HAMILTON, Bermuda--(BUSINESS WIRE)--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2024 of $176.2 million or $1.65 per diluted share, compared to $178.0 million or $1.66 per diluted share for the quarter ended September 30, 2023.
Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.28 per common share. The dividend is payable on December 11, 2024, to shareholders of record on December 2, 2024.
"We are pleased with our third quarter financial results, as we continue to generate high quality earnings," said Mark A. Casale, Chairman and Chief Executive Officer. "Our results continue to benefit from the impact of interest rates on persistency and the growth in our investment portfolio. Our performance for the quarter demonstrates the strength of our operating model in producing strong returns and growing book value per share."
Financial Highlights:
- New insurance written for the third quarter of 2024 was $12.5 billion, consistent with the second quarter of 2024 and the third quarter of 2023.
- Insurance in force as of September 30, 2024 was $243.0 billion, compared to $240.7 billion as of June 30, 2024 and $238.7 billion as of September 30, 2023.
- Net investment income for the nine months ended September 30, 2024 was $165.5 million, up 22% from the comparable period in 2023.
- In September, Essent closed its 10th mortgage insurance-linked note transaction, Radnor Re 2024-1, which provides $363 million of collateralized reinsurance coverage for new insurance written from July 2023 through July 2024.
Conference Call:
Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. The call may also be accessed by dialing 888-330-2384 inside the U.S., or 240-789-2701 for international callers, using passcode 9824537 or by referencing Essent.
A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the U.S., or 647-362-9199 for international callers, passcode 9824537.
In addition to the information provided in the Company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx.
Forward-Looking Statements:
This press release may include "forward-looking statements" which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," "should," "expect," "plan," "anticipate," "believe," "estimate," "predict," or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: 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 or the loss of a significant customer; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through Federal government mortgage insurance programs; decline in the volume of low down payment mortgage originations; uncertainty of loss reserve estimates; decrease in the length of time our insurance policies are in force; deteriorating economic conditions; 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, 2023 filed with the Securities and Exchange Commission on February 16, 2024, 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") offering private mortgage insurance, reinsurance, and title insurance and settlement services to serve the housing finance industry. Additional information regarding Essent may be found at www.essentgroup.com.
Source: Essent Group Ltd.
Essent Group Ltd. and Subsidiaries | ||
Financial Results and Supplemental Information (Unaudited) | ||
Quarter Ended September 30, 2024 | ||
Exhibit A | Condensed Consolidated Statements of Comprehensive Income (Unaudited) | |
Exhibit B | Condensed Consolidated Balance Sheets (Unaudited) | |
Exhibit C | Consolidated Historical Quarterly Data | |
Exhibit D | U.S. Mortgage Insurance Portfolio Historical Quarterly Data | |
Exhibit E | New Insurance Written - U.S. Mortgage Insurance Portfolio | |
Exhibit F | Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio | |
Exhibit G | Other Risk in Force | |
Exhibit H | U.S. Mortgage Insurance Portfolio Vintage Data | |
Exhibit I | U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data | |
Exhibit J | U.S. Mortgage Insurance Portfolio Geographic Data | |
Exhibit K | Rollforward of Defaults and Reserve for Losses and LAE - U.S. Mortgage Insurance Portfolio | |
Exhibit L | Detail of Reserves by Default Delinquency - U.S. Mortgage Insurance Portfolio | |
Exhibit M | Investments Available for Sale | |
Exhibit N | U.S. Mortgage Insurance Company Capital | |
Exhibit O | Ratios and Reconciliation of Non-GAAP Financial Measures | |
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) | 2024 | 2023 | 2024 | 2023 | |||||||||||
Revenues: | |||||||||||||||
Direct premiums written | $ | 277,754 | $ | 270,868 | $ | 819,595 | $ | 759,526 | |||||||
Ceded premiums | (34,789 | ) | (30,294 | ) | (92,524 | ) | (103,431 | ) | |||||||
Net premiums written | 242,965 | 240,574 | 727,071 | 656,095 | |||||||||||
Decrease in unearned premiums | 5,971 | 6,231 | 19,346 | 15,197 | |||||||||||
Net premiums earned | 248,936 | 246,805 | 746,417 | 671,292 | |||||||||||
Net investment income | 57,340 | 47,072 | 165,511 | 135,558 | |||||||||||
Realized investment gains (losses), net | 68 | (235 | ) | (2,236 | ) | (2,312 | ) | ||||||||
Income (loss) from other invested assets | 2,820 | (3,143 | ) | 486 | (10,697 | ) | |||||||||
Other income | 7,414 | 5,609 | 17,699 | 18,641 | |||||||||||
Total revenues | 316,578 | 296,108 | 927,877 | 812,482 | |||||||||||
Losses and expenses: | |||||||||||||||
Provision for losses and LAE | 30,666 | 10,822 | 40,245 | 11,902 | |||||||||||
Other underwriting and operating expenses | 57,259 | 54,814 | 170,595 | 145,183 | |||||||||||
Premiums retained by agents | 9,622 | 13,175 | 29,328 | 13,175 | |||||||||||
Interest expense | 11,457 | 7,854 | 27,168 | 22,184 | |||||||||||
Total losses and expenses | 109,004 | 86,665 | 267,336 | 192,444 | |||||||||||
