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Essent Group Ltd. Announces First Quarter 2024 Results and Declares Quarterly Dividend

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2024 of $181.7 million or $1.70 per diluted share, compared to $170.8 million or $1.59 per diluted share for the quarter ended March 31, 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 June 10, 2024, to shareholders of record on May 31, 2024.

“We are pleased with our financial results in the first quarter, as our high-quality portfolio and consumer resilience have translated to favorable credit performance, and the current rate environment has benefited investment income and persistency,” said Mark A. Casale, Chairman and Chief Executive Officer. “The Essent franchise continues to grow, propelled by the strong performance of our mortgage insurance and reinsurance operations, and integration of the title business.”

Financial Highlights:

  • New insurance written for the first quarter of 2024 was $8.3 billion, compared to $8.8 billion in the fourth quarter of 2023 and $12.9 billion in the first quarter of 2023.
  • Insurance in force as of March 31, 2024 was $238.5 billion, compared to $239.1 billion as of December 31, 2023 and $231.5 billion as of March 31, 2023.
  • Net investment income for the first quarter of 2024 was $52.1 million, up 20% from the first quarter of 2023.
  • During the first quarter of 2024, we entered into a quota share reinsurance transaction with a panel of highly rated third-party reinsurers. The quota share agreement covers 15% of all eligible policies written by Essent Guaranty, Inc. in the calendar year 2024.
  • On January 8, 2024, S&P Global Ratings raised its long-term financial strength and issuer credit ratings on Essent Guaranty, Inc. and Essent Reinsurance Ltd. to ‘A-’ from ‘BBB+’, with a stable outlook.
  • On March 27, 2024, Moody’s Ratings affirmed the A3 insurance financial strength rating of Essent Guaranty, Inc. and raised the outlook to positive from stable.

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; lenders or investors seeking alternatives to private mortgage insurance; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); the impact of COVID-19 and related economic conditions; 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; 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, 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”) which serves the housing finance industry by offering private mortgage insurance, reinsurance, risk management products and title insurance and settlement services to mortgage lenders, borrowers, and investors to support homeownership. 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 March 31, 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 March 31,

(In thousands, except per share amounts)

2024

 

2023

Revenues:

 

 

 

Direct premiums written

$

268,931

 

 

$

239,491

 

Ceded premiums

 

(30,391

)

 

 

(33,591

)

Net premiums written

 

238,540

 

 

 

205,900

 

Decrease in unearned premiums

 

7,050

 

 

 

5,358

 

Net premiums earned

 

245,590

 

 

 

211,258

 

Net investment income

 

52,085

 

 

 

43,236

 

Realized investment gains (losses), net

 

(1,140

)

 

 

(488

)

Income (loss) from other invested assets

 

(1,915

)

 

 

(2,702

)

Other income

 

3,737

 

 

 

4,942

 

Total revenues

 

298,357

 

 

 

256,246

 

 

 

 

 

Losses and expenses:

 

 

 

Provision (benefit) for losses and LAE

 

9,913

 

 

 

(180

)

Other underwriting and operating expenses

 

57,349

 

 

 

48,195

 

Premiums retained by agents

 

9,491

 

 

 

 

Interest expense

 

7,862

 

 

 

6,936

 

Total losses and expenses

 

84,615

 

 

 

54,951

 

 

 

 

 

Income before income taxes

 

213,742

 

 

 

201,295

 

Income tax expense

 

32,023

 

 

 

30,468

 

Net income

$

181,719

 

 

$

170,827

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

Basic

$

1.72

 

 

$

1.60

 

Diluted

 

1.70

 

 

 

1.59

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

Basic

 

105,697

 

 

 

106,943

 

Diluted

 

106,770

 

 

 

107,585

 

 

 

 

 

Net income

$

181,719

 

 

$

170,827

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

Change in unrealized appreciation (depreciation) of investments

 

(21,766

)

 

 

58,753

 

Total other comprehensive income (loss)

 

(21,766

)

 

 

58,753

 

Comprehensive income

$

159,953

 

 

$

229,580

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

March 31,

 

December 31,

(In thousands, except per share amounts)

2024

 

2023

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

4,172,237

 

 

$

4,335,008

 

Short-term investments available for sale, at fair value

 

1,196,837

 

 

 

928,731

 

Total investments available for sale

 

5,369,074

 

 

 

5,263,739

 

Other invested assets

 

279,625

 

 

 

277,226

 

Total investments

 

5,648,699

 

 

 

5,540,965

 

Cash

 

164,255

 

 

 

141,787

 

Accrued investment income

 

35,817

 

 

 

35,689

 

Accounts receivable

 

68,932

 

 

 

63,266

 

Deferred policy acquisition costs

 

8,980

 

 

 

9,139

 

Property and equipment

 

43,751

 

 

 

41,304

 

Prepaid federal income tax

 

467,183

 

 

 

470,646

 

Goodwill and intangible assets, net

 

72,271

 

 

 

72,826

 

Other assets

 

55,095

 

 

 

51,051

 

Total assets

$

6,564,983

 

 

$

6,426,673

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

267,324

 

 

$

260,095

 

Unearned premium reserve

 

133,235

 

 

 

140,285

 

Net deferred tax liability

 

368,955

 

 

 

