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Essent Group Ltd. Announces Fourth Quarter & Full Year 2023 Results and Increases Quarterly Dividend

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2023 of $175.4 million or $1.64 per diluted share, compared to $147.4 million or $1.37 per diluted share for the quarter ended December 31, 2022. For the full year 2023, net income was $696.4 million or $6.50 per diluted share, compared to $831.4 million or $7.72 per diluted share for 2022.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.28 per common share. The dividend is payable on March 22, 2024, to shareholders of record on March 13, 2024.

“We are pleased with our fourth quarter and full year 2023 financial results, which benefited from favorable credit performance and higher interest rates,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results continue to demonstrate the earnings power of our business and provide us with attractive levels of operating cash flows, indicating the overall strength and stability of our franchise.”

Financial Highlights:

  • New insurance written for the fourth quarter of 2023 was $8.8 billion, compared to $12.5 billion in the third quarter of 2023 and $13.0 billion in the fourth quarter of 2022.
  • Insurance in force as of December 31, 2023 was $239.1 billion, compared to $238.7 billion as of September 30, 2023 and $227.1 billion as of December 31, 2022.
  • Net investment income for the fourth quarter of 2023 was $50.6 million, up 34% from the fourth quarter of 2022. In 2023, net investment income was $186.1 million, up 50% from 2022.
  • On January 8, 2024, S&P Global Ratings raised its long-term financial strength and issuer credit ratings on Essent Guaranty, Inc. and Essent Reinsurance Ltd. to ‘A-’ from ‘BBB+’, with a stable outlook.

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 and Year Ended December 31, 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 December 31,

 

Year Ended December 31,

(In thousands, except per share amounts)

 

2023

 

 

 

2022

 

 

 

2023

 

 

 

2022

 

Revenues:

 

 

 

 

 

 

 

Direct premiums written

$

269,255

 

 

$

235,015

 

 

$

1,028,781

 

 

$

927,702

 

Ceded premiums

 

(31,068

)

 

 

(34,289

)

 

 

(134,499

)

 

 

(107,673

)

Net premiums written

 

238,187

 

 

 

200,726

 

 

 

894,282

 

 

 

820,029

 

Decrease in unearned premiums

 

7,427

 

 

 

6,526

 

 

 

22,624

 

 

 

22,498

 

Net premiums earned

 

245,614

 

 

 

207,252

 

 

 

916,906

 

 

 

842,527

 

Net investment income

 

50,581

 

 

 

37,796

 

 

 

186,139

 

 

 

124,409

 

Realized investment gains (losses), net

 

(4,892

)

 

 

(5,524

)

 

 

(7,204

)

 

 

(13,172

)

Income (loss) from other invested assets

 

(421

)

 

 

(7,599

)

 

 

(11,118

)

 

 

28,676

 

Other income (loss)

 

6,395

 

 

 

(1,888

)

 

 

25,036

 

 

 

18,384

 

Total revenues

 

297,277

 

 

 

230,037

 

 

 

1,109,759

 

 

 

1,000,824

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

Provision (benefit) for losses and LAE

 

19,640

 

 

 

4,101

 

 

 

31,542

 

 

 

(174,704

)

Other underwriting and operating expenses

 

55,248

 

 

 

46,895

 

 

 

200,431

 

 

 

171,733

 

Premiums retained by agents

 

11,475

 

 

 

 

 

 

24,650

 

 

 

 

Interest expense

 

7,953

 

 

 

6,045

 

 

 

30,137

 

 

 

15,608

 

Total losses and expenses

 

94,316

 

 

 

57,041

 

 

 

286,760

 

 

 

12,637

 

 

 

 

 

 

 

 

 

Income before income taxes

 

202,961

 

 

 

172,996

 

 

 

822,999

 

 

 

988,187

 

Income tax expense

 

27,594

 

 

 

25,630

 

 

 

126,613

 

 

 

156,834

 

Net income

$

175,367

 

 

$

147,366

 

 

$

696,386

 

 

$

831,353

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

1.66

 

 

$

1.38

 

 

$

6.56

 

 

$

7.75

 

Diluted

 

1.64

 

 

 

1.37

 

 

 

6.50

 

 

 

7.72

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

 

105,733

 

 

 

106,881

 

 

 

106,222

 

 

 

107,205

 

Diluted

 

106,823

 

 

 

107,419

 

 

 

107,129

 

 

 

107,653

 

 

 

 

 

 

 

 

 

Net income

$

175,367

 

 

$

147,366

 

 

$

696,386

 

 

$

831,353

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

Change in unrealized appreciation (depreciation) of investments

 

155,887

 

 

 

40,787

 

 

 

102,294

 

 

 

(433,497

)

Total other comprehensive income (loss)

 

155,887

 

 

 

40,787

 

 

 

102,294

 

 

 

(433,497

)

Comprehensive income

$

331,254

 

 

$

188,153

 

 

$

798,680

 

 

$

397,856

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

December 31,

 

December 31,

(In thousands, except per share amounts)

 

2023

 

 

 

2022

 

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

4,335,008

 

 

$

4,489,598

 

Short-term investments available for sale, at fair value

 

928,731

 

 

 

252,027

 

Total investments available for sale

 