Income before income taxes | 207,574 | 209,443 | 660,541 | 620,038 | |||||||||||
Income tax expense | 31,399 | 31,484 | 99,038 | 99,019 | |||||||||||
Net income | $ | 176,175 | $ | 177,959 | $ | 561,503 | $ | 521,019 | |||||||
Earnings per share: | |||||||||||||||
Basic | $ | 1.67 | $ | 1.68 | $ | 5.32 | $ | 4.90 | |||||||
Diluted | 1.65 | 1.66 | 5.26 | 4.86 | |||||||||||
Weighted average shares outstanding: | |||||||||||||||
Basic | 105,266 | 105,979 | 105,539 | 106,387 | |||||||||||
Diluted | 106,554 | 107,025 | 106,700 | 107,232 | |||||||||||
Net income | $ | 176,175 | $ | 177,959 | $ | 561,503 | $ | 521,019 | |||||||
Other comprehensive income (loss): | |||||||||||||||
Change in unrealized appreciation (depreciation) of investments | 117,358 | (76,248 | ) | 90,217 | (53,593 | ) | |||||||||
Total other comprehensive income (loss) | 117,358 | (76,248 | ) | 90,217 | (53,593 | ) | |||||||||
Comprehensive income | $ | 293,533 | $ | 101,711 | $ | 651,720 | $ | 467,426 | |||||||
Exhibit B | |||||||
Essent Group Ltd. and Subsidiaries | |||||||
Condensed Consolidated Balance Sheets (Unaudited) | |||||||
September 30, | December 31, | ||||||
(In thousands, except per share amounts) | 2024 | 2023 | |||||
Assets | |||||||
Investments | |||||||
Fixed maturities available for sale, at fair value | $ | 4,919,868 | $ | 4,335,008 | |||
Short-term investments available for sale, at fair value | 1,030,631 | 928,731 | |||||
Total investments available for sale | 5,950,499 | 5,263,739 | |||||
Other invested assets | 294,931 | 277,226 | |||||
Total investments | 6,245,430 | 5,540,965 | |||||
Cash | 109,306 | 141,787 | |||||
Accrued investment income | 40,453 | 35,689 | |||||
Accounts receivable | 54,394 | 63,266 | |||||
Deferred policy acquisition costs | 9,491 | 9,139 | |||||
Property and equipment | 41,221 | 41,304 | |||||
Prepaid federal income tax | 494,356 | 470,646 | |||||
Goodwill and acquired intangible assets, net | 69,907 | 72,826 | |||||
Other assets | 61,981 | 51,051 | |||||
Total assets | $ | 7,126,539 | $ | 6,426,673 | |||
Liabilities and Stockholders' Equity | |||||||
Liabilities | |||||||
Reserve for losses and LAE | $ | 288,316 | $ | 260,095 | |||
Unearned premium reserve | 120,939 | 140,285 | |||||
Net deferred tax liability | 410,761 | 362,753 | |||||
Senior notes due 2029, net | 493,673 | - | |||||
Credit facility borrowings, net | - | 421,920 | |||||
Other accrued liabilities | 171,865 | 139,070 | |||||
Total liabilities | 1,485,554 | 1,324,123 | |||||
Commitments and contingencies | |||||||
Stockholders' Equity | |||||||
Common shares, $0.015 par value: | |||||||
Authorized - 233,333; issued and outstanding - 106,204 shares in 2024 and 106,597 shares in 2023 | 1,593 | 1,599 | |||||
Additional paid-in capital | 1,276,572 | 1,299,869 | |||||
Accumulated other comprehensive loss | (190,279 | ) | (280,496 | ) | |||
Retained earnings | 4,553,099 | 4,081,578 | |||||
Total stockholders' equity | 5,640,985 | 5,102,550 | |||||
Total liabilities and stockholders' equity | $ | 7,126,539 | $ | 6,426,673 | |||
Return on average equity (1) | 13.9 | % | 14.6 | % | |||
(1) The 2024 return on average equity is calculated by dividing annualized year-to-date 2024 net income by average equity. The 2023 return on average equity is calculated by dividing full year 2023 net income by average equity. | |||||||
Exhibit C | ||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||
Consolidated Historical Quarterly Data | ||||||||||||||||||||
2024 | 2023 | |||||||||||||||||||
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 | $ | 214,119 | $ | 217,513 | $ | 212,479 | $ | 211,083 | $ | 209,351 | ||||||||||
GSE and other risk share | 17,130 | 17,745 | 17,826 | 17,166 | 16,850 | |||||||||||||||
Title insurance | 17,687 | 16,633 | 15,285 | 17,365 | 20,604 | |||||||||||||||
Net premiums earned | 248,936 | 251,891 | 245,590 | 245,614 | 246,805 | |||||||||||||||
Net investment income | 57,340 | 56,086 | 52,085 | 50,581 | 47,072 | |||||||||||||||
Realized investment gains (losses), net | 68 | (1,164 | ) | (1,140 | ) | (4,892 | ) | (235 | ) | |||||||||||
Income (loss) from other invested assets | 2,820 | (419 | ) | (1,915 | ) | (421 | ) | (3,143 | ) | |||||||||||
Other income (1) | 7,414 | 6,548 | 3,737 | 6,395 | 5,609 | |||||||||||||||
Total revenues | 316,578 | 312,942 | 298,357 | 297,277 | 296,108 | |||||||||||||||
Losses and expenses: | ||||||||||||||||||||
Provision (benefit) for losses and LAE | 30,666 | (334 | ) | 9,913 | 19,640 | 10,822 | ||||||||||||||
Other underwriting and operating expenses | 57,259 | 55,987 | 57,349 | 55,248 | 54,814 | |||||||||||||||
Premiums retained by agents | 9,622 | 10,215 | 9,491 | 11,475 | 13,175 | |||||||||||||||
Interest expense | 11,457 | 7,849 | 7,862 | 7,953 | 7,854 | |||||||||||||||
Total losses and expenses | 109,004 | 73,717 | 84,615 | 94,316 | 86,665 | |||||||||||||||
Income before income taxes | 207,574 | 239,225 | 213,742 | 202,961 | 209,443 | |||||||||||||||
Income tax expense (2) | 31,399 | 35,616 | 32,023 | 27,594 | 31,484 | |||||||||||||||
Net income | $ | 176,175 | $ | 203,609 | $ | 181,719 | $ | 175,367 | $ | 177,959 | ||||||||||
Earnings per share: | ||||||||||||||||||||
Basic | $ | 1.67 | $ | 1.93 | $ | 1.72 | $ | 1.66 | $ | 1.68 | ||||||||||
Diluted | 1.65 | 1.91 | 1.70 | 1.64 | 1.66 | |||||||||||||||
Weighted average shares outstanding: | ||||||||||||||||||||
Basic | 105,266 | 105,657 | 105,697 | 105,733 | 105,979 | |||||||||||||||
Diluted | 106,554 | 106,778 | 106,770 | 106,823 | 107,025 | |||||||||||||||
Book value per share | $ | 53.11 | $ | 50.58 | $ | 48.96 | $ | 47.87 | $ | 44.98 | ||||||||||
