Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended September 30, 2023
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
Exhibit L Detail of Reserves by Default Delinquency Exhibit M Investments Available for Sale
Exhibit N U.S. Mortgage Insurance Company Capital
Exhibit O Loss, Expense and Combined 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) | 2023 | 2022 | 2023 | 2022 | |||||||
Revenues: | |||||||||||
Direct premiums written | $ | 270,868 | $ | 239,773 | $ | 759,526 | $ | 692,687 | |||
Ceded premiums | (30,294) | (30,543) | (103,431) | (73,384) | |||||||
Net premiums written | 240,574 | 209,230 | 656,095 | 619,303 | |||||||
Decrease in unearned premiums | 6,231 | (1,296) | 15,197 | 15,972 | |||||||
Net premiums earned | 246,805 | 207,934 | 671,292 | 635,275 | |||||||
Net investment income | 47,072 | 32,594 | 135,558 | 86,613 | |||||||
Realized investment losses, net | (235) | 175 | (2,312) | (7,648) | |||||||
(Loss) income from other invested assets | (3,143) | 9,617 | (10,697) | 36,275 | |||||||
Other income | 5,609 | 11,447 | 18,641 | 20,272 | |||||||
Total revenues | 296,108 | 261,767 | 812,482 | 770,787 | |||||||
Losses and expenses: | |||||||||||
Provision (benefit) for losses and LAE | 10,822 | 4,252 | 11,902 | (178,805) | |||||||
Other underwriting and operating expenses | 54,814 | 42,144 | 145,183 | 124,838 | |||||||
Premiums retained by agents | 13,175 | - | 13,175 | - | |||||||
Interest expense | 7,854 | 4,450 | 22,184 | 9,563 | |||||||
Total losses and expenses | 86,665 | 50,846 | 192,444 | (44,404) | |||||||
Income before income taxes | 209,443 | 210,921 | 620,038 | 815,191 | |||||||
Income tax expense | 31,484 | 32,870 | 99,019 | 131,204 | |||||||
Net income | $ | 177,959 | $ | 178,051 | $ | 521,019 | $ | 683,987 | |||
Earnings per share: | |||||||||||
Basic | $ | 1.68 | $ | 1.67 | $ | 4.90 | $ | 6.37 | |||
Diluted | 1.66 | 1.66 | 4.86 | 6.35 | |||||||
Weighted average shares outstanding: | |||||||||||
Basic | 105,979 | 106,870 | 106,387 | 107,314 | |||||||
Diluted | 107,025 | 107,337 | 107,232 | 107,732 | |||||||
Net income | $ | 177,959 | $ | 178,051 | $ | 521,019 | $ | 683,987 | |||
Other comprehensive income (loss): | |||||||||||
Change in unrealized depreciation of investments | (76,248) | (137,010) | (53,593) | (474,284) | |||||||
Total other comprehensive loss | (76,248) | (137,010) | (53,593) | (474,284) | |||||||
Comprehensive income | $ | 101,711 | $ | 41,041 | $ | 467,426 | $ | 209,703 | |||
2
Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
September 30, | December 31, | ||||
(In thousands, except per share amounts) | 2023 | 2022 | |||
Assets | |||||
Investments | |||||
Fixed maturities available for sale, at fair value | $ | 4,241,757 | $ | 4,489,598 | |
Short-term investments available for sale, at fair value | 755,931 | 252,027 | |||
Total investments available for sale | 4,997,688 | 4,741,625 | |||
Other invested assets | 272,619 | 257,941 | |||
Total investments | 5,270,307 | 4,999,566 | |||
Cash | 96,779 | 81,240 | |||
Accrued investment income | 36,651 | 33,162 | |||
Accounts receivable | 68,332 | 57,399 | |||
Deferred policy acquisition costs | 9,375 | 9,910 | |||
Property and equipment | 40,710 | 19,571 | |||
Prepaid federal income tax | 461,386 | 418,460 | |||
Goodwill and intangible assets, net | 64,271 | - | |||
Other assets | 46,389 | 104,489 | |||
Total assets | $ | 6,094,200 | $ | 5,723,797 | |
Liabilities and Stockholders' Equity | |||||
Liabilities | |||||
Reserve for losses and LAE | $ | 241,333 | $ | 216,464 | |
Unearned premium reserve | 147,712 | 162,887 | |||
Net deferred tax liability | 329,721 | 356,810 | |||
