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Essent Group Ltd. Reports Fourth Quarter 2019 Results & Increases Quarterly Dividend


Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2019 of $147.0 million or $1.49 per diluted share, compared to $128.5 million or $1.31 per diluted share for the quarter ended December 31, 2018. For the full year 2019, net income was $555.7 million.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.16 per common share. The dividend is payable on March 20, 2020, to shareholders of record on March 10, 2020.

“We are pleased with our strong financial results for both the fourth quarter and full year 2019 as the operating environment remains favorable and credit continues to perform well,” said Mark Casale, Chairman and Chief Executive Officer. “Also, during the quarter we were pleased with Moody’s upgrade of our financial strength rating to A3. We believe that this upgrade is a validation of our progress in making Essent a stronger and more sustainable franchise through the programmatic use of reinsurance.”

Financial Highlights:

  • Insurance in force as of December 31, 2019 was $164.0 billion, compared to $161.0 billion as of September 30, 2019 and $137.7 billion as of December 31, 2018.
  • New insurance written for the fourth quarter was $15.8 billion, compared to $18.7 billion in the third quarter of 2019 and $11.4 billion in the fourth quarter of 2018.
  • Net premiums earned for the fourth quarter were $207.7 million, compared to $203.5 million in the third quarter of 2019 and $173.3 million in the fourth quarter of 2018.
  • The expense ratio for the fourth quarter was 19.9%, compared to 20.4% in the third quarter of 2019 and 22.8% in the fourth quarter of 2018.
  • The provision for losses and LAE for the fourth quarter was $10.9 million, compared to a provision of $10.0 million in the third quarter of 2019 and a benefit of $1.0 million in the fourth quarter of 2018. The provision in the fourth quarter of 2018 included a $9.9 million release of the $11.1 million reserve associated with loans identified as related to Hurricanes Harvey and Irma that was established in the fourth quarter of 2017.
  • The percentage of loans in default as of December 31, 2019 was 0.85%, compared to 0.75% as of September 30, 2019 and 0.66% as of December 31, 2018.
  • The combined ratio for the fourth quarter was 25.1%, compared to 25.3% in the third quarter of 2019 and 22.2% in the fourth quarter of 2018.
  • Other income for the fourth quarter includes a $3.6 million loss for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a loss of $0.8 million in the third quarter of 2019.  There were no changes in fair value of embedded derivatives in the fourth quarter of 2018.
  • The consolidated balance of cash and investments at December 31, 2019 was $3.5 billion, including cash and investment balances at Essent Group Ltd. of $98.4 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 12.6:1 as of December 31, 2019.
  • On October 17, 2019, Moody’s Investors Service (“Moody’s”) upgraded the financial strength rating of Essent Guaranty, Inc. to A3 from Baa1.
  • On January 31, 2020, Essent announced that its wholly-owned subsidiary, Essent Guaranty, Inc., obtained $495.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in January through August 2019 from Radnor Re 2020-1 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2020-1 Ltd. is not a subsidiary or an affiliate of Essent Group 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 833-287-0797 inside the U.S., or 647-689-4456 for international callers, using passcode 3788913 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-585-8367 inside the U.S., or 416-621-4642 for international callers, passcode 3788913.

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 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, 2018 filed with the Securities and Exchange Commission on February 19, 2019. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company

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

Source: Essent Group Ltd.

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter and Year Ended December 31, 2019

 

 

 

 

 

 

Exhibit A

 

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

Exhibit B

 

Condensed Consolidated Balance Sheets (Unaudited)

Exhibit C

 

Historical Quarterly Data

Exhibit D

 

New Insurance Written

Exhibit E

 

Insurance in Force and Risk in Force

Exhibit F

 

Other Risk in Force

Exhibit G

 

Portfolio Vintage Data

Exhibit H

 

Reinsurance Vintage Data

Exhibit I

 

Portfolio Geographic Data

Exhibit J

 

Defaults, Reserve for Losses and LAE, and Claims

Exhibit K

 

Investments Available for Sale

Exhibit L

 

Insurance Company Capital

Exhibit M

 

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 December 31,

 

Year Ended December 31,

(In thousands, except per share amounts)

2019

 

2018

 

2019

 

2018

Revenues:

 

 

 

 

 

 

 

Net premiums written

$

196,493

 

 

$

176,437

 

 

$

760,845

 

 

$

685,287

 

Decrease (increase) in unearned premiums

11,178

 

 

(3,136

)

 

16,580

 

 

(35,795

)

Net premiums earned

207,671

 

 

173,301

 

 

777,425

 

 

649,492

 

Net investment income

21,977

 

 

18,597

 

 

83,542

 

 

64,091

 

Realized investment gains, net

833

 

 

158

 

 

3,229

 

 

1,318

 

Other income (loss)

(1,719

)

 

1,068

 

 

3,371

 

 

4,452

 

Total revenues

228,762

 

 

193,124

 

 

867,567

 

 

719,353

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

Provision for losses and LAE

10,929

 

 

(999

)

 

32,986

 

 

11,575

 

Other underwriting and operating expenses

41,231

 

 

39,449

 

 

165,369

 

 

150,900

 

Interest expense

2,218

 

 

2,611

 

 

10,151

 

 

10,179

 

Total losses and expenses

54,378

 

 

41,061

 

 

208,506

 

 

172,654

 

 

 

 

 

 

 

 

 

Income before income taxes

174,384

 

 

152,063

 

 

659,061

 

 

546,699

 

Income tax expense

27,426

 

 

23,535

 

 

103,348

 

 

79,336

 

Net income

$

146,958

 

 

$

128,528

 

 

$

555,713

 

 

$

467,363

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

1.50

 

 

$

1.32

 

 

$

5.68

 

 

$

4.80

 

Diluted

1.49

 

 

1.31

 

 

5.66

 

 

4.77

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

97,830

 

 

97,450

 

 

97,762

 

 

97,403

 

Diluted

98,376

 

 

98,066

 

 

98,227

 

 

97,974

 

 

 

 

 

 

 

 

 

Net income

$

146,958

 

 

$

128,528

 

 

$

555,713

 

 

$

467,363

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

Change in unrealized appreciation (depreciation) of investments

(6,540

)

 

18,456

 

 

85,180

 

 

(25,741

)

Total other comprehensive income (loss)

(6,540

)

 

18,456

 

 

85,180

 

 

(25,741

)

Comprehensive income

$

140,418

 

 

$

146,984

 

 

$

640,893

 

 

$

441,622

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio

5.3

%

 

(0.6

)%

 

4.2

%

 

1.8

%

Expense ratio

19.9

 

 

22.8

 

 

21.3

 

 

23.2

 

Combined ratio

25.1

%

 

22.2

%

 

25.5

%

 

25.0

%

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

December 31,

 

December 31,

(In thousands, except per share amounts)

2019

 

2018

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

3,035,385

 

 

$

2,605,666

 

Short-term investments available for sale, at fair value

315,362

 

 

154,400

 

Total investments available for sale

3,350,747

 

 

2,760,066

 

Other invested assets

78,873

 

 

30,952

 

Total investments

3,429,620

 

 

2,791,018

 

Cash

71,350

 

 

64,946

 

Accrued investment income

18,535

 

 

17,627

 

Accounts receivable

40,655

 

 

36,881

 

Deferred policy acquisition costs

15,705

 

 

16,049

 

Property and equipment

17,308

 

 

7,629

 

Prepaid federal income tax

261,885

 

 

202,385

 

Other assets

18,367

 

 

13,436

 

 

 

 

 

Total assets

$

3,873,425

 

 

$

3,149,971

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

69,362

 

 

$

49,464

 

Unearned premium reserve

278,887

 

 

295,467

 

Net deferred tax liability

249,620

 

 

172,642

 

Credit facility borrowings, net of deferred costs

224,237

 

 

223,664

 

Other accrued liabilities

66,474

 

 

43,017

 

Total liabilities

888,580

 

 

784,254

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 98,394 shares in 2019 and 98,139 shares in 2018

1,476

 

 

1,472

 

Additional paid-in capital

1,118,655

 

 

1,110,800

 

Accumulated other comprehensive income (loss)

56,187

 

 

(28,993

)

Retained earnings

1,808,527

 

 

1,282,438

 

Total stockholders' equity

2,984,845

 

 

2,365,717

 

 

 

 

 

Total liabilities and stockholders' equity

$

3,873,425

 

 

$

3,149,971

 

 

 

 

 

Return on average equity

20.8

%

 

21.7

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2019

 

2018

Selected Income Statement Data

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net premiums written

 

$

196,493

 

 

$

198,304

 

 

$

188,404

 

 

$

177,644

 

 

$

176,437

 

 

$

175,221

 

 

$

168,404

 

 

$

165,225

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net premiums earned (1)

 

207,671

 

 

203,473

 

 

188,490

 

 

177,791

 

 

173,301

 

 

166,675

 

 

156,958

 

 

152,558

 

Other revenues (2)

 

21,091

 

 

22,914

 

 

23,402

 

 

22,735

 

 

19,823

 

 

18,323

 

 

16,810

 

 

14,905

 

Total revenues

 

228,762

 

 

226,387

 

 

211,892

 

 

200,526

 

 

193,124

 

 

184,998

 

 

173,768

 

 

167,463

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Provision for losses and LAE (3)

 

10,929

 

 

9,990

 

 

4,960

 

 

7,107

 

 

(999

)

 

5,452

 

 

1,813

 

 

5,309

 

Other underwriting and operating expenses

 

41,231

 

 

41,588

 

 

41,520

 

 

41,030

 

 

39,449

 

 

36,899

 

 

36,428

 

 

38,124

 

Interest expense

 

2,218

 

 

2,584

 

 

2,679

 

 

2,670

 

 

2,611

 

 

2,500

 

 

2,618

 

 

2,450

 

Total losses and expenses

 

54,378

 

 

54,162

 

 

49,159

 

 

50,807

 

 

41,061

 

 

44,851

 

 

40,859

 

 

45,883

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

174,384

 

 

172,225

 

 

162,733

 

 

149,719

 

 

152,063

 

 

140,147

 

 

132,909

 

 

121,580

 

Income tax expense (4)

 

27,426

 

 

27,595

 

 

26,328

 

 

21,999

 

 

23,535

 

 

24,136

 

 

21,154

 

 

10,511

 

Net income

 

$

146,958

 

 

$

144,630

 

 

$

136,405

 

 

$

127,720

 

 

$

128,528

 

 

$

116,011

 

 

$

111,755

 

 

$

111,069

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.50

 

 

$

1.48

 

 

$

1.39

 

 

$

1.31

 

 

$

1.32

 

 

$

1.19

 

 

$

1.15

 

 

$

1.14

 

Diluted

 

1.49

 

 

1.47

 

 

1.39

 

 

1.30

 

 

1.31

 

 

1.18

 

 

1.14

 

 

1.13

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Basic

 

97,830

 

 

97,822

 

 

97,798

 

 

97,595

 

 

97,450

 

 

97,438

 

 

97,426

 

 

97,298

 

Diluted

 

98,376

 

 

98,257

 

 

98,170

 

 

98,104

 

 

98,066

 

 

98,013

 

 

97,866

 

 

97,951

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio (5)

 

5.3

%

 

4.9

%

 

2.6

%

 

4.0

%

 

(0.6

)%

 

3.3

%

 

1.2

%

 

3.5

%

Expense ratio (6)

 

19.9

 

 

20.4

 

 

22.0

 

 

23.1

 

 

22.8

 

 

22.1

 

 

23.2

 

 

25.0

 

Combined ratio

 

25.1

%

 

25.3

%

 

24.7

%

 

27.1

%

 

22.2

%

 

25.4

%

 

24.4

%

 

28.5

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Return on average equity (annualized)

 

20.1

%

 

20.8

%

 

20.9

%

 

20.9

%

 

22.4

%

 

21.5

%

 

21.8

%

 

22.6

%

(1) Net premiums earned also includes premiums earned on GSE and other risk share. See Exhibit F.

(2) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. Other revenues for the three months ended December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019 include unfavorable decreases of $3,585 and $760 and favorable increases of $1,160 and $1,424, respectively, in the fair value of these embedded derivatives.

(3) Provision for losses and LAE for the three months ended December 31, 2018 includes a $9,941 reduction associated with previously identified hurricane-related defaults based on the performance to date and our expectations of the amount of ultimate losses on the remaining delinquencies.

(4) Income tax expense for the three months ended March 31, 2019 and 2018 was reduced by $1,956 and $9,549, respectively, of excess tax benefits associated with the vesting of common shares and common share units during each period. Income tax expense for the three months ended September 30, 2018 includes $1,450 of expense associated with accrual to return adjustments associated with the completion of the 2017 U.S. federal income tax return.

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

(6) 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2019

 

2018

Other Data, continued:

 

December 31

 

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

 

$

15,839,836

 

 

$

18,719,876

 

 

$

17,973,505

 

 

$

10,945,307

 

 

$

11,408,542

 

 

$

13,913,191

 

 

$

12,850,642

 

 

$

9,336,150

 

New risk written

 

3,966,363

 

 

4,695,611

 

 

4,485,217

 

 

2,713,389

 

 

2,838,530

 

 

3,430,942

 

 

3,201,610

 

 

2,295,314

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bulk:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

 

 

$

6,133

 

 

$

29,524

 

 

$

55,002

 

 

$

 

 

$

 

 

$

 

 

$

 

New risk written

 

 

 

842

 

 

2,129

 

 

6,542

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average gross premium rate (7)

 

0.51

%

 

0.52

%

 

0.51

%

 

0.50

%

 

0.50

%

 

0.51

%

 

0.52

%

 

0.52

%

Average net premium rate (8)

 

0.49

%

 

0.49

%

 

0.49

%

 

0.48

%

 

0.49

%

 

0.50

%

 

0.51

%

 

0.52

%

New insurance written

 

$

15,839,836

 

 

$

18,726,009

 

 

$

18,003,029

 

 

$

11,000,309

 

 

$

11,408,542

 

 

$

13,913,191

 

 

$

12,850,642

 

 

$

9,336,150

 

New risk written

 

$

3,966,363

 

 

$

4,696,453

 

 

$

4,487,346

 

 

$

2,719,931

 

 

$

2,838,530

 

 

$

3,430,942

 

 

$

3,201,610

 

 

$

2,295,314

 

Insurance in force (end of period)

 

$

164,005,853

 

 

$

160,962,192

 

 

$

153,317,157

 

 

$

143,181,641

 

 

$

137,720,786

 

 

$

131,249,957

 

 

$

122,501,246

 

 

$

115,250,949

 

Gross risk in force (end of period) (9)

 

$

41,402,950

 

 

$

40,540,289

 

 

$

38,531,090

 

 

$

35,925,830

 

 

$

34,482,448

 

 

$

32,786,194

 

 

$

30,579,106

 

 

$

28,691,561

 

Risk in force (end of period)

 

$

38,947,857

 

 

$

38,784,584

 

 

$

37,034,687

 

 

$

34,744,417

 

 

$

33,892,869

 

 

$

32,361,782

 

 

$

30,154,694

 

 

$

28,267,149

 

Policies in force

 

702,925

 

 

693,085

 

 

666,705

 

 

629,808

 

 

608,135

 

 

581,570

 

 

546,576

 

 

517,215

 

Weighted average coverage (10)

 

25.2

%

 

25.2

%

 

25.1

%

 

25.1

%

 

25.0

%

 

25.0

%

 

25.0

%

 

24.9

%

Annual persistency

 

77.5

%

 

82.1

%

 

84.8

%

 

85.1

%

 

84.9

%

 

84.0

%

 

83.0

%

 

83.5

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

5,947

 

 

5,232

 

 

4,405

 

 

4,096

 

 

4,024

 

 

3,538

 

 

3,519

 

 

4,442

 

Percentage of loans in default

 

0.85

%

 

0.75

%

 

0.66

%

 

0.65

%

 

0.66

%

 

0.61

%

 

0.64

%

 

0.86

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

GSE and other risk share (11)

 

$

895,374

 

 

$

849,184

 

 

$

802,530

 

 

$

771,175

 

 

$

655,384

 

 

$

612,750

 

 

$

592,493

 

 

$

557,692

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

 

$

265,000

 

Undrawn committed capacity

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

 

$

110,000

 

Weighted average interest rate (end of period)

 

3.51

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(7) Average gross premium rate is calculated by dividing annualized premiums earned for the U.S. mortgage insurance portfolio, before reductions for premiums ceded under third-party reinsurance, by average insurance in force for the period.

(8) Average net premium rate is calculated by dividing annualized net premiums earned for the U.S. mortgage insurance portfolio by average insurance in force for the period.

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

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

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

 

 

 

 

 

 

 

 

 

Exhibit D

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

New Insurance Written: Flow

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Credit Score

 

Three Months Ended

 

Year Ended

 

December 31, 2019

 

December 31, 2018

 

December 31, 2019

 

December 31, 2018

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

6,486,486

 

40.9

%

 

$

4,737,774

 

41.5

%

 

$

25,738,423

 

40.5

%

 

$

19,903,369

 

41.9

%

740-759

2,880,429

 

18.2

 

 

1,959,523

 

17.2

 

 

11,152,853

 

17.6

 

 

8,076,182

 

17.0

 

720-739

2,401,806

 

15.2

 

 

1,665,931

 

14.6

 

 

9,340,180

 

14.7

 

 

6,875,823

 

14.5

 

700-719

1,860,120

 

11.7

 

 

1,349,689

 

11.8

 

 

7,555,687

 

11.9

 

 

5,715,076

 

12.0

 

680-699

1,235,223

 

7.8

 

 

875,125

 

7.7

 

 

5,248,330

 

8.3

 

 

3,722,490

 

7.8

 

<=679

975,772

 

6.2

 

 

820,500

 

7.2

 

 

4,443,051

 

7.0

 

 

3,215,585

 

6.8

 

Total

$

15,839,836

 

100.0

%

 

$

11,408,542

 

100.0

%

 

$

63,478,524

 

100.0

%

 

$

47,508,525

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

745

 

 

 

745

 

 

 

744

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Year Ended

 

December 31, 2019

 

December 31, 2018

 

December 31, 2019

 

December 31, 2018

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

2,084,932

 

13.2

%

 

$

1,384,296

 

12.1

%

 

$

7,874,266

 

12.4

%

 

$

5,731,894

 

12.1

%

85.01% to 90.00%

4,757,915

 

30.0

 

 

3,124,625

 

27.4

 

 

17,847,603

 

28.1

 

 

13,227,075

 

27.8

 

90.01% to 95.00%

6,771,196

 

42.7

 

 

4,955,729

 

43.4

 

 

26,852,903

 

42.3

 

 

20,579,615

 

43.3

 

95.01% and above

2,225,793

 

14.1

 

 

1,943,892

 

17.1

 

 

10,903,752

 

17.2

 

 

7,969,941

 

16.8

 

Total

$

15,839,836

 

100.0

%

 

$

11,408,542

 

100.0

%

 

$

63,478,524

 

100.0

%

 

$

47,508,525

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

92

%

 

 

92

%

 

 

92

%

 

 

92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Year Ended

 

December 31, 2019

 

December 31, 2018

 

December 31, 2019

 

December 31, 2018

Single Premium policies

 

10.4

%

 

 

13.5

%

 

 

11.1

%

 

 

15.3

%

Monthly Premium policies

 

89.6

 

 

 

86.5

 

 

 

88.9

 

 

 

84.7

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Year Ended

 

December 31, 2019

 

December 31, 2018

 

December 31, 2019

 

December 31, 2018

Purchase

 

71.8

%

 

 

93.3

%

 

 

80.4

%

 

 

91.8

%

Refinance

 

28.2

 

 

 

6.7

 

 

 

19.6

 

 

 

8.2

 

 

 

100.0

%

 

 

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

IIF by FICO score

December 31, 2019

 

September 30, 2019

 

December 31, 2018

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

68,123,523

 

41.5

%

 

$

67,408,766

 

41.9

%

 

$

59,249,659

 

43.0

%

740-759

27,886,603

 

17.0

 

 

27,178,330

 

16.9

 

 

22,843,145

 

16.6

 

720-739

24,069,139

 

14.7

 

 

23,459,055

 

14.6

 

 

19,898,885

 

14.5

 

700-719

19,183,219

 

11.7

 

 

18,728,884

 

11.6

 

 

15,714,206

 

11.4

 

680-699

13,713,164

 

8.4

 

 

13,418,919

 

8.3

 

 

11,299,829

 

8.2

 

<=679

11,030,205

 

6.7

 

 

10,768,238

 

6.7

 

 

8,715,062

 

6.3

 

Total

$

164,005,853

 

100.0

%

 

$

160,962,192

 

100.0

%

 

$

137,720,786

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average credit score

745

 

 

 

745

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

December 31, 2019

 

September 30, 2019

 

December 31, 2018

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

17,082,683

 

41.3

%

 

$

16,877,750

 

41.6

%

 

$

14,789,783

 

42.9

%

740-759

7,056,654

 

17.0

 

 

6,857,369

 

16.9

 

 

5,736,432

 

16.6

 

720-739

6,150,334

 

14.9

 

 

5,980,949

 

14.8

 

 

5,036,063

 

14.6

 

700-719

4,873,597

 

11.8

 

 

4,743,360

 

11.7

 

 

3,943,925

 

11.4

 

680-699

3,491,755

 

8.4

 

 

3,406,811

 

8.4

 

 

2,846,297

 

8.3

 

<=679

2,747,927

 

6.6

 

 

2,674,050

 

6.6

 

 

2,129,948

 

6.2

 

Total

$

41,402,950

 

100.0

%

 

$

40,540,289

 

100.0

%

 

$

34,482,448

 

100.0

%

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

December 31, 2019

 

September 30, 2019

 

December 31, 2018

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

17,128,008

 

10.5

%

 

$

16,918,870

 

10.5

%

 

$

15,123,578

 

11.0

%

85.01% to 90.00%

46,771,386

 

28.5

 

 

46,021,398

 

28.6

 

 

41,020,839

 

29.8

 

90.01% to 95.00%

76,611,494

 

46.7

 

 

75,528,177

 

46.9

 

 

66,028,990

 

47.9

 

95.01% and above

23,494,965

 

14.3

 

 

22,493,747

 

14.0

 

 

15,547,379

 

11.3

 

Total

$

164,005,853

 

100.0

%

 

$

160,962,192

 

100.0

%

 

$

137,720,786

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average LTV

92

%

 

 

92

%

 

 

92

%

 

 

 

 

 

 

 

Gross RIF by LTV

December 31, 2019

 

September 30, 2019

 

December 31, 2018

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

1,977,361

 

4.8

%

 

$

1,953,058

 

4.8

%

 

$

1,741,823

 

5.1

%

85.01% to 90.00%

11,249,383

 

27.2

 

 

11,065,886

 

27.3

 

 

9,819,171

 

28.5

 

90.01% to 95.00%

21,981,598

 

53.1

 

 

21,633,852

 

53.4

 

 

18,912,421

 

54.8

 

95.01% and above

6,194,608

 

14.9

 

 

5,887,493

 

14.5

 

 

4,009,033

 

11.6

 

Total

$

41,402,950

 

100.0

%

 

$

40,540,289

 

100.0

%

 

$

34,482,448

 

100.0

%

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

December 31, 2019

 

September 30, 2019

 

December 31, 2018

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

$

154,905,519

 

94.5

%

 

$

151,594,009

 

94.2

%

 

$

128,083,429

 

93.0

%

FRM 20-25 years

2,854,560

 

1.7

 

 

2,872,964

 

1.8

 

 

2,965,782

 

2.2

 

FRM 15 years

3,300,715

 

2.0

 

 

3,367,326

 

2.1

 

 

3,445,447

 

2.5

 

ARM 5 years and higher

2,945,059

 

1.8

 

 

3,127,893

 

1.9

 

 

3,226,128

 

2.3

 

Total

$

164,005,853

 

100.0

%

 

$

160,962,192

 

100.0

%

 

$

137,720,786

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2019

 

2018

($ in thousands)

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Premiums earned

 

$

9,867

 

 

$

9,284

 

 

$

8,622

 

 

$

7,894

 

 

$

7,333

 

 

$

6,886

 

 

$

6,715

 

 

$

6,267

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

895,374

 

 

$

849,184

 

 

$

802,530

 

 

$

771,175

 

 

$

655,384

 

 

$

612,750

 

 

$

592,493

 

 

$

557,692

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

745

 

 

746

 

 

748

 

 

747

 

 

748

 

 

749

 

 

748

 

 

751

 

Weighted average LTV

 

85

%

 

85

%

 

85

%

 

85

%

 

85

%

 

85

%

 

85

%

 

84

%

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit G

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Vintage Data

December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance in Force

 

 

 

 

Year

Original

Insurance

Written

($ in thousands)

 

Remaining

Insurance

in Force

($ in thousands)

 

% Remaining of Original

Insurance

 

Number of Policies in Force

 

% Purchase

 

>90% LTV

 

>95% LTV

 

FICO < 700

 

FICO >= 760

 

% FRM

 

Incurred LossRatio (Inception to Date) (1)

 

Number of Loans in Default

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2010

$

245,898

 

 

$

3,354

 

 

1.4

%

 

25

 

 

55.5

%

 

43.8

%

 

0.0

%

 

2.6

%

 

55.8

%

 

100.0

%

 

2.6

%

 

1

 

2011

3,229,720

 

 

154,793

 

 

4.8

 

 

902

 

 

68.8

 

 

58.1

 

 

0.4

 

 

6.3

 

 

52.7

 

 

97.9

 

 

3.7

 

 

18

 

2012

11,241,161

 

 

1,144,794

 

 

10.2

 

 

6,165

 

 

72.2

 

 

70.8

 

 

0.8

 

 

4.9

 

 

57.3

 

 

99.2

 

 

2.1

 

 

84

 

2013

21,152,638

 

 

3,411,648

 

 

16.1

 

 

18,397

 

 

78.9

 

 

67.4

 

 

2.4

 

 

7.7

 

 

51.2

 

 

98.8

 

 

2.3

 

 

250

 

2014

24,799,434

 

 

5,972,714

 

 

24.1

 

 

33,081

 

 

89.5

 

 

67.7

 

 

4.9

 

 

16.0

 

 

41.0

 

 

97.4

 

 

3.0

 

 

535

 

2015

26,193,656

 

 

9,896,050

 

 

37.8

 

 

48,804

 

 

85.1

 

 

60.4

 

 

2.8

 

 

14.7

 

 

43.8

 

 

98.3

 

 

2.7

 

 

669

 

2016

34,949,319

 

 

19,022,616

 

 

54.4

 

 

86,915

 

 

84.1

 

 

59.0

 

 

7.1

 

 

13.5

 

 

45.7

 

 

98.7

 

 

2.9

 

 

948

 

2017

43,858,322

 

 

29,606,165

 

 

67.5

 

 

135,204

 

 

87.8

 

 

60.6

 

 

14.6

 

 

15.8

 

 

41.9

 

 

97.3

 

 

4.2

 

 

1,623

 

2018

47,508,525

 

 

35,318,382

 

 

74.3

 

 

152,372

 

 

92.3

 

 

62.4

 

 

18.7

 

 

15.6

 

 

39.9

 

 

97.9

 

 

6.0

 

 

1,398

 

2019

63,569,183

 

 

59,475,337

 

 

93.6

 

 

221,060

 

 

80.4

 

 

60.0

 

 

17.8

 

 

15.6

 

 

39.7

 

 

98.7

 

 

4.2

 

 

421

 

Total

$

276,747,856

 

 

$

164,005,853

 

 

59.3

 

 

702,925

 

 

85.2

 

 

61.0

 

 

14.3

 

 

15.1

 

 

41.5

 

 

98.2

 

 

3.3

 

 

5,947

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit H

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Reinsurance Vintage Data

December 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess of Loss Reinsurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Original

Reinsurance in Force

 

Remaining

Reinsurance in Force

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Year

Remaining

Insurance

in Force

 

Remaining

Risk

in Force

 

ILN

 

 

Other Reinsurance

 

 

Total

 

ILN

 

Other Reinsurance

 

Total

 

Losses

Ceded

to Date

 

Original

First Layer

Retention

 

Remaining

First Layer

Retention

 

Quarter-to-Date

 

Year-to-Date

 

Reduction in PMIERs Minimum Required Assets (8)

2015 & 2016

$

26,837,265

 

 

$

7,251,785

 

 

$

333,844

 

(1)

 

$

 

 

$

333,844

 

 

$

273,773

 

 

$

 

 

$

273,773

 

 

$

 

 

$

208,111

 

 

$

208,111

 

 

$

1,689

 

 

$

4,242

 

 

$

221,215

 

2017

28,700,242

 

 

7,249,243

 

 

424,412

 

(2)

 

165,167

 

(3)

 

589,579

 

 

319,696

 

 

165,167

 

 

484,863

 

 

 

 

224,689

 

 

222,647

 

 

3,149

 

 

14,147

 

 

283,382

 

2018

34,615,998

 

 

8,719,128

 

 

473,184

 

(4)

 

118,650

 

(5)

 

591,834

 

 

426,677

 

 

103,147

 

 

529,824

 

 

 

 

253,643

 

 

253,415

 

 

4,660

 

 

15,718

 

 

428,514

 

Total

$

90,153,505

 

 

$

23,220,156

 

 

$

1,231,440

 

 

 

$

283,817

 

 

 

$

1,515,257

 

 

$

1,020,146

 

 

$

268,314

 

 

$

1,288,460

 

 

$

 

 

$

686,443

 

 

$

684,173

 

 

$

9,498

 

 

$

34,107

 

 

$

933,111

 

Quota Share Reinsurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

 

 

Ceding Commission

 

Earned Premiums Ceded

 

 

Year

Remaining Insurance in Force

   

Remaining Risk in Force

 

Remaining Ceded Insurance in Force

 

Remaining Ceded Risk in Force

 

Losses Ceded to Date

 

Quarter-to-

Date (6)

 

Year-to-

Date (6)

 

Quarter-to-

Date (7)

 

Year-to-

Date (7)

 

Reduction in PMIERs Minimum Required Assets (8)

2019

$

21,289,799

   

$

5,349,686

 

 

$

4,698,154

 

 

$

1,166,633

 

 

$

71

 

 

$

600

 

 

$

650

 

 

$

1,272

 

 

$

1,392

 

 

$

79,554

 

(1) Reinsurance provided by Radnor Re 2019-2 Ltd., through its issuance of mortgage insurance-linked notes ("ILNs"), effective June 2019.

(2) Reinsurance provided by Radnor Re 2018-1 Ltd., through its issuance of ILNs, effective March 2018.

(3) Reinsurance provided by a panel of reinsurers effective November 2018. Coverage provided immediately above the coverage provided by Radnor Re 2018-1 Ltd.

(4) Reinsurance provided by Radnor Re 2019-1 Ltd., through its issuance of ILNs, effective February 2019.

(5) Reinsurance provided by a panel of reinsurers effective February 2019. Coverage provided pari-passu to the coverage provided by Radnor Re 2019-1 Ltd.

(6) Ceding commission is recorded as a reduction of Other underwriting and operating expenses in the Condensed Consolidated Statements of Comprehensive Income.

(7) Premiums ceded are net of profit commission.

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

 

 

 

 

Exhibit I

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Geographic Data

 

 

 

 

 

 

 

 

 

 

 

 

IIF by State

 

December 31, 2019

 

September 30, 2019

 

December 31, 2018

CA

10.0

%

 

9.8

%

 

9.1

%

TX

8.6

 

 

8.3

 

 

7.9

 

FL

7.9

 

 

7.7

 

 

7.4

 

WA

4.4

 

 

4.5

 

 

4.7

 

CO

3.7

 

 

3.6

 

 

3.4

 

IL

3.7

 

 

3.7

 

 

3.8

 

NJ

3.6

 

 

3.6

 

 

3.8

 

OH

3.4

 

 

3.4

 

 

3.3

 

NC

3.3

 

 

3.3

 

 

3.5

 

AZ

3.3

 

 

3.2

 

 

3.1

 

All Others

48.1

 

 

48.9

 

 

50.0

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

December 31, 2019

 

September 30, 2019

 

December 31, 2018

CA

9.8

%

 

9.6

%

 

8.9

%

TX

8.9

 

 

8.6

 

 

8.1

 

FL

8.0

 

 

7.9

 

 

7.5

 

WA

4.4

 

 

4.5

 

 

4.7

 

CO

3.6

 

 

3.5

 

 

3.3

 

NJ

3.6

 

 

3.6

 

 

3.7

 

IL

3.5

 

 

3.6

 

 

3.8

 

OH

3.3

 

 

3.4

 

 

3.3

 

NC

3.3

 

 

3.3

 

 

3.5

 

GA

3.3

 

 

3.3

 

 

3.5

 

All Others

48.3

 

 

48.7

 

 

49.7

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit J

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Defaults, Reserve for Losses and LAE, and Claims

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Insured Loans in Default

 

 

Three Months Ended

 

Year Ended

 

 

December 31,

 

December 31,

 

December 31,

 

December 31,

 

 

2019

 

2018

 

2019

 

2018

Beginning default inventory

 

5,232

 

 

3,538

 

 

4,024

 

 

4,783

 

Plus: new defaults

 

3,826

 

 

2,747

 

 

13,304

 

 

8,727

 

Less: cures

 

(3,027

)

 

(2,183

)

 

(10,985

)

 

(9,226

)

Less: claims paid

 

(80

)

 

(75

)

 

(377

)

 

(254

)

Less: rescissions and denials, net

 

(4

)

 

(3

)

 

(19

)

 

(6

)

Ending default inventory

 

5,947

 

 

4,024

 

 

5,947

 

 

4,024

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

Year Ended

 

 

December 31,

 

December 31,

 

December 31,

 

December 31,

($ in thousands)

 

2019

 

2018

 

2019

 

2018

Reserve for losses and LAE at beginning of period

 

$

61,436

 

 

$

53,355

 

 

$

49,464

 

 

$

46,850

 

Less: Reinsurance recoverables

 

 

 

 

 

 

 

 

Net reserve for losses and LAE at beginning of period

 

61,436

 

 

53,355

 

 

49,464

 

 

46,850

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

Current year

 

12,658

 

 

11,239

 

 

50,562

 

 

36,438

 

Prior years

 

(1,729

)

 

(12,238

)

 

(17,576

)

 

(24,863

)

Incurred losses and LAE during the period

 

10,929

 

 

(999

)

 

32,986

 

 

11,575

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

Current year

 

631

 

 

690

 

 

1,288

 

 

1,310

 

Prior years

 

2,443

 

 

2,202

 

 

11,871

 

 

7,651

 

Loss and LAE payments during the period

 

3,074

 

 

2,892

 

 

13,159

 

 

8,961

 

Net reserve for losses and LAE at end of period

 

69,291

 

 

49,464

 

 

69,291

 

 

49,464

 

Plus: Reinsurance recoverables

 

71

 

 

 

 

71

 

 

 

Reserve for losses and LAE at end of period

 

$

69,362

 

 

$

49,464

 

 

$

69,362

 

 

$

49,464

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Claims

 

 

Three Months Ended

 

Year Ended

 

 

December 31,

 

December 31,

 

December 31,

 

December 31,

 

 

2019

 

2018

 

2019

 

2018

Number of claims paid

 

80

 

 

75

 

 

377

 

 

254

 

Total amount paid for claims (in thousands)

 

$

2,922

 

 

$

2,711

 

 

$

12,613

 

 

$

8,559

 

Average amount paid per claim (in thousands)

 

$

37

 

 

$

36

 

 

$

33

 

 

$

34

 

Severity

 

76

%

 

82

%

 

74

%

 

73

%

 

 

 

 

 

 

 

 

 

Exhibit J, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Defaults, Reserve for Losses and LAE, and Claims

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2019

 

Number of

Policies in

Default

 

Percentage of

Policies in

Default

 

Amount of Reserves

 

Percentage of Reserves

 

Defaulted RIF

 

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

 

 

 

 

 

Three payments or less

3,310

 

 

56

%

 

$

15,793

 

 

25

%

 

$

177,238

 

 

9

%

Four to eleven payments

2,035

 

 

34

 

 

28,006

 

 

44

 

 

108,743

 

 

26

 

Twelve or more payments

473

 

 

8

 

 

13,549

 

 

22

 

 

27,152

 

 

50

 

Pending claims

129

 

 

2

 

 

5,832

 

 

9

 

 

6,777

 

 

86

 

Total case reserves (1)

5,947

 

 

100

%

 

63,180

 

 

100

%

 

$

319,910

 

 

20

 

IBNR

 

 

 

 

4,738

 

 

 

 

 

 

 

LAE

 

 

 

 

1,265

 

 

 

 

 

 

 

Total reserves for losses and LAE (1)

 

 

 

 

$

69,183

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

 

 

 

 

 

Case

 

 

 

 

$

10.6

 

 

 

 

 

 

 

Total

 

 

 

 

$

11.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Default Rate

0.85%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $179.

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2018

 

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

2,254

 

 

56

%

 

$

12,005

 

 

27

%

 

$

119,666

 

 

10

%

Four to eleven payments

1,350

 

 

33

 

 

20,031

 

 

44

 

 

72,222

 

 

28

 

Twelve or more payments

357

 

 

9

 

 

10,523

 

 

23

 

 

20,419

 

 

52

 

Pending claims

63

 

 

2

 

 

2,749

 

 

6

 

 

3,182

 

 

86

 

Total case reserves

4,024

 

 

100

%

 

45,308

 

 

100

%

 

$

215,489

 

 

21

 

IBNR

 

 

 

 

3,398

 

 

 

 

 

 

 

LAE

 

 

 

 

758

 

 

 

 

 

 

 

Total reserves for losses and LAE

 

 

 

 

$

49,464

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

 

 

 

 

 

Case

 

 

 

 

$

11.3

 

 

 

 

 

 

 

Total

 

 

 

 

$

12.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Default Rate

0.66%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit K

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

December 31, 2019

 

December 31, 2018

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

$

242,206

 

 

7.2

%

 

$

289,892

 

 

10.5

%

U.S. agency securities

33,605

 

 

1.0

 

 

32,997

 

 

1.2

 

U.S. agency mortgage-backed securities

848,334

 

 

25.3

 

 

637,178

 

 

23.1

 

Municipal debt securities

361,638

 

 

10.8

 

 

483,879

 

 

17.5

 

Non-U.S. government securities

54,995

 

 

1.7

 

 

45,001

 

 

1.6

 

Corporate debt securities

880,301

 

 

26.3

 

 

725,201

 

 

26.3

 

Residential and commercial mortgage securities

288,281

 

 

8.6

 

 

121,838

 

 

4.4

 

Asset-backed securities

326,025

 

 

9.7

 

 

284,997

 

 

10.3

 

Money market funds

315,362

 

 

9.4

 

 

139,083

 

 

5.1

 

Total investments available for sale

$

3,350,747

 

 

100.0

%

 

$

2,760,066

 

 

100.0

%

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

December 31, 2019

 

December 31, 2018

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

$

1,817,905

 

 

54.2

%

 

$

1,362,781

 

 

49.4

%

Aa1

109,122

 

 

3.3

 

 

124,435

 

 

4.5

 

Aa2

145,282

 

 

4.3

 

 

196,218

 

 

7.1

 

Aa3

159,599

 

 

4.8

 

 

143,315

 

 

5.2

 

A1

206,643

 

 

6.2

 

 

222,073

 

 

8.0

 

A2

183,780

 

 

5.5

 

 

199,238

 

 

7.2

 

A3

191,933

 

 

5.7

 

 

146,300

 

 

5.3

 

Baa1

232,490

 

 

6.9

 

 

162,695

 

 

5.9

 

Baa2

179,664

 

 

5.4

 

 

140,168

 

 

5.1

 

Baa3

65,119

 

 

1.9

 

 

26,805

 

 

1.0

 

Below Baa3

59,210

 

 

1.8

 

 

36,038

 

 

1.3

 

Total investments available for sale

$

3,350,747

 

 

100.0

%

 

$

2,760,066

 

 

100.0

%

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

December 31, 2019

 

December 31, 2018

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

$

1,038,782

 

 

31.0

%

 

$

529,545

 

 

19.2

%

1 to < 2 Years

306,148

 

 

9.1

 

 

285,060

 

 

10.3

 

2 to < 3 Years

348,708

 

 

10.4

 

 

251,763

 

 

9.1

 

3 to < 4 Years

361,147

 

 

10.8

 

 

278,804

 

 

10.1

 

4 to < 5 Years

443,382

 

 

13.2

 

 

429,005

 

 

15.6

 

5 or more Years

852,580

 

 

25.5

 

 

985,889

 

 

35.7

 

Total investments available for sale

$

3,350,747

 

 

100.0

%

 

$

2,760,066

 

 

100.0

%

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

Three months ended December 31, 2019

2.79

%

 

 

 

 

 

 

Year ended December 31, 2019

2.82

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

As of December 31, 2019

$

98,376

 

 

 

 

 

 

 

As of December 31, 2018

$

78,405

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit L

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2019

 

December 31, 2018

($ in thousands)

 

 

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

 

 

Combined statutory capital (1)

 

$

2,335,828

 

 

$

1,886,929

 

 

 

 

 

 

 

 

Combined net risk in force (2)

 

$

29,460,191

 

 

$

26,233,783

 

 

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

 

Essent Guaranty, Inc.

 

13.1:1

 

 

14.4:1

 

Essent Guaranty of PA, Inc.

 

2.9:1

 

 

4.2:1

 

Combined (4)

 

12.6:1

 

 

13.9:1

 

 

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

 

 

Stockholder's equity (GAAP basis)

 

$

939,360

 

 

$

798,612

 

 

 

 

 

 

 

 

Net risk in force (2)

 

$

10,314,942

 

 

$

8,265,763

 

 

 

 

 

 

 

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

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

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

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

 

 

 

 

 

Exhibit M

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 the basis for measures 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 and dividend equivalent 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. The Company does not view these unrealized gains and losses to be indicative of our fundamental operating performance. As of December 31, 2019 and December 31, 2018, 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 December 31, 2019 and December 31, 2018 in accordance with Regulation G:

 

 

 

 

 

(In thousands, except per share amounts)

 

December 31, 2019

 

December 31, 2018

 

 

 

 

 

Numerator:

 

 

 

 

Total Stockholders' Equity (Book Value)

 

$

2,984,845

 

 

$

2,365,717

 

 

 

 

 

 

Subtract: Accumulated Other Comprehensive Income (Loss)

 

56,187

 

 

(28,993

)

 

 

 

 

 

Adjusted Book Value

 

$

2,928,658

 

 

$

2,394,710

 

 

 

 

 

 

Denominator:

 

 

 

 

Total Common Shares Outstanding

 

98,394

 

 

98,139

 

 

 

 

 

 

Add: Restricted Share Units and Dividend Equivalent Units Outstanding

 

356

 

 

449

 

 

 

 

 

 

Total Common Shares and Share Units Outstanding

 

98,750

 

 

98,588

 

 

 

 

 

 

Adjusted Book Value per Share

 

$

29.66

 

 

$

24.29

 

 

Essent Group Ltd Stock

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Essent Group Ltd shows a slight decrease today, losing -€0.200 (-0.630%) compared to yesterday.

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