Essent Group Ltd. - FORM 8-K - EX-99.1 - EXHIBIT 99.1 - August 4, 2016

Attached files

file filename
8-K - ESSENT GROUP LTD. 8-K - Essent Group Ltd.a51394391.htm

Exhibit 99.1

Essent Group Ltd. Reports Second Quarter 2016 Results

HAMILTON, Bermuda--(BUSINESS WIRE)--August 4, 2016--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2016 of $52.3 million or $0.57 per diluted share, compared to $37.2 million or $0.41 per diluted share for the quarter ended June 30, 2015. As of June 30, 2016, Essent had insurance in force of $72.3 billion and consolidated stockholders’ equity of $1.2 billion.

“We are pleased with our strong second quarter results and generating a 17% return on average equity as we continued building 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, 2016 was $72.3 billion, compared to $57.4 billion as of June 30, 2015.
  • New insurance written for the second quarter was $8.7 billion, compared to $7.3 billion in the second quarter of 2015.
  • Net premiums earned for the second quarter were $100.7 million, compared to $78.4 million in the second quarter of 2015.
  • The expense ratio for the second quarter was 31.2%, compared to 34.6% in the second quarter of 2015.
  • The provision for losses and LAE for the second quarter was $3.0 million, compared to $2.3 million in the second quarter of 2015.
  • The percentage of loans in default as of June 30, 2016 was 0.36%, compared to 0.23% as of June 30, 2015.
  • The combined ratio for the second quarter was 34.1%, compared to 37.6% in the second quarter of 2015.
  • The consolidated balance of cash and investments at June 30, 2016 was $1.5 billion, including cash and investment balances at Essent Group Ltd. of $42.3 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 14.8:1 as of June 30, 2016.
  • Essent Reinsurance Ltd. reinsured a total of $123.7 million of risk in GSE risk share transactions in the second quarter of 2016.

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 46855223 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: 855-859-2056 inside the U.S., or 404-537-3406 for international callers, passcode 46855223.

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; 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, 2015 filed with the Securities and Exchange Commission on February 29, 2016. 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 and reinsurance 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, 2016
 
 
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)

2016 2015 2016 2015
Revenues:
Net premiums written $ 108,513 $ 92,399 $ 208,979 $ 174,656
Increase in unearned premiums   (7,802 )   (14,038 )   (13,865 )   (21,257 )
Net premiums earned 100,711 78,361 195,114 153,399
Net investment income 6,701 4,720 12,884 9,000
Realized investment gains, net 583 568 1,054 1,217
Other income   170     418     1,579     462  
Total revenues   108,165     84,067     210,631     164,078  
 
Losses and expenses:
Provision for losses and LAE 2,964 2,314 6,695 4,313
Other underwriting and operating expenses   31,409     27,148     62,797     54,646  
Total losses and expenses   34,373     29,462     69,492     58,959  
 
Income before income taxes 73,792 54,605 141,139 105,119
Income tax expense   21,534     17,412     40,930     33,088  
Net income $ 52,258   $ 37,193   $ 100,209   $ 72,031  
 
 
Earnings per share:
Basic $ 0.57 $ 0.41 $ 1.10 $ 0.80
Diluted 0.57 0.41 1.09 0.79
 
Weighted average shares outstanding:
Basic 90,912 90,344 90,848 90,265
Diluted 92,138 91,674 91,999 91,594
 
Net income $ 52,258 $ 37,193 $ 100,209 $ 72,031
 
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments   10,702     (8,769 )   24,061     (3,880 )
Total other comprehensive income (loss)   10,702     (8,769 )   24,061     (3,880 )
Comprehensive income $ 62,960   $ 28,424   $ 124,270   $ 68,151  
 
 
Loss ratio 2.9 % 3.0 % 3.4 % 2.8 %
Expense ratio   31.2 %   34.6 %   32.2 %   35.6 %
Combined ratio   34.1 %   37.6 %   35.6 %   38.4 %
 
