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Essent Group Ltd. Reports First Quarter Results & Declares Quarterly Dividend

May 08, 2020

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2020 of $149.5 million or $1.52 per diluted share, compared to $127.7 million or $1.30 per diluted share for the quarter ended March 31, 2019.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.16 per common share. The dividend is payable on June 12, 2020, to shareholders of record on June 2, 2020.

“While we are pleased with our strong financial results for the first quarter, our focus is now on facing a challenging business environment as a result of COVID-19,” said Mark Casale, Chairman and Chief Executive Officer. “We believe that the strength and sustainability of our buy, manage, and distribute operating model, as well as our strong balance sheet, capital and liquidity, has allowed us to enter these challenging times in a position of strength.”

Financial Highlights:

  • Insurance in force as of March 31, 2020 was $165.6 billion, compared to $164.0 billion as of December 31, 2019 and $143.2 billion as of March 31, 2019.
  • New insurance written for the first quarter was $13.5 billion, compared to $15.8 billion in the fourth quarter of 2019 and $11.0 billion in the first quarter of 2019.
  • Net premiums earned for the first quarter were $206.5 million, compared to $207.7 million in the fourth quarter of 2019 and $177.8 million in the first quarter of 2019.
  • The expense ratio for the first quarter was 20.3%, compared to 19.9% in the fourth quarter of 2019 and 23.1% in the first quarter of 2019.
  • The provision for losses and LAE for the first quarter was $8.1 million, compared to a provision of $10.9 million in the fourth quarter of 2019 and a provision of $7.1 million in the first quarter of 2019.
  • The percentage of loans in default as of March 31, 2020 was 0.83%, compared to 0.85% as of December 31, 2019 and 0.65% as of March 31, 2019.
  • The combined ratio for the first quarter was 24.2%, compared to 25.1% in the fourth quarter of 2019 and 27.1% in the first quarter of 2019.
  • Other income for the first quarter includes a $4.2 million loss for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a loss of $3.6 million in the fourth quarter of 2019 and a gain of $1.4 million in the first quarter of 2019.
  • The consolidated balance of cash and investments at March 31, 2020 was $3.8 billion, including cash and investment balances at Essent Group Ltd. of $279.8 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 11.7:1 as of March 31, 2020.
  • On January 31, 2020, Essent's wholly-owned subsidiary, Essent Guaranty, Inc., announced it had obtained $495.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in January through August 2019 from Radnor Re 2020-1 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2020-1 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd. Subsequent to the closing of the transaction with Radnor Re 2020-1 Ltd., Essent Guaranty, Inc. executed an excess of loss reinsurance transaction with a panel of third-party reinsurers for $55.1 million of reinsurance coverage on mortgage insurance policies written by Essent in January through August 2019.
  • On March 27, 2020, Essent borrowed $200 million from the revolving component of its credit facility. In addition to this borrowing, Essent had $225 million of term debt outstanding at March 31, 2020 and maintained $75 million of undrawn capacity under the revolving component of its credit facility.

Private Mortgage Insurer Eligibility Requirements (PMIERs) Update:

Consistent with the PMIERs which were effective September 27, 2018, Essent will apply a 0.30 multiplier to the risk-based required asset amount factor for each non-performing primary mortgage guaranty insurance loan backed by a property located in a Federal Emergency Management Agency (FEMA) Declared Major Disaster Area and that either 1) is subject to a forbearance plan executed in response to a FEMA Declared Major Disaster Area eligible for Individual Assistance, the terms of which are materially consistent with terms of forbearance plans offered by Fannie Mae or Freddie Mac, or 2) has an initial default date occurring up to either (i) 30 days prior to or (ii) 90 days following the COVID-19 pandemic event. In the case of the foregoing, the 0.30 multiplier shall be applied to the risk-based required asset amount factor for each non-performing primary mortgage guaranty insurance loan for no longer than 120 days from the initial default date absent a forbearance plan described in 1) above.

Approximately 97% of Essent’s outstanding primary mortgage insurance portfolio, as of March 31, 2020, has underlying properties located in FEMA Declared Major Disaster Areas eligible for Individual Assistance. Accordingly, the company believes that the majority of the non-performing loans that will be reported to the company subsequent to March 31, 2020, will fall into categories 1) and 2) above and receive the 0.30 multiplier in calculating the PMIERs required assets.

Conference Call:

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/investors/webcasts-and-presentations/event-calendar/default.aspx. The call may also be accessed by dialing 833-287-0797 inside the U.S., or 647-689-4456 for international callers, using passcode 1490696 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-585-8367 inside the U.S., or 416-621-4642 for international callers, passcode 1490696.

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: the impact of COVID-19 and related economic conditions; 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, 2019 filed with the Securities and Exchange Commission on February 18, 2020, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

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

Source: Essent Group Ltd.