Credit facility borrowings, net of deferred costs | 421,656 | 420,864 | |||
Other accrued liabilities | 145,771 | 104,463 | |||
Total liabilities | 1,286,193 | 1,261,488 | |||
Commitments and contingencies | |||||
Stockholders' Equity | |||||
Common shares, $0.015 par value: | |||||
Authorized - 233,333; issued and outstanding - 106,887 shares in 2023 and 107,683 shares in 2022 | 1,603 | 1,615 | |||
Additional paid-in capital | 1,309,717 | 1,350,377 | |||
Accumulated other comprehensive loss | (436,383) | (382,790) | |||
Retained earnings | 3,933,070 | 3,493,107 | |||
Total stockholders' equity | 4,808,007 | 4,462,309 | |||
Total liabilities and stockholders' equity | $ | 6,094,200 | $ | 5,723,797 | |
Return on average equity (1) | |||||
15.0% | 19.1% |
- The 2023 return on average equity is calculated by dividing annualized year-to-date 2023 net income by average equity. The 2022 return on average equity is calculated by dividing full year 2022 net income by average equity.
3
Exhibit C | ||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||
Supplemental Information | ||||||||||||||||
Consolidated Historical Quarterly Data | ||||||||||||||||
2023 | 2022 | |||||||||||||||
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 | $ | 209,351 | $ | 195,502 | $ | 196,565 | $ | 192,670 | $ | 194,272 | ||||||
GSE and other risk share | 16,850 | 17,727 | 14,693 | 14,582 | 13,662 | |||||||||||
Title insurance | 20,604 | - | - | - | - | |||||||||||
Net premiums earned | 246,805 | 213,229 | 211,258 | 207,252 | 207,934 | |||||||||||
Net investment income | 47,072 | 45,250 | 43,236 | 37,796 | 32,594 | |||||||||||
Realized investment (losses) gains, net | (235) | (1,589) | (488) | (5,524) | 175 | |||||||||||
(Loss) income from other invested assets | (3,143) | (4,852) | (2,702) | (7,599) | 9,617 | |||||||||||
Other income (loss) (1) | 5,609 | 8,090 | 4,942 | (1,888) | 11,447 | |||||||||||
Total revenues | 296,108 | 260,128 | 256,246 | 230,037 | 261,767 | |||||||||||
Losses and expenses: | ||||||||||||||||
Provision (benefit) for losses and LAE | 10,822 | 1,260 | (180) | 4,101 | 4,252 | |||||||||||
Other underwriting and operating expenses | 54,814 | 42,174 | 48,195 | 46,895 | 42,144 | |||||||||||
Premiums retained by agents | 13,175 | - | - | - | - | |||||||||||
Interest expense | 7,854 | 7,394 | 6,936 | 6,045 | 4,450 | |||||||||||
Total losses and expenses | 86,665 | 50,828 | 54,951 | 57,041 | 50,846 | |||||||||||
Income before income taxes | 209,443 | 209,300 | 201,295 | 172,996 | 210,921 | |||||||||||
Income tax expense (2) | 31,484 | 37,067 | 30,468 | 25,630 | 32,870 | |||||||||||
Net income | $ | 177,959 | $ | 172,233 | $ | 170,827 | $ | 147,366 | $ | 178,051 | ||||||
Earnings per share: | ||||||||||||||||
Basic | $ | 1.68 | $ | 1.62 | $ | 1.60 | $ | 1.38 | $ | 1.67 | ||||||
Diluted | 1.66 | 1.61 | 1.59 | 1.37 | 1.66 | |||||||||||
Weighted average shares outstanding: | ||||||||||||||||
Basic | 105,979 | 106,249 | 106,943 | 106,881 | 106,870 | |||||||||||
Diluted | 107,025 | 107,093 | 107,585 | 107,419 | 107,337 | |||||||||||
Book value per share | $ | 44.98 | $ | 44.24 | $ | 43.18 | $ | 41.44 | $ | 39.87 | ||||||
Return on average equity (annualized) | 14.9 % | 14.7 % | 15.0 % | 13.5 % | 16.6 % | |||||||||||
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) | 7.07 % | 6.87 % | 6.52 % | 6.02 % | 4.39 % | |||||||||||
Debt-to-capital | 8.12 % | 8.24 % | 8.38 % | 8.70 % | 9.01 % |
- 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, 2023, June 30, 2023, March 31, 2023, December 31, 2022, and September 30, 2022 was ($898), $2,726, ($368), ($6,515), and $5,177, respectively.