  Exhibit B
 
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
 
 
June 30, December 31,

(In thousands, except per share amounts)

2016 2015
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,305,939 $ 1,190,638
Short-term investments 129,235   85,996  
Total investments 1,435,174 1,276,634
Cash 16,172 24,606
Accrued investment income 8,480 7,768
Accounts receivable 21,125 16,637
Deferred policy acquisition costs 12,239 11,529
Property and equipment (at cost, less accumulated depreciation of $44,519 in 2016 and $42,479 in 2015) 9,030 9,021
Prepaid federal income tax 149,772 119,412
Other assets 6,215   3,492  
 
Total assets $ 1,658,207   $ 1,469,099  
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 22,474 $ 17,760
Unearned premium reserve 214,910 201,045
Accrued payroll and bonuses 11,146 15,955
Net deferred tax liability 126,991 87,964
Securities purchased payable 21,385 14,996
Other accrued liabilities 12,694   12,138  
Total liabilities 409,600   349,858  
 
Commitments and contingencies
 
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued - 93,106 shares in 2016 and 92,650 shares in 2015 1,397 1,390
Additional paid-in capital 909,310 904,221
Accumulated other comprehensive income (loss) 23,962 (99 )
Retained earnings 313,938   213,729  
Total stockholders' equity 1,248,607   1,119,241  
 
Total liabilities and stockholders' equity $ 1,658,207   $ 1,469,099  
 
Return on average equity (1) 16.9 % 15.2 %
 

(1) The 2016 return on average equity is calculated by dividing annualized year-to-date 2016 net income by average equity. The 2015 return on average equity is calculated by dividing full year 2015 net income by average equity.

             
Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
 
 
2016 2015
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 $ 108,513   $ 100,466   $ 98,434   $ 97,478   $ 92,399   $ 82,257  
 
Net premiums earned 100,711 94,403 89,378 83,694 78,361 75,038
Other revenues (1)   7,454     8,063     8,098     8,042     5,706     4,973  
Total revenues   108,165     102,466     97,476     91,736     84,067     80,011  
 
Losses and expenses:
Provision for losses and LAE 2,964 3,731 4,199 3,393 2,314 1,999
Other underwriting and operating expenses   31,409     31,388     29,627     28,714     27,148     27,498  
Total losses and expenses   34,373     35,119     33,826     32,107     29,462     29,497  
 
Income before income taxes 73,792 67,347 63,650 59,629 54,605 50,514
Income tax expense   21,534     19,396     19,171     18,808     17,412     15,676  
Net income $ 52,258   $ 47,951   $ 44,479   $ 40,821   $ 37,193   $ 34,838  
 
Earnings per share:
Basic $ 0.57 $ 0.53 $ 0.49 $ 0.45 $ 0.41 $ 0.39
Diluted 0.57 0.52 0.48 0.44 0.41 0.38
 
Weighted average shares outstanding:
Basic 90,912 90,785 90,454 90,418 90,344 90,185
Diluted 92,138 91,859 91,918 91,841 91,674 91,514
 
Other Data:
Loss ratio (2) 2.9 % 4.0 % 4.7 % 4.1 % 3.0 % 2.7 %
Expense ratio (3)   31.2 %   33.2 %   33.1 %   34.3 %   34.6 %   36.6 %
Combined ratio   34.1 %   37.2 %   37.8 %   38.4 %   37.6 %   39.3 %
 
Return on average equity (annualized) 17.2 % 16.7 % 16.2 % 15.5 % 14.7 % 14.3 %
 
(1) Other revenues include the change in the fair value of insurance and certain reinsurance policies issued by Essent Reinsurance Ltd. in connection with Freddie Mac’s ACIS program that are accounted for as derivatives under GAAP. The change in fair values of these policies was ($755), $677, $974, $1,258, ($391) and ($749) in the three months ended June 30, 2016, March 31, 2016, December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015, respectively.
 
