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News Details

Essent Group Ltd. Reports Fourth Quarter and Full Year 2017 Results

02/09/2018

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2017 of $162.6 million or $1.65 per diluted share, which includes an $85.1 million income tax benefit, or $0.86 per diluted share, reflecting the one-time impact of the reduced U.S. corporate income tax rate on the company's net deferred tax liability position. Net income for the full year 2017 was $379.7 million or $3.99 per diluted share.

“2017 was another successful year for the Essent franchise as we continued building a high credit quality and profitable mortgage insurance portfolio,” said Mark Casale, Chairman and Chief Executive Officer. “During the year, we continued growing our earnings and generating strong returns. As we head into our ninth year of writing mortgage insurance, our outlook for 2018 on our business and housing remains positive.”

Financial Highlights:

  • Insurance in force as of December 31, 2017 was $110.5 billion, compared to $103.9 billion as of September 30, 2017 and $83.3 billion as of December 31, 2016.
  • Flow new insurance written for the fourth quarter was $11.2 billion, compared to $13.2 billion in the third quarter of 2017 and $10.5 billion in the fourth quarter of 2016. For the full year 2017, flow new insurance written was $43.9 billion, compared to $34.9 billion for 2016.
  • Net premiums earned for the fourth quarter were $148.0 million, compared to $137.9 million in the third quarter of 2017 and $116.8 million in the fourth quarter of 2016. For the full year 2017, net premiums earned were $530.1 million, compared to $422.7 million for 2016.
  • The expense ratio for the fourth quarter was 24.7%, compared to 26.8% in the third quarter of 2017 and 29.8% in the fourth quarter of 2016. For the full year 2017, the expense ratio was 27.5%, compared to 30.9% for 2016.
  • The provision for losses and LAE for the fourth quarter was $17.5 million, compared to $4.3 million in the third quarter of 2017 and $3.9 million in the fourth quarter of 2016. For the full year 2017, the provision for losses and LAE was $27.2 million, compared to $15.5 million for 2016.
  • Loans in default at December 31, 2017 were 4,783 compared to 2,153 as of September 30, 2017 and 1,757 as of December 31, 2016. Total loans in default increased by 2,630 in the quarter, including 2,288 defaults that we have identified as related to Hurricanes Harvey and Irma. The percentage of loans in default as of December 31, 2017 was 0.96%, compared to 0.46% as of September 30, 2017 and 0.47% as of December 31, 2016.
  • The combined ratio for the fourth quarter was 36.4%, compared to 30.0% in the third quarter of 2017 and 33.1% in the fourth quarter of 2016.
  • The consolidated balance of cash and investments at December 31, 2017 was $2.3 billion, including cash and investment balances at Essent Group Ltd. of $104.2 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 14.2:1 as of December 31, 2017.
  • Essent Reinsurance Ltd. reinsured a total of $201 million of risk in GSE risk share transactions in 2017 compared to $260 million in 2016.

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 866-393-4306 inside the U.S., or 734-385-2616 for international callers, using passcode 5475697 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 5475697.

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.

Media Contact
610.230.0556
media@essentgroup.com

Investor Relations Contact
Christopher G. Curran
Senior Vice President – Investor Relations
855-809-ESNT
ir@essentgroup.com

 
Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter and Year Ended December 31, 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 December 31, Year Ended December 31,

(In thousands, except per share amounts)

2017 2016 2017 2016
Revenues:
Net premiums written $ 161,771 $ 116,412 $ 570,186 $ 441,278
(Increase) decrease in unearned premiums (13,795 ) 380   (40,056 ) (18,571 )
Net premiums earned 147,976 116,792 530,130 422,707
Net investment income 11,765 8,225 40,226 27,890
Realized investment gains, net 252 445 2,015 1,934
Other income 1,117   911   4,140   5,727  
Total revenues 161,110   126,373   576,511   458,258  
 
Losses and expenses:
Provision for losses and LAE 17,456 3,865 27,232 15,525
Other underwriting and operating expenses 36,480 34,836 145,533 130,425
Interest expense 1,817   370   5,178   426  
Total losses and expenses 55,753   39,071   177,943   146,376  
 
Income before income taxes 105,357 87,302 398,568 311,882
Income tax (benefit) expense (57,281 ) 24,616   18,821   89,276  
Net income $ 162,638   $ 62,686   $ 379,747   $ 222,606  
 
 
Earnings per share:
Basic $ 1.69 $ 0.69 $ 4.07 $ 2.45
Diluted 1.65 0.68 3.99 2.41
 
Weighted average shares outstanding:
Basic 96,429 90,991 93,330 90,913
Diluted 98,497 92,577 95,211 92,245
 
Net income $ 162,638 $ 62,686 $ 379,747 $ 222,606
 
Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments (7,230 ) (34,209 ) 8,068   (12,156 )
Total other comprehensive (loss) income (7,230 ) (34,209 ) 8,068   (12,156 )
Comprehensive income $ 155,408   $ 28,477   $ 387,815   $ 210,450  
 
 
Loss ratio 11.8 % 3.3 % 5.1 % 3.7 %
Expense ratio 24.7   29.8   27.5   30.9  
Combined ratio 36.4 % 33.1 % 32.6 % 34.5 %
 
   
Exhibit B
 
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
 
 
December 31, December 31,

(In thousands, except per share amounts)

2017 2016
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,992,371 $ 1,482,754
Short-term investments 312,694   132,348  
Total investments 2,305,065 1,615,102
Cash 43,524 27,531
Accrued investment income 12,807 9,488
Accounts receivable 29,752 21,632
Deferred policy acquisition costs 15,354 13,400
Property and equipment 6,979 8,119
Prepaid federal income tax 252,157 181,272
Other assets 8,730   6,454  
 
Total assets $ 2,674,368   $ 1,882,998  
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 46,850 $ 28,142
Unearned premium reserve 259,672 219,616
Net deferred tax liability 127,636 142,587
Credit facility borrowings, net of deferred costs 248,591 100,000
Securities purchased payable 14,999 14,999
Other accrued liabilities 36,184   33,881  
Total liabilities 733,932   539,225  
 
Commitments and contingencies
 
Stockholders' Equity
Common shares 1,476 1,397
Additional paid-in capital 1,127,137 918,296
Accumulated other comprehensive loss (3,252 ) (12,255 )
Retained earnings 815,075   436,335  
Total stockholders' equity 1,940,436   1,343,773  
 
Total liabilities and stockholders' equity $ 2,674,368   $ 1,882,998  
 
Return on average equity 23.1 % 18.1 %
 
             
Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
 
 
2017 2016
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 $ 161,771   $ 155,055   $ 134,063   $ 119,297   $ 116,412   $ 115,887   $ 108,513   $ 100,466  
 
Net premiums earned 147,976 137,940 126,563 117,651 116,792 110,801 100,711 94,403
Other revenues (1) 13,134   12,263   11,043   9,941   9,581   10,453   7,454   8,063  
Total revenues 161,110   150,203   137,606   127,592   126,373   121,254   108,165   102,466  
 
Losses and expenses:
Provision for losses and LAE 17,456 4,313 1,770 3,693 3,865 4,965 2,964 3,731
Other underwriting and operating expenses 36,480 37,035 35,686 36,332 34,836 32,792 31,409 31,388
Interest expense 1,817   1,456   1,189   716   370   56      
Total losses and expenses 55,753   42,804   38,645   40,741   39,071   37,813   34,373   35,119  
 
Income before income taxes 105,357 107,399 98,961 86,851 87,302 83,441 73,792 67,347
Income tax (benefit) expense (2) (3) (57,281 ) 29,006   26,843   20,253   24,616   23,730   21,534   19,396  
Net income $ 162,638   $ 78,393   $ 72,118   $ 66,598   $ 62,686   $ 59,711   $ 52,258   $ 47,951  
 
Earnings per share:
Basic $ 1.69 $ 0.83 $ 0.79 $ 0.73 $ 0.69 $ 0.66 $ 0.57 $ 0.53
Diluted 1.65 0.82 0.77 0.72 0.68 0.65 0.57 0.52
 
Weighted average shares outstanding:
Basic 96,429 94,185 91,381 91,258 90,991 90,961 90,912 90,785
Diluted 98,497 96,094 93,162 93,023 92,577 92,399 92,138 91,859
 
Other Data:
Loss ratio (4) 11.8 % 3.1 % 1.4 % 3.1 % 3.3 % 4.5 % 2.9 % 4.0 %
Expense ratio (5) 24.7   26.8   28.2   30.9   29.8   29.6   31.2   33.2  
Combined ratio 36.4 % 30.0 % 29.6 % 34.0 % 33.1 % 34.1 % 34.1 % 37.2 %
 
Return on average equity (annualized) 35.0 % 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) Income tax expense for the quarter ended December 31, 2017 was reduced by $85,091 of income tax benefit due to the one-time impact of the reduced U.S. corporate income tax rate on the company's net deferred tax liability position.
(4) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
(5) 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: 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 $ 11,234,855 $ 13,221,038 $ 11,368,276 $ 8,034,153 $ 10,475,258 $ 10,299,161 $ 8,715,171 $ 5,366,675
New risk written 2,737,008 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 (6) 0.53 % 0.53 % 0.53 % 0.53 % 0.56 % 0.58 % 0.57 % 0.56 %
New insurance written $ 11,234,855 $ 13,221,038 $ 11,368,276 $ 8,034,153 $ 10,475,258 $ 10,299,161 $ 8,715,171 $ 5,459,729
New risk written $ 2,737,008 $ 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) $ 110,461,950 $ 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) $ 27,443,985 $ 25,807,358 $ 23,665,045 $ 21,801,667 $ 20,627,317 $ 19,289,387 $ 17,937,364 $ 16,745,819
Policies in force 496,477 467,483 430,585 397,650 375,898 350,600 328,441 308,779
Weighted average coverage (7) 24.8 % 24.8 % 24.8 % 24.8 % 24.8 % 24.9 % 24.8 % 24.7 %
Annual persistency 83.9 % 82.1 % 80.1 % 78.2 % 77.7 % 79.4 % 81.0 % 81.0 %
 
Loans in default (count) 4,783 2,153 1,776 1,777 1,757 1,453 1,174 1,060
Percentage of loans in default 0.96 % 0.46 % 0.41 % 0.45 % 0.47 % 0.41 % 0.36 % 0.34 %
 
Other Risk in Force
GSE Risk Share (8) $ 538,944 $ 501,485 $ 479,762 $ 436,991 $ 384,103 $ 302,211 $ 305,357 $ 188,766
 
Credit Facility
Borrowings outstanding $ 250,000 $ 175,000 $ 175,000 $ 125,000 $ 100,000 $ 50,000 $ N/A
Undrawn committed capacity $ 125,000 $ 200,000 $ 200,000 $ 75,000 $ 100,000 $ 150,000 $ 200,000 N/A
Weighted average interest rate 3.49 %
 
(6) 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.
(7) Weighted average coverage is calculated by dividing end of period risk in force by insurance in force.
(8) 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 Year Ended
December 31, 2017 December 31, 2016 December 31, 2017 December 31, 2016

($ in thousands)

>=760 $ 4,551,775 40.5 % $ 4,642,666 44.3 % $ 18,455,482 42.1 % $ 15,827,689 45.4 %

740-759

1,793,713 16.0 1,636,508 15.6 6,851,174 15.6 5,533,992 15.9

720-739

1,644,956 14.6 1,456,147 13.9 6,223,802 14.2 4,750,940 13.6

700-719

1,378,170 12.3 1,212,922 11.6 5,228,590 11.9 3,859,363 11.1

680-699

1,024,440 9.1 879,907 8.4 3,843,164 8.8 2,801,820 8.0
<=679 841,801     7.5   647,108     6.2   3,256,110     7.4   2,082,461     6.0  
Total $ 11,234,855     100.0 % $ 10,475,258     100.0 % $ 43,858,322     100.0 % $ 34,856,265     100.0 %
 
Weighted average credit score 743 747 744 748
 
 
 
NIW by LTV
Three Months Ended Year Ended
December 31, 2017 December 31, 2016 December 31, 2017 December 31, 2016

($ in thousands)

85.00% and below $ 1,532,008 13.6 % $ 1,808,741 17.3 % $ 5,839,270 13.3 % $ 5,155,388 14.8 %
85.01% to 90.00% 3,286,879 29.3 3,242,535 30.9 13,072,845 29.8 11,148,955 32.0
90.01% to 95.00% 4,845,713 43.1 4,525,547 43.2 19,301,353 44.0 16,516,689 47.4
95.01% and above 1,570,255     14.0   898,435     8.6   5,644,854     12.9   2,035,233     5.8  
Total $ 11,234,855     100.0 % $ 10,475,258     100.0 % $ 43,858,322     100.0 % $ 34,856,265     100.0 %
 
Weighted average LTV 92 % 91 % 92 % 92 %
 
 
 
NIW by Product
Three Months Ended Year Ended
December 31, 2017 December 31, 2016 December 31, 2017 December 31, 2016
Single Premium policies 19.0 % 12.7 % 16.3 % 17.0 %
Monthly Premium policies 81.0   87.3   83.7   83.0  
100.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Year Ended
December 31, 2017 December 31, 2016 December 31, 2017 December 31, 2016
Purchase 84.4 % 73.9 % 85.2 % 79.2 %
Refinance 15.6   26.1   14.8   20.8  
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, 2017 December 31, 2016 December 31, 2017 December 31, 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 Year Ended

 

December 31, 2017 December 31, 2016 December 31, 2017 December 31, 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 Year Ended
December 31, 2017 December 31, 2016 December 31, 2017 December 31, 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 Year Ended
December 31, 2017 December 31, 2016 December 31, 2017 December 31, 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 December 31, 2017 September 30, 2017 December 31, 2016

($ in thousands)

>=760 $ 48,668,705 44.1 % $ 46,220,799 44.5 % $ 37,858,422 45.5 %

740-759

17,939,206 16.2 16,890,061 16.2 13,760,610 16.5

720-739

15,761,787 14.3 14,767,164 14.2 11,855,648 14.2

700-719

12,167,285 11.0 11,307,184 10.9 8,712,971 10.5

680-699

9,156,196 8.3 8,523,233 8.2 6,611,166 7.9
<=679 6,768,771     6.1   6,227,866     6.0   4,466,705     5.4  
Total $ 110,461,950     100.0 % $ 103,936,307     100.0 % $ 83,265,522     100.0 %
 
Weighted average credit score 747 747 749
 

Total RIF by FICO score

December 31, 2017 September 30, 2017 December 31, 2016

($ in thousands)

>=760 $ 12,058,196 43.9 % $ 11,434,540 44.3 % $ 9,319,522 45.2 %

740-759

4,485,439 16.4 4,218,828 16.3 3,434,392 16.7

720-739

3,957,922 14.4 3,707,571 14.4 2,970,941 14.4

700-719

3,018,341 11.0 2,805,886 10.9 2,151,657 10.4

680-699

2,286,082 8.3 2,129,638 8.2 1,656,791 8.0
<=679 1,638,005     6.0   1,510,895     5.9   1,094,014     5.3  
Total $ 27,443,985     100.0 % $ 25,807,358     100.0 % $ 20,627,317     100.0 %
 
Portfolio by LTV
Total IIF by LTV December 31, 2017 September 30, 2017 December 31, 2016

($ in thousands)

85.00% and below $ 12,917,751 11.7 % $ 12,103,499 11.6 % $ 9,756,578 11.7 %
85.01% to 90.00% 34,794,108 31.5 33,129,815 31.9 27,409,202 32.9
90.01% to 95.00% 54,323,103 49.2 51,684,041 49.7 42,854,633 51.5
95.01% and above 8,426,988     7.6   7,018,952     6.8   3,245,109     3.9  
Total $ 110,461,950     100.0 % $ 103,936,307     100.0 % $ 83,265,522     100.0 %
 
Weighted average LTV 92 % 92 % 92 %
 
Total RIF by LTV December 31, 2017 September 30, 2017 December 31, 2016

($ in thousands)

85.00% and below $ 1,462,351 5.3 % $ 1,366,982 5.3 % $ 1,101,947 5.3 %
85.01% to 90.00% 8,262,322 30.1 7,858,283 30.4 6,512,613 31.6
90.01% to 95.00% 15,576,125 56.8 14,810,490 57.4 12,234,306 59.3
95.01% and above 2,143,187     7.8   1,771,603     6.9   778,451     3.8  
Total $ 27,443,985     100.0 % $ 25,807,358     100.0 % $ 20,627,317     100.0 %
 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period December 31, 2017 September 30, 2017 December 31, 2016

($ in thousands)

FRM 30 years and higher $ 100,592,946 91.1 % $ 94,299,877 90.7 % $ 75,428,964 90.6 %
FRM 20-25 years 2,879,977 2.6 2,695,714 2.6 2,113,529 2.5
FRM 15 years 3,857,152 3.5 3,779,626 3.7 3,066,893 3.7
ARM 5 years and higher 3,131,875     2.8   3,161,090     3.0   2,656,136     3.2  
Total $ 110,461,950     100.0 % $ 103,936,307     100.0 % $ 83,265,522     100.0 %
 
           
Exhibit F
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
 
 

($ in thousands)

December 31, 2017 September 30, 2017 December 31, 2016
 
GSE Risk Share (1) $ 538,944   $ 501,485   $ 384,103  
 
Weighted average credit score 749 749 749
Weighted average LTV 84 % 84 % 82 %
 

(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
December 31, 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 $ 14,320 5.8 % 100 77.7 % 63.2 % 0.0 % 2.6 % 60.8 % 100.0 % 2.6 %
2011 3,229,720 392,583 12.2 2,237 77.0 47.6 0.2 5.5 54.4 96.7 3.6 40
2012 11,241,161 2,759,869 24.6 14,221 76.7 56.3 0.5 5.6 56.1 98.4 2.5 161
2013 21,152,638 6,905,742 32.6 35,003 79.6 58.2 1.9 7.7 51.5 97.8 2.5 440
2014 24,799,434 10,794,703 43.5 55,665 87.9 61.8 4.1 15.4 42.0 95.5 3.6 890
2015 26,193,656 17,283,506 66.0 79,549 83.4 56.6 2.5 14.5 44.1 96.9 4.0 1,023
2016 34,949,319 30,252,690 86.6 129,285 80.3 54.5 6.2 13.9 45.2 98.1 4.6 1,164
2017   43,858,322     42,058,537 95.9 180,417 85.2 57.1 13.2 16.3 41.7 96.9 7.5 1,065
Total $ 165,670,148   $ 110,461,950 66.7 496,477 83.2 56.8 7.6 14.4 44.1 97.2 3.7 4,783
 

(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, 2017 September 30, 2017 December 31, 2016
CA 9.4 % 9.4 % 9.4 %
TX 8.0 8.1 8.2
FL 7.0 7.0 6.6
WA 4.8 4.8 4.8
IL 4.0 4.0 4.0
NJ 3.7 3.6 3.5
NC 3.5 3.6 3.7
GA 3.4 3.4 3.4
OH 3.2 3.2 3.1
AZ 3.1 3.1 3.2
All Others 49.9   49.8   50.1  
Total 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
December 31, 2017 September 30, 2017 December 31, 2016
CA 9.1 % 9.1 % 9.0 %
TX 8.3 8.3 8.5
FL 7.1 7.1 6.9
WA 4.9 4.9 4.8
IL 3.9 3.9 4.0
NJ 3.6 3.6 3.5
NC 3.5 3.6 3.7
GA 3.5 3.5 3.5
OH 3.2 3.2 3.1
MN 3.2 3.2 3.3
All Others 49.7   49.6   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 Year Ended
December 31, December 31, December 31, December 31,
2017 2016 2017 2016
Beginning default inventory 2,153 1,453 1,757 1,028
Plus: new defaults 4,332 1,208 8,229 3,746
Less: cures (1,648 ) (861 ) (4,970 ) (2,857 )
Less: claims paid (53 ) (39 ) (229 ) (154 )
Less: rescissions and denials, net   (1 )   (4 )   (4 )   (6 )
Ending default inventory   4,783     1,757     4,783     1,757  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended Year Ended
December 31, December 31, December 31, December 31,

($ in thousands)

2017 2016 2017 2016
Reserve for losses and LAE at beginning of period $ 31,579   $ 25,731   $ 28,142   $ 17,760  
Add provision for losses and LAE occurring in:
Current year 18,912 5,502 38,178 21,889
Prior years   (1,456 )   (1,637 )   (10,946 )   (6,364 )
Incurred losses during the period   17,456     3,865     27,232     15,525  
Deduct payments for losses and LAE occurring in:
Current year 390 460 633 927
Prior years   1,795     994     7,891     4,216  
Loss and LAE payments during the period   2,185     1,454     8,524     5,143  
Reserve for losses and LAE at end of period $ 46,850   $ 28,142   $ 46,850   $ 28,142  
 
 
 
Claims
Three Months Ended Year Ended
December 31, December 31, December 31, December 31,
2017 2016 2017 2016
Number of claims paid 53 39 229 154
Total amount paid for claims (in thousands) $ 2,125 $ 1,438 $ 8,280 $ 5,028
Average amount paid per claim (in thousands) $ 40 $ 37 $ 36 $ 33
Severity 87 % 70 % 83 % 73 %
 
           
Exhibit I, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
 
 
December 31, 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 3,243 68 % $ 15,925 37 % $ 187,163 9 %
Four to eleven payments 1,284 27 18,087 42 73,547 25
Twelve or more payments 211 4 6,781 16 11,139 61
Pending claims 45     1       2,075   5       2,355 88
Total case reserves 4,783     100 % 42,868 100 % $ 274,204 16
IBNR 3,215
LAE   767
Total reserves for losses and LAE $ 46,850
 
Average reserve per default:
Case $ 9.0
Total $ 9.8
 
Default Rate 0.96 %
 
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 %
 
           
Exhibit J
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio
 
 
Investment Portfolio by Asset Class
Asset Class December 31, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
U.S. Treasury securities $ 227,805 9.9 % $ 191,548 11.9 %
U.S. agency securities 33,114 1.4 18,441 1.1
U.S. agency mortgage-backed securities 456,037 19.8 316,494 19.6
Municipal debt securities 465,255 20.2 334,324 20.7
Corporate debt securities 611,728 26.5 456,357 28.3
Residential and commercial mortgage securities 79,407 3.5 68,336 4.2
Asset-backed securities 167,922 7.3 127,172 7.9
Money market funds   263,797   11.4     102,430 6.3  
Total Investments $ 2,305,065   100.0 % $ 1,615,102 100.0 %
 
Investment Portfolio by Credit Rating
Rating (1) December 31, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
Aaa $ 1,160,200 50.3 % $ 780,513 48.3 %
Aa1 115,237 5.0 88,977 5.5
Aa2 123,551 5.4 101,772 6.3
Aa3 127,785 5.6 89,421 5.5
A1 205,369 8.9 143,938 8.9
A2 157,651 6.8 126,113 7.8
A3 148,246 6.4 95,926 6.0
Baa1 115,178 5.0 85,864 5.3
Baa2 87,869 3.8 71,950 4.5
Baa3 43,024 1.9 24,544 1.5
Below Baa3   20,955   0.9     6,084 0.4  
Total Investments $ 2,305,065   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 December 31, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
< 1 Year $ 628,958 27.3 % $ 329,901 20.4 %
1 to < 2 Years 164,856 7.2 153,184 9.5
2 to < 3 Years 280,177 12.2 156,620 9.7
3 to < 4 Years 263,799 11.4 176,896 11.0
4 to < 5 Years 263,273 11.4 139,115 8.6
5 or more Years   704,002   30.5     659,386 40.8  
Total Investments $ 2,305,065   100.0 % $ 1,615,102 100.0 %
 
Pre-tax investment income yield:
Three months ended December 31, 2017 2.23 %
Year ended December 31, 2017 2.22 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)

As of December 31, 2017 $ 104,167
As of December 31, 2016 $ 46,561
 
       
Exhibit K
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
 
 
December 31, 2017 December 31, 2016

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 1,528,869 $ 1,144,279
 
Combined net risk in force (2) $ 21,637,409 $ 16,801,992
 
Risk-to-capital ratios: (3)
Essent Guaranty, Inc. 14.7:1 15.3:1
Essent Guaranty of PA, Inc. 5.4:1 6.8:1
Combined (4) 14.2:1 14.7:1
 
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 662,819 $ 401,273
 
Net risk in force (2) $ 6,299,437 $ 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 December 31, 2017 and December 31, 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 December 31, 2017 and December 31, 2016 in accordance with Regulation G:

 
   

(In thousands, except per share amounts)

December 31, 2017 December 31, 2016
 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,940,436 $ 1,343,773
 
Subtract: Accumulated Other Comprehensive Income (Loss) (3,252 ) (12,255 )
 
Adjusted Book Value $ 1,943,688   $ 1,356,028  
 
Denominator:
Total Common Shares Outstanding 98,434 93,105
 
Add: Restricted Share Units Outstanding 536   493  
 
Total Common Shares and Share Units Outstanding 98,970   93,598  
 
Adjusted Book Value per Share $ 19.64   $ 14.49  
 

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