Attached files
| file | filename |
|---|---|
| 8-K - FORM 8-K - GENWORTH FINANCIAL INC | d8k.htm |
| EX-99.1 - EXHIBIT 99.1 - GENWORTH FINANCIAL INC | dex991.htm |
Exhibit 99.2
GENWORTH FINANCIAL, INC.
PRELIMINARY STATISTICAL SUPPLEMENT—U.S. MORTGAGE INSURANCE
SECOND QUARTER 2011
| Table of Contents |
Page | |||
| Performance Measures—Other Metrics |
3 | |||
| Performance Measures—Loss Metrics |
4 | |||
| Performance Measures—Portfolio Quality Metrics |
5-9 | |||
| Performance Measures—Other Metrics-Bulk Risk In-Force |
10 | |||
| Performance Measures—Aggregate Book Year Analysis Provided to Illustrate Directional Progression Toward Captive Attachment |
11 | |||
Note:
As the company has not completed its quarterly financial close process and its analysis of the second quarter of 2011, the results presented in this statistical supplement are estimated and preliminary and, therefore, may change.
Selected Operating Performance Measures
This preliminary statistical supplement contains selected operating performance measures including “insurance in-force” or “risk in-force” which are commonly used in the insurance and investment industries as measures of operating performance.
Management regularly monitors and reports insurance in-force and risk in-force for the U.S. mortgage insurance business. Insurance in-force is a measure of the aggregate face value of outstanding insurance policies as of the respective reporting date. Risk in-force is the obligation that is limited under contractual terms to the amounts less than 100% of the mortgage loan value. The company considers insurance in-force and risk in-force to be a measure of the company’s operating performance because they represent a measure of the size of the business at a specific date which will generate revenues and profits in a future period, rather than a measure of the company’s revenues or profitability during that period.
This preliminary statistical supplement also includes information related to loss mitigation activities for the U.S. mortgage insurance business. The company defines loss mitigation activities as rescissions, cancellations, borrower loan modifications, repayment plans, lender- and borrower-titled presales, claims curtailment and other loan workouts and claim mitigation actions. Estimated savings related to rescissions are the reduction in carried loss reserves, net of premium refunds and reinstatement of prior rescissions. Estimated savings related to loan modifications and other cure related loss mitigation actions represent the reduction in carried loss reserves. For non-cure related actions, including presales, the estimated savings represent the difference between the full claim obligation and the actual amount paid. The company believes that this information helps to enhance the understanding of the operating performance of the U.S. mortgage insurance business as they specifically impact current and future loss reserves and level of claim payments.
These operating measures enable the company to compare its operating performance across periods without regard to revenues or profitability related to policies or contracts sold in prior periods or from investments or other sources.
2
GENWORTH FINANCIAL, INC.
PRELIMINARY STATISTICAL SUPPLEMENT—U.S. MORTGAGE INSURANCE
SECOND QUARTER 2011
Other Metrics
(dollar amounts in millions)
| 2011 | 2010 | |||||||||||||||||||||||||||||||
| 2Q | 1Q | Total | 4Q | 3Q | 2Q | 1Q | Total | |||||||||||||||||||||||||
| New Insurance Written (NIW) |
$ | 1,900 | $ | 2,400 | $ | 4,300 | $ | 3,200 | $ | 2,700 | $ | 2,200 | $ | 1,700 | $ | 9,800 | ||||||||||||||||
| Net Premiums Written |
$ | 145 | $ | 142 | $ | 287 | $ | 151 | $ | 148 | $ | 152 | $ | 142 | $ | 593 | ||||||||||||||||
| New Risk Written |
||||||||||||||||||||||||||||||||
| Flow |
$ | 461 | $ | 439 | $ | 900 | $ | 565 | $ | 552 | $ | 480 | $ | 335 | $ | 1,932 | ||||||||||||||||
| Bulk |
— | 27 | 27 | 36 | 16 | 5 | 8 | 65 | ||||||||||||||||||||||||
| Total Primary |
461 | 466 | 927 | 601 | 568 | 485 | 343 | 1,997 | ||||||||||||||||||||||||
| Pool |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Total New Risk Written |
$ | 461 | $ | 466 | $ | 927 | $ | 601 | $ | 568 | $ | 485 | $ | 343 | $ | 1,997 | ||||||||||||||||
| Primary Insurance In-Force |
$ | 120,900 | $ | 123,300 | $ | 125,900 | $ | 129,100 | $ | 131,900 | $ | 134,800 | ||||||||||||||||||||
| Risk In-Force |
||||||||||||||||||||||||||||||||
| Flow |
$ | 27,489 | $ | 27,984 | $ | 28,498 | $ | 29,199 | $ | 29,836 | $ | 30,206 | ||||||||||||||||||||
| Bulk |
540 | 559 | 539 | 519 | 509 | 523 | ||||||||||||||||||||||||||
| Total Primary |
28,029 | 28,543 | 29,037 | 29,718 | 30,345 | 30,729 | ||||||||||||||||||||||||||
| Pool |
278 | 288 | 297 | 308 | 314 | 322 | ||||||||||||||||||||||||||
| Total Risk In-Force |
