Essent Group Ltd. Announces Fourth Quarter & Full Year 2020 Results; Declares Quarterly Dividend
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
View source version on businesswire.com: https://www.businesswire.com/news/home/20210219005054/en/