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News Details

Essent Group Ltd. Reports Third Quarter 2017 Results

11/09/2017

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2017 of $78.4 million or $0.82 per diluted share, compared to $59.7 million or $0.65 per diluted share for the quarter ended September 30, 2016. As of September 30, 2017, Essent had insurance in force of $103.9 billion and consolidated stockholders’ equity of $1.8 billion.

"During the third quarter we continued building a high credit quality and profitable mortgage insurance portfolio,” said Mark Casale, Chairman and Chief Executive Officer. “Additionally, I am pleased that we have now surpassed $100 billion of insurance in force which is a significant milestone for the Essent franchise and reflects our strong customer relationships as well as our best in class service.”

Financial Highlights:

  • Insurance in force as of September 30, 2017 was $103.9 billion, compared to $77.6 billion as of September 30, 2016.
  • New insurance written for the third quarter was $13.2 billion, compared to $10.3 billion in the third quarter of 2016.
  • Net premiums earned for the third quarter were $137.9 million, compared to $110.8 million in the third quarter of 2016.
  • The expense ratio for the third quarter was 26.8%, compared to 29.6% in the third quarter of 2016.
  • The provision for losses and LAE for the third quarter was $4.3 million, compared to $5.0 million in the third quarter of 2016.
  • The percentage of loans in default as of September 30, 2017 was 0.46%, compared to 0.41% as of September 30, 2016.
  • The combined ratio for the third quarter was 30.0%, compared to 34.1% in the third quarter of 2016.
  • The consolidated balance of cash and investments at September 30, 2017 was $2.2 billion, including cash and investment balances at Essent Group Ltd. of $128.0 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 14.7:1 as of September 30, 2017.
  • Essent Reinsurance Ltd. reinsured a total of $35.1 million of risk in GSE risk share transactions in the third quarter of 2017.

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 844-579-6824 inside the U.S., or 763-488-9145 for international callers, using passcode 99416499 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 99416499.

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, 2016 filed with the Securities and Exchange Commission on February 16, 2017. 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, 2017
 
 
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)

2017 2016 2017 2016
Revenues:
Net premiums written $ 155,055 $ 115,887 $ 408,415 $ 324,866
Increase in unearned premiums   (17,115 )   (5,086 )   (26,261 )   (18,951 )
Net premiums earned 137,940 110,801 382,154 305,915
Net investment income 10,626 6,781 28,461 19,665
Realized investment gains, net 564 435 1,763 1,489
Other income   1,073     3,237     3,023     4,816  
Total revenues   150,203     121,254     415,401     331,885  
 
Losses and expenses:
Provision for losses and LAE 4,313 4,965 9,776 11,660
Other underwriting and operating expenses 37,035 32,792 109,053 95,589
Interest expense   1,456     56     3,361     56  
Total losses and expenses   42,804     37,813     122,190     107,305  
 
Income before income taxes 107,399 83,441 293,211 224,580
Income tax expense   29,006     23,730     76,102     64,660  
Net income $ 78,393   $ 59,711   $ 217,109   $ 159,920  
 
 
Earnings per share:
Basic $ 0.83 $ 0.66 $ 2.35 $ 1.76
Diluted 0.82 0.65 2.31 1.74
 
Weighted average shares outstanding:
Basic 94,185 90,961 92,285 90,886
Diluted 96,094 92,399 94,104 92,133
 
Net income $ 78,393 $ 59,711 $ 217,109 $ 159,920
 
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments   1,978     (2,008 )   15,298     22,053  
Total other comprehensive income (loss)   1,978     (2,008 )   15,298     22,053  
Comprehensive income $ 80,371   $ 57,703   $ 232,407   $ 181,973  
 
 
Loss ratio 3.1 % 4.5 % 2.6 % 3.8 %
Expense ratio   26.8     29.6     28.5     31.2  
Combined ratio   30.0 %   34.1 %   31.1 %   35.1 %
 
 
Exhibit B
       
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
 
 
September 30, December 31,

(In thousands, except per share amounts)

2017 2016
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,826,801 $ 1,482,754
Short-term investments   296,513     132,348  
Total investments 2,123,314 1,615,102
Cash 57,741 27,531
Accrued investment income 11,839 9,488
Accounts receivable 29,284 21,632
Deferred policy acquisition costs 14,831 13,400
Property and equipment 7,825 8,119
Prepaid federal income tax 233,457 181,272
Other assets   7,300     6,454  
 
Total assets $ 2,485,591   $ 1,882,998  
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 31,579 $ 28,142
Unearned premium reserve 245,877 219,616
Net deferred tax liability 198,042 142,587
Credit facility borrowings, net of deferred costs 173,489 100,000
Securities purchased payable 25,998 14,999
Other accrued liabilities   30,036     33,881  
Total liabilities   705,021     539,225  
 
Commitments and contingencies
 
Stockholders' Equity
Common shares 1,476 1,397
Additional paid-in capital 1,122,679 918,296
Accumulated other comprehensive income (loss) 3,043 (12,255 )
Retained earnings   653,372     436,335  
Total stockholders' equity   1,780,570     1,343,773  
 
Total liabilities and stockholders' equity $ 2,485,591   $ 1,882,998  
 
Return on average equity (1) 18.5 % 18.1 %

 

(1) The 2017 return on average equity is calculated by dividing annualized year-to-date 2017 net income by average equity. The 2016 return on average equity is calculated by dividing full year 2016 net income by average equity.

 
 
Exhibit C
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
                           
 
2017 2016
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 $ 155,055   $ 134,063   $ 119,297   $ 116,412   $ 115,887   $ 108,513   $ 100,466  
 
Net premiums earned 137,940 126,563 117,651 116,792 110,801 100,711 94,403
Other revenues (1)   12,263     11,043     9,941     9,581     10,453     7,454     8,063  
Total revenues   150,203     137,606     127,592     126,373     121,254     108,165     102,466  
 
Losses and expenses:
Provision for losses and LAE 4,313 1,770 3,693 3,865 4,965 2,964 3,731
Other underwriting and operating expenses 37,035 35,686 36,332 34,836 32,792 31,409 31,388
Interest expense   1,456     1,189     716     370     56          
Total losses and expenses   42,804     38,645     40,741     39,071     37,813     34,373     35,119  
 
Income before income taxes 107,399 98,961 86,851 87,302 83,441 73,792 67,347
Income tax expense (2)   29,006     26,843     20,253     24,616     23,730     21,534     19,396  
Net income $ 78,393   $ 72,118   $ 66,598   $ 62,686   $ 59,711   $ 52,258   $ 47,951  
 
Earnings per share:
Basic $ 0.83 $ 0.79 $ 0.73 $ 0.69 $ 0.66 $ 0.57 $ 0.53
Diluted 0.82 0.77 0.72 0.68 0.65 0.57 0.52
 
Weighted average shares outstanding:
Basic 94,185 91,381 91,258 90,991 90,961 90,912 90,785
Diluted 96,094 93,162 93,023 92,577 92,399 92,138 91,859
 
Other Data:
Loss ratio (3) 3.1 % 1.4 % 3.1 % 3.3 % 4.5 % 2.9 % 4.0 %
Expense ratio (4)   26.8     28.2     30.9     29.8     29.6     31.2     33.2  
Combined ratio   30.0 %   29.6 %   34.0 %   33.1 %   34.1 %   34.1 %   37.2 %
 
Return on average equity (annualized) 19.1 % 19.8 % 19.3 % 18.9 % 18.7 % 17.2 % 16.7 %
 

(1) In 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) and $677 in the three months ended September 30, 2016, June 30, 2016 and March 31, 2016, respectively.

 

(2) Income tax expense for the quarter ended March 31, 2017 was reduced by $3,023 of excess tax benefits associated with the vesting of common shares and common share units during the quarter. Prior to January 1, 2017, excess tax benefits were recognized in additional paid-in-capital.

 

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

 

(4) 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
                           
 
2017 2016
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 $ 13,221,038 $ 11,368,276 $ 8,034,153 $ 10,475,258 $ 10,299,161 $ 8,715,171 $ 5,366,675
New risk written 3,228,603 2,786,501 1,929,832 2,498,831 2,536,734 2,167,333 1,340,588
 
Bulk:
New insurance written $ $ $ $ $ $ $ 93,054
New risk written 8,480
 
Total:
Average premium rate (5) 0.53 % 0.53 % 0.53 % 0.56 % 0.58 % 0.57 % 0.56 %
New insurance written $ 13,221,038 $ 11,368,276 $ 8,034,153 $ 10,475,258 $ 10,299,161 $ 8,715,171 $ 5,459,729
New risk written $ 3,228,603 $ 2,786,501 $ 1,929,832 $ 2,498,831 $ 2,536,734 $ 2,167,333 $ 1,349,068
Insurance in force (end of period) $ 103,936,307 $ 95,494,390 $ 87,993,227 $ 83,265,522 $ 77,614,373 $ 72,267,099 $ 67,716,741
Risk in force (end of period) $ 25,807,358 $ 23,665,045 $ 21,801,667 $ 20,627,317 $ 19,289,387 $ 17,937,364 $ 16,745,819
Policies in force 467,483 430,585 397,650 375,898 350,600 328,441 308,779
Weighted average coverage (6) 24.8 % 24.8 % 24.8 % 24.8 % 24.9 % 24.8 % 24.7 %
Annual persistency 82.1 % 80.1 % 78.2 % 77.7 % 79.4 % 81.0 % 81.0 %
 
Loans in default (count) 2,153 1,776 1,777 1,757 1,453 1,174 1,060
Percentage of loans in default 0.46 % 0.41 % 0.45 % 0.47 % 0.41 % 0.36 % 0.34 %
 
Other Risk in Force
GSE Risk Share (7) $ 501,485 $ 479,762 $ 436,991 $ 384,103 $ 302,211 $ 305,357 $ 188,766
 
Credit Facility
Borrowings outstanding $ 175,000 $ 175,000 $ 125,000 $ 100,000 $ 50,000 $ N/A
Undrawn committed capacity $ 200,000 $ 200,000 $ 75,000 $ 100,000 $ 150,000 $ 200,000 N/A
Weighted average interest rate 3.24 %

 

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

 

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

 

(7) 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") and Fannie Mae's Credit Insurance Risk Transfer ("CIRT") programs.

 
                                   
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, 2017 September 30, 2016 September 30, 2017 September 30, 2016

($ in thousands)

>=760 $ 5,590,793 42.3 % $ 4,883,884 47.4 % $ 13,903,707 42.6 % $ 11,185,023 45.9 %
740-759 2,028,500 15.3 1,651,059 16.0 5,057,461 15.5 3,897,484 16.0
720-739 1,882,227 14.2 1,358,205 13.2 4,578,846 14.0 3,294,793 13.5
700-719 1,571,170 11.9 1,112,745 10.8 3,850,420 11.8 2,646,441 10.8
680-699 1,160,771 8.8 746,419 7.3 2,818,724 8.7 1,921,913 7.9
<=679   987,577       7.5     546,849       5.3     2,414,309       7.4     1,435,353       5.9  
Total $ 13,221,038       100.0 % $ 10,299,161       100.0 % $ 32,623,467       100.0 % $ 24,381,007       100.0 %
 
Weighted average credit score 745 750 745 749
 
 
 
NIW by LTV
Three Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016

($ in thousands)

85.00% and below $ 1,682,491 12.7 % $ 1,506,576 14.6 % $ 4,307,262 13.2 % $ 3,346,647 13.7 %
85.01% to 90.00% 3,893,155 29.4 3,254,538 31.6 9,785,966 30.0 7,906,420 32.4
90.01% to 95.00% 5,811,182 44.0 4,930,162 47.9 14,455,640 44.3 11,991,142 49.2
95.01% and above   1,834,210       13.9     607,885       5.9     4,074,599       12.5     1,136,798       4.7  
Total $ 13,221,038       100.0 % $ 10,299,161       100.0 % $ 32,623,467       100.0 % $ 24,381,007       100.0 %
 
Weighted average LTV 92 % 92 % 92 % 92 %
 
 
 
NIW by Product
Three Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Single Premium policies 16.8 % 16.2 % 15.4 % 18.8 %
Monthly Premium policies 83.2   83.8   84.6   81.2  
100.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Purchase 87.6 % 80.7 % 85.4 % 81.5 %
Refinance 12.4   19.3   14.6   18.5  
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, 2017 September 30, 2016 September 30, 2017 September 30, 2016

($ in thousands)

>=760 $ 0.0 % $ 0.0 % $ 0.0 % $ 45,625 49.0 %
740-759 18,154 19.5
720-739 11,475 12.3
700-719 8,220 8.8
680-699 6,453 7.0
<=679                           3,127       3.4  
Total $     0.0 % $     0.0 % $     0.0 % $ 93,054       100.0 %
 
Weighted average credit score N/A N/A N/A 750
 
 
 
NIW by LTV
Three Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016

($ in thousands)

85.00% and below $ 0.0 % $ 0.0 % $ 0.0 % $ 755 0.8 %
85.01% to 90.00% 27,757 29.8
90.01% to 95.00% 64,542 69.4
95.01% and above                                  
Total $     0.0 % $     0.0 % $     0.0 % $ 93,054       100.0 %
 
Weighted average LTV N/A N/A N/A 91 %
 
 
 
NIW by Product
Three Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Single Premium policies 0.0 % 0.0 % 0.0 % 100.0 %
Monthly Premium policies        
0.0 % 0.0 % 0.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Purchase 0.0 % 0.0 % 0.0 % 100.0 %
Refinance        
0.0 % 0.0 % 0.0 % 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, 2017 June 30, 2017 September 30, 2016

($ in thousands)

>=760 $ 46,220,799 44.5 % $ 42,839,819 44.8 % $ 35,510,017 45.8 %
740-759 16,890,061 16.2 15,628,721 16.4 12,924,061 16.6
720-739 14,767,164 14.2 13,568,471 14.2 11,075,479 14.3
700-719 11,307,184 10.9 10,239,343 10.7 7,985,448 10.3
680-699 8,523,233 8.2 7,715,118 8.1 6,079,109 7.8
<=679   6,227,866       6.0     5,502,918       5.8     4,040,259       5.2  
Total $ 103,936,307       100.0 % $ 95,494,390       100.0 % $ 77,614,373       100.0 %
 
Weighted average credit score 747 748 749
 
Total RIF by FICO score September 30, 2017 June 30, 2017 September 30, 2016

($ in thousands)

>=760 $ 11,434,540 44.3 % $ 10,565,479 44.6 % $ 8,763,990 45.4 %
740-759 4,218,828 16.3 3,900,374 16.5 3,236,792 16.8
720-739 3,707,571 14.4 3,400,897 14.4 2,784,413 14.4
700-719 2,805,886 10.9 2,531,834 10.7 1,977,518 10.3
680-699 2,129,638 8.2 1,928,884 8.1 1,529,092 7.9
<=679   1,510,895       5.9     1,337,577       5.7     997,582       5.2  
Total $ 25,807,358       100.0 % $ 23,665,045       100.0 % $ 19,289,387       100.0 %
 
 
Portfolio by LTV
Total IIF by LTV September 30, 2017 June 30, 2017 September 30, 2016

($ in thousands)

85.00% and below $ 12,103,499 11.6 % $ 11,175,433 11.7 % $ 8,697,580 11.2 %
85.01% to 90.00% 33,129,815 31.9 30,771,122 32.2 25,916,495 33.4
90.01% to 95.00% 51,684,041 49.7 48,225,083 50.5 40,553,061 52.2
95.01% and above   7,018,952       6.8     5,322,752       5.6     2,447,237       3.2  
Total $ 103,936,307       100.0 % $ 95,494,390       100.0 % $ 77,614,373       100.0 %
 
Weighted average LTV 92 % 92 % 92 %
 
Total RIF by LTV September 30, 2017 June 30, 2017 September 30, 2016

($ in thousands)

85.00% and below $ 1,366,982 5.3 % $ 1,261,421 5.3 % $ 986,759 5.1 %
85.01% to 90.00% 7,858,283 30.4 7,301,776 30.9 6,173,686 32.0
90.01% to 95.00% 14,810,490 57.4 13,776,313 58.2 11,574,082 60.0
95.01% and above   1,771,603       6.9     1,325,535       5.6     554,860       2.9  
Total $ 25,807,358       100.0 % $ 23,665,045       100.0 % $ 19,289,387       100.0 %
 
 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period September 30, 2017 June 30, 2017 September 30, 2016

($ in thousands)

FRM 30 years and higher $ 94,299,877 90.7 % $ 86,471,721 90.5 % $ 70,363,929 90.7 %
FRM 20-25 years 2,695,714 2.6 2,458,906 2.6 1,808,715 2.3
FRM 15 years 3,779,626 3.7 3,521,645 3.7 2,757,521 3.5
ARM 5 years and higher   3,161,090       3.0     3,042,118       3.2     2,684,208       3.5  
Total $ 103,936,307       100.0 % $ 95,494,390       100.0 % $ 77,614,373       100.0 %
 
 
Exhibit F
           
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
 
 

($ in thousands)

September 30, 2017 June 30, 2017 September 30, 2016
 
GSE Risk Share (1) $ 501,485   $ 479,762   $ 302,211  
 
Weighted average credit score 749 749 751
Weighted average LTV 84 % 83 % 80 %
 

(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") and Fannie Mae's Credit Insurance Risk Transfer ("CIRT") programs.

 
                                               
Exhibit G
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
September 30, 2017
 
 
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 $ 17,949 7.3 % 122 79.1 % 51.1 % 0.0 % 2.1 % 63.8 % 100.0 % 2.6 %
2011 3,229,720 434,676 13.5 2,445 77.0 46.8 0.2 5.3 53.9 96.2 3.7 38
2012 11,241,161 3,001,863 26.7 15,333 76.4 55.5 0.5 5.5 56.0 98.2 2.3 115
2013 21,152,638 7,394,766 35.0 37,261 79.2 57.5 1.9 7.8 51.5 97.7 2.4 312
2014 24,799,434 11,747,210 47.4 59,673 87.7 61.6 4.0 15.3 42.1 94.9 3.4 636
2015 26,193,656 18,328,775 70.0 83,827 83.0 56.2 2.5 14.7 43.9 96.8 3.4 546
2016 34,949,319 31,268,320 89.5 132,750 79.8 54.2 6.1 14.0 45.0 98.1 3.2 408
2017 (through September 30)   32,623,467       31,742,748 97.3 136,072 85.4 57.0 12.7 16.1 42.3 96.4 1.7 98
Total $ 154,435,293     $ 103,936,307 67.3 467,483 82.8 56.5 6.8 14.2 44.5 97.0 3.0 2,153
 

(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, 2017 June 30, 2017 September 30, 2016
CA 10.2 % 9.4 % 9.4 %
TX 8.8 8.2 8.3
FL 7.6 6.9 6.5
WA 5.2 4.8 4.8
IL 4.3 4.0 4.1
NJ 4.0 3.6 3.4
NC 3.9 3.6 3.7
GA 3.7 3.4 3.4
OH 3.5 3.1 3.0
MN 3.4 3.2 3.2
All Others 45.4   49.8   50.2  
Total 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
September 30, 2017 June 30, 2017 September 30, 2016
CA 9.1 % 9.0 % 9.0 %
TX 8.3 8.4 8.5
FL 7.1 7.1 6.8
WA 4.9 4.9 4.8
IL 3.9 3.9 4.1
NC 3.6 3.7 3.8
NJ 3.6 3.5 3.4
GA 3.5 3.5 3.5
OH 3.2 3.2 3.1
MN 3.2 3.3 3.3
All Others 49.6   49.5   49.7  
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,
2017 2016 2017 2016
Beginning default inventory 1,776 1,174 1,757 1,028
Plus: new defaults 1,592 1,015 3,897 2,538
Less: cures (1,145 ) (682 ) (3,322 ) (1,996 )
Less: claims paid (68 ) (54 ) (176 ) (115 )
Less: rescissions and denials, net   (2 )       (3 )   (2 )
Ending default inventory   2,153     1,453     2,153     1,453  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended Nine Months Ended
September 30, September 30, September 30, September 30,
($ in thousands) 2017 2016 2017 2016
Reserve for losses and LAE at beginning of period $ 29,798   $ 22,474   $ 28,142   $ 17,760  
Add provision for losses and LAE occurring in:
Current year 7,150 6,819 19,266 16,387
Prior years   (2,837 )   (1,854 )   (9,490 )   (4,727 )
Incurred losses during the period   4,313     4,965     9,776     11,660  
Deduct payments for losses and LAE occurring in:
Current year 146 355 243 467
Prior years   2,386     1,353     6,096     3,222  
Loss and LAE payments during the period   2,532     1,708     6,339     3,689  
Reserve for losses and LAE at end of period $ 31,579   $ 25,731   $ 31,579   $ 25,731  
 
 
 
Claims
Three Months Ended Nine Months Ended
September 30, September 30, September 30, September 30,
2017 2016 2017 2016
Number of claims paid 68 54 176 115
Total amount paid for claims (in thousands) $ 2,468 $ 1,668 $ 6,155 $ 3,590
Average amount paid per claim (in thousands) $ 36 $ 31 $ 35 $ 31
Severity 76 % 68 % 81 % 75 %
 
 
Exhibit I, continued
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
                       
 
September 30, 2017

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 1,228 57 % $ 7,935 27 % $ 68,317 12 %
Four to eleven payments 690 32 12,948 45 38,003 34
Twelve or more payments 195 9 6,105 21 10,087 61
Pending claims 40       2         2,036     7         2,376 86
Total case reserves 2,153       100 % 29,024 100 %     $ 118,783 24
IBNR 2,177
LAE   378
Total reserves for losses and LAE $ 31,579
 
Average reserve per default:
Case $ 13.5
Total $ 14.7
 
Default Rate 0.46 %
 
 
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 %
 
 
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 %
 
               
Exhibit J
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio
 
 
Investment Portfolio by Asset Class
Asset Class September 30, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
U.S. Treasury securities $ 259,579 12.2 % $ 191,548 11.9 %
U.S. agency securities 33,422 1.6 18,441 1.1
U.S. agency mortgage-backed securities 428,587 20.2 316,494 19.6
Municipal debt securities 389,503 18.4 334,324 20.7
Corporate debt securities 584,499 27.5 456,357 28.3
Residential and commercial mortgage securities 68,641 3.2 68,336 4.2
Asset-backed securities 149,115 7.0 127,172 7.9
Money market funds   209,968   9.9     102,430 6.3  
Total Investments $ 2,123,314   100.0 % $ 1,615,102 100.0 %
 
 
Investment Portfolio by Credit Rating
Rating (1) September 30, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
Aaa $ 1,064,971 50.2 % $ 780,513 48.3 %
Aa1 115,271 5.4 88,977 5.5
Aa2 102,196 4.8 101,772 6.3
Aa3 107,411 5.1 89,421 5.5
A1 215,371 10.1 143,938 8.9
A2 142,937 6.7 126,113 7.8
A3 109,945 5.2 95,926 6.0
Baa1 120,770 5.7 85,864 5.3
Baa2 90,965 4.3 71,950 4.5
Baa3 35,779 1.7 24,544 1.5
Below Baa3 / Unrated   17,698   0.8     6,084 0.4  
Total Investments $ 2,123,314   100.0 % $ 1,615,102 100.0 %
 
(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 September 30, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
< 1 Year $ 574,583 27.1 % $ 329,901 20.4 %
1 to < 2 Years 153,974 7.3 153,184 9.5
2 to < 3 Years 283,213 13.3 156,620 9.7
3 to < 4 Years 230,043 10.8 176,896 11.0
4 to < 5 Years 223,618 10.5 139,115 8.6
5 or more Years   657,883   31.0     659,386 40.8  
Total Investments $ 2,123,314   100.0 % $ 1,615,102 100.0 %
 
Pre-tax investment income yield:
Three months ended September 30, 2017 2.26 %
Nine months ended September 30, 2017 2.21 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)

As of September 30, 2017 $ 127,996
As of December 31, 2016 $ 46,561
 
       
Exhibit K
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
 
 
September 30, 2017 December 31, 2016

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 1,395,556 $ 1,144,279
 
Combined net risk in force (2) $ 20,481,572 $ 16,801,992
 
Risk-to-capital ratios: (3)
Essent Guaranty, Inc. 15.3:1 15.3:1
Essent Guaranty of PA, Inc. 5.8:1 6.8:1
Combined (4) 14.7:1 14.7:1
 
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 614,783 $ 401,273
 
Net risk in force (2) $ 5,796,070 $ 4,181,737
 

(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 September 30, 2017, December 31, 2016 and September 30, 2016, 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, 2017, December 31, 2016 and September 30, 2016 in accordance with Regulation G:

 
           

(In thousands, except per share amounts)

September 30, 2017 December 31, 2016 September 30, 2016
 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,780,570 $ 1,343,773 $ 1,310,215
 
Subtract: Accumulated Other Comprehensive Income (Loss)   3,043   (12,255 )   21,954
 
Adjusted Book Value $ 1,777,527 $ 1,356,028   $ 1,288,261
 
Denominator:
Total Common Shares Outstanding 98,423 93,105 93,102
 
Add: Restricted Share Units Outstanding   553   493     488
 
Total Common Shares and Share Units Outstanding   98,976   93,598     93,590
 
Adjusted Book Value per Share $ 17.96 $ 14.49   $ 13.76
 

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