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

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2023 of $178.0 million or $1.66 per diluted share, compared to $178.1 million or $1.66 per diluted share for the quarter ended September 30, 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 December 11, 2023, to shareholders of record on December 1, 2023.

“We are pleased with our third quarter 2023 financial results, as we continue to generate high quality earnings and robust returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “The credit quality of our portfolio remains strong. Higher interest rates have translated to higher portfolio persistency and increased investment income, supporting our revenues and growth in book value per share.”

Financial Highlights:

  • New insurance written for the third quarter of 2023 was $12.5 billion, compared to $13.5 billion in the second quarter of 2023 and $17.1 billion in the third quarter of 2022.
  • Insurance in force as of September 30, 2023 was $238.7 billion, compared to $235.6 billion as of June 30, 2023 and $222.5 billion as of September 30, 2022.
  • Net investment income for the third quarter of 2023 was $47.1 million, up 44% from the third quarter of 2022. For the nine months ended September 30, 2023, net investment income was $135.6 million, up 57% from the comparable period in 2022.
  • On July 1, 2023, Essent Group Ltd. completed its previously announced acquisition of Agents National Title Holding Company and Boston National Holdings LLC for $92.6 million.
  • On August 8, 2023, Essent closed its 9th insurance-linked note transaction, Radnor Re 2023-1, which provides $281.5 million of collateralized reinsurance coverage for NIW from August 2022 through June 2023.
  • In October 2023, the Board approved a share repurchase plan that authorizes the Company to repurchase $250 million of common shares in the open market between January 1, 2024 and December 31, 2025.

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 serves the housing finance industry by offering private mortgage insurance, reinsurance, risk management products and title insurance and settlement services to mortgage lenders, borrowers, and investors to support homeownership. Additional information regarding Essent may be found at www.essentgroup.com.

Source: Essent Group Ltd.

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended September 30, 2023

 

 

 

 

 

 

Exhibit A

 

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

Exhibit B

 

Condensed Consolidated Balance Sheets (Unaudited)

Exhibit C

 

Consolidated Historical Quarterly Data

Exhibit D

 

U.S Mortgage Insurance Portfolio Historical Quarterly Data

Exhibit E

 

New Insurance Written - U.S. Mortgage Insurance Portfolio

Exhibit F

 

Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio

Exhibit G

 

Other Risk in Force

Exhibit H

 

U.S. Mortgage Insurance Portfolio Vintage Data

Exhibit I

 

U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data

Exhibit J

 

U.S. Mortgage Insurance Portfolio Geographic Data

Exhibit K

 

Rollforward of Defaults and Reserve for Losses and LAE

Exhibit L

 

Detail of Reserves by Default Delinquency

Exhibit M

 

Investments Available for Sale

Exhibit N

 

U.S. Mortgage Insurance Company Capital

Exhibit O

 

Loss, Expense and Combined Ratios and Reconciliation of Non-GAAP Financial Measures

 

 

 

 

 

 

 

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)

 

2023

 

 

 

2022

 

 

 

2023

 

 

 

2022

 

Revenues:

 

 

 

 

 

 

 

Direct premiums written

$

270,868

 

 

$

239,773

 

 

$

759,526

 

 

$

692,687

 

Ceded premiums

 

(30,294

)

 

 

(30,543

)

 

 

(103,431

)

 

 

(73,384

)

Net premiums written

 

240,574

 

 

 

209,230

 

 

 

656,095

 

 

 

619,303

 

Decrease in unearned premiums

 

6,231

 

 

 

(1,296

)

 

 

15,197

 

 

 

15,972

 

Net premiums earned

 

246,805

 

 

 

207,934

 

 

 

671,292

 

 

 

635,275

 

Net investment income

 

47,072

 

 

 

32,594

 

 

 

135,558

 

 

 

86,613

 

Realized investment losses, net

 

(235

)

 

 

175

 

 

 

(2,312

)

 

 

(7,648

)

(Loss) income from other invested assets

 

(3,143

)

 

 

9,617

 

 

 

(10,697

)

 

 

36,275

 

Other income

 

5,609

 

 

 

11,447

 

 

 

18,641

 

 

 

20,272

 

Total revenues

 

296,108

 

 

 

261,767

 

 

 

812,482

 

 

 

770,787

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

Provision (benefit) for losses and LAE

 

10,822

 

 

 

4,252

 

 

 

11,902

 

 

 

(178,805

)

Other underwriting and operating expenses

 

54,814

 

 

 

42,144

 

 

 

145,183

 

 

 

124,838

 

Premiums retained by agents

 

13,175

 

 

 

 

 

 

13,175

 

 

 

 

Interest expense

 

7,854

 

 

 

4,450

 

 

 

22,184

 

 

 

9,563

 

Total losses and expenses

 

86,665

 

 

 

50,846

 

 

 

192,444

 

 

 

(44,404

)

 

 

 

 

 

 

 

 

Income before income taxes

 

209,443

 

 

 

210,921

 

 

 

620,038

 

 

 

815,191

 

Income tax expense

 

31,484

 

 

 

32,870

 

 

 

99,019

 

 

 

131,204

 

Net income

$

177,959

 

 

$

178,051

 

 

$

521,019

 

 

$

683,987

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

1.68

 

 

$

1.67

 

 

$

4.90

 

 

$

6.37

 

Diluted

 

1.66

 

 

 

1.66

 

 

 

4.86

 

 

 

6.35

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

 

105,979

 

 

 

106,870

 

 

 

106,387

 

 

 

107,314

 

Diluted

 

107,025

 

 

 

107,337

 

 

 

107,232

 

 

 

107,732

 

 

 

 

 

 

 

 

 

Net income

$

177,959

 

 

$

178,051

 

 

$

521,019

 

 

$

683,987

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

Change in unrealized depreciation of investments

 

(76,248

)

 

 

(137,010

)

 

 

(53,593

)

 

 

(474,284

)

Total other comprehensive loss

 

(76,248

)

 

 

(137,010

)

 

 

(53,593

)

 

 

(474,284

)

Comprehensive income

$

101,711

 

 

$

41,041

 

 

$

467,426

 

 

$

209,703

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

September 30,

 

December 31,

(In thousands, except per share amounts)

 

2023

 

 

 

2022

 

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

4,241,757

 

 

$

4,489,598

 

Short-term investments available for sale, at fair value

 

755,931

 

 

 

252,027

 

Total investments available for sale

 

4,997,688

 

 

 

4,741,625

 

Other invested assets

 

272,619

 

 

 

257,941

 

Total investments

 

5,270,307

 

 

 

4,999,566

 

Cash

 

96,779

 

 

 

81,240

 

Accrued investment income

 

36,651

 

 

 

33,162

 

Accounts receivable

 

68,332

 

 

 

57,399

 

Deferred policy acquisition costs

 

9,375

 

 

 

9,910

 

Property and equipment

 

40,710

 

 

 

19,571

 

Prepaid federal income tax

 

461,386

 

 

 

418,460

 

Goodwill and intangible assets, net

 

64,271

 

 

 

 

Other assets

 

46,389

 

 

 

104,489

 

Total assets

$

6,094,200

 

 

$

5,723,797

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

241,333

 

 

$

216,464

 

Unearned premium reserve

 

147,712

 

 

 

162,887

 

Net deferred tax liability

 

329,721

 

 

 

356,810

 

Credit facility borrowings, net of deferred costs

 

421,656

 

 

 

420,864

 

Other accrued liabilities

 

145,771

 

 

 

104,463

 

Total liabilities

 

1,286,193

 

 

 

1,261,488

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 106,887 shares in 2023 and 107,683 shares in 2022

 

1,603

 

 

 

1,615

 

Additional paid-in capital

 

1,309,717

 

 

 

1,350,377

 

Accumulated other comprehensive loss

 

(436,383

)

 

 

(382,790

)

Retained earnings

 

3,933,070

 

 

 

3,493,107

 

Total stockholders' equity

 

4,808,007

 

 

 

4,462,309

 

 

 

 

 

Total liabilities and stockholders' equity

$

6,094,200

 

 

$

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

Consolidated Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

2022

Selected Income Statement Data

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

Net premiums earned:

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

$

209,351

 

 

$

195,502

 

 

$

196,565

 

 

$

192,670

 

 

$

194,272

 

GSE and other risk share

 

 

16,850

 

 

 

17,727

 

 

 

14,693

 

 

 

14,582

 

 

 

13,662

 

Title insurance

 

 

20,604

 

 

 

 

 

 

 

 

 

 

 

 

 

Net premiums earned

 

 

246,805

 

 

 

213,229

 

 

 

211,258

 

 

 

207,252

 

 

 

207,934

 

Net investment income

 

 

47,072

 

 

 

45,250

 

 

 

43,236

 

 

 

37,796

 

 

 

32,594

 

Realized investment (losses) gains, net

 

 

(235

)

 

 

(1,589

)

 

 

(488

)

 

 

(5,524

)

 

 

175

 

(Loss) income from other invested assets

 

 

(3,143

)

 

 

(4,852

)

 

 

(2,702

)

 

 

(7,599

)

 

 

9,617

 

Other income (loss) (1)

 

 

5,609

 

 

 

8,090

 

 

 

4,942

 

 

 

(1,888

)

 

 

11,447

 

Total revenues

 

 

296,108

 

 

 

260,128

 

 

 

256,246

 

 

 

230,037

 

 

 

261,767

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

Provision (benefit) for losses and LAE

 

 

10,822

 

 

 

1,260

 

 

 

(180

)

 

 

4,101

 

 

 

4,252

 

Other underwriting and operating expenses

 

 

54,814

 

 

 

42,174

 

 

 

48,195

 

 

 

46,895

 

 

 

42,144

 

Premiums retained by agents

 

 

13,175

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest expense

 

 

7,854

 

 

 

7,394

 

 

 

6,936

 

 

 

6,045

 

 

 

4,450

 

Total losses and expenses

 

 

86,665

 

 

 

50,828

 

 

 

54,951

 

 

 

57,041

 

 

 

50,846

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

 

209,443

 

 

 

209,300

 

 

 

201,295

 

 

 

172,996

 

 

 

210,921

 

Income tax expense (2)

 

 

31,484

 

 

 

37,067

 

 

 

30,468

 

 

 

25,630

 

 

 

32,870

 

Net income

 

$

177,959

 

 

$

172,233

 

 

$

170,827

 

 

$

147,366

 

 

$

178,051

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.68

 

 

$

1.62

 

 

$

1.60

 

 

$

1.38

 

 

$

1.67

 

Diluted

 

 

1.66

 

 

 

1.61

 

 

 

1.59

 

 

 

1.37

 

 

 

1.66

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

 

105,979

 

 

 

106,249

 

 

 

106,943

 

 

 

106,881

 

 

 

106,870

 

Diluted

 

 

107,025

 

 

 

107,093

 

 

 

107,585

 

 

 

107,419

 

 

 

107,337

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

44.98

 

 

$

44.24

 

 

$

43.18

 

 

$

41.44

 

 

$

39.87

 

Return on average equity (annualized)

 

 

14.9

%

 

 

14.7

%

 

 

15.0

%

 

 

13.5

%

 

 

16.6

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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)

 

 

7.07

%

 

 

6.87

%

 

 

6.52

%

 

 

6.02

%

 

 

4.39

%

Debt-to-capital

 

 

8.12

%

 

 

8.24

%

 

 

8.38

%

 

 

8.70

%

 

 

9.01

%

 

 

 

 

 

 

 

 

 

 

 

(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 September 30, 2023, June 30, 2023, March 31, 2023, December 31, 2022, and September 30, 2022 was ($898), $2,726, ($368), ($6,515), and $5,177, respectively.