5,263,739

 

 

 

4,741,625

 

Other invested assets

 

277,226

 

 

 

257,941

 

Total investments

 

5,540,965

 

 

 

4,999,566

 

Cash

 

141,787

 

 

 

81,240

 

Accrued investment income

 

35,689

 

 

 

33,162

 

Accounts receivable

 

63,266

 

 

 

57,399

 

Deferred policy acquisition costs

 

9,139

 

 

 

9,910

 

Property and equipment

 

41,304

 

 

 

19,571

 

Prepaid federal income tax

 

470,646

 

 

 

418,460

 

Goodwill and intangible assets, net

 

72,826

 

 

 

 

Other assets

 

51,051

 

 

 

104,489

 

Total assets

$

6,426,673

 

 

$

5,723,797

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

260,095

 

 

$

216,464

 

Unearned premium reserve

 

140,285

 

 

 

162,887

 

Net deferred tax liability

 

362,753

 

 

 

356,810

 

Credit facility borrowings, net of deferred costs

 

421,920

 

 

 

420,864

 

Other accrued liabilities

 

139,070

 

 

 

104,463

 

Total liabilities

 

1,324,123

 

 

 

1,261,488

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 106,597 shares in 2023 and 107,683 shares in 2022

 

1,599

 

 

 

1,615

 

Additional paid-in capital

 

1,299,869

 

 

 

1,350,377

 

Accumulated other comprehensive (loss) income

 

(280,496

)

 

 

(382,790

)

Retained earnings

 

4,081,578

 

 

 

3,493,107

 

Total stockholders' equity

 

5,102,550

 

 

 

4,462,309

 

 

 

 

 

Total liabilities and stockholders' equity

$

6,426,673

 

 

$

5,723,797

 

 

 

 

 

Return on average equity

 

14.6

%

 

 

19.1

%

 

 

 

 

 

 

 

 

 

 

 

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Consolidated Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

2022

Selected Income Statement Data

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

Net premiums earned:

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

$

211,083

 

 

$

209,351

 

 

$

195,502

 

 

$

196,565

 

 

$

192,670

 

GSE and other risk share

 

 

17,166

 

 

 

16,850

 

 

 

17,727

 

 

 

14,693

 

 

 

14,582

 

Title Insurance

 

 

17,365

 

 

 

20,604

 

 

 

 

 

 

 

 

 

 

Net premiums earned

 

 

245,614

 

 

 

246,805

 

 

 

213,229

 

 

 

211,258

 

 

 

207,252

 

Net investment income

 

 

50,581

 

 

 

47,072

 

 

 

45,250

 

 

 

43,236

 

 

 

37,796

 

Realized investment gains (losses), net

 

 

(4,892

)

 

 

(235

)

 

 

(1,589

)

 

 

(488

)

 

 

(5,524

)

Income (loss) from other invested assets

 

 

(421

)

 

 

(3,143

)

 

 

(4,852

)

 

 

(2,702

)

 

 

(7,599

)

Other income (loss) (1)

 

 

6,395

 

 

 

5,609

 

 

 

8,090

 

 

 

4,942

 

 

 

(1,888

)

Total revenues

 

 

297,277

 

 

 

296,108

 

 

 

260,128

 

 

 

256,246

 

 

 

230,037

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

Provision (benefit) for losses and LAE

 

 

19,640

 

 

 

10,822

 

 

 

1,260

 

 

 

(180

)

 

 

4,101

 

Other underwriting and operating expenses

 

 

55,248

 

 

 

54,814

 

 

 

42,174

 

 

 

48,195

 

 

 

46,895

 

Premiums retained by agents

 

 

11,475

 

 

 

13,175

 

 

 

 

 

 

 

 

 

 

Interest expense

 

 

7,953

 

 

 

7,854

 

 

 

7,394

 

 

 

6,936

 

 

 

6,045

 

Total losses and expenses

 

 

94,316

 

 

 

86,665

 

 

 

50,828

 

 

 

54,951

 

 

 

57,041

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

 

202,961

 

 

 

209,443

 

 

 

209,300

 

 

 

201,295

 

 

 

172,996

 

Income tax expense (2)

 

 

27,594

 

 

 

31,484

 

 

 

37,067

 

 

 

30,468

 

 

 

25,630

 

Net income

 

$

175,367

 

 

$

177,959

 

 

$

172,233

 

 

$

170,827

 

 

$

147,366

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.66

 

 

$

1.68

 

 

$

1.62

 

 

$

1.60

 

 

$

1.38

 

Diluted

 

 

1.64

 

 

 

1.66

 

 

 

1.61

 

 

 

1.59

 

 

 

1.37

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

 

105,733

 

 

 

105,979

 

 

 

106,249

 

 

 

106,943

 

 

 

106,881

 

Diluted

 

 

106,823

 

 

 

107,025

 

 

 

107,093

 

 

 

107,585

 

 

 

107,419

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

47.87

 

 

$

44.98

 

 

$

44.24

 

 

$

43.18

 

 

$

41.44

 

Return on average equity (annualized)

 

 

14.2

%

 

 

14.9

%

 

 

14.7

%

 

 

15.0

%

 

 

13.5

%

 

 

 

 

 

 

 

 

 

 

 

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)

 

 

7.11

%

 

 

7.07

%

 

 

6.87

%

 

 

6.52

%

 

 

6.02

%

Debt-to-capital

 

 

7.69

%

 

 

8.12

%

 

 

8.24

%

 

 

8.38

%

 

 

8.70

%

 

 

 

 

 

 

 

 

 

 

 

(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 December 31, 2023, September 30, 2023, June 30, 2023, March 31, 2023, and December 31, 2022 was $412, ($898), $2,726, ($368), and ($6,515), respectively.