- Income tax expense for the quarters ended September 30, 2023, June 30, 2023, March 31, 2023, December 31, 2022 and September 30, 2022 includes
($763), $(888), ($368), ($4,122), and $2,925 respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns.
4
Exhibit D | |||||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||||
Supplemental Information | |||||||||||||||
U.S Mortgage Insurance Portfolio Historical Quarterly Data | |||||||||||||||
2023 | 2022 | ||||||||||||||
Other Data: | September 30 | June 30 | March 31 | December 31 | September 30 | ||||||||||
($ in thousands) | |||||||||||||||
U.S. Mortgage Insurance Portfolio | |||||||||||||||
Flow: | |||||||||||||||
New insurance written | $ | 12,505,823 | $ | 13,498,080 | $ | 12,893,789 | $ | 13,011,432 | $ | 17,112,017 | |||||
New risk written | 3,458,467 | 3,726,513 | 3,548,015 | 3,522,726 | 4,570,699 | ||||||||||
Bulk: | |||||||||||||||
New insurance written | $ | - | $ | - | $ | - | $ | - | $ | - | |||||
New risk written | - | - | - | - | - | ||||||||||
Total: | |||||||||||||||
New insurance written | $ | 12,505,823 | $ | 13,498,080 | $ | 12,893,789 | $ | 13,011,432 | $ | 17,112,017 | |||||
New risk written | $ | 3,458,467 | $ | 3,726,513 | $ | 3,548,015 | $ | 3,522,726 | $ | 4,570,669 | |||||
Average insurance in force | $ | 237,270,093 | $ | 233,484,941 | $ | 228,885,174 | $ | 224,840,675 | $ | 219,280,350 | |||||
Insurance in force (end of period) | $ | 238,661,612 | $ | 235,649,884 | $ | 231,537,417 | $ | 227,062,055 | $ | 222,542,569 | |||||
Gross risk in force (end of period) (1) | $ | 63,605,057 | $ | 62,403,400 | $ | 60,879,979 | $ | 59,276,489 | $ | 57,743,091 | |||||
Risk in force (end of period) | $ | 53,920,308 | $ | 53,290,643 | $ | 51,469,312 | $ | 49,903,626 | $ | 48,690,571 | |||||
Policies in force | 825,248 | 821,690 | 815,751 | 808,596 | 800,745 | ||||||||||
Weighted average coverage (2) | 26.7% | 26.5% | 26.3% | 26.1% | 25.9% | ||||||||||
Annual persistency | 86.6% | 85.8% | 84.4% | 82.1% | 77.9% | ||||||||||
Loans in default (count) | 13,391 | 12,480 | 12,773 | 13,433 | 12,435 | ||||||||||
Percentage of loans in default | 1.62% | 1.52% | 1.57% | 1.66% | 1.55% | ||||||||||
U.S. Mortgage Insurance Portfolio premium rate: | |||||||||||||||
Base average premium rate (3) | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% | ||||||||||
Single premium cancellations (4) | -% | -% | -% | -% | 0.01% | ||||||||||
Gross average premium rate | 0.40% | 0.40% | 0.40% | 0.40% | 0.41% | ||||||||||
Ceded premiums | (0.05%) | (0.07%) | (0.06%) | (0.06%) | (0.06%) | ||||||||||
Net average premium rate | 0.35% | 0.33% | 0.34% | 0.34% | 0.35% | ||||||||||
- Gross risk in force includes risk ceded under third-party reinsurance.
- Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
- Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
- 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.
5
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, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | ||||||||||||
($ in thousands) | |||||||||||||||
>=760 | $ | 5,212,343 | 41.8% | $ | 6,976,123 | 40.8% | $ | 15,473,191 | 39.8% | $ | 20,942,108 | 41.8% | |||
740-759 | 2,205,066 | 17.6 | 2,965,115 | 17.3 | 7,031,821 | 18.1 | 8,499,739 | 17.0 | |||||||
720-739 | 1,911,320 | 15.3 | 2,788,573 | 16.3 | 6,310,564 | 16.2 | 7,885,166 | 15.8 | |||||||
700-719 | 1,867,510 | 14.9 | 2,277,251 | 13.3 | 5,892,704 | 15.1 | 6,452,721 | 12.9 | |||||||
680-699 | 891,471 | 7.1 | 1,476,982 | 8.6 | 3,024,347 | 7.8 | 4,409,944 | 8.8 | |||||||
<=679 | 418,113 | 3.3 | 627,973 | 3.7 | 1,165,065 | 3.0 | 1,859,956 | 3.7 | |||||||
Total | $ | 12,505,823 | 100.0% | $ | 17,112,017 | 100.0% | $ | 38,897,692 | 100.0% | $ | 50,049,634 | 100.0% | |||
Weighted average credit score | 747 | 746 | 746 | 747 |
NIW by LTV
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | ||||||||||||
($ in thousands) | |||||||||||||||
85.00% and below | $ | 849,250 | 6.7% | $ | 1,618,912 | 9.5% | $ | 2,801,011 | 7.2% | $ | 4,556,205 | 9.1% | |||
85.01% to 90.00% | 2,445,924 | 19.6 | 4,753,686 | 27.8 | 7,951,062 | 20.4 | 13,657,345 | 27.3 | |||||||
90.01% to 95.00% | 6,614,050 | 52.9 | 9,171,095 | 53.5 | 21,383,696 | 55.0 | 26,461,665 | 52.9 | |||||||
95.01% and above | 2,596,599 | 20.8 | 1,568,324 | 9.2 | 6,761,923 | 17.4 | 5,374,419 | 10.7 | |||||||
Total | $ | 12,505,823 | 100.0% | $ | 17,112,017 | 100.0% | $ | 38,897,692 | 100.0% | $ | 50,049,634 | 100.0% | |||
Weighted average LTV | 93% | 93% | 93% | 93% |
NIW by Product
Three Months Ended | Nine Months Ended | ||||||||||
September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | ||||||||
Single Premium policies | 2.8% | 8.2% | 3.8% | 5.9% | |||||||
Monthly Premium policies | 97.2 | 91.8 | 96.2 | 94.1 | |||||||
100.0% | 100.0% | 100.0% | 100.0% | ||||||||
NIW by Purchase vs. Refinance
Three Months Ended | Nine Months Ended | ||||||||||
September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | ||||||||
Purchase | 99.0% | 98.7% | 98.8% | 97.2% | |||||||
Refinance | 1.0 | 1.3 | 1.2 | 2.8 | |||||||
100.0% | 100.0% | 100.0% | 100.0% | ||||||||
6
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, 2023 | June 30, 2023 | September 30, 2022 | ||||||||
($ in thousands) | |||||||||||
>=760 | $ | 97,027,348 | 40.7% | $ | 95,925,520 | 40.8% | $ | 92,309,692 | 41.5% | ||
740-759 | 41,362,480 | 17.3 | 40,733,799 | 17.3 | 37,821,201 | 17.0 | |||||
720-739 | 37,297,809 | 15.6 | 36,791,104 | 15.6 | 33,910,646 | 15.2 | |||||