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended March 31, 2020

 

 

 

 

 

 

Exhibit A

 

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

Exhibit B

 

Condensed Consolidated Balance Sheets (Unaudited)

Exhibit C

 

Historical Quarterly Data

Exhibit D

 

New Insurance Written

Exhibit E

 

Insurance in Force and Risk in Force

Exhibit F

 

Other Risk in Force

Exhibit G

 

Portfolio Vintage Data

Exhibit H

 

Reinsurance Vintage Data

Exhibit I

 

Portfolio Geographic Data

Exhibit J

 

Defaults, Reserve for Losses and LAE, and Claims

Exhibit K

 

Investments Available for Sale

Exhibit L

 

Insurance Company Capital

Exhibit M

 

Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share

 

 

Exhibit A

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

 

 

 

 

 

 

 

 

 

Three Months Ended March 31,

(In thousands, except per share amounts)

2020

 

2019

Revenues:

 

 

 

Direct premiums written

$

205,980

 

 

$

183,682

 

Ceded premiums

(14,237

)

 

(6,038

)

Net premiums written

191,743

 

 

177,644

 

Decrease in unearned premiums

14,753

 

 

147

 

Net premiums earned

206,496

 

 

177,791

 

Net investment income

20,633

 

 

19,880

 

Realized investment gains, net

3,135

 

 

660

 

Other income (loss)

(1,424

)

 

2,195

 

Total revenues

228,840

 

 

200,526

 

 

 

 

 

Losses and expenses:

 

 

 

Provision for losses and LAE

8,063

 

 

7,107

 

Other underwriting and operating expenses

41,947

 

 

41,030

 

Interest expense

2,132

 

 

2,670

 

Total losses and expenses

52,142

 

 

50,807

 

 

 

 

 

Income before income taxes

176,698

 

 

149,719

 

Income tax expense

27,175

 

 

21,999

 

Net income

$

149,523

 

 

$

127,720

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

Basic

$

1.53

 

 

$

1.31

 

Diluted

1.52

 

 

1.30

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

Basic

97,949

 

 

97,595

 

Diluted

98,326

 

 

98,104

 

 

 

 

 

Net income

$

149,523

 

 

$

127,720

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

Change in unrealized (depreciation) appreciation of investments

(10,074

)

 

38,366

 

Total other comprehensive (loss) income

(10,074

)

 

38,366

 

Comprehensive income

$

139,449

 

 

$

166,086

 

 

 

 

 

 

 

 

 

Loss ratio

3.9

%

 

4.0

%

Expense ratio

20.3

 

 

23.1

 

Combined ratio

24.2

%

 

27.1

%

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

March 31,

 

December 31,

(In thousands, except per share amounts)

2020

 

2019

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

3,110,362

 

 

$

3,035,385

 

Short-term investments available for sale, at fair value

595,165

 

 

315,362

 

Total investments available for sale

3,705,527

 

 

3,350,747

 

Other invested assets

75,380

 

 

78,873

 

Total investments

3,780,907

 

 

3,429,620

 

Cash

31,055

 

 

71,350

 

Accrued investment income

18,572

 

 

18,535

 

Accounts receivable

41,228

 

 

40,655

 

Deferred policy acquisition costs

15,147

 

 

15,705

 

Property and equipment

16,325

 

 

17,308

 

Prepaid federal income tax

261,885

 

 

261,885

 

Other assets

21,815

 

 

18,367

 

 

 

 

 

Total assets

$

4,186,934

 

 

$

3,873,425

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

73,341

 

 

$

69,362

 

Unearned premium reserve

264,134

 

 

278,887

 

Net deferred tax liability

259,688

 

 

249,620

 

Credit facility borrowings, net of deferred costs

424,380

 

 

224,237

 

Other accrued liabilities

58,317

 

 

66,474

 

Total liabilities

1,079,860

 

 

888,580

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 98,602 shares in 2020 and 98,394 shares in 2019

1,479

 

 

1,476

 

Additional paid-in capital

1,117,286

 

 

1,118,655

 

Accumulated other comprehensive income

46,113

 

 

56,187

 

Retained earnings

1,942,196

 

 

1,808,527

 

Total stockholders' equity

3,107,074

 

 

2,984,845

 

 

 

 

 

Total liabilities and stockholders' equity

$

4,186,934

 

 

$

3,873,425

 

 

 

 

 

Return on average equity (1)

19.6

%

 

20.8

%

(1) The 2019 return on average equity is calculated by dividing annualized year-to-date 2020 net income by average equity. The 2019 return on average equity is calculated by dividing full year 2019 net income by average equity.

 

 

 

 

 

 

 

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2020

 

2019

Selected Income Statement Data

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

Net premiums written

 

$

191,743

 

 

$

196,493

 

 

$

198,304

 

 

$

188,404

 

 

$

177,644

 

 

 

 

 

 

 

 

 

 

 

 

Net premiums earned (1)

 

206,496

 

 

207,671

 

 

203,473

 

 

188,490

 

 

177,791

 

Other revenues (2)

 

22,344

 

 

21,091

 

 

22,914

 

 

23,402

 

 

22,735

 

Total revenues

 

228,840

 

 

228,762

 

 

226,387

 

 

211,892

 

 

200,526

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

Provision for losses and LAE

 

8,063

 

 

10,929

 

 

9,990

 

 

4,960

 

 

7,107

 

Other underwriting and operating expenses

 

41,947

 

 

41,231

 

 

41,588

 

 

41,520

 

 

41,030

 

Interest expense

 

2,132

 

 

2,218

 

 

2,584

 

 

2,679

 

 

2,670

 

Total losses and expenses

 

52,142

 

 

54,378

 

 

54,162

 

 

49,159

 

 

50,807

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

176,698

 

 

174,384

 

 

172,225

 

 

162,733

 

 

149,719

 

Income tax expense (3)

 

27,175

 

 

27,426

 

 

27,595

 

 

26,328

 

 

21,999

 

Net income

 

$

149,523

 

 

$

146,958

 

 

$

144,630

 

 

$

136,405

 

 

$

127,720

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.53

 

 

$

1.50

 

 

$

1.48

 

 

$

1.39

 

 

$

1.31

 

Diluted

 

1.52

 

 

1.49

 

 

1.47

 

 

1.39

 

 

1.30

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

97,949

 

 

97,830

 

 

97,822

 

 

97,798

 

 

97,595

 

Diluted

 

98,326

 

 

98,376

 

 

98,257

 

 

98,170

 

 

98,104

 

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

Loss ratio (4)

 

3.9

%

 

5.3

%

 

4.9

%

 

2.6

%

 

4.0

%

Expense ratio (5)

 

20.3

 

 

19.9

 

 

20.4

 

 

22.0

 

 

23.1

 

Combined ratio

 

24.2

%

 

25.1

%

 

25.3

%

 

24.7

%

 

27.1

%

 

 

 

 

 

 

 

 

 

 

 

Return on average equity (annualized)

 

19.6

%

 

20.1

%

 

20.8

%

 

20.9

%

 

20.9

%

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

(2) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. Other revenues for the three months ended March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019 include unfavorable decreases of $4,200, $3,585 and $760 and favorable increases of $1,160 and $1,424, respectively, in the fair value of these embedded derivatives.

(3) Income tax expense for the three months ended March 31, 2020 and 2019 was reduced by $620 and $1,956, respectively, of excess tax benefits associated with the vesting of common shares and common share units during each period.

(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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2020

 

2019

Other Data, continued:

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

13,549,299

 

 

$

15,839,836

 

 

$

18,719,876

 

 

$

17,973,505

 

 

$

10,945,307

 

New risk written

 

3,384,171

 

 

3,966,363

 

 

4,695,611

 

 

4,485,217

 

 

2,713,389

 

 

 

 

 

 

 

 

 

 

 

 

Bulk:

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

151

 

 

$

 

 

$

6,133

 

 

$

29,524

 

 

$

55,002

 

New risk written

 

24

 

 

 

 

842

 

 

2,129

 

 

6,542

 

 

 

 

 

 

 

 

 

 

 

 

Total:

 

 

 

 

 

 

 

 

 

 

Average gross premium rate (6)

 

0.51

%

 

0.51

%

 

0.52

%

 

0.51

%

 

0.50

%

Average net premium rate (7)

 

0.48

%

 

0.49

%

 

0.49

%

 

0.49

%

 

0.48

%

New insurance written

 

$

13,549,450

 

 

$

15,839,836

 

 

$

18,726,009

 

 

$

18,003,029

 

 

$

11,000,309

 

New risk written

 

$

3,384,195

 

 

$

3,966,363

 

 

$

4,696,453

 

 

$

4,487,346

 

 

$

2,719,931

 

Insurance in force (end of period)

 

$

165,615,503

 

 

$

164,005,853

 

 

$

160,962,192

 

 

$

153,317,157

 

 

$

143,181,641

 

Gross risk in force (end of period) (8)

 

$

41,865,977

 

 

$

41,402,950

 

 

$

40,540,289

 

 

$

38,531,090

 

 

$

35,925,830

 

Risk in force (end of period)

 

$

38,290,022

 

 

$

38,947,857

 

 

$

38,784,584

 

 

$

37,034,687

 

 

$

34,744,417

 

Policies in force

 

706,714

 

 

702,925

 

 

693,085

 

 

666,705

 

 

629,808

 

Weighted average coverage (9)

 

25.3

%

 

25.2

%

 

25.2

%

 

25.1

%

 

25.1

%

Annual persistency

 

73.9

%

 

77.5

%

 

82.1

%

 

84.8

%

 

85.1

%

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

5,841

 

 

5,947

 

 

5,232

 

 

4,405

 

 

4,096

 

Percentage of loans in default

 

0.83

%

 

0.85

%

 

0.75

%

 

0.66

%

 

0.65

%

 

 

 

 

 

 

 

 

 

 

 

Other Risk in Force

 

 

 

 

 

 

 

 

GSE and other risk share (10)

 

$

1,100,966

 

 

$

895,374

 

 

$

849,184

 

 

$

802,530

 

 

$

771,175

 

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

425,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

Undrawn committed capacity

 

$

75,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

Weighted average interest rate (end of period)

 

2.87

%

 

 

 

 

 

 

 

 

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

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

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

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

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

 

 

 

 

 

 

Exhibit D

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

New Insurance Written: Flow

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Credit Score

 

