Essent Group Ltd. Announces Third Quarter 2021 Results & Increases Quarterly Dividend
Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2021 of $205.4 million or $1.84 per diluted share, compared to $124.5 million or $1.11 per diluted share for the quarter ended September 30, 2020.
Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.19 per common share. The dividend is payable on December 10, 2021, to shareholders of record on December 1, 2021.
“We are pleased with our strong financial results which continue to reflect a positive operating environment and ongoing strength in credit performance,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results for the quarter demonstrate the benefits of our economic engine in generating high quality earnings, strong returns and excess capital. In connection with our performance, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.19 per share.”
Third Quarter 2021 Financial Highlights:
Insurance in force as of September 30, 2021 was $208.2 billion, compared to $203.6 billion as of June 30, 2021 and $190.8 billion as of September 30, 2020. New insurance written for the third quarter was $23.6 billion, compared to $25.0 billion in the second quarter of 2021 and $36.7 billion in the third quarter of 2020. Net premiums earned for the third quarter were $218.7 million, compared to $217.4 million in the second quarter of 2021 and $222.3 million in the third quarter of 2020. Income from other invested assets for the third quarter included $39.5 million, or $0.28 per diluted share on an after-tax basis, pertaining to net unrealized gains associated with strategic investments in limited partnerships. Of this amount, $21.1 million represents net unrealized gains that were accumulated in other comprehensive income at June 30, 2021 and prior periods. The expense ratio for the third quarter was 19.3%, compared to 18.9% in the second quarter of 2021 and 16.7% in the third quarter of 2020. The provision for losses and LAE for the third quarter was a benefit of $7.5 million, compared to a provision of $9.7 million in the second quarter of 2021 and a provision of $55.3 million in the third quarter of 2020. The percentage of loans in default as of September 30, 2021 was 2.47%, compared to 2.96% as of June 30, 2021 and 4.54% as of September 30, 2020. The combined ratio for the third quarter was 15.9%, compared to 23.3% in the second quarter of 2021 and 41.6% in the third quarter of 2020. The consolidated balance of cash and investments at September 30, 2021 was $5.1 billion, which includes net cash and investments available for sale at Essent Group Ltd. and Essent US Holdings, Inc. of $513.0 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 10.5:1 as of September 30, 2021. On September 24, 2021, A.M. Best affirmed its “A (Excellent)” financial strength rating of Essent Guaranty, Inc. and a 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 888-510-2008 inside the U.S., or 646-960-0306 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 Ended September 30, 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 September 30,
Nine Months Ended September 30,
(In thousands, except per share amounts)
2021
2020
2021
2020
Revenues:
Direct premiums written
$
229,228
$
243,390
$
693,434
$
677,414
Ceded premiums
(26,880
)
(21,167
)
(84,438
)
(57,544
)
Net premiums written
202,348
222,223
608,996
619,870
Decrease in unearned premiums
16,370
35
46,226
20,355
Net premiums earned
218,718
222,258
655,222
640,225
Net investment income
21,573
18,639
65,104
59,138
Realized investment gains, net
221
267
609
2,133
Income (loss) from other invested assets
40,741
(445
)
41,389
(217
)
Other income
2,283
2,319
9,270
6,676
Total revenues
283,536
243,038
771,594
707,955
Losses and expenses:
(Benefit) provision for losses and LAE
(7,483
)
55,280
34,490
239,220
Other underwriting and operating expenses
42,272
37,100
125,625
117,866
Interest expense
2,063
2,227
6,187
6,925
Total losses and expenses
36,852
94,607
166,302
364,011
Income before income taxes
246,684
148,431
605,292
343,944
Income tax expense
41,331
23,895
104,496
54,505
Net income
$
205,353
$
124,536
$
500,796
$
289,439
Earnings per share:
Basic
$
1.85
$
1.11
$
4.48
$
2.78
Diluted
1.84
1.11
4.47
2.77
Weighted average shares outstanding:
Basic
111,001
111,908
111,708
104,147
Diluted
111,387
112,134
112,070
104,383
Net income
$
205,353
$
124,536
$
500,796
$
289,439
Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments
(36,917
)
12,036
(59,760
)
76,247
Total other comprehensive (loss) income
(36,917
)
12,036
(59,760
)
76,247
Comprehensive income
$
168,436
$
136,572
$
441,036
$
365,686
Loss ratio
(3.4
%)
24.9
%
5.3
%
37.4
%
Expense ratio
19.3
16.7
19.2
18.4
Combined ratio
15.9
%
41.6
%
24.4
%
55.8
%
Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
September 30,
December 31,
(In thousands, except per share amounts)
2021
2020
Assets
Investments
Fixed maturities available for sale, at fair value
$
4,560,235
$
3,838,513
Short-term investments available for sale, at fair value
309,782
726,860
Total investments available for sale
4,870,017
4,565,373
Other invested assets
161,250
88,904
Total investments
5,031,267
4,654,277
Cash
65,825
102,830
Accrued investment income
24,642
19,948
Accounts receivable
47,760
50,140
Deferred policy acquisition costs
13,307
17,005
Property and equipment
12,485
15,095
Prepaid federal income tax
348,286
302,636
Other assets
45,944
40,793
Total assets
$
5,589,516
$
5,202,724
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE
$
412,956
$
374,941
Unearned premium reserve
204,210
250,436
Net deferred tax liability
356,835
305,109
Credit facility borrowings, net of deferred costs
322,614
321,720
Other accrued liabilities
124,917
87,885
Total liabilities
1,421,532
1,340,091
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 110,915 shares in 2021 and 112,423 shares in 2020
1,664
1,686
Additional paid-in capital
1,493,005
1,571,163
Accumulated other comprehensive income
78,514
138,274
Retained earnings
2,594,801
2,151,510
Total stockholders' equity
4,167,984
3,862,633
Total liabilities and stockholders' equity
$
5,589,516
$
5,202,724
Return on average equity (1)
16.6
%
12.1
%
(1) The 2021 return on average equity is calculated by dividing annualized year-to-date 2021 net income by average equity. The 2020 return on average equity is calculated by dividing full year 2020 net income by average equity.
Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2021
2020
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
$
207,127
$
204,149
$
207,840
$
208,715
$
211,126
GSE and other risk share
11,591
13,288
11,227
13,624
11,132
Net premiums earned
218,718
217,437
219,067
222,339
222,258
Income (loss) from other invested assets (1)
40,741
122
526
2
(445
)
Other revenues (2)
24,077
25,702
25,204
24,858
21,225
Total revenues
283,536
243,261
244,797
247,199
243,038
Losses and expenses:
(Benefit) provision for losses and LAE
(7,483
)
9,651
32,322
62,073
55,280
Other underwriting and operating expenses
42,272
41,114
42,239
36,825
37,100
Interest expense
2,063
2,073
2,051
2,149
2,227
Total losses and expenses
36,852
52,838
76,612
101,047
94,607
Income before income taxes
246,684
190,423
168,185
146,152
148,431
Income tax expense (3)
41,331
30,628
32,537
22,550
23,895
Net income
$
205,353
$
159,795
$
135,648
$
123,602
$
124,536
Earnings per share:
Basic
$
1.85
$
1.43
$
1.21
$
1.10
$
1.11
Diluted
1.84
1.42
1.21
1.10
1.11
Weighted average shares outstanding:
Basic
111,001
112,118
112,016
111,908
111,908
Diluted
111,387
112,454
112,378
112,310
112,134
Book value per share
$
37.58
$
36.32
$
34.75
$
34.36
$
33.33
Return on average equity (annualized)
19.9
%
16.0
%
13.9
%
13.0
%
13.5
%
Other Data:
Loss ratio (4)
(3.4
%)
4.4
%
14.8
%
27.9
%
24.9
%
Expense ratio (5)
19.3
18.9
19.3
16.6
16.7
Combined ratio
15.9
%
23.3
%
34.0
%
44.5
%
41.6
%
Credit Facility
Borrowings outstanding
$
325,000
$
325,000
$
325,000
$
325,000
$
425,000
Undrawn committed capacity
$
300,000
$
300,000
$
300,000
$
300,000
$
75,000
Weighted average interest rate (end of period)
2.13
%
2.13
%
2.13
%
2.19
%
1.90
%
Debt-to-capital
7.23
%
7.37
%
7.65
%
7.76
%
10.19
%
(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: September 30, 2021: ($1,493); June 30, 2021: $950; March 31, 2021: ($606); December 31, 2020: ($209); September 30, 2020: ($677).
(3) Income tax expense for the quarter ended September 30, 2021 includes $8,271 of discrete tax expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2021 includes $5,718 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability.
(4) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
(5) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.
Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2021
2020
Other Data, continued:
September 30
June 30
March 31
December 31
September 30
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written
$
23,579,884
$
25,004,854
$
19,254,014
$
29,566,820
$
36,664,583
New risk written
6,273,735
6,445,864
4,616,450
7,051,173
8,938,544
Bulk:
New insurance written
$
—
$
—
$
—
$
—
$
—
New risk written
—
—
—
—
—
Total:
New insurance written
$
23,579,884
$
25,004,854
$
19,254,014
$
29,566,820
$
36,664,583
New risk written
$
6,273,735
$
6,445,864
$
4,616,450
$
7,051,173
$
8,938,544
Average insurance in force
$
206,732,478
$
199,739,297
$
197,749,668
$
195,670,925
$
183,135,315
Insurance in force (end of period)
$
208,216,549
$
203,559,859
$
197,091,191
$
198,882,352
$
190,811,292
Gross risk in force (end of period) (6)
$
52,457,020
$
50,835,835
$
48,951,602
$
49,565,150
$
47,838,668
Risk in force (end of period)
$
45,074,159
$
42,906,519
$
41,135,978
$
41,339,262
$
41,219,216
Policies in force
798,877
794,743
785,382
799,893
781,836
Weighted average coverage (7)
25.2
%
25.0
%
24.8
%
24.9
%
25.1
%
Annual persistency
62.2
%
58.3
%
56.1
%
60.1
%
64.2
%
Loans in default (count)
19,721
23,504
29,080
31,469
35,464
Percentage of loans in default
2.47
%
2.96
%
3.70
%
3.93
%
4.54
%
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (8)
0.42
%
0.43
%
0.44
%
0.44
%
0.45
%
Single premium cancellations (9)
0.03
%
0.03
%
0.04
%
0.05
%
0.06
%
Gross average premium rate
0.45
%
0.46
%
0.48
%
0.49
%
0.51
%
Ceded premiums
(0.05
%)
(0.05
%)
(0.06
%)
(0.06
%)
(0.05
%)
Net average premium rate
0.40
%
0.41
%
0.42
%
0.43
%
0.46
%
(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, 2021
September 30, 2020
September 30, 2021
September 30, 2020
($ in thousands)
>=760
$
9,257,407
39.3
%
$
16,887,062
46.1
%
$
27,778,887
40.9
%
$
34,706,705
44.3
%
740-759
3,892,226
16.5
6,557,520
17.9
10,858,015
16.0
14,316,011
18.3
720-739
3,656,963
15.5
5,238,462
14.3
10,316,977
15.2
11,609,703
14.8
700-719
3,345,696
14.2
4,187,254
11.4
9,328,577
13.8
9,024,266
11.5
680-699
2,361,529
10.0
2,131,994
5.8
5,855,301
8.6
5,127,817
6.5
<=679
1,066,063
4.5
1,662,291
4.5
3,700,995
5.5
3,592,592
4.6
Total
$
23,579,884
100.0
%
$
36,664,583
100.0
%
$
67,838,752
100.0
%
$
78,377,094
100.0
%
Weighted average credit score
744
751
745
749
NIW by LTV
Three Months Ended
Nine Months Ended
September 30, 2021
September 30, 2020
September 30, 2021
September 30, 2020
($ in thousands)
85.00% and below
$
2,336,949
9.9
%
$
6,815,158
18.6
%
$
9,660,937
14.2
%
$
13,807,437
17.6
%
85.01% to 90.00%
5,860,301
24.9
11,324,610
30.9
19,192,675
28.3
24,391,509
31.1
90.01% to 95.00%
11,574,090
49.1
14,781,544
40.3
30,090,325
44.4
31,382,298
40.1
95.01% and above
3,808,544
16.1
3,743,271
10.2
8,894,815
13.1
8,795,850
11.2
Total
$
23,579,884
100.0
%
$
36,664,583
100.0
%
$
67,838,752
100.0
%
$
78,377,094
100.0
%
Weighted average LTV
93
%
91
%
92
%
91
%
NIW by Product
Three Months Ended
Nine Months Ended
September 30, 2021
September 30, 2020
September 30, 2021
September 30, 2020
Single Premium policies
2.5
%
8.6
%
4.1
%
9.5
%
Monthly Premium policies
97.5
91.4
95.9
90.5
100.0
%
100.0
%
100.0
%
100.0
%
NIW by Purchase vs. Refinance
Three Months Ended
Nine Months Ended
September 30, 2021
September 30, 2020
September 30, 2021
September 30, 2020
Purchase
90.9
%
61.1
%
79.6
%
60.0
%
Refinance
9.1
38.9
20.4
40.0
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, 2021
June 30, 2021
September 30, 2020
($ in thousands)
>=760
$
85,833,588
41.2
%
$
84,110,514
41.3
%
$
78,923,142
41.4
%
740-759
35,234,863
16.9
34,636,115
17.0
33,229,396
17.4
720-739
31,291,415
15.1
30,471,320
15.0
28,496,228
15.0
700-719
26,136,910
12.6
25,177,026
12.4
22,748,385
11.9
680-699
16,758,439
8.0
15,962,389
7.8
15,302,772
8.0
<=679
12,961,334
6.2
13,202,495
6.5
12,111,369
6.3
Total
$
208,216,549
100.0
%
$
203,559,859
100.0
%
$
190,811,292
100.0
%
Weighted average credit score
745
745
745
Gross RIF by FICO score
September 30, 2021
June 30, 2021
September 30, 2020
($ in thousands)
>=760
$
21,414,607
40.8
%
$
20,807,006
40.9
%
$
19,606,502
41.0
%
740-759
8,958,297
17.1
8,729,038
17.2
8,395,009
17.5
720-739
8,020,171
15.3
7,745,794
15.2
7,251,499
15.2
700-719
6,652,117
12.7
6,342,378
12.5
5,738,412
12.0
680-699
4,250,044
8.1
3,998,410
7.9
3,853,734
8.0
<=679
3,161,784
6.0
3,213,209
6.3
2,993,512
6.3
Total
$
52,457,020
100.0
%
$
50,835,835
100.0
%
$
47,838,668
100.0
%
Portfolio by LTV
IIF by LTV
September 30, 2021
June 30, 2021
September 30, 2020
($ in thousands)
85.00% and below
$
28,452,535
13.7
%
$
29,045,720
14.3
%
$
23,979,065
12.6
%
85.01% to 90.00%
60,257,704
28.9
60,027,287
29.5
55,453,633
29.1
90.01% to 95.00%
90,957,363
43.7
87,382,625
42.9
84,573,433
44.3
95.01% and above
28,548,947
13.7
27,104,227
13.3
26,805,161
14.0
Total
$
208,216,549
100.0
%
$
203,559,859
100.0
%
$
190,811,292
100.0
%
Weighted average LTV
92
%
92
%
92
%
Gross RIF by LTV
September 30, 2021
June 30, 2021
September 30, 2020
($ in thousands)
85.00% and below
$
3,311,106
6.3
%
$
3,360,970
6.6
%
$
2,759,320
5.8
%
85.01% to 90.00%
14,506,577
27.7
14,421,749
28.4
13,307,205
27.8
90.01% to 95.00%
26,410,513
50.3
25,329,870
49.8
24,391,376
51.0
95.01% and above
8,228,824
15.7
7,723,246
15.2
7,380,767
15.4
Total
$
52,457,020
100.0
%
$
50,835,835
100.0
%
$
47,838,668
100.0
%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period
September 30, 2021
June 30, 2021
September 30, 2020
($ in thousands)
FRM 30 years and higher
$
198,392,156
95.3
%
$
192,995,698
94.8
%
$
180,135,430
94.4
%
FRM 20-25 years
3,974,602
1.9
4,269,217
2.1
3,945,019
2.1
FRM 15 years
4,419,750
2.1
4,742,281
2.3
4,417,092
2.3
ARM 5 years and higher
1,430,041
0.7
1,552,663
0.8
2,313,751
1.2
Total
$
208,216,549
100.0
%
$
203,559,859
100.0
%
$
190,811,292
100.0
%
Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
2021
2020
($ in thousands)
September 30
June 30
March 31
December 31
September 30
GSE and other risk share (1):
Risk in Force
$
1,568,800
$
1,496,247
$
1,534,174
$
1,416,719
$
1,216,353
Reserve for losses and LAE
$
1,389
$
1,390
$
1,312
$
1,073
$
718
Weighted average credit score
748
747
747
746
747
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, 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
$
3,679,908
6.1
%
22,495
4.31
%
81.4
%
70.8
%
4.9
%
15.0
%
42.5
%
3.3
%
1,124
5.00
%
2015
26,193,656
3,613,111
13.8
20,414
4.16
86.5
65.4
3.4
17.6
40.0
4.5
915
4.48
2016
34,949,319
7,191,077
20.6
38,011
3.86
87.8
64.7
8.7
15.2
43.9
5.5
1,665
4.38
2017
43,858,322
9,881,021
22.5
53,501
4.26
90.2
64.7
17.9
19.6
38.0
8.9
3,138
5.87
2018
47,508,525
11,062,279
23.3
57,104
4.77
93.6
66.6
23.2
20.7
33.8
14.5
3,863
6.76
2019
63,569,183
23,609,156
37.1
103,202
4.21
85.4
64.9
22.0
18.8
35.7
24.0
5,007
4.85
2020
107,944,065
83,556,296
77.4
297,734
3.19
62.2
51.3
11.2
11.4
44.4
16.3
3,563
1.20
2021 (through September 30)
67,838,752
65,623,701
96.7
206,416
3.05
80.0
57.9
13.4
14.1
40.6
7.6
446
0.22
Total
$
452,530,673
$
208,216,549
46.0
798,877
3.46
75.1
57.4
13.7
14.3
41.2
9.4
19,721
2.47
(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, 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 (7)
2015 & 2016
$
10,456,730
$
2,819,155
$
333,844
$
—
$
333,844
$
216,480
$
—
$
216,480
$
—
$
208,111
$
207,228
$
1,212
$
3,631
$
—
2017
9,626,915
2,477,614
424,412
165,167
589,579
242,123
165,167
407,290
—
224,689
217,662
2,681
7,976
—
2018
10,872,992
2,769,084
473,184
118,650
591,834
325,537
76,144
401,681
—
253,643
249,595
3,221
9,604
—
2019 (3)
13,147,399
3,359,701
495,889
55,102
550,991
495,889
55,102
550,991
—
215,605
215,198
2,778
8,290
76,545
2019 & 2020 (4)
34,844,588
8,778,381
399,159
—
399,159
233,980
—
233,980
—
465,690
465,690
4,486
14,399
148,858
2020 & 2021 (5)
53,337,485
12,988,275
557,911
—
557,911
557,911
—
557,911
—
278,956
278,956
3,714
3,980
557,911
Total
$
132,286,109
$
33,192,210
$
2,684,399
$
338,919
$
3,023,318
$
2,071,920
$
296,413
$
2,368,333
$
—
$
1,646,694
$
1,634,329
$
18,092
$
47,880
$
783,314
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 (7)
2019 & 2020
(6)
$
93,411,304
$
23,055,319
$
20,512,448
$
5,014,528
$
(307)
$
7,949
$
4,547
$
14,304
$
8,788
$
36,558
$
335,553
(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 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.
(7) 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
September 30, 2021
June 30, 2021
September 30, 2020
CA
13.1
%
12.9
%
11.2
%
TX
9.8
9.8
9.6
FL
9.5
9.3
8.5
CO
4.1
4.1
4.1
WA
3.7
3.7
3.9
IL
3.4
3.3
3.5
AZ
3.4
3.5
3.5
VA
3.1
3.1
3.2
NJ
3.1
3.1
3.4
GA
3.1
3.1
3.1
All Others
43.7
44.1
46.0
Total
100.0
%
100.0
%
100.0
%
Gross RIF by State
September 30, 2021
June 30, 2021
September 30, 2020
CA
12.9
%
12.7
%
11.0
%
TX
10.1
10.1
9.9
FL
9.8
9.6
8.7
CO
4.1
4.1
4.0
WA
3.7
3.6
3.9
AZ
3.3
3.4
3.4
IL
3.3
3.2
3.4
GA
3.1
3.1
3.1
VA
3.1
3.0
3.1
NJ
3.0
3.0
3.3
All Others
43.6
44.2
46.2
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
September 30
June 30
March 31
December 31
September 30
Beginning default inventory
23,504
29,080
31,469
35,464
38,068
Plus: new defaults (A)
5,132
4,934
7,422
8,745
12,614
Less: cures
(8,862
)
(10,453
)
(9,737
)
(12,679
)
(15,135
)
Less: claims paid
(41
)
(46
)
(61
)
(49
)
(67
)
Less: rescissions and denials, net
(12
)
(11
)
(13
)
(12
)
(16
)
Ending default inventory
19,721
23,504
29,080
31,469
35,464
(A) New defaults remaining as of September 30, 2021
3,820
2,230
2,396
2,250
2,360
Cure rate (1)
26
%
55
%
68
%
74
%
81
%
Total amount paid for claims (in thousands)
$
1,069
$
1,154
$
1,989
$
1,922
$
2,557
Average amount paid per claim (in thousands)
$
26
$
25
$
33
$
39
$
38
Severity
60
%
57
%
70
%
62
%
77
%
Rollforward of Reserve for Losses and LAE
Three Months Ended
2021
2020
($ in thousands)
September 30
June 30
March 31
December 31
September 30
Reserve for losses and LAE at beginning of period
$
420,482
$
409,811
$
373,868
$
307,019
$
250,862
Less: Reinsurance recoverables
27,286
24,907
19,061
11,898
7,761
Net reserve for losses and LAE at beginning of period
393,196
384,904
354,807
295,121
243,101
Add provision for losses and LAE occurring in:
Current period
11,371
24,534
47,763
63,597
55,660
Prior years
(18,853
)
(14,961
)
(15,680
)
(1,879
)
(1,070
)
Incurred losses and LAE during the period
(7,482
)
9,573
32,083
61,718
54,590
Deduct payments for losses and LAE occurring in:
Current period
103
14
114
524
205
Prior years
1,014
1,267
1,872
1,508
2,365
Loss and LAE payments during the period
1,117
1,281
1,986
2,032
2,570
Net reserve for losses and LAE at end of period
384,597
393,196
384,904
354,807
295,121
Plus: Reinsurance recoverables
26,970
27,286
24,907
19,061
11,898
Reserve for losses and LAE at end of period
$
411,567
$
420,482
$
409,811
$
373,868
$
307,019
(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, 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%
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%
September 30, 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
9,237
26
%
$
58,296
21
%
$
554,524
11
%
Four to eleven payments
25,290
71
194,892
69
1,697,419
11
Twelve or more payments
891
3
24,842
9
48,612
51
Pending claims
46
—
2,417
1
2,840
85
Total case reserves
35,464
100
%
280,447
100
%
$
2,303,395
12
IBNR
21,034
LAE
5,538
Total reserves for losses and LAE
$
307,019
Average reserve per default:
Case
$
7.9
Total
$
8.7
Default Rate
4.54%
Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class
September 30, 2021
December 31, 2020
($ in thousands)
