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

Nov 06, 2020

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2020 of $124.5 million or $1.11 per diluted share, compared to $144.6 million or $1.47 per diluted share for the quarter ended September 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 December 10, 2020, to shareholders of record on December 1, 2020.

"We are encouraged by the increase in our third quarter earnings as compared to the second quarter due to a lower loss provision driven by a decrease in the number of new COVID-19 default notices received on our insured portfolio,” said Mark A. Casale, Chairman and Chief Executive Officer. “Although our outlook on the economy remains cautious, we are pleased with the resilience and strength that housing has demonstrated throughout the year which has been a bright spot in the economy and positive for high credit quality growth in our business.”

Financial Highlights:

  • Insurance in force as of September 30, 2020 was $190.8 billion, compared to $174.6 billion as of June 30, 2020 and $161.0 billion as of September 30, 2019.
  • New insurance written for the third quarter was $36.7 billion, compared to $28.2 billion in the second quarter of 2020 and $18.7 billion in the third quarter of 2019.
  • Net premiums earned for the third quarter were $222.3 million, compared to $211.5 million in the second quarter of 2020 and $203.5 million in the third quarter of 2019.
  • The expense ratio for the third quarter was 16.7%, compared to 18.4% in the second quarter of 2020 and 20.4% in the third quarter of 2019.
  • The provision for losses and LAE for the third quarter was $55.3 million, compared to a provision of $175.9 million in the second quarter of 2020 and a provision of $10.0 million in the third quarter of 2019.
  • The percentage of loans in default as of September 30, 2020 was 4.54%, compared to 5.19% as of June 30, 2020 and 0.75% as of September 30, 2019.
    • As of October 31, 2020, the percentage of loans in default was 4.25%.
  • The combined ratio for the third quarter was 41.6%, compared to 101.5% in the second quarter of 2020 and 25.3% in the third quarter of 2019.
  • Other income for the third quarter includes a $0.7 million loss for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a gain of $2.5 million in the second quarter of 2020 and a loss of $0.8 million in the third quarter of 2019.
  • The consolidated balance of cash and investments at September 30, 2020 was $4.7 billion, including cash and investment balances at Essent Group Ltd. of $685.0 million.
  • The combined risk-to-capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 11.6:1 as of September 30, 2020.
  • On October 8, 2020, Essent Guaranty, Inc. obtained $399.2 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in September 2019 through July 2020 from Radnor Re 2020-2 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2020-2 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd.
  • During the third quarter, A.M. Best affirmed its “A (Excellent)” financial strength rating of Essent Guaranty, Inc. and a long-term issuer credit rating of "a" of the operating subsidiaries of Essent Group Ltd. Essent Guaranty, Inc. also has financial strength ratings of “A3” by Moody’s and “BBB+” by S&P.
  • On October 14, 2020, Essent Group Ltd. entered into an amended and restated credit facility, increasing to $625 million the committed capacity and extending the contractual maturity to October 16, 2023.

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 3494393 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 3494393.

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 September 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 September 30,

 

Nine Months Ended September 30,

(In thousands, except per share amounts)

2020

 

2019

 

2020

 

2019

Revenues:

 

 

 

 

 

 

 

Direct premiums written

$

243,390

 

 

$

208,567

 

 

$

677,414

 

 

$

589,081

 

Ceded premiums

(21,167)

 

 

(10,263)

 

 

(57,544)

 

 

(24,729)

 

Net premiums written

222,223

 

 

198,304

 

 

619,870

 

 

564,352

 

Decrease in unearned premiums

35

 

 

5,169

 

 

20,355

 

 

5,402

 

Net premiums earned

222,258

 

 

203,473

 

 

640,225

 

 

569,754

 

Net investment income

18,639

 

 

21,104

 

 

59,138

 

 

61,565

 

Realized investment gains, net

267

 

 

1,153

 

 

2,133

 

 

2,396

 

Other income

1,874

 

 

657

 

 

6,459

 

 

5,090

 

Total revenues

243,038

 

 

226,387

 

 

707,955

 

 

638,805

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

Provision for losses and LAE

55,280

 

 

9,990

 

 

239,220

 

 

22,057

 

Other underwriting and operating expenses

37,100

 

 

41,588

 

 

117,866

 

 

124,138

 

Interest expense

2,227

 

 

2,584

 

 

6,925

 

 

7,933

 

Total losses and expenses

94,607

 

 

54,162

 

 

364,011

 

 

154,128

 

 

 

 

 

 

 

 

 

Income before income taxes

148,431

 

 

