
64,499
—
64,499
—
465,690
465,676
1,676
4,173
—
2020 & 2021 (5)
45,196,322
11,204,778
557,911
—
557,911
519,999
—
519,999
—
278,956
278,919
3,614
7,217
474,736
2021 (6)
43,511,188
11,508,673
439,407
—
439,407
439,407
—
439,407
—
279,415
279,415
4,205
8,356
379,188
2021 & 2022 (10)
47,680,467
12,798,770
—
89,591
89,591
—
89,591
89,591
—
319,969
319,969
336
336
88,670
Total
$
193,378,131
$
50,236,357
$
3,123,806
$
428,510
$
3,552,316
$
2,179,706
$
384,126
$
2,563,832
$
—
$
2,246,078
$
2,231,977
$
20,203
$
40,037
$
942,594
Quota Share Reinsurance
Losses Ceded
Ceding Commission
Earned Premiums Ceded
Year
Remaining
Insurance
in Force
Remaining
Risk
in Force
Remaining Ceded
Insurance in Force
Remaining Ceded
Risk in Force
Quarter-to-Date
Year-to-Date
Quarter-to-Date
Year-to-Date
Quarter-to-Date
Year-to-Date
Reduction in
PMIERs Minimum
Required
Assets (9)
2019 & 2020
(7)
$
74,399,753
$
18,667,689
$
16,422,951
$
4,078,992
$
(5,954
)
$
(12,573
)
$
3,467
$
7,215
$
460
$
775
$
264,432
2022
(8)
32,285,262
8,717,258
6,457,052
1,743,452
289
312
707
892
1,633
2,007
118,723
Total
$
106,685,015
$
27,384,947
$
22,880,003
$
5,822,444
$
(5,665
)
$
(12,261
)
$
4,174
$
8,107
$
2,093
$
2,782
$
383,155
(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
(2) Reinsurance provided by panels of reinsurers.
(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019 .
(4) Reinsurance coverage on new insurance written from September 1, 2019 through July 31, 2020 .
(5) Reinsurance coverage on new insurance written from August 1, 2020 through March 31, 2021 .
(6) Reinsurance coverage on new insurance written from April 1, 2021 through September 30, 2021 .
(7) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020 .
(8) Reinsurance coverage on 20% of all eligible policies written from January 1, 2022 through December 31, 2022 .
(9) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.
(10) Reinsurance coverage on 20% of all eligible policies written from October 1, 2021 through December 31, 2022 .
Exhibit I
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data
IIF by State
June 30, 2022
March 31, 2022
June 30, 2021
CA
13.2
%
13.2
%
12.9
%
TX
10.2
10.0
9.8
FL
10.0
9.9
9.3
CO
4.2
4.1
4.1
WA
3.5
3.6
3.7
AZ
3.4
3.3
3.5
IL
3.2
3.3
3.3
GA
3.1
3.1
3.1
VA
3.1
3.1
3.1
NJ
3.1
3.1
3.1
All Others
43.0
43.3
44.1
Total
100.0
%
100.0
%
100.0
%
Gross RIF by State
June 30, 2022
March 31, 2022
June 30, 2021
CA
13.0
%
13.1
%
12.7
%
TX
10.6
10.4
10.1
FL
10.3
10.2
9.6
CO
4.1
4.0
4.1
AZ
3.4
3.4
3.4
WA
3.4
3.6
3.6
GA
3.2
3.2
3.1
IL
3.1
3.2
3.2
VA
3.0
3.0
3.0
NJ
2.9
3.0
3.0
All Others
43.0
42.9
44.2
Total
100.0
%
100.0
%
100.0
%
Exhibit J
Essent Group Ltd. and Subsidiaries
Supplemental Information
Rollforward of Defaults and Reserve for Losses and LAE
U.S. Mortgage Insurance Portfolio
Rollforward of Insured Loans in Default
Three Months Ended
2022
2021
June 30
March 31
December 31
September 30
June 30
Beginning default inventory
14,923
16,963
19,721
23,504
29,080
Plus: new defaults (A)
5,495
6,188
5,809
5,132
4,934
Less: cures
(7,639
)
(8,167
)
(8,514
)
(8,862
)
(10,453
)
Less: claims paid
(65
)
(55
)
(47
)
(41
)
(46
)
Less: rescissions and denials, net
(7
)
(6
)
(6
)
(12
)
(11
)
Ending default inventory
12,707
14,923
16,963
19,721
23,504
(A) New defaults remaining as of June 30, 2022
3,928
2,225
1,483
955
556
Cure rate (1)
29
%
64
%
74
%
81
%
89
%
Total amount paid for claims (in thousands)
$
1,137
$
826
$
992
$
1,069
$
1,154
Average amount paid per claim (in thousands)
$
17
$
15
$
21
$
26
