Not Applicable | ||||
(State of Incorporation) | (Commission File Number) | (I.R.S. Employer Identification No.) | ||
Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) | |
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) | |
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) | |
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
(d) | Exhibits |
Exhibit No. | Description | |||
104 | Cover Page Interactive Data File - the cover page XBRL tags are embedded within the Inline XBRL document. | |||
Press Release issued by Essent Group Ltd. on February 14, 2020. | ||||
By: | /s/ Lawrence E. McAlee |
• | Insurance in force as of December 31, 2019 was $164.0 billion, compared to $161.0 billion as of September 30, 2019 and $137.7 billion as of December 31, 2018. |
• | New insurance written for the fourth quarter was $15.8 billion, compared to $18.7 billion in the third quarter of 2019 and $11.4 billion in the fourth quarter of 2018. |
• | Net premiums earned for the fourth quarter were $207.7 million, compared to $203.5 million in the third quarter of 2019 and $173.3 million in the fourth quarter of 2018. |
• | The expense ratio for the fourth quarter was 19.9%, compared to 20.4% in the third quarter of 2019 and 22.8% in the fourth quarter of 2018. |
• | The provision for losses and LAE for the fourth quarter was $10.9 million, compared to a provision of $10.0 million in the third quarter of 2019 and a benefit of $1.0 million in the fourth quarter of 2018. The provision in the fourth quarter of 2018 included a $9.9 million release of the $11.1 million reserve associated with loans identified as related to Hurricanes Harvey and Irma that was established in the fourth quarter of 2017. |
• | The percentage of loans in default as of December 31, 2019 was 0.85%, compared to 0.75% as of September 30, 2019 and 0.66% as of December 31, 2018. |
• | The combined ratio for the fourth quarter was 25.1%, compared to 25.3% in the third quarter of 2019 and 22.2% in the fourth quarter of 2018. |
• | Other income for the fourth quarter includes a $3.6 million loss for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a loss of $0.8 million in the third quarter of 2019. There were no changes in fair value of embedded derivatives in the fourth quarter of 2018. |
• | The consolidated balance of cash and investments at December 31, 2019 was $3.5 billion, including cash and investment balances at Essent Group Ltd. of $98.4 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 12.6:1 as of December 31, 2019. |
• | On October 17, 2019, Moody’s Investors Service (“Moody’s”) upgraded the financial strength rating of Essent Guaranty, Inc. to A3 from Baa1. |
• | On January 31, 2020, Essent announced that its wholly-owned subsidiary, Essent Guaranty, Inc., obtained $495.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in January through August 2019 from Radnor Re 2020-1 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2020-1 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd. |
Essent Group Ltd. and Subsidiaries | ||
Financial Results and Supplemental Information (Unaudited) | ||
Quarter and Year Ended December 31, 2019 | ||
Exhibit A | Condensed Consolidated Statements of Comprehensive Income (Unaudited) | |
Exhibit B | Condensed Consolidated Balance Sheets (Unaudited) | |
Exhibit C | Historical Quarterly Data | |
Exhibit D | New Insurance Written | |
Exhibit E | Insurance in Force and Risk in Force | |
Exhibit F | Other Risk in Force | |
Exhibit G | Portfolio Vintage Data | |
Exhibit H | Reinsurance Vintage Data | |
Exhibit I | Portfolio Geographic Data | |
Exhibit J | Defaults, Reserve for Losses and LAE, and Claims | |
Exhibit K | Investments Available for Sale | |
Exhibit L | Insurance Company Capital | |
Exhibit M | 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 December 31, | Year Ended December 31, | ||||||||||||||
(In thousands, except per share amounts) | 2019 | 2018 | 2019 | 2018 | |||||||||||
Revenues: | |||||||||||||||
Net premiums written | $ | 196,493 | $ | 176,437 | $ | 760,845 | $ | 685,287 | |||||||
Decrease (increase) in unearned premiums | 11,178 | (3,136 | ) | 16,580 | (35,795 | ) | |||||||||
Net premiums earned | 207,671 | 173,301 | 777,425 | 649,492 | |||||||||||
Net investment income | 21,977 | 18,597 | 83,542 | 64,091 | |||||||||||
Realized investment gains, net | 833 | 158 | 3,229 | 1,318 | |||||||||||
Other income (loss) | (1,719 | ) | 1,068 | 3,371 | 4,452 | ||||||||||
Total revenues | 228,762 | 193,124 | 867,567 | 719,353 | |||||||||||
Losses and expenses: | |||||||||||||||
Provision for losses and LAE | 10,929 | (999 | ) | 32,986 | 11,575 | ||||||||||
Other underwriting and operating expenses | 41,231 | 39,449 | 165,369 | 150,900 | |||||||||||
Interest expense | 2,218 | 2,611 | 10,151 | 10,179 | |||||||||||
Total losses and expenses | 54,378 | 41,061 | 208,506 | 172,654 | |||||||||||
Income before income taxes | 174,384 | 152,063 | 659,061 | 546,699 | |||||||||||
Income tax expense | 27,426 | 23,535 | 103,348 | 79,336 | |||||||||||
Net income | $ | 146,958 | $ | 128,528 | $ | 555,713 | $ | 467,363 | |||||||
Earnings per share: | |||||||||||||||
Basic | $ | 1.50 | $ | 1.32 | $ | 5.68 | $ | 4.80 | |||||||