$ | 28,307 | $ | 28,831 | $ | 29,334 | $ | 30,026 | $ | 30,659 | $ | 31,051 | ||||||||||||||||||||
| GAAP Basis Expense Ratio(1) |
27 | % | 27 | % | 27 | % | 28 | % | 22 | % | 25 | % | 26 | % | 25 | % | ||||||||||||||||
| Adjusted Expense Ratio(2) |
27 | % | 27 | % | 27 | % | 28 | % | 23 | % | 25 | % | 26 | % | 25 | % | ||||||||||||||||
| Flow Persistency |
86 | % | 86 | % | 82 | % | 84 | % | 88 | % | 86 | % | ||||||||||||||||||||
| Gross Written Premiums Ceded To Captives/Total Direct Written Premiums |
15 | % | 17 | % | 18 | % | 19 | % | 18 | % | 20 | % | ||||||||||||||||||||
| Risk To Capital Ratio(3) |
N/A | 25.0:1 | 21.9:1 | 17.8:1 | 15.1:1 | 14.9:1 | ||||||||||||||||||||||||||
| Average Primary Loan Size (in thousands) |
$ | 162 | $ | 162 | $ | 161 | $ | 161 | $ | 161 | $ | 160 | ||||||||||||||||||||
| Primary Risk In-Force Subject To Captives |
38 | % | 41 | % | 43 | % | 45 | % | 47 | % | 48 | % | ||||||||||||||||||||
| Primary Risk In-Force That Is GSE Conforming |
96 | % | 96 | % | 96 | % | 96 | % | 96 | % | 96 | % | ||||||||||||||||||||
| Beginning Number of Primary Delinquencies |
89,018 | 95,395 | 95,395 | 98,613 | 101,759 | 107,104 | 122,279 | 122,279 | ||||||||||||||||||||||||
| New delinquencies |
21,272 | 23,866 | 45,138 | 25,771 | 27,180 | 26,034 | 31,126 | 110,111 | ||||||||||||||||||||||||
| Delinquency cures |
(17,908 | ) | (23,908 | ) | (41,816 | ) | (21,199 | ) | (22,923 | ) | (25,868 | ) | (41,272 | )(4) | (111,262 | ) | ||||||||||||||||
| Paid claims |
(4,918 | ) | (6,335 | ) | (11,253 | ) | (7,790 | ) | (7,403 | ) | (5,511 | ) | (5,029 | ) | (25,733 | ) | ||||||||||||||||
| Ending Number of Primary Delinquencies |
87,464 | 89,018 | 87,464 | 95,395 | 98,613 | 101,759 | 107,104 | 95,395 | ||||||||||||||||||||||||
| Primary Delinquencies by Payment Status |
||||||||||||||||||||||||||||||||
| 3 payments or less in default |
21,125 | 20,920 | 25,131 | 26,292 | 26,374 | 28,646 | ||||||||||||||||||||||||||
| 4 – 11 payments in default |
26,969 | 31,070 | 34,639 | 37,180 | 42,993 | 49,663 | ||||||||||||||||||||||||||
| 12 payments or more in default |
39,370 | 37,028 | 35,625 | 35,141 | 32,392 | 28,795 | ||||||||||||||||||||||||||
| Primary Delinquencies |
87,464 | 89,018 | 95,395 | 98,613 | 101,759 | 107,104 | ||||||||||||||||||||||||||
The expense ratios included above were calculated using whole dollars and may be different than the ratios calculated using the rounded numbers included herein.
| (1) | The ratio of an insurer’s general expenses to net earned premiums. In the business, general expenses consist of acquisition and operating expenses, net of deferrals and amortization of deferred acquisition costs (DAC) and intangibles. |
| (2) | The ratio of an insurer’s general expenses to net written premiums. In the business, general expenses consist of acquisition and operating expenses, net of deferrals and amortization of DAC and intangibles. |
| (3) | Certain states limit a private mortgage insurer’s risk in-force to 25 times the total of the insurer’s policyholders’ surplus plus the statutory contingency reserve, commonly known as the “risk to capital” requirement. The risk to capital ratio for the U.S. mortgage insurance business is not available for the current period due to the timing of the statutory statement filings. |
| (4) | In the first quarter of 2010, the company reached a settlement with a GSE counterparty regarding certain bulk Alt-A business. Delinquency cures included approximately 10,100 cures related to this settlement. |
3
GENWORTH FINANCIAL, INC.
PRELIMINARY STATISTICAL SUPPLEMENT—U.S. MORTGAGE INSURANCE
SECOND QUARTER 2011
Loss Metrics
(dollar amounts in millions)
| 2011 | 2010 | |||||||||||||||||||||||||||||||
| 2Q | 1Q | Total | 4Q | 3Q | 2Q | 1Q | Total | |||||||||||||||||||||||||
| Net Paid Claims |
||||||||||||||||||||||||||||||||
| Flow |
$ | 199 | $ | 249 | $ | 448 | $ | 263 | $ | 224 | $ | 187 | $ | 219 | $ | 893 | ||||||||||||||||
| Bulk |
3 | 3 | 6 | 4 | 19 | 48 | 209 | 280 | ||||||||||||||||||||||||
| Total Primary |
202 | 252 | 454 | 267 | 243 | 235 | 428 | 1,173 | ||||||||||||||||||||||||
| Pool |
1 | 1 | 2 | 1 | — | 1 | — | 2 | ||||||||||||||||||||||||
| Total Net Paid Claims |
$ | 203 | $ | 253 | $ | 456 | $ | 268 | $ | 243 | $ | 236 | (6) | $ | 428 | (8) | $ | 1,175 | ||||||||||||||
| Average Paid Claim (in thousands) |
$ | 40.8 | $ | 39.7 | $ | 34.2 | $ | 32.8 | $ | 42.6 | (7) | $ | 84.7 | (9) | ||||||||||||||||||
| Average Direct Net Paid Claim (in thousands)(1) |
$ | 49.7 | $ | 50.8 | $ | 51.1 | $ | 51.2 | $ | 49.3 | $ | 49.6 | ||||||||||||||||||||
| Number of Primary Delinquencies |
||||||||||||||||||||||||||||||||
| Flow |
84,442 | 85,758 | 92,225 | 95,567 | 98,771 | 102,389 | ||||||||||||||||||||||||||
| Bulk loans with established reserve |
1,569 | 1,814 | 1,713 | 1,607 | 1,510 | 2,155 | ||||||||||||||||||||||||||
| Bulk loans with no reserve(2) |
1,453 | 1,446 | 1,457 | 1,439 | 1,478 | 2,560 | ||||||||||||||||||||||||||
| Average Reserve Per Delinquency (in thousands) |
||||||||||||||||||||||||||||||||
| Flow |
$ | 29.2 | $ | 25.4 | $ | 24.3 | $ | 20.4 | $ | 19.5 | $ | 19.2 | ||||||||||||||||||||
| Bulk loans with established reserve |
23.7 | 19.9 | 20.6 | 15.7 | 12.8 | 21.7 | ||||||||||||||||||||||||||
| Bulk loans with no reserve(2) |
— | — | — | — | — | — | ||||||||||||||||||||||||||
| Beginning Reserves |
$ | 2,220 | $ | 2,282 | $ | 2,282 | $ | 1,973 | $ | 1,952 | $ | 2,016 | $ | 2,289 | $ | 2,289 | ||||||||||||||||
| Paid claims |
(286 | ) | (362 | ) | (648 | ) | (438 | ) | (439 | ) | (335 | )(6) | (503 | )(8) | (1,715 | ) | ||||||||||||||||
| Increase in reserves |
572 | 300 | 872 | 747 | 460 | 271 | (6) | 230 | (8) | 1,708 | ||||||||||||||||||||||
| Ending Reserves |
$ | 2,506 | $ | 2,220 | $ | 2,506 | $ | 2,282 | $ | 1,973 | $ | 1,952 | $ | 2,016 | $ | 2,282 | ||||||||||||||||
| Beginning Reinsurance Recoverable(3) |
$ | 264 | $ | 351 | $ | 351 | $ | 463 | $ | 591 | $ | 634 | $ | 674 | $ | 674 | ||||||||||||||||
| Ceded paid claims |
(83 | ) | (109 | ) | (192 | ) | (170 | ) | (196 | ) | (99 | ) | (75 | ) | (540 | ) | ||||||||||||||||
| Increase in recoverable |
45 | 22 | 67 | 58 | 68 | 56 | 35 | 217 | ||||||||||||||||||||||||
| Ending Reinsurance Recoverable |
$ | 226 | $ | 264 | $ | 226 | $ | 351 | $ | 463 | $ | 591 | $ | 634 | $ | 351 | ||||||||||||||||
| Loss Ratio(4) |
369 | % | 197 | % | 283 | % | 457 | % | 263 | % | 141 | % | 138 | % | 251 | % | ||||||||||||||||
| Estimated Savings For Loss Mitigation Activities(5) |
$ | 130 | $ | 122 | $ | 252 | $ | 126 | $ | 158 | $ | 217 | $ | 233 | $ | 734 | ||||||||||||||||
The loss ratio included above was calculated using whole dollars and may be different than the ratio calculated using the rounded numbers included herein.
| (1) | Average direct net paid claim excludes the impact of reinsurance and negotiated servicer and GSE settlements. |
| (2) | Reserves were not established on loans where the company was in a secondary loss position due to an existing deductible and the company believes currently have no risk for claim. |
| (3) | Reinsurance recoverable excludes ceded unearned premium recoveries and amounts for which cash proceeds have not yet been received. |
| (4) | The ratio of incurred losses and loss adjustment expense to net earned premiums. Excluding the GSE Alt-A business settlements in the first and second quarters of 2010, the loss ratio was 253% for the twelve months ended December 31, 2010 and 144% and 141% for the three months ended June 30, 2010 and March 31, 2010, respectively. |
| (5) | Loss mitigation activities include rescissions, cancellations, borrower loan modifications, repayment plans, lender- and borrower-titled pre-sales, claims curtailment and other loan workouts and claim mitigation actions. Estimated savings for rescissions represent the reduction in carried loss reserves, net of premium refunds and reinstatement of prior rescissions. Estimated savings for loan modifications and other cure related loss mitigation actions represent the reduction in carried loss reserves. For non-cure related actions, including pre-sales, the estimated savings represent the difference between the full claim obligation and the actual amount paid. |
| (6) | Net paid claims and change in reserves include the impact of settlements that the company reached during the second quarter of 2010 with a GSE counterparty regarding certain bulk Alt-A business and with a servicer regarding rescissions. |
| (7) | Excluding the GSE Alt-A business and the servicer settlements in the second quarter of 2010, the average paid claim was approximately $45,800 in the second quarter of 2010. |
| (8) | In the first quarter of 2010, the company reached a settlement with a GSE counterparty regarding certain bulk Alt-A business. Net paid claims included $180 million and the change in reserves included a decrease of $185 million related to this settlement. |
| (9) | Excluding the GSE Alt-A business settlement in the first quarter of 2010, the average paid claim was approximately $49,100 in the first quarter of 2010. |
4
GENWORTH FINANCIAL, INC.
PRELIMINARY STATISTICAL SUPPLEMENT—U.S. MORTGAGE INSURANCE
SECOND QUARTER 2011
Portfolio Quality Metrics
| 2011 | 2010 | |||||||||||||||||||||||
| 2Q | 1Q | 4Q | 3Q | 2Q | 1Q | |||||||||||||||||||
| Risk In-Force by Credit Quality(1) |
||||||||||||||||||||||||
| Primary by FICO Scores >679 |
67 | % | 66 | % | 66 | % | 65 | % | 65 | % | 64 | % | ||||||||||||
| Primary by FICO Scores 620-679 |
26 | % | 27 | % | 27 | % | 27 | % | 27 | % | 28 | % | ||||||||||||
| Primary by FICO Scores 575-619 |
5 | % | 5 | % | 5 | % | 6 | % | 6 | % | 6 | % | ||||||||||||
| Primary by FICO Scores <575 |
2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | ||||||||||||
| Flow by FICO Scores >679 |
66 | % | 66 | % | 66 | % | 65 | % | 65 | % | 64 | % | ||||||||||||
| Flow by FICO Scores 620-679 |
27 | % | 27 | % | 27 | % | 27 | % | 27 | % | 28 | % | ||||||||||||
| Flow by FICO Scores 575-619 |
5 | % | 5 | % | 5 | % | 6 | % | 6 | % | 6 | % | ||||||||||||
| Flow by FICO Scores <575 |
2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | ||||||||||||
| Bulk by FICO Scores >679 |
89 | % | 89 | % | 89 | % | 88 | % | 88 | % | 87 | % | ||||||||||||
| Bulk by FICO Scores 620-679 |
9 | % | 9 | % | 9 | % | 10 | % | 10 | % | 11 | % | ||||||||||||
| Bulk by FICO Scores 575-619 |
1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | ||||||||||||
| Bulk by FICO Scores <575 |
1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | ||||||||||||
| Primary A minus |
5 | % | 5 | % | 5 | % | 5 | % | 5 | % | 5 | % | ||||||||||||
| Primary Sub-prime(2) |
5 | % | 5 | % | 5 | % | 5 | % | 5 | % | 5 | % | ||||||||||||
| Primary Loans |
||||||||||||||||||||||||
| Primary loans in-force |
746,740 | 763,439 | 781,024 | 802,090 | 821,617 | 840,618 | ||||||||||||||||||
| Primary delinquent loans |
87,464 | 89,018 | 95,395 | 98,613 | 101,759 | 107,104 | ||||||||||||||||||
| Primary delinquency rate |
11.71 | % | 11.66 | % | 12.21 | % | 12.29 | % | 12.39 | % | 12.74 | % | ||||||||||||
| Flow loans in-force |
658,251 | 673,276 | 687,964 | 705,754 | 723,301 | 735,564 | ||||||||||||||||||
| Flow delinquent loans |
84,442 | 85,758 | 92,225 | 95,567 | 98,771 | 102,389 | ||||||||||||||||||
| Flow delinquency rate |
12.83 | % | 12.74 | % | 13.41 | % | 13.54 | % | 13.66 | % | 13.92 | % | ||||||||||||
| Bulk loans in-force |
88,489 | 90,163 | 93,060 | 96,336 | 98,316 | 105,054 | ||||||||||||||||||
| Bulk delinquent loans |
3,022 | 3,260 | 3,170 | 3,046 | 2,988 | 4,715 | ||||||||||||||||||
| Bulk delinquency rate |
3.42 | % | 3.62 | % | 3.41 | % | 3.16 | % | 3.04 | % | 4.49 | % | ||||||||||||
| A minus and sub-prime loans in-force |
73,211 | 75,421 | 77,822 | 80,774 | 83,859 | 86,185 | ||||||||||||||||||
| A minus and sub-prime delinquent loans |
20,284 | 20,656 | 22,827 | 23,882 | 24,867 | 26,387 | ||||||||||||||||||
| A minus and sub-prime delinquency rate |
27.71 | % | 27.39 | % | 29.33 | % | 29.57 | % | 29.65 | % | 30.62 | % | ||||||||||||
| Pool Loans |
||||||||||||||||||||||||
| Pool loans in-force |
16,943 | 17,421 | 17,880 | 18,759 | 19,473 | 19,907 | ||||||||||||||||||
| Pool delinquent loans |
931 | 913 | 989 | 939 | 831 | 783 | ||||||||||||||||||
| Pool delinquency rate |
5.49 | % | 5.24 | % | 5.53 | % | 5.01 | % | 4.27 | % | 3.93 | % | ||||||||||||
| (1) | Loans with unknown FICO scores are included in the 620-679 category. |
| (2) | Excludes loans classified as A minus. |
5
GENWORTH FINANCIAL, INC.
PRELIMINARY STATISTICAL SUPPLEMENT—U.S. MORTGAGE INSURANCE
SECOND QUARTER 2011
Portfolio Quality Metrics
| June 30, 2011 | March 31, 2011 | June 30, 2010 | ||||||||||||||||||||||||||||||||||
| % of
Total Reserves(1) |
% of Primary Risk In-Force |
Primary Delinquency Rate |
% of
Total Reserves(1) |
% of Primary Risk In-Force |
Primary Delinquency Rate |
% of
Total Reserves(1) |
% of Primary Risk In-Force |
Primary Delinquency Rate |
||||||||||||||||||||||||||||
| By Region |
||||||||||||||||||||||||||||||||||||
| Southeast(2) |
35 | % | 22 | % | 16.37 | % | 34 | % | 22 | % | 16.26 | % | 31 | % | 23 | % | 17.06 | % | ||||||||||||||||||
| South Central(3) |
12 | 16 | 9.90 | % | 13 | 16 | 10.01 | % | 15 | 16 | 11.41 | % | ||||||||||||||||||||||||
| Northeast(4) |
12 | 14 | 11.71 | % | 11 | 14 | 11.44 | % | 10 | 14 | 10.85 | % | ||||||||||||||||||||||||
| North Central(5) |
11 | 12 | 11.36 | % | 12 | 12 | 11.06 | % | 12 | 11 | 11.50 | % | ||||||||||||||||||||||||
| Pacific(6) |
13 | 11 | 13.29 | % | 14 | 11 | 13.64 | % | 15 | 11 | 15.83 | % | ||||||||||||||||||||||||
| Great Lakes(7) |
7 | 9 | 8.49 | % | 7 | 9 | 8.44 | % | 7 | 9 | 9.08 | % | ||||||||||||||||||||||||
| Plains(8) |
3 | 6 | 7.75 | % | 3 | 6 | 7.73 | % | 3 | 6 | 7.59 | % | ||||||||||||||||||||||||
| New England(9) |
3 | 5 | 10.36 | % | 3 | 5 | 10.43 | % | 3 | 5 | 11.11 | % | ||||||||||||||||||||||||
| Mid-Atlantic(10) |
4 | 5 | 10.12 | % | 3 | 5 | 10.09 | % | 4 | 5 | 11.23 | % | ||||||||||||||||||||||||
| Total |
100 | % | 100 | % | 11.71 | % | 100 | % | 100 | % | 11.66 | % | 100 | % | 100 | % | 12.39 | % | ||||||||||||||||||
| By State |
||||||||||||||||||||||||||||||||||||
| Florida |
24 | % | 7 | % | 28.35 | % | 23 | % | 7 | % | 28.09 | % | 20 | % | 8 | % | 28.86 | % | ||||||||||||||||||
| Texas |
3 | % | 7 | % | 7.61 | % | 3 | % | 7 | % | 7.63 | % | 3 | % | 7 | % | 8.80 | % | ||||||||||||||||||
| New York |
5 | % | 7 | % | 9.71 | % | 4 | % | 7 | % | 9.59 | % | 4 | % | 6 | % | 8.88 | % | ||||||||||||||||||
| California |
7 | % | 5 | % | 12.24 | % | 7 | % | 5 | % | 12.89 | % | 8 | % | 5 | % | 16.40 | % | ||||||||||||||||||
| Illinois |
7 | % | 5 | % | 15.90 | % | 8 | % | 5 | % | 15.44 | % | 7 | % | 5 | % | 15.79 | % | ||||||||||||||||||
| Georgia |
4 | % | 4 | % | 14.70 | % | 4 | % | 4 | % | 15.12 | % | 4 | % | 4 | % | 17.13 | % | ||||||||||||||||||
| North Carolina |
3 | % | 4 | % | 10.93 | % | 2 | % | 4 | % | 10.73 | % | 2 | % | 4 | % | 11.12 | % | ||||||||||||||||||
| New Jersey |
5 | % | 4 | % | 17.73 | % | 4 | % | 4 | % | 17.53 | % | 4 | % | 4 | % | 16.36 | % | ||||||||||||||||||
| Pennsylvania |
2 | % | 4 | % | 10.81 | % | 2 | % | 4 | % | 10.32 | % | 2 | % | 4 | % | 10.34 | % | ||||||||||||||||||
| Ohio |
2 | % | 3 | % | 8.00 | % | 2 | % | 3 | % | 7.97 | % | 2 | % | 3 | % | 7.85 | % | ||||||||||||||||||
| (1) | Total reserves were $2,506 million, $2,220 million and $1,952 million as of June 30, 2011, March 31, 2011 and June 30, 2010, respectively. |
| (2) | Alabama, Arkansas, Florida, Georgia, Mississippi, North Carolina, South Carolina and Tennessee |
| (3) | Arizona, Colorado, Louisiana, New Mexico, Oklahoma, Texas and Utah |
| (4) | New Jersey, New York and Pennsylvania |
| (5) | Illinois, Minnesota, Missouri and Wisconsin |
| (6) | Alaska, California, Hawaii, Nevada, Oregon and Washington |
| (7) | Indiana, Kentucky, Michigan and Ohio |
| (8) | Idaho, Iowa, Kansas, Montana, Nebraska, North Dakota, South Dakota and Wyoming |
| (9) | Connecticut, Maine, Massachusetts, New Hampshire, Rhode Island and Vermont |
| (10) | Delaware, Maryland, Virginia, Washington D.C. and West Virginia |
6
GENWORTH FINANCIAL, INC.
PRELIMINARY STATISTICAL SUPPLEMENT—U.S. MORTGAGE INSURANCE
SECOND QUARTER 2011
Portfolio Quality Metrics
(amounts in millions)
| Primary Risk In-Force: |
June 30, 2011 | % of Total |
March 31, 2011 | % of Total |
June 30, 2010 | % of Total |
||||||||||||||||||
| Lender concentration (by original applicant) |
$ | 28,029 | $ | 28,543 | $ | 30,345 | ||||||||||||||||||
| Top 10 lenders |
14,000 | 14,322 | 15,098 | |||||||||||||||||||||
| Top 20 lenders |
15,982 | 16,366 | 17,528 | |||||||||||||||||||||
| Loan-to-value ratio |
||||||||||||||||||||||||
| 95.01% and above |
$ | 7,065 | 25 | % | $ | 7,181 | 25 | % | $ | 7,633 | 25 | % | ||||||||||||
| 90.01% to 95.00% |
9,740 | 35 | 9,875 | 35 | 10,491 | 35 | ||||||||||||||||||
| 80.01% to 90.00% |
10,747 | 38 | 10,992 | 38 | 11,775 | 39 | ||||||||||||||||||
| 80.00% and below |
477 | 2 | 495 | 2 | 446 | 1 | ||||||||||||||||||
| Total |
$ | 28,029 | 100 | % | $ | 28,543 | 100 | % | $ | 30,345 | 100 | % | ||||||||||||
| Loan grade |
||||||||||||||||||||||||
| Prime |
$ | 25,296 | 90 | % | $ | 25,730 | 90 | % | $ | 27,220 | 90 | % | ||||||||||||
| A minus and sub-prime |
2,733 | 10 | 2,813 | 10 | 3,125 | 10 | ||||||||||||||||||
| Total |
$ | 28,029 | 100 | % | $ | 28,543 | 100 | % | $ | 30,345 | 100 | % | ||||||||||||
| Loan type(1) |
||||||||||||||||||||||||
| First mortgages |
||||||||||||||||||||||||
| Fixed rate mortgage |
||||||||||||||||||||||||
| Flow |
$ | 26,914 | 96 | % | $ | 27,384 | 96 | % | $ | 29,152 | 96 | % | ||||||||||||
| Bulk |
519 | 2 | 538 | 2 | 486 | 2 | ||||||||||||||||||
| Adjustable rate mortgage |
||||||||||||||||||||||||
| Flow |
575 | 2 | 600 | 2 | 684 | 2 | ||||||||||||||||||
| Bulk |
21 | — | 21 | — | 23 | — | ||||||||||||||||||
| Second mortgages |
— | — | — | — | — | — | ||||||||||||||||||
| Total |
$ | 28,029 | 100 | % | $ | 28,543 | 100 | % | $ | 30,345 | 100 | % | ||||||||||||
| Type of documentation |
||||||||||||||||||||||||
| Alt-A |
||||||||||||||||||||||||
| Flow |
$ | 807 | 3 | % | $ | 837 | 3 | % | $ | 958 | 3 | % | ||||||||||||
| Bulk |
39 | — | 40 | — | 43 | — | ||||||||||||||||||
| Standard(2) |
||||||||||||||||||||||||
| Flow |
26,682 | 95 | 27,147 | 95 | 28,878 | 95 | ||||||||||||||||||
| Bulk |
501 | 2 | 519 | 2 | 466 | 2 | ||||||||||||||||||
| Total |
$ | 28,029 | 100 | % | $ | 28,543 | 100 | % | $ | 30,345 | 100 | % | ||||||||||||
| Mortgage term |
||||||||||||||||||||||||
| 15 years and under |
$ | 462 | 2 | % | $ | 459 | 2 | % | $ | 369 | 1 | % | ||||||||||||
| More than 15 years |
27,567 | 98 | 28,084 | 98 | 29,976 | 99 | ||||||||||||||||||
| Total |
$ | 28,029 | 100 | % | $ | 28,543 | 100 | % | $ | 30,345 | 100 | % | ||||||||||||
| (1) | For loan type in this table, any loan with an interest rate that is fixed for an initial term of five years or more is categorized as a fixed rate mortgage. |
| (2) | Standard includes loans with reduced or different documentation requirements that meet specifications of GSE approved underwriting systems with historical and expected delinquency rates consistent with historical and expected delinquency rates consistent with the company’s standard portfolio. |
7
GENWORTH FINANCIAL, INC.
PRELIMINARY STATISTICAL SUPPLEMENT—U.S. MORTGAGE INSURANCE
SECOND QUARTER 2011
Portfolio Quality Metrics
(dollar amounts in millions)
| June 30, 2011 | ||||||||||||||||||||||||
| Policy Year |
Average Rate(1) |
% of Total Reserves(2) |
Primary Insurance In-Force |
% of Total | Primary Risk In-Force |
% of Total | ||||||||||||||||||
| 2000 and prior |
7.84 | % | 1.3 | % | $ | 1,876 | 1.6 | % | $ | 481 | 1.7 | % | ||||||||||||
| 2001 |
7.58 | % | 0.7 | 954 | 0.8 | 240 | 0.9 | |||||||||||||||||
| 2002 |
6.64 | % | 1.5 | 2,358 | 2.0 | 581 | 2.1 | |||||||||||||||||
| 2003 |
5.65 | % | 3.7 | 9,603 | 7.9 | 1,622 | 5.8 | |||||||||||||||||
| 2004 |
5.88 | % | 4.2 | 5,963 | 4.9 | 1,354 | 4.8 | |||||||||||||||||
| 2005 |
5.98 | % | 12.6 | 9,710 | 8.0 | 2,501 | 8.9 | |||||||||||||||||
| 2006 |
6.49 | % | 19.7 | 13,144 | 10.9 | 3,216 | 11.5 | |||||||||||||||||
| 2007 |
6.56 | % | 40.0 | 29,077 | 24.0 | 7,171 | 25.6 | |||||||||||||||||
| 2008 |
6.15 | % | 15.8 | 26,922 | 22.3 | 6,685 | 23.8 | |||||||||||||||||
| 2009 |
5.08 | % | 0.3 | 7,982 | 6.6 | 1,386 | 4.9 | |||||||||||||||||
| 2010 |
4.66 | % | 0.2 | 9,085 | 7.5 | 1,872 | 6.7 | |||||||||||||||||
| 2011 |
4.63 | % | — | 4,264 | 3.5 | 920 | 3.3 | |||||||||||||||||
| Total |
6.08 | % | 100.0 | % | $ | 120,938 | 100.0 | % | $ | 28,029 | 100.0 | % | ||||||||||||
| June 30, 2011 | ||||||||||||||||||||||||
| Flow Delinquencies and Percentage Reserved by Payment Status |
Delinquencies | Direct Case Reserves(3) |
Risk In-Force | Reserves as % of Risk In-Force |
||||||||||||||||||||
| 3 payments or less in default |
20,255 | $ | 193 | $ | 810 | 24 | % | |||||||||||||||||
| 4 - 11 payments in default |
26,099 | 714 | 1,186 | 60 | % | |||||||||||||||||||
| 12 payments or more in default |
38,088 | 1,349 | 1,901 | 71 | % | |||||||||||||||||||
| Total |
84,442 | $ | 2,256 | $ | 3,897 | 58 | % | |||||||||||||||||
| December 31, 2010 | ||||||||||||||||||||||||
| Flow Delinquencies and Percentage Reserved by Payment Status |
Delinquencies | Direct Case Reserves(3) |
Risk In-Force | Reserves as % of Risk In-Force |
||||||||||||||||||||
| 3 payments or less in default |
24,104 | $ | 152 | $ | 959 | 16 | % | |||||||||||||||||
| 4 - 11 payments in default |
33,635 | 754 | 1,546 | 49 | % | |||||||||||||||||||
| 12 payments or more in default |
34,486 | 1,142 | 1,757 | 65 | % | |||||||||||||||||||
| Total |
92,225 | $ | 2,048 | $ | 4,262 | 48 | % | |||||||||||||||||
| Occupancy and Property Type |
June 30, 2011 | March 31, 2011 | ||||||||||||||||||||||
| Occupancy Status % of Primary Risk In-Force |
||||||||||||||||||||||||
| Primary residence |
93.8 | % | 93.7 | % | ||||||||||||||||||||
| Second home |
3.9 | 3.9 | ||||||||||||||||||||||
| Non-owner occupied |
2.3 | 2.4 | ||||||||||||||||||||||
| Total |
100.0 | % | 100.0 | % | ||||||||||||||||||||
| Property Type % of Primary Risk In-Force |
||||||||||||||||||||||||
| Single family detached |
85.8 | % | 85.8 | % | ||||||||||||||||||||
| Condominium and co-operative |
11.4 | 11.3 | ||||||||||||||||||||||
| Multi-family and other |
2.8 | 2.9 | ||||||||||||||||||||||
| Total |
100.0 | % | 100.0 | % | ||||||||||||||||||||
| (1) | Average Annual Mortgage Interest Rate |
| (2) | Total reserves were $2,506 million as of June 30, 2011. |
| (3) | Direct flow case reserves exclude loss adjustment expenses, incurred but not reported and reinsurance reserves. |
8
GENWORTH FINANCIAL, INC.
PRELIMINARY STATISTICAL SUPPLEMENT—U.S. MORTGAGE INSURANCE
SECOND QUARTER 2011
Portfolio Quality Metrics
(amounts in billions)
| FICO > 679 | FICO 620 - 679(1) | FICO < 620 | Total | |||||||||||||||||||||||||||||
| 2011 | 2011 | 2011 | 2011 | |||||||||||||||||||||||||||||
| Primary Risk In-Force |
2Q | 1Q | 2Q | 1Q | 2Q | 1Q | 2Q | 1Q | ||||||||||||||||||||||||
| Total Primary Risk In-Force |
$ | 18.7 | $ | 18.9 | $ | 7.3 | $ | 7.6 | $ | 2.0 | $ | 2.0 | $ | 28.0 | $ | 28.5 | ||||||||||||||||
| Delinquency rate(2) |
7.4 | % | 7.4 | % | 18.7 | % | 18.5 | % | 28.1 | % | 27.8 | % | 11.7 | % | 11.7 | % | ||||||||||||||||
| 2011 policy year |
$ | 0.8 | $ | 0.5 | $ | 0.1 | $ | — | $ | — | $ | — | $ | 0.9 | $ | 0.5 | ||||||||||||||||
| Delinquency rate |
— | % | — | % | 0.1 | % | — | % | 2.8 | % | — | % | — | % | — | % | ||||||||||||||||
| 2010 policy year |
$ | 1.8 | $ | 1.8 | $ | 0.1 | $ | 0.1 | $ | — | $ | — | $ | 1.9 | $ | 1.9 | ||||||||||||||||
| Delinquency rate |
0.1 | % | 0.1 | % | 0.4 | % | 0.3 | % | 2.8 | % | 1.8 | % | 0.1 | % | 0.1 | % | ||||||||||||||||
| 2009 policy year |
$ | 1.3 | $ | 1.3 | $ | 0.1 | $ | 0.1 | $ | — | $ | — | $ | 1.4 | $ | 1.4 | ||||||||||||||||
| Delinquency rate |
0.5 | % | 0.4 | % | 1.8 | % | 1.8 | % | 6.6 | % | 5.6 | % | 0.5 | % | 0.5 | % | ||||||||||||||||
| 2008 policy year |
$ | 5.1 | $ | 5.2 | $ | 1.3 | $ | 1.4 | $ | 0.3 | $ | 0.3 | $ | 6.7 | $ | 6.9 | ||||||||||||||||
| Delinquency rate |
6.5 | % | 6.3 | % | 14.9 | % | 14.7 | % | 24.9 | % | 24.7 | % | 8.9 | % | 8.7 | % | ||||||||||||||||
| 2007 policy year |
$ | 4.0 | $ | 4.2 | $ | 2.3 | $ | 2.4 | $ | 0.8 | $ | 0.8 | $ | 7.1 | $ | 7.4 | ||||||||||||||||
| Delinquency rate |
12.8 | % | 12.6 | % | 22.7 | % | 22.6 | % | 32.7 | % | 32.5 | % | 18.3 | % | 18.2 | % | ||||||||||||||||
| 2006 policy year |
$ | 1.8 | $ | 1.9 | $ | 1.1 | $ | 1.1 | $ | 0.3 | $ | 0.3 | $ | 3.2 | $ | 3.3 | ||||||||||||||||
| Delinquency rate |
13.9 | % | 13.6 | % | 22.5 | % | 22.4 | % | 29.0 | % | 28.8 | % | 18.3 | % | 18.0 | % | ||||||||||||||||
| 2005 and prior policy year |
$ | 3.9 | $ | 4.0 | $ | 2.3 | $ | 2.5 | $ | 0.6 | $ | 0.6 | $ | 6.8 | $ | 7.1 | ||||||||||||||||
| Delinquency rate |
7.8 | % | 7.5 | % | 17.4 | % | 16.9 | % | 23.9 | % | 23.5 | % | 11.9 | % | 11.6 | % | ||||||||||||||||
| Fixed rate mortgage |
$ | 18.4 | $ | 18.6 | $ | 7.1 | $ | 7.4 | $ | 1.9 | $ | 1.9 | $ | 27.4 | $ | 27.9 | ||||||||||||||||
| Delinquency rate |
7.1 | % | 7.1 | % | 18.5 | % | 18.3 | % | 27.9 | % | 27.6 | % | 11.4 | % | 11.4 | % | ||||||||||||||||
| Adjustable rate mortgage |
$ | 0.3 | $ | 0.3 | $ | 0.2 | $ | 0.2 | $ | 0.1 | $ | 0.1 | $ | 0.6 | $ | 0.6 | ||||||||||||||||
| Delinquency rate |
25.0 | % | 24.8 | % | 28.1 | % | 27.4 | % | 36.3 | % | 36.1 | % | 27.1 | % | 26.7 | % | ||||||||||||||||
| Loan-to-value > 95% |
$ | 3.8 | $ | 3.8 | $ | 2.5 | $ | 2.6 | $ | 0.8 | $ | 0.8 | $ | 7.1 | $ | 7.2 | ||||||||||||||||
| Delinquency rate |
9.4 | % | 9.3 | % | 20.8 | % | 20.7 | % | 31.4 | % | 31.3 | % | 16.2 | % | 16.1 | % | ||||||||||||||||
|
Alt-A(3) |
$ | 0.6 | $ | 0.6 | $ | 0.2 | $ | 0.3 | $ | — | $ | — | $ | 0.8 | $ | 0.9 | ||||||||||||||||
| Delinquency rate |
18.7 | % | 18.8 | % | 32.9 | % | 32.7 | % | 33.3 | % | 34.7 | % | 23.0 | % | 23.0 | % | ||||||||||||||||
| Interest only and option ARMs |
$ | 1.4 | $ | 1.4 | $ | 0.5 | $ | 0.5 | $ | 0.1 | $ | 0.1 | $ | 2.0 | $ | 2.0 | ||||||||||||||||
| Delinquency rate |
26.9 | % | 26.9 | % | 37.2 | % | 37.3 | % | 43.5 | % | 42.7 | % | 30.3 | % | 30.3 | % | ||||||||||||||||
| (1) | Loans with unknown FICO scores are included in the 620-679 category. |
| (2) | Delinquency rate represents the number of lender reported delinquencies divided by the number of remaining policies consistent with mortgage insurance practices. |
| (3) | Alt-A consists of loans with reduced documentation or verification of income or assets and a higher historical and expected delinquency rate than standard documentation loans. |
9
GENWORTH FINANCIAL, INC.
PRELIMINARY STATISTICAL SUPPLEMENT—U.S. MORTGAGE INSURANCE
SECOND QUARTER 2011
Other Metrics—Bulk Risk In-Force
(dollar amounts in millions)
| June 30, 2011 | March 31, 2011 | June 30, 2010 | ||||||||||
| GSE Alt-A |
||||||||||||
| Risk in-force |
$ | 27 | $ | 27 | $ | 29 | ||||||
| Average FICO score |
732 | 732 | 732 | |||||||||
| Loan-to-value ratio |
81 | % | 81 | % | 81 | % | ||||||
| Standard documentation(1) |
11 | % | 11 | % | 11 | % | ||||||
| Stop loss |
100 | % | 100 | % | 100 | % | ||||||
| Deductible |
— | % | — | % | — | % | ||||||
| FHLB |
||||||||||||
| Risk in-force |
$ | 442 | $ | 459 | $ | 399 | ||||||
| Average FICO score |
757 | 757 | 755 | |||||||||
| Loan-to-value ratio |
75 | % | 75 | % | 75 | % | ||||||
| Standard documentation(1) |
97 | % | 97 | % | 97 | % | ||||||
| Stop loss |
94 | % | 94 | % | 91 | % | ||||||
| Deductible |
100 | % | 100 | % | 100 | % | ||||||
| Other |
||||||||||||
| Risk in-force |
$ | 71 | $ | 73 | $ | 81 | ||||||
| Average FICO score |
692 | 692 | 692 | |||||||||
| Loan-to-value ratio |
92 | % | 92 | % | 92 | % | ||||||
| Standard documentation(1) |
97 | % | 97 | % | 97 | % | ||||||
| Stop loss |
8 | % | 8 | % | 9 | % | ||||||
| Deductible |
— | % | — | % | — | % | ||||||
| Total Bulk Risk In-Force |
$ | 540 | $ | 559 | $ | 509 | ||||||
| (1) | Standard documentation includes loans with reduced or different documentation requirements that meet specifications of GSE approved underwriting systems with historical and expected delinquency rates consistent with the standard portfolio. |
10
GENWORTH FINANCIAL, INC.
PRELIMINARY STATISTICAL SUPPLEMENT—U.S. MORTGAGE INSURANCE
SECOND QUARTER 2011
Aggregate Book Year Analysis Provided to Illustrate Directional Progression Toward Captive Attachment(1)
| June 30, 2011 | March 31, 2011 | |||||||||||||||||||||||||||||
| Book Year(2) |
Original Book Risk In-Force ($B)(3) |
Progression To Attachment Point |
Current Risk In-Force ($B) |
Ever-To-Date Incurred Losses ($MM)(3) |
Captive Benefits ($MM) |
Current Risk In-Force ($B) |
Ever-To-Date Incurred Losses ($MM)(3) |
Captive Benefits ($MM) |
||||||||||||||||||||||
| 2004 |
0%-50% | $ | — | $ | 2 | $ | — | $ | 4 | |||||||||||||||||||||
| 2004 |
50%-75% | 0.1 | 10 | 0.2 | 29 | |||||||||||||||||||||||||
| 2004 |
75%-99% | 0.3 | 52 | 0.2 | 31 | |||||||||||||||||||||||||
| 2004 |
Attached | 0.3 | 71 | 0.3 | 44 | |||||||||||||||||||||||||
| 2004 Total |
$ | 3.1 | $ | 0.7 | $ | 135 | $ | 13 | $ | 0.7 | $ | 108 | $ | 2 | ||||||||||||||||
| 2005 |
0%-50% | $ | — | $ | 1 | $ | — | $ | 1 | |||||||||||||||||||||
| 2005 |
50%-75% | — | — | — | — | |||||||||||||||||||||||||
| 2005 |
75%-99% | — | — | — | 1 | |||||||||||||||||||||||||
| 2005 |
Attached | 1.0 | 296 | 1.5 | 451 | |||||||||||||||||||||||||
| 2005 Total |
$ | 2.5 | $ | 1.0 | $ | 297 | 1 | $ | 1.5 | $ | 453 | 2 | ||||||||||||||||||
| 2006 |
0%-50% | $ | — | $ | 1 | $ | — | $ | 1 | |||||||||||||||||||||
| 2006 |
50%-75% | — | — | — | — | |||||||||||||||||||||||||
| 2006 |
75%-99% | — | 1 | — | — | |||||||||||||||||||||||||
| 2006 |
Attached | 1.0 | 384 | 1.6 | 640 | |||||||||||||||||||||||||
| 2006 Total |
$ | 2.2 | $ | 1.0 | $ | 386 | 10 | $ | 1.6 | $ | 641 | 9 | ||||||||||||||||||
| 2007 |
0%-50% | $ | — | $ | 1 | $ | — | $ | 1 | |||||||||||||||||||||
| 2007 |
50%-75% | — | — | — | — | |||||||||||||||||||||||||
| 2007 |
75%-99% | — | — | — | 1 | |||||||||||||||||||||||||
| 2007 |
Attached | 1.9 | 683 | 3.4 | 1,133 | |||||||||||||||||||||||||
| 2007 Total |
$ | 3.2 | $ | 1.9 | $ | 684 | 2 | $ | 3.4 | $ | 1,135 | 4 | ||||||||||||||||||
| 2008 |
0%-50% | $ | 0.1 | $ | 1 | $ | 0.3 | $ | 8 | |||||||||||||||||||||
| 2008 |
50%-75% | 0.2 | 12 | 0.2 | 8 | |||||||||||||||||||||||||
| 2008 |
75%-99% | 0.1 | 5 | 0.1 | 4 | |||||||||||||||||||||||||
| 2008 |
Attached | 0.8 | 156 | 1.3 | 161 | |||||||||||||||||||||||||
| 2008 Total |
$ | 1.8 | $ | 1.2 | $ | 174 | 19 | $ | 1.9 | $ | 181 | 4 | ||||||||||||||||||
| Captive Benefits In Quarter ($MM) |
$ | 45 | $ | 21 | ||||||||||||||||||||||||||
| (1) | Data presented in aggregate for all trusts. Actual trust attachment and exit points will vary by individual lender contract. For purposes of this illustration, ever-to-date incurred losses equal current reserves plus ever-to-date paid claims. The information presented excludes quota share captive reinsurance data. Progress toward captive attachment is determined at a lender level for each book year by dividing ever-to-date incurred losses by original risk in-force for that book year. |
| (2) | Book year amounts may include loans from additional periods pursuant to reinsurance agreement terms and conditions. |
| (3) | Original book risk in-force and ever-to-date incurred losses include amounts for active captive books only. |
11