700-719 | 31,674,346 | 13.3 | 30,970,132 | 13.1 | 28,263,518 | 12.7 | |||||
680-699 | 19,850,176 | 8.3 | 19,667,866 | 8.3 | 18,351,570 | 8.2 | |||||
<=679 | 11,449,453 | 4.8 | 11,561,463 | 4.9 | 11,885,942 | 5.4 | |||||
Total | $ | 238,661,612 | 100.0% | $ | 235,649,884 | 100.0% | $ | 222,542,569 | 100.0% | ||
Weighted average credit score | 746 | 746 | 746 |
Gross RIF by FICO score | September 30, 2023 | June 30, 2023 | September 30, 2022 | ||||||||
($ in thousands) | |||||||||||
>=760 | $ | 25,594,262 | 40.1% | $ | 25,138,762 | 40.3% | $ | 23,743,335 | 41.1% | ||
740-759 | 11,165,727 | 17.6 | 10,922,780 | 17.5 | 9,920,331 | 17.2 | |||||
720-739 | 10,090,889 | 15.9 | 9,896,425 | 15.9 | 8,934,327 | 15.5 | |||||
700-719 | 8,568,811 | 13.5 | 8,319,353 | 13.3 | 7,412,542 | 12.8 | |||||
680-699 | 5,327,434 | 8.4 | 5,248,349 | 8.4 | 4,801,986 | 8.3 | |||||
<=679 | 2,857,934 | 4.5 | 2,877,731 | 4.6 | 2,930,570 | 5.1 | |||||
Total | $ | 63,605,057 | 100.0% | $ | 62,403,400 | 100.0% | $ | 57,743,091 | 100.0% | ||
Portfolio by LTV
IIF by LTV | September 30, 2023 | June 30, 2023 | September 30, 2022 | ||||||||
($ in thousands) | |||||||||||
85.00% and below | $ | 21,226,685 | 8.9% | $ | 22,427,649 | 9.5% | $ | 25,121,995 | 11.3% | ||
85.01% to 90.00% | 63,374,562 | 26.6 | 63,562,258 | 27.0 | 62,963,331 | 28.3 | |||||
90.01% to 95.00% | 118,461,030 | 49.6 | 115,768,826 | 49.1 | 103,794,020 | 46.6 | |||||
95.01% and above | 35,599,335 | 14.9 | 33,891,151 | 14.4 | 30,663,223 | 13.8 | |||||
Total | $ | 238,661,612 | 100.0% | $ | 235,649,884 | 100.0% | $ | 222,542,569 | 100.0% | ||
Weighted average LTV | 93% | 93% | 92% | ||||||||
Gross RIF by LTV | September 30, 2023 | June 30, 2023 | September 30, 2022 | ||||||||
($ in thousands) | |||||||||||
85.00% and below | $ | 2,525,753 | 4.0% | $ | 2,667,981 | 4.3% | $ | 2,975,898 | 5.2% | ||
85.01% to 90.00% | 15,566,095 | 24.5 | 15,583,198 | 25.0 | 15,317,449 | 26.5 | |||||
90.01% to 95.00% | 34,848,762 | 54.8 | 34,026,320 | 54.5 | 30,388,328 | 52.6 | |||||
95.01% and above | 10,664,447 | 16.7 | 10,125,901 | 16.2 | 9,061,416 | 15.7 | |||||
Total | $ | 63,605,057 | 100.0% | $ | 62,403,400 | 100.0% | $ | 57,743,091 | 100.0% | ||
Portfolio by Loan Amortization Period | |||||||||||
IIF by Loan Amortization Period | September 30, 2023 | June 30, 2023 | September 30, 2022 | ||||||||
($ in thousands) | |||||||||||
FRM 30 years and higher | $ | 232,186,999 | 97.3% | $ | 228,745,641 | 97.1% | $ | 214,688,363 | 96.5% | ||
FRM 20-25 years | 1,910,610 | 0.8 | 2,124,690 | 0.9 | 2,859,734 | 1.3 | |||||
FRM 15 years | 1,719,467 | 0.7 | 1,953,448 | 0.8 | 2,903,355 | 1.3 | |||||
ARM 5 years and higher | 2,844,536 | 1.2 | 2,826,105 | 1.2 | 2,091,117 | 0.9 | |||||
Total | $ | 238,661,612 | 100.0% | $ | 235,649,884 | 100.0% | $ | 222,542,569 | 100.0% | ||
7
Exhibit G | |||||||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||||||
Supplemental Information | |||||||||||||||||
Other Risk in Force | |||||||||||||||||
2023 | 2022 | ||||||||||||||||
($ in thousands) | September 30 | June 30 | March 31 | December 31 | September 30 | ||||||||||||
GSE and other risk share (1): | |||||||||||||||||
Risk in Force | $ | 2,247,393 | $ | 2,276,702 | $ | 2,098,033 | $ | 2,030,571 | $ | 2,026,895 | |||||||
Reserve for losses and LAE | $ | 54 | $ | 55 | $ | 65 | $ | 74 | $ | 102 | |||||||
Weighted average credit score | 749 | 749 | 749 | 749 | 748 | ||||||||||||
Weighted average LTV | 82% | 83% | 83% | 83% | 84% |
- 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.
8
Exhibit H
Essent Group Ltd. and Subsidiaries
Supplemental Information
U.S. Mortgage Insurance Portfolio Vintage Data
September 30, 2023
Insurance in Force | |||||||||||||||
Original | Remaining | % Remaining of | Number of | Weighted | Incurred Loss | Number of | Percentage of | ||||||||
Insurance | Insurance | Ratio | |||||||||||||
Year | Written | in Force | Original | Policies in | Average | % Purchase | >90% LTV | >95% LTV | FICO < 700 | FICO >= 760 | (Inception to | Loans in | Loans in | ||
($ in thousands) | ($ in thousands) | Insurance | Force | Coupon | Date) (1) | Default | Default | ||||||||
2010 - 2014 | $ | 60,668,851 | $ | 1,598,284 | 2.6% | 9,938 | 4.32% | 73.3% | 62.4% | 7.0% | 15.1% | 43.4% | 2.5 % | 392 | 3.94% |
2015 | 26,193,656 | 1,521,374 | 5.8 | 9,232 | 4.21 | 84.2 | 74.8 | 4.6 | 17.7 | 39.6 | 2.5 | 327 | 3.54 | ||
2016 | 34,949,319 | 3,234,730 | 9.3 | 18,705 | 3.89 | 87.8 | 80.6 | 12.0 | 15.9 | 42.4 | 2.3 | 560 | 2.99 | ||
2017 | 43,858,322 | 5,031,656 | 11.5 | 29,934 | 4.27 | 91.3 | 71.7 | 20.7 | 20.4 | 37.8 | 3.5 | 1,176 | 3.93 | ||
2018 | 47,508,525 | 5,805,471 | 12.2 | 32,505 | 4.79 | 94.7 | 71.3 | 26.0 | 21.7 | 32.6 | 4.6 | 1,484 | 4.57 | ||
2019 | 63,569,183 | 12,907,957 | 20.3 | 61,266 | 4.22 | 88.1 | 68.1 | 24.5 | 18.8 | 35.5 | 4.4 | 1,813 | 2.96 | ||
2020 | 107,944,065 | 49,162,995 | 45.5 | 187,990 | 3.19 | 68.0 | 56.5 | 13.0 | 10.8 | 45.6 | 3.3 | 2,373 | 1.26 | ||
2021 | 84,218,250 | 64,048,451 | 76.1 | 208,074 | 3.08 | 86.3 | 62.6 | 15.3 | 13.9 | 40.5 | 7.1 | 3,038 | 1.46 | ||
2022 | 63,061,262 | 57,742,660 | 91.6 | 163,804 | 5.07 | 97.8 | 65.2 | 11.2 | 12.7 | 39.7 | 19.9 | 1,962 | 1.20 | ||
2023 (through September 30) | 38,897,692 | 37,608,034 | 96.7 | 103,800 | 6.51 | 98.8 | 72.6 | 17.8 | 10.9 | 39.1 | 11.3 | 266 | 0.26 | ||
Total | $ | 570,869,125 | $ | 238,661,612 | 41.8 | 825,248 | 4.28 | 87.6 | 64.6 | 14.9 | 13.1 | 40.7 | 4.3 | 13,391 | 1.62 |
- Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.
9
Exhibit I
Essent Group Ltd. and Subsidiaries
Supplemental Information
U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data
September 30, 2023
($ in thousands)
Insurance Linked Notes (1)
Earned Premiums Ceded | |||||||||||||||||||||||||||
Remaining | Remaining | Original | Remaining | Losses | Original | Remaining | Reduction in | ||||||||||||||||||||
Quarter-to- | PMIERs Minimum | ||||||||||||||||||||||||||
Deal Name | Vintage | Insurance | Risk | Reinsurance | Reinsurance in | Ceded | First Layer | First Layer | Year-to-Date | Required | |||||||||||||||||
in Force | in Force | in Force | Force | to Date | Retention | Retention | Date | Assets (3) | |||||||||||||||||||
Radnor Re 2018-1 Jan. 2017 - Dec. 2017 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 1,781 | $ | - | |||||||
Radnor Re 2019-1 Jan. 2018 - Dec. 2018 | 5,730,888 | 1,496,891 | 473,184 | 21,467 | - | 253,643 | 246,939 | (40) | 13,407 | - | |||||||||||||||||
Radnor Re 2019-2 Jan. 2015 - Dec. 2016 | - | - | - | - | - | - | - | - | 220 | - | |||||||||||||||||
Radnor Re 2020-1 Jan. 2019 - Aug. 2019 | 7,185,440 | 1,864,143 | 495,889 | 50,596 | - | 215,605 | 213,798 | (82) | 5,788 | - | |||||||||||||||||
Radnor Re 2021-1 Aug. 2020 - Mar. 2021 | 33,594,368 | 8,642,916 | 557,911 | 339,120 | - | 278,956 | 278,796 | 2,615 | 8,794 | 261,926 | |||||||||||||||||
Radnor Re 2021-2 Apr. 2021 - Sep. 2021 | 37,420,329 | 10,079,502 | 439,407 | 361,449 | - | 279,415 | 279,231 | 3,887 | 12,161 | 285,689 | |||||||||||||||||
Radnor Re 2022-1 | Oct. 2021 - Jul. 2022 | 32,132,944 | 8,669,748 | 237,868 | 237,868 | - | 303,761 | 303,660 | 4,260 | 12,781 | 218,839 | ||||||||||||||||
Radnor Re 2023-1 Aug. 2022 - Jun. 2023 | 31,014,596 | 8,478,658 | 281,462 | 281,462 | - | 281,463 | 281,463 | 3,118 | 3,118 | 266,826 | |||||||||||||||||
Total | $ | 147,078,565 | $ | 39,231,858 | $ | 2,485,721 | $ | 1,291,962 | $ | - | $ | 1,612,843 | $ | 1,603,887 | $ | 13,758 | $ | 58,050 | $ | 1,033,280 | |||||||
Excess of Loss Reinsurance (2)
Earned Premiums Ceded | Reduction in | ||||||||||||||||||||||||||
Remaining | Remaining | Original | Remaining | Losses | Original | Remaining | |||||||||||||||||||||
Quarter-to- | PMIERs Minimum | ||||||||||||||||||||||||||
Deal Name | Vintage | Insurance | Risk | Reinsurance in | Reinsurance in | Ceded | First Layer | First Layer | Year-to-Date | Required | |||||||||||||||||
in Force | in Force | Force | Force | to Date | Retention | Retention | Date | Assets (3) | |||||||||||||||||||
XOL 2018-1 Jan. 2017 - Dec. 2017 | $ | 4,920,622 | $ | 1,297,126 | $ | 165,167 | $ | 57,250 | $ | - | $ | 678,283 | $ | 421,003 | $ | 291 | $ | 955 | $ | - | |||||||
XOL 2019-1 Jan. 2018 - Dec. 2018 | 5,730,888 | 1,496,891 | 118,650 | 76,144 | - | 253,643 | 246,939 | (4) | 627 | 1,861 | - | ||||||||||||||||
XOL 2020-1 Jan. 2019 - Dec. 2019 | 7,185,440 | 1,864,143 | 55,102 | 38,579 | - | 215,605 | 213,798 | (4) | 303 | 931 | - | ||||||||||||||||
XOL 2022-1 Oct. 2021 - Dec. 2022 | 71,671,369 | 19,351,146 | 141,992 | 141,992 | - | 507,114 | 506,301 | 1,611 | 4,779 | 137,913 | |||||||||||||||||
Total | $ | 89,508,319 | $ | 24,009,306 | $ | 480,911 | $ | 313,965 | $ | - | $ | 1,654,645 | $ | 1,388,041 | $ | 2,832 | $ | 8,526 | $ | 137,913 | |||||||
Quota Share Reinsurance (2)
Losses Ceded | Ceding Commission | Earned Premiums Ceded | |||||||||||||||||||||||||||
Remaining | Remaining | Reduction in | |||||||||||||||||||||||||||
Ceding | Remaining Ceded | Remaining Ceded | PMIERs Minimum | ||||||||||||||||||||||||||
Year | Insurance | Risk | Quarter-to-Date | Year-to-Date | Quarter-to-Date | Year-to-Date | Quarter-to-Date | Year-to-Date | Required | ||||||||||||||||||||
Percentage | in Force | in Force | Insurance in Force | Risk in Force | Assets (3) | ||||||||||||||||||||||||
Sep. 2019 - Dec. 2020 | (5) | $ | 54,596,089 | $ | 14,208,745 | $ | 12,218,215 | $ | 3,142,000 | $ | (464) | $ | (2,208) | $ | 2,631 | $ | 8,343 | $ | 4,403 | $ | 13,227 | $ | 187,406 | ||||||
Jan. 2022 - Dec. 2023 | 20% | 57,688,314 | 15,600,877 | 11,537,663 | 3,120,175 | 2,592 | 7,473 | 1,942 | 5,880 | 6,282 | 18,645 | 229,964 | |||||||||||||||||
Jan. 2023 - Dec. 2023 | 17.5% | 37,561,195 | 10,380,842 | 6,573,209 | 1,816,647 | 791 | 1,123 | 1,061 | 1,837 | 3,019 | 4,981 | 129,422 | |||||||||||||||||
Total | $ | 149,845,598 | $ | 40,190,464 | $ | 30,329,087 | $ | 8,078,822 | $ | 2,919 | $ | 6,388 | $ | 5,634 | $ | 16,060 | $ | 13,704 | $ | 36,853 | $ | 546,792 | |||||||
- Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
- Reinsurance provided by panels of reinsurers.
- Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.
- First layer retentions shown are ILN retention levels as a result of overlapping coverage within the vintage.
- Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies.
10
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Essent Group Ltd. published this content on 02 November 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 02 November 2023 10:42:40 UTC.