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Essent Group Ltd. Announces Third Quarter 2021 Results & Increases Quarterly Dividend

Nov 05, 2021

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