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Essent Group Ltd. Announces Fourth Quarter & Full Year 2020 Results; Declares Quarterly Dividend

Feb 19, 2021

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2020 of $123.6 million or $1.10 per diluted share, compared to $147.0 million or $1.49 per diluted share for the quarter ended December 31, 2019. For the full year 2020, net income was $413.0 million, or $3.88 per diluted share, compared to $555.7 million, or $5.66 per diluted share for 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 March 19, 2021, to shareholders of record on March 10, 2021.

“2020 was a challenging year for our country and economy, however, we were pleased with the confidence that our buy, manage and distribute operating model provides our stakeholders in navigating the COVID-19 environment,” said Mark A. Casale, Chairman and Chief Executive Officer. “During 2020, we were also pleased with housing’s resilience, which remains the bright spot in the economy entering 2021 as supply-demand imbalances and favorable first-time home buying trends persist which are positive for our franchise.”

Fourth Quarter & Full Year 2020 Financial Highlights:

  • Insurance in force as of December 31, 2020 was $198.9 billion, compared to $190.8 billion as of September 30, 2020 and $164.0 billion as of December 31, 2019.
  • New insurance written for the fourth quarter was $29.6 billion, compared to $36.7 billion in the third quarter of 2020 and $15.8 billion in the fourth quarter of 2019.
  • Net premiums earned for the fourth quarter were $222.3 million, compared to $222.3 million in the third quarter of 2020 and $207.7 million in the fourth quarter of 2019.
  • The expense ratio for the fourth quarter was 16.6%, compared to 16.7% in the third quarter of 2020 and 19.9% in the fourth quarter of 2019.
  • The provision for losses and LAE for the fourth quarter was $62.1 million, compared to a provision of $55.3 million in the third quarter of 2020 and a provision of $10.9 million in the fourth quarter of 2019.
  • The percentage of loans in default as of December 31, 2020 was 3.93%, compared to 4.54% as of September 30, 2020 and 0.85% as of December 31, 2019.
    • As of January 31, 2021, the percentage of loans in default was 3.89%.
  • The combined ratio for the fourth quarter was 44.5%, compared to 41.6% in the third quarter of 2020 and 25.1% in the fourth quarter of 2019.
  • The consolidated balance of cash and investments at December 31, 2020 was $4.8 billion, including cash and investment balances at Essent Group Ltd. of $562.7 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 11.1:1 as of December 31, 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.
  • 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 4848097 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 4848097.

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 and Year Ended December 31, 2020

 

 

 

 

 

 

Exhibit A

 

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

Exhibit B

 

Condensed Consolidated Balance Sheets (Unaudited)

Exhibit C

 

Historical Quarterly Data

Exhibit D

 

New Insurance Written

Exhibit E

 

Insurance in Force and Risk in Force

Exhibit F

 

Other Risk in Force

Exhibit G

 

Portfolio Vintage Data

Exhibit H

 

Reinsurance Vintage Data

Exhibit I

 

Portfolio Geographic Data

Exhibit J

 

Defaults, Reserve for Losses and LAE, and Claims

Exhibit K

 

Investments Available for Sale

Exhibit L

 

Insurance Company Capital

Exhibit M

 

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

Exhibit A

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended December 31,

 

Year Ended December 31,

(In thousands, except per share amounts)

2020

 

2019

 

2020

 

2019

Revenues:

 

 

 

 

 

 

 

Direct premiums written

$

245,437

 

 

$

207,263

 

 

$

922,851

 

 

$

796,344

 

Ceded premiums

(31,194

)

 

(10,770

)

 

(88,738

)

 

(35,499

)

Net premiums written

214,243

 

 

196,493

 

 

834,113

 

 

760,845

 

Decrease in unearned premiums

8,096

 

 

11,178

 

 

28,451

 

 

16,580

 

Net premiums earned

222,339

 

 

207,671

 

 

862,564

 

 

777,425

 

Net investment income

20,949

 

 

21,977

 

 

80,087

 

 

83,542

 

Realized investment gains, net

564

 

 

833

 

 

2,697

 

 

3,229

 

Other income (loss)

3,347

 

 

(1,719

)

 

9,806

 

 

3,371

 

Total revenues

247,199

 

 

228,762

 

 

955,154

 

 

867,567

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

Provision for losses and LAE

62,073

 

 

10,929

 

 

301,293

 

 

32,986

 

Other underwriting and operating expenses

36,825

 

 

41,231

 

 

154,691

 

 

165,369

 

Interest expense

2,149

 

 

2,218

 

 

9,074

 

 

10,151

 

Total losses and expenses

101,047

 

 

54,378

 

 

465,058

 

 

208,506

 

 

 

 

 

 

 

 

 

