Essent Group Ltd.

11/08/2019 | Press release | Distributed by Public on 11/08/2019 06:00

Essent Group Ltd. Reports Third Quarter 2019 Results & Declares Quarterly Dividend

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2019 of $144.6 million or $1.47 per diluted share, compared to $116.0 million or $1.18 per diluted share for the quarter ended September 30, 2018.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.15 per common share. The dividend is payable on December 16, 2019, to shareholders of record on December 4, 2019.

'We are pleased with our strong financial results for the third quarter and our continued progress in transitioning our franchise to a buy, manage and distribute model through the utilization of EssentEDGE and reinsurance,' said Mark Casale, Chairman and Chief Executive Officer. 'Additionally, our recent financial strength rating upgrade by Moody's to A3 was a significant achievement for Essent. We believe that this upgrade is further validation of the strength and sustainability that our buy, manage and distribute model provides our franchise.'

Financial Highlights:

  • Insurance in force as of September 30, 2019 was $161.0 billion, compared to $153.3 billion as of June 30, 2019 and $131.2 billion as of September 30, 2018.
  • New insurance written for the third quarter was $18.7 billion, compared to $18.0 billion in the second quarter of 2019 and $13.9 billion in the third quarter of 2018.
  • Net premiums earned for the third quarter were $203.5 million, compared to $188.5 million in the second quarter of 2019 and $166.7 million in the third quarter of 2018.
  • The expense ratio for the third quarter was 20.4%, compared to 22.0% in the second quarter of 2019 and 22.1% in the third quarter of 2018.
  • The provision for losses and LAE for the third quarter was $10.0 million, compared to a provision of $5.0 million in the second quarter of 2019 and a provision of $5.5 million in the third quarter of 2018.
  • The percentage of loans in default as of September 30, 2019 was 0.75%, compared to 0.66% as of June 30, 2019 and 0.61% as of September 30, 2018.
  • The combined ratio for the third quarter was 25.3%, compared to 24.7% in the second quarter of 2019 and 25.4% in the third quarter of 2018.
  • The consolidated balance of cash and investments at September 30, 2019 was $3.4 billion, including cash and investment balances at Essent Group Ltd. of $98.2 million.
  • The combined risk-to-capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 13.4:1 as of September 30, 2019.
  • During the quarter, we entered into our first quota share reinsurance transaction with a panel of third-party reinsurers. With an effective policy date of September 1, 2019 through December 31, 2020, the quota share agreement covers 20% of monthly NIW policies and 40% of single NIW policies written by Essent Guaranty, Inc. The transaction includes a 20% ceding commission and a profit commission of up to 60%.
  • On October 17, 2019, Moody's Investors Service ('Moody's') upgraded the financial strength rating of Essent Guaranty, Inc. to A3 from Baa1.

Conference Call

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/investors/webcasts-and-presentations/event-calendar/default.aspx. The call may also be accessed by dialing 833-287-0797 inside the U.S., or 647-689-4456 for international callers, using passcode 3197255 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 3197255.

In addition to the information provided in the company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/investors/financial-information/quarterly-financial-supplements/default.aspx.

Forward-Looking Statements

This press release may include 'forward-looking statements' which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as 'may,' 'will,' 'should,' 'expect,' 'plan,' 'anticipate,' 'believe,' 'estimate,' 'predict,' or 'potential' or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: changes in or to Fannie Mae and Freddie Mac (the 'GSEs'), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of 'Qualified Mortgage' reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of 'Qualified Residential Mortgage' reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; deteriorating economic conditions; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A 'Risk Factors' of our Annual Report on Form 10-K for the year ended December 31, 2018 filed with the Securities and Exchange Commission on February 19, 2019. 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. 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, 2019

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 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)

2019

2018

2019

2018

Revenues:

Net premiums written

$

198,304

$

175,221

$

564,352

$

508,850

Decrease (increase) in unearned premiums

5,169

(8,546

)