(2) Income tax expense for the quarters ended September 30, 2023, June 30, 2023, March 31, 2023, December 31, 2022 and September 30, 2022 includes ($763), $(888), ($368), ($4,122), and $2,925 respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns.

 

 

 

 

 

 

 

Exhibit D

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S Mortgage Insurance Portfolio Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

2022

Other Data:

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

12,505,823

 

 

$

13,498,080

 

 

$

12,893,789

 

 

$

13,011,432

 

 

$

17,112,017

 

New risk written

 

 

3,458,467

 

 

 

3,726,513

 

 

 

3,548,015

 

 

 

3,522,726

 

 

 

4,570,699

 

 

 

 

 

 

 

 

 

 

 

 

Bulk:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

 

 

$

 

 

$

 

 

$

 

 

$

 

New risk written

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

12,505,823

 

 

$

13,498,080

 

 

$

12,893,789

 

 

$

13,011,432

 

 

$

17,112,017

 

New risk written

 

$

3,458,467

 

 

$

3,726,513

 

 

$

3,548,015

 

 

$

3,522,726

 

 

$

4,570,669

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

$

237,270,093

 

 

$

233,484,941

 

 

$

228,885,174

 

 

$

224,840,675

 

 

$

219,280,350

 

Insurance in force (end of period)

 

$

238,661,612

 

 

$

235,649,884

 

 

$

231,537,417

 

 

$

227,062,055

 

 

$

222,542,569

 

Gross risk in force (end of period) (1)

 

$

63,605,057

 

 

$

62,403,400

 

 

$

60,879,979

 

 

$

59,276,489

 

 

$

57,743,091

 

Risk in force (end of period)

 

$

53,920,308

 

 

$

53,290,643

 

 

$

51,469,312

 

 

$

49,903,626

 

 

$

48,690,571

 

Policies in force

 

 

825,248

 

 

 

821,690

 

 

 

815,751

 

 

 

808,596

 

 

 

800,745

 

Weighted average coverage (2)

 

 

26.7

%

 

 

26.5

%

 

 

26.3

%

 

 

26.1

%

 

 

25.9

%

Annual persistency

 

 

86.6

%

 

 

85.8

%

 

 

84.4

%

 

 

82.1

%

 

 

77.9

%

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

 

13,391

 

 

 

12,480

 

 

 

12,773

 

 

 

13,433

 

 

 

12,435

 

Percentage of loans in default

 

 

1.62

%

 

 

1.52

%

 

 

1.57

%

 

 

1.66

%

 

 

1.55

%

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio premium rate:

 

 

 

 

 

 

 

 

Base average premium rate (3)

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

Single premium cancellations (4)

 

 

%

 

 

%

 

 

%

 

 

%

 

 

0.01

%

Gross average premium rate

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

 

 

0.41

%

Ceded premiums

 

 

(0.05

%)

 

 

(0.07

%)

 

 

(0.06

%)

 

 

(0.06

%)

 

 

(0.06

%)

Net average premium rate

 

 

0.35

%

 

 

0.33

%

 

 

0.34

%

 

 

0.34

%

 

 

0.35

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

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

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

(4) 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 E

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information - U.S. Mortgage Insurance Portfolio

New Insurance Written: Flow

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Credit Score

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2023

 

September 30, 2022

 

September 30, 2023

 

September 30, 2022

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

5,212,343

 

41.8

%

 

$

6,976,123

 

40.8

%

 

$

15,473,191

 

39.8

%

 

$

20,942,108

 

41.8

%

740-759

 

2,205,066

 

17.6

 

 

 

2,965,115

 

17.3

 

 

 

7,031,821

 

18.1

 

 

 

8,499,739

 

17.0

 

720-739

 

1,911,320

 

15.3

 

 

 

2,788,573

 

16.3

 

 

 

6,310,564

 

16.2

 

 

 

7,885,166

 

15.8

 

700-719

 

1,867,510

 

14.9

 

 

 

2,277,251

 

13.3

 

 

 

5,892,704

 

15.1

 

 

 

6,452,721

 

12.9

 

680-699

 

891,471

 

7.1

 

 

 

1,476,982

 

8.6

 

 

 

3,024,347

 

7.8

 

 

 

4,409,944

 

8.8

 

<=679

 

418,113

 

3.3

 

 

 

627,973

 

3.7

 

 

 

1,165,065

 

3.0

 

 

 

1,859,956

 

3.7

 

Total

$

12,505,823

 

100.0

%

 

$

17,112,017

 

100.0

%

 

$

38,897,692

 

100.0

%

 

$

50,049,634

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

747

 

 

 

 

746

 

 

 

 

746

 

 

 

 

747

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2023

 

September 30, 2022

 

September 30, 2023

 

September 30, 2022

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

849,250

 

6.7

%

 

$

1,618,912

 

9.5

%

 

$

2,801,011

 

7.2

%

 