Income before income taxes

146,152

 

 

174,384

 

 

490,096

 

 

659,061

 

Income tax expense

22,550

 

 

27,426

 

 

77,055

 

 

103,348

 

Net income

$

123,602

 

 

$

146,958

 

 

$

413,041

 

 

$

555,713

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

1.10

 

 

$

1.50

 

 

$

3.89

 

 

$

5.68

 

Diluted

1.10

 

 

1.49

 

 

3.88

 

 

5.66

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

111,908

 

 

97,830

 

 

106,098

 

 

97,762

 

Diluted

112,310

 

 

98,376

 

 

106,376

 

 

98,227

 

 

 

 

 

 

 

 

 

Net income

$

123,602

 

 

$

146,958

 

 

$

413,041

 

 

$

555,713

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

Change in unrealized appreciation (depreciation) of investments

5,840

 

 

(6,540

)

 

82,087

 

 

85,180

 

Total other comprehensive income (loss)

5,840

 

 

(6,540

)

 

82,087

 

 

85,180

 

Comprehensive income

$

129,442

 

 

$

140,418

 

 

$

495,128

 

 

$

640,893

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio

27.9

%

 

5.3

%

 

34.9

%

 

4.2

%

Expense ratio

16.6

 

 

19.9

 

 

17.9

 

 

21.3

 

Combined ratio

44.5

%

 

25.1

%

 

52.9

%

 

25.5

%

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

December 31,

 

December 31,

(In thousands, except per share amounts)

2020

 

2019

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

3,838,513

 

 

$

3,035,385

 

Short-term investments available for sale, at fair value

726,860

 

 

315,362

 

Total investments available for sale

4,565,373

 

 

3,350,747

 

Other invested assets

88,904

 

 

78,873

 

Total investments

4,654,277

 

 

3,429,620

 

Cash

102,830

 

 

71,350

 

Accrued investment income

19,948

 

 

18,535

 

Accounts receivable

50,140

 

 

40,655

 

Deferred policy acquisition costs

17,005

 

 

15,705

 

Property and equipment

15,095

 

 

17,308

 

Prepaid federal income tax

302,636

 

 

261,885

 

Other assets

40,793

 

 

18,367

 

 

 

 

 

Total assets

$

5,202,724

 

 

$

3,873,425

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

374,941

 

 

$

69,362

 

Unearned premium reserve

250,436

 

 

278,887

 

Net deferred tax liability

305,109

 

 

249,620

 

Credit facility borrowings, net of deferred costs

321,720

 

 

224,237

 

Other accrued liabilities

87,885

 

 

66,474

 

Total liabilities

1,340,091

 

 

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

1,571,163

 

 

1,118,655

 

Accumulated other comprehensive income

138,274

 

 

56,187

 

Retained earnings

2,151,510

 

 

1,808,527

 

Total stockholders' equity

3,862,633

 

 

2,984,845

 

 

 

 

 

Total liabilities and stockholders' equity

$

5,202,724

 

 

$

3,873,425

 

 

 

 

 

Return on average equity

12.1

%

 

20.8

%

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2020

 

2019

Selected Income Statement Data

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net premiums written

 

$

214,243

 

 

$

222,223

 

 

$

205,904

 

 

$

191,743

 

 

$

196,493

 

 

$

198,304

 

 

$

188,404

 

 

$

177,644

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net premiums earned (1)

 

222,339

 

 

222,258

 

 

211,471

 

 

206,496

 

 

207,671

 

 

203,473

 

 

188,490

 

 

177,791

 

Other revenues (2)

 

24,860

 

 

20,780

 

 

24,606

 

 

22,344

 

 

21,091

 

 

22,914

 

 

23,402

 

 

22,735

 

Total revenues

 

247,199

 

 

243,038

 

 

236,077

 

 

228,840

 

 

228,762

 

 

226,387

 

 

211,892

 

 

200,526

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Provision for losses and LAE

 

62,073

 

 

55,280

 

 

175,877

 

 

8,063

 

 

10,929

 

 

9,990

 

 

4,960

 

 

7,107

 

Other underwriting and operating expenses

 

36,825

 

 

37,100

 

 

38,819

 

 

41,947

 

 

41,231

 

 

41,588

 

 

41,520

 

 

41,030

 

Interest expense

 

2,149

 

 

2,227

 

 

2,566

 

 

2,132

 

 

2,218

 

 

2,584

 

 

2,679

 

 

2,670

 

Total losses and expenses

 

101,047

 

 

94,607

 

 

217,262

 

 

52,142

 

 

54,378

 

 

54,162

 

 

49,159

 

 

50,807

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

146,152

 

 

148,431

 

 

18,815

 

 

176,698

 

 

174,384

 

 

172,225

 