Return on average equity (annualized) | 12.8 | % | 15.4 | % | 14.1 | % | 14.2 | % | 14.9 | % | ||||||||||
Borrowings outstanding | $ | 500,000 | $ | 425,000 | $ | 425,000 | $ | 425,000 | $ | 425,000 | ||||||||||
Undrawn committed capacity | $ | 500,000 | $ | 400,000 | $ | 400,000 | $ | 400,000 | $ | 400,000 | ||||||||||
Weighted average interest rate (end of period) | 6.25 | % | 7.07 | % | 7.06 | % | 7.11 | % | 7.07 | % | ||||||||||
Debt-to-capital | 8.14 | % | 7.32 | % | 7.52 | % | 7.69 | % | 8.12 | % | ||||||||||
(1) Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended September 30, 2024, June 30, 2024, March 31, 2024, December 31, 2023, and September 30, 2023, were ($1,173), $732, ($1,902), $412, and ($898), respectively. | ||||||||||||||||||||
(2) Income tax expense for the quarters ended September 30, 2024, June 30, 2024, March 31, 2024, December 31, 2023, and September 30, 2023 includes $475, $556, ($1,041), ($1,132), and ($763), respectively, of discrete tax expense (benefit) associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2024 also includes ($616) of excess tax benefits associated with the vesting of common shares and common share units. Income tax expense for the quarter ended December 31, 2023 also includes a $2,731 net benefit associated with the recognition of a deferred tax asset for unrealized losses on the investment portfolios of Essent Group and Essent Re upon the enactment of the Bermuda Corporate Income Tax. | ||||||||||||||||||||
Exhibit D | ||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||
U.S. Mortgage Insurance Portfolio Historical Quarterly Data | ||||||||||||||||||||
2024 | 2023 | |||||||||||||||||||
Other Data: | September 30 | June 30 | March 31 | December 31 | September 30 | |||||||||||||||
($ in thousands) | ||||||||||||||||||||
U.S. Mortgage Insurance Portfolio | ||||||||||||||||||||
New insurance written | $ | 12,513,695 | $ | 12,503,125 | $ | 8,323,544 | $ | 8,769,160 | $ | 12,505,823 | ||||||||||
New risk written | 3,437,465 | 3,449,623 | 2,289,508 | 2,409,340 | 3,458,467 | |||||||||||||||
Average insurance in force | $ | 242,065,632 | $ | 239,538,571 | $ | 238,595,268 | $ | 239,005,961 | $ | 237,270,093 | ||||||||||
Insurance in force (end of period) | $ | 242,976,043 | $ | 240,669,165 | $ | 238,477,402 | $ | 239,078,262 | $ | 238,661,612 | ||||||||||
Gross risk in force (end of period) (1) | $ | 66,237,992 | $ | 65,269,064 | $ | 64,247,810 | $ | 64,061,374 | $ | 63,605,057 | ||||||||||
Risk in force (end of period) | $ | 55,915,640 | $ | 55,521,538 | $ | 54,686,533 | $ | 54,591,590 | $ | 53,920,308 | ||||||||||
Policies in force | 815,507 | 814,237 | 815,752 | 822,012 | 825,248 | |||||||||||||||
Weighted average coverage (2) | 27.3 | % | 27.1 | % | 26.9 | % | 26.8 | % | 26.7 | % | ||||||||||
Annual persistency | 86.6 | % | 86.7 | % | 86.9 | % | 86.9 | % | 86.6 | % | ||||||||||
Loans in default (count) | 15,906 | 13,954 | 13,992 | 14,819 | 13,391 | |||||||||||||||
Percentage of loans in default | 1.95 | % | 1.71 | % | 1.72 | % | 1.80 | % | 1.62 | % | ||||||||||
U.S. Mortgage Insurance Portfolio premium rate: | ||||||||||||||||||||
Base average premium rate (3) | 0.41 | % | 0.41 | % | 0.41 | % | 0.40 | % | 0.40 | % | ||||||||||
Single premium cancellations (4) | - | % | - | % | - | % | - | % | - | % | ||||||||||
Gross average premium rate | 0.41 | % | 0.41 | % | 0.41 | % | 0.40 | % | 0.40 | % | ||||||||||
Ceded premiums | (0.06 | %) | (0.05 | %) | (0.05 | %) | (0.05 | %) | (0.05 | %) | ||||||||||
Net average premium rate | 0.35 | % | 0.36 | % | 0.36 | % | 0.35 | % | 0.35 | % | ||||||||||
(1) Gross risk in force includes risk ceded under third-party reinsurance. | ||||||||||||||||||||
(2) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force. | ||||||||||||||||||||
(3) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period. | ||||||||||||||||||||
(4) 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 E | |||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||||||||||||
Supplemental Information - U.S. Mortgage Insurance Portfolio | |||||||||||||||||||||||
New Insurance Written: Flow | |||||||||||||||||||||||
NIW by Credit Score | |||||||||||||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||||||||||||
September 30, 2024 | September 30, 2023 | September 30, 2024 | September 30, 2023 | ||||||||||||||||||||
($ in thousands) | |||||||||||||||||||||||
>=760 | $ | 5,339,574 | 42.7 | % | $ | 5,212,343 | 41.8 | % | $ | 14,387,356 | 43.2 | % | $ | 15,473,191 | 39.8 | % | |||||||
740-759 | 2,141,817 | 17.1 | 2,205,066 | 17.6 | 5,717,289 | 17.1 | 7,031,821 | 18.1 | |||||||||||||||
720-739 | 1,764,319 | 14.1 | 1,911,320 | 15.3 | 4,828,718 | 14.5 | 6,310,564 | 16.2 | |||||||||||||||
700-719 | 1,622,450 | 13.0 | 1,867,510 | 14.9 | 4,348,047 | 13.0 | 5,892,704 | 15.1 | |||||||||||||||
680-699 | 918,116 | 7.3 | 891,471 | 7.1 | 2,351,589 | 7.1 | 3,024,347 | 7.8 | |||||||||||||||
<=679 | 727,419 | 5.8 | 418,113 | 3.3 | 1,707,365 | 5.1 | 1,165,065 | 3.0 | |||||||||||||||
Total | $ | 12,513,695 | 100.0 | % | $ | 12,505,823 | 100.0 | % | $ | 33,340,364 | 100.0 | % | $ | 38,897,692 | 100.0 | % | |||||||
Weighted average credit score | 747 | 747 | 747 | 746 | |||||||||||||||||||
NIW by LTV | |||||||||||||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||||||||||||
September 30, 2024 | September 30, 2023 | September 30, 2024 | September 30, 2023 | ||||||||||||||||||||
($ in thousands) | |||||||||||||||||||||||
85.00% and below | $ | 836,186 | 6.7 | % | $ | 849,250 | 6.7 | % | $ | 2,250,434 | 6.7 | % | $ | 2,801,011 | 7.2 | % | |||||||
85.01% to 90.00% | 2,415,504 | 19.3 | 2,445,924 | 19.6 | 6,571,300 | 19.7 | 7,951,062 | 20.4 | |||||||||||||||
