(Mark One) | ||||||||
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | ||||||||
For the quarterly period ended |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | |||||
For the transition period from ______ to ______ |
(Exact name of registrant as specified in its charter) |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |||||||||||||||||||
, | ||||||||||||||||||||
(Address of principal executive offices) | (Zip Code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
☒ | Accelerated filer | ☐ | ||||||||||||
Non-accelerated filer | ☐ | Smaller reporting company | ||||||||||||
Emerging growth company |
Item 1. | ||||||||
Item 2. | ||||||||
Item 3. | ||||||||
Item 4. | ||||||||
Item 1. | ||||||||
Item 1A. | ||||||||
Item 6. | ||||||||
Condensed Consolidated Balance Sheets as of September 30, 2021 (Unaudited) and December 31, 2020 | |||||
Condensed Consolidated Statements of Operations and Comprehensive Income for the three and nine months ended September 30, 2021 and 2020 (Unaudited) | |||||
Condensed Consolidated Statements of Changes in Shareholders' Equity for the three months ended September 30, 2021 and 2020 (Unaudited) | |||||
Condensed Consolidated Statements of Cash Flows for the nine months ended September 30, 2021 and 2020 (Unaudited) | |||||
Notes to Condensed Consolidated Financial Statements (Unaudited) |
September 30, 2021 | December 31, 2020 | ||||||||||
Assets | (In Thousands, except for share data) | ||||||||||
Fixed maturities, available-for-sale, at fair value (amortized cost of $ | $ | $ | |||||||||
Cash and cash equivalents (including restricted cash of $ | |||||||||||
Premiums receivable | |||||||||||
Accrued investment income | |||||||||||
Prepaid expenses | |||||||||||
Deferred policy acquisition costs, net | |||||||||||
Software and equipment, net | |||||||||||
Intangible assets and goodwill | |||||||||||
Prepaid reinsurance premiums | |||||||||||
Reinsurance recoverable | |||||||||||
Other assets | |||||||||||
Total assets | $ | $ | |||||||||
Liabilities | |||||||||||
Debt | $ | $ | |||||||||
Unearned premiums | |||||||||||
Accounts payable and accrued expenses | |||||||||||
Reserve for insurance claims and claim expenses | |||||||||||
Reinsurance funds withheld | |||||||||||
Warrant liability, at fair value | |||||||||||
Deferred tax liability, net | |||||||||||
Other liabilities | |||||||||||
Total liabilities | |||||||||||
Commitments and contingencies | |||||||||||
Shareholders' equity | |||||||||||
Common stock - class A shares, $ | |||||||||||
Additional paid-in capital | |||||||||||
Accumulated other comprehensive income, net of tax | |||||||||||
Retained earnings | |||||||||||
Total shareholders' equity | |||||||||||
Total liabilities and shareholders' equity | $ | $ |
For the three months ended September 30, | For the nine months ended September 30, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
Revenues | (In Thousands, except for per share data) | ||||||||||||||||||||||
Net premiums earned | $ | $ | $ | $ | |||||||||||||||||||
Net investment income | |||||||||||||||||||||||
Net realized investment gains (losses) | ( | ||||||||||||||||||||||
Other revenues | |||||||||||||||||||||||
Total revenues | |||||||||||||||||||||||
Expenses | |||||||||||||||||||||||
Insurance claims and claim expenses | |||||||||||||||||||||||
Underwriting and operating expenses | |||||||||||||||||||||||
Service expenses | |||||||||||||||||||||||
Interest expense | |||||||||||||||||||||||
(Gain) loss from change in fair value of warrant liability | ( | ( | |||||||||||||||||||||
Total expenses | |||||||||||||||||||||||
Income before income taxes | |||||||||||||||||||||||
Income tax expense | |||||||||||||||||||||||
Net income | $ | $ | $ | $ | |||||||||||||||||||
Earnings per share | |||||||||||||||||||||||
Basic | $ | $ | $ | $ | |||||||||||||||||||
Diluted | $ | $ | $ | $ | |||||||||||||||||||
Weighted average common shares outstanding | |||||||||||||||||||||||
Basic | |||||||||||||||||||||||
Diluted | |||||||||||||||||||||||
Net income | $ | $ | $ | $ | |||||||||||||||||||
Other comprehensive income (loss), net of tax: | |||||||||||||||||||||||
Unrealized (losses) gains in accumulated other comprehensive gain (loss), net of tax (benefit) expense of $( | ( | ( | |||||||||||||||||||||
Reclassification adjustment for realized (gains) losses included in net income, net of tax expense (benefit) of $ | ( | ( | |||||||||||||||||||||
Other comprehensive income (loss), net of tax | ( | ( | |||||||||||||||||||||
Comprehensive income | $ | $ | $ | $ |
Common Stock - Class A | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Retained Earnings | Total | ||||||||||||||||
Shares | Amount | |||||||||||||||||||
(In Thousands) | ||||||||||||||||||||
Balances, December 31, 2020 | $ | $ | $ | $ | $ | |||||||||||||||
Common stock: class A shares issued related to warrant exercises | * | — | — | |||||||||||||||||
Common stock: class A shares issued under stock plans, net of shares withheld for employee taxes | ( | — | — | ( | ||||||||||||||||
Share-based compensation expense | — | — | — | — | ||||||||||||||||
Change in unrealized investment gains/losses, net of tax benefit of $ | — | — | — | ( | — | ( | ||||||||||||||
Net income | — | — | — | — | ||||||||||||||||
Balances, March 31, 2021 | $ | $ | $ | $ | $ | |||||||||||||||
Common stock: class A shares issued related to warrants | * | — | — | |||||||||||||||||
Common stock: class A shares issued under stock plans, net of shares withheld for employee taxes | ( | — | — | ( | ||||||||||||||||
Share-based compensation expense | — | — | — | — | ||||||||||||||||
Change in unrealized investment gains/losses, net of tax expense of $ | — | — | — | — | ||||||||||||||||
Net income | — | — | — | — | ||||||||||||||||
Balances, June 30, 2021 | $ | $ | $ | $ | $ | |||||||||||||||
Common stock: class A shares issued related to warrants | * | — | — | |||||||||||||||||
Common stock: class A shares issued under stock plans, net of shares withheld for employee taxes | * | ( | — | — | ( | |||||||||||||||
Share-based compensation expense | — | — | — | — | ||||||||||||||||
Change in unrealized investment gains/losses, net of tax benefit of $ | — | — | — | ( | — | ( | ||||||||||||||
Net income | — | — | — | |||||||||||||||||
Balances, September 30, 2021 | $ | $ | $ | $ | $ |
Common Stock - Class A | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Retained Earnings | Total | ||||||||||||||||
Shares | Amount | |||||||||||||||||||
(In Thousands) | ||||||||||||||||||||
Balances, December 31, 2019 | $ | $ | $ | $ | $ | |||||||||||||||
Common stock: class A shares issued related to warrant exercises | * | — | — | |||||||||||||||||
Common stock: class A shares issued under stock plans, net of shares withheld for employee taxes | ( | — | — | ( | ||||||||||||||||
Share-based compensation expense | — | — | — | — | ||||||||||||||||
Change in unrealized investment gains/losses, net of tax benefit of $ | — | — | — | ( | — | ( | ||||||||||||||
Net income | — | — | — | — | ||||||||||||||||
Balances, March 31, 2020 | $ | $ | $ | $ | $ | |||||||||||||||
Common stock: class A shares issued related to public offering | — | — | ||||||||||||||||||
Common stock: class A shares issued under stock plans, net of shares withheld for employee taxes | * | ( | — | — | ( | |||||||||||||||
Share-based compensation expense | — | — | — | — | ||||||||||||||||
Change in unrealized investment gains/losses, net of tax expense of $ | — | — | — | — | ||||||||||||||||
Net income | — | — | — | — | ||||||||||||||||
Balances, June 30, 2020 | $ | $ | $ | $ | $ | |||||||||||||||
Common stock: class A shares issued under stock plans, net of shares withheld for employee taxes | * | — | — | — | ||||||||||||||||
Share-based compensation expense | — | — | — | — | ||||||||||||||||
Change in unrealized investment gains, net of tax expense of $ | — | — | — | — | ||||||||||||||||
Net income | — | — | — | — | ||||||||||||||||
Balances, September 30, 2020 | $ | $ | $ | $ | $ | |||||||||||||||
For the nine months ended September 30, | |||||||||||
2021 | 2020 | ||||||||||
Cash flows from operating activities | (In Thousands) | ||||||||||
Net income | $ | $ | |||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||||||
Net realized investment gains | ( | ( | |||||||||
Gain from change in fair value of warrant liability | ( | ( | |||||||||
Depreciation and amortization | |||||||||||
Net amortization of premium on investment securities | |||||||||||
Amortization of debt discount and debt issuance costs | |||||||||||
Deferred income taxes | |||||||||||
Share-based compensation expense | |||||||||||
Changes in operating assets and liabilities: | |||||||||||
Premiums receivable | ( | ( | |||||||||
Accrued investment income | ( | ( | |||||||||
Prepaid expenses | ( | ( | |||||||||
Deferred policy acquisition costs, net | ( | ||||||||||
Other assets | ( | ( | |||||||||
Unearned premiums | ( | ||||||||||
Reserve for insurance claims and claim expenses | |||||||||||
Reinsurance recoverable | ( | ( | |||||||||
Reinsurance balances, net | ( | ||||||||||
Accounts payable and accrued expenses | |||||||||||
Net cash provided by operating activities | |||||||||||
Cash flows from investing activities | |||||||||||
Purchase of short-term investments | ( | ( | |||||||||
Purchase of fixed-maturity investments, available-for-sale | ( | ( | |||||||||
Proceeds from maturity of short-term investments | |||||||||||
Proceeds from redemptions, maturities and sale of fixed-maturity investments, available-for-sale | |||||||||||
Software and equipment | ( | ( | |||||||||
Net cash used in investing activities | ( | ( | |||||||||
Cash flows from financing activities | |||||||||||
Proceeds from issuance of common stock related to public offering, net of issuance costs | |||||||||||
Proceeds from issuance of common stock related to employee equity plans | |||||||||||
Proceeds from issuance of common stock related to warrants | |||||||||||
Taxes paid related to net share settlement of equity awards | ( | ( | |||||||||
Proceeds from senior secured notes | |||||||||||
Repayments of term loan | ( | ||||||||||
Payments of debt issuance/modification costs | ( | ||||||||||
Net cash (used in) provided by financing activities | ( | ||||||||||
Net (decrease) increase in cash, cash equivalents and restricted cash | ( | ||||||||||
Cash, cash equivalents and restricted cash, beginning of period | |||||||||||
Cash, cash equivalents and restricted cash, end of period | $ | $ | |||||||||
Supplemental disclosures of cash flow information | |||||||||||
Interest paid | $ | $ | |||||||||
Income taxes refunded | $ | $ |
Amortized Cost | Gross Unrealized | Fair Value | |||||||||||||||||||||
Gains | Losses | ||||||||||||||||||||||
As of September 30, 2021 | (In Thousands) | ||||||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government agencies | $ | $ | $ | $ | |||||||||||||||||||
Municipal debt securities | ( | ||||||||||||||||||||||
Corporate debt securities | ( | ||||||||||||||||||||||
Asset-backed securities | ( | ||||||||||||||||||||||
Total bonds | ( | ||||||||||||||||||||||
Short-term investments | |||||||||||||||||||||||
Total investments | $ | $ | $ | ( | $ |
Amortized Cost | Gross Unrealized | Fair Value | |||||||||||||||||||||
Gains | Losses | ||||||||||||||||||||||
As of December 31, 2020 | (In Thousands) | ||||||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government agencies | $ | $ | $ | $ | |||||||||||||||||||
Municipal debt securities | ( | ||||||||||||||||||||||
Corporate debt securities | ( | ||||||||||||||||||||||
Asset-backed securities | ( | ||||||||||||||||||||||
Total bonds | ( | ||||||||||||||||||||||
Short-term investments | |||||||||||||||||||||||
Total investments | $ | $ | $ | ( | $ |
September 30, 2021 | December 31, 2020 | ||||||||||
Financial | % | % | |||||||||
Consumer | |||||||||||
Communications | |||||||||||
Technology | |||||||||||
Utilities | |||||||||||
Industrial | |||||||||||
Total | % | % |
As of September 30, 2021 | Amortized Cost | Fair Value | |||||||||
(In Thousands) | |||||||||||
Due in one year or less | $ | $ | |||||||||
Due after one through five years | |||||||||||
Due after five through ten years | |||||||||||
Due after ten years | |||||||||||
Asset-backed securities | |||||||||||
Total investments | $ | $ |
As of December 31, 2020 | Amortized Cost | Fair Value | |||||||||
(In Thousands) | |||||||||||
Due in one year or less | $ | $ | |||||||||
Due after one through five years | |||||||||||
Due after five through ten years | |||||||||||
Due after ten years | |||||||||||
Asset-backed securities | |||||||||||
Total investments | $ | $ |
Less Than 12 Months | 12 Months or Greater | Total | |||||||||||||||||||||||||||||||||
# of Securities | Fair Value | Unrealized Losses | # of Securities | Fair Value | Unrealized Losses | # of Securities | Fair Value | Unrealized Losses | |||||||||||||||||||||||||||
As of September 30, 2021 | (Dollars in Thousands) | ||||||||||||||||||||||||||||||||||
Municipal debt securities | $ | $ | ( | $ | $ | $ | ( | ||||||||||||||||||||||||||||
Corporate debt securities | ( | ( | ( | ||||||||||||||||||||||||||||||||
Asset-backed securities | ( | ( | ( | ||||||||||||||||||||||||||||||||
Short-term investments | |||||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | ( | $ | $ | ( |
Less Than 12 Months | 12 Months or Greater | Total | |||||||||||||||||||||||||||||||||
# of Securities | Fair Value | Unrealized Losses | # of Securities | Fair Value | Unrealized Losses | # of Securities | Fair Value | Unrealized Losses | |||||||||||||||||||||||||||
As of December 31, 2020 | (Dollars in Thousands) | ||||||||||||||||||||||||||||||||||
Municipal debt securities | ( | ( | |||||||||||||||||||||||||||||||||
Corporate debt securities | ( | ( | |||||||||||||||||||||||||||||||||
Asset-backed securities | ( | ( | ( | ||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | ( | $ | $ | ( |
For the three months ended September 30, | For the nine months ended September 30, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||
Investment income | $ | $ | $ | $ | |||||||||||||||||||
Investment expenses | ( | ( | ( | ( | |||||||||||||||||||
Net investment income | $ | $ | $ | $ |
For the three months ended September 30, | For the nine months ended September 30, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||
Gross realized investment gains | $ | $ | $ | $ | |||||||||||||||||||
Gross realized investment losses | ( | ( | |||||||||||||||||||||
Net realized investment gains (losses) | $ | $ | ( | $ | $ |
Fair Value Measurements Using | |||||||||||||||||||||||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value | ||||||||||||||||||||
As of September 30, 2021 | (In Thousands) | ||||||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government agencies | $ | $ | $ | $ | |||||||||||||||||||
Municipal debt securities | |||||||||||||||||||||||
Corporate debt securities | |||||||||||||||||||||||
Asset-backed securities | |||||||||||||||||||||||
Cash, cash equivalents and short-term investments | |||||||||||||||||||||||
Total assets | $ | $ | $ | $ | |||||||||||||||||||
Warrant liability | |||||||||||||||||||||||
Total liabilities | $ | $ | $ | $ |
Fair Value Measurements Using | |||||||||||||||||||||||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value | ||||||||||||||||||||
As of December 31, 2020 | (In Thousands) | ||||||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government agencies | $ | $ | $ | $ | |||||||||||||||||||
Municipal debt securities | |||||||||||||||||||||||
Corporate debt securities | |||||||||||||||||||||||
Asset-backed securities | |||||||||||||||||||||||
Cash, cash equivalents and short-term investments | |||||||||||||||||||||||
Total assets | $ | $ | $ | $ | |||||||||||||||||||
Warrant liability | |||||||||||||||||||||||
Total liabilities | $ | $ | $ | $ |
For the nine months ended September 30, | |||||||||||
Warrant Liability | 2021 | 2020 | |||||||||
(In Thousands) | |||||||||||
Balance, January 1 | $ | $ | |||||||||
Change in fair value of warrant liability included in earnings | ( | ( | |||||||||
Issuance of common stock on warrant exercise | ( | ( | |||||||||
Balance, September 30 | $ | $ |
As of September 30, | |||||||||||
2021 | 2020 | ||||||||||
Common stock price | $ | $ | |||||||||
Risk free interest rate | % | % | |||||||||
Expected life | |||||||||||
Expected volatility | % | % | |||||||||
Dividend yield | % | % |
For the three months ended | For the nine months ended | ||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||
Net premiums written | |||||||||||||||||||||||
Direct | $ | $ | $ | $ | |||||||||||||||||||
Ceded (1) | ( | ( | ( | ( | |||||||||||||||||||
Net premiums written | $ | $ | $ | $ | |||||||||||||||||||
Net premiums earned | |||||||||||||||||||||||
Direct | $ | $ | $ | $ | |||||||||||||||||||
Ceded (1) | ( | ( | ( | ( | |||||||||||||||||||
Net premiums earned | $ | $ | $ | $ |
($ values in thousands) | Inception Date | Covered Production | Initial Reinsurance Coverage | Current Reinsurance Coverage | Initial First Layer Retained Loss | Current First Layer Retained Loss (1) | |||||||||||||||||||||||||||||
2017 ILN Transaction | May 2, 2017 | 1/1/2013 - 12/31/2016 | $ | $ | $ | $ | |||||||||||||||||||||||||||||
2018 ILN Transaction | July 25, 2018 | 1/1/2017 - 5/31/2018 | |||||||||||||||||||||||||||||||||
2019 ILN Transaction | July 30, 2019 | 6/1/2018 - 6/30/2019 | |||||||||||||||||||||||||||||||||
2020-1 ILN Transaction | July 30, 2020 | 7/1/2019 - 3/31/2020 | |||||||||||||||||||||||||||||||||
2020-2 ILN Transaction | October 29, 2020 | 4/1/2020 - 9/30/2020 (2) | |||||||||||||||||||||||||||||||||
2021-1 ILN Transaction (4) | April 27, 2021 | 10/1/2020 - 3/31/2021 (3) |
For the three months ended | For the nine months ended | ||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||
Ceded risk-in-force | $ | $ | $ | $ | |||||||||||||||||||
Ceded premiums earned | ( | ( | ( | ( | |||||||||||||||||||
Ceded claims and claim expenses | |||||||||||||||||||||||
Ceding commission earned | |||||||||||||||||||||||
Profit commission |
For the nine months ended September 30, | |||||||||||
2021 | 2020 | ||||||||||
(In Thousands) | |||||||||||
Beginning balance | $ | $ | |||||||||
Less reinsurance recoverables (1) | ( | ( | |||||||||