362,753

 

Credit facility borrowings, net of deferred costs

 

422,184

 

 

 

421,920

 

Other accrued liabilities

 

147,131

 

 

 

139,070

 

Total liabilities

 

1,338,829

 

 

 

1,324,123

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 106,742 shares in 2024 and 106,597 shares in 2023

 

1,601

 

 

 

1,599

 

Additional paid-in capital

 

1,293,424

 

 

 

1,299,869

 

Accumulated other comprehensive loss

 

(302,262

)

 

 

(280,496

)

Retained earnings

 

4,233,391

 

 

 

4,081,578

 

Total stockholders' equity

 

5,226,154

 

 

 

5,102,550

 

 

 

 

 

Total liabilities and stockholders' equity

$

6,564,983

 

 

$

6,426,673

 

 

 

 

 

Return on average equity (1)

 

14.1

%

 

 

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

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

Net premiums earned:

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

$

212,479

 

 

$

211,083

 

 

$

209,351

 

 

$

195,502

 

 

$

196,565

 

GSE and other risk share

 

 

17,826

 

 

 

17,166

 

 

 

16,850

 

 

 

17,727

 

 

 

14,693

 

Title insurance

 

 

15,285

 

 

 

17,365

 

 

 

20,604

 

 

 

 

 

 

 

Net premiums earned

 

 

245,590

 

 

 

245,614

 

 

 

246,805

 

 

 

213,229

 

 

 

211,258

 

Net investment income

 

 

52,085

 

 

 

50,581

 

 

 

47,072

 

 

 

45,250

 

 

 

43,236

 

Realized investment (losses) gains, net

 

 

(1,140

)

 

 

(4,892

)

 

 

(235

)

 

 

(1,589

)

 

 

(488

)

(Loss) income from other invested assets

 

 

(1,915

)

 

 

(421

)

 

 

(3,143

)

 

 

(4,852

)

 

 

(2,702

)

Other income (loss) (1)

 

 

3,737

 

 

 

6,395

 

 

 

5,609

 

 

 

8,090

 

 

 

4,942

 

Total revenues

 

 

298,357

 

 

 

297,277

 

 

 

296,108

 

 

 

260,128

 

 

 

256,246

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

Provision (benefit) for losses and LAE

 

 

9,913

 

 

 

19,640

 

 

 

10,822

 

 

 

1,260

 

 

 

(180

)

Other underwriting and operating expenses

 

 

57,349

 

 

 

55,248

 

 

 

54,814

 

 

 

42,174

 

 

 

48,195

 

Premiums retained by agents

 

 

9,491

 

 

 

11,475

 

 

 

13,175

 

 

 

 

 

 

 

Interest expense

 

 

7,862

 

 

 

7,953

 

 

 

7,854

 

 

 

7,394

 

 

 

6,936

 

Total losses and expenses

 

 

84,615

 

 

 

94,316

 

 

 

86,665

 

 

 

50,828

 

 

 

54,951

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

 

213,742

 

 

 

202,961

 

 

 

209,443

 

 

 

209,300

 

 

 

201,295

 

Income tax expense (2)

 

 

32,023

 

 

 

27,594

 

 

 

31,484

 

 

 

37,067

 

 

 

30,468

 

Net income

 

$

181,719

 

 

$

175,367

 

 

$

177,959

 

 

$

172,233

 

 

$

170,827

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.72

 

 

$

1.66

 

 

$

1.68

 

 

$

1.62

 

 

$

1.60

 

Diluted

 

 

1.70

 

 

 

1.64

 

 

 

1.66

 

 

 

1.61

 

 

 

1.59

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

 

105,697

 

 

 

105,733

 

 

 

105,979

 

 

 

106,249

 

 

 

106,943

 

Diluted

 

 

106,770

 

 

 

106,823

 

 

 

107,025

 

 

 

107,093

 

 

 

107,585

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

48.96

 

 

$

47.87

 

 

$

44.98

 

 

$

44.24

 

 

$

43.18

 

Return on average equity (annualized)

 

 

14.1

%

 

 

14.2

%

 

 

14.9

%

 

 

14.7

%

 

 

15.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

Undrawn committed capacity

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

Weighted average interest rate (end of period)

 

 

7.06

%

 

 

7.11

%

 

 

7.07

%

 

 

6.87

%

 

 

6.52

%

Debt-to-capital

 

 

7.52

%

 

 

7.69

%

 

 

8.12

%

 

 

8.24

%

 

 

8.38

%

 

 

 

 

 

 

 

 

 

 

 

(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 March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, were ($1,902), $412, ($898), $2,726, and ($368), respectively.

(2) Income tax expense for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023 includes ($1,041), ($1,132), ($763), ($888) and ($368), respectively, of discrete tax (benefit) expense 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. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns.