$
25
Severity
50
%
35
%
45
%
60
%
57
%
Rollforward of Reserve for Losses and LAE
Three Months Ended
2022
2021
($ in thousands)
June 30
March 31
December 31
September 30
June 30
Reserve for losses and LAE at beginning of period
$
292,818
$
406,096
$
411,567
$
420,482
$
409,811
Less: Reinsurance recoverables
19,335
25,940
26,970
27,286
24,907
Net reserve for losses and LAE at beginning of period
273,483
380,156
384,597
393,196
384,904
Add provision for losses and LAE occurring in:
Current period
18,720
24,346
13,231
11,371
24,534
Prior years
(94,809
)
(130,114
)
(16,624
)
(18,853
)
(14,961
)
Incurred losses and LAE during the period
(76,089
)
(105,768
)
(3,393
)
(7,482
)
9,573
Deduct payments for losses and LAE occurring in:
Current period
80
1
157
103
14
Prior years
1,142
904
891
1,014
1,267
Loss and LAE payments during the period
1,222
905
1,048
1,117
1,281
Net reserve for losses and LAE at end of period
196,172
273,483
380,156
384,597
393,196
Plus: Reinsurance recoverables
13,657
19,335
25,940
26,970
27,286
Reserve for losses and LAE at end of period
$
209,829
$
292,818
$
406,096
$
411,567
$
420,482
(1) The cure rate is calculated by dividing new defaults remaining as of the reporting date by the original number of new defaults reported in the quarterly period and subtracting that percentage from 100% .
Exhibit K
Essent Group Ltd. and Subsidiaries
Supplemental Information
Detail of Reserves by Default Delinquency
U.S. Mortgage Insurance Portfolio
June 30, 2022
Number of
Policies in
Default
Percentage of
Policies in
Default
Amount of
Reserves
Percentage of
Reserves
Defaulted RIF
Reserves as a
Percentage of
Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less
4,036
32
%
$
18,653
10
%
$
250,303
7
%
Four to eleven payments
4,741
37
59,753
31
304,764
20
Twelve or more payments
3,849
30
111,442
57
236,440
47
Pending claims
81
1
3,568
2
3,574
100
Total case reserves
12,707
100
%
193,416
100
%
$
795,081
24
IBNR
14,506
LAE
1,907
Total reserves for losses and LAE
$
209,829
Average reserve per default:
Case
$
15.2
Total
$
16.5
Default Rate
1.61
%
December 31, 2021
Number of
Policies in
Default
Percentage of
Policies in
Default
Amount of
Reserves
Percentage of
Reserves
Defaulted RIF
Reserves as a
Percentage of
Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less
4,113
24
%
$
20,712
5
%
$
243,511
9
%
Four to eleven payments
5,459
32
77,822
21
349,494
22
Twelve or more payments
7,331
43
274,465
73
470,859
58
Pending claims
60
1
2,397
1
2,852
84
Total case reserves
16,963
100
%
375,396
100
%
$
1,066,716
35
IBNR
28,155
LAE
2,545
Total reserves for losses and LAE
$
406,096
Average reserve per default:
Case
$
22.1
Total
$
23.9
Default Rate
2.16
%
June 30, 2021
Number of
Policies in
Default
Percentage of
Policies in
Default
Amount of
Reserves
Percentage of
Reserves
Defaulted RIF
Reserves as a
Percentage of
Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less
3,926
17
%
$
25,915
7
%
$
234,604
11
%
Four to eleven payments
9,316
40
147,383
38
585,390
25
Twelve or more payments
10,217
43
212,634
55
680,733
31
Pending claims
45
—
1,758
—
2,139
82
Total case reserves
23,504
100
%
387,690
100
%
$
1,502,866
26
IBNR
29,077
LAE
3,715
Total reserves for losses and LAE
$
420,482
Average reserve per default:
Case
$
16.5
Total
$
17.9
Default Rate
2.96
%
Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class
June 30, 2022
December 31, 2021
($ in thousands)
Fair Value
Percent
Fair Value
Percent
U.S. Treasury securities
$
470,146
10.2
%
$
448,793
9.1
%
