Essent Group Ltd. Announces Third Quarter 2022 Results and Increases Quarterly Dividend

Rhea-AI Summary

Essent Group Ltd. (NYSE: ESNT) reported a net income of $178.1 million or $1.66 per diluted share for Q3 2022, down from $205.4 million or $1.84 per diluted share a year ago. The company announced a quarterly cash dividend of $0.23 per share, payable on December 12, 2022. New insurance written reached $17.1 billion, a decline from both the previous quarter and the same period last year. The combined ratio was 22.3%, compared to negative 16.2% in Q2 2022. A.M. Best affirmed an “A (Excellent)” financial strength rating for Essent Guaranty, Inc.

Positive

• Net income of $178.1 million reflects strong earnings.
• Quarterly cash dividend increased to $0.23 per share.
• Insurance in force reached $222.5 billion, an increase from previous quarters.
• A.M. Best affirmed 'A (Excellent)' financial strength rating for Essent Guaranty, Inc.

Negative

• Net income down from $205.4 million year-over-year.
• New insurance written decreased to $17.1 billion from $20.1 billion in the prior quarter.
• Combined ratio of 22.3% is worse than negative 16.2% in the prior quarter.

HAMILTON, Bermuda--(BUSINESS WIRE)-- November 4, 2022--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2022 of $178.1 million or $1.66 per diluted share, compared to $205.4 million or $1.84 per diluted share for the quarter ended September 30, 2021.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.23 per common share. The dividend is payable on December 12, 2022, to shareholders of record on December 1, 2022.

“We are pleased with our financial performance for the third quarter as we produced strong earnings and robust returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results reflect our focus on optimizing unit economics along with continued favorable credit performance. At the same time, we remain committed to taking a measured approach to capital management. In connection with this, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.23 per share.”

Third Quarter 2022 Financial Highlights:

• New insurance written for the third quarter was $17.1 billion, compared to $20.1 billion in the second quarter of 2022 and $23.6 billion in the third quarter of 2021.
• Insurance in force as of September 30, 2022 was $222.5 billion, compared to $215.9 billion as of June 30, 2022 and $208.2 billion as of September 30, 2021.
• The combined ratio for the third quarter was 22.3%, compared to negative (16.2%) in the second quarter of 2022 and 15.9% in the third quarter of 2021.
• During the quarter, Essent Guaranty, Inc. obtained $237.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in October 2021 through July 2022 from Radnor Re 2022-1 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2022-1 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd.
• During the quarter, A.M. Best affirmed its “A (Excellent)” financial strength rating of Essent Guaranty, Inc. and Essent Reinsurance Ltd. and the long-term issuer credit rating of "a" of the operating subsidiaries of Essent Group Ltd. Essent Guaranty, Inc. also has financial strength ratings of “A3” by Moody’s and “BBB+” by S&P.

Conference Call:

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. The call may also be accessed by dialing 888-330-2384 inside the U.S., or 240-789-2701 for international callers, using passcode 9824537 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the U.S., or 647-362-9199 for international callers, passcode 9824537.

In addition to the information provided in the Company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx.

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2021 filed with the Securities and Exchange Commission on February 16, 2022, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which, through its wholly-owned subsidiary, Essent Guaranty, Inc., offers private mortgage insurance for single-family mortgage loans in the United States. Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania, Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia, and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Essent is committed to supporting environmental, social and governance (“ESG”) initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.

Source: Essent Group Ltd.

Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended September 30, 2022
Exhibit A				Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B				Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C				Historical Quarterly Data
Exhibit D				New Insurance Written
Exhibit E				Insurance in Force and Risk in Force
Exhibit F				Other Risk in Force
Exhibit G				Portfolio Vintage Data
Exhibit H				Reinsurance Vintage Data
Exhibit I				Portfolio Geographic Data
Exhibit J				Rollforward of Defaults and Reserve for Losses and LAE
Exhibit K				Detail of Reserves by Default Delinquency
Exhibit L				Investments Available for Sale
Exhibit M				Insurance Company Capital