 

 

 

Exhibit D

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

Other Data:

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

New insurance written

 

 

$

8,323,544

 

 

$

8,769,160

 

 

$

12,505,823

 

 

$

13,498,080

 

 

$

12,893,789

 

New risk written

 

 

 

2,289,508

 

 

 

2,409,340

 

 

 

3,458,467

 

 

 

3,726,513

 

 

 

3,548,015

 

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

 

$

238,595,268

 

 

$

239,005,961

 

 

$

237,270,093

 

 

$

233,484,941

 

 

$

228,885,174

 

Insurance in force (end of period)

 

 

$

238,477,402

 

 

$

239,078,262

 

 

$

238,661,612

 

 

$

235,649,884

 

 

$

231,537,417

 

Gross risk in force (end of period) (1)

 

 

$

64,247,810

 

 

$

64,061,374

 

 

$

63,605,057

 

 

$

62,403,400

 

 

$

60,879,979

 

Risk in force (end of period)

 

 

$

54,686,533

 

 

$

54,591,590

 

 

$

53,920,308

 

 

$

53,290,643

 

 

$

51,469,312

 

Policies in force

 

 

 

815,752

 

 

 

822,012

 

 

 

825,248

 

 

 

821,690

 

 

 

815,751

 

Weighted average coverage (2)

 

 

 

26.9

%

 

 

26.8

%

 

 

26.7

%

 

 

26.5

%

 

 

26.3

%

Annual persistency

 

 

 

86.9

%

 

 

86.9

%

 

 

86.6

%

 

 

85.8

%

 

 

84.4

%

 

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

 

 

13,992

 

 

 

14,819

 

 

 

13,391

 

 

 

12,480

 

 

 

12,773

 

Percentage of loans in default

 

 

 

1.72

%

 

 

1.80

%

 

 

1.62

%

 

 

1.52

%

 

 

1.57

%

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio premium rate:

 

 

 

 

 

 

 

 

 

 

Base average premium rate (3)

 

 

 

0.41

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

Single premium cancellations (4)

 

 

 

%

 

 

%

 

 

%

 

 

%

 

 

%

Gross average premium rate

 

 

 

0.41

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

Ceded premiums

 

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.07

%)

 

 

(0.06

%)

Net average premium rate

 

 

 

0.36

%

 

 

0.35

%

 

 

0.35

%

 

 

0.33

%

 

 

0.34

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

March 31, 2024

 

December 31, 2023

 

March 31, 2023

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

3,596,600

 

43.2

%

 

$

3,708,316

 

42.3

%

 

$

4,847,058

 

37.7

%

740-759

 

1,410,446

 

16.9

 

 

 

1,531,800

 

17.5

 

 

 

2,397,982

 

18.6

 

720-739

 

1,244,648

 

15.0

 

 

 

1,333,537

 

15.2

 

 

 

2,204,844

 

17.1

 

700-719

 

1,140,430

 

13.7

 

 

 

1,256,250

 

14.3

 

 

 

2,002,892

 

15.5

 

680-699

 

563,419

 

6.8

 

 

 

581,913

 

6.6

 

 

 

1,100,815

 

8.5

 

<=679

 

368,001

 

4.4

 

 

 

357,344

 

4.1

 

 

 

340,198

 

2.6

 

Total

$

8,323,544

 

100.0

%

 

$

8,769,160

 

100.0

%

 

$

12,893,789

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

747

 

 

 

 

747

 

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

March 31, 2024

 

December 31, 2023

 

March 31, 2023

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

559,899

 

6.7

%

 

$

642,636

 

7.3

%

 

$

963,009

 

7.5

%

85.01% to 90.00%

 

1,732,131

 

20.8

 

 

 

1,871,854

 

21.3

 

 

 

2,685,828

 

20.8

 

90.01% to 95.00%

 

4,517,655

 

54.3

 

 

 

4,660,032

 

53.1

 

 

 

7,430,113

 

57.6

 

95.01% and above

 

1,513,859

 

18.2

 

 

 

1,594,638

 

18.3

 

 

 

1,814,839

 

14.1

 

Total

$

8,323,544

 

100.0

%

 

$

8,769,160

 

100.0

%

 

$

12,893,789

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

March 31, 2024

 

December 31, 2023

 

March 31, 2023

Single Premium policies

 

2.0

%

 

 

2.5

%

 

 

4.1

%

Monthly Premium policies

 

98.0

 

 

 

97.5

 

 

 

95.9

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

March 31, 2024

 

December 31, 2023

 

March 31, 2023

Purchase

 

97.4

%

 

 

98.7

%

 

 

98.6

%

Refinance

 

2.6

 

 

 

1.3

 

 

 

1.4

 

 

 

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

March 31, 2024

 

December 31, 2023

 

March 31, 2023

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

96,712,431

 

40.6

%

 

$

97,085,244

 

40.6

%

 

$

94,560,292

 

40.8

%

740-759

 

 

41,477,680

 

17.4

 

 

 

41,490,720

 

17.4

 

 

 

39,870,193

 

17.2

 

720-739

 

 

37,342,339

 

15.7

 

 

 

37,435,781

 

15.7

 

 

 

35,950,319

 

15.5

 

700-719

 

 

32,023,895

 

13.4

 

 

 

31,932,469

 

13.4

 

 

 

30,103,007

 

13.0

 

680-699

 

 

19,664,999

 

8.2

 

 

 

19,780,944

 

8.3

 

 

 

19,338,187

 

8.4

 

<=679

 

 

11,256,058

 

4.7

 

 

 

11,353,104

 

4.6

 

 

 

11,715,419

 

5.1

 

Total

$

238,477,402

 

100.0

%

 

$

239,078,262

 

100.0

%

 

