8-K
Essent Group Ltd. (ESNT)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d)
of the Securities Exchange Act of 1934
Date of report (Date of Earliest Event Reported): November 4, 2022
ESSENT GROUP LTD.
(Exact name of registrant as specified in its charter)
| Bermuda | 001-36157 | Not Applicable |
|---|---|---|
| (State of Incorporation) | (Commission File Number) | (I.R.S. Employer Identification No.) |
Clarendon House
2 Church Street
Hamilton HM11, Bermuda
(Address of Principal Executive Offices and Zip Code)
(441) 297‑9901
(Registrant’s telephone number, including area code)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
| ☐ | Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |
|---|---|
| ☐ | Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) |
| ☐ | Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |
| ☐ | Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) |
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging growth company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition
period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨
Securities registered pursuant to Section 12(b) of the Act:
| Title of each class | Trading<br>Symbol(s) | Name of each exchange on which registered |
|---|---|---|
| Common Shares, $0.015 par value | ESNT | New York Stock Exchange |
Item 2.02. Results of Operations and Financial Condition
On November 4, 2022, Essent Group Ltd. (the “Company”) issued a press release announcing its financial results for the quarter ended September 30, 2022. A copy of this press release is furnished as Exhibit 99.1 to this report.
The information in this report, including Exhibit 99.1, has been “furnished” and shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to liability under that section. The information in this report shall not be incorporated by reference into any filing or other document under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such filing or document.
Item 9.01. Financial Statements and Exhibits
| (d) | Exhibits | | --- | --- || Exhibit<br> No. | Description | | --- | --- | | 104 | Cover Page Interactive Data File - the cover page XBRL tags are embedded within the Inline XBRL document. | | 99.1 | Press Release issued by Essent Group Ltd. on November 4, 2022. |
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Date: November 4, 2022
ESSENT GROUP LTD.
By: /s/ David B. Weinstock
Name: David B. Weinstock
Title: Vice President, Chief Accounting Officer and Interim Chief Financial Officer
Document
Exhibit 99.1
Essent Group Ltd. Announces Third Quarter 2022 Results and Increases Quarterly Dividend
HAMILTON, Bermuda--(BUSINESS WIRE)--November 4, 2022--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2022 of $178.1 million or $1.66 per diluted share, compared to $205.4 million or $1.84 per diluted share for the quarter ended September 30, 2021.
Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.23 per common share. The dividend is payable on December 12, 2022, to shareholders of record on December 1, 2022.
“We are pleased with our financial performance for the third quarter as we produced strong earnings and robust returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results reflect our focus on optimizing unit economics along with continued favorable credit performance. At the same time, we remain committed to taking a measured approach to capital management. In connection with this, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.23 per share.”
Third Quarter 2022 Financial Highlights:
•New insurance written for the third quarter was $17.1 billion, compared to $20.1 billion in the second quarter of 2022 and $23.6 billion in the third quarter of 2021.
•Insurance in force as of September 30, 2022 was $222.5 billion, compared to $215.9 billion as of June 30, 2022 and $208.2 billion as of September 30, 2021.
•The combined ratio for the third quarter was 22.3%, compared to negative (16.2%) in the second quarter of 2022 and 15.9% in the third quarter of 2021.
•During the quarter, Essent Guaranty, Inc. obtained $237.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in October 2021 through July 2022 from Radnor Re 2022-1 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2022-1 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd.
•During the quarter, A.M. Best affirmed its “A (Excellent)” financial strength rating of Essent Guaranty, Inc. and Essent Reinsurance Ltd. and the long-term issuer credit rating of "a" of the operating subsidiaries of Essent Group Ltd. Essent Guaranty, Inc. also has financial strength ratings of “A3” by Moody’s and “BBB+” by S&P.
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 September 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 September 30, | Nine Months Ended September 30, | |||||||||||
| (In thousands, except per share amounts) | 2022 | 2021 | 2022 | 2021 | ||||||||
| Revenues: | ||||||||||||
| Direct premiums written | $ | 239,773 | $ | 229,228 | $ | 692,687 | $ | 693,434 | ||||
| Ceded premiums | (30,543) | (26,880) | (73,384) | (84,438) | ||||||||
| Net premiums written | 209,230 | 202,348 | 619,303 | 608,996 | ||||||||
| Decrease (increase) in unearned premiums | (1,296) | 16,370 | 15,972 | 46,226 | ||||||||
| Net premiums earned | 207,934 | 218,718 | 635,275 | 655,222 | ||||||||
| Net investment income | 32,594 | 21,573 | 86,613 | 65,104 | ||||||||
| Realized investment (losses) gains, net | 175 | 221 | (7,648) | 609 | ||||||||
| Income from other invested assets | 9,617 | 40,741 | 36,275 | 41,389 | ||||||||
| Other income | 11,447 | 2,283 | 20,272 | 9,270 | ||||||||
| Total revenues | 261,767 | 283,536 | 770,787 | 771,594 | ||||||||
| Losses and expenses: | ||||||||||||
| (Benefit) provision for losses and LAE | 4,252 | (7,483) | (178,805) | 34,490 | ||||||||
| Other underwriting and operating expenses | 42,144 | 42,272 | 124,838 | 125,625 | ||||||||
| Interest expense | 4,450 | 2,063 | 9,563 | 6,187 | ||||||||
| Total losses and expenses | 50,846 | 36,852 | (44,404) | 166,302 | ||||||||
| Income before income taxes | 210,921 | 246,684 | 815,191 | 605,292 | ||||||||
| Income tax expense | 32,870 | 41,331 | 131,204 | 104,496 | ||||||||
| Net income | $ | 178,051 | $ | 205,353 | $ | 683,987 | $ | 500,796 | ||||
| Earnings per share: | ||||||||||||
| Basic | $ | 1.67 | $ | 1.85 | $ | 6.37 | $ | 4.48 | ||||