Fair Value
Percent
Fair Value
Percent
U.S. Treasury securities
$
331,216
6.8
%
$
268,444
5.9
%
U.S. agency securities
5,536
0.1
18,085
0.4
U.S. agency mortgage-backed securities
989,552
20.3
995,905
21.8
Municipal debt securities
592,458
12.2
551,517
12.1
Non-U.S. government securities
79,994
1.6
61,607
1.3
Corporate debt securities
1,524,144
31.3
1,126,512
24.7
Residential and commercial mortgage securities
539,186
11.1
409,282
9.0
Asset-backed securities
554,475
11.4
454,717
9.9
Money market funds
253,456
5.2
679,304
14.9
Total investments available for sale
$
4,870,017
100.0
%
$
4,565,373
100.0
%
Investments Available for Sale by Credit Rating
Rating (1)
September 30, 2021
December 31, 2020
($ in thousands)
Fair Value
Percent
Fair Value
Percent
Aaa
$
2,356,302
48.4
%
$
2,564,746
56.2
%
Aa1
106,743
2.2
133,100
2.9
Aa2
320,018
6.6
260,462
5.7
Aa3
212,516
4.4
204,917
4.5
A1
288,177
5.9
249,710
5.5
A2
459,205
9.4
401,175
8.8
A3
293,220
6.0
229,882
5.0
Baa1
302,771
6.2
260,602
5.7
Baa2
260,360
5.4
178,926
3.9
Baa3
190,999
3.9
48,199
1.1
Below Baa3
79,706
1.6
33,654
0.7
Total investments available for sale
$
4,870,017
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
September 30, 2021
December 31, 2020
($ in thousands)
Fair Value
Percent
Fair Value
Percent
< 1 Year
$
1,181,803
24.3
%
$
1,568,505
34.4
%
1 to < 2 Years
644,007
13.2
581,003
12.7
2 to < 3 Years
530,003
10.9
616,069
13.5
3 to < 4 Years
688,472
14.1
426,333
9.3
4 to < 5 Years
493,847
10.1
367,633
8.1
5 or more Years
1,331,885
27.4
1,005,830
22.0
Total investments available for sale
$
4,870,017
100.0
%
$
4,565,373
100.0
%
Pre-tax investment income yield:
Three months ended September 30, 2021
1.93
%
Nine months ended September 30, 2021
1.97
%
Holding company net cash and investments available for sale: (2)
($ in thousands)
As of September 30, 2021
$
513,000
As of December 31, 2020
$
574,901
(2) Includes net cash and investments available for sale at Essent Group Ltd. and Essent US Holdings, Inc.
Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
2021
2020
September 30
June 30
March 31
December 31
September 30
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)
$
2,916,802
$
2,809,087
$
2,778,131
$
2,659,161
$
2,581,136
Combined net risk in force (2)
$
30,766,379
$
29,646,042
$
29,358,191
$
29,493,572
$
29,821,246
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.
10.9:1
10.9:1
11.0:1
11.5:1
12.0:1
Essent Guaranty of PA, Inc.
1.0:1
1.1:1
1.4:1
1.7:1
2.0:1
Combined (4)
10.5:1
10.6:1
10.6:1
11.1:1
11.6:1
Essent Guaranty, Inc. PMIERs Data (5):
Available Assets
$
3,161,780
$
3,016,050
$
2,996,651
$
2,855,923
$
2,720,432
Minimum Required Assets
1,951,096
1,731,843
1,864,262
1,671,011
1,739,479
PMIERs excess Available Assets
$
1,210,684
$
1,284,207
$
1,132,389
$
1,184,912
$
980,953
PMIERs sufficiency ratio (6)
162
%
174
%
161
%
171
%
156
%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)
$
1,249,996
$
1,192,077
$
1,136,504
$
1,101,003
$
1,061,546
Net risk in force (2)
$
15,466,651
$
14,338,567
$
12,905,289
$
12,892,300
$
12,312,124
(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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