 

162,733

 

 

149,719

 

Income tax expense (3)

 

22,550

 

 

23,895

 

 

3,435

 

 

27,175

 

 

27,426

 

 

27,595

 

 

26,328

 

 

21,999

 

Net income

 

$

123,602

 

 

$

124,536

 

 

$

15,380

 

 

$

149,523

 

 

$

146,958

 

 

$

144,630

 

 

$

136,405

 

 

$

127,720

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.10

 

 

$

1.11

 

 

$

0.15

 

 

$

1.53

 

 

$

1.50

 

 

$

1.48

 

 

$

1.39

 

 

$

1.31

 

Diluted

 

1.10

 

 

1.11

 

 

0.15

 

 

1.52

 

 

1.49

 

 

1.47

 

 

1.39

 

 

1.30

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Basic

 

111,908

 

 

111,908

 

 

102,500

 

 

97,949

 

 

97,830

 

 

97,822

 

 

97,798

 

 

97,595

 

Diluted

 

112,310

 

 

112,134

 

 

102,605

 

 

98,326

 

 

98,376

 

 

98,257

 

 

98,170

 

 

98,104

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Data:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio (4)

 

27.9

%

 

24.9

%

 

83.2

%

 

3.9

%

 

5.3

%

 

4.9

%

 

2.6

%

 

4.0

%

Expense ratio (5)

 

16.6

 

 

16.7

 

 

18.4

 

 

20.3

 

 

19.9

 

 

20.4

 

 

22.0

 

 

23.1

 

Combined ratio

 

44.5

%

 

41.6

%

 

101.5

%

 

24.2

%

 

25.1

%

 

25.3

%

 

24.7

%

 

27.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Return on average equity (annualized)

 

13.0

%

 

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. For each of the three month periods noted, Other revenues include net favorable (unfavorable) changes in the fair value of these embedded derivatives as follows: December 31, 2020: ($209); September 30, 2020: ($677); June 30, 2020: $2,502; March 31, 2020: ($4,200); December 31, 2019: ($3,585); September 30, 2019: ($760); June 30, 2019: $1,160 and March 31, 2019: $1,424.

(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:

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Flow:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

New insurance written

 

$

29,566,820

 

 

$

36,664,583

 

 

$

28,163,212

 

 

$

13,549,299

 

 

$

15,839,836

 

 

$

18,719,876

 

 

$

17,973,505

 

 

$

10,945,307

 

New risk written

 

7,051,173

 

 

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)

 

0.49

%

 

0.51

%

 

0.53

%

 

0.51

%

 

0.51

%

 

0.52

%

 

0.51

%

 

0.50

%

Average net premium rate (7)

 

0.43

%

 

0.46

%

 

0.48

%

 

0.48

%

 

0.49

%

 

0.49

%

 

0.49

%

 

0.48

%

New insurance written

 

$

29,566,820

 

 

$

36,664,583

 

 

$

28,163,212

 

 

$

13,549,450

 

 

$

15,839,836

 

 

$

18,726,009

 

 

$

18,003,029

 

 

$

11,000,309

 

New risk written

 

$

7,051,173

 

 

$

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)

 

$

198,882,352

 

 

$

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)

 

$

49,565,150

 

 

$

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)

 

$

41,339,262

 

 

$

41,219,216

 

 

$

39,113,879

 

 

$

38,290,022

 

 

$

38,947,857

 

 

$

38,784,584

 

 

$

37,034,687

 

 

$

34,744,417

 

Policies in force

 

799,893

 

 

781,836

 

 

733,651

 

 

706,714

 

 

702,925

 

 

693,085

 

 

666,705

 

 

629,808

 

Weighted average coverage (9)

 

24.9

%

 

25.1

%

 

25.2

%

 

25.3

%

 

25.2

%

 

25.2

%

 

25.1

%

 

25.1

%

Annual persistency

 

60.1

%

 

64.2

%

 

67.9

%

 

73.9

%

 

77.5

%

 

82.1

%

 

84.8

%

 

85.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

31,469

 

 

35,464

 

 

38,068

 

 

5,841

 

 

5,947

 

 

5,232

 

 

4,405

 

 

4,096

 

Percentage of loans in default

 

3.93

%

 

4.54

%

 

5.19

%

 

0.83

%

 

0.85

%

 

0.75

%

 

0.66

%

 

0.65

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

GSE and other risk share (10)

 

$

1,416,719

 

 

$

1,216,353

 

 

$

1,031,699

 

 

$

1,100,966

 

 

$

895,374

 

 

$

849,184

 

 

$

802,530

 

 

$

771,175

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

325,000

 

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

 

$

225,000

 

Undrawn committed capacity

 

$

300,000

 

 

$

75,000

 

 

