Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2015 of $37.2 million or $0.41 per diluted share, compared to $19.6 million or $0.23 per diluted share for the quarter ended June 30, 2014. As of June 30, 2015, Essent had primary insurance in force of $57.4 billion and consolidated stockholders' equity of $1.03 billion.

"During the second quarter, we continued building a high credit quality and profitable mortgage insurance portfolio while also producing strong and growing earnings for our shareholders," said Mark Casale, Chairman and Chief Executive Officer. "Our outlook for the private mortgage insurance sector remains positive. Essent continues to be well positioned and we are optimistic about the future of our franchise."

Financial Highlights:
  • Insurance in force as of June 30, 2015 was $57.4 billion, compared to $53.3 billion as of March 31, 2015 and $39.4 billion as of June 30, 2014.
  • New insurance written for the second quarter was $7.3 billion, compared to $5.3 billion in the first quarter of 2015 and $5.9 billion in the second quarter of 2014.
  • Net premiums earned for the second quarter were $78.4 million, compared to $75.0 million in the first quarter of 2015 and $50.3 million in the second quarter of 2014.
  • The expense ratio for the second quarter was 34.6%, compared to 36.6% in the first quarter of 2015 and 47.0% in the second quarter of 2014.
  • The provision for losses and LAE for the second quarter was $2.3 million, compared to $2.0 million in the first quarter of 2015 and $1.0 million in the second quarter of 2014.
  • The percentage of loans in default as of June 30, 2015 was 0.23%, compared to 0.21% as of March 31, 2015 and 0.13% as of June 30, 2014.
  • The combined ratio for the second quarter was 37.6%, compared to 39.3% in the first quarter of 2015 and 48.9% in the second quarter of 2014.
  • The consolidated balance of cash and investments at June 30, 2015 was $1.2 billion, including cash and investment balances at Essent Group Ltd. of $107.6 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 15.3:1 as of June 30, 2015.
  • Essent Reinsurance Ltd. participated in Freddie Mac's Agency Credit Insurance Structure ("ACIS") 2015-4 transaction and insured a total of $5.5 million of risk that Freddie Mac had retained as part of its STACR 2015-DN1 transaction.

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 76279649 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 76279649.

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, 2014 filed with the Securities and Exchange Commission on February 27, 2015. 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.
     
Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended June 30, 2015
 
 
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)
2015 2014 2015 2014
Revenues:
Net premiums written $ 92,399 $ 63,505 $ 174,656 $ 115,697
Increase in unearned premiums (14,038 ) (13,163 ) (21,257 ) (20,605 )
Net premiums earned 78,361 50,342 153,399 95,092
Net investment income 4,720 3,080 9,000 4,978
Realized investment gains, net 568 68 1,217 468
Other income 418   793   462   1,566  
Total revenues 84,067   54,283   164,078   102,104  
 
Losses and expenses:
Provision for losses and LAE 2,314 966 4,313 1,868
Other underwriting and operating expenses 27,148   23,648   54,646   47,107  
Total losses and expenses 29,462   24,614   58,959   48,975  
 
Income before income taxes 54,605 29,669 105,119 53,129
Income tax expense 17,412   10,114   33,088   18,568  
Net income $ 37,193   $ 19,555   $ 72,031   $ 34,561  
 
 
Earnings per share:
Basic $ 0.41 $ 0.23 $ 0.80 $ 0.42
Diluted 0.41 0.23 0.79 0.41
 
Weighted average shares outstanding:
Basic 90,344 83,276 90,265 83,071
Diluted 91,674 84,706 91,594 84,701
 
Net income $ 37,193 $ 19,555 $ 72,031 $ 34,561
 
Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments (8,769 ) 4,915   (3,880 ) 5,394  
Total other comprehensive income (loss) (8,769 ) 4,915   (3,880 ) 5,394  
Comprehensive income $ 28,424   $ 24,470   $ 68,151   $ 39,955  
 
 
Loss ratio 3.0 % 1.9 % 2.8 % 2.0 %
Expense ratio 34.6 % 47.0 % 35.6 % 49.5 %
Combined ratio 37.6 % 48.9 % 38.4 % 51.5 %
 

   
Exhibit B
 
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
 
 
June 30, December 31,

(In thousands, except per share amounts)
2015 2014
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,064,013 $ 846,925
Short-term investments 95,366   210,688
Total investments 1,159,379 1,057,613
Cash 25,590 24,411
Accrued investment income 6,943 5,748
Accounts receivable 14,972 15,810
Deferred policy acquisition costs 10,546 9,597

Property and equipment (at cost, less accumulated depreciation of $40,841 in 2015 and $39,260 in 2014)
8,631 5,841
Prepaid federal income tax 95,173 59,673
Other assets 6,254   2,768
 
Total assets $ 1,327,488   $ 1,181,461
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 11,931 $ 8,427
Unearned premium reserve 178,205 156,948
Accrued payroll and bonuses 8,763 14,585
Net deferred tax liability 64,161 37,092
Securities purchased payable 26,897 227
Other accrued liabilities 9,758   8,444
Total liabilities 299,715   225,723
 
Commitments and contingencies
 
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued - 92,659 shares in 2015 and 92,546 shares in 2014 1,390 1,388
Additional paid-in capital 897,167 893,285
Accumulated other comprehensive income 787 4,667
Retained earnings 128,429   56,398
Total stockholders' equity 1,027,773   955,738
 
