Essent Group Ltd. - FORM 8-K - EX-99.1 - EXHIBIT 99.1 - August 4, 2017

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8-K - ESSENT GROUP LTD. 8-K - Essent Group Ltd.a51637133.htm

Exhibit 99.1

Essent Group Ltd. Reports Second Quarter 2017 Results

HAMILTON, Bermuda--(BUSINESS WIRE)--August 4, 2017--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2017 of $72.1 million or $0.77 per diluted share, compared to $52.3 million or $0.57 per diluted share for the quarter ended June 30, 2016. As of June 30, 2017, Essent had insurance in force of $95.5 billion and consolidated stockholders’ equity of $1.5 billion.

“We are pleased with our strong second quarter results and continuing to build a high credit quality and profitable mortgage insurance portfolio,” said Mark Casale, Chairman and Chief Executive Officer. “We believe that Essent is well positioned in both the U.S. and Bermuda to continue growing our portfolio and generating high quality earnings and strong returns for our shareholders.”

Financial Highlights:

  • Insurance in force as of June 30, 2017 was $95.5 billion, compared to $72.3 billion as of June 30, 2016.
  • New insurance written for the second quarter was $11.4 billion, compared to $8.7 billion in the second quarter of 2016.
  • Net premiums earned for the second quarter were $126.6 million, compared to $100.7 million in the second quarter of 2016.
  • The expense ratio for the second quarter was 28.2%, compared to 31.2% in the second quarter of 2016.
  • The provision for losses and LAE for the second quarter was $1.8 million, compared to $3.0 million in the second quarter of 2016.
  • The percentage of loans in default as of June 30, 2017 was 0.41%, compared to 0.36% as of June 30, 2016.
  • The combined ratio for the second quarter was 29.6%, compared to 34.1% in the second quarter of 2016.
  • The consolidated balance of cash and investments at June 30, 2017 was $1.9 billion, including cash and investment balances at Essent Group Ltd. of $27.2 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 14.9:1 as of June 30, 2017.
  • Essent Reinsurance Ltd. reinsured a total of $53.0 million of risk in GSE risk share transactions in the second quarter of 2017.

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 877-201-0168 inside the U.S., or 647-788-4901 for international callers, using passcode 53194302 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 53194302.

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, 2016 filed with the Securities and Exchange Commission on February 16, 2017. 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.

Non-GAAP Financial Measures

In presenting Essent Group Ltd.’s results, management has included financial measures, including adjusted book value per share, that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (“GAAP”). Such measures are referred to as “non-GAAP measures.” These non-GAAP measures may be defined or calculated differently by other companies. Management believes these measures allow for a more complete understanding of the underlying business. These measures are used to monitor our results and should not be viewed as a substitute for those determined in accordance with GAAP. Reconciliations of such measures to the most comparable GAAP figures are included in the attached financial supplement in accordance with Regulation G.

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 June 30, 2017
 
 
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 Portfolio Geographic Data
Exhibit I Defaults, Reserve for Losses and LAE, and Claims
Exhibit J Investment Portfolio
Exhibit K Insurance Company Capital
Exhibit L 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 June 30, Six Months Ended June 30,

(In thousands, except per share amounts)

2017 2016 2017 2016
Revenues:
Net premiums written $ 134,063 $ 108,513 $ 253,360 $ 208,979
Increase in unearned premiums (7,500 ) (7,802 ) (9,146 ) (13,865 )
Net premiums earned 126,563 100,711 244,214 195,114
Net investment income 9,400 6,701 17,835 12,884
Realized investment gains, net 544 583 1,199 1,054
Other income 1,099   170   1,950   1,579  
Total revenues 137,606   108,165   265,198   210,631  
 
Losses and expenses:
Provision for losses and LAE 1,770 2,964 5,463 6,695
Other underwriting and operating expenses 35,686 31,409 72,018 62,797
Interest expense 1,189   —   1,905   —  
Total losses and expenses 38,645   34,373   79,386   69,492  
 
Income before income taxes 98,961 73,792 185,812 141,139
Income tax expense 26,843   21,534   47,096   40,930  
Net income $ 72,118   $ 52,258   $ 138,716   $ 100,209  
 
 
Earnings per share:
Basic $ 0.79 $ 0.57 $ 1.52 $ 1.10
Diluted 0.77 0.57 1.49 1.09
 