(2) Income tax expense for the quarters ended December 31, 2023, September 30, 2023, June 30, 2023, March 31, 2023 and December 31, 2022 includes ($1,132), ($763), ($888), ($368) and ($4,122), respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended December 31, 2023 also includes a $2,731 net benefit associated with the recognition of a deferred tax asset for unrealized losses on the investment portfolios of Essent Group and Essent Re upon the enactment of the Bermuda Corporate Income Tax. 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, continued:

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

New insurance written

 

$

8,769,160

 

 

$

12,505,823

 

 

$

13,498,080

 

 

$

12,893,789

 

 

$

13,011,432

 

New risk written

 

 

2,409,340

 

 

 

3,458,467

 

 

 

3,726,513

 

 

 

3,548,015

 

 

 

3,522,726

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

$

239,005,961

 

 

$

237,270,093

 

 

$

233,484,941

 

 

$

228,885,174

 

 

$

224,840,675

 

Insurance in force (end of period)

 

$

239,078,262

 

 

$

238,661,612

 

 

$

235,649,884

 

 

$

231,537,417

 

 

$

227,062,055

 

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

 

$

64,061,374

 

 

$

63,605,057

 

 

$

62,403,400

 

 

$

60,879,979

 

 

$

59,276,489

 

Risk in force (end of period)

 

$

54,591,590

 

 

$

53,920,308

 

 

$

53,290,643

 

 

$

51,469,312

 

 

$

49,903,626

 

Policies in force

 

 

822,012

 

 

 

825,248

 

 

 

821,690

 

 

 

815,751

 

 

 

808,596

 

Weighted average coverage (2)

 

 

26.8

%

 

 

26.7

%

 

 

26.5

%

 

 

26.3

%

 

 

26.1

%

Annual persistency

 

 

86.9

%

 

 

86.6

%

 

 

85.8

%

 

 

84.4

%

 

 

82.1

%

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

 

14,819

 

 

 

13,391

 

 

 

12,480

 

 

 

12,773

 

 

 

13,433

 

Percentage of loans in default

 

 

1.80

%

 

 

1.62

%

 

 

1.52

%

 

 

1.57

%

 

 

1.66

%

 

 

 

 

 

 

 

 

 

 

 

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)

 

 

%

 

 

%

 

 

%

 

 

%

 

 

%

Gross average premium rate

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

Ceded premiums

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.07

%)

 

 

(0.06

%)

 

 

(0.06

%)

Net average premium rate

 

 

0.35

%

 

 

0.35

%

 

 

0.33

%

 

 

0.34

%

 

 

0.34

%

 

 

 

 

 

 

 

 

 

 

 

(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

New Insurance Written: Flow

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Credit Score

 

Three Months Ended

 

Year Ended

 

December 31, 2023

 

December 31, 2022

 

December 31, 2023

 

December 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

3,708,316

 

42.3

%

 

$

4,761,917

 

36.6

%

 

$

19,181,507

 

40.2

%

 

$

25,704,025

 

40.8

%

740-759

 

1,531,800

 

17.5

 

 

 

2,428,164

 

18.7

 

 

 

8,563,621

 

18.0

 

 

 

10,927,903

 

17.3

 

720-739

 

1,333,537

 

15.2

 

 

 

2,301,392

 

17.7

 

 

 

7,644,101

 

16.0

 

 

 

10,186,558

 

16.2

 

700-719

 

1,256,250

 

14.3

 

 

 

1,919,146

 

14.6

 

 

 

7,148,954

 

15.0

 

 

 

8,371,867

 

13.2

 

680-699

 

581,913

 

6.6

 

 

 

1,138,743

 

8.8

 

 

 

3,606,260

 

7.6

 

 

 

5,548,687

 

8.8

 

<=679

 

357,344

 

4.1

 

 

 

462,070

 

3.6

 

 

 

1,522,409

 

3.2

 

 

 

2,322,026

 

3.7

 

Total

$

8,769,160

 

100.0

%

 

$

13,011,432

 

100.0

%

 

$

47,666,852

 

100.0

%

 

$

63,061,066

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

747

 

 

 

 

744

 

 

 

 

746

 

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Year Ended

 

December 31, 2023

 

December 31, 2022

 

December 31, 2023

 

December 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

642,636

 

7.3

%

 

$

1,121,853

 

8.6

%

 

$

3,443,647

 

7.2

%

 

$

5,678,058

 

9.0

%

85.01% to 90.00%

 

1,871,854

 

21.3

 

 

 

3,075,304

 

23.6

 

 

 

9,822,916

 

20.6

 

 

 

16,732,649

 

26.5

 

90.01% to 95.00%

 