172,225

 

 

343,944

 

 

484,677

 

Income tax expense

23,895

 

 

27,595

 

 

54,505

 

 

75,922

 

Net income

$

124,536

 

 

$

144,630

 

 

$

289,439

 

 

$

408,755

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

1.11

 

 

$

1.48

 

 

$

2.78

 

 

$

4.18

 

Diluted

1.11

 

 

1.47

 

 

2.77

 

 

4.16

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

111,908

 

 

97,822

 

 

104,147

 

 

97,739

 

Diluted

112,134

 

 

98,257

 

 

104,383

 

 

98,178

 

 

 

 

 

 

 

 

 

Net income

$

124,536

 

 

$

144,630

 

 

$

289,439

 

 

$

408,755

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

Change in unrealized appreciation of investments

12,036

 

 

17,367

 

 

76,247

 

 

91,720

 

Total other comprehensive income

12,036

 

 

17,367

 

 

76,247

 

 

91,720

 

Comprehensive income

$

136,572

 

 

$

161,997

 

 

$

365,686

 

 

$

500,475

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio

24.9

%

 

4.9

%

 

37.4

%

 

3.9

%

Expense ratio

16.7

 

 

20.4

 

 

18.4

 

 

21.8

 

Combined ratio

41.6

%

 

25.3

%

 

55.8

%

 

25.7

%

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

September 30,

 

December 31,

(In thousands, except per share amounts)

2020

 

2019

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

3,549,397

 

 

$

3,035,385

 

Short-term investments available for sale, at fair value

952,952

 

 

315,362

 

Total investments available for sale

4,502,349

 

 

3,350,747

 

Other invested assets

83,063

 

 

78,873

 

Total investments

4,585,412

 

 

3,429,620

 

Cash

118,691

 

 

71,350

 

Accrued investment income

19,152

 

 

18,535

 

Accounts receivable

45,434

 

 

40,655

 

Deferred policy acquisition costs

16,704

 

 

15,705

 

Property and equipment

14,596

 

 

17,308

 

Prepaid federal income tax

279,136

 

 

261,885

 

Other assets

27,963

 

 

18,367

 

 

 

 

 

Total assets

$

5,107,088

 

 

$

3,873,425

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

307,737

 

 

$

69,362

 

Unearned premium reserve

258,532

 

 

278,887

 

Net deferred tax liability

281,506

 

 

249,620

 

Credit facility borrowings, net of deferred costs

424,658

 

 

224,237

 

Other accrued liabilities

88,111

 

 

66,474

 

Total liabilities

1,360,544

 

 

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

1,566,448

 

 

1,118,655

 

Accumulated other comprehensive income

132,434

 

 

56,187

 

Retained earnings

2,045,976

 

 

1,808,527

 

Total stockholders' equity

3,746,544

 

 

2,984,845

 

 

 

 

 

Total liabilities and stockholders' equity

$

5,107,088

 

 

$

3,873,425

 

 

 

 

 

Return on average equity (1)

11.5

%

 

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

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net premiums written

 

$

222,223

 

 

$

205,904

 

 

$

191,743

 

 

$

196,493

 

 

$

198,304

 

 

$

188,404

 

 

$

177,644

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net premiums earned (1)

 

222,258

 

 

211,471

 

 

206,496

 

 

207,671

 

 

203,473

 

 

188,490

 

 

177,791

 

Other revenues (2)

 

20,780

 

 

24,606

 

 

22,344

 

 

21,091

 

 

22,914

 

 

23,402

 

 

22,735

 

Total revenues

 

243,038

 

 

236,077

 

 

228,840

 

 

228,762

 

 

226,387

 

 

211,892

 

 

200,526

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Provision for losses and LAE

 

55,280

 

 

175,877

 

 

8,063

 

 

10,929

 

 

9,990

 

 

4,960

 

 

7,107

 

Other underwriting and operating expenses

 

37,100

 

 

38,819

 

 

41,947

 

 

41,231

 

 

41,588

 

 

41,520

 

 

41,030

 

Interest expense

 

2,227

 

 

2,566

 

 

2,132

 

 

2,218

 

 

2,584

 

 

2,679

 

 

2,670

 

Total losses and expenses

 

94,607

 

 

217,262

 

 

52,142

 

 

54,378

 

 

54,162

 

 

49,159

 

 

50,807

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

148,431

 

 

18,815

 

 

176,698

 

 

174,384

 

 

172,225

 

 

162,733

 

 

149,719

 

Income tax expense (3)

 

23,895

 

 

3,435

 

 

27,175

 