Weighted average shares outstanding:
Basic 91,381 90,912 91,320 90,848
Diluted 93,162 92,138 93,093 91,999
 
Net income $ 72,118 $ 52,258 $ 138,716 $ 100,209
 
Other comprehensive income (loss):
Change in unrealized appreciation of investments 8,470   10,702   13,320   24,061  
Total other comprehensive income 8,470   10,702   13,320   24,061  
Comprehensive income $ 80,588   $ 62,960   $ 152,036   $ 124,270  
 
 
Loss ratio 1.4 % 2.9 % 2.2 % 3.4 %
Expense ratio 28.2 % 31.2 % 29.5 % 32.2 %
Combined ratio 29.6 % 34.1 % 31.7 % 35.6 %
 
   
Exhibit B
 
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
 
 
June 30, December 31,

(In thousands, except per share amounts)

2017 2016
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,710,057 $ 1,482,754
Short-term investments 130,984   132,348  
Total investments 1,841,041 1,615,102
Cash 27,670 27,531
Accrued investment income 10,776 9,488
Accounts receivable 26,648 21,632
Deferred policy acquisition costs 14,037 13,400
Property and equipment 7,955 8,119
Prepaid federal income tax 215,357 181,272
Other assets 9,409   6,454  
 
Total assets $ 2,152,893   $ 1,882,998  
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 29,798 $ 28,142
Unearned premium reserve 228,762 219,616
Net deferred tax liability 181,206 142,587
Credit facility borrowings, net of deferred costs 173,192 100,000
Securities purchased payable 19,770 14,999
Other accrued liabilities 22,268   33,881  
Total liabilities 654,996   539,225  
 
Commitments and contingencies
 
Stockholders' Equity
Common shares 1,401 1,397
Additional paid-in capital 920,452 918,296
Accumulated other comprehensive income (loss) 1,065 (12,255 )
Retained earnings 574,979   436,335  
Total stockholders' equity 1,497,897   1,343,773  
 
Total liabilities and stockholders' equity $ 2,152,893   $ 1,882,998  
 
Return on average equity (1) 19.5 % 18.1 %
 

(1) The 2017 return on average equity is calculated by dividing annualized year-to-date 2017 net income by average equity. The 2016 return on average equity is calculated by dividing full year 2016 net income by average equity.

         
Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
 
 
2017 2016
Selected Income Statement Data June 30 March 31 December 31 September 30 June 30 March 31

(In thousands, except per share amounts)

Revenues:
Net premiums written $ 134,063   $ 119,297   $ 116,412   $ 115,887   $ 108,513   $ 100,466  
 
Net premiums earned 126,563 117,651 116,792 110,801 100,711 94,403
Other revenues (1) 11,043   9,941   9,581   10,453   7,454   8,063  
Total revenues 137,606   127,592   126,373   121,254   108,165   102,466  
 
Losses and expenses:
Provision for losses and LAE 1,770 3,693 3,865 4,965 2,964 3,731
Other underwriting and operating expenses 35,686 36,332 34,836 32,792 31,409 31,388
Interest expense 1,189   716   370   56   —   —  
Total losses and expenses 38,645   40,741   39,071   37,813   34,373   35,119  
 
Income before income taxes 98,961 86,851 87,302 83,441 73,792 67,347
Income tax expense (2) 26,843   20,253   24,616   23,730   21,534   19,396  
Net income $ 72,118   $ 66,598   $ 62,686   $ 59,711   $ 52,258   $ 47,951  
 
Earnings per share:
Basic $ 0.79 $ 0.73 $ 0.69 $ 0.66 $ 0.57 $ 0.53
Diluted 0.77 0.72 0.68 0.65 0.57 0.52
 
Weighted average shares outstanding:
Basic 91,381 91,258 90,991 90,961 90,912 90,785
Diluted 93,162 93,023 92,577 92,399 92,138 91,859
 
Other Data:
Loss ratio (3) 1.4 % 3.1 % 3.3 % 4.5 % 2.9 % 4.0 %
Expense ratio (4) 28.2 % 30.9 % 29.8 % 29.6 % 31.2 % 33.2 %
Combined ratio 29.6 % 34.0 % 33.1 % 34.1 % 34.1 % 37.2 %
 
Return on average equity (annualized) 19.8 % 19.3 % 18.9 % 18.7 % 17.2 % 16.7 %
 
(1) In 2016, other revenues included the change in the fair value of insurance and certain reinsurance policies issued by Essent Reinsurance Ltd. ("Essent Re") in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") program that were accounted for as derivatives under GAAP. In the three months ended September 30, 2016, these contracts were amended and are now accounted for as insurance contracts. The change in fair values of these policies was $2,012, ($755) and $677 in the three months ended September 30, 2016, June 30, 2016 and March 31, 2016, respectively.
 
