Essent Group Ltd. Announces Fourth Quarter & Full Year 2021 Results and Increases Quarterly Dividend
Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2021 of $181.0 million or $1.64 per diluted share, compared to $123.6 million or $1.10 per diluted share for the quarter ended December 31, 2020. For the full year 2021, net income was $681.8 million or $6.11 per diluted share, compared to $413.0 million or $3.88 per diluted share for 2020.
Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.20 per common share. The dividend is payable on March 21, 2022, to shareholders of record on March 10, 2022.
“We are pleased with our fourth quarter and full year 2021 financial results, which reflect our continued focus on optimizing our unit economics in generating high-quality earnings and strong returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our strong operating performance also generated excess capital, which we continued to deploy in a balanced manner between reinvestment in our franchise and distribution to shareholders. In connection with this, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.20 per share.”
Fourth Quarter & Full Year 2021 Financial Highlights:
Insurance in force as of December 31, 2021 was $207.2 billion, compared to $208.2 billion as of September 30, 2021 and $198.9 billion as of December 31, 2020. New insurance written for the fourth quarter was $16.4 billion, compared to $23.6 billion in the third quarter of 2021 and $29.6 billion in the fourth quarter of 2020. Net premiums earned for the fourth quarter were $217.3 million, compared to $218.7 million in the third quarter of 2021 and $222.3 million in the fourth quarter of 2020. Income from other invested assets for the fourth quarter included $12.0 million, or $0.09 per diluted share on an after-tax basis, pertaining to net unrealized gains associated with strategic investments in limited partnerships. The expense ratio for the fourth quarter was 19.0%, compared to 19.3% in the third quarter of 2021 and 16.6% in the fourth quarter of 2020. The provision for losses and LAE for the fourth quarter was a benefit of $3.4 million, compared to a benefit of $7.5 million in the third quarter of 2021 and a provision of $62.1 million in the fourth quarter of 2020. The percentage of loans in default as of December 31, 2021 was 2.16%, compared to 2.47% as of September 30, 2021 and 3.93% as of December 31, 2020. The combined ratio for the fourth quarter was 17.4%, compared to 15.9% in the third quarter of 2021 and 44.5% in the fourth quarter of 2020. The consolidated balance of cash and investments at December 31, 2021 was $5.2 billion, which includes holding company net cash and investments available for sale of $618.3 million. The combined risk-to-capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 10.4:1 as of December 31, 2021. On November 10, 2021, Essent Guaranty, Inc. obtained $439.4 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in April 1, 2021 through September 30, 2021 from Radnor Re 2021-2 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2021-2 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd. On December 10, 2021, Essent Group Ltd. entered into an amended and restated credit facility, increasing to $825 million the committed capacity and extending the contractual maturity to December 10, 2026.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 888-510-2507 inside the U.S., or 646-960-0351 for international callers, using passcode 9824537 or by referencing Essent.
A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the U.S., or 647-362-9199 for international callers, passcode 9824537.
In addition to the information provided in the Company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx.
Forward-Looking Statements:
This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; 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; deteriorating economic conditions; 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, 2020 filed with the Securities and Exchange Commission on February 26, 2021, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.
About the Company:
Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which, through its wholly-owned subsidiary, Essent Guaranty, Inc., offers private mortgage insurance for single-family mortgage loans in the United States. Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania, Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia, and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Essent is committed to supporting environmental, social and governance (“ESG”) initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.
Source: Essent Group Ltd.
Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter and Year Ended December 31, 2021
Exhibit A
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B
Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C
Historical Quarterly Data
Exhibit D
New Insurance Written
Exhibit E
Insurance in Force and Risk in Force
Exhibit F
Other Risk in Force
Exhibit G
Portfolio Vintage Data
Exhibit H
Reinsurance Vintage Data
Exhibit I
Portfolio Geographic Data
Exhibit J
Rollforward of Defaults and Reserve for Losses and LAE
Exhibit K
Detail of Reserves by Default Delinquency
Exhibit L
Investments Available for Sale
Exhibit M
Insurance Company Capital
Exhibit A
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Three Months Ended December 31,
Year Ended December 31,
(In thousands, except per share amounts)
2021
2020
2021
2020
Revenues:
Direct premiums written
$
224,972
$
245,437
$
918,406
$
922,851
Ceded premiums
(26,476
)
(31,194
)
(110,914
)
(88,738
)
Net premiums written
198,496
214,243
807,492
834,113
Decrease in unearned premiums
18,825
8,096
65,051
28,451
Net premiums earned
217,321
222,339
872,543
862,564
Net investment income
23,661
20,949
88,765
80,087
Realized investment (losses) gains, net
(191
)
564
418
2,697
Income (loss) from other invested assets
14,997
2
56,386
(215
)
Other income
1,128
3,345
10,398
10,021
Total revenues
256,916
247,199
1,028,510
955,154
Losses and expenses:
(Benefit) provision for losses and LAE
(3,433
)
62,073
31,057
301,293
Other underwriting and operating expenses
41,232
36,825
166,857
154,691
Interest expense
2,095
2,149
8,282
9,074
Total losses and expenses
39,894
101,047
206,196
465,058
Income before income taxes
217,022
146,152
822,314
490,096
Income tax expense
36,035
22,550
140,531
77,055
Net income
$
180,987
$
123,602
$
681,783
$
413,041
Earnings per share:
Basic
$
1.65
$
1.10
$
6.13
$
3.89
Diluted
1.64
1.10
6.11
3.88
Weighted average shares outstanding:
Basic
109,550
111,908
111,164
106,098
Diluted
110,028
112,310
111,555
106,376
Net income
$
180,987
$
123,602
$
681,783
$
413,041
Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments
(27,807
)
5,840
(87,567
)
82,087
Total other comprehensive (loss) income
(27,807
)
5,840
(87,567
)
82,087
Comprehensive income
$
153,180
$
129,442
$
594,216
$
495,128
Loss ratio
(1.6
%)
27.9
%
3.6
%
34.9
%
Expense ratio
19.0
16.6
19.1
17.9
Combined ratio
17.4
%
44.5
%
22.7
%
52.9
%
Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
December 31,
December 31,
(In thousands, except per share amounts)
2021
2020
Assets
Investments
Fixed maturities available for sale, at fair value
$
4,649,800
$
3,838,513
Short-term investments available for sale, at fair value
313,087
726,860
Total investments available for sale
4,962,887
4,565,373
Other invested assets
170,472
88,904
Total investments
5,133,359
4,654,277
Cash
81,491
102,830
Accrued investment income
26,546
19,948
Accounts receivable
46,157
50,140
Deferred policy acquisition costs
12,178
17,005
Property and equipment
11,921
15,095
Prepaid federal income tax
360,810
302,636
Other assets
49,712
40,793
Total assets
$
5,722,174
$
5,202,724
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE
$
407,445
$
374,941
Unearned premium reserve
185,385
250,436
Net deferred tax liability
373,654
305,109
Credit facility borrowings, net of deferred costs
419,823
321,720
Other accrued liabilities
99,753
87,885
Total liabilities
1,486,060
1,340,091
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 109,377 shares in 2021 and 112,423 shares in 2020
1,641
1,686
Additional paid-in capital
1,428,952
1,571,163
Accumulated other comprehensive income
50,707
138,274
Retained earnings
2,754,814
2,151,510
Total stockholders' equity
4,236,114
3,862,633
Total liabilities and stockholders' equity
$
5,722,174
$
5,202,724
Return on average equity
16.8
%
12.1
%
Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2021
2020
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
$
205,877
$
207,127
$
204,149
$
207,840
$
208,715
GSE and other risk share
11,444
11,591
13,288
11,227
13,624
Net premiums earned
217,321
218,718
217,437
219,067
222,339
Income from other invested assets (1)
14,997
40,741
122
526
2
Other revenues (2)
24,598
24,077