 

27,426

 

 

27,595

 

 

26,328

 

 

21,999

 

Net income

 

$

124,536

 

 

$

15,380

 

 

$

149,523

 

 

$

146,958

 

 

$

144,630

 

 

$

136,405

 

 

$

127,720

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.11

 

 

$

0.15

 

 

$

1.53

 

 

$

1.50

 

 

$

1.48

 

 

$

1.39

 

 

$

1.31

 

Diluted

 

1.11

 

 

0.15

 

 

1.52

 

 

1.49

 

 

1.47

 

 

1.39

 

 

1.30

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Basic

 

111,908

 

 

102,500

 

 

97,949

 

 

97,830

 

 

97,822

 

 

97,798

 

 

97,595

 

Diluted

 

112,134

 

 

102,605

 

 

98,326

 

 

98,376

 

 

98,257

 

 

98,170

 

 

98,104

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio (4)

 

24.9

%

 

83.2

%

 

3.9

%

 

5.3

%

 

4.9

%

 

2.6

%

 

4.0

%

Expense ratio (5)

 

16.7

 

 

18.4

 

 

20.3

 

 

19.9

 

 

20.4

 

 

22.0

 

 

23.1

 

Combined ratio

 

41.6

%

 

101.5

%

 

24.2

%

 

25.1

%

 

25.3

%

 

24.7

%

 

27.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Return on average equity (annualized)

 

13.5

%

 

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 September 30, 2020, 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 ($677), $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:

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

36,664,583

 

 

$

28,163,212

 

 

$

13,549,299

 

 

$

15,839,836

 

 

$

18,719,876

 

 

$

17,973,505

 

 

$

10,945,307

 

New risk written

 

8,938,544

 

 

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)

 

0.51

%

 

0.53

%

 

0.51

%

 

0.51

%

 

0.52

%

 

0.51

%

 

0.50

%

Average net premium rate (7)

 

0.46

%

 

0.48

%

 

0.48

%

 

0.49

%

 

0.49

%

 

0.49

%

 

0.48

%

New insurance written

 

$

36,664,583

 

 

$

28,163,212

 

 

$

13,549,450

 

 

$

15,839,836

 

 

$

18,726,009

 

 

$

18,003,029

 

 

$

11,000,309

 

New risk written

 

$

8,938,544

 

 

$

6,875,250

 

 

$

3,384,195

 

 

$

3,966,363

 

 

$

4,696,453

 

 

$

4,487,346

 

 

$

2,719,931

 

Insurance in force (end of period)

 

$

190,811,292

 

 

$

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)

 

$

47,838,668

 

 

$

43,993,989

 

 

$

41,865,977

 

 

$

41,402,950

 

 

$

40,540,289

 

 

$

38,531,090

 

 

$

35,925,830

 

Risk in force (end of period)

 

$

41,219,216

 

 

$

39,113,879

 

 

$

38,290,022

 

 

$

38,947,857

 

 

$

38,784,584

 

 

$

37,034,687

 

 

$

34,744,417

 

Policies in force

 

781,836

 

 

733,651

 

 

706,714

 

 

702,925

 

 

693,085

 

 

666,705

 

 

629,808

 

Weighted average coverage (9)

 

25.1

%

 

25.2

%

 

25.3

%

 

25.2

%

 

25.2

%

 

25.1

%

 

25.1

%

Annual persistency

 

64.2

%

 

67.9

%

 

73.9

%

 

77.5

%

 

82.1

%

 

84.8

%

 

85.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

35,464

 

 

38,068

 

 

5,841

 

 

5,947

 

 

5,232

 

 

4,405

 

 

4,096

 

Percentage of loans in default

 

4.54

%

 

5.19

%

 

0.83

%

 

0.85

%

 

0.75

%

 

0.66

%

 

0.65

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

GSE and other risk share (10)

 

$

1,216,353

 

 

$

1,031,699

 

 

$

1,100,966

 

 

$

895,374

 

 

$

849,184

 

 

$

802,530

 

 

$

771,175

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

Undrawn committed capacity

 

$

75,000

 

 

$

75,000

 

 

$

75,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

Weighted average interest rate (end of period)

 

1.90

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

Nine Months Ended

 

September 30, 2020

 

September 30, 2019

 

September 30, 2020

 

September 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

16,887,062

 

46.1

%

 

$

7,467,620

 

39.9

%

 

$

34,706,705

 

44.3

%

 

$

19,251,937

 

40.4

%

740-759

6,557,520

 

17.9

 

 

3,286,476

 

17.5

 