$

231,537,417

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

 

 

746

 

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

March 31, 2024

 

December 31, 2023

 

March 31, 2023

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

25,806,552

 

40.2

%

 

$

25,752,549

 

40.2

%

 

$

24,613,214

 

40.4

%

740-759

 

 

11,326,253

 

17.6

 

 

 

11,268,607

 

17.6

 

 

 

10,612,582

 

17.4

 

720-739

 

 

10,206,055

 

15.9

 

 

 

10,179,683

 

15.9

 

 

 

9,602,368

 

15.8

 

700-719

 

 

8,757,648

 

13.6

 

 

 

8,687,001

 

13.6

 

 

 

8,017,430

 

13.2

 

680-699

 

 

5,321,802

 

8.3

 

 

 

5,330,894

 

8.3

 

 

 

5,126,581

 

8.4

 

<=679

 

 

2,829,500

 

4.4

 

 

 

2,842,640

 

4.4

 

 

 

2,907,804

 

4.8

 

Total

$

64,247,810

 

100.0

%

 

$

64,061,374

 

100.0

%

 

$

60,879,979

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

March 31, 2024

 

December 31, 2023

 

March 31, 2023

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

18,397,395

 

7.7

%

 

$

19,869,776

 

8.3

%

 

$

23,502,232

 

10.2

%

85.01% to 90.00%

 

 

62,218,749

 

26.1

 

 

 

62,973,580

 

26.3

 

 

 

63,478,244

 

27.3

 

90.01% to 95.00%

 

 

120,666,455

 

50.6

 

 

 

119,764,184

 

50.1

 

 

 

112,184,833

 

48.5

 

95.01% and above

 

 

37,194,803

 

15.6

 

 

 

36,470,722

 

15.3

 

 

 

32,372,108

 

14.0

 

Total

$

238,477,402

 

100.0

%

 

$

239,078,262

 

100.0

%

 

$

231,537,417

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

March 31, 2024

 

December 31, 2023

 

March 31, 2023

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

2,188,074

 

3.4

%

 

$

2,364,232

 

3.7

%

 

$

2,793,895

 

4.6

%

85.01% to 90.00%

 

 

15,329,091

 

23.9

 

 

 

15,494,172

 

24.2

 

 

 

15,529,427

 

25.5

 

90.01% to 95.00%

 

 

35,556,840

 

55.3

 

 

 

35,260,761

 

55.0

 

 

 

32,929,489

 

54.1

 

95.01% and above

 

 

11,173,805

 

17.4

 

 

 

10,942,209

 

17.1

 

 

 

9,627,168

 

15.8

 

Total

$

64,247,810

 

100.0

%

 

$

64,061,374

 

100.0

%

 

$

60,879,979

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

March 31, 2024

 

December 31, 2023

 

March 31, 2023

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

232,753,590

 

97.6

%

 

$

232,995,380

 

97.5

%

 

$

224,230,607

 

96.8

%

FRM 20-25 years

 

 

1,473,431

 

0.6

 

 

 

1,685,700

 

0.7

 

 

 

2,364,623

 

1.0

 

FRM 15 years

 

 

1,359,795

 

0.6

 

 

 

1,505,759

 

0.6

 

 

 

2,214,448

 

1.0

 

ARM 5 years and higher

 

 

2,890,586

 

1.2

 

 

 

2,891,423

 

1.2

 

 

 

2,727,739

 

1.2

 

Total

$

238,477,402

 

100.0

%

 

$

239,078,262

 

100.0

%

 

$

231,537,417

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

Exhibit G

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

($ in thousands)

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

 

$

2,307,267

 

 

$

2,244,944

 

 

$

2,247,393

 

 

$

2,276,702

 

 

$

2,098,033

 

Reserve for losses and LAE

 

 

$

32

 

 

$

29

 

 

$

54

 

 

$

55

 

 

$

65

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

 

750

 

 

 

749

 

 

 

749

 

 

 

749

 

 

 

749

 

Weighted average LTV

 

 

 

82

%

 

 

82

%

 

 

82

%

 

 

83

%

 

 

83

%

 

 

 

 

 

 

 

 

 

 

 

 

(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

March 31, 2024

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

$

1,337,665

2.2

%

8,083

4.29

%

70.1

%

57.2

%

7.3

%

13.4

%

45.5

%

2.4

%

318

3.93

%

2015

 

26,193,656

 

1,192,019

4.6

 

7,166

4.25

 

81.6

 

70.1

 

5.3

 

18.3

 

39.0

 

2.3

 

265

3.70

 

2016

 

34,949,319

 

2,778,784

8.0

 

16,341

3.91

 

87.2

 

80.1

 

12.9

 

16.3

 

41.7

 

2.1

 

492

3.01

 

2017

 

43,858,322

 

4,511,284

10.3

 

27,229

4.28

 

91.3

 

73.9

 

21.5

 

20.6

 

37.3

 

3.2

 

1,052

3.86

 

2018

 

47,508,525

 

5,331,200

11.2

 

30,191

4.80

 

94.9

 

72.6

 

26.4

 

21.8

 

32.5

 

4.2

 

1,297

4.30

 

2019

 

63,569,183

 

11,776,711

18.5

 

56,634

4.23

 

88.7

 

