XML 19 R10.htm IDEA: XBRL DOCUMENT
v3.22.2.2

Investments | 9 Months Ended
--- | ---
Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract] |
Investments | Investments Investments available for sale consist of the following:
September 30, 2022 (In thousands) |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Fair Value
U.S. Treasury securities |  | $ | 566,466 |  |  | $ | 2 |  |  | $ | (30,832) |  |  | $ | 535,636 |
U.S. agency securities |  | — |  |  | — |  |  | — |  |  | — |
U.S. agency mortgage-backed securities |  | 879,028 |  |  | — |  |  | (126,792) |  |  | 752,236 |
Municipal debt securities (1) |  | 627,772 |  |  | 95 |  |  | (68,083) |  |  | 559,784 |
Non-U.S. government securities |  | 70,126 |  |  | — |  |  | (9,292) |  |  | 60,834 |
Corporate debt securities (2) |  | 1,501,150 |  |  | 7 |  |  | (155,888) |  |  | 1,345,269 |
Residential and commercial mortgage securities |  | 586,771 |  |  | 123 |  |  | (63,286) |  |  | 523,608 |
Asset-backed securities |  | 645,522 |  |  | 15 |  |  | (37,207) |  |  | 608,330 |
Money market funds |  | 199,147 |  |  | — |  |  | — |  |  | 199,147 |
Total investments available for sale |  | $ | 5,075,982 |  |  | $ | 242 |  |  | $ | (491,380) |  |  | $ | 4,584,844 |
December 31, 2021 (In thousands) |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Fair Value
U.S. Treasury securities |  | $ | 447,926 |  |  | $ | 3,833 |  |  | $ | (2,966) |  |  | $ | 448,793 |
U.S. agency securities |  | 5,501 |  |  | 3 |  |  | — |  |  | 5,504 |
U.S. agency mortgage-backed securities |  | 1,005,611 |  |  | 13,365 |  |  | (10,113) |  |  | 1,008,863 |
Municipal debt securities (1) |  | 598,764 |  |  | 30,122 |  |  | (1,287) |  |  | 627,599 |
Non-U.S. government securities |  | 77,366 |  |  | 3,232 |  |  | (855) |  |  | 79,743 |
Corporate debt securities (2) |  | 1,428,645 |  |  | 36,067 |  |  | (9,465) |  |  | 1,455,247 |
Residential and commercial mortgage securities |  | 541,638 |  |  | 10,452 |  |  | (6,667) |  |  | 545,423 |
Asset-backed securities |  | 582,144 |  |  | 1,673 |  |  | (2,114) |  |  | 581,703 |
Money market funds |  | 210,012 |  |  | — |  |  | — |  |  | 210,012 |
Total investments available for sale |  | $ | 4,897,607 |  |  | $ | 98,747 |  |  | $ | (33,467) |  |  | $ | 4,962,887 |
|  | September 30, |  | December 31,
(1) The following table summarizes municipal debt securities as of: |  | 2022 |  | 2021
Special revenue bonds |  | 78.5 | % |  | 77.1 | %
General obligation bonds |  | 21.5 |  |  | 20.5 |
Certificate of participation bonds |  | — |  |  | 1.9 |
Tax allocation bonds |  | — |  |  | 0.5 |
Total |  | 100.0 | % |  | 100.0 | %
|  | September 30, |  | December 31,
(2) The following table summarizes corporate debt securities as of: |  | 2022 |  | 2021
Financial |  | 39.4 | % |  | 33.7 | %
Consumer, non-cyclical |  | 17.5 |  |  | 19.8 |
Communications |  | 8.8 |  |  | 11.4 |
Industrial |  | 6.8 |  |  | 7.0 |
Consumer, cyclical |  | 7.2 |  |  | 7.0 |
Energy |  | 6.6 |  |  | 6.0 |
Technology |  | 5.6 |  |  | 6.8 |
Utilities |  | 6.1 |  |  | 4.6 |
Basic materials |  | 2.0 |  |  | 3.7 |
Total |  | 100.0 | % |  | 100.0 | %
The amortized cost and fair value of investments available for sale at September 30, 2022, by contractual maturity, are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Because most U.S. agency mortgage-backed securities, residential and commercial mortgage securities and asset-backed securities provide for periodic payments throughout their lives, they are listed below in separate categories.
