View all news

Essent Group Ltd. Reports Second Quarter 2020 Results & Declares Quarterly Dividend

Aug 07, 2020

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2020 of $15.4 million or $0.15 per diluted share, compared to $136.4 million or $1.39 per diluted share for the quarter ended June 30, 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 September 10, 2020, to shareholders of record on August 31, 2020.

"Our financial results for the second quarter reflect the initial impact of the COVID-19 pandemic on our insured portfolio,” said Mark Casale, Chairman and Chief Executive Officer. “Our outlook on the timing and shape of an economic recovery remains cautious. However, we remain confident that with the strength and sustainability of our operating model, in conjunction with our strong balance sheet, capital and liquidity, we are well suited to navigate this challenging operating environment.”

Financial Highlights:

  • Insurance in force as of June 30, 2020 was $174.6 billion, compared to $165.6 billion as of March 31, 2020 and $153.3 billion as of June 30, 2019.
  • New insurance written for the second quarter was $28.2 billion, compared to $13.5 billion in the first quarter of 2020 and $18.0 billion in the second quarter of 2019.
  • Net premiums earned for the second quarter were $211.5 million, compared to $206.5 million in the first quarter of 2020 and $188.5 million in the second quarter of 2019.
  • The expense ratio for the second quarter was 18.4%, compared to 20.3% in the first quarter of 2020 and 22.0% in the second quarter of 2019.
  • The provision for losses and LAE for the second quarter was $175.9 million, compared to a provision of $8.1 million in the first quarter of 2020 and a provision of $5.0 million in the second quarter of 2019.
  • The percentage of loans in default as of June 30, 2020 was 5.19%, compared to 0.83% as of March 31, 2020 and 0.66% as of June 30, 2019.
    • As of July 31, 2020, the percentage of loans in default was 5.01%.
  • The combined ratio for the second quarter was 101.5%, compared to 24.2% in the first quarter of 2020 and 24.7% in the second quarter of 2019.
  • Other income for the second quarter includes a $2.5 million gain for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a loss of $4.2 million in the first quarter of 2020 and a gain of $1.2 million in the second quarter of 2019.
  • The consolidated balance of cash and investments at June 30, 2020 was $4.5 billion, including cash and investment balances at Essent Group Ltd. of $702.2 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 11.7:1 as of June 30, 2020.
  • On June 2, 2020, Essent Group Ltd. completed an offering of 13,800,000 common shares at $33.25 per share, generating net proceeds of $440.0 million.
  • During the second quarter, A.M. Best affirmed its “A (Excellent)” financial strength rating of Essent Guaranty, Inc., acknowledging the strength in our business model and capital position. Essent Guaranty, Inc. also has financial strength ratings of  “A3” by Moody’s and “BBB+” by S&P.

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/events-and-presentations/events/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 5617769 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 5617769.

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/financials/quarterly-results/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 June 30, 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 June 30,

 

Six Months Ended June 30,

(In thousands, except per share amounts)

2020

 

2019

 

2020

 

2019

Revenues:

 

 

 

 

 

 

 

Direct premiums written

$

228,044

 

 

$

196,832

 

 

$

434,024

 

 

$

380,514

 

Ceded premiums

(22,140

)

 

(8,428

)

 

(36,377

)

 

(14,466

)

Net premiums written

205,904

 

 

188,404

 

 

397,647

 

 

366,048

 

Decrease in unearned premiums

5,567

 

 

86

 

 

20,320

 

 

233

 

Net premiums earned

211,471

 

 

188,490

 

 

417,967

 

 

366,281

 

Net investment income

19,866

 

 

20,581

 

 

40,499

 

 

40,461

 

Realized investment gains (losses), net

(1,269

)

 

583

 

 

1,866

 

 

1,243

 

Other income

6,009

 

 

2,238

 

 

4,585

 

 

4,433

 

Total revenues

236,077

 

 

211,892

 

 

464,917

 

 

412,418

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

Provision for losses and LAE

175,877

 

 

4,960

 

 

183,940

 

 

12,067

 

Other underwriting and operating expenses

38,819

 

 

41,520

 

 

80,766

 

 

82,550

 

Interest expense

2,566

 

 

2,679

 

 

4,698

 

 

5,349

 

Total losses and expenses

217,262

 

 

49,159

 

 

269,404

 

 

99,966

 

 

 

 

 

 

 

 

 

Income before income taxes

18,815

 

 

162,733

 

 

195,513

 

 

312,452

 

Income tax expense

3,435

 

 

26,328

 

 

30,610

 

 

48,327

 

Net income

$

15,380

 

 

$

136,405

 

 

$

164,903

 

 

$

264,125

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

0.15

 

 

$

1.39

 

 

$

1.65

 

 

$

2.70

 

Diluted

0.15

 

 

1.39

 

 

1.64

 

 

2.69

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

102,500

 

 

97,798

 

 

100,224

 

 

97,697

 

Diluted

102,605

 

 

98,170

 

 

100,466

 

 

98,137

 

 

 

 

 

 

 

 

 

Net income

$

15,380

 

 

$

136,405

 

 

$

164,903

 

 

$

264,125

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

Change in unrealized appreciation of investments

74,285

 

 

35,987

 

 

64,211

 

 

74,353

 

Total other comprehensive income

74,285

 

 

35,987

 

 

64,211

 

 

74,353

 

Comprehensive income

$

89,665

 

 

$

172,392

 

 

$

229,114

 

 

$

338,478

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio

83.2

%

 

2.6

%

 

44.0

%

 

3.3

%

Expense ratio

18.4

 

 

22.0

 

 

19.3

 

 

22.5

 

Combined ratio

101.5

%

 

24.7

%

 

63.3

%

 

25.8

%

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

June 30,

 

December 31,

(In thousands, except per share amounts)

2020

 

2019

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

3,221,149

 

 

$

3,035,385

 

Short-term investments available for sale, at fair value

1,130,954

 

 

315,362

 

Total investments available for sale

4,352,103

 

 

3,350,747

 

Other invested assets

78,536

 

 

78,873

 

Total investments

4,430,639

 

 

3,429,620

 

Cash

72,787

 

 

71,350

 

Accrued investment income

18,711

 

 

18,535

 

Accounts receivable

39,750

 

 

40,655

 

Deferred policy acquisition costs

15,856

 

 

15,705

 

Property and equipment

15,458

 

 

17,308

 

Prepaid federal income tax

279,136

 

 

261,885

 

Other assets

27,611

 

 

18,367

 

 

 

 

 

Total assets

$

4,899,948

 

 

$

3,873,425

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

250,890

 

 

$

69,362

 

Unearned premium reserve

258,567

 

 

278,887

 

Net deferred tax liability

272,746

 

 

249,620

 

Credit facility borrowings, net of deferred costs

424,523

 

 

224,237

 

Other accrued liabilities

69,893

 

 

66,474

 

Total liabilities

1,276,619

 

 

888,580

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 112,423 shares in 2020 and 98,394 shares in 2019

1,686

 

 

1,476

 

Additional paid-in capital

1,561,737

 

 

1,118,655

 

Accumulated other comprehensive income

120,398

 

 

56,187

 

Retained earnings

1,939,508

 

 

1,808,527

 

Total stockholders' equity

3,623,329

 

 

2,984,845

 

 

 

 

 

Total liabilities and stockholders' equity

$

4,899,948

 

 

$

3,873,425

 

 

 

 

 

Return on average equity (1)

10.0

%

 

20.8

%

 

 

 

 

(1) The 2020 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

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

 

 

Net premiums written

 

$

205,904

 

 

$

191,743

 

 

$

196,493

 

 

$

198,304

 

 

$

188,404

 

 

$

177,644

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net premiums earned (1)

 

211,471

 

 

206,496

 

 

207,671

 

 

203,473

 

 

188,490

 

 

177,791

 

Other revenues (2)

 

24,606

 

 

22,344

 

 

21,091

 

 

22,914

 

 

23,402

 

 

22,735

 

Total revenues

 

236,077

 

 

228,840

 

 

228,762

 

 

226,387

 

 

211,892

 

 

200,526

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

 

 

Provision for losses and LAE

 

175,877

 

 

8,063

 

 

10,929

 

 

9,990

 

 

4,960

 

 

7,107

 

Other underwriting and operating expenses

 

38,819

 

 

41,947

 

 

41,231

 

 

41,588

 

 

41,520

 

 

41,030

 

Interest expense

 

2,566

 

 

2,132

 

 

2,218

 

 

2,584

 

 

2,679

 

 

2,670

 

Total losses and expenses

 

217,262

 

 

52,142

 

 

54,378

 

 

54,162

 

 

49,159

 

 

50,807

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

18,815

 

 

176,698

 

 

174,384

 

 

172,225

 

 

162,733

 

 

149,719

 

Income tax expense (3)

 

3,435

 

 

27,175

 

 

27,426

 

 

27,595

 

 

26,328

 

 

21,999

 

Net income

 

$

15,380

 

 

$

149,523

 

 

$

146,958

 

 

$

144,630

 

 

$

136,405

 

 

$

127,720

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

 

 

Basic

 

$

0.15

 

 

$

1.53

 

 

$

1.50

 

 

$

1.48

 

 

$

1.39

 

 

$

1.31

 

Diluted

 

0.15

 

 

1.52

 

 

1.49

 

 

1.47

 

 

1.39

 

 

1.30

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

 

 

Basic

 

102,500

 

 

97,949

 

 

97,830

 

 

97,822

 

 

97,798

 

 

97,595

 

Diluted

 

102,605

 

 

98,326

 

 

98,376

 

 

98,257

 

 

98,170

 

 

98,104

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio (4)

 

83.2

%

 

3.9

%

 

5.3

%

 

4.9

%

 

2.6

%

 

4.0

%

Expense ratio (5)

 

18.4

 

 

20.3

 

 

19.9

 

 

20.4

 

 

22.0

 

 

23.1

 

Combined ratio

 

101.5

%

 

24.2

%

 

25.1

%

 

25.3

%

 

24.7

%

 

27.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Return on average equity (annualized)

 

1.8

%

 

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 June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019 include net favorable (unfavorable) changes of $2,502, ($4,200), ($3,585), ($760), $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:

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

28,163,212

 

 

$

13,549,299

 

 

$

15,839,836

 

 

$

18,719,876

 

 

$

17,973,505

 

 

$

10,945,307

 

New risk written

 

6,875,250

 

 

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)

 

0.53

%

 

0.51

%

 

0.51

%

 

0.52

%

 

0.51

%

 

0.50

%

Average net premium rate (7)

 

0.48

%

 

0.48

%

 

0.49

%

 

0.49

%

 

0.49

%

 

0.48

%

New insurance written

 

$

28,163,212

 

 

$

13,549,450

 

 

$

15,839,836

 

 

$

18,726,009

 

 

$

18,003,029

 

 

$

11,000,309

 

New risk written

 

$

6,875,250

 

 

$

3,384,195

 

 

$

3,966,363

 

 

$

4,696,453

 

 

$

4,487,346

 

 

$

2,719,931

 

Insurance in force (end of period)

 

$

174,646,273

 

 

$

165,615,503

 

 

$

164,005,853

 

 

$

160,962,192

 

 

$

153,317,157

 

 

$

143,181,641

 

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

 

$

43,993,989

 

 

$

41,865,977

 

 

$

41,402,950

 

 

$

40,540,289

 

 

$

38,531,090

 

 

$

35,925,830

 

Risk in force (end of period)

 

$

39,113,879

 

 

$

38,290,022

 

 

$

38,947,857

 

 

$

38,784,584

 

 

$

37,034,687

 

 

$

34,744,417

 

Policies in force

 

733,651

 

 

706,714

 

 

702,925

 

 

693,085

 

 

666,705

 

 

629,808

 

Weighted average coverage (9)

 

25.2

%

 

25.3

%

 

25.2

%

 

25.2

%

 

25.1

%

 

25.1

%

Annual persistency

 

67.9

%

 

73.9

%

 

77.5

%

 

82.1

%

 

84.8

%

 

85.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

38,068

 

 

5,841

 

 

5,947

 

 

5,232

 

 

4,405

 

 

4,096

 

Percentage of loans in default

 

5.19

%

 

0.83

%

 

0.85

%

 

0.75

%

 

0.66

%

 

0.65

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

GSE and other risk share (10)

 

$

1,031,699

 

 

$

1,100,966

 

 

$

895,374

 

 

$

849,184

 

 

$

802,530

 

 

$

771,175

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

425,000

 

 

$

425,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

Undrawn committed capacity

 

$

75,000

 

 

$

75,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

Weighted average interest rate (end of period)

 

1.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

Six Months Ended

 

June 30, 2020

 

June 30, 2019

 

June 30, 2020

 

June 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

12,163,927

 

43.2

%

 

$

7,313,814

 

40.7

%

 

$

17,819,643

 

42.7

%

 

$

11,784,317

 

40.8

%

740-759

5,300,459

 

18.8

 

 

3,073,807

 

17.1

 

 

7,758,491

 

18.6

 

 

4,985,948

 

17.2

 

720-739

4,352,367

 

15.5

 

 

2,572,580

 

14.3

 

 

6,371,241

 

15.3

 

 

4,138,193

 

14.3

 

700-719

3,278,269

 

11.6

 

 

2,140,363

 

11.9

 

 

4,837,012

 

11.6

 

 

3,492,908

 

12.1

 

680-699

1,950,905

 

6.9

 

 

1,534,959

 

8.5

 

 

2,995,823

 

7.2

 

 

2,442,928

 

8.4

 

<=679

1,117,285

 

4.0

 

 

1,337,982

 

7.5

 

 

1,930,301

 

4.6

 

 

2,074,518

 

7.2

 

Total

$

28,163,212

 

100.0

%

 

$

17,973,505

 

100.0

%

 

$

41,712,511

 

100.0

%

 

$

28,918,812

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

749

 

 

 

744

 

 

 

748

 

 

 

744

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Six Months Ended

 

June 30, 2020

 

June 30, 2019

 

June 30, 2020

 

June 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

5,028,803

 

17.9

%

 

$

2,220,430

 

12.3

%

 

$

6,992,279

 

16.8

%

 

$

3,663,263

 

12.7

%

85.01% to 90.00%

9,079,625

 

32.2

 

 

4,851,313

 

27.0

 

 

13,066,899

 

31.3

 

 

7,801,661

 

27.0

 

90.01% to 95.00%

10,914,874

 

38.8

 

 

7,525,709

 

41.9

 

 

16,600,754

 

39.8

 

 

12,185,046

 

42.1

 

95.01% and above

3,139,910

 

11.1

 

 

3,376,053

 

18.8

 

 

5,052,579

 

12.1

 

 

5,268,842

 

18.2

 

Total

$

28,163,212

 

100.0

%

 

$

17,973,505

 

100.0

%

 

$

41,712,511

 

100.0

%

 

$

28,918,812

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

91

%

 

 

92

%

 

 

91

%

 

 

92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

 

Three Months Ended

 

Six Months Ended

 

 

June 30, 2020

 

June 30, 2019

 

June 30, 2020

 

June 30, 2019

Single Premium policies

 

10.6

%

 

 

11.1

%

 

 

10.3

%

 

 

11.6

%

Monthly Premium policies

 

89.4

 

 

 

88.9

 

 

 

89.7

 

 

 

88.4

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

 

Three Months Ended

 

Six Months Ended

 

 

June 30, 2020

 

June 30, 2019

 

June 30, 2020

 

June 30, 2019

Purchase

 

54.2

%

 

 

84.5

%

 

 

59.1

%

 

 

85.7

%

Refinance

 

45.8

 

 

 

15.5

 

 

 

40.9

 

 

 

14.3

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

Exhibit E

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio by Credit Score

IIF by FICO score

June 30, 2020

 

March 31, 2020

 

June 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

71,570,804

 

41.0

%

 

$

68,385,363

 

41.3

%

 

$

64,977,185

 

42.4

%

740-759

30,265,718

 

17.3

 

 

28,289,661

 

17.1

 

 

25,747,495

 

16.8

 

720-739

26,130,764

 

15.0

 

 

24,441,834

 

14.7

 

 

22,203,764

 

14.5

 

700-719

20,721,839

 

11.9

 

 

19,442,133

 

11.7

 

 

17,723,067

 

11.5

 

680-699

14,545,011

 

8.3

 

 

13,859,727

 

8.4

 

 

12,697,092

 

8.3

 

<=679

11,412,137

 

6.5

 

 

11,196,785

 

6.8

 

 

9,968,554

 

6.5

 

Total

$

174,646,273

 

100.0

%

 

$

165,615,503

 

100.0

%

 

$

153,317,157

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average credit score

745

 

 

 

745

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

June 30, 2020

 

March 31, 2020

 

June 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

>=760

$

17,871,881

 

40.6

%

 

$

17,138,596

 

40.9

%

 

$

16,258,608

 

42.2

%

740-759

7,672,436

 

17.4

 

 

7,181,181

 

17.2

 

 

6,478,145

 

16.8

 

720-739

6,673,863

 

15.2

 

 

6,262,376

 

15.0

 

 

5,643,012

 

14.6

 

700-719

5,246,989

 

11.9

 

 

4,950,746

 

11.8

 

 

4,473,871

 

11.6

 

680-699

3,693,448

 

8.4

 

 

3,537,973

 

8.4

 

 

3,217,062

 

8.4

 

<=679

2,835,372

 

6.5

 

 

2,795,105

 

6.7

 

 

2,460,392

 

6.4

 

Total

$

43,993,989

 

100.0

%

 

$

41,865,977

 

100.0

%

 

$

38,531,090

 

100.0

%

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

June 30, 2020

 

March 31, 2020

 

June 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

19,874,830

 

11.4

%

 

$

17,304,231

 

10.5

%

 

$

16,525,093

 

10.8

%

85.01% to 90.00%

50,446,645

 

28.9

 

 

47,063,180

 

28.4

 

 

44,234,770

 

28.9

 

90.01% to 95.00%

79,112,541

 

45.3

 

 

77,059,950

 

46.5

 

 

72,549,888

 

47.3

 

95.01% and above

25,212,257

 

14.4

 

 

24,188,142

 

14.6

 

 

20,007,406

 

13.0

 

Total

$

174,646,273

 

100.0

%

 

$

165,615,503

 

100.0

%

 

$

153,317,157

 

100.0

%

 

 

 

 

 

 

 

 

 

Weighted average LTV

92

%

 

 

92

%

 

 

92

%

 

 

 

 

 

 

 

Gross RIF by LTV

June 30, 2020

 

March 31, 2020

 

June 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

$

2,292,935

 

5.2

%

 

$

1,997,845

 

4.8

%

 

$

1,907,272

 

5.0

%

85.01% to 90.00%

12,120,308

 

27.6

 

 

11,322,131

 

27.0

 

 

10,625,848

 

27.6

 

90.01% to 95.00%

22,760,884

 

51.7

 

 

22,110,369

 

52.8

 

 

20,784,261

 

53.9

 

95.01% and above

6,819,862

 

15.5

 

 

6,435,632

 

15.4

 

 

5,213,709

 

13.5

 

Total

$

43,993,989

 

100.0

%

 

$

41,865,977

 

100.0

%

 

$

38,531,090

 

100.0

%

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

June 30, 2020

 

March 31, 2020

 

June 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

$

165,143,246

 

94.5

%

 

$

156,741,714

 

94.6

%

 

$

143,827,908

 

93.8

%

FRM 20-25 years

3,277,847

 

1.9

 

 

2,829,876

 

1.7

 

 

2,901,947

 

1.9

 

FRM 15 years

3,660,888

 

2.1

 

 

3,230,148

 

2.0

 

 

3,391,072

 

2.2

 

ARM 5 years and higher

2,564,292

 

1.5

 

 

2,813,765

 

1.7

 

 

3,196,230

 

2.1

 

Total

$

174,646,273

 

100.0

%

 

$

165,615,503

 

100.0

%

 

$

153,317,157

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2020

 

2019

($ in thousands)

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

 

 

Premiums earned

 

$

10,655

 

 

$

10,778

 

 

$

9,867

 

 

$

9,284

 

 

$

8,622

 

 

$

7,894

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

1,031,699

 

 

$

1,100,966

 

 

$

895,374

 

 

$

849,184

 

 

$

802,530

 

 

$

771,175

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

746

 

 

745

 

 

746

 

 

748

 

 

747

 

Weighted average LTV

 

85

%

 

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

June 30, 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

 

$

8,530,559

 

14.1

%

47,938

83.7

%

69.0

%

3.9

%

12.6

%

45.3

%

3.2

%

2,532

5.28

%

2015

26,193,656

 

7,936,090

 

30.3

 

40,235

85.6

 

61.8

 

2.9

 

15.1

 

43.2

 

4.2

 

2,305

5.73

 

2016

34,949,319

 

15,675,316

 

44.9

 

73,492

85.4

 

60.2

 

7.4

 

13.6

 

45.5

 

5.9

 

4,493

6.11

 

2017

43,858,322

 

23,247,877

 

53.0

 

110,369

88.6

 

61.7

 

15.3

 

16.5

 

41.3

 

8.8

 

7,354

6.66

 

2018

47,508,525

 

26,920,663

 

56.7

 

121,708

92.7

 

63.7

 

19.8

 

16.8

 

38.3

 

14.0

 

8,598

7.06

 

2019

63,569,183

 

51,138,928

 

80.4

 

196,033

81.1

 

61.0

 

18.7

 

16.3

 

38.5

 

27.3

 

11,098

5.66

 

2020 (through June 30)

41,712,662

 

41,196,840

 

98.8

 

143,876

58.9

 

51.9

 

12.2

 

11.8

 

42.6

 

34.5

 

1,688

1.17

 

Total

$

318,460,518

 

$

174,646,273

 

54.8

 

733,651

79.3

 

59.7

 

14.4

 

14.9

 

41.0

 

7.9

 

38,068

5.19

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

June 30, 2020

($ in thousands)

 

 

Excess of Loss Reinsurance

 

 

 

 

 

 

 

Original

Reinsurance in Force

 

Remaining

Reinsurance in Force

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Year

 

Remaining

Insurance

in Force

 

Remaining

Risk

in Force

 

ILN (1)

 

Other

Reinsurance

(2)

 

Total

 

ILN

 

Other

Reinsurance

 

Total

 

Losses

Ceded

to

Date

 

Original

First Layer

Retention

 

Remaining

First Layer

Retention

 

Quarter-to-

Date

 

Year-to-

Date

 

Reduction in

PMIERs

Minimum

Required

Assets (5)

2015 & 2016

$

22,315,283

 

$

6,025,734

 

 

$

333,844

 

$

 

$

333,844

 

 

$

216,480

 

$

 

$

216,480

 

 

$

 

 

$

208,111

 

$

207,849

 

 

$

1,449

 

$

3,287

 

 

$

174,682

 

2017

22,597,869

 

5,742,641

 

 

424,412

 

165,167

 

589,579

 

 

242,123

 

165,167

 

407,290

 

 

 

 

224,689

 

220,308

 

 

2,801

 

6,154

 

 

204,148

 

2018

26,393,162

 

6,676,437

 

 

473,184

 

118,650

 

591,834

 

 

325,537

 

76,144

 

401,681

 

 

 

 

253,643

 

252,392

 

 

3,473

 

7,578

 

 

299,170

 

2019 (3)

30,475,038

 

7,724,225

 

 

495,889

 

55,102

 

550,991

 

 

495,889

 

55,102

 

550,991

 

 

 

 

215,605

 

215,605

 

 

2,953

 

5,442

 

 

423,843

 

Total

$

101,781,352

 

$

26,169,037

 

 

$

1,727,329

 

$

338,919

 

$

2,066,248

 

 

$

1,280,029

 

$

296,413

 

$

1,576,442

 

 

$

 

 

$

902,048

 

$

896,154

 

 

$

10,676

 

$

22,461

 

 

$

1,101,843

 

 

Quota Share Reinsurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses Ceded

 

Ceding Commission

 

Earned Premiums Ceded

 

 

Year

 

Remaining

Insurance

in Force

 

Remaining

Risk

in Force

 

Remaining Ceded

Insurance in Force

 

Remaining Ceded

Risk in Force

 

Quarter-to-Date

 

Year-to-Date

 

Quarter-to-Date

 

Year-to-Date

 

Quarter-to-Date

 

Year-to-Date

 

Reduction in

PMIERs Minimum

Required

Assets (5)

2019 & 2020

(4)

$

61,036,696

 

$

15,141,048

 

 

$

13,463,715

 

 

$

3,303,668

 

 

$

7,598

 

$

7,696

 

 

$

1,933

 

$

3,110

 

 

$

11,464

 

$

13,916

 

 

$

223,393

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

June 30, 2020

 

March 31, 2020

 

June 30, 2019

CA

10.6

%

 

10.4

%

 

9.6

%

TX

9.4

 

 

8.9

 

 

8.0

 

FL

8.2

 

 

8.0

 

 

7.5

 

WA

4.0

 

 

4.2

 

 

4.6

 

CO

3.9

 

 

3.8

 

 

3.6

 

IL

3.5

 

 

3.6

 

 

3.8

 

NJ

3.5

 

 

3.6

 

 

3.7

 

AZ

3.5

 

 

3.3

 

 

3.2

 

VA

3.2

 

 

3.1

 

 

3.2

 

OH

3.2

 

 

3.3

 

 

3.4

 

All Others

47.0

 

 

47.8

 

 

49.4

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

June 30, 2020

 

March 31, 2020

 

June 30, 2019

CA

10.3

%

 

10.1

%

 

9.4

%

TX

9.7

 

 

9.2

 

 

8.3

 

FL

8.4

 

 

8.2

 

 

7.6

 

WA

4.0

 

 

4.2

 

 

4.6

 

CO

3.8

 

 

3.7

 

 

3.5

 

NJ

3.4

 

 

3.5

 

 

3.6

 

AZ

3.4

 

 

3.3

 

 

3.1

 

IL

3.4

 

 

3.5

 

 

3.7

 

GA

3.2

 

 

3.2

 

 

3.4

 

OH

3.2

 

 

3.3

 

 

3.4

 

All Others

47.2

 

 

47.8

 

 

49.4

 

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

 

Six Months Ended

 

 

June 30,

 

June 30,

 

June 30,

 

June 30,

 

 

2020

 

2019

 

2020

 

2019

Beginning default inventory

 

5,841

 

 

4,096

 

 

5,947

 

 

4,024

 

Plus: new defaults

 

37,357

 

 

2,849

 

 

41,290

 

 

5,767

 

Less: cures

 

(4,983

)

 

(2,433

)

 

(8,897

)

 

(5,182

)

Less: claims paid

 

(144

)

 

(106

)

 

(262

)

 

(194

)

Less: rescissions and denials, net

 

(3

)

 

(1

)

 

(10

)

 

(10

)

Ending default inventory

 

38,068

 

 

4,405

 

 

38,068

 

 

4,405

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

Six Months Ended

 

 

June 30,

 

June 30,

 

June 30,

 

June 30,

($ in thousands)

 

2020

 

2019

 

2020

 

2019

Reserve for losses and LAE at beginning of period

 

$

73,341

 

 

$

53,484

 

 

$

69,362

 

 

$

49,464

 

Less: Reinsurance recoverables

 

98

 

 

 

 

71

 

 

 

Net reserve for losses and LAE at beginning of period

 

73,243

 

 

53,484

 

 

69,291

 

 

49,464

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

Current period

 

181,776

 

 

11,354

 

 

197,195

 

 

23,182

 

Prior years

 

(5,899

)

 

(6,394

)

 

(13,255

)

 

(11,115

)

Incurred losses and LAE during the period

 

175,877

 

 

4,960

 

 

183,940

 

 

12,067

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

Current period

 

288

 

 

230

 

 

289

 

 

245

 

Prior years

 

5,703

 

 

3,076

 

 

9,813

 

 

6,148

 

Loss and LAE payments during the period

 

5,991

 

 

3,306

 

 

10,102

 

 

6,393

 

Net reserve for losses and LAE at end of period

 

243,129

 

 

55,138

 

 

243,129

 

 

55,138

 

Plus: Reinsurance recoverables

 

7,761

 

 

 

 

7,761

 

 

 

Reserve for losses and LAE at end of period

 

$

250,890

 

 

$

55,138

 

 

$

250,890

 

 

$

55,138

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Claims

 

 

Three Months Ended

 

Six Months Ended

 

 

June 30,

 

June 30,

 

June 30,

 

June 30,

 

 

2020

 

2019

 

2020

 

2019

Number of claims paid

 

144

 

 

106

 

 

262

 

 

194

 

Total amount paid for claims (in thousands)

 

$

5,718

 

 

$

3,208

 

 

$

9,875

 

 

$

6,107

 

Average amount paid per claim (in thousands)

 

$

40

 

 

$

30

 

 

$

38

 

 

$

31

 

Severity

 

78

%

 

69

%

 

78

%

 

74

%

 

 

 

 

 

Exhibit J, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Defaults, Reserve for Losses and LAE, and Claims

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

June 30, 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

33,514

 

88

%

$

166,897

 

73

%

$

2,233,678

 

7

%

Four to eleven payments

3,813

 

10

 

39,028

 

17

 

234,152

 

17

 

Twelve or more payments

664

 

2

 

18,590

 

8

 

36,694

 

51

 

Pending claims

77

 

 

3,271

 

2

 

3,846

 

85

 

Total case reserves (1)

38,068

 

100

%

227,786

 

100

%

$

2,508,370

 

9

 

IBNR

 

 

17,084

 

 

 

 

LAE

 

 

5,992

 

 

 

 

Total reserves for losses and LAE (1)

 

 

$

250,862

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

$

6.0

 

 

 

 

Total

 

 

$

6.6

 

 

 

 

 

 

 

 

 

 

 

Default Rate

5.19%

 

 

 

 

 

 

 

 

 

 

 

 

(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $28.

 

 

 

 

 

 

 

 

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.

 

 

 

 

 

 

 

 

June 30, 2019

 

Number of

Policies i n

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

2,511

 

57

%

$

12,646

 

25

%

$

133,536

 

9

%

Four to eleven payments

1,443

 

33

 

22,292

 

44

 

78,047

 

29

 

Twelve or more payments

369

 

8

 

11,583

 

23

 

22,093

 

52

 

Pending claims

82

 

2

 

4,055

 

8

 

4,657

 

87

 

Total case reserves

4,405

 

100

%

50,576

 

100

%

$

238,333

 

21

 

IBNR

 

 

3,792

 

 

 

 

LAE

 

 

770

 

 

 

 

Total reserves for losses and LAE

 

 

$

55,138

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

$

11.5

 

 

 

 

Total

 

 

$

12.5

 

 

 

 

 

 

 

 

 

 

 

Default Rate

0.66%

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit K

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

June 30, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

$

259,259

 

 

5.9

%

 

$

242,206

 

 

7.2

%

U.S. agency securities

14,682

 

 

0.3

 

 

33,605

 

 

1.0

 

U.S. agency mortgage-backed securities

830,124

 

 

19.1

 

 

848,334

 

 

25.3

 

Municipal debt securities

465,063

 

 

10.7

 

 

361,638

 

 

10.8

 

Non-U.S. government securities

54,637

 

 

1.2

 

 

54,995

 

 

1.7

 

Corporate debt securities

912,137

 

 

21.0

 

 

880,301

 

 

26.3

 

Residential and commercial mortgage securities

312,511

 

 

7.2

 

 

288,281

 

 

8.6

 

Asset-backed securities

385,486

 

 

8.9

 

 

326,025

 

 

9.7

 

Money market funds

1,118,204

 

 

25.7

 

 

315,362

 

 

9.4

 

Total investments available for sale

$

4,352,103

 

 

100.0

%

 

$

3,350,747

 

 

100.0

%

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

June 30, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

$

2,642,359

 

 

60.7

%

 

$

1,817,905

 

 

54.2

%

Aa1

129,451

 

 

3.0

 

 

109,122

 

 

3.3

 

Aa2

171,704

 

 

3.9

 

 

145,282

 

 

4.3

 

Aa3

235,462

 

 

5.4

 

 

159,599

 

 

4.8

 

A1

213,946

 

 

4.9

 

 

206,643

 

 

6.2

 

A2

253,507

 

 

5.8

 

 

183,780

 

 

5.5

 

A3

211,209

 

 

4.9

 

 

191,933

 

 

5.7

 

Baa1

244,669

 

 

5.6

 

 

232,490

 

 

6.9

 

Baa2

183,639

 

 

4.2

 

 

179,664

 

 

5.4

 

Baa3

37,005

 

 

0.9

 

 

65,119

 

 

1.9

 

Below Baa3

29,152

 

 

0.7

 

 

59,210

 

 

1.8

 

Total investments available for sale

$

4,352,103

 

 

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

June 30, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

$

2,140,698

 

 

49.2

%

 

$

1,038,782

 

 

31.0

%

1 to < 2 Years

415,342

 

 

9.5

 

 

306,148

 

 

9.1

 

2 to < 3 Years

369,123

 

 

8.5

 

 

348,708

 

 

10.4

 

3 to < 4 Years

258,405

 

 

5.9

 

 

361,147

 

 

10.8

 

4 to < 5 Years

343,687

 

 

7.9

 

 

443,382

 

 

13.2

 

5 or more Years

824,848

 

 

19.0

 

 

852,580

 

 

25.5

 

Total investments available for sale

$

4,352,103

 

 

100.0

%

 

$

3,350,747

 

 

100.0

%

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

Three months ended June 30, 2020

2.16

%

 

 

 

 

 

 

Six months ended June 30, 2020

2.33

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

As of June 30, 2020

$

702,225

 

 

 

 

 

 

 

As of December 31, 2019

$

98,376

 

 

 

 

 

 

 

 

 

 

 

Exhibit L

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

June 30, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

Combined statutory capital (1)

 

$

2,457,368

 

$

2,335,828

 

 

 

 

 

Combined net risk in force (2)

 

$

28,787,600

 

$

29,460,191

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

Essent Guaranty, Inc.

 

12.1:1

 

13.1:1

Essent Guaranty of PA, Inc.

 

2.3:1

 

2.9:1

Combined (4)

 

11.7:1

 

12.6:1

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

Available Assets

 

$

2,586,394

 

$

2,337,086

Minimum Required Assets

 

1,458,273

 

1,499,369

PMIERs excess Available Assets

 

$

1,128,121

 

$

837,717

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

Stockholder's equity (GAAP basis)

 

$

1,022,689

 

$

939,360

 

 

 

 

 

Net risk in force (2)

 

$

11,113,079

 

$

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.

(5) PMIERs data is based on our interpretation of PMIERs 2.0 as of the dates indicated.

.

 

 

 

 

 

 

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 June 30, 2020, December 31, 2019 and June 30, 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 June 30, 2020, December 31, 2019 and June 30, 2019 in accordance with Regulation G:

 

 

 

 

 

 

 

(In thousands, except per share amounts)

 

June 30, 2020

 

December 31, 2019

 

June 30, 2019

 

 

 

 

 

 

 

Numerator:

 

 

 

 

 

 

Total Stockholders' Equity (Book Value)

 

$

3,623,329

 

 

$

2,984,845

 

 

$

2,704,292

 

 

 

 

 

 

 

 

Subtract: Accumulated Other Comprehensive Income

 

120,398

 

 

56,187

 

 

45,360

 

 

 

 

 

 

 

 

Adjusted Book Value

 

$

3,502,931

 

 

$

2,928,658

 

 

$

2,658,932

 

 

 

 

 

 

 

 

Denominator:

 

 

 

 

 

 

Total Common Shares Outstanding

 

112,423

 

 

98,394

 

 

98,396

 

 

 

 

 

 

 

 

Add: Restricted Share Units and Dividend Equivalent Units Outstanding

 

510

 

 

356

 

 

365

 

 

 

 

 

 

 

 

Total Common Shares and Share Units Outstanding

 

112,933

 

 

98,750

 

 

98,761

 

 

 

 

 

 

 

 

Adjusted Book Value per Share

 

$

31.02

 

 

$

29.66

 

 

$

26.92

 

 

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.

Multimedia Files:

Categories: Press Releases
View all news