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