70.3

 

25.4

 

19.0

 

35.3

 

4.0

 

1,726

3.05

 

2020

 

107,944,065

 

43,791,803

40.6

 

170,192

3.20

 

70.0

 

58.7

 

13.6

 

10.8

 

45.5

 

2.9

 

2,324

1.37

 

2021

 

84,218,250

 

58,766,271

69.8

 

193,329

3.09

 

87.5

 

64.2

 

15.9

 

13.8

 

40.4

 

6.6

 

3,172

1.64

 

2022

 

63,061,262

 

55,899,907

88.6

 

159,736

5.08

 

97.9

 

65.6

 

11.3

 

12.6

 

39.6

 

19.7

 

2,477

1.55

 

2023

 

47,666,852

 

44,842,520

94.1

 

124,984

6.65

 

98.8

 

72.5

 

18.3

 

11.0

 

39.1

 

15.9

 

867

0.69

 

2024 (through March 31)

 

8,323,544

 

8,249,238

99.1

 

21,867

6.74

 

97.4

 

72.6

 

18.3

 

11.2

 

43.0

 

0.8

 

2

0.01

 

Total

$

587,961,829

$

238,477,402

40.6

 

815,752

4.51

 

89.4

 

66.2

 

15.6

 

13.0

 

40.6

 

4.5

 

13,992

1.72

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

March 31, 2024

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance Linked Notes (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Deal Name

Vintage

 

Remaining

Insurance

in Force

Remaining

Risk

in Force

 

Original

Reinsurance in Force

 

Remaining

Reinsurance in Force

 

Losses

Ceded

to Date

 

Original

First Layer

Retention

Remaining

First Layer

Retention

 

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (3)

Radnor Re 2021-1

Aug. 2020 - Mar. 2021

 

$

29,772,296

$

7,817,502

 

$

557,911

 

$

280,941

 

$

 

$

278,956

$

278,416

 

$

2,325

 

$

203,407

Radnor Re 2021-2

Apr. 2021 - Sep. 2021

 

 

34,555,672

 

9,408,534

 

 

439,407

 

 

322,709

 

 

 

 

279,415

 

278,709

 

 

3,674

 

 

265,684

Radnor Re 2022-1

Oct. 2021 - Jul. 2022

 

 

30,751,105

 

8,334,892

 

 

237,868

 

 

219,606

 

 

 

 

303,761

 

302,892

 

 

3,917

 

 

202,037

Radnor Re 2023-1

Aug. 2022 - Jun. 2023

 

 

30,145,794

 

8,250,148

 

 

281,462

 

 

281,462

 

 

 

 

281,463

 

281,463

 

 

3,478

 

 

266,826

Total

 

 

$

125,224,867

$

33,811,076

 

$

1,516,648

 

$

1,104,718

 

$

 

$

1,143,595

$

1,141,480

 

$

13,394

(5)

$

937,954

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess of Loss Reinsurance (2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Deal Name

Vintage

Remaining

Insurance

in Force

Remaining

Risk

in Force

 

Original

Reinsurance in Force

 

Remaining

Reinsurance in Force

 

Losses

Ceded

to Date

 

Original

First Layer

Retention

Remaining

First Layer

Retention

 

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (3)

XOL 2019-1

Jan. 2018 - Dec. 2018

$

5,274,449

$

1,385,510

 

$

118,650

 

$

76,144

 

$

 

$

253,643

$

245,590

 

$

620

 

$

XOL 2020-1

Jan. 2019 - Dec. 2019

 

6,574,279

 

1,728,344

 

 

55,102

 

 

35,024

 

 

 

 

215,605

 

212,934

 

 

280

 

 

XOL 2022-1

Oct. 2021 - Dec. 2022

 

68,954,857

 

18,681,548

 

 

141,992

 

 

141,992

 

 

 

 

507,114

 

504,904

 

 

1,593

 

 

138,049

XOL 2023-1

Jan. 2023 - Dec. 2023

 

39,984,013

 

11,066,581

 

 

36,627

 

 

36,627

 

 

 

 

366,270

 

366,270

 

 

434

 

 

35,262

Total

 

$

120,787,598

$

32,861,983

 

$

352,371

 

$

289,787

 

$

 

$

1,342,632

$

1,329,698

 

$

2,927

 

$

173,311

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quota Share Reinsurance (2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses Ceded

 

Ceding Commission

 

Earned Premiums Ceded

 

 

Year

Ceding Percentage

Remaining

Insurance

in Force

Remaining

Risk

in Force

 

Remaining Ceded Insurance in Force

 

Remaining Ceded Risk in Force

 

Year-to-Date

 

Year-to-Date

 

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (3)

Sep. 2019 - Dec. 2020

(4)

$

48,738,950

$

12,911,516

 

$

10,961,149

 

$

2,867,129

 

$

(181

)

 

$

2,381

 

$

4,224

 

$

171,243

Jan. 2022 - Dec. 2022

20%

 

55,847,902

 

15,138,856

 

 

11,169,580

 

 

3,027,771

 

 

1,724

 

 

 

1,905

 

 

5,344

 

 

228,999

Jan. 2023 - Dec. 2023

17.5%

 

39,871,067

 

11,039,038

 

 

6,977,437

 

 