5,402

(32,659

)

Net premiums earned

203,473

166,675

569,754

476,191

Net investment income

21,104

16,646

61,565

45,494

Realized investment gains, net

1,153

524

2,396

1,160

Other income

657

1,153

5,090

3,384

Total revenues

226,387

184,998

638,805

526,229

Losses and expenses:

Provision for losses and LAE

9,990

5,452

22,057

12,574

Other underwriting and operating expenses

41,588

36,899

124,138

111,451

Interest expense

2,584

2,500

7,933

7,568

Total losses and expenses

54,162

44,851

154,128

131,593

Income before income taxes

172,225

140,147

484,677

394,636

Income tax expense

27,595

24,136

75,922

55,801

Net income

$

144,630

$

116,011

$

408,755

$

338,835

Earnings per share:

Basic

$

1.48

$

1.19

$

4.18

$

3.48

Diluted

1.47

1.18

4.16

3.46

Weighted average shares outstanding:

Basic

97,822

97,438

97,739

97,388

Diluted

98,257

98,013

98,178

97,944

Net income

$

144,630

$

116,011

$

408,755

$

338,835

Other comprehensive income (loss):

Change in unrealized appreciation (depreciation) of investments

17,367

(8,201

)

91,720

(44,197

)

Total other comprehensive income (loss)

17,367

(8,201

)

91,720

(44,197

)

Comprehensive income

$

161,997

$

107,810

$

500,475

$

294,638

Loss ratio

4.9

%

3.3

%

3.9

%

2.6

%

Expense ratio

20.4

22.1

21.8

23.4

Combined ratio

25.3

%

25.4

%

25.7

%

26.0

%

Exhibit B

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

September 30,

December 31,

($ in thousands)

2019

2018

Assets

Investments

Fixed maturities available for sale, at fair value

$

2,982,009

$

2,605,666

Short-term investments available for sale, at fair value

252,604

154,400

Total investments available for sale

3,234,613

2,760,066

Other invested assets

75,273

30,952

Total investments

3,309,886

2,791,018

Cash

49,582

64,946

Accrued investment income

18,527

17,627

Accounts receivable

40,221

36,881

Deferred policy acquisition costs

16,003

16,049

Property and equipment

16,792

7,629

Prepaid federal income tax

246,885

202,385

Other assets

24,158

13,436

Total assets

$

3,722,054

$

3,149,971

Liabilities and Stockholders' Equity

Liabilities

Reserve for losses and LAE

$

61,436

$

49,464

Unearned premium reserve

290,065

295,467

Net deferred tax liability

236,644

172,642

Credit facility borrowings, net of deferred costs

224,094

223,664

Other accrued liabilities

54,645

43,017

Total liabilities

866,884

784,254

Commitments and contingencies

Stockholders' Equity

Common shares

1,476

1,472

Additional paid-in capital

1,114,586

1,110,800

Accumulated other comprehensive income (loss)

62,727

(28,993

)

Retained earnings

1,676,381

1,282,438

Total stockholders' equity

2,855,170

2,365,717

Total liabilities and stockholders' equity

$

3,722,054

$

3,149,971

Return on average equity (1)

20.9

%

21.7

%

(1) The 2019 return on average equity is calculated by dividing annualized year-to-date 2019 net income by average equity. The 2018 return on average equity is calculated by dividing full year 2018 net income by average equity.