25,702
25,204
24,858
Total revenues
256,916
283,536
243,261
244,797
247,199
Losses and expenses:
(Benefit) provision for losses and LAE
(3,433
)
(7,483
)
9,651
32,322
62,073
Other underwriting and operating expenses
41,232
42,272
41,114
42,239
36,825
Interest expense
2,095
2,063
2,073
2,051
2,149
Total losses and expenses
39,894
36,852
52,838
76,612
101,047
Income before income taxes
217,022
246,684
190,423
168,185
146,152
Income tax expense (3)
36,035
41,331
30,628
32,537
22,550
Net income
$
180,987
$
205,353
$
159,795
$
135,648
$
123,602
Earnings per share:
Basic
$
1.65
$
1.85
$
1.43
$
1.21
$
1.10
Diluted
1.64
1.84
1.42
1.21
1.10
Weighted average shares outstanding:
Basic
109,550
111,001
112,118
112,016
111,908
Diluted
110,028
111,387
112,454
112,378
112,310
Book value per share
$
38.73
$
37.58
$
36.32
$
34.75
$
34.36
Return on average equity (annualized)
17.2
%
19.9
%
16.0
%
13.9
%
13.0
%
Other Data:
Loss ratio (4)
(1.6
%)
(3.4
%)
4.4
%
14.8
%
27.9
%
Expense ratio (5)
19.0
19.3
18.9
19.3
16.6
Combined ratio
17.4
%
15.9
%
23.3
%
34.0
%
44.5
%
Credit Facility
Borrowings outstanding
$
425,000
$
325,000
$
325,000
$
325,000
$
325,000
Undrawn committed capacity
$
400,000
$
300,000
$
300,000
$
300,000
$
300,000
Weighted average interest rate (end of period)
1.79
%
2.13
%
2.13
%
2.13
%
2.19
%
Debt-to-capital
9.12
%
7.23
%
7.37
%
7.65
%
7.76
%
(1) Income from other invested assets for the three months ended September 30, 2021 includes $39.5 million of net unrealized gains, which includes $21.1 million of net unrealized gains that were accumulated in other comprehensive income at June 30, 2021 and prior periods.
(2) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. For each of the three month periods noted, Other revenues include net favorable (unfavorable) changes in the fair value of these embedded derivatives as follows: December 31, 2021: ($2,931); September 30, 2021: ($1,493); June 30, 2021: $950; March 31, 2021: ($606); December 31, 2020: ($209).
(3) Income tax expense for the quarters ended December 31, 2021 and March 31, 2021 includes $2,473 and $5,718, respectively, of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. Income tax expense for the quarters ended December 31, 2021 and September 30, 2021 includes $1,759 and $8,271, respectively, of discrete tax expense associated with realized and unrealized gains and losses.
(4) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
(5) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.
Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2021
2020
Other Data, continued:
December 31
September 30
June 30
March 31
December 31
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written
$
16,379,082
$
23,579,884
$
25,004,854
$
19,254,014
$
29,566,820
New risk written
4,331,531
6,273,735
6,445,864
4,616,450
7,051,173
Bulk:
New insurance written
$
416
$
—
$
—
$
—
$
—
New risk written
41
—
—
—
—
Total:
New insurance written
$
16,379,498
$
23,579,884
$
25,004,854
$
19,254,014
$
29,566,820
New risk written
$
4,331,572
$
6,273,735
$
6,445,864
$
4,616,450
$
7,051,173
Average insurance in force
$
207,388,906
$
206,732,478
$
199,739,297
$
197,749,668
$
195,670,925
Insurance in force (end of period)
$
207,190,544
$
208,216,549
$
203,559,859
$
197,091,191
$
198,882,352
Gross risk in force (end of period) (6)
$
52,554,246
$
52,457,020
$
50,835,835
$
48,951,602
$
49,565,150
Risk in force (end of period)
$
45,273,383
$
45,074,159
$
42,906,519
$
41,135,978
$
41,339,262
Policies in force
785,119
798,877
794,743
785,382
799,893
Weighted average coverage (7)
25.4
%
25.2
%
25.0
%
24.8
%
24.9
%
Annual persistency
65.4
%
62.2
%
58.3
%
56.1
%
60.1
%
Loans in default (count)
16,963
19,721
23,504
29,080
31,469
Percentage of loans in default
2.16
%
2.47
%
2.96
%
3.70
%
3.93
%
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (8)
0.42
%
0.42
%
0.43
%
0.44
%
0.44
%
Single premium cancellations (9)
0.03
%
0.03
%
0.03
%
0.04
%
0.05
%
Gross average premium rate
0.45
%
0.45
%
0.46
%
0.48
%
0.49
%
Ceded premiums
(0.05
%)
(0.05
%)
(0.05
%)
(0.06
%)
(0.06
%)
Net average premium rate
0.40
%
0.40
%
0.41
%
0.42
%
0.43
%
(6) Gross risk in force includes risk ceded under third-party reinsurance.
