Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2021 of $135.6 million or $1.21 per diluted share, compared to $149.5 million or $1.52 per diluted share for the quarter ended March 31, 2020.

Essent also announced today that its Board of Directors has authorized a $250 million share repurchase plan to be executed by the end of 2022 and declared a quarterly cash dividend of $0.17 per common share. The dividend is payable on June 10, 2021, to shareholders of record on June 1, 2021.

"We are pleased with our financial results for the first quarter which we believe demonstrate a return to pre-COVID-19 profitability, as the U.S. economy gains momentum coming out of the pandemic and our defaults continue to normalize,” said Mark A. Casale, Chairman and Chief Executive Officer. “At quarter end, our capital position remains strong as our buy, manage and distribute operating model has our franchise well positioned. As a reflection of this, we are pleased to announce our $250 million share repurchase program and $0.01 per share increase in our quarterly dividend."

First Quarter 2021 Financial Highlights:

  • Insurance in force as of March 31, 2021 was $197.1 billion, compared to $198.9 billion as of December 31, 2020 and $165.6 billion as of March 31, 2020.
  • New insurance written for the first quarter was $19.3 billion, compared to $29.6 billion in the fourth quarter of 2020 and $13.5 billion in the first quarter of 2020.
  • Net premiums earned for the first quarter were $219.1 million, compared to $222.3 million in the fourth quarter of 2020 and $206.5 million in the first quarter of 2020.
  • The expense ratio for the first quarter was 19.3%, compared to 16.6% in the fourth quarter of 2020 and 20.3% in the first quarter of 2020.
  • The provision for losses and LAE for the first quarter was $32.3 million, compared to a provision of $62.1 million in the fourth quarter of 2020 and a provision of $8.1 million in the first quarter of 2020.
  • The percentage of loans in default as of March 31, 2021 was 3.70%, compared to 3.93% as of December 31, 2020 and 0.83% as of March 31, 2020.
  • The combined ratio for the first quarter was 34.0%, compared to 44.5% in the fourth quarter of 2020 and 24.2% in the first quarter of 2020.
  • The consolidated balance of cash and investments at March 31, 2021 was $4.9 billion, including cash and investment balances at Essent Group Ltd. of $540.3 million.
  • The combined risk-to-capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 10.6:1 as of March 31, 2021.
  • Income taxes for the quarter ended March 31, 2021 include $5.7 million of discrete tax expense associated with an increase in our state deferred income tax liability.

Conference Call:

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. The call may also be accessed by dialing 833-287-0797 inside the U.S., or 647-689-4456 for international callers, using passcode 4881985 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-585-8367 inside the U.S., or 416-621-4642 for international callers, passcode 4881985.

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

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; deteriorating economic conditions; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2020 filed with the Securities and Exchange Commission on February 26, 2021, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which, through its wholly-owned subsidiary, Essent Guaranty, Inc., offers private mortgage insurance for single-family mortgage loans in the United States. Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania, Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia, and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Essent is committed to supporting environmental, social and governance ("ESG") initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.

Source: Essent Group Ltd.

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended March 31, 2021

 

 

 

 

 

 

Exhibit A

 

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

Exhibit B

 

Condensed Consolidated Balance Sheets (Unaudited)

Exhibit C

 

Historical Quarterly Data

Exhibit D

 

New Insurance Written

Exhibit E

 

Insurance in Force and Risk in Force

Exhibit F

 

Other Risk in Force

Exhibit G

 

Portfolio Vintage Data

Exhibit H

 

Reinsurance Vintage Data

Exhibit I

 

Portfolio Geographic Data

Exhibit J

 

Rollforward of Defaults and Reserve for Losses and LAE

Exhibit K

 

Detail of Reserves by Default Delinquency

Exhibit L

 

Investments Available for Sale

Exhibit M

 

Insurance Company Capital

 

 

 

 

Exhibit A

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended March 31,

(In thousands, except per share amounts)

 

2021

 

2020

Revenues:

 

 

 

 

Direct premiums written

 

$

235,257

 

 

$

205,980

 

Ceded premiums

 

(30,896)

 

 

(14,237)

 

Net premiums written

 

204,361

 

 

191,743

 

Decrease in unearned premiums

 

14,706

 

 

14,753

 

Net premiums earned

 

219,067

 

 

206,496

 

Net investment income

 

21,788

 

 

20,633

 

Realized investment gains, net

 

641

 

 

3,135

 

Other income (loss)

 

3,301

 

 

(1,424)

 

Total revenues

 

244,797

 

 

228,840

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

Provision for losses and LAE

 

32,322

 

 

8,063

 

Other underwriting and operating expenses

 

42,239

 

 

41,947

 

Interest expense

 

2,051

 

 

2,132

 

Total losses and expenses

 

76,612

 

 

52,142

 

 

 

 

 

 

Income before income taxes

 

168,185

 

 

176,698

 

Income tax expense

 

32,537

 

 

27,175

 

Net income

 

$

135,648

 

 

$

149,523

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

Basic

 

$

1.21

 

 

$

1.53

 

Diluted

 

1.21

 

 

1.52

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

Basic

 

112,016

 

 

97,949

 

Diluted

 

112,378

 

 

98,326

 

 

 

 

 

 

Net income

 

$

135,648

 

 

$

149,523

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

Change in unrealized depreciation of investments

 

(59,203)

 

 

(10,074)

 

Total other comprehensive loss

 

(59,203)

 

 

(10,074)

 

Comprehensive income

 

$

76,445

 

 

$

139,449

 

 

 

 

 

 

 

 

 

 

 

Loss ratio

 

14.8

%

 

3.9

%

Expense ratio

 

19.3

 

 

20.3

 

Combined ratio

 

34.0

%

 

24.2

%

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

March 31,

 

December 31,

(In thousands, except per share amounts)

2021

 

2020

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

4,252,144

 

 

$

3,838,513

 

Short-term investments available for sale, at fair value

449,332

 

 

726,860

 

Total investments available for sale

4,701,476

 

 

4,565,373

 

Other invested assets

100,393

 

 

88,904

 

Total investments

4,801,869

 

 

4,654,277

 

Cash

81,022

 

 

102,830

 

Accrued investment income

23,600

 

 

19,948

 

Accounts receivable

45,618

 

 

50,140

 

Deferred policy acquisition costs

14,723

 

 

17,005

 

Property and equipment

14,258

 

 

15,095

 

Prepaid federal income tax

302,636

 

 

302,636

 

Other assets

48,120

 

 

40,793

 

 

 

 

 

Total assets

$

5,331,846

 

 

$

5,202,724

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

411,123

 

 

$

374,941

 

Unearned premium reserve

235,730

 

 

250,436

 

Net deferred tax liability

318,622

 

 

305,109

 

Credit facility borrowings, net of deferred costs

322,018

 

 

321,720

 

Other accrued liabilities

123,416

 

 

87,885

 

Total liabilities

1,410,909

 

 

1,340,091

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 112,847 shares in 2021 and 112,423 shares in 2020

1,693

 

 

1,686

 

Additional paid-in capital

1,571,134

 

 

1,571,163

 

Accumulated other comprehensive income

79,071

 

 

138,274

 

Retained earnings

2,269,039

 

 

2,151,510

 

Total stockholders' equity

3,920,937

 

 

3,862,633

 

 

 

 

 

Total liabilities and stockholders' equity

$

5,331,846

 

 

$

5,202,724

 

 

 

 

 

Return on average equity (1)

13.9

%

 

12.1

%

(1) The 2021 return on average equity is calculated by dividing annualized year-to-date 2021 net income by average equity. The 2020 return on average equity is calculated by dividing full year 2020 net income by average equity.

 

 

 

 

 

 

 

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

2021

 

2020

Selected Income Statement Data

 

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

 

$

207,840

 

 

$

208,715

 

 

$

211,126

 

 

$

200,816

 

 

$

195,718

 

GSE and other risk share

 

11,227

 

 

13,624

 

 

11,132

 

 

10,655

 

 

10,778

 

Net premiums earned

 

219,067

 

 

222,339

 

 

222,258

 

 

211,471

 

 

206,496

 

Other revenues (1)

 

25,730

 

 

24,860

 

 

20,780

 

 

24,606

 

 

22,344

 

Total revenues

 

244,797

 

 

247,199

 

 

243,038

 

 

236,077

 

 

228,840

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

Provision for losses and LAE

 

32,322

 

 

62,073

 

 

55,280

 

 

175,877

 

 

8,063

 

Other underwriting and operating expenses

 

42,239

 

 

36,825

 

 

37,100

 

 

38,819

 

 

41,947

 

Interest expense

 

2,051

 

 

2,149

 

 

2,227

 

 

2,566

 

 

2,132

 

Total losses and expenses

 

76,612

 

 

101,047

 

 

94,607

 

 

217,262

 

 

52,142

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

168,185

 

 

146,152

 

 

148,431

 

 

18,815

 

 

176,698

 

Income tax expense (2)

 

32,537

 

 

22,550

 

 

23,895

 

 

3,435

 

 

27,175

 

Net income

 

$

135,648

 

 

$

123,602

 

 

$

124,536

 

 

$

15,380

 

 

$

149,523

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.21

 

 

$

1.10

 

 

$

1.11

 

 

$

0.15

 

 

$

1.53

 

Diluted

 

1.21

 

 

1.10

 

 

1.11

 

 

0.15

 

 

1.52

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

112,016

 

 

111,908

 

 

111,908

 

 

102,500

 

 

97,949

 

Diluted

 

112,378

 

 

112,310

 

 

112,134

 

 

102,605

 

 

98,326

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

34.75

 

 

$

34.36

 

 

$

33.33

 

 

$

32.23

 

 

$

31.51

 

Return on average equity (annualized)

 

13.9

%

 

13.0

%

 

13.5

%

 

1.8

%

 

19.6

%

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

Loss ratio (3)

 

14.8

%

 

27.9

%

 

24.9

%

 

83.2

%

 

3.9

%

Expense ratio (4)

 

19.3

 

 

16.6

 

 

16.7

 

 

18.4

 

 

20.3

 

Combined ratio

 

34.0

%

 

44.5

%

 

41.6

%

 

101.5

%

 

24.2

%

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

325,000

 

 

$

325,000

 

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

Undrawn committed capacity

 

$

300,000

 

 

$

300,000

 

 

$

75,000

 

 

$

75,000

 

 

$

75,000

 

Weighted average interest rate (end of period)

 

2.13

%

 

2.19

%

 

1.90

%

 

1.93

%

 

2.87

%

Debt-to-capital

 

7.65

%

 

7.76

%

 

10.19

%

 

10.50

%

 

12.03

%

(1) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. For each of the three month periods noted, Other revenues include net favorable (unfavorable) changes in the fair value of these embedded derivatives as follows: March 31, 2021: ($606); December 31, 2020: ($209); September 30, 2020: ($677); June 30, 2020: $2,502; March 31, 2020: ($4,200).

(2) Income tax expense for the quarter ended March 31, 2021 includes $5,718 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. Income tax expense for the three months ended March 31, 2020 was reduced by $620 of excess tax benefits associated with the vesting of common shares and common share units during each period.

(3) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.

(4) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.

 

 

 

 

 

 

 

Exhibit C, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2021

 

2020

Other Data, continued:

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

19,254,014

 

 

$

29,566,820

 

 

$

36,664,583

 

 

$

28,163,212

 

 

$

13,549,299

 

New risk written

 

4,616,450

 

 

7,051,173

 

 

8,938,544

 

 

6,875,250

 

 

3,384,171

 

 

 

 

 

 

 

 

 

 

 

 

Bulk:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

 

 

$

 

 

$

 

 

$

 

 

$

151

 

New risk written

 

 

 

 

 

 

 

 

 

24

 

 

 

 

 

 

 

 

 

 

 

 

Total:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

19,254,014

 

 

$

29,566,820

 

 

$

36,664,583

 

 

$

28,163,212

 

 

$

13,549,450

 

New risk written

 

$

4,616,450

 

 

$

7,051,173

 

 

$

8,938,544

 

 

$

6,875,250

 

 

$

3,384,195

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

$

197,749,668

 

 

$

195,670,925

 

 

$

183,135,315

 

 

$

168,635,275

 

 

$

164,782,361

 

Insurance in force (end of period)

 

$

197,091,191

 

 

$

198,882,352

 

 

$

190,811,292

 

 

$

174,646,273

 

 

$

165,615,503

 

Gross risk in force (end of period) (5)

 

$

48,951,602

 

 

$

49,565,150

 

 

$

47,838,668

 

 

$

43,993,989

 

 

$

41,865,977

 

Risk in force (end of period)

 

$

41,135,978

 

 

$

41,339,262

 

 

$

41,219,216

 

 

$

39,113,879

 

 

$

38,290,022

 

Policies in force

 

785,382

 

 

799,893

 

 

781,836

 

 

733,651

 

 

706,714

 

Weighted average coverage (6)

 

24.8

%

 

24.9

%

 

25.1

%

 

25.2

%

 

25.3

%

Annual persistency

 

56.1

%

 

60.1

%

 

64.2

%

 

67.9

%

 

73.9

%

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

29,080

 

 

31,469

 

 

35,464

 

 

38,068

 

 

5,841

 

Percentage of loans in default

 

3.70

%

 

3.93

%

 

4.54

%

 

5.19

%

 

0.83

%

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio premium rate:

 

 

 

 

 

 

 

 

Base average premium rate (7)

 

0.44

%

 

0.44

%

 

0.45

%

 

0.47

%

 

0.47

%

Single premium cancellations (8)

 

0.04

%

 

0.05

%

 

0.06

%

 

0.06

%

 

0.04

%

Gross average premium rate

 

0.48

%

 

0.49

%

 

0.51

%

 

0.53

%

 

0.51

%

Ceded premiums

 

(0.06

%)

 

(0.06

%)

 

(0.05

%)

 

(0.05

%)

 

(0.03

%)

Net average premium rate

 

0.42

%

 

0.43

%

 

0.46

%

 

0.48

%

 

0.48

%

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

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

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

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

 

 

 

 

 

 

Exhibit D

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

New Insurance Written: Flow

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Credit Score

 

Three Months Ended

 

March 31, 2021

 

December 31, 2020

 

March 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

8,471,121

 

44.0

%

 

$

13,330,379

 

45.1

%

 

$

5,655,716

 

41.8

%

740-759

3,153,327

 

16.4

 

 

5,069,530

 

17.1

 

 

2,458,032

 

18.1

 

720-739

2,753,296

 

14.3

 

 

4,134,782

 

14.0

 

 

2,018,874

 

14.9

 

700-719

2,358,634

 

12.2

 

 

3,385,670

 

11.5

 

 

1,558,743

 

11.5

 

680-699

1,227,408

 

6.4

 

 

1,743,694

 

5.9

 

 

1,044,918

 

7.7

 

<=679

1,290,228

 

6.7

 

 

1,902,765

 

6.4

 

 

813,016

 

6.0

 

Total

$

19,254,014

 

100.0

%

 

$

29,566,820

 

100.0

%

 

$

13,549,299

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average credit score

747

 

 

 

748

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

March 31, 2021

 

December 31, 2020

 

March 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

3,968,576

 

20.6

%

 

$

6,317,550

 

21.4

%

 

$

1,963,476

 

14.5

%

85.01% to 90.00%

6,441,997

 

33.5

 

 

9,629,373

 

32.6

 

 

3,987,274

 

29.4

 

90.01% to 95.00%

7,052,522

 

36.6

 

 

11,134,923

 

37.6

 

 

5,685,880

 

42.0

 

95.01% and above

1,790,919

 

9.3

 

 

2,484,974

 

8.4

 

 

1,912,669

 

14.1

 

Total

$

19,254,014

 

100.0

%

 

$

29,566,820

 

100.0

%

 

$

13,549,299

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average LTV

91

%

 

 

91

%

 

 

92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

March 31, 2021

 

December 31, 2020

 

March 31, 2020

Single Premium policies

 

6.9

%

 

 

7.7

%

 

 

9.7

%

Monthly Premium policies

 

93.1

 

 

 

92.3

 

 

 

90.3

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

March 31, 2021

 

December 31, 2020

 

March 31, 2020

Purchase

 

62.3

%

 

 

61.6

%

 

 

69.2

%

Refinance

 

37.7

 

 

 

38.4

 

 

 

30.8

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

Exhibit E

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio by Credit Score

IIF by FICO score

March 31, 2021

 

December 31, 2020

 

March 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

81,629,166

 

41.4

%

 

$

82,452,139

 

41.5

%

 

$

68,385,363

 

41.3

%

740-759

 

33,969,375

 

17.2

 

 

34,538,761

 

17.3

 

 

28,289,661

 

17.1

 

720-739

 

29,323,182

 

14.9

 

 

29,599,646

 

14.9

 

 

24,441,834

 

14.7

 

700-719

 

23,775,892

 

12.1

 

 

23,807,982

 

12.0

 

 

19,442,133

 

11.7

 

680-699

 

15,241,886

 

7.7

 

 

15,538,235

 

7.8

 

 

13,859,727

 

8.4

 

<=679

 

13,151,690

 

6.7

 

 

12,945,589

 

6.5

 

 

11,196,785

 

6.8

 

Total

$

197,091,191

 

100.0

%

 

$

198,882,352

 

100.0

%

 

$

165,615,503

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

745

 

 

 

745

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

March 31, 2021

 

December 31, 2020

 

March 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

20,063,586

 

41.0

%

 

$

20,336,799

 

41.0

%

 

$

17,138,596

 

40.9

%

740-759

 

8,512,926

 

17.4

 

 

8,682,265

 

17.5

 

 

7,181,181

 

17.2

 

720-739

 

7,410,503

 

15.1

 

 

7,504,065

 

15.1

 

 

6,262,376

 

15.0

 

700-719

 

5,947,590

 

12.1

 

 

5,970,851

 

12.1

 

 

4,950,746

 

11.8

 

680-699

 

3,798,221

 

7.8

 

 

3,887,059

 

7.9

 

 

3,537,973

 

8.4

 

<=679

 

3,218,776

 

6.6

 

 

3,184,111

 

6.4

 

 

2,795,105

 

6.7

 

Total

$

48,951,602

 

100.0

%

 

$

49,565,150

 

100.0

%

 

$

41,865,977

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

March 31, 2021

 

December 31, 2020

 

March 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

28,285,671

 

14.4

%

 

$

27,308,296

 

13.7

%

 

$

17,304,231

 

10.5

%

85.01% to 90.00%

 

58,587,812

 

29.7

 

 

58,606,394

 

29.5

 

 

47,063,180

 

28.4

 

90.01% to 95.00%

 

84,042,974

 

42.6

 

 

86,169,485

 

43.3

 

 

77,059,950

 

46.5

 

95.01% and above

 

26,174,734

 

13.3

 

 

26,798,177

 

13.5

 

 

24,188,142

 

14.6

 

Total

$

197,091,191

 

100.0

%

 

$

198,882,352

 

100.0

%

 

$

165,615,503

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

92

%

 

 

92

%

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

March 31, 2021

 

December 31, 2020

 

March 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

3,260,280

 

6.7

%

 

$

3,142,034

 

6.3

%

 

$

1,997,845

 

4.8

%

85.01% to 90.00%

 

14,061,301

 

28.7

 

 

14,061,553

 

28.4

 

 

11,322,131

 

27.0

 

90.01% to 95.00%

 

24,287,268

 

49.6

 

 

24,895,471

 

50.2

 

 

22,110,369

 

52.8

 

95.01% and above

 

7,342,753

 

15.0

 

 

7,466,092

 

15.1

 

 

6,435,632

 

15.4

 

Total

$

48,951,602

 

100.0

%

 

$

49,565,150

 

100.0

%

 

$

41,865,977

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

March 31, 2021

 

December 31, 2020

 

March 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

186,190,300

 

94.5

%

 

$

187,704,000

 

94.4

%

 

$

156,741,714

 

94.6

%

FRM 20-25 years

 

4,354,432

 

2.2

 

 

4,365,585

 

2.2

 

 

2,829,876

 

1.7

 

FRM 15 years

 

4,763,796

 

2.4

 

 

4,776,068

 

2.4

 

 

3,230,148

 

2.0

 

ARM 5 years and higher

 

1,782,663

 

0.9

 

 

2,036,699

 

1.0

 

 

2,813,765

 

1.7

 

Total

$

197,091,191

 

100.0

%

 

$

198,882,352

 

100.0

%

 

$

165,615,503

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

2021

 

2020

($ in thousands)

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

1,534,174

 

 

$

1,416,719

 

 

$

1,216,353

 

 

$

1,031,699

 

 

$

1,100,966

 

Reserve for losses and LAE

 

$

1,312

 

 

$

1,073

 

 

$

718

 

 

$

28

 

 

$

16

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

747

 

 

746

 

 

747

 

 

746

 

 

746

 

Weighted average LTV

 

84

%

 

84

%

 

84

%

 

85

%

 

85

%

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

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit G

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Vintage Data

March 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance in Force

 

 

 

Year

Original Insurance Written ($ in thousands)

Remaining Insurance in Force ($ in thousands)

% Remaining of Original Insurance

Number of Policies in Force

Weighted Average Coupon

% Purchase

>90% LTV

>95% LTV

FICO < 700

FICO >= 760

Incurred Loss Ratio (Inception to Date) (1)

Number of Loans in Default

Percentage of Loans in Default

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2010 - 2014

$

60,668,851

 

$

5,129,571

 

8.5

%

30,610

 

4.29

%

82.8

%

69.9

%

4.5

%

14.2

%

43.1

%

3.3

%

1,715

 

5.60

%

2015

26,193,656

 

4,850,420

 

18.5

 

26,439

 

4.15

 

86.4

 

64.1

 

3.2

 

17.1

 

40.6

 

4.5

 

1,422

 

5.38

 

2016

34,949,319

 

9,643,407

 

27.6

 

48,920

 

3.85

 

87.3

 

63.7

 

8.3

 

14.9

 

44.1

 

6.2

 

2,760

 

5.64

 

2017

43,858,322

 

13,655,157

 

31.1

 

70,677

 

4.25

 

89.7

 

63.7

 

17.2

 

18.9

 

38.7

 

9.6

 

5,017

 

7.10

 

2018

47,508,525

 

15,685,099

 

33.0

 

77,094

 

4.76

 

93.3

 

66.1

 

22.1

 

19.5

 

34.9

 

16.0

 

6,106

 

7.92

 

2019

63,569,183

 

32,499,325

 

51.1

 

135,127

 

4.22

 

84.0

 

64.1

 

21.2

 

18.5

 

35.9

 

29.9

 

8,222

 

6.08

 

2020

107,944,065

 

96,534,141

 

89.4

 

335,081

 

3.21

 

60.9

 

50.5

 

10.9

 

11.7

 

43.9

 

23.5

 

3,819

 

1.14

 

2021 (through March 31)

19,254,014

 

19,094,071

 

99.2

 

61,434

 

2.87

 

62.3

 

46.0

 

9.3

 

13.1

 

43.9

 

2.4

 

19

 

0.03

 

Total

$

403,945,935

 

$

197,091,191

 

48.8

 

785,382

 

3.62

 

71.9

 

55.9

 

13.3

 

14.4

 

41.4

 

10.3

 

29,080

 

3.70

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit H

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Reinsurance Vintage Data

March 31, 2021

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess of Loss Reinsurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Original Reinsurance in Force

 

Remaining Reinsurance in Force

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Year

Remaining Insurance in Force

Remaining Risk in Force

 

ILN (1)

Other Reinsurance (2)

Total

 

ILN

Other Reinsurance

Total

 

Losses Ceded to Date

 

Original First Layer Retention

Remaining First Layer Retention

 

Year-to-Date

 

Reduction in PMIERs Minimum Required Assets (6)

2015 & 2016

$

13,987,747

 

$

3,777,142

 

 

$

333,844

 

$

 

$

333,844

 

 

$

216,480

 

$

 

$

216,480

 

 

$

 

 

$

208,111

 

$

207,588

 

 

$

1,212

 

 

$

48,644

 

2017

13,285,965

 

3,404,783

 

 

424,412

 

165,167

 

589,579

 

 

242,123

 

165,167

 

407,290

 

 

 

 

224,689

 

218,262

 

 

2,644

 

 

53,839

 

2018

15,328,438

 

3,897,423

 

 

473,184

 

118,650

 

591,834

 

 

325,537

 

76,144

 

401,681

 

 

 

 

253,643

 

250,350

 

 

3,186

 

 

98,593

 

2019 (3)

18,493,963

 

4,724,213

 

 

495,889

 

55,102

 

550,991

 

 

495,889

 

55,102

 

550,991

 

 

 

 

215,605

 

215,481

 

 

2,763

 

 

227,756

 

2019 & 2020 (4)

43,365,923

 

10,872,860

 

 

399,159

 

 

399,159

 

 

399,159

 

 

399,159

 

 

 

 

465,690

 

465,690

 

 

5,102

 

 

289,031

 

Total

$

104,462,036

 

$

26,676,421

 

 

$

2,126,488

 

$

338,919

 

$

2,465,407

 

 

$

1,679,188

 

$

296,413

 

$

1,975,601

 

 

$

 

 

$

1,367,738

 

$

1,357,371

 

 

$

14,907

 

 

$

717,863

 

Quota Share Reinsurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses Ceded

 

Ceding Commission

 

Earned Premiums Ceded

 

 

Year

 

Remaining Insurance in Force

Remaining Risk in Force

 

Remaining Ceded Insurance in Force

 

Remaining Ceded Risk in Force

 

Year-to-Date

 

Year-to-Date

 

Year-to-Date

 

Reduction in PMIERs Minimum Required Assets (6)

2019 & 2020

(5)

$

109,753,017

 

$

26,943,264

 

 

$

24,013,881

 

 

$

5,840,023

 

 

$

5,869

 

 

$

5,060

 

 

$

15,989

 

 

$

389,362

 

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

(2) Reinsurance provided by panels of reinsurers.

(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.

(4) Reinsurance coverage on new insurance written from September 1, 2019 through July 31, 2020.

(5) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.

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

 

 

 

 

Exhibit I

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Geographic Data

 

 

 

 

 

 

 

 

 

 

 

 

IIF by State

 

March 31, 2021

 

December 31, 2020

 

March 31, 2020

CA

12.5

%

 

12.0

%

 

10.4

%

TX

9.8

 

 

9.7

 

 

8.9

 

FL

9.0

 

 

8.7

 

 

8.0

 

CO

4.1

 

 

4.1

 

 

3.8

 

WA

3.7

 

 

3.8

 

 

4.2

 

AZ

3.5

 

 

3.6

 

 

3.3

 

IL

3.4

 

 

3.4

 

 

3.6

 

NJ

3.2

 

 

3.3

 

 

3.6

 

VA

3.1

 

 

3.1

 

 

3.1

 

GA

3.0

 

 

3.0

 

 

3.1

 

All Others

44.7

 

 

45.3

 

 

48.0

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

March 31, 2021

 

December 31, 2020

 

March 31, 2020

CA

12.2

%

 

11.8

%

 

10.1

%

TX

10.1

 

 

10.0

 

 

9.2

 

FL

9.3

 

 

9.0

 

 

8.2

 

CO

4.0

 

 

4.1

 

 

3.7

 

WA

3.6

 

 

3.8

 

 

4.2

 

AZ

3.5

 

 

3.5

 

 

3.3

 

IL

3.3

 

 

3.3

 

 

3.5

 

NJ

3.1

 

 

3.2

 

 

3.5

 

GA

3.1

 

 

3.1

 

 

3.2

 

VA

3.0

 

 

3.1

 

 

3.1

 

All Others

44.8

 

 

45.1

 

 

48.0

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Exhibit J

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Rollforward of Defaults and Reserve for Losses and LAE

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Insured Loans in Default

 

 

Three Months Ended

 

 

2021

 

2020

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

Beginning default inventory

 

31,469

 

 

35,464

 

 

38,068

 

 

5,841

 

 

5,947

 

Plus: new defaults (A)

 

7,422

 

 

8,745

 

 

12,614

 

 

37,357

 

 

3,933

 

Less: cures

 

(9,737)

 

 

(12,679)

 

 

(15,135)

 

 

(4,983)

 

 

(3,914)

 

Less: claims paid

 

(61)

 

 

(49)

 

 

(67)

 

 

(144)

 

 

(118)

 

Less: rescissions and denials, net

 

(13)

 

 

(12)

 

 

(16)

 

 

(3)

 

 

(7)

 

Ending default inventory

 

29,080

 

 

31,469

 

 

35,464

 

 

38,068

 

 

5,841

 

 

 

 

 

 

 

 

 

 

 

 

(A) New defaults remaining as of March 31, 2021

 

5,775

 

 

4,640

 

 

5,009

 

 

11,450

 

 

764

 

Cure rate (1)

 

22

%

 

47

%

 

60

%

 

69

%

 

81

%

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

$

1,989

 

 

$

1,922

 

 

$

2,557

 

 

$

5,718

 

 

$

4,157

 

Average amount paid per claim (in thousands)

 

$

33

 

 

$

39

 

 

$

38

 

 

$

40

 

 

$

35

 

Severity

 

70

%

 

62

%

 

77

%

 

78

%

 

77

%

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

2021

 

2020

($ in thousands)

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

Reserve for losses and LAE at beginning of period

 

$

373,868

 

 

$

307,019

 

 

$

250,862

 

 

$

73,325

 

 

$

69,183

 

Less: Reinsurance recoverables

 

19,061

 

 

11,898

 

 

7,761

 

 

98

 

 

71

 

Net reserve for losses and LAE at beginning of period

 

354,807

 

 

295,121

 

 

243,101

 

 

73,227

 

 

69,112

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

47,763

 

 

63,597

 

 

55,660

 

 

181,776

 

 

15,419

 

Prior years

 

(15,680)

 

 

(1,879)

 

 

(1,070)

 

 

(5,911)

 

 

(7,193)

 

Incurred losses and LAE during the period

 

32,083

 

 

61,718

 

 

54,590

 

 

175,865

 

 

8,226

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

114

 

 

524

 

 

205

 

 

288

 

 

1

 

Prior years

 

1,872

 

 

1,508

 

 

2,365

 

 

5,703

 

 

4,110

 

Loss and LAE payments during the period

 

1,986

 

 

2,032

 

 

2,570

 

 

5,991

 

 

4,111

 

Net reserve for losses and LAE at end of period

 

384,904

 

 

354,807

 

 

295,121

 

 

243,101

 

 

73,227

 

Plus: Reinsurance recoverables

 

24,907

 

 

19,061

 

 

11,898

 

 

7,761

 

 

98

 

Reserve for losses and LAE at end of period

 

$

409,811

 

 

$

373,868

 

 

$

307,019

 

 

$

250,862

 

 

$

73,325

 

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

 

 

 

 

 

Exhibit K

Essent Group Ltd. and Subsidiaries

Supplemental Information

Detail of Reserves by Default Delinquency

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

March 31, 2021

 

 

Number of Policies in Default

Percentage of Policies in Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

5,487

 

19

%

$

39,244

 

10

%

$

329,223

 

12

%

Four to eleven payments

 

16,157

 

56

 

215,949

 

57

 

1,022,979

 

21

 

Twelve or more payments

 

7,393

 

25

 

120,128

 

32

 

500,658

 

24

 

Pending claims

 

43

 

 

1,758

 

1

 

2,236

 

79

 

Total case reserves

 

29,080

 

100

%

377,079

 

100

%

$

1,855,096

 

20

 

IBNR

 

 

 

28,281

 

 

 

 

LAE

 

 

 

4,451

 

 

 

 

Total reserves for losses and LAE

 

 

 

$

409,811

 

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

13.0

 

 

 

 

Total

 

 

 

$

14.1

 

 

 

 

 

 

 

 

 

 

 

 

Default Rate

3.70%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2020

 

 

Number of Policies in Default

Percentage of Policies in Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

6,631

 

21

%

$

47,905

 

14

%

$

384,668

 

12

%

Four to eleven payments

 

23,543

 

75

 

260,593

 

76

 

1,553,593

 

17

 

Twelve or more payments

 

1,243

 

4

 

32,593

 

9

 

67,501

 

48

 

Pending claims

 

52

 

 

2,199

 

1

 

2,843

 

77

 

Total case reserves

 

31,469

 

100

%

343,290

 

100

%

$

2,008,605

 

17

 

IBNR

 

 

 

25,747

 

 

 

 

LAE

 

 

 

4,831

 

 

 

 

Total reserves for losses and LAE

 

 

 

$

373,868

 

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

10.9

 

 

 

 

Total

 

 

 

$

11.9

 

 

 

 

 

 

 

 

 

 

 

 

Default Rate

3.93%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2020

 

 

Number of Policies in Default

Percentage of Policies in Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

3,043

 

52

%

$

15,128

 

23

%

$

170,374

 

9

%

Four to eleven payments

 

2,140

 

37

 

30,493

 

45

 

114,135

 

27

 

Twelve or more payments

 

518

 

9

 

15,235

 

23

 

29,596

 

51

 

Pending claims

 

140

 

2

 

6,241

 

9

 

7,074

 

88

 

Total case reserves

 

5,841

 

100

%

67,097

 

100

%

$

321,179

 

21

 

IBNR

 

 

 

5,032

 

 

 

 

LAE

 

 

 

1,196

 

 

 

 

Total reserves for losses and LAE

 

 

 

$

73,325

 

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

11.5

 

 

 

 

Total

 

 

 

$

12.6

 

 

 

 

 

 

 

 

 

 

 

 

Default Rate

0.83%

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit L

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

March 31, 2021

 

December 31, 2020

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

$

262,309

 

 

5.6

%

 

$

268,444

 

 

5.9

%

U.S. agency securities

16,138

 

 

0.3

 

 

18,085

 

 

0.4

 

U.S. agency mortgage-backed securities

1,022,991

 

 

21.7

 

 

995,905

 

 

21.8

 

Municipal debt securities

572,263

 

 

12.2

 

 

551,517

 

 

12.1

 

Non-U.S. government securities

79,280

 

 

1.7

 

 

61,607

 

 

1.3

 

Corporate debt securities

1,414,938

 

 

30.1

 

 

1,126,512

 

 

24.7

 

Residential and commercial mortgage securities

446,208

 

 

9.5

 

 

409,282

 

 

9.0

 

Asset-backed securities

473,804

 

 

10.1

 

 

454,717

 

 

9.9

 

Money market funds

413,545

 

 

8.8

 

 

679,304

 

 

14.9

 

Total investments available for sale

$

4,701,476

 

 

100.0

%

 

$

4,565,373

 

 

100.0

%

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

March 31, 2021

 

December 31, 2020

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

$

2,310,267

 

 

49.1

%

 

$

2,564,746

 

 

56.2

%

Aa1

138,510

 

 

3.0

 

 

133,100

 

 

2.9

 

Aa2

288,583

 

 

6.1

 

 

260,462

 

 

5.7

 

Aa3

217,683

 

 

4.6

 

 

204,917

 

 

4.5

 

A1

266,937

 

 

5.7

 

 

249,710

 

 

5.5

 

A2

426,285

 

 

9.1

 

 

401,175

 

 

8.8

 

A3

278,424

 

 

5.9

 

 

229,882

 

 

5.0

 

Baa1

296,627

 

 

6.3

 

 

260,602

 

 

5.7

 

Baa2

274,367

 

 

5.8

 

 

178,926

 

 

3.9

 

Baa3

140,688

 

 

3.0

 

 

48,199

 

 

1.1

 

Below Baa3

63,105

 

 

1.4

 

 

33,654

 

 

0.7

 

Total investments available for sale

$

4,701,476

 

 

100.0

%

 

$

4,565,373

 

 

100.0

%

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

March 31, 2021

 

December 31, 2020

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

$

1,158,371

 

 

24.6

%

 

$

1,568,505

 

 

34.4

%

1 to < 2 Years

443,897

 

 

9.4

 

 

581,003

 

 

12.7

 

2 to < 3 Years

708,723

 

 

15.1

 

 

616,069

 

 

13.5

 

3 to < 4 Years

473,707

 

 

10.1

 

 

426,333

 

 

9.3

 

4 to < 5 Years

511,955

 

 

10.9

 

 

367,633

 

 

8.1

 

5 or more Years

1,404,823

 

 

29.9

 

 

1,005,830

 

 

22.0

 

Total investments available for sale

$

4,701,476

 

 

100.0

%

 

$

4,565,373

 

 

100.0

%

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

Three months ended March 31, 2021

2.02

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net cash and investments at holding company, Essent Group Ltd.:

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

As of March 31, 2021

$

540,330

 

 

 

 

 

 

 

As of December 31, 2020

$

562,714

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit M

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2021

 

2020

 

 

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

 

 

 

 

 

 

Combined statutory capital (1)

 

$

2,778,131

 

 

$

2,659,161

 

 

$

2,581,136

 

 

$

2,457,368

 

 

$

2,452,730

 

 

 

 

 

 

 

 

 

 

 

 

 

Combined net risk in force (2)

 

$

29,358,191

 

 

$

29,493,572

 

 

$

29,821,246

 

 

$

28,787,600

 

 

$

28,729,105

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc.

 

11.0:1

 

11.5:1

 

12.0:1

 

12.1:1

 

12.1:1

 

Essent Guaranty of PA, Inc.

 

1.4:1

 

1.7:1

 

2.0:1

 

2.3:1

 

2.7:1

 

Combined (4)

 

10.6:1

 

11.1:1

 

11.6:1

 

11.7:1

 

11.7:1

 

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

 

 

 

 

 

 

 

Available Assets

 

$

2,996,651

 

 

$

2,855,923

 

 

$

2,720,432

 

 

$

2,586,394

 

 

$

2,453,705

 

 

Minimum Required Assets

 

1,864,262

 

 

1,671,011

 

 

1,739,479

 

 

1,458,273

 

 

1,226,824

 

 

PMIERs excess Available Assets

 

$

1,132,389

 

 

$

1,184,912

 

 

$

980,953

 

 

$

1,128,121

 

 

$

1,226,881

 

 

PMIERs sufficiency ratio (6)

 

161

%

 

171

%

 

156

%

 

177

%

 

200

%

 

 

 

 

 

 

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

 

 

 

 

 

 

Stockholder's equity (GAAP basis)

 

$

1,136,504

 

 

$

1,101,003

 

 

$

1,061,546

 

 

$

1,022,689

 

 

$

1,005,038

 

 

 

 

 

 

 

 

 

 

 

 

 

Net risk in force (2)

 

$

12,905,289

 

 

$

12,892,300

 

 

$

12,312,124

 

 

$

11,113,079

 

 

$

10,589,736

 

(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.

 

Media Contact 610.230.0556 media@essentgroup.com Investor Relations Contact Christopher G. Curran Senior Vice President – Investor Relations 855-809-ESNT ir@essentgroup.com

Essent (NYSE:ESNT)
Historical Stock Chart
From Aug 2021 to Sep 2021 Click Here for more Essent Charts.
Essent (NYSE:ESNT)
Historical Stock Chart
From Sep 2020 to Sep 2021 Click Here for more Essent Charts.