1,931,832

 

 

1,441

 

 

 

1,366

 

 

4,310

 

 

142,961

Jan. 2024 - Dec. 2024

15%

 

8,237,311

 

2,266,932

 

 

1,235,597

 

 

340,040

 

 

 

 

 

101

 

 

216

 

 

23,466

Total

 

$

152,695,230

$

41,356,342

 

$

30,343,763

 

$

8,166,772

 

$

2,984

 

 

$

5,753

 

$

14,094

 

$

566,669

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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 ($24) of benefit in ceded premium on ILN's retired as of March 31, 2024.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit J

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Geographic Data

 

 

 

 

 

 

 

 

 

 

 

 

IIF by State

 

March 31, 2024

 

December 31, 2023

 

March 31, 2023

CA

12.9

%

 

13.0

%

 

13.2

%

FL

11.3

 

 

11.1

 

 

10.4

 

TX

10.6

 

 

10.5

 

 

10.5

 

CO

4.1

 

 

4.1

 

 

4.2

 

AZ

3.8

 

 

3.7

 

 

3.6

 

GA

3.5

 

 

3.4

 

 

3.2

 

WA

3.5

 

 

3.5

 

 

3.4

 

NC

2.9

 

 

2.9

 

 

2.7

 

VA

2.7

 

 

2.8

 

 

3.0

 

IL

2.7

 

 

2.8

 

 

3.0

 

All Others

42.0

 

 

42.2

 

 

42.8

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

March 31, 2024

 

December 31, 2023

 

March 31, 2023

CA

12.8

%

 

12.8

%

 

13.0

%

FL

11.6

 

 

11.4

 

 

10.7

 

TX

10.9

 

 

10.9

 

 

10.8

 

CO

4.1

 

 

4.0

 

 

4.1

 

AZ

3.8

 

 

3.8

 

 

3.7

 

GA

3.6

 

 

3.4

 

 

3.3

 

WA

3.4

 

 

3.5

 

 

3.4

 

NC

2.9

 

 

2.9

 

 

2.8

 

VA

2.7

 

 

2.7

 

 

2.9

 

IL

2.7

 

 

2.7

 

 

2.9

 

All Others

41.5

 

 

41.9

 

 

42.4

 

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

 

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

Beginning default inventory

 

 

 

14,819

 

 

 

13,391

 

 

 

12,480

 

 

 

12,773

 

 

 

13,433

 

Plus: new defaults (A)

 

 

 

8,260

 

 

 

9,007

 

 

 

7,953

 

 

 

6,575

 

 

 

7,015

 

Less: cures

 

 

 

(8,951

)

 

 

(7,418

)

 

 

(6,902

)

 

 

(6,761

)

 

 

(7,574

)

Less: claims paid

 

 

 

(123

)

 

 

(148

)

 

 

(129

)

 

 

(96

)

 

 

(94

)

Less: rescissions and denials, net

 

 

 

(13

)

 

 

(13

)

 

 

(11

)

 

 

(11

)

 

 

(7

)

Ending default inventory

 

 

 

13,992

 

 

 

14,819

 

 

 

13,391

 

 

 

12,480

 

 

 

12,773

 

 

 

 

 

 

 

 

 

 

 

 

 

(A) New defaults remaining as of March 31, 2024

 

 

 

5,425

 

 

 

3,139

 

 

 

1,897

 

 

 

1,119

 

 

 

663

 

Cure rate (1)

 

 

 

34

%

 

 

65

%

 

 

76

%

 

 

83

%

 

 

91

%

 

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

 

$

3,605

 

 

$

3,411

 

 

$

2,956

 

 

$

1,890

 

 

$

1,959

 

Average amount paid per claim (in thousands)

 

 

$

29

 

 

$

23

 

 

$

23

 

 

$

20

 

 

$

21

 

Severity

 

 

 

65

%

 

 

54

%

 

 

66

%

 

 

58

%

 

 

59

%

 

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

 

2024

 

2023

($ in thousands)

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

Reserve for losses and LAE at beginning of period

 

 

$

245,402

 

 

$

226,617

 

 

$

216,888

 

 

$

215,957

 

 

$

216,390

 

Less: Reinsurance recoverables

 

 

 

24,005

 

 

 

20,656

 

 

 

17,958

 

 

 

16,357

 

 

 

14,618

 

Net reserve for losses and LAE at beginning of period

 

 

 

221,397

 

 

 

205,961

 

 

 

198,930

 

 

 

199,600

 

 

 

201,772

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

 

Current period

 

 

$

39,396

 

 

$

38,922

 

 

$

35,609

 

 

$

31,377

 

 

$

32,693

 

Prior years

 

 

 

(30,062

)

 

 

(19,912

)

 

 

(25,533

)

 

 

(30,107

)

 

 

(32,864

)

Incurred losses and LAE during the period

 

 

 

9,334

 

 

 

19,010

 

 

 

10,076

 

 

 

1,270

 

 

 

(171

)

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

 

Current period

 

 

 

1

 

 

 

330

 

 

 

156

 

 

 

31

 

 

 

 

Prior years

 

 

 

3,735

 

 

 

3,244

 

 

 

2,889

 

 

 

1,909

 

 

 

2,001

 

Loss and LAE payments during the period

 