90.01% to 95.00% | 6,616,174 |
52.9 | 6,614,050 | 52.9 | 18,008,682 | 54.0 | 21,383,696 | 55.0 | |||||||||||||||
95.01% and above | 2,645,831 | 21.1 | 2,596,599 | 20.8 | 6,509,948 | 19.6 | 6,761,923 | 17.4 | |||||||||||||||
Total | $ | 12,513,695 | 100.0 | % | $ | 12,505,823 | 100.0 | % | $ | 33,340,364 | 100.0 | % | $ | 38,897,692 | 100.0 | % | |||||||
Weighted average LTV | 93 | % | 93 | % | 93 | % | 93 | % | |||||||||||||||
NIW by Product | |||||||||||||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||||||||||||
September 30, 2024 | September 30, 2023 | September 30, 2024 | September 30, 2023 | ||||||||||||||||||||
Single Premium policies | 1.4 | % | 2.8 | % | 1.5 | % | 3.8 | % | |||||||||||||||
Monthly Premium policies | 98.6 | 97.2 | 98.5 | 96.2 | |||||||||||||||||||
100.0 | % | 100.0 | % | 100.0 | % | 100.0 | % | ||||||||||||||||
NIW by Purchase vs. Refinance | |||||||||||||||||||||||
Three Months Ended | Nine Months Ended | ||||||||||||||||||||||
September 30, 2024 | September 30, 2023 | September 30, 2024 | September 30, 2023 | ||||||||||||||||||||
Purchase | 97.0 | % | 99.0 | % | 97.4 | % | 98.8 | % | |||||||||||||||
Refinance | 3.0 | 1.0 |
| 2.6 | 1.2 | ||||||||||||||||||
100.0 | % | 100.0 | % | 100.0 | % | 100.0 | % | ||||||||||||||||
Exhibit F | ||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||
Supplemental Information | ||||||||||||||||||
Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio | ||||||||||||||||||
Portfolio by Credit Score | ||||||||||||||||||
IIF by FICO score | September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
>=760 | $ | 98,553,455 | 40.6 | % | $ | 97,668,435 | 40.6 | % | $ | 97,027,348 | 40.7 | % | ||||||
740-759 | 42,377,559 | 17.4 | 41,915,598 | 17.4 | 41,362,480 | 17.3 | ||||||||||||
720-739 | 37,947,254 | 15.6 | 37,678,804 | 15.7 | 37,297,809 | 15.6 | ||||||||||||
700-719 | 32,685,044 | 13.5 | 32,331,564 | 13.4 | 31,674,346 | 13.3 | ||||||||||||
680-699 | 19,890,335 | 8.2 | 19,751,956 | 8.2 | 19,850,176 | 8.3 | ||||||||||||
<=679 | 11,522,396 | 4.7 | 11,322,808 | 4.7 | 11,449,453 | 4.8 | ||||||||||||
Total | $ | 242,976,043 | 100.0 | % | $ | 240,669,165 | 100.0 | % | $ | 238,661,612 | 100.0 | % | ||||||
Weighted average credit score | 746 | 746 | 746 | |||||||||||||||
Gross RIF by FICO score | September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
>=760 | $ | 26,614,399 | 40.2 | % | $ | 26,238,140 | 40.2 | % | $ | 25,594,262 | 40.1 | % | ||||||
740-759 | 11,715,485 | 17.7 | 11,525,987 | 17.7 | 11,165,727 | 17.6 | ||||||||||||
720-739 | 10,485,311 | 15.8 | 10,362,021 | 15.9 | 10,090,889 | 15.9 | ||||||||||||
700-719 | 9,044,551 | 13.7 | 8,899,342 | 13.6 | 8,568,811 | 13.5 | ||||||||||||
680-699 | 5,451,406 | 8.2 | 5,382,312 | 8.2 | 5,327,434 | 8.4 | ||||||||||||
<=679 | 2,926,840 | 4.4 | 2,861,262 | 4.4 | 2,857,934 | 4.5 | ||||||||||||
Total | $ | 66,237,992 | 100.0 | % | $ | 65,269,064 | 100.0 | % | $ | 63,605,057 | 100.0 | % | ||||||
Portfolio by LTV | ||||||||||||||||||
IIF by LTV | September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
85.00% and below | $ | 15,555,555 | 6.4 | % | $ | 16,927,111 | 7.0 | % | $ | 21,226,685 | 8.9 | % | ||||||
85.01% to 90.00% | 61,262,960 | 25.2 | 61,774,991 | 25.7 | 63,374,562 | 26.6 | ||||||||||||
90.01% to 95.00% | 125,919,529 | 51.8 | 123,414,332 | 51.3 | 118,461,030 | 49.6 | ||||||||||||
95.01% and above | 40,237,999 | 16.6 | 38,552,731 | 16.0 | 35,599,335 | 14.9 | ||||||||||||
Total | $ | 242,976,043 | 100.0 | % | $ | 240,669,165 | 100.0 | % | $ | 238,661,612 | 100.0 | % | ||||||
Weighted average LTV | 93 | % | 93 | % | 93 | % | ||||||||||||
Gross RIF by LTV | September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
85.00% and below | $ | 1,845,584 | 2.8 | % | $ | 2,010,864 | 3.1 | % | $ | 2,525,753 | 4.0 | % | ||||||
85.01% to 90.00% | 15,120,025 | 22.8 | 15,238,201 | 23.3 | 15,566,095 | 24.5 | ||||||||||||
90.01% to 95.00% | 37,149,222 | 56.1 | 36,405,573 | 55.8 | 34,848,762 | 54.8 | ||||||||||||
95.01% and above | 12,123,161 | 18.3 | 11,614,426 | 17.8 | 10,664,447 | 16.7 | ||||||||||||
Total | $ | 66,237,992 | 100.0 | % | $ | 65,269,064 | 100.0 | % | $ | 63,605,057 | 100.0 | % | ||||||
Portfolio by Loan Amortization Period | ||||||||||||||||||
IIF by Loan Amortization Period | September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
FRM 30 years and higher | $ | 237,628,900 | 97.8 | % | $ | 235,138,420 | 97.7 | % | $ | 232,186,999 | 97.3 | % | ||||||
FRM 20-25 years | 1,199,947 | 0.5 | 1,322,021 | 0.5 | 1,910,610 | 0.8 | ||||||||||||
FRM 15 years | 1,191,749 | 0.5 | 1,276,780 | 0.5 | 1,719,467 | 0.7 | ||||||||||||
ARM 5 years and higher | 2,955,447 | 1.2 | 2,931,944 | 1.3 | 2,844,536 | 1.2 | ||||||||||||
Total | $ | 242,976,043 | 100.0 | % | $ | 240,669,165 | 100.0 | % | $ | 238,661,612 | 100.0 | % | ||||||
Exhibit G | |||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||||||||||
Supplemental Information | |||||||||||||||||||||
Other Risk in Force | |||||||||||||||||||||
2024 | 2023 | ||||||||||||||||||||
($ in thousands) | September 30 | June 30 | March 31 | December 31 | September 30 | ||||||||||||||||
GSE and other risk share (1): | |||||||||||||||||||||
Risk in Force | $ | 2,254,726 | $ | 2,304,885 | $ | 2,307,267 | $ | 2,244,944 | $ | 2,247,393 | |||||||||||
Reserve for losses and LAE | $ | 37 | $ | 33 | $ | 32 | $ | 29 | $ | 54 | |||||||||||
Weighted average credit score | 750 | 750 | 750 | 749 | 749 | ||||||||||||||||
Weighted average LTV | 82 | % | 82 | % | 82 | % | 82 | % | 82 | % | |||||||||||
