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News Details

Essent Group Ltd. Reports Fourth Quarter and Full Year 2016 Results

02/10/2017

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2016 of $62.7 million or $0.68 per diluted share. Net income for the full year 2016 was $222.6 million or $2.41 per diluted share.

Insurance in force as of December 31, 2016 was $83.3 billion, representing an increase of 28% compared to $65.2 billion of insurance in force as of December 31, 2015. As of December 31, 2016, Essent had consolidated stockholders’ equity of $1.3 billion.

“2016 was another successful year for Essent as we continued growing a high credit quality and profitable mortgage insurance portfolio,” said Mark Casale, Chairman and Chief Executive Officer. “We remain optimistic about our prospects heading into 2017, as the underlying fundamentals of housing are strong and the real estate cycle remains in expansion mode.”

Financial Highlights:

  • Insurance in force as of December 31, 2016 was $83.3 billion, compared to $77.6 billion as of September 30, 2016 and $65.2 billion as of December 31, 2015.
  • Flow new insurance written for the fourth quarter was $10.5 billion, compared to $10.3 billion in the third quarter of 2016 and $6.0 billion in the fourth quarter of 2015. For the full year 2016, flow new insurance written was $34.9 billion, compared to $25.9 billion for 2015.
  • Net premiums earned for the fourth quarter were $116.8 million, compared to $110.8 million in the third quarter of 2016 and $89.4 million in the fourth quarter of 2015. For the full year 2016, net premiums earned were $422.7 million, compared to $326.5 million for 2015.
  • The expense ratio for the fourth quarter was 29.8%, compared to 29.6% in the third quarter of 2016 and 33.1% in the fourth quarter of 2015. For the full year 2016, the expense ratio was 30.9%, compared to 34.6% for 2015.
  • The provision for losses and LAE for the fourth quarter was $3.9 million, compared to $5.0 million in the third quarter of 2016 and $4.2 million in the fourth quarter of 2015. For the full year 2016, the provision for losses and LAE was $15.5 million, compared to $11.9 million for 2015.
  • The percentage of loans in default as of December 31, 2016 was 0.47%, compared to 0.41% as of September 30, 2016 and 0.35% as of December 31, 2015.
  • The combined ratio for the fourth quarter was 33.1%, compared to 34.1% in the third quarter of 2016 and 37.8% in the fourth quarter of 2015. For the full year 2016, the combined ratio was 34.5%, compared to 38.3% for 2015.
  • The consolidated balance of cash and investments at December 31, 2016 was $1.6 billion, including cash and investment balances at Essent Group Ltd. of $46.6 million.
  • The combined risk to capital ratio of the US mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 14.7:1 as of December 31, 2016.
  • Essent Reinsurance Ltd. reinsured a total of $260 million of GSE risk share transactions in 2016 compared to $121 million in 2015.

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 48561524 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 48561524.

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, 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 and Year Ended December 31, 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 December 31, Year Ended December 31,

(In thousands, except per share amounts)

2016 2015 2016 2015
Revenues:
Net premiums written $ 116,412 $ 98,434 $ 441,278 $ 370,568
Decrease (increase) in unearned premiums 380   (9,056 ) (18,571 ) (44,097 )
Net premiums earned 116,792 89,378 422,707 326,471
Net investment income 8,225 5,563 27,890 19,885
Realized investment gains, net 445 789 1,934 2,554
Other income 911   1,746   5,727   4,380  
Total revenues 126,373   97,476   458,258   353,290  
 
Losses and expenses:
Provision for losses and LAE 3,865 4,199 15,525 11,905
Other underwriting and operating expenses 35,206   29,627   130,851   112,987  
Total losses and expenses 39,071   33,826   146,376   124,892  
 
Income before income taxes 87,302 63,650 311,882 228,398
Income tax expense 24,616   19,171   89,276   71,067  
Net income $ 62,686   $ 44,479   $ 222,606   $ 157,331  
 
 
Earnings per share:
Basic $ 0.69 $ 0.49 $ 2.45 $ 1.74
Diluted 0.68 0.48 2.41 1.72
 
Weighted average shares outstanding:
Basic 90,991 90,454 90,913 90,351
Diluted 92,577 91,918 92,245 91,738
 
Net income $ 62,686 $ 44,479 $ 222,606 $ 157,331
 
Other comprehensive income (loss):
Change in unrealized depreciation of investments (34,209 ) (5,146 ) (12,156 ) (4,766 )
Total other comprehensive loss (34,209 ) (5,146 ) (12,156 ) (4,766 )
Comprehensive income $ 28,477   $ 39,333   $ 210,450   $ 152,565  
 
 
Loss ratio 3.3 % 4.7 % 3.7 % 3.6 %
Expense ratio 29.8 % 33.1 % 30.9 % 34.6 %
Combined ratio 33.1 % 37.8 % 34.5 % 38.3 %

   
Exhibit B
 
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
 
 
December 31, December 31,

(In thousands, except per share amounts)

2016 2015
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,482,754 $ 1,190,638
Short-term investments 132,348   85,996  
Total investments 1,615,102 1,276,634
Cash 27,531 24,606
Accrued investment income 9,488 7,768
Accounts receivable 21,632 16,637
Deferred policy acquisition costs 13,400 11,529
Property and equipment (at cost, less accumulated depreciation of $46,543 in 2016 and $42,479 in 2015) 8,119 9,021
Prepaid federal income tax 181,272 119,412
Other assets 6,454   3,492  
 
Total assets $ 1,882,998   $ 1,469,099  
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 28,142 $ 17,760
Unearned premium reserve 219,616 201,045
Net deferred tax liability 142,587 87,964
Revolving credit facility borrowings 100,000
Securities purchased payable 14,999 14,996
Other accrued liabilities 33,881   28,093  
Total liabilities 539,225   349,858  
 
Commitments and contingencies
 
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 93,105 shares in 2016 and 92,650 shares in 2015 1,397 1,390
Additional paid-in capital 918,296 904,221
Accumulated other comprehensive loss (12,255 ) (99 )
Retained earnings 436,335   213,729  
Total stockholders' equity 1,343,773   1,119,241  
 
Total liabilities and stockholders' equity $ 1,882,998   $ 1,469,099  
 
Return on average equity 18.1 % 15.2 %

             
Exhibit C
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
 
 
2016 2015
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 $ 116,412   $ 115,887   $ 108,513   $ 100,466   $ 98,434   $ 97,478   $ 92,399   $ 82,257  
 
Net premiums earned 116,792 110,801 100,711 94,403 89,378 83,694 78,361 75,038
Other revenues (1) 9,581   10,453   7,454   8,063   8,098   8,042   5,706   4,973  
Total revenues 126,373   121,254   108,165   102,466   97,476   91,736   84,067   80,011  
 
Losses and expenses:
Provision for losses and LAE 3,865 4,965 2,964 3,731 4,199 3,393 2,314 1,999
Other underwriting and operating expenses 35,206   32,848   31,409   31,388   29,627   28,714   27,148   27,498  
Total losses and expenses 39,071   37,813   34,373   35,119   33,826   32,107   29,462   29,497  
 
Income before income taxes 87,302 83,441 73,792 67,347 63,650 59,629 54,605 50,514
Income tax expense 24,616   23,730   21,534   19,396   19,171   18,808   17,412   15,676  
Net income $ 62,686   $ 59,711   $ 52,258   $ 47,951   $ 44,479   $ 40,821   $ 37,193   $ 34,838  
 
Earnings per share:
Basic $ 0.69 $ 0.66 $ 0.57 $ 0.53 $ 0.49 $ 0.45 $ 0.41 $ 0.39
Diluted 0.68 0.65 0.57 0.52 0.48 0.44 0.41 0.38
 
Weighted average shares outstanding:
Basic 90,991 90,961 90,912 90,785 90,454 90,418 90,344 90,185
Diluted 92,577 92,399 92,138 91,859 91,918 91,841 91,674 91,514
 
Other Data:
Loss ratio (2) 3.3 % 4.5 % 2.9 % 4.0 % 4.7 % 4.1 % 3.0 % 2.7 %
Expense ratio (3) 29.8 % 29.6 % 31.2 % 33.2 % 33.1 % 34.3 % 34.6 % 36.6 %
Combined ratio 33.1 % 34.1 % 34.1 % 37.2 % 37.8 % 38.4 % 37.6 % 39.3 %
 
Return on average equity (annualized) 18.9 % 18.7 % 17.2 % 16.7 % 16.2 % 15.5 % 14.7 % 14.3 %
 

(1) Through June 30, 2016, other revenues included the change in the fair value of insurance and certain reinsurance policies issued by Essent Reinsurance Ltd. ("Essent Re") in connection with Freddie Mac's Agency Credit Insurance Structure ("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 losses and LAE by net premiums earned.

(3) Expense ratio is calculated by dividing other underwriting and operating expenses, excluding interest expense, by net premiums earned.

             
Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
 
 
2016 2015
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 $ 10,475,258 $ 10,299,161 $ 8,715,171 $ 5,366,675 $ 5,970,656 $ 7,384,654 $ 7,225,401 $ 5,346,820
New risk written 2,498,831 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) 0.56 % 0.58 % 0.57 % 0.56 % 0.55 % 0.55 % 0.57 % 0.58 %
New insurance written $ 10,475,258 $ 10,299,161 $ 8,715,171 $ 5,459,729 $ 5,970,656 $ 7,589,521 $ 7,286,659 $ 5,346,820
New risk written $ 2,498,831 $ 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) $ 83,265,522 $ 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) $ 20,627,317 $ 19,289,387 $ 17,937,364 $ 16,745,819 $ 16,073,174 $ 15,229,575 $ 13,992,701 $ 12,891,462
Policies in force 375,898 350,600 328,441 308,779 297,437 282,671 261,996 242,477
Weighted average coverage (5) 24.8 % 24.9 % 24.8 % 24.7 % 24.6 % 24.5 % 24.4 % 24.2 %
Annual persistency 77.7 % 79.4 % 81.0 % 81.0 % 80.2 % 80.2 % 80.3 % 82.8 %
 
Loans in default (count) 1,757 1,453 1,174 1,060 1,028 814 605 505
Percentage of loans in default 0.47 % 0.41 % 0.36 % 0.34 % 0.35 % 0.29 % 0.23 % 0.21 %
 
Other Risk in Force
GSE Risk Share (6) $ 384,103 $ 302,211 $ 305,357 $ 188,766 $ 156,347 $ 118,073 $ 66,291 $ 63,533
 
Revolving Credit Facility
Borrowings outstanding $ 100,000 $ 50,000 $ N/A N/A N/A N/A N/A
Undrawn committed capacity $ 100,000 $ 150,000 $ 200,000 N/A N/A N/A N/A N/A
Interest rate at December 31, 2016: 2.73 %
 

(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 Re provides insurance or reinsurance in connection with Freddie Mac's 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 Year Ended
December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015

($ in thousands)

>=760 $ 4,642,666 44.3 % $ 2,549,859 42.7 % $ 15,827,689 45.4 % $ 11,414,155 44.0 %

740-759

1,636,508 15.6 954,427 16.0 5,533,992 15.9 4,212,139 16.2

720-739

1,456,147 13.9 845,731 14.2 4,750,940 13.6 3,705,326 14.3

700-719

1,212,922 11.6 656,708 11.0 3,859,363 11.1 2,745,041 10.6

680-699

879,907 8.4 556,605 9.3 2,801,820 8.0 2,204,216 8.5
<=679 647,108     6.2   407,326     6.8   2,082,461     6.0   1,646,654     6.4  
Total $ 10,475,258     100.0 % $ 5,970,656     100.0 % $ 34,856,265     100.0 % $ 25,927,531     100.0 %
 
Weighted average credit score 747 746 748 747
 
 
 
NIW by LTV
Three Months Ended Year Ended
December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015

($ in thousands)

85.00% and below $ 1,808,741 17.3 % $ 728,547 12.2 % $ 5,155,388 14.8 % $ 3,235,112 12.5 %
85.01% to 90.00% 3,242,535 30.9 2,040,008 34.2 11,148,955 32.0 8,955,916 34.5
90.01% to 95.00% 4,525,547 43.2 3,042,571 50.9 16,516,689 47.4 13,147,611 50.7
95.01% and above 898,435     8.6   159,530     2.7   2,035,233     5.8   588,892     2.3  
Total $ 10,475,258     100.0 % $ 5,970,656     100.0 % $ 34,856,265     100.0 % $ 25,927,531     100.0 %
 
Weighted average LTV 91 % 92 % 92 % 92 %
 
 
 
NIW by Product
Three Months Ended Year Ended
December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015
Single Premium policies 12.7 % 24.3 % 17.0 % 23.3 %
Monthly Premium policies 87.3   75.7   83.0   76.7  
100.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Year Ended
December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015
Purchase 73.9 % 82.6 % 79.2 % 79.6 %
Refinance 26.1   17.4   20.8   20.4  
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 Year Ended
December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015

($ in thousands)

>=760 $ 0.0 % $ 0.0 % $ 45,625 49.0 % $ 201,990 75.9 %

740-759

18,154 19.5 31,425 11.8

720-739

11,475 12.3 19,891 7.5

700-719

8,220 8.8 12,819 4.8

680-699

6,453 7.0
<=679             3,127     3.4        
Total $     0.0 % $     0.0 % $ 93,054     100.0 % $ 266,125     100.0 %
 
Weighted average credit score N/A N/A 750 774
 
 
 
NIW by LTV
Three Months Ended Year Ended
December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015

($ in thousands)

85.00% and below $ 0.0 % $ 0.0 % $ 755 0.8 % $ 63,448 23.8 %
85.01% to 90.00% 27,757 29.8 94,984 35.7
90.01% to 95.00% 64,542 69.4 107,693 40.5
95.01% and above                        
Total $     0.0 % $     0.0 % $ 93,054     100.0 % $ 266,125     100.0 %
 
Weighted average LTV N/A N/A 91 % 89 %
 
 
 
NIW by Product
Three Months Ended Year Ended
December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015
Single Premium policies 0.0 % 0.0 % 100.0 % 100.0 %
Monthly Premium policies        
0.0 % 0.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Year Ended
December 31, 2016 December 31, 2015 December 31, 2016 December 31, 2015
Purchase 0.0 % 0.0 % 100.0 % 90.1 %
Refinance       9.9  
0.0 % 0.0 % 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 December 31, 2016 September 30, 2016 December 31, 2015

($ in thousands)

>=760 $ 37,858,422 45.5 % $ 35,510,017 45.8 % $ 30,174,460 46.2 %

740-759

13,760,610 16.5 12,924,061 16.6 11,019,729 16.9

720-739

11,855,648 14.2 11,075,479 14.3 9,398,659 14.4

700-719

8,712,971 10.5 7,985,448 10.3 6,507,454 10.0

680-699

6,611,166 7.9 6,079,109 7.8 5,030,169 7.7
<=679 4,466,705   5.4   4,040,259   5.2   3,111,982   4.8  
Total $ 83,265,522   100.0 % $ 77,614,373   100.0 % $ 65,242,453   100.0 %
 
Weighted average credit score 749 749 750
 
Total RIF by FICO score December 31, 2016 September 30, 2016 December 31, 2015

($ in thousands)

>=760 $ 9,319,522 45.2 % $ 8,763,990 45.4 % $ 7,379,053 45.9 %

740-759

3,434,392 16.7 3,236,792 16.8 2,735,754 17.0

720-739

2,970,941 14.4 2,784,413 14.4 2,346,971 14.6

700-719

2,151,657 10.4 1,977,518 10.3 1,592,463 9.9

680-699

1,656,791 8.0 1,529,092 7.9 1,255,734 7.8
<=679 1,094,014   5.3   997,582   5.2   763,199   4.8  
Total $ 20,627,317   100.0 % $ 19,289,387   100.0 % $ 16,073,174   100.0 %
 
Portfolio by LTV
Total IIF by LTV December 31, 2016 September 30, 2016 December 31, 2015

($ in thousands)

85.00% and below $ 9,756,578 11.7 % $ 8,697,580 11.2 % $ 7,341,316 11.3 %
85.01% to 90.00% 27,409,202 32.9 25,916,495 33.4 22,337,975 34.2
90.01% to 95.00% 42,854,633 51.5 40,553,061 52.2 34,035,682 52.2
95.01% and above 3,245,109   3.9   2,447,237   3.2   1,527,480   2.3  
Total $ 83,265,522   100.0 % $ 77,614,373   100.0 % $ 65,242,453   100.0 %
 
Weighted average LTV 92 % 92 % 92 %
 
Total RIF by LTV December 31, 2016 September 30, 2016 December 31, 2015

($ in thousands)

85.00% and below $ 1,101,947 5.3 % $ 986,759 5.1 % $ 826,531 5.2 %
85.01% to 90.00% 6,512,613 31.6 6,173,686 32.0 5,310,050 33.0
90.01% to 95.00% 12,234,306 59.3 11,574,082 60.0 9,646,406 60.0
95.01% and above 778,451   3.8   554,860   2.9   290,187   1.8  
Total $ 20,627,317   100.0 % $ 19,289,387   100.0 % $ 16,073,174   100.0 %
 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period December 31, 2016 September 30, 2016 December 31, 2015

($ in thousands)

FRM 30 years and higher $ 75,428,964 90.6 % $ 70,363,929 90.7 % $ 58,344,666 89.4 %
FRM 20-25 years 2,113,529 2.5 1,808,715 2.3 1,515,756 2.3
FRM 15 years 3,066,893 3.7 2,757,521 3.5 2,702,723 4.2
ARM 5 years and higher 2,656,136   3.2   2,684,208   3.5   2,679,308   4.1  
Total $ 83,265,522   100.0 % $ 77,614,373   100.0 % $ 65,242,453   100.0 %

     
Exhibit F
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
 
 

($ in thousands)

December 31, 2016 September 30, 2016 December 31, 2015
 
GSE Risk Share (1) $ 384,103   $ 302,211   $ 156,347  
 
Weighted average credit score 749 751 754
Weighted average LTV 82 % 80 % 76 %
 

(1) 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, including in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") program and Fannie Mae's Credit Insurance Risk Transfer ("CIRT") program.

                       
Exhibit G
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
December 31, 2016
 
 
Insurance in Force
Origination 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
Loss Ratio
(Inception
to Date) (1)

 

Number of
Loans in
Default

 
2010 $ 245,898 $ 30,336 12.3 % 191 78.9 % 48.0 % 0.0 % 3.8 % 57.9 % 99.3 % 2.8 % 1
2011 3,229,720 571,364 17.7 3,121 76.4 44.8 0.2 5.0 55.3 95.6 3.7 44
2012 11,241,161 3,843,570 34.2 19,222 75.2 53.0 0.5 5.5 55.8 97.7 2.5 156
2013 21,152,638 9,440,086 44.6 46,380 78.3 56.0 1.9 7.8 51.0 97.2 2.6 362
2014 24,799,434 14,543,735 58.6 71,819 86.8 60.7 3.7 15.4 42.1 94.1 3.9 677
2015 26,193,656 21,226,878 81.0 95,084 81.6 55.0 2.4 14.8 43.7 96.6 3.3 394
2016 34,949,319     33,609,553   96.2 140,081   79.2 53.5 6.0 14.1 45.2 97.9 2.3 123
Total $ 121,811,826     $ 83,265,522   68.4 375,898   80.8 55.4 3.9 13.3 45.5 96.8 3.1 1,757
 

(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
December 31, 2016 September 30, 2016 December 31, 2015
CA 9.4 % 9.4 % 9.6 %
TX 8.2 8.3 8.3
FL 6.6 6.5 6.2
WA 4.8 4.8 4.6
IL 4.0 4.1 4.1
NC 3.7 3.7 3.9
NJ 3.5 3.4 3.4
GA 3.4 3.4 3.3
MN 3.2 3.2 2.9
AZ 3.2 3.1 3.2
All Others 50.0   50.1   50.5  
Total 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
December 31, 2016 September 30, 2016 December 31, 2015
CA 9.0 % 9.0 % 9.2 %
TX 8.5 8.5 8.6
FL 6.9 6.8 6.4
WA 4.8 4.8 4.8
IL 4.0 4.1 4.1
NC 3.7 3.8 4.0
GA 3.5 3.5 3.5
NJ 3.5 3.4 3.3
MN 3.3 3.3 3.0
OH 3.1 3.1 2.9
All Others 49.7   49.7   50.2  
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 Year Ended
December 31, December 31, December 31, December 31,
2016 2015 2016 2015
Beginning default inventory 1,453 814 1,028 457
Plus: new defaults 1,208 706 3,746 2,034
Less: cures (861 ) (467 ) (2,857 ) (1,384 )
Less: claims paid (39 ) (25 ) (154 ) (79 )
Less: rescissions and denials (4 )   (6 )  
Ending default inventory 1,757   1,028   1,757   1,028  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended Year Ended
December 31, December 31, December 31, December 31,

($ in thousands)

2016 2015 2016 2015
Reserve for losses and LAE at beginning of period $ 25,731   $ 14,548   $ 17,760   $ 8,427  
Add provision for losses and LAE occurring in:
Current year 5,502 4,600 21,889 14,956
Prior years (1,637 ) (401 ) (6,364 ) (3,051 )
Incurred losses during the period 3,865   4,199   15,525   11,905  
Deduct payments for losses and LAE occurring in:
Current year 460 282 927 544
Prior years 994   705   4,216   2,028  
Loss and LAE payments during the period 1,454   987   5,143   2,572  
Reserve for losses and LAE at end of period $ 28,142   $ 17,760   $ 28,142   $ 17,760  
 
 
 
Claims
Three Months Ended Year Ended
December 31, December 31, December 31, December 31,
2016 2015 2016 2015
Number of claims paid 39 25 154 79
Total amount paid for claims (in thousands) $ 1,438 $ 968 $ 5,028 $ 2,498
Average amount paid per claim (in thousands) $ 37 $ 39 $ 33 $ 32
Severity 70 % 102 % 73 % 92 %

       
Exhibit I, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
   
 
December 31, 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 914 52 % $ 6,615 26 % $ 50,737 13 %
Four to eleven payments 620 35 11,505 45 32,833 35
Twelve or more payments 179 10 5,678 22 9,575 59
Pending claims 44     3     1,960     7     2,272 86
Total case reserves 1,757     100 % 25,758 100 %   $ 95,417 27
IBNR 1,932
LAE 452  
Total reserves for losses and LAE $ 28,142  
 
Average reserve per default:
Case $ 14.7
Total $ 16.0
 
Default Rate 0.47 %
 
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 %

       
Exhibit J
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio
 
 
Investment Portfolio by Asset Class
Asset Class December 31, 2016 December 31, 2015

($ in thousands)

Fair Value   Percent Fair Value   Percent
U.S. Treasury securities $ 191,548 11.9 % $ 177,607 13.9 %
U.S. agency securities 18,441 1.1 13,782 1.1
U.S. agency mortgage-backed securities 316,494 19.6 159,602 12.5
Municipal debt securities 334,324 20.7 279,828 21.9
Corporate debt securities 456,357 28.3 396,732 31.1
Residential and commercial mortgage securities 68,336 4.2 55,356 4.3
Asset-backed securities 127,172 7.9 126,629 9.9
Money market funds 102,430     6.3   67,098   5.3  
Total Investments $ 1,615,102     100.0 % $ 1,276,634   100.0 %
 
Investment Portfolio by Credit Rating
Rating (1) December 31, 2016 December 31, 2015

($ in thousands)

Fair Value   Percent Fair Value   Percent
Aaa $ 780,513 48.3 % $ 554,789 43.5 %
Aa1 88,977 5.5 74,322 5.8
Aa2 101,772 6.3 89,533 7.0
Aa3 89,421 5.5 68,587 5.4
A1 143,938 8.9 126,920 9.9
A2 126,113 7.8 122,745 9.6
A3 95,926 6.0 87,781 6.9
Baa1 85,864 5.3 80,137 6.3
Baa2 71,950 4.5 51,528 4.0
Baa3 24,544 1.5 19,662 1.5
Below Baa3 6,084     0.4   630   0.1  
Total Investments $ 1,615,102     100.0 % $ 1,276,634   100.0 %
 
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
 
Investment Portfolio by Duration and Book Yield
Effective Duration December 31, 2016 December 31, 2015

($ in thousands)

Fair Value   Percent Fair Value   Percent
< 1 Year $ 329,901 20.4 % $ 235,001 18.4 %
1 to < 2 Years 153,184 9.5 141,995 11.1
2 to < 3 Years 156,620 9.7 214,274 16.8
3 to < 4 Years 176,896 11.0 104,772 8.2
4 to < 5 Years 139,115 8.6 141,428 11.1
5 or more Years 659,386     40.8   439,164   34.4  
Total Investments $ 1,615,102     100.0 % $ 1,276,634   100.0 %
 
Pre-tax investment income yield:
Three months ended December 31, 2016 2.22 %
Year ended December 31, 2016 2.10 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)

As of December 31, 2016 $ 46,561
As of December 31, 2015 $ 70,601

           
Exhibit K
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
 
 
December 31, 2016 December 31, 2015

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 1,144,279 $ 913,182
 
Combined net risk in force (2) $ 16,801,992 $ 13,847,336
 
Risk-to-capital ratios: (3)
Essent Guaranty, Inc. 15.3:1 15.7:1
Essent Guaranty of PA, Inc. 6.8:1 9.7:1
Combined (4) 14.7:1 15.2:1
 
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 401,273 $ 220,178
 
Net risk in force (2) $ 4,181,737 $ 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 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 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 December 31, 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 December 31, 2016 and December 31, 2015 in accordance with Regulation G:

     

(In thousands, except per share amounts)

December 31, 2016 December 31, 2015
 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,343,773 $ 1,119,241
 
Subtract: Accumulated Other Comprehensive Loss (12,255 ) (99 )
 
Adjusted Book Value $ 1,356,028   $ 1,119,340  
 
Denominator:
Total Common Shares Outstanding 93,105 92,650
 
Add: Restricted Share Units Outstanding 493   544  
 
Total Common Shares and Share Units Outstanding 93,598   93,194  
 
Adjusted Book Value per Share $ 14.49   $ 12.01  

Source: Essent Group Ltd.

Essent Group Ltd.

Media Contact

610-230-0556

media@essentgroup.com

or

Investor Relations Contact

Christopher G. Curran

Senior Vice President – Investor Relations

855-809-ESNT

ir@essentgroup.com