													Exhibit A
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
	Three Months Ended September 30,								Nine Months Ended September 30,
(In thousands, except per share amounts)		2022				2021				2022				2021
Revenues:
Direct premiums written	$	239,773			$	229,228			$	692,687			$	693,434
Ceded premiums		(30,543	)			(26,880	)			(73,384	)			(84,438	)
Net premiums written		209,230				202,348				619,303				608,996
Decrease (increase) in unearned premiums		(1,296	)			16,370				15,972				46,226
Net premiums earned		207,934				218,718				635,275				655,222
Net investment income		32,594				21,573				86,613				65,104
Realized investment (losses) gains, net		175				221				(7,648	)			609
Income from other invested assets		9,617				40,741				36,275				41,389
Other income		11,447				2,283				20,272				9,270
Total revenues		261,767				283,536				770,787				771,594
Losses and expenses:
(Benefit) provision for losses and LAE		4,252				(7,483	)			(178,805	)			34,490
Other underwriting and operating expenses		42,144				42,272				124,838				125,625
Interest expense		4,450				2,063				9,563				6,187
Total losses and expenses		50,846				36,852				(44,404	)			166,302
Income before income taxes		210,921				246,684				815,191				605,292
Income tax expense		32,870				41,331				131,204				104,496
Net income	$	178,051			$	205,353			$	683,987			$	500,796
Earnings per share:
Basic	$	1.67			$	1.85			$	6.37			$	4.48
Diluted		1.66				1.84				6.35				4.47
Weighted average shares outstanding:
Basic		106,870				111,001				107,314				111,708
Diluted		107,337				111,387				107,732				112,070
Net income	$	178,051			$	205,353			$	683,987			$	500,796
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments		(137,010	)			(36,917	)			(474,284	)			(59,760	)
Total other comprehensive income (loss)		(137,010	)			(36,917	)			(474,284	)			(59,760	)
Comprehensive income	$	41,041			$	168,436			$	209,703			$	441,036
Loss ratio		2.0	%			(3.4	%)			(28.1	%)			5.3	%
Expense ratio		20.3				19.3				19.7				19.2
Combined ratio		22.3	%			15.9	%			(8.5	%)			24.4	%

					Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
	September 30,				December 31,
(In thousands, except per share amounts)		2022				2021
Assets
Investments
Fixed maturities available for sale, at fair value	$	4,253,705			$	4,649,800
Short-term investments available for sale, at fair value		331,139				313,087
Total investments available for sale		4,584,844				4,962,887
Other invested assets		263,126				170,472
Total investments		4,847,970				5,133,359
Cash		79,467				81,491
Accrued investment income		29,598				26,546
Accounts receivable		59,069				46,157
Deferred policy acquisition costs		10,408				12,178
Property and equipment		19,778				11,921
Prepaid federal income tax		405,910				360,810
Other assets		104,704				49,712
Total assets	$	5,556,904			$	5,722,174
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	212,494			$	407,445
Unearned premium reserve		169,413				185,385
Net deferred tax liability		340,627				373,654
Credit facility borrowings, net of deferred costs		420,600				419,823
Other accrued liabilities		119,562				99,753
Total liabilities		1,262,696				1,486,060
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 107,697 shares in 2022 and 109,377 shares in 2021		1,615				1,641
Additional paid-in capital		1,345,598				1,428,952
Accumulated other comprehensive (loss) income		(423,577	)			50,707
Retained earnings		3,370,572				2,754,814
Total stockholders' equity		4,294,208				4,236,114
Total liabilities and stockholders' equity	$	5,556,904			$	5,722,174
Return on average equity (1)		21.4	%			16.8	%
(1) The 2022 return on average equity is calculated by dividing annualized year-to-date 2022 net income by average equity. The 2021 return on average equity is calculated by dividing full year 2021 net income by average equity.