| Diluted | 1.66 | 1.84 | 6.35 | 4.47 | ||||||||
| Weighted average shares outstanding: | ||||||||||||
| Basic | 106,870 | 111,001 | 107,314 | 111,708 | ||||||||
| Diluted | 107,337 | 111,387 | 107,732 | 112,070 | ||||||||
| Net income | $ | 178,051 | $ | 205,353 | $ | 683,987 | $ | 500,796 | ||||
| Other comprehensive income (loss): | ||||||||||||
| Change in unrealized appreciation (depreciation) of investments | (137,010) | (36,917) | (474,284) | (59,760) | ||||||||
| Total other comprehensive income (loss) | (137,010) | (36,917) | (474,284) | (59,760) | ||||||||
| Comprehensive income | $ | 41,041 | $ | 168,436 | $ | 209,703 | $ | 441,036 | ||||
| Loss ratio | 2.0 | % | (3.4 | %) | (28.1 | %) | 5.3 | % | ||||
| Expense ratio | 20.3 | 19.3 | 19.7 | 19.2 | ||||||||
| Combined ratio | 22.3 | % | 15.9 | % | (8.5 | %) | 24.4 | % | ||||
| Exhibit B | ||||||||||||
| --- | --- | --- | --- | --- | --- | |||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||||
| Condensed Consolidated Balance Sheets (Unaudited) | ||||||||||||
| December 31, | ||||||||||||
| (In thousands, except per share amounts) | 2021 | |||||||||||
| Assets | ||||||||||||
| Investments | ||||||||||||
| Fixed maturities available for sale, at fair value | 4,253,705 | $ | 4,649,800 | |||||||||
| Short-term investments available for sale, at fair value | 313,087 | |||||||||||
| Total investments available for sale | 4,962,887 | |||||||||||
| Other invested assets | 170,472 | |||||||||||
| Total investments | 5,133,359 | |||||||||||
| Cash | 81,491 | |||||||||||
| Accrued investment income | 26,546 | |||||||||||
| Accounts receivable | 46,157 | |||||||||||
| Deferred policy acquisition costs | 12,178 | |||||||||||
| Property and equipment | 11,921 | |||||||||||
| Prepaid federal income tax | 360,810 | |||||||||||
| Other assets | 49,712 | |||||||||||
| Total assets | 5,556,904 | $ | 5,722,174 | |||||||||
| Liabilities and Stockholders' Equity | ||||||||||||
| Liabilities | ||||||||||||
| Reserve for losses and LAE | 212,494 | $ | 407,445 | |||||||||
| Unearned premium reserve | 185,385 | |||||||||||
| Net deferred tax liability | 373,654 | |||||||||||
| Credit facility borrowings, net of deferred costs | 419,823 | |||||||||||
| Other accrued liabilities | 99,753 | |||||||||||
| Total liabilities | 1,486,060 | |||||||||||
| Commitments and contingencies | ||||||||||||
| Stockholders' Equity | ||||||||||||
| Common shares, 0.015 par value: | ||||||||||||
| Authorized - 233,333; issued and outstanding - 107,697 shares in 2022 and 109,377 shares in 2021 | 1,641 | |||||||||||
| Additional paid-in capital | 1,428,952 | |||||||||||
| Accumulated other comprehensive (loss) income | 50,707 | |||||||||||
| Retained earnings | 2,754,814 | |||||||||||
| Total stockholders' equity | 4,236,114 | |||||||||||
| Total liabilities and stockholders' equity | 5,556,904 | $ | 5,722,174 | |||||||||
| Return on average equity (1) | % | 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. |
All values are in US Dollars.
| Exhibit C | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Essent Group Ltd. and Subsidiaries | ||||||||||||||
| Supplemental Information | ||||||||||||||
| Historical Quarterly Data | ||||||||||||||
| 2021 | ||||||||||||||
| Selected Income Statement Data | June 30 | March 31 | December 31 | September 30 | ||||||||||
| (In thousands, except per share amounts) | ||||||||||||||
| Revenues: | ||||||||||||||
| Net premiums earned: | ||||||||||||||
| U.S. Mortgage Insurance Portfolio | 194,272 | $ | 198,891 | $ | 203,312 | $ | 205,877 | $ | 207,127 | |||||
| GSE and other risk share | 13,120 | 12,018 | 11,444 | 11,591 | ||||||||||
| Net premiums earned | 212,011 | 215,330 | 217,321 | 218,718 | ||||||||||
| Net investment income | 29,339 | 24,680 | 23,661 | 21,573 | ||||||||||
| Realized investment (losses) gains, net | (471) | (7,352) | (191) | 221 | ||||||||||
| Income from other invested assets (1) | 1,953 | 24,705 | 14,997 | 40,741 | ||||||||||
| Other income (2) | 1,577 | 7,248 | 1,128 | 2,283 | ||||||||||
| Total revenues | 244,409 | 264,611 | 256,916 | 283,536 | ||||||||||
| Losses and expenses: | ||||||||||||||
| (Benefit) provision for losses and LAE | (76,199) | (106,858) | (3,433) | (7,483) | ||||||||||
| Other underwriting and operating expenses | 41,898 | 40,796 | 41,232 | 42,272 | ||||||||||
| Interest expense | 2,887 | 2,226 | 2,095 | 2,063 | ||||||||||
| Total losses and expenses | (31,414) | (63,836) | 39,894 | 36,852 | ||||||||||
| Income before income taxes | 275,823 | 328,447 | 217,022 | 246,684 | ||||||||||
| Income tax expense (3) | 44,054 | 54,280 | 36,035 | 41,331 | ||||||||||
| Net income | 178,051 | $ | 231,769 | $ | 274,167 | $ | 180,987 | $ | 205,353 | |||||
| Earnings per share: | ||||||||||||||
| Basic | 1.67 | $ | 2.17 | $ | 2.53 | $ | 1.65 | $ | 1.85 | |||||
| Diluted | 2.16 | 2.52 | 1.64 | 1.84 | ||||||||||
| Weighted average shares outstanding: | ||||||||||||||
| Basic | 106,921 | 108,166 | 109,550 | 111,001 | ||||||||||
| Diluted | 107,283 | 108,590 | 110,028 | 111,387 | ||||||||||
| Book value per share | 39.87 | $ | 39.67 | $ | 38.98 | $ | 38.73 | $ | 37.58 | |||||
| Return on average equity (annualized) | % | 21.8 | % | 26.0 | % | 17.2 | % | 19.9 | % | |||||
| Other Data: | ||||||||||||||
| Loss ratio (4) | % | (35.9 | %) | (49.6 | %) | (1.6 | %) | (3.4 | %) | |||||
| Expense ratio (5) | 19.8 | 18.9 | 19.0 | 19.3 | ||||||||||
| Combined ratio | % | (16.2 | %) | (30.7 | %) | 17.4 | % | 15.9 | % | |||||
| Credit Facility | ||||||||||||||
| Borrowings outstanding | 425,000 | $ | 425,000 | $ | 425,000 | $ | 425,000 | $ | 325,000 | |||||
| Undrawn committed capacity | 400,000 | $ | 400,000 | $ | 400,000 | $ | 400,000 | $ | 300,000 | |||||
| Weighted average interest rate (end of period) | % | 2.92 | % | 1.99 | % | 1.79 | % | 2.13 | % | |||||
| Debt-to-capital | % | 9.05 | % | 9.16 | % | 9.12 | % | 7.23 | % | |||||
| (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: September 30, 2022: 5,177; June 30, 2022: (5,549); March 31, 2022: 4,365; December 31, 2021: (2,931); September 30, 2021: (1,493). | ||||||||||||||
| (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 September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021 includes 2,925, (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. |
All values are in US Dollars.