Diluted | 1.49 | 1.31 | 5.66 | 4.77 | |||||||||||
Weighted average shares outstanding: | |||||||||||||||
Basic | 97,830 | 97,450 | 97,762 | 97,403 | |||||||||||
Diluted | 98,376 | 98,066 | 98,227 | 97,974 | |||||||||||
Net income | $ | 146,958 | $ | 128,528 | $ | 555,713 | $ | 467,363 | |||||||
Other comprehensive income (loss): | |||||||||||||||
Change in unrealized appreciation (depreciation) of investments | (6,540 | ) | 18,456 | 85,180 | (25,741 | ) | |||||||||
Total other comprehensive income (loss) | (6,540 | ) | 18,456 | 85,180 | (25,741 | ) | |||||||||
Comprehensive income | $ | 140,418 | $ | 146,984 | $ | 640,893 | $ | 441,622 | |||||||
Loss ratio | 5.3 | % | (0.6 | )% | 4.2 | % | 1.8 | % | |||||||
Expense ratio | 19.9 | 22.8 | 21.3 | 23.2 | |||||||||||
Combined ratio | 25.1 | % | 22.2 | % | 25.5 | % | 25.0 | % |
Exhibit B | |||||||
Essent Group Ltd. and Subsidiaries | |||||||
Condensed Consolidated Balance Sheets (Unaudited) | |||||||
December 31, | December 31, | ||||||
(In thousands, except per share amounts) | 2019 | 2018 | |||||
Assets | |||||||
Investments | |||||||
Fixed maturities available for sale, at fair value | $ | 3,035,385 | $ | 2,605,666 | |||
Short-term investments available for sale, at fair value | 315,362 | 154,400 | |||||
Total investments available for sale | 3,350,747 | 2,760,066 | |||||
Other invested assets | 78,873 | 30,952 | |||||
Total investments | 3,429,620 | 2,791,018 | |||||
Cash | 71,350 | 64,946 | |||||
Accrued investment income | 18,535 | 17,627 | |||||
Accounts receivable | 40,655 | 36,881 | |||||
Deferred policy acquisition costs | 15,705 | 16,049 | |||||
Property and equipment | 17,308 | 7,629 | |||||
Prepaid federal income tax | 261,885 | 202,385 | |||||
Other assets | 18,367 | 13,436 | |||||
Total assets | $ | 3,873,425 | $ | 3,149,971 | |||
Liabilities and Stockholders' Equity | |||||||
Liabilities | |||||||
Reserve for losses and LAE | $ | 69,362 | $ | 49,464 | |||
Unearned premium reserve | 278,887 | 295,467 | |||||
Net deferred tax liability | 249,620 | 172,642 | |||||
Credit facility borrowings, net of deferred costs | 224,237 | 223,664 | |||||
Other accrued liabilities | 66,474 | 43,017 | |||||
Total liabilities | 888,580 | 784,254 | |||||
Commitments and contingencies | |||||||
Stockholders' Equity | |||||||
Common shares, $0.015 par value: | |||||||
Authorized - 233,333; issued and outstanding - 98,394 shares in 2019 and 98,139 shares in 2018 | 1,476 | 1,472 | |||||
Additional paid-in capital | 1,118,655 | 1,110,800 | |||||
Accumulated other comprehensive income (loss) | 56,187 | (28,993 | ) | ||||
Retained earnings | 1,808,527 | 1,282,438 | |||||
Total stockholders' equity | 2,984,845 | 2,365,717 | |||||
Total liabilities and stockholders' equity | $ | 3,873,425 | $ | 3,149,971 | |||
Return on average equity | 20.8 | % | 21.7 | % |
Exhibit C | ||||||||||||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||||||||||||||
Historical Quarterly Data | ||||||||||||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||||||||||||
Selected Income Statement Data | December 31 | September 30 | June 30 | March 31 | December 31 | September 30 | June 30 | March 31 | ||||||||||||||||||||||||
(In thousands, except per share amounts) | ||||||||||||||||||||||||||||||||
Revenues: | ||||||||||||||||||||||||||||||||
Net premiums written | $ | 196,493 | $ | 198,304 | $ | 188,404 | $ | 177,644 | $ | 176,437 | $ | 175,221 | $ | 168,404 | $ | 165,225 | ||||||||||||||||
Net premiums earned (1) | 207,671 | 203,473 | 188,490 | 177,791 | 173,301 | 166,675 | 156,958 | 152,558 | ||||||||||||||||||||||||
Other revenues (2) | 21,091 | 22,914 | 23,402 | 22,735 | 19,823 | 18,323 | 16,810 | 14,905 | ||||||||||||||||||||||||
Total revenues | 228,762 | 226,387 | 211,892 | 200,526 | 193,124 | 184,998 | 173,768 | 167,463 | ||||||||||||||||||||||||
Losses and expenses: | ||||||||||||||||||||||||||||||||
Provision for losses and LAE (3) | 10,929 | 9,990 | 4,960 | 7,107 | (999 | ) | 5,452 | 1,813 | 5,309 | |||||||||||||||||||||||
Other underwriting and operating expenses | 41,231 | 41,588 | 41,520 | 41,030 | 39,449 | 36,899 | 36,428 | 38,124 | ||||||||||||||||||||||||
Interest expense | 2,218 | 2,584 | 2,679 | 2,670 | 2,611 | 2,500 | 2,618 | 2,450 | ||||||||||||||||||||||||
Total losses and expenses | 54,378 | 54,162 | 49,159 | 50,807 | 41,061 | 44,851 | 40,859 | 45,883 | ||||||||||||||||||||||||
Income before income taxes | 174,384 | 172,225 | 162,733 | 149,719 | 152,063 | 140,147 | 132,909 | 121,580 | ||||||||||||||||||||||||
Income tax expense (4) | 27,426 | 27,595 | 26,328 | 21,999 | 23,535 | 24,136 | 21,154 | 10,511 | ||||||||||||||||||||||||
Net income | $ | 146,958 | $ | 144,630 | $ | 136,405 | $ | 127,720 | $ | 128,528 | $ | 116,011 | $ | 111,755 | $ | 111,069 | ||||||||||||||||
Earnings per share: | ||||||||||||||||||||||||||||||||
Basic | $ | 1.50 | $ | 1.48 | $ | 1.39 | $ | 1.31 | $ | 1.32 | $ | 1.19 | $ | 1.15 | $ | 1.14 | ||||||||||||||||
Diluted | 1.49 | 1.47 | 1.39 | 1.30 | 1.31 | 1.18 | 1.14 | 1.13 | ||||||||||||||||||||||||
Weighted average shares outstanding: | ||||||||||||||||||||||||||||||||
Basic | 97,830 | 97,822 | 97,798 | 97,595 | 97,450 | 97,438 | 97,426 | 97,298 | ||||||||||||||||||||||||
