Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended March 31, 2024
Exhibit A Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C Consolidated Historical Quarterly Data
Exhibit D U.S. Mortgage Insurance Portfolio Historical Quarterly Data
Exhibit E New Insurance Written - U.S. Mortgage Insurance Portfolio
Exhibit F Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio
Exhibit G Other Risk in Force
Exhibit H U.S. Mortgage Insurance Portfolio Vintage Data
Exhibit I U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data
Exhibit J U.S. Mortgage Insurance Portfolio Geographic Data
Exhibit K Rollforward of Defaults and Reserve for Losses and LAE - U.S. Mortgage Insurance Portfolio
Exhibit L Detail of Reserves by Default Delinquency - U.S. Mortgage Insurance Portfolio Exhibit M Investments Available for Sale
Exhibit N U.S. Mortgage Insurance Company Capital
Exhibit O Ratios and Reconciliation of Non-GAAP Financial Measures
Exhibit A
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Three Months Ended March 31, | |||||
(In thousands, except per share amounts) | 2024 | 2023 | |||
Revenues: | |||||
Direct premiums written | $ | 268,931 | $ | 239,491 | |
Ceded premiums | (30,391) | (33,591) | |||
Net premiums written | 238,540 | 205,900 | |||
Decrease in unearned premiums | 7,050 | 5,358 | |||
Net premiums earned | 245,590 | 211,258 | |||
Net investment income | 52,085 | 43,236 | |||
Realized investment gains (losses), net | (1,140) | (488) | |||
Income (loss) from other invested assets | (1,915) | (2,702) | |||
Other income | 3,737 | 4,942 | |||
Total revenues | 298,357 | 256,246 | |||
Losses and expenses: | |||||
Provision (benefit) for losses and LAE | 9,913 | (180) | |||
Other underwriting and operating expenses | 57,349 | 48,195 | |||
Premiums retained by agents | 9,491 | - | |||
Interest expense | 7,862 | 6,936 | |||
Total losses and expenses | 84,615 | 54,951 | |||
Income before income taxes | 213,742 | 201,295 | |||
Income tax expense | 32,023 | 30,468 | |||
Net income | $ | 181,719 | $ | 170,827 | |
Earnings per share: | |||||
Basic | $ | 1.72 | $ | 1.60 | |
Diluted | 1.70 | 1.59 | |||
Weighted average shares outstanding: | |||||
Basic | 105,697 | 106,943 | |||
Diluted | 106,770 | 107,585 | |||
Net income | $ | 181,719 | $ | 170,827 | |
Other comprehensive income (loss): | |||||
Change in unrealized appreciation (depreciation) of investments | (21,766) | 58,753 | |||
Total other comprehensive income (loss) | (21,766) | 58,753 | |||
Comprehensive income | $ | 159,953 | $ | 229,580 | |
2
Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
March 31, | December 31, | ||||
(In thousands, except per share amounts) | 2024 | 2023 | |||
Assets | |||||
Investments | |||||
Fixed maturities available for sale, at fair value | $ | 4,172,237 | $ | 4,335,008 | |
Short-term investments available for sale, at fair value | 1,196,837 | 928,731 | |||
Total investments available for sale | 5,369,074 | 5,263,739 | |||
Other invested assets | 279,625 | 277,226 | |||
Total investments | 5,648,699 | 5,540,965 | |||
Cash | 164,255 | 141,787 | |||
Accrued investment income | 35,817 | 35,689 | |||
Accounts receivable | 68,932 | 63,266 | |||
Deferred policy acquisition costs | 8,980 | 9,139 | |||
Property and equipment | 43,751 | 41,304 | |||
Prepaid federal income tax | 467,183 | 470,646 | |||
Goodwill and intangible assets, net | 72,271 | 72,826 | |||
Other assets | 55,095 | 51,051 | |||
Total assets | $ | 6,564,983 | $ | 6,426,673 | |
Liabilities and Stockholders' Equity | |||||
Liabilities | |||||
Reserve for losses and LAE | $ | 267,324 | $ | 260,095 | |
Unearned premium reserve | 133,235 | 140,285 | |||
Net deferred tax liability | 368,955 | 362,753 | |||
Credit facility borrowings, net of deferred costs | 422,184 | 421,920 | |||
Other accrued liabilities | 147,131 | 139,070 | |||
Total liabilities | 1,338,829 | 1,324,123 | |||
Commitments and contingencies | |||||
Stockholders' Equity | |||||
Common shares, $0.015 par value: | |||||
Authorized - 233,333; issued and outstanding - 106,742 shares in 2024 and 106,597 shares in 2023 | 1,601 | 1,599 | |||
Additional paid-in capital | 1,293,424 | 1,299,869 | |||
Accumulated other comprehensive loss | (302,262) | (280,496) | |||
Retained earnings | 4,233,391 | 4,081,578 | |||
Total stockholders' equity | 5,226,154 | 5,102,550 | |||
Total liabilities and stockholders' equity | $ | 6,564,983 | $ | 6,426,673 | |
Return on average equity (1) | |||||
14.1% | 14.6% |
- 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.
3
Exhibit C | |||||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||||
Supplemental Information | |||||||||||||||
Consolidated Historical Quarterly Data | |||||||||||||||
2024 | 2023 | ||||||||||||||
Selected Income Statement Data | March 31 | December 31 | September 30 | June 30 | March 31 | ||||||||||
(In thousands, except per share amounts) | |||||||||||||||
Revenues: | |||||||||||||||
Net premiums earned: | |||||||||||||||
U.S. Mortgage Insurance Portfolio | $ | 212,479 | $ | 211,083 | $ | 209,351 | $ | 195,502 | $ | 196,565 | |||||
GSE and other risk share | 17,826 | 17,166 | 16,850 | 17,727 | 14,693 | ||||||||||
Title insurance | 15,285 | 17,365 | 20,604 | - | - | ||||||||||
Net premiums earned | 245,590 | 245,614 | 246,805 | 213,229 | 211,258 | ||||||||||
Net investment income | 52,085 | 50,581 | 47,072 | 45,250 | 43,236 | ||||||||||
Realized investment (losses) gains, net | (1,140) | (4,892) | (235) | (1,589) | (488) | ||||||||||
(Loss) income from other invested assets | (1,915) | (421) | (3,143) | (4,852) | (2,702) | ||||||||||
Other income (loss) (1) | 3,737 | 6,395 | 5,609 | 8,090 | 4,942 | ||||||||||
Total revenues | 298,357 | 297,277 | 296,108 | 260,128 | 256,246 | ||||||||||
Losses and expenses: | |||||||||||||||
Provision (benefit) for losses and LAE | 9,913 | 19,640 | 10,822 | 1,260 | (180) | ||||||||||
Other underwriting and operating expenses | 57,349 | 55,248 | 54,814 | 42,174 | 48,195 | ||||||||||
Premiums retained by agents | 9,491 | 11,475 | 13,175 | - | - | ||||||||||
Interest expense | 7,862 | 7,953 | 7,854 | 7,394 | 6,936 | ||||||||||
Total losses and expenses | 84,615 | 94,316 | 86,665 | 50,828 | 54,951 | ||||||||||
Income before income taxes | 213,742 | 202,961 | 209,443 | 209,300 | 201,295 | ||||||||||
Income tax expense (2) | 32,023 | 27,594 | 31,484 | 37,067 | 30,468 | ||||||||||
Net income | $ | 181,719 | $ | 175,367 | $ | 177,959 | $ | 172,233 | $ | 170,827 | |||||
Earnings per share: | |||||||||||||||
Basic | $ | 1.72 | $ | 1.66 | $ | 1.68 | $ | 1.62 | $ | 1.60 | |||||
Diluted | 1.70 | 1.64 | 1.66 | 1.61 | 1.59 | ||||||||||
Weighted average shares outstanding: | |||||||||||||||
Basic | 105,697 | 105,733 | 105,979 | 106,249 | 106,943 | ||||||||||
Diluted | 106,770 | 106,823 | 107,025 | 107,093 | 107,585 | ||||||||||
Book value per share | $ | 48.96 | $ | 47.87 | $ | 44.98 | $ | 44.24 | $ | 43.18 | |||||
Return on average equity (annualized) | 14.1 % | 14.2 % | 14.9 % | 14.7 % | 15.0 % | ||||||||||
Credit Facility | |||||||||||||||
Borrowings outstanding | $ | 425,000 | $ | 425,000 | $ | 425,000 | $ | 425,000 | $ | 425,000 | |||||
Undrawn committed capacity | $ | 400,000 | $ | 400,000 | $ | 400,000 | $ | 400,000 | $ | 400,000 | |||||
Weighted average interest rate (end of period) | 7.06 % | 7.11 % | 7.07 % | 6.87 % | 6.52 % | ||||||||||
Debt-to-capital | 7.52 % | 7.69 % | 8.12 % | 8.24 % | 8.38 % |
- Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, were ($1,902), $412, ($898), $2,726, and ($368), respectively.
- Income tax expense for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023 includes
($1,041), ($1,132), ($763), ($888) and ($368), respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2024 also includes ($616) of excess tax benefits associated with the vesting of common shares and common share units. Income tax expense for the quarter ended December 31, 2023 also includes a $2,731 net benefit associated with the recognition of a deferred tax asset for unrealized losses on the investment portfolios of Essent Group and Essent Re upon the enactment of the Bermuda Corporate Income Tax. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns.
4
Exhibit D
Essent Group Ltd. and Subsidiaries
Supplemental Information
U.S. Mortgage Insurance Portfolio Historical Quarterly Data
2024 | 2023 | ||||||||||
Other Data: | March 31 | December 31 | September 30 | June 30 | March 31 | ||||||
($ in thousands) |
U.S. Mortgage Insurance Portfolio
New insurance written | $ | 8,323,544 | $ | 8,769,160 | $ | 12,505,823 | $ | 13,498,080 | $ | 12,893,789 | ||||
New risk written | 2,289,508 | 2,409,340 | 3,458,467 | 3,726,513 | 3,548,015 | |||||||||
Average insurance in force | $ | 238,595,268 | $ | 239,005,961 | $ | 237,270,093 | $ | 233,484,941 | $ | 228,885,174 | ||||
Insurance in force (end of period) | $ | 238,477,402 | $ | 239,078,262 | $ | 238,661,612 | $ | 235,649,884 | $ | 231,537,417 | ||||
Gross risk in force (end of period) (1) | $ | 64,247,810 | $ | 64,061,374 | $ | 63,605,057 | $ | 62,403,400 | $ | 60,879,979 | ||||
Risk in force (end of period) | $ | 54,686,533 | $ | 54,591,590 | $ | 53,920,308 | $ | 53,290,643 | $ | 51,469,312 | ||||
Policies in force | 815,752 | 822,012 | 825,248 | 821,690 | 815,751 | |||||||||
Weighted average coverage (2) | 26.9 % | 26.8% | 26.7% | 26.5% | 26.3% | |||||||||
Annual persistency | 86.9% | 86.9% | 86.6% | 85.8% | 84.4% | |||||||||
Loans in default (count) | 13,992 | 14,819 | 13,391 | 12,480 | 12,773 | |||||||||
Percentage of loans in default | 1.72 % | 1.80% | 1.62% | 1.52% | 1.57% | |||||||||
U.S. Mortgage Insurance Portfolio premium rate: | ||||||||||||||
Base average premium rate (3) | 0.41% | 0.40% | 0.40% | 0.40% | 0.40% | |||||||||
Single premium cancellations (4) | -% | -% | -% | -% | -% | |||||||||
Gross average premium rate | 0.41% | 0.40% | 0.40% | 0.40% | 0.40% | |||||||||
Ceded premiums | (0.05%) | (0.05%) | (0.05%) | (0.07%) | (0.06%) | |||||||||
Net average premium rate | 0.36% | 0.35% | 0.35% | 0.33% | 0.34% | |||||||||
- Gross risk in force includes risk ceded under third-party reinsurance.
- Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
- Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
- Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.
5
Exhibit E
Essent Group Ltd. and Subsidiaries
Supplemental Information - U.S. Mortgage Insurance Portfolio
New Insurance Written: Flow
NIW by Credit Score
Three Months Ended | |||||||||||
March 31, 2024 | December 31, 2023 | March 31, 2023 | |||||||||
($ in thousands) | |||||||||||
>=760 | $ | 3,596,600 | 43.2% | $ | 3,708,316 | 42.3% | $ | 4,847,058 | 37.7% | ||
740-759 | 1,410,446 | 16.9 | 1,531,800 | 17.5 | 2,397,982 | 18.6 | |||||
720-739 | 1,244,648 | 15.0 | 1,333,537 | 15.2 | 2,204,844 | 17.1 | |||||
700-719 | 1,140,430 | 13.7 | 1,256,250 | 14.3 | 2,002,892 | 15.5 | |||||
680-699 | 563,419 | 6.8 | 581,913 | 6.6 | 1,100,815 | 8.5 | |||||
<=679 | 368,001 | 4.4 | 357,344 | 4.1 | 340,198 | 2.6 | |||||
Total | $ | 8,323,544 | 100.0% | $ | 8,769,160 | 100.0% | $ | 12,893,789 | 100.0% | ||
Weighted average credit score | 747 | 747 | 745 |
NIW by LTV
Three Months Ended | |||||||||||
March 31, 2024 | December 31, 2023 | March 31, 2023 | |||||||||
($ in thousands) | |||||||||||
85.00% and below | $ | 559,899 | 6.7% | $ | 642,636 | 7.3% | $ | 963,009 | 7.5% | ||
85.01% to 90.00% | 1,732,131 | 20.8 | 1,871,854 | 21.3 | 2,685,828 | 20.8 | |||||
90.01% to 95.00% | 4,517,655 | 54.3 | 4,660,032 | 53.1 | 7,430,113 | 57.6 | |||||
95.01% and above | 1,513,859 | 18.2 | 1,594,638 | 18.3 | 1,814,839 | 14.1 | |||||
Total | $ | 8,323,544 | 100.0% | $ | 8,769,160 | 100.0% | $ | 12,893,789 | 100.0% | ||
Weighted average LTV | 93% | 93% | 93% |
NIW by Product
Three Months Ended | ||||||||
March 31, 2024 | December 31, 2023 | March 31, 2023 | ||||||
Single Premium policies | 2.0% | 2.5% | 4.1% | |||||
Monthly Premium policies | 98.0 | 97.5 | 95.9 | |||||
100.0% | 100.0% | 100.0% | ||||||
NIW by Purchase vs. Refinance
Three Months Ended | ||||||||
March 31, 2024 | December 31, 2023 | March 31, 2023 | ||||||
Purchase | 97.4% | 98.7% | 98.6% | |||||
Refinance | 2.6 | 1.3 | 1.4 | |||||
100.0% | 100.0% | 100.0% | ||||||
6
Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio
Portfolio by Credit Score
IIF by FICO score | March 31, 2024 | December 31, 2023 | March 31, 2023 | ||||||||
($ in thousands) | |||||||||||
>=760 | $ | 96,712,431 | 40.6% | $ | 97,085,244 | 40.6% | $ | 94,560,292 | 40.8% | ||
740-759 | 41,477,680 | 17.4 | 41,490,720 | 17.4 | 39,870,193 | 17.2 | |||||
720-739 | 37,342,339 | 15.7 | 37,435,781 | 15.7 | 35,950,319 | 15.5 | |||||
700-719 | 32,023,895 | 13.4 | 31,932,469 | 13.4 | 30,103,007 | 13.0 | |||||
680-699 | 19,664,999 | 8.2 | 19,780,944 | 8.3 | 19,338,187 | 8.4 | |||||
<=679 | 11,256,058 | 4.7 | 11,353,104 | 4.6 | 11,715,419 | 5.1 | |||||
Total | $ | 238,477,402 | 100.0% | $ | 239,078,262 | 100.0% | $ | 231,537,417 | 100.0% | ||
Weighted average credit score | 746 | 746 | 746 |
Gross RIF by FICO score | March 31, 2024 | December 31, 2023 | March 31, 2023 | ||||||||
($ in thousands) | |||||||||||
>=760 | $ | 25,806,552 | 40.2% | $ | 25,752,549 | 40.2% | $ | 24,613,214 | 40.4% | ||
740-759 | 11,326,253 | 17.6 | 11,268,607 | 17.6 | 10,612,582 | 17.4 | |||||
720-739 | 10,206,055 | 15.9 | 10,179,683 | 15.9 | 9,602,368 | 15.8 | |||||
700-719 | 8,757,648 | 13.6 | 8,687,001 | 13.6 | 8,017,430 | 13.2 | |||||
680-699 | 5,321,802 | 8.3 | 5,330,894 | 8.3 | 5,126,581 | 8.4 | |||||
<=679 | 2,829,500 | 4.4 | 2,842,640 | 4.4 | 2,907,804 | 4.8 | |||||
Total | $ | 64,247,810 | 100.0% | $ | 64,061,374 | 100.0% | $ | 60,879,979 | 100.0% | ||
Portfolio by LTV
IIF by LTV | March 31, 2024 | December 31, 2023 | March 31, 2023 | ||||||||
($ in thousands) | |||||||||||
85.00% and below | $ | 18,397,395 | 7.7% | $ | 19,869,776 | 8.3% | $ | 23,502,232 | 10.2% | ||
85.01% to 90.00% | 62,218,749 | 26.1 | 62,973,580 | 26.3 | 63,478,244 | 27.3 | |||||
90.01% to 95.00% | 120,666,455 | 50.6 | 119,764,184 | 50.1 | 112,184,833 | 48.5 | |||||
95.01% and above | 37,194,803 | 15.6 | 36,470,722 | 15.3 | 32,372,108 | 14.0 | |||||
Total | $ | 238,477,402 | 100.0% | $ | 239,078,262 | 100.0% | $ | 231,537,417 | 100.0% | ||
Weighted average LTV | 93% | 93% | 92% | ||||||||
Gross RIF by LTV | March 31, 2024 | December 31, 2023 | March 31, 2023 | ||||||||
($ in thousands) | |||||||||||
85.00% and below | $ | 2,188,074 | 3.4% | $ | 2,364,232 | 3.7% | $ | 2,793,895 | 4.6% | ||
85.01% to 90.00% | 15,329,091 | 23.9 | 15,494,172 | 24.2 | 15,529,427 | 25.5 | |||||
90.01% to 95.00% | 35,556,840 | 55.3 | 35,260,761 | 55.0 | 32,929,489 | 54.1 | |||||
95.01% and above | 11,173,805 | 17.4 | 10,942,209 | 17.1 | 9,627,168 | 15.8 | |||||
Total | $ | 64,247,810 | 100.0% | $ | 64,061,374 | 100.0% | $ | 60,879,979 | 100.0% | ||
Portfolio by Loan Amortization Period | |||||||||||
IIF by Loan Amortization Period | March 31, 2024 | December 31, 2023 | March 31, 2023 | ||||||||
($ in thousands) | |||||||||||
FRM 30 years and higher | $ | 232,753,590 | 97.6% | $ | 232,995,380 | 97.5% | $ | 224,230,607 | 96.8% | ||
FRM 20-25 years | 1,473,431 | 0.6 | 1,685,700 | 0.7 | 2,364,623 | 1.0 | |||||
FRM 15 years | 1,359,795 | 0.6 | 1,505,759 | 0.6 | 2,214,448 | 1.0 | |||||
ARM 5 years and higher | 2,890,586 | 1.2 | 2,891,423 | 1.2 | 2,727,739 | 1.2 | |||||
Total | $ | 238,477,402 | 100.0% | $ | 239,078,262 | 100.0% | $ | 231,537,417 | 100.0% | ||
7
Exhibit G | |||||||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||||||
Supplemental Information | |||||||||||||||||
Other Risk in Force | |||||||||||||||||
2024 | 2023 | ||||||||||||||||
($ in thousands) | March 31 | December 31 | September 30 | June 30 | March 31 | ||||||||||||
GSE and other risk share (1): | |||||||||||||||||
Risk in Force | $ | 2,307,267 | $ | 2,244,944 | $ | 2,247,393 | $ | 2,276,702 | $ | 2,098,033 | |||||||
Reserve for losses and LAE | $ | 32 | $ | 29 | $ | 54 | $ | 55 | $ | 65 | |||||||
Weighted average credit score | 750 | 749 | 749 | 749 | 749 | ||||||||||||
Weighted average LTV | 82% | 82% | 82% | 83% | 83% |
- GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.
8
Exhibit H
Essent Group Ltd. and Subsidiaries
Supplemental Information
U.S. Mortgage Insurance Portfolio Vintage Data
March 31, 2024
Insurance in Force | |||||||||||||||
Original | Remaining | % Remaining of | Number of | Weighted | Incurred Loss | Number of | Percentage of | ||||||||
Insurance | Insurance | Ratio | |||||||||||||
Year | Written | in Force | Original | Policies in | Average | % Purchase | >90% LTV | >95% LTV | FICO < 700 | FICO >= 760 | (Inception to | Loans in | Loans in | ||
($ in thousands) | ($ in thousands) | Insurance | Force | Coupon | Date) (1) | Default | Default | ||||||||
2010 - 2014 | $ | 60,668,851 | $ | 1,337,665 | 2.2% | 8,083 | 4.29% | 70.1% | 57.2% | 7.3% | 13.4% | 45.5% | 2.4 % | 318 | 3.93% |
2015 | 26,193,656 | 1,192,019 | 4.6 | 7,166 | 4.25 | 81.6 | 70.1 | 5.3 | 18.3 | 39.0 | 2.3 | 265 | 3.70 | ||
2016 | 34,949,319 | 2,778,784 | 8.0 | 16,341 | 3.91 | 87.2 | 80.1 | 12.9 | 16.3 | 41.7 | 2.1 | 492 | 3.01 | ||
2017 | 43,858,322 | 4,511,284 | 10.3 | 27,229 | 4.28 | 91.3 | 73.9 | 21.5 | 20.6 | 37.3 | 3.2 | 1,052 | 3.86 | ||
2018 | 47,508,525 | 5,331,200 | 11.2 | 30,191 | 4.80 | 94.9 | 72.6 | 26.4 | 21.8 | 32.5 | 4.2 | 1,297 | 4.30 | ||
2019 | 63,569,183 | 11,776,711 | 18.5 | 56,634 | 4.23 | 88.7 | 70.3 | 25.4 | 19.0 | 35.3 | 4.0 | 1,726 | 3.05 | ||
2020 | 107,944,065 | 43,791,803 | 40.6 | 170,192 | 3.20 | 70.0 | 58.7 | 13.6 | 10.8 | 45.5 | 2.9 | 2,324 | 1.37 | ||
2021 | 84,218,250 | 58,766,271 | 69.8 | 193,329 | 3.09 | 87.5 | 64.2 | 15.9 | 13.8 | 40.4 | 6.6 | 3,172 | 1.64 | ||
2022 | 63,061,262 | 55,899,907 | 88.6 | 159,736 | 5.08 | 97.9 | 65.6 | 11.3 | 12.6 | 39.6 | 19.7 | 2,477 | 1.55 | ||
2023 | 47,666,852 | 44,842,520 | 94.1 | 124,984 | 6.65 | 98.8 | 72.5 | 18.3 | 11.0 | 39.1 | 15.9 | 867 | 0.69 | ||
2024 (through March 31) | 8,323,544 | 8,249,238 | 99.1 | 21,867 | 6.74 | 97.4 | 72.6 | 18.3 | 11.2 | 43.0 | 0.8 | 2 | 0.01 | ||
Total | $ | 587,961,829 | $ | 238,477,402 | 40.6 | 815,752 | 4.51 | 89.4 | 66.2 | 15.6 | 13.0 | 40.6 | 4.5 | 13,992 | 1.72 |
- Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.
9
Exhibit I
Essent Group Ltd. and Subsidiaries
Supplemental Information
U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data
March 31, 2024
($ in thousands)
Insurance Linked Notes (1)
Earned Premiums | |||||||||||||||||||||||||
Ceded | |||||||||||||||||||||||||
Remaining | Remaining | Original | Remaining | Losses | Original | Remaining | Reduction in | ||||||||||||||||||
PMIERs Minimum | |||||||||||||||||||||||||
Deal Name | Vintage | Insurance | Risk | Reinsurance | Reinsurance in | Ceded | First Layer | First Layer | Year-to-Date | Required | |||||||||||||||
in Force | in Force | in Force | Force | to Date | Retention | Retention | Assets (3) | ||||||||||||||||||
Radnor Re 2021-1 Aug. 2020 - Mar. 2021 | $ | 29,772,296 | $ | 7,817,502 | $ | 557,911 | $ | 280,941 | $ | - | $ | 278,956 | $ | 278,416 | $ | 2,325 | $ | 203,407 | |||||||
Radnor Re 2021-2 Apr. 2021 - Sep. 2021 | 34,555,672 | 9,408,534 | 439,407 | 322,709 | - | 279,415 | 278,709 | 3,674 | 265,684 | ||||||||||||||||
Radnor Re 2022-1 | Oct. 2021 - Jul. 2022 | 30,751,105 | 8,334,892 | 237,868 | 219,606 | - | 303,761 | 302,892 | 3,917 | 202,037 | |||||||||||||||
Radnor Re 2023-1 Aug. 2022 - Jun. 2023 | 30,145,794 | 8,250,148 | 281,462 | 281,462 | - | 281,463 | 281,463 | 3,478 | 266,826 | ||||||||||||||||
Total | $ | 125,224,867 | $ | 33,811,076 | $ | 1,516,648 | $ | 1,104,718 | $ | - | $ | 1,143,595 | $ | 1,141,480 | $ | 13,394 | (5) | $ | 937,954 | ||||||
Excess of Loss Reinsurance (2)
Earned | |||||||||||||||||||||||||
Premiums Ceded | Reduction in | ||||||||||||||||||||||||
Remaining | Remaining | Original | Remaining | Losses | Original | Remaining | |||||||||||||||||||
PMIERs Minimum | |||||||||||||||||||||||||
Deal Name | Vintage | Insurance | Risk | Reinsurance in | Reinsurance in | Ceded | First Layer | First Layer | Year-to-Date | Required | |||||||||||||||
in Force | in Force | Force | Force | to Date | Retention | Retention | Assets (3) | ||||||||||||||||||
XOL 2019-1 Jan. 2018 - Dec. 2018 | $ | 5,274,449 | $ | 1,385,510 | $ | 118,650 | $ | 76,144 | $ | - | $ | 253,643 | $ | 245,590 | $ | 620 | $ | - | |||||||
XOL 2020-1 Jan. 2019 - Dec. 2019 | 6,574,279 | 1,728,344 | 55,102 | 35,024 | - | 215,605 | 212,934 | 280 | - | ||||||||||||||||
XOL 2022-1 Oct. 2021 - Dec. 2022 | 68,954,857 | 18,681,548 | 141,992 | 141,992 | - | 507,114 | 504,904 | 1,593 | 138,049 | ||||||||||||||||
XOL 2023-1 Jan. 2023 - Dec. 2023 | 39,984,013 | 11,066,581 | 36,627 | 36,627 | - | 366,270 | 366,270 | 434 | 35,262 | ||||||||||||||||
Total | $ | 120,787,598 | $ | 32,861,983 | $ | 352,371 | $ | 289,787 | $ | - | $ | 1,342,632 | $ | 1,329,698 | $ | 2,927 | $ | 173,311 | |||||||
Quota Share Reinsurance (2)
Losses Ceded | Ceding Commission | Earned Premiums Ceded | |||||||||||||||||||||
Remaining | Remaining | Reduction in | |||||||||||||||||||||
Ceding | Remaining Ceded | Remaining Ceded | PMIERs Minimum | ||||||||||||||||||||
Year | Insurance | Risk | Year-to-Date | Year-to-Date | Year-to-Date | Required | |||||||||||||||||
Percentage | in Force | in Force | Insurance in Force | Risk in Force | Assets (3) | ||||||||||||||||||
Sep. 2019 - Dec. 2020 | (4) | $ | 48,738,950 | $ | 12,911,516 | $ | 10,961,149 | $ | 2,867,129 | $ | (181) | $ | 2,381 | $ | 4,224 | $ | 171,243 | ||||||
Jan. 2022 - Dec. 2022 | 20% | 55,847,902 | 15,138,856 | 11,169,580 | 3,027,771 | 1,724 | 1,905 | 5,344 | 228,999 | ||||||||||||||
Jan. 2023 - Dec. 2023 | 17.5% | 39,871,067 | 11,039,038 | 6,977,437 | 1,931,832 | 1,441 | 1,366 | 4,310 | 142,961 | ||||||||||||||
Jan. 2024 - Dec. 2024 | 15% | 8,237,311 | 2,266,932 | 1,235,597 | 340,040 | - | 101 | 216 | 23,466 | ||||||||||||||
Total | $ | 152,695,230 | $ | 41,356,342 | $ | 30,343,763 | $ | 8,166,772 | $ | 2,984 | $ | 5,753 | $ | 14,094 | $ | 566,669 | |||||||
- Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
- Reinsurance provided by panels of reinsurers.
- Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.
- Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies.
- Excludes ($24) of benefit in ceded premium on ILN's retired as of March 31, 2024.
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Essent Group Ltd. published this content on 03 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 03 May 2024 10:34:08 UTC.