(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 H | |||||||||||||||||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||||||||||||||||||||||||||
Supplemental Information | |||||||||||||||||||||||||||||||||||||
U.S. Mortgage Insurance Portfolio Vintage Data | |||||||||||||||||||||||||||||||||||||
September 30, 2024 | |||||||||||||||||||||||||||||||||||||
Insurance in Force | |||||||||||||||||||||||||||||||||||||
Year | Original
| Remaining
| % Remaining of
| Number of
| Weighted
| % Purchase | >90% LTV | >95% LTV | FICO < 700 | FICO >= 760 | Incurred Loss
| Number of
| Percentage of
| ||||||||||||||||||||||||
2010 - 2014 | $ | 60,668,851 | $ | 1,010,190 | 1.7 | % | 5,566 | 4.28 | % | 66.0 | % | 49.5 | % | 1.1 | % | 10.1 | % | 49.3 | % | 2.4 | % | 248 | 4.46 | % | |||||||||||||
2015 | 26,193,656 | 870,740 | 3.3 | 5,028 | 4.29 | 76.8 | 60.9 | 5.7 | 18.1 | 40.0 | 2.2 | 235 | 4.67 | ||||||||||||||||||||||||
2016 | 34,949,319 | 2,357,912 | 6.7 | 14,050 | 3.93 | 86.4 | 78.0 | 13.7 | 16.4 | 41.3 | 2.1 | 450 | 3.20 | ||||||||||||||||||||||||
2017 | 43,858,322 | 3,784,941 | 8.6 | 23,293 | 4.30 | 90.8 | 80.4 | 23.8 | 21.4 | 36.4 | 3.1 | 1,037 | 4.45 | ||||||||||||||||||||||||
2018 | 47,508,525 | 4,857,991 | 10.2 | 27,818 | 4.80 | 95.1 | 74.0 | 27.1 | 21.9 | 32.3 | 4.2 | 1,314 | 4.72 | ||||||||||||||||||||||||
2019 | 63,569,183 | 10,717,480 | 16.9 | 52,219 | 4.24 | 89.1 | 71.7 | 25.7 | 18.9 | 35.1 | 3.7 | 1,687 | 3.23 | ||||||||||||||||||||||||
2020 | 107,944,065 | 37,929,239 | 35.1 | 150,176 | 3.20 | 72.1 | 62.5 | 14.6 | 10.8 | 45.5 | 2.8 | 2,452 | 1.63 | ||||||||||||||||||||||||
2021 | 84,218,250 | 53,029,350 | 63.0 | 177,048 | 3.10 | 89.0 | 66.1 | 16.6 | 13.8 | 40.4 | 6.1 | 3,420 | 1.93 | ||||||||||||||||||||||||
2022 | 63,061,262 | 53,154,263 | 84.3 | 153,151 | 5.09 | 98.1 | 66.0 | 11.4 | 12.6 | 39.6 | 17.4 | 3,091 | 2.02 | ||||||||||||||||||||||||
2023 | 47,666,852 | 43,012,414 | 90.2 | 121,053 | 6.64 | 98.8 | 72.8 | 18.6 | 11.0 | 38.7 | 18.1 | 1,732 | 1.43 | ||||||||||||||||||||||||
2024 (through September 30) | 33,340,364 | 32,251,523 | 96.7 | 86,105 | 6.84 | 97.4 | 73.8 | 20.0 | 12.4 | 42.4 | 10.1 | 240 | 0.28 | ||||||||||||||||||||||||
Total | $ | 612,978,649 | $ | 242,976,043 | 39.6 | 815,507 | 4.79 | 91.2 | 68.4 | 16.6 | 12.9 | 40.6 | 4.6 | 15,906 | 1.95 | ||||||||||||||||||||||
(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 I | ||||||||||||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||||||||||||||
U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data | ||||||||||||||||||||||||||||||||
September 30, 2024 | ||||||||||||||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||
Insurance Linked Notes (1) | ||||||||||||||||||||||||||||||||
Earned Premiums Ceded | ||||||||||||||||||||||||||||||||
Deal Name | Vintage | Remaining
| Remaining
| Original
| Remaining
| Losses
| Original
| Remaining
| Quarter-to-Date | Year-to-Date | Reduction in
| |||||||||||||||||||||
Radnor Re 2021-1 | Aug. 2020 - Mar. 2021 | $ | 25,750,186 | $ | 6,963,249 | $ | 557,911 | $ | 220,532 | $ | - | $ | 278,956 | $ | 277,985 | $ | 2,091 | $ | 6,564 | $ | 160,822 | |||||||||||
Radnor Re 2021-2 | Apr. 2021 - Sep. 2021 | 31,287,234 | 8,616,211 | 439,407 | 286,439 | - | 279,415 | 277,195 | 3,715 | 10,952 | 215,335 | |||||||||||||||||||||
Radnor Re 2022-1 | Oct. 2021 - Jul. 2022 | 28,815,017 | 7,856,567 | 237,868 | 191,938 | - | 303,761 | 301,278 | 3,825 | 11,478 | 176,583 | |||||||||||||||||||||
Radnor Re 2023-1 | Aug. 2022 - Jun. 2023 | 28,989,426 | 7,941,539 | 281,462 | 281,462 | - | 281,463 | 281,089 | 3,705 | 10,657 | 266,826 | |||||||||||||||||||||
Radnor Re 2024-1 | Jul. 2023 - Jul. 2024 | 30,359,933 | 8,387,056 | 363,366 | 363,366 | - | 256,495 | 256,495 | 472 | 472 | 363,366 | |||||||||||||||||||||
Total | $ | 145,201,796 | $ | 39,764,622 | $ | 1,880,014 | $ | 1,343,737 | $ | - | $ | 1,400,090 | $ | 1,394,042 | $ | 13,808 | $ | 40,123 | (5) | $ | 1,182,932 | |||||||||||
Excess of Loss Reinsurance (2) | ||||||||||||||||||||||||||||||||
Earned Premiums Ceded | ||||||||||||||||||||||||||||||||
Deal Name | Vintage | Remaining
| Remaining
| Original
| Remaining
| Losses
| Original
| Remaining
| Quarter-to-Date | Year-to-Date | Reduction in
| |||||||||||||||||||||
XOL 2019-1 | Jan. 2018 - Dec. 2018 | $ | 4,811,623 | $ | 1,266,631 | $ | 118,650 | $ | 76,144 | $ | - | $ | 253,643 | $ | 244,294 | $ | 641 | $ | 1,868 | $ | - | |||||||||||
XOL 2020-1 | Jan. 2019 - Aug. 2019 | 6,026,073 | 1,591,126 | 55,102 | 30,592 | - | 215,605 | 212,208 | 263 | 809 | - | |||||||||||||||||||||
XOL 2022-1 | Oct. 2021 - Dec. 2022 | 65,149,106 | 17,727,315 | 141,992 | 141,992 | - | 507,114 | 500,886 | 1,611 | 4,797 | 138,001 | |||||||||||||||||||||
XOL 2023-1 | Jan. 2023 - Dec. 2023 | 38,402,550 | 10,637,649 | 36,627 | 36,627 | - | 366,270 | 366,141 | 439 | 1,306 | 35,232 | |||||||||||||||||||||
XOL 2024-1 | Jan. 2024 - Dec. 2024 | 32,177,995 | 8,864,366 | 46,537 | 46,537 | - | 265,931 | 265,931 | 528 | 528 | 44,765 | |||||||||||||||||||||
Total | $ | 146,567,347 | $ | 40,087,087 | $ | 398,908 | $ | 331,892 | $ | - | $ | 1,608,563 | $ | 1,589,460 | $ | 3,482 | $ | 9,308 | $ | 217,998 | ||||||||||||
Quota Share Reinsurance (2) | |||||||||||||||||||||||||||||||||||
Losses Ceded | Ceding Commission | Earned Premiums Ceded | |||||||||||||||||||||||||||||||||
Year | Ceding
| Remaining
| Remaining
| Remaining Ceded
| Remaining Ceded
| Quarter-to-Date | Year-to-Date | Quarter-to-Date | Year-to-Date | Quarter-to-Date | Year-to-Date | Reduction in
| |||||||||||||||||||||||
Sep. 2019 - Dec. 2020 | (4 | ) | $ | 42,414,942 | $ | 11,536,848 | $ | 9,585,777 | $ | 2,572,717 | $ | 645 | $ | (146 | ) | $ | 2,719 | $ | 7,364 | $ | 4,646 | $ | 12,450 | $ | 141,312 | ||||||||||