Diluted | 98,376 | 98,257 | 98,170 | 98,104 | 98,066 | 98,013 | 97,866 | 97,951 | ||||||||||||||||||||||||
Other Data: | ||||||||||||||||||||||||||||||||
Loss ratio (5) | 5.3 | % | 4.9 | % | 2.6 | % | 4.0 | % | (0.6 | )% | 3.3 | % | 1.2 | % | 3.5 | % | ||||||||||||||||
Expense ratio (6) | 19.9 | 20.4 | 22.0 | 23.1 | 22.8 | 22.1 | 23.2 | 25.0 | ||||||||||||||||||||||||
Combined ratio | 25.1 | % | 25.3 | % | 24.7 | % | 27.1 | % | 22.2 | % | 25.4 | % | 24.4 | % | 28.5 | % | ||||||||||||||||
Return on average equity (annualized) | 20.1 | % | 20.8 | % | 20.9 | % | 20.9 | % | 22.4 | % | 21.5 | % | 21.8 | % | 22.6 | % | ||||||||||||||||
(1) Net premiums earned also includes premiums earned on GSE and other risk share. See Exhibit F. | ||||||||||||||||||||||||||||||||
(2) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. Other revenues for the three months ended December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019 include unfavorable decreases of $3,585 and $760 and favorable increases of $1,160 and $1,424, respectively, in the fair value of these embedded derivatives. | ||||||||||||||||||||||||||||||||
(3) Provision for losses and LAE for the three months ended December 31, 2018 includes a $9,941 reduction associated with previously identified hurricane-related defaults based on the performance to date and our expectations of the amount of ultimate losses on the remaining delinquencies. | ||||||||||||||||||||||||||||||||
(4) Income tax expense for the three months ended March 31, 2019 and 2018 was reduced by $1,956 and $9,549, respectively, of excess tax benefits associated with the vesting of common shares and common share units during each period. Income tax expense for the three months ended September 30, 2018 includes $1,450 of expense associated with accrual to return adjustments associated with the completion of the 2017 U.S. federal income tax return. | ||||||||||||||||||||||||||||||||
(5) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned. | ||||||||||||||||||||||||||||||||
(6) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. |
Exhibit C, continued | ||||||||||||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||||||||||||||
Historical Quarterly Data | ||||||||||||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||||||||||||
Other Data, continued: | December 31 | September 30 | June 30 | March 31 | December 31 | September 30 | June 30 | March 31 | ||||||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||
U.S. Mortgage Insurance Portfolio | ||||||||||||||||||||||||||||||||
Flow: | ||||||||||||||||||||||||||||||||
New insurance written | $ | 15,839,836 | $ | 18,719,876 | $ | 17,973,505 | $ | 10,945,307 | $ | 11,408,542 | $ | 13,913,191 | $ | 12,850,642 | $ | 9,336,150 | ||||||||||||||||
New risk written | 3,966,363 | 4,695,611 | 4,485,217 | 2,713,389 | 2,838,530 | 3,430,942 | 3,201,610 | 2,295,314 | ||||||||||||||||||||||||
Bulk: | ||||||||||||||||||||||||||||||||
New insurance written | $ | — | $ | 6,133 | $ | 29,524 | $ | 55,002 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
New risk written | — | 842 | 2,129 | 6,542 | — | — | — | — | ||||||||||||||||||||||||
Total: | ||||||||||||||||||||||||||||||||
Average gross premium rate (7) | 0.51 | % | 0.52 | % | 0.51 | % | 0.50 | % | 0.50 | % | 0.51 | % | 0.52 | % | 0.52 | % | ||||||||||||||||
Average net premium rate (8) | 0.49 | % | 0.49 | % | 0.49 | % | 0.48 | % | 0.49 | % | 0.50 | % | 0.51 | % | 0.52 | % | ||||||||||||||||
New insurance written | $ | 15,839,836 | $ | 18,726,009 | $ | 18,003,029 | $ | 11,000,309 | $ | 11,408,542 | $ | 13,913,191 | $ | 12,850,642 | $ | 9,336,150 | ||||||||||||||||
New risk written | $ | 3,966,363 | $ | 4,696,453 | $ | 4,487,346 | $ | 2,719,931 | $ | 2,838,530 | $ | 3,430,942 | $ | 3,201,610 | $ | 2,295,314 | ||||||||||||||||
Insurance in force (end of period) | $ | 164,005,853 | $ | 160,962,192 | $ | 153,317,157 | $ | 143,181,641 | $ | 137,720,786 | $ | 131,249,957 | $ | 122,501,246 | $ | 115,250,949 | ||||||||||||||||
Gross risk in force (end of period) (9) | $ | 41,402,950 | $ | 40,540,289 | $ | 38,531,090 | $ | 35,925,830 | $ | 34,482,448 | $ | 32,786,194 | $ | 30,579,106 | $ | 28,691,561 | ||||||||||||||||
Risk in force (end of period) | $ | 38,947,857 | $ | 38,784,584 | $ | 37,034,687 | $ | 34,744,417 | $ | 33,892,869 | $ | 32,361,782 | $ | 30,154,694 | $ | 28,267,149 | ||||||||||||||||
Policies in force | 702,925 | 693,085 | 666,705 | 629,808 | 608,135 | 581,570 | 546,576 | 517,215 | ||||||||||||||||||||||||
Weighted average coverage (10) | 25.2 | % | 25.2 | % | 25.1 | % | 25.1 | % | 25.0 | % | 25.0 | % | 25.0 | % | 24.9 | % | ||||||||||||||||
Annual persistency | 77.5 | % | 82.1 | % | 84.8 | % | 85.1 | % | 84.9 | % | 84.0 | % | 83.0 | % | 83.5 | % | ||||||||||||||||
Loans in default (count) | 5,947 | 5,232 | 4,405 | 4,096 | 4,024 | 3,538 | 3,519 | 4,442 | ||||||||||||||||||||||||
Percentage of loans in default | 0.85 | % | 0.75 | % | 0.66 | % | 0.65 | % | 0.66 | % | 0.61 | % | 0.64 | % | 0.86 | % | ||||||||||||||||
Other Risk in Force | ||||||||||||||||||||||||||||||||
GSE and other risk share (11) | $ | 895,374 | $ | 849,184 | $ | 802,530 | $ | 771,175 | $ | 655,384 | $ | 612,750 | $ | 592,493 | $ | 557,692 | ||||||||||||||||