(7) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
(8) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
(9) Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.
Exhibit D
Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow
NIW by Credit Score
Three Months Ended
Year Ended
December 31, 2021
December 31, 2020
December 31, 2021
December 31, 2020
($ in thousands)
>=760
$
6,643,740
40.6
%
$
13,330,379
45.1
%
$
34,422,627
40.9
%
$
48,037,084
44.5
%
740-759
2,833,379
17.3
5,069,530
17.1
13,691,394
16.3
19,385,541
17.9
720-739
2,472,738
15.1
4,134,782
14.0
12,789,715
15.2
15,744,485
14.6
700-719
2,170,829
13.2
3,385,670
11.5
11,499,406
13.6
12,409,936
11.5
680-699
1,504,268
9.2
1,743,694
5.9
7,359,569
8.7
6,871,511
6.4
<=679
754,128
4.6
1,902,765
6.4
4,455,123
5.3
5,495,357
5.1
Total
$
16,379,082
100.0
%
$
29,566,820
100.0
%
$
84,217,834
100.0
%
$
107,943,914
100.0
%
Weighted average credit score
745
748
745
749
NIW by LTV
Three Months Ended
Year Ended
December 31, 2021
December 31, 2020
December 31, 2021
December 31, 2020
($ in thousands)
85.00% and below
$
1,799,336
11.0
%
$
6,317,550
21.4
%
$
11,460,273
13.6
%
$
20,124,987
18.6
%
85.01% to 90.00%
4,372,552
26.7
9,629,373
32.6
23,565,227
28.0
34,020,882
31.5
90.01% to 95.00%
7,722,842
47.1
11,134,923
37.6
37,813,167
44.9
42,517,221
39.4
95.01% and above
2,484,352
15.2
2,484,974
8.4
11,379,167
13.5
11,280,824
10.5
Total
$
16,379,082
100.0
%
$
29,566,820
100.0
%
$
84,217,834
100.0
%
$
107,943,914
100.0
%
Weighted average LTV
92
%
91
%
92
%
91
%
NIW by Product
Three Months Ended
Year Ended
December 31, 2021
December 31, 2020
December 31, 2021
December 31, 2020
Single Premium policies
2.7
%
7.7
%
3.8
%
9.0
%
Monthly Premium policies
97.3
92.3
96.2
91.0
100.0
%
100.0
%
100.0
%
100.0
%
NIW by Purchase vs. Refinance
Three Months Ended
Year Ended
December 31, 2021
December 31, 2020
December 31, 2021
December 31, 2020
Purchase
92.1
%
61.6
%
82.1
%
60.4
%
Refinance
7.9
38.4
17.9
39.6
100.0
%
100.0
%
100.0
%
100.0
%
Exhibit E
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance in Force and Risk in Force
Portfolio by Credit Score
IIF by FICO score
December 31, 2021
September 30, 2021
December 31, 2020
($ in thousands)
>=760
$
85,501,113
41.3
%
$
85,833,588
41.2
%
$
82,452,139
41.5
%
740-759
35,111,019
17.0
35,234,863
16.9
34,538,761
17.3
720-739
31,158,325
15.0
31,291,415
15.1
29,599,646
14.9
700-719
26,105,790
12.6
26,136,910
12.6
23,807,982
12.0
680-699
16,819,629
8.1
16,758,439
8.0
15,538,235
7.8
<=679
12,494,668
6.0
12,961,334
6.2
12,945,589
6.5
Total
$
207,190,544
100.0
%
$
208,216,549
100.0
%
$
198,882,352
100.0
%
Weighted average credit score
745
745
745
Gross RIF by FICO score
December 31, 2021
September 30, 2021
December 31, 2020
($ in thousands)
>=760
$
21,488,011
40.9
%
$
21,414,607
40.8
%
$
20,336,799
41.0
%
740-759
8,992,181
17.1
8,958,297
17.1
8,682,265
17.5
720-739
8,029,952
15.3
8,020,171
15.3
7,504,065
15.1
700-719
6,693,045
12.7
6,652,117
12.7
5,970,851
12.1
680-699
4,299,245
8.2
4,250,044
8.1
3,887,059
7.9
<=679
3,051,812
5.8
3,161,784
6.0
3,184,111
6.4
Total
$
52,554,246
100.0
%
$
52,457,020
100.0
%
$
49,565,150
100.0
%
Portfolio by LTV
IIF by LTV
December 31, 2021
September 30, 2021
December 31, 2020
($ in thousands)
85.00% and below
$
27,362,267
13.2
%
$
28,452,535
13.7
%
$
27,308,296
13.7
%
85.01% to 90.00%
59,567,378
28.7
60,257,704
28.9
58,606,394
29.5
90.01% to 95.00%
91,350,909
44.1
90,957,363
43.7
86,169,485
43.3
95.01% and above
28,909,990
14.0
28,548,947
13.7
26,798,177
13.5
Total
$
207,190,544
100.0
%
$
208,216,549
100.0
%
$
198,882,352
100.0
%
Weighted average LTV
92
%
92
%
92
%
Gross RIF by LTV
December 31, 2021
September 30, 2021
December 31, 2020
($ in thousands)
85.00% and below
$
3,200,124
6.1
%
$
3,311,106
6.3
%
$
3,142,034
6.3
%
85.01% to 90.00%
14,366,450
27.3
14,506,577
27.7
14,061,553
28.4
90.01% to 95.00%
26,592,162
50.6
26,410,513
50.3
24,895,471
50.2
95.01% and above
8,395,510
16.0
8,228,824
15.7
7,466,092
15.1
Total
$
52,554,246
100.0
%
$
52,457,020
100.0
%
$
49,565,150
100.0
%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period
December 31, 2021
September 30, 2021
December 31, 2020
($ in thousands)
FRM 30 years and higher
$
198,243,758
95.7
%
$
198,392,156
95.3
%
$
187,704,000
94.4
%
FRM 20-25 years
3,658,366
1.8
3,974,602
1.9
4,365,585
2.2
FRM 15 years
3,996,684
1.9
4,419,750
2.1
4,776,068
2.4
ARM 5 years and higher
1,291,736
0.6
1,430,041
0.7
2,036,699
1.0
Total
$
207,190,544
100.0
%
$
208,216,549
100.0
%
$
198,882,352
100.0
%
Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
2021
2020
($ in thousands)
December 31
September 30
June 30
March 31
December 31
GSE and other risk share (1):
Risk in Force
$
1,788,918
$
1,568,800
$
1,496,247
$
1,534,174
$
1,416,719
Reserve for losses and LAE
$
1,349
$
1,389
$
1,390
$
1,312
$
1,073
Weighted average credit score
748
748
747
747
746
Weighted average LTV
84
%
84
%
84
%
84
%
84
%
(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.
Exhibit G
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
December 31, 2021
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
$
3,122,498
5.1
%
19,269
4.32
%
80.6
%
71.7
%
5.2
%
15.3
%
42.4
%
3.3
%
900
4.67
%
2015
26,193,656
3,114,853
11.9
17,893
4.16
86.5
67.1
3.5
17.8
39.8
4.3
742
4.15
2016
34,949,319
6,326,129
18.1
33,941
3.86
88.1
65.3
8.9
15.2
43.9
5.3
1,327
3.91
2017
43,858,322
8,509,847
19.4
47,080
4.26
90.5
65.6
18.3
20.0
37.9
8.3
2,458
5.22
2018
47,508,525
9,482,084
20.0
49,923
4.77
93.7
66.9
23.5
21.2
33.3
13.7
3,096
6.20
2019
63,569,183
20,252,049
31.9
90,476
4.21
86.0
65.3
22.4
19.0
35.5
21.8
3,953
4.37
2020
107,944,065
76,550,717
70.9
276,407
3.18
63.0
51.7
11.3
11.1
44.8
13.6
3,490
1.26
2021
84,218,250
79,832,367
94.8
250,130
3.07
82.7
59.0
13.9
14.1
40.4
9.1
997
0.40
Total
$
468,910,171
$
207,190,544
44.2
785,119
3.41
76.8
58.0
14.0
14.1
41.3
8.9
16,963
2.16
(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.
Exhibit H
Essent Group Ltd. and Subsidiaries
Supplemental Information
Reinsurance Vintage Data
December 31, 2021
($ in thousands)
Excess of Loss Reinsurance
Original
Reinsurance in Force
Remaining
Reinsurance in Force
Earned Premiums Ceded
Year
Remaining
Insurance
in Force
Remaining
Risk
in Force
ILN (1)
Other Reinsurance (2)
Total
ILN
Other Reinsurance
Total
Losses
Ceded
to Date
Original
First Layer
Retention
Remaining
First Layer
Retention
Quarter-to-Date
Year-to-Date
Reduction in PMIERs Minimum Required
Assets (8)
2015 & 2016
$
9,131,102
$
2,462,841
$
333,844
$
—
$
333,844
$
178,717
$
—
$
178,717
$
—
$
208,111
$
207,140
$
1,177
$
4,808
$
—
2017
8,286,495
2,143,551
424,412
165,167
589,579
242,123
165,167
407,290
—
224,689
217,409
2,679
10,655
—
2018
9,341,880
2,382,994
473,184
118,650
591,834
325,537
76,144
401,681
—
253,643
249,450
3,220
12,824
—
2019 (3)
11,238,898
2,874,767
495,889
55,102
550,991
495,889
55,102
550,991
—
215,605
215,115
2,778
11,068
43,674
2019 & 2020 (4)
31,050,401
7,848,926
399,159
—
399,159
153,530
—
153,530
—
465,690
465,690
3,174
17,573
78,211
2020 & 2021 (5)
50,143,288
12,263,000
557,911
—
557,911
557,911
—
557,911
—
278,956
278,956
3,695
7,675
534,049
2021 (6)
45,887,021
12,086,006
439,407
—
439,407
439,407
—
439,407
—
279,415
279,415
2,367
2,367
400,151
Total
$
165,079,085
$
42,062,085
$
3,123,806
$
338,919
$
3,462,725
$
2,393,114
$
296,413
$
2,689,527
$
—
$
1,926,109
$
1,913,175
$
19,090
$
66,970
$
1,056,085
Quota Share Reinsurance
Losses Ceded
Ceding Commission
Earned Premiums Ceded
Year
Remaining
Insurance
in Force
Remaining
Risk
in Force
Remaining Ceded
Insurance in Force
Remaining Ceded
Risk in Force
Quarter-to-Date
Year-to-Date
Quarter-to-Date
Year-to-Date
Quarter-to-Date
Year-to-Date
Reduction in
PMIERs Minimum
Required
Assets (8)
2019 & 2020 (7)
$
85,045,135
$
21,077,760
$
18,703,480
$
4,591,336
$
(1,023
)
$
6,926
$
4,205
$
18,509
$
7,386
$
43,944
$
306,548
(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
(2) Reinsurance provided by panels of reinsurers.
(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.
(4) Reinsurance coverage on new insurance written from September 1, 2019 through July 31, 2020.
(5) Reinsurance coverage on new insurance written from August 1, 2020 through March 31, 2021.
(6) Reinsurance coverage on new insurance written from April 1, 2021 through September 30, 2021.
(7) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.
(8) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.
Exhibit I
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data
IIF by State
December 31, 2021
September 30, 2021
December 31, 2020
CA
13.1
%
13.1
%
12.0
%
TX
9.9
9.8
9.7
FL
9.7
9.5
8.7
CO
4.1
4.1
4.1
WA
3.7
3.7
3.8
IL
3.3
3.4
3.4
AZ
3.3
3.4
3.6
NJ
3.1
3.1
3.3
VA
3.1
3.1
3.1
GA
3.1
3.1
3.0
All Others
43.6
43.7
45.3
Total
100.0
%
100.0
%
100.0
%
Gross RIF by State
December 31, 2021
September 30, 2021
December 31, 2020
CA
13.0
%
12.9
%
11.8
%
TX
10.2
10.1
10.0
FL
10.0
9.8
9.0
CO
4.0
4.1
4.1
WA
3.6
3.7
3.8
AZ
3.3
3.3
3.5
IL
3.2
3.3
3.3
GA
3.1
3.1
3.1
VA
3.0
3.1
3.1
NJ
3.0
3.0
3.2
All Others
43.6
43.6
45.1
Total
100.0
%
100.0
%
100.0
%
Exhibit J
Essent Group Ltd. and Subsidiaries
Supplemental Information
Rollforward of Defaults and Reserve for Losses and LAE
U.S. Mortgage Insurance Portfolio
Rollforward of Insured Loans in Default
Three Months Ended
2021
2020
December 31
September 30
June 30
March 31
December 31
Beginning default inventory
19,721
23,504
29,080
31,469
35,464
Plus: new defaults (A)
5,809
5,132
4,934
7,422
8,745
Less: cures
(8,514
)
(8,862
)
(10,453
)
(9,737
)
(12,679
)
Less: claims paid
(47
)
(41
)
(46
)
(61
)
(49
)
Less: rescissions and denials, net
(6
)
(12
)
(11
)
(13
)
(12
)
Ending default inventory
16,963
19,721
23,504
29,080
31,469
(A) New defaults remaining as of December 31, 2021
4,316
2,162
1,523
1,686
1,516
Cure rate (1)
26
%
58
%
69
%
77
%
83
%
Total amount paid for claims (in thousands)
$
992
$
1,069
$
1,154
$
1,989
$
1,922
Average amount paid per claim (in thousands)
$
21
$
26
$
25
$
33
$
39
Severity
45
%
60
%
57
%
70
%
62
%
Rollforward of Reserve for Losses and LAE
Three Months Ended
2021
2020
($ in thousands)
December 31
September 30
June 30
March 31
December 31
Reserve for losses and LAE at beginning of period
$
411,567
$
420,482
$
409,811
$
373,868
$
307,019
Less: Reinsurance recoverables
26,970
27,286
24,907
19,061
11,898
Net reserve for losses and LAE at beginning of period
384,597
393,196
384,904
354,807
295,121
Add provision for losses and LAE occurring in:
Current period
13,231
11,371
24,534
47,763
63,597
Prior years
(16,624
)
(18,853
)
(14,961
)
(15,680
)
(1,879
)
Incurred losses and LAE during the period
(3,393
)
(7,482
)
9,573
32,083
61,718
Deduct payments for losses and LAE occurring in:
Current period
157
103
14
114
524
Prior years
891
1,014
1,267
1,872
1,508
Loss and LAE payments during the period
1,048
1,117
1,281
1,986
2,032
Net reserve for losses and LAE at end of period
380,156
384,597
393,196
384,904
354,807
Plus: Reinsurance recoverables
25,940
26,970
27,286
24,907
19,061
Reserve for losses and LAE at end of period
$
406,096
$
411,567
$
420,482
$
409,811
$
373,868
(1) The cure rate is calculated by dividing new defaults remaining as of the reporting date by the original number of new defaults reported in the quarterly period and subtracting that percentage from 100%.
Exhibit K
Essent Group Ltd. and Subsidiaries
Supplemental Information
Detail of Reserves by Default Delinquency
U.S. Mortgage Insurance Portfolio
December 31, 2021
Number of
Policies in
Default
Percentage of
Policies in
Default
Amount of
Reserves
Percentage of
Reserves
Defaulted RIF
Reserves as a
Percentage of
Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less
4,113
24
%
$
20,712
5
%
$
243,511
9
%
Four to eleven payments
5,459
32
77,822
21
349,494
22
Twelve or more payments
7,331
43
274,465
73
470,859
58
Pending claims
60
1
2,397
1
2,852
84
Total case reserves
16,963
100
%
375,396
100
%
$
1,066,716
35
IBNR
28,155
LAE
2,545
Total reserves for losses and LAE
$
406,096
Average reserve per default:
Case
$
22.1
Total
$
23.9
Default Rate
2.16
%
December 31, 2020
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
6,631
21
%
$
47,905
14
%
$
384,668
12
%