(In thousands) |  | Amortized Cost |  | Fair Value
U.S. Treasury securities: |  |  |  |
Due in 1 year |  | $ | 169,120 |  |  | $ | 167,667 |
Due after 1 but within 5 years |  | 353,483 |  |  | 330,053 |
Due after 5 but within 10 years |  | 38,835 |  |  | 34,103 |
Due after 10 years |  | 5,028 |  |  | 3,813 |
Subtotal |  | 566,466 |  |  | 535,636 |
U.S. agency securities: |  |  |  |
Due in 1 year |  | — |  |  | — |
Due after 1 but within 5 years |  | — |  |  | — |
Subtotal |  | — |  |  | — |
Municipal debt securities: |  |  |  |
Due in 1 year |  | 6,992 |  |  | 6,943 |
Due after 1 but within 5 years |  | 141,922 |  |  | 137,108 |
Due after 5 but within 10 years |  | 164,538 |  |  | 151,508 |
Due after 10 years |  | 314,320 |  |  | 264,225 |
Subtotal |  | 627,772 |  |  | 559,784 |
Non-U.S. government securities: |  |  |  |
Due in 1 year |  | 10,452 |  |  | 10,396 |
Due after 1 but within 5 years |  | 27,362 |  |  | 25,697 |
Due after 5 but within 10 years |  | 8,893 |  |  | 7,979 |
Due after 10 years |  | 23,419 |  |  | 16,762 |
Subtotal |  | 70,126 |  |  | 60,834 |
Corporate debt securities: |  |  |  |
Due in 1 year |  | 235,975 |  |  | 233,177 |
Due after 1 but within 5 years |  | 696,023 |  |  | 657,186 |
Due after 5 but within 10 years |  | 419,294 |  |  | 345,569 |
Due after 10 years |  | 149,858 |  |  | 109,337 |
Subtotal |  | 1,501,150 |  |  | 1,345,269 |
U.S. agency mortgage-backed securities |  | 879,028 |  |  | 752,236 |
Residential and commercial mortgage securities |  | 586,771 |  |  | 523,608 |
Asset-backed securities |  | 645,522 |  |  | 608,330 |
Money market funds |  | 199,147 |  |  | 199,147 |
Total investments available for sale |  | $ | 5,075,982 |  |  | $ | 4,584,844 |
The components of realized investment (losses) gains, net on the condensed consolidated statements of comprehensive income were as follows:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Realized gross gains |  | $ | 1,650 |  |  | $ | 654 |  |  | $ | 14,397 |  |  | $ | 1,422 |
Realized gross losses |  | (1,370) |  |  | (433) |  |  | (14,634) |  |  | (813) |
Impairment loss |  | (105) |  |  | — |  |  | (7,411) |  |  | — |
The fair value of investments available for sale in an unrealized loss position and the related unrealized losses for which no allowance for credit loss has been recorded were as follows:
|  | Less than 12 months |  | 12 months or more |  | Total
September 30, 2022 (In thousands) |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses
U.S. Treasury securities |  | $ | 361,655 |  |  | $ | (15,490) |  |  | $ | 161,968 |  |  | $ | (15,342) |  |  | $ | 523,623 |  |  | $ | (30,832) |
U.S. agency mortgage-backed securities |  | 508,415 |  |  | (74,350) |  |  | 243,821 |  |  | (52,442) |  |  | 752,236 |  |  | (126,792) |
Municipal debt securities |  | 527,796 |  |  | (64,097) |  |  | 14,588 |  |  | (3,986) |  |  | 542,384 |  |  | (68,083) |
Non-U.S. government securities |  | 51,784 |  |  | (5,922) |  |  | 9,050 |  |  | (3,370) |  |  | 60,834 |  |  | (9,292) |
Corporate debt securities |  | 1,166,786 |  |  | (127,688) |  |  | 143,745 |  |  | (28,200) |  |  | 1,310,531 |  |  | (155,888) |
Residential and commercial mortgage securities |  | 376,356 |  |  | (38,046) |  |  | 143,118 |  |  | (25,240) |  |  | 519,474 |  |  | (63,286) |
Asset-backed securities |  | 481,105 |  |  | (27,029) |  |  | 122,339 |  |  | (10,178) |  |  | 603,444 |  |  | (37,207) |
Total |  | $ | 3,473,897 |  |  | $ | (352,622) |  |  | $ | 838,629 |  |  | $ | (138,758) |  |  | $ | 4,312,526 |  |  | $ | (491,380) |
|  | Less than 12 months |  | 12 months or more |  | Total
December 31, 2021 (In thousands) |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses
U.S. Treasury securities |  | $ | 207,122 |  |  | $ | (2,170) |  |  | $ | 28,012 |  |  | $ | (796) |  |  | $ | 235,134 |  |  | $ | (2,966) |
U.S. agency mortgage-backed securities |  | 582,108 |  |  | (9,414) |  |  | 26,131 |  |  | (699) |  |  | 608,239 |  |  | (10,113) |
Municipal debt securities |  | 91,719 |  |  | (1,281) |  |  | 312 |  |  | (6) |  |  | 92,031 |  |  | (1,287) |
Non-U.S. government securities |  | 22,986 |  |  | (855) |  |  | — |  |  | — |  |  | 22,986 |  |  | (855) |
Corporate debt securities |  | 522,120 |  |  | (7,200) |  |  | 46,875 |  |  | (2,265) |  |  | 568,995 |  |  | (9,465) |
Residential and commercial mortgage securities |  | 268,617 |  |  | (5,200) |  |  | 38,256 |  |  | (1,467) |  |  | 306,873 |  |  | (6,667) |
Asset-backed securities |  | 339,137 |  |  | (1,954) |  |  | 13,101 |  |  | (160) |  |  | 352,238 |  |  | (2,114) |
Total |  | $ | 2,033,809 |  |  | $ | (28,074) |  |  | $ | 152,687 |  |  | $ | (5,393) |  |  | $ | 2,186,496 |  |  | $ | (33,467) |