$

4,556,205

 

9.1

%

85.01% to 90.00%

 

2,445,924

 

19.6

 

 

 

4,753,686

 

27.8

 

 

 

7,951,062

 

20.4

 

 

 

13,657,345

 

27.3

 

90.01% to 95.00%

 

6,614,050

 

52.9

 

 

 

9,171,095

 

53.5

 

 

 

21,383,696

 

55.0

 

 

 

26,461,665

 

52.9

 

95.01% and above

 

2,596,599

 

20.8

 

 

 

1,568,324

 

9.2

 

 

 

6,761,923

 

17.4

 

 

 

5,374,419

 

10.7

 

Total

$

12,505,823

 

100.0

%

 

$

17,112,017

 

100.0

%

 

$

38,897,692

 

100.0

%

 

$

50,049,634

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2023

 

September 30, 2022

 

September 30, 2023

 

September 30, 2022

Single Premium policies

 

2.8

%

 

 

8.2

%

 

 

3.8

%

 

 

5.9

%

Monthly Premium policies

 

97.2

 

 

 

91.8

 

 

 

96.2

 

 

 

94.1

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2023

 

September 30, 2022

 

September 30, 2023

 

September 30, 2022

Purchase

 

99.0

%

 

 

98.7

%

 

 

98.8

%

 

 

97.2

%

Refinance

 

1.0

 

 

 

1.3

 

 

 

1.2

 

 

 

2.8

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio by Credit Score

IIF by FICO score

September 30, 2023

 

June 30, 2023

 

September 30, 2022

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

97,027,348

 

40.7

%

 

$

95,925,520

 

40.8

%

 

$

92,309,692

 

41.5

%

740-759

 

 

41,362,480

 

17.3

 

 

 

40,733,799

 

17.3

 

 

 

37,821,201

 

17.0

 

720-739

 

 

37,297,809

 

15.6

 

 

 

36,791,104

 

15.6

 

 

 

33,910,646

 

15.2

 

700-719

 

 

31,674,346

 

13.3

 

 

 

30,970,132

 

13.1

 

 

 

28,263,518

 

12.7

 

680-699

 

 

19,850,176

 

8.3

 

 

 

19,667,866

 

8.3

 

 

 

18,351,570

 

8.2

 

<=679

 

 

11,449,453

 

4.8

 

 

 

11,561,463

 

4.9

 

 

 

11,885,942

 

5.4

 

Total

$

238,661,612

 

100.0

%

 

$

235,649,884

 

100.0

%

 

$

222,542,569

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

 

 

746

 

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

September 30, 2023

 

June 30, 2023

 

September 30, 2022

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

25,594,262

 

40.1

%

 

$

25,138,762

 

40.3

%

 

$

23,743,335

 

41.1

%

740-759

 

 

11,165,727

 

17.6

 

 

 

10,922,780

 

17.5

 

 

 

9,920,331

 

17.2

 

720-739

 

 

10,090,889

 

15.9

 

 

 

9,896,425

 

15.9

 

 

 

8,934,327

 

15.5

 

700-719

 

 

8,568,811

 

13.5

 

 

 

8,319,353

 

13.3

 

 

 

7,412,542

 

12.8

 

680-699

 

 

5,327,434

 

8.4

 

 

 

5,248,349

 

8.4

 

 

 

4,801,986

 

8.3

 

<=679

 

 

2,857,934

 

4.5

 

 

 

2,877,731

 

4.6

 

 

 

2,930,570

 

5.1

 

Total

$

63,605,057

 

100.0

%

 

$

62,403,400

 

100.0

%

 

$

57,743,091

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

September 30, 2023

 

June 30, 2023

 

September 30, 2022

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

21,226,685

 

8.9

%

 

$

22,427,649

 

9.5

%

 

$

25,121,995

 

11.3

%

85.01% to 90.00%

 

 

63,374,562

 

26.6

 

 

 

63,562,258

 

27.0

 

 

 

62,963,331

 

28.3

 

90.01% to 95.00%

 

 

118,461,030

 

49.6

 

 

 

115,768,826

 

49.1

 

 

 

103,794,020

 

46.6

 

95.01% and above

 

 

35,599,335

 

14.9

 

 

 

33,891,151

 

14.4

 

 

 

30,663,223

 

13.8

 

Total

$

238,661,612

 

100.0

%

 

$

235,649,884

 

100.0

%

 

$

222,542,569

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

September 30, 2023

 

June 30, 2023

 

September 30, 2022

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

2,525,753

 

4.0

%

 

$

2,667,981

 

4.3

%

 

$

2,975,898

 

5.2

%

85.01% to 90.00%

 

 

15,566,095

 

24.5

 

 

 

15,583,198

 

25.0

 

 

 

15,317,449

 

26.5

 

90.01% to 95.00%

 

 

34,848,762

 

54.8

 

 

 

34,026,320

 

54.5

 

 

 

30,388,328

 

52.6

 

95.01% and above

 

 

10,664,447

 

16.7

 

 

 

10,125,901

 

16.2

 

 

 

9,061,416

 

15.7

 

Total

$

63,605,057

 

100.0

%

 

$

62,403,400

 

100.0

%

 

$

57,743,091

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

September 30, 2023

 

June 30, 2023

 

September 30, 2022

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

232,186,999

 

97.3

%

 

$

228,745,641

 

97.1

%

 

$

214,688,363

 

96.5

%

FRM 20-25 years

 

 

1,910,610

 

0.8

 

 

 

2,124,690

 

0.9

 

 

 

2,859,734

 

1.3

 

FRM 15 years

 

