Essent Group Ltd. Announces Second Quarter 2021 Results & Increases Quarterly Dividend
Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2021 of $159.8 million or $1.42 per diluted share, compared to $15.4 million or $0.15 per diluted share for the quarter ended June 30, 2020.
Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.18 per common share. The dividend is payable on September 10, 2021, to shareholders of record on September 1, 2021.
"We are pleased with our financial performance for the second quarter as we produced strong earnings and generated excess capital,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results reflect a favorable operating environment as credit continues to normalize and housing demand remains elevated. Our buy, manage and distribute model is operating on all cylinders and confidence in our economic engine remains high."
Second Quarter 2021 Financial Highlights:
Insurance in force as of June 30, 2021 was $203.6 billion, compared to $197.1 billion as of March 31, 2021 and $174.6 billion as of June 30, 2020. New insurance written for the second quarter was $25.0 billion, compared to $19.3 billion in the first quarter of 2021 and $28.2 billion in the second quarter of 2020. Net premiums earned for the second quarter were $217.4 million, compared to $219.1 million in the first quarter of 2021 and $211.5 million in the second quarter of 2020. The expense ratio for the second quarter was 18.9%, compared to 19.3% in the first quarter of 2021 and 18.4% in the second quarter of 2020. The provision for losses and LAE for the second quarter was $9.7 million, compared to a provision of $32.3 million in the first quarter of 2021 and a provision of $175.9 million in the second quarter of 2020. The percentage of loans in default as of June 30, 2021 was 2.96%, compared to 3.70% as of March 31, 2021 and 5.19% as of June 30, 2020. The combined ratio for the second quarter was 23.3%, compared to 34.0% in the first quarter of 2021 and 101.5% in the second quarter of 2020. The consolidated balance of cash and investments at June 30, 2021 was $5.0 billion, including cash and investment balances at Essent Group Ltd. of $509.8 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 10.6:1 as of June 30, 2021. On June 23, 2021, Essent Guaranty, Inc. obtained $557.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in August 2020 through March 2021 from Radnor Re 2021-1 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2021-1 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd.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 833-921-1656 inside the U.S., or 236-389-2661 for international callers, using passcode 2073556 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: 800-585-8367 inside the U.S., or 416-621-4642 for international callers, passcode 2073556.
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 June 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 June 30,
Six Months Ended June 30,
(In thousands, except per share amounts)
2021
2020
2021
2020
Revenues:
Direct premiums written
$
228,949
$
228,044
$
464,206
$
434,024
Ceded premiums
(26,662
)
(22,140
)
(57,558
)
(36,377
)
Net premiums written
202,287
205,904
406,648
397,647
Decrease in unearned premiums
15,150
5,567
29,856
20,320
Net premiums earned
217,437
211,471
436,504
417,967
Net investment income
21,743
19,866
43,531
40,499
Realized investment (losses) gains, net
(253
)
(1,269
)
388
1,866
Other income
4,334
6,009
7,635
4,585
Total revenues
243,261
236,077
488,058
464,917
Losses and expenses:
Provision for losses and LAE
9,651
175,877
41,973
183,940
Other underwriting and operating expenses
41,114
38,819
83,353
80,766
Interest expense
2,073
2,566
4,124
4,698
Total losses and expenses
52,838
217,262
129,450
269,404
Income before income taxes
190,423
18,815
358,608
195,513
Income tax expense
30,628
3,435
63,165
30,610
Net income
$
159,795
$
15,380