Four to eleven payments
23,543
75
260,593
76
1,553,593
17
Twelve or more payments
1,243
4
32,593
9
67,501
48
Pending claims
52
—
2,199
1
2,843
77
Total case reserves
31,469
100
%
343,290
100
%
$
2,008,605
17
IBNR
25,747
LAE
4,831
Total reserves for losses and LAE
$
373,868
Average reserve per default:
Case
$
10.9
Total
$
11.9
Default Rate
3.93
%
Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class
December 31, 2021
December 31, 2020
($ in thousands)
Fair Value
Percent
Fair Value
Percent
U.S. Treasury securities
$
448,793
9.1
%
$
268,444
5.9
%
U.S. agency securities
5,504
0.1
18,085
0.4
U.S. agency mortgage-backed securities
1,008,863
20.3
995,905
21.8
Municipal debt securities
627,599
12.7
551,517
12.1
Non-U.S. government securities
79,743
1.6
61,607
1.3
Corporate debt securities
1,455,247
29.3
1,126,512
24.7
Residential and commercial mortgage securities
545,423
11.0
409,282
9.0
Asset-backed securities
581,703
11.7
454,717
9.9
Money market funds
210,012
4.2
679,304
14.9
Total investments available for sale
$
4,962,887
100.0
%
$
4,565,373
100.0
%
Investments Available for Sale by Credit Rating
Rating (1)
December 31, 2021
December 31, 2020
($ in thousands)
Fair Value
Percent
Fair Value
Percent
Aaa
$
2,412,273
48.6
%
$
2,564,746
56.2
%
Aa1
96,331
1.9
133,100
2.9
Aa2
354,951
7.2
260,462
5.7
Aa3
221,914
4.5
204,917
4.5
A1
263,820
5.3
249,710
5.5
A2
427,282
8.6
401,175
8.8
A3
274,525
5.5
229,882
5.0
Baa1
305,204
6.1
260,602
5.7
Baa2
274,011
5.5
178,926
3.9
Baa3
240,755
4.9
48,199
1.1
Below Baa3
91,821
1.9
33,654
0.7
Total investments available for sale
$
4,962,887
100.0
%
$
4,565,373
100.0
%
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
Investments Available for Sale by Duration and Book Yield
Effective Duration
December 31, 2021
December 31, 2020
($ in thousands)
Fair Value
Percent
Fair Value
Percent
< 1 Year
$
1,104,397
22.2
%
$
1,568,505
34.4
%
1 to < 2 Years
561,297
11.3
581,003
12.7
2 to < 3 Years
539,174
10.9
616,069
13.5
3 to < 4 Years
593,663
12.0
426,333
9.3
4 to < 5 Years
663,127
13.4
367,633
8.1
5 or more Years
1,501,229
30.2
1,005,830
22.0
Total investments available for sale
$
4,962,887
100.0
%
$
4,565,373
100.0
%
Pre-tax investment income yield:
Three months ended December 31, 2021
2.06
%
Year ended December 31, 2021
1.99
%
Holding company net cash and investments available for sale:
($ in thousands)
As of December 31, 2021
$618,306
As of December 31, 2020
$574,901
Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
2021
2020
December 31
September 30
June 30
March 31
December 31
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)
$
2,950,107
$
2,916,802
$
2,809,087
$
2,778,131
$
2,659,161
Combined net risk in force (2)
$
30,660,272
$
30,766,379
$
29,646,042
$
29,358,191
$
29,493,572
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.
10.8:1
10.9:1
10.9:1
11.0:1
11.5:1
Essent Guaranty of PA, Inc.
0.8:1
1.0:1
1.1:1
1.4:1
1.7:1
Combined (4)
10.4:1
10.5:1
10.6:1
10.6:1
11.1:1
Essent Guaranty, Inc. PMIERs Data (5):
Available Assets
$
3,170,881
$
3,161,780
$
3,016,050
$
2,996,651
$
2,855,923
Minimum Required Assets
1,791,551
1,951,096
1,731,843
1,864,262
1,671,011
PMIERs excess Available Assets
$
1,379,330
$
1,210,684
$
1,284,207
$
1,132,389
$
1,184,912
PMIERs sufficiency ratio (6)
177
%
162
%
174
%
161
%
171
%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)
$
1,301,937
$
1,249,996
$
1,192,077
$
1,136,504
$
1,101,003
Net risk in force (2)
$
15,997,129
$
15,466,651
$
14,338,567
$
12,905,289
$
12,892,300
(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.
(5) Data is based on our interpretation of the PMIERs as of the dates indicated.
(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.
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