 

1,719,467

 

0.7

 

 

 

1,953,448

 

0.8

 

 

 

2,903,355

 

1.3

 

ARM 5 years and higher

 

 

2,844,536

 

1.2

 

 

 

2,826,105

 

1.2

 

 

 

2,091,117

 

0.9

 

Total

$

238,661,612

 

100.0

%

 

$

235,649,884

 

100.0

%

 

$

222,542,569

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Exhibit G

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

2022

($ in thousands)

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

2,247,393

 

 

$

2,276,702

 

 

$

2,098,033

 

 

$

2,030,571

 

 

$

2,026,895

 

Reserve for losses and LAE

 

$

54

 

 

$

55

 

 

$

65

 

 

$

74

 

 

$

102

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

749

 

 

 

749

 

 

 

749

 

 

 

749

 

 

 

748

 

Weighted average LTV

 

 

82

%

 

 

83

%

 

 

83

%

 

 

83

%

 

 

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 H

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Vintage Data

September 30, 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

$

1,598,284

2.6

%

9,938

4.32

%

73.3

%

62.4

%

7.0

%

15.1

%

43.4

%

2.5

%

392

3.94

%

2015

 

26,193,656

 

1,521,374

5.8

 

9,232

4.21

 

84.2

 

74.8

 

4.6

 

17.7

 

39.6

 

2.5

 

327

3.54

 

2016

 

34,949,319

 

3,234,730

9.3

 

18,705

3.89

 

87.8

 

80.6

 

12.0

 

15.9

 

42.4

 

2.3

 

560

2.99

 

2017

 

43,858,322

 

5,031,656

11.5

 

29,934

4.27

 

91.3

 

71.7

 

20.7

 

20.4

 

37.8

 

3.5

 

1,176

3.93

 

2018

 

47,508,525

 

5,805,471

12.2

 

32,505

4.79

 

94.7

 

71.3

 

26.0

 

21.7

 

32.6

 

4.6

 

1,484

4.57

 

2019

 

63,569,183

 

12,907,957

20.3

 

61,266

4.22

 

88.1

 

68.1

 

24.5

 

18.8

 

35.5

 

4.4

 

1,813

2.96

 

2020

 

107,944,065

 

49,162,995

45.5

 

187,990

3.19

 

68.0

 

56.5

 

13.0

 

10.8

 

45.6

 

3.3

 

2,373

1.26

 

2021

 

84,218,250

 

64,048,451

76.1

 

208,074

3.08

 

86.3

 

62.6

 

15.3

 

13.9

 

40.5

 

7.1

 

3,038

1.46

 

2022

 

63,061,262

 

57,742,660

91.6

 

163,804

5.07

 

97.8

 

65.2

 

11.2

 

12.7

 

39.7

 

19.9

 

1,962

1.20

 

2023 (through September 30)

 

38,897,692

 

37,608,034

96.7

 

103,800

6.51

 

98.8

 

72.6

 

17.8

 

10.9

 

39.1

 

11.3

 

266

0.26

 

Total

$

570,869,125

$

238,661,612

41.8

 

825,248

4.28

 

87.6

 

64.6

 

14.9

 

13.1

 

40.7

 

4.3

 

13,391

1.62

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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 I

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data

September 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance Linked Notes (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Deal Name

Vintage

 

Remaining

Insurance

in Force

Remaining

Risk

in Force

 

Original

Reinsurance in Force

 

Remaining

Reinsurance in Force

 

Losses

Ceded

to Date

 

Original

First Layer

Retention

Remaining

First Layer

Retention

 

Quarter-to-Date

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (3)

Radnor Re 2018-1

Jan. 2017 - Dec. 2017

 

$

$

 

$

 

$

 

$

 

$

$

 

$

 

$

1,781

 

$

Radnor Re 2019-1

Jan. 2018 - Dec. 2018

 

 

5,730,888

 

1,496,891

 

 

473,184

 

 

21,467

 

 

 

 

253,643

 

246,939

 

 

(40

)

 

13,407

 

 

Radnor Re 2019-2

Jan. 2015 - Dec. 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

220

 

 

Radnor Re 2020-1

Jan. 2019 - Aug. 2019

 

 

7,185,440

 

1,864,143

 

 

495,889

 

 

50,596

 

 

 

 

215,605

 

213,798

 

 

(82

)

 

5,788

 

 

Radnor Re 2021-1

Aug. 2020 - Mar. 2021

 

 

33,594,368

 

8,642,916

 

 

557,911

 

 

339,120

 

 

 

 

278,956

 

278,796

 

 

2,615

 

 

8,794

 

 

261,926

Radnor Re 2021-2

Apr. 2021 - Sep. 2021

 

 

37,420,329

 

10,079,502

 

 

439,407

 

 

361,449

 

 

 

 

279,415

 

279,231

 

 

3,887

 

 

12,161

 

 

285,689

Radnor Re 2022-1

Oct. 2021 - Jul. 2022

 

 

32,132,944

 

8,669,748

 

 

237,868

 

 

237,868

 

 

 

 

303,761

 

303,660

 

 

4,260

 

 

12,781

 

 

218,839

Radnor Re 2023-1

Aug. 2022 - Jun. 2023

 

 

31,014,596

 

8,478,658

 

 

281,462

 

 

281,462

 

 

 

 

281,463

 

281,463

 

 

3,118

 

 

3,118

 

 

266,826

Total

 

 

$

147,078,565

$

39,231,858

 

$

2,485,721

 

$

1,291,962

 

$

 

$

1,612,843

$

1,603,887

 

$

13,758

 