Credit Facility | ||||||||||||||||||||||||||||||||
Borrowings outstanding | $ | 225,000 | $ | 225,000 | $ | 225,000 | $ | 225,000 | $ | 225,000 | $ | 225,000 | $ | 225,000 | $ | 265,000 | ||||||||||||||||
Undrawn committed capacity | $ | 275,000 | $ | 275,000 | $ | 275,000 | $ | 275,000 | $ | 275,000 | $ | 275,000 | $ | 275,000 | $ | 110,000 | ||||||||||||||||
Weighted average interest rate (end of period) | 3.51 | % | ||||||||||||||||||||||||||||||
(7) Average gross premium rate is calculated by dividing annualized premiums earned for the U.S. mortgage insurance portfolio, before reductions for premiums ceded under third-party reinsurance, by average insurance in force for the period. | ||||||||||||||||||||||||||||||||
(8) Average net premium rate is calculated by dividing annualized net premiums earned for the U.S. mortgage insurance portfolio by average insurance in force for the period. | ||||||||||||||||||||||||||||||||
(9) Gross risk in force includes risk ceded under third-party reinsurance. | ||||||||||||||||||||||||||||||||
(10) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force. | ||||||||||||||||||||||||||||||||
(11) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Re provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae. |
Exhibit D | |||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||||||||||||
Supplemental Information | |||||||||||||||||||||||
New Insurance Written: Flow | |||||||||||||||||||||||
NIW by Credit Score | |||||||||||||||||||||||
Three Months Ended | Year Ended | ||||||||||||||||||||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | ||||||||||||||||||||
($ in thousands) | |||||||||||||||||||||||
>=760 | $ | 6,486,486 | 40.9 | % | $ | 4,737,774 | 41.5 | % | $ | 25,738,423 | 40.5 | % | $ | 19,903,369 | 41.9 | % | |||||||
740-759 | 2,880,429 | 18.2 | 1,959,523 | 17.2 | 11,152,853 | 17.6 | 8,076,182 | 17.0 | |||||||||||||||
720-739 | 2,401,806 | 15.2 | 1,665,931 | 14.6 | 9,340,180 | 14.7 | 6,875,823 | 14.5 | |||||||||||||||
700-719 | 1,860,120 | 11.7 | 1,349,689 | 11.8 | 7,555,687 | 11.9 | 5,715,076 | 12.0 | |||||||||||||||
680-699 | 1,235,223 | 7.8 | 875,125 | 7.7 | 5,248,330 | 8.3 | 3,722,490 | 7.8 | |||||||||||||||
<=679 | 975,772 | 6.2 | 820,500 | 7.2 | 4,443,051 | 7.0 | 3,215,585 | 6.8 | |||||||||||||||
Total | $ | 15,839,836 | 100.0 | % | $ | 11,408,542 | 100.0 | % | $ | 63,478,524 | 100.0 | % | $ | 47,508,525 | 100.0 | % | |||||||
Weighted average credit score | 745 | 745 | 744 | 745 | |||||||||||||||||||
NIW by LTV | |||||||||||||||||||||||
Three Months Ended | Year Ended | ||||||||||||||||||||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | ||||||||||||||||||||
($ in thousands) | |||||||||||||||||||||||
85.00% and below | $ | 2,084,932 | 13.2 | % | $ | 1,384,296 | 12.1 | % | $ | 7,874,266 | 12.4 | % | $ | 5,731,894 | 12.1 | % | |||||||
85.01% to 90.00% | 4,757,915 | 30.0 | 3,124,625 | 27.4 | 17,847,603 | 28.1 | 13,227,075 | 27.8 | |||||||||||||||
90.01% to 95.00% | 6,771,196 | 42.7 | 4,955,729 | 43.4 | 26,852,903 | 42.3 | 20,579,615 | 43.3 | |||||||||||||||
95.01% and above | 2,225,793 | 14.1 | 1,943,892 | 17.1 | 10,903,752 | 17.2 | 7,969,941 | 16.8 | |||||||||||||||
Total | $ | 15,839,836 | 100.0 | % | $ | 11,408,542 | 100.0 | % | $ | 63,478,524 | 100.0 | % | $ | 47,508,525 | 100.0 | % | |||||||
Weighted average LTV | 92 | % | 92 | % | 92 | % | 92 | % | |||||||||||||||
NIW by Product | |||||||||||||||||||||||
Three Months Ended | Year Ended | ||||||||||||||||||||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | ||||||||||||||||||||
Single Premium policies | 10.4 | % | 13.5 | % | 11.1 | % | 15.3 | % | |||||||||||||||
Monthly Premium policies | 89.6 | 86.5 | 88.9 | 84.7 | |||||||||||||||||||
100.0 | % | 100.0 | % | 100.0 | % | 100.0 | % | ||||||||||||||||
NIW by Purchase vs. Refinance | |||||||||||||||||||||||
Three Months Ended | Year Ended | ||||||||||||||||||||||
December 31, 2019 | December 31, 2018 | December 31, 2019 | December 31, 2018 | ||||||||||||||||||||
Purchase | 71.8 | % | 93.3 | % | 80.4 | % | 91.8 | % | |||||||||||||||
Refinance | 28.2 | 6.7 | 19.6 | 8.2 | |||||||||||||||||||
100.0 | % | 100.0 | % | 100.0 | % | 100.0 | % |
Exhibit E | ||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||
Supplemental Information | ||||||||||||||||||
Insurance in Force and Risk in Force | ||||||||||||||||||
Portfolio by Credit Score | ||||||||||||||||||
IIF by FICO score | December 31, 2019 | September 30, 2019 | December 31, 2018 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
>=760 | $ | 68,123,523 | 41.5 | % | $ | 67,408,766 | 41.9 | % | $ | 59,249,659 | 43.0 | % | ||||||
740-759 | 27,886,603 | 17.0 | 27,178,330 | 16.9 | 22,843,145 | 16.6 | ||||||||||||
720-739 | 24,069,139 | 14.7 | 23,459,055 | 14.6 | 19,898,885 | 14.5 | ||||||||||||
700-719 | 19,183,219 | 11.7 | 18,728,884 | 11.6 | 15,714,206 | 11.4 | ||||||||||||
680-699 | 13,713,164 | 8.4 | 13,418,919 | 8.3 | 11,299,829 | 8.2 | ||||||||||||
<=679 | 11,030,205 | 6.7 | 10,768,238 | 6.7 | 8,715,062 | 6.3 | ||||||||||||
Total | $ | 164,005,853 | 100.0 | % | $ | 160,962,192 | 100.0 | % | $ | 137,720,786 | 100.0 | % | ||||||
Weighted average credit score | 745 | 745 | 746 | |||||||||||||||