At September 30, 2022 and December 31, 2021, we held 2,720 and 1,180 individual investment securities, respectively, that were in an unrealized loss position. We assess our intent to sell these securities and whether we will be required to sell these securities before the recovery of their amortized cost basis when determining whether to record an impairment on the securities in an unrealized loss position. In assessing whether the decline in the fair value at September 30, 2022 of any of these securities resulted from a credit loss or other factors, we made inquiries of our investment managers to determine that each issuer was current on its scheduled interest and principal payments. We reviewed the credit rating of these securities noting that approximately 98% of the securities at September 30, 2022 had investment-grade ratings. We concluded that gross unrealized losses noted above were primarily associated with the changes in interest rates subsequent to purchase rather than due to credit. During the three and nine months ended September 30, 2022, we recorded impairments of $0.1 million and $7.4 million, respectively, due to our intent to sell securities in an unrealized loss position. There were no impairments recorded during the three or nine months ended September 30, 2021. The Company's other invested assets at September 30, 2022 and December 31, 2021 totaled $263.1 million and $170.5 million, respectively. Other invested assets are principally comprised of limited partnership interests which are generally accounted for under the equity method or fair value using net asset value (or its equivalent) as a practical expedient. Our proportionate share of earnings or losses or changes in fair value are reported in income from other invested assets on the condensed consolidated statements of comprehensive income. For entities accounted for under the equity method that follow industry-specific guidance for investment companies, our proportionate share of earnings or losses includes changes in the fair value of the underlying assets of these entities. Due to the timing of receiving financial information from these partnerships, the results are generally reported on a one month or quarter lag. Through June 30, 2021, unrealized gains and losses reported by these entities were included in other comprehensive income (“OCI”). Subsequent to June 30, 2021, management concluded that unrealized gains and losses on these investments should be reflected in earnings rather than OCI. Income from other invested assets for the three and nine months ended September 30, 2022, includes $9.9 million and $22.5 million of net unrealized gains, respectively. Other invested assets that are accounted for at fair value using the net asset value (or its equivalent) as a practical expedient totaled $172.6 million as of September 30, 2022. The majority of these investments were in limited partnerships invested in real estate or technology. At September 30, 2022, maximum future funding commitments were $29.3 million. For limited partnership investments that have a contractual expiration date, we expect the liquidation of the underlying assets to occur over the next two to nine years. For certain of these investments, the Company does not have the contractual option to redeem, but receives distributions based on the liquidation of the underlying assets. In addition, the Company generally does not have the ability to sell or transfer these investments without the consent from the general partner of individual limited partnerships. The fair value of investments deposited with insurance regulatory authorities to meet statutory requirements was $9.1 million at September 30, 2022 and $9.7 million at December 31, 2021. In connection with its insurance and reinsurance activities, Essent Re is required to maintain assets in trusts for the benefit of its contractual counterparties. The fair value of the investments on deposit in these trusts was $1.0 billion at September 30, 2022 and $982.6 million at December 31, 2021. Essent Guaranty is required to maintain assets on deposit in connection with its fully collateralized reinsurance agreements (see Note 4). The fair value of the assets on deposit was $8.6 million at September 30, 2022 and $8.5 million at December 31, 2021. Essent Guaranty is also required to maintain assets on deposit for the benefit of the sponsor of a fixed income investment commitment. The fair value of the assets on deposit was $9.0 million at September 30, 2022 and $9.0 million at December 31, 2021. Net investment income consists of:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Fixed maturities |  | $ | 33,948 |  |  | $ | 23,001 |  |  | $ | 91,245 |  |  | $ | 69,037 |
Short-term investments |  | 872 |  |  | 30 |  |  | 1,132 |  |  | 158 |
Gross investment income |  | 34,820 |  |  | 23,031 |  |  | 92,377 |  |  | 69,195 |
Investment expenses |  | (2,226) |  |  | (1,458) |  |  | (5,764) |  |  | (4,091) |
Net investment income |  | $ | 32,594 |  |  | $ | 21,573 |  |  | $ | 86,613 |  |  | $ | 65,104 |

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI https://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration