Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2016 of $48.0 million or $0.52 per diluted share, compared to $34.8 million or $0.38 per diluted share for the quarter ended March 31, 2015. As of March 31, 2016, Essent had insurance in force of $67.7 billion and consolidated stockholders’ equity of $1.2 billion.

“So far, 2016 has been another important year for Essent as we continue to build our portfolio and expand our franchise,” said Mark Casale, Chairman and Chief Executive Officer. “In addition to the revolving credit facility we secured in April, I am pleased to announce that the first quarter of 2016 was another quarter of strong financial results, with Essent generating a return on average equity of 17%.”

Financial Highlights:

  • Insurance in force as of March 31, 2016 was $67.7 billion, compared to $53.3 billion as of March 31, 2015.
  • New insurance written for the first quarter was $5.5 billion, compared to $5.3 billion in the first quarter of 2015.
  • Net premiums earned for the first quarter were $94.4 million, compared to $75.0 million in the first quarter of 2015.
  • The expense ratio for the first quarter was 33.2%, compared to 36.6% in the first quarter of 2015.
  • The provision for losses and LAE for the first quarter was $3.7 million, compared to $2.0 million in the first quarter of 2015.
  • The percentage of loans in default as of March 31, 2016 was 0.34%, compared to 0.21% as of March 31, 2015.
  • The combined ratio for the first quarter was 37.2%, compared to 39.3% in the first quarter of 2015.
  • The consolidated balance of cash and investments at March 31, 2016 was $1.4 billion, including cash and investment balances at Essent Group Ltd. of $70.7 million.
  • The combined risk to capital ratio of the US mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 14.8:1 as of March 31, 2016.
  • Essent Reinsurance Ltd. reinsured a total of $34.9 million of risk in GSE risk share transactions in the first quarter.

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 84441869 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 84441869.

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," "plan," "seek," "comfortable with," "will," "expect," "intend," "estimate," "anticipate," "believe" or "continue" 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.

     
Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended March 31, 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 March 31,

($ in thousands, except per share amounts)

2016 2015
Revenues:
Net premiums written $ 100,466 $ 82,257
Increase in unearned premiums   (6,063 )   (7,219 )
Net premiums earned 94,403 75,038
Net investment income 6,183 4,280
Realized investment gains, net 471 649
Other income   1,409     44  
Total revenues   102,466     80,011  
 
Losses and expenses:
Provision for losses and LAE 3,731 1,999
Other underwriting and operating expenses   31,388     27,498  
Total losses and expenses   35,119     29,497  
 
Income before income taxes 67,347 50,514
Income tax expense   19,396     15,676  
Net income $ 47,951   $ 34,838  
 
 
Earnings per share:
Basic $ 0.53 $ 0.39
Diluted 0.52 0.38
 
Weighted average shares outstanding:
Basic 90,785 90,185
Diluted 91,859 91,514
 
Net income $ 47,951 $ 34,838
 
Other comprehensive income:
Change in unrealized appreciation of investments   13,359     4,889  
Total other comprehensive income   13,359     4,889  
Comprehensive income $ 61,310   $ 39,727  
 
 
Loss ratio 4.0 % 2.7 %
Expense ratio   33.2 %   36.6 %
Combined ratio   37.2 %   39.3 %
 

       
Exhibit B
 
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
 
 
March 31, December 31,

(In thousands, except per share amounts)

2016 2015
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,285,014 $ 1,190,638
Short-term investments   83,488     85,996  
Total investments 1,368,502 1,276,634
Cash 28,206 24,606
Accrued investment income 8,431 7,768
Accounts receivable 17,200 16,637
Deferred policy acquisition costs 11,686 11,529
Property and equipment (at cost, less accumulated depreciation of $43,479 in 2016 and $42,479 in 2015) 9,232 9,021
Prepaid federal income tax 119,522 119,412
Other assets   2,953     3,492  
 
Total assets $ 1,565,732   $ 1,469,099  
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 20,470 $ 17,760
Unearned premium reserve 207,108 201,045
Accrued payroll and bonuses 6,629 15,955
Net deferred tax liability 108,923 87,964
Securities purchased payable 30,157 14,996
Other accrued liabilities   10,950     12,138  
Total liabilities   384,237     349,858  
 
Commitments and contingencies
 
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued - 93,070 shares in 2016 and 92,650 shares in 2015 1,396 1,390
Additional paid-in capital 905,159 904,221
Accumulated other comprehensive income (loss) 13,260 (99 )
Retained earnings   261,680     213,729  
Total stockholders' equity   1,181,495     1,119,241  
 
Total liabilities and stockholders' equity $ 1,565,732   $ 1,469,099  
 
Return on average equity (1) 16.7 % 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 March 31 December 31 September 30 June 30 March 31

($ in thousands, except per share amounts)

Revenues:
Net premiums written $ 100,466   $ 98,434   $ 97,478   $ 92,399   $ 82,257  
 
Net premiums earned 94,403 89,378 83,694 78,361 75,038
Other revenues (1)   8,063     8,098     8,042     5,706     4,973  
Total revenues   102,466     97,476     91,736     84,067     80,011  
 
Losses and expenses:
Provision for losses and LAE 3,731 4,199 3,393 2,314 1,999
Other underwriting and operating expenses   31,388     29,627     28,714     27,148     27,498  
Total losses and expenses   35,119     33,826     32,107     29,462     29,497  
 
Income before income taxes 67,347 63,650 59,629 54,605 50,514
Income tax expense   19,396     19,171     18,808     17,412     15,676  
Net income $ 47,951   $ 44,479   $ 40,821   $ 37,193   $ 34,838  
 
Earnings per share:
Basic $ 0.53 $ 0.49 $ 0.45 $ 0.41 $ 0.39
Diluted 0.52 0.48 0.44 0.41 0.38
 
Weighted average shares outstanding:
Basic 90,785 90,454 90,418 90,344 90,185
Diluted 91,859 91,918 91,841 91,674 91,514
 
Other Data:
Loss ratio (2) 4.0 % 4.7 % 4.1 % 3.0 % 2.7 %
Expense ratio (3)   33.2 %   33.1 %   34.3 %   34.6 %   36.6 %
Combined ratio   37.2 %   37.8 %   38.4 %   37.6 %   39.3 %
 
Return on average equity (annualized) 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 $677, $974, $1,258, ($391) and ($749) in the three months ended 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: March 31 December 31 September 30 June 30 March 31

($ in thousands)

 
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written $ 5,366,675 $ 5,970,656 $ 7,384,654 $ 7,225,401 $ 5,346,820
New risk written 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) 0.56 % 0.55 % 0.55 % 0.57 % 0.58 %
New insurance written $ 5,459,729 $ 5,970,656 $ 7,589,521 $ 7,286,659 $ 5,346,820
New risk written $ 1,349,068 $ 1,486,328 $ 1,880,644 $ 1,804,089 $ 1,302,710
Insurance in force (end of period) $ 67,716,741 $ 65,242,453 $ 62,141,406 $ 57,435,859 $ 53,253,632
Risk in force (end of period) $ 16,745,819 $ 16,073,174 $ 15,229,575 $ 13,992,701 $ 12,891,462
Policies in force 308,779 297,437 282,671 261,996 242,477
Weighted average coverage (5) 24.7 % 24.6 % 24.5 % 24.4 % 24.2 %
Annual persistency 81.0 % 80.2 % 80.2 % 80.3 % 82.8 %
 
Loans in default (count) 1,060 1,028 814 605 505
Percentage of loans in default 0.34 % 0.35 % 0.29 % 0.23 % 0.21 %
 
Other Risk in Force
GSE Risk Share (6) $ 188,766 $ 156,347 $ 118,073 $ 66,291 $ 63,533

 

(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
March 31, 2016 December 31, 2015 March 31, 2015

($ in thousands)

     >=760

$ 2,287,903 42.6 % $ 2,549,859 42.7 % $ 2,346,791 43.9 %

     740-759

839,808 15.6 954,427 16.0 894,376 16.7

     720-739

779,556 14.5 845,731 14.2 779,412 14.6

     700-719

582,731 10.9 656,708 11.0 539,076 10.1

     680-699

486,852 9.1 556,605 9.3 452,446 8.5

     <=679

  389,825       7.3     407,326       6.8     334,719       6.2  
Total $ 5,366,675       100.0 % $ 5,970,656       100.0 % $ 5,346,820       100.0 %
 
Weighted average credit score 745 746 747
 
 
 
NIW by LTV
Three Months Ended
March 31, 2016 December 31, 2015 March 31, 2015

($ in thousands)

     85.00% and below

$ 663,998 12.4 % $ 728,547 12.2 % $ 809,238 15.1 %

     85.01% to 90.00%

1,803,776 33.6 2,040,008 34.2 1,818,771 34.0

     90.01% to 95.00%

2,730,564 50.9 3,042,571 50.9 2,633,051 49.3

     95.01% and above

  168,337       3.1     159,530       2.7     85,760       1.6  
Total $ 5,366,675       100.0 % $ 5,970,656       100.0 % $ 5,346,820       100.0 %
 
Weighted average LTV 92 % 92 % 91 %
 
 
 
NIW by Product
Three Months Ended
March 31, 2016 December 31, 2015 March 31, 2015
Single Premium policies 24.6 % 24.3 % 23.7 %
Monthly Premium policies 75.4   75.7   76.3  
100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended
March 31, 2016 December 31, 2015 March 31, 2015
Purchase 81.6 % 82.6 % 69.3 %
Refinance 18.4   17.4   30.7  
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
March 31, 2016 December 31, 2015 March 31, 2015

($ in thousands)

     >=760

$ 45,625 49.0 % $ — 0.0 % $ — 0.0 %

     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 $ 93,054       100.0 % $ —     0.0 % $ —     0.0 %
 
Weighted average credit score 750 N/A N/A
 
 
 
NIW by LTV
Three Months Ended
March 31, 2016 December 31, 2015 March 31, 2015

($ in thousands)

     85.00% and below

$ 755 0.8 % $ — 0.0 % $ — 0.0 %

     85.01% to 90.00%

27,757 29.8 — — — —

     90.01% to 95.00%

64,542 69.4 — — — —

     95.01% and above

  —       —     —     —     —     —  
Total $ 93,054       100.0 % $ —     0.0 % $ —     0.0 %
 
Weighted average LTV 91 % N/A N/A
 
 
 
NIW by Product
Three Months Ended
March 31, 2016 December 31, 2015 March 31, 2015
Single Premium policies 100.0 % 0.0 % 0.0 %
Monthly Premium policies —   —   —  
100.0 % 0.0 % 0.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended
March 31, 2016 December 31, 2015 March 31, 2015
Purchase 100.0 % 0.0 % 0.0 %
Refinance —   —   —  
100.0 % 0.0 % 0.0 %
 

                       
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 March 31, 2016 December 31, 2015 March 31, 2015

($ in thousands)

     >=760

$ 31,032,734 45.8 % $ 30,174,460 46.2 % $ 25,345,630 47.6 %

     740-759

11,383,450 16.8 11,019,729 16.9 9,204,965 17.3

     720-739

9,783,221 14.5 9,398,659 14.4 7,613,387 14.3

     700-719

6,816,087 10.1 6,507,454 10.0 5,143,705 9.6

     680-699

5,310,252 7.8 5,030,169 7.7 3,842,342 7.2

     <=679

  3,390,997       5.0     3,111,982       4.8     2,103,603       4.0  
Total $ 67,716,741       100.0 % $ 65,242,453       100.0 % $ 53,253,632       100.0 %
 
Weighted average credit score 750 750 752
 
Total RIF by FICO score March 31, 2016 December 31, 2015 March 31, 2015

($ in thousands)

     >=760

$ 7,616,124 45.5 % $ 7,379,053 45.9 % $ 6,112,309 47.4 %

     740-759

2,835,832 16.9 2,735,754 17.0 2,244,474 17.4

     720-739

2,451,777 14.6 2,346,971 14.6 1,865,939 14.5

     700-719

1,677,361 10.0 1,592,463 9.9 1,224,580 9.5

     680-699

1,330,183 8.0 1,255,734 7.8 939,792 7.3

     <=679

  834,542       5.0     763,199       4.8     504,368       3.9  
Total $ 16,745,819       100.0 % $ 16,073,174       100.0 % $ 12,891,462       100.0 %
 
Portfolio by LTV
Total IIF by LTV March 31, 2016 December 31, 2015 March 31, 2015

($ in thousands)

     85.00% and below

$ 7,460,266 11.0 % $ 7,341,316 11.3 % $ 6,382,552 12.0 %

     85.01% to 90.00%

23,115,372 34.1 22,337,975 34.2 18,422,873 34.6

     90.01% to 95.00%

35,485,155 52.4 34,035,682 52.2 27,288,976 51.2

     95.01% and above

  1,655,948       2.5     1,527,480       2.3     1,159,231       2.2  
Total $ 67,716,741       100.0 % $ 65,242,453       100.0 % $ 53,253,632       100.0 %
 
Weighted average LTV 92 % 92 % 92 %
 
Total RIF by LTV March 31, 2016 December 31, 2015 March 31, 2015

($ in thousands)

     85.00% and below

$ 842,560 5.0 % $ 826,531 5.2 % $ 716,057 5.6 %

     85.01% to 90.00%

5,498,657 32.8 5,310,050 33.0 4,350,761 33.7

     90.01% to 95.00%

10,078,998 60.2 9,646,406 60.0 7,644,265 59.3

     95.01% and above

  325,604       2.0     290,187       1.8     180,379       1.4  
Total $ 16,745,819       100.0 % $ 16,073,174       100.0 % $ 12,891,462       100.0 %
 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period March 31, 2016 December 31, 2015 March 31, 2015

($ in thousands)

     FRM 30 years and higher

$ 60,857,001 89.9 % $ 58,344,666 89.4 % $ 46,922,016 88.1 %

     FRM 20-25 years

1,546,759 2.3 1,515,756 2.3 1,336,976 2.5

     FRM 15 years

2,629,322 3.9 2,702,723 4.2 2,619,532 4.9

     ARM 5 years and higher

  2,683,659       3.9     2,679,308       4.1     2,375,108       4.5  
Total $ 67,716,741       100.0 % $ 65,242,453       100.0 % $ 53,253,632       100.0 %
 

           
Exhibit F
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
 
 

($ in thousands)

March 31, 2016 December 31, 2015 March 31, 2015
 
GSE Risk Share (1) $ 188,766   $ 156,347   $ 63,533  
 
Weighted average credit score 753 754 758
Weighted average LTV 77 % 76 % 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
March 31, 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 $ 44,403 18.1 % 261 75.4 % 45.4 % 0.0 % 3.5 % 59.9 % 98.4 % 3.0 % 1
2011 3,229,720 815,747 25.3 4,334 75.4 42.3 0.2 4.8 55.8 94.7 3.8 40
2012 11,241,161 5,164,434 45.9 24,912 73.3 50.4 0.5 5.4 56.0 97.5 2.4 140
2013 21,152,638 12,649,996 59.8 59,840 77.1 55.0 1.8 7.7 51.2 96.9 2.6 288
2014 24,799,434 18,901,253 76.2 89,534 85.6 58.6 3.5 15.1 42.4 94.2 3.9 452
2015 26,193,656 24,711,026 94.3 106,972 80.1 53.4 2.3 14.8 43.9 96.5 2.4 137
2016 (through March 31)   5,459,729       5,429,882 99.5 22,926 81.9 54.3 3.1 16.2 42.6 97.1 0.9 2
Total $ 92,322,236     $ 67,716,741 73.3 308,779 80.6 54.8 2.4 12.8 45.8 96.0 2.9 1,060
 
(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
March 31, 2016 December 31, 2015 March 31, 2015
CA 9.5 % 9.6 % 10.0 %
TX 8.4 8.3 8.4
FL 6.3 6.2 5.6
WA 4.7 4.6 4.5
IL 4.0 4.1 3.9
NC 3.9 3.9 4.0
NJ 3.4 3.4 3.4
GA 3.3 3.3 3.3
PA 3.2 3.3 3.4
AZ 3.2 3.2 3.3
All Others 50.1   50.1   50.2  
Total 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
March 31, 2016 December 31, 2015 March 31, 2015
CA 9.2 % 9.2 % 9.6 %
TX 8.6 8.6 8.6
FL 6.5 6.4 5.9
WA 4.7 4.8 4.6
IL 4.1 4.1 4.0
NC 4.0 4.0 4.2
GA 3.5 3.5 3.5
NJ 3.3 3.3 3.4
AZ 3.2 3.2 3.2
PA 3.1 3.1 3.2
All Others 49.8   49.8   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
March 31, December 31, March 31,
2016 2015 2015
Beginning default inventory 1,028 814 457
Plus: new defaults 769 706 381
Less: cures (706 ) (467 ) (320 )
Less: claims paid (30 ) (25 ) (13 )
Less: rescissions and denials   (1 )   —     —  
Ending default inventory   1,060     1,028     505  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended
March 31, December 31, March 31,

($ in thousands)

2016 2015 2015
Reserve for losses and LAE at beginning of period $ 17,760   $ 14,548   $ 8,427  
Add provision for losses and LAE occurring in:
Current year 5,080 4,600 2,705
Prior years   (1,349 )   (401 )   (706 )
Incurred losses during the period   3,731     4,199     1,999  
Deduct payments for losses and LAE occurring in:
Current year 1 282 —
Prior years   1,020     705     361  
Loss and LAE payments during the period   1,021     987     361  
Reserve for losses and LAE at end of period $ 20,470   $ 17,760   $ 10,065  
 
 
 
Claims
Three Months Ended
March 31, December 31, March 31,
2016 2015 2015
Number of claims paid 30 25 13
Total amount paid for claims (in thousands) $ 998 $ 968 $ 349
Average amount paid per claim (in thousands) $ 33 $ 39 $ 27
Severity 93 % 102 % 72 %
 

 
Exhibit I, continued
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
                       
 
March 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 505 48 % $ 4,639 25 % $ 28,519 16 %
Four to eleven payments 426 40 9,689 52 23,147 42
Twelve or more payments 105 10 3,438 18 5,217 66
Pending claims 24       2         1,029     5         1,202 86
Total case reserves 1,060       100 % 18,795 100 %     $ 58,085 32
IBNR 1,410
LAE   265
Total reserves for losses and LAE $ 20,470
 
Average reserve per default:
Case $ 17.7
Total $ 19.3
 
Default Rate 0.34 %
 
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 %
 
March 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 230 46 % $ 2,246 24 % $ 12,782 18 %
Four to eleven payments 216 43 5,045 55 11,195 45
Twelve or more payments 52 10 1,658 18 2,241 74
Pending claims 7       1         261     3         257 102
Total case reserves 505       100 % 9,210 100 %     $ 26,475 35
IBNR 691
LAE   164
Total reserves for losses and LAE $ 10,065
 
Average reserve per default:
Case $ 18.2
Total $ 19.9
 
Default Rate 0.21 %
 

               
Exhibit J
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio
 
 
Investment Portfolio by Asset Class
Asset Class March 31, 2016 December 31, 2015

($ in thousands)

Fair Value     Percent Fair Value     Percent
U.S. Treasury securities $ 211,780 15.5 % $ 177,607 13.9 %
U.S. agency securities 14,657 1.1 13,782 1.1
U.S. agency mortgage-backed securities 178,003 13.0 159,602 12.5
Municipal debt securities 304,111 22.2 279,828 21.9
Corporate debt securities 416,688 30.4 396,732 31.1
Mortgage-backed securities 53,046 3.9 55,356 4.3
Asset-backed securities 121,729 8.9 126,629 9.9
Money market funds   68,488       5.0     67,098     5.3  
Total Investments $ 1,368,502       100.0 % $ 1,276,634     100.0 %
 
Investment Portfolio by Credit Rating
Rating (1) March 31, 2016 December 31, 2015

($ in thousands)

Fair Value     Percent Fair Value     Percent
Aaa $ 615,547 45.0 % $ 554,789 43.5 %
Aa1 78,904 5.8 74,322 5.8
Aa2 89,150 6.4 89,533 7.0
Aa3 78,764 5.8 68,587 5.4
A1 128,057 9.4 126,920 9.9
A2 119,931 8.8 122,745 9.6
A3 91,674 6.7 87,781 6.9
Baa1 89,159 6.5 80,137 6.3
Baa2 59,140 4.3 51,528 4.0
Baa3 15,112 1.1 19,662 1.5
Below Baa3   3,064       0.2     630     0.1  
Total Investments $ 1,368,502       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 March 31, 2016 December 31, 2015

($ in thousands)

Fair Value     Percent Fair Value     Percent
< 1 Year $ 263,443 19.3 % $ 235,001 18.4 %
1 to < 2 Years 186,162 13.6 141,995 11.1
2 to < 3 Years 188,098 13.7 214,274 16.8
3 to < 4 Years 125,607 9.2 104,772 8.2
4 to < 5 Years 138,185 10.1 141,428 11.1
5 or more Years   467,007       34.1     439,164     34.4  
Total Investments $ 1,368,502       100.0 % $ 1,276,634     100.0 %
 
Pre-tax investment income yield:
Three months ended March 31, 2016 2.03 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)

As of March 31, 2016 $ 70,722
As of December 31, 2015 $ 70,601
 

       
Exhibit K
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
 
 
March 31, 2016 December 31, 2015

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 960,806 $ 913,182
 
Combined net risk in force (2) $ 14,254,342 $ 13,847,336
 
Risk-to-capital ratios: (3)
Essent Guaranty, Inc. 15.3:1 15.7:1
Essent Guaranty of PA, Inc. 9.3:1 9.7:1
Combined (4) 14.8:1 15.2:1
 
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 233,328 $ 220,178
 
Net risk in force (2) $ 2,660,038 $ 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 March 31, 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 March 31, 2016 and December 31, 2015 in accordance with Regulation G:

 
       

(In thousands, except per share amounts)

March 31, 2016 December 31, 2015
 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,181,495 $ 1,119,241
 
Subtract: Accumulated Other Comprehensive Income (Loss)   13,260   (99 )
 
Adjusted Book Value $ 1,168,235 $ 1,119,340  
 
Denominator:
Total Common Shares Outstanding 93,070 92,650
 
Add: Restricted Share Units Outstanding   484   544  
 
Total Common Shares and Share Units Outstanding   93,554   93,194  
 
Adjusted Book Value per Share $ 12.49 $ 12.01  
 

Source: Essent Group Ltd.