XML 107 R11.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Investments
 12 Months Ended
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Investments Investments

Investments available for sale consist of the following:

December 31, 2019 (In thousands)
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair Value
U.S. Treasury securities
 
$
239,087

 
$
3,526

 
$
(407
)
 
$
242,206

U.S. agency securities
 
33,620

 
36

 
(51
)
 
33,605

U.S. agency mortgage-backed securities
 
836,710

 
13,956

 
(2,332
)
 
848,334

Municipal debt securities (1)
 
339,511

 
22,245

 
(118
)
 
361,638

Non-U.S. government securities
 
52,230

 
2,812

 
(47
)
 
54,995

Corporate debt securities (2)
 
856,638

 
24,255

 
(592
)
 
880,301

Residential and commercial mortgage securities
 
282,840

 
6,542

 
(1,101
)
 
288,281

Asset-backed securities
 
326,589

 
857

 
(1,421
)
 
326,025

Money market funds
 
315,360

 
2

 
—

 
315,362

Total investments available for sale
 
$
3,282,585

 
$
74,231

 
$
(6,069
)
 
$
3,350,747


December 31, 2018 (In thousands)
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair Value
U.S. Treasury securities
 
$
295,145

 
$
693

 
$
(5,946
)
 
$
289,892

U.S. agency securities
 
33,645

 
—

 
(648
)
 
32,997

U.S. agency mortgage-backed securities
 
649,228

 
2,520

 
(14,570
)
 
637,178

Municipal debt securities (1)
 
481,547

 
5,351

 
(3,019
)
 
483,879

Non-U.S. government securities
 
44,999

 
285

 
(283
)
 
45,001

Corporate debt securities (2)
 
738,964

 
1,005

 
(14,768
)
 
725,201

Residential and commercial mortgage securities
 
122,369

 
686

 
(1,217
)
 
121,838

Asset-backed securities
 
288,371

 
305

 
(3,679
)
 
284,997

Money market funds
 
139,082

 
1

 
—

 
139,083

Total investments available for sale
 
$
2,793,350

 
$
10,846

 
$
(44,130
)
 
$
2,760,066

_______________________________________________________________________________
 
 
December 31,
 
December 31,
(1) The following table summarizes municipal debt securities as of :
 
2019
 
2018
Special revenue bonds
 
74.5
%
 
69.0
%
General obligation bonds
 
21.3

 
26.0

Certificate of participation bonds
 
3.4

 
3.6

Tax allocation bonds
 
0.8

 
0.9

Special tax bonds
 
—

 
0.5

Total
 
100.0
%
 
100.0
%

 
 
December 31,
 
December 31,
(2) The following table summarizes corporate debt securities as of :
 
2019
 
2018
Financial
 
34.4
%
 
37.1
%
Consumer, non-cyclical
 
20.1

 
20.7

Communications
 
10.3

 
12.6

Energy
 
8.3

 
5.7

Consumer, cyclical
 
7.6

 
7.6

Utilities
 
6.2

 
5.0

Technology
 
4.8

 
3.1

Industrial
 
4.2

 
4.7

Basic materials
 
4.1

 
3.5

Total
 
100.0
%
 
100.0
%


The amortized cost and fair value of investments available for sale at December 31, 2019, by contractual maturity, are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Because most U.S. agency mortgage-backed securities, residential and commercial mortgage securities and asset-backed securities provide for periodic payments throughout their lives, they are listed below in separate categories.

(In thousands)
 
Amortized
Cost
 
Fair
Value
U.S. Treasury securities:
 
 

 
 

Due in 1 year
 
$
57,609

 
$
57,617

Due after 1 but within 5 years
 
102,510

 
104,452

Due after 5 but within 10 years
 
77,984

 
79,163

Due after 10 years
 
984

 
974

Subtotal
 
239,087

 
242,206

U.S. agency securities:
 
 

 
 

Due in 1 year
 
19,182

 
19,162

Due after 1 but within 5 years
 
14,438

 
14,443

Subtotal
 
33,620

 
33,605

Municipal debt securities:
 
 

 
 

Due in 1 year
 
—

 
—

Due after 1 but within 5 years
 
19,753

 
20,523

Due after 5 but within 10 years
 
182,026

 
192,774

Due after 10 years
 
137,732

 
148,341

Subtotal
 
339,511

 
361,638

Non-U.S. government securities:
 
 
 
 
Due in 1 year
 
—

 
—

Due after 1 but within 5 years
 
17,517

 
18,181

Due after 5 but within 10 years
 
29,572

 
31,597

Due after 10 years
 
5,141

 
5,217

Subtotal
 
52,230

 
54,995

Corporate debt securities:
 
 

 
 

Due in 1 year
 
148,964

 
149,353

Due after 1 but within 5 years
 
401,697

 
411,097

Due after 5 but within 10 years
 
276,182

 
289,867

Due after 10 years
 
29,795

 
29,984

Subtotal
 
856,638

 
880,301

U.S. agency mortgage-backed securities
 
836,710

 
848,334

Residential and commercial mortgage securities
 
282,840

 
288,281

Asset-backed securities
 
326,589

 
326,025

Money market funds
 
315,360

 
315,362

Total investments available for sale
 
$
3,282,585

 
$
3,350,747



Gross gains and losses realized on the sale of investments available for sale were as follows:

 
 
Year Ended December 31,
(In thousands)
 
2019
 
2018
 
2017
Realized gross gains
 
$
5,238

 
$
2,201

 
$
2,504

Realized gross losses
 
1,746

 
883

 
425



The fair value of investments available for sale in an unrealized loss position and the related unrealized losses were as follows:

 
 
Less than 12 months
 
12 months or more
 
Total
December 31, 2019 (In thousands)
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
U.S. Treasury securities
 
$
29,013

 
$
(331
)
 
$
42,981

 
$
(76
)
 
$
71,994

 
$
(407
)
U.S. agency securities
 
—

 
—

 
25,605

 
(51
)
 
25,605

 
(51
)
U.S. agency mortgage-backed securities
 
101,684

 
(1,042
)
 
113,866

 
(1,290
)
 
215,550

 
(2,332
)
Municipal debt securities
 
10,651

 
(112
)
 
624

 
(6
)
 
11,275

 
(118
)
Non-U.S. government securities
 
9,664

 
(47
)
 
—

 
—

 
9,664

 
(47
)
Corporate debt securities
 
83,013

 
(576
)
 
14,531

 
(16
)
 
97,544

 
(592
)
Residential and commercial mortgage securities
 
59,341

 
(1,059
)
 
3,442

 
(42
)
 
62,783

 
(1,101
)
Asset-backed securities
 
78,813

 
(202
)
 
109,536

 
(1,219
)
 
188,349

 
(1,421
)
Total
 
$
372,179

 
$
(3,369
)
 
$
310,585

 
$
(2,700
)
 
$
682,764

 
$
(6,069
)

 
 
Less than 12 months
 
12 months or more
 
Total
December 31, 2018 (In thousands)
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
U.S. Treasury securities
 
$
45,505

 
$
(215
)
 
$
165,015

 
$
(5,731
)
 
$
210,520

 
$
(5,946
)
U.S. agency securities
 
—

 
—

 
32,997

 
(648
)
 
32,997

 
(648
)
U.S. agency mortgage-backed securities
 
106,177

 
(1,070
)
 
341,579

 
(13,500
)
 
447,756

 
(14,570
)
Municipal debt securities
 
114,442

 
(1,176
)
 
104,930

 
(1,843
)
 
219,372

 
(3,019
)
Non-U.S. government securities
 
13,497

 
(283
)
 
—

 
—

 
13,497

 
(283
)
Corporate debt securities
 
381,912

 
(7,538
)
 
231,124

 
(7,230
)
 
613,036

 
(14,768
)
Residential and commercial mortgage securities
 
51,477

 
(650
)
 
13,321

 
(567
)
 
64,798

 
(1,217
)
Asset-backed securities
 
217,546

 
(3,165
)
 
29,852

 
(514
)
 
247,398

 
(3,679
)
Total
 
$
930,556

 
$
(14,097
)
 
$
918,818

 
$
(30,033
)
 
$
1,849,374

 
$
(44,130
)


At December 31, 2019, we held 365 individual investment securities that were in an unrealized loss position. The gross unrealized losses on these investment securities are principally associated with the changes in market interest rates and credit spreads subsequent to their purchase. Each issuer is current on its scheduled interest and principal payments. We assess our intent to sell these securities and whether we will be required to sell these securities before the recovery of their amortized cost basis when determining whether an impairment is other-than-temporary. We recorded other-than-temporary impairments of $0.3 million and $0.1 million in the years ended December 31, 2019 and 2017, respectively, on securities in an unrealized loss position. The impairments resulted from our intent to sell these securities subsequent to the reporting dates. There were no other-than-temporary impairments in the year ended December 31, 2018.

The Company's other invested assets at December 31, 2019 and December 31, 2018 totaled $78.9 million and $31.0 million, respectively. Other invested assets are comprised of limited partnership interests which are accounted for under the equity method of accounting with changes in value reported in other income. Due to the timing of receiving financial information from these partnerships, the results are generally reported on a one month or quarter lag.

The fair value of investments deposited with insurance regulatory authorities to meet statutory requirements was $9.4 million at December 31, 2019 and $8.9 million at December 31, 2018. In connection with its insurance and reinsurance activities, Essent Re is required to maintain assets in trusts for the benefit of its contractual counterparties. The fair value of the investments on deposit in these trusts was $805.5 million at December 31, 2019 and $759.9 million at December 31, 2018.
Essent Guaranty is required to maintain assets on deposit in connection with its fully collateralized reinsurance agreements (see Note 5). The fair value of the assets on deposit was $6.4 million at December 31, 2019 and $3.4 million at December 31, 2018. Essent Guaranty is also required to maintain assets on deposit for the benefit of the sponsor of a fixed income investment commitment. The fair value of the assets on deposit was $6.4 million at December 31, 2019 and $6.3 million at December 31, 2018.

Net investment income consists of:

 
 
Year Ended December 31,
(In thousands)
 
2019
 
2018
 
2017
Fixed maturities
 
$
82,194

 
$
63,053

 
$
41,935

Short-term investments
 
5,049

 
3,873

 
1,019

Gross investment income
 
87,243

 
66,926

 
42,954

Investment expenses
 
(3,701
)
 
(2,835
)
 
(2,728
)
Net investment income
 
$
83,542

 
$
64,091

 
$
40,226