$

58,050

 

$

1,033,280

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess of Loss Reinsurance (2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Deal Name

Vintage

Remaining

Insurance

in Force

Remaining

Risk

in Force

 

Original

Reinsurance in Force

 

Remaining

Reinsurance in Force

 

Losses

Ceded

to Date

 

Original

First Layer

Retention

Remaining

First Layer

Retention

 

Quarter-to-Date

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (3)

XOL 2018-1

Jan. 2017 - Dec. 2017

$

4,920,622

$

1,297,126

 

$

165,167

 

$

57,250

 

$

 

$

678,283

$

421,003

 

$

291

$

955

 

$

XOL 2019-1

Jan. 2018 - Dec. 2018

 

5,730,888

 

1,496,891

 

 

118,650

 

 

76,144

 

 

 

 

253,643

 

246,939

(4)

 

627

 

1,861

 

 

XOL 2020-1

Jan. 2019 - Dec. 2019

 

7,185,440

 

1,864,143

 

 

55,102

 

 

38,579

 

 

 

 

215,605

 

213,798

(4)

 

303

 

931

 

 

XOL 2022-1

Oct. 2021 - Dec. 2022

 

71,671,369

 

19,351,146

 

 

141,992

 

 

141,992

 

 

 

 

507,114

 

506,301

 

 

1,611

 

4,779

 

 

137,913

Total

 

$

89,508,319

$

24,009,306

 

$

480,911

 

$

313,965

 

$

 

$

1,654,645

$

1,388,041

 

$

2,832

$

8,526

 

$

137,913

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quota Share Reinsurance (2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

Quarter-to-Date

Year-to-Date

 

Quarter-to-Date

Year-to-Date

 

Quarter-to-Date

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (3)

Sep. 2019 - Dec. 2020

(5

)

$

54,596,089

$

14,208,745

 

$

12,218,215

 

$

3,142,000

 

$

(464

)

$

(2,208

)

 

$

2,631

$

8,343

 

$

4,403

$

13,227

 

$

187,406

Jan. 2022 - Dec. 2023

20

%

 

57,688,314

 

15,600,877

 

 

11,537,663

 

 

3,120,175

 

 

2,592

 

 

7,473

 

 

 

1,942

 

5,880

 

 

6,282

 

18,645

 

 

229,964

Jan. 2023 - Dec. 2023

17.5

%

 

37,561,195

 

10,380,842

 

 

6,573,209

 

 

1,816,647

 

 

791

 

 

1,123

 

 

 

1,061

 

1,837

 

 

3,019

 

4,981

 

 

129,422

Total

 

$

149,845,598

$

40,190,464

 

$

30,329,087

 

$

8,078,822

 

$

2,919

 

$

6,388

 

 

$

5,634

$

16,060

 

$

13,704

$

36,853

 

$

546,792

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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) First layer retentions shown are ILN retention levels as a result of overlapping coverage within the vintage.

(5) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies.

 

 

 

 

 

Exhibit J

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Geographic Data

 

 

 

 

 

 

 

 

 

 

 

 

IIF by State

 

September 30, 2023

 

June 30, 2023

 

September 30, 2022

CA

13.0

%

 

13.1

%

 

13.2

%

FL

11.0

 

 

10.8

 

 

10.1

 

TX

10.5

 

 

10.5

 

 

10.3

 

CO

4.1

 

 

4.1

 

 

4.1

 

AZ

3.7

 

 

3.7

 

 

3.5

 

WA

3.4

 

 

3.4

 

 

3.4

 

GA

3.4

 

 

3.3

 

 

3.1

 

NC

2.8

 

 

2.8

 

 

2.7

 

IL

2.8

 

 

2.9

 

 

3.1

 

VA

2.8

 

 

2.9

 

 

3.1

 

All Others

42.5

 

 

42.5

 

 

43.4

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

September 30, 2023

 

June 30, 2023

 

September 30, 2022

CA

12.9

%

 

13.0

%

 

13.0

%

FL

11.3

 

 

11.1

 

 

10.5

 

TX

10.8

 

 

10.8

 

 

10.6

 

CO

4.0

 

 

4.1

 

 

4.1

 

AZ

3.8

 

 

3.8

 

 

3.5

 

GA

3.5

 

 

3.4

 

 

3.2

 

WA

3.4

 

 

3.4

 

 

3.3

 

NC

2.9

 

 

2.8

 

 

2.7

 

IL

2.8

 

 

2.8

 

 

3.1

 

VA

2.8

 

 

2.8

 

 

3.0

 

All Others

41.8

 

 

42.0

 

 

43.0

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit K

 

 

 

 

 

 

 

 

 

 

 

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

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

Beginning default inventory

 

 

12,480

 

 

 

12,773

 

 

 

13,433

 

 

 

12,435

 

 

 

12,707

 

Plus: new defaults (A)

 

 

7,953

 

 

 

6,575

 

 

 

7,015

 

 

 

7,505

 

 

 

6,448

 

Less: cures

 

 

(6,902

)

 

 

(6,761

)

 

 

(7,574

)

 

 

(6,425

)

 

 

(6,642

)

Less: claims paid

 

 

(129

)

 

 

(96

)

 

 

(94

)

 

 

(73

)

 

 

(68

)

Less: rescissions and denials, net

 

 

(11

)

 

 

(11

)

 

 

(7

)

 

 

(9

)

 

 

(10

)

Ending default inventory

 

 

13,391

 

 

 

12,480

 

 

 

12,773

 

 

 

13,433

 

 

 

12,435

 

 

 

 

 

 

 

 