 

14,316,011

 

18.3

 

 

8,272,424

 

17.4

 

720-739

5,238,462

 

14.3

 

 

2,800,181

 

15.0

 

 

11,609,703

 

14.8

 

 

6,938,374

 

14.6

 

700-719

4,187,254

 

11.4

 

 

2,202,659

 

11.8

 

 

9,024,266

 

11.5

 

 

5,695,567

 

11.9

 

680-699

2,131,994

 

5.8

 

 

1,570,179

 

8.4

 

 

5,127,817

 

6.5

 

 

4,013,107

 

8.4

 

<=679

1,662,291

 

4.5

 

 

1,392,761

 

7.4

 

 

3,592,592

 

4.6

 

 

3,467,279

 

7.3

 

Total

$

36,664,583

 

100.0

%

 

$

18,719,876

 

100.0

%

 

$

78,377,094

 

100.0

%

 

$

47,638,688

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

751

 

 

 

744

 

 

 

749

 

 

 

744

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2020

 

September 30, 2019

 

September 30, 2020

 

September 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

6,815,158

 

18.6

%

 

$

2,126,071

 

11.4

%

 

$

13,807,437

 

17.6

%

 

$

5,789,334

 

12.2

%

85.01% to 90.00%

11,324,610

 

30.9

 

 

5,288,027

 

28.2

 

 

24,391,509

 

31.1

 

 

13,089,688

 

27.5

 

90.01% to 95.00%

14,781,544

 

40.3

 

 

7,896,661

 

42.2

 

 

31,382,298

 

40.1

 

 

20,081,707

 

42.1

 

95.01% and above

3,743,271

 

10.2

 

 

3,409,117

 

18.2

 

 

8,795,850

 

11.2

 

 

8,677,959

 

18.2

 

Total

$

36,664,583

 

100.0

%

 

$

18,719,876

 

100.0

%

 

$

78,377,094

 

100.0

%

 

$

47,638,688

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

91

%

 

 

92

%

 

 

91

%

 

 

92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2020

 

September 30, 2019

 

September 30, 2020

 

September 30, 2019

Single Premium policies

 

8.6

%

 

 

10.8

%

 

 

9.5

%

 

 

11.3

%

Monthly Premium policies

 

91.4

 

 

 

89.2

 

 

 

90.5

 

 

 

88.7

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Nine Months Ended

 

September 30, 2020

 

September 30, 2019

 

September 30, 2020

 

September 30, 2019

Purchase

 

61.1

%

 

 

79.6

%

 

 

60.0

%

 

 

83.3

%

Refinance

 

38.9

 

 

 

20.4

 

 

 

40.0

 

 

 

16.7

 

 

 

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

September 30, 2020

 

June 30, 2020

 

September 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

78,923,142

 

41.4

%

 

$

71,570,804

 

41.0

%

 

$

67,408,766

 

41.9

%

740-759

 

33,229,396

 

17.4

 

 

30,265,718

 

17.3

 

 

27,178,330

 

16.9

 

720-739

 

28,496,228

 

15.0

 

 

26,130,764

 

15.0

 

 

23,459,055

 

14.6

 

700-719

 

22,748,385

 

11.9

 

 

20,721,839

 

11.9

 

 

18,728,884

 

11.6

 

680-699

 

15,302,772

 

8.0

 

 

14,545,011

 

8.3

 

 

13,418,919

 

8.3

 

<=679

 

12,111,369

 

6.3

 

 

11,412,137

 

6.5

 

 

10,768,238

 

6.7

 

Total

$

190,811,292

 

100.0

%

 

$

174,646,273

 

100.0

%

 

$

160,962,192

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

745

 

 

 

745

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

September 30, 2020

 

June 30, 2020

 

September 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

19,606,502

 

41.0

%

 

$

17,871,881

 

40.6

%

 

$

16,877,750

 

41.6

%

740-759

 

8,395,009

 

17.5

 

 

7,672,436

 

17.4

 

 

6,857,369

 

16.9

 

720-739

 

7,251,499

 

15.2

 

 

6,673,863

 

15.2

 

 

5,980,949

 

14.8

 

700-719

 

5,738,412

 

12.0

 

 

5,246,989

 

11.9

 

 

4,743,360

 

11.7

 

680-699

 

3,853,734

 

8.0

 

 

3,693,448

 

8.4

 

 

3,406,811

 

8.4

 

<=679

 

2,993,512

 

6.3

 

 

2,835,372

 

6.5

 

 

2,674,050

 

6.6

 

Total

$

47,838,668

 