| Exhibit C, continued | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Essent Group Ltd. and Subsidiaries | ||||||||||||||
| Supplemental Information | ||||||||||||||
| Historical Quarterly Data | ||||||||||||||
| 2021 | ||||||||||||||
| Other Data, continued: | June 30 | March 31 | December 31 | September 30 | ||||||||||
| ( in thousands) | ||||||||||||||
| U.S. Mortgage Insurance Portfolio | ||||||||||||||
| Flow: | ||||||||||||||
| New insurance written | 17,112,017 | $ | 20,096,135 | $ | 12,841,482 | $ | 16,379,082 | $ | 23,579,884 | |||||
| New risk written | 5,442,115 | 3,438,016 | 4,331,531 | 6,273,735 | ||||||||||
| Bulk: | ||||||||||||||
| New insurance written | — | $ | 196 | $ | — | $ | 416 | $ | — | |||||
| New risk written | 29 | — | 41 | — | ||||||||||
| Total: | ||||||||||||||
| New insurance written | 17,112,017 | $ | 20,096,331 | $ | 12,841,482 | $ | 16,379,498 | $ | 23,579,884 | |||||
| New risk written | 4,570,699 | $ | 5,442,144 | $ | 3,438,016 | $ | 4,331,572 | $ | 6,273,735 | |||||
| Average insurance in force | 219,280,350 | $ | 210,896,297 | $ | 206,631,135 | $ | 207,388,906 | $ | 206,732,478 | |||||
| Insurance in force (end of period) | 222,542,569 | $ | 215,896,531 | $ | 206,842,996 | $ | 207,190,544 | $ | 208,216,549 | |||||
| Gross risk in force (end of period) (6) | 57,743,091 | $ | 55,678,063 | $ | 52,847,985 | $ | 52,554,246 | $ | 52,457,020 | |||||
| Risk in force (end of period) | 48,690,571 | $ | 47,289,910 | $ | 45,261,164 | $ | 45,273,383 | $ | 45,074,159 | |||||
| Policies in force | 789,652 | 774,002 | 785,119 | 798,877 | ||||||||||
| Weighted average coverage (7) | % | 25.8 | % | 25.5 | % | 25.4 | % | 25.2 | % | |||||
| Annual persistency | % | 73.4 | % | 69.1 | % | 65.4 | % | 62.2 | % | |||||
| Loans in default (count) | 12,707 | 14,923 | 16,963 | 19,721 | ||||||||||
| Percentage of loans in default | % | 1.61 | % | 1.93 | % | 2.16 | % | 2.47 | % | |||||
| U.S. Mortgage Insurance Portfolio premium rate: | ||||||||||||||
| Base average premium rate (8) | % | 0.41 | % | 0.41 | % | 0.42 | % | 0.42 | % | |||||
| Single premium cancellations (9) | % | 0.01 | % | 0.02 | % | 0.03 | % | 0.03 | % | |||||
| Gross average premium rate | % | 0.42 | % | 0.43 | % | 0.45 | % | 0.45 | % | |||||
| Ceded premiums | %) | (0.04 | %) | (0.04 | %) | (0.05 | %) | (0.05 | %) | |||||
| Net average premium rate | % | 0.38 | % | 0.39 | % | 0.40 | % | 0.40 | % | |||||
| (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. |
All values are in US Dollars.
| Exhibit D | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||
| Supplemental Information | ||||||||||||||||||||||
| New Insurance Written: Flow | ||||||||||||||||||||||
| NIW by Credit Score | ||||||||||||||||||||||
| Nine Months Ended | ||||||||||||||||||||||
| September 30, 2021 | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||
| ( in thousands) | ||||||||||||||||||||||
| >=760 | 6,976,123 | 40.8 | % | $ | 9,257,407 | 39.3 | % | $ | 20,942,108 | 41.8 | % | $ | 27,778,887 | 40.9 | % | |||||||
| 740-759 | 17.3 | 3,892,226 | 16.5 | 8,499,739 | 17.0 | 10,858,015 | 16.0 | |||||||||||||||
| 720-739 | 16.3 | 3,656,963 | 15.5 | 7,885,166 | 15.8 | 10,316,977 | 15.2 | |||||||||||||||
| 700-719 | 13.3 | 3,345,696 | 14.2 | 6,452,721 | 12.9 | 9,328,577 | 13.8 | |||||||||||||||
| 680-699 | 8.6 | 2,361,529 | 10.0 | 4,409,944 | 8.8 | 5,855,301 | 8.6 | |||||||||||||||
| <=679 | 3.7 | 1,066,063 | 4.5 | 1,859,956 | 3.7 | 3,700,995 | 5.5 | |||||||||||||||
| Total | 17,112,017 | 100.0 | % | $ | 23,579,884 | 100.0 | % | $ | 50,049,634 | 100.0 | % | $ | 67,838,752 | 100.0 | % | |||||||
| Weighted average credit score | 744 | 747 | 745 | |||||||||||||||||||
| NIW by LTV | ||||||||||||||||||||||
| Nine Months Ended | ||||||||||||||||||||||
| September 30, 2021 | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||
| ( in thousands) | ||||||||||||||||||||||
| 85.00% and below | 1,618,912 | 9.5 | % | $ | 2,336,949 | 9.9 | % | $ | 4,556,205 | 9.1 | % | $ | 9,660,937 | 14.2 | % | |||||||
| 85.01% to 90.00% | 27.8 | 5,860,301 | 24.9 | 13,657,345 | 27.3 | 19,192,675 | 28.3 | |||||||||||||||
| 90.01% to 95.00% | 53.5 | 11,574,090 | 49.1 | 26,461,665 | 52.9 | 30,090,325 | 44.4 | |||||||||||||||