$
295,443
$
164,903
Earnings per share:
Basic
$
1.43
$
0.15
$
2.64
$
1.65
Diluted
1.42
0.15
2.63
1.64
Weighted average shares outstanding:
Basic
112,118
102,500
112,067
100,224
Diluted
112,454
102,605
112,416
100,466
Net income
$
159,795
$
15,380
$
295,443
$
164,903
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments
36,360
74,285
(22,843
)
64,211
Total other comprehensive income (loss)
36,360
74,285
(22,843
)
64,211
Comprehensive income
$
196,155
$
89,665
$
272,600
$
229,114
Loss ratio
4.4
%
83.2
%
9.6
%
44.0
%
Expense ratio
18.9
18.4
19.1
19.3
Combined ratio
23.3
%
101.5
%
28.7
%
63.3
%
Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
June 30,
December 31,
(In thousands, except per share amounts)
2021
2020
Assets
Investments
Fixed maturities available for sale, at fair value
$
4,374,008
$
3,838,513
Short-term investments available for sale, at fair value
372,320
726,860
Total investments available for sale
4,746,328
4,565,373
Other invested assets
145,310
88,904
Total investments
4,891,638
4,654,277
Cash
142,140
102,830
Accrued investment income
24,468
19,948
Accounts receivable
53,127
50,140
Deferred policy acquisition costs
14,070
17,005
Property and equipment
12,989
15,095
Prepaid federal income tax
332,886
302,636
Other assets
50,471
40,793
Total assets
$
5,521,789
$
5,202,724
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE
$
421,872
$
374,941
Unearned premium reserve
220,580
250,436
Net deferred tax liability
343,098
305,109
Credit facility borrowings, net of deferred costs
322,316
321,720
Other accrued liabilities
129,095
87,885
Total liabilities
1,436,961
1,340,091
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 112,481 shares in 2021 and 112,423 shares in 2020
1,687
1,686
Additional paid-in capital
1,558,142
1,571,163
Accumulated other comprehensive income
115,431
138,274
Retained earnings
2,409,568
2,151,510
Total stockholders' equity
4,084,828
3,862,633
Total liabilities and stockholders' equity
$
5,521,789
$
5,202,724
Return on average equity (1)
14.9
%
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
June 30
March 31
December 31
September 30
June 30
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio
$
204,149
$
207,840
$
208,715
$
211,126
$
200,816
GSE and other risk share
13,288
11,227
13,624
11,132
10,655
Net premiums earned
217,437
219,067
222,339
222,258
211,471
Other revenues (1)
25,824
25,730
24,860
20,780
24,606
Total revenues
243,261
244,797
247,199
243,038
236,077
Losses and expenses:
Provision for losses and LAE
9,651
32,322
62,073
55,280
175,877
Other underwriting and operating expenses
41,114
42,239
36,825
37,100
38,819
Interest expense
2,073
2,051
2,149
2,227
2,566
Total losses and expenses
52,838
76,612
101,047
94,607
217,262
Income before income taxes
190,423
168,185
146,152
148,431
18,815
Income tax expense (2)
30,628
32,537
22,550
23,895
3,435
Net income
$
159,795
$
135,648
$
123,602
$
124,536
$
15,380
Earnings per share:
Basic
$
1.43
$
1.21
$
1.10
$
1.11
$
0.15
Diluted
1.42
1.21
1.10
1.11
0.15
Weighted average shares outstanding:
Basic
112,118
112,016
111,908
111,908
102,500
Diluted
112,454
112,378
112,310
112,134
102,605
Book value per share
$
36.32
$
34.75
$
34.36
$
33.33
$
32.23
Return on average equity (annualized)
16.0
%
13.9
%
13.0
%
13.5
%
1.8
%
Other Data:
Loss ratio (3)
4.4
%
14.8
%
27.9
%
24.9
%
83.2
%
Expense ratio (4)
18.9
19.3
16.6
16.7
18.4
Combined ratio
23.3
%
34.0
%
44.5
%
41.6
%
101.5
%
Credit Facility
Borrowings outstanding
$
325,000
$
325,000
$
325,000
$
425,000
$
425,000
Undrawn committed capacity
$
300,000
$
300,000
$
300,000
$
75,000
$
75,000
Weighted average interest rate (end of period)
2.13
%
2.13
%
2.19
%
1.90
%
1.93
%
Debt-to-capital
7.37
%
7.65
%
7.76
%
10.19
%
10.50
%
(1) 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: June 30, 2021: $950; March 31, 2021: ($606); December 31, 2020: ($209); September 30, 2020: ($677); June 30, 2020: $2,502.