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

2019

2018

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

$

198,304

$

188,404

$

177,644

$

176,437

$

175,221

$

168,404

$

165,225

Net premiums earned (1)

203,473

188,490

177,791

173,301

166,675

156,958

152,558

Other revenues (2)

22,914

23,402

22,735

19,823

18,323

16,810

14,905

Total revenues

226,387

211,892

200,526

193,124

184,998

173,768

167,463

Losses and expenses:

Provision for losses and LAE (3)

9,990

4,960

7,107

(999

)

5,452

1,813

5,309

Other underwriting and operating expenses

41,588

41,520

41,030

39,449

36,899

36,428

38,124

Interest expense

2,584

2,679

2,670

2,611

2,500

2,618

2,450

Total losses and expenses

54,162

49,159

50,807

41,061

44,851

40,859

45,883

Income before income taxes

172,225

162,733

149,719

152,063

140,147

132,909

121,580

Income tax expense (4)

27,595

26,328

21,999

23,535

24,136

21,154

10,511

Net income

$

144,630

$

136,405

$

127,720

$

128,528

$

116,011

$

111,755

$

111,069

Earnings per share:

Basic

$

1.48

$

1.39

$

1.31

$

1.32

$

1.19

$

1.15

$

1.14

Diluted

1.47

1.39

1.30

1.31

1.18

1.14

1.13

Weighted average shares outstanding:

Basic

97,822

97,798

97,595

97,450

97,438

97,426

97,298

Diluted

98,257

98,170

98,104

98,066

98,013

97,866

97,951

Other Data:

Loss ratio (5)

4.9

%

2.6

%

4.0

%

(0.6

)%

3.3

%

1.2

%

3.5

%

Expense ratio (6)

20.4

22.0

23.1

22.8

22.1

23.2

25.0

Combined ratio

25.3

%

24.7

%

27.1

%

22.2

%

25.4

%

24.4

%

28.5

%

Return on average equity (annualized)

20.8

%

20.9

%

20.9

%

22.4

%

21.5

%

21.8

%

22.6

%

(1) Net premiums earned are net of premiums ceded to third-party reinsurers. Premiums ceded totaled $10,263, $8,428, $6,038, $3,731, $3,158, $3,585 and $294 in the three months ended September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2018, June 30, 2018 and March 31, 2018, respectively.

(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, 2019, June 30, 2019 and March 31, 2019 include an unfavorable decrease of $760 and favorable increases of $1,160 and $1,424, respectively, in the fair value of these embedded derivatives.

(3) Provision for losses and LAE for the three months ended December 31, 2018 includes a $9,941 reduction associated with previously identified hurricane-related defaults based on the performance to date and our expectations of the amount of ultimate losses on the remaining delinquencies.

(4) Income tax expense for the three months ended March 31, 2019 and 2018 was reduced by $1,956 and $9,549, respectively, of excess tax benefits associated with the vesting of common shares and common share units during each period. Income tax expense for the three months ended September 30, 2018 includes $1,450 of expense associated with accrual to return adjustments associated with the completion of the 2017 U.S. federal income tax return.

(5) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.

(6) 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

2019

2018

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

$

18,719,876

$

17,973,505

$

10,945,307

$

11,408,542

$

13,913,191

$

12,850,642

$

9,336,150

New risk written

4,695,611

4,485,217

2,713,389

2,838,530

3,430,942

3,201,610

2,295,314

Bulk:

New insurance written

$

6,133

$

29,524

$

55,002

$

-

$

-

$

-

$

-

New risk written

842

2,129

6,542

-

-

-

-

Total:

Average gross premium rate (7)

0.52

%

0.51

%

0.50

%

0.50

%

0.51

%

0.52

%

0.52

%

Average net premium rate (8)

0.49

%

0.49

%

0.48

%

0.49

%

0.50

%

0.51

%

0.52

%

New insurance written

$

18,726,009

$

18,003,029

$

11,000,309

$

11,408,542

$

13,913,191

$

12,850,642

$

9,336,150

New risk written

$

4,696,453

$

4,487,346

$

2,719,931

$

2,838,530

$

3,430,942

$

3,201,610

$

2,295,314

Insurance in force (end of period)

$

160,962,192

$

153,317,157

$

143,181,641

$

137,720,786

$

131,249,957

$

122,501,246

$

115,250,949

Gross risk in force (end of period) (9)

$

40,540,289

$

38,531,090

$

35,925,830

$

34,482,448

$

32,786,194

$

30,579,106

$

28,691,561

Risk in force (end of period)

$

38,784,584

$

37,034,687

$

34,744,417

$

33,892,869

$

32,361,782

$

30,154,694

$

28,267,149

Policies in force

693,085

666,705

629,808

608,135

581,570

546,576

517,215

Weighted average coverage (10)

25.2

%

25.1

%

25.1

%

25.0

%

25.0

%

25.0

%

24.9

%

Annual persistency

82.1

%

84.8

%

85.1

%

84.9

%

84.0

%

83.0

%

83.5

%

Loans in default (count)

5,232

4,405

4,096

4,024

3,538

3,519

4,442

Percentage of loans in default

0.75

%

0.66

%

0.65

%

0.66

%

0.61

%

0.64

%

0.86

%

Other Risk in Force

GSE and other risk share (11)

$

849,184

$

802,530

$

771,175

$

655,384

$

612,750

$

592,493

$

557,692

Credit Facility

Borrowings outstanding

$

225,000

$

225,000

$

225,000

$

225,000

$

225,000

$

225,000

$

265,000

Undrawn committed capacity

$

275,000

$

275,000

$

275,000

$

275,000

$

275,000

$

275,000

$

110,000

Weighted average interest rate (end of period)

4.05

%

(7) 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.

(8) 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.

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

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

(11) 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, 2019

September 30, 2018

September 30, 2019

September 30, 2018

($ in thousands)

>=760

$

7,467,620

39.9

%

$

5,873,337

42.2

%

$

19,251,937

40.4

%

$

15,165,595

42.0

%

740-759

3,286,476

17.5

2,349,227

16.9

8,272,424

17.4

6,116,659

17.0

720-739

2,800,181

15.0

1,989,413

14.3

6,938,374

14.6

5,209,892

14.4

700-719

2,202,659

11.8

1,676,184

12.0

5,695,567

11.9

4,365,387

12.1

680-699

1,570,179

8.4

1,097,160

7.9

4,013,107

8.4

2,847,365

7.9

<=679

1,392,761

7.4

927,870

6.7

3,467,279

7.3

2,395,085

6.6

Total

$

18,719,876

100.0

%

$

13,913,191

100.0

%

$

47,638,688

100.0

%

$

36,099,983

100.0

%

Weighted average credit score

744

745

744

745

NIW by LTV

Three Months Ended

Nine Months Ended

September 30, 2019

September 30, 2018

September 30, 2019

September 30, 2018

($ in thousands)

85.00% and below

$

2,126,071

11.4

%

$

1,644,226

11.8

%

$

5,789,334

12.2

%

$

4,347,598

12.0

%

85.01% to 90.00%

5,288,027

28.2

3,804,681

27.3

13,089,688

27.5

10,102,450

28.0

90.01% to 95.00%

7,896,661

42.2

5,961,310

42.9

20,081,707

42.1

15,623,886

43.3

95.01% and above

3,409,117

18.2

2,502,974

18.0

8,677,959

18.2

6,026,049

16.7

Total

$

18,719,876

100.0

%

$

13,913,191

100.0

%

$

47,638,688

100.0

%

$

36,099,983

100.0

%

Weighted average LTV

92

%

93

%

92

%

92

%

NIW by Product

Three Months Ended

Nine Months Ended

September 30, 2019

September 30, 2018

September 30, 2019

September 30, 2018

Single Premium policies

10.8

%

14.2

%

11.3

%

15.9

%

Monthly Premium policies

89.2

85.8

88.7

84.1

100.0

%

100.0

%

100.0

%

100.0

%

NIW by Purchase vs. Refinance

Three Months Ended

Nine Months Ended

September 30, 2019

September 30, 2018

September 30, 2019

September 30, 2018

Purchase

79.6

%

93.8

%

83.3

%

91.3

%

Refinance

20.4

6.2

16.7

8.7

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, 2019

June 30, 2019

September 30, 2018

($ in thousands)

>=760

$

67,408,766

41.9

%

$

64,977,185

42.4

%

$

56,686,270

43.2

%

740-759

27,178,330

16.9

25,747,495

16.8

21,661,445

16.5

720-739

23,459,055

14.6

22,203,764

14.5

18,909,281

14.4

700-719

18,728,884

11.6

17,723,067

11.5

14,928,024

11.4

680-699

13,418,919

8.3

12,697,092

8.3

10,828,068

8.2

<=679

10,768,238

6.7

9,968,554

6.5

8,236,869

6.3

Total

$

160,962,192

100.0

%

$

153,317,157

100.0

%

$

131,249,957

100.0

%

Weighted average credit score

745

746

746

Gross RIF by FICO score

September 30, 2019

June 30, 2019

September 30, 2018

($ in thousands)

>=760

$

16,877,750

41.6

%

$

16,258,608

42.2

%

$

14,119,178

43.1

%

740-759

6,857,369

16.9

6,478,145

16.8

5,434,079

16.6

720-739

5,980,949

14.8

5,643,012

14.6

4,773,174

14.5

700-719

4,743,360

11.7

4,473,871

11.6

3,735,034

11.4

680-699

3,406,811

8.4

3,217,062

8.4

2,718,524

8.3

<=679

2,674,050

6.6

2,460,392

6.4

2,006,205

6.1

Total

$

40,540,289

100.0

%

$

38,531,090

100.0

%

$

32,786,194

100.0

%

Portfolio by LTV

IIF by LTV

September 30, 2019

June 30, 2019

September 30, 2018

($ in thousands)

85.00% and below

$

16,918,870

10.5

%

$

16,525,093

10.8

%

$

14,641,309

11.2

%

85.01% to 90.00%

46,021,398

28.6

44,234,770

28.9

39,598,332

30.2

90.01% to 95.00%

75,528,177

46.9

72,549,888

47.3

63,167,371

48.1

95.01% and above

22,493,747

14.0

20,007,406

13.0

13,842,945

10.5

Total

$

160,962,192

100.0

%

$

153,317,157

100.0

%

$

131,249,957

100.0

%

Weighted average LTV

92

%

92

%

92

%

Gross RIF by LTV

September 30, 2019

June 30, 2019

September 30, 2018

($ in thousands)

85.00% and below

$

1,953,058

4.8

%

$

1,907,272

5.0

%

$

1,680,050

5.1

%

85.01% to 90.00%

11,065,886

27.3

10,625,848

27.6

9,458,067

28.8

90.01% to 95.00%

21,633,852

53.4

20,784,261

53.9

18,090,207

55.2

95.01% and above

5,887,493

14.5

5,213,709

13.5

3,557,870

10.9

Total

$

40,540,289

100.0

%

$

38,531,090

100.0

%

$

32,786,194

100.0

%

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

September 30, 2019

June 30, 2019

September 30, 2018

($ in thousands)

FRM 30 years and higher

$

151,594,009

94.2

%

$

143,827,908

93.8

%

$

121,455,115

92.6

%

FRM 20-25 years

2,872,964

1.8

2,901,947

1.9

3,032,593

2.3

FRM 15 years

3,367,326

2.1

3,391,072

2.2

3,571,994

2.7

ARM 5 years and higher

3,127,893

1.9

3,196,230

2.1

3,190,255

2.4

Total

$

160,962,192

100.0

%

$

153,317,157

100.0

%

$

131,249,957

100.0

%

Exhibit F

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

($ in thousands)

September 30, 2019

June 30, 2019

September 30, 2018

GSE and other risk share (1)

$

849,184

$

802,530

$

612,750

Weighted average credit score

746

748

749

Weighted average LTV

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, 2019

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

% FRM

Incurred
Loss Ratio
(Inception
to Date) (1)

Number of
Loans in
Default

2010

$

245,898

$

4,333

1.8

%

33

62.6

%

47.5

%

0.0

%

2.1

%

65.5

%

100.0

%

2.6

%

1

2011

3,229,720

171,131

5.3

995

70.0

60.5

0.3

6.2

52.7

97.9

3.7

22

2012

11,241,161

1,263,110

11.2

6,766

72.7

71.3

0.8

4.9

57.1

99.1

2.2

77

2013

21,152,638

3,816,366

18.0

20,424

79.5

65.7

2.3

7.8

51.3

98.8

2.3

234

2014

24,799,434

6,568,565

26.5

35,884

89.5

67.0

4.8

15.8

41.1

97.1

3.1

547

2015

26,193,656

10,836,143

41.4

52,727

84.8

59.7

2.7

14.7

43.8

98.1

2.8

659

2016

34,949,319

20,690,611

59.2

93,378

83.5

58.5

7.0

13.5

45.5

98.6

3.1

937

2017

43,858,322

32,393,422

73.9

145,745

87.4

60.0

14.3

15.7

41.9

97.2

4.1

1,500

2018

47,508,525

39,296,715

82.7

165,805

92.1

61.7

18.2

15.2

40.5

97.9

5.5

1,090

2019 (through September 30)

47,729,347

45,921,796

96.2

171,328

83.2

60.7

18.6

15.9

39.8

98.6

2.8

165

Total

$

260,908,020

$

160,962,192

61.7

693,085

86.4

60.9

14.0

15.0

41.9

98.1

3.2

5,232

(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 (1)

September 30, 2019

($ in thousands)

Original
Reinsurance in Force

Remaining
Reinsurance in Force

Year

Remaining
Insurance
in Force

Remaining
Risk
in Force

ILN

Other
Reinsurance

Total

ILN

Other
Reinsurance

Total

Losses
Ceded
to Date

Original
First Layer
Retention

Remaining
First Layer
Retention

Quarter-to-Date
Premiums
Ceded

Year-to
Date
Premiums
Ceded

2015 & 2016

$

28,837,920

$

7,792,455

$

333,844

(2)

$

-

$

333,844

$

310,282

$

-

$

310,282

$

-

$

208,111

$

208,111

$

2,213

$

2,553

2017

31,405,043

7,900,590

424,412

(3)

165,167

(4)

589,579

368,705

165,167

533,872

-

224,689

223,323

3,576

10,999

2018

38,517,421

9,680,628

473,184

(5)

118,650

(6)

591,834

473,184

118,650

591,834

-

253,643

253,521

4,354

11,057

Total

$

98,760,384

$

25,373,673

$

1,231,440

$

283,817

$

1,515,257

$

1,152,171

$

283,817

$

1,435,988

$

-

$

686,443

$

684,955

$

10,143

$

24,609

(1) Excludes quota share reinsurance provided by a panel of reinsurers effective September 1, 2019 (the 'QSR Agreement'). RIF ceded under the QSR Agreement was $320 million as of September 30, 2019.

(2) Reinsurance provided by Radnor Re 2019-2 Ltd., through its issuance of mortgage insurance-linked notes ('ILNs'), effective June 2019.

(3) Reinsurance provided by Radnor Re 2018-1 Ltd., through its issuance of ILNs, effective March 2018.

(4) Reinsurance provided by a panel of reinsurers effective November 2018. Coverage provided immediately above the coverage provided by Radnor Re 2018-1 Ltd.

(5) Reinsurance provided by Radnor Re 2019-1 Ltd., through its issuance of ILNs, effective February 2019.

(6) Reinsurance provided by a panel of reinsurers effective February 2019. Coverage provided pari-passu to the coverage provided by Radnor Re 2019-1 Ltd.

Exhibit I

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Geographic Data

IIF by State

September 30, 2019

June 30, 2019

September 30, 2018

CA

9.8

%

9.6

%

9.1

%

TX

8.3

8.0

7.9

FL

7.7

7.5

7.3

WA

4.5

4.6

4.8

IL

3.7

3.8

3.9

CO

3.6

3.6

3.3

NJ

3.6

3.7

3.8

OH

3.4

3.4

3.3

NC

3.3

3.4

3.5

GA

3.3

3.4

3.4

All Others

48.8

49.0

49.7

Total

100.0

%

100.0

%

100.0

%

Gross RIF by State

September 30, 2019

June 30, 2019

September 30, 2018

CA

9.6

%

9.4

%

8.9

%

TX

8.6

8.3

8.1

FL

7.9

7.6

7.4

WA

4.5

4.6

4.8

IL

3.6

3.7

3.8

NJ

3.6

3.6

3.7

CO

3.5

3.5

3.3

OH

3.4

3.4

3.3

GA

3.3

3.4

3.5

NC

3.3

3.4

3.5

All Others

48.7

49.1

49.7

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,

2019

2018

2019

2018

Beginning default inventory

4,405

3,519

4,024

4,783

Plus: new defaults

3,711

2,285

9,478

5,980

Less: cures

(2,776

)

(2,201

)

(7,958

)

(7,043

)

Less: claims paid

(103

)

(64

)

(297

)

(179

)

Less: rescissions and denials, net

(5

)

(1

)

(15

)

(3

)

Ending default inventory

5,232

3,538

5,232

3,538

Rollforward of Reserve for Losses and LAE

Three Months Ended

Nine Months Ended

September 30,

September 30,

September 30,

September 30,

($ in thousands)

2019

2018

2019

2018

Reserve for losses and LAE at beginning of period

$

55,138

$

50,016

$

49,464

$

46,850

Add provision for losses and LAE occurring in:

Current year

14,722

8,671

37,904

25,199

Prior years

(4,732

)

(3,219

)

(15,847

)

(12,625

)

Incurred losses and LAE during the period

9,990

5,452

22,057

12,574

Deduct payments for losses and LAE occurring in:

Current year

412

409

657

620

Prior years

3,280

1,704

9,428

5,449

Loss and LAE payments during the period

3,692

2,113

10,085

6,069

Reserve for losses and LAE at end of period

$

61,436

$

53,355

$

61,436

$

53,355

Claims

Three Months Ended

Nine Months Ended

September 30,

September 30,

September 30,

September 30,

2019

2018

2019

2018

Number of claims paid

103

64

297

179

Total amount paid for claims (in thousands)

$

3,584

$

2,029

$

9,691

$

5,848

Average amount paid per claim (in thousands)

$

35

$

32

$

33

$

33

Severity

71

%

69

%

73

%

70

%

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, 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 (1)

5,232

100

%

56,123

100

%

$

281,154

20

IBNR

4,209

LAE

1,014

Total reserves for losses and LAE (1)

$

61,346

Average reserve per default:

Case

$

10.7

Total

$

11.7

Default Rate

0.75%

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

December 31, 2018

Number of
Policies in
Default

Percentage of
Policies in
Default

Amount of
Reserves

Percentage of
Reserves

Defaulted RIF

Reserves as a
Percentage of
Defaulted RIF

($ in thousands)

Missed Payments:

Three payments or less

2,254

56

%

$

12,005

27

%

$

119,666

10

%

Four to eleven payments

1,350

33

20,031

44

72,222

28

Twelve or more payments

357

9

10,523

23

20,419

52

Pending claims

63

2

2,749

6

3,182

86

Total case reserves

4,024

100

%

45,308

100

%

$

215,489

21

IBNR

3,398

LAE

758

Total reserves for losses and LAE

$

49,464

Average reserve per default:

Case

$

11.3

Total

$

12.3

Default Rate

0.66%

September 30, 2018

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

1,886

53

%

$

10,498

22

%

$

101,755

10

%

Four to eleven payments

1,252

36

24,531

50

68,670

36

Twelve or more payments

351

10

11,795

24

20,160

59

Pending claims

49

1

1,941

4

2,212

88

Total case reserves

3,538

100

%

48,765

100

%

$

192,797

25

IBNR

3,657

LAE

933

Total reserves for losses and LAE

$

53,355

Average reserve per default:

Case

$

13.8

Total

$

15.1

Default Rate

0.61%

Exhibit K

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

Investments Available for Sale by Asset Class

Asset Class

September 30, 2019

December 31, 2018

($ in thousands)

Fair Value

Percent

Fair Value

Percent

U.S. Treasury securities

$

271,359

8.4

%

$

289,892

10.5

%

U.S. agency securities

33,544

1.0

32,997

1.2

U.S. agency mortgage-backed securities

829,748

25.7

637,178

23.1

Municipal debt securities

364,140

11.3

483,879

17.5

Non-U.S. government securities

49,935

1.5

45,001

1.6

Corporate debt securities

824,632

25.5

725,201

26.3

Residential and commercial mortgage securities

283,790

8.8

121,838

4.4

Asset-backed securities

324,861

10.0

284,997

10.3

Money market funds

252,604

7.8

139,083

5.1

Total investments available for sale

$

3,234,613

100.0

%

$

2,760,066

100.0

%

Investments Available for Sale by Credit Rating

Rating (1)

September 30, 2019

December 31, 2018

($ in thousands)

Fair Value

Percent

Fair Value

Percent

Aaa

$

1,749,369

54.1

%

$

1,362,781

49.4

%

Aa1

105,705

3.3

124,435

4.5

Aa2

147,510

4.6

196,218

7.1

Aa3

168,089

5.2

143,315

5.2

A1

203,054

6.3

222,073

8.0

A2

192,752

5.9

199,238

7.2

A3

170,128

5.3

146,300

5.3

Baa1

195,789

6.0

162,695

5.9

Baa2

168,371

5.2

140,168

5.1

Baa3

72,529

2.2

26,805

1.0

Below Baa3

61,317

1.9

36,038

1.3

Total investments available for sale

$

3,234,613

100.0

%

$

2,760,066

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, 2019

December 31, 2018

($ in thousands)

Fair Value

Percent

Fair Value

Percent

< 1 Year

$

862,760

26.7

%

$

529,545

19.2

%

1 to < 2 Years

367,167

11.3

285,060

10.3

2 to < 3 Years

276,459

8.5

251,763

9.1

3 to < 4 Years

385,312

11.9

278,804

10.1

4 to < 5 Years

370,529

11.5

429,005

15.6

5 or more Years

972,386

30.1

985,889

35.7

Total investments available for sale

$

3,234,613

100.0

%

$

2,760,066

100.0

%

Pre-tax investment income yield:

Three months ended September 30, 2019

2.81

%

Nine months ended September 30, 2019

2.83

%

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

($ in thousands)

As of September 30, 2019

$

98,155

As of December 31, 2018

$

78,405

Exhibit L

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

September 30, 2019

December 31, 2018

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:

Combined statutory capital (1)

$

2,212,341

$

1,886,929

Combined net risk in force (2)

$

29,622,379

$

26,233,783

Risk-to-capital ratios: (3)

Essent Guaranty, Inc.

13.9:1

14.4:1

Essent Guaranty of PA, Inc.

3.3:1

4.2:1

Combined (4)

13.4:1

13.9:1

Essent Reinsurance Ltd.:

Stockholder's equity (GAAP basis)

$

908,203

$

798,612

Net risk in force (2)

$

9,950,967

$

8,265,763

(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.

View source version on businesswire.com : https://www.businesswire.com/news/home/20191108005055/en/

Media Contact
610.230.0556
[email protected]

Investor Relations Contact
Christopher G. Curran
Senior Vice President - Investor Relations
855-809-ESNT
[email protected]

Source: Essent Group Ltd.