4,660,032

 

53.1

 

 

 

7,464,333

 

57.4

 

 

 

26,043,728

 

54.6

 

 

 

33,925,998

 

53.8

 

95.01% and above

 

1,594,638

 

18.3

 

 

 

1,349,942

 

10.4

 

 

 

8,356,561

 

17.6

 

 

 

6,724,361

 

10.7

 

Total

$

8,769,160

 

100.0

%

 

$

13,011,432

 

100.0

%

 

$

47,666,852

 

100.0

%

 

$

63,061,066

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Year Ended

 

December 31, 2023

 

December 31, 2022

 

December 31, 2023

 

December 31, 2022

Single Premium policies

 

2.5

%

 

 

4.3

%

 

 

3.5

%

 

 

5.6

%

Monthly Premium policies

 

97.5

 

 

 

95.7

 

 

 

96.5

 

 

 

94.4

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Year Ended

 

December 31, 2023

 

December 31, 2022

 

December 31, 2023

 

December 31, 2022

Purchase

 

98.7

%

 

 

98.9

%

 

 

98.8

%

 

 

97.6

%

Refinance

 

1.3

 

 

 

1.1

 

 

 

1.2

 

 

 

2.4

 

 

 

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

December 31, 2023

 

September 30, 2023

 

December 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

97,085,244

 

40.6

%

 

$

97,027,348

 

40.7

%

 

$

93,389,066

 

41.1

%

740-759

 

 

41,490,720

 

17.4

 

 

 

41,362,480

 

17.3

 

 

 

38,842,311

 

17.2

 

720-739

 

 

37,435,781

 

15.7

 

 

 

37,297,809

 

15.6

 

 

 

34,981,632

 

15.4

 

700-719

 

 

31,932,469

 

13.4

 

 

 

31,674,346

 

13.3

 

 

 

29,146,543

 

12.8

 

680-699

 

 

19,780,944

 

8.3

 

 

 

19,850,176

 

8.3

 

 

 

18,859,824

 

8.3

 

<=679

 

 

11,353,104

 

4.6

 

 

 

11,449,453

 

4.8

 

 

 

11,842,679

 

5.2

 

Total

$

239,078,262

 

100.0

%

 

$

238,661,612

 

100.0

%

 

$

227,062,055

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

 

 

746

 

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

December 31, 2023

 

September 30, 2023

 

December 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

25,752,549

 

40.2

%

 

$

25,594,262

 

40.1

%

 

$

24,152,726

 

40.8

%

740-759

 

 

11,268,607

 

17.6

 

 

 

11,165,727

 

17.6

 

 

 

10,255,195

 

17.3

 

720-739

 

 

10,179,683

 

15.9

 

 

 

10,090,889

 

15.9

 

 

 

9,276,750

 

15.6

 

700-719

 

 

8,687,001

 

13.6

 

 

 

8,568,811

 

13.5

 

 

 

7,696,965

 

13.0

 

680-699

 

 

5,330,894

 

8.3

 

 

 

5,327,434

 

8.4

 

 

 

4,963,470

 

8.4

 

<=679

 

 

2,842,640

 

4.4

 

 

 

2,857,934

 

4.5

 

 

 

2,931,383

 

4.9

 

Total

$

64,061,374

 

100.0

%

 

$

63,605,057

 

100.0

%

 

$

59,276,489

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

December 31, 2023

 

September 30, 2023

 

December 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

19,869,776

 

8.3

%

 

$

21,226,685

 

8.9

%

 

$

24,454,468

 

10.8

%

85.01% to 90.00%

 

 

62,973,580

 

26.3

 

 

 

63,374,562

 

26.6

 

 

 

63,436,445

 

27.8

 

90.01% to 95.00%

 

 

119,764,184

 

50.1

 

 

 

118,461,030

 

49.6

 

 

 

107,932,064

 

47.6

 

95.01% and above

 

 

36,470,722

 

15.3

 

 

 

35,599,335

 

14.9

 

 

 

31,239,078

 

13.8

 

Total

$

239,078,262

 

100.0

%

 

$

238,661,612

 

100.0

%

 

$

227,062,055

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

December 31, 2023

 

September 30, 2023

 

December 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

2,364,232

 

3.7

%

 

$

2,525,753

 

4.0

%

 

$

2,903,877

 

4.9

%

85.01% to 90.00%

 

 

15,494,172

 

24.2

 

 

 

15,566,095

 

24.5

 

 

 

15,477,031

 

26.1

 

90.01% to 95.00%

 

 

35,260,761

 

55.0

 

 

 

34,848,762

 

54.8

 

 

 

31,642,669

 

53.4

 

95.01% and above

 

 

10,942,209

 

17.1

 

 

 

10,664,447

 

16.7

 

 

 

9,252,912

 

15.6

 

Total

$

64,061,374

 

100.0

%

 

$

63,605,057

 

100.0

%

 

$

59,276,489

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

December 31, 2023

 

September 30, 2023

 

December 31, 2022

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

232,995,380

 

97.5

%

 

$

232,186,999

 

97.3

%

 

$

219,416,408

 

96.7

%

FRM 20-25 years

 

 

1,685,700

 

0.7

 

 

 

1,910,610

 

