Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2020 of $149.5 million or $1.52 per diluted share, compared to $127.7 million or $1.30 per diluted share for the quarter ended March 31, 2019.
Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.16 per common share. The dividend is payable on June 12, 2020, to shareholders of record on June 2, 2020.
“While we are pleased with our strong financial results for the first quarter, our focus is now on facing a challenging business environment as a result of COVID-19,” said Mark Casale, Chairman and Chief Executive Officer. “We believe that the strength and sustainability of our buy, manage, and distribute operating model, as well as our strong balance sheet, capital and liquidity, has allowed us to enter these challenging times in a position of strength.”
Financial Highlights:
- Insurance in force as of March 31, 2020 was $165.6 billion, compared to $164.0 billion as of December 31, 2019 and $143.2 billion as of March 31, 2019.
- New insurance written for the first quarter was $13.5 billion, compared to $15.8 billion in the fourth quarter of 2019 and $11.0 billion in the first quarter of 2019.
- Net premiums earned for the first quarter were $206.5 million, compared to $207.7 million in the fourth quarter of 2019 and $177.8 million in the first quarter of 2019.
- The expense ratio for the first quarter was 20.3%, compared to 19.9% in the fourth quarter of 2019 and 23.1% in the first quarter of 2019.
- The provision for losses and LAE for the first quarter was $8.1 million, compared to a provision of $10.9 million in the fourth quarter of 2019 and a provision of $7.1 million in the first quarter of 2019.
- The percentage of loans in default as of March 31, 2020 was 0.83%, compared to 0.85% as of December 31, 2019 and 0.65% as of March 31, 2019.
- The combined ratio for the first quarter was 24.2%, compared to 25.1% in the fourth quarter of 2019 and 27.1% in the first quarter of 2019.
- Other income for the first quarter includes a $4.2 million loss for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a loss of $3.6 million in the fourth quarter of 2019 and a gain of $1.4 million in the first quarter of 2019.
- The consolidated balance of cash and investments at March 31, 2020 was $3.8 billion, including cash and investment balances at Essent Group Ltd. of $279.8 million.
- The combined risk-to-capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 11.7:1 as of March 31, 2020.
- On January 31, 2020, Essent's wholly-owned subsidiary, Essent Guaranty, Inc., announced it had obtained $495.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in January through August 2019 from Radnor Re 2020-1 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2020-1 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd. Subsequent to the closing of the transaction with Radnor Re 2020-1 Ltd., Essent Guaranty, Inc. executed an excess of loss reinsurance transaction with a panel of third-party reinsurers for $55.1 million of reinsurance coverage on mortgage insurance policies written by Essent in January through August 2019.
- On March 27, 2020, Essent borrowed $200 million from the revolving component of its credit facility. In addition to this borrowing, Essent had $225 million of term debt outstanding at March 31, 2020 and maintained $75 million of undrawn capacity under the revolving component of its credit facility.
Private Mortgage Insurer Eligibility Requirements (PMIERs) Update:
Consistent with the PMIERs which were effective September 27, 2018, Essent will apply a 0.30 multiplier to the risk-based required asset amount factor for each non-performing primary mortgage guaranty insurance loan backed by a property located in a Federal Emergency Management Agency (FEMA) Declared Major Disaster Area and that either 1) is subject to a forbearance plan executed in response to a FEMA Declared Major Disaster Area eligible for Individual Assistance, the terms of which are materially consistent with terms of forbearance plans offered by Fannie Mae or Freddie Mac, or 2) has an initial default date occurring up to either (i) 30 days prior to or (ii) 90 days following the COVID-19 pandemic event. In the case of the foregoing, the 0.30 multiplier shall be applied to the risk-based required asset amount factor for each non-performing primary mortgage guaranty insurance loan for no longer than 120 days from the initial default date absent a forbearance plan described in 1) above.
Approximately 97% of Essent’s outstanding primary mortgage insurance portfolio, as of March 31, 2020, has underlying properties located in FEMA Declared Major Disaster Areas eligible for Individual Assistance. Accordingly, the company believes that the majority of the non-performing loans that will be reported to the company subsequent to March 31, 2020, will fall into categories 1) and 2) above and receive the 0.30 multiplier in calculating the PMIERs required assets.
Conference Call:
Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/investors/webcasts-and-presentations/event-calendar/default.aspx. The call may also be accessed by dialing 833-287-0797 inside the U.S., or 647-689-4456 for international callers, using passcode 1490696 or by referencing Essent.
A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-585-8367 inside the U.S., or 416-621-4642 for international callers, passcode 1490696.
In addition to the information provided in the company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/investors/financial-information/quarterly-financial-supplements/default.aspx.
Forward-Looking Statements:
This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; deteriorating economic conditions; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2019 filed with the Securities and Exchange Commission on February 18, 2020, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.
About the Company:
Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which, through its wholly-owned subsidiary, Essent Guaranty, Inc., offers private mortgage insurance for single-family mortgage loans in the United States. Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania, Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia, and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Essent is committed to supporting environmental, social and governance ("ESG") initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.
Source: Essent Group Ltd.