(2) Income tax expense for the quarter ended March 31, 2017 was reduced by $3,023 of excess tax benefits associated with the vesting of common shares and common share units during the quarter. Prior to January 1, 2017, excess tax benefits were recognized in additional paid-in-capital.
 
(3) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
 
(4) 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
 
 
2017 2016
Other Data, continued: June 30 March 31 December 31 September 30 June 30 March 31

($ in thousands)

 
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written $ 11,368,276 $ 8,034,153 $ 10,475,258 $ 10,299,161 $ 8,715,171 $ 5,366,675
New risk written 2,786,501 1,929,832 2,498,831 2,536,734 2,167,333 1,340,588
 
Bulk:
New insurance written $ — $ — $ — $ — $ — $ 93,054
New risk written — — — — — 8,480
 
Total:
Average premium rate (5) 0.53 % 0.53 % 0.56 % 0.58 % 0.57 % 0.56 %
New insurance written $ 11,368,276 $ 8,034,153 $ 10,475,258 $ 10,299,161 $ 8,715,171 $ 5,459,729
New risk written $ 2,786,501 $ 1,929,832 $ 2,498,831 $ 2,536,734 $ 2,167,333 $ 1,349,068
Insurance in force (end of period) $ 95,494,390 $ 87,993,227 $ 83,265,522 $ 77,614,373 $ 72,267,099 $ 67,716,741
Risk in force (end of period) $ 23,665,045 $ 21,801,667 $ 20,627,317 $ 19,289,387 $ 17,937,364 $ 16,745,819
Policies in force 430,585 397,650 375,898 350,600 328,441 308,779
Weighted average coverage (6) 24.8 % 24.8 % 24.8 % 24.9 % 24.8 % 24.7 %
Annual persistency 80.1 % 78.2 % 77.7 % 79.4 % 81.0 % 81.0 %
 
Loans in default (count) 1,776 1,777 1,757 1,453 1,174 1,060
Percentage of loans in default 0.41 % 0.45 % 0.47 % 0.41 % 0.36 % 0.34 %
 
Other Risk in Force
GSE Risk Share (7) $ 479,762 $ 436,991 $ 384,103 $ 302,211 $ 305,357 $ 188,766
 
Credit Facility
Borrowings outstanding $ 175,000 $ 125,000 $ 100,000 $ 50,000 $ — N/A
Undrawn committed capacity $ 200,000 $ 75,000 $ 100,000 $ 150,000 $ 200,000 N/A
Weighted average interest rate 3.21 %
 
(5) Average premium rate is calculated by dividing net premiums earned for the U.S. mortgage insurance portfolio by average insurance in force for the period.
 
(6) Weighted average coverage is calculated by dividing end of period risk in force by insurance in force.
 
(7) Essent Re provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae, including in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") and Fannie Mae's Credit Insurance Risk Transfer ("CIRT") programs.
       
Exhibit D
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow
 
 
NIW by Credit Score
Three Months Ended Six Months Ended
June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016

($ in thousands)

>=760 $ 4,913,160 43.2 % $ 4,013,236 46.1 % $ 8,312,914 42.8 % $ 6,301,139 44.7 %

740-759

1,785,683 15.7 1,406,617 16.1 3,028,961 15.6 2,246,425 16.0

720-739

1,547,404 13.6 1,157,032 13.3 2,696,619 13.9 1,936,588 13.8

700-719

1,321,235 11.6 950,965 10.9 2,279,250 11.8 1,533,696 10.9

680-699

963,139 8.5 688,642 7.9 1,657,953 8.5 1,175,494 8.3
<=679 837,655   7.4   498,679   5.7   1,426,732   7.4   888,504   6.3  
Total $ 11,368,276   100.0 % $ 8,715,171   100.0 % $ 19,402,429   100.0 % $ 14,081,846   100.0 %
 
Weighted average credit score 745 749 745 747
 
 
 
NIW by LTV
Three Months Ended Six Months Ended
June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016

($ in thousands)

85.00% and below $ 1,405,971 12.4 % $ 1,176,073 13.5 % $ 2,624,771 13.5 % $ 1,840,071 13.1 %
85.01% to 90.00% 3,393,904 29.9 2,848,106 32.7 5,892,811 30.4 4,651,882 33.0
90.01% to 95.00% 5,132,855 45.1 4,330,416 49.7 8,644,458 44.6 7,060,980 50.1
95.01% and above 1,435,546   12.6   360,576   4.1   2,240,389   11.5   528,913   3.8  
Total $ 11,368,276   100.0 % $ 8,715,171   100.0 % $ 19,402,429   100.0 % $ 14,081,846   100.0 %
 
Weighted average LTV 92 % 92 % 92 % 92 %
 
 
 
NIW by Product
Three Months Ended Six Months Ended
June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016
Single Premium policies 14.5 % 18.4 % 14.4 % 20.8 %
Monthly Premium policies 85.5   81.6   85.6   79.2  
100.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Six Months Ended
June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016
Purchase 87.5 % 82.5 % 83.9 % 82.1 %
Refinance 12.5   17.5   16.1   17.9  
100.0 % 100.0 % 100.0 % 100.0 %
 
       
Exhibit D, continued
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Bulk
 
 
NIW by Credit Score
Three Months Ended Six Months Ended
June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016

($ in thousands)

>=760 $ — 0.0 % $ — 0.0 % $ — 0.0 % $ 45,625 49.0 %

740-759

— — — — — — 18,154 19.5

720-739

— — — — — — 11,475 12.3

700-719

— — — — — — 8,220 8.8

680-699

— — — — — — 6,453 7.0

<=679

—   —   —   —   —   —   3,127   3.4  
Total $ —   0.0 % $ —   0.0 % $ —   0.0 % $ 93,054   100.0 %
 
Weighted average credit score N/A N/A N/A 750
 
 
 
NIW by LTV
Three Months Ended Six Months Ended
June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016

($ in thousands)

85.00% and below $ — 0.0 % $ — 0.0 % $ — 0.0 % $ 755 0.8 %
85.01% to 90.00% — — — — — — 27,757 29.8
90.01% to 95.00% — — — — — — 64,542 69.4
95.01% and above —   —   —   —   —   —   —   —  
Total $ —   0.0 % $ —   0.0 % $ —   0.0 % $ 93,054   100.0 %
 
Weighted average LTV N/A N/A N/A 91 %
 
 
 
NIW by Product
Three Months Ended Six Months Ended
June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016
Single Premium policies 0.0 % 0.0 % 0.0 % 100.0 %
Monthly Premium policies —   —   —   —  
0.0 % 0.0 % 0.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Six Months Ended
June 30, 2017 June 30, 2016 June 30, 2017 June 30, 2016
Purchase 0.0 % 0.0 % 0.0 % 100.0 %
Refinance —   —   —   —  
0.0 % 0.0 % 0.0 % 100.0 %
 
     
Exhibit E
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance in Force and Risk in Force
 
 
Portfolio by Credit Score
Total IIF by FICO score June 30, 2017 March 31, 2017 June 30, 2016

($ in thousands)

>=760 $ 42,839,819 44.8 % $ 39,724,096 45.1 % $ 33,032,120 45.7 %

740-759

15,628,721 16.4 14,460,034 16.4 12,096,199 16.7

720-739

13,568,471 14.2 12,550,737 14.3 10,374,218 14.4

700-719

10,239,343 10.7 9,325,770 10.6 7,365,368 10.2

680-699

7,715,118 8.1 7,051,155 8.0 5,696,562 7.9
<=679 5,502,918   5.8   4,881,435   5.6   3,702,632   5.1  
Total $ 95,494,390   100.0 % $ 87,993,227   100.0 % $ 72,267,099   100.0 %
 
Weighted average credit score 748 748 749
 
Total RIF by FICO score June 30, 2017 March 31, 2017 June 30, 2016

($ in thousands)

>=760 $ 10,565,479 44.6 % $ 9,791,036 44.9 % $ 8,138,995 45.4 %

740-759

3,900,374 16.5 3,609,590 16.6 3,023,589 16.9

720-739

3,400,897 14.4 3,146,943 14.4 2,607,057 14.5

700-719

2,531,834 10.7 2,303,107 10.6 1,820,731 10.1

680-699

1,928,884 8.1 1,762,997 8.1 1,432,032 8.0
<=679 1,337,577   5.7   1,187,994   5.4   914,960   5.1  
Total $ 23,665,045   100.0 % $ 21,801,667   100.0 % $ 17,937,364   100.0 %
 
Portfolio by LTV
Total IIF by LTV June 30, 2017 March 31, 2017 June 30, 2016

($ in thousands)

85.00% and below $ 11,175,433 11.7 % $ 10,403,824 11.8 % $ 7,957,849 11.0 %
85.01% to 90.00% 30,771,122 32.2 28,744,011 32.7 24,456,328 33.8
90.01% to 95.00% 48,225,083 50.5 44,862,812 51.0 37,911,936 52.5
95.01% and above 5,322,752   5.6   3,982,580   4.5   1,940,986   2.7  
Total $ 95,494,390   100.0 % $ 87,993,227   100.0 % $ 72,267,099   100.0 %
 
Weighted average LTV 92 % 92 % 92 %
 
Total RIF by LTV June 30, 2017 March 31, 2017 June 30, 2016

($ in thousands)

85.00% and below $ 1,261,421 5.3 % $ 1,172,920 5.4 % $ 901,838 5.0 %
85.01% to 90.00% 7,301,776 30.9 6,821,725 31.3 5,824,455 32.5
90.01% to 95.00% 13,776,313 58.2 12,829,032 58.8 10,802,375 60.2
95.01% and above 1,325,535   5.6   977,990   4.5   408,696   2.3  
Total $ 23,665,045   100.0 % $ 21,801,667   100.0 % $ 17,937,364   100.0 %
 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period June 30, 2017 March 31, 2017 June 30, 2016

($ in thousands)

FRM 30 years and higher $ 86,471,721 90.5 % $ 79,647,327 90.5 % $ 65,269,610 90.3 %
FRM 20-25 years 2,458,906 2.6 2,298,806 2.6 1,660,361 2.3
FRM 15 years 3,521,645 3.7 3,290,900 3.8 2,653,056 3.7
ARM 5 years and higher 3,042,118   3.2   2,756,194   3.1   2,684,072   3.7  
Total $ 95,494,390   100.0 % $ 87,993,227   100.0 % $ 72,267,099   100.0 %
 
     
Exhibit F
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
 
 

($ in thousands)

June 30, 2017 March 31, 2017 June 30, 2016
 
GSE Risk Share (1) $ 479,762   $ 436,991   $ 305,357  
 
Weighted average credit score 749 750 751
Weighted average LTV 83 % 83 % 80 %
 

(1) 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, including in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") and Fannie Mae's Credit Insurance Risk Transfer ("CIRT") programs.

                       
Exhibit G
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
June 30, 2017
 
 
Insurance in Force
Origination 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 $ 22,547 9.2 % 149 79.6 % 48.5 % 0.0

%

2.8 % 62.0 % 100.0 % 2.8 % 1
2011 3,229,720 475,807 14.7 2,644 76.6 45.9 0.2 5.1 54.4 95.9 3.7 34
2012 11,241,161 3,268,512 29.1 16,564 76.1 54.9 0.5 5.4 56.0 98.0 2.4 126
2013 21,152,638 8,067,843 38.1 40,249 79.0 57.0 1.8 7.7 51.3 97.5 2.5 294
2014 24,799,434 12,791,786 51.6 64,102 87.5 61.7 3.9 15.2 42.2 94.4 3.5 576
2015 26,193,656 19,499,925 74.4 88,437 82.5 55.9 2.5 14.7 43.8 96.7 3.2 440
2016 34,949,319 32,242,272 92.3 136,029 79.5 53.9 6.1 14.0 45.0 98.0 2.8 283
2017 (through June 30) 19,402,429     19,125,698   98.6 82,411   83.9 56.2 11.6 16.0 42.7 96.1 1.1 22
Total $ 141,214,255     $ 95,494,390   67.6 430,585   81.9 56.1 5.6 13.8 44.8 96.8 2.9 1,776
 

(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
Portfolio Geographic Data
 
 
IIF by State
June 30, 2017 March 31, 2017 June 30, 2016
CA 9.4 % 9.4 % 9.5 %
TX 8.2 8.2 8.3
FL 6.9 6.8 6.5
WA 4.8 4.8 4.7
IL 4.0 3.9 4.1
NC 3.6 3.6 3.8
NJ 3.6 3.6 3.4
GA 3.4 3.4 3.3
AZ 3.2 3.2 3.2
MN 3.2 3.2 3.0
All Others 49.7   49.9   50.2  
Total 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
June 30, 2017 March 31, 2017 June 30, 2016
CA 9.0 % 9.0 % 9.1 %
TX 8.4 8.5 8.6
FL 7.1 7.0 6.7
WA 4.9 4.9 4.8
IL 3.9 3.9 4.1
NC 3.7 3.7 3.9
NJ 3.5 3.5 3.4
GA 3.5 3.5 3.5
MN 3.3 3.3 3.1
OH 3.2 3.1 3.0
All Others 49.5   49.6   49.8  
Total 100.0 % 100.0 % 100.0 %
 
       
Exhibit I
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
 
 
Rollforward of Insured Loans in Default
Three Months Ended Six Months Ended
June 30, June 30, June 30, June 30,
2017 2016 2017 2016
Beginning default inventory 1,777 1,060 1,757 1,028
Plus: new defaults 1,105 754 2,305 1,523
Less: cures (1,063 ) (608 ) (2,177 ) (1,314 )
Less: claims paid (43 ) (31 ) (108 ) (61 )
Less: rescissions and denials, net —   (1 ) (1 ) (2 )
Ending default inventory 1,776   1,174   1,776   1,174  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended Six Months Ended
June 30, June 30, June 30, June 30,

($ in thousands)

2017 2016 2017 2016
Reserve for losses and LAE at beginning of period $ 29,468   $ 20,470   $ 28,142   $ 17,760  
Add provision for losses and LAE occurring in:
Current year 5,026 4,488 12,116 9,568
Prior years (3,256 ) (1,524 ) (6,653 ) (2,873 )
Incurred losses during the period 1,770   2,964   5,463   6,695  
Deduct payments for losses and LAE occurring in:
Current year 96 111 97 112
Prior years 1,344   849   3,710   1,869  
Loss and LAE payments during the period 1,440   960   3,807   1,981  
Reserve for losses and LAE at end of period $ 29,798   $ 22,474   $ 29,798   $ 22,474  
 
 
 
Claims
Three Months Ended Six Months Ended
June 30, June 30, June 30, June 30,
2017 2016 2017 2016
Number of claims paid 43 31 108 61
Total amount paid for claims (in thousands) $ 1,380 $ 924 $ 3,687 $ 1,922
Average amount paid per claim (in thousands) $ 32 $ 30 $ 34 $ 32
Severity 81 % 71 % 85 % 81 %
 
       
Exhibit I, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
 
 
June 30, 2017

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 898 50 % $ 6,101 23 % $ 49,210 12 %
Four to eleven payments 639 36 12,604 46 35,365 36
Twelve or more payments 189 11 6,094 22 10,214 60
Pending claims 50     3     2,469     9     2,842   87
Total case reserves 1,776     100 % 27,268 100 %   $ 97,631   28
IBNR 2,045
LAE 485  
Total reserves for losses and LAE $ 29,798  
 
Average reserve per default:
Case $ 15.4
Total $ 16.8
 
Default Rate 0.41%
 
December 31, 2016
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 914 52 % $ 6,615 26 % $ 50,737 13 %
Four to eleven payments 620 35 11,505 45 32,833 35
Twelve or more payments 179 10 5,678 22 9,575 59
Pending claims 44     3     1,960     7     2,272   86
Total case reserves 1,757     100 % 25,758 100 %   $ 95,417   27
IBNR 1,932
LAE 452  
Total reserves for losses and LAE $ 28,142  
 
Average reserve per default:
Case $ 14.7
Total $ 16.0
 
Default Rate 0.47%
 
June 30, 2016

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 565 48 % $ 4,494 22 % $ 30,478 15 %
Four to eleven payments 446 38 10,196 49 24,520 42
Twelve or more payments 126 11 4,431 22 6,703 66
Pending claims 37     3     1,504     7     1,693   89
Total case reserves 1,174     100 % 20,625 100 %   $ 63,394   33
IBNR 1,547
LAE 302  
Total reserves for losses and LAE $ 22,474  
 
Average reserve per default:
Case $ 17.6
Total $ 19.1
 
Default Rate 0.36%
 
       
Exhibit J
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio
 
 
Investment Portfolio by Asset Class
Asset Class June 30, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
U.S. Treasury securities $ 202,364 11.0 % $ 191,548 11.9 %
U.S. agency securities 26,357 1.4 18,441 1.1
U.S. agency mortgage-backed securities 397,602 21.6 316,494 19.6
Municipal debt securities 370,068 20.1 334,324 20.7
Corporate debt securities 555,965 30.2 456,357 28.3
Residential and commercial mortgage securities 69,672 3.8 68,336 4.2
Asset-backed securities 135,505 7.4 127,172 7.9
Money market funds 83,508   4.5   102,430   6.3  
Total Investments $ 1,841,041   100.0 % $ 1,615,102   100.0 %
 
Investment Portfolio by Credit Rating
Rating (1) June 30, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
Aaa $ 853,219 46.3 % $ 780,513 48.3 %
Aa1 93,554 5.1 88,977 5.5
Aa2 106,282 5.8 101,772 6.3
Aa3 87,084 4.7 89,421 5.5
A1 201,148 10.9 143,938 8.9
A2 136,813 7.4 126,113 7.8
A3 106,566 5.8 95,926 6.0
Baa1 109,780 6.0 85,864 5.3
Baa2 96,096 5.2 71,950 4.5
Baa3 32,658 1.8 24,544 1.5
Below Baa3 / Unrated 17,841   1.0   6,084   0.4  
Total Investments $ 1,841,041   100.0 % $ 1,615,102   100.0 %
 
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
 
Investment Portfolio by Duration and Book Yield
Effective Duration June 30, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
< 1 Year $ 368,433 20.0 % $ 329,901 20.4 %
1 to < 2 Years 155,935 8.5 153,184 9.5
2 to < 3 Years 257,442 14.0 156,620 9.7
3 to < 4 Years 183,786 10.0 176,896 11.0
4 to < 5 Years 205,481 11.1 139,115 8.6
5 or more Years 669,964   36.4   659,386   40.8  
Total Investments $ 1,841,041   100.0 % $ 1,615,102   100.0 %
 
Pre-tax investment income yield:
Three months ended June 30, 2017 2.24 %
Six months ended June 30, 2017 2.20 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)

As of June 30, 2017 $ 27,188
As of December 31, 2016 $ 46,561
 
     
Exhibit K
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
 
 
June 30, 2017 December 31, 2016

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 1,270,440 $ 1,144,279
 
Combined net risk in force (2) $ 18,937,727 $ 16,801,992
 
Risk-to-capital ratios: (3)
Essent Guaranty, Inc. 15.5:1 15.3:1
Essent Guaranty of PA, Inc. 6.2:1 6.8:1
Combined (4) 14.9:1 14.7:1
 
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 537,740 $ 401,273
 
Net risk in force (2) $ 5,177,768 $ 4,181,737
 
(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.
 
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.
 
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.
 
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.
         
Exhibit L
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 a measure 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) 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 that are classified as available for sale. The Company does not view these unrealized gains and losses to be indicative of our fundamental operating performance. As of June 30, 2017, December 31, 2016 and June 30, 2016, 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 June 30, 2017, December 31, 2016 and June 30, 2016 in accordance with Regulation G:

     

(In thousands, except per share amounts)

June 30, 2017 December 31, 2016 June 30, 2016
 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,497,897 $ 1,343,773 $ 1,248,607
 
Subtract: Accumulated Other Comprehensive Income (Loss) 1,065   (12,255 ) 23,962
 
Adjusted Book Value $ 1,496,832   $ 1,356,028   $ 1,224,645
 
Denominator:
Total Common Shares Outstanding 93,424 93,105 93,106
 
Add: Restricted Share Units Outstanding 559   493   490
 
Total Common Shares and Share Units Outstanding 93,983   93,598   93,596
 
Adjusted Book Value per Share $ 15.93   $ 14.49   $ 13.08

CONTACT:
Essent Group Ltd.
Media Contact
610-230-0556
media@essentgroup.com
or
Investor Relations Contact
Christopher G. Curran

Essent Group Ltd. Reports