(2) Income tax expense for the quarter ended March 31, 2021 includes $5,718 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability.
(3) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
(4) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.
Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2021
2020
Other Data, continued:
June 30
March 31
December 31
September 30
June 30
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written
$
25,004,854
$
19,254,014
$
29,566,820
$
36,664,583
$
28,163,212
New risk written
6,445,864
4,616,450
7,051,173
8,938,544
6,875,250
Bulk:
New insurance written
$
—
$
—
$
—
$
—
$
—
New risk written
—
—
—
—
—
Total:
New insurance written
$
25,004,854
$
19,254,014
$
29,566,820
$
36,664,583
$
28,163,212
New risk written
$
6,445,864
$
4,616,450
$
7,051,173
$
8,938,544
$
6,875,250
Average insurance in force
$
199,739,297
$
197,749,668
$
195,670,925
$
183,135,315
$
168,635,275
Insurance in force (end of period)
$
203,559,859
$
197,091,191
$
198,882,352
$
190,811,292
$
174,646,273
Gross risk in force (end of period) (5)
$
50,835,835
$
48,951,602
$
49,565,150
$
47,838,668
$
43,993,989
Risk in force (end of period)
$
42,906,519
$
41,135,978
$
41,339,262
$
41,219,216
$
39,113,879
Policies in force
794,743
785,382
799,893
781,836
733,651
Weighted average coverage (6)
25.0
%
24.8
%
24.9
%
25.1
%
25.2
%
Annual persistency
58.3
%
56.1
%
60.1
%
64.2
%
67.9
%
Loans in default (count)
23,504
29,080
31,469
35,464
38,068
Percentage of loans in default
2.96
%
3.70
%
3.93
%
4.54
%
5.19
%
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (7)
0.43
%
0.44
%
0.44
%
0.45
%
0.47
%
Single premium cancellations (8)
0.03
%
0.04
%
0.05
%
0.06
%
0.06
%
Gross average premium rate
0.46
%
0.48
%
0.49
%
0.51
%
0.53
%
Ceded premiums
(0.05
%)
(0.06
%)
(0.06
%)
(0.05
%)
(0.05
%)
Net average premium rate
0.41
%
0.42
%
0.43
%
0.46
%
0.48
%
(5) Gross risk in force includes risk ceded under third-party reinsurance.
(6) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
(7) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
(8) 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
Six Months Ended
June 30, 2021
June 30, 2020
June 30, 2021
June 30, 2020
($ in thousands)
>=760
$
10,050,359
40.2
%
$
12,163,927
43.2
%
$
18,521,480
41.9
%
$
17,819,643
42.7
%
740-759
3,812,462
15.2
5,300,459
18.8
6,965,789
15.7
7,758,491
18.6
720-739
3,906,718
15.6
4,352,367
15.5
6,660,014
15.0
6,371,241
15.3
700-719
3,624,247
14.5
3,278,269
11.6
5,982,881
13.5
4,837,012
11.6
680-699
2,266,364
9.1
1,950,905
6.9
3,493,772
7.9
2,995,823
7.2
<=679
1,344,704
5.4
1,117,285
4.0
2,634,932
6.0
1,930,301
4.6
Total
$
25,004,854
100.0
%
$
28,163,212
100.0
%
$
44,258,868
100.0
%
$
41,712,511
100.0
%
Weighted average credit score
744
749
745
748
NIW by LTV
Three Months Ended
Six Months Ended
June 30, 2021
June 30, 2020
June 30, 2021
June 30, 2020
($ in thousands)
85.00% and below
$
3,355,412
13.4
%
$
5,028,803
17.9
%
$
7,323,988
16.6
%
$
6,992,279
16.8
%
85.01% to 90.00%
6,890,377
27.6
9,079,625
32.2
13,332,374