Essent Group Ltd. and Subsidiaries | ||
Financial Results and Supplemental Information (Unaudited) | ||
Quarter Ended March 31, 2020 | ||
Exhibit A | Condensed Consolidated Statements of Comprehensive Income (Unaudited) | |
Exhibit B | Condensed Consolidated Balance Sheets (Unaudited) | |
Exhibit C | Historical Quarterly Data | |
Exhibit D | New Insurance Written | |
Exhibit E | Insurance in Force and Risk in Force | |
Exhibit F | Other Risk in Force | |
Exhibit G | Portfolio Vintage Data | |
Exhibit H | Reinsurance Vintage Data | |
Exhibit I | Portfolio Geographic Data | |
Exhibit J | Defaults, Reserve for Losses and LAE, and Claims | |
Exhibit K | Investments Available for Sale | |
Exhibit L | Insurance Company Capital | |
Exhibit M | Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share | |
Exhibit A | ||||||||
Essent Group Ltd. and Subsidiaries | ||||||||
Condensed Consolidated Statements of Comprehensive Income (Unaudited) | ||||||||
Three Months Ended March 31, | ||||||||
(In thousands, except per share amounts) | 2020 | 2019 | ||||||
Revenues: | ||||||||
Direct premiums written | $ | 205,980 | $ | 183,682 | ||||
Ceded premiums | (14,237 | ) | (6,038 | ) | ||||
Net premiums written | 191,743 | 177,644 | ||||||
Decrease in unearned premiums | 14,753 | 147 | ||||||
Net premiums earned | 206,496 | 177,791 | ||||||
Net investment income | 20,633 | 19,880 | ||||||
Realized investment gains, net | 3,135 | 660 | ||||||
Other income (loss) | (1,424 | ) | 2,195 | |||||
Total revenues | 228,840 | 200,526 | ||||||
Losses and expenses: | ||||||||
Provision for losses and LAE | 8,063 | 7,107 | ||||||
Other underwriting and operating expenses | 41,947 | 41,030 | ||||||
Interest expense | 2,132 | 2,670 | ||||||
Total losses and expenses | 52,142 | 50,807 | ||||||
Income before income taxes | 176,698 | 149,719 | ||||||
Income tax expense | 27,175 | 21,999 | ||||||
Net income | $ | 149,523 | $ | 127,720 | ||||
Earnings per share: | ||||||||
Basic | $ | 1.53 | $ | 1.31 | ||||
Diluted | 1.52 | 1.30 | ||||||
Weighted average shares outstanding: | ||||||||
Basic | 97,949 | 97,595 | ||||||
Diluted | 98,326 | 98,104 | ||||||
Net income | $ | 149,523 | $ | 127,720 | ||||
Other comprehensive income (loss): | ||||||||
Change in unrealized (depreciation) appreciation of investments | (10,074 | ) | 38,366 | |||||
Total other comprehensive (loss) income | (10,074 | ) | 38,366 | |||||
Comprehensive income | $ | 139,449 | $ | 166,086 | ||||
Loss ratio | 3.9 | % | 4.0 | % | ||||
Expense ratio | 20.3 | 23.1 | ||||||
Combined ratio | 24.2 | % | 27.1 | % | ||||
Exhibit B | ||||||||
Essent Group Ltd. and Subsidiaries | ||||||||
Condensed Consolidated Balance Sheets (Unaudited) | ||||||||
March 31, | December 31, | |||||||
(In thousands, except per share amounts) | 2020 | 2019 | ||||||
Assets | ||||||||
Investments | ||||||||
Fixed maturities available for sale, at fair value | $ | 3,110,362 | $ | 3,035,385 | ||||
Short-term investments available for sale, at fair value | 595,165 | 315,362 | ||||||
Total investments available for sale | 3,705,527 | 3,350,747 | ||||||
Other invested assets | 75,380 | 78,873 | ||||||
Total investments | 3,780,907 | 3,429,620 | ||||||
Cash | 31,055 | 71,350 | ||||||
Accrued investment income | 18,572 | 18,535 | ||||||
Accounts receivable | 41,228 | 40,655 | ||||||
Deferred policy acquisition costs | 15,147 | 15,705 | ||||||
Property and equipment | 16,325 | 17,308 | ||||||
Prepaid federal income tax | 261,885 | 261,885 | ||||||
Other assets | 21,815 | 18,367 | ||||||
Total assets | $ | 4,186,934 | $ | 3,873,425 | ||||
Liabilities and Stockholders' Equity | ||||||||
Liabilities | ||||||||
Reserve for losses and LAE | $ | 73,341 | $ | 69,362 | ||||
Unearned premium reserve | 264,134 | 278,887 | ||||||
Net deferred tax liability | 259,688 | 249,620 | ||||||
Credit facility borrowings, net of deferred costs | 424,380 | 224,237 | ||||||
Other accrued liabilities | 58,317 | 66,474 | ||||||
Total liabilities | 1,079,860 | 888,580 | ||||||
Commitments and contingencies | ||||||||
Stockholders' Equity | ||||||||
Common shares, $0.015 par value: | ||||||||
Authorized - 233,333; issued and outstanding - 98,602 shares in 2020 and 98,394 shares in 2019 | 1,479 | 1,476 | ||||||
Additional paid-in capital | 1,117,286 | 1,118,655 | ||||||
Accumulated other comprehensive income | 46,113 | 56,187 | ||||||
Retained earnings | 1,942,196 | 1,808,527 | ||||||
Total stockholders' equity | 3,107,074 | 2,984,845 | ||||||
Total liabilities and stockholders' equity | $ | 4,186,934 | $ | 3,873,425 | ||||
Return on average equity (1) | 19.6 | % | 20.8 | % | ||||
(1) The 2019 return on average equity is calculated by dividing annualized year-to-date 2020 net income by average equity. The 2019 return on average equity is calculated by dividing full year 2019 net income by average equity. |
Exhibit C | ||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||
Historical Quarterly Data | ||||||||||||||||||||
2020 | 2019 | |||||||||||||||||||
Selected Income Statement Data | March 31 | December 31 | September 30 | June 30 | March 31 | |||||||||||||||
