HAMILTON, Bermuda--(BUSINESS WIRE)--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2016 of $59.7 million or $0.65 per diluted share, compared to $40.8 million or $0.44 per diluted share for the quarter ended September 30, 2015. As of September 30, 2016, Essent had insurance in force of $77.6 billion and consolidated stockholders’ equity of $1.3 billion.
“We had another strong quarter of operating performance and producing high quality and growing earnings for our shareholders,” said Mark Casale, Chairman and Chief Executive Officer. “We grew insurance in force 25% year over year, which drove year over year growth in quarterly net income of 46% while also producing a 17.6% annualized return on average equity for the nine month period ended September 30, 2016.”
Financial Highlights:
- Insurance in force as of September 30, 2016 was $77.6 billion, compared to $62.1 billion as of September 30, 2015.
- New insurance written for the third quarter was $10.3 billion, compared to $7.6 billion in the third quarter of 2015.
- Net premiums earned for the third quarter were $110.8 million, compared to $83.7 million in the third quarter of 2015.
- The expense ratio for the third quarter was 29.6%, compared to 34.3% in the third quarter of 2015.
- The provision for losses and LAE for the third quarter was $5.0 million, compared to $3.4 million in the third quarter of 2015.
- The percentage of loans in default as of September 30, 2016 was 0.41%, compared to 0.29% as of September 30, 2015.
- The combined ratio for the third quarter was 34.1%, compared to 38.4% in the third quarter of 2015.
- The consolidated balance of cash and investments at September 30, 2016 was $1.6 billion, including cash and investment balances at Essent Group Ltd. of $44.6 million.
- The combined risk to capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 14.8:1 as of September 30, 2016.
- Essent’s net income for the third quarter reflects a positive $2.0 million valuation adjustment associated with an amendment to certain GSE risk share transactions at Essent Reinsurance Ltd., which resulted in a conversion from derivative accounting to insurance accounting.
- Essent Reinsurance Ltd. reinsured a total of $5.2 million of risk in GSE risk share transactions in the third quarter of 2016.
- Essent drew $50.0 million under its revolving credit facility in the third quarter of 2016. The proceeds of the draw were contributed to Essent Reinsurance Ltd.
- On November 3, 2016, S&P Global Ratings assigned its ‘BBB+’ long-term counterparty and financial strength ratings to Essent Reinsurance Ltd.
Conference Call
Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/investors/webcasts-and-presentations/event-calendar/default.aspx. The call may also be accessed by dialing 877-201-0168 inside the U.S., or 647-788-4901 for international callers, using passcode 93871346 or by referencing Essent.
A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 855-859-2056 inside the U.S., or 404-537-3406 for international callers, passcode 93871346.
In addition to the information provided in the company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/investors/financial-information/quarterly-financial-supplements/default.aspx.
Forward-Looking Statements
This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," “will,” “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to the loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; deteriorating economic conditions; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2015 filed with the Securities and Exchange Commission on February 29, 2016. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.
Non-GAAP Financial Measures
In presenting Essent Group Ltd.’s results, management has included financial measures, including adjusted book value per share, that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (“GAAP”). Such measures are referred to as “non-GAAP measures.” These non-GAAP measures may be defined or calculated differently by other companies. Management believes these measures allow for a more complete understanding of the underlying business. These measures are used to monitor our results and should not be viewed as a substitute for those determined in accordance with GAAP. Reconciliations of such measures to the most comparable GAAP figures are included in the attached financial supplement in accordance with Regulation G.
About the Company
Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which, through its wholly-owned subsidiary Essent Guaranty, Inc., offers private mortgage insurance for single-family mortgage loans in the United States. Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania, Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia, and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.
Source: Essent Group Ltd.
| Essent Group Ltd. and Subsidiaries | |||
| Financial Results and Supplemental Information (Unaudited) | |||
| Quarter Ended September 30, 2016 | |||
| Exhibit A | Condensed Consolidated Statements of Comprehensive Income (Unaudited) | ||
| Exhibit B | Condensed Consolidated Balance Sheets (Unaudited) | ||
| Exhibit C | Historical Quarterly Data | ||
| Exhibit D | New Insurance Written | ||
| Exhibit E | Insurance in Force and Risk in Force | ||
| Exhibit F | Other Risk in Force | ||
| Exhibit G | Portfolio Vintage Data | ||
| Exhibit H | Portfolio Geographic Data | ||
| Exhibit I | Defaults, Reserve for Losses and LAE, and Claims | ||
| Exhibit J | Investment Portfolio | ||
| Exhibit K | Insurance Company Capital | ||
| Exhibit L | Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share | ||
| Exhibit A | ||||||||||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||
| Condensed Consolidated Statements of Comprehensive Income (Unaudited) | ||||||||||||||||
| Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
|
(In thousands, except per share amounts) |
2016 | 2015 | 2016 | 2015 | ||||||||||||
| Revenues: | ||||||||||||||||
| Net premiums written | $ | 115,887 | $ | 97,478 | $ | 324,866 | $ | 272,134 | ||||||||
| Increase in unearned premiums | (5,086 | ) | (13,784 | ) | (18,951 | ) | (35,041 | ) | ||||||||
| Net premiums earned | 110,801 | 83,694 | 305,915 | 237,093 | ||||||||||||
| Net investment income | 6,781 | 5,322 | 19,665 | 14,322 | ||||||||||||
| Realized investment gains, net | 435 | 548 | 1,489 | 1,765 | ||||||||||||
| Other income | 3,237 | 2,172 | 4,816 | 2,634 | ||||||||||||
| Total revenues | 121,254 | 91,736 | 331,885 | 255,814 | ||||||||||||
| Losses and expenses: | ||||||||||||||||
| Provision for losses and LAE | 4,965 | 3,393 | 11,660 | 7,706 | ||||||||||||
| Other underwriting and operating expenses | 32,848 | 28,714 | 95,645 | 83,360 | ||||||||||||
| Total losses and expenses | 37,813 | 32,107 | 107,305 | 91,066 | ||||||||||||
| Income before income taxes | 83,441 | 59,629 | 224,580 | 164,748 | ||||||||||||
| Income tax expense | 23,730 | 18,808 | 64,660 | 51,896 | ||||||||||||
| Net income | $ | 59,711 | $ | 40,821 | $ | 159,920 | $ | 112,852 | ||||||||
| Earnings per share: | ||||||||||||||||
| Basic | $ | 0.66 | $ | 0.45 | $ | 1.76 | $ | 1.25 | ||||||||
| Diluted | 0.65 | 0.44 | 1.74 | 1.23 | ||||||||||||
| Weighted average shares outstanding: | ||||||||||||||||
| Basic | 90,961 | 90,418 | 90,886 | 90,317 | ||||||||||||
| Diluted | 92,399 | 91,841 | 92,133 | 91,678 | ||||||||||||
| Net income | $ | 59,711 | $ | 40,821 | $ | 159,920 | $ | 112,852 | ||||||||
| Other comprehensive income (loss): | ||||||||||||||||
| Change in unrealized (depreciation) appreciation of investments | (2,008 | ) | 4,260 | 22,053 | 380 | |||||||||||
| Total other comprehensive (loss) income | (2,008 | ) | 4,260 | 22,053 | 380 | |||||||||||
| Comprehensive income | $ | 57,703 | $ | 45,081 | $ | 181,973 | $ | 113,232 | ||||||||
| Loss ratio | 4.5 | % | 4.1 | % | 3.8 | % | 3.3 | % | ||||||||
| Expense ratio | 29.6 | % | 34.3 | % | 31.2 | % | 35.2 | % | ||||||||
| Combined ratio | 34.1 | % | 38.4 | % | 35.1 | % | 38.4 | % | ||||||||
| Exhibit B | ||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||
| Condensed Consolidated Balance Sheets (Unaudited) | ||||||||
| September 30, | December 31, | |||||||
|
(In thousands, except per share amounts) |
2016 | 2015 | ||||||
| Assets | ||||||||
| Investments available for sale, at fair value | ||||||||
| Fixed maturities | $ | 1,431,673 | $ | 1,190,638 | ||||
| Short-term investments | 150,483 | 85,996 | ||||||
| Total investments | 1,582,156 | 1,276,634 | ||||||
| Cash | 16,336 | 24,606 | ||||||
| Accrued investment income | 8,858 | 7,768 | ||||||
| Accounts receivable | 20,253 | 16,637 | ||||||
| Deferred policy acquisition costs | 13,013 | 11,529 | ||||||
| Property and equipment (at cost, less accumulated depreciation of $45,567 in 2016 and $42,479 in 2015) | 8,291 | 9,021 | ||||||
| Prepaid federal income tax | 163,022 | 119,412 | ||||||
| Other assets | 5,799 | 3,492 | ||||||
| Total assets | $ | 1,817,728 | $ | 1,469,099 | ||||
| Liabilities and Stockholders' Equity | ||||||||
| Liabilities | ||||||||
| Reserve for losses and LAE | $ | 25,731 | $ | 17,760 | ||||
| Unearned premium reserve | 219,996 | 201,045 | ||||||
| Net deferred tax liability | 140,641 | 87,964 | ||||||
| Revolving credit facility borrowings | 50,000 | — | ||||||
| Securities purchased payable | 45,770 | 14,996 | ||||||
| Other accrued liabilities | 25,375 | 28,093 | ||||||
| Total liabilities | 507,513 | 349,858 | ||||||
| Commitments and contingencies | ||||||||
| Stockholders' Equity | ||||||||
| Common shares, $0.015 par value: | ||||||||
| Authorized - 233,333; issued - 93,102 shares in 2016 and 92,650 shares in 2015 | 1,397 | 1,390 | ||||||
| Additional paid-in capital | 913,215 | 904,221 | ||||||
| Accumulated other comprehensive income (loss) | 21,954 | (99 | ) | |||||
| Retained earnings | 373,649 | 213,729 | ||||||
| Total stockholders' equity | 1,310,215 | 1,119,241 | ||||||
| Total liabilities and stockholders' equity | $ | 1,817,728 | $ | 1,469,099 | ||||
| Return on average equity (1) | 17.6 | % | 15.2 | % | ||||
| (1) The 2016 return on average equity is calculated by dividing annualized year-to-date 2016 net income by average equity. The 2015 return on average equity is calculated by dividing full year 2015 net income by average equity. |
| Exhibit C | ||||||||||||||||||||||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||
| Supplemental Information | ||||||||||||||||||||||||||||
| Historical Quarterly Data | ||||||||||||||||||||||||||||
| 2016 | 2015 | |||||||||||||||||||||||||||
| Selected Income Statement Data | September 30 | June 30 | March 31 | December 31 | September 30 | June 30 | March 31 | |||||||||||||||||||||
|
(In thousands, except per share amounts) |
||||||||||||||||||||||||||||
| Revenues: | ||||||||||||||||||||||||||||
| Net premiums written | $ | 115,887 | $ | 108,513 | $ | 100,466 | $ | 98,434 | $ | 97,478 | $ | 92,399 | $ | 82,257 | ||||||||||||||
| Net premiums earned | 110,801 | 100,711 | 94,403 | 89,378 | 83,694 | 78,361 | 75,038 | |||||||||||||||||||||
| Other revenues (1) | 10,453 | 7,454 | 8,063 | 8,098 | 8,042 | 5,706 | 4,973 | |||||||||||||||||||||
| Total revenues | 121,254 | 108,165 | 102,466 | 97,476 | 91,736 | 84,067 | 80,011 | |||||||||||||||||||||
| Losses and expenses: | ||||||||||||||||||||||||||||
| Provision for losses and LAE | 4,965 | 2,964 | 3,731 | 4,199 | 3,393 | 2,314 | 1,999 | |||||||||||||||||||||
| Other underwriting and operating expenses | 32,848 | 31,409 | 31,388 | 29,627 | 28,714 | 27,148 | 27,498 | |||||||||||||||||||||
| Total losses and expenses | 37,813 | 34,373 | 35,119 | 33,826 | 32,107 | 29,462 | 29,497 | |||||||||||||||||||||
| Income before income taxes | 83,441 | 73,792 | 67,347 | 63,650 | 59,629 | 54,605 | 50,514 | |||||||||||||||||||||
| Income tax expense | 23,730 | 21,534 | 19,396 | 19,171 | 18,808 | 17,412 | 15,676 | |||||||||||||||||||||
| Net income | $ | 59,711 | $ | 52,258 | $ | 47,951 | $ | 44,479 | $ | 40,821 | $ | 37,193 | $ | 34,838 | ||||||||||||||
| Earnings per share: | ||||||||||||||||||||||||||||
| Basic | $ | 0.66 | $ | 0.57 | $ | 0.53 | $ | 0.49 | $ | 0.45 | $ | 0.41 | $ | 0.39 | ||||||||||||||
| Diluted | 0.65 | 0.57 | 0.52 | 0.48 | 0.44 | 0.41 | 0.38 | |||||||||||||||||||||
| Weighted average shares outstanding: | ||||||||||||||||||||||||||||
| Basic | 90,961 | 90,912 | 90,785 | 90,454 | 90,418 | 90,344 | 90,185 | |||||||||||||||||||||
| Diluted | 92,399 | 92,138 | 91,859 | 91,918 | 91,841 | 91,674 | 91,514 | |||||||||||||||||||||
| Other Data: | ||||||||||||||||||||||||||||
| Loss ratio (2) | 4.5 | % | 2.9 | % | 4.0 | % | 4.7 | % | 4.1 | % | 3.0 | % | 2.7 | % | ||||||||||||||
| Expense ratio (3) | 29.6 | % | 31.2 | % | 33.2 | % | 33.1 | % | 34.3 | % | 34.6 | % | 36.6 | % | ||||||||||||||
| Combined ratio | 34.1 | % | 34.1 | % | 37.2 | % | 37.8 | % | 38.4 | % | 37.6 | % | 39.3 | % | ||||||||||||||
| Return on average equity (annualized) | 18.7 | % | 17.2 | % | 16.7 | % | 16.2 | % | 15.5 | % | 14.7 | % | 14.3 | % | ||||||||||||||
| (1) Other revenues include the change in the fair value of insurance and certain reinsurance policies issued by Essent Reinsurance Ltd. in connection with Freddie Mac’s ACIS program that were accounted for as derivatives under GAAP. In the three months ended September 30, 2016, these contracts were amended and are now accounted for as insurance contracts. The change in fair values of these policies was $2,012, ($755), $677, $974, $1,258, ($391) and ($749) in the three months ended September 30, 2016, June 30, 2016, March 31, 2016, December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015, respectively. |
| (2) Loss ratio is calculated by dividing the provision for loss and LAE by net premiums earned. |
| (3) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. |
| Exhibit C, continued | ||||||||||||||||||||||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||
| Supplemental Information | ||||||||||||||||||||||||||||
| Historical Quarterly Data | ||||||||||||||||||||||||||||
| 2016 | 2015 | |||||||||||||||||||||||||||
| Other Data, continued: | September 30 | June 30 | March 31 | December 31 | September 30 | June 30 | March 31 | |||||||||||||||||||||
|
($ in thousands) |
||||||||||||||||||||||||||||
| U.S. Mortgage Insurance Portfolio | ||||||||||||||||||||||||||||
| Flow: | ||||||||||||||||||||||||||||
| New insurance written | $ | 10,299,161 | $ | 8,715,171 | $ | 5,366,675 | $ | 5,970,656 | $ | 7,384,654 | $ | 7,225,401 | $ | 5,346,820 | ||||||||||||||
| New risk written | 2,536,734 | 2,167,333 | 1,340,588 | 1,486,328 | 1,854,884 | 1,800,027 | 1,302,710 | |||||||||||||||||||||
| Bulk: | ||||||||||||||||||||||||||||
| New insurance written | $ | — | $ | — | $ | 93,054 | $ | — | $ | 204,867 | $ | 61,258 | $ | — | ||||||||||||||
| New risk written | — | — | 8,480 | — | 25,760 | 4,062 | — | |||||||||||||||||||||
| Total: | ||||||||||||||||||||||||||||
| Average premium rate (4) | 0.58 | % | 0.57 | % | 0.56 | % | 0.55 | % | 0.55 | % | 0.57 | % | 0.58 | % | ||||||||||||||
| New insurance written | $ | 10,299,161 | $ | 8,715,171 | $ | 5,459,729 | $ | 5,970,656 | $ | 7,589,521 | $ | 7,286,659 | $ | 5,346,820 | ||||||||||||||
| New risk written | $ | 2,536,734 | $ | 2,167,333 | $ | 1,349,068 | $ | 1,486,328 | $ | 1,880,644 | $ | 1,804,089 | $ | 1,302,710 | ||||||||||||||
| Insurance in force (end of period) | $ | 77,614,373 | $ | 72,267,099 | $ | 67,716,741 | $ | 65,242,453 | $ | 62,141,406 | $ | 57,435,859 | $ | 53,253,632 | ||||||||||||||
| Risk in force (end of period) | $ | 19,289,387 | $ | 17,937,364 | $ | 16,745,819 | $ | 16,073,174 | $ | 15,229,575 | $ | 13,992,701 | $ | 12,891,462 | ||||||||||||||
| Policies in force | 350,600 | 328,441 | 308,779 | 297,437 | 282,671 | 261,996 | 242,477 | |||||||||||||||||||||
| Weighted average coverage (5) | 24.9 | % | 24.8 | % | 24.7 | % | 24.6 | % | 24.5 | % | 24.4 | % | 24.2 | % | ||||||||||||||
| Annual persistency | 79.4 | % | 81.0 | % | 81.0 | % | 80.2 | % | 80.2 | % | 80.3 | % | 82.8 | % | ||||||||||||||
| Loans in default (count) | 1,453 | 1,174 | 1,060 | 1,028 | 814 | 605 | 505 | |||||||||||||||||||||
| Percentage of loans in default | 0.41 | % | 0.36 | % | 0.34 | % | 0.35 | % | 0.29 | % | 0.23 | % | 0.21 | % | ||||||||||||||
| Other Risk in Force | ||||||||||||||||||||||||||||
| GSE Risk Share (6) | $ | 302,211 | $ | 305,357 | $ | 188,766 | $ | 156,347 | $ | 118,073 | $ | 66,291 | $ | 63,533 | ||||||||||||||
| Revolving Credit Facility | ||||||||||||||||||||||||||||
| Borrowings outstanding | $ | 50,000 | $ | — | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||
| Undrawn committed capacity | $ | 150,000 | $ | 200,000 | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||
| Interest rate at September 30, 2016: | 2.52 | % | ||||||||||||||||||||||||||
| (4) Average premium rate is calculated by dividing net premiums earned by average insurance in force for the period. |
| (5) Weighted average coverage is calculated by dividing end of period risk in force by insurance in force. |
| (6) Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") program and covers the risk in force on the loans in the reference pools associated with STACR notes issued by Freddie Mac. Essent Re also provides reinsurance in connection with Fannie Mae's Credit Insurance Risk Transfer ("CIRT") program and covers the risk in force on the loans in reference pools acquired by Fannie Mae. |
| Exhibit D | ||||||||||||||||||||||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||
| Supplemental Information | ||||||||||||||||||||||||||||
| New Insurance Written: Flow | ||||||||||||||||||||||||||||
| NIW by Credit Score | ||||||||||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
| September 30, 2016 | September 30, 2015 | September 30, 2016 | September 30, 2015 | |||||||||||||||||||||||||
|
($ in thousands) |
||||||||||||||||||||||||||||
| >=760 | $ | 4,883,884 | 47.4 | % | $ | 3,255,765 | 44.1 | % | $ | 11,185,023 | 45.9 | % | $ | 8,864,296 | 44.4 | % | ||||||||||||
|
740-759 |
1,651,059 | 16.0 | 1,197,552 | 16.2 | 3,897,484 | 16.0 | 3,257,712 | 16.3 | ||||||||||||||||||||
|
720-739 |
1,358,205 | 13.2 | 1,016,419 | 13.8 | 3,294,793 | 13.5 | 2,859,595 | 14.3 | ||||||||||||||||||||
|
700-719 |
1,112,745 | 10.8 | 815,726 | 11.0 | 2,646,441 | 10.8 | 2,088,333 | 10.5 | ||||||||||||||||||||
|
680-699 |
746,419 | 7.3 | 621,126 | 8.4 | 1,921,913 | 7.9 | 1,647,611 | 8.3 | ||||||||||||||||||||
| <=679 | 546,849 | 5.3 | 478,066 | 6.5 | 1,435,353 | 5.9 | 1,239,328 | 6.2 | ||||||||||||||||||||
| Total | $ | 10,299,161 | 100.0 | % | $ | 7,384,654 | 100.0 | % | $ | 24,381,007 | 100.0 | % | $ | 19,956,875 | 100.0 | % | ||||||||||||
| Weighted average credit score | 750 | 747 | 749 | 748 | ||||||||||||||||||||||||
| NIW by LTV | ||||||||||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
| September 30, 2016 | September 30, 2015 | September 30, 2016 | September 30, 2015 | |||||||||||||||||||||||||
|
($ in thousands) |
||||||||||||||||||||||||||||
| 85.00% and below | $ | 1,506,576 | 14.6 | % | $ | 803,370 | 10.9 | % | $ | 3,346,647 | 13.7 | % | $ | 2,506,565 | 12.6 | % | ||||||||||||
| 85.01% to 90.00% | 3,254,538 | 31.6 | 2,582,442 | 35.0 | 7,906,420 | 32.4 | 6,915,908 | 34.6 | ||||||||||||||||||||
| 90.01% to 95.00% | 4,930,162 | 47.9 | 3,826,960 | 51.8 | 11,991,142 | 49.2 | 10,105,040 | 50.6 | ||||||||||||||||||||
| 95.01% and above | 607,885 | 5.9 | 171,882 | 2.3 | 1,136,798 | 4.7 | 429,362 | 2.2 | ||||||||||||||||||||
| Total | $ | 10,299,161 | 100.0 | % | $ | 7,384,654 | 100.0 | % | $ | 24,381,007 | 100.0 | % | $ | 19,956,875 | 100.0 | % | ||||||||||||
| Weighted average LTV | 92 | % | 92 | % | 92 | % | 92 | % | ||||||||||||||||||||
| NIW by Product | ||||||||||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
| September 30, 2016 | September 30, 2015 | September 30, 2016 | September 30, 2015 | |||||||||||||||||||||||||
| Single Premium policies | 16.2 | % | 21.7 | % | 18.8 | % | 23.0 | % | ||||||||||||||||||||
| Monthly Premium policies | 83.8 | 78.3 | 81.2 | 77.0 | ||||||||||||||||||||||||
| 100.0 | % | 100.0 | % | 100.0 | % | 100.0 | % | |||||||||||||||||||||
| NIW by Purchase vs. Refinance | ||||||||||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
| September 30, 2016 | September 30, 2015 | September 30, 2016 | September 30, 2015 | |||||||||||||||||||||||||
| Purchase | 80.7 | % | 85.8 | % | 81.5 | % | 78.7 | % | ||||||||||||||||||||
| Refinance | 19.3 | 14.2 | 18.5 | 21.3 | ||||||||||||||||||||||||
| 100.0 | % | 100.0 | % | 100.0 | % | 100.0 | % | |||||||||||||||||||||
| Exhibit D, continued | ||||||||||||||||||||||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||
| Supplemental Information | ||||||||||||||||||||||||||||
| New Insurance Written: Bulk | ||||||||||||||||||||||||||||
| NIW by Credit Score | ||||||||||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
| September 30, 2016 | September 30, 2015 | September 30, 2016 | September 30, 2015 | |||||||||||||||||||||||||
|
($ in thousands) |
||||||||||||||||||||||||||||
| >=760 | $ | — | 0.0 | % | $ | 153,281 | 74.8 | % | $ | 45,625 | 49.0 | % | $ | 201,990 | 75.9 | % | ||||||||||||
|
740-759 |
— | — | 25,159 | 12.3 | 18,154 | 19.5 | 31,425 | 11.8 | ||||||||||||||||||||
|
720-739 |
— | — | 14,941 | 7.3 | 11,475 | 12.3 | 19,891 | 7.5 | ||||||||||||||||||||
|
700-719 |
— | — | 11,486 | 5.6 | 8,220 | 8.8 | 12,819 | 4.8 | ||||||||||||||||||||
|
680-699 |
— | — | — | — | 6,453 | 7.0 | — | — | ||||||||||||||||||||
| <=679 | — | — | — | — | 3,127 | 3.4 | — | — | ||||||||||||||||||||
| Total | $ | — | 0.0 | % | $ | 204,867 | 100.0 | % | $ | 93,054 | 100.0 | % | $ | 266,125 | 100.0 | % | ||||||||||||
| Weighted average credit score | N/A | 773 | 750 | 774 | ||||||||||||||||||||||||
| NIW by LTV | ||||||||||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
| September 30, 2016 | September 30, 2015 | September 30, 2016 | September 30, 2015 | |||||||||||||||||||||||||
|
($ in thousands) |
||||||||||||||||||||||||||||
| 85.00% and below | $ | — | 0.0 | % | $ | 2,190 | 1.1 | % | $ | 755 | 0.8 | % | $ | 63,448 | 23.8 | % | ||||||||||||
| 85.01% to 90.00% | — | — | 94,984 | 46.3 | 27,757 | 29.8 | 94,984 | 35.7 | ||||||||||||||||||||
| 90.01% to 95.00% | — | — | 107,693 | 52.6 | 64,542 | 69.4 | 107,693 | 40.5 | ||||||||||||||||||||
| 95.01% and above | — | — | — | — | — | — | — | — | ||||||||||||||||||||
| Total | $ | — | 0.0 | % | $ | 204,867 | 100.0 | % | $ | 93,054 | 100.0 | % | $ | 266,125 | 100.0 | % | ||||||||||||
| Weighted average LTV | N/A | 91 | % | 91 | % | 89 | % | |||||||||||||||||||||
| NIW by Product | ||||||||||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
| September 30, 2016 | September 30, 2015 | September 30, 2016 | September 30, 2015 | |||||||||||||||||||||||||
| Single Premium policies | 0.0 | % | 100.0 | % | 100.0 | % | 100.0 | % | ||||||||||||||||||||
| Monthly Premium policies | — | — | — | — | ||||||||||||||||||||||||
| 0.0 | % | 100.0 | % | 100.0 | % | 100.0 | % | |||||||||||||||||||||
| NIW by Purchase vs. Refinance | ||||||||||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||||||||||
| September 30, 2016 | September 30, 2015 | September 30, 2016 | September 30, 2015 | |||||||||||||||||||||||||
| Purchase | 0.0 | % | 87.9 | % | 100.0 | % | 90.1 | % | ||||||||||||||||||||
| Refinance | — | 12.1 | — | 9.9 | ||||||||||||||||||||||||
| 0.0 | % | 100.0 | % | 100.0 | % | 100.0 | % | |||||||||||||||||||||
| Exhibit E | |||||||||||||||||||||
| Essent Group Ltd. and Subsidiaries | |||||||||||||||||||||
| Supplemental Information | |||||||||||||||||||||
| Insurance in Force and Risk in Force | |||||||||||||||||||||
| Portfolio by Credit Score | |||||||||||||||||||||
| Total IIF by FICO score | September 30, 2016 | June 30, 2016 | September 30, 2015 | ||||||||||||||||||
|
($ in thousands) |
|||||||||||||||||||||
| >=760 | $ | 35,510,017 | 45.8 | % | $ | 33,032,120 | 45.7 | % | $ | 29,034,420 | 46.7 | % | |||||||||
|
740-759 |
12,924,061 | 16.6 | 12,096,199 | 16.7 | 10,548,621 | 17.0 | |||||||||||||||
|
720-739 |
11,075,479 | 14.3 | 10,374,218 | 14.4 | 8,920,180 | 14.4 | |||||||||||||||
|
700-719 |
7,985,448 | 10.3 | 7,365,368 | 10.2 | 6,146,299 | 9.9 | |||||||||||||||
|
680-699 |
6,079,109 | 7.8 | 5,696,562 | 7.9 | 4,675,449 | 7.5 | |||||||||||||||
| <=679 | 4,040,259 | 5.2 | 3,702,632 | 5.1 | 2,816,437 | 4.5 | |||||||||||||||
| Total | $ | 77,614,373 | 100.0 | % | $ | 72,267,099 | 100.0 | % | $ | 62,141,406 | 100.0 | % | |||||||||
| Weighted average credit score | 749 | 749 | 751 | ||||||||||||||||||
| Total RIF by FICO score | September 30, 2016 | June 30, 2016 | September 30, 2015 | ||||||||||||||||||
|
($ in thousands) |
|||||||||||||||||||||
| >=760 | $ | 8,763,990 | 45.4 | % | $ | 8,138,995 | 45.4 | % | $ | 7,066,840 | 46.4 | % | |||||||||
|
740-759 |
3,236,792 | 16.8 | 3,023,589 | 16.9 | 2,604,845 | 17.1 | |||||||||||||||
|
720-739 |
2,784,413 | 14.4 | 2,607,057 | 14.5 | 2,215,539 | 14.6 | |||||||||||||||
|
700-719 |
1,977,518 | 10.3 | 1,820,731 | 10.1 | 1,493,506 | 9.8 | |||||||||||||||
|
680-699 |
1,529,092 | 7.9 | 1,432,032 | 8.0 | 1,160,601 | 7.6 | |||||||||||||||
| <=679 | 997,582 | 5.2 | 914,960 | 5.1 | 688,244 | 4.5 | |||||||||||||||
| Total | $ | 19,289,387 | 100.0 | % | $ | 17,937,364 | 100.0 | % | $ | 15,229,575 | 100.0 | % | |||||||||
| Portfolio by LTV | |||||||||||||||||||||
| Total IIF by LTV | September 30, 2016 | June 30, 2016 | September 30, 2015 | ||||||||||||||||||
|
($ in thousands) |
|||||||||||||||||||||
| 85.00% and below | $ | 8,697,580 | 11.2 | % | $ | 7,957,849 | 11.0 | % | $ | 7,119,316 | 11.5 | % | |||||||||
| 85.01% to 90.00% | 25,916,495 | 33.4 | 24,456,328 | 33.8 | 21,345,266 | 34.3 | |||||||||||||||
| 90.01% to 95.00% | 40,553,061 | 52.2 | 37,911,936 | 52.5 | 32,267,048 | 51.9 | |||||||||||||||
| 95.01% and above | 2,447,237 | 3.2 | 1,940,986 | 2.7 | 1,409,776 | 2.3 | |||||||||||||||
| Total | $ | 77,614,373 | 100.0 | % | $ | 72,267,099 | 100.0 | % | $ | 62,141,406 | 100.0 | % | |||||||||
| Weighted average LTV | 92 | % | 92 | % | 92 | % | |||||||||||||||
| Total RIF by LTV | September 30, 2016 | June 30, 2016 | September 30, 2015 | ||||||||||||||||||
|
($ in thousands) |
|||||||||||||||||||||
| 85.00% and below | $ | 986,759 | 5.1 | % | $ | 901,838 | 5.0 | % | $ | 799,556 | 5.2 | % | |||||||||
| 85.01% to 90.00% | 6,173,686 | 32.0 | 5,824,455 | 32.5 | 5,064,459 | 33.3 | |||||||||||||||
| 90.01% to 95.00% | 11,574,082 | 60.0 | 10,802,375 | 60.2 | 9,108,483 | 59.8 | |||||||||||||||
| 95.01% and above | 554,860 | 2.9 | 408,696 | 2.3 | 257,077 | 1.7 | |||||||||||||||
| Total | $ | 19,289,387 | 100.0 | % | $ | 17,937,364 | 100.0 | % | $ | 15,229,575 | 100.0 | % | |||||||||
| Portfolio by Loan Amortization Period | |||||||||||||||||||||
| Total IIF by Loan Amortization Period | September 30, 2016 | June 30, 2016 | September 30, 2015 | ||||||||||||||||||
|
($ in thousands) |
|||||||||||||||||||||
| FRM 30 years and higher | $ | 70,363,929 | 90.7 | % | $ | 65,269,610 | 90.3 | % | $ | 55,347,061 | 89.1 | % | |||||||||
| FRM 20-25 years | 1,808,715 | 2.3 | 1,660,361 | 2.3 | 1,477,612 | 2.4 | |||||||||||||||
| FRM 15 years | 2,757,521 | 3.5 | 2,653,056 | 3.7 | 2,709,749 | 4.3 | |||||||||||||||
| ARM 5 years and higher | 2,684,208 | 3.5 | 2,684,072 | 3.7 | 2,606,984 | 4.2 | |||||||||||||||
| Total | $ | 77,614,373 | 100.0 | % | $ | 72,267,099 | 100.0 | % | $ | 62,141,406 | 100.0 | % | |||||||||
| Exhibit F | ||||||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||||
| Supplemental Information | ||||||||||||
| Other Risk in Force | ||||||||||||
|
($ in thousands) |
September 30, 2016 | June 30, 2016 | September 30, 2015 | |||||||||
| GSE Risk Share (1) | $ | 302,211 | $ | 305,357 | $ | 118,073 | ||||||
| Weighted average credit score | 751 | 751 | 754 | |||||||||
| Weighted average LTV | 80 | % | 80 | % | 76 | % | ||||||
| (1) Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") program and covers the risk in force on the loans in the reference pools associated with STACR notes issued by Freddie Mac. Essent Re also provides reinsurance in connection with Fannie Mae's Credit Insurance Risk Transfer ("CIRT") program and covers the risk in force on the loans in reference pools acquired by Fannie Mae. |
| Exhibit G | ||||||||||||||||||||||||||||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||||||||
| Supplemental Information | ||||||||||||||||||||||||||||||||||
| Portfolio Vintage Data | ||||||||||||||||||||||||||||||||||
| September 30, 2016 | ||||||||||||||||||||||||||||||||||
| Insurance in Force | ||||||||||||||||||||||||||||||||||
| Origination Year |
Original
Insurance
Written |
Remaining
Insurance
in Force ($ in thousands) |
% Remaining of Insurance |
Number of |
% Purchase |
>90% LTV | >95% LTV | FICO < 700 | FICO >= 760 | % FRM |
Incurred |
Number of |
||||||||||||||||||||||
| 2010 | $ | 245,898 | $ | 34,787 | 14.1 | % | 217 | 78.5 | % | 47.9 | % | 0.0 | % | 3.3 | % | 58.4 | % | 98.7 | % | 2.8 | % | 1 | ||||||||||||
| 2011 | 3,229,720 | 647,804 | 20.1 | 3,500 | 76.2 | 43.8 | 0.2 | 5.2 | 56.0 | 95.2 | 3.7 | 45 | ||||||||||||||||||||||
| 2012 | 11,241,161 | 4,247,993 | 37.8 | 20,996 | 74.6 | 51.9 | 0.5 | 5.4 | 55.9 | 97.6 | 2.6 | 156 | ||||||||||||||||||||||
| 2013 | 21,152,638 | 10,373,377 | 49.0 | 50,378 | 77.9 | 55.6 | 1.9 | 7.7 | 51.0 | 97.2 | 2.6 | 337 | ||||||||||||||||||||||
| 2014 | 24,799,434 | 16,001,540 | 64.5 | 77,889 | 86.5 | 60.1 | 3.6 | 15.2 | 42.2 | 94.1 | 4.0 | 598 | ||||||||||||||||||||||
| 2015 | 26,193,656 | 22,509,458 | 85.9 | 99,714 | 81.1 | 54.4 | 2.4 | 14.8 | 43.7 | 96.6 | 3.1 | 274 | ||||||||||||||||||||||
| 2016 (through September 30) | 24,474,061 | 23,799,414 | 97.2 | 97,906 | 81.6 | 54.1 | 4.7 | 13.8 | 45.7 | 97.7 | 1.6 | 42 | ||||||||||||||||||||||
| Total | $ | 111,336,568 | $ | 77,614,373 | 69.7 | 350,600 | 81.5 | 55.4 | 3.2 | 13.0 | 45.8 | 96.5 | 3.1 | 1,453 | ||||||||||||||||||||
| (1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned. | ||||||||||||||||||||||||||||||||||
| Exhibit H | ||||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||
| Supplemental Information | ||||||||||
| Portfolio Geographic Data | ||||||||||
| IIF by State | ||||||||||
| September 30, 2016 | June 30, 2016 | September 30, 2015 | ||||||||
| CA | 9.4 | % | 9.5 | % | 9.8 | % | ||||
| TX | 8.3 | 8.3 | 8.3 | |||||||
| FL | 6.5 | 6.5 | 6.0 | |||||||
| WA | 4.8 | 4.7 | 4.6 | |||||||
| IL | 4.1 | 4.1 | 4.1 | |||||||
| NC | 3.7 | 3.8 | 3.9 | |||||||
| NJ | 3.4 | 3.4 | 3.4 | |||||||
| GA | 3.4 | 3.3 | 3.3 | |||||||
| MN | 3.2 | 3.0 | 2.9 | |||||||
| AZ | 3.1 | 3.2 | 3.2 | |||||||
| All Others | 50.1 | 50.2 | 50.5 | |||||||
| Total | 100.0 | % | 100.0 | % | 100.0 | % | ||||
| RIF by State | ||||||||||
| September 30, 2016 | June 30, 2016 | September 30, 2015 | ||||||||
| CA | 9.0 | % | 9.1 | % | 9.3 | % | ||||
| TX | 8.5 | 8.6 | 8.6 | |||||||
| FL | 6.8 | 6.7 | 6.2 | |||||||
| WA | 4.8 | 4.8 | 4.8 | |||||||
| IL | 4.1 | 4.1 | 4.1 | |||||||
| NC | 3.8 | 3.9 | 4.0 | |||||||
| GA | 3.5 | 3.5 | 3.5 | |||||||
| NJ | 3.4 | 3.4 | 3.3 | |||||||
| MN | 3.3 | 3.1 | 3.0 | |||||||
| AZ | 3.1 | 3.1 | 3.2 | |||||||
| All Others | 49.7 | 49.7 | 50.0 | |||||||
| Total | 100.0 | % | 100.0 | % | 100.0 | % | ||||
| Exhibit I | ||||||||||||||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||
| Supplemental Information | ||||||||||||||||||||
| Defaults, Reserve for Losses and LAE, and Claims | ||||||||||||||||||||
| Rollforward of Insured Loans in Default | ||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||
| September 30, | September 30, | September 30, | September 30, | |||||||||||||||||
| 2016 | 2015 | 2016 | 2015 | |||||||||||||||||
| Beginning default inventory | 1,174 | 605 | 1,028 | 457 | ||||||||||||||||
| Plus: new defaults | 1,015 | 562 | 2,538 | 1,328 | ||||||||||||||||
| Less: cures | (682 | ) | (327 | ) | (1,996 | ) | (917 | ) | ||||||||||||
| Less: claims paid | (54 | ) | (26 | ) | (115 | ) | (54 | ) | ||||||||||||
| Less: rescissions and denials | — | — | (2 | ) | — | |||||||||||||||
| Ending default inventory | 1,453 | 814 | 1,453 | 814 | ||||||||||||||||
| Rollforward of Reserve for Losses and LAE | ||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||
| September 30, | September 30, | September 30, | September 30, | |||||||||||||||||
|
($ in thousands) |
2016 | 2015 | 2016 | 2015 | ||||||||||||||||
| Reserve for losses and LAE at beginning of period | $ | 22,474 | $ | 11,931 | $ | 17,760 | $ | 8,427 | ||||||||||||
| Add provision for losses and LAE occurring in: | ||||||||||||||||||||
| Current year | 6,819 | 4,277 | 16,387 | 10,356 | ||||||||||||||||
| Prior years | (1,854 | ) | (884 | ) | (4,727 | ) | (2,650 | ) | ||||||||||||
| Incurred losses during the period | 4,965 | 3,393 | 11,660 | 7,706 | ||||||||||||||||
| Deduct payments for losses and LAE occurring in: | ||||||||||||||||||||
| Current year | 355 | 122 | 467 | 262 | ||||||||||||||||
| Prior years | 1,353 | 654 | 3,222 | 1,323 | ||||||||||||||||
| Loss and LAE payments during the period | 1,708 | 776 | 3,689 | 1,585 | ||||||||||||||||
| Reserve for losses and LAE at end of period | $ | 25,731 | $ | 14,548 | $ | 25,731 | $ | 14,548 | ||||||||||||
| Claims | ||||||||||||||||||||
| Three Months Ended | Nine Months Ended | |||||||||||||||||||
| September 30, | September 30, | September 30, | September 30, | |||||||||||||||||
| 2016 | 2015 | 2016 | 2015 | |||||||||||||||||
| Number of claims paid | 54 | 26 | 115 | 54 | ||||||||||||||||
| Total amount paid for claims (in thousands) | $ | 1,668 | $ | 750 | $ | 3,590 | $ | 1,530 | ||||||||||||
| Average amount paid per claim (in thousands) | $ | 31 | $ | 29 | $ | 31 | $ | 28 | ||||||||||||
| Severity | 68 | % | 92 | % | 75 | % | 86 | % | ||||||||||||
| Exhibit I, continued | ||||||||||||||||||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||
| Supplemental Information | ||||||||||||||||||||||||
| Defaults, Reserve for Losses and LAE, and Claims | ||||||||||||||||||||||||
| September 30, 2016 | ||||||||||||||||||||||||
|
Number of
Policies in Default |
Percentage of
Policies in Default |
Amount of Reserves |
Percentage of Reserves |
Defaulted RIF |
Reserves as a Percentage of Defaulted RIF |
|||||||||||||||||||
|
($ in thousands) |
||||||||||||||||||||||||
| Missed Payments: | ||||||||||||||||||||||||
| Three payments or less | 779 | 54 | % | $ | 6,245 | 26 | % | $ | 43,000 | 15 | % | |||||||||||||
| Four to eleven payments | 484 | 33 | 10,207 | 43 | 25,814 | 40 | ||||||||||||||||||
| Twelve or more payments | 158 | 11 | 5,351 | 23 | 8,387 | 64 | ||||||||||||||||||
| Pending claims | 32 | 2 | 1,769 | 8 | 1,878 | 94 | ||||||||||||||||||
| Total case reserves | 1,453 | 100 | % | 23,572 | 100 | % | $ | 79,079 | 30 | |||||||||||||||
| IBNR | 1,768 | |||||||||||||||||||||||
| LAE | 391 | |||||||||||||||||||||||
| Total reserves for losses and LAE | $ | 25,731 | ||||||||||||||||||||||
| Average reserve per default: | ||||||||||||||||||||||||
| Case | $ | 16.2 | ||||||||||||||||||||||
| Total | $ | 17.7 | ||||||||||||||||||||||
| Default Rate | 0.41 | % | ||||||||||||||||||||||
| December 31, 2015 | ||||||||||||||||||||||||
|
Number of
Policies in Default |
Percentage of
Policies in Default |
Amount of Reserves |
Percentage of Reserves |
Defaulted RIF |
Reserves as a Percentage of Defaulted RIF |
|||||||||||||||||||
|
($ in thousands) |
||||||||||||||||||||||||
| Missed Payments: | ||||||||||||||||||||||||
| Three payments or less | 535 | 52 | % | $ | 4,492 | 28 | % | $ | 29,003 | 15 | % | |||||||||||||
| Four to eleven payments | 383 | 37 | 8,283 | 51 | 20,825 | 40 | ||||||||||||||||||
| Twelve or more payments | 89 | 9 | 2,688 | 16 | 4,299 | 63 | ||||||||||||||||||
| Pending claims | 21 | 2 | 809 | 5 | 844 | 96 | ||||||||||||||||||
| Total case reserves | 1,028 | 100 | % | 16,272 | 100 | % | $ | 54,971 | 30 | |||||||||||||||
| IBNR | 1,220 | |||||||||||||||||||||||
| LAE | 268 | |||||||||||||||||||||||
| Total reserves for losses and LAE | $ | 17,760 | ||||||||||||||||||||||
| Average reserve per default: | ||||||||||||||||||||||||
| Case | $ | 15.8 | ||||||||||||||||||||||
| Total | $ | 17.3 | ||||||||||||||||||||||
| Default Rate | 0.35 | % | ||||||||||||||||||||||
| September 30, 2015 | ||||||||||||||||||||||||
|
Number of
Policies in Default |
Percentage of
Policies in Default |
Amount of Reserves |
Percentage of Reserves |
Defaulted RIF |
Reserves as a Percentage of Defaulted RIF |
|||||||||||||||||||
|
($ in thousands) |
||||||||||||||||||||||||
| Missed Payments: | ||||||||||||||||||||||||
| Three payments or less | 434 | 53 | % | $ | 3,700 | 28 | % | $ | 23,220 | 16 | % | |||||||||||||
| Four to eleven payments | 287 | 35 | 6,570 | 49 | 15,771 | 42 | ||||||||||||||||||
| Twelve or more payments | 79 | 10 | 2,484 | 19 | 3,414 | 73 | ||||||||||||||||||
| Pending claims | 14 | 2 | 589 | 4 | 590 | 100 | ||||||||||||||||||
| Total case reserves | 814 | 100 | % | 13,343 | 100 | % | $ | 42,995 | 31 | |||||||||||||||
| IBNR | 1,001 | |||||||||||||||||||||||
| LAE | 204 | |||||||||||||||||||||||
| Total reserves for losses and LAE | $ | 14,548 | ||||||||||||||||||||||
| Average reserve per default: | ||||||||||||||||||||||||
| Case | $ | 16.4 | ||||||||||||||||||||||
| Total | $ | 17.9 | ||||||||||||||||||||||
| Default Rate | 0.29 | % | ||||||||||||||||||||||
| Exhibit J | |||||||||||||||||
| Essent Group Ltd. and Subsidiaries | |||||||||||||||||
| Supplemental Information | |||||||||||||||||
| Investment Portfolio | |||||||||||||||||
| Investment Portfolio by Asset Class | |||||||||||||||||
| Asset Class | September 30, 2016 | December 31, 2015 | |||||||||||||||
|
($ in thousands) |
Fair Value | Percent | Fair Value | Percent | |||||||||||||
| U.S. Treasury securities | $ | 192,769 | 12.2 | % | $ | 177,607 | 13.9 | % | |||||||||
| U.S. agency securities | 17,385 | 1.1 | 13,782 | 1.1 | |||||||||||||
| U.S. agency mortgage-backed securities | 284,610 | 18.0 | 159,602 | 12.5 | |||||||||||||
| Municipal debt securities | 332,063 | 21.0 | 279,828 | 21.9 | |||||||||||||
| Corporate debt securities | 443,882 | 28.0 | 396,732 | 31.1 | |||||||||||||
| Mortgage-backed securities | 48,465 | 3.1 | 55,356 | 4.3 | |||||||||||||
| Asset-backed securities | 127,498 | 8.0 | 126,629 | 9.9 | |||||||||||||
| Money market funds | 135,484 | 8.6 | 67,098 | 5.3 | |||||||||||||
| Total Investments | $ | 1,582,156 | 100.0 | % | $ | 1,276,634 | 100.0 | % | |||||||||
| Investment Portfolio by Credit Rating | |||||||||||||||||
| Rating (1) | September 30, 2016 | December 31, 2015 | |||||||||||||||
|
($ in thousands) |
Fair Value | Percent | Fair Value | Percent | |||||||||||||
| Aaa | $ | 766,996 | 48.5 | % | $ | 554,789 | 43.5 | % | |||||||||
| Aa1 | 86,306 | 5.5 | 74,322 | 5.8 | |||||||||||||
| Aa2 | 104,229 | 6.6 | 89,533 | 7.0 | |||||||||||||
| Aa3 | 78,244 | 4.9 | 68,587 | 5.4 | |||||||||||||
| A1 | 149,804 | 9.5 | 126,920 | 9.9 | |||||||||||||
| A2 | 122,374 | 7.7 | 122,745 | 9.6 | |||||||||||||
| A3 | 86,904 | 5.5 | 87,781 | 6.9 | |||||||||||||
| Baa1 | 83,698 | 5.3 | 80,137 | 6.3 | |||||||||||||
| Baa2 | 79,609 | 5.0 | 51,528 | 4.0 | |||||||||||||
| Baa3 | 21,222 | 1.3 | 19,662 | 1.5 | |||||||||||||
| Below Baa3 | 2,770 | 0.2 | 630 | 0.1 | |||||||||||||
| Total Investments | $ | 1,582,156 | 100.0 | % | $ | 1,276,634 | 100.0 | % | |||||||||
| (1) Based on ratings issued by Moody's, if available. S&P rating utilized if Moody's not available. | |||||||||||||||||
| Investment Portfolio by Duration and Book Yield | |||||||||||||||||
| Effective Duration | September 30, 2016 | December 31, 2015 | |||||||||||||||
|
($ in thousands) |
Fair Value | Percent | Fair Value | Percent | |||||||||||||
| < 1 Year | $ | 368,735 | 23.3 | % | $ | 235,001 | 18.4 | % | |||||||||
| 1 to < 2 Years | 226,659 | 14.3 | 141,995 | 11.1 | |||||||||||||
| 2 to < 3 Years | 161,027 | 10.2 | 214,274 | 16.8 | |||||||||||||
| 3 to < 4 Years | 206,732 | 13.1 | 104,772 | 8.2 | |||||||||||||
| 4 to < 5 Years | 104,669 | 6.6 | 141,428 | 11.1 | |||||||||||||
| 5 or more Years | 514,334 | 32.5 | 439,164 | 34.4 | |||||||||||||
| Total Investments | $ | 1,582,156 | 100.0 | % | $ | 1,276,634 | 100.0 | % | |||||||||
| Pre-tax investment income yield: | |||||||||||||||||
| Three months ended September 30, 2016 | 2.02 | % | |||||||||||||||
| Nine months ended September 30, 2016 | 2.05 | % | |||||||||||||||
| Net cash and investments at holding company, Essent Group Ltd.: | |||||||||||||||||
|
($ in thousands) |
|||||||||||||||||
| As of September 30, 2016 | $ | 44,592 | |||||||||||||||
| As of December 31, 2015 | $ | 70,601 | |||||||||||||||
| Exhibit K | ||||||||
| Essent Group Ltd. and Subsidiaries | ||||||||
| Supplemental Information | ||||||||
| Insurance Company Capital | ||||||||
| September 30, 2016 | December 31, 2015 | |||||||
|
($ in thousands) |
||||||||
| U.S. Mortgage Insurance Subsidiaries: | ||||||||
| Combined statutory capital (1) | $ | 1,078,491 | $ | 913,182 | ||||
| Combined net risk in force (2) | $ | 15,912,766 | $ | 13,847,336 | ||||
| Risk-to-capital ratios: (3) | ||||||||
| Essent Guaranty, Inc. | 15.4:1 | 15.7:1 | ||||||
| Essent Guaranty of PA, Inc. | 7.5:1 | 9.7:1 | ||||||
| Combined (4) | 14.8:1 | 15.2:1 | ||||||
| Essent Reinsurance Ltd.: | ||||||||
| Stockholder's equity (GAAP basis) | $ | 343,376 | $ | 220,178 | ||||
| Net risk in force (2) | $ | 3,653,492 | $ | 2,364,692 | ||||
|
(1) |
Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department. | |
|
(2) |
Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established. | |
|
(3) |
The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital. | |
|
(4) |
The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital. | |
| Exhibit L |
| Essent Group Ltd. and Subsidiaries |
| Supplemental Information |
| Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share |
|
We believe that long-term growth in Adjusted Book Value per Share is an important measure of our financial performance and is a measure used to determine vesting on certain restricted stock granted to senior management under the Company’s long-term incentive plan. Adjusted Book Value per Share is a financial measure that is not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and is referred to as a non-GAAP measure. Adjusted Book Value per Share may be defined or calculated differently by other companies. Adjusted Book Value per Share is one measure used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP. |
|
Adjusted Book Value per Share is calculated by dividing Adjusted Book Value by Common Shares and Share Units Outstanding. Adjusted Book Value is defined as consolidated stockholders’ equity of the Company, excluding accumulated other comprehensive income (loss) plus the proceeds, if any, from the assumed exercise of all "in-the-money" options, warrants and similar instruments. Common Shares and Share Units Outstanding is defined as total common shares outstanding plus all equity instruments (including restricted share units) issued to management and the Board of Directors and any "in-the-money" options, warrants and similar instruments. Accumulated other comprehensive income (loss) includes unrealized gains and losses that arise from changes in the market value of the Company’s investments that are classified as available for sale. The Company does not view these unrealized gains and losses to be indicative of our fundamental operating performance. As of September 30, 2016 and December 31, 2015, the Company does not have any options, warrants and similar instruments outstanding. |
|
The following table sets forth the reconciliation of Adjusted Book Value to the most comparable GAAP amount as of September 30, 2016 and December 31, 2015 in accordance with Regulation G: |
|
(In thousands, except per share amounts) |
September 30, 2016 | December 31, 2015 | |||||||
| Numerator: | |||||||||
| Total Stockholders' Equity (Book Value) | $ | 1,310,215 | $ | 1,119,241 | |||||
| Subtract: Accumulated Other Comprehensive Income (Loss) | 21,954 | (99 | ) | ||||||
| Adjusted Book Value | $ | 1,288,261 | $ | 1,119,340 | |||||
| Denominator: | |||||||||
| Total Common Shares Outstanding | 93,102 | 92,650 | |||||||
| Add: Restricted Share Units Outstanding | 488 | 544 | |||||||
| Total Common Shares and Share Units Outstanding | 93,590 | 93,194 | |||||||
| Adjusted Book Value per Share | $ | 13.76 | $ | 12.01 | |||||