30.1
13,066,899
31.3
90.01% to 95.00%
11,463,713
45.8
10,914,874
38.8
18,516,235
41.8
16,600,754
39.8
95.01% and above
3,295,352
13.2
3,139,910
11.1
5,086,271
11.5
5,052,579
12.1
Total
$
25,004,854
100.0
%
$
28,163,212
100.0
%
$
44,258,868
100.0
%
$
41,712,511
100.0
%
Weighted average LTV
92
%
91
%
91
%
91
%
NIW by Product
Three Months Ended
Six Months Ended
June 30, 2021
June 30, 2020
June 30, 2021
June 30, 2020
Single Premium policies
3.4
%
10.6
%
4.9
%
10.3
%
Monthly Premium policies
96.6
89.4
95.1
89.7
100.0
%
100.0
%
100.0
%
100.0
%
NIW by Purchase vs. Refinance
Three Months Ended
Six Months Ended
June 30, 2021
June 30, 2020
June 30, 2021
June 30, 2020
Purchase
82.3
%
54.2
%
73.6
%
59.1
%
Refinance
17.7
45.8
26.4
40.9
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
June 30, 2021
March 31, 2021
June 30, 2020
($ in thousands)
>=760
$
84,110,514
41.3
%
$
81,629,166
41.4
%
$
71,570,804
41.0
%
740-759
34,636,115
17.0
33,969,375
17.2
30,265,718
17.3
720-739
30,471,320
15.0
29,323,182
14.9
26,130,764
15.0
700-719
25,177,026
12.4
23,775,892
12.1
20,721,839
11.9
680-699
15,962,389
7.8
15,241,886
7.7
14,545,011
8.3
<=679
13,202,495
6.5
13,151,690
6.7
11,412,137
6.5
Total
$
203,559,859
100.0
%
$
197,091,191
100.0
%
$
174,646,273
100.0
%
Weighted average credit score
745
745
745
Gross RIF by FICO score
June 30, 2021
March 31, 2021
June 30, 2020
($ in thousands)
>=760
$
20,807,006
40.9
%
$
20,063,586
41.0
%
$
17,871,881
40.6
%
740-759
8,729,038
17.2
8,512,926
17.4
7,672,436
17.4
720-739
7,745,794
15.2
7,410,503
15.1
6,673,863
15.2
700-719
6,342,378
12.5
5,947,590
12.1
5,246,989
11.9
680-699
3,998,410
7.9
3,798,221
7.8
3,693,448
8.4
<=679
3,213,209
6.3
3,218,776
6.6
2,835,372
6.5
Total
$
50,835,835
100.0
%
$
48,951,602
100.0
%
$
43,993,989
100.0
%
Portfolio by LTV
IIF by LTV
June 30, 2021
March 31, 2021
June 30, 2020
($ in thousands)
85.00% and below
$
29,045,720
14.3
%
$
28,285,671
14.4
%
$
19,874,830
11.4
%
85.01% to 90.00%
60,027,287
29.5
58,587,812
29.7
50,446,645
28.9
90.01% to 95.00%
87,382,625
42.9
84,042,974
42.6
79,112,541
45.3
95.01% and above
27,104,227
13.3
26,174,734
13.3
25,212,257
14.4
Total
$
203,559,859
100.0
%
$
197,091,191
100.0
%
$
174,646,273
100.0
%
Weighted average LTV
92
%
92
%
92
%
Gross RIF by LTV
June 30, 2021
March 31, 2021
June 30, 2020
($ in thousands)
85.00% and below
$
3,360,970
6.6
%
$
3,260,280
6.7
%
$
2,292,935
5.2
%
85.01% to 90.00%
14,421,749
28.4
14,061,301
28.7
12,120,308
27.6
90.01% to 95.00%
25,329,870
49.8
24,287,268
49.6
22,760,884
51.7
95.01% and above
7,723,246
15.2
7,342,753
15.0
6,819,862
15.5
Total
$
50,835,835
100.0
%
$
48,951,602
100.0
%
$
43,993,989
100.0
%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period
June 30, 2021
March 31, 2021
June 30, 2020
($ in thousands)
FRM 30 years and higher
$
192,995,698
94.8
%
$
186,190,300
94.5
%
$
165,143,246
94.5
%
FRM 20-25 years
4,269,217
2.1
4,354,432
2.2
3,277,847
1.9
FRM 15 years
4,742,281
2.3
4,763,796
2.4
3,660,888
2.1
ARM 5 years and higher
1,552,663
0.8
1,782,663
0.9
2,564,292
1.5