| 95.01% and above | 9.2 | 3,808,544 | 16.1 | 5,374,419 | 10.7 | 8,894,815 | 13.1 | |||||||||||||||
| Total | 17,112,017 | 100.0 | % | $ | 23,579,884 | 100.0 | % | $ | 50,049,634 | 100.0 | % | $ | 67,838,752 | 100.0 | % | |||||||
| Weighted average LTV | % | 93 | % | 93 | % | 92 | % | |||||||||||||||
| NIW by Product | ||||||||||||||||||||||
| Nine Months Ended | ||||||||||||||||||||||
| September 30, 2021 | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||
| Single Premium policies | 8.2 | % | 2.5 | % | 5.9 | % | 4.1 | % | ||||||||||||||
| Monthly Premium policies | 91.8 | 97.5 | 94.1 | 95.9 | ||||||||||||||||||
| 100.0 | % | 100.0 | % | 100.0 | % | 100.0 | % | |||||||||||||||
| NIW by Purchase vs. Refinance | ||||||||||||||||||||||
| Nine Months Ended | ||||||||||||||||||||||
| September 30, 2021 | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||
| Purchase | 98.7 | % | 90.9 | % | 97.2 | % | 79.6 | % | ||||||||||||||
| Refinance | 1.3 | 9.1 | 2.8 | 20.4 | ||||||||||||||||||
| 100.0 | % | 100.0 | % | 100.0 | % | 100.0 | % |
All values are in US Dollars.
| 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 | September 30, 2021 | ||||||||||||
| ( in thousands) | ||||||||||||||
| >=760 | 92,309,692 | 41.5 | % | $ | 89,790,212 | 41.6 | % | $ | 85,833,588 | 41.2 | % | |||
| 740-759 | 17.0 | 36,606,394 | 17.0 | 35,234,863 | 16.9 | |||||||||
| 720-739 | 15.2 | 32,637,422 | 15.1 | 31,291,415 | 15.1 | |||||||||
| 700-719 | 12.7 | 27,258,759 | 12.6 | 26,136,910 | 12.6 | |||||||||
| 680-699 | 8.2 | 17,697,662 | 8.2 | 16,758,439 | 8.0 | |||||||||
| <=679 | 5.4 | 11,906,082 | 5.5 | 12,961,334 | 6.2 | |||||||||
| Total | 222,542,569 | 100.0 | % | $ | 215,896,531 | 100.0 | % | $ | 208,216,549 | 100.0 | % | |||
| Weighted average credit score | 746 | 745 | ||||||||||||
| Gross RIF by FICO score | June 30, 2022 | September 30, 2021 | ||||||||||||
| ( in thousands) | ||||||||||||||
| >=760 | 23,743,335 | 41.1 | % | $ | 22,956,271 | 41.2 | % | $ | 21,414,607 | 40.8 | % | |||
| 740-759 | 17.2 | 9,540,921 | 17.1 | 8,958,297 | 17.1 | |||||||||
| 720-739 | 15.5 | 8,545,969 | 15.3 | 8,020,171 | 15.3 | |||||||||
| 700-719 | 12.8 | 7,107,888 | 12.8 | 6,652,117 | 12.7 | |||||||||
| 680-699 | 8.3 | 4,601,675 | 8.3 | 4,250,044 | 8.1 | |||||||||
| <=679 | 5.1 | 2,925,339 | 5.3 | 3,161,784 | 6.0 | |||||||||
| Total | 57,743,091 | 100.0 | % | $ | 55,678,063 | 100.0 | % | $ | 52,457,020 | 100.0 | % | |||
| Portfolio by LTV | ||||||||||||||
| IIF by LTV | June 30, 2022 | September 30, 2021 | ||||||||||||
| ( in thousands) | ||||||||||||||
| 85.00% and below | 25,121,995 | 11.3 | % | $ | 25,510,400 | 11.8 | % | $ | 28,452,535 | 13.7 | % | |||
| 85.01% to 90.00% | 28.3 | 61,304,806 | 28.4 | 60,257,704 | 28.9 | |||||||||
| 90.01% to 95.00% | 46.6 | 98,938,435 | 45.8 | 90,957,363 | 43.7 | |||||||||
| 95.01% and above | 13.8 | 30,142,890 | 14.0 | 28,548,947 | 13.7 | |||||||||
| Total | 222,542,569 | 100.0 | % | $ | 215,896,531 | 100.0 | % | $ | 208,216,549 | 100.0 | % | |||
| Weighted average LTV | % | 92 | % | 92 | % | |||||||||
| Gross RIF by LTV | June 30, 2022 | September 30, 2021 | ||||||||||||
| ( in thousands) | ||||||||||||||
| 85.00% and below | 2,975,898 | 5.2 | % | $ | 3,012,030 | 5.4 | % | $ | 3,311,106 | 6.3 | % | |||
| 85.01% to 90.00% | 26.5 | 14,868,579 | 26.7 | 14,506,577 | 27.7 | |||||||||
| 90.01% to 95.00% | 52.6 | 28,921,722 | 52.0 | 26,410,513 | 50.3 | |||||||||
| 95.01% and above | 15.7 | 8,875,732 | 15.9 | 8,228,824 | 15.7 | |||||||||
| Total | 57,743,091 | 100.0 | % | $ | 55,678,063 | 100.0 | % | $ | 52,457,020 | 100.0 | % | |||
| Portfolio by Loan Amortization Period | ||||||||||||||
| IIF by Loan Amortization Period | June 30, 2022 | September 30, 2021 | ||||||||||||
| ( in thousands) | ||||||||||||||
| FRM 30 years and higher | 214,688,363 | 96.5 | % | $ | 207,888,842 | 96.3 | % | $ | 198,392,156 | 95.3 | % | |||
| FRM 20-25 years | 1.3 | 3,114,962 | 1.4 | 3,974,602 | 1.9 | |||||||||
| FRM 15 years | 1.3 | 3,222,801 | 1.5 | 4,419,750 | 2.1 | |||||||||
| ARM 5 years and higher | 0.9 | 1,669,926 | 0.8 | 1,430,041 | 0.7 | |||||||||
| Total | 222,542,569 | 100.0 | % | $ | 215,896,531 | 100.0 | % | $ | 208,216,549 | 100.0 | % |
All values are in US Dollars.