0.8

 

 

 

2,601,108

 

1.1

 

FRM 15 years

 

 

1,505,759

 

0.6

 

 

 

1,719,467

 

0.7

 

 

 

2,552,931

 

1.1

 

ARM 5 years and higher

 

 

2,891,423

 

1.2

 

 

 

2,844,536

 

1.2

 

 

 

2,491,608

 

1.1

 

Total

$

239,078,262

 

100.0

%

 

$

238,661,612

 

100.0

%

 

$

227,062,055

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

Exhibit G

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

2022

($ in thousands)

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

2,244,944

 

 

$

2,247,393

 

 

$

2,276,702

 

 

$

2,098,033

 

 

$

2,030,571

 

Reserve for losses and LAE

 

$

29

 

 

$

54

 

 

$

55

 

 

$

65

 

 

$

74

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

749

 

 

 

749

 

 

 

749

 

 

 

749

 

 

 

749

 

Weighted average LTV

 

 

82

%

 

 

82

%

 

 

83

%

 

 

83

%

 

 

83

%

 

 

 

 

 

 

 

 

 

 

 

(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

December 31, 2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance in Force

 

 

 

Year

Original

Insurance

Written

($ in thousands)

Remaining

Insurance

in Force

($ in thousands)

% Remaining of Original

Insurance

Number of Policies in Force

Weighted Average Coupon

% Purchase

>90% LTV

>95% LTV

FICO < 700

FICO >= 760

Incurred Loss Ratio (Inception to Date) (1)

Number of Loans in Default

Percentage of Loans in Default

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2010 - 2014

$

60,668,851

$

1,432,521

2.4

%

8,762

4.31

%

71.2

%

59.2

%

7.3

%

14.6

%

44.4

%

2.5

%

379

4.33

%

2015

 

26,193,656

 

1,345,073

5.1

 

 

8,143

4.23

 

82.9

 

72.5

 

5.0

 

18.2

 

39.1

 

2.5

 

 

319

3.92

 

2016

 

34,949,319

 

3,015,806

8.6

 

 

17,568

3.90

 

87.6

 

80.8

 

12.4

 

16.0

 

42.2

 

2.2

 

 

545

3.10

 

2017

 

43,858,322

 

4,792,840

10.9

 

 

28,705

4.28

 

91.4

 

72.6

 

21.0

 

20.5

 

37.6

 

3.4

 

 

1,166

4.06

 

2018

 

47,508,525

 

5,570,630

11.7

 

 

31,331

4.79

 

94.9

 

72.0

 

26.2

 

21.7

 

32.6

 

4.5

 

 

1,498

4.78

 

2019

 

63,569,183

 

12,360,264

19.4

 

 

59,051

4.23

 

88.4

 

69.0

 

24.9

 

18.8

 

35.4

 

4.3

 

 

1,913

3.24

 

2020

 

107,944,065

 

46,454,833

43.0

 

 

178,941

3.19

 

69.0

 

57.5

 

13.3

 

10.8

 

45.6

 

3.1

 

 

2,511

1.40

 

2021

 

84,218,250

 

61,442,213

73.0

 

 

200,700

3.09

 

86.9

 

63.3

 

15.6

 

13.8

 

40.5

 

7.1

 

 

3,410

1.70

 

2022

 

63,061,262

 

56,943,590

90.3

 

 

162,074

5.07

 

97.9

 

65.4

 

11.2

 

12.6

 

39.7

 

20.1

 

 

2,456

1.52

 

2023

 

47,666,852

 

45,720,492

95.9

 

 

126,737

6.66

 

98.8

 

72.4

 

18.1

 

10.9

 

39.4

 

14.5

 

 

622

0.49

Total

$

579,638,285

$

239,078,262

41.2

 

 

822,012

4.41

 

88.5

 

65.3

 

15.3

 

13.0

 

40.6

 

4.4

 

 

14,819

1.80

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

December 31, 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

 

$

$

 

$

 

$

 

$

 

$

$

 

$

(644

)

$

1,137

 

$

Radnor Re 2019-1

Jan. 2018 - Dec. 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(513

)

 

12,894

 

 

Radnor Re 2019-2

Jan. 2015 - Dec. 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(175

)

 

44

 

 

Radnor Re 2020-1

Jan. 2019 - Aug. 2019

 

 

6,887,869

 

1,797,683

 

 

495,889

 

 

2,350

 

 

 

 

215,605

 

213,230

 

 

748

 

 

6,536

 

 

Radnor Re 2021-1

Aug. 2020 - Mar. 2021

 

 

31,673,378

 

8,233,067

 

 

557,911

 

 

309,199

 

 

 

 

278,956

 

278,638

 

 

2,764

 

 

11,558

 

 

232,809

Radnor Re 2021-2

Apr. 2021 - Sep. 2021

 

 

35,958,961

 

9,735,395

 

 

439,407

 

 

339,890

 

 

 

 

279,415

 

279,051

 

 

3,898

 

 

16,059

 

 

276,777

Radnor Re 2022-1

Oct. 2021 - Jul. 2022

 

 

31,520,927

 

8,522,229

 

 

237,868

 

 

231,142

 

 

 

 

303,761

 