(2) Loss ratio is calculated by dividing the provision for loss and LAE by net premiums earned.
 
(3) 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
 
 
2016 2015
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 $ 8,715,171 $ 5,366,675 $ 5,970,656 $ 7,384,654 $ 7,225,401 $ 5,346,820
New risk written 2,167,333 1,340,588 1,486,328 1,854,884 1,800,027 1,302,710
 
Bulk:
New insurance written $ — $ 93,054 $ — $ 204,867 $ 61,258 $ —
New risk written — 8,480 — 25,760 4,062 —
 
Total:
Average premium rate (4) 0.57 % 0.56 % 0.55 % 0.55 % 0.57 % 0.58 %
New insurance written $ 8,715,171 $ 5,459,729 $ 5,970,656 $ 7,589,521 $ 7,286,659 $ 5,346,820
New risk written $ 2,167,333 $ 1,349,068 $ 1,486,328 $ 1,880,644 $ 1,804,089 $ 1,302,710
Insurance in force (end of period) $ 72,267,099 $ 67,716,741 $ 65,242,453 $ 62,141,406 $ 57,435,859 $ 53,253,632
Risk in force (end of period) $ 17,937,364 $ 16,745,819 $ 16,073,174 $ 15,229,575 $ 13,992,701 $ 12,891,462
Policies in force 328,441 308,779 297,437 282,671 261,996 242,477
Weighted average coverage (5) 24.8 % 24.7 % 24.6 % 24.5 % 24.4 % 24.2 %
Annual persistency 81.0 % 81.0 % 80.2 % 80.2 % 80.3 % 82.8 %
 
Loans in default (count) 1,174 1,060 1,028 814 605 505
Percentage of loans in default 0.36 % 0.34 % 0.35 % 0.29 % 0.23 % 0.21 %
 
Other Risk in Force
GSE Risk Share (6) $ 305,357 $ 188,766 $ 156,347 $ 118,073 $ 66,291 $ 63,533
 
Revolving Credit Facility
Borrowings outstanding $ — N/A N/A N/A N/A N/A
Undrawn committed capacity $ 200,000 N/A N/A N/A N/A N/A
 
(4) Average premium rate is calculated by dividing net premiums earned by average insurance in force for the period.
 
(5) Weighted average coverage is calculated by dividing end of period risk in force by insurance in force.
 
(6) Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") program and covers the risk in force on the loans in the reference pools associated with STACR notes issued by Freddie Mac. Essent Re also provides reinsurance in connection with Fannie Mae's Credit Insurance Risk Transfer ("CIRT") program and covers the risk in force on the loans in reference pools acquired by Fannie Mae.
         
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, 2016 June 30, 2015 June 30, 2016 June 30, 2015

($ in thousands)

>=760 $ 4,013,236 46.1 % $ 3,261,740 45.1 % $ 6,301,139 44.7 % $ 5,608,531 44.6 %

740-759

1,406,617 16.1 1,165,784 16.1 2,246,425 16.0 2,060,160 16.4

720-739

1,157,032 13.3 1,063,764 14.7 1,936,588 13.8 1,843,176 14.7

700-719

950,965 10.9 733,531 10.2 1,533,696 10.9 1,272,607 10.1

680-699

688,642 7.9 574,039 8.0 1,175,494 8.3 1,026,485 8.2
<=679   498,679   5.7     426,543   5.9     888,504   6.3     761,262   6.0  
Total $ 8,715,171   100.0 % $ 7,225,401   100.0 % $ 14,081,846   100.0 % $ 12,572,221   100.0 %
 
Weighted average credit score 749 748 747 748
 
 
 
NIW by LTV
Three Months Ended Six Months Ended
June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015

($ in thousands)

85.00% and below $ 1,176,073 13.5 % $ 893,957 12.4 % $ 1,840,071 13.1 % $ 1,703,195 13.5 %
85.01% to 90.00% 2,848,106 32.7 2,514,695 34.8 4,651,882 33.0 4,333,466 34.5
90.01% to 95.00% 4,330,416 49.7 3,645,029 50.4 7,060,980 50.1 6,278,080 49.9
95.01% and above   360,576   4.1     171,720   2.4     528,913   3.8     257,480   2.1  
Total $ 8,715,171   100.0 % $ 7,225,401   100.0 % $ 14,081,846   100.0 % $ 12,572,221   100.0 %
 
Weighted average LTV 92 % 92 % 92 % 91 %
 
 
 
NIW by Product
Three Months Ended Six Months Ended
June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015
Single Premium policies 18.4 % 23.8 % 20.8 % 23.8 %
Monthly Premium policies 81.6   76.2   79.2   76.2  
100.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Six Months Ended
June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015
Purchase 82.5 % 78.4 % 82.1 % 74.5 %
Refinance 17.5   21.6   17.9   25.5  
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, 2016 June 30, 2015 June 30, 2016 June 30, 2015

($ in thousands)

>=760 $ — 0.0 % $ 48,709 79.5 % $ 45,625 49.0 % $ 48,709 79.5 %

740-759

— — 6,266 10.2 18,154 19.5 6,266 10.2

720-739

— — 4,950 8.1 11,475 12.3 4,950 8.1

700-719

— — 1,333 2.2 8,220 8.8 1,333 2.2

680-699

— — — — 6,453 7.0 — —
<=679   —   —     —   —     3,127   3.4     —   —  
Total $ —   0.0 % $ 61,258   100.0 % $ 93,054   100.0 % $ 61,258   100.0 %
 
Weighted average credit score N/A 778 750 778
 
 
 
NIW by LTV
Three Months Ended Six Months Ended
June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015

($ in thousands)

85.00% and below $ — 0.0 % $ 61,258 100.0 % $ 755 0.8 % $ 61,258 100.0 %
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 % $ 61,258   100.0 % $ 93,054   100.0 % $ 61,258   100.0 %
 
Weighted average LTV N/A 79% 91% 79%
 
 
 
NIW by Product
Three Months Ended Six Months Ended
June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015
Single Premium policies 0.0 % 100.0 % 100.0 % 100.0 %
Monthly Premium policies —   —   —   —  
0.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Six Months Ended
June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015
Purchase 0.0 % 97.6 % 100.0 % 97.6 %
Refinance —   2.4   —   2.4  
0.0 % 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
Total IIF by FICO score June 30, 2016 March 31, 2016 June 30, 2015

($ in thousands)

>=760 $ 33,032,120 45.7 % $ 31,032,734 45.8 % $ 27,079,306 47.2 %

740-759

12,096,199 16.7 11,383,450 16.8 9,814,404 17.1

720-739

10,374,218 14.4 9,783,221 14.5 8,274,037 14.4

700-719

7,365,368 10.2 6,816,087 10.1 5,596,235 9.7

680-699

5,696,562 7.9 5,310,252 7.8 4,238,060 7.4
<=679   3,702,632   5.1     3,390,997   5.0     2,433,817   4.2  
Total $ 72,267,099   100.0 % $ 67,716,741   100.0 % $ 57,435,859   100.0 %
 
Weighted average credit score 749 750 751
 
Total RIF by FICO score June 30, 2016 March 31, 2016 June 30, 2015

($ in thousands)

>=760 $ 8,138,995 45.4 % $ 7,616,124 45.5 % $ 6,557,638 46.9 %

740-759

3,023,589 16.9 2,835,832 16.9 2,410,327 17.2

720-739

2,607,057 14.5 2,451,777 14.6 2,041,686 14.6

700-719

1,820,731 10.1 1,677,361 10.0 1,347,680 9.6

680-699

1,432,032 8.0 1,330,183 8.0 1,045,595 7.5
<=679   914,960   5.1     834,542   5.0     589,775   4.2  
Total $ 17,937,364   100.0 % $ 16,745,819   100.0 % $ 13,992,701   100.0 %
 
Portfolio by LTV
Total IIF by LTV June 30, 2016 March 31, 2016 June 30, 2015

($ in thousands)

85.00% and below $ 7,957,849 11.0 % $ 7,460,266 11.0 % $ 6,801,098 11.9 %
85.01% to 90.00% 24,456,328 33.8 23,115,372 34.1 19,751,418 34.4
90.01% to 95.00% 37,911,936 52.5 35,485,155 52.4 29,600,148 51.5
95.01% and above   1,940,986   2.7     1,655,948   2.5     1,283,195   2.2  
Total $ 72,267,099   100.0 % $ 67,716,741   100.0 % $ 57,435,859   100.0 %
 
Weighted average LTV 92% 92% 92%
 
Total RIF by LTV June 30, 2016 March 31, 2016 June 30, 2015

($ in thousands)

85.00% and below $ 901,838 5.0 % $ 842,560 5.0 % $ 761,349 5.4 %
85.01% to 90.00% 5,824,455 32.5 5,498,657 32.8 4,676,693 33.4
90.01% to 95.00% 10,802,375 60.2 10,078,998 60.2 8,335,450 59.6
95.01% and above   408,696   2.3     325,604   2.0     219,209   1.6  
Total $ 17,937,364   100.0 % $ 16,745,819   100.0 % $ 13,992,701   100.0 %
 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period June 30, 2016 March 31, 2016 June 30, 2015

($ in thousands)

FRM 30 years and higher $ 65,269,610 90.3 % $ 60,857,001 89.9 % $ 50,910,993 88.6 %
FRM 20-25 years 1,660,361 2.3 1,546,759 2.3 1,434,585 2.5
FRM 15 years 2,653,056 3.7 2,629,322 3.9 2,683,327 4.7
ARM 5 years and higher   2,684,072   3.7     2,683,659   3.9     2,406,954   4.2  
Total $ 72,267,099   100.0 % $ 67,716,741   100.0 % $ 57,435,859   100.0 %
 
     
Exhibit F
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
 
 

($ in thousands)

June 30, 2016 March 31, 2016 June 30, 2015
 
GSE Risk Share (1) $ 305,357   $ 188,766   $ 66,291  
 
Weighted average credit score 751 753 758
Weighted average LTV 80 % 77 % 75 %
 

(1) Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") program and covers the risk in force on the loans in the reference pools associated with STACR notes issued by Freddie Mac. Essent Re also provides reinsurance in connection with Fannie Mae's Credit Insurance Risk Transfer ("CIRT") program and covers the risk in force on the loans in reference pools acquired by Fannie Mae.

                       
Exhibit G
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
June 30, 2016
 
 
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 $ 40,783 16.6 % 245 78.0 % 46.1 % 0.0 % 3.7 % 58.7 % 98.6 % 3.0 % 1

2011

3,229,720 727,498 22.5 3,908 75.8 43.3 0.2 5.0 55.3 95.0 3.6 40

2012

11,241,161 4,711,211 41.9 23,013 74.1 51.0 0.5 5.4 55.9 97.6 2.4 137

2013

21,152,638 11,480,248 54.3 55,082 77.4 55.3 1.8 7.7 51.1 97.1 2.7 329

2014

24,799,434 17,543,691 70.7 84,206 86.1 59.3 3.5 15.1 42.4 94.2 3.9 468

2015

26,193,656 23,791,225 90.8 104,097 80.4 53.8 2.3 14.8 43.9 96.6 2.4 185
2016 (through June 30)   14,174,900     13,972,443   98.6 57,890   82.2 54.1 3.8 14.6 44.6 97.4 1.2 14
Total $ 101,037,407   $ 72,267,099   71.5 328,441   81.2 55.1 2.7 13.0 45.7 96.3 2.9 1,174
 
(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, 2016 March 31, 2016 June 30, 2015
CA 9.5 % 9.5 % 9.9 %
TX 8.3 8.4 8.3
FL 6.5 6.3 5.8
WA 4.7 4.7 4.6
IL 4.1 4.0 4.0
NC 3.8 3.9 4.0
NJ 3.4 3.4 3.4
GA 3.3 3.3 3.3
PA 3.2 3.2 3.3
AZ 3.2 3.2 3.2
All Others 50.0   50.1   50.2  
Total 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
June 30, 2016 March 31, 2016 June 30, 2015
CA 9.1 % 9.2 % 9.5 %
TX 8.6 8.6 8.6
FL 6.7 6.5 6.1
WA 4.8 4.7 4.7
IL 4.1 4.1 4.0
NC 3.9 4.0 4.1
GA 3.5 3.5 3.5
NJ 3.4 3.3 3.3
AZ 3.1 3.2 3.2
MN 3.1 3.0 3.0
All Others 49.7   49.9   50.0  
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,
2016 2015 2016 2015
Beginning default inventory 1,060 505 1,028 457
Plus: new defaults 754 385 1,523 766
Less: cures (608 ) (270 ) (1,314 ) (590 )
Less: claims paid (31 ) (15 ) (61 ) (28 )
Less: rescissions and denials (1 ) —   (2 ) —  
Ending default inventory 1,174   605   1,174   605  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended Six Months Ended
June 30, June 30, June 30, June 30,

($ in thousands)

2016 2015 2016 2015
Reserve for losses and LAE at beginning of period $ 20,470   $ 10,065   $ 17,760   $ 8,427  
Add provision for losses and LAE occurring in:
Current year 4,488 3,374 9,568 6,079
Prior years (1,524 ) (1,060 ) (2,873 ) (1,766 )
Incurred losses during the period 2,964   2,314   6,695   4,313  
Deduct payments for losses and LAE occurring in:
Current year 111 140 112 140
Prior years 849   308   1,869   669  
Loss and LAE payments during the period 960   448   1,981   809  
Reserve for losses and LAE at end of period $ 22,474   $ 11,931   $ 22,474   $ 11,931  
 
 
 
Claims
Three Months Ended Six Months Ended
June 30, June 30, June 30, June 30,
2016 2015 2016 2015
Number of claims paid 31 15 61 28
Total amount paid for claims (in thousands) $ 924 $ 431 $ 1,922 $ 780
Average amount paid per claim (in thousands) $ 30 $ 29 $ 32 $ 28
Severity 71 % 88 % 81 % 81 %
         
Exhibit I, continued
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
 
 
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 %
 
 
December 31, 2015

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 535 52 % $ 4,492 28 % $ 29,003 15 %
Four to eleven payments 383 37 8,283 51 20,825 40
Twelve or more payments 89 9 2,688 16 4,299 63
Pending claims 21     2     809     5     844   96
Total case reserves 1,028     100 % 16,272 100 %   $ 54,971   30
IBNR 1,220
LAE 268  
Total reserves for losses and LAE $ 17,760  
 
Average reserve per default:
Case $ 15.8
Total $ 17.3
 
Default Rate 0.35 %
 
 
June 30, 2015

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 289 48 % $ 2,797 26 % $ 16,188 17 %
Four to eleven payments 243 40 5,680 52 12,715 45
Twelve or more payments 58 10 2,003 18 2,500 80
Pending claims 15     2     478     4     540   89
Total case reserves 605     100 % 10,958 100 %   $ 31,943   34
IBNR 822
LAE 151  
Total reserves for losses and LAE $ 11,931  
 
Average reserve per default:
Case $ 18.1
Total $ 19.7
 
Default Rate 0.23 %
       
Exhibit J
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio
 
 
Investment Portfolio by Asset Class
Asset Class June 30, 2016 December 31, 2015

($ in thousands)

Fair Value   Percent Fair Value   Percent
U.S. Treasury securities $ 201,802 14.1 % $ 177,607 13.9 %
U.S. agency securities 14,339 1.0 13,782 1.1
U.S. agency mortgage-backed securities 204,254 14.2 159,602 12.5
Municipal debt securities 330,203 23.0 279,828 21.9
Corporate debt securities 390,425 27.2 396,732 31.1
Mortgage-backed securities 50,604 3.5 55,356 4.3
Asset-backed securities 129,312 9.0 126,629 9.9
Money market funds 114,235     8.0   67,098     5.3  
Total Investments $ 1,435,174     100.0 % $ 1,276,634     100.0 %
 
 
Investment Portfolio by Credit Rating
Rating (1) June 30, 2016 December 31, 2015

($ in thousands)

Fair Value   Percent Fair Value   Percent
Aaa $ 680,656 47.4 % $ 554,789 43.5 %
Aa1 89,465 6.2 74,322 5.8
Aa2 94,692 6.6 89,533 7.0
Aa3 78,288 5.5 68,587 5.4
A1 128,307 8.9 126,920 9.9
A2 103,730 7.2 122,745 9.6
A3 85,951 6.0 87,781 6.9
Baa1 77,687 5.4 80,137 6.3
Baa2 74,956 5.2 51,528 4.0
Baa3 16,414 1.2 19,662 1.5
Below Baa3 / Unrated 5,028     0.4   630     0.1  
Total Investments $ 1,435,174     100.0 % $ 1,276,634     100.0 %
 
(1) Based on ratings issued by Moody's, if available. S&P rating utilized if Moody's not available.
 
Investment Portfolio by Duration and Book Yield
Effective Duration June 30, 2016 December 31, 2015

($ in thousands)

Fair Value   Percent Fair Value   Percent
< 1 Year $ 326,315 22.8 % $ 235,001 18.4 %
1 to < 2 Years 193,781 13.5 141,995 11.1
2 to < 3 Years 164,836 11.5 214,274 16.8
3 to < 4 Years 137,933 9.6 104,772 8.2
4 to < 5 Years 138,221 9.6 141,428 11.1
5 or more Years 474,088     33.0   439,164     34.4  
Total Investments $ 1,435,174     100.0 % $ 1,276,634     100.0 %
 
Pre-tax investment income yield:
Three months ended June 30, 2016 2.11 %
Six months ended June 30, 2016 2.07 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)

As of June 30, 2016 $ 42,281
As of December 31, 2015 $ 70,601
   
Exhibit K
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
 
 
June 30, 2016 December 31, 2015

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 1,017,347 $ 913,182
 
Combined net risk in force (2) $ 15,023,472 $ 13,847,336
 
Risk-to-capital ratios: (3)
Essent Guaranty, Inc. 15.3:1 15.7:1
Essent Guaranty of PA, Inc. 8.4:1 9.7:1
Combined (4) 14.8:1 15.2:1
 
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 276,497 $ 220,178
 
Net risk in force (2) $ 3,197,076 $ 2,364,692
 

(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.

 

(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, 2016 and December 31, 2015, 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, 2016 and December 31, 2015 in accordance with Regulation G:

     

(In thousands, except per share amounts)

June 30, 2016 December 31, 2015
 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,248,607 $ 1,119,241
 
Subtract: Accumulated Other Comprehensive Income (Loss) 23,962   (99 )
 
Adjusted Book Value $ 1,224,645   $ 1,119,340  
 
Denominator:
Total Common Shares Outstanding 93,106 92,650
 
Add: Restricted Share Units Outstanding 490   544  
 
Total Common Shares and Share Units Outstanding 93,596   93,194  
 
Adjusted Book Value per Share $ 13.08   $ 12.01  

CONTACT:
Essent Group Ltd.
Media Contact
610-230-0556
media@essentgroup.com
or
Investor Relations Contact
Christopher G. Curran
Senior Vice President – Investor Relations
855-809-ESNT
ir@essentgroup.com

Essent Group Ltd. Reports