Total
$
203,559,859
100.0
%
$
197,091,191
100.0
%
$
174,646,273
100.0
%
Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
2021
2020
($ in thousands)
June 30
March 31
December 31
September 30
June 30
GSE and other risk share (1):
Risk in Force
$
1,496,247
$
1,534,174
$
1,416,719
$
1,216,353
$
1,031,699
Reserve for losses and LAE
$
1,390
$
1,312
$
1,073
$
718
$
28
Weighted average credit score
747
747
746
747
746
Weighted average LTV
84
%
84
%
84
%
84
%
85
%
(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
June 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
$
4,330,210
7.1
%
26,195
4.30
%
82.3
%
70.2
%
4.7
%
14.6
%
42.9
%
3.3
%
1,363
5.20
%
2015
26,193,656
4,152,528
15.9
23,093
4.15
86.4
64.7
3.2
17.4
40.3
4.5
1,116
4.83
2016
34,949,319
8,275,662
23.7
42,914
3.85
87.6
64.3
8.5
15.1
43.9
6.0
2,118
4.94
2017
43,858,322
11,454,788
26.1
60,927
4.25
90.0
64.2
17.7
19.4
38.2
9.4
3,902
6.40
2018
47,508,525
12,993,723
27.4
65,716
4.77
93.4
66.4
22.7
20.2
34.2
15.3
4,740
7.21
2019
63,569,183
27,678,727
43.5
118,342
4.22
84.6
64.5
21.6
18.6
35.7
27.2
6,329
5.35
2020
107,944,065
91,202,454
84.5
320,176
3.20
61.4
50.8
11.0
11.5
44.0
20.3
3,758
1.17
2021 (through June 30)
44,258,868
43,471,767
98.2
137,380
3.02
73.7
53.5
11.6
13.9
41.7
7.0
178
0.13
Total
$
428,950,789
$
203,559,859
47.5
794,743
3.53
72.8
56.2
13.3
14.3
41.3
10.0
23,504
2.96
(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
June 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
$
12,018,660
$
3,243,956
$
333,844
$
—
$
333,844
$
216,480
$
—
$
216,480
$
—
$
208,111
$
207,359
$
1,207
$
2,419
$
12,242
2017
11,155,879
2,865,141
424,412
165,167
589,579
242,123
165,167
407,290
—
224,689
217,930
2,651
5,295
15,146
2018
12,752,743
3,245,746
473,184
118,650
591,834
325,537
76,144
401,681
—
253,643
249,912
3,197
6,383
44,631
2019 (3)
15,581,172
3,979,796
495,889
55,102
550,991
495,889
55,102
550,991
—
215,605
215,282
2,749
5,512
147,849
2019 & 2020 (4)
39,400,549
9,903,301
399,159
—
399,159
313,772
—
313,772
—
465,690
465,690
4,811
9,913
225,548
2020 & 2021 (5)
56,303,818
13,658,801
557,911
—
557,911
557,911
—
557,911
—
278,956
278,956
266
266
557,911
Total
$
147,212,821
$
36,896,741
$
2,684,399
$
338,919
$
3,023,318
$
2,151,712
$
296,413
$
2,448,125
$
—
$
1,646,694
$
1,635,129
$
14,881
$
29,788
$
1,003,327
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)
$
102,624,392
$
25,254,668
$
22,482,650
$
5,481,191
$
2,387
$
8,256
$
4,697
$
9,757
$
11,781
$
27,770
$
366,706
(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
June 30, 2021
March 31, 2021
June 30, 2020
CA
12.9
%
12.5
%
10.6
%
TX
9.8
9.8
9.4
FL
9.3
9.0
8.2
CO
4.1
4.1
3.9
WA
3.7
3.7
4.0
AZ
3.5
3.5
3.5
IL
3.3
3.4
3.5
NJ
3.1
3.2
3.5
VA
3.1
3.1
3.2
GA
3.1
3.0
3.1
All Others
44.1
44.7
47.1
Total
100.0
%
100.0
%
100.0
%
Gross RIF by State
June 30, 2021
March 31, 2021
June 30, 2020
CA
12.7
%
12.2
%
10.3
%
TX
10.1
10.1
9.7
FL
9.6
9.3
8.4
CO
4.1
4.0
3.8
WA
3.6
3.6
4.0
AZ
3.4
3.5
3.4
IL
3.2
3.3
3.4
GA
3.1
3.1
3.2
VA
3.0
3.0
3.2
NJ
3.0
3.1
3.4
All Others
44.2