Beginning balance, net of reinsurance recoverables | |||||||||||
Add claims incurred: | |||||||||||
Claims and claim expenses incurred: | |||||||||||
Current year (2) | |||||||||||
Prior years (3) | ( | ( | |||||||||
Total claims and claim expenses incurred | |||||||||||
Less claims paid: | |||||||||||
Claims and claim expenses paid: | |||||||||||
Current year (2) | |||||||||||
Prior years (3) | |||||||||||
Total claims and claim expenses paid | |||||||||||
Reserve at end of period, net of reinsurance recoverables | |||||||||||
Add reinsurance recoverables (1) | |||||||||||
Ending balance | $ | $ |
For the three months ended September 30, | For the nine months ended September 30, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
(In Thousands, except for per share data) | |||||||||||||||||||||||
Net income | $ | $ | $ | $ | |||||||||||||||||||
Basic weighted average shares outstanding | |||||||||||||||||||||||
Basic earnings per share | $ | $ | $ | $ | |||||||||||||||||||
Net income | $ | $ | $ | $ | |||||||||||||||||||
Gain from change in fair value of warrant liability | ( | ( | |||||||||||||||||||||
Diluted net income | $ | $ | $ | $ | |||||||||||||||||||
Basic weighted average shares outstanding | |||||||||||||||||||||||
Dilutive effect of issuable shares | |||||||||||||||||||||||
Diluted weighted average shares outstanding | |||||||||||||||||||||||
Diluted earnings per share | $ | $ | $ | $ | |||||||||||||||||||
Anti-dilutive shares |
September 30, 2021 | December 31, 2020 | ||||||||||
(In Thousands) | |||||||||||
Statutory surplus | $ | $ | |||||||||
Contingency reserve | |||||||||||
Statutory capital (1) | $ | $ | |||||||||
Risk-to-capital |
Default and Forbearance Activity as of | ||||||||||||||||||||||||||
9/30/2020 | 12/31/2020 | 3/31/21 | 6/30/21 | 9/30/21 | ||||||||||||||||||||||
Number of loans in default | 13,765 | 12,209 | 11,090 | 8,764 | 7,670 | |||||||||||||||||||||
Default rate (1) | 3.60% | 3.06% | 2.54% | 1.86% | 1.56% | |||||||||||||||||||||
Number of loans in forbearance | 24,809 | 19,464 | 14,805 | 11,889 | 9,342 | |||||||||||||||||||||
Forbearance rate (2) | 6.50% | 4.87% | 3.39% | 2.52% | 1.90% | |||||||||||||||||||||
($ values in thousands) | 2017 ILN Transaction | 2018 ILN Transaction | 2019 ILN Transaction | 2020-1 ILN Transaction | 2020-2 ILN Transaction | 2021-1 ILN Transaction | ||||||||||||||
Ceded RIF | $ | 1,227,763 | $ | 1,333,991 | $ | 1,533,960 | $ | 3,128,472 | $ | 4,689,578 | $ | 8,334,990 | ||||||||
First Layer Retained Loss | 121,196 | 122,750 | 122,697 | 169,488 | 121,177 | 163,708 | ||||||||||||||
Reinsurance Coverage | 40,226 | 158,489 | 231,877 | 84,470 | 177,566 | 367,238 | ||||||||||||||
Eligible Coverage | $ | 161,422 | $ | 281,239 | $ | 354,574 | $ | 253,958 | $ | 298,743 | $ | 530,946 | ||||||||
Subordinated Coverage (1) | 13.15% | 21.08% | 23.11% | 8.00% | 6.25% | 6.37% | ||||||||||||||
PMIERs Charge on Ceded RIF | 6.47% | 8.41% | 8.25% | 6.50% | 5.63% | 6.07% | ||||||||||||||
Overcollateralization (2) (4) | $ | 40,226 | $ | 158,489 | $ | 227,965 | $ | 50,704 | $ | 34,887 | $ | 25,038 | ||||||||
Delinquency Trigger (3) | 4.0% | 4.0% | 4.0% | 6.0% | 4.7% | 4.8% |
($ values in thousands) | Inception Date | Covered Production | Initial Reinsurance Coverage | Current Reinsurance Coverage | Initial First Layer Retained Loss | Current First Layer Retained Loss (1) | |||||||||||||||||||||||||||||
2017 ILN Transaction | May 2, 2017 | 1/1/2013 - 12/31/2016 | $211,320 | $40,226 | $126,793 | $121,196 | |||||||||||||||||||||||||||||
2018 ILN Transaction | July 25, 2018 | 1/1/2017 - 5/31/2018 | 264,545 | 158,489 | 125,312 | 122,750 | |||||||||||||||||||||||||||||
2019 ILN Transaction | July 30, 2019 | 6/1/2018 - 6/30/2019 | 326,905 | 231,877 | 123,424 | 122,697 | |||||||||||||||||||||||||||||
2020-1 ILN Transaction | July 30, 2020 | 7/1/2019 - 3/31/2020 | 322,076 | 84,470 | 169,514 | 169,488 | |||||||||||||||||||||||||||||
2020-2 ILN Transaction | October 29, 2020 | 4/1/2020 - 9/30/2020 (2) | 242,351 | 177,566 | 121,777 | 121,177 | |||||||||||||||||||||||||||||
2021-1 ILN Transaction (4) | April 27, 2021 | 10/1/2020 - 3/31/2021 (3) | 367,238 | 367,238 | 163,708 | 163,708 |
Primary and pool IIF and NIW | As of and for the three months ended | For the nine months ended | |||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||||||||||||||
IIF | NIW | IIF | NIW | NIW | |||||||||||||||||||||||||||||||
(In Millions) | |||||||||||||||||||||||||||||||||||
Monthly | $ | 124,767 | $ | 16,861 | $ | 88,584 | $ | 16,516 | $ | 60,047 | $ | 38,862 | |||||||||||||||||||||||
Single | 18,851 | 1,223 | 15,910 | 1,983 | 7,185 | 4,058 | |||||||||||||||||||||||||||||
Primary | 143,618 | 18,084 | 104,494 | 18,499 | 67,232 | 42,920 | |||||||||||||||||||||||||||||
Pool | 1,339 | — | 2,115 | — | — | — | |||||||||||||||||||||||||||||
Total | $ | 144,957 | $ | 18,084 | $ | 106,609 | $ | 18,499 | $ | 67,232 | $ | 42,920 |
Primary and pool premiums written and earned | For the three months ended | For the nine months ended | |||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||
Net premiums written | $ | 111,931 | $ | 101,822 | $ | 354,388 | $ | 283,302 | |||||||||||||||
Net premiums earned | 113,594 | 98,802 | 330,361 | 296,463 |
Primary portfolio trends | As of and for the three months ended | ||||||||||||||||||||||||||||
September 30, 2021 | June 30, 2021 | March 31, 2021 | December 31, 2020 | September 30, 2020 | |||||||||||||||||||||||||
($ Values In Millions, except as noted below) | |||||||||||||||||||||||||||||
New insurance written | $ | 18,084 | $ | 22,751 | $ | 26,397 | $ | 19,782 | $ | 18,499 | |||||||||||||||||||
Percentage of monthly premium | 93 | % | 85 | % | 90 | % | 90 | % | 89 | % | |||||||||||||||||||
Percentage of single premium | 7 | % | 15 | % | 10 | % | 10 | % | 11 | % | |||||||||||||||||||
New risk written | $ | 4,640 | $ | 5,650 | $ | 6,531 | $ | 4,868 | $ | 4,577 | |||||||||||||||||||
Insurance-in-force (1) | 143,618 | 136,598 | 123,777 | 111,252 | 104,494 | ||||||||||||||||||||||||
Percentage of monthly premium | 87 | % | 86 | % | 86 | % | 86 | % | 85 | % | |||||||||||||||||||
Percentage of single premium | 13 | % | 14 | % | 14 | % | 14 | % | 15 | % | |||||||||||||||||||
Risk-in-force (1) | $ | 36,253 | $ | 34,366 | $ | 31,206 | $ | 28,164 | $ | 26,568 | |||||||||||||||||||
Policies in force (count) (1) | 490,714 | 471,794 | 436,652 | 399,429 | 381,899 | ||||||||||||||||||||||||
Average loan size ($ value in thousands) (1) | $ | 293 | $ | 290 | $ | 283 | $ | 279 | $ | 274 | |||||||||||||||||||
Coverage percentage (2) | 25.2 | % | 25.2 | % | 25.2 | % | 25.3 | % | 25.4 | % | |||||||||||||||||||
Loans in default (count) (1) | 7,670 | 8,764 | 11,090 | 12,209 | 13,765 | ||||||||||||||||||||||||
Default rate (1) | 1.56 | % | 1.86 | % | 2.54 | % | 3.06 | % | 3.60 | % | |||||||||||||||||||
Risk-in-force on defaulted loans (1) | $ | 546 | $ | 625 | $ | 785 | $ | 874 | $ | 1,008 | |||||||||||||||||||
Net premium yield (3) | 0.32 | % | 0.34 | % | 0.36 | % | 0.37 | % | 0.39 | % | |||||||||||||||||||
Earnings from cancellations | $ | 7.7 | $ | 7.0 | $ | 9.9 | $ | 11.7 | $ | 12.6 | |||||||||||||||||||
Annual persistency (4) | 58.1 | % | 53.9 | % | 51.9 | % | 55.9 | % | 60.0 | % | |||||||||||||||||||
Quarterly run-off (5) | 8.1 | % | 8.0 | % | 12.5 | % | 12.5 | % | 13.1 | % |
Primary IIF | For the three months ended | For the nine months ended | |||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
(In Millions) | |||||||||||||||||||||||
IIF, beginning of period | $ | 136,598 | $ | 98,905 | $ | 111,252 | $ | 94,754 | |||||||||||||||
NIW | 18,084 | 18,499 | 67,232 | 42,920 | |||||||||||||||||||
Cancellations, principal repayments and other reductions | (11,064) | (12,910) | (34,866) | (33,180) | |||||||||||||||||||
IIF, end of period | $ | 143,618 | $ | 104,494 | $ | 143,618 | $ | 104,494 |
Primary IIF and RIF | As of September 30, 2021 | As of September 30, 2020 | |||||||||||||||||||||
IIF | RIF | IIF | RIF | ||||||||||||||||||||
(In Millions) | |||||||||||||||||||||||
September 30, 2021 | $ | 64,885 | $ | 16,274 | $ | — | $ | — | |||||||||||||||
2020 | 47,196 | 11,848 | 40,969 | 10,255 | |||||||||||||||||||
2019 | 14,502 | 3,800 | 29,865 | 7,791 | |||||||||||||||||||
2018 | 5,675 | 1,446 | 11,859 | 3,019 | |||||||||||||||||||
2017 | 4,845 | 1,213 | 9,671 | 2,413 | |||||||||||||||||||
2016 and before | 6,515 | 1,672 | 12,130 | 3,090 | |||||||||||||||||||
Total | $ | 143,618 | $ | 36,253 | $ | 104,494 | $ | 26,568 |
Primary NIW by FICO | For the three months ended | For the nine months ended | |||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
(In Millions) | |||||||||||||||||||||||
>= 760 | $ | 8,073 | $ | 11,600 | $ | 32,377 | $ | 25,942 | |||||||||||||||
740-759 | 3,254 | 2,575 | 12,812 | 6,056 | |||||||||||||||||||
720-739 | 2,563 | 2,187 | 9,678 | 5,373 | |||||||||||||||||||
700-719 | 2,099 | 1,217 | 6,255 | 3,214 | |||||||||||||||||||
680-699 | 1,487 | 793 | 4,139 | 1,872 | |||||||||||||||||||
<=679 | 608 | 127 | 1,971 | 463 | |||||||||||||||||||
Total | $ | 18,084 | $ | 18,499 | $ | 67,232 | $ | 42,920 | |||||||||||||||
Weighted average FICO | 749 | 764 | 753 | 761 |
Primary NIW by LTV | For the three months ended | For the nine months ended | |||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
(In Millions) | |||||||||||||||||||||||
95.01% and above | $ | 1,957 | $ | 587 | $ | 6,585 | $ | 1,855 | |||||||||||||||
90.01% to 95.00% | 8,344 | 7,767 | 29,336 | 18,161 | |||||||||||||||||||
85.01% to 90.00% | 4,961 | 6,968 | 19,071 | 16,117 | |||||||||||||||||||
85.00% and below | 2,822 | 3,177 | 12,240 | 6,787 | |||||||||||||||||||
Total | $ | 18,084 | $ | 18,499 | $ | 67,232 | $ | 42,920 | |||||||||||||||
Weighted average LTV | 91.8 | % | 90.7 | % | 91.3 | % | 90.8 | % |
Primary NIW by purchase/refinance mix | For the three months ended | For the nine months ended | |||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
(In Millions) | |||||||||||||||||||||||
Purchase | $ | 16,400 | $ | 12,764 | $ | 53,220 | $ | 28,531 | |||||||||||||||
Refinance | 1,684 | 5,735 | 14,012 | 14,389 | |||||||||||||||||||
Total | $ | 18,084 | $ | 18,499 | $ | 67,232 | $ | 42,920 |
Primary IIF by FICO | As of | ||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | ||||||||||||||||||||||
($ Values In Millions) | |||||||||||||||||||||||
>= 760 | $ | 73,080 | 51 | % | $ | 53,742 | 51 | % | |||||||||||||||
740-759 | 24,676 | 17 | 16,193 | 16 | |||||||||||||||||||
720-739 | 19,898 | 14 | 14,352 | 14 | |||||||||||||||||||
700-719 | 13,206 | 9 | 10,235 | 10 | |||||||||||||||||||
680-699 | 8,678 | 6 | 6,713 | 6 | |||||||||||||||||||
<=679 | 4,080 | 3 | 3,259 | 3 | |||||||||||||||||||
Total | $ | 143,618 | 100 | % | $ | 104,494 | 100 | % | |||||||||||||||
Primary RIF by FICO | As of | ||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | ||||||||||||||||||||||
($ Values In Millions) | |||||||||||||||||||||||
>= 760 | $ | 18,200 | 51 | % | $ | 13,563 | 51 | % | |||||||||||||||
740-759 | 6,280 | 17 | 4,141 | 16 | |||||||||||||||||||
720-739 | 5,086 | 14 | 3,694 | 14 | |||||||||||||||||||
700-719 | 3,432 | 9 | 2,635 | 10 | |||||||||||||||||||
680-699 | 2,243 | 6 | 1,730 | 6 | |||||||||||||||||||
<=679 | 1,012 | 3 | 805 | 3 | |||||||||||||||||||
Total | $ | 36,253 | 100 | % | $ | 26,568 | 100 | % | |||||||||||||||
Primary IIF by LTV | As of | ||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | ||||||||||||||||||||||
($ Values In Millions) | |||||||||||||||||||||||
95.01% and above | $ | 13,179 | 9 | % | $ | 8,130 | 8 | % | |||||||||||||||
90.01% to 95.00% | 63,828 | 45 | 47,828 | 46 | |||||||||||||||||||
85.01% to 90.00% | 44,451 | 31 | 35,224 | 33 | |||||||||||||||||||
85.00% and below | 22,160 | 15 | 13,312 | 13 | |||||||||||||||||||
Total | $ | 143,618 | 100 | % | $ | 104,494 | 100 | % | |||||||||||||||
Primary RIF by LTV | As of | ||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | ||||||||||||||||||||||
($ Values In Millions) | |||||||||||||||||||||||
95.01% and above | $ | 3,932 | 11 | % | $ | 2,310 | 9 | % | |||||||||||||||
90.01% to 95.00% | 18,810 | 52 | 14,056 | 53 | |||||||||||||||||||
85.01% to 90.00% | 10,902 | 30 | 8,642 | 32 | |||||||||||||||||||
85.00% and below | 2,609 | 7 | 1,560 | 6 | |||||||||||||||||||
Total | $ | 36,253 | 100 | % | $ | 26,568 | 100 | % | |||||||||||||||
Primary RIF by Loan Type | As of | ||||||||||
September 30, 2021 | September 30, 2020 | ||||||||||
Fixed | 99 | % | 99 | % | |||||||
Adjustable rate mortgages | |||||||||||
Less than five years | — | — | |||||||||
Five years and longer | 1 | 1 | |||||||||
Total | 100 | % | 100 | % |
As of September 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Book Year | Original Insurance Written | Remaining Insurance in Force | % Remaining of Original Insurance | Policies Ever in Force | Number of Policies in Force | Number of Loans in Default | # of Claims Paid | Incurred Loss Ratio (Inception to Date) (1) | Cumulative Default Rate (2) | Current Default Rate (3) | |||||||||||||||||||||||||||||||||||||||||||||||||
($ Values in Millions) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 | $ | 162 | $ | 7 | 4 | % | 655 | 52 | 3 | 1 | 0.5 | % | 0.6 | % | 5.8 | % | |||||||||||||||||||||||||||||||||||||||||||
2014 | 3,451 | 310 | 9 | % | 14,786 | 1,898 | 68 | 49 | 4.2 | % | 0.8 | % | 3.6 | % | |||||||||||||||||||||||||||||||||||||||||||||
2015 | 12,422 | 1,923 | 15 | % | 52,548 | 10,427 | 366 | 115 | 3.3 | % | 0.9 | % | 3.5 | % | |||||||||||||||||||||||||||||||||||||||||||||
2016 | 21,187 | 4,275 | 20 | % | 83,626 | 21,244 | 797 | 128 | 2.9 | % | 1.1 | % | 3.8 | % | |||||||||||||||||||||||||||||||||||||||||||||
2017 | 21,582 | 4,845 | 22 | % | 85,897 | 24,478 | 1,286 | 93 | 4.5 | % | 1.6 | % | 5.3 | % | |||||||||||||||||||||||||||||||||||||||||||||
2018 | 27,295 | 5,675 | 21 | % | 104,043 | 27,844 | 1,723 | 81 | 8.6 | % | 1.7 | % | 6.2 | % | |||||||||||||||||||||||||||||||||||||||||||||
2019 | 45,141 | 14,502 | 32 | % | 148,423 | 57,685 | 2,038 | 16 | 12.7 | % | 1.4 | % | 3.5 | % | |||||||||||||||||||||||||||||||||||||||||||||
2020 | 62,702 | 47,196 | 75 | % | 186,174 | 147,395 | 1,170 | 1 | 6.7 | % | 0.6 | % | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||||||
2021 | 67,232 | 64,885 | 97 | % | 205,291 | 199,691 | 219 | — | 1.2 | % | 0.1 | % | 0.1 | % | |||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 261,174 | $ | 143,618 | 881,443 | 490,714 | 7,670 | 484 |
Top 10 primary RIF by state | As of | ||||||||||
September 30, 2021 | September 30, 2020 | ||||||||||
California | 10.2 | % | 11.3 | % | |||||||
Texas | 9.9 | 8.3 | |||||||||
Florida | 8.6 | 6.7 | |||||||||
Virginia | 4.9 | 5.4 | |||||||||
Colorado | 4.0 | 4.0 | |||||||||
Maryland | 3.8 | 3.6 | |||||||||
Illinois | 3.7 | 4.0 | |||||||||
Georgia | 3.7 | 3.0 | |||||||||
Washington | 3.5 | 3.5 | |||||||||
Pennsylvania | 3.2 | 3.5 | |||||||||
Total | 55.5 | % | 53.3 | % |
For the three months ended | For the nine months ended | ||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||
Beginning balance | $ | 101,235 | $ | 69,903 | $ | 90,567 | $ | 23,752 | |||||||||||||||
Less reinsurance recoverables (1) | (19,726) | (14,307) | (17,608) | (4,939) | |||||||||||||||||||
Beginning balance, net of reinsurance recoverables | 81,509 | 55,596 | 72,959 | 18,813 | |||||||||||||||||||
Add claims incurred: | |||||||||||||||||||||||
Claims and claim expenses incurred: | |||||||||||||||||||||||
Current year (2) | 3,649 | 18,682 | 19,275 | 61,198 | |||||||||||||||||||
Prior years (3) | (445) | (3,015) | (6,469) | (5,500) | |||||||||||||||||||
Total claims and claim expenses incurred | 3,204 | 15,667 | 12,806 | 55,698 | |||||||||||||||||||
Less claims paid: | |||||||||||||||||||||||
Claims and claim expenses paid: | |||||||||||||||||||||||
Current year (2) | 3 | 113 | 15 | 152 | |||||||||||||||||||
Prior years (3) | 526 | 1,100 | 1,566 | 4,309 | |||||||||||||||||||
Total claims and claim expenses paid | 529 | 1,213 | 1,581 | 4,461 | |||||||||||||||||||
Reserve at end of period, net of reinsurance recoverables | 84,184 | 70,050 | 84,184 | 70,050 | |||||||||||||||||||
Add reinsurance recoverables (1) | 20,420 | 17,180 | 20,420 | 17,180 | |||||||||||||||||||
Ending balance | $ | 104,604 | $ | 87,230 | $ | 104,604 | $ | 87,230 |
For the three months ended | For the nine months ended | ||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
Beginning default inventory | 8,764 | 10,816 | 12,209 | 1,448 | |||||||||||||||||||
Plus: new defaults | 1,624 | 6,588 | 4,486 | 16,870 | |||||||||||||||||||
Less: cures | (2,694) | (3,598) | (8,964) | (4,426) | |||||||||||||||||||
Less: claims paid | (24) | (40) | (59) | (123) | |||||||||||||||||||
Less: claims denied | — | (1) | (2) | (4) | |||||||||||||||||||
Ending default inventory | 7,670 | 13,765 | 7,670 | 13,765 |
For the three months ended | For the nine months ended | ||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
($ In Thousands) | |||||||||||||||||||||||
Number of claims paid (1) | 24 | 40 | 59 | 123 | |||||||||||||||||||
Total amount paid for claims | $ | 674 | $ | 1,540 | $ | 1,982 | $ | 5,621 | |||||||||||||||
Average amount paid per claim | $ | 28 | $ | 39 | $ | 34 | $ | 46 | |||||||||||||||
Severity (2) | 55 | % | 67 | % | 60 | % | 80 | % |
Average reserve per default: | As of September 30, 2021 | As of September 30, 2020 | |||||||||
(In Thousands) | |||||||||||
Case (1) | $ | 12.6 | $ | 5.8 | |||||||
IBNR (1)(2) | 1.0 | 0.5 | |||||||||
Total | $ | 13.6 | $ | 6.3 |
As of | |||||||||||
September 30, 2021 | September 30, 2020 | ||||||||||
(In Thousands) | |||||||||||
Available assets | $ | 1,992,964 | $ | 1,671,990 | |||||||
Risk-based required assets | 1,365,656 | 990,678 |
Consolidated statements of operations | Three months ended | Nine months ended | |||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | ||||||||||||||||||||
Revenues | ($ in thousands, except for per share data) | ||||||||||||||||||||||
Net premiums earned | $ | 113,594 | $ | 98,802 | $ | 330,361 | $ | 296,463 | |||||||||||||||
Net investment income | 9,831 | 8,337 | 28,027 | 23,511 | |||||||||||||||||||
Net realized investment gains (losses) | 3 | (4) | 15 | 635 | |||||||||||||||||||
Other revenues | 613 | 648 | 1,597 | 2,771 | |||||||||||||||||||
Total revenues | 124,041 | 107,783 | 360,000 | 323,380 | |||||||||||||||||||
Expenses | |||||||||||||||||||||||
Insurance claims and claim expenses | 3,204 | 15,667 | 12,806 | 55,698 | |||||||||||||||||||
Underwriting and operating expenses | 34,669 | 33,969 | 103,460 | 96,616 | |||||||||||||||||||
Service expenses | 787 | 557 | 1,859 | 2,381 | |||||||||||||||||||
Interest expense | 7,930 | 7,796 | 23,767 | 16,481 | |||||||||||||||||||
(Gain) loss from change in fair value of warrant liability | — | 437 | (454) | (4,286) | |||||||||||||||||||
Total expenses | 46,590 | 58,426 | 141,438 | 166,890 | |||||||||||||||||||
Income before income taxes | 77,451 | 49,357 | 218,562 | 156,490 | |||||||||||||||||||
Income tax expense | 17,258 | 11,178 | 47,956 | 33,192 | |||||||||||||||||||
Net income | $ | 60,193 | $ | 38,179 | $ | 170,606 | $ | 123,298 | |||||||||||||||
Earnings per share - Basic | $ | 0.70 | $ | 0.45 | $ | 1.99 | $ | 1.63 | |||||||||||||||
Earnings per share - Diluted | $ | 0.69 | $ | 0.45 | (2) | $ | 1.96 | (2) | $ | 1.55 | |||||||||||||
Loss ratio(1) | 2.8 | % | 15.9 | % | 3.9 | % | 18.8 | % | |||||||||||||||
Expense ratio(2) | 30.5 | % | 34.4 | % | 31.3 | % | 32.6 | % | |||||||||||||||
Combined ratio (3) | 33.3 | % | 50.2 | % | 35.2 | % | 51.4 | % |
Three months ended | Nine months ended | ||||||||||||||||||||||
Non-GAAP financial measures (4) | September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | |||||||||||||||||||
($ in thousands, except for per share data) | |||||||||||||||||||||||
Adjusted income before tax | $ | 79,218 | $ | 52,052 | $ | 221,856 | $ | 157,087 | |||||||||||||||
Adjusted net income | 61,821 | 40,400 | 173,345 | 122,870 | |||||||||||||||||||
Adjusted diluted EPS | 0.71 | 0.47 | 2.00 | 1.60 | |||||||||||||||||||
Non-GAAP Financial Measure Reconciliations | For the three months ended September 30, | For the nine months ended September 30, | |||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
As reported | ($ in thousands, except for per share data) | ||||||||||||||||||||||
Income before income taxes | $ | 77,451 | $ | 49,357 | $ | 218,562 | $ | 156,490 | |||||||||||||||
Income tax expense | 17,258 | 11,178 | 47,956 | 33,192 | |||||||||||||||||||
Net income | $ | 60,193 | $ | 38,179 | $ | 170,606 | $ | 123,298 | |||||||||||||||
Adjustments | |||||||||||||||||||||||
Net realized investment (gains) loss | (3) | 4 | (15) | (635) | |||||||||||||||||||
(Gain) loss from change in fair value warrant liability | — | 437 | (454) | (4,286) | |||||||||||||||||||
Capital market transaction costs | 481 | 2,254 | 2,474 | 5,518 | |||||||||||||||||||
Other infrequent, unusual or non-operating items (1) | 1,289 | — | 1,289 | — | |||||||||||||||||||
Adjusted income before tax | 79,218 | 52,052 | 221,856 | 157,087 | |||||||||||||||||||
Income tax expense on adjustments (2) | 139 | 474 | 555 | 1,025 | |||||||||||||||||||
Adjusted net income | $ | 61,821 | $ | 40,400 | $ | 173,345 | $ | 122,870 | |||||||||||||||
Weighted average diluted shares outstanding | 86,880 | 85,599 | 86,794 | 76,867 | |||||||||||||||||||
Adjusted diluted EPS | $ | 0.71 | $ | 0.47 | $ | 2.00 | $ | 1.60 |
Consolidated balance sheets | September 30, 2021 | December 31, 2020 | |||||||||
(In Thousands) | |||||||||||
Total investment portfolio | $ | 2,054,419 | $ | 1,804,286 | |||||||
Cash and cash equivalents | 97,260 | 126,937 | |||||||||
Premiums receivable | 58,499 | 49,779 | |||||||||
Deferred policy acquisition costs, net | 61,362 | 62,225 | |||||||||
Software and equipment, net | 32,066 | 29,665 | |||||||||
Prepaid reinsurance premiums | 2,969 | 6,190 | |||||||||
Reinsurance recoverable | 20,420 | 17,608 | |||||||||
Other assets | 71,319 | 69,977 | |||||||||
Total assets | $ | 2,398,314 | $ | 2,166,666 | |||||||
Debt | $ | 394,282 | $ | 393,301 | |||||||
Unearned premiums | 139,624 | 118,817 | |||||||||
Accounts payable and accrued expenses | 78,657 | 61,716 | |||||||||
Reserve for insurance claims and claim expenses | 104,604 | 90,567 | |||||||||
Reinsurance funds withheld | 6,280 | 8,653 | |||||||||
Warrant liability | 3,010 | 4,409 | |||||||||
Deferred tax liability, net | 151,364 | 112,586 | |||||||||
Other liabilities | 4,267 | 7,026 | |||||||||
Total liabilities | $ | 882,088 | 797,075 | ||||||||
Total shareholders' equity | 1,516,226 | 1,369,591 | |||||||||
Total liabilities and shareholders' equity | $ | 2,398,314 | $ | 2,166,666 |
Consolidated cash flows | For the nine months ended September 30, | ||||||||||
2021 | 2020 | ||||||||||
Net cash provided by (used in): | (In Thousands) | ||||||||||
Operating activities | $ | 281,381 | $ | 214,977 | |||||||
Investing activities | (310,520) | (520,878) | |||||||||
Financing activities | (538) | 459,011 | |||||||||
Net (decrease) increase in cash and cash equivalents | $ | (29,677) | $ | 153,110 |
Percentage of portfolio's fair value | September 30, 2021 | December 31, 2020 | |||||||||
Corporate debt securities | 65 | % | 63 | % | |||||||
Municipal debt securities | 24 | 22 | |||||||||
Asset-backed securities | 5 | 7 | |||||||||
Cash, cash equivalents, and short-term investments | 5 | 6 | |||||||||
U.S. treasury securities and obligations of U.S. government agencies | 1 | 2 | |||||||||
Total | 100 | % | 100 | % |
Investment portfolio ratings at fair value (1) | September 30, 2021 | December 31, 2020 | |||||||||
AAA | 10 | % | 12 | % | |||||||
AA(2) | 28 | 27 | |||||||||
A(2) | 45 | 43 | |||||||||
BBB(2) | 17 | 18 | |||||||||
Total | 100 | % | 100 | % |
Exhibit Number | Description | |||||||
2.1 | Stock Purchase Agreement, dated November 30, 2011, between NMI Holdings, Inc. and MAC Financial Ltd. (incorporated herein by reference to Exhibit 2.1 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
2.2 | Amendment to Stock Purchase Agreement, dated April 6, 2012, between NMI Holdings, Inc. and MAC Financial Ltd. (incorporated herein by reference to Exhibit 2.2 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
3.1 | Second Amended and Restated Certificate of Incorporation (incorporated herein by reference to Exhibit 3.1 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
3.2 | Third Amended and Restated By-Laws (incorporated herein by reference to Exhibit 3.1 to our Form 8-K, filed on December 9, 2014) | |||||||
4.1 | Specimen Class A common stock certificate (incorporated herein by reference to Exhibit 4.1 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
4.2 | Registration Rights Agreement between NMI Holdings, Inc. and FBR Capital Markets & Co., dated April 24, 2012 (incorporated herein by reference to Exhibit 4.2 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
4.3 | Registration Rights Agreement by and between MAC Financial Ltd. and NMI Holdings, Inc., dated April 24, 2012 (incorporated herein by reference to Exhibit 4.3 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
4.4 | Registration Rights Agreement between FBR & Co., FBR Capital Markets LT, Inc., FBR Capital Markets & Co., FBR Capital Markets PT, Inc. and NMI Holdings, Inc., dated April 24, 2012 (incorporated herein by reference to Exhibit 4.4 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
4.5 | Warrant No. 1 to Purchase Common Stock of NMI Holdings, Inc. issued to FBR Capital Markets & Co., dated June 13, 2013 (incorporated herein by reference to Exhibit 4.5 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
4.6 | Form of Warrant to Purchase Common Stock of NMI Holdings, Inc. issued to former stockholders of MAC Financial Ltd. (incorporated herein by reference to Exhibit 4.6 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
4.7 | Indenture, dated as of June 19, 2020, among NMI Holdings, Inc., NMI Services, Inc. as the Initial Guarantor, and the Bank of New York Mellon Trust Company, N.A. as Trustee and Notes Collateral Agent (incorporated herein by reference to Exhibit 4.1 to our Form 8-K, filed on June 19, 2020) | |||||||
10.1 ~ | NMI Holdings Inc. 2012 Stock Incentive Plan (incorporated herein by reference to Exhibit 10.1 to our Form S-1 Registration Statement (registration No. 333-191635), filed on October 9, 2013) | |||||||
10.2 ~ | Form of NMI Holdings, Inc. 2012 Stock Incentive Plan Restricted Stock Unit Award Agreement for Management (incorporated herein by reference to Exhibit 10.3 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
10.3 ~ | Form of NMI Holdings, Inc. 2012 Stock Incentive Plan Nonqualified Stock Option Award Agreement for Chief Executive Officer and Chief Financial Officer (incorporated herein by reference to Exhibit 10.5 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
10.4 ~ | Form of NMI Holdings, Inc. 2012 Stock Incentive Plan Nonqualified Stock Option Award Agreement for Management (incorporated herein by reference to Exhibit 10.6 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
10.5 ~ | Form of NMI Holdings, Inc. 2012 Stock Incentive Plan Nonqualified Stock Option Award Agreement for Directors (incorporated herein by reference to Exhibit 10.7 to our Form S-1 Registration Statement (Registration No. 333-191635), filed on October 9, 2013) | |||||||
10.6 ~ | Form of NMI Holdings, Inc. 2012 Stock Incentive Plan Nonqualified Stock Option Award Agreement for Chief Executive Officer and Chief Financial Officer (incorporated herein by reference to Exhibit 10.8 to our Form 10-K, filed on February 17, 2017) | |||||||
10.7 ~ | Form of NMI Holdings, Inc. 2012 Stock Incentive Plan Nonqualified Stock Option Award Agreement for Employees (incorporated herein by reference to Exhibit 10.9 to our Form 10-K, filed on February 17, 2017) | |||||||
10.8 ~ | Amended and Restated Employment Agreement by and between NMI Holdings, Inc. and Bradley M. Shuster, dated December 23, 2015 (incorporated herein by reference to Exhibit 10.1 to our Form 8-K, filed on December 29, 2015) | |||||||
10.9 ~ | Offer Letter by and between NMI Holdings, Inc. and William Leatherberry, dated July 11, 2014 (incorporated herein by reference to Exhibit 10.10 to our Form 10-Q, filed on April 28, 2016) |
10.31 ~ | NMI Holdings, Inc. Severance Benefit Plan (incorporated herein by reference to Exhibit 10.1 to our Form 8-K, filed on February 17, 2016) | |||||||
10.32 ~ | ||||||||
10.33 ~ | NMI Holdings, Inc. Clawback Policy (incorporated herein by reference to Exhibit 10.2 to our Form 8-K, filed on February 23, 2017) | |||||||
10.34 ~ | Employment Letter by and between NMI Holdings, Inc. and Bradley M. Shuster, effective as of January 1, 2019 (incorporated herein by reference to Exhibit 10.1 to our Form 8-K, filed on December 28, 2018) | |||||||
10.35 ~ | Employment Letter by and between NMI Holdings, Inc. and Claudia J. Merkle, effective as of January 1, 2019 (incorporated herein by reference to Exhibit 10.2 to our Form 8-K, filed on December 28, 2018) | |||||||
10.36 ~ | Form of NMI Holdings, Inc. 2012 Stock Incentive Plan Restricted Stock Unit Award Agreement for Independent Directors (incorporated herein by reference to Exhibit 10.30 to our Form 10-Q, filed on May 2, 2019) | |||||||
10.37 ~ | Form of NMI Holdings, Inc. 2012 Stock Incentive Plan Restricted Stock Unit Award Agreement for Employees (incorporated herein by reference to Exhibit 10.31 to our Form 10-Q, filed on May 2, 2019) | |||||||
10.38 ~ | Form of NMI Holdings, Inc. 2012 Stock Incentive Plan Nonqualified Stock Option Agreement for Employees (incorporated herein by reference to Exhibit 10.32 to our Form 10-Q, filed on May 2, 2019) | |||||||
10.39 ~ | Form of NMI Holdings, Inc. Amended and Restated 2014 Omnibus Incentive Plan Restricted Stock Unit Award Agreement for Independent Directors (incorporated herein by reference to Exhibit 10.33 to our Form 10-Q, filed on May 2, 2019) | |||||||
10.40 ~ | Form of NMI Holdings, Inc. Amended and Restated 2014 Omnibus Incentive Plan Restricted Stock Unit Award Agreement for Employees (incorporated herein by reference to Exhibit 10.34 to our Form 10-Q, filed on May 2, 2019) | |||||||
10.41 ~ | Form of NMI Holdings, Inc. Amended and Restated 2014 Omnibus Incentive Plan Nonqualified Stock Option Agreement for Employees (incorporated herein by reference to Exhibit 10.35 to our Form 10-Q, filed on May 2, 2019) | |||||||
10.42 ~ | Form of NMI Holdings, Inc. Amended and Restated 2014 Omnibus Incentive Plan Restricted Stock Unit Award Agreement (Performance Based) (incorporated herein by reference to Exhibit 10.38 to our Form 10-Q, filed on May 7, 2020) | |||||||
21.1 | Subsidiaries of NMI Holdings, Inc. (incorporated herein by reference to Exhibit 21.1 to our Form 10-Q, filed on October 30, 2015) | |||||||
31.1 | ||||||||
31.2 | ||||||||
32.1 # | ||||||||
101 | The following financial information from NMI Holdings, Inc.'s Quarterly Report on Form 10-Q for the quarter ended September 30, 2021 formatted in XBRL (eXtensible Business Reporting Language): | |||||||
(i) Condensed Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020; | ||||||||
(ii) Condensed Consolidated Statements of Operations and Comprehensive Income (Loss) for the three months and nine months ended September 30, 2021 and 2020; | ||||||||
(iii) Condensed Consolidated Statements of Changes in Shareholders' Equity for the nine months ended September 30, 2021 and 2020; | ||||||||
(iv) Condensed Consolidated Statements of Cash Flows for the nine months ended September 30, 2021 and 2020; and | ||||||||
(v) Notes to Condensed Consolidated Financial Statements. The instance document does not appear in the Interactive Data File because XBRL tags are embedded within the Inline XBRL document. |
~ | Indicates a management contract or compensatory plan or contract. | ||||
+ | Confidential treatment granted as to certain portions, which portions have been filed separately with the SEC. | ||||
# | In accordance with Item 601(b)(32)(ii) of Regulation S-K and SEC Release No. 34-47986, the certifications furnished in Exhibit 32 hereto are deemed to accompany this Form 10-Q and will not be deemed "filed" for purposes of Section 18 of the Exchange Act or deemed to be incorporated by reference into any filing under the Exchange Act or the Securities Act except to the extent that the registrant specifically incorporates it by reference. |
NMI HOLDINGS, INC. | |||||
Date: November 2, 2021 | |||||
By: /s/ Adam S. Pollitzer | |||||
Name: Adam S. Pollitzer | |||||
Title: Chief Financial Officer and Duly Authorized Signatory |
November 2, 2021 | /s/ Claudia J. Merkle | ||||
Claudia J. Merkle | |||||
Chief Executive Officer | |||||
(Principal Executive Officer) |
November 2, 2021 | /s/ Adam Pollitzer | ||||
Adam S. Pollitzer | |||||
Chief Financial Officer | |||||
(Principal Financial Officer) | |||||
November 2, 2021 | |||||
/s/ Claudia J. Merkle | |||||
Claudia Merkle | |||||
Chief Executive Officer | |||||
(Principal Executive Officer) |
November 2, 2021 | |||||
/s/ Adam S. Pollitzer | |||||
Adam S. Pollitzer | |||||
Chief Financial Officer | |||||
(Principal Financial Officer) |
CONDENSED CONSOLIDATED BALANCE SHEETS (UNAUDITED) (Parenthetical) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Statement of Financial Position [Abstract] | ||
Debt securities, amortized cost | $ 2,024,639 | $ 1,730,835 |
Restricted cash | $ 3,572 | $ 5,555 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, issued (in shares) | 85,743,638 | 85,163,039 |
Common stock, outstanding (in shares) | 85,743,638 | 85,163,039 |
Common stock, authorized (in shares) | 250,000,000 | 250,000,000 |
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (UNAUDITED) (Parenthetical) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Income Statement [Abstract] | ||||
Net unrealized (losses) gains in accumulated other comprehensive income, tax (benefit) expense | $ (2,165) | $ 2,494 | $ (9,168) | $ 7,655 |
Reclassification adjustment for realized losses (gains) included in net income, tax expense (benefit) | $ 1 | $ (1) | $ 3 | $ (258) |
CONDENSED CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY (UNAUDITED) (Parenthetical) - USD ($) $ in Thousands |
3 Months Ended | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2021 |
Jun. 30, 2021 |
Mar. 31, 2021 |
Sep. 30, 2020 |
Jun. 30, 2020 |
Mar. 31, 2020 |
|||||||||||
Change in unrealized investment gains/losses, tax expense (benefit) | $ (2,166) | $ 4,992 | $ (11,997) | $ 2,494 | $ 8,829 | $ (3,409) | ||||||||||
Common stock: class A shares issued related to warrant exercises (in shares) | 28,000 | |||||||||||||||
Common stock, par value (in dollars per share) | $ 0.01 | |||||||||||||||
Common stock | ||||||||||||||||
Common stock: class A shares issued related to warrant exercises (in shares) | 27,715 | [1] | 8,096 | [1] | 23,750 | [1] | 6,474 | [2] | ||||||||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||||
Common stock: class A shares issued under stock plans, net of shares withheld for employee taxes (in shares) | 12,000 | [1] | 95,000 | 413,000 | 3,750 | [2] | 61,226 | [2] | 510,000 | |||||||
|
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Cash flows from operating activities | ||
Net income | $ 170,606 | $ 123,298 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Net realized investment gains | (15) | (635) |
Gain from change in fair value of warrant liability | (454) | (4,286) |
Depreciation and amortization | 8,250 | 7,378 |
Net amortization of premium on investment securities | 5,020 | 2,116 |
Amortization of debt discount and debt issuance costs | 1,349 | 3,600 |
Deferred income taxes | 47,949 | 33,178 |
Share-based compensation expense | 10,121 | 8,230 |
Changes in operating assets and liabilities: | ||
Premiums receivable | (8,720) | (2,074) |
Accrued investment income | (2,252) | (2,935) |
Prepaid expenses | (1,117) | (1,067) |
Deferred policy acquisition costs, net | 863 | (3,222) |
Other assets | (79) | (81) |
Unearned premiums | 20,807 | (20,634) |
Reserve for insurance claims and claim expenses | 14,037 | 63,478 |
Reinsurance recoverable | (2,812) | (12,241) |
Reinsurance balances, net | (174) | 2,857 |
Accounts payable and accrued expenses | 18,002 | 18,017 |
Net cash provided by operating activities | 281,381 | 214,977 |
Cash flows from investing activities | ||
Purchase of short-term investments | (10,640) | (41,872) |
Purchase of fixed-maturity investments, available-for-sale | (390,988) | (902,524) |
Proceeds from maturity of short-term investments | 0 | 85,689 |
Proceeds from redemptions, maturities and sale of fixed-maturity investments, available-for-sale | 100,215 | 346,931 |
Software and equipment | (9,107) | (9,102) |
Net cash used in investing activities | (310,520) | (520,878) |
Cash flows from financing activities | ||
Proceeds from issuance of common stock related to public offering, net of issuance costs | 0 | 219,687 |
Proceeds from issuance of common stock related to employee equity plans | 4,137 | 3,407 |
Proceeds from issuance of common stock related to warrants | 412 | 0 |
Taxes paid related to net share settlement of equity awards | (5,087) | (7,465) |
Proceeds from senior secured notes | 0 | 400,000 |
Repayments of term loan | 0 | (147,750) |
Payments of debt issuance/modification costs | 0 | (8,868) |
Net cash (used in) provided by financing activities | (538) | 459,011 |
Net (decrease) increase in cash, cash equivalents and restricted cash | (29,677) | 153,110 |
Cash, cash equivalents and restricted cash, beginning of period | 126,937 | 41,089 |
Cash, cash equivalents and restricted cash, end of period | 97,260 | 194,199 |
Supplemental disclosures of cash flow information | ||
Interest paid | 14,750 | 4,286 |
Income taxes refunded | $ 457 | $ 76 |
Organization, Basis of Presentation and Summary of Accounting Principles |
9 Months Ended |
---|---|
Sep. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization, Basis of Presentation and Summary of Accounting Principles | Organization, Basis of Presentation and Summary of Accounting Principles NMI Holdings, Inc. (NMIH) is a Delaware corporation, incorporated in May 2011, to provide private mortgage guaranty insurance (which we refer to as mortgage insurance or MI) through its wholly-owned insurance subsidiaries, National Mortgage Insurance Corporation (NMIC) and National Mortgage Reinsurance Inc One (Re One). Our common stock is listed on the NASDAQ exchange under the ticker symbol "NMIH." NMIC, our primary insurance subsidiary, issued its first mortgage insurance policy in April 2013. NMIC is licensed to write mortgage insurance in all 50 states and DC. In August 2015, NMIH capitalized a wholly-owned subsidiary, NMI Services, Inc. (NMIS), through which we offer outsourced loan review services to mortgage loan originators. Basis of Presentation The accompanying unaudited condensed consolidated financial statements, which include the results of NMIH and its wholly-owned subsidiaries, have been prepared in accordance with the instructions to Form 10-Q as prescribed by the SEC for interim reporting and include other information and disclosures required by accounting principles generally accepted in the U.S. (GAAP). Our accounts are maintained in U.S. dollars. These statements should be read in conjunction with our consolidated financial statements and notes thereto for the year ended December 31, 2020, included in our 2020 10-K. All intercompany transactions have been eliminated. The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect reported amounts of assets and liabilities, as well as disclosure of contingent assets and liabilities as of the balance sheet date. Estimates also affect the reported amounts of income and expenses for the reporting period. Actual results could differ from those estimates. The results of operations for the interim period may not be indicative of the results that may be expected for the full year ending December 31, 2021. COVID-19 Developments On January 30, 2020, the World Health Organization (WHO) declared the outbreak of COVID-19 a global health emergency and subsequently characterized the outbreak as a global pandemic on March 11, 2020. In an effort to stem contagion and control the COVID-19 pandemic, the population at large severely curtailed day-to-day activity and local, state and federal regulators imposed a broad set of restrictions on personal and business conduct nationwide. The COVID-19 pandemic, along with the widespread public and regulatory response, caused a dramatic slowdown in U.S. and global economic activity and a record number of Americans were furloughed or laid-off in the ensuing downturn. The global dislocation caused by COVID-19 was unprecedented. In response to the COVID-19 outbreak and uncertainty that it introduced, we activated our disaster continuity program to ensure our employees were safe and able to manage our business without interruption. We pursued a broad series of capital and reinsurance transactions to bolster our balance sheet and expand our ability to serve our customers and their borrowers, and we updated our underwriting guidelines and policy pricing in consideration of the increased level of macroeconomic volatility. While there is increased optimism that the acute economic impact of COVID-19 has begun to recede, the pandemic continues to affect communities across the U.S. and poses significant risk globally. The path and pace of global economic recovery will depend, in large part, on the course of the virus, which itself remains unknown and subject to risk. Given this uncertainty, we are not able to fully assess or estimate the ultimate impact COVID-19 will have on the mortgage insurance market, our business performance or our financial position including our new business production, default and claims experience, and investment portfolio results at this time. Significant Accounting Principles There have been no changes to our significant accounting principles as described in Item 8, "Financial Statements and Supplementary Data - Notes to Consolidated Financial Statements - Note 2 - Summary of Accounting Principles" of our 2020 10-K, except as noted in "Variable Interest Entities" and "Recent Accounting Pronouncements - Adopted" below. Variable Interest Entities NMIC is a party to reinsurance agreements with Oaktown Re Ltd., Oaktown Re II Ltd., Oaktown Re III Ltd., Oaktown Re IV Ltd. Oaktown Re V Ltd., and Oaktown Re VI Ltd. (special purpose reinsurance entities collectively referred to as the Oaktown Re Vehicles) effective May 2, 2017, July 25, 2018, July 30, 2019, July 30, 2020, October 29, 2020 and April 27, 2021, respectively. At inception of the respective reinsurance agreements, we determined that each of the Oaktown Re Vehicles were variable interest entities (VIEs), as defined under GAAP Accounting Standards Codification (ASC) 810, because they did not have sufficient equity at risk to finance their respective activities. We evaluated the VIEs at inception to determine whether NMIC was the primary beneficiary under each reinsurance transaction and, if so, whether we were required to consolidate the assets and liabilities of each VIE. The primary beneficiary of a VIE is an enterprise that (1) has the power to direct the activities of the VIE, which most significantly impact its economic performance and (2) has significant economic exposure to the VIE, i.e., the obligation to absorb losses or receive benefits that could potentially be significant. The determination of whether an entity is the primary beneficiary of a VIE is complex and requires management judgment regarding determinative factors, including the expected results of the VIE and how those results are absorbed by beneficial interest holders, as well as which party has the power to direct activities that most significantly impact the performance of the VIE. We concluded that we are not the primary beneficiary of each VIE and, as such, we do not consolidate them in our consolidated financial statements. Recent Accounting Pronouncements - Adopted In December 2019, the Financial Accounting Standards Board (the FASB) issued ASU 2019-12, Simplifying the Accounting for Income Taxes (Topic 740). The update eliminates certain exceptions for recognizing deferred taxes for investments, performing intra-period allocations and calculating income taxes in interim periods. The ASU also includes guidance to reduce complexity in certain income tax areas, including recognizing deferred taxes for tax goodwill and allocating taxes to members of a consolidated group. We adopted this ASU on January 1, 2021 and determined it did not have a material impact on our consolidated financial statements. Recent Accounting Pronouncements - Not Yet Adopted In August 2018, the FASB issued ASU 2018-12, Targeted Improvements to the Accounting for Long-Duration Contracts (Topic 944). The update provides guidance to the existing recognition, measurement, presentation and disclosure requirements for long-duration contracts issued by an insurance entity. The FASB subsequently issued ASU 2019-09 in November 2019 and ASU 2020-11 in November 2020, which amended the effective date for this standard and provided transition relief to facilitate early application for long duration contracts. These standards will now take effect for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2022. We are currently evaluating the impact the adoption of these ASUs will have, if any, on our consolidated financial statements. In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848). The update provides optional guidance to ease the potential burden in accounting for reference rate reform on financial reporting. Reference rate reform refers to the global transition away from referencing the London Interbank Offered Rate (LIBOR) in financial contracts, which is expected to be discontinued beginning in 2021 through 2023. The ASU includes optional expedients and exceptions for applying GAAP to contracts, hedging relationships and other transactions affected by reference rate reform if certain criteria are met. This standard may be elected and applied prospectively over time from March 12, 2020 through December 31, 2022 as reference rate reform activities occur. The adoption of, and future elections under, this ASU are not expected to have a material impact on our consolidated financial statements as the ASU will ease, if warranted, the requirements for accounting for the future effects of the rate reform. We continue to monitor the impact the discontinuance of LIBOR or another reference rate will have on our contracts and other transactions. In August 2020, the FASB issued ASU 2020-06, Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity's Own Equity (Subtopic 815-40). This update simplifies the accounting for convertible instruments and contracts on an entity's own equity, including warrants, eliminating certain triggers for derivative accounting. The standard will take effect for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2021. We have evaluated the impact the adoption of this ASU and we do not expect it to have a material impact on our consolidated financial statements, including our warrant liability.
|
Investments |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments | InvestmentsWe hold all investments on an available-for-sale basis and evaluate each position quarterly for impairment. We recognize an impairment on a security through the statement of operations if (i) we intend to sell the impaired security; or (ii) it is more likely than not that we will be required to sell the impaired security prior to recovery of its amortized cost basis. If a sale is intended or likely to be required, we write down the amortized cost basis of the security to fair value and recognize the full amount of the impairment through the statement of operations as a "Net Realized Investment Loss." To the extent we determine that a security impairment is credit-related, an impairment loss is recognized through the statement of operations as a provision for credit loss expense. The portion of a security impairment attributed to other non-credit related factors is recognized in other comprehensive income, net of taxes. Fair Values and Gross Unrealized Gains and Losses on Investments
We did not own any mortgage-backed securities in our asset-backed securities portfolio at September 30, 2021 or December 31, 2020. The following table presents a breakdown of the fair value of our corporate debt securities by issuer industry group as of September 30, 2021 and December 31, 2020:
As of September 30, 2021 and December 31, 2020, approximately $5.6 million and $5.7 million, respectively, of our cash and investments were held in the form of U.S. Treasury securities on deposit with various state insurance departments to satisfy regulatory requirements. Scheduled Maturities The amortized cost and fair value of available-for-sale securities as of September 30, 2021 and December 31, 2020, by contractual maturity, are shown below. Expected maturities will differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties. Because most asset-backed securities provide for periodic payments throughout their lives, they are listed below in a separate category.
Aging of Unrealized Losses As of September 30, 2021, the investment portfolio had gross unrealized losses of $13.3 million, of which $1.3 million had been in an unrealized loss position for a period of twelve months or longer. As of December 31, 2020, the investment portfolio had gross unrealized losses of $512 thousand, of which $8 thousand had been in an unrealized loss position for a period of twelve months or longer. For those securities in an unrealized loss position, the length of time the securities were in such a position is as follows:
Allowance for credit losses As of September 30, 2021 and December 31, 2020, we did not recognize an allowance for credit loss for any security in the investment portfolio and we did not record any provision for credit loss for investment securities during the three or nine month periods ended September 30, 2021 or September 30, 2020. The increase in the number of securities in and the aggregate size of the unrealized loss position as of September 30, 2021, was primarily driven by interest rate movements following the purchase date of certain securities. Based on current facts and circumstances, we believe the unrealized losses as of September 30, 2021 are not indicative of the ultimate collectability of the current amortized cost of the securities. Net Investment Income The following table presents the components of net investment income:
The following table presents the components of net realized investment losses:
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Fair Value of Financial Instruments |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | Fair Value of Financial Instruments The following describes the valuation techniques used by us to determine the fair value of our financial instruments: We established a fair value hierarchy by prioritizing the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under this standard are described below: Level 1 - Fair value measurements based on quoted prices in active markets that we have the ability to access for identical assets or liabilities. Market price data generally is obtained from exchange or dealer markets. We do not adjust the quoted price for such instruments. Level 2 - Fair value measurements based on inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and inputs other than quoted prices that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals. Level 3 - Fair value measurements based on valuation techniques that use significant inputs that are unobservable. Both observable and unobservable inputs may be used to determine the fair values of positions classified in Level 3. The circumstances for using these measurements include those in which there is little, if any, market activity for the asset or liability. Therefore, we must make certain assumptions, which require significant management judgment or estimation about the inputs a hypothetical market participant would use to value that asset or liability. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Assets classified as Level 1 and Level 2 To determine the fair value of securities available-for-sale in Level 1 and Level 2 of the fair value hierarchy, independent pricing sources have been utilized. One price is provided per security based on observable market data. To ensure securities are appropriately classified in the fair value hierarchy, we review the pricing techniques and methodologies of the independent pricing sources and believe that their policies adequately consider market activity, either based on specific transactions for the issue valued or based on modeling of securities with similar credit quality, duration, yield and structure that were recently traded. A variety of inputs are utilized by the independent pricing sources including benchmark yields, reported trades, non-binding broker/dealer quotes, issuer spreads, two sided markets, benchmark securities, bids, offers and reference data including data published in market research publications. Inputs may be weighted differently for any security, and not all inputs are used for each security evaluation. Market indicators, industry and economic events are also considered. This information is evaluated using a multidimensional pricing model. Quality controls are performed by the independent pricing sources throughout this process, which include reviewing tolerance reports, trading information and data changes, and directional moves compared to market moves. This model combines all inputs to arrive at a value assigned to each security. We have not made any adjustments to the prices obtained from the independent pricing sources. Liabilities classified as Level 3 We calculate the fair value of outstanding warrants utilizing Level 3 inputs, including a Black-Scholes option-pricing model, in combination with a binomial model, and we value the pricing protection features within the warrants using a Monte-Carlo simulation model. Variables in the model include the risk-free rate of return, dividend yield, expected life and expected volatility of our stock price. The following tables present the level within the fair value hierarchy at which our financial instruments were measured:
There were no transfers between Level 2 and Level 3 of the fair value hierarchy during the nine months ended September 30, 2021, or the year ended December 31, 2020. The following table provides a roll-forward of Level 3 liabilities measured at fair value:
The following table outlines the key inputs and assumptions used to calculate the fair value of the warrant liability in the Black-Scholes option-pricing model as of the dates indicated.
The changes in fair value of the warrant liability for the nine months ended September 30, 2021 and 2020 were driven by the exercise of outstanding warrants, as well as changes in the price of our common stock and other Black-Scholes model inputs during the respective periods. Financial Instruments not Measured at Fair Value On June 19, 2020, we issued $400.0 million aggregate principal amount of senior secured notes that mature on June 1, 2025 (the Notes) and used a portion of the proceeds from the Notes offering to repay the outstanding amount due under our $150 million term loan (2018 Term Loan). At September 30, 2021, the Notes were carried at a cost of $394.3 million, net of unamortized debt issuance costs of $5.7 million, and had a fair value of $457.0 million as assessed under our Level 2 hierarchy. At December 31, 2020, the Notes were carried at a cost of $393.3 million, net of unamortized debt issuance costs of $6.7 million, and had a fair value of $447.1 million.
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Sep. 30, 2021 | |
Debt Disclosure [Abstract] | |
Debt | Debt Senior Secured Notes At September 30, 2021, we had $400.0 million aggregate principal amount of senior secured notes outstanding. The Notes were issued pursuant to an indenture dated June 19, 2020 (the Indenture) and bear interest at a rate of 7.375%, payable semi-annually on June 1 and December 1. $244.4 million of proceeds from the Notes offering were contributed to our lead operating subsidiary, NMIC and remaining proceeds were used to repay the outstanding amount due under the 2018 Term Loan due on May 24, 2023 and to pay underwriting fees incurred connection with the offering. The Notes mature on June 1, 2025. At any time, or from time to time, prior to March 1, 2025, we may elect to redeem the Notes in whole or in part at a price based on 100% of the aggregate principal amount of any Notes redeemed plus the "Applicable Premium," plus accrued and unpaid interest thereon. Applicable Premium is defined as the greater of (1) 1.0% of the principal amount of the Notes, or (2) the principal value of the Notes plus the present value of all future interest payments. At any time on or after March 1, 2025, we may elect to redeem the Notes in whole or in part at a price equal to 100% of the aggregate principal amount of the Notes to be redeemed plus accrued and unpaid interest thereon. From time to time prior to June 1, 2022, we may also elect to use proceeds raised from one or more equity offerings to redeem up to 40% of the aggregate principal amount of the Notes at a price equal to 107.375% of the aggregate principal amount thereof plus accrued and unpaid interest thereon, subject to certain exceptions. Interest expense for the Notes includes interest and the amortization of capitalized debt issuance costs. In connection with the Notes offering, we recorded capitalized debt issuance costs of $7.4 million. Such amounts will be amortized over the contractual life of the Notes using the effective interest method. At September 30, 2021 and December 31, 2020, approximately $5.7 million and $6.7 million, respectively, of unamortized debt issuance costs remained. Interest expense for the nine months ended September 30, 2020 includes $2.6 million of costs related to the extinguishment of the 2018 Term Loan and the issuance of the Notes. At September 30, 2021 and December 31, 2020, $9.8 million and $2.5 million, respectively, of accrued and unpaid interest on the Notes was included in "Accounts Payable and Accrued Expenses" on our condensed consolidated balance sheet. 2020 Revolving Credit Facility On March 20, 2020, we amended our $85 million three-year secured revolving credit facility (the 2018 Revolving Credit Facility), increasing borrowing capacity under the facility to $100 million, extending its maturity date from May 24, 2021 to February 22, 2023, and reducing the interest cost related to both undrawn commitments and drawn borrowings under the facility (as amended, the 2020 Revolving Credit Facility). Borrowings under the 2020 Revolving Credit Facility may be used for general corporate purposes, including to support the growth of our new business production and operations, and accrue interest at a variable rate equal to, at our discretion, (i) a base rate (as defined in our existing credit agreement (the Credit Agreement), subject to a floor of 1.00% per annum) plus a margin of 0.375% to 1.875% per annum or (ii) the Eurodollar Rate plus a margin of 1.375% to 2.875% per annum, based on the applicable corporate credit rating at the time. On October 30, 2020, we entered into a Joinder Agreement to the Credit Agreement, increasing the aggregate principal amount of commitments under the 2020 Revolving Credit Facility from $100 million to $110 million. All other terms remained unchanged. As of September 30, 2021, no amounts were drawn under the 2020 Revolving Credit Facility. Under the 2020 Revolving Credit Facility, we are required to pay a quarterly commitment fee on the average daily undrawn amount of 0.175% to 0.525%, based on the applicable corporate credit rating at the time. As of September 30, 2021, the applicable commitment fee was 0.35%. For the three and nine months ended September 30, 2021, we recorded $0.1 million and $0.3 million of commitment fees in interest expense, respectively. We incurred debt issuance costs of $0.8 million in connection with the 2020 Revolving Credit Facility and had $0.6 million of unamortized debt issuance costs associated with the 2018 Revolving Credit Facility remaining at the time of its amendment and replacement. Combined unamortized debt issuance will be amortized through interest expense on a straight-line basis over the contractual life of the 2020 Revolving Credit Facility. At September 30, 2021, remaining unamortized deferred debt issuance costs were $0.7 million. We are subject to certain covenants under the 2020 Revolving Credit Facility, including, but not limited to, the following: a maximum debt-to-total capitalization ratio of 35%, a minimum liquidity requirement, compliance with the PMIERs' financial requirements (subject to any GSE approved waivers), and minimum consolidated net worth and statutory capital requirements (respectively, as defined therein). We were in compliance with all covenants at September 30, 2021.
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Reinsurance | ReinsuranceWe enter into third-party reinsurance transactions to actively manage our risk, ensure compliance with PMIERs, state regulatory and other applicable capital requirements, (respectively, as defined therein), and support the growth of our business. The Wisconsin Office of the Commissioner of Insurance (Wisconsin OCI) has approved and the GSEs have indicated their non-objection to all such transactions (subject to certain conditions and ongoing review, including levels of approved capital credit). The effect of our reinsurance agreements on premiums written and earned is as follows:
(1) Net of profit commission. Excess-of-loss reinsurance NMIC is party to reinsurance agreements with the Oaktown Re Vehicles that provide it with aggregate excess-of-loss reinsurance coverage on defined portfolios of mortgage insurance policies. Under each agreement, NMIC retains a first layer of aggregate loss exposure on covered policies and the respective Oaktown Re Vehicle then provides second layer loss protection up to a defined reinsurance coverage amount. NMIC then retains losses in excess of the respective reinsurance coverage amounts. NMIC makes risk premium payments to the Oaktown Re Vehicles for the applicable outstanding reinsurance coverage amount and pays an additional amount for anticipated operating expenses (capped at $250 thousand per year, except with respect to Oaktown Re Ltd., for which the cap is $300 thousand per year). NMIC ceded aggregate premiums to the Oaktown Re Vehicles of $10.4 million and $30.0 million during the three and nine months ended September 30, 2021, respectively, and $6.3 million and $13.4 million during the three and nine months ended September 30, 2020, respectively. The increase in premiums ceded during the respective periods year-on-year is due to the inception of the excess-of-loss reinsurance agreements that NMIC entered in with Oaktown Re IV Ltd., Oaktown Re V Ltd. and Oaktown Re VI Ltd. NMIC applies claims paid on covered policies against its first layer aggregate retained loss exposure under each excess-of-loss agreement. NMIC did not cede any incurred losses on covered policies to the Oaktown Re Vehicles during the three and nine months ended September 30, 2021 and 2020, as the aggregate first layer risk retention for each applicable agreement was not exhausted during such periods. Under the terms of each excess-of-loss reinsurance agreement, the Oaktown Re Vehicles are required to fully collateralize their outstanding reinsurance coverage amount to NMIC with funds deposited into segregated reinsurance trusts. Such trust funds are required to be invested in short-term U.S. Treasury money market funds at all times. Each Oaktown Re Vehicle financed its respective collateral requirement through the issuance of mortgage insurance-linked notes to unaffiliated investors. Such insurance-linked notes mature ten years from the inception date of each reinsurance agreement (except the notes issued by Oaktown Re VI Ltd. which have a 12.5 year maturity). We refer to NMIC's reinsurance agreements with and the insurance-linked note issuances by the Oaktown Re Vehicles individually as the 2017 ILN Transaction, 2018 ILN Transaction, 2019 ILN Transaction, 2020-1 ILN Transaction, 2020-2 ILN Transaction and 2021-1 ILN Transaction, and collectively as the ILN Transactions. The respective reinsurance coverage amounts provided by the Oaktown Re Vehicles decrease over a ten-year period as the underlying insured mortgages are amortized or repaid, and/or the mortgage insurance coverage is canceled (except the coverage provided by Oaktown Re VI Ltd., which decreases over a 12.5 year period). As the reinsurance coverage decreases, a prescribed amount of collateral held in trust by the Oaktown Re Vehicles is distributed to ILN Transaction noteholders as amortization of the outstanding insurance-linked note principal balances. The outstanding reinsurance coverage amounts stop amortizing, and the collateral distribution to ILN Transaction noteholders and amortization of insurance-linked note principal is suspended if certain credit enhancement or delinquency thresholds, as defined in each agreement, are triggered (each, a Lock-Out Event). A Lock-Out Event was deemed to have occurred, effective June 25, 2020 for each of the 2017, 2018 and 2019 ILN Transactions (related to the default experience of the underlying reference pools for each respective transaction) and at inception of the 2021-1 ILN Transaction (related to the initial build of its target credit enhancement), and the amortization of reinsurance coverage, and distribution of collateral assets and amortization of insurance-linked notes was suspended for each ILN Transaction. The amortization of reinsurance coverage, distribution of collateral assets and amortization of insurance-linked notes will remain suspended for the duration of the Lock-Out Event for each ILN Transaction, and during such period assets will be preserved in the applicable reinsurance trust account to collateralize the excess-of-loss reinsurance coverage provided to NMIC. The following table presents the inception date, covered production period, initial and current reinsurance coverage amount, and initial and current first layer retained aggregate loss under each of the ILN Transactions. Current amounts are presented as of September 30, 2021.
(1) NMIC applies claims paid on covered policies against its first layer aggregate retained loss exposure and cedes reserves for incurred claims and claims expenses to each applicable ILN Transaction and recognizes a reinsurance recoverable if such incurred claims and claims expenses exceed its current first layer retained loss. (2) Approximately 1% of the production covered by the 2020-2 ILN Transaction has coverage reporting dates between July 1, 2019 and March 31, 2020. (3) Approximately 1% of the production covered by the 2021-1 ILN Transaction has coverage reporting dates between July 1, 2019 and September 30, 2020. (4) As of September 30, 2021, the current reinsurance coverage amount on the 2021-1 ILN transaction is equal to the initial reinsurance coverage, as the reinsurance coverage provided by Oaktown Re will not decrease until its target credit enhancement is met. NMIC holds optional termination rights under each ILN Transaction, including, among others, an optional call feature which provides NMIC the discretion to terminate the transaction on or after a prescribed date, and a clean-up call if the outstanding reinsurance coverage amount amortizes to 10% or less of the reinsurance coverage amount at inception or if NMIC reasonably determines that changes to GSE or rating agency asset requirements would cause a material and adverse effect on the capital treatment afforded to NMIC under a given agreement. In addition, there are certain events that trigger mandatory termination of an agreement, including NMIC's failure to pay premiums or consent to reductions in a trust account to make principal payments to noteholders, among others. Under the terms of the 2018, 2019 and 2020-1 ILN Transactions, we are required to maintain a certain level of restricted funds in premium deposit accounts with Bank of New York Mellon until the respective notes have been redeemed in full. "Cash and cash equivalents" on our condensed consolidated balance sheet includes restricted amounts of $3.6 million and $5.6 million as of September 30, 2021 and December 31, 2020, respectively. We are not required to deposit additional funds into the premium deposit accounts in the future and the restricted balances required under these transactions will decline over time as the outstanding principal balance of the respective insurance-linked notes are amortized. Quota share reinsurance NMIC is party to four outstanding quota share reinsurance treaties - the 2016 QSR Transaction, effective September 1, 2016, the 2018 QSR Transaction, effective January 1, 2018, the 2020 QSR Transaction, effective April 1, 2020, and the 2021 QSR Transaction, effective January 1, 2021 - which we refer to collectively as the QSR Transactions. Under each of the QSR Transactions, NMIC cedes a proportional share of its risk on eligible policies written during a discrete period to panels of third-party reinsurance providers. Each of the third-party reinsurance providers has an insurer financial strength rating of A- or better by Standard & Poor's Rating Service (S&P), A.M. Best Company, Inc. (A.M. Best) or both. Under the terms of the 2016 QSR Transaction, NMIC cedes premiums written related to 25% of the risk on eligible primary policies written for all periods through December 31, 2017 and 100% of the risk under our pool agreement with Fannie Mae. The 2016 QSR Transaction is scheduled to terminate on December 31, 2027, except with respect to the ceded pool risk, which is scheduled to terminate on August 31, 2023. NMIC has the option, based on certain conditions and subject to a termination fee, to terminate the agreement as of December 31, 2020, or at the end of any calendar quarter thereafter, which would result in NMIC recapturing the related risk. Under the terms of the 2018 QSR Transaction, NMIC cedes premiums earned related to 25% of the risk on eligible policies written in 2018 and 20% of the risk on eligible policies written in 2019. The 2018 QSR Transaction is scheduled to terminate on December 31, 2029. NMIC has the option, based on certain conditions and subject to a termination fee, to terminate the agreement as of December 31, 2022, or at the end of any calendar quarter thereafter, which would result in NMIC recapturing the related risk. Under the terms of the 2020 QSR Transaction, NMIC cedes premiums earned related to 21% of the risk on eligible policies written from April 1, 2020 to December 31, 2020. The 2020 QSR Transaction is scheduled to terminate on December 31, 2030. NMIC has the option, based on certain conditions and subject to a termination fee, to terminate the agreement as of December 31, 2023, or at the end of any calendar quarter thereafter, which would result in NMIC recapturing the related risk. Under the terms of the 2021 QSR Transaction, NMIC cedes premiums earned related to 22.5% of the risk on eligible policies written in 2021 (subject to an aggregate risk written limit). The 2021 QSR Transaction is scheduled to terminate on December 31, 2031. NMIC has the option, based on certain conditions and subject to a termination fee, to terminate the agreement as of December 31, 2024, or at the end of any calendar quarter thereafter, which would result in NMIC recapturing the related risk. NMIC may terminate any or all of the QSR Transactions without penalty if, due to a change in PMIERs requirements, it is no longer able to take full PMIERs asset credit for the risk-in-force (RIF) ceded under the respective agreements. Additionally, under the terms of the QSR Transactions, NMIC may elect to selectively terminate its engagement with individual reinsurers on a run-off basis (i.e., reinsurers continue providing coverage on all risk ceded prior to the termination date, with no new cessions going forward) or cut-off basis (i.e., the reinsurance arrangement is completely terminated with NMIC recapturing all previously ceded risk) under certain circumstances. Such selective termination rights arise when, among other reasons, a reinsurer experiences a deterioration in its capital position below a prescribed threshold and/or a reinsurer breaches (and fails to cure) its collateral posting obligations under the relevant agreement. Effective April 1, 2019, NMIC elected to terminate its engagement with one reinsurer under the 2016 QSR Transaction on a cut-off basis. In connection with the termination, NMIC recaptured approximately $500 million of previously ceded primary RIF and stopped ceding new premiums earned or written with respect to the recaptured risk. With the termination, ceded premiums written under the 2016 QSR Transaction decreased from 25% to 20.5% on eligible policies. The termination has no effect on the cession of pool risk under the 2016 QSR Transaction. The following table shows amounts related to the QSR Transactions:
Ceded premiums written under the 2016 QSR Transaction are recorded on the balance sheet as prepaid reinsurance premiums and amortized to ceded premiums earned in a manner consistent with the recognition of revenue on direct premiums. Under the 2018, 2020 and 2021 QSR Transactions, premiums are ceded on an earned basis as defined in the agreement. NMIC receives a 20% ceding commission for premiums ceded under the QSR Transactions. NMIC also receives a profit commission under each of the QSR Transactions, provided that the loss ratios on loans covered under the 2016 QSR Transaction, 2018 QSR Transaction, 2020 QSR Transaction and 2021 QSR Transaction, generally remain below 60%, 61%, 50% and 57.5%, respectively, as measured annually. Ceded claims and claim expenses under each of the QSR Transactions reduce the respective profit commission received by NMIC on a dollar-for-dollar basis. In accordance with the terms of the 2016 QSR Transaction, rather than making a cash payment or transferring investments for ceded premiums written, NMIC established a funds withheld liability, which also includes amounts due to NMIC for ceding and profit commissions. Any loss recoveries and any potential profit commission to NMIC will be realized from this account until exhausted. NMIC's reinsurance recoverable balance is further supported by trust accounts established and maintained by each reinsurer in accordance with the PMIERs funding requirements for risk ceded to non-affiliates. The reinsurance recoverable on loss reserves related to the 2016 QSR Transaction was $4.8 million as of September 30, 2021. In accordance with the terms of the 2018, 2020 and 2021 QSR Transactions, cash payments for ceded premiums earned are settled on a quarterly basis, offset by amounts due to NMIC for ceding and profit commissions. Any loss recoveries and any potential profit commission to NMIC are also recognized quarterly. NMIC's reinsurance recoverable balance is supported by trust accounts established and maintained by each reinsurer in accordance with the PMIERs funding requirements for risk ceded to non-affiliates. The aggregate reinsurance recoverable on loss reserves related to the 2018, 2020 and 2021 QSR Transactions was $15.6 million as of September 30, 2021. We remain directly liable for all claim payments if we are unable to collect reinsurance recoverable due from our reinsurers and, as such, we actively monitor and manage our counterparty credit exposure to our reinsurance providers. We establish an allowance for expected credit loss against our reinsurance recoverable if we do not expect to recover amounts due from one or more of our reinsurance counterparties, and report our reinsurance recoverable net of such allowance, if any. We actively monitor the counterparty credit profiles of our reinsurers and each is required to partially collateralize its obligations under the terms of our QSR Transactions. As of September 30, 2021, we did not recognize any allowance for credit loss with respect to our reinsurance recoverable.
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Reserves for Insurance Claims and Claim Expenses |
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Reserves for Insurance Claims and Claim Expenses | Reserves for Insurance Claims and Claim Expenses We hold gross reserves in an amount equal to the estimated liability for insurance claims and claim expenses related to defaults on insured mortgage loans. A loan is considered to be in "default" as of the payment date at which a borrower has missed the preceding two or more consecutive monthly payments. We establish reserves for loans that have been reported to us in default by servicers, referred to as case reserves, and additional loans that we estimate (based on actuarial review and other factors) to be in default that have not yet been reported to us by servicers, referred to as incurred but not reported (IBNR) reserves. We also establish reserves for claim expenses, which represent the estimated cost of the claim administration process, including legal and other fees, as well as other general expenses of administering the claim settlement process. As of September 30, 2021, we had 7,670 primary loans in default and held gross reserves for insurance claims and claim expenses of $104.6 million. During the nine months ended September 30, 2021, we paid 59 claims totaling $2.0 million, including 57 claims covered under the QSR Transactions representing $0.4 million of ceded claims and claim expenses. In 2013, we entered into a pool insurance transaction with Fannie Mae. The pool transaction includes a deductible, which represents the amount of claims to be absorbed by Fannie Mae before we are obligated to pay any claims. We only establish reserves for pool risk if we expect claims to exceed this deductible. At September 30, 2021, 121 loans in the pool were in default. These 121 loans represented approximately $9.9 million of RIF. Due to the size of the remaining deductible, our expectation that a limited number of loans in default will progress to a claim and the expected severity on such claim submissions (all loans in the pool had loan-to-value (LTV) ratios under 80% at origination), we did not establish any case or IBNR reserves for pool risk at September 30, 2021. In connection with the settlement of pool claims, we applied $1.0 million to the pool deductible through September 30, 2021. At September 30, 2021, the remaining pool deductible was $9.4 million. We have not paid any pool claims to date. 100% of our pool RIF is reinsured under the 2016 QSR Transaction. We had 7,670 loans in default in our primary insured portfolio as of September 30, 2021, which represented a 1.56% default rate against 490,714 total policies in-force. We had 13,765 loans in default in our primary insured portfolio as of September 30, 2020, which represented a 3.60% default rate against 381,899 total policies in-force. Although our default count declined from September 30, 2020 to September 30, 2021, the population remains elevated compared to our historical experience due to the continued challenges certain borrowers are facing related to the COVID-19 outbreak and their decision to access the forbearance program for federally backed loans codified under the Coronavirus Aid, Relief and Economic Security (CARES) Act or similar programs made available by private lenders. The size of the reserve we establish for each defaulted loan (and by extension our aggregate reserve for claims and claim expenses) reflects our best estimate of the future claim payment to be made for each individual loan in default. Our future claims exposure is a function of the number of defaulted loans that progress to claim payment (which we refer to as frequency) and the amount to be paid to settle such claims (which we refer to as severity). Our estimates of claims frequency and severity are not formulaic, rather they are broadly synthesized based on historical observed experience for similarly situated loans and assumptions about future macroeconomic factors. We generally observe that forbearance programs are an effective tool to bridge dislocated borrowers from a time of acute stress to a future date when they can resume timely payment of their mortgage obligations. The effectiveness of forbearance programs is enhanced by the availability of various repayment and loan modification options which allow borrowers to amortize or, in certain instances, outright defer payments otherwise due during the forbearance period over an extended length of time. In response to the COVID-19 outbreak, the Federal Housing Financing Agency (FHFA) and GSEs introduced new repayment and loan modification options to further assist borrowers with their transition out of forbearance programs and default status. Our reserve setting process considers the beneficial impact of forbearance, foreclosure moratorium and other assistance programs available to defaulted borrowers. At September 30, 2020 and 2021, we generally established lower reserves for defaults that we consider to be connected to the COVID-19 outbreak given our expectation that forbearance, repayment and modification, and other assistance programs will aid affected borrowers and drive higher cure rates on such defaults than we would otherwise expect to experience on similarly situated loans that did not benefit from broad-based assistance programs. The following table provides a reconciliation of the beginning and ending gross reserve balances for primary insurance claims and claim expenses:
(1) Related to ceded losses recoverable under the QSR Transactions. See Note 5, "Reinsurance" for additional information. (2) Related to insured loans with their most recent defaults occurring in the current year. For example, if a loan defaulted in a prior year and subsequently cured and later re-defaulted in the current year, the default would be included in the current year. Amounts are presented net of reinsurance and included $14.0 million attributed to net case reserves and $4.8 million attributed to net IBNR reserves for the nine months ended September 30, 2021 and $55.4 million attributed to net case reserves and $4.8 million attributed to net IBNR reserves for the nine months ended September 30, 2020. (3) Related to insured loans with defaults occurring in prior years, which have been continuously in default before the start of the current year. Amounts are presented net of reinsurance and included $1.8 million attributed to net case reserves and $5.0 million attributed to net IBNR reserves for the nine months ended September 30, 2021 and $4.0 million attributed to net case reserves and $1.3 million attributed to net IBNR reserves for the nine months ended September 30, 2020. The "claims incurred" section of the table above shows claims and claim expenses incurred on defaults occurring in current and prior years, including IBNR reserves and is presented net of reinsurance. We may increase or decrease our claim estimates and reserves as we learn additional information about individual defaulted loans, and continue to observe and analyze loss development trends in our portfolio. Gross reserves of $80.6 million related to prior year defaults remained as of September 30, 2021.
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Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings per Share (EPS) | Earnings per Share (EPS) Basic EPS is based on the weighted average number of shares of common stock outstanding. Diluted EPS is based on the weighted average number of shares of common stock outstanding and common stock equivalents that would be issuable upon the vesting of service based and performance and service-based restricted stock units (RSUs), and the exercise of vested and unvested stock options and outstanding warrants. The number of shares issuable for RSUs subject to performance and service based vesting requirements are only included in diluted shares if the relevant performance measurement period has commenced and results during such period meet the necessary performance criteria. The following table reconciles the net income and the weighted average shares of common stock outstanding used in the computations of basic and diluted EPS of common stock.
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Warrants |
9 Months Ended |
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Sep. 30, 2021 | |
Debt Disclosure [Abstract] | |
Warrants | Warrants We issued 992 thousand warrants in connection with a private placement of our common stock in April 2012, of which 239 thousand remained outstanding available for exercise at September 30, 2021. Each warrant gives the holder thereof the right to purchase one share of common stock at an exercise price equal to $10.00. The warrants were issued with an aggregate fair value of $5.1 million. During the three months ended September 30, 2021, 32 thousand warrants were exercised resulting in the issuance of 28 thousand shares of common stock. Upon exercise, we reclassified approximately $0.4 million of warrant fair value from warrant liability to additional paid-in capital. During the nine months ended September 30, 2021, 73 thousand warrants were exercised resulting in the issuance of 60 thousand shares of common stock. Upon exercise, we reclassified approximately $0.9 million of warrant fair value from warrant liability to additional paid-in capital. During the three months ended September 30, 2020, no warrants were exercised. During the nine months ended September 30, 2020, nine thousand warrants were exercised resulting in the issuance of six thousand shares of common stock. Upon exercise, we reclassified approximately $0.2 million of warrant fair value from warrant liability to additional paid-in capital.
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Income Taxes |
9 Months Ended |
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Sep. 30, 2021 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes We are a U.S. taxpayer and are subject to a statutory U.S. federal corporate income tax rate of 21%. NMIH files a consolidated U.S. federal and various state income tax returns on behalf of itself and its subsidiaries. Our effective tax rate on our pre-tax income was 22.3% and 21.9% for the three and nine months ended September 30, 2021, respectively, compared to 22.6% and 21.2% for the three and nine months ended September 30, 2020, respectively. Our provision for income taxes for interim reporting periods is established based on our estimated annual effective tax rate for a given year. Our effective tax rate may fluctuate between interim periods due to the impact of discrete items not included in our estimated annual effective tax rate, including the tax effects associated with the vesting of RSUs and exercise of options, and the change in fair value of our warrant liability. Such items are treated on a discrete basis in the reporting period in which they occur. As a mortgage guaranty insurance company, we are eligible to claim a tax deduction for our statutory contingency reserve balance, subject to certain limitations outlined under IRC Section 832(e), and only to the extent we acquire tax and loss bonds in an amount equal to the tax benefit derived from the claimed deduction, which is our intent. As a result, our interim provision for income taxes for the three and nine months ended September 30, 2021 represents a change in our net deferred tax liability. As of September 30, 2021 and December 31, 2020, we held $46.4 million of tax and loss bonds in "Other assets" on our condensed consolidated balance sheet.
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Premium Receivable |
9 Months Ended |
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Sep. 30, 2021 | |
Insurance [Abstract] | |
Premium Receivable | Premium Receivable Premiums receivable consists of premiums due on our mortgage insurance policies. If a mortgage insurance premium is unpaid for more than 120 days, all associated receivables are written off against earned premium and the related insurance policy is canceled. We recognize an allowance for credit losses for premiums receivable based on credit losses expected to arise over the life of the receivable. Due to the nature of our insurance policies (a necessary precondition for access to mortgage credit for covered borrowers) and the short duration of the related receivables, we do not typically experience credit losses against our premium receivables and did not establish an allowance for credit loss at September 30, 2021 and December 31, 2020. Premiums receivable may be written off prior to 120 days in the ordinary course of business for non-credit events including, but not limited to, the modification or refinancing of an underlying insured loan. We establish a reserve for the write-off of premiums receivable based on historical experience. Our premium write-off reserve was not material at September 30, 2021 or December 31, 2020.
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Regulatory Information |
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Insurance [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Regulatory Information | Regulatory Information Statutory Requirements Our insurance subsidiaries, NMIC and Re One, file financial statements in conformity with statutory accounting principles (SAP) prescribed or permitted by the Wisconsin OCI, NMIC's principal regulator. Prescribed SAP includes state laws, regulations and general administrative rules, as well as a variety of publications of the National Association of Insurance Commissioners (NAIC). The Wisconsin OCI recognizes only statutory accounting practices prescribed or permitted by the state of Wisconsin for determining and reporting the financial condition and results of operations of an insurance company and for determining its solvency under Wisconsin insurance laws. NMIC and Re One generated combined statutory net income of $8.7 million and $23.9 million for the three and nine months ended September 30, 2021, respectively, and combined statutory net loss of $5.6 million and $22.6 million for the three and nine months ended September 30, 2020, respectively. The Wisconsin OCI has imposed a prescribed accounting practice for the treatment of statutory contingency reserves that differs from the treatment promulgated by the NAIC. Under Wisconsin OCI's prescribed practice mortgage guaranty insurers are required to reflect changes in their contingency reserves through statutory income. Such approach contrasts with the NAIC's treatment, which records changes to contingency reserves directly to unassigned funds. As a Wisconsin-domiciled insurer, NMIC's statutory net income reflects an expense associated with the change in its contingency reserve. While such treatment impacts NMIC's statutory net income, it does not have an effect on NMIC's statutory capital position. The following table presents NMIC and Re One's combined statutory surplus, contingency reserve, statutory capital and risk-to-capital (RTC) ratio:
(1) Represents the total of the statutory surplus and contingency reserve. NMIH is not subject to any limitations on its ability to pay dividends except those generally applicable to corporations that are incorporated in the State of Delaware. Delaware law provides that dividends are only payable out of a corporation's capital surplus or, subject to certain limitations, recent net profits. NMIC and Re One are subject to certain rules and regulations prescribed by jurisdictions in which they are authorized to operate and the GSEs that may restrict their ability to pay dividends to NMIH. Re One has the capacity to pay $1.6 million of aggregate ordinary dividends to NMIH during the twelve-month period ending December 31, 2021. NMIC reported a statutory net loss for the year ended December 31, 2020 and does not have the capacity to pay dividends to NMIH during the twelve-month period ended December 31, 2021 without prior approval from the Wisconsin OCI. Neither Re One nor NMIC have ever paid dividends to NMIH. As an approved insurer under PMIERs, NMIC would generally be subject to prior GSE approval of its ability to pay dividends to NMIH if it failed to meet the financial requirements prescribed by PMIERs. In response to the COVID-19 pandemic, the GSEs issued temporary PMIERs guidance, effective for the period from June 30, 2020 to June 30, 2021, that requires approved insurers to secure approval from the GSEs prior to paying any dividends, even if the approved insurer otherwise satisfies the financial requirements prescribed by PMIERs. On June 30, 2021, the GSEs updated the temporary PMIERs guidance to permit approved insurers to pay dividends without securing prior approval if certain prescribed financial requirements are met during the period from July 1, 2021 to December 31, 2021.
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Subsequent Event |
9 Months Ended |
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Sep. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Event | Subsequent Event Excess-of-loss reinsurance On October 26, 2021, NMIC entered into a reinsurance agreement with Oaktown Re VII Ltd. (Oaktown Re VII), a Bermuda domiciled special purpose reinsurer, that provides for up to $363.6 million of aggregate excess-of-loss reinsurance coverage at inception for new delinquencies on an existing portfolio of mortgage insurance policies primarily written between April 1, 2021 and September 30, 2021. For the reinsurance coverage period, NMIC will retain the first layer of $146.2 million of aggregate losses and Oaktown Re VII will then provide second layer coverage up to the outstanding reinsurance coverage amount. NMIC will then retain losses in excess of the outstanding reinsurance coverage amount. Oaktown Re VII financed the coverage by issuing mortgage insurance-linked notes in an aggregate principal amount of $363.6 million to unaffiliated investors. The notes issued by Oaktown Re VII mature on April 25, 2034; all proceeds raised were deposited into a reinsurance trust to collateralize and fund the obligations of Oaktown Re VII to NMIC under the reinsurance agreement. Funds in the reinsurance trust account are required to be invested in high credit quality money market funds at all times. We refer to NMIC's reinsurance agreement with and the insurance-linked notes issued by Oaktown Re VII as the 2021-2 ILN Transaction. Under the terms of the 2021-2 ILN Transaction, NMIC makes risk premium payments for the applicable outstanding reinsurance coverage amount and pays Oaktown Re VII for anticipated operating expenses (capped at $250,000 per year). Quota share reinsurance In October 2021, NMIC entered into two back-to-back quota share reinsurance treaties that will provide coverage for mortgage insurance policies to be written primarily in 2022 and 2023 (the “2022 QSR Transaction” and “2023 QSR Transaction”). Under the terms of the 2022 and 2023 QSR Transactions, NMIC will cede premiums earned related to 20% of the risk on eligible policies written between January 1, 2022 and December 31, 2023, in exchange for reimbursement of ceded claims and claims expenses on covered policies, a 20% ceding commission, and a profit commission of up to 62% that varies directly and inversely with ceded claims. If NMIC exhausts the aggregate risk written limit of the 2021 QSR Transaction prior to December 31, 2021, the 2022 QSR Transaction will automatically incept and NMIC will begin to cede risk on eligible policies under the treaty prior to January 1, 2022.
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Organization, Basis of Presentation and Summary of Accounting Principles (Policies) |
9 Months Ended |
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Sep. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of Presentation The accompanying unaudited condensed consolidated financial statements, which include the results of NMIH and its wholly-owned subsidiaries, have been prepared in accordance with the instructions to Form 10-Q as prescribed by the SEC for interim reporting and include other information and disclosures required by accounting principles generally accepted in the U.S. (GAAP). Our accounts are maintained in U.S. dollars. These statements should be read in conjunction with our consolidated financial statements and notes thereto for the year ended December 31, 2020, included in our 2020 10-K. All intercompany transactions have been eliminated. The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect reported amounts of assets and liabilities, as well as disclosure of contingent assets and liabilities as of the balance sheet date. Estimates also affect the reported amounts of income and expenses for the reporting period. Actual results could differ from those estimates. The results of operations for the interim period may not be indicative of the results that may be expected for the full year ending December 31, 2021.
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Variable Interest Entities | Variable Interest Entities NMIC is a party to reinsurance agreements with Oaktown Re Ltd., Oaktown Re II Ltd., Oaktown Re III Ltd., Oaktown Re IV Ltd. Oaktown Re V Ltd., and Oaktown Re VI Ltd. (special purpose reinsurance entities collectively referred to as the Oaktown Re Vehicles) effective May 2, 2017, July 25, 2018, July 30, 2019, July 30, 2020, October 29, 2020 and April 27, 2021, respectively. At inception of the respective reinsurance agreements, we determined that each of the Oaktown Re Vehicles were variable interest entities (VIEs), as defined under GAAP Accounting Standards Codification (ASC) 810, because they did not have sufficient equity at risk to finance their respective activities. We evaluated the VIEs at inception to determine whether NMIC was the primary beneficiary under each reinsurance transaction and, if so, whether we were required to consolidate the assets and liabilities of each VIE. The primary beneficiary of a VIE is an enterprise that (1) has the power to direct the activities of the VIE, which most significantly impact its economic performance and (2) has significant economic exposure to the VIE, i.e., the obligation to absorb losses or receive benefits that could potentially be significant. The determination of whether an entity is the primary beneficiary of a VIE is complex and requires management judgment regarding determinative factors, including the expected results of the VIE and how those results are absorbed by beneficial interest holders, as well as which party has the power to direct activities that most significantly impact the performance of the VIE. We concluded that we are not the primary beneficiary of each VIE and, as such, we do not consolidate them in our consolidated financial statements.
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Recent Accounting Pronouncements | Recent Accounting Pronouncements - Adopted In December 2019, the Financial Accounting Standards Board (the FASB) issued ASU 2019-12, Simplifying the Accounting for Income Taxes (Topic 740). The update eliminates certain exceptions for recognizing deferred taxes for investments, performing intra-period allocations and calculating income taxes in interim periods. The ASU also includes guidance to reduce complexity in certain income tax areas, including recognizing deferred taxes for tax goodwill and allocating taxes to members of a consolidated group. We adopted this ASU on January 1, 2021 and determined it did not have a material impact on our consolidated financial statements. Recent Accounting Pronouncements - Not Yet Adopted In August 2018, the FASB issued ASU 2018-12, Targeted Improvements to the Accounting for Long-Duration Contracts (Topic 944). The update provides guidance to the existing recognition, measurement, presentation and disclosure requirements for long-duration contracts issued by an insurance entity. The FASB subsequently issued ASU 2019-09 in November 2019 and ASU 2020-11 in November 2020, which amended the effective date for this standard and provided transition relief to facilitate early application for long duration contracts. These standards will now take effect for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2022. We are currently evaluating the impact the adoption of these ASUs will have, if any, on our consolidated financial statements. In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848). The update provides optional guidance to ease the potential burden in accounting for reference rate reform on financial reporting. Reference rate reform refers to the global transition away from referencing the London Interbank Offered Rate (LIBOR) in financial contracts, which is expected to be discontinued beginning in 2021 through 2023. The ASU includes optional expedients and exceptions for applying GAAP to contracts, hedging relationships and other transactions affected by reference rate reform if certain criteria are met. This standard may be elected and applied prospectively over time from March 12, 2020 through December 31, 2022 as reference rate reform activities occur. The adoption of, and future elections under, this ASU are not expected to have a material impact on our consolidated financial statements as the ASU will ease, if warranted, the requirements for accounting for the future effects of the rate reform. We continue to monitor the impact the discontinuance of LIBOR or another reference rate will have on our contracts and other transactions. In August 2020, the FASB issued ASU 2020-06, Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity's Own Equity (Subtopic 815-40). This update simplifies the accounting for convertible instruments and contracts on an entity's own equity, including warrants, eliminating certain triggers for derivative accounting. The standard will take effect for public business entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2021. We have evaluated the impact the adoption of this ASU and we do not expect it to have a material impact on our consolidated financial statements, including our warrant liability.
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Earnings Per Share | Basic EPS is based on the weighted average number of shares of common stock outstanding. Diluted EPS is based on the weighted average number of shares of common stock outstanding and common stock equivalents that would be issuable upon the vesting of service based and performance and service-based restricted stock units (RSUs), and the exercise of vested and unvested stock options and outstanding warrants. The number of shares issuable for RSUs subject to performance and service based vesting requirements are only included in diluted shares if the relevant performance measurement period has commenced and results during such period meet the necessary performance criteria. The following table reconciles the net income and the weighted average shares of common stock outstanding used in the computations of basic and diluted EPS of common stock. |
Premiums Receivable | Premium Receivable Premiums receivable consists of premiums due on our mortgage insurance policies. If a mortgage insurance premium is unpaid for more than 120 days, all associated receivables are written off against earned premium and the related insurance policy is canceled. We recognize an allowance for credit losses for premiums receivable based on credit losses expected to arise over the life of the receivable. Due to the nature of our insurance policies (a necessary precondition for access to mortgage credit for covered borrowers) and the short duration of the related receivables, we do not typically experience credit losses against our premium receivables and did not establish an allowance for credit loss at September 30, 2021 and December 31, 2020. Premiums receivable may be written off prior to 120 days in the ordinary course of business for non-credit events including, but not limited to, the modification or refinancing of an underlying insured loan. We establish a reserve for the write-off of premiums receivable based on historical experience. Our premium write-off reserve was not material at September 30, 2021 or December 31, 2020.
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Investments (Tables) |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of fair values and gross unrealized gains and losses | Fair Values and Gross Unrealized Gains and Losses on Investments
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Schedule of investments by industry group | The following table presents a breakdown of the fair value of our corporate debt securities by issuer industry group as of September 30, 2021 and December 31, 2020:
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Schedule of investments by maturity | The amortized cost and fair value of available-for-sale securities as of September 30, 2021 and December 31, 2020, by contractual maturity, are shown below. Expected maturities will differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties. Because most asset-backed securities provide for periodic payments throughout their lives, they are listed below in a separate category.
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Schedule of aging unrealized losses | For those securities in an unrealized loss position, the length of time the securities were in such a position is as follows:
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Schedule of components of net investment income | The following table presents the components of net investment income:
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Schedule of net realized investment losses | The following table presents the components of net realized investment losses:
|
Fair Value of Financial Instruments (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of fair value measurements of financial instruments | The following tables present the level within the fair value hierarchy at which our financial instruments were measured:
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Roll-forward of level 3 liabilities measured at fair value | The following table provides a roll-forward of Level 3 liabilities measured at fair value:
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Schedule of key inputs and assumptions in option-pricing model | The following table outlines the key inputs and assumptions used to calculate the fair value of the warrant liability in the Black-Scholes option-pricing model as of the dates indicated.
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Reinsurance (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reinsurance Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of effects of reinsurance | The effect of our reinsurance agreements on premiums written and earned is as follows:
(1) Net of profit commission. The following table shows amounts related to the QSR Transactions:
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Schedule of ILN transactions | The following table presents the inception date, covered production period, initial and current reinsurance coverage amount, and initial and current first layer retained aggregate loss under each of the ILN Transactions. Current amounts are presented as of September 30, 2021.
(1) NMIC applies claims paid on covered policies against its first layer aggregate retained loss exposure and cedes reserves for incurred claims and claims expenses to each applicable ILN Transaction and recognizes a reinsurance recoverable if such incurred claims and claims expenses exceed its current first layer retained loss. (2) Approximately 1% of the production covered by the 2020-2 ILN Transaction has coverage reporting dates between July 1, 2019 and March 31, 2020. (3) Approximately 1% of the production covered by the 2021-1 ILN Transaction has coverage reporting dates between July 1, 2019 and September 30, 2020. (4) As of September 30, 2021, the current reinsurance coverage amount on the 2021-1 ILN transaction is equal to the initial reinsurance coverage, as the reinsurance coverage provided by Oaktown Re will not decrease until its target credit enhancement is met.
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Reserves for Insurance Claims and Claim Expenses (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Insurance [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reconciliation of liability for insurance claims and claim expenses | The following table provides a reconciliation of the beginning and ending gross reserve balances for primary insurance claims and claim expenses:
(1) Related to ceded losses recoverable under the QSR Transactions. See Note 5, "Reinsurance" for additional information. (2) Related to insured loans with their most recent defaults occurring in the current year. For example, if a loan defaulted in a prior year and subsequently cured and later re-defaulted in the current year, the default would be included in the current year. Amounts are presented net of reinsurance and included $14.0 million attributed to net case reserves and $4.8 million attributed to net IBNR reserves for the nine months ended September 30, 2021 and $55.4 million attributed to net case reserves and $4.8 million attributed to net IBNR reserves for the nine months ended September 30, 2020. (3) Related to insured loans with defaults occurring in prior years, which have been continuously in default before the start of the current year. Amounts are presented net of reinsurance and included $1.8 million attributed to net case reserves and $5.0 million attributed to net IBNR reserves for the nine months ended September 30, 2021 and $4.0 million attributed to net case reserves and $1.3 million attributed to net IBNR reserves for the nine months ended September 30, 2020.
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Earnings per Share (EPS) (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of earnings per share, basic and diluted |
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Regulatory Information (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Insurance [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of statutory net income (loss), surplus, contingency reserve and risk-to-capital ratio | The following table presents NMIC and Re One's combined statutory surplus, contingency reserve, statutory capital and risk-to-capital (RTC) ratio:
(1) Represents the total of the statutory surplus and contingency reserve.
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Organization, Basis of Presentation and Summary of Accounting Principles - Narrative (Details) |
Sep. 30, 2021
state
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Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of states in which the entity operates | 50 |
Investments - Fair Values and Gross Unrealized Gains and Losses (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 2,024,639 | $ 1,730,835 |
Gross unrealized gains | 43,070 | 73,963 |
Gross unrealized losses | (13,290) | (512) |
Fair Value | 2,054,419 | 1,804,286 |
U.S. Treasury securities and obligations of U.S. government agencies | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 29,435 | 29,412 |
Gross unrealized gains | 1,384 | 2,186 |
Gross unrealized losses | 0 | 0 |
Fair Value | 30,819 | 31,598 |
Municipal debt securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 503,615 | 407,323 |
Gross unrealized gains | 8,114 | 14,027 |
Gross unrealized losses | (2,735) | (2) |
Fair Value | 508,994 | 421,348 |
Corporate debt securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 1,375,589 | 1,165,260 |
Gross unrealized gains | 32,051 | 55,014 |
Gross unrealized losses | (10,478) | (483) |
Fair Value | 1,397,162 | 1,219,791 |
Asset-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 104,990 | 128,471 |
Gross unrealized gains | 1,516 | 2,736 |
Gross unrealized losses | (77) | (27) |
Fair Value | 106,429 | 131,180 |
Total bonds | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 2,013,629 | 1,730,466 |
Gross unrealized gains | 43,065 | 73,963 |
Gross unrealized losses | (13,290) | (512) |
Fair Value | 2,043,404 | 1,803,917 |
Short-term investments | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 11,010 | 369 |
Gross unrealized gains | 5 | 0 |
Gross unrealized losses | 0 | 0 |
Fair Value | $ 11,015 | $ 369 |
Investments - Narrative (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Unrealized loss position, accumulated loss | $ 13,290 | $ 512 |
Unrealized loss position, 12 months or greater | 1,269 | 8 |
U.S. Treasury securities and obligations of U.S. government agencies | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cash and investments held with various state insurance departments | $ 5,600 | $ 5,700 |
Investments - Corporate Debt Securities by Industry Group (Details) |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Debt Securities By Industry [Line Items] | ||
Corporate debt securities as component of total (percent) | 100.00% | 100.00% |
Financial | ||
Debt Securities By Industry [Line Items] | ||
Corporate debt securities as component of total (percent) | 38.00% | 37.00% |
Consumer | ||
Debt Securities By Industry [Line Items] | ||
Corporate debt securities as component of total (percent) | 23.00% | 23.00% |
Communications | ||
Debt Securities By Industry [Line Items] | ||
Corporate debt securities as component of total (percent) | 12.00% | 10.00% |
Technology | ||
Debt Securities By Industry [Line Items] | ||
Corporate debt securities as component of total (percent) | 10.00% | 10.00% |
Utilities | ||
Debt Securities By Industry [Line Items] | ||
Corporate debt securities as component of total (percent) | 10.00% | 11.00% |
Industrial | ||
Debt Securities By Industry [Line Items] | ||
Corporate debt securities as component of total (percent) | 7.00% | 9.00% |
Investments - Scheduled Maturities (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Amortized Cost | ||
Due in one year or less | $ 66,077 | $ 57,429 |
Due after one through five years | 624,658 | 507,444 |
Due after five through ten years | 1,165,336 | 1,016,230 |
Due after ten years | 63,578 | 21,261 |
Asset-backed securities | 104,990 | 128,471 |
Amortized Cost | 2,024,639 | 1,730,835 |
Fair Value | ||
Due in one year or less | 66,624 | 57,949 |
Due after one through five years | 646,757 | 536,520 |
Due after five through ten years | 1,170,933 | 1,056,098 |
Due after ten years | 63,676 | 22,539 |
Asset-backed securities | 106,429 | 131,180 |
Fair Value | $ 2,054,419 | $ 1,804,286 |
Investments - Aging of Unrealized Losses (Details) $ in Thousands |
Sep. 30, 2021
USD ($)
security
|
Dec. 31, 2020
USD ($)
security
|
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Number of securities, less than 12 months | security | 214 | 15 |
Fair value, less than 12 months | $ 826,984 | $ 48,820 |
Unrealized losses, less than 12 months | $ (12,021) | $ (504) |
Number of securities,12 months or greater | security | 5 | 2 |
Fair value, 12 months or greater | $ 31,368 | $ 2,528 |
Unrealized losses, 12 months or greater | $ (1,269) | $ (8) |
Number of securities, total | security | 219 | 17 |
Fair Value | $ 858,352 | $ 51,348 |
Unrealized Losses | $ (13,290) | $ (512) |
Municipal debt securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of securities, less than 12 months | security | 116 | 4 |
Fair value, less than 12 months | $ 223,105 | $ 3,548 |
Unrealized losses, less than 12 months | $ (2,735) | $ (2) |
Number of securities,12 months or greater | security | 0 | 0 |
Fair value, 12 months or greater | $ 0 | $ 0 |
Unrealized losses, 12 months or greater | $ 0 | |
Number of securities, total | security | 116 | 4 |
Fair Value | $ 223,105 | $ 3,548 |
Unrealized Losses | $ (2,735) | $ (2) |
Corporate debt securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of securities, less than 12 months | security | 94 | 9 |
Fair value, less than 12 months | $ 598,002 | $ 40,081 |
Unrealized losses, less than 12 months | $ (9,258) | $ (483) |
Number of securities,12 months or greater | security | 4 | 1 |
Fair value, 12 months or greater | $ 29,367 | $ 33 |
Unrealized losses, 12 months or greater | $ (1,220) | $ 0 |
Number of securities, total | security | 98 | 10 |
Fair Value | $ 627,369 | $ 40,114 |
Unrealized Losses | $ (10,478) | $ (483) |
Asset-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of securities, less than 12 months | security | 2 | 2 |
Fair value, less than 12 months | $ 4,228 | $ 5,191 |
Unrealized losses, less than 12 months | $ (28) | $ (19) |
Number of securities,12 months or greater | security | 1 | 1 |
Fair value, 12 months or greater | $ 2,001 | $ 2,495 |
Unrealized losses, 12 months or greater | $ (49) | $ (8) |
Number of securities, total | security | 3 | 3 |
Fair Value | $ 6,229 | $ 7,686 |
Unrealized Losses | $ (77) | $ (27) |
Short-term investments | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of securities, less than 12 months | security | 2 | |
Fair value, less than 12 months | $ 1,649 | |
Unrealized losses, less than 12 months | $ 0 | |
Number of securities,12 months or greater | security | 0 | |
Fair value, 12 months or greater | $ 0 | |
Unrealized losses, 12 months or greater | $ 0 | |
Number of securities, total | security | 2 | |
Fair Value | $ 1,649 | |
Unrealized Losses | $ 0 |
Investments - Net Investment Income (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Investment Income, Net [Abstract] | ||||
Investment income | $ 10,170 | $ 8,624 | $ 29,003 | $ 24,293 |
Investment expenses | (339) | (287) | (976) | (782) |
Net investment income | $ 9,831 | $ 8,337 | $ 28,027 | $ 23,511 |
Investments - Net Realized Investment Gains (Losses) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Investments, Debt and Equity Securities [Abstract] | ||||
Gross realized investment gains | $ 3 | $ 0 | $ 15 | $ 5,126 |
Gross realized investment losses | 0 | (4) | 0 | (4,491) |
Net realized investment gains (losses) | $ 3 | $ (4) | $ 15 | $ 635 |
Fair Value of Financial Instruments - Assets and Liabilities at Fair Value (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | $ 2,054,419 | $ 1,804,286 |
U.S. Treasury securities and obligations of U.S. government agencies | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 30,819 | 31,598 |
Municipal debt securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 508,994 | 421,348 |
Corporate debt securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 1,397,162 | 1,219,791 |
Asset-backed securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 106,429 | 131,180 |
Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Cash, cash equivalents and short-term investments | 108,275 | 127,306 |
Total assets | 2,151,679 | 1,931,223 |
Warrant liability | 3,010 | 4,409 |
Total liabilities | 3,010 | 4,409 |
Recurring | U.S. Treasury securities and obligations of U.S. government agencies | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 30,819 | 31,598 |
Recurring | Municipal debt securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 508,994 | 421,348 |
Recurring | Corporate debt securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 1,397,162 | 1,219,791 |
Recurring | Asset-backed securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 106,429 | 131,180 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Cash, cash equivalents and short-term investments | 108,275 | 127,306 |
Total assets | 139,094 | 158,904 |
Warrant liability | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | U.S. Treasury securities and obligations of U.S. government agencies | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 30,819 | 31,598 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | Municipal debt securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 0 | 0 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | Corporate debt securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 0 | 0 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | Asset-backed securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 0 | 0 |
Recurring | Significant Other Observable Inputs (Level 2) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Cash, cash equivalents and short-term investments | 0 | 0 |
Total assets | 2,012,585 | 1,772,319 |
Warrant liability | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Significant Other Observable Inputs (Level 2) | U.S. Treasury securities and obligations of U.S. government agencies | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 0 | 0 |
Recurring | Significant Other Observable Inputs (Level 2) | Municipal debt securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 508,994 | 421,348 |
Recurring | Significant Other Observable Inputs (Level 2) | Corporate debt securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 1,397,162 | 1,219,791 |
Recurring | Significant Other Observable Inputs (Level 2) | Asset-backed securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 106,429 | 131,180 |
Recurring | Significant Unobservable Inputs (Level 3) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Cash, cash equivalents and short-term investments | 0 | 0 |
Total assets | 0 | 0 |
Warrant liability | 3,010 | 4,409 |
Total liabilities | 3,010 | 4,409 |
Recurring | Significant Unobservable Inputs (Level 3) | U.S. Treasury securities and obligations of U.S. government agencies | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 0 | 0 |
Recurring | Significant Unobservable Inputs (Level 3) | Municipal debt securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 0 | 0 |
Recurring | Significant Unobservable Inputs (Level 3) | Corporate debt securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | 0 | 0 |
Recurring | Significant Unobservable Inputs (Level 3) | Asset-backed securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value of securities | $ 0 | $ 0 |
Fair Value of Financial Instruments - Rollforward of Level 3 Liabilities (Details) - Significant Unobservable Inputs (Level 3) - Warrant liability - USD ($) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Roll-forward of Level 3 liabilities: | ||
Beginning balance | $ 4,409 | $ 7,641 |
Change in fair value of warrant liability included in earnings | (454) | (4,286) |
Issuance of common stock on warrant exercise | (945) | (220) |
Ending balance | $ 3,010 | $ 3,135 |
Fair Value of Financial Instruments - Valuation Assumptions for Warrant Liabilities (Details) - Significant Unobservable Inputs (Level 3) - Valuation technique, option pricing model |
Sep. 30, 2021
$ / shares
|
Sep. 30, 2020
$ / shares
|
---|---|---|
Common stock price | ||
Key Inputs and Assumptions, Valuation Techniques | ||
Warrant liability, measurement input | 22.61 | 17.80 |
Risk free interest rate | ||
Key Inputs and Assumptions, Valuation Techniques | ||
Warrant liability, measurement input | 0.0005 | 0.0013 |
Expected life | ||
Key Inputs and Assumptions, Valuation Techniques | ||
Warrant liability, expected life | 6 months 21 days | 1 year 6 months 21 days |
Expected volatility | ||
Key Inputs and Assumptions, Valuation Techniques | ||
Warrant liability, measurement input | 0.344 | 0.753 |
Dividend yield | ||
Key Inputs and Assumptions, Valuation Techniques | ||
Warrant liability, measurement input | 0 | 0 |
Fair Value of Financial Instruments - Narrative (Details) - Secured Debt - USD ($) |
Sep. 30, 2021 |
Dec. 31, 2020 |
Jun. 19, 2020 |
Jan. 19, 2020 |
---|---|---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Debt instrument face amount | $ 400,000,000 | |||
Debt | $ 394,300,000 | $ 393,300,000 | ||
Debt issuance costs | 5,700,000 | 6,700,000 | $ 7,400,000 | |
2018 Term loan | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Debt instrument face amount | $ 150,000,000 | |||
Significant Other Observable Inputs (Level 2) | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value of long term debt | $ 457,000,000 | $ 447,100,000 |
Debt - Narrative (Details) - USD ($) |
3 Months Ended | 9 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Jun. 19, 2020 |
Mar. 20, 2020 |
Mar. 19, 2020 |
Sep. 30, 2021 |
Sep. 30, 2021 |
Sep. 30, 2020 |
Dec. 31, 2020 |
Oct. 30, 2020 |
Jan. 19, 2020 |
|
Debt Instrument [Line Items] | |||||||||
Proceeds from senior secured notes | $ 0 | $ 400,000,000 | |||||||
Revolving credit facility | |||||||||
Debt Instrument [Line Items] | |||||||||
Commitment fees in interest expense | $ 100,000 | 300,000 | |||||||
2018 Term loan | |||||||||
Debt Instrument [Line Items] | |||||||||
Loss on extinguishment of debt | $ 2,600,000 | ||||||||
Interest payable | 9,800,000 | 9,800,000 | $ 2,500,000 | ||||||
2018 Revolving credit facility | |||||||||
Debt Instrument [Line Items] | |||||||||
Debt issuance costs | $ 600,000 | ||||||||
2018 Revolving credit facility | Revolving credit facility | |||||||||
Debt Instrument [Line Items] | |||||||||
Credit facility borrowing capacity | $ 85,000,000 | ||||||||
Debt instrument term (years) | 3 years | ||||||||
2020 Revolving credit facility | Revolving credit facility | |||||||||
Debt Instrument [Line Items] | |||||||||
Credit facility borrowing capacity | $ 100,000,000 | $ 110,000,000 | |||||||
Borrowings outstanding | 0 | $ 0 | |||||||
Commitment fee (in percent) | 0.35% | ||||||||
Debt Issuance costs | $ 800,000 | ||||||||
Remaining deferred issuance costs, net of accumulated amortization | $ 700,000 | $ 700,000 | |||||||
Debt instrument covenant, maximum debt-to-total capitalization ratio | 35.00% | ||||||||
2020 Revolving credit facility | Revolving credit facility | Minimum | |||||||||
Debt Instrument [Line Items] | |||||||||
Commitment fee (in percent) | 0.175% | ||||||||
2020 Revolving credit facility | Revolving credit facility | Maximum | |||||||||
Debt Instrument [Line Items] | |||||||||
Commitment fee (in percent) | 0.525% | ||||||||
2020 Revolving credit facility | Revolving credit facility | Base rate | |||||||||
Debt Instrument [Line Items] | |||||||||
Variable rate floor (in percent) | 1.00% | ||||||||
2020 Revolving credit facility | Revolving credit facility | Base rate | Minimum | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate (in percent) | 0.375% | ||||||||
2020 Revolving credit facility | Revolving credit facility | Base rate | Maximum | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate (in percent) | 1.875% | ||||||||
2020 Revolving credit facility | Revolving credit facility | Eurodollar | Minimum | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate (in percent) | 1.375% | ||||||||
2020 Revolving credit facility | Revolving credit facility | Eurodollar | Maximum | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate (in percent) | 2.875% | ||||||||
General corporate purposes | |||||||||
Debt Instrument [Line Items] | |||||||||
Proceeds from senior secured notes | $ 244,400,000 | ||||||||
Secured Debt | |||||||||
Debt Instrument [Line Items] | |||||||||
Debt instrument face amount | $ 400,000,000 | ||||||||
Stated interest rate (in percent) | 7.375% | 7.375% | |||||||
Applicable premium | 1.00% | ||||||||
Percent of aggregate balance redeemable with equity offerings | 40.00% | ||||||||
Debt issuance costs | $ 7,400,000 | $ 5,700,000 | $ 5,700,000 | $ 6,700,000 | |||||
Senior secured notes | $ 400,000,000 | $ 400,000,000 | |||||||
Secured Debt | 2018 Term loan | |||||||||
Debt Instrument [Line Items] | |||||||||
Debt instrument face amount | $ 150,000,000 | ||||||||
Secured Debt | Prior to March 1, 2025 | |||||||||
Debt Instrument [Line Items] | |||||||||
Redemption price (in percent) | 100.00% | ||||||||
Secured Debt | After March 1, 2025 | |||||||||
Debt Instrument [Line Items] | |||||||||
Redemption price (in percent) | 100.00% | ||||||||
Secured Debt | Prior to June 1, 2022 | |||||||||
Debt Instrument [Line Items] | |||||||||
Redemption price (in percent) | 107.375% |
Reinsurance - Effect of Reinsurance Agreements on Premiums Written and Earned (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Net premiums written | ||||
Direct | $ 134,635 | $ 119,323 | $ 419,811 | $ 331,254 |
Ceded | (22,704) | (17,501) | (65,423) | (47,952) |
Net premiums written | 111,931 | 101,822 | 354,388 | 283,302 |
Net premiums earned | ||||
Direct | 137,159 | 118,552 | 399,005 | 351,889 |
Ceded | (23,565) | (19,750) | (68,644) | (55,426) |
Net premiums earned | $ 113,594 | $ 98,802 | $ 330,361 | $ 296,463 |
Reinsurance - Narrative (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Apr. 01, 2019 |
Mar. 31, 2019 |
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
Dec. 31, 2020 |
Dec. 31, 2019 |
|
Ceded Credit Risk [Line Items] | ||||||||
Restricted cash | $ 3,572 | $ 3,572 | $ 5,555 | |||||
Reinsurance recoverable on unpaid claims | $ 20,420 | $ 17,180 | $ 20,420 | $ 17,180 | $ 17,608 | $ 4,939 | ||
ILN transactions | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Reinsurance coverage amount amortized (as a percent) | 10.00% | 10.00% | ||||||
2018 QSR transaction | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Reinsurance recoverable on unpaid claims | $ 15,600 | $ 15,600 | ||||||
2020 QSR transaction | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Reinsurance recoverable on unpaid claims | 15,600 | 15,600 | ||||||
2021 QSR Transaction | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Reinsurance recoverable on unpaid claims | 15,600 | 15,600 | ||||||
Third-party reinsurers | 2017 ILN transaction | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Risk premiums paid | 10,400 | $ 6,300 | $ 30,000 | $ 13,400 | ||||
Third-party reinsurers | QSR transactions | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Percentage of ceding commission received | 20.00% | |||||||
Third-party reinsurers | Eligible policies, pool one | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Percent of premiums ceded under QSR Transaction | 20.50% | 25.00% | ||||||
Third-party reinsurers | Fannie Mae | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Percent of premiums ceded under QSR Transaction | 100.00% | |||||||
Third-party reinsurers | Risk written policies in 2018 | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Percent of premiums earned under 2018 QSR Transaction | 25.00% | |||||||
Third-party reinsurers | Risk written policies in 2019 | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Percent of premiums ceded under QSR Transaction | 20.00% | |||||||
Third-party reinsurers | Risk written policies in 2020 | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Percent of premiums earned under 2018 QSR Transaction | 21.00% | |||||||
Third-party reinsurers | Eligible Policies, Pool Seven | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Percent of premiums earned under 2018 QSR Transaction | 22.50% | |||||||
Third-party reinsurers | 2016 QSR transaction | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Previously ceded primary RIF recaptured | $ 500,000 | |||||||
Threshold for loss ratio on loans to qualify for profit commission | 60.00% | |||||||
Reinsurance recoverable on unpaid claims | $ 4,800 | $ 4,800 | ||||||
Third-party reinsurers | 2018 QSR transaction | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Threshold for loss ratio on loans to qualify for profit commission | 61.00% | |||||||
Third-party reinsurers | 2020 QSR transaction | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Threshold for loss ratio on loans to qualify for profit commission | 50.00% | |||||||
Third-party reinsurers | 2021 QSR Transaction | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Threshold for loss ratio on loans to qualify for profit commission | 57.50% | |||||||
Maximum | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Reinsurance coverage, term of underlying mortgage amortization (in years) | 12 years 6 months | |||||||
Maximum | Third-party reinsurers | 2017 ILN transaction | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Anticipated payment related to annual operating expenses | $ 250 | |||||||
Maximum | Third-party reinsurers | 2018 ILN transaction | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Anticipated payment related to annual operating expenses | $ 300 | |||||||
Minimum | ||||||||
Ceded Credit Risk [Line Items] | ||||||||
Reinsurance coverage, term of underlying mortgage amortization (in years) | 10 years |
Reinsurance - ILN Transactions (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Apr. 27, 2021 |
Oct. 29, 2020 |
Jul. 30, 2020 |
Jul. 30, 2019 |
Jul. 25, 2018 |
May 02, 2017 |
---|---|---|---|---|---|---|---|
2017 ILN Transaction | |||||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||||
Initial Reinsurance Coverage | $ 211,320 | ||||||
Current Reinsurance Coverage | $ 40,226 | ||||||
Initial First Layer Retained Loss | $ 126,793 | ||||||
Current first layer retained loss | 121,196 | ||||||
2018 ILN Transaction | |||||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||||
Initial Reinsurance Coverage | $ 264,545 | ||||||
Current Reinsurance Coverage | 158,489 | ||||||
Initial First Layer Retained Loss | $ 125,312 | ||||||
Current first layer retained loss | 122,750 | ||||||
2019 ILN Transaction | |||||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||||
Initial Reinsurance Coverage | $ 326,905 | ||||||
Current Reinsurance Coverage | 231,877 | ||||||
Initial First Layer Retained Loss | $ 123,424 | ||||||
Current first layer retained loss | 122,697 | ||||||
2020-1 ILN Transaction | |||||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||||
Initial Reinsurance Coverage | $ 322,076 | ||||||
Current Reinsurance Coverage | 84,470 | ||||||
Initial First Layer Retained Loss | $ 169,514 | ||||||
Current first layer retained loss | 169,488 | ||||||
2020-2 ILN Transaction | |||||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||||
Initial Reinsurance Coverage | $ 242,351 | ||||||
Current Reinsurance Coverage | 177,566 | ||||||
Initial First Layer Retained Loss | $ 121,777 | ||||||
Current first layer retained loss | $ 121,177 | ||||||
Percentage of population with production prior to period start date | 1.00% | ||||||
2021-1 ILN Transaction | |||||||
Deferred Compensation Arrangement with Individual, Excluding Share-based Payments and Postretirement Benefits [Line Items] | |||||||
Initial Reinsurance Coverage | $ 367,238 | ||||||
Current Reinsurance Coverage | $ 367,238 | ||||||
Initial First Layer Retained Loss | $ 163,708 | ||||||
Current first layer retained loss | $ 163,708 | ||||||
Percentage of population with production prior to period start date | 1.00% |
Reinsurance - Amounts Related to QSR Transactions (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Ceded Credit Risk [Line Items] | ||||
Ceded premiums earned | $ (23,565) | $ (19,750) | $ (68,644) | $ (55,426) |
Third-party reinsurers | ||||
Ceded Credit Risk [Line Items] | ||||
Ceded risk-in-force | 7,610,870 | 5,159,061 | 7,610,870 | 5,159,061 |
Ceded premiums earned | (28,366) | (24,517) | (81,650) | (70,738) |
Ceded claims and claim expenses | 840 | 3,200 | 3,214 | 13,401 |
Ceding commission earned | 6,142 | 4,798 | 17,265 | 13,739 |
Profit commission | $ 15,191 | $ 11,034 | $ 42,962 | $ 28,718 |
Reserves for Insurance Claims and Claim Expenses - Narrative (Details) $ in Thousands |
9 Months Ended | |||
---|---|---|---|---|
Sep. 30, 2021
USD ($)
claim
loan
|
Dec. 31, 2020
USD ($)
|
Sep. 30, 2020
USD ($)
loan
policy
|
Dec. 31, 2019
USD ($)
|
|
Liability for Claims and Claims Adjustment Expense [Line Items] | ||||
Primary loans in default | loan | 7,670 | 13,765 | ||
Total gross liability for unpaid claims and claim adjustment expenses | $ 104,604 | $ 90,567 | $ 87,230 | $ 23,752 |
Number of claims paid | claim | 59 | |||
Claims paid, including amounts covered by insurance | $ 2,000 | |||
Default percent (in percent) | 1.56% | 3.60% | ||
Total number of policies in-force | 490,714 | 381,899 | ||
Reserve for prior year insurance claims and claim expenses | $ 80,600 | |||
Fannie Mae | ||||
Liability for Claims and Claims Adjustment Expense [Line Items] | ||||
Number of loans in pool past due 60 days or more | loan | 121 | |||
Risk-in-Force of loans in pool past due 60 days or more | $ 9,900 | |||
Loan-to-value ratio (less than) | 0.80 | |||
Claims applied to pool deductible | $ 1,000 | |||
Deductible on policy | $ 9,400 | |||
QSR transactions | ||||
Liability for Claims and Claims Adjustment Expense [Line Items] | ||||
Number of covered claims included in number of claims paid | claim | 57 | |||
Component of claims paid covered under QSR Transaction | $ 400 | |||
2016 QSR transaction | Fannie Mae | ||||
Liability for Claims and Claims Adjustment Expense [Line Items] | ||||
Percent of pool RIF reinsured | 100.00% |
Reserves for Insurance Claims and Claim Expenses - Reconciliation of Reserve Balances for Insurance Claims and Claim Expense (Details) - USD ($) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||
Beginning balance | $ 90,567 | $ 23,752 |
Less reinsurance recoverables | 17,608 | 4,939 |
Beginning balance, net of reinsurance recoverables | 72,959 | 18,813 |
Claims and claim expenses incurred: | ||
Current year | 19,275 | 61,198 |
Prior years | (6,469) | (5,500) |
Total claims and claim expenses incurred | 12,806 | 55,698 |
Claims and claim expenses paid: | ||
Current year | 15 | 152 |
Prior years | 1,566 | 4,309 |
Total claims and claim expenses paid | 1,581 | 4,461 |
Reserve at end of period, net of reinsurance recoverables | 84,184 | 70,050 |
Add reinsurance recoverables | 20,420 | 17,180 |
Ending balance | 104,604 | 87,230 |
Current year case reserves | 14,000 | 55,400 |
Current year IBNR | 4,800 | 4,800 |
Prior year case reserves | 1,800 | 4,000 |
Prior year, IBNR | $ 5,000 | $ 1,300 |
Earnings per Share (EPS) (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2021 |
Jun. 30, 2021 |
Mar. 31, 2021 |
Sep. 30, 2020 |
Jun. 30, 2020 |
Mar. 31, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Earnings per Share, Basic [Abstract] | ||||||||
Net income | $ 60,193 | $ 57,522 | $ 52,891 | $ 38,179 | $ 26,848 | $ 58,271 | $ 170,606 | $ 123,298 |
Basic weighted average shares outstanding (in shares) | 85,721 | 84,805 | 85,563 | 75,695 | ||||
Basic earnings per share (in dollars per share) | $ 0.70 | $ 0.45 | $ 1.99 | $ 1.63 | ||||
Earnings per Share, Diluted [Abstract] | ||||||||
Net income | $ 60,193 | $ 57,522 | $ 52,891 | $ 38,179 | $ 26,848 | $ 58,271 | $ 170,606 | $ 123,298 |
Gain from change in fair value of warrant liability | 0 | 0 | (454) | (4,286) | ||||
Diluted net income | $ 60,193 | $ 38,179 | $ 170,152 | $ 119,012 | ||||
Basic weighted average shares outstanding (in shares) | 85,721 | 84,805 | 85,563 | 75,695 | ||||
Dilutive effect of issuable shares (in shares) | 1,159 | 794 | 1,231 | 1,172 | ||||
Dilutive weighted average shares outstanding (in shares) | 86,880 | 85,599 | 86,794 | 76,867 | ||||
Diluted earnings per share (in dollars per share) | $ 0.69 | $ 0.45 | $ 1.96 | $ 1.55 | ||||
Anti-dilutive shares (in shares) | 1 | 420 | 2 | 91 |
Warrants (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
Dec. 31, 2020 |
Apr. 30, 2012 |
|
Debt Disclosure [Abstract] | ||||||
Warrants issued (in shares) | 992,000 | |||||
Class of warrant or right, outstanding (in shares) | 239,000 | 239,000 | ||||
Right to purchase, number of shares per warrant (in shares) | 1 | |||||
Exercise price of warrants (in dollars per warrant) | $ 10.00 | |||||
Warrant liability, at fair value | $ 3,010 | $ 3,010 | $ 4,409 | $ 5,100 | ||
Warrants exercised (in shares) | 32,000 | 0 | 73,000 | 9,000 | ||
Stock issued upon exercise of warrants (in shares) | 28,000 | 60,000 | 6,000 | |||
Fair value of warrant liability reclassified to additional paid in capital upon exercise | $ 400 | $ 900 | $ 200 |
Income Taxes (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
Dec. 31, 2020 |
|
Income Tax Disclosure [Abstract] | |||||
Effective income tax rate on pre-tax income or loss | 22.30% | 22.60% | 21.90% | 21.20% | |
Tax and loss bonds | $ 46.4 | $ 46.4 | $ 46.4 |
Premium Receivable (Details) |
9 Months Ended |
---|---|
Sep. 30, 2021 | |
Insurance [Abstract] | |
Number of days to be written off | 120 days |
Regulatory Information - Narrative (Details) - NMIC and Re One combined - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
Dec. 31, 2020 |
|
Statutory Accounting Practices [Line Items] | |||||
Net income amount | $ 8.7 | $ 5.6 | $ 23.9 | $ 22.6 | |
Aggregate dividend capacity | $ 1.6 |
Regulatory Information - Schedule of Combined Statutory Net Loss, Statutory Surplus, Contingency Reserve and RTC Ratios (Details) - NMIC and Re One combined $ in Thousands |
Sep. 30, 2021
USD ($)
|
Dec. 31, 2020
USD ($)
|
---|---|---|
Statutory Accounting Practices [Line Items] | ||
Statutory surplus | $ 913,471 | $ 894,331 |
Contingency reserve | 967,826 | 768,324 |
Statutory capital | $ 1,881,297 | $ 1,662,655 |
Risk to capital ratio regulatory actual | 12.5 | 11.7 |
Subsequent Event (Details) - Subsequent Event - USD ($) $ in Thousands |
1 Months Ended | |
---|---|---|
Oct. 27, 2021 |
Oct. 31, 2021 |
|
Subsequent Event [Line Items] | ||
Amount retained | $ 146,200 | |
Third-party reinsurers | 2022 and 2023 QSR Transaction | ||
Subsequent Event [Line Items] | ||
Percent of premiums earned under 2018 QSR Transaction | 20.00% | |
Percentage of ceding commission received | 20.00% | |
Threshold for loss ratio on loans to qualify for profit commission | 62.00% | |
Oaktown Re VII Ltd. | Mortgage insurance-linked notes | ||
Subsequent Event [Line Items] | ||
Debt instrument face amount | 363,600 | |
Maximum | ||
Subsequent Event [Line Items] | ||
Annual risk premium payments, capped amount | 250 | |
Oaktown Re VII Ltd. | Maximum | ||
Subsequent Event [Line Items] | ||
Amount reinsured | $ 363,600 |
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