Gross RIF by FICO score | December 31, 2019 | September 30, 2019 | December 31, 2018 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
>=760 | $ | 17,082,683 | 41.3 | % | $ | 16,877,750 | 41.6 | % | $ | 14,789,783 | 42.9 | % | ||||||
740-759 | 7,056,654 | 17.0 | 6,857,369 | 16.9 | 5,736,432 | 16.6 | ||||||||||||
720-739 | 6,150,334 | 14.9 | 5,980,949 | 14.8 | 5,036,063 | 14.6 | ||||||||||||
700-719 | 4,873,597 | 11.8 | 4,743,360 | 11.7 | 3,943,925 | 11.4 | ||||||||||||
680-699 | 3,491,755 | 8.4 | 3,406,811 | 8.4 | 2,846,297 | 8.3 | ||||||||||||
<=679 | 2,747,927 | 6.6 | 2,674,050 | 6.6 | 2,129,948 | 6.2 | ||||||||||||
Total | $ | 41,402,950 | 100.0 | % | $ | 40,540,289 | 100.0 | % | $ | 34,482,448 | 100.0 | % | ||||||
Portfolio by LTV | ||||||||||||||||||
IIF by LTV | December 31, 2019 | September 30, 2019 | December 31, 2018 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
85.00% and below | $ | 17,128,008 | 10.5 | % | $ | 16,918,870 | 10.5 | % | $ | 15,123,578 | 11.0 | % | ||||||
85.01% to 90.00% | 46,771,386 | 28.5 | 46,021,398 | 28.6 | 41,020,839 | 29.8 | ||||||||||||
90.01% to 95.00% | 76,611,494 | 46.7 | 75,528,177 | 46.9 | 66,028,990 | 47.9 | ||||||||||||
95.01% and above | 23,494,965 | 14.3 | 22,493,747 | 14.0 | 15,547,379 | 11.3 | ||||||||||||
Total | $ | 164,005,853 | 100.0 | % | $ | 160,962,192 | 100.0 | % | $ | 137,720,786 | 100.0 | % | ||||||
Weighted average LTV | 92 | % | 92 | % | 92 | % | ||||||||||||
Gross RIF by LTV | December 31, 2019 | September 30, 2019 | December 31, 2018 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
85.00% and below | $ | 1,977,361 | 4.8 | % | $ | 1,953,058 | 4.8 | % | $ | 1,741,823 | 5.1 | % | ||||||
85.01% to 90.00% | 11,249,383 | 27.2 | 11,065,886 | 27.3 | 9,819,171 | 28.5 | ||||||||||||
90.01% to 95.00% | 21,981,598 | 53.1 | 21,633,852 | 53.4 | 18,912,421 | 54.8 | ||||||||||||
95.01% and above | 6,194,608 | 14.9 | 5,887,493 | 14.5 | 4,009,033 | 11.6 | ||||||||||||
Total | $ | 41,402,950 | 100.0 | % | $ | 40,540,289 | 100.0 | % | $ | 34,482,448 | 100.0 | % | ||||||
Portfolio by Loan Amortization Period | ||||||||||||||||||
IIF by Loan Amortization Period | December 31, 2019 | September 30, 2019 | December 31, 2018 | |||||||||||||||
($ in thousands) | ||||||||||||||||||
FRM 30 years and higher | $ | 154,905,519 | 94.5 | % | $ | 151,594,009 | 94.2 | % | $ | 128,083,429 | 93.0 | % | ||||||
FRM 20-25 years | 2,854,560 | 1.7 | 2,872,964 | 1.8 | 2,965,782 | 2.2 | ||||||||||||
FRM 15 years | 3,300,715 | 2.0 | 3,367,326 | 2.1 | 3,445,447 | 2.5 | ||||||||||||
ARM 5 years and higher | 2,945,059 | 1.8 | 3,127,893 | 1.9 | 3,226,128 | 2.3 | ||||||||||||
Total | $ | 164,005,853 | 100.0 | % | $ | 160,962,192 | 100.0 | % | $ | 137,720,786 | 100.0 | % |
Exhibit F | ||||||||||||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||||||||||||||
Other Risk in Force | ||||||||||||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||||||||||||
($ in thousands) | December 31 | September 30 | June 30 | March 31 | December 31 | September 30 | June 30 | March 31 | ||||||||||||||||||||||||
GSE and other risk share (1): | ||||||||||||||||||||||||||||||||
Premiums earned | $ | 9,867 | $ | 9,284 | $ | 8,622 | $ | 7,894 | $ | 7,333 | $ | 6,886 | $ | 6,715 | $ | 6,267 | ||||||||||||||||
Risk in Force | $ | 895,374 | $ | 849,184 | $ | 802,530 | $ | 771,175 | $ | 655,384 | $ | 612,750 | $ | 592,493 | $ | 557,692 | ||||||||||||||||
Weighted average credit score | 745 | 746 | 748 | 747 | 748 | 749 | 748 | 751 | ||||||||||||||||||||||||
Weighted average LTV | 85 | % | 85 | % | 85 | % | 85 | % | 85 | % | 85 | % | 85 | % | 84 | % | ||||||||||||||||
(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae. |
Exhibit G | ||||||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||||||||
Portfolio Vintage Data | ||||||||||||||||||||||||||
December 31, 2019 | ||||||||||||||||||||||||||
Insurance in Force | ||||||||||||||||||||||||||
Year | Original Insurance Written ($ in thousands) | Remaining Insurance in Force ($ in thousands) | % Remaining of Original Insurance | Number of Policies in Force | % Purchase | >90% LTV | >95% LTV | FICO < 700 | FICO >= 760 | % FRM | Incurred Loss Ratio (Inception to Date) (1) | Number of Loans in Default | ||||||||||||||
2010 | $ | 245,898 | $ | 3,354 | 1.4 | % | 25 | 55.5 | % | 43.8 | % | 0.0 | % | 2.6 | % | 55.8 | % | 100.0 | % | 2.6 | % | 1 | ||||
2011 | 3,229,720 | 154,793 | 4.8 | 902 | 68.8 | 58.1 | 0.4 | 6.3 | 52.7 | 97.9 | 3.7 | 18 | ||||||||||||||
2012 | 11,241,161 | 1,144,794 | 10.2 | 6,165 | 72.2 | 70.8 | 0.8 | 4.9 | 57.3 | 99.2 | 2.1 | 84 | ||||||||||||||
2013 | 21,152,638 | 3,411,648 | 16.1 | 18,397 | 78.9 | 67.4 | 2.4 | 7.7 | 51.2 | 98.8 | 2.3 | 250 | ||||||||||||||
2014 | 24,799,434 | 5,972,714 | 24.1 | 33,081 | 89.5 | 67.7 | 4.9 | 16.0 | 41.0 | 97.4 | 3.0 | 535 | ||||||||||||||
2015 | 26,193,656 | 9,896,050 | 37.8 | 48,804 | 85.1 | 60.4 | 2.8 | 14.7 | 43.8 | 98.3 | 2.7 | 669 | ||||||||||||||
2016 | 34,949,319 | 19,022,616 | 54.4 | 86,915 | 84.1 | 59.0 | 7.1 | 13.5 | 45.7 | 98.7 | 2.9 | 948 | ||||||||||||||
2017 | 43,858,322 | 29,606,165 | 67.5 | 135,204 | 87.8 | 60.6 | 14.6 | 15.8 | 41.9 | 97.3 | 4.2 | 1,623 | ||||||||||||||
2018 | 47,508,525 | 35,318,382 | 74.3 | 152,372 | 92.3 | 62.4 | 18.7 | 15.6 | 39.9 | 97.9 | 6.0 | 1,398 | ||||||||||||||
2019 | 63,569,183 | 59,475,337 | 93.6 | 221,060 | 80.4 | 60.0 | 17.8 | 15.6 | 39.7 | 98.7 | 4.2 | 421 | ||||||||||||||
Total | $ | 276,747,856 | $ | 164,005,853 | 59.3 | 702,925 | 85.2 | 61.0 | 14.3 | 15.1 | 41.5 | 98.2 | 3.3 | 5,947 | ||||||||||||
(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned. |
Exhibit H | ||||||||||||||||||||||||||||||||||||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||||||||||||||||||||||||||||||||||||
Supplemental Information | ||||||||||||||||||||||||||||||||||||||||||||||||||
Reinsurance Vintage Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Excess of Loss Reinsurance | ||||||||||||||||||||||||||||||||||||||||||||||||||
Original Reinsurance in Force | Remaining Reinsurance in Force | Earned Premiums Ceded | ||||||||||||||||||||||||||||||||||||||||||||||||
Year | Remaining Insurance in Force | Remaining Risk in Force | ILN | Other Reinsurance | Total | ILN | Other Reinsurance | Total | Losses Ceded to Date | Original First Layer Retention | Remaining First Layer Retention | Quarter-to-Date | Year-to-Date | Reduction in PMIERs Minimum Required Assets (8) | ||||||||||||||||||||||||||||||||||||
2015 & 2016 | $ | 26,837,265 | $ | 7,251,785 | $ | 333,844 | (1) | $ | — | $ | 333,844 | $ | 273,773 | $ | — | $ | 273,773 | $ | — | $ | 208,111 | $ | 208,111 | $ | 1,689 | $ | 4,242 | $ | 221,215 | |||||||||||||||||||||
2017 | 28,700,242 | 7,249,243 | 424,412 | (2) | 165,167 | (3) | 589,579 | 319,696 | 165,167 | 484,863 | — | 224,689 | 222,647 | 3,149 | 14,147 | 283,382 | ||||||||||||||||||||||||||||||||||
2018 | 34,615,998 | 8,719,128 | 473,184 | (4) | 118,650 | (5) | 591,834 | 426,677 | 103,147 | 529,824 | — | 253,643 | 253,415 | 4,660 | 15,718 | 428,514 | ||||||||||||||||||||||||||||||||||
Total | $ | 90,153,505 | $ | 23,220,156 | $ | 1,231,440 | $ | 283,817 | $ | 1,515,257 | $ | 1,020,146 | $ | 268,314 | $ | 1,288,460 | $ | — | $ | 686,443 | $ | 684,173 | $ | 9,498 | $ | 34,107 | $ | 933,111 |
Quota Share Reinsurance | ||||||||||||||||||||||||||||||||||||
Ceding Commission | Earned Premiums Ceded | |||||||||||||||||||||||||||||||||||
Year | Remaining Insurance in Force | Remaining Risk in Force | Remaining Ceded Insurance in Force | Remaining Ceded Risk in Force | Losses Ceded to Date | Quarter-to- Date (6) | Year-to- Date (6) | Quarter-to- Date (7) | Year-to- Date (7) | Reduction in PMIERs Minimum Required Assets (8) | ||||||||||||||||||||||||||
2019 | $ | 21,289,799 | $ | 5,349,686 | $ | 4,698,154 | $ | 1,166,633 | $ | 71 | $ | 600 | $ | 650 | $ | 1,272 | $ | 1,392 | $ | 79,554 | ||||||||||||||||
(1) Reinsurance provided by Radnor Re 2019-2 Ltd., through its issuance of mortgage insurance-linked notes ("ILNs"), effective June 2019. | ||||||||||||||||||||||||||||||||||||
(2) Reinsurance provided by Radnor Re 2018-1 Ltd., through its issuance of ILNs, effective March 2018. | ||||||||||||||||||||||||||||||||||||
(3) Reinsurance provided by a panel of reinsurers effective November 2018. Coverage provided immediately above the coverage provided by Radnor Re 2018-1 Ltd. | ||||||||||||||||||||||||||||||||||||
(4) Reinsurance provided by Radnor Re 2019-1 Ltd., through its issuance of ILNs, effective February 2019. | ||||||||||||||||||||||||||||||||||||
(5) Reinsurance provided by a panel of reinsurers effective February 2019. Coverage provided pari-passu to the coverage provided by Radnor Re 2019-1 Ltd. | ||||||||||||||||||||||||||||||||||||
(6) Ceding commission is recorded as a reduction of Other underwriting and operating expenses in the Condensed Consolidated Statements of Comprehensive Income. | ||||||||||||||||||||||||||||||||||||
(7) Premiums ceded are net of profit commission. | ||||||||||||||||||||||||||||||||||||
(8) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs. |
Exhibit I | ||||||||
Essent Group Ltd. and Subsidiaries | ||||||||
Supplemental Information | ||||||||
Portfolio Geographic Data | ||||||||
IIF by State | ||||||||
December 31, 2019 | September 30, 2019 | December 31, 2018 | ||||||
CA | 10.0 | % | 9.8 | % | 9.1 | % | ||
TX | 8.6 | 8.3 | 7.9 | |||||
FL | 7.9 | 7.7 | 7.4 | |||||
WA | 4.4 | 4.5 | 4.7 | |||||
CO | 3.7 | 3.6 | 3.4 | |||||
IL | 3.7 | 3.7 | 3.8 | |||||
NJ | 3.6 | 3.6 | 3.8 | |||||
OH | 3.4 | 3.4 | 3.3 | |||||
NC | 3.3 | 3.3 | 3.5 | |||||
AZ | 3.3 | 3.2 | 3.1 | |||||
All Others | 48.1 | 48.9 | 50.0 | |||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | ||
Gross RIF by State | ||||||||
December 31, 2019 | September 30, 2019 | December 31, 2018 | ||||||
CA | 9.8 | % | 9.6 | % | 8.9 | % | ||
TX | 8.9 | 8.6 | 8.1 | |||||
FL | 8.0 | 7.9 | 7.5 | |||||
WA | 4.4 | 4.5 | 4.7 | |||||
CO | 3.6 | 3.5 | 3.3 | |||||
NJ | 3.6 | 3.6 | 3.7 | |||||
IL | 3.5 | 3.6 | 3.8 | |||||
OH | 3.3 | 3.4 | 3.3 | |||||
NC | 3.3 | 3.3 | 3.5 | |||||
GA | 3.3 | 3.3 | 3.5 | |||||
All Others | 48.3 | 48.7 | 49.7 | |||||
Total | 100.0 | % | 100.0 | % | 100.0 | % | ||
Exhibit J | ||||||||||||||||
Essent Group Ltd. and Subsidiaries | ||||||||||||||||
Supplemental Information | ||||||||||||||||
Defaults, Reserve for Losses and LAE, and Claims | ||||||||||||||||
Rollforward of Insured Loans in Default | ||||||||||||||||
Three Months Ended | Year Ended | |||||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2019 | 2018 | 2019 | 2018 | |||||||||||||
Beginning default inventory | 5,232 | 3,538 | 4,024 | 4,783 | ||||||||||||
Plus: new defaults | 3,826 | 2,747 | 13,304 | 8,727 | ||||||||||||
Less: cures | (3,027 | ) | (2,183 | ) | (10,985 | ) | (9,226 | ) | ||||||||
Less: claims paid | (80 | ) | (75 | ) | (377 | ) | (254 | ) | ||||||||
Less: rescissions and denials, net | (4 | ) | (3 | ) | (19 | ) | (6 | ) | ||||||||
Ending default inventory | 5,947 | 4,024 | 5,947 | 4,024 | ||||||||||||
Rollforward of Reserve for Losses and LAE | ||||||||||||||||
Three Months Ended | Year Ended | |||||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
($ in thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Reserve for losses and LAE at beginning of period | $ | 61,436 | $ | 53,355 | $ | 49,464 | $ | 46,850 | ||||||||
Less: Reinsurance recoverables | — | — | — | — | ||||||||||||
Net reserve for losses and LAE at beginning of period | 61,436 | 53,355 | 49,464 | 46,850 | ||||||||||||
Add provision for losses and LAE occurring in: | ||||||||||||||||
Current year | 12,658 | 11,239 | 50,562 | 36,438 | ||||||||||||
Prior years | (1,729 | ) | (12,238 | ) | (17,576 | ) | (24,863 | ) | ||||||||
Incurred losses and LAE during the period | 10,929 | (999 | ) | 32,986 | 11,575 | |||||||||||
Deduct payments for losses and LAE occurring in: | ||||||||||||||||
Current year | 631 | 690 | 1,288 | 1,310 | ||||||||||||
Prior years | 2,443 | 2,202 | 11,871 | 7,651 | ||||||||||||
Loss and LAE payments during the period | 3,074 | 2,892 | 13,159 | 8,961 | ||||||||||||
Net reserve for losses and LAE at end of period | 69,291 | 49,464 | 69,291 | 49,464 | ||||||||||||
Plus: Reinsurance recoverables | 71 | — | 71 | — | ||||||||||||
Reserve for losses and LAE at end of period | $ | 69,362 | $ | 49,464 | $ | 69,362 | $ | 49,464 | ||||||||
Claims | ||||||||||||||||
Three Months Ended | Year Ended | |||||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2019 | 2018 | 2019 | 2018 | |||||||||||||
Number of claims paid | 80 | 75 | 377 | 254 | ||||||||||||
Total amount paid for claims (in thousands) | $ | 2,922 | $ | 2,711 | $ | 12,613 | $ | 8,559 | ||||||||
Average amount paid per claim (in thousands) | $ | 37 | $ | 36 | $ | 33 | $ | 34 | ||||||||
Severity | 76 | % | 82 | % | 74 | % | 73 | % |
Exhibit J, continued | |||||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||||
Supplemental Information | |||||||||||||||
Defaults, Reserve for Losses and LAE, and Claims | |||||||||||||||
U.S. Mortgage Insurance Portfolio | |||||||||||||||
December 31, 2019 | |||||||||||||||
Number of Policies in Default | Percentage of Policies in Default | Amount of Reserves | Percentage of Reserves | Defaulted RIF | Reserves as a Percentage of Defaulted RIF | ||||||||||
($ in thousands) | |||||||||||||||
Missed Payments: | |||||||||||||||
Three payments or less | 3,310 | 56 | % | $ | 15,793 | 25 | % | $ | 177,238 | 9 | % | ||||
Four to eleven payments | 2,035 | 34 | 28,006 | 44 | 108,743 | 26 | |||||||||
Twelve or more payments | 473 | 8 | 13,549 | 22 | 27,152 | 50 | |||||||||
Pending claims | 129 | 2 | 5,832 | 9 | 6,777 | 86 | |||||||||
Total case reserves (1) | 5,947 | 100 | % | 63,180 | 100 | % | $ | 319,910 | 20 | ||||||
IBNR | 4,738 | ||||||||||||||
LAE | 1,265 | ||||||||||||||
Total reserves for losses and LAE (1) | $ | 69,183 | |||||||||||||
Average reserve per default: | |||||||||||||||
Case | $ | 10.6 | |||||||||||||
Total | $ | 11.6 | |||||||||||||
Default Rate | 0.85% | ||||||||||||||
(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $179. | |||||||||||||||
December 31, 2018 | |||||||||||||||
Number of Policies in Default | Percentage of Policies in Default | Amount of Reserves | Percentage of Reserves | Defaulted RIF | Reserves as a Percentage of Defaulted RIF | ||||||||||
($ in thousands) | |||||||||||||||
Missed Payments: | |||||||||||||||
Three payments or less | 2,254 | 56 | % | $ | 12,005 | 27 | % | $ | 119,666 | 10 | % | ||||
Four to eleven payments | 1,350 | 33 | 20,031 | 44 | 72,222 | 28 | |||||||||
Twelve or more payments | 357 | 9 | 10,523 | 23 | 20,419 | 52 | |||||||||
Pending claims | 63 | 2 | 2,749 | 6 | 3,182 | 86 | |||||||||
Total case reserves | 4,024 | 100 | % | 45,308 | 100 | % | $ | 215,489 | 21 | ||||||
IBNR | 3,398 | ||||||||||||||
LAE | 758 | ||||||||||||||
Total reserves for losses and LAE | $ | 49,464 | |||||||||||||
Average reserve per default: | |||||||||||||||
Case | $ | 11.3 | |||||||||||||
Total | $ | 12.3 | |||||||||||||
Default Rate | 0.66% |
Exhibit K | |||||||||||||
Essent Group Ltd. and Subsidiaries | |||||||||||||
Supplemental Information | |||||||||||||
Investments Available for Sale | |||||||||||||
Investments Available for Sale by Asset Class | |||||||||||||
Asset Class | December 31, 2019 | December 31, 2018 | |||||||||||
($ in thousands) | Fair Value | Percent | Fair Value | Percent | |||||||||
U.S. Treasury securities | $ | 242,206 | 7.2 | % | $ | 289,892 | 10.5 | % | |||||
U.S. agency securities | 33,605 | 1.0 | 32,997 | 1.2 | |||||||||
U.S. agency mortgage-backed securities | 848,334 | 25.3 | 637,178 | 23.1 | |||||||||
Municipal debt securities | 361,638 | 10.8 | 483,879 | 17.5 | |||||||||