100.0

%

 

$

43,993,989

 

100.0

%

 

$

40,540,289

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

September 30, 2020

 

June 30, 2020

 

September 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

23,979,065

 

12.6

%

 

$

19,874,830

 

11.4

%

 

$

16,918,870

 

10.5

%

85.01% to 90.00%

 

55,453,633

 

29.1

 

 

50,446,645

 

28.9

 

 

46,021,398

 

28.6

 

90.01% to 95.00%

 

84,573,433

 

44.3

 

 

79,112,541

 

45.3

 

 

75,528,177

 

46.9

 

95.01% and above

 

26,805,161

 

14.0

 

 

25,212,257

 

14.4

 

 

22,493,747

 

14.0

 

Total

$

190,811,292

 

100.0

%

 

$

174,646,273

 

100.0

%

 

$

160,962,192

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

92

%

 

 

92

%

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

September 30, 2020

 

June 30, 2020

 

September 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

2,759,320

 

5.8

%

 

$

2,292,935

 

5.2

%

 

$

1,953,058

 

4.8

%

85.01% to 90.00%

 

13,307,205

 

27.8

 

 

12,120,308

 

27.6

 

 

11,065,886

 

27.3

 

90.01% to 95.00%

 

24,391,376

 

51.0

 

 

22,760,884

 

51.7

 

 

21,633,852

 

53.4

 

95.01% and above

 

7,380,767

 

15.4

 

 

6,819,862

 

15.5

 

 

5,887,493

 

14.5

 

Total

$

47,838,668

 

100.0

%

 

$

43,993,989

 

100.0

%

 

$

40,540,289

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

September 30, 2020

 

June 30, 2020

 

September 30, 2019

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

180,135,430

 

94.4

%

 

$

165,143,246

 

94.5

%

 

$

151,594,009

 

94.2

%

FRM 20-25 years

 

3,945,019

 

2.1

 

 

3,277,847

 

1.9

 

 

2,872,964

 

1.8

 

FRM 15 years

 

4,417,092

 

2.3

 

 

3,660,888

 

2.1

 

 

3,367,326

 

2.1

 

ARM 5 years and higher

 

2,313,751

 

1.2

 

 

2,564,292

 

1.5

 

 

3,127,893

 

1.9

 

Total

$

190,811,292

 

100.0

%

 

$

174,646,273

 

100.0

%

 

$

160,962,192

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2020

 

2019

($ in thousands)

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Premiums earned

 

$

11,132

 

 

$

10,655

 

 

$

10,778

 

 

$

9,867

 

 

$

9,284

 

 

$

8,622

 

 

$

7,894

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

1,216,353

 

 

$

1,031,699

 

 

$

1,100,966

 

 

$

895,374

 

 

$

849,184

 

 

$

802,530

 

 

$

771,175

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

747

 

 

746

 

 

746

 

 

745

 

 

746

 

 

748

 

 

747

 

Weighted average LTV

 

84

%

 

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

September 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

 

$

7,269,635

 

12.0

%

41,790

 

83.4

%

69.3

%

4.0

%

13.0

%

44.8

%

3.3

%

2,213

 

5.30

%

2015

26,193,656

 

6,744,380

 

25.7

 

35,079

 

85.8

 

62.4

 

3.0

 

15.7

 

42.5

 

4.5

 

1,940

 

5.53

 

2016

34,949,319

 

13,401,895

 

38.3

 

64,585

 

86.0

 

61.3

 

7.6

 

14.0

 

45.1

 

6.2

 

3,750

 

5.81

 

2017

43,858,322

 

19,575,798

 

44.6

 

95,783

 

88.9

 

62.3

 

15.9

 

17.4

 

40.3

 

9.4

 

6,591

 

6.88

 

2018

47,508,525

 

22,549,067

 

47.5

 

105,062

 

92.8

 

64.6

 

20.7

 

17.7

 

37.1

 

15.4

 

8,054

 

7.67

 

2019

63,569,183

 

45,236,714

 

71.2

 

177,594

 

81.9

 

62.0

 

19.6

 

16.9

 

37.7

 

28.7

 

10,531

 

5.93

 

2020 (through September 30)

78,377,245

 

76,033,803

 

97.0

 

261,943

 

59.9

 

51.4

 

11.4

 

11.2

 

44.0

 

23.9

 

2,385

 

0.91

 

Total

$

355,125,101

 

$

190,811,292

 

53.7

 

781,836

 

75.6

 

58.4

 

14.0

 

14.4

 

41.4

 

8.9

 

35,464

 