																		Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
		2022												2021
Selected Income Statement Data		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		$	194,272			$	198,891			$	203,312			$	205,877			$	207,127
GSE and other risk share			13,662				13,120				12,018				11,444				11,591
Net premiums earned			207,934				212,011				215,330				217,321				218,718
Net investment income			32,594				29,339				24,680				23,661				21,573
Realized investment (losses) gains, net			175				(471	)			(7,352	)			(191	)			221
Income from other invested assets (1)			9,617				1,953				24,705				14,997				40,741
Other income (2)			11,447				1,577				7,248				1,128				2,283
Total revenues			261,767				244,409				264,611				256,916				283,536
Losses and expenses:
(Benefit) provision for losses and LAE			4,252				(76,199	)			(106,858	)			(3,433	)			(7,483	)
Other underwriting and operating expenses			42,144				41,898				40,796				41,232				42,272
Interest expense			4,450				2,887				2,226				2,095				2,063
Total losses and expenses			50,846				(31,414	)			(63,836	)			39,894				36,852
Income before income taxes			210,921				275,823				328,447				217,022				246,684
Income tax expense (3)			32,870				44,054				54,280				36,035				41,331
Net income		$	178,051			$	231,769			$	274,167			$	180,987			$	205,353
Earnings per share:
Basic		$	1.67			$	2.17			$	2.53			$	1.65			$	1.85
Diluted			1.66				2.16				2.52				1.64				1.84
Weighted average shares outstanding:
Basic			106,870				106,921				108,166				109,550				111,001
Diluted			107,337				107,283				108,590				110,028				111,387
Book value per share		$	39.87			$	39.67			$	38.98			$	38.73			$	37.58
Return on average equity (annualized)			16.6	%			21.8	%			26.0	%			17.2	%			19.9	%
Other Data:
Loss ratio (4)			2.0	%			(35.9	%)			(49.6	%)			(1.6	%)			(3.4	%)
Expense ratio (5)			20.3				19.8				18.9				19.0				19.3
Combined ratio			22.3	%			(16.2	%)			(30.7	%)			17.4	%			15.9	%
Credit Facility
Borrowings outstanding		$	425,000			$	425,000			$	425,000			$	425,000			$	325,000
Undrawn committed capacity		$	400,000			$	400,000			$	400,000			$	400,000			$	300,000
Weighted average interest rate (end of period)			4.39	%			2.92	%			1.99	%			1.79	%			2.13	%
Debt-to-capital			9.01	%			9.05	%			9.16	%			9.12	%			7.23	%
(1) Income from other invested assets for the three months ended September 30, 2021 includes $39.5 million of net unrealized gains, which includes $21.1 million of net unrealized gains that were accumulated in other comprehensive income at June 30, 2021 and prior periods.
(2) For each of the three month periods noted, Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements as follows: September 30, 2022: $5,177; June 30, 2022: ($5,549); March 31, 2022: $4,365; December 31, 2021: ($2,931); September 30, 2021: ($1,493).
(3) Income tax expense for the quarter ended December 31, 2021 includes $2,473 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. Income tax expense for the quarters ended September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021 includes $2,925, ($299), $7,002, $1,759 and $8,271, respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses.
(4) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
(5) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.

														Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
		2022												2021
Other Data, continued:		September 30				June 30				March 31				December 31				September 30
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written		$	17,112,017			$	20,096,135			$	12,841,482			$	16,379,082			$	23,579,884
New risk written			4,570,699				5,442,115				3,438,016				4,331,531				6,273,735
Bulk:
New insurance written		$	—			$	196			$	—			$	416			$	—
New risk written			—				29				—				41				—
Total:
New insurance written		$	17,112,017			$	20,096,331			$	12,841,482			$	16,379,498			$	23,579,884
New risk written		$	4,570,699			$	5,442,144			$	3,438,016			$	4,331,572			$	6,273,735
Average insurance in force		$	219,280,350			$	210,896,297			$	206,631,135			$	207,388,906			$	206,732,478
Insurance in force (end of period)		$	222,542,569			$	215,896,531			$	206,842,996			$	207,190,544			$	208,216,549
Gross risk in force (end of period) (6)		$	57,743,091			$	55,678,063			$	52,847,985			$	52,554,246			$	52,457,020
Risk in force (end of period)		$	48,690,571			$	47,289,910			$	45,261,164			$	45,273,383			$	45,074,159
Policies in force			800,745				789,652				774,002				785,119				798,877
Weighted average coverage (7)			25.9	%			25.8	%			25.5	%			25.4	%			25.2	%
Annual persistency			77.9	%			73.4	%			69.1	%			65.4	%			62.2	%
Loans in default (count)			12,435				12,707				14,923				16,963				19,721
Percentage of loans in default			1.55	%			1.61	%			1.93	%			2.16	%			2.47	%
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (8)			0.40	%			0.41	%			0.41	%			0.42	%			0.42	%
Single premium cancellations (9)			0.01	%			0.01	%			0.02	%			0.03	%			0.03	%
Gross average premium rate			0.41	%			0.42	%			0.43	%			0.45	%			0.45	%
Ceded premiums			(0.06	%)			(0.04	%)			(0.04	%)			(0.05	%)			(0.05	%)
Net average premium rate			0.35	%			0.38	%			0.39	%			0.40	%			0.40	%
(6) Gross risk in force includes risk ceded under third-party reinsurance.
(7) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
(8) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
(9) Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.

																			Exhibit D
Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow
NIW by Credit Score
	Three Months Ended												Nine Months Ended
	September 30, 2022						September 30, 2021						September 30, 2022						September 30, 2021
($ in thousands)
>=760	$	6,976,123		40.8	%		$	9,257,407		39.3	%		$	20,942,108		41.8	%		$	27,778,887		40.9	%
740-759		2,965,115		17.3				3,892,226		16.5				8,499,739		17.0				10,858,015		16.0
720-739		2,788,573		16.3				3,656,963		15.5				7,885,166		15.8				10,316,977		15.2
700-719		2,277,251		13.3				3,345,696		14.2				6,452,721		12.9				9,328,577		13.8
680-699		1,476,982		8.6				2,361,529		10.0				4,409,944		8.8				5,855,301		8.6
<=679		627,973		3.7				1,066,063		4.5				1,859,956		3.7				3,700,995		5.5
Total	$	17,112,017		100.0	%		$	23,579,884		100.0	%		$	50,049,634		100.0	%		$	67,838,752		100.0	%
Weighted average credit score		746						744						747						745
NIW by LTV
	Three Months Ended												Nine Months Ended
	September 30, 2022						September 30, 2021						September 30, 2022						September 30, 2021
($ in thousands)
85.00% and below	$	1,618,912		9.5	%		$	2,336,949		9.9	%		$	4,556,205		9.1	%		$	9,660,937		14.2	%
85.01% to 90.00%		4,753,686		27.8				5,860,301		24.9				13,657,345		27.3				19,192,675		28.3
90.01% to 95.00%		9,171,095		53.5				11,574,090		49.1				26,461,665		52.9				30,090,325		44.4
95.01% and above		1,568,324		9.2				3,808,544		16.1				5,374,419		10.7				8,894,815		13.1
Total	$	17,112,017		100.0	%		$	23,579,884		100.0	%		$	50,049,634		100.0	%		$	67,838,752		100.0	%
Weighted average LTV		93	%					93	%					93	%					92	%
NIW by Product
	Three Months Ended												Nine Months Ended
	September 30, 2022						September 30, 2021						September 30, 2022						September 30, 2021
Single Premium policies				8.2	%					2.5	%					5.9	%					4.1	%
Monthly Premium policies				91.8						97.5						94.1						95.9
				100.0	%					100.0	%					100.0	%					100.0	%
NIW by Purchase vs. Refinance
	Three Months Ended												Nine Months Ended
	September 30, 2022						September 30, 2021						September 30, 2022						September 30, 2021
Purchase				98.7	%					90.9	%					97.2	%					79.6	%
Refinance				1.3						9.1						2.8						20.4
				100.0	%					100.0	%					100.0	%					100.0	%

																	Exhibit E
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance in Force and Risk in Force
Portfolio by Credit Score
IIF by FICO score		September 30, 2022						June 30, 2022						September 30, 2021
($ in thousands)
>=760		$	92,309,692		41.5	%		$	89,790,212		41.6	%		$	85,833,588		41.2	%
740-759			37,821,201		17.0				36,606,394		17.0				35,234,863		16.9
720-739			33,910,646		15.2				32,637,422		15.1				31,291,415		15.1
700-719			28,263,518		12.7				27,258,759		12.6				26,136,910		12.6
680-699			18,351,570		8.2				17,697,662		8.2				16,758,439		8.0
<=679			11,885,942		5.4				11,906,082		5.5				12,961,334		6.2
Total		$	222,542,569		100.0	%		$	215,896,531		100.0	%		$	208,216,549		100.0	%
Weighted average credit score			746						746						745
Gross RIF by FICO score		September 30, 2022						June 30, 2022						September 30, 2021
($ in thousands)
>=760		$	23,743,335		41.1	%		$	22,956,271		41.2	%		$	21,414,607		40.8	%
740-759			9,920,331		17.2				9,540,921		17.1				8,958,297		17.1
720-739			8,934,327		15.5				8,545,969		15.3				8,020,171		15.3
700-719			7,412,542		12.8				7,107,888		12.8				6,652,117		12.7
680-699			4,801,986		8.3				4,601,675		8.3				4,250,044		8.1
<=679			2,930,570		5.1				2,925,339		5.3				3,161,784		6.0
Total		$	57,743,091		100.0	%		$	55,678,063		100.0	%		$	52,457,020		100.0	%
Portfolio by LTV
IIF by LTV		September 30, 2022						June 30, 2022						September 30, 2021
($ in thousands)
85.00% and below		$	25,121,995		11.3	%		$	25,510,400		11.8	%		$	28,452,535		13.7	%
85.01% to 90.00%			62,963,331		28.3				61,304,806		28.4				60,257,704		28.9
90.01% to 95.00%			103,794,020		46.6				98,938,435		45.8				90,957,363		43.7
95.01% and above			30,663,223		13.8				30,142,890		14.0				28,548,947		13.7
Total		$	222,542,569		100.0	%		$	215,896,531		100.0	%		$	208,216,549		100.0	%
Weighted average LTV			92	%					92	%					92	%
Gross RIF by LTV		September 30, 2022						June 30, 2022						September 30, 2021
($ in thousands)
85.00% and below		$	2,975,898		5.2	%		$	3,012,030		5.4	%		$	3,311,106		6.3	%
85.01% to 90.00%			15,317,449		26.5				14,868,579		26.7				14,506,577		27.7
90.01% to 95.00%			30,388,328		52.6				28,921,722		52.0				26,410,513		50.3
95.01% and above			9,061,416		15.7				8,875,732		15.9				8,228,824		15.7
Total		$	57,743,091		100.0	%		$	55,678,063		100.0	%		$	52,457,020		100.0	%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period		September 30, 2022						June 30, 2022						September 30, 2021
($ in thousands)
FRM 30 years and higher		$	214,688,363		96.5	%		$	207,888,842		96.3	%		$	198,392,156		95.3	%
FRM 20-25 years			2,859,734		1.3				3,114,962		1.4				3,974,602		1.9
FRM 15 years			2,903,355		1.3				3,222,801		1.5				4,419,750		2.1
ARM 5 years and higher			2,091,117		0.9				1,669,926		0.8				1,430,041		0.7
Total		$	222,542,569		100.0	%		$	215,896,531		100.0	%		$	208,216,549		100.0	%

																		Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
		2022												2021
($ in thousands)		September 30				June 30				March 31				December 31				September 30
GSE and other risk share (1):
Risk in Force		$	2,026,895			$	1,898,364			$	1,888,437			$	1,788,918			$	1,568,800
Reserve for losses and LAE		$	102			$	144			$	254			$	1,349			$	1,389
Weighted average credit score			748				748				748				748				748
Weighted average LTV			84	%			84	%			84	%			84	%			84	%
(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.

																							Exhibit G
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
September 30, 2022
								Insurance in Force
Year	Original Insurance Written ($ in thousands)		Remaining Insurance in Force ($ in thousands)		% Remaining of Original Insurance		Number of Policies in Force	Weighted Average Coupon		% Purchase		>90% LTV		>95% LTV		FICO < 700		FICO >= 760		Incurred Loss Ratio (Inception to Date) (1)		Number of Loans in Default	Percentage of Loans in Default
2010 - 2014	$	60,668,851	$	2,280,001	3.8	%	14,375	4.33	%	78.4	%	70.2	%	5.8	%	15.2	%	43.1	%	2.7	%	553	3.85	%
2015		26,193,656		2,065,692	7.9		12,351	4.18		85.9		75.1		4.1		17.9		39.2		2.9		446	3.61
2016		34,949,319		4,588,046	13.1		25,722	3.86		88.7		69.8		9.9		15.6		43.4		3.2		801	3.11
2017		43,858,322		6,284,345	14.3		36,267	4.26		91.1		68.4		19.7		20.1		38.2		4.6		1,485	4.09
2018		47,508,525		7,061,896	14.9		38,551	4.78		94.2		68.5		24.5		21.5		33.0		6.1		1,840	4.77
2019		63,569,183		15,479,873	24.4		71,764	4.21		87.0		66.2		23.5		18.7		35.6		7.1		2,195	3.06
2020		107,944,065		63,098,179	58.5		232,949	3.17		65.2		53.5		11.9		10.8		45.5		5.4		2,660	1.14
2021		84,218,250		73,219,138	86.9		233,240	3.07		83.9		60.2		14.5		14.0		40.4		7.9		2,164	0.93
2022 (through September 30)		50,049,830		48,465,399	96.8		135,526	4.76		97.3		63.8		10.9		12.6		41.3		8.4		291	0.21
Total	$	518,960,001	$	222,542,569	42.9		800,745	3.67		82.3		60.4		13.8		13.6		41.5		4.6		12,435	1.55
(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.

																																	Exhibit H
Essent Group Ltd. and Subsidiaries
Supplemental Information
Reinsurance Vintage Data
September 30, 2022
($ in thousands)
Excess of Loss Reinsurance						Original Reinsurance in Force							Remaining Reinsurance in Force															Earned Premiums Ceded
Year	Remaining Insurance in Force		Remaining Risk in Force			ILN (1)		Other Reinsurance (2)		Total			ILN		Other Reinsurance		Total			Losses Ceded to Date			Original First Layer Retention		Remaining First Layer Retention			Quarter-to- Date		Year-to- Date			Reduction in PMIERs Minimum Required Assets (9)
2015 & 2016	$	6,415,924	$	1,740,167		$	333,844	$	—	$	333,844		$	61,478	$	—	$	61,478		$	—		$	208,111	$	206,925		$	628	$	2,464		$	—
2017		6,129,801		1,610,026			424,412		165,167		589,579			242,123		127,770		369,893			—			224,689		216,632			3,091		8,631			—
2018		6,961,516		1,791,216			473,184		118,650		591,834			325,537		76,144		401,681			—			253,643		248,875			3,896		10,553			—
2019 (3)		8,578,642		2,203,474			495,889		55,102		550,991			448,805		49,870		498,675			—			215,605		214,874			3,596		9,518			—
2019 & 2020 (4)		—		—			399,159		—		399,159			—		—		—			—			465,690		—			1,049		5,222			—
2020 & 2021 (5)		43,021,732		10,731,139			557,911		—		557,911			486,933		—		486,933			—			278,956		278,919			3,791		11,008			433,123
2021 (6)		42,367,258		11,236,549			439,407		—		439,407			423,462		—		423,462			—			279,415		279,415			4,473		12,829			371,346
2021 & 2022 (10)		63,515,812		17,043,854			—		119,307		119,307			—		119,307		119,307			—			426,096		426,096			1,348		1,684			116,743
2021 & 2022 (11)		34,325,434		9,205,630			237,868		—		237,868			237,868		—		237,868			—			303,761		303,761			567		567			237,868
Total	$	211,316,119	$	55,562,055		$	3,361,674	$	458,226	$	3,819,900		$	2,226,206	$	373,091	$	2,599,297		$	—		$	2,655,966	$	1,940,960	(12)	$	22,439	$	62,476		$	1,159,080

Quota Share Reinsurance
														Losses Ceded							Ceding Commission					Earned Premiums Ceded
Year			Remaining Insurance in Force		Remaining Risk in Force			Remaining Ceded Insurance in Force			Remaining Ceded Risk in Force			Quarter-to-Date			Year-to-Date				Quarter-to-Date		Year-to-Date			Quarter-to-Date		Year-to-Date			Reduction in PMIERs Minimum Required Assets (9)
2019 & 2020	(7	)	$	69,631,402	$	17,558,346		$	15,413,517		$	3,846,679		$	(1,084	)	$	(13,657	)		$	3,266	$	10,481		$	4,957	$	5,732		$	240,698
2022	(8	)		48,406,637		13,032,720			9,681,327			2,606,544			686			998				1,295		2,187			3,146		5,153			178,854
Total			$	118,038,039	$	30,591,066		$	25,094,844		$	6,453,223		$	(398	)	$	(12,659	)		$	4,561	$	12,668		$	8,103	$	10,885		$	419,552
(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
(2) Reinsurance provided by panels of reinsurers.
(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.
(4) Reinsurance coverage on new insurance written from September 1, 2019 through July 31, 2020. This ILN was called during the third quarter of 2022.
(5) Reinsurance coverage on new insurance written from August 1, 2020 through March 31, 2021.
(6) Reinsurance coverage on new insurance written from April 1, 2021 through September 30, 2021.
(7) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.
(8) Reinsurance coverage on 20% of all eligible policies written from January 1, 2022 through December 31, 2022.
(9) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.
(10) Reinsurance coverage on 20% of all eligible policies written from October 1, 2021 through December 31, 2022 as well as coverage on new insurance written from October 1, 2021 through July 31, 2022 through an ILN.
(11) Reinsurance coverage on new insurance written from October 1, 2021 through July 31, 2022.
(12) The total remaining first layer retention differs from the sum of the individual reinsurance transactions as a result of overlapping coverage between certain transactions.

							Exhibit I
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data
IIF by State
	September 30, 2022			June 30, 2022			September 30, 2021
CA	13.2	%		13.2	%		13.1	%
TX	10.3			10.2			9.8
FL	10.1			10.0			9.5
CO	4.1			4.2			4.1
AZ	3.5			3.4			3.4
WA	3.4			3.5			3.7
IL	3.1			3.2			3.4
GA	3.1			3.1			3.1
VA	3.1			3.1			3.1
NJ	3.0			3.1			3.1
All Others	43.1			43.0			43.7
Total	100.0	%		100.0	%		100.0	%
Gross RIF by State
	September 30, 2022			June 30, 2022			September 30, 2021
CA	13.0	%		13.0	%		12.9	%
TX	10.6			10.6			10.1
FL	10.5			10.3			9.8
CO	4.1			4.1			4.1
AZ	3.5			3.4			3.3
WA	3.3			3.4			3.7
GA	3.2			3.2			3.1
IL	3.1			3.1			3.3
VA	3.0			3.0			3.1
NJ	2.9			2.9			3.0
All Others	42.8			43.0			43.6
Total	100.0	%		100.0	%		100.0	%

																		Exhibit J
Essent Group Ltd. and Subsidiaries
Supplemental Information
Rollforward of Defaults and Reserve for Losses and LAE
U.S. Mortgage Insurance Portfolio
Rollforward of Insured Loans in Default
		Three Months Ended
		2022												2021
		September 30				June 30				March 31				December 31				September 30
Beginning default inventory			12,707				14,923				16,963				19,721				23,504
Plus: new defaults (A)			6,448				5,495				6,188				5,809				5,132
Less: cures			(6,642	)			(7,639	)			(8,167	)			(8,514	)			(8,862	)
Less: claims paid			(68	)			(65	)			(55	)			(47	)			(41	)
Less: rescissions and denials, net			(10	)			(7	)			(6	)			(6	)			(12	)
Ending default inventory			12,435				12,707				14,923				16,963				19,721
(A) New defaults remaining as of September 30, 2022			4,752				2,114				1,461				955				523
Cure rate (1)			26	%			62	%			76	%			84	%			90	%
Total amount paid for claims (in thousands)		$	1,261			$	1,137			$	826			$	992			$	1,069
Average amount paid per claim (in thousands)		$	19			$	17			$	15			$	21			$	26
Severity			47	%			50	%			35	%			45	%			60	%
Rollforward of Reserve for Losses and LAE
		Three Months Ended
		2022												2021
($ in thousands)		September 30				June 30				March 31				December 31				September 30
Reserve for losses and LAE at beginning of period		$	209,829			$	292,818			$	406,096			$	411,567			$	420,482
Less: Reinsurance recoverables			13,657				19,335				25,940				26,970				27,286
Net reserve for losses and LAE at beginning of period			196,172				273,483				380,156				384,597				393,196
Add provision for losses and LAE occurring in:
Current period			20,144				18,720				24,346				13,231				11,371
Prior years			(15,850	)			(94,809	)			(130,114	)			(16,624	)			(18,853	)
Incurred losses and LAE during the period			4,294				(76,089	)			(105,768	)			(3,393	)			(7,482	)
Deduct payments for losses and LAE occurring in:
Current period			30				80				1				157				103
Prior years			1,288				1,142				904				891				1,014
Loss and LAE payments during the period			1,318				1,222				905				1,048				1,117
Net reserve for losses and LAE at end of period			199,148				196,172				273,483				380,156				384,597
Plus: Reinsurance recoverables			13,244				13,657				19,335				25,940				26,970
Reserve for losses and LAE at end of period		$	212,392			$	209,829			$	292,818			$	406,096			$	411,567
(1) The cure rate is calculated by dividing new defaults remaining as of the reporting date by the original number of new defaults reported in the quarterly period and subtracting that percentage from 100%.

										Exhibit K
Essent Group Ltd. and Subsidiaries
Supplemental Information
Detail of Reserves by Default Delinquency
U.S. Mortgage Insurance Portfolio
		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	%
		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	%
		September 30, 2021
		Number of Policies in Default		Percentage of Policies in Default		Amount of Reserves		Percentage of Reserves		Defaulted RIF		Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less		3,823		20	%	$	20,438	5	%	$	223,065	9	%
Four to eleven payments		6,738		34			103,062	27			426,282	24
Twelve or more payments		9,108		46			254,499	67			595,444	43
Pending claims		52		—			2,037	1			2,516	81
Total case reserves		19,721		100	%		380,036	100	%	$	1,247,307	30
IBNR							28,503
LAE							3,028
Total reserves for losses and LAE						$	411,567
Average reserve per default:
Case						$	19.3
Total						$	20.9
Default Rate		2.47	%

												Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class		September 30, 2022							December 31, 2021
($ in thousands)		Fair Value				Percent			Fair Value			Percent
U.S. Treasury securities		$	535,636			11.7	%		$	448,793		9.1	%
U.S. agency securities			—			—				5,504		0.1
U.S. agency mortgage-backed securities			752,236			16.4				1,008,863		20.3
Municipal debt securities			559,784			12.2				627,599		12.7
Non-U.S. government securities			60,834			1.3				79,743		1.6
Corporate debt securities			1,345,269			29.4				1,455,247		29.3
Residential and commercial mortgage securities			523,608			11.4				545,423		11.0
Asset-backed securities			608,330			13.3				581,703		11.7
Money market funds			199,147			4.3				210,012		4.2
Total investments available for sale		$	4,584,844			100.0	%		$	4,962,887		100.0	%
Investments Available for Sale by Credit Rating
Rating (1)		September 30, 2022							December 31, 2021
($ in thousands)		Fair Value				Percent			Fair Value			Percent
Aaa		$	2,227,988			48.6	%		$	2,412,273		48.6	%
Aa1			101,547			2.2				96,331		1.9
Aa2			334,435			7.3				354,951		7.2
Aa3			215,688			4.7				221,914		4.5
A1			375,063			8.2				263,820		5.3
A2			356,469			7.8				427,282		8.6
A3			244,309			5.3				274,525		5.5
Baa1			220,295			4.8				305,204		6.1
Baa2			220,303			4.8				274,011		5.5
Baa3			191,386			4.2				240,755		4.9
Below Baa3			97,361			2.1				91,821		1.9
Total investments available for sale		$	4,584,844			100.0	%		$	4,962,887		100.0	%
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
Investments Available for Sale by Duration and Book Yield
Effective Duration		September 30, 2022							December 31, 2021
($ in thousands)		Fair Value				Percent			Fair Value			Percent
< 1 Year		$	1,222,876			26.7	%		$	1,104,397		22.2	%
1 to < 2 Years			472,273			10.3				561,297		11.3
2 to < 3 Years			501,955			10.9				539,174		10.9
3 to < 4 Years			469,386			10.2				593,663		12.0
4 to < 5 Years			445,986			9.7				663,127		13.4
5 or more Years			1,472,368			32.2				1,501,229		30.2
Total investments available for sale		$	4,584,844			100.0	%		$	4,962,887		100.0	%
Pre-tax investment income yield:
Three months ended September 30, 2022			2.74	%
Nine months ended September 30, 2022			2.45	%
Holding company net cash and investments available for sale:
($ in thousands)
As of September 30, 2022		$	647,922
As of December 31, 2021		$	618,306

																		Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
		2022												2021
		September 30				June 30				March 31				December 31				September 30
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)		$	3,128,681			$	3,062,438			$	3,058,880			$	2,950,107			$	2,916,802
Combined net risk in force (2)		$	31,736,095			$	31,221,406			$	30,331,197			$	30,660,272			$	30,766,379
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.		10.5:1				10.6:1				10.3:1				10.8:1				10.9:1
Essent Guaranty of PA, Inc.		0.6:1				0.6:1				0.7:1				0.8:1				1.0:1
Combined (4)		10.1:1				10.2:1				9.9:1				10.4:1				10.5:1
Essent Guaranty, Inc. PMIERs Data (5):
Available Assets		$	3,147,545			$	3,120,098			$	3,194,939			$	3,170,881			$	3,161,780
Minimum Required Assets			1,759,182				1,869,524				1,840,069				1,791,551				1,951,096
PMIERs excess Available Assets		$	1,388,363			$	1,250,574			$	1,354,870			$	1,379,330			$	1,210,684
PMIERs sufficiency ratio (6)			179	%			167	%			174	%			177	%			162	%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)		$	1,397,287			$	1,380,067			$	1,330,840			$	1,301,937			$	1,249,996
Net risk in force (2)		$	18,694,500			$	17,758,801			$	16,527,587			$	15,997,129			$	15,466,651
(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.
(5) Data is based on our interpretation of the PMIERs as of the dates indicated.
(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.

 

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Media

610.230.0556

media@essentgroup.com

Investor Relations

Philip Stefano

Vice President, Investor Relations

855-809-ESNT

ir@essentgroup.com

Source: Essent Group Ltd.

FAQ

What are the Q3 2022 net income figures for Essent Group (ESNT)?

Essent Group reported a net income of $178.1 million or $1.66 per diluted share for Q3 2022.

What is the dividend amount and payment date for Essent Group (ESNT)?

Essent Group declared a quarterly cash dividend of $0.23 per share, payable on December 12, 2022.

How much new insurance was written by Essent Group in Q3 2022?

In Q3 2022, Essent Group wrote new insurance amounting to $17.1 billion.

What is the combined ratio for Essent Group (ESNT) in Q3 2022?

The combined ratio for Q3 2022 was 22.3%.

What financial rating did A.M. Best assign to Essent Guaranty, Inc.?

A.M. Best affirmed an 'A (Excellent)' financial strength rating for Essent Guaranty, Inc.