44.8
47.2
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
June 30
March 31
December 31
September 30
June 30
Beginning default inventory
29,080
31,469
35,464
38,068
5,841
Plus: new defaults (A)
4,934
7,422
8,745
12,614
37,357
Less: cures
(10,453
)
(9,737
)
(12,679
)
(15,135
)
(4,983
)
Less: claims paid
(46
)
(61
)
(49
)
(67
)
(144
)
Less: rescissions and denials, net
(11
)
(13
)
(12
)
(16
)
(3
)
Ending default inventory
23,504
29,080
31,469
35,464
38,068
(A) New defaults remaining as of June 30, 2021
3,813
3,408
3,158
3,448
7,821
Cure rate (1)
23
%
54
%
64
%
73
%
79
%
Total amount paid for claims (in thousands)
$
1,154
$
1,989
$
1,922
$
2,557
$
5,718
Average amount paid per claim (in thousands)
$
25
$
33
$
39
$
38
$
40
Severity
57
%
70
%
62
%
77
%
78
%
Rollforward of Reserve for Losses and LAE
Three Months Ended
2021
2020
($ in thousands)
June 30
March 31
December 31
September 30
June 30
Reserve for losses and LAE at beginning of period
$
409,811
$
373,868
$
307,019
$
250,862
$
73,325
Less: Reinsurance recoverables
24,907
19,061
11,898
7,761
98
Net reserve for losses and LAE at beginning of period
384,904
354,807
295,121
243,101
73,227
Add provision for losses and LAE occurring in:
Current period
24,534
47,763
63,597
55,660
181,776
Prior years
(14,961
)
(15,680
)
(1,879
)
(1,070
)
(5,911
)
Incurred losses and LAE during the period
9,573
32,083
61,718
54,590
175,865
Deduct payments for losses and LAE occurring in:
Current period
14
114
524
205
288
Prior years
1,267
1,872
1,508
2,365
5,703
Loss and LAE payments during the period
1,281
1,986
2,032
2,570
5,991
Net reserve for losses and LAE at end of period
393,196
384,904
354,807
295,121
243,101
Plus: Reinsurance recoverables
27,286
24,907
19,061
11,898
7,761
Reserve for losses and LAE at end of period
$
420,482
$
409,811
$
373,868
$
307,019
$
250,862
(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
June 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
3,926
17
%
$
25,915
7
%
$
234,604
11
%
Four to eleven payments
9,316
40
147,383
38
585,390
25
Twelve or more payments
10,217
43
212,634
55
680,733
31
Pending claims
45
—
1,758
—
2,139
82
Total case reserves
23,504
100
%
387,690
100
%
$
1,502,866
26
IBNR
29,077
LAE
3,715
Total reserves for losses and LAE
$
420,482
Average reserve per default:
Case
$
16.5
Total
$
17.9
Default Rate
2.96%
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%
June 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
33,514
88
%
$
166,897
73
%
$
2,233,678
7
%
Four to eleven payments
3,813
10
39,028
17
234,152
17
Twelve or more payments
664
2
18,590
8
36,694
51
Pending claims
77
—
3,271
2
3,846
85
Total case reserves
38,068
100
%
227,786
100
%
$
2,508,370
9
IBNR
17,084
LAE
5,992
Total reserves for losses and LAE
$
250,862
Average reserve per default:
Case
$
6.0
Total
$
6.6
Default Rate
5.19%
Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class
June 30, 2021
December 31, 2020
($ in thousands)
Fair Value
Percent
Fair Value
Percent
U.S. Treasury securities
$
289,961
6.1
%
$
268,444
5.9
%