Non-U.S. government securities | 54,995 | 1.7 | 45,001 | 1.6 | |||||||||
Corporate debt securities | 880,301 | 26.3 | 725,201 | 26.3 | |||||||||
Residential and commercial mortgage securities | 288,281 | 8.6 | 121,838 | 4.4 | |||||||||
Asset-backed securities | 326,025 | 9.7 | 284,997 | 10.3 | |||||||||
Money market funds | 315,362 | 9.4 | 139,083 | 5.1 | |||||||||
Total investments available for sale | $ | 3,350,747 | 100.0 | % | $ | 2,760,066 | 100.0 | % | |||||
Investments Available for Sale by Credit Rating | |||||||||||||
Rating (1) | December 31, 2019 | December 31, 2018 | |||||||||||
($ in thousands) | Fair Value | Percent | Fair Value | Percent | |||||||||
Aaa | $ | 1,817,905 | 54.2 | % | $ | 1,362,781 | 49.4 | % | |||||
Aa1 | 109,122 | 3.3 | 124,435 | 4.5 | |||||||||
Aa2 | 145,282 | 4.3 | 196,218 | 7.1 | |||||||||
Aa3 | 159,599 | 4.8 | 143,315 | 5.2 | |||||||||
A1 | 206,643 | 6.2 | 222,073 | 8.0 | |||||||||
A2 | 183,780 | 5.5 | 199,238 | 7.2 | |||||||||
A3 | 191,933 | 5.7 | 146,300 | 5.3 | |||||||||
Baa1 | 232,490 | 6.9 | 162,695 | 5.9 | |||||||||
Baa2 | 179,664 | 5.4 | 140,168 | 5.1 | |||||||||
Baa3 | 65,119 | 1.9 | 26,805 | 1.0 | |||||||||
Below Baa3 | 59,210 | 1.8 | 36,038 | 1.3 | |||||||||
Total investments available for sale | $ | 3,350,747 | 100.0 | % | $ | 2,760,066 | 100.0 | % | |||||
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available. | |||||||||||||
Investments Available for Sale by Duration and Book Yield | |||||||||||||
Effective Duration | December 31, 2019 | December 31, 2018 | |||||||||||
($ in thousands) | Fair Value | Percent | Fair Value | Percent | |||||||||
< 1 Year | $ | 1,038,782 | 31.0 | % | $ | 529,545 | 19.2 | % | |||||
1 to < 2 Years | 306,148 | 9.1 | 285,060 | 10.3 | |||||||||
2 to < 3 Years | 348,708 | 10.4 | 251,763 | 9.1 | |||||||||
3 to < 4 Years | 361,147 | 10.8 | 278,804 | 10.1 | |||||||||
4 to < 5 Years | 443,382 | 13.2 | 429,005 | 15.6 | |||||||||
5 or more Years | 852,580 | 25.5 | 985,889 | 35.7 | |||||||||
Total investments available for sale | $ | 3,350,747 | 100.0 | % | $ | 2,760,066 | 100.0 | % | |||||
Pre-tax investment income yield: | |||||||||||||
Three months ended December 31, 2019 | 2.79 | % | |||||||||||
Year ended December 31, 2019 | 2.82 | % | |||||||||||
Net cash and investments at holding company, Essent Group Ltd.: | |||||||||||||
($ in thousands) | |||||||||||||
As of December 31, 2019 | $ | 98,376 | |||||||||||
As of December 31, 2018 | $ | 78,405 |
Exhibit L | |||||||||
Essent Group Ltd. and Subsidiaries | |||||||||
Supplemental Information | |||||||||
Insurance Company Capital | |||||||||
December 31, 2019 | December 31, 2018 | ||||||||
($ in thousands) | |||||||||
U.S. Mortgage Insurance Subsidiaries: | |||||||||
Combined statutory capital (1) | $ | 2,335,828 | $ | 1,886,929 | |||||
Combined net risk in force (2) | $ | 29,460,191 | $ | 26,233,783 | |||||
Risk-to-capital ratios: (3) | |||||||||
Essent Guaranty, Inc. | 13.1:1 | 14.4:1 | |||||||
Essent Guaranty of PA, Inc. | 2.9:1 | 4.2:1 | |||||||
Combined (4) | 12.6:1 | 13.9:1 | |||||||
Essent Reinsurance Ltd.: | |||||||||
Stockholder's equity (GAAP basis) | $ | 939,360 | $ | 798,612 | |||||
Net risk in force (2) | $ | 10,314,942 | $ | 8,265,763 | |||||
(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual. | |||||||||
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established. | |||||||||
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital. | |||||||||
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital. |
Exhibit M | |||||
Essent Group Ltd. and Subsidiaries | |||||
Supplemental Information | |||||
Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share |
(In thousands, except per share amounts) | December 31, 2019 | December 31, 2018 | ||||||
Numerator: | ||||||||
Total Stockholders' Equity (Book Value) | $ | 2,984,845 | $ | 2,365,717 | ||||
Subtract: Accumulated Other Comprehensive Income (Loss) | 56,187 | (28,993 | ) | |||||
Adjusted Book Value | $ | 2,928,658 | $ | 2,394,710 | ||||
Denominator: | ||||||||
Total Common Shares Outstanding | 98,394 | 98,139 | ||||||
Add: Restricted Share Units and Dividend Equivalent Units Outstanding | 356 | 449 | ||||||
Total Common Shares and Share Units Outstanding | 98,750 | 98,588 | ||||||
Adjusted Book Value per Share | $ | 29.66 | $ | 24.29 |
Cover Page Cover Page |
Feb. 14, 2020 |
---|---|
Cover page. | |
Document Type | 8-K |
Document Period End Date | Feb. 14, 2020 |
Entity Registrant Name | ESSENT GROUP LTD. |
Entity Incorporation, State or Country Code | D0 |
Entity File Number | 001-36157 |
Entity Address, Address Line One | Clarendon House |
Entity Address, Address Line Two | 2 Church Street |
Entity Address, City or Town | Hamilton |
Entity Address, Postal Zip Code | HM11 |
Entity Address, Country | BM |
City Area Code | 441 |
Local Phone Number | 297‑9901 |
Written Communications | false |
Soliciting Material | false |
Pre-commencement Tender Offer | false |
Pre-commencement Issuer Tender Offer | false |
Entity Emerging Growth Company | false |
Title of 12(b) Security | Common Shares, $0.015 par value |
Trading Symbol | ESNT |
Security Exchange Name | NYSE |
Entity Central Index Key | 0001448893 |
Amendment Flag | false |
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