U.S. agency securities
2,000
—
5,504
0.1
U.S. agency mortgage-backed securities
783,438
17.0
1,008,863
20.3
Municipal debt securities
540,772
11.7
627,599
12.7
Non-U.S. government securities
65,135
1.4
79,743
1.6
Corporate debt securities
1,354,110
29.3
1,455,247
29.3
Residential and commercial mortgage securities
545,999
11.8
545,423
11.0
Asset-backed securities
618,115
13.4
581,703
11.7
Money market funds
240,625
5.2
210,012
4.2
Total investments available for sale
$
4,620,340
100.0
%
$
4,962,887
100.0
%
Investments Available for Sale by Credit Rating
Rating (1)
June 30, 2022
December 31, 2021
($ in thousands)
Fair Value
Percent
Fair Value
Percent
Aaa
$
2,247,042
48.6
%
$
2,412,273
48.6
%
Aa1
87,609
1.9
96,331
1.9
Aa2
340,956
7.4
354,951
7.2
Aa3
212,582
4.6
221,914
4.5
A1
343,606
7.4
263,820
5.3
A2
379,762
8.2
427,282
8.6
A3
237,827
5.2
274,525
5.5
Baa1
237,793
5.1
305,204
6.1
Baa2
212,313
4.6
274,011
5.5
Baa3
211,721
4.6
240,755
4.9
Below Baa3
109,129
2.4
91,821
1.9
Total investments available for sale
$
4,620,340
100.0
%
$
4,962,887
100.0
%
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
Investments Available for Sale by Duration and Book Yield
Effective Duration
June 30, 2022
December 31, 2021
($ in thousands)
Fair Value
Percent
Fair Value
Percent
< 1 Year
$
1,225,902
26.5
%
$
1,104,397
22.2
%
1 to < 2 Years
377,295
8.2
561,297
11.3
2 to < 3 Years
525,739
11.4
539,174
10.9
3 to < 4 Years
469,535
10.2
593,663
12.0
4 to < 5 Years
601,988
13.0
663,127
13.4
5 or more Years
1,419,881
30.7
1,501,229
30.2
Total investments available for sale
$
4,620,340
100.0
%
$
4,962,887
100.0
%
Pre-tax investment income yield:
Three months ended June 30, 2022
2.50
%
Six months ended June 30, 2022
2.30
%
Holding company net cash and investments available for sale:
($ in thousands)
As of June 30, 2022
$
619,165
As of December 31, 2021
$
618,306
Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
2022
2021
June 30
March 31
December 31
September 30
June 30
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)
$
3,062,438
$
3,058,880
$
2,950,107
$
2,916,802
$
2,809,087
Combined net risk in force (2)
$
31,221,406
$
30,331,197
$
30,660,272
$
30,766,379
$
29,646,042
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.
10.6:1
10.3:1
10.8:1
10.9:1
10.9:1
Essent Guaranty of PA, Inc.
0.6:1
0.7:1
0.8:1
1.0:1
1.1:1
Combined (4)
10.2:1
9.9:1
10.4:1
10.5:1
10.6:1
Essent Guaranty, Inc. PMIERs Data (5):
Available Assets
$
3,120,098
$
3,194,939
$
3,170,881
$
3,161,780
$
3,016,050
Minimum Required Assets
1,869,524
1,840,069
1,791,551
1,951,096
1,731,843
PMIERs excess Available Assets
$
1,250,574
$
1,354,870
$
1,379,330
$
1,210,684
$
1,284,207
PMIERs sufficiency ratio (6)
167
%
174
%
177
%
162
%
174
%
Essent Reinsurance Ltd. :
Stockholder's equity (GAAP basis)
$
1,380,067
$
1,330,840
$
1,301,937
$
1,249,996
$
1,192,077
Net risk in force (2)
$
17,758,801
$
16,527,587
$
15,997,129
$
15,466,651
$
14,338,567
(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc. , after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual .
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.
(5) Data is based on our interpretation of the PMIERs as of the dates indicated.
(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.
View source version on businesswire.com : https://www.businesswire.com/news/home/20220805005017/en/
Media
610.230.0556
media@essentgroup.com
Investor Relations
Philip Stefano
Vice President, Investor Relations
855-809-ESNT
ir@essentgroup.com
Source: Essent Group Ltd.