| Exhibit F | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||
| Supplemental Information | ||||||||||||||||||||||
| Other Risk in Force | ||||||||||||||||||||||
| 2022 | 2021 | |||||||||||||||||||||
| ($ in thousands) | September 30 | June 30 | March 31 | December 31 | September 30 | |||||||||||||||||
| GSE and other risk share (1): | ||||||||||||||||||||||
| Risk in Force | $ | 2,026,895 | $ | 1,898,364 | $ | 1,888,437 | $ | 1,788,918 | $ | 1,568,800 | ||||||||||||
| Reserve for losses and LAE | $ | 102 | $ | 144 | $ | 254 | $ | 1,349 | $ | 1,389 | ||||||||||||
| Weighted average credit score | 748 | 748 | 748 | 748 | 748 | |||||||||||||||||
| 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 | ||||||||||||||||||||||
| September 30, 2022 | ||||||||||||||||||||||
| Insurance in Force | ||||||||||||||||||||||
| Year | OriginalInsuranceWritten( in thousands) | RemainingInsurancein Force( in thousands) | % Remaining of Original<br>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 | 3.8 | % | 14,375 | 4.33 | % | 78.4 | % | 70.2 | % | 5.8 | % | 15.2 | % | 43.1 | % | 2.7 | % | 553 | 3.85 | % | ||
| 2015 | 26,193,656 | 2,065,692 | 7.9 | 12,351 | 4.18 | 85.9 | 75.1 | 4.1 | 17.9 | 39.2 | 2.9 | 446 | 3.61 | |||||||||
| 2016 | 34,949,319 | 4,588,046 | 13.1 | 25,722 | 3.86 | 88.7 | 69.8 | 9.9 | 15.6 | 43.4 | 3.2 | 801 | 3.11 | |||||||||
| 2017 | 43,858,322 | 6,284,345 | 14.3 | 36,267 | 4.26 | 91.1 | 68.4 | 19.7 | 20.1 | 38.2 | 4.6 | 1,485 | 4.09 | |||||||||
| 2018 | 47,508,525 | 7,061,896 | 14.9 | 38,551 | 4.78 | 94.2 | 68.5 | 24.5 | 21.5 | 33.0 | 6.1 | 1,840 | 4.77 | |||||||||
| 2019 | 63,569,183 | 15,479,873 | 24.4 | 71,764 | 4.21 | 87.0 | 66.2 | 23.5 | 18.7 | 35.6 | 7.1 | 2,195 | 3.06 | |||||||||
| 2020 | 107,944,065 | 63,098,179 | 58.5 | 232,949 | 3.17 | 65.2 | 53.5 | 11.9 | 10.8 | 45.5 | 5.4 | 2,660 | 1.14 | |||||||||
| 2021 | 84,218,250 | 73,219,138 | 86.9 | 233,240 | 3.07 | 83.9 | 60.2 | 14.5 | 14.0 | 40.4 | 7.9 | 2,164 | 0.93 | |||||||||
| 2022 (through September 30) | 50,049,830 | 48,465,399 | 96.8 | 135,526 | 4.76 | 97.3 | 63.8 | 10.9 | 12.6 | 41.3 | 8.4 | 291 | 0.21 | |||||||||
| Total | 42.9 | 800,745 | 3.67 | 82.3 | 60.4 | 13.8 | 13.6 | 41.5 | 4.6 | 12,435 | 1.55 | |||||||||||
| (1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned. |
All values are in US Dollars.
| Exhibit H | ||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||||
| Supplemental Information | ||||||||||||||||||||||||||||||
| Reinsurance Vintage Data | ||||||||||||||||||||||||||||||
| September 30, 2022 | ||||||||||||||||||||||||||||||
| ( in thousands) | ||||||||||||||||||||||||||||||
| Excess of Loss Reinsurance | Original<br>Reinsurance in Force | Remaining<br>Reinsurance in Force | Earned Premiums Ceded | |||||||||||||||||||||||||||
| Year | Remaining<br>Risk<br>in Force | ILN (1) | Other Reinsurance (2) | Total | ILN | Other Reinsurance | Total | Losses<br>Ceded<br>to Date | Original<br>First Layer<br>Retention | Remaining<br>First Layer<br>Retention | Quarter-to-Date | Year-to-Date | Reduction in PMIERs Minimum Required <br>Assets (9) | |||||||||||||||||
| 2015 & 2016 | 6,415,924 | $ | 1,740,167 | $ | 333,844 | $ | — | $ | 333,844 | $ | 61,478 | $ | — | $ | 61,478 | $ | — | $ | 208,111 | $ | 206,925 | $ | 628 | $ | 2,464 | $ | — | |||
| 2017 | 1,610,026 | 424,412 | 165,167 | 589,579 | 242,123 | 127,770 | 369,893 | — | 224,689 | 216,632 | 3,091 | 8,631 | — | |||||||||||||||||
| 2018 | 1,791,216 | 473,184 | 118,650 | 591,834 | 325,537 | 76,144 | 401,681 | — | 253,643 | 248,875 | 3,896 | 10,553 | — | |||||||||||||||||
| 2019 (3) | 2,203,474 | 495,889 | 55,102 | 550,991 | 448,805 | 49,870 | 498,675 | — | 215,605 | 214,874 | 3,596 | 9,518 | — | |||||||||||||||||
| 2019 & 2020 (4) | — | 399,159 | — | 399,159 | — | — | — | — | 465,690 | — | 1,049 | 5,222 | — | |||||||||||||||||
| 2020 & 2021 (5) | 10,731,139 | 557,911 | — | 557,911 | 486,933 | — | 486,933 | — | 278,956 | 278,919 | 3,791 | 11,008 | 433,123 | |||||||||||||||||
| 2021 (6) | 11,236,549 | 439,407 | — | 439,407 | 423,462 | — | 423,462 | — | 279,415 | 279,415 | 4,473 | 12,829 | 371,346 | |||||||||||||||||
| 2021 & 2022 (10) | 17,043,854 | — | 119,307 | 119,307 | — | 119,307 | 119,307 | — | 426,096 | 426,096 | 1,348 | 1,684 | 116,743 | |||||||||||||||||
| 2021 & 2022 (11) | 9,205,630 | 237,868 | — | 237,868 | 237,868 | — | 237,868 | — | 303,761 | 303,761 | 567 | 567 | 237,868 | |||||||||||||||||
| Total | 211,316,119 | $ | 55,562,055 | $ | 3,361,674 | $ | 458,226 | $ | 3,819,900 | $ | 2,226,206 | $ | 373,091 | $ | 2,599,297 | $ | — | $ | 2,655,966 | $ | 1,940,960 | (12) | $ | 22,439 | $ | 62,476 | $ | 1,159,080 |
All values are in US Dollars.