(In thousands, except per share amounts) | ||||||||||||||||||||
Revenues: | ||||||||||||||||||||
Net premiums written | $ | 191,743 | $ | 196,493 | $ | 198,304 | $ | 188,404 | $ | 177,644 | ||||||||||
Net premiums earned (1) | 206,496 | 207,671 | 203,473 | 188,490 | 177,791 | |||||||||||||||
Other revenues (2) | 22,344 | 21,091 | 22,914 | 23,402 | 22,735 | |||||||||||||||
Total revenues | 228,840 | 228,762 | 226,387 | 211,892 | 200,526 | |||||||||||||||
Losses and expenses: | ||||||||||||||||||||
Provision for losses and LAE | 8,063 | 10,929 | 9,990 | 4,960 | 7,107 | |||||||||||||||
Other underwriting and operating expenses | 41,947 | 41,231 | 41,588 | 41,520 | 41,030 | |||||||||||||||
Interest expense | 2,132 | 2,218 | 2,584 | 2,679 | 2,670 | |||||||||||||||
Total losses and expenses | 52,142 | 54,378 | 54,162 | 49,159 | 50,807 | |||||||||||||||
Income before income taxes | 176,698 | 174,384 | 172,225 | 162,733 | 149,719 | |||||||||||||||
Income tax expense (3) | 27,175 | 27,426 | 27,595 | 26,328 | 21,999 | |||||||||||||||
Net income | $ | 149,523 | $ | 146,958 | $ | 144,630 | $ | 136,405 | $ | 127,720 | ||||||||||
Earnings per share: | ||||||||||||||||||||
Basic | $ | 1.53 | $ | 1.50 | $ | 1.48 | $ | 1.39 | $ | 1.31 | ||||||||||
Diluted | 1.52 | 1.49 | 1.47 | 1.39 | 1.30 | |||||||||||||||
Weighted average shares outstanding: | ||||||||||||||||||||
Basic | 97,949 | 97,830 | 97,822 | 97,798 | 97,595 | |||||||||||||||
Diluted | 98,326 | 98,376 | 98,257 | 98,170 | 98,104 | |||||||||||||||
Other Data: | ||||||||||||||||||||
Loss ratio (4) | 3.9 | % | 5.3 | % | 4.9 | % | 2.6 | % | 4.0 | % | ||||||||||
Expense ratio (5) | 20.3 | 19.9 | 20.4 | 22.0 | 23.1 | |||||||||||||||
Combined ratio | 24.2 | % | 25.1 | % | 25.3 | % | 24.7 | % | 27.1 | % | ||||||||||
Return on average equity (annualized) | 19.6 | % | 20.1 | % | 20.8 | % | 20.9 | % | 20.9 | % | ||||||||||
| (1) Net premiums earned also includes premiums earned on GSE and other risk share. See Exhibit F. |
(2) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. Other revenues for the three months ended March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019 include unfavorable decreases of $4,200, $3,585 and $760 and favorable increases of $1,160 and $1,424, respectively, in the fair value of these embedded derivatives. |
(3) Income tax expense for the three months ended March 31, 2020 and 2019 was reduced by $620 and $1,956, respectively, of excess tax benefits associated with the vesting of common shares and common share units during each period. |
(4) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned. |
(5) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. |
Exhibit C, continued | ||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||
Historical Quarterly Data | ||||||||||||||||||||
2020 | 2019 | |||||||||||||||||||
Other Data, continued: | March 31 | December 31 | September 30 | June 30 | March 31 | |||||||||||||||
($ in thousands) | ||||||||||||||||||||
U.S. Mortgage Insurance Portfolio | ||||||||||||||||||||
Flow: | ||||||||||||||||||||
New insurance written | $ | 13,549,299 | $ | 15,839,836 | $ | 18,719,876 | $ | 17,973,505 | $ | 10,945,307 | ||||||||||
New risk written | 3,384,171 | 3,966,363 | 4,695,611 | 4,485,217 | 2,713,389 | |||||||||||||||
Bulk: | ||||||||||||||||||||
New insurance written | $ | 151 | $ | — | $ | 6,133 | $ | 29,524 | $ | 55,002 | ||||||||||
New risk written | 24 | — | 842 | 2,129 | 6,542 | |||||||||||||||
Total: | ||||||||||||||||||||
Average gross premium rate (6) | 0.51 | % | 0.51 | % | 0.52 | % | 0.51 | % | 0.50 | % | ||||||||||
Average net premium rate (7) | 0.48 | % | 0.49 | % | 0.49 | % | 0.49 | % | 0.48 | % | ||||||||||
New insurance written | $ | 13,549,450 | $ | 15,839,836 | $ | 18,726,009 | $ | 18,003,029 | $ | 11,000,309 | ||||||||||
New risk written | $ | 3,384,195 | $ | 3,966,363 | $ | 4,696,453 | $ | 4,487,346 | $ | 2,719,931 | ||||||||||
Insurance in force (end of period) | $ | 165,615,503 | $ | 164,005,853 | $ | 160,962,192 | $ | 153,317,157 | $ | 143,181,641 | ||||||||||
Gross risk in force (end of period) (8) | $ | 41,865,977 | $ | 41,402,950 | $ | 40,540,289 | $ | 38,531,090 | $ | 35,925,830 | ||||||||||
Risk in force (end of period) | $ | 38,290,022 | $ | 38,947,857 | $ | 38,784,584 | $ | 37,034,687 | $ | 34,744,417 | ||||||||||
Policies in force | 706,714 | 702,925 | 693,085 | 666,705 | 629,808 | |||||||||||||||
Weighted average coverage (9) | 25.3 | % | 25.2 | % | 25.2 | % | 25.1 | % | 25.1 | % | ||||||||||
Annual persistency | 73.9 | % | 77.5 | % | 82.1 | % | 84.8 | % | 85.1 | % | ||||||||||
Loans in default (count) | 5,841 | 5,947 | 5,232 | 4,405 | 4,096 | |||||||||||||||
Percentage of loans in default | 0.83 | % | 0.85 | % | 0.75 | % | 0.66 | % | 0.65 | % | ||||||||||
Other Risk in Force | ||||||||||||||||||||
GSE and other risk share (10) | $ | 1,100,966 | $ | 895,374 | $ | 849,184 | $ | 802,530 | $ | 771,175 | ||||||||||
Credit Facility | ||||||||||||||||||||
Borrowings outstanding | $ | 425,000 | $ | 225,000 | $ | 225,000 | $ | 225,000 | $ | 225,000 | ||||||||||
Undrawn committed capacity | $ | 75,000 | $ | 275,000 | $ | 275,000 | $ | 275,000 | $ | 275,000 | ||||||||||
Weighted average interest rate (end of period) | 2.87 | % | ||||||||||||||||||
(6) Average gross premium rate is calculated by dividing annualized premiums earned for the U.S. mortgage insurance portfolio, before reductions for premiums ceded under third-party reinsurance, by average insurance in force for the period. |
(7) Average net premium rate is calculated by dividing annualized net premiums earned for the U.S. mortgage insurance portfolio by average insurance in force for the period. |
(8) Gross risk in force includes risk ceded under third-party reinsurance. |
(9) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force. |
(10) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Re provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae. |
Exhibit D | ||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||
Supplemental Information | ||||||||||||||||||
New Insurance Written: Flow | ||||||||||||||||||
NIW by Credit Score | ||||||||||||||||||
Three Months Ended | ||||||||||||||||||
March 31, 2020 | December 31, 2019 | March 31, 2019 | ||||||||||||||||
($ in thousands) | ||||||||||||||||||
>=760 | $ | 5,655,716 | 41.8 | % | $ | 6,486,486 | 40.9 | % | $ | 4,470,503 | 40.8 | % | ||||||
740-759 | 2,458,032 | 18.1 | 2,880,429 | 18.2 | 1,912,141 | 17.5 | ||||||||||||
720-739 | 2,018,874 | 14.9 | 2,401,806 | 15.2 | 1,565,613 | 14.3 | ||||||||||||
700-719 | 1,558,743 | 11.5 | 1,860,120 | 11.7 | 1,352,545 | 12.4 | ||||||||||||
680-699 | 1,044,918 | 7.7 | 1,235,223 | 7.8 | 907,969 | 8.3 | ||||||||||||
<=679 | 813,016 | 6.0 | 975,772 | 6.2 | 736,536 | 6.7 | ||||||||||||
Total | $ | 13,549,299 | 100.0 | % | $ | 15,839,836 | 100.0 | % | $ | 10,945,307 | 100.0 | % | ||||||
Weighted average credit score | 746 | 745 | 744 | |||||||||||||||
NIW by LTV | ||||||||||||||||||
Three Months Ended | ||||||||||||||||||
March 31, 2020 | December 31, 2019 | March 31, 2019 | ||||||||||||||||
($ in thousands) | ||||||||||||||||||
85.00% and below | $ | 1,963,476 | 14.5 | % | $ | 2,084,932 | 13.2 | % | $ | 1,442,833 | 13.2 | % | ||||||
85.01% to 90.00% | 3,987,274 | 29.4 | 4,757,915 | 30.0 | 2,950,348 | 26.9 | ||||||||||||
90.01% to 95.00% | 5,685,880 | 42.0 | 6,771,196 | 42.7 | 4,659,337 | 42.6 | ||||||||||||
95.01% and above | 1,912,669 | 14.1 | 2,225,793 | 14.1 | 1,892,789 | 17.3 | ||||||||||||
Total | $ | 13,549,299 | 100.0 | % | $ | 15,839,836 | 100.0 | % | $ | 10,945,307 | 100.0 | % | ||||||
Weighted average LTV | 92 | % | 92 | % | 92 | % | ||||||||||||
NIW by Product | ||||||||||||||||||
Three Months Ended | ||||||||||||||||||
March 31, 2020 | December 31, 2019 | March 31, 2019 | ||||||||||||||||
Single Premium policies | 9.7 | % | 10.4 | % | 12.3 | % | ||||||||||||
Monthly Premium policies | 90.3 | 89.6 | 87.7 | |||||||||||||||
100.0 | % | 100.0 | % | 100.0 | % | |||||||||||||
NIW by Purchase vs. Refinance | ||||||||||||||||||
Three Months Ended | ||||||||||||||||||
March 31, 2020 | December 31, 2019 | March 31, 2019 | ||||||||||||||||
Purchase | 69.2 | % | 71.8 | % | 87.6 | % | ||||||||||||
Refinance | 30.8 | 28.2 | 12.4 | |||||||||||||||
100.0 | % | 100.0 | % | 100.0 | % | |||||||||||||
Exhibit E | ||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||
Supplemental Information | ||||||||||||||||||
Insurance in Force and Risk in Force | ||||||||||||||||||
Portfolio by Credit Score | ||||||||||||||||||
IIF by FICO score | March 31, 2020 | December 31, 2019 | March 31, 2019 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
>=760 | $ | 68,385,363 | 41.3 | % | $ | 68,123,523 | 41.5 | % | $ | 61,191,185 | 42.7 | % | ||||||
740-759 | 28,289,661 | 17.1 | 27,886,603 | 17.0 | 23,919,745 | 16.7 | ||||||||||||
720-739 | 24,441,834 | 14.7 | 24,069,139 | 14.7 | 20,728,151 | 14.5 | ||||||||||||
700-719 | 19,442,133 | 11.7 | 19,183,219 | 11.7 | 16,454,730 | 11.5 | ||||||||||||
680-699 | 13,859,727 | 8.4 | 13,713,164 | 8.4 | 11,774,884 | 8.2 | ||||||||||||
<=679 | 11,196,785 | 6.8 | 11,030,205 | 6.7 | 9,112,946 | 6.4 | ||||||||||||
Total | $ | 165,615,503 | 100.0 | % | $ | 164,005,853 | 100.0 | % | $ | 143,181,641 | 100.0 | % | ||||||
Weighted average credit score | 745 | 745 | 746 | |||||||||||||||
Gross RIF by FICO score | March 31, 2020 | December 31, 2019 | March 31, 2019 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
>=760 | $ | 17,138,596 | 40.9 | % | $ | 17,082,683 | 41.3 | % | $ | 15,303,364 | 42.6 | % | ||||||
740-759 | 7,181,181 | 17.2 | 7,056,654 | 17.0 | 6,012,004 | 16.7 | ||||||||||||
720-739 | 6,262,376 | 15.0 | 6,150,334 | 14.9 | 5,257,051 | 14.6 | ||||||||||||
700-719 | 4,950,746 | 11.8 | 4,873,597 | 11.8 | 4,144,221 | 11.6 | ||||||||||||
680-699 | 3,537,973 | 8.4 | 3,491,755 | 8.4 | 2,974,758 | 8.3 | ||||||||||||
<=679 | 2,795,105 | 6.7 | 2,747,927 | 6.6 | 2,234,432 | 6.2 | ||||||||||||
Total | $ | 41,865,977 | 100.0 | % | $ | 41,402,950 | 100.0 | % | $ | 35,925,830 | 100.0 | % | ||||||
Portfolio by LTV | ||||||||||||||||||
IIF by LTV | March 31, 2020 | December 31, 2019 | March 31, 2019 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
85.00% and below | $ | 17,304,231 | 10.5 | % | $ | 17,128,008 | 10.5 | % | $ | 15,581,861 | 10.9 | % | ||||||
85.01% to 90.00% | 47,063,180 | 28.4 | 46,771,386 | 28.5 | 42,045,657 | 29.3 | ||||||||||||
90.01% to 95.00% | 77,059,950 | 46.5 | 76,611,494 | 46.7 | 68,414,122 | 47.8 | ||||||||||||
95.01% and above | 24,188,142 | 14.6 | 23,494,965 | 14.3 | 17,140,001 | 12.0 | ||||||||||||
Total | $ | 165,615,503 | 100.0 | % | $ | 164,005,853 | 100.0 | % | $ | 143,181,641 | 100.0 | % | ||||||
Weighted average LTV | 92 | % | 92 | % | 92 | % | ||||||||||||
Gross RIF by LTV | March 31, 2020 | December 31, 2019 | March 31, 2019 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
85.00% and below | $ | 1,997,845 | 4.8 | % | $ | 1,977,361 | 4.8 | % | $ | 1,797,794 | 5.0 | % | ||||||
85.01% to 90.00% | 11,322,131 | 27.0 | 11,249,383 | 27.2 | 10,083,981 | 28.1 | ||||||||||||
90.01% to 95.00% | 22,110,369 | 52.8 | 21,981,598 | 53.1 | 19,605,747 | 54.6 | ||||||||||||
95.01% and above | 6,435,632 | 15.4 | 6,194,608 | 14.9 | 4,438,308 | 12.3 | ||||||||||||
Total | $ | 41,865,977 | 100.0 | % | $ | 41,402,950 | 100.0 | % | $ | 35,925,830 | 100.0 | % | ||||||
Portfolio by Loan Amortization Period | ||||||||||||||||||
IIF by Loan Amortization Period | March 31, 2020 | December 31, 2019 | March 31, 2019 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
FRM 30 years and higher | $ | 156,741,714 | 94.6 | % | $ | 154,905,519 | 94.5 | % | $ | 133,725,528 | 93.4 | % | ||||||
FRM 20-25 years | 2,829,876 | 1.7 | 2,854,560 | 1.7 | 2,912,323 | 2.1 | ||||||||||||
FRM 15 years | 3,230,148 | 2.0 | 3,300,715 | 2.0 | 3,335,714 | 2.3 | ||||||||||||
ARM 5 years and higher | 2,813,765 | 1.7 | 2,945,059 | 1.8 | 3,208,076 | 2.2 | ||||||||||||
Total | $ | 165,615,503 | 100.0 | % | $ | 164,005,853 | 100.0 | % | $ | 143,181,641 | 100.0 | % | ||||||
Exhibit F | ||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||
Other Risk in Force | ||||||||||||||||||||
2020 | 2019 | |||||||||||||||||||
($ in thousands) | March 31 | December 31 | September 30 | June 30 | March 31 | |||||||||||||||
GSE and other risk share (1): | ||||||||||||||||||||
Premiums earned | $ | 10,778 | $ | 9,867 | $ | 9,284 | $ | 8,622 | $ | 7,894 | ||||||||||
Risk in Force | $ | 1,100,966 | $ | 895,374 | $ | 849,184 | $ | 802,530 | $ | 771,175 | ||||||||||
Weighted average credit score | 746 | 745 | 746 | 748 | 747 | |||||||||||||||
Weighted average LTV | 85 | % | 85 | % | 85 | % | 85 | % | 85 | % | ||||||||||
(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae. |
Exhibit G | ||||||||||||||||||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||||||||||||||||||||
Portfolio Vintage Data | ||||||||||||||||||||||||||||||||||||||
March 31, 2020 | ||||||||||||||||||||||||||||||||||||||
Insurance in Force | ||||||||||||||||||||||||||||||||||||||
Year | Original
| Remaining
| % Remaining of
| Number of
| % Purchase | >90% LTV | >95% LTV | FICO < 700 | FICO >= 760 | Incurred
| Number of
| Percentage of
| ||||||||||||||||||||||||||
2010 - 2014 | $ | 60,668,851 | $ | 9,744,199 | 16.1 | % | 53,929 | 83.9 | % | 68.5 | % | 3.8 | % | 12.2 | % | 45.9 | % | 2.6 | % | 815 | 1.51 | % | ||||||||||||||||
2015 | 26,193,656 | 9,081,764 | 34.7 | 45,264 | 85.2 | 61.3 | 2.8 | 14.8 | 43.8 | 2.7 | 594 | 1.31 | ||||||||||||||||||||||||||
2016 | 34,949,319 | 17,593,372 | 50.3 | 81,241 | 84.7 | 59.6 | 7.2 | 13.5 | 45.7 | 2.9 | 890 | 1.10 | ||||||||||||||||||||||||||
2017 | 43,858,322 | 27,127,737 | 61.9 | 125,541 | 88.2 | 61.3 | 14.8 | 15.8 | 41.9 | 4.2 | 1,542 | 1.23 | ||||||||||||||||||||||||||
2018 | 47,508,525 | 32,032,954 | 67.4 | 140,687 | 92.5 | 63.0 | 19.1 | 15.9 | 39.5 | 5.9 | 1,390 | 0.99 | ||||||||||||||||||||||||||
2019 | 63,569,183 | 56,579,438 | 89.0 | 212,911 | 80.6 | 60.4 | 18.1 | 15.8 | 39.3 | 4.3 | 603 | 0.28 | ||||||||||||||||||||||||||
2020 (through March 31) | 13,549,450 | 13,456,039 | 99.3 | 47,141 | 69.1 | 56.1 | 14.1 | 13.7 | 41.7 | 1.1 | 7 | 0.01 | ||||||||||||||||||||||||||
Total | $ | 290,297,306 | $ | 165,615,503 | 57.1 | 706,714 | 84.1 | 61.1 | 14.6 | 15.1 | 41.3 | 3.4 | 5,841 | 0.83 | ||||||||||||||||||||||||
(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned. | ||||||||||||||||||||||||||||||||||||||
Exhibit H | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Reinsurance Vintage Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Excess of Loss Reinsurance | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Original Reinsurance in Force | Remaining Reinsurance in Force | Year-to-Date | ||||||||||||||||||||||||||||||||||||||||||||||||||
Year | Remaining
| Remaining
| ILN (1) | Other
| Total | ILN | Other
| Total | Losses
| Original
| Remaining
| Earned
| Reduction in
| |||||||||||||||||||||||||||||||||||||||
2015 & 2016 | $ | 25,025,497 | $ | 6,762,026 | $ | 333,844 | $ | — | $ | 333,844 | $ | 244,105 | $ | — | $ | 244,105 | $ | — | $ | 208,111 | $ | 208,111 | $ | 1,838 | $ | 192,485 | ||||||||||||||||||||||||||
2017 | 26,279,318 | 6,665,183 | 424,412 | 165,167 | 589,579 | 280,180 | 165,167 | 445,347 | — | 224,689 | 221,852 | 3,353 | 241,513 | |||||||||||||||||||||||||||||||||||||||
2018 | 31,375,687 | 7,923,964 | 473,184 | 118,650 | 591,834 | 377,509 | 87,941 | 465,450 | — | 253,643 | 253,081 | 4,105 | 366,199 | |||||||||||||||||||||||||||||||||||||||
2019 (3) | 34,916,398 | 8,826,958 | 495,889 | 55,102 | 550,991 | 495,889 | 55,102 | 550,991 | — | 215,605 | 215,605 | 2,489 | 462,024 | |||||||||||||||||||||||||||||||||||||||
Total | $ | 117,596,900 | $ | 30,178,131 | $ | 1,727,329 | $ | 338,919 | $ | 2,066,248 | $ | 1,397,683 | $ | 308,210 | $ | 1,705,893 | $ | — | $ | 902,048 | $ | 898,649 | $ | 11,785 | $ | 1,262,221 | ||||||||||||||||||||||||||
Quota Share Reinsurance | ||||||||||||||||||||||||||||||||||
Year-to-Date | ||||||||||||||||||||||||||||||||||
Year | Remaining
| Remaining
| Remaining Ceded
| Remaining Ceded Risk
| Losses
| Ceding
| Earned Premiums
| Reduction in PMIERs
| ||||||||||||||||||||||||||
2019 & 2020 | (4) | $ | 34,268,944 | $ | 8,598,188 | $ | 7,542,999 | $ | 1,870,062 | $ | 98 | $ | 1,177 | $ | 2,452 | $ | 127,311 | |||||||||||||||||
(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs"). | ||||||||||||||||||||||||||||||||||
(2) Reinsurance provided by panels of reinsurers. | ||||||||||||||||||||||||||||||||||
(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019. | ||||||||||||||||||||||||||||||||||
(4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020. | ||||||||||||||||||||||||||||||||||
(5) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs. | ||||||||||||||||||||||||||||||||||
Exhibit I | |||||||||
Essent Group Ltd. and Subsidiaries | |||||||||
Supplemental Information | |||||||||
Portfolio Geographic Data | |||||||||
IIF by State | |||||||||
March 31, 2020 | December 31, 2019 | March 31, 2019 | |||||||
CA | 10.4 | % | 10.0 | % | 9.3 | % | |||
TX | 8.9 | 8.6 | 7.9 | ||||||
FL | 8.0 | 7.9 | 7.4 | ||||||
WA | 4.2 | 4.4 | 4.7 | ||||||
CO | 3.8 | 3.7 | 3.4 | ||||||
IL | 3.6 | 3.7 | 3.8 | ||||||
NJ | 3.6 | 3.6 | 3.7 | ||||||
AZ | 3.3 | 3.3 | 3.1 | ||||||
OH | 3.3 | 3.4 | 3.3 | ||||||
NC | 3.2 | 3.3 | 3.5 | ||||||
All Others | 47.7 | 48.1 | 49.9 | ||||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | |||
Gross RIF by State | |||||||||
March 31, 2020 | December 31, 2019 | March 31, 2019 | |||||||
CA | 10.1 | % | 9.8 | % | 9.0 | % | |||
TX | 9.2 | 8.9 | 8.1 | ||||||
FL | 8.2 | 8.0 | 7.6 | ||||||
WA | 4.2 | 4.4 | 4.7 | ||||||
CO | 3.7 | 3.6 | 3.3 | ||||||
NJ | 3.5 | 3.6 | 3.7 | ||||||
IL | 3.5 | 3.5 | 3.7 | ||||||
AZ | 3.3 | 3.2 | 3.1 | ||||||
OH | 3.3 | 3.3 | 3.4 | ||||||
GA | 3.2 | 3.3 | 3.5 | ||||||
All Others | 47.8 | 48.4 | 49.9 | ||||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | |||
Exhibit J | ||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||
Supplemental Information | ||||||||||||
Defaults, Reserve for Losses and LAE, and Claims | ||||||||||||
Rollforward of Insured Loans in Default | ||||||||||||
Three Months Ended | ||||||||||||
March 31, | December 31, | March 31, | ||||||||||
2020 | 2019 | 2019 | ||||||||||
Beginning default inventory | 5,947 | 5,232 | 4,024 | |||||||||
Plus: new defaults | 3,933 | 3,826 | 2,918 | |||||||||
Less: cures | (3,914 | ) | (3,027 | ) | (2,749 | ) | ||||||
Less: claims paid | (118 | ) | (80 | ) | (88 | ) | ||||||
Less: rescissions and denials, net | (7 | ) | (4 | ) | (9 | ) | ||||||
Ending default inventory | 5,841 | 5,947 | 4,096 | |||||||||
Rollforward of Reserve for Losses and LAE | ||||||||||||
Three Months Ended | ||||||||||||
March 31, | December 31, | March 31, | ||||||||||
($ in thousands) | 2020 | 2019 | 2019 | |||||||||
Reserve for losses and LAE at beginning of period | $ | 69,362 | $ | 61,436 | $ | 49,464 | ||||||
Less: Reinsurance recoverables | 71 | — | — | |||||||||
Net reserve for losses and LAE at beginning of period | 69,291 | 61,436 | 49,464 | |||||||||
Add provision for losses and LAE occurring in: | ||||||||||||
Current year | 15,419 | 12,658 | 11,828 | |||||||||
Prior years | (7,356 | ) | (1,729 | ) | (4,721 | ) | ||||||
Incurred losses and LAE during the period | 8,063 | 10,929 | 7,107 | |||||||||
Deduct payments for losses and LAE occurring in: | ||||||||||||
Current year | 1 | 631 | 15 | |||||||||
Prior years | 4,110 | 2,443 | 3,072 | |||||||||
Loss and LAE payments during the period | 4,111 | 3,074 | 3,087 | |||||||||
Net reserve for losses and LAE at end of period | 73,243 | 69,291 | 53,484 | |||||||||
Plus: Reinsurance recoverables | 98 | 71 | — | |||||||||
Reserve for losses and LAE at end of period | $ | 73,341 | $ | 69,362 | $ | 53,484 | ||||||
Claims | ||||||||||||
Three Months Ended | ||||||||||||
March 31, | December 31, | March 31, | ||||||||||
2020 | 2019 | 2019 | ||||||||||
Number of claims paid | 118 | 80 | 88 | |||||||||
Total amount paid for claims (in thousands) | $ | 4,157 | $ | 2,922 | $ | 2,899 | ||||||
Average amount paid per claim (in thousands) | $ | 35 | $ | 37 | $ | 33 | ||||||
Severity | 77 | % | 76 | % | 78 | % | ||||||
Exhibit J, continued | ||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||
Defaults, Reserve for Losses and LAE, and Claims | ||||||||||||||||||||
U.S. Mortgage Insurance Portfolio | ||||||||||||||||||||
March 31, 2020 | ||||||||||||||||||||
Number of
| Percentage of
| Amount of
| Percentage of
| Defaulted RIF | Reserves as a
| |||||||||||||||
($ in thousands) | ||||||||||||||||||||
Missed Payments: | ||||||||||||||||||||
Three payments or less | 3,043 | 52 | % | $ | 15,128 | 23 | % | $ | 170,374 | 9 | % | |||||||||
Four to eleven payments | 2,140 | 37 | 30,493 | 45 | 114,135 | 27 | ||||||||||||||
Twelve or more payments | 518 | 9 | 15,235 | 23 | 29,596 | 51 | ||||||||||||||
Pending claims | 140 | 2 | 6,241 | 9 | 7,074 | 88 | ||||||||||||||
Total case reserves (1) | 5,841 | 100 | % | 67,097 | 100 | % | $ | 321,179 | 21 | |||||||||||
IBNR | 5,032 | |||||||||||||||||||
LAE | 1,196 | |||||||||||||||||||
Total reserves for losses and LAE (1) | $ | 73,325 | ||||||||||||||||||
Average reserve per default: | ||||||||||||||||||||
Case | $ | 11.5 | ||||||||||||||||||
Total | $ | 12.6 | ||||||||||||||||||
Default Rate | 0.83% | |||||||||||||||||||
(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $16. | ||||||||||||||||||||
December 31, 2019 | ||||||||||||||||||||
Number of
| Percentage of
| Amount of
| Percentage of
| Defaulted RIF | Reserves as a
| |||||||||||||||
($ in thousands) | ||||||||||||||||||||
Missed Payments: | ||||||||||||||||||||
Three payments or less | 3,310 | 56 | % | $ | 15,793 | 25 | % | $ | 177,238 | 9 | % | |||||||||
Four to eleven payments | 2,035 | 34 | 28,006 | 44 | 108,743 | 26 | ||||||||||||||
Twelve or more payments | 473 | 8 | 13,549 | 22 | 27,152 | 50 | ||||||||||||||
Pending claims | 129 | 2 | 5,832 | 9 | 6,777 | 86 | ||||||||||||||
Total case reserves (2) | 5,947 | 100 | % | 63,180 | 100 | % | $ | 319,910 | 20 | |||||||||||
IBNR | 4,738 | |||||||||||||||||||
LAE | 1,265 | |||||||||||||||||||
Total reserves for losses and LAE (2) | $ | 69,183 | ||||||||||||||||||
Average reserve per default: | ||||||||||||||||||||
Case | $ | 10.6 | ||||||||||||||||||
Total | $ | 11.6 | ||||||||||||||||||
Default Rate | 0.85% | |||||||||||||||||||
(2) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $179. | ||||||||||||||||||||
March 31, 2019 | ||||||||||||||||||||
Number of
| Percentage of
| Amount of
| Percentage of
| Defaulted RIF | Reserves as a
| |||||||||||||||
($ in thousands) | ||||||||||||||||||||
Missed Payments: | ||||||||||||||||||||
Three payments or less | 2,172 | 53 | % | $ | 11,374 | 23 | % | $ | 117,607 | 10 | % | |||||||||
Four to eleven payments | 1,492 | 36 | 23,599 | 48 | 80,842 | 29 | ||||||||||||||
Twelve or more payments | 361 | 9 | 11,105 | 23 | 20,526 | 54 | ||||||||||||||
Pending claims | 71 | 2 | 3,015 | 6 | 3,517 | 86 | ||||||||||||||
Total case reserves | 4,096 | 100 | % | 49,093 | 100 | % | $ | 222,492 | 22 | |||||||||||
IBNR | 3,682 | |||||||||||||||||||
LAE | 709 | |||||||||||||||||||
Total reserves for losses and LAE | $ | 53,484 | ||||||||||||||||||
Average reserve per default: | ||||||||||||||||||||
Case | $ | 12.0 | ||||||||||||||||||
Total | $ | 13.1 | ||||||||||||||||||
Default Rate | 0.65% | |||||||||||||||||||
Exhibit K | ||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||
Supplemental Information | ||||||||||||||
Investments Available for Sale | ||||||||||||||
Investments Available for Sale by Asset Class | ||||||||||||||
Asset Class | March 31, 2020 | December 31, 2019 | ||||||||||||
($ in thousands) | Fair Value | Percent | Fair Value | Percent | ||||||||||
U.S. Treasury securities | $ | 235,565 | 6.4 | % | $ | 242,206 | 7.2 | % | ||||||
U.S. agency securities | 33,892 | 0.9 | 33,605 | 1.0 | ||||||||||
U.S. agency mortgage-backed securities | 876,298 | 23.7 | 848,334 | 25.3 | ||||||||||
Municipal debt securities | 419,688 | 11.3 | 361,638 | 10.8 | ||||||||||
Non-U.S. government securities | 52,209 | 1.4 | 54,995 | 1.7 | ||||||||||
Corporate debt securities | 879,503 | 23.7 | 880,301 | 26.3 | ||||||||||
Residential and commercial mortgage securities | 275,532 | 7.4 | 288,281 | 8.6 | ||||||||||
Asset-backed securities | 337,675 | 9.1 | 326,025 | 9.7 | ||||||||||
Money market funds | 595,165 | 16.1 | 315,362 | 9.4 | ||||||||||
Total investments available for sale | $ | 3,705,527 | 100.0 | % | $ | 3,350,747 | 100.0 | % | ||||||
Investments Available for Sale by Credit Rating | ||||||||||||||
Rating (1) | March 31, 2020 | December 31, 2019 | ||||||||||||
($ in thousands) | Fair Value | Percent | Fair Value | Percent | ||||||||||
Aaa | $ | 2,177,097 | 58.7 | % | $ | 1,817,905 | 54.2 | % | ||||||
Aa1 | 109,937 | 3.0 | 109,122 | 3.3 | ||||||||||
Aa2 | 152,322 | 4.1 | 145,282 | 4.3 | ||||||||||
Aa3 | 200,368 | 5.4 | 159,599 | 4.8 | ||||||||||
A1 | 199,762 | 5.4 | 206,643 | 6.2 | ||||||||||
A2 | 199,109 | 5.4 | 183,780 | 5.5 | ||||||||||
A3 | 188,393 | 5.1 | 191,933 | 5.7 | ||||||||||
Baa1 | 227,067 | 6.1 | 232,490 | 6.9 | ||||||||||
Baa2 | 173,772 | 4.7 | 179,664 | 5.4 | ||||||||||
Baa3 | 43,374 | 1.2 | 65,119 | 1.9 | ||||||||||
Below Baa3 | 34,326 | 0.9 | 59,210 | 1.8 | ||||||||||
Total investments available for sale | $ | 3,705,527 | 100.0 | % | $ | 3,350,747 | 100.0 | % | ||||||
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available. | ||||||||||||||
Investments Available for Sale by Duration and Book Yield | ||||||||||||||
Effective Duration | March 31, 2020 | December 31, 2019 | ||||||||||||
($ in thousands) | Fair Value | Percent | Fair Value | Percent | ||||||||||
< 1 Year | $ | 1,372,660 | 37.0 | % | $ | 1,038,782 | 31.0 | % | ||||||
1 to < 2 Years | 508,923 | 13.7 | 306,148 | 9.1 | ||||||||||
2 to < 3 Years | 402,111 | 10.9 | 348,708 | 10.4 | ||||||||||
3 to < 4 Years | 330,719 | 8.9 | 361,147 | 10.8 | ||||||||||
4 to < 5 Years | 298,753 | 8.1 | 443,382 | 13.2 | ||||||||||
5 or more Years | 792,361 | 21.4 | 852,580 | 25.5 | ||||||||||
Total investments available for sale | $ | 3,705,527 | 100.0 | % | $ | 3,350,747 | 100.0 | % | ||||||
Pre-tax investment income yield: | ||||||||||||||
Three months ended March 31, 2020 | 2.51 | % | ||||||||||||
Net cash and investments at holding company, Essent Group Ltd.: | ||||||||||||||
($ in thousands) | ||||||||||||||
As of March 31, 2020 | $ | 279,778 | ||||||||||||
As of December 31, 2019 | $ | 98,376 | ||||||||||||
Exhibit L | ||||||||
Essent Group Ltd. and Subsidiaries | ||||||||
Supplemental Information | ||||||||
Insurance Company Capital | ||||||||
March 31, 2020 | December 31, 2019 | |||||||
($ in thousands) | ||||||||
U.S. Mortgage Insurance Subsidiaries: | ||||||||
Combined statutory capital (1) | $ | 2,452,730 | $ | 2,335,828 | ||||
Combined net risk in force (2) | $ | 28,729,105 | $ | 29,460,191 | ||||
Risk-to-capital ratios: (3) | ||||||||
Essent Guaranty, Inc. | 12.1:1 | 13.1:1 | ||||||
Essent Guaranty of PA, Inc. | 2.7:1 | 2.9:1 | ||||||
Combined (4) | 11.7:1 | 12.6:1 | ||||||
Essent Reinsurance Ltd.: | ||||||||
Stockholder's equity (GAAP basis) | $ | 1,005,038 | $ | 939,360 | ||||
Net risk in force (2) | $ | 10,589,736 | $ | 10,314,942 | ||||
(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual. |
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established. |
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital. |
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital. |
Exhibit M | |||||
Essent Group Ltd. and Subsidiaries | |||||
Supplemental Information | |||||
Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share | |||||
We believe that long-term growth in Adjusted Book Value per Share is an important measure of our financial performance and is the basis for measures used to determine vesting on certain restricted stock granted to senior management under the Company’s long-term incentive plan. Adjusted Book Value per Share is a financial measure that is not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and is referred to as a non-GAAP measure. Adjusted Book Value per Share may be defined or calculated differently by other companies. Adjusted Book Value per Share is one measure used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP.
Adjusted Book Value per Share is calculated by dividing Adjusted Book Value by Common Shares and Share Units Outstanding. Adjusted Book Value is defined as consolidated stockholders’ equity of the Company, excluding accumulated other comprehensive income (loss) plus the proceeds, if any, from the assumed exercise of all "in-the-money" options, warrants and similar instruments. Common Shares and Share Units Outstanding is defined as total common shares outstanding plus all equity instruments (including restricted share units and dividend equivalent units) issued to management and the Board of Directors and any "in-the-money" options, warrants and similar instruments. Accumulated other comprehensive income (loss) includes unrealized gains and losses that arise from changes in the market value of the Company’s investments. The Company does not view these unrealized gains and losses to be indicative of our fundamental operating performance. As of March 31, 2020, December 31, 2019 and March 31, 2019, the Company does not have any options, warrants and similar instruments outstanding.
The following table sets forth the reconciliation of Adjusted Book Value to the most comparable GAAP amount as of March 31, 2020, December 31, 2019 and March 31, 2019 in accordance with Regulation G:
(In thousands, except per share amounts) | March 31, 2020 | December 31, 2019 | March 31, 2019 | |||||||||
Numerator: | ||||||||||||
Total Stockholders' Equity (Book Value) | $ | 3,107,074 | $ | 2,984,845 | $ | 2,527,803 | ||||||
Subtract: Accumulated Other Comprehensive Income | 46,113 | 56,187 | 9,373 | |||||||||
Adjusted Book Value | $ | 3,060,961 | $ | 2,928,658 | $ | 2,518,430 | ||||||
Denominator: | ||||||||||||
Total Common Shares Outstanding | 98,602 | 98,394 | 98,364 | |||||||||
Add: Restricted Share Units and Dividend Equivalent Units Outstanding | 495 | 356 | 374 | |||||||||
Total Common Shares and Share Units Outstanding | 99,097 | 98,750 | 98,738 | |||||||||
Adjusted Book Value per Share | $ | 30.89 | $ | 29.66 | $ | 25.51 | ||||||
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Contacts:
610.230.0556
media@essentgroup.com