303,324

 

 

4,311

 

 

17,092

 

 

212,651

Radnor Re 2023-1

Aug. 2022 - Jun. 2023

 

 

30,639,242

 

8,380,934

 

 

281,462

 

 

281,462

 

 

 

 

281,463

 

281,463

 

 

3,641

 

 

6,759

 

 

266,826

Total

 

 

$

136,680,377

$

36,669,308

 

$

2,012,537

 

$

1,164,043

 

$

 

$

1,359,200

$

1,355,706

 

$

14,030

 

$

72,079

 

$

989,063

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

$

$

 

$

 

$

 

$

 

$

$

 

$

$

955

 

$

XOL 2019-1

Jan. 2018 - Dec. 2018

 

5,503,086

 

1,441,695

 

 

118,650

 

 

76,144

 

 

 

 

253,643

 

245,894

 

 

627

 

2,489

 

 

XOL 2020-1

Jan. 2019 - Dec. 2019

 

6,887,869

 

1,797,683

 

 

55,102

 

 

36,403

 

 

 

 

215,605

 

213,230

(4)

 

290

 

1,221

 

 

XOL 2022-1

Oct. 2021 - Dec. 2022

 

70,477,115

 

19,058,430

 

 

141,992

 

 

141,992

 

 

 

 

507,114

 

506,183

 

 

1,611

 

6,390

 

 

138,081

Total

 

$

82,868,070

$

22,297,808

 

$

315,744

 

$

254,539

 

$

 

$

976,362

$

965,220

 

$

2,528

$

11,055

 

$

138,081

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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)

$

51,655,811

$

13,558,839

 

$

11,586,936

 

$

3,004,059

 

$

(164

)

$

(2,372

)

 

$

2,493

$

10,836

 

$

4,448

$

17,675

 

$

178,426

Jan. 2022 - Dec. 2022

20

%

 

56,890,266

 

15,401,694

 

 

11,378,053

 

 

3,080,339

 

 

2,258

 

 

9,731

 

 

 

1,921

 

7,801

 

 

5,908

 

24,554

 

 

233,244

Jan. 2023 - Dec. 2023

17.5

%

 

40,609,952

 

11,238,879

 

 

7,106,742

 

 

1,966,804

 

 

1,461

 

 

2,584

 

 

 

1,283

 

3,120

 

 

4,154

 

9,136

 

 

142,432

Total

 

$

149,156,029

$

40,199,412

 

$

30,071,731

 

$

8,051,202

 

$

3,555

 

$

9,943

 

 

$

5,697

$

21,757

 

$

14,510

$

51,365

 

$

554,102

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

December 31, 2023

 

September 30, 2023

 

December 31, 2022

CA

13.0

%

 

13.0

%

 

13.2

%

FL

11.1

 

 

11.0

 

 

10.2

 

TX

10.5

 

 

10.5

 

 

10.4

 

CO

4.1

 

 

4.1

 

 

4.2

 

AZ

3.7

 

 

3.7

 

 

3.5

 

WA

3.5

 

 

3.4

 

 

3.4

 

GA

3.4

 

 

3.4

 

 

3.2

 

NC

2.9

 

 

2.8

 

 

2.7

 

VA

2.8

 

 

2.8

 

 

3.0

 

IL

2.8

 

 

2.8

 

 

3.1

 

All Others

42.2

 

 

42.5

 

 

43.1

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

Gross RIF by State

 

December 31, 2023

 

September 30, 2023

 

December 31, 2022

CA

12.8

%

 

12.9

%

 

13.0

%

FL

11.4

 

 

11.3

 

 

10.5

 

TX

10.9

 

 

10.8

 

 

10.7

 

CO

4.0

 

 

4.0

 

 

4.1

 

AZ

3.8

 

 

3.8

 

 

3.6

 

WA

3.5

 

 

3.4

 

 

3.3

 

GA

3.4

 

 

3.5

 

 

3.2

 

NC

2.9

 

 

2.9

 

 

2.7

 

VA

2.7

 

 

2.8

 

 

3.0

 

IL

2.7

 

 

2.8

 

 

3.0

 

All Others

41.9

 

 

41.8

 

 

42.9

 

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

 

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

Beginning default inventory

 

 

13,391

 

 

 

12,480

 

 

 

12,773

 

 

 

13,433

 

 

 

12,435

 

Plus: new defaults (A)

 

 

9,007

 

 

 

7,953

 

 

 

6,575

 

 

 

7,015

 

 

 

7,505

 

Less: cures

 

 

(7,418

)

 

 

(6,902

)

 

 

(6,761

)

 

 

(7,574

)

 

 

(6,425

)

Less: claims paid

 

 

(148

)

 

 

(129

)

 

 

(96

)

 

 

(94

)

 

 

(73

)

Less: rescissions and denials, net

 

 

(13

)

 

 

(11

)

 

 

(11

)

 

 

(7

)

 

 

(9

)

Ending default inventory

 

 

14,819

 

 

 

13,391

 

 

 

12,480

 

 

 

12,773

 

 

 

13,433

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

6,514

 

 

 

3,000

 

 

 

1,772

 

 

 

1,056

 

 

 

730

 

Cure rate (1)

 

 

28

%

 