 

 

 

 

(A) New defaults remaining as of September 30, 2023

 

 

5,664

 

 

 

2,630

 

 

 

1,520

 

 

 

1,199

 

 

 

672

 

Cure rate (1)

 

 

29

%

 

 

60

%

 

 

78

%

 

 

84

%

 

 

90

%

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

$

2,956

 

 

$

1,890

 

 

$

1,959

 

 

$

1,441

 

 

$

1,261

 

Average amount paid per claim (in thousands)

 

$

23

 

 

$

20

 

 

$

21

 

 

$

20

 

 

$

19

 

Severity

 

 

66

%

 

 

58

%

 

 

59

%

 

 

46

%

 

 

47

%

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

2023

 

2022

($ in thousands)

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

Reserve for losses and LAE at beginning of period

 

$

216,888

 

 

$

215,957

 

 

$

216,390

 

 

$

212,392

 

 

$

209,829

 

Less: Reinsurance recoverables

 

 

17,958

 

 

 

16,357

 

 

 

14,618

 

 

 

13,244

 

 

 

13,657

 

Net reserve for losses and LAE at beginning of period

 

 

198,930

 

 

 

199,600

 

 

 

201,772

 

 

 

199,148

 

 

 

196,172

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

35,609

 

 

 

31,377

 

 

 

32,693

 

 

 

36,141

 

 

 

20,144

 

Prior years

 

 

(25,533

)

 

 

(30,107

)

 

 

(32,864

)

 

 

(32,012

)

 

 

(15,850

)

Incurred losses and LAE during the period

 

 

10,076

 

 

 

1,270

 

 

 

(171

)

 

 

4,129

 

 

 

4,294

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

156

 

 

 

31

 

 

 

 

 

 

113

 

 

 

30

 

Prior years

 

 

2,889

 

 

 

1,909

 

 

 

2,001

 

 

 

1,392

 

 

 

1,288

 

Loss and LAE payments during the period

 

 

3,045

 

 

 

1,940

 

 

 

2,001

 

 

 

1,505

 

 

 

1,318

 

Net reserve for losses and LAE at end of period

 

 

205,961

 

 

 

198,930

 

 

 

199,600

 

 

 

201,772

 

 

 

199,148

 

Plus: Reinsurance recoverables

 

 

20,656

 

 

 

17,958

 

 

 

16,357

 

 

 

14,618

 

 

 

13,244

 

Reserve for losses and LAE at end of period

 

$

226,617

 

 

$

216,888

 

 

$

215,957

 

 

$

216,390

 

 

$

212,392

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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 L

Essent Group Ltd. and Subsidiaries

Supplemental Information

Detail of Reserves by Default Delinquency

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

September 30, 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

 

6,383

 

48

%

$

38,412

18

%

$

448,039

9

%

Four to eleven payments

 

4,877

 

36

 

 

87,025

42

 

 

369,711

24

 

Twelve or more payments

 

1,989

 

15

 

 

77,369

37

 

 

126,317

61

 

Pending claims

 

142

 

1

 

 

6,076

3

 

 

6,924

88

 

Total case reserves

 

13,391

 

100

%

 

208,882

100

%

$

950,991

22

%

IBNR

 

 

 

 

15,666

 

 

 

LAE

 

 

 

 

2,069

 

 

 

Total reserves for losses and LAE

 

 

 

$

226,617

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

15.6

 

 

 

Total

 

 

 

$

16.9

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.62

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 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

 

4,971

 

40

%

$

22,279

12

%

$

313,531

7

%

Four to eleven payments

 

4,443

 

36

 

 

55,431

28

 

 

292,644

19

 

Twelve or more payments

 

2,923

 

23

 

 

114,250

58

 

 

174,589

65

 

Pending claims

 

98

 

1

 

 

3,879

2

 

 

4,611

84

 

Total case reserves

 

12,435

 

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

1.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit M

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

 

September 30, 2023

 

December 31, 2022

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

 

$

879,185

 

 

17.6

%

 

$

556,438

 

 

11.7

%

U.S. agency securities

 

 

7,180

 

 

0.1

 

 

 

49,058

 

 

1.0

 

U.S. agency mortgage-backed securities

 

 

750,938

 

 

15.0

 

 

 

783,743

 

 

16.5

 

Municipal debt securities

 

 

562,510

 

 

11.3

 

 

 

602,690

 

 

12.8

 

Non-U.S. government securities

 

 

48,571

 

 

1.0

 

 

 

62,399

 

 

1.3

 

Corporate debt securities

 

 

1,280,433

 

 

25.6

 

 

 

1,414,321

 

 

29.8

 

Residential and commercial mortgage securities

 

 

493,693

 

 

9.9

 

 

 

511,824

 

 

10.8

 

Asset-backed securities

 

 

614,818

 

 

12.3

 

 

 

624,561

 

 

13.2

 

Money market funds

 

 

360,360

 

 

7.2

 

 

 

136,591

 

 

2.9

 

Total investments available for sale

 

$

4,997,688

 

 

100.0

%

 

$

4,741,625

 

 

100.0

%

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

 

September 30, 2023

 

December 31, 2022

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

 

$

2,393,047

 

 

51.6

%

 

$

2,122,599

 

 

46.2

%

Aa1

 

 

108,593

 

 

2.3

 

 

 

111,262

 

 

2.4

 

Aa2

 

 

300,510

 

 

6.5

 

 

 

325,241

 

 

7.1

 

Aa3

 

 

210,967

 

 

4.5

 

 

 

232,500

 

 

5.0

 

A1

 

 

381,479

 

 

8.2

 

 

 

396,095

 

 

8.6

 

A2

 

 

314,587

 

 

6.8

 

 

 

410,163

 

 

8.9

 

A3

 

 

235,490

 

 

5.1

 

 

 

268,928

 

 

5.8

 

Baa1

 

 

227,543

 

 

4.9

 

 

 

236,793

 

 

5.1

 

Baa2

 

 

231,612

 

 

5.0

 

 

 

221,308

 

 

4.8

 

Baa3

 

 

151,078

 

 

3.3

 

 

 

187,117

 

 

4.1

 

Below Baa3

 

 

82,422

 

 

1.8

 

 

 

93,028

 

 

2.0

 

Total (2)

 

$

4,637,328

 

 

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 $360,360 and $136,591 of money market funds at September 30, 2023 and December 31, 2022, respectively.