Jan. 2022 - Dec. 2022 | 20 | % | 53,084,698 | 14,433,907 | 10,616,940 | 2,886,781 | 2,261 | 3,516 | 1,850 | 5,634 | 5,776 | 14,221 | 212,195 | ||||||||||||||||||||||
Jan. 2023 - Dec. 2023 | 17.5 | % | 38,282,838 | 10,608,139 | 6,699,497 | 1,856,424 | 2,031 | 4,492 | 1,330 | 4,045 | 4,825 | 12,987 | 143,807 | ||||||||||||||||||||||
Jan. 2024 - Dec. 2024 | 15 | % | 32,205,363 | 8,872,008 | 4,830,804 | 1,330,801 | 557 | 717 | 793 | 1,302 | 2,263 | 3,515 | 94,807 | ||||||||||||||||||||||
Total | $ | 165,987,841 | $ | 45,450,902 | $ | 31,733,018 | $ | 8,646,723 | $ | 5,494 | $ | 8,579 | $ | 6,692 | $ | 18,345 | $ | 17,510 | $ | 43,173 | $ | 592,121 | |||||||||||||
(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) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs. | |||||||||||||||||||||||||||||||||||
(4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies. | |||||||||||||||||||||||||||||||||||
(5) Excludes ($11) and ($80) of benefit in ceded premium on retired ILNs for the three and nine months ended September 30, 2024, respectively. | |||||||||||||||||||||||||||||||||||
Exhibit J | ||||||||
Essent Group Ltd. and Subsidiaries | ||||||||
Supplemental Information | ||||||||
U.S. Mortgage Insurance Portfolio Geographic Data | ||||||||
IIF by State | ||||||||
September 30, 2024 | June 30, 2024 | September 30, 2023 | ||||||
CA | 12.5 | % | 12.7 | % | 13.0 | % | ||
FL | 11.8 | 11.6 | 11.0 | |||||
TX | 10.9 | 10.8 | 10.5 | |||||
CO | 4.1 | 4.1 | 4.1 | |||||
AZ | 3.8 | 3.8 | 3.7 | |||||
GA | 3.7 | 3.6 | 3.4 | |||||
WA | 3.4 | 3.4 | 3.4 | |||||
NC | 3.0 | 3.0 | 2.8 | |||||
OH | 2.6 | 2.6 | 2.6 | |||||
IL | 2.6 | 2.7 | 2.8 | |||||
All Others | 41.6 | 41.7 | 42.7 | |||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | ||
Gross RIF by State | ||||||||
September 30, 2024 | June 30, 2024 | September 30, 2023 | ||||||
CA | 12.5 | % | 12.6 | % | 12.9 | % | ||
FL | 12.0 | 11.8 | 11.3 | |||||
TX | 11.2 | 11.1 | 10.8 | |||||
CO | 4.0 | 4.1 | 4.0 | |||||
AZ | 3.9 | 3.8 | 3.8 | |||||
GA | 3.8 | 3.7 | 3.5 | |||||
WA | 3.4 | 3.4 | 3.4 | |||||
NC | 3.0 | 3.0 | 2.9 | |||||
OH | 2.6 | 2.5 | 2.6 | |||||
IL | 2.5 | 2.6 | 2.8 | |||||
All Others | 41.1 | 41.4 | 42.0 | |||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | ||
Exhibit K | ||||||||||||||||||||
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 | ||||||||||||||||||||
2024 | 2023 | |||||||||||||||||||
September 30 | June 30 | March 31 | December 31 | September 30 | ||||||||||||||||
Beginning default inventory | 13,954 | 13,992 | 14,819 | 13,391 | 12,480 | |||||||||||||||
Plus: new defaults (A) | 9,984 | 8,119 | 8,260 | 9,007 | 7,953 | |||||||||||||||
Less: cures | (7,819 | ) | (7,956 | ) | (8,951 | ) | (7,418 | ) | (6,902 | ) | ||||||||||
Less: claims paid | (182 | ) | (183 | ) | (123 | ) | (148 | ) | (129 | ) | ||||||||||
Less: rescissions and denials, net | (31 | ) | (18 | ) | (13 | ) | (13 | ) | (11 | ) | ||||||||||
Ending default inventory | 15,906 | 13,954 | 13,992 | 14,819 | 13,391 | |||||||||||||||
(A) New defaults remaining as of September 30, 2024 | 7,189 | 3,198 | 1,665 | 1,309 | 806 | |||||||||||||||
Cure rate (1) | 28 | % | 61 | % | 80 | % | 85 | % | 90 | % | ||||||||||
Total amount paid for claims (in thousands) | $ | 5,749 | $ | 5,566 | $ | 3,605 | $ | 3,411 | $ | 2,956 | ||||||||||
Average amount paid per claim (in thousands) | $ | 32 | $ | 30 | $ | 29 | $ | 22 | $ | 23 | ||||||||||
Severity | 58 | % | 60 | % | 65 | % | 62 | % | 66 | % | ||||||||||
Rollforward of Reserve for Losses and LAE | ||||||||||||||||||||
Three Months Ended | ||||||||||||||||||||
2024 | 2023 | |||||||||||||||||||
($ in thousands) | September 30 | June 30 | March 31 | December 31 | September 30 | |||||||||||||||
Reserve for losses and LAE at beginning of period | $ | 246,107 | $ | 253,565 | $ | 245,402 | $ | 226,617 | $ | 216,888 | ||||||||||
Less: Reinsurance recoverables | 26,022 | 26,570 | 24,005 | 20,656 | 17,958 | |||||||||||||||
Net reserve for losses and LAE at beginning of period | 220,085 | 226,995 | 221,397 | 205,961 | 198,930 | |||||||||||||||
Add provision for losses and LAE occurring in: | ||||||||||||||||||||
Current period | 51,649 | 30,653 | 39,396 | 38,922 | 35,609 | |||||||||||||||
Prior years | (21,836 | ) | (31,880 | ) | (30,062 | ) | (19,912 | ) | (25,533 | ) | ||||||||||
Incurred losses and LAE during the period | 29,813 | (1,227 | ) | 9,334 | 19,010 | 10,076 | ||||||||||||||
Deduct payments for losses and LAE occurring in: | ||||||||||||||||||||
Current period | 637 | 478 | 1 | 330 | 156 | |||||||||||||||
Prior years | 5,202 | 5,205 | 3,735 | 3,244 | 2,889 | |||||||||||||||
Loss and LAE payments during the period | 5,839 | 5,683 | 3,736 | 3,574 | 3,045 | |||||||||||||||
Net reserve for losses and LAE at end of period | 244,059 | 220,085 | 226,995 | 221,397 | 205,961 | |||||||||||||||
Plus: Reinsurance recoverables | 30,867 | 26,022 | 26,570 | 24,005 | 20,656 | |||||||||||||||
Reserve for losses and LAE at end of period | $ | 274,926 | $ | 246,107 | $ | 253,565 | $ | 245,402 | $ | 226,617 | ||||||||||
(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 L | ||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||
Supplemental Information | ||||||||||||||||||
Detail of Reserves by Default Delinquency | ||||||||||||||||||
U.S. Mortgage Insurance Portfolio | ||||||||||||||||||
September 30, 2024 | ||||||||||||||||||
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 | 8,293 | 52 | % | $ | 53,849 | 21 | % | $ | 627,505 | 9 | % | |||||||
Four to eleven payments | 5,498 | 35 | 104,223 | 41 | 437,515 | 24 | ||||||||||||
Twelve or more payments | 1,980 | 12 | 86,821 | 35 | 144,396 | 60 | ||||||||||||
Pending claims | 135 | 1 | 8,620 | 3 | 9,692 | 89 | ||||||||||||
Total case reserves | 15,906 | 100 | % | 253,513 | 100 | % | $ | 1,219,108 | 21 | % | ||||||||
IBNR | 19,013 | |||||||||||||||||
LAE | 2,400 | |||||||||||||||||
Total reserves for losses and LAE | $ | 274,926 | ||||||||||||||||
Average reserve per default: | ||||||||||||||||||
Case | $ | 15.9 | ||||||||||||||||
Total | $ | 17.3 | ||||||||||||||||
Default Rate | 1.95 | % | ||||||||||||||||
December 31, 2023 | ||||||||||||||||||
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 | 7,288 | 49 | % | $ | 44,607 | 20 | % | $ | 527,419 | 8 | % | |||||||
Four to eleven payments | 5,421 | 37 | 97,424 | 43 | 417,876 | 23 | ||||||||||||
Twelve or more payments | 1,984 | 13 | 78,540 | 35 | 132,257 | 59 | ||||||||||||
Pending claims | 126 | 1 | 5,550 | 2 | 6,302 | 88 | ||||||||||||
Total case reserves | 14,819 | 100 | % | 226,121 | 100 | % | $ | 1,083,854 | 21 | % | ||||||||
IBNR | 16,959 | |||||||||||||||||
LAE | 2,322 | |||||||||||||||||
Total reserves for losses and LAE | $ | 245,402 | ||||||||||||||||
Average reserve per default: | ||||||||||||||||||
Case | $ | 15.3 | ||||||||||||||||
Total | $ | 16.6 | ||||||||||||||||
Default Rate | 1.80 | % | ||||||||||||||||
September 30, 2023 | ||||||||||||||||||
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 | 6,383 | 48 | % | $ | 38,412 | 18 | % | $ | 448,039 | 9 | % | |||||||
Four to eleven payments | 4,877 | 36 | 87,025 | 42 | 369,711 | 24 | ||||||||||||
Twelve or more payments | 1,989 | 15 | 77,369 | 37 | 126,317 | 61 | ||||||||||||
Pending claims | 142 | 1 | 6,076 | 3 | 6,924 | 88 | ||||||||||||
Total case reserves | 13,391 | 100 | % | 208,882 | 100 | % | $ | 950,991 | 22 | % | ||||||||
IBNR | 15,666 | |||||||||||||||||
LAE | 2,069 | |||||||||||||||||
Total reserves for losses and LAE | $ | 226,617 | ||||||||||||||||
Average reserve per default: | ||||||||||||||||||
Case | $ | 15.6 | ||||||||||||||||
Total | $ | 16.9 | ||||||||||||||||
Default Rate | 1.62 | % | ||||||||||||||||
Exhibit M | |||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||
Supplemental Information | |||||||||||||
Investments Available for Sale | |||||||||||||
Investments Available for Sale by Asset Class | |||||||||||||
Asset Class | September 30, 2024 | December 31, 2023 | |||||||||||
($ in thousands) | Fair Value | Percent | Fair Value | Percent | |||||||||
U.S. Treasury securities | $ | 709,807 | 11.9 | % | $ | 996,382 | 18.9 | % | |||||
U.S. agency securities | - | - | 7,195 | 0.1 | |||||||||
U.S. agency mortgage-backed securities | 1,051,308 | 17.7 | 821,346 | 15.6 | |||||||||
Municipal debt securities | 577,647 | 9.8 | 547,258 | 10.5 | |||||||||
Non-U.S. government securities | 72,971 | 1.2 | 67,447 | 1.3 | |||||||||
Corporate debt securities | 1,704,388 | 28.6 | 1,297,055 | 24.7 | |||||||||
Residential and commercial mortgage securities | 503,980 | 8.5 | 517,940 | 9.8 | |||||||||
Asset-backed securities | 548,076 | 9.2 | 564,995 | 10.7 | |||||||||
Money market funds | 782,322 | 13.1 | 444,121 | 8.4 | |||||||||
Total investments available for sale | $ | 5,950,499 | 100.0 | % | $ | 5,263,739 | 100.0 | % | |||||
Investments Available for Sale by Credit Rating | |||||||||||||
Rating (1) | September 30, 2024 | December 31, 2023 | |||||||||||
($ in thousands) | Fair Value | Percent | Fair Value | Percent | |||||||||
Aaa | $ | 2,541,407 | 49.2 | % | $ | 2,561,363 | 53.2 | % | |||||
Aa1 | 103,522 | 2.0 | 104,474 | 2.2 | |||||||||
Aa2 | 286,304 | 5.5 | 291,501 | 6.0 | |||||||||
Aa3 | 247,669 | 4.7 | 208,882 | 4.3 | |||||||||
A1 | 510,486 | 9.9 | 377,188 | 7.8 | |||||||||
A2 | 391,018 | 7.6 | 329,423 | 6.8 | |||||||||
A3 | 424,218 | 8.2 | 253,081 | 5.3 | |||||||||
Baa1 | 227,741 | 4.4 | 220,901 | 4.6 | |||||||||
Baa2 | 200,539 | 3.9 | 226,449 | 4.7 | |||||||||
Baa3 | 158,288 | 3.1 | 166,121 | 3.4 | |||||||||
Below Baa3 | 76,985 | 1.5 | 80,235 | 1.7 | |||||||||
Total (2) | $ | 5,168,177 | 100.0 | % | $ | 4,819,618 | 100.0 | % | |||||
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available. | |||||||||||||
(2) Excludes $782,322 and $444,121 of money market funds at September 30, 2024 and December 31, 2023, respectively. | |||||||||||||
Investments Available for Sale by Duration and Book Yield | |||||||||||||
Effective Duration | September 30, 2024 | December 31, 2023 | |||||||||||
($ in thousands) | Fair Value | Percent | Fair Value | Percent | |||||||||
< 1 Year | $ | 1,829,657 | 30.7 | % | $ | 1,892,074 | 35.9 | % | |||||
1 to < 2 Years | 501,569 | 8.4 | 371,583 | 7.1 | |||||||||
2 to < 3 Years | 506,047 | 8.5 | 538,775 | 10.2 | |||||||||
3 to < 4 Years | 499,816 | 8.4 | 402,668 | 7.6 | |||||||||
4 to < 5 Years | 417,500 | 7.0 | 376,722 | 7.2 | |||||||||
5 or more Years | 2,195,910 | 37.0 | 1,681,917 | 32.0 | |||||||||
Total investments available for sale | $ | 5,950,499 | 100.0 | % | $ | 5,263,739 | 100.0 | % | |||||
Pre-tax investment income yield: | |||||||||||||
Three months ended | 3.81 | % | |||||||||||
Nine months ended September 30, 2024 | 3.77 | % | |||||||||||
Holding company net cash and investments available for sale: | |||||
($ in thousands) | |||||
As of September 30, 2024 | $ | 991,151 | |||
As of December 31, 2023 | $ | 693,507 | |||
Exhibit N | ||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||
U.S. Mortgage Insurance Company Capital | ||||||||||||||||||||
2024 | 2023 | |||||||||||||||||||
September 30 | June 30 | March 31 | December 31 | September 30 | ||||||||||||||||
($ in thousands) | ||||||||||||||||||||
U.S. Mortgage Insurance Subsidiaries: | ||||||||||||||||||||
Combined statutory capital (1) | $ | 3,584,580 | $ | 3,530,462 | $ | 3,453,553 | $ | 3,376,117 | $ | 3,309,522 | ||||||||||
Combined net risk in force (2) | $ | 34,893,957 | $ | 34,812,227 | $ | 34,463,082 | $ | 34,549,500 | $ | 34,203,678 | ||||||||||
Risk-to-capital ratios: (3) | ||||||||||||||||||||
Essent Guaranty, Inc. | 10.0:1 | 10.2:1 | 10.3:1 | 10.6:1 | 10.7:1 | |||||||||||||||
Essent Guaranty of PA, Inc. | 0.3:1 | 0.3:1 | 0.4:1 | 0.4:1 | 0.5:1 | |||||||||||||||
Combined (4) | 9.7:1 | 9.9:1 | 10.0:1 | 10.2:1 | 10.3:1 | |||||||||||||||
Essent Guaranty, Inc. PMIERs Data (5): | ||||||||||||||||||||
Available Assets | $ | 3,598,725 | $ | 3,513,609 | $ | 3,464,119 | $ | 3,379,936 | $ | 3,318,179 | ||||||||||
Minimum Required Assets | 1,903,473 | 2,052,135 | 1,999,928 | 1,985,545 | 1,910,659 | |||||||||||||||
PMIERs excess Available Assets | $ | 1,695,252 | $ | 1,461,474 | $ | 1,464,191 | $ | 1,394,391 | $ | 1,407,520 | ||||||||||
PMIERs sufficiency ratio (6) | 189 | % | 171 | % | 173 | % | 170 | % | 174 | % | ||||||||||
Essent Reinsurance Ltd.: | ||||||||||||||||||||
Stockholder's equity (GAAP basis) | $ | 1,826,901 | $ | 1,793,777 | $ | 1,793,005 | $ | 1,758,665 | $ | 1,684,122 | ||||||||||
Net risk in force (2) | $ | 23,003,846 | $ | 22,770,165 | $ | 22,271,316 | $ | 22,043,926 | $ | 21,739,419 | ||||||||||
(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. | ||||||||||||||||||||
Exhibit O | |||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||||||||||||
Supplemental Information | |||||||||||||||||||||||
Ratios and Reconciliation of Non-GAAP Financial Measures | |||||||||||||||||||||||
2024 | 2023 | ||||||||||||||||||||||
September 30 | June 30 | March 31 | December 31 | September 30 | |||||||||||||||||||
Loss Ratio (1) | 12.2 | % | (0.1 | )% | 4.0 | % | 7.9 | % | 4.4 | % | |||||||||||||
Expense Ratio (2) | 26.5 | % | 26.1 | % | 27.1 | % | 27.0 | % | 27.3 | % | |||||||||||||
Combined Ratio | 38.7 | % | 26.0 | % | 31.1 | % | 34.9 | % | 31.7 | % | |||||||||||||
Underwriting Margin (3) | 61.3 | % | 74.0 | % | 68.9 | % | 65.1 | % | 68.3 | % | |||||||||||||
We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the nine months ended September 30, 2024 lack comparability with periods prior to the acquisition. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to ratios excluding Title, as shown below. Ratios excluding Title are financial measures that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and are referred to as non-GAAP measures. Ratios excluding Title are measures used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP. The following table sets forth the reconciliation of the loss, expense and combined ratios excluding Title to the most comparable GAAP amount for the three and nine months ended September 30, 2024 in accordance with Regulation G: | |||||||||||||||||||||||
Three Months Ended September 30, 2024 | Nine Months Ended September 30, 2024 | ||||||||||||||||||||||
Consolidated | Title | Excluding Title | Consolidated | Title | Excluding Title | ||||||||||||||||||
($ in thousands) | |||||||||||||||||||||||
Revenues: | |||||||||||||||||||||||
Net premiums earned | $ | 248,936 | $ | 17,687 | $ | 231,249 | $ | 746,417 | $ | 49,604 | $ | 696,813 | |||||||||||
Net investment income | 57,340 | 809 | 56,531 | 165,511 | 2,365 | 163,146 | |||||||||||||||||
Realized investment gains (losses), net | 68 | - | 68 | (2,236 | ) | - | (2,236 | ) | |||||||||||||||
Income from other invested assets | 2,820 | - | 2,820 | 486 | - | 486 | |||||||||||||||||
Settlement services (4) | 3,237 | 3,237 | - | 6,074 | 6,074 | - | |||||||||||||||||
Other income | 4,177 | 473 | 3,704 | 11,625 | 1,354 | 10,271 | |||||||||||||||||
Total revenues | 316,578 | 22,206 | 294,372 | 927,877 | 59,397 | 868,480 | |||||||||||||||||
Losses and expenses: | |||||||||||||||||||||||
Provision for losses and LAE | 30,666 | 850 | 29,816 | 40,245 | 2,317 | 37,928 | |||||||||||||||||
Other underwriting and operating expenses (5) | 57,259 | 14,845 | 42,414 | 170,595 | 39,564 | 131,031 | |||||||||||||||||
Premiums retained by agents | 9,622 | 9,622 | - | 29,328 | 29,328 | - | |||||||||||||||||
Interest expense | 11,457 | - | 11,457 | 27,168 | - | 27,168 | |||||||||||||||||
Total losses and expenses | 109,004 | 25,317 | 83,687 | 267,336 | 71,209 | 196,127 | |||||||||||||||||
Loss ratio (1) | 12.2 | % | 4.1 | % | 12.9 | % | 5.3 | % | 4.2 | % | 5.4 | % | |||||||||||
Expense ratio (2) | 26.5 | % | 116.9 | % | 18.3 | % | 26.6 | % | 123.7 | % | 18.8 | % | |||||||||||
Combined ratio | 38.7 | % | 121.0 | % | 31.2 | % | 31.9 | % | 127.9 | % | 24.2 | % | |||||||||||
Underwriting Margin (3) | 61.3 | % | (21.0 | %) | 68.8 | % | 68.1 | % | (27.9 | %) | 75.8 | % | |||||||||||
(1) Loss ratio is calculated by dividing the provision for losses and LAE by the sum of net premiums earned and settlement services revenue, if applicable. | |||||||||||||||||||||||
(2) Expense ratio is calculated by dividing the sum of other underwriting and operating expenses and premiums retained by agents by the sum of net premiums earned and settlement services revenue, if applicable. | |||||||||||||||||||||||
(3) Calculated as the inverse of the combined ratio. | |||||||||||||||||||||||
(4) Settlement services revenue is included in "Other income" within Exhibit A and Exhibit C. | |||||||||||||||||||||||
(5) Title expenses reflect only direct expenses of Title operations and do not include corporate or centralized support expense allocations. | |||||||||||||||||||||||
Contacts
Media Contact
610.230.0556
media@essentgroup.com
Investor Relations Contact
Philip Stefano
Vice President, Investor Relations
855-809-ESNT
ir@essentgroup.com