 

62

%

 

 

73

%

 

 

85

%

 

 

90

%

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

$

3,411

 

 

$

2,956

 

 

$

1,890

 

 

$

1,959

 

 

$

1,441

 

Average amount paid per claim (in thousands)

 

$

23

 

 

$

23

 

 

$

20

 

 

$

21

 

 

$

20

 

Severity

 

 

54

%

 

 

66

%

 

 

58

%

 

 

59

%

 

 

46

%

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

2023

 

2022

($ in thousands)

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

Reserve for losses and LAE at beginning of period

 

$

226,617

 

 

$

216,888

 

 

$

215,957

 

 

$

216,390

 

 

$

212,392

 

Less: Reinsurance recoverables

 

 

20,656

 

 

 

17,958

 

 

 

16,357

 

 

 

14,618

 

 

 

13,244

 

Net reserve for losses and LAE at beginning of period

 

 

205,961

 

 

 

198,930

 

 

 

199,600

 

 

 

201,772

 

 

 

199,148

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

38,922

 

 

 

35,609

 

 

 

31,377

 

 

 

32,693

 

 

 

36,141

 

Prior years

 

 

(19,912

)

 

 

(25,533

)

 

 

(30,107

)

 

 

(32,864

)

 

 

(32,012

)

Incurred losses and LAE during the period

 

 

19,010

 

 

 

10,076

 

 

 

1,270

 

 

 

(171

)

 

 

4,129

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

330

 

 

 

156

 

 

 

31

 

 

 

 

 

 

113

 

Prior years

 

 

3,244

 

 

 

2,889

 

 

 

1,909

 

 

 

2,001

 

 

 

1,392

 

Loss and LAE payments during the period

 

 

3,574

 

 

 

3,045

 

 

 

1,940

 

 

 

2,001

 

 

 

1,505

 

Net reserve for losses and LAE at end of period

 

 

221,397

 

 

 

205,961

 

 

 

198,930

 

 

 

199,600

 

 

 

201,772

 

Plus: Reinsurance recoverables

 

 

24,005

 

 

 

20,656

 

 

 

17,958

 

 

 

16,357

 

 

 

14,618

 

Reserve for losses and LAE at end of period

 

$

245,402

 

 

$

226,617

 

 

$

216,888

 

 

$

215,957

 

 

$

216,390

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

 

 

 

 

 

 

 

 

 

December 31, 2023

 

 

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

7,288

 

49

%

$

44,607

20

%

$

527,419

8

%

Four to eleven payments

 

5,421

 

37

 

 

97,424

43

 

 

417,876

23

 

Twelve or more payments

 

1,984

 

13

 

 

78,540

35

 

 

132,257

59

 

Pending claims

 

126

 

1

 

 

5,550

2

 

 

6,302

88

 

Total case reserves

 

14,819

 

100

%

 

226,121

100

%

$

1,083,854

21

 

IBNR

 

 

 

 

16,959

 

 

 

LAE

 

 

 

 

2,322

 

 

 

Total reserves for losses and LAE

 

 

 

$

245,402

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

15.3

 

 

 

Total

 

 

 

$

16.6

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.80

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit M

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

 

December 31, 2023

 

December 31, 2022

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

 

$

996,382

 

 

18.9

%

 

$

556,438

 

11.7

%

U.S. agency securities

 

 

7,195

 

 

0.1

 

 

 

49,058

 

1.0

 

U.S. agency mortgage-backed securities

 

 

821,346

 

 

15.6

 

 

 

783,743

 

16.5

 

Municipal debt securities

 

 

547,258

 

 

10.5

 

 

 

602,690

 

12.8

 

Non-U.S. government securities

 

 

67,447

 

 

1.3

 

 

 

62,399

 

1.3

 

Corporate debt securities

 

 

1,297,055

 

 

24.7

 

 

 

1,414,321

 

29.8

 

Residential and commercial mortgage securities

 

 

517,940

 

 

9.8

 

 

 

511,824

 

10.8

 

Asset-backed securities

 

 

564,995

 

 

10.7

 

 

 

624,561

 

13.2

 

Money market funds

 

 

444,121

 

 

8.4

 

 

 

136,591

 

2.9

 

Total investments available for sale

 

$

5,263,739

 

 

100.0

%

 

$

4,741,625

 

100.0

%

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

 

December 31, 2023

 

December 31, 2022

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

 

$

2,561,363

 

 

53.2

%

 

$

2,122,599

 

46.2

%

Aa1

 

 

104,474

 

 

2.2

 

 

 

111,262

 

2.4

 

Aa2

 

 

291,501

 

 

6.0

 

 

 

325,241

 

7.1

 

Aa3

 

 

208,882

 

 

4.3

 

 

 

232,500

 

5.0

 

A1

 

 

377,188

 

 

7.8

 

 

 

396,095

 

8.6

 

A2

 

 

329,423

 

 

6.8

 

 

 

410,163

 

8.9

 

A3

 

 

253,081

 

 

5.3

 

 

 

268,928

 

5.8

 

Baa1

 

 

220,901

 

 

4.6

 

 

 

236,793

 

5.1

 

Baa2

 

 

226,449

 

 

4.7

 

 

 

221,308

 

4.8

 

Baa3

 

 

166,121

 

 

3.4

 

 

 

187,117

 

4.1

 

Below Baa3

 

 

80,235

 

 

1.7

 

 

 

93,028

 

2.0

 

Total (2)

 

$

4,819,618

 

 

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 $444,121 and $136,591 of money market funds at December 31, 2023 and December 31, 2022, respectively.