 

 

3,736

 

 

 

3,574

 

 

 

3,045

 

 

 

1,940

 

 

 

2,001

 

Net reserve for losses and LAE at end of period

 

 

 

226,995

 

 

 

221,397

 

 

 

205,961

 

 

 

198,930

 

 

 

199,600

 

Plus: Reinsurance recoverables

 

 

 

26,570

 

 

 

24,005

 

 

 

20,656

 

 

 

17,958

 

 

 

16,357

 

Reserve for losses and LAE at end of period

 

 

$

253,565

 

 

$

245,402

 

 

$

226,617

 

 

$

216,888

 

 

$

215,957

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

 

 

 

 

 

 

 

 

 

March 31, 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

 

6,527

 

47

%

$

42,354

18

%

$

482,151

9

%

Four to eleven payments

 

5,440

 

39

 

 

104,123

45

 

 

426,513

24

 

Twelve or more payments

 

1,883

 

13

 

 

80,025

34

 

 

130,816

61

 

Pending claims

 

142

 

1

 

 

7,382

3

 

 

8,351

88

 

Total case reserves

 

13,992

 

100

%

 

233,884

100

%

$

1,047,831

22

%

IBNR

 

 

 

 

17,541

 

 

 

LAE

 

 

 

 

2,140

 

 

 

Total reserves for losses and LAE

 

 

 

$

253,565

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

16.7

 

 

 

Total

 

 

 

$

18.1

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.72

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 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

 

5,366

 

42

%

$

31,080

16

%

$

366,993

8

%

Four to eleven payments

 

5,106

 

40

 

 

78,125

39

 

 

363,299

22

 

Twelve or more payments

 

2,188

 

17

 

 

85,517

43

 

 

130,520

66

 

Pending claims

 

113

 

1

 

 

4,386

2

 

 

5,004

88

 

Total case reserves

 

12,773

 

100

%

 

199,108

100

%

$

865,816

23

%

IBNR

 

 

 

 

14,933

 

 

 

LAE

 

 

 

 

1,916

 

 

 

Total reserves for losses and LAE

 

 

 

$

215,957

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

15.6

 

 

 

Total

 

 

 

$

16.9

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.57

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit M

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

 

March 31, 2024

 

December 31, 2023

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

 

$

1,036,787

 

 

19.3

%

 

$

996,382

 

18.9

%

U.S. agency securities

 

 

1,573

 

 

0.1

 

 

 

7,195

 

0.1

 

U.S. agency mortgage-backed securities

 

 

787,285

 

 

14.7

 

 

 

821,346

 

15.6

 

Municipal debt securities

 

 

539,678

 

 

10.1

 

 

 

547,258

 

10.5

 

Non-U.S. government securities

 

 

66,395

 

 

1.2

 

 

 

67,447

 

1.3

 

Corporate debt securities

 

 

1,219,160

 

 

22.7

 

 

 

1,297,055

 

24.7

 

Residential and commercial mortgage securities

 

 

506,780

 

 

9.4

 

 

 

517,940

 

9.8

 

Asset-backed securities

 

 

522,352

 

 

9.7

 

 

 

564,995

 

10.7

 

Money market funds

 

 

689,064

 

 

12.8

 

 

 

444,121

 

8.4

 

Total investments available for sale

 

$

5,369,074

 

 

100.0

%

 

$

5,263,739

 

100.0

%

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

 

March 31, 2024

 

December 31, 2023

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

 

$

2,523,003

 

 

53.9

%

 

$

2,561,363

 

53.2

%

Aa1

 

 

107,659

 

 

2.3

 

 

 

104,474

 

2.2

 

Aa2

 

 

281,505

 

 

6.0

 

 

 

291,501

 

6.0

 

Aa3

 

 

198,316

 

 

4.2

 

 

 

208,882

 

4.3

 

A1

 

 

368,360

 

 

7.9

 

 

 

377,188

 

7.8

 

A2

 

 

285,058

 

 

6.1

 

 

 

329,423

 

6.8

 

A3

 

 

269,390

 

 

5.8

 

 

 

253,081

 

5.3

 

Baa1

 

 

199,880

 

 

4.3

 

 

 

220,901

 

4.6

 

Baa2

 

 

210,558

 

 

4.5

 

 

 

226,449

 

4.7

 

Baa3

 

 

160,219

 

 

3.4

 

 

 

166,121

 

3.4

 

Below Baa3

 

 

76,062

 

 

1.6

 

 

 

80,235

 

1.7

 

Total (2)

 

$

4,680,010

 

 

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 $689,064 and $444,121 of money market funds at March 31, 2024 and December 31, 2023, respectively.