Three Months Ended

 

March 31, 2020

 

December 31, 2019

 

March 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

5,655,716

 

41.8

%

 

$

6,486,486

 

40.9

%

 

$

4,470,503

 

40.8

%

740-759

2,458,032

 

18.1

 

 

2,880,429

 

18.2

 

 

1,912,141

 

17.5

 

720-739

2,018,874

 

14.9

 

 

2,401,806

 

15.2

 

 

1,565,613

 

14.3

 

700-719

1,558,743

 

11.5

 

 

1,860,120

 

11.7

 

 

1,352,545

 

12.4

 

680-699

1,044,918

 

7.7

 

 

1,235,223

 

7.8

 

 

907,969

 

8.3

 

<=679

813,016

 

6.0

 

 

975,772

 

6.2

 

 

736,536

 

6.7

 

Total

$

13,549,299

 

100.0

%

 

$

15,839,836

 

100.0

%

 

$

10,945,307

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average credit score

746

 

 

 

745

 

 

 

744

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

March 31, 2020

 

December 31, 2019

 

March 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

1,963,476

 

14.5

%

 

$

2,084,932

 

13.2

%

 

$

1,442,833

 

13.2

%

85.01% to 90.00%

3,987,274

 

29.4

 

 

4,757,915

 

30.0

 

 

2,950,348

 

26.9

 

90.01% to 95.00%

5,685,880

 

42.0

 

 

6,771,196

 

42.7

 

 

4,659,337

 

42.6

 

95.01% and above

1,912,669

 

14.1

 

 

2,225,793

 

14.1

 

 

1,892,789

 

17.3

 

Total

$

13,549,299

 

100.0

%

 

$

15,839,836

 

100.0

%

 

$

10,945,307

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average LTV

92

%

 

 

92

%

 

 

92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

March 31, 2020

 

December 31, 2019

 

March 31, 2019

Single Premium policies

 

9.7

%

 

 

10.4

%

 

 

12.3

%

Monthly Premium policies

 

90.3

 

 

 

89.6

 

 

 

87.7

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

March 31, 2020

 

December 31, 2019

 

March 31, 2019

Purchase

 

69.2

%

 

 

71.8

%

 

 

87.6

%

Refinance

 

30.8

 

 

 

28.2

 

 

 

12.4

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

Exhibit E

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio by Credit Score

IIF by FICO score

March 31, 2020

 

December 31, 2019

 

March 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

68,385,363

 

41.3

%

 

$

68,123,523

 

41.5

%

 

$

61,191,185

 

42.7

%

740-759

28,289,661

 

17.1

 

 

27,886,603

 

17.0

 

 

23,919,745

 

16.7

 

720-739

24,441,834

 

14.7

 

 

24,069,139

 

14.7

 

 

20,728,151

 

14.5

 

700-719

19,442,133

 

11.7

 

 

19,183,219

 

11.7

 

 

16,454,730

 

11.5

 

680-699

13,859,727

 

8.4

 

 

13,713,164

 

8.4

 

 

11,774,884

 

8.2

 

<=679

11,196,785

 

6.8

 

 

11,030,205

 

6.7

 

 

9,112,946

 

6.4

 

Total

$

165,615,503

 

100.0

%

 

$

164,005,853

 

100.0

%

 

$

143,181,641

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average credit score

745

 

 

 

745

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

March 31, 2020

 

December 31, 2019

 

March 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

17,138,596

 

40.9

%

 

$

17,082,683

 

41.3

%

 

$

15,303,364

 

42.6

%

740-759

7,181,181

 

17.2

 

 

7,056,654

 

17.0

 

 

6,012,004

 

16.7

 

720-739

6,262,376

 

15.0

 

 

6,150,334

 

14.9

 

 

5,257,051

 

14.6

 

700-719

4,950,746

 

11.8

 

 

4,873,597

 

11.8

 

 

4,144,221

 

11.6

 

680-699

3,537,973

 

8.4

 

 

3,491,755

 

8.4

 

 

2,974,758

 

8.3

 

<=679

2,795,105

 

6.7

 

 

2,747,927

 

6.6

 

 

2,234,432

 

6.2

 

Total

$

41,865,977

 

100.0

%

 

$

41,402,950

 

100.0

%

 

$

35,925,830

 

100.0

%

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

March 31, 2020

 

December 31, 2019

 

March 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

17,304,231

 

10.5

%

 

$

17,128,008

 

10.5

%

 

$

15,581,861

 

10.9

%

85.01% to 90.00%

47,063,180

 

28.4

 

 

46,771,386

 

28.5

 

 

42,045,657

 

29.3

 

90.01% to 95.00%

77,059,950

 

46.5

 

 

76,611,494

 

46.7

 

 

68,414,122

 

47.8

 

95.01% and above

24,188,142

 

14.6

 

 

23,494,965

 

14.3

 

 

17,140,001

 

12.0

 

Total

$

165,615,503

 

100.0

%

 

$

164,005,853

 

100.0

%

 

$

143,181,641

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average LTV

92

%

 

 

92

%

 

 

92

%

 

 

 

 

 

 

 

Gross RIF by LTV

March 31, 2020

 

December 31, 2019

 

March 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

1,997,845

 

4.8

%

 

$

1,977,361

 

4.8

%

 

$

1,797,794

 

5.0

%

85.01% to 90.00%

11,322,131

 

27.0

 

 

11,249,383

 

27.2

 

 

10,083,981

 

28.1

 

90.01% to 95.00%

22,110,369

 

52.8

 

 

21,981,598

 

53.1

 

 

19,605,747

 

54.6

 

95.01% and above

6,435,632

 

15.4

 

 

6,194,608

 

14.9

 

 

4,438,308

 

12.3

 

Total

$

41,865,977

 

100.0

%

 

$

41,402,950

 

100.0

%

 

$

35,925,830

 

100.0

%

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

March 31, 2020

 

December 31, 2019

 

March 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

$

156,741,714

 

94.6

%

 

$

154,905,519

 

94.5

%

 

$

133,725,528

 

93.4

%

FRM 20-25 years

2,829,876

 

1.7

 

 

2,854,560

 

1.7

 

 

2,912,323

 

2.1

 

FRM 15 years

3,230,148

 

2.0

 

 

3,300,715

 

2.0

 

 

3,335,714

 

2.3

 

ARM 5 years and higher

2,813,765

 

1.7

 

 

2,945,059

 

1.8

 

 

3,208,076

 

2.2

 

Total

$

165,615,503

 

100.0

%

 

$

164,005,853

 

100.0

%

 

$

143,181,641

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

2020

 

2019

($ in thousands)

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Premiums earned

 

$

10,778

 

 

$

9,867

 

 

$

9,284

 

 

$

8,622

 

 

$

7,894

 

 

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

1,100,966

 

 

$

895,374

 

 

$

849,184

 

 

$

802,530

 

 

$

771,175

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

745

 

 

746

 

 

748

 

 

747

 

Weighted average LTV

 

85

%

 

85

%

 

85

%

 

85

%

 

85

%

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

 

 

 

 

 

 

 

 

 

 

 

Exhibit G

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Vintage Data

March 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance in Force

 

 

 

Year

Original
Insurance
Written
($ in thousands)

Remaining
Insurance
in Force
($ in thousands)

% Remaining of
Original
Insurance

Number of
Policies in Force

% Purchase

>90% LTV

>95% LTV

FICO < 700

FICO >= 760

Incurred
Loss Ratio
(Inception to
Date) (1)

Number of
Loans in
Default

Percentage of
Loans in
Default

 

 

 

 

 

 

 

 

 

 

 

 

 

2010 - 2014

$

60,668,851

 

$

9,744,199

 

16.1

%

53,929

 

83.9

%

68.5

%

3.8

%

12.2

%

45.9

%

2.6

%

815

 

1.51

%

2015

26,193,656

 

9,081,764

 

34.7

 

45,264

 

85.2

 

61.3

 

2.8

 

14.8

 

43.8

 

2.7

 

594

 

1.31

 

2016

34,949,319

 

17,593,372

 

50.3

 

81,241

 

84.7

 

59.6

 

7.2

 

13.5

 

45.7

 

2.9

 

890

 

1.10

 

2017

43,858,322

 

27,127,737

 

61.9

 

125,541

 

88.2

 

61.3

 

14.8

 

15.8

 

41.9

 

4.2

 

1,542

 

1.23

 

2018

47,508,525

 

32,032,954

 

67.4

 

140,687

 

92.5

 

63.0

 

19.1

 

15.9

 

39.5

 

5.9

 

1,390

 

0.99

 

2019

63,569,183

 

56,579,438

 

89.0

 

212,911

 

80.6

 

60.4

 

18.1

 

15.8

 

39.3

 

4.3

 

603

 

0.28

 

2020 (through March 31)

13,549,450

 

13,456,039

 

99.3

 

47,141

 

69.1

 

56.1

 

14.1

 

13.7

 

41.7

 

1.1

 

7

 

0.01

 

Total

$

290,297,306

 

$

165,615,503

 

57.1

 

706,714

 

84.1

 

61.1

 

14.6

 

15.1

 

41.3

 

3.4

 

5,841

 

0.83

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit H

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Reinsurance Vintage Data

March 31, 2020

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess of Loss Reinsurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Original

Reinsurance in Force

 

Remaining

Reinsurance in Force

 

 

 

 

 

 

Year-to-Date

 

 

Year

Remaining
Insurance
in Force

Remaining
Risk
in Force

 

ILN (1)

Other
Reinsurance (2)

Total

 

ILN

Other
Reinsurance

Total

 

Losses
Ceded
to Date

 

Original
First Layer
Retention

Remaining
First Layer
Retention

 

Earned
Premiums Ceded

 

Reduction in
PMIERs
Minimum
Required
Assets (5)

2015 & 2016

$

25,025,497

 

$

6,762,026

 

 

$

333,844

 

$

 

$

333,844

 

 

$

244,105

 

$

 

$

244,105

 

 

$

 

 

$

208,111

 

$

208,111

 

 

$

1,838

 

 

$

192,485

 

2017

26,279,318

 

6,665,183

 

 

424,412

 

165,167

 

589,579

 

 

280,180

 

165,167

 

445,347

 

 

 

 

224,689

 

221,852

 

 

3,353

 

 

241,513

 

2018

31,375,687

 

7,923,964

 

 

473,184

 

118,650

 

591,834

 

 

377,509

 

87,941

 

465,450

 

 

 

 

253,643

 

253,081

 

 

4,105

 

 

366,199

 

2019 (3)

34,916,398

 

8,826,958

 

 

495,889

 

55,102

 

550,991

 

 

495,889

 

55,102

 

550,991

 

 

 

 

215,605

 

215,605

 

 

2,489

 

 

462,024

 

Total

$

117,596,900

 

$

30,178,131

 

 

$

1,727,329

 

$

338,919

 

$

2,066,248

 

 

$

1,397,683

 

$

308,210

 

$

1,705,893

 

 

$

 

 

$

902,048

 

$

898,649

 

 

$

11,785

 

 

$

1,262,221

 

Quota Share Reinsurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year-to-Date

 

 

Year

 

Remaining
Insurance
in Force

Remaining
Risk
in Force

 

Remaining Ceded
Insurance in Force

 

Remaining Ceded Risk
in Force

 

Losses
Ceded

 

Ceding
Commission

 

Earned Premiums
Ceded

 

Reduction in PMIERs
Minimum Required
Assets (5)

2019 & 2020

(4)

$

34,268,944

 

$

8,598,188

 

 

$

7,542,999

 

 

$

1,870,062

 

 

$

98

 

 

$

1,177

 

 

$

2,452

 

 

$

127,311

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").

(2) Reinsurance provided by panels of reinsurers.

(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.

(4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.

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

 

 

 

 

 

 

Exhibit I

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Geographic Data

 

 

 

 

 

 

 

 

 

 

 

 

IIF by State

 

March 31, 2020

 

December 31, 2019

 

March 31, 2019

CA

10.4

%

 

10.0

%

 

9.3

%

TX

8.9

 

 

8.6

 

 

7.9

 

FL

8.0

 

 

7.9

 

 

7.4

 

WA

4.2

 

 

4.4

 

 

4.7

 

CO

3.8

 

 

3.7

 

 

3.4

 

IL

3.6

 

 

3.7

 

 

3.8

 

NJ

3.6

 

 

3.6

 

 

3.7

 

AZ

3.3

 

 

3.3

 

 

3.1

 

OH

3.3

 

 

3.4

 

 

3.3

 

NC

3.2

 

 

3.3

 

 

3.5

 

All Others

47.7

 

 

48.1

 

 

49.9

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

March 31, 2020

 

December 31, 2019

 

March 31, 2019

CA

10.1

%

 

9.8

%

 

9.0

%

TX

9.2

 

 

8.9

 

 

8.1

 

FL

8.2

 

 

8.0

 

 

7.6

 

WA

4.2

 

 

4.4

 

 

4.7

 

CO

3.7

 

 

3.6

 

 

3.3

 

NJ

3.5

 

 

3.6

 

 

3.7

 

IL

3.5

 

 

3.5

 

 

3.7

 

AZ

3.3

 

 

3.2

 

 

3.1

 

OH

3.3

 

 

3.3

 

 

3.4

 

GA

3.2

 

 

3.3

 

 

3.5

 

All Others

47.8

 

 

48.4

 

 

49.9

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit J

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Defaults, Reserve for Losses and LAE, and Claims

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Insured Loans in Default

 

 

Three Months Ended

 

 

March 31,

 

December 31,

 

March 31,

 

 

2020

 

2019

 

2019

Beginning default inventory

 

5,947

 

 

5,232

 

 

4,024

 

Plus: new defaults

 

3,933

 

 

3,826

 

 

2,918

 

Less: cures

 

(3,914

)

 

(3,027

)

 

(2,749

)

Less: claims paid

 

(118

)

 

(80

)

 

(88

)

Less: rescissions and denials, net

 

(7

)

 

(4

)

 

(9

)

Ending default inventory

 

5,841

 

 

5,947

 

 

4,096

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

March 31,

 

December 31,

 

March 31,

($ in thousands)

 

2020

 

2019

 

2019

Reserve for losses and LAE at beginning of period

 

$

69,362

 

 

$

61,436

 

 

$

49,464

 

Less: Reinsurance recoverables

 

71

 

 

 

 

 

Net reserve for losses and LAE at beginning of period

 

69,291

 

 

61,436

 

 

49,464

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

Current year

 

15,419

 

 

12,658

 

 

11,828

 

Prior years

 

(7,356

)

 

(1,729

)

 

(4,721

)

Incurred losses and LAE during the period

 

8,063

 

 

10,929

 

 

7,107

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

Current year

 

1

 

 

631

 

 

15

 

Prior years

 

4,110

 

 

2,443

 

 

3,072

 

Loss and LAE payments during the period

 

4,111

 

 

3,074

 

 

3,087

 

Net reserve for losses and LAE at end of period

 

73,243

 

 

69,291

 

 

53,484

 

Plus: Reinsurance recoverables

 

98

 

 

71

 

 

 

Reserve for losses and LAE at end of period

 

$

73,341

 

 

$

69,362

 

 

$

53,484

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Claims

 

 

Three Months Ended

 

 

March 31,

 

December 31,

 

March 31,

 

 

2020

 

2019

 

2019

Number of claims paid

 

118

 

 

80

 

 

88

 

Total amount paid for claims (in thousands)

 

$

4,157

 

 

$

2,922

 

 

$

2,899

 

Average amount paid per claim (in thousands)

 

$

35

 

 

$

37

 

 

$

33

 

Severity

 

77

%

 

76

%

 

78

%

 

 

 

 

 

Exhibit J, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Defaults, Reserve for Losses and LAE, and Claims

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

March 31, 2020

 

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

3,043

 

52

%

$

15,128

 

23

%

$

170,374

 

9

%

Four to eleven payments

2,140

 

37

 

30,493

 

45

 

114,135

 

27

 

Twelve or more payments

518

 

9

 

15,235

 

23

 

29,596

 

51

 

Pending claims

140

 

2

 

6,241

 

9

 

7,074

 

88

 

Total case reserves (1)

5,841

 

100

%

67,097

 

100

%

$

321,179

 

21

 

IBNR

 

 

5,032

 

 

 

 

LAE

 

 

1,196

 

 

 

 

Total reserves for losses and LAE (1)

 

 

$

73,325

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

$

11.5

 

 

 

 

Total

 

 

$

12.6

 

 

 

 

 

 

 

 

 

 

 

Default Rate

0.83%

 

 

 

 

 

 

 

 

 

 

 

 

(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $16.

 

 

 

 

 

 

 

 

December 31, 2019

 

Number of
Policies in
Default

Percentage of
Policies in
Default

Amount of
Reserves

Percentage of
Reserves

Defaulted RIF

Reserves as a
Percentage of
Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

3,310

 

56

%

$

15,793

 

25

%

$

177,238

 

9

%

Four to eleven payments

2,035

 

34

 

28,006

 

44

 

108,743

 

26

 

Twelve or more payments

473

 

8

 

13,549

 

22

 

27,152

 

50

 

Pending claims

129

 

2

 

5,832

 

9

 

6,777

 

86

 

Total case reserves (2)

5,947

 

100

%

63,180

 

100

%

$

319,910

 

20

 

IBNR

 

 

4,738

 

 

 

 

LAE

 

 

1,265

 

 

 

 

Total reserves for losses and LAE (2)

 

 

$

69,183

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

$

10.6

 

 

 

 

Total

 

 

$

11.6

 

 

 

 

 

 

 

 

 

 

 

Default Rate

0.85%

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

March 31, 2019

 

Number of
Policies in
Default

Percentage of
Policies in
Default

Amount of
Reserves

Percentage of
Reserves

Defaulted RIF

Reserves as a
Percentage of
Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

2,172

 

53

%

$

11,374

 

23

%

$

117,607

 

10

%

Four to eleven payments

1,492

 

36

 

23,599

 

48

 

80,842

 

29

 

Twelve or more payments

361

 

9

 

11,105

 

23

 

20,526

 

54

 

Pending claims

71

 

2

 

3,015

 

6

 

3,517

 

86

 

Total case reserves

4,096

 

100

%

49,093

 

100

%

$

222,492

 

22

 

IBNR

 

 

3,682

 

 

 

 

LAE

 

 

709

 

 

 

 

Total reserves for losses and LAE

 

 

$

53,484

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

$

12.0

 

 

 

 

Total

 

 

$

13.1

 

 

 

 

 

 

 

 

 

 

 

Default Rate

0.65%

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit K

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

March 31, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

$

235,565

 

 

6.4

%

 

$

242,206

 

 

7.2

%

U.S. agency securities

33,892

 

 

0.9

 

 

33,605

 

 

1.0

 

U.S. agency mortgage-backed securities

876,298

 

 

23.7

 

 

848,334

 

 

25.3

 

Municipal debt securities

419,688

 

 

11.3

 

 

361,638

 

 

10.8

 

Non-U.S. government securities

52,209

 

 

1.4

 

 

54,995

 

 

1.7

 

Corporate debt securities

879,503

 

 

23.7

 

 

880,301

 

 

26.3

 

Residential and commercial mortgage securities

275,532

 

 

7.4

 

 

288,281

 

 

8.6

 

Asset-backed securities

337,675

 

 

9.1

 

 

326,025

 

 

9.7

 

Money market funds

595,165

 

 

16.1

 

 

315,362

 

 

9.4

 

Total investments available for sale

$

3,705,527

 

 

100.0

%

 

$

3,350,747

 

 

100.0

%

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

March 31, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

$

2,177,097

 

 

58.7

%

 

$

1,817,905

 

 

54.2

%

Aa1

109,937

 

 

3.0

 

 

109,122

 

 

3.3

 

Aa2

152,322

 

 

4.1

 

 

145,282

 

 

4.3

 

Aa3

200,368

 

 

5.4

 

 

159,599

 

 

4.8

 

A1

199,762

 

 

5.4

 

 

206,643

 

 

6.2

 

A2

199,109

 

 

5.4

 

 

183,780

 

 

5.5

 

A3

188,393

 

 

5.1

 

 

191,933

 

 

5.7

 

Baa1

227,067

 

 

6.1

 

 

232,490

 

 

6.9

 

Baa2

173,772

 

 

4.7

 

 

179,664

 

 

5.4

 

Baa3

43,374

 

 

1.2

 

 

65,119

 

 

1.9

 

Below Baa3

34,326

 

 

0.9

 

 

59,210

 

 

1.8

 

Total investments available for sale

$

3,705,527

 

 

100.0

%

 

$

3,350,747

 

 

100.0

%

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

March 31, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

$

1,372,660

 

 

37.0

%

 

$

1,038,782

 

 

31.0

%

1 to < 2 Years

508,923

 

 

13.7

 

 

306,148

 

 

9.1

 

2 to < 3 Years

402,111

 

 

10.9

 

 

348,708

 

 

10.4

 

3 to < 4 Years

330,719

 

 

8.9

 

 

361,147

 

 

10.8

 

4 to < 5 Years

298,753

 

 

8.1

 

 

443,382

 

 

13.2

 

5 or more Years

792,361

 

 

21.4

 

 

852,580

 

 

25.5

 

Total investments available for sale

$

3,705,527

 

 

100.0

%

 

$

3,350,747

 

 

100.0

%

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

Three months ended March 31, 2020

2.51

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

As of March 31, 2020

$

279,778

 

 

 

 

 

 

 

As of December 31, 2019

$

98,376

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit L

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

March 31, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

Combined statutory capital (1)

 

$

2,452,730

 

 

$

2,335,828

 

 

 

 

 

 

Combined net risk in force (2)

 

$

28,729,105

 

 

$

29,460,191

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

Essent Guaranty, Inc.

 

12.1:1

 

13.1:1

Essent Guaranty of PA, Inc.

 

2.7:1

 

2.9:1

Combined (4)

 

11.7:1

 

12.6:1

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

Stockholder's equity (GAAP basis)

 

$

1,005,038

 

 

$

939,360

 

 

 

 

 

 

Net risk in force (2)

 

$

10,589,736

 

 

$

10,314,942

 

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

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

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

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

 

 

 

 

Exhibit M

Essent Group Ltd. and Subsidiaries

Supplemental Information

Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share

We believe that long-term growth in Adjusted Book Value per Share is an important measure of our financial performance and is the basis for measures used to determine vesting on certain restricted stock granted to senior management under the Company’s long-term incentive plan. Adjusted Book Value per Share is a financial measure that is not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and is referred to as a non-GAAP measure. Adjusted Book Value per Share may be defined or calculated differently by other companies. Adjusted Book Value per Share is one measure used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP.

Adjusted Book Value per Share is calculated by dividing Adjusted Book Value by Common Shares and Share Units Outstanding. Adjusted Book Value is defined as consolidated stockholders’ equity of the Company, excluding accumulated other comprehensive income (loss) plus the proceeds, if any, from the assumed exercise of all "in-the-money" options, warrants and similar instruments. Common Shares and Share Units Outstanding is defined as total common shares outstanding plus all equity instruments (including restricted share units and dividend equivalent units) issued to management and the Board of Directors and any "in-the-money" options, warrants and similar instruments. Accumulated other comprehensive income (loss) includes unrealized gains and losses that arise from changes in the market value of the Company’s investments. The Company does not view these unrealized gains and losses to be indicative of our fundamental operating performance. As of March 31, 2020, December 31, 2019 and March 31, 2019, 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 March 31, 2020, December 31, 2019 and March 31, 2019 in accordance with Regulation G:

 

 

 

 

 

 

 

(In thousands, except per share amounts)

 

March 31, 2020

 

December 31, 2019

 

March 31, 2019

 

 

 

 

 

 

 

Numerator:

 

 

 

 

 

 

Total Stockholders' Equity (Book Value)

 

$

3,107,074

 

 

$

2,984,845

 

 

$

2,527,803

 

 

 

 

 

 

 

 

Subtract: Accumulated Other Comprehensive Income

 

46,113

 

 

56,187

 

 

9,373

 

 

 

 

 

 

 

 

Adjusted Book Value

 

$

3,060,961

 

 

$

2,928,658

 

 

$

2,518,430

 

 

 

 

 

 

 

 

Denominator:

 

 

 

 

 

 

Total Common Shares Outstanding

 

98,602

 

 

98,394

 

 

98,364

 

 

 

 

 

 

 

 

Add: Restricted Share Units and Dividend Equivalent Units Outstanding

 

495

 

 

356

 

 

374

 

 

 

 

 

 

 

 

Total Common Shares and Share Units Outstanding

 

99,097

 

 

98,750

 

 

98,738

 

 

 

 

 

 

 

 

Adjusted Book Value per Share

 

$

30.89

 

 

$

29.66

 

 

$

25.51

 

 

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

Source: Essent Group Ltd.

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