$

75,000

 

 

$

75,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

 

$

275,000

 

Weighted average interest rate (end of period)

 

2.19

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 

Year Ended

 

December 31, 2020

 

December 31, 2019

 

December 31, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

13,330,379

 

45.1

%

 

$

6,486,486

 

40.9

%

 

$

48,037,084

 

44.5

%

 

$

25,738,423

 

40.5

%

740-759

5,069,530

 

17.1

 

 

2,880,429

 

18.2

 

 

19,385,541

 

17.9

 

 

11,152,853

 

17.6

 

720-739

4,134,782

 

14.0

 

 

2,401,806

 

15.2

 

 

15,744,485

 

14.6

 

 

9,340,180

 

14.7

 

700-719

3,385,670

 

11.5

 

 

1,860,120

 

11.7

 

 

12,409,936

 

11.5

 

 

7,555,687

 

11.9

 

680-699

1,743,694

 

5.9

 

 

1,235,223

 

7.8

 

 

6,871,511

 

6.4

 

 

5,248,330

 

8.3

 

<=679

1,902,765

 

6.4

 

 

975,772

 

6.2

 

 

5,495,357

 

5.1

 

 

4,443,051

 

7.0

 

Total

$

29,566,820

 

100.0

%

 

$

15,839,836

 

100.0

%

 

$

107,943,914

 

100.0

%

 

$

63,478,524

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

748

 

 

 

745

 

 

 

749

 

 

 

744

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Year Ended

 

December 31, 2020

 

December 31, 2019

 

December 31, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

6,317,550

 

21.4

%

 

$

2,084,932

 

13.2

%

 

$

20,124,987

 

18.6

%

 

$

7,874,266

 

12.4

%

85.01% to 90.00%

9,629,373

 

32.6

 

 

4,757,915

 

30.0

 

 

34,020,882

 

31.5

 

 

17,847,603

 

28.1

 

90.01% to 95.00%

11,134,923

 

37.6

 

 

6,771,196

 

42.7

 

 

42,517,221

 

39.4

 

 

26,852,903

 

42.3

 

95.01% and above

2,484,974

 

8.4

 

 

2,225,793

 

14.1

 

 

11,280,824

 

10.5

 

 

10,903,752

 

17.2

 

Total

$

29,566,820

 

100.0

%

 

$

15,839,836

 

100.0

%

 

$

107,943,914

 

100.0

%

 

$

63,478,524

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

91

%

 

 

92

%

 

 

91

%

 

 

92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Year Ended

 

December 31, 2020

 

December 31, 2019

 

December 31, 2020

 

December 31, 2019

Single Premium policies

 

7.7

%

 

 

10.4

%

 

 

9.0

%

 

 

11.1

%

Monthly Premium policies

 

92.3

 

 

 

89.6

 

 

 

91.0

 

 

 

88.9

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Year Ended

 

December 31, 2020

 

December 31, 2019

 

December 31, 2020

 

December 31, 2019

Purchase

 

61.6

%

 

 

71.8

%

 

 

60.4

%

 

 

80.4

%

Refinance

 

38.4

 

 

 

28.2

 

 

 

39.6

 

 

 

19.6

 

 

 

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

 

December 31, 2020

 

September 30, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

>=760

 

$

82,452,139

 

41.5

%

 

$

78,923,142

 

41.4

%

 

$

68,123,523

 

41.5

%

740-759

 

34,538,761

 

17.3

 

 

33,229,396

 

17.4

 

 

27,886,603

 

17.0

 

720-739

 

29,599,646

 

14.9

 

 

28,496,228

 

15.0

 

 

24,069,139

 

14.7

 

700-719

 

23,807,982

 

12.0

 

 

22,748,385

 

11.9

 

 

19,183,219

 

11.7

 

680-699

 

15,538,235

 

7.8

 

 

15,302,772

 

8.0

 

 

13,713,164

 

8.4

 

<=679

 

12,945,589

 

6.5

 

 

12,111,369

 

6.3

 

 

11,030,205

 

6.7

 

Total

 

$

198,882,352

 

100.0

%

 

$

190,811,292

 

100.0

%

 

$

164,005,853

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

745

 

 

 

745

 

 

 

745

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

 

December 31, 2020

 

September 30, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

>=760

 

$

20,336,799

 

41.0

%

 

$

19,606,502

 

41.0

%

 

$

17,082,683

 

41.3

%

740-759

 

8,682,265

 

17.5

 

 

8,395,009

 

17.5

 

 

7,056,654

 

17.0

 

720-739

 

7,504,065

 

15.1

 

 

7,251,499

 

15.2

 

 

6,150,334

 

14.9

 

700-719

 

5,970,851

 

12.1

 

 

5,738,412

 

12.0

 

 

4,873,597

 

11.8

 

680-699

 

3,887,059

 

7.9

 

 

3,853,734

 

8.0

 

 

3,491,755

 

8.4

 

<=679

 

3,184,111

 

6.4

 

 

2,993,512

 

6.3

 

 

2,747,927

 

6.6

 

Total

 

$

49,565,150

 

100.0

%

 

$

47,838,668

 

100.0

%

 

$

41,402,950

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

 

December 31, 2020

 

September 30, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

85.00% and below

 

$

27,308,296

 

13.7

%

 

$

23,979,065

 

12.6

%

 

$

17,128,008

 

10.5

%

85.01% to 90.00%

 

58,606,394

 

29.5

 

 

55,453,633

 

29.1

 

 

46,771,386

 

28.5

 

90.01% to 95.00%

 

86,169,485

 

43.3

 

 

84,573,433

 

44.3

 

 

76,611,494

 

46.7

 

95.01% and above

 

26,798,177

 

13.5

 

 

26,805,161

 

14.0

 

 

23,494,965

 

14.3

 

Total

 

$

198,882,352

 

100.0

%

 

$

190,811,292

 

100.0

%

 

$

164,005,853

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

92

%

 

 

92

%

 

 

92

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

 

December 31, 2020

 

September 30, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

85.00% and below

 

$

3,142,034

 

6.3

%

 

$

2,759,320

 

5.8

%

 

$

1,977,361

 

4.8

%

85.01% to 90.00%

 

14,061,553

 

28.4

 

 

13,307,205

 

27.8

 

 

11,249,383

 

27.2

 

90.01% to 95.00%

 

24,895,471

 

50.2

 

 

24,391,376

 

51.0

 

 

21,981,598

 

53.1

 

95.01% and above

 

7,466,092

 

15.1

 

 

7,380,767

 

15.4

 

 

6,194,608

 

14.9

 

Total

 

$

49,565,150

 

100.0

%

 

$

47,838,668

 

100.0

%

 

$

41,402,950

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

December 31, 2020

 

September 30, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

187,704,000

 

94.4

%

 

$

180,135,430

 

94.4

%

 

$

154,905,519

 

94.5

%

FRM 20-25 years

 

4,365,585

 

2.2

 

 

3,945,019

 

2.1

 

 

2,854,560

 

1.7

 

FRM 15 years

 

4,776,068

 

2.4

 

 

4,417,092

 

2.3

 

 

3,300,715

 

2.0

 

ARM 5 years and higher

 

2,036,699

 

1.0

 

 

2,313,751

 

1.2

 

 

2,945,059

 

1.8

 

Total

 

$

198,882,352

 

100.0

%

 

$

190,811,292

 

100.0

%

 

$

164,005,853

 

100.0

%

Exhibit F

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2020

 

2019

($ in thousands)

 

December 31

 

September 30

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

March 31

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Premiums earned

 

$

13,624

 

 

$

11,132

 

 

$

10,655

 

 

$

10,778

 

 

$

9,867

 

 

$

9,284

 

 

$

8,622

 

 

$

7,894

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

1,416,719

 

 

$

1,216,353

 

 

$

1,031,699

 

 

$

1,100,966

 

 

$

895,374

 

 

$

849,184

 

 

$

802,530

 

 

$

771,175

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

747

 

 

746

 

 

746

 

 

745

 

 

746

 

 

748

 

 

747

 

Weighted average LTV

 

84

%

 

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

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance in Force

 

 

 

Year

Original
Insurance
Written
($ in thousands)

Remaining
Insurance
in Force
($ in thousands)

% Remaining of
Original

Insurance

Number of
Policies in

Force

% Purchase

>90% LTV

>95% LTV

FICO < 700

FICO >= 760

Incurred Loss
Ratio
(Inception to
Date) (1)

Number of
Loans in
Default

Percentage of
Loans in
Default

 

 

 

 

 

 

 

 

 

 

 

 

 

2010 - 2014

$

60,668,851

 

$

6,135,672

 

10.1

%

35,975

 

83.2

%

69.9

%

4.2

%

13.5

%

43.8

%

3.3

%

1,985

 

5.52

%

2015

26,193,656

 

5,674,591

 

21.7

 

30,252

 

86.2

 

63.4

 

3.1

 

16.5

 

41.4

 

4.6

 

1,615

 

5.34

 

2016

34,949,319

 

11,314,546

 

32.4

 

55,969

 

86.8

 

62.6

 

7.9

 

14.4

 

44.7

 

6.4

 

3,154

 

5.64

 

2017

43,858,322

 

16,268,294

 

37.1

 

82,036

 

89.2

 

63.0

 

16.5

 

18.2

 

39.5

 

9.7

 

5,614

 

6.84

 

2018

47,508,525

 

18,677,363

 

39.3

 

89,550

 

93.0

 

65.4

 

21.3

 

18.7

 

35.8

 

16.4

 

6,903

 

7.71

 

2019

63,569,183

 

38,688,532

 

60.9

 

156,164

 

82.9

 

63.0

 

20.4

 

17.6

 

36.7

 

31.2

 

9,230

 

5.91

 

2020

107,944,065

 

102,123,354

 

94.6

 

349,947

 

60.5

 

50.1

 

10.7

 

11.6

 

44.1

 

24.5

 

2,968

 

0.85

 

Total

$

384,691,921

 

$

198,882,352

 

51.7

 

799,893

 

73.2

 

56.8

 

13.5

 

14.3

 

41.5

 

10.0

 

31,469

 

3.93

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

December 31, 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 (6)

2015 & 2016

$

16,329,165

 

$

4,411,094

 

 

$

333,844

 

$

 

$

333,844

 

 

$

216,480

 

$

 

$

216,480

 

 

$

 

 

$

208,111

 

$

207,787

 

 

$

1,246

 

$

5,778

 

 

$

88,169

 

2017

15,856,384

 

4,052,481

 

 

424,412

 

165,167

 

589,579

 

 

242,123

 

165,167

 

407,290

 

 

 

 

224,689

 

218,838

 

 

2,714

 

11,576

 

 

97,119

 

2018

18,295,450

 

4,646,734

 

 

473,184

 

118,650

 

591,834

 

 

325,537

 

76,144

 

401,681

 

 

 

 

253,643

 

251,262

 

 

3,268

 

14,203

 

 

158,139

 

2019 (3)

22,137,416

 

5,643,954

 

 

495,889

 

55,102

 

550,991

 

 

495,889

 

55,102

 

550,991

 

 

 

 

215,605

 

215,509

 

 

2,852

 

11,351

 

 

304,954

 

2019 & 2020 (4)

48,570,459

 

12,141,563

 

 

399,159

 

 

399,159

 

 

399,159

 

 

399,159

 

 

 

 

465,690

 

465,690

 

 

4,744

 

4,744

 

 

362,497

 

Total

$

121,188,874

 

$

30,895,826

 

 

$

2,126,488

 

$

338,919

 

$

2,465,407

 

 

$

1,679,188

 

$

296,413

 

$

1,975,601

 

 

$

 

 

$

1,367,738

 

$

1,359,086

 

 

$

14,824

 

$

47,652

 

 

$

1,010,878

 

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 (6)

2019 & 2020

(5)

$

117,856,260

 

$

28,865,874

 

 

$

25,756,347

 

 

$

6,250,287

 

 

$

7,188

 

$

19,038

 

 

$

4,598

 

$

11,024

 

 

$

16,370

 

$

41,086

 

 

$

411,948

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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 new insurance written from September 1, 2019 through July 31, 2020.

(5) 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.

(6) 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

 

December 31, 2020

 

September 30, 2020

 

December 31, 2019

CA

12.0

%

 

11.2

%

 

10.0

%

TX

9.7

 

 

9.6

 

 

8.6

 

FL

8.7

 

 

8.5

 

 

7.9

 

CO

4.1

 

 

4.1

 

 

3.7

 

WA

3.8

 

 

3.9

 

 

4.4

 

AZ

3.6

 

 

3.5

 

 

3.3

 

IL

3.4

 

 

3.5

 

 

3.7

 

NJ

3.3

 

 

3.4

 

 

3.6

 

VA

3.1

 

 

3.2

 

 

3.2

 

MD

3.0

 

 

3.0

 

 

2.8

 

All Others

45.3

 

 

46.1

 

 

48.8

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

December 31, 2020

 

September 30, 2020

 

December 31, 2019

CA

11.8

%

 

11.0

%

 

9.8

%

TX

10.0

 

 

9.9

 

 

8.9

 

FL

9.0

 

 

8.7

 

 

8.0

 

CO

4.1

 

 

4.0

 

 

3.6

 

WA

3.8

 

 

3.9

 

 

4.4

 

AZ

3.5

 

 

3.4

 

 

3.2

 

IL

3.3

 

 

3.4

 

 

3.5

 

NJ

3.2

 

 

3.3

 

 

3.6

 

GA

3.1

 

 

3.1

 

 

3.3

 

VA

3.1

 

 

3.1

 

 

3.1

 

All Others

45.1

 

 

46.2

 

 

48.6

 

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

 

Year Ended

 

 

December 31,

 

December 31,

 

December 31,

 

December 31,

 

 

2020

 

2019

 

2020

 

2019

Beginning default inventory

 

35,464

 

 

5,232

 

 

5,947

 

 

4,024

 

Plus: new defaults

 

8,745

 

 

3,826

 

 

62,649

 

 

13,304

 

Less: cures

 

(12,679

)

 

(3,027

)

 

(36,711

)

 

(10,985

)

Less: claims paid

 

(49

)

 

(80

)

 

(378

)

 

(377

)

Less: rescissions and denials, net

 

(12

)

 

(4

)

 

(38

)

 

(19

)

Ending default inventory

 

31,469

 

 

5,947

 

 

31,469

 

 

5,947

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

Year Ended

 

 

December 31,

 

December 31,

 

December 31,

 

December 31,

($ in thousands)

 

2020

 

2019

 

2020

 

2019

Reserve for losses and LAE at beginning of period

 

$

307,737

 

 

$

61,436

 

 

$

69,362

 

 

$

49,464

 

Less: Reinsurance recoverables

 

11,898

 

 

 

 

71

 

 

 

Net reserve for losses and LAE at beginning of period

 

295,839

 

 

61,436

 

 

69,291

 

 

49,464

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

Current period

 

63,949

 

 

12,658

 

 

317,516

 

 

50,562

 

Prior years

 

(1,876

)

 

(1,729

)

 

(16,223

)

 

(17,576

)

Incurred losses and LAE during the period

 

62,073

 

 

10,929

 

 

301,293

 

 

32,986

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

Current period

 

524

 

 

631

 

 

1,018

 

 

1,288

 

Prior years

 

1,508

 

 

2,443

 

 

13,686

 

 

11,871

 

Loss and LAE payments during the period

 

2,032

 

 

3,074

 

 

14,704

 

 

13,159

 

Net reserve for losses and LAE at end of period

 

355,880

 

 

69,291

 

 

355,880

 

 

69,291

 

Plus: Reinsurance recoverables

 

19,061

 

 

71

 

 

19,061

 

 

71

 

Reserve for losses and LAE at end of period

 

$

374,941

 

 

$

69,362

 

 

$

374,941

 

 

$

69,362

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Claims

 

 

Three Months Ended

 

Year Ended

 

 

December 31,

 

December 31,

 

December 31,

 

December 31,

 

 

2020

 

2019

 

2020

 

2019

Number of claims paid

 

49

 

 

80

 

 

378

 

 

377

 

Total amount paid for claims (in thousands)

 

$

1,922

 

 

$

2,922

 

 

$

14,354

 

 

$

12,613

 

Average amount paid per claim (in thousands)

 

$

39

 

 

$

37

 

 

$

38

 

 

$

33

 

Severity

 

62

%

 

76

%

 

75

%

 

74

%

Exhibit J, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Defaults, Reserve for Losses and LAE, and Claims

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

December 31, 2020

 

 

Number of
Policies in
Default

Percentage of
Policies in
Default

Amount of
Reserves

Percentage of
Reserves

Defaulted RIF

Reserves as a
Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

 

Three payments or less

 

6,631

 

21

%

$

47,905

 

14

%

$

384,668

 

12

%

Four to eleven payments

 

23,543

 

75

 

260,593

 

76

 

1,553,593

 

17

 

Twelve or more payments

 

1,243

 

4

 

32,593

 

9

 

67,501

 

48

 

Pending claims

 

52

 

 

2,199

 

1

 

2,843

 

77

 

Total case reserves (1)

 

31,469

 

100

%

343,290

 

100

%

$

2,008,605

 

17

 

IBNR

 

 

 

25,747

 

 

 

 

LAE

 

 

 

4,831

 

 

 

 

Total reserves for losses and LAE (1)

 

 

 

$

373,868

 

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

 

Case

 

 

 

$

10.9

 

 

 

 

Total

 

 

 

$

11.9

 

 

 

 

 

 

 

 

 

 

 

 

Default Rate

 

3.93%

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $1,073.

 

 

 

 

 

 

 

 

 

 

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.

Exhibit K

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

December 31, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

$

268,444

 

 

5.9

%

 

$

242,206

 

 

7.2

%

U.S. agency securities

18,085

 

 

0.4

 

 

33,605

 

 

1.0

 

U.S. agency mortgage-backed securities

995,905

 

 

21.8

 

 

848,334

 

 

25.3

 

Municipal debt securities

551,517

 

 

12.1

 

 

361,638

 

 

10.8

 

Non-U.S. government securities

61,607

 

 

1.3

 

 

54,995

 

 

1.7

 

Corporate debt securities

1,126,512

 

 

24.7

 

 

880,301

 

 

26.3

 

Residential and commercial mortgage securities

409,282

 

 

9.0

 

 

288,281

 

 

8.6

 

Asset-backed securities

454,717

 

 

9.9

 

 

326,025

 

 

9.7

 

Money market funds

679,304

 

 

14.9

 

 

315,362

 

 

9.4

 

Total investments available for sale

$

4,565,373

 

 

100.0

%

 

$

3,350,747

 

 

100.0

%

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

December 31, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

$

2,564,746

 

 

56.2

%

 

$

1,817,905

 

 

54.2

%

Aa1

133,100

 

 

2.9

 

 

109,122

 

 

3.3

 

Aa2

260,462

 

 

5.7

 

 

145,282

 

 

4.3

 

Aa3

204,917

 

 

4.5

 

 

159,599

 

 

4.8

 

A1

249,710

 

 

5.5

 

 

206,643

 

 

6.2

 

A2

401,175

 

 

8.8

 

 

183,780

 

 

5.5

 

A3

229,882

 

 

5.0

 

 

191,933

 

 

5.7

 

Baa1

260,602

 

 

5.7

 

 

232,490

 

 

6.9

 

Baa2

178,926

 

 

3.9

 

 

179,664

 

 

5.4

 

Baa3

48,199

 

 

1.1

 

 

65,119

 

 

1.9

 

Below Baa3

33,654

 

 

0.7

 

 

59,210

 

 

1.8

 

Total investments available for sale

$

4,565,373

 

 

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

December 31, 2020

 

December 31, 2019

($ in thousands)

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

$

1,568,505

 

 

34.4

%

 

$

1,038,782

 

 

31.0

%

1 to < 2 Years

581,003

 

 

12.7

 

 

306,148

 

 

9.1

 

2 to < 3 Years

616,069

 

 

13.5

 

 

348,708

 

 

10.4

 

3 to < 4 Years

426,333

 

 

9.3

 

 

361,147

 

 

10.8

 

4 to < 5 Years

367,633

 

 

8.1

 

 

443,382

 

 

13.2

 

5 or more Years

1,005,830

 

 

22.0

 

 

852,580

 

 

25.5

 

Total investments available for sale

$

4,565,373

 

 

100.0

%

 

$

3,350,747

 

 

100.0

%

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

Three months ended December 31, 2020

2.00

%

 

 

 

 

 

 

Year ended December 31, 2020

2.11

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

($ in thousands)

 

 

 

 

 

 

 

As of December 31, 2020

$

562,714

 

 

 

 

 

 

 

As of December 31, 2019

$

98,376

 

 

 

 

 

 

 

Exhibit L

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

December 31, 2020

 

December 31, 2019

($ in thousands)

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

Combined statutory capital (1)

 

$

2,659,161

 

 

$

2,335,828

 

 

 

 

 

 

Combined net risk in force (2)

 

$

29,493,572

 

 

$

29,460,191

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

Essent Guaranty, Inc.

 

11.5:1

 

 

13.1:1

 

Essent Guaranty of PA, Inc.

 

1.7:1

 

 

2.9:1

 

Combined (4)

 

11.1:1

 

 

12.6:1

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

Available Assets

 

$

2,855,923

 

 

$

2,337,086

 

Minimum Required Assets

 

1,647,225

 

 

1,499,369

 

PMIERs excess Available Assets

 

$

1,208,698

 

 

$

837,717

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

Stockholder's equity (GAAP basis)

 

$

1,101,003

 

 

$

939,360

 

 

 

 

 

 

Net risk in force (2)

 

$

12,892,300

 

 

$

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 December 31, 2020 and December 31, 2019, the Company does not have any options, warrants and similar instruments outstanding.

 

The following table sets forth the reconciliation of Adjusted Book Value to the most comparable GAAP amount as of December 31, 2020 and December 31, 2019 in accordance with Regulation G:

(In thousands, except per share amounts)

 

December 31, 2020

 

December 31, 2019

 

 

 

 

 

Numerator:

 

 

 

 

Total Stockholders' Equity (Book Value)

 

$

3,862,633

 

 

$

2,984,845

 

 

 

 

 

 

Subtract: Accumulated Other Comprehensive Income

 

138,274

 

 

56,187

 

 

 

 

 

 

Adjusted Book Value

 

$

3,724,359

 

 

$

2,928,658

 

 

 

 

 

 

Denominator:

 

 

 

 

Total Common Shares Outstanding

 

112,423

 

 

98,394

 

 

 

 

 

 

Add: Restricted Share Units and Dividend Equivalent Units Outstanding

 

513

 

 

356

 

 

 

 

 

 

Total Common Shares and Share Units Outstanding

 

112,936

 

 

98,750

 

 

 

 

 

 

Adjusted Book Value per Share

 

$

32.98

 

 

$

29.66

 

 

Media
610.230.0556
media@essentgroup.com

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

Source: Essent Group Ltd.

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