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

 

March 31, 2024

 

December 31, 2023

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

 

$

2,074,776

 

 

38.6

%

 

$

1,892,074

 

35.9

%

1 to < 2 Years

 

 

359,920

 

 

6.7

 

 

 

371,583

 

7.1

 

2 to < 3 Years

 

 

496,204

 

 

9.2

 

 

 

538,775

 

10.2

 

3 to < 4 Years

 

 

364,968

 

 

6.8

 

 

 

402,668

 

7.6

 

4 to < 5 Years

 

 

422,678

 

 

7.9

 

 

 

376,722

 

7.2

 

5 or more Years

 

 

1,650,528

 

 

30.8

 

 

 

1,681,917

 

32.0

 

Total investments available for sale

 

$

5,369,074

 

 

100.0

%

 

$

5,263,739

 

100.0

%

 

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

 

Three months ended March 31, 2024

 

 

3.67

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Holding company net cash and investments available for sale:

 

 

 

 

($ in thousands)

 

 

 

 

As of March 31, 2024

 

$

720,419

 

 

As of December 31, 2023

 

$

693,507

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit N

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

 

 

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

 

 

 

 

 

 

 

Combined statutory capital (1)

 

 

$

3,453,553

 

 

$

3,376,117

 

 

$

3,309,522

 

 

$

3,243,086

 

 

$

3,207,102

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Combined net risk in force (2)

 

 

$

34,463,082

 

 

$

34,549,500

 

 

$

34,203,678

 

 

$

34,019,643

 

 

$

33,038,825

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc.

 

 

10.3:1

 

10.6:1

 

10.7:1

 

10.8:1

 

10.6:1

 

Essent Guaranty of PA, Inc.

 

 

0.4:1

 

0.4:1

 

0.5:1

 

0.5:1

 

0.5:1

 

Combined (4)

 

 

10.0:1

 

10.2:1

 

10.3:1

 

10.5:1

 

10.3:1

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

 

 

 

 

 

 

 

 

Available Assets

 

 

$

3,464,119

 

 

$

3,379,936

 

 

$

3,318,179

 

 

$

3,245,481

 

 

$

3,226,436

 

 

Minimum Required Assets

 

 

 

1,999,928

 

 

 

1,985,545

 

 

 

1,910,659

 

 

 

1,991,741

 

 

 

1,917,769

 

 

PMIERs excess Available Assets

 

 

$

1,464,191

 

 

$

1,394,391

 

 

$

1,407,520

 

 

$

1,253,740

 

 

$

1,308,667

 

 

PMIERs sufficiency ratio (6)

 

 

 

173

%

 

 

170

%

 

 

174

%

 

 

163

%

 

 

168

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

 

 

 

 

 

 

 

 

Stockholder's equity (GAAP basis)

 

 

$

1,793,005

 

 

$

1,758,665

 

 

$

1,684,122

 

 

$

1,633,763

 

 

$

1,573,013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net risk in force (2)

 

 

$

22,271,316

 

 

$

22,043,926

 

 

$

21,739,419

 

 

$

21,327,762

 

 

$

20,305,111

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

 

Loss Ratio (1)

4.0

%

 

 

7.9

%

 

 

4.4

%

 

 

0.6

%

 

(0.1

)%

 

Expense Ratio (2)

27.1

%

 

 

27.0

%

 

 

27.3

%

 

 

19.8

%

 

22.8

%

 

Combined Ratio

31.1

%

 

 

34.9

%

 

 

31.7

%

 

 

20.4

%

 

22.7

%

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting Margin (3)

68.9

%

 

 

65.1

%

 

 

68.3

%

 

 

79.6

%

 

77.3

%

 

 

 

 

 

 

 

 

 

 

 

 

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 three months ended March 31, 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 months ended March 31, 2024, in accordance with Regulation G:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended

March 31, 2024

 

 

 

 

 

 

Consolidated

 

Title

 

Excluding Title

 

 

 

($ in thousands)

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

Net premiums earned

 

 

$

245,590

 

 

$

15,285

 

 

$

230,305

 

 

 

 

Net investment income

 

 

 

52,085

 

 

 

751

 

 

 

51,334

 

 

 

 

Realized investment losses, net

 

 

 

(1,140

)

 

 

 

 

 

(1,140

)

 

 

 

(Loss) income from other invested assets

 

 

 

(1,915

)

 

 

 

 

 

(1,915

)

 

 

 

Settlement services (4)

 

 

 

1,424

 

 

 

1,424

 

 

 

 

 

 

 

Other income

 

 

 

2,313

 

 

 

408

 

 

 

1,905

 

 

 

 

Total revenues

 

 

 

298,357

 

 

 

17,868

 

 

 

280,489

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

Provision (benefit) for losses and LAE

 

 

 

9,913

 

 

 

576

 

 

 

9,337

 

 

 

 

Other underwriting and operating expenses

 

 

 

57,349

 

 

 

11,810

 

 

 

45,539

 

 

 

 

Premiums retained by agents

 

 

 

9,491

 

 

 

9,491

 

 

 

 

 

 

 

Interest expense

 

 

 

7,862

 

 

 

 

 

 

7,862

 

 

 

 

Total losses and expenses

 

 

 

84,615

 

 

 

21,877

 

 

 

62,738

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio (1)

 

 

 

4.0

%

 

 

3.4

%

 

 

4.1

%

 

 

 

Expense ratio (2)

 

 

 

27.1

%

 

 

127.5

%

 

 

19.8

%

 

 

 

Combined ratio

 

 

 

31.1

%

 

 

130.9

%

 

 

23.9

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting Margin (3)

 

 

 

68.9

%

 

 

(30.9

%)

 

 

76.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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.

 

Contacts

Media Contact

610.230.0556

media@essentgroup.com

Investor Relations Contact

Philip Stefano

Vice President, Investor Relations