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

 

December 31, 2023

 

December 31, 2022

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

 

$

1,892,074

 

 

35.9

%

 

$

1,245,839

 

26.3

%

1 to < 2 Years

 

 

371,583

 

 

7.1

 

 

 

534,038

 

11.3

 

2 to < 3 Years

 

 

538,775

 

 

10.2

 

 

 

511,701

 

10.8

 

3 to < 4 Years

 

 

402,668

 

 

7.6

 

 

 

525,683

 

11.1

 

4 to < 5 Years

 

 

376,722

 

 

7.2

 

 

 

400,540

 

8.4

 

5 or more Years

 

 

1,681,917

 

 

32.0

 

 

 

1,523,824

 

32.1

 

Total investments available for sale

 

$

5,263,739

 

 

100.0

%

 

$

4,741,625

 

100.0

%

 

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

 

Three months ended December 31, 2023

 

 

3.62

%

 

 

 

 

 

 

Year ended December 31, 2023

 

 

3.50

%

 

 

 

 

 

 

Holding company net cash and investments available for sale:

 

 

($ in thousands)

 

 

 

As of December 31, 2023

 

$

693,507

 

As of December 31, 2022

 

$

685,178

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit N

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

2023

 

2022

 

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

 

 

 

 

 

 

Combined statutory capital (1)

 

$

3,376,117

 

 

$

3,309,522

 

 

$

3,243,086

 

 

$

3,207,102

 

 

$

3,178,151

 

 

 

 

 

 

 

 

 

 

 

 

Combined net risk in force (2)

 

$

34,549,500

 

 

$

34,203,678

 

 

$

34,019,643

 

 

$

33,038,825

 

 

$

32,265,701

 

 

 

 

 

 

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc.

 

10.6:1

 

10.7:1

 

10.8:1

 

10.6:1

 

10.5:1

Essent Guaranty of PA, Inc.

 

0.4:1

 

0.5:1

 

0.5:1

 

0.5:1

 

0.6:1

Combined (4)

 

10.2:1

 

10.3:1

 

10.5:1

 

10.3:1

 

10.2:1

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

 

 

 

 

 

 

Available Assets

 

$

3,379,936

 

 

$

3,318,179

 

 

$

3,245,481

 

 

$

3,226,436

 

 

$

3,191,047

 

Minimum Required Assets

 

 

1,985,545

 

 

 

1,910,659

 

 

 

1,991,741

 

 

 

1,917,769

 

 

 

1,832,363

 

PMIERs excess Available Assets

 

$

1,394,391

 

 

$

1,407,520

 

 

$

1,253,740

 

 

$

1,308,667

 

 

$

1,358,684

 

PMIERs sufficiency ratio (6)

 

 

170

%

 

 

174

%

 

 

163

%

 

 

168

%

 

 

174

%

 

 

 

 

 

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

 

 

 

 

 

 

Stockholder's equity (GAAP basis)

 

$

1,758,665

 

 

$

1,684,122

 

 

$

1,633,763

 

 

$

1,573,013

 

 

$

1,478,772

 

 

 

 

 

 

 

 

 

 

 

 

Net risk in force (2)

 

$

22,043,926

 

 

$

21,739,419

 

 

$

21,327,762

 

 

$

20,305,111

 

 

$

19,454,046

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

 

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

 

 

Loss Ratio (1)

 

7.9

%

 

 

4.4

%

 

 

0.6

%

 

 

(0.1

)%

 

 

2.0

%

 

 

Expense Ratio (2)

 

27.0

%

 

 

27.3

%

 

 

19.8

%

 

 

22.8

%

 

 

22.6

%

 

 

Combined Ratio

 

34.9

%

 

 

31.7

%

 

 

20.4

%

 

 

22.7

%

 

 

24.6

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 months and year ended December 31, 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 months and year ended December 31, 2023, in accordance with Regulation G:

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended

December 31, 2023

 

Year Ended

December 31, 2023

 

Consolidated

 

Acquired Title

 

Consolidated Excluding Title

 

Consolidated

 

Acquired Title

 

Consolidated Excluding Title

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

 

Net premiums earned

$

245,614

 

 

$

17,365

 

 

$

228,249

 

 

$

916,906

 

 

$

37,969

 

 

$

878,937

 

Net investment income

 

50,581

 

 

 

432

 

 

 

50,149

 

 

 

186,139

 

 

 

837

 

 

 

185,302

 

Realized investment losses, net

 

(4,892

)

 

 

 

 

 

(4,892

)

 

 

(7,204

)

 

 

 

 

 

(7,204

)

Loss from other invested assets

 

(421

)

 

 

 

 

 

(421

)

 

 

(11,118

)

 

 

 

 

 

(11,118

)

Settlement services (3)

 

1,475

 

 

 

1,475

 

 

 

 

 

 

3,512