| Quota Share Reinsurance | |||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Losses Ceded | Ceding Commission | Earned Premiums Ceded | |||||||||||||||||||||
| Year | Remaining<br>Insurance<br>in Force | Remaining<br>Risk<br>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 <br>Assets (9) | ||||||||||||
| 2019 & 2020 | (7) | $ | 69,631,402 | $ | 17,558,346 | $ | 15,413,517 | $ | 3,846,679 | $ | (1,084) | $ | (13,657) | $ | 3,266 | $ | 10,481 | $ | 4,957 | $ | 5,732 | $ | 240,698 |
| 2022 | (8) | 48,406,637 | 13,032,720 | 9,681,327 | 2,606,544 | 686 | 998 | 1,295 | 2,187 | 3,146 | 5,153 | 178,854 | |||||||||||
| Total | $ | 118,038,039 | $ | 30,591,066 | $ | 25,094,844 | $ | 6,453,223 | $ | (398) | $ | (12,659) | $ | 4,561 | $ | 12,668 | $ | 8,103 | $ | 10,885 | $ | 419,552 | |
| (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. This ILN was called during the third quarter of 2022. | |||||||||||||||||||||||
| (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 as well as coverage on new insurance written from October 1, 2021 through July 31, 2022 through an ILN. | |||||||||||||||||||||||
| (11) Reinsurance coverage on new insurance written from October 1, 2021 through July 31, 2022. | |||||||||||||||||||||||
| (12) The total remaining first layer retention differs from the sum of the individual reinsurance transactions as a result of overlapping coverage between certain transactions. | |||||||||||||||||||||||
| Exhibit I | |||||||||||||||||||||||
| --- | --- | --- | --- | --- | --- | --- | |||||||||||||||||
| Essent Group Ltd. and Subsidiaries | |||||||||||||||||||||||
| Supplemental Information | |||||||||||||||||||||||
| Portfolio Geographic Data | |||||||||||||||||||||||
| IIF by State | |||||||||||||||||||||||
| September 30, 2022 | June 30, 2022 | September 30, 2021 | |||||||||||||||||||||
| CA | 13.2 | % | 13.2 | % | 13.1 | % | |||||||||||||||||
| TX | 10.3 | 10.2 | 9.8 | ||||||||||||||||||||
| FL | 10.1 | 10.0 | 9.5 | ||||||||||||||||||||
| CO | 4.1 | 4.2 | 4.1 | ||||||||||||||||||||
| AZ | 3.5 | 3.4 | 3.4 | ||||||||||||||||||||
| WA | 3.4 | 3.5 | 3.7 | ||||||||||||||||||||
| IL | 3.1 | 3.2 | 3.4 | ||||||||||||||||||||
| GA | 3.1 | 3.1 | 3.1 | ||||||||||||||||||||
| VA | 3.1 | 3.1 | 3.1 | ||||||||||||||||||||
| NJ | 3.0 | 3.1 | 3.1 | ||||||||||||||||||||
| All Others | 43.1 | 43.0 | 43.7 | ||||||||||||||||||||
| Total | 100.0 | % | 100.0 | % | 100.0 | % | |||||||||||||||||
| Gross RIF by State | |||||||||||||||||||||||
| September 30, 2022 | June 30, 2022 | September 30, 2021 | |||||||||||||||||||||
| CA | 13.0 | % | 13.0 | % | 12.9 | % | |||||||||||||||||
| TX | 10.6 | 10.6 | 10.1 | ||||||||||||||||||||
| FL | 10.5 | 10.3 | 9.8 | ||||||||||||||||||||
| CO | 4.1 | 4.1 | 4.1 | ||||||||||||||||||||
| AZ | 3.5 | 3.4 | 3.3 | ||||||||||||||||||||
| WA | 3.3 | 3.4 | 3.7 | ||||||||||||||||||||
| GA | 3.2 | 3.2 | 3.1 | ||||||||||||||||||||
| IL | 3.1 | 3.1 | 3.3 | ||||||||||||||||||||
| VA | 3.0 | 3.0 | 3.1 | ||||||||||||||||||||
| NJ | 2.9 | 2.9 | 3.0 | ||||||||||||||||||||
| All Others | 42.8 | 43.0 | 43.6 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||||
| September 30 | June 30 | March 31 | December 31 | September 30 | |||||||||||||||||||
| Beginning default inventory | 12,707 | 14,923 | 16,963 | 19,721 | 23,504 | ||||||||||||||||||
| Plus: new defaults (A) | 6,448 | 5,495 | 6,188 | 5,809 | 5,132 | ||||||||||||||||||
| Less: cures | (6,642) | (7,639) | (8,167) | (8,514) | (8,862) | ||||||||||||||||||
| Less: claims paid | (68) | (65) | (55) | (47) | (41) | ||||||||||||||||||
| Less: rescissions and denials, net | (10) | (7) | (6) | (6) | (12) | ||||||||||||||||||
| Ending default inventory | 12,435 | 12,707 | 14,923 | 16,963 | 19,721 | ||||||||||||||||||
| (A) New defaults remaining as of September 30, 2022 | 4,752 | 2,114 | 1,461 | 955 | 523 | ||||||||||||||||||
| Cure rate (1) | 26 | % | 62 | % | 76 | % | 84 | % | 90 | % | |||||||||||||
| Total amount paid for claims (in thousands) | $ | 1,261 | $ | 1,137 | $ | 826 | $ | 992 | $ | 1,069 | |||||||||||||
| Average amount paid per claim (in thousands) | $ | 19 | $ | 17 | $ | 15 | $ | 21 | $ | 26 | |||||||||||||
| Severity | 47 | % | 50 | % | 35 | % | 45 | % | 60 | % | |||||||||||||
| Rollforward of Reserve for Losses and LAE | |||||||||||||||||||||||
| Three Months Ended | |||||||||||||||||||||||
| 2022 | 2021 | ||||||||||||||||||||||
| ($ in thousands) | September 30 | June 30 | March 31 | December 31 | September 30 | ||||||||||||||||||
| Reserve for losses and LAE at beginning of period | $ | 209,829 | $ | 292,818 | $ | 406,096 | $ | 411,567 | $ | 420,482 | |||||||||||||
| Less: Reinsurance recoverables | 13,657 | 19,335 | 25,940 | 26,970 | 27,286 | ||||||||||||||||||
| Net reserve for losses and LAE at beginning of period | 196,172 | 273,483 | 380,156 | 384,597 | 393,196 | ||||||||||||||||||
| Add provision for losses and LAE occurring in: | |||||||||||||||||||||||
| Current period | 20,144 | 18,720 | 24,346 | 13,231 | 11,371 | ||||||||||||||||||
| Prior years | (15,850) | (94,809) | (130,114) | (16,624) | (18,853) | ||||||||||||||||||
| Incurred losses and LAE during the period | 4,294 | (76,089) | (105,768) | (3,393) | (7,482) | ||||||||||||||||||
| Deduct payments for losses and LAE occurring in: | |||||||||||||||||||||||
| Current period | 30 | 80 | 1 | 157 | 103 | ||||||||||||||||||
| Prior years | 1,288 | 1,142 | 904 | 891 | 1,014 | ||||||||||||||||||
| Loss and LAE payments during the period | 1,318 | 1,222 | 905 | 1,048 | 1,117 | ||||||||||||||||||
| Net reserve for losses and LAE at end of period | 199,148 | 196,172 | 273,483 | 380,156 | 384,597 | ||||||||||||||||||
| Plus: Reinsurance recoverables | 13,244 | 13,657 | 19,335 | 25,940 | 26,970 | ||||||||||||||||||
| Reserve for losses and LAE at end of period | $ | 212,392 | $ | 209,829 | $ | 292,818 | $ | 406,096 | $ | 411,567 | |||||||||||||
| (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 | |||||||||||||||||||||||
| Percentage of <br>Policies in <br>Default | Amount of Reserves | Percentage of Reserves | Defaulted RIF | Reserves as a Percentage of <br>Defaulted RIF | |||||||||||||||||||
| ( in thousands) | |||||||||||||||||||||||
| Missed Payments: | |||||||||||||||||||||||
| Three payments or less | 40 | % | $ | 22,279 | 12 | % | $ | 313,531 | 7 | % | |||||||||||||
| Four to eleven payments | 36 | 55,431 | 28 | 292,644 | 19 | ||||||||||||||||||
| Twelve or more payments | 23 | 114,250 | 58 | 174,589 | 65 | ||||||||||||||||||
| Pending claims | 1 | 3,879 | 2 | 4,611 | 84 | ||||||||||||||||||
| Total case reserves | 100 | % | 195,839 | 100 | % | $ | 785,375 | 25 | |||||||||||||||
| IBNR | 14,688 | ||||||||||||||||||||||
| LAE | 1,865 | ||||||||||||||||||||||
| Total reserves for losses and LAE | $ | 212,392 | |||||||||||||||||||||
| Average reserve per default: | |||||||||||||||||||||||
| Case | $ | 15.7 | |||||||||||||||||||||
| Total | $ | 17.1 | |||||||||||||||||||||
| Default Rate | |||||||||||||||||||||||
| Percentage of <br>Policies in <br>Default | Amount of Reserves | Percentage of Reserves | Defaulted RIF | Reserves as a Percentage of <br>Defaulted RIF | |||||||||||||||||||
| ( in thousands) | |||||||||||||||||||||||
| Missed Payments: | |||||||||||||||||||||||
| Three payments or less | 24 | % | $ | 20,712 | 5 | % | $ | 243,511 | 9 | % | |||||||||||||
| Four to eleven payments | 32 | 77,822 | 21 | 349,494 | 22 | ||||||||||||||||||
| Twelve or more payments | 43 | 274,465 | 73 | 470,859 | 58 | ||||||||||||||||||
| Pending claims | 1 | 2,397 | 1 | 2,852 | 84 | ||||||||||||||||||
| Total case reserves | 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 | |||||||||||||||||||||||
| Percentage of <br>Policies in <br>Default | Amount of Reserves | Percentage of Reserves | Defaulted RIF | Reserves as a Percentage of <br>Defaulted RIF | |||||||||||||||||||
| ( in thousands) | |||||||||||||||||||||||
| Missed Payments: | |||||||||||||||||||||||
| Three payments or less | 20 | % | $ | 20,438 | 5 | % | $ | 223,065 | 9 | % | |||||||||||||
| Four to eleven payments | 34 | 103,062 | 27 | 426,282 | 24 | ||||||||||||||||||
| Twelve or more payments | 46 | 254,499 | 67 | 595,444 | 43 | ||||||||||||||||||
| Pending claims | — | 2,037 | 1 | 2,516 | 81 | ||||||||||||||||||
| Total case reserves | 100 | % | 380,036 | 100 | % | $ | 1,247,307 | 30 | |||||||||||||||
| IBNR | 28,503 | ||||||||||||||||||||||
| LAE | 3,028 | ||||||||||||||||||||||
| Total reserves for losses and LAE | $ | 411,567 | |||||||||||||||||||||
| Average reserve per default: | |||||||||||||||||||||||
| Case | $ | 19.3 | |||||||||||||||||||||
| Total | $ | 20.9 | |||||||||||||||||||||
| Default Rate |
All values are in US Dollars.
| Exhibit L | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Essent Group Ltd. and Subsidiaries | |||||||||
| Supplemental Information | |||||||||
| Investments Available for Sale | |||||||||
| Investments Available for Sale by Asset Class | |||||||||
| Asset Class | September 30, 2022 | December 31, 2021 | |||||||
| ($ in thousands) | Fair Value | Percent | Fair Value | Percent | |||||
| U.S. Treasury securities | $ | 535,636 | 11.7 | % | $ | 448,793 | 9.1 | % | |
| U.S. agency securities | — | — | 5,504 | 0.1 | |||||
| U.S. agency mortgage-backed securities | 752,236 | 16.4 | 1,008,863 | 20.3 | |||||
| Municipal debt securities | 559,784 | 12.2 | 627,599 | 12.7 | |||||
| Non-U.S. government securities | 60,834 | 1.3 | 79,743 | 1.6 | |||||
| Corporate debt securities | 1,345,269 | 29.4 | 1,455,247 | 29.3 | |||||
| Residential and commercial mortgage securities | 523,608 | 11.4 | 545,423 | 11.0 | |||||
| Asset-backed securities | 608,330 | 13.3 | 581,703 | 11.7 | |||||
| Money market funds | 199,147 | 4.3 | 210,012 | 4.2 | |||||
| Total investments available for sale | $ | 4,584,844 | 100.0 | % | $ | 4,962,887 | 100.0 | % | |
| Investments Available for Sale by Credit Rating | |||||||||
| Rating (1) | September 30, 2022 | December 31, 2021 | |||||||
| ($ in thousands) | Fair Value | Percent | Fair Value | Percent | |||||
| Aaa | $ | 2,227,988 | 48.6 | % | $ | 2,412,273 | 48.6 | % | |
| Aa1 | 101,547 | 2.2 | 96,331 | 1.9 | |||||
| Aa2 | 334,435 | 7.3 | 354,951 | 7.2 | |||||
| Aa3 | 215,688 | 4.7 | 221,914 | 4.5 | |||||
| A1 | 375,063 | 8.2 | 263,820 | 5.3 | |||||
| A2 | 356,469 | 7.8 | 427,282 | 8.6 | |||||
| A3 | 244,309 | 5.3 | 274,525 | 5.5 | |||||
| Baa1 | 220,295 | 4.8 | 305,204 | 6.1 | |||||
| Baa2 | 220,303 | 4.8 | 274,011 | 5.5 | |||||
| Baa3 | 191,386 | 4.2 | 240,755 | 4.9 | |||||
| Below Baa3 | 97,361 | 2.1 | 91,821 | 1.9 | |||||
| Total investments available for sale | $ | 4,584,844 | 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 | September 30, 2022 | December 31, 2021 | |||||||
| ($ in thousands) | Fair Value | Percent | Fair Value | Percent | |||||
| < 1 Year | $ | 1,222,876 | 26.7 | % | $ | 1,104,397 | 22.2 | % | |
| 1 to < 2 Years | 472,273 | 10.3 | 561,297 | 11.3 | |||||
| 2 to < 3 Years | 501,955 | 10.9 | 539,174 | 10.9 | |||||
| 3 to < 4 Years | 469,386 | 10.2 | 593,663 | 12.0 | |||||
| 4 to < 5 Years | 445,986 | 9.7 | 663,127 | 13.4 | |||||
| 5 or more Years | 1,472,368 | 32.2 | 1,501,229 | 30.2 | |||||
| Total investments available for sale | $ | 4,584,844 | 100.0 | % | $ | 4,962,887 | 100.0 | % | |
| Pre-tax investment income yield: | |||||||||
| Three months ended September 30, 2022 | 2.74 | % | |||||||
| Nine months ended September 30, 2022 | 2.45 | % | |||||||
| Holding company net cash and investments available for sale: | |||||||||
| --- | --- | ||||||||
| ( in thousands) | |||||||||
| As of September 30, 2022 | 647,922 | ||||||||
| As of December 31, 2021 | 618,306 |
All values are in US Dollars.
| Exhibit M | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Essent Group Ltd. and Subsidiaries | |||||||||||||||
| Supplemental Information | |||||||||||||||
| Insurance Company Capital | |||||||||||||||
| 2022 | 2021 | ||||||||||||||
| September 30 | June 30 | March 31 | December 31 | September 30 | |||||||||||
| ( in thousands) | |||||||||||||||
| U.S. Mortgage Insurance Subsidiaries: | |||||||||||||||
| Combined statutory capital (1) | $ | 3,128,681 | $ | 3,062,438 | $ | 3,058,880 | $ | 2,950,107 | $ | 2,916,802 | |||||
| Combined net risk in force (2) | $ | 31,736,095 | $ | 31,221,406 | $ | 30,331,197 | $ | 30,660,272 | $ | 30,766,379 | |||||
| Risk-to-capital ratios: (3) | |||||||||||||||
| 10.5:1 | 10.6:1 | 10.3:1 | 10.8:1 | 10.9:1 | |||||||||||
| 0.6:1 | 0.6:1 | 0.7:1 | 0.8:1 | 1.0:1 | |||||||||||
| 10.1:1 | 10.2:1 | 9.9:1 | 10.4:1 | 10.5:1 | |||||||||||
| Essent Guaranty, Inc. PMIERs Data (5): | |||||||||||||||
| $ | 3,147,545 | $ | 3,120,098 | $ | 3,194,939 | $ | 3,170,881 | $ | 3,161,780 | ||||||
| 1,759,182 | 1,869,524 | 1,840,069 | 1,791,551 | 1,951,096 | |||||||||||
| $ | 1,388,363 | $ | 1,250,574 | $ | 1,354,870 | $ | 1,379,330 | $ | 1,210,684 | ||||||
| 179 | % | 167 | % | 174 | % | 177 | % | 162 | % | ||||||
| Essent Reinsurance Ltd.: | |||||||||||||||
| Stockholder's equity (GAAP basis) | $ | 1,397,287 | $ | 1,380,067 | $ | 1,330,840 | $ | 1,301,937 | $ | 1,249,996 | |||||
| Net risk in force (2) | $ | 18,694,500 | $ | 17,758,801 | $ | 16,527,587 | $ | 15,997,129 | $ | 15,466,651 | |||||
| (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. |
All values are in US Dollars.