U.S. agency securities
16,088
0.4
18,085
0.4
U.S. agency mortgage-backed securities
1,006,655
21.2
995,905
21.8
Municipal debt securities
580,894
12.2
551,517
12.1
Non-U.S. government securities
81,528
1.7
61,607
1.3
Corporate debt securities
1,551,712
32.7
1,126,512
24.7
Residential and commercial mortgage securities
461,985
9.7
409,282
9.0
Asset-backed securities
456,069
9.6
454,717
9.9
Money market funds
301,436
6.4
679,304
14.9
Total investments available for sale
$
4,746,328
100.0
%
$
4,565,373
100.0
%
Investments Available for Sale by Credit Rating
Rating (1)
June 30, 2021
December 31, 2020
($ in thousands)
Fair Value
Percent
Fair Value
Percent
Aaa
$
2,251,468
47.4
%
$
2,564,746
56.2
%
Aa1
105,851
2.2
133,100
2.9
Aa2
291,517
6.1
260,462
5.7
Aa3
226,011
4.8
204,917
4.5
A1
306,340
6.5
249,710
5.5
A2
477,726
10.1
401,175
8.8
A3
283,669
6.0
229,882
5.0
Baa1
314,072
6.6
260,602
5.7
Baa2
272,914
5.7
178,926
3.9
Baa3
150,425
3.2
48,199
1.1
Below Baa3
66,335
1.4
33,654
0.7
Total investments available for sale
$
4,746,328
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
June 30, 2021
December 31, 2020
($ in thousands)
Fair Value
Percent
Fair Value
Percent
< 1 Year
$
1,094,953
23.0
%
$
1,568,505
34.4
%
1 to < 2 Years
549,219
11.6
581,003
12.7
2 to < 3 Years
682,585
14.4
616,069
13.5
3 to < 4 Years
601,629
12.7
426,333
9.3
4 to < 5 Years
446,775
9.4
367,633
8.1
5 or more Years
1,371,167
28.9
1,005,830
22.0
Total investments available for sale
$
4,746,328
100.0
%
$
4,565,373
100.0
%
Pre-tax investment income yield:
Three months ended June 30, 2021
1.96
%
Six months ended June 30, 2021
1.99
%
Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of June 30, 2021
$
509,775
As of December 31, 2020
$
562,714
Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
2021
2020
June 30
March 31
December 31
September 30
June 30
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)
$
2,809,087
$
2,778,131
$
2,659,161
$
2,581,136
$
2,457,368
Combined net risk in force (2)
$
29,646,042
$
29,358,191
$
29,493,572
$
29,821,246
$
28,787,600
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.
10.9:1
11.0:1
11.5:1
12.0:1
12.1:1
Essent Guaranty of PA, Inc.
1.1:1
1.4:1
1.7:1
2.0:1
2.3:1
Combined (4)
10.6:1
10.6:1
11.1:1
11.6:1
11.7:1
Essent Guaranty, Inc. PMIERs Data (5):
Available Assets
$
3,016,050
$
2,996,651
$
2,855,923
$
2,720,432
$
2,586,394
Minimum Required Assets
1,731,843
1,864,262
1,671,011
1,739,479
1,458,273
PMIERs excess Available Assets
$
1,284,207
$
1,132,389
$
1,184,912
$
980,953
$
1,128,121
PMIERs sufficiency ratio (6)
174
%
161
%
171
%
156
%
177
%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)
$
1,192,077
$
1,136,504
$
1,101,003
$
1,061,546
$
1,022,689
Net risk in force (2)
$
14,338,567
$
12,905,289
$
12,892,300
$
12,312,124
$
11,113,079
(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.
(5) Data is based on our interpretation of the PMIERs as of the dates indicated.
(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.
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