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

 

September 30, 2023

 

December 31, 2022

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

 

$

1,713,199

 

 

34.3

%

 

$

1,245,839

 

 

26.3

%

1 to < 2 Years

 

 

484,032

 

 

9.7

 

 

 

534,038

 

 

11.3

 

2 to < 3 Years

 

 

456,987

 

 

9.1

 

 

 

511,701

 

 

10.8

 

3 to < 4 Years

 

 

418,831

 

 

8.4

 

 

 

525,683

 

 

11.1

 

4 to < 5 Years

 

 

389,441

 

 

7.8

 

 

 

400,540

 

 

8.4

 

5 or more Years

 

 

1,535,198

 

 

30.7

 

 

 

1,523,824

 

 

32.1

 

Total investments available for sale

 

$

4,997,688

 

 

100.0

%

 

$

4,741,625

 

 

100.0

%

 

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

 

Three months ended

 

 

3.55

%

 

 

 

 

3.03

%

 

 

Nine months ended September 30, 2023

 

 

3.47

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Holding company net cash and investments available for sale:

 

 

 

 

($ in thousands)

 

 

 

 

As of September 30, 2023

 

$

648,658

 

 

As of December 31, 2022

 

$

685,178

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit N

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

2022

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

($ in thousands)

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

 

 

 

 

 

 

Combined statutory capital (1)

 

$

3,309,522

 

 

$

3,243,086

 

 

$

3,207,102

 

 

$

3,178,151

 

 

$

3,128,681

 

 

 

 

 

 

 

 

 

 

 

 

Combined net risk in force (2)

 

$

34,203,678

 

 

$

34,019,643

 

 

$

33,038,825

 

 

$

32,265,701

 

 

$

31,736,095

 

 

 

 

 

 

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc.

 

10.7:1

 

10.8:1

 

10.6:1

 

10.5:1

 

10.5:1

Essent Guaranty of PA, Inc.

 

0.5:1

 

0.5:1

 

0.5:1

 

0.6:1

 

0.6:1

Combined (4)

 

10.3:1

 

10.5:1

 

10.3:1

 

10.2:1

 

10.1:1

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

 

 

 

 

 

 

Available Assets

 

$

3,318,179

 

 

$

3,245,481

 

 

$

3,226,436

 

 

$

3,191,047

 

 

$

3,147,545

 

Minimum Required Assets

 

 

1,910,659

 

 

 

1,991,741

 

 

 

1,917,769

 

 

 

1,832,363

 

 

 

1,759,182

 

PMIERs excess Available Assets

 

$

1,407,520

 

 

$

1,253,740

 

 

$

1,308,667

 

 

$

1,358,684

 

 

$

1,388,363

 

PMIERs sufficiency ratio (6)

 

 

174

%

 

 

163

%

 

 

168

%

 

 

174

%

 

 

179

%

 

 

 

 

 

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

 

 

 

 

 

 

Stockholder's equity (GAAP basis)

 

$

1,684,122

 

 

$

1,633,763

 

 

$

1,573,013

 

 

$

1,478,772

 

 

$

1,397,287

 

 

 

 

 

 

 

 

 

 

 

 

Net risk in force (2)

 

$

21,739,419

 

 

$

21,327,762

 

 

$

20,305,111

 

 

$

19,454,046

 

 

$

18,694,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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.

 

 

 

 

 

 

 

 

 

 

Exhibit O

Essent Group Ltd. and Subsidiaries

Supplemental Information

Loss, Expense and Combined Ratios and Reconciliation of Non-GAAP Financial Measures

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

2022

 

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

 

Loss Ratio (1)

 

4.4

%

 

 

0.6

%

 

 

(0.1

)%

 

 

2.0

%

 

 

2.0

%

 

 

Expense Ratio (2)

 

27.3

%

 

 

19.8

%

 

 

22.8

%

 

 

22.6

%

 

 

20.3

%

 

 

Combined Ratio

 

31.7

%

 

 

20.4

%

 

 

22.7

%

 

 

24.6

%

 

 

22.3

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the three and nine months ended September 30, 2023 lack comparability with prior periods. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to Consolidated Ratios Excluding Title, as shown below. Consolidated Ratios Excluding Title are financial measures that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and are referred to as non-GAAP measures. Consolidated Ratios Excluding Title are measures used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP.

 

The following table sets forth the reconciliation of the loss, expense and combined Consolidated Ratios Excluding Title to the most comparable GAAP amount for the three and nine months ended September 30, 2023, in accordance with Regulation G:

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended

September 30, 2023

 

Nine Months Ended

September 30, 2023

 

Consolidated

 

Acquired Title

 

Consolidated Excluding Title

 

Consolidated

 

Acquired Title

 

Consolidated Excluding Title

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

Revenues: