ESNT Essent Group Ltd

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2024 of $176.2 million or $1.65 per diluted share, compared to $178.0 million or $1.66 per diluted share for the quarter ended September 30, 2023.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.28 per common share. The dividend is payable on December 11, 2024, to shareholders of record on December 2, 2024.

“We are pleased with our third quarter financial results, as we continue to generate high quality earnings,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results continue to benefit from the impact of interest rates on persistency and the growth in our investment portfolio. Our performance for the quarter demonstrates the strength of our operating model in producing strong returns and growing book value per share.”

Financial Highlights:

• New insurance written for the third quarter of 2024 was $12.5 billion, consistent with the second quarter of 2024 and the third quarter of 2023.

• Insurance in force as of September 30, 2024 was $243.0 billion, compared to $240.7 billion as of June 30, 2024 and $238.7 billion as of September 30, 2023.

• Net investment income for the nine months ended September 30, 2024 was $165.5 million, up 22% from the comparable period in 2023.

• In September, Essent closed its 10th mortgage insurance-linked note transaction, Radnor Re 2024-1, which provides $363 million of collateralized reinsurance coverage for new insurance written from July 2023 through July 2024.

Conference Call:

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. The call may also be accessed by dialing 888-330-2384 inside the U.S., or 240-789-2701 for international callers, using passcode 9824537 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the U.S., or 647-362-9199 for international callers, passcode 9824537.

In addition to the information provided in the Company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx.

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers or the loss of a significant customer; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through Federal government mortgage insurance programs; decline in the volume of low down payment mortgage originations; uncertainty of loss reserve estimates; decrease in the length of time our insurance policies are in force; deteriorating economic conditions; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2023 filed with the Securities and Exchange Commission on February 16, 2024, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) offering private mortgage insurance, reinsurance, and title insurance and settlement services to serve the housing finance industry. Additional information regarding Essent may be found at www.essentgroup.com.

Source: Essent Group Ltd.

 

 

 

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended September 30, 2024

 

 

 

 

 

 

Exhibit A

 

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

Exhibit B

 

Condensed Consolidated Balance Sheets (Unaudited)

Exhibit C

 

Consolidated Historical Quarterly Data

Exhibit D

 

U.S. Mortgage Insurance Portfolio Historical Quarterly Data

Exhibit E

 

New Insurance Written - U.S. Mortgage Insurance Portfolio

Exhibit F

 

Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio

Exhibit G

 

Other Risk in Force

Exhibit H

 

U.S. Mortgage Insurance Portfolio Vintage Data

Exhibit I

 

U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data

Exhibit J

 

U.S. Mortgage Insurance Portfolio Geographic Data

Exhibit K

 

Rollforward of Defaults and Reserve for Losses and LAE - U.S. Mortgage Insurance Portfolio

Exhibit L

 

Detail of Reserves by Default Delinquency - U.S. Mortgage Insurance Portfolio

Exhibit M

 

Investments Available for Sale

Exhibit N

 

U.S. Mortgage Insurance Company Capital

Exhibit O

 

Ratios and Reconciliation of Non-GAAP Financial Measures

 

 

 

 

 

 

 

Exhibit A

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended September 30,

 

Nine Months Ended September 30,

(In thousands, except per share amounts)

 

2024

 

 

 

2023

 

 

 

2024

 

 

 

2023

 

Revenues:

 

 

 

 

 

 

 

Direct premiums written

$

277,754

 

 

$

270,868

 

 

$

819,595

 

 

$

759,526

 

Ceded premiums

 

(34,789

)

 

 

(30,294

)

 

 

(92,524

)

 

 

(103,431

)

Net premiums written

 

242,965

 

 

 

240,574

 

 

 

727,071

 

 

 

656,095

 

Decrease in unearned premiums

 

5,971

 

 

 

6,231

 

 

 

19,346

 

 

 

15,197

 

Net premiums earned

 

248,936

 

 

 

246,805

 

 

 

746,417

 

 

 

671,292

 

Net investment income

 

57,340

 

 

 

47,072

 

 

 

165,511

 

 

 

135,558

 

Realized investment gains (losses), net

 

68

 

 

 

(235

)

 

 

(2,236

)

 

 

(2,312

)

Income (loss) from other invested assets

 

2,820

 

 

 

(3,143

)

 

 

486

 

 

 

(10,697

)

Other income

 

7,414

 

 

 

5,609

 

 

 

17,699

 

 

 

18,641

 

Total revenues

 

316,578

 

 

 

296,108

 

 

 

927,877

 

 

 

812,482

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

Provision for losses and LAE

 

30,666

 

 

 

10,822

 

 

 

40,245

 

 

 

11,902

 

Other underwriting and operating expenses

 

57,259

 

 

 

54,814

 

 

 

170,595

 

 

 

145,183

 

Premiums retained by agents

 

9,622

 

 

 

13,175

 

 

 

29,328

 

 

 

13,175

 

Interest expense

 

11,457

 

 

 

7,854

 

 

 

27,168

 

 

 

22,184

 

Total losses and expenses

 

109,004

 

 

 

86,665

 

 

 

267,336

 

 

 

192,444

 

 

 

 

 

 

 

 

 

Income before income taxes

 

207,574

 

 

 

209,443

 

 

 

660,541

 

 

 

620,038

 

Income tax expense

 

31,399

 

 

 

31,484

 

 

 

99,038

 

 

 

99,019

 

Net income

$

176,175

 

 

$

177,959

 

 

$

561,503

 

 

$

521,019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

1.67

 

 

$

1.68

 

 

$

5.32

 

 

$

4.90

 

Diluted

 

1.65

 

 

 

1.66

 

 

 

5.26

 

 

 

4.86

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

 

105,266

 

 

 

105,979

 

 

 

105,539

 

 

 

106,387

 

Diluted

 

106,554

 

 

 

107,025

 

 

 

106,700

 

 

 

107,232

 

 

 

 

 

 

 

 

 

Net income

$

176,175

 

 

$

177,959

 

 

$

561,503

 

 

$

521,019

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

Change in unrealized appreciation (depreciation) of investments

 

117,358

 

 

 

(76,248

)

 

 

90,217

 

 

 

(53,593

)

Total other comprehensive income (loss)

 

117,358

 

 

 

(76,248

)

 

 

90,217

 

 

 

(53,593

)

Comprehensive income

$

293,533

 

 

$

101,711

 

 

$

651,720

 

 

$

467,426

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

September 30,

 

December 31,

(In thousands, except per share amounts)

 

2024

 

 

 

2023

 

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

4,919,868

 

 

$

4,335,008

 

Short-term investments available for sale, at fair value

 

1,030,631

 

 

 

928,731

 

Total investments available for sale

 

5,950,499

 

 

 

5,263,739

 

Other invested assets

 

294,931

 

 

 

277,226

 

Total investments

 

6,245,430

 

 

 

5,540,965

 

Cash

 

109,306

 

 

 

141,787

 

Accrued investment income

 

40,453

 

 

 

35,689

 

Accounts receivable

 

54,394

 

 

 

63,266

 

Deferred policy acquisition costs

 

9,491

 

 

 

9,139

 

Property and equipment

 

41,221

 

 

 

41,304

 

Prepaid federal income tax

 

494,356

 

 

 

470,646

 

Goodwill and acquired intangible assets, net

 

69,907

 

 

 

72,826

 

Other assets

 

61,981

 

 

 

51,051

 

Total assets

$

7,126,539

 

 

$

6,426,673

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

288,316

 

 

$

260,095

 

Unearned premium reserve

 

120,939

 

 

 

140,285

 

Net deferred tax liability

 

410,761

 

 

 

362,753

 

Senior notes due 2029, net

 

493,673

 

 

 

—

 

Credit facility borrowings, net

 

—

 

 

 

421,920

 

Other accrued liabilities

 

171,865

 

 

 

139,070

 

Total liabilities

 

1,485,554

 

 

 

1,324,123

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 106,204 shares in 2024 and 106,597 shares in 2023

 

1,593

 

 

 

1,599

 

Additional paid-in capital

 

1,276,572

 

 

 

1,299,869

 

Accumulated other comprehensive loss

 

(190,279

)

 

 

(280,496

)

Retained earnings

 

4,553,099

 

 

 

4,081,578

 

Total stockholders' equity

 

5,640,985

 

 

 

5,102,550

 

 

 

 

 

Total liabilities and stockholders' equity

$

7,126,539

 

 

$

6,426,673

 

 

 

 

 

Return on average equity (1)

 

13.9

%

 

 

14.6

%

 

 

 

 

(1) The 2024 return on average equity is calculated by dividing annualized year-to-date 2024 net income by average equity. The 2023 return on average equity is calculated by dividing full year 2023 net income by average equity.

 

 

 

 

 

 

 

 

 

 

 

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Consolidated Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

Selected Income Statement Data

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

Net premiums earned:

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

$

214,119

 

 

$

217,513

 

 

$

212,479

 

 

$

211,083

 

 

$

209,351

 

GSE and other risk share

 

 

17,130

 

 

 

17,745

 

 

 

17,826

 

 

 

17,166

 

 

 

16,850

 

Title insurance

 

 

17,687

 

 

 

16,633

 

 

 

15,285

 

 

 

17,365

 

 

 

20,604

 

Net premiums earned

 

 

248,936

 

 

 

251,891

 

 

 

245,590

 

 

 

245,614

 

 

 

246,805

 

Net investment income

 

 

57,340

 

 

 

56,086

 

 

 

52,085

 

 

 

50,581

 

 

 

47,072

 

Realized investment gains (losses), net

 

 

68

 

 

 

(1,164

)

 

 

(1,140

)

 

 

(4,892

)

 

 

(235

)

Income (loss) from other invested assets

 

 

2,820

 

 

 

(419

)

 

 

(1,915

)

 

 

(421

)

 

 

(3,143

)

Other income (1)

 

 

7,414

 

 

 

6,548

 

 

 

3,737

 

 

 

6,395

 

 

 

5,609

 

Total revenues

 

 

316,578

 

 

 

312,942

 

 

 

298,357

 

 

 

297,277

 

 

 

296,108

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

Provision (benefit) for losses and LAE

 

 

30,666

 

 

 

(334

)

 

 

9,913

 

 

 

19,640

 

 

 

10,822

 

Other underwriting and operating expenses

 

 

57,259

 

 

 

55,987

 

 

 

57,349

 

 

 

55,248

 

 

 

54,814

 

Premiums retained by agents

 

 

9,622

 

 

 

10,215

 

 

 

9,491

 

 

 

11,475

 

 

 

13,175

 

Interest expense

 

 

11,457

 

 

 

7,849

 

 

 

7,862

 

 

 

7,953

 

 

 

7,854

 

Total losses and expenses

 

 

109,004

 

 

 

73,717

 

 

 

84,615

 

 

 

94,316

 

 

 

86,665

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

 

207,574

 

 

 

239,225

 

 

 

213,742

 

 

 

202,961

 

 

 

209,443

 

Income tax expense (2)

 

 

31,399

 

 

 

35,616

 

 

 

32,023

 

 

 

27,594

 

 

 

31,484

 

Net income

 

$

176,175

 

 

$

203,609

 

 

$

181,719

 

 

$

175,367

 

 

$

177,959

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.67

 

 

$

1.93

 

 

$

1.72

 

 

$

1.66

 

 

$

1.68

 

Diluted

 

 

1.65

 

 

 

1.91

 

 

 

1.70

 

 

 

1.64

 

 

 

1.66

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

 

105,266

 

 

 

105,657

 

 

 

105,697

 

 

 

105,733

 

 

 

105,979

 

Diluted

 

 

106,554

 

 

 

106,778

 

 

 

106,770

 

 

 

106,823

 

 

 

107,025

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

53.11

 

 

$

50.58

 

 

$

48.96

 

 

$

47.87

 

 

$

44.98

 

Return on average equity (annualized)

 

 

12.8

%

 

 

15.4

%

 

 

14.1

%

 

 

14.2

%

 

 

14.9

%

 

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

500,000

 

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

Undrawn committed capacity

 

$

500,000

 

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

Weighted average interest rate (end of period)

 

 

6.25

%

 

 

7.07

%

 

 

7.06

%

 

 

7.11

%

 

 

7.07

%

Debt-to-capital

 

 

8.14

%

 

 

7.32

%

 

 

7.52

%

 

 

7.69

%

 

 

8.12

%

 

 

 

 

 

 

 

 

 

 

 

(1) Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended September 30, 2024, June 30, 2024, March 31, 2024, December 31, 2023, and September 30, 2023, were ($1,173), $732, ($1,902), $412, and ($898), respectively.

(2) Income tax expense for the quarters ended September 30, 2024, June 30, 2024, March 31, 2024, December 31, 2023, and September 30, 2023 includes $475, $556, ($1,041), ($1,132), and ($763), respectively, of discrete tax expense (benefit) associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2024 also includes ($616) of excess tax benefits associated with the vesting of common shares and common share units. Income tax expense for the quarter ended December 31, 2023 also includes a $2,731 net benefit associated with the recognition of a deferred tax asset for unrealized losses on the investment portfolios of Essent Group and Essent Re upon the enactment of the Bermuda Corporate Income Tax.

 

 

 

 

 

 

 

Exhibit D

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

Other Data:

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

New insurance written

 

$

12,513,695

 

 

$

12,503,125

 

 

$

8,323,544

 

 

$

8,769,160

 

 

$

12,505,823

 

New risk written

 

 

3,437,465

 

 

 

3,449,623

 

 

 

2,289,508

 

 

 

2,409,340

 

 

 

3,458,467

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

$

242,065,632

 

 

$

239,538,571

 

 

$

238,595,268

 

 

$

239,005,961

 

 

$

237,270,093

 

Insurance in force (end of period)

 

$

242,976,043

 

 

$

240,669,165

 

 

$

238,477,402

 

 

$

239,078,262

 

 

$

238,661,612

 

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

 

$

66,237,992

 

 

$

65,269,064

 

 

$

64,247,810

 

 

$

64,061,374

 

 

$

63,605,057

 

Risk in force (end of period)

 

$

55,915,640

 

 

$

55,521,538

 

 

$

54,686,533

 

 

$

54,591,590

 

 

$

53,920,308

 

Policies in force

 

 

815,507

 

 

 

814,237

 

 

 

815,752

 

 

 

822,012

 

 

 

825,248

 

Weighted average coverage (2)

 

 

27.3

%

 

 

27.1

%

 

 

26.9

%

 

 

26.8

%

 

 

26.7

%

Annual persistency

 

 

86.6

%

 

 

86.7

%

 

 

86.9

%

 

 

86.9

%

 

 

86.6

%

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

 

15,906

 

 

 

13,954

 

 

 

13,992

 

 

 

14,819

 

 

 

13,391

 

Percentage of loans in default

 

 

1.95

%

 

 

1.71

%

 

 

1.72

%

 

 

1.80

%

 

 

1.62

%

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio premium rate:

 

 

 

 

 

 

 

 

Base average premium rate (3)

 

 

0.41

%

 

 

0.41

%

 

 

0.41

%

 

 

0.40

%

 

 

0.40

%

Single premium cancellations (4)

 

 

—

%

 

 

—

%

 

 

—

%

 

 

—

%

 

 

—

%

Gross average premium rate

 

 

0.41

%

 

 

0.41

%

 

 

0.41

%

 

 

0.40

%

 

 

0.40

%

Ceded premiums

 

 

(0.06

%)

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.05

%)

Net average premium rate

 

 

0.35

%

 

 

0.36

%

 

 

0.36

%

 

 

0.35

%

 

 

0.35

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Gross risk in force includes risk ceded under third-party reinsurance.

(2) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.

(3) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.

(4) Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.

 

Exhibit E

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information - U.S. Mortgage Insurance Portfolio

New Insurance Written: Flow

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Credit Score

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2024

 

September 30, 2023

 

September 30, 2024

 

September 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

5,339,574

 

42.7

%

 

$

5,212,343

 

41.8

%

 

$

14,387,356

 

43.2

%

 

$

15,473,191

 

39.8

%

740-759

 

2,141,817

 

17.1

 

 

 

2,205,066

 

17.6

 

 

 

5,717,289

 

17.1

 

 

 

7,031,821

 

18.1

 

720-739

 

1,764,319

 

14.1

 

 

 

1,911,320

 

15.3

 

 

 

4,828,718

 

14.5

 

 

 

6,310,564

 

16.2

 

700-719

 

1,622,450

 

13.0

 

 

 

1,867,510

 

14.9

 

 

 

4,348,047

 

13.0

 

 

 

5,892,704

 

15.1

 

680-699

 

918,116

 

7.3

 

 

 

891,471

 

7.1

 

 

 

2,351,589

 

7.1

 

 

 

3,024,347

 

7.8

 

<=679

 

727,419

 

5.8

 

 

 

418,113

 

3.3

 

 

 

1,707,365

 

5.1

 

 

 

1,165,065

 

3.0

 

Total

$

12,513,695

 

100.0

%

 

$

12,505,823

 

100.0

%

 

$

33,340,364

 

100.0

%

 

$

38,897,692

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

747

 

 

 

 

747

 

 

 

 

747

 

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2024

 

September 30, 2023

 

September 30, 2024

 

September 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

836,186

 

6.7

%

 

$

849,250

 

6.7

%

 

$

2,250,434

 

6.7

%

 

$

2,801,011

 

7.2

%

85.01% to 90.00%

 

2,415,504

 

19.3

 

 

 

2,445,924

 

19.6

 

 

 

6,571,300

 

19.7

 

 

 

7,951,062

 

20.4

 

90.01% to 95.00%

 

6,616,174

 

52.9

 

 

 

6,614,050

 

52.9

 

 

 

18,008,682

 

54.0

 

 

 

21,383,696

 

55.0

 

95.01% and above

 

2,645,831

 

21.1

 

 

 

2,596,599

 

20.8

 

 

 

6,509,948

 

19.6

 

 

 

6,761,923

 

17.4

 

Total

$

12,513,695

 

100.0

%

 

$

12,505,823

 

100.0

%

 

$

33,340,364

 

100.0

%

 

$

38,897,692

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2024

 

September 30, 2023

 

September 30, 2024

 

September 30, 2023

Single Premium policies

 

1.4

%

 

 

2.8

%

 

 

1.5

%

 

 

3.8

%

Monthly Premium policies

 

98.6

 

 

 

97.2

 

 

 

98.5

 

 

 

96.2

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2024

 

September 30, 2023

 

September 30, 2024

 

September 30, 2023

Purchase

 

97.0

%

 

 

99.0

%

 

 

97.4

%

 

 

98.8

%

Refinance

 

3.0

 

 

 

1.0

 

 

 

2.6

 

 

 

1.2

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio by Credit Score

IIF by FICO score

September 30, 2024

 

June 30, 2024

 

September 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

98,553,455

 

40.6

%

 

$

97,668,435

 

40.6

%

 

$

97,027,348

 

40.7

%

740-759

 

 

42,377,559

 

17.4

 

 

 

41,915,598

 

17.4

 

 

 

41,362,480

 

17.3

 

720-739

 

 

37,947,254

 

15.6

 

 

 

37,678,804

 

15.7

 

 

 

37,297,809

 

15.6

 

700-719

 

 

32,685,044

 

13.5

 

 

 

32,331,564

 

13.4

 

 

 

31,674,346

 

13.3

 

680-699

 

 

19,890,335

 

8.2

 

 

 

19,751,956

 

8.2

 

 

 

19,850,176

 

8.3

 

<=679

 

 

11,522,396

 

4.7

 

 

 

11,322,808

 

4.7

 

 

 

11,449,453

 

4.8

 

Total

$

242,976,043

 

100.0

%

 

$

240,669,165

 

100.0

%

 

$

238,661,612

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

 

 

746

 

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

September 30, 2024

 

June 30, 2024

 

September 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

26,614,399

 

40.2

%

 

$

26,238,140

 

40.2

%

 

$

25,594,262

 

40.1

%

740-759

 

 

11,715,485

 

17.7

 

 

 

11,525,987

 

17.7

 

 

 

11,165,727

 

17.6

 

720-739

 

 

10,485,311

 

15.8

 

 

 

10,362,021

 

15.9

 

 

 

10,090,889

 

15.9

 

700-719

 

 

9,044,551

 

13.7

 

 

 

8,899,342

 

13.6

 

 

 

8,568,811

 

13.5

 

680-699

 

 

5,451,406

 

8.2

 

 

 

5,382,312

 

8.2

 

 

 

5,327,434

 

8.4

 

<=679

 

 

2,926,840

 

4.4

 

 

 

2,861,262

 

4.4

 

 

 

2,857,934

 

4.5

 

Total

$

66,237,992

 

100.0

%

 

$

65,269,064

 

100.0

%

 

$

63,605,057

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

September 30, 2024

 

June 30, 2024

 

September 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

15,555,555

 

6.4

%

 

$

16,927,111

 

7.0

%

 

$

21,226,685

 

8.9

%

85.01% to 90.00%

 

 

61,262,960

 

25.2

 

 

 

61,774,991

 

25.7

 

 

 

63,374,562

 

26.6

 

90.01% to 95.00%

 

 

125,919,529

 

51.8

 

 

 

123,414,332

 

51.3

 

 

 

118,461,030

 

49.6

 

95.01% and above

 

 

40,237,999

 

16.6

 

 

 

38,552,731

 

16.0

 

 

 

35,599,335

 

14.9

 

Total

$

242,976,043

 

100.0

%

 

$

240,669,165

 

100.0

%

 

$

238,661,612

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

September 30, 2024

 

June 30, 2024

 

September 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

1,845,584

 

2.8

%

 

$

2,010,864

 

3.1

%

 

$

2,525,753

 

4.0

%

85.01% to 90.00%

 

 

15,120,025

 

22.8

 

 

 

15,238,201

 

23.3

 

 

 

15,566,095

 

24.5

 

90.01% to 95.00%

 

 

37,149,222

 

56.1

 

 

 

36,405,573

 

55.8

 

 

 

34,848,762

 

54.8

 

95.01% and above

 

 

12,123,161

 

18.3

 

 

 

11,614,426

 

17.8

 

 

 

10,664,447

 

16.7

 

Total

$

66,237,992

 

100.0

%

 

$

65,269,064

 

100.0

%

 

$

63,605,057

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

September 30, 2024

 

June 30, 2024

 

September 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

237,628,900

 

97.8

%

 

$

235,138,420

 

97.7

%

 

$

232,186,999

 

97.3

%

FRM 20-25 years

 

 

1,199,947

 

0.5

 

 

 

1,322,021

 

0.5

 

 

 

1,910,610

 

0.8

 

FRM 15 years

 

 

1,191,749

 

0.5

 

 

 

1,276,780

 

0.5

 

 

 

1,719,467

 

0.7

 

ARM 5 years and higher

 

 

2,955,447

 

1.2

 

 

 

2,931,944

 

1.3

 

 

 

2,844,536

 

1.2

 

Total

$

242,976,043

 

100.0

%

 

$

240,669,165

 

100.0

%

 

$

238,661,612

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

Exhibit G

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

($ in thousands)

 

September 30

 

 

June 30

 

March 31

 

December 31

 

September 30

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

2,254,726

 

 

 

$

2,304,885

 

 

$

2,307,267

 

 

$

2,244,944

 

 

$

2,247,393

 

Reserve for losses and LAE

 

$

37

 

 

 

$

33

 

 

$

32

 

 

$

29

 

 

$

54

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

750

 

 

 

 

750

 

 

 

750

 

 

 

749

 

 

 

749

 

Weighted average LTV

 

 

82

%

 

 

 

82

%

 

 

82

%

 

 

82

%

 

 

82

%

 

 

 

 

 

 

 

 

 

 

 

 

(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.

                           

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit H

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Vintage Data

September 30, 2024

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance in Force

 

 

 

 

 

 

Year

 

Original 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

 

$

1,010,190

 

1.7

%

 

5,566

 

4.28

%

 

66.0

%

 

49.5

%

 

1.1

%

 

10.1

%

 

49.3

%

 

2.4

%

 

248

 

4.46

%

2015

 

 

26,193,656

 

 

870,740

 

3.3

 

 

5,028

 

4.29

 

 

76.8

 

 

60.9

 

 

5.7

 

 

18.1

 

 

40.0

 

 

2.2

 

 

235

 

4.67

 

2016

 

 

34,949,319

 

 

2,357,912

 

6.7

 

 

14,050

 

3.93

 

 

86.4

 

 

78.0

 

 

13.7

 

 

16.4

 

 

41.3

 

 

2.1

 

 

450

 

3.20

 

2017

 

 

43,858,322

 

 

3,784,941

 

8.6

 

 

23,293

 

4.30

 

 

90.8

 

 

80.4

 

 

23.8

 

 

21.4

 

 

36.4

 

 

3.1

 

 

1,037

 

4.45

 

2018

 

 

47,508,525

 

 

4,857,991

 

10.2

 

 

27,818

 

4.80

 

 

95.1

 

 

74.0

 

 

27.1

 

 

21.9

 

 

32.3

 

 

4.2

 

 

1,314

 

4.72

 

2019

 

 

63,569,183

 

 

10,717,480

 

16.9

 

 

52,219

 

4.24

 

 

89.1

 

 

71.7

 

 

25.7

 

 

18.9

 

 

35.1

 

 

3.7

 

 

1,687

 

3.23

 

2020

 

 

107,944,065

 

 

37,929,239

 

35.1

 

 

150,176

 

3.20

 

 

72.1

 

 

62.5

 

 

14.6

 

 

10.8

 

 

45.5

 

 

2.8

 

 

2,452

 

1.63

 

2021

 

 

84,218,250

 

 

53,029,350

 

63.0

 

 

177,048

 

3.10

 

 

89.0

 

 

66.1

 

 

16.6

 

 

13.8

 

 

40.4

 

 

6.1

 

 

3,420

 

1.93

 

2022

 

 

63,061,262

 

 

53,154,263

 

84.3

 

 

153,151

 

5.09

 

 

98.1

 

 

66.0

 

 

11.4

 

 

12.6

 

 

39.6

 

 

17.4

 

 

3,091

 

2.02

 

2023

 

 

47,666,852

 

 

43,012,414

 

90.2

 

 

121,053

 

6.64

 

 

98.8

 

 

72.8

 

 

18.6

 

 

11.0

 

 

38.7

 

 

18.1

 

 

1,732

 

1.43

 

2024 (through September 30)

 

 

33,340,364

 

 

32,251,523

 

96.7

 

 

86,105

 

6.84

 

 

97.4

 

 

73.8

 

 

20.0

 

 

12.4

 

 

42.4

 

 

10.1

 

 

240

 

0.28

 

Total

 

$

612,978,649

 

$

242,976,043

 

39.6

 

 

815,507

 

4.79

 

 

91.2

 

 

68.4

 

 

16.6

 

 

12.9

 

 

40.6

 

 

4.6

 

 

15,906

 

1.95

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit I

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data

September 30, 2024

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance Linked Notes (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Deal Name

Vintage

 

Remaining 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

 

Quarter-to-Date

Year-to-Date

 

Reduction in PMIERs Minimum Required Assets (3)

Radnor Re 2021-1

Aug. 2020 - Mar. 2021

 

$

25,750,186

$

6,963,249

 

$

557,911

 

$

220,532

 

$

—

 

$

278,956

$

277,985

 

$

2,091

$

6,564

 

$

160,822

Radnor Re 2021-2

Apr. 2021 - Sep. 2021

 

 

31,287,234

 

8,616,211

 

 

439,407

 

 

286,439

 

 

—

 

 

279,415

 

277,195

 

 

3,715

 

10,952

 

 

215,335

Radnor Re 2022-1

Oct. 2021 - Jul. 2022

 

 

28,815,017

 

7,856,567

 

 

237,868

 

 

191,938

 

 

—

 

 

303,761

 

301,278

 

 

3,825

 

11,478

 

 

176,583

Radnor Re 2023-1

Aug. 2022 - Jun. 2023

 

 

28,989,426

 

7,941,539

 

 

281,462

 

 

281,462

 

 

—

 

 

281,463

 

281,089

 

 

3,705

 

10,657

 

 

266,826

Radnor Re 2024-1

Jul. 2023 - Jul. 2024

 

 

30,359,933

 

8,387,056

 

 

363,366

 

 

363,366

 

 

—

 

 

256,495

 

256,495

 

 

472

 

472

 

 

363,366

Total

 

 

$

145,201,796

$

39,764,622

 

$

1,880,014

 

$

1,343,737

 

$

—

 

$

1,400,090

$

1,394,042

 

$

13,808

$

40,123

(5)

$

1,182,932

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess of Loss Reinsurance (2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Deal Name

Vintage

Remaining 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

 

Quarter-to-Date

Year-to-Date

 

Reduction in PMIERs Minimum Required Assets (3)

XOL 2019-1

Jan. 2018 - Dec. 2018

$

4,811,623

$

1,266,631

 

$

118,650

 

$

76,144

 

$

—

 

$

253,643

$

244,294

 

$

641

$

1,868

 

$

—

XOL 2020-1

Jan. 2019 - Aug. 2019

 

6,026,073

 

1,591,126

 

 

55,102

 

 

30,592

 

 

—

 

 

215,605

 

212,208

 

 

263

 

809

 

 

—

XOL 2022-1

Oct. 2021 - Dec. 2022

 

65,149,106

 

17,727,315

 

 

141,992

 

 

141,992

 

 

—

 

 

507,114

 

500,886

 

 

1,611

 

4,797

 

 

138,001

XOL 2023-1

Jan. 2023 - Dec. 2023

 

38,402,550

 

10,637,649

 

 

36,627

 

 

36,627

 

 

—

 

 

366,270

 

366,141

 

 

439

 

1,306

 

 

35,232

XOL 2024-1

Jan. 2024 - Dec. 2024

 

32,177,995

 

8,864,366

 

 

46,537

 

 

46,537

 

 

—

 

 

265,931

 

265,931

 

 

528

 

528

 

 

44,765

Total

 

$

146,567,347

$

40,087,087

 

$

398,908

 

$

331,892

 

$

—

 

$

1,608,563

$

1,589,460

 

$

3,482

$

9,308

 

$

217,998

Quota Share Reinsurance (2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses Ceded

 

Ceding Commission

 

Earned Premiums Ceded

 

 

Year

Ceding Percentage

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 (3)

Sep. 2019 - Dec. 2020

(4

)

$

42,414,942

$

11,536,848

 

$

9,585,777

 

$

2,572,717

 

$

645

$

(146

)

 

$

2,719

$

7,364

 

$

4,646

$

12,450

 

$

141,312

Jan. 2022 - Dec. 2022

20

%

 

53,084,698

 

14,433,907

 

 

10,616,940

 

 

2,886,781

 

 

2,261

 

3,516

 

 

 

1,850

 

5,634

 

 

5,776

 

14,221

 

 

212,195

Jan. 2023 - Dec. 2023

17.5

%

 

38,282,838

 

10,608,139

 

 

6,699,497

 

 

1,856,424

 

 

2,031

 

4,492

 

 

 

1,330

 

4,045

 

 

4,825

 

12,987

 

 

143,807

Jan. 2024 - Dec. 2024

15

%

 

32,205,363

 

8,872,008

 

 

4,830,804

 

 

1,330,801

 

 

557

 

717

 

 

 

793

 

1,302

 

 

2,263

 

3,515

 

 

94,807

Total

 

$

165,987,841

$

45,450,902

 

$

31,733,018

 

$

8,646,723

 

$

5,494

$

8,579

 

 

$

6,692

$

18,345

 

$

17,510

$

43,173

 

$

592,121

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").

(2) Reinsurance provided by panels of reinsurers.

(3) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.

(4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies.

(5) Excludes ($11) and ($80) of benefit in ceded premium on retired ILNs for the three and nine months ended September 30, 2024, respectively.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit J

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Geographic Data

 

 

 

 

 

 

 

 

 

 

 

 

IIF by State

 

September 30, 2024

 

June 30, 2024

 

September 30, 2023

CA

12.5

%

 

12.7

%

 

13.0

%

FL

11.8

 

 

11.6

 

 

11.0

 

TX

10.9

 

 

10.8

 

 

10.5

 

CO

4.1

 

 

4.1

 

 

4.1

 

AZ

3.8

 

 

3.8

 

 

3.7

 

GA

3.7

 

 

3.6

 

 

3.4

 

WA

3.4

 

 

3.4

 

 

3.4

 

NC

3.0

 

 

3.0

 

 

2.8

 

OH

2.6

 

 

2.6

 

 

2.6

 

IL

2.6

 

 

2.7

 

 

2.8

 

All Others

41.6

 

 

41.7

 

 

42.7

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

September 30, 2024

 

June 30, 2024

 

September 30, 2023

CA

12.5

%

 

12.6

%

 

12.9

%

FL

12.0

 

 

11.8

 

 

11.3

 

TX

11.2

 

 

11.1

 

 

10.8

 

CO

4.0

 

 

4.1

 

 

4.0

 

AZ

3.9

 

 

3.8

 

 

3.8

 

GA

3.8

 

 

3.7

 

 

3.5

 

WA

3.4

 

 

3.4

 

 

3.4

 

NC

3.0

 

 

3.0

 

 

2.9

 

OH

2.6

 

 

2.5

 

 

2.6

 

IL

2.5

 

 

2.6

 

 

2.8

 

All Others

41.1

 

 

41.4

 

 

42.0

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit K

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Rollforward of Defaults and Reserve for Losses and LAE

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Insured Loans in Default

 

 

Three Months Ended

 

 

2024

 

2023

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

Beginning default inventory

 

 

13,954

 

 

 

13,992

 

 

 

14,819

 

 

 

13,391

 

 

 

12,480

 

Plus: new defaults (A)

 

 

9,984

 

 

 

8,119

 

 

 

8,260

 

 

 

9,007

 

 

 

7,953

 

Less: cures

 

 

(7,819

)

 

 

(7,956

)

 

 

(8,951

)

 

 

(7,418

)

 

 

(6,902

)

Less: claims paid

 

 

(182

)

 

 

(183

)

 

 

(123

)

 

 

(148

)

 

 

(129

)

Less: rescissions and denials, net

 

 

(31

)

 

 

(18

)

 

 

(13

)

 

 

(13

)

 

 

(11

)

Ending default inventory

 

 

15,906

 

 

 

13,954

 

 

 

13,992

 

 

 

14,819

 

 

 

13,391

 

 

 

 

 

 

 

 

 

 

 

 

(A) New defaults remaining as of September 30, 2024

 

 

7,189

 

 

 

3,198

 

 

 

1,665

 

 

 

1,309

 

 

 

806

 

Cure rate (1)

 

 

28

%

 

 

61

%

 

 

80

%

 

 

85

%

 

 

90

%

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

$

5,749

 

 

$

5,566

 

 

$

3,605

 

 

$

3,411

 

 

$

2,956

 

Average amount paid per claim (in thousands)

 

$

32

 

 

$

30

 

 

$

29

 

 

$

22

 

 

$

23

 

Severity

 

 

58

%

 

 

60

%

 

 

65

%

 

 

62

%

 

 

66

%

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

2024

 

2023

($ in thousands)

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

Reserve for losses and LAE at beginning of period

 

$

246,107

 

 

$

253,565

 

 

$

245,402

 

 

$

226,617

 

 

$

216,888

 

Less: Reinsurance recoverables

 

 

26,022

 

 

 

26,570

 

 

 

24,005

 

 

 

20,656

 

 

 

17,958

 

Net reserve for losses and LAE at beginning of period

 

 

220,085

 

 

 

226,995

 

 

 

221,397

 

 

 

205,961

 

 

 

198,930

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

51,649

 

 

 

30,653

 

 

 

39,396

 

 

 

38,922

 

 

 

35,609

 

Prior years

 

 

(21,836

)

 

 

(31,880

)

 

 

(30,062

)

 

 

(19,912

)

 

 

(25,533

)

Incurred losses and LAE during the period

 

 

29,813

 

 

 

(1,227

)

 

 

9,334

 

 

 

19,010

 

 

 

10,076

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

637

 

 

 

478

 

 

 

1

 

 

 

330

 

 

 

156

 

Prior years

 

 

5,202

 

 

 

5,205

 

 

 

3,735

 

 

 

3,244

 

 

 

2,889

 

Loss and LAE payments during the period

 

 

5,839

 

 

 

5,683

 

 

 

3,736

 

 

 

3,574

 

 

 

3,045

 

Net reserve for losses and LAE at end of period

 

 

244,059

 

 

 

220,085

 

 

 

226,995

 

 

 

221,397

 

 

 

205,961

 

Plus: Reinsurance recoverables

 

 

30,867

 

 

 

26,022

 

 

 

26,570

 

 

 

24,005

 

 

 

20,656

 

Reserve for losses and LAE at end of period

 

$

274,926

 

 

$

246,107

 

 

$

253,565

 

 

$

245,402

 

 

$

226,617

 

 

 

 

 

 

 

 

 

 

 

 

(1) The cure rate is calculated by dividing new defaults remaining as of the reporting date by the original number of new defaults reported in the quarterly period and subtracting that percentage from 100%.

 

 

 

 

 

 

Exhibit L

Essent Group Ltd. and Subsidiaries

Supplemental Information

Detail of Reserves by Default Delinquency

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

September 30, 2024

 

 

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

8,293

 

52

%

$

53,849

21

%

$

627,505

9

%

Four to eleven payments

 

5,498

 

35

 

 

104,223

41

 

 

437,515

24

 

Twelve or more payments

 

1,980

 

12

 

 

86,821

35

 

 

144,396

60

 

Pending claims

 

135

 

1

 

 

8,620

3

 

 

9,692

89

 

Total case reserves

 

15,906

 

100

%

 

253,513

100

%

$

1,219,108

21

%

IBNR

 

 

 

 

19,013

 

 

 

LAE

 

 

 

 

2,400

 

 

 

Total reserves for losses and LAE

 

 

 

$

274,926

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

15.9

 

 

 

Total

 

 

 

$

17.3

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.95

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2023

 

 

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

7,288

 

49

%

$

44,607

20

%

$

527,419

8

%

Four to eleven payments

 

5,421

 

37

 

 

97,424

43

 

 

417,876

23

 

Twelve or more payments

 

1,984

 

13

 

 

78,540

35

 

 

132,257

59

 

Pending claims

 

126

 

1

 

 

5,550

2

 

 

6,302

88

 

Total case reserves

 

14,819

 

100

%

 

226,121

100

%

$

1,083,854

21

%

IBNR

 

 

 

 

16,959

 

 

 

LAE

 

 

 

 

2,322

 

 

 

Total reserves for losses and LAE

 

 

 

$

245,402

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

15.3

 

 

 

Total

 

 

 

$

16.6

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.80

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 2023

 

 

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

6,383

 

48

%

$

38,412

18

%

$

448,039

9

%

Four to eleven payments

 

4,877

 

36

 

 

87,025

42

 

 

369,711

24

 

Twelve or more payments

 

1,989

 

15

 

 

77,369

37

 

 

126,317

61

 

Pending claims

 

142

 

1

 

 

6,076

3

 

 

6,924

88

 

Total case reserves

 

13,391

 

100

%

 

208,882

100

%

$

950,991

22

%

IBNR

 

 

 

 

15,666

 

 

 

LAE

 

 

 

 

2,069

 

 

 

Total reserves for losses and LAE

 

 

 

$

226,617

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

15.6

 

 

 

Total

 

 

 

$

16.9

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.62

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit M

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

 

September 30, 2024

 

December 31, 2023

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

 

$

709,807

 

 

11.9

%

 

$

996,382

 

18.9

%

U.S. agency securities

 

 

—

 

 

—

 

 

 

7,195

 

0.1

 

U.S. agency mortgage-backed securities

 

 

1,051,308

 

 

17.7

 

 

 

821,346

 

15.6

 

Municipal debt securities

 

 

577,647

 

 

9.8

 

 

 

547,258

 

10.5

 

Non-U.S. government securities

 

 

72,971

 

 

1.2

 

 

 

67,447

 

1.3

 

Corporate debt securities

 

 

1,704,388

 

 

28.6

 

 

 

1,297,055

 

24.7

 

Residential and commercial mortgage securities

 

 

503,980

 

 

8.5

 

 

 

517,940

 

9.8

 

Asset-backed securities

 

 

548,076

 

 

9.2

 

 

 

564,995

 

10.7

 

Money market funds

 

 

782,322

 

 

13.1

 

 

 

444,121

 

8.4

 

Total investments available for sale

 

$

5,950,499

 

 

100.0

%

 

$

5,263,739

 

100.0

%

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

 

September 30, 2024

 

December 31, 2023

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

 

$

2,541,407

 

 

49.2

%

 

$

2,561,363

 

53.2

%

Aa1

 

 

103,522

 

 

2.0

 

 

 

104,474

 

2.2

 

Aa2

 

 

286,304

 

 

5.5

 

 

 

291,501

 

6.0

 

Aa3

 

 

247,669

 

 

4.7

 

 

 

208,882

 

4.3

 

A1

 

 

510,486

 

 

9.9

 

 

 

377,188

 

7.8

 

A2

 

 

391,018

 

 

7.6

 

 

 

329,423

 

6.8

 

A3

 

 

424,218

 

 

8.2

 

 

 

253,081

 

5.3

 

Baa1

 

 

227,741

 

 

4.4

 

 

 

220,901

 

4.6

 

Baa2

 

 

200,539

 

 

3.9

 

 

 

226,449

 

4.7

 

Baa3

 

 

158,288

 

 

3.1

 

 

 

166,121

 

3.4

 

Below Baa3

 

 

76,985

 

 

1.5

 

 

 

80,235

 

1.7

 

Total (2)

 

$

5,168,177

 

 

100.0

%

 

$

4,819,618

 

100.0

%

 

 

 

 

 

 

 

 

 

(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.

(2) Excludes $782,322 and $444,121 of money market funds at September 30, 2024 and December 31, 2023, respectively.

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

 

September 30, 2024

 

December 31, 2023

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

 

$

1,829,657

 

 

30.7

%

 

$

1,892,074

 

35.9

%

1 to < 2 Years

 

 

501,569

 

 

8.4

 

 

 

371,583

 

7.1

 

2 to < 3 Years

 

 

506,047

 

 

8.5

 

 

 

538,775

 

10.2

 

3 to < 4 Years

 

 

499,816

 

 

8.4

 

 

 

402,668

 

7.6

 

4 to < 5 Years

 

 

417,500

 

 

7.0

 

 

 

376,722

 

7.2

 

5 or more Years

 

 

2,195,910

 

 

37.0

 

 

 

1,681,917

 

32.0

 

Total investments available for sale

 

$

5,950,499

 

 

100.0

%

 

$

5,263,739

 

100.0

%

 

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

 

Three months ended

 

 

3.81

%

 

 

 

 

 

 

Nine months ended September 30, 2024

 

 

3.77

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Holding company net cash and investments available for sale:

 

 

 

 

($ in thousands)

 

 

 

 

As of September 30, 2024

 

$

991,151

 

 

As of December 31, 2023

 

$

693,507

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit N

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

($ in thousands)

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

 

 

 

 

 

 

Combined statutory capital (1)

 

$

3,584,580

 

 

$

3,530,462

 

 

$

3,453,553

 

 

$

3,376,117

 

 

$

3,309,522

 

 

 

 

 

 

 

 

 

 

 

 

Combined net risk in force (2)

 

$

34,893,957

 

 

$

34,812,227

 

 

$

34,463,082

 

 

$

34,549,500

 

 

$

34,203,678

 

 

 

 

 

 

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc.

 

10.0:1

 

10.2:1

 

10.3:1

 

10.6:1

 

10.7:1

Essent Guaranty of PA, Inc.

 

0.3:1

 

0.3:1

 

0.4:1

 

0.4:1

 

0.5:1

Combined (4)

 

9.7:1

 

9.9:1

 

10.0:1

 

10.2:1

 

10.3:1

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

 

 

 

 

 

 

Available Assets

 

$

3,598,725

 

 

$

3,513,609

 

 

$

3,464,119

 

 

$

3,379,936

 

 

$

3,318,179

 

Minimum Required Assets

 

 

1,903,473

 

 

 

2,052,135

 

 

 

1,999,928

 

 

 

1,985,545

 

 

 

1,910,659

 

PMIERs excess Available Assets

 

$

1,695,252

 

 

$

1,461,474

 

 

$

1,464,191

 

 

$

1,394,391

 

 

$

1,407,520

 

PMIERs sufficiency ratio (6)

 

 

189

%

 

 

171

%

 

 

173

%

 

 

170

%

 

 

174

%

 

 

 

 

 

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

 

 

 

 

 

 

Stockholder's equity (GAAP basis)

 

$

1,826,901

 

 

$

1,793,777

 

 

$

1,793,005

 

 

$

1,758,665

 

 

$

1,684,122

 

 

 

 

 

 

 

 

 

 

 

 

Net risk in force (2)

 

$

23,003,846

 

 

$

22,770,165

 

 

$

22,271,316

 

 

$

22,043,926

 

 

$

21,739,419

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.

(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.

(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.

(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.

(5) Data is based on our interpretation of the PMIERs as of the dates indicated.

(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.

 

 

 

 

 

 

 

 

 

 

 

Exhibit O

Essent Group Ltd. and Subsidiaries

 

Supplemental Information

 

Ratios and Reconciliation of Non-GAAP Financial Measures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

 

 

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

 

Loss Ratio (1)

 

12.2

%

 

 

(0.1

)%

 

 

4.0

%

 

 

7.9

%

 

 

4.4

%

 

 

Expense Ratio (2)

 

26.5

%

 

 

26.1

%

 

 

27.1

%

 

 

27.0

%

 

 

27.3

%

 

 

Combined Ratio

 

38.7

%

 

 

26.0

%

 

 

31.1

%

 

 

34.9

%

 

 

31.7

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting Margin (3)

 

61.3

%

 

 

74.0

%

 

 

68.9

%

 

 

65.1

%

 

 

68.3

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the nine months ended September 30, 2024 lack comparability with periods prior to the acquisition. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to ratios excluding Title, as shown below. Ratios excluding Title are financial measures that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and are referred to as non-GAAP measures. Ratios excluding Title are measures used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP.

 

The following table sets forth the reconciliation of the loss, expense and combined ratios excluding Title to the most comparable GAAP amount for the three and nine months ended September 30, 2024 in accordance with Regulation G:

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended

September 30, 2024

 

Nine Months Ended

September 30, 2024

 

Consolidated

 

Title

 

Excluding Title

 

Consolidated

 

Title

 

Excluding Title

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

 

Net premiums earned

$

248,936

 

 

$

17,687

 

 

$

231,249

 

 

$

746,417

 

 

$

49,604

 

 

$

696,813

 

Net investment income

 

57,340

 

 

 

809

 

 

 

56,531

 

 

 

165,511

 

 

 

2,365

 

 

 

163,146

 

Realized investment gains (losses), net

 

68

 

 

 

—

 

 

 

68

 

 

 

(2,236

)

 

 

—

 

 

 

(2,236

)

Income from other invested assets

 

2,820

 

 

 

—

 

 

 

2,820

 

 

 

486

 

 

 

—

 

 

 

486

 

Settlement services (4)

 

3,237

 

 

 

3,237

 

 

 

—

 

 

 

6,074

 

 

 

6,074

 

 

 

—

 

Other income

 

4,177

 

 

 

473

 

 

 

3,704

 

 

 

11,625

 

 

 

1,354

 

 

 

10,271

 

Total revenues

 

316,578

 

 

 

22,206

 

 

 

294,372

 

 

 

927,877

 

 

 

59,397

 

 

 

868,480

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

 

Provision for losses and LAE

 

30,666

 

 

 

850

 

 

 

29,816

 

 

 

40,245

 

 

 

2,317

 

 

 

37,928

 

Other underwriting and operating expenses (5)

 

57,259

 

 

 

14,845

 

 

 

42,414

 

 

 

170,595

 

 

 

39,564

 

 

 

131,031

 

Premiums retained by agents

 

9,622

 

 

 

9,622

 

 

 

—

 

 

 

29,328

 

 

 

29,328

 

 

 

—

 

Interest expense

 

11,457

 

 

 

—

 

 

 

11,457

 

 

 

27,168

 

 

 

—

 

 

 

27,168

 

Total losses and expenses

 

109,004

 

 

 

25,317

 

 

 

83,687

 

 

 

267,336

 

 

 

71,209

 

 

 

196,127

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio (1)

 

12.2

%

 

 

4.1

%

 

 

12.9

%

 

 

5.3

%

 

 

4.2

%

 

 

5.4

%

Expense ratio (2)

 

26.5

%

 

 

116.9

%

 

 

18.3

%

 

 

26.6

%

 

 

123.7

%

 

 

18.8

%

Combined ratio

 

38.7

%

 

 

121.0

%

 

 

31.2

%

 

 

31.9

%

 

 

127.9

%

 

 

24.2

%

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting Margin (3)

 

61.3

%

 

 

(21.0

%)

 

 

68.8

%

 

 

68.1

%

 

 

(27.9

%)

 

 

75.8

%

 

 

 

 

 

 

 

 

 

 

 

 

(1) Loss ratio is calculated by dividing the provision for losses and LAE by the sum of net premiums earned and settlement services revenue, if applicable.

(2) Expense ratio is calculated by dividing the sum of other underwriting and operating expenses and premiums retained by agents by the sum of net premiums earned and settlement services revenue, if applicable.

(3) Calculated as the inverse of the combined ratio.

(4) Settlement services revenue is included in "Other income" within Exhibit A and Exhibit C.

(5) Title expenses reflect only direct expenses of Title operations and do not include corporate or centralized support expense allocations.

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20241101625309/en/

Media Contact 610.230.0556 media@essentgroup.com

Investor Relations Contact Philip Stefano Vice President, Investor Relations 855-809-ESNT ir@essentgroup.com