4.54

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

September 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

$

19,182,623

 

$

5,179,608

 

 

$

333,844

 

$

 

$

333,844

 

 

$

216,480

 

$

 

$

216,480

 

 

$

 

 

$

208,111

 

$

207,813

 

 

$

1,245

 

$

4,532

 

 

$

133,695

 

2017

19,040,243

 

4,851,958

 

 

424,412

 

165,167

 

589,579

 

 

242,123

 

165,167

 

407,290

 

 

 

 

224,689

 

219,220

 

 

2,708

 

8,862

 

 

152,007

 

2018

22,096,001

 

5,601,015

 

 

473,184

 

118,650

 

591,834

 

 

325,537

 

76,144

 

401,681

 

 

 

 

253,643

 

251,614

 

 

3,357

 

10,935

 

 

232,059

 

2019 (3)

26,346,557

 

6,698,195

 

 

495,889

 

55,102

 

550,991

 

 

495,889

 

55,102

 

550,991

 

 

 

 

215,605

 

215,509

 

 

3,057

 

8,499

 

 

376,386

 

Total

$

86,665,424

 

$

22,330,776

 

 

$

1,727,329

 

$

338,919

 

$

2,066,248

 

 

$

1,280,029

 

$

296,413

 

$

1,576,442

 

 

$

 

 

$

902,048

 

$

894,156

 

 

$

10,367

 

$

32,828

 

 

$

894,147

 

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)

$

94,074,498

 

$

23,215,840

 

 

$

20,635,915

 

 

$

5,043,010

 

 

$

4,154

 

$

11,850

 

 

$

3,316

 

$

6,426

 

 

$

10,800

 

$

24,716

 

 

$

336,170

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

September 30, 2020

 

June 30, 2020

 

September 30, 2019

CA

11.2

%

 

10.6

%

 

9.8

%

TX

9.6

 

 

9.4

 

 

8.3

 

FL

8.5

 

 

8.2

 

 

7.7

 

CO

4.1

 

 

3.9

 

 

3.6

 

WA

3.9

 

 

4.0

 

 

4.5

 

AZ

3.5

 

 

3.5

 

 

3.2

 

IL

3.5

 

 

3.5

 

 

3.7

 

NJ

3.4

 

 

3.5

 

 

3.6

 

VA

3.2

 

 

3.2

 

 

3.2

 

GA

3.1

 

 

3.1

 

 

3.3

 

All Others

46.0

 

 

47.1

 

 

49.1

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

September 30, 2020

 

June 30, 2020

 

September 30, 2019

CA

11.0

%

 

10.3

%

 

9.6

%

TX

9.9

 

 

9.7

 

 

8.6

 

FL

8.7

 

 

8.4

 

 

7.9

 

CO

4.0

 

 

3.8

 

 

3.5

 

WA

3.9

 

 

4.0

 

 

4.5

 

AZ

3.4

 

 

3.4

 

 

3.2

 

IL

3.4

 

 

3.4

 

 

3.6

 

NJ

3.3

 

 

3.4

 

 

3.6

 

VA

3.1

 

 

3.2

 

 

3.2

 

GA

3.1

 

 

3.2

 

 

3.3

 

All Others

46.2

 

 

47.2

 

 

49.0

 

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

 

Nine Months Ended

 

 

September 30,

 

September 30,

 

September 30,

 

September 30,

 

 

2020

 

2019

 

2020

 

2019

Beginning default inventory

 

38,068

 

 

4,405

 

 

5,947

 

 

4,024

 

Plus: new defaults

 

12,614

 

 

3,711

 

 

53,904

 

 

9,478

 

Less: cures

 

(15,135)

 

 

(2,776)

 

 

(24,032)

 

 

(7,958)

 

Less: claims paid

 

(67)

 

 

(103)

 

 

(329)

 

 

(297)

 

Less: rescissions and denials, net

 

(16)

 

 

(5)

 

 

(26)

 

 

(15)

 

Ending default inventory

 

35,464

 

 

5,232

 

 

35,464

 

 

5,232

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

Nine Months Ended

 

 

September 30,

 

September 30,

 

September 30,

 

September 30,

($ in thousands)

 

2020

 

2019

 

2020

 

2019

Reserve for losses and LAE at beginning of period

 

$

250,890

 

 

$

55,138

 

 

$

69,362

 

 

$

49,464

 

Less: Reinsurance recoverables

 

7,761

 

 

 

 

71

 

 

 

Net reserve for losses and LAE at beginning of period

 

243,129

 

 

55,138

 

 

69,291

 

 

49,464

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

Current period

 

56,372

 

 

14,722

 

 

253,567

 

 

37,904

 

Prior years

 

(1,092)

 

 

(4,732)

 

 

(14,347)

 

 

(15,847)

 

Incurred losses and LAE during the period

 

55,280

 

 

9,990

 

 

239,220

 

 

22,057

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

Current period

 

205

 

 

412

 

 

494

 

 

657

 

Prior years

 

2,365

 

 

3,280

 

 

12,178

 

 

9,428

 

Loss and LAE payments during the period

 

2,570

 

 

3,692

 

 

12,672

 

 

10,085

 

Net reserve for losses and LAE at end of period

 

295,839

 

 

61,436

 

 

295,839

 

 

61,436

 

Plus: Reinsurance recoverables

 

11,898

 

 

 

 

11,898

 

 

 

Reserve for losses and LAE at end of period

 

$

307,737

 

 

$

61,436

 

 

$

307,737

 

 

$

61,436

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Claims

 

 

Three Months Ended

 

Nine Months Ended

 

 

September 30,

 

September 30,

 

September 30,

 

September 30,

 

 

2020

 

2019

 

2020

 

2019

Number of claims paid

 

67

 

 

103

 

 

329

 

 

297

 

Total amount paid for claims (in thousands)

 

$

2,557

 

 

$

3,584

 

 

$

12,432

 

 

$

9,691

 

Average amount paid per claim (in thousands)

 

$

38

 

 

$

35

 

 

$

38

 

 

$

33

 

Severity

 

77

%

 

71

%

 

78

%

 

73

%

 

 

 

 

 

 

Exhibit J, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Defaults, Reserve for Losses and LAE, and Claims

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

September 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

 

9,237

 

26

%

$

58,296

 

21

%

$

554,524

 

11

%

Four to eleven payments

 

25,290

 

71

 

194,892

 

69

 

1,697,419

 

11

 

Twelve or more payments

 

891

 

3

 

24,842

 

9

 

48,612

 

51

 

Pending claims

 

46

 

 

2,417

 

1

 

2,840

 

85

 

Total case reserves (1)

 

35,464

 

100

%

280,447

 

100

%

$

2,303,395

 

12

 

IBNR

 

 

 

21,034

 

 

 

 

LAE

 

 

 

5,538

 

 

 

 

Total reserves for losses and LAE (1)

 

 

 

$

307,019

 

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

7.9

 

 

 

 

Total

 

 

 

$

8.7

 

 

 

 

 

 

 

 

 

 

 

 

Default Rate

4.54%

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $718.

 

 

 

 

 

 

 

 

 

 

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.

 

 

 

 

 

 

 

 

 

 

September 30, 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

 

3,071

 

59

%

$

15,212

 

27

%

$

162,459

 

9

%

Four to eleven payments

 

1,665

 

32

 

24,588

 

44

 

89,965

 

27

 

Twelve or more payments

 

416

 

8

 

12,600

 

22

 

24,503

 

51

 

Pending claims

 

80

 

1

 

3,723

 

7

 

4,227

 

88

 

Total case reserves (3)

 

5,232

 

100

%

56,123

 

100

%

$

281,154

 

20

 

IBNR

 

 

 

4,209

 

 

 

 

LAE

 

 

 

1,014

 

 

 

 

Total reserves for losses and LAE (3)

 

 

 

$

61,346

 

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

10.7

 

 

 

 

Total

 

 

 

$

11.7

 

 

 

 

 

 

 

 

 

 

 

 

Default Rate

0.75%

 

 

 

 

 

 

 

 

 

 

 

 

 

(3) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $90.

 

 

 

 

 

 

 

Exhibit K

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

September 30, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

$

229,417

 

 

5.1

%

 

$

242,206

 

 

7.2

%

U.S. agency securities

14,640

 

 

0.3

 

 

33,605

 

 

1.0

 

U.S. agency mortgage-backed securities

956,581

 

 

21.2

 

 

848,334

 

 

25.3

 

Municipal debt securities

493,673

 

 

11.0

 

 

361,638

 

 

10.8

 

Non-U.S. government securities

60,752

 

 

1.4

 

 

54,995

 

 

1.7

 

Corporate debt securities

985,384

 

 

21.9

 

 

880,301

 

 

26.3

 

Residential and commercial mortgage securities

366,227

 

 

8.1

 

 

288,281

 

 

8.6

 

Asset-backed securities

442,723

 

 

9.8

 

 

326,025

 

 

9.7

 

Money market funds

952,952

 

 

21.2

 

 

315,362

 

 

9.4

 

Total investments available for sale

$

4,502,349

 

 

100.0

%

 

$

3,350,747

 

 

100.0

%

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

September 30, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

$

2,665,634

 

 

59.2

%

 

$

1,817,905

 

 

54.2

%

Aa1

175,114

 

 

3.9

 

 

109,122

 

 

3.3

 

Aa2

223,475

 

 

5.0

 

 

145,282

 

 

4.3

 

Aa3

213,770

 

 

4.7

 

 

159,599

 

 

4.8

 

A1

229,925

 

 

5.1

 

 

206,643

 

 

6.2

 

A2

278,661

 

 

6.2

 

 

183,780

 

 

5.5

 

A3

213,041

 

 

4.7

 

 

191,933

 

 

5.7

 

Baa1

251,954

 

 

5.6

 

 

232,490

 

 

6.9

 

Baa2

177,633

 

 

3.9

 

 

179,664

 

 

5.4

 

Baa3

43,850

 

 

1.0

 

 

65,119

 

 

1.9

 

Below Baa3

29,292

 

 

0.7

 

 

59,210

 

 

1.8

 

Total investments available for sale

$

4,502,349

 

 

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

September 30, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

$

2,009,570

 

 

44.6

%

 

$

1,038,782

 

 

31.0

%

1 to < 2 Years

431,317

 

 

9.6

 

 

306,148

 

 

9.1

 

2 to < 3 Years

377,331

 

 

8.4

 

 

348,708

 

 

10.4

 

3 to < 4 Years

334,656

 

 

7.4

 

 

361,147

 

 

10.8

 

4 to < 5 Years

381,525

 

 

8.5

 

 

443,382

 

 

13.2

 

5 or more Years

967,950

 

 

21.5

 

 

852,580

 

 

25.5

 

Total investments available for sale

$

4,502,349

 

 

100.0

%

 

$

3,350,747

 

 

100.0

%

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

Three months ended September 30, 2020

1.83

%

 

 

 

 

 

 

Nine months ended September 30, 2020

2.15

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

As of September 30, 2020

$

684,959

 

 

 

 

 

 

 

As of December 31, 2019

$

98,376

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit L

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

Combined statutory capital (1)

 

$

2,581,136

 

$

2,335,828

 

 

 

 

 

 

Combined net risk in force (2)

 

$

29,821,246

 

$

29,460,191

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

Essent Guaranty, Inc.

 

12.0:1

 

13.1:1

 

Essent Guaranty of PA, Inc.

 

2.0:1

 

2.9:1

 

Combined (4)

 

11.6:1

 

12.6:1

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

 

Available Assets

 

$

2,720,432

 

$

2,337,086

 

Minimum Required Assets

 

1,739,479

 

1,499,369

 

PMIERs excess Available Assets

 

$

980,953

 

$

837,717

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

Stockholder's equity (GAAP basis)

 

$

1,061,546

 

$

939,360

 

 

 

 

 

 

Net risk in force (2)

 

$

12,312,124

 

$

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) Data is based on our interpretation of the PMIERs 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 September 30, 2020, December 31, 2019 and September 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 September 30, 2020, December 31, 2019 and September 30, 2019 in accordance with Regulation G:

 

 

 

 

 

 

 

(In thousands, except per share amounts)

 

September 30, 2020

 

December 31, 2019

 

September 30, 2019

 

 

 

 

 

 

 

Numerator:

 

 

 

 

 

 

Total Stockholders' Equity (Book Value)

 

$

3,746,544

 

 

$

2,984,845

 

 

$

2,855,170

 

 

 

 

 

 

 

 

Subtract: Accumulated Other Comprehensive Income

 

132,434

 

 

56,187

 

 

62,727

 

 

 

 

 

 

 

 

Adjusted Book Value

 

$

3,614,110

 

 

$

2,928,658

 

 

$

2,792,443

 

 

 

 

 

 

 

 

Denominator:

 

 

 

 

 

 

Total Common Shares Outstanding

 

112,423

 

 

98,394

 

 

98,385

 

 

 

 

 

 

 

 

Add: Restricted Share Units and Dividend Equivalent Units Outstanding

 

511

 

 

356

 

 

366

 

 

 

 

 

 

 

 

Total Common Shares and Share Units Outstanding

 

112,934

 

 

98,750

 

 

98,751

 

 

 

 

 

 

 

 

Adjusted Book Value per Share

 

$

32.00

 

 

$

29.66

 

 

$

28.28

 

 

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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