Total liabilities and stockholders' equity $ 1,327,488   $ 1,181,461
 

           
Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
 
 
2015 2014
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 $ 92,399   $ 82,257   $ 83,219   $ 77,862   $ 63,505   $ 52,192  
 
Net premiums earned 78,361 75,038 67,814 60,323 50,342 44,750
Other revenues 5,706   4,973   4,928   4,298   3,941   3,071  
Total revenues 84,067   80,011   72,742   64,621   54,283   47,821  
 
Losses and expenses:
Provision for losses and LAE 2,314 1,999 3,049 1,391 966 902
Other underwriting and operating expenses 27,148   27,498   25,656   24,469   23,648   23,459  
Total losses and expenses 29,462   29,497   28,705   25,860   24,614   24,361  
 
Income before income taxes 54,605 50,514 44,037 38,761 29,669 23,460
Income tax expense 17,412   15,676   15,171   13,691   10,114   8,454  
Net income $ 37,193   $ 34,838   $ 28,866   $ 25,070   $ 19,555   $ 15,006  
 
Earnings per share:
Basic $ 0.41 $ 0.39 $ 0.34 $ 0.30 $ 0.23 $ 0.18
Diluted 0.41 0.38 0.33 0.29 0.23 0.18
 
Weighted average shares outstanding:
Basic 90,344 90,185 86,134 83,640 83,276 82,864
Diluted 91,674 91,514 87,950 85,028 84,706 84,696
 
Other Data:
Loss ratio (1) 3.0 % 2.7 % 4.5 % 2.3 % 1.9 % 2.0 %
Expense ratio (2) 34.6 % 36.6 % 37.8 % 40.6 % 47.0 % 52.4 %
Combined ratio 37.6 % 39.3 % 42.3 % 42.9 % 48.9 % 54.4 %
 
 
(1) Loss ratio is calculated by dividing the provision for loss and LAE by net premiums earned.
(2) 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
 
 
2015 2014
Other Data, continued: June 30 March 31 December 31 September 30 June 30 March 31

($ in thousands)
 
Flow:
New insurance written $ 7,225,401 $ 5,346,820 $ 6,204,821 $ 7,283,169 $ 5,874,334 $ 3,630,573
New risk written 1,800,027 1,302,710 1,523,527 1,802,408 1,477,547 907,257
 
Bulk:
New insurance written $ 61,258 $ $ 300,008 $ 1,506,529 $ $
New risk written 4,062 35,007 30,131
 
Consolidated:
Average premium rate (3) 0.57 % 0.58 % 0.56 % 0.55 % 0.54 % 0.54 %
New insurance written $ 7,286,659 $ 5,346,820 $ 6,504,829 $ 8,789,698 $ 5,874,334 $ 3,630,573
New risk written $ 1,804,089 $ 1,302,710 $ 1,558,534 $ 1,832,539 $ 1,477,547 $ 907,257
Insurance in force (end of period) $ 57,435,859 $ 53,253,632 $ 50,762,594 $ 46,428,526 $ 39,379,879 $ 34,778,057
Risk in force (end of period) $ 13,992,701 $ 12,891,462 $ 12,227,270 $ 11,152,497 $ 9,700,549 $ 8,493,862
Policies in force 261,996 242,477 229,721 209,841 175,773 154,451
Weighted-average coverage (4) 24.4 % 24.2 % 24.1 % 24.0 % 24.6 % 24.4 %
Annual persistency 80.3 % 82.8 % 86.4 % 88.5 % 89.1 % 87.9 %
 
Loans in default (count) 605 505 457 312 235 192
Percentage of loans in default 0.23 % 0.21 % 0.20 % 0.15 % 0.13 % 0.12 %
 
 
(3) Average premium rate is calculated by dividing net premiums earned by average insurance in force for the period.
(4) Weighted-average coverage is calculated by dividing end of period risk in force by insurance in force.
 

               
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, 2015 June 30, 2014 June 30, 2015 June 30, 2014

($ in thousands)

>=760
$ 3,261,740 45.1 % $ 2,651,224 45.1 % $ 5,608,531 44.6 % $ 4,265,660 44.9 %

  740-759
1,165,784 16.1 964,322 16.4 2,060,160 16.4 1,601,181 16.8

  720-739
1,063,764 14.7 858,348 14.6 1,843,176 14.7 1,394,819 14.7

  700-719
733,531 10.2 629,211 10.7 1,272,607 10.1 1,004,711 10.6

  680-699
574,039 8.0 490,259 8.3 1,026,485 8.2 805,526 8.5
<=679 426,543     5.9   280,970     4.9   761,262     6.0   433,010     4.5  
Total $ 7,225,401     100.0 % $ 5,874,334     100.0 % $ 12,572,221     100.0 % $ 9,504,907     100.0 %
 
Weighted-average credit score 748 749 748 749
 
 
 
NIW by LTV
Three Months Ended Six Months Ended
June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014

($ in thousands)
85.00% and below $ 893,957 12.4 % $ 671,651 11.4 % $ 1,703,195 13.5 % $ 1,107,384 11.7 %
85.01% to 90.00% 2,514,695 34.8 1,976,596 33.6 4,333,466 34.5 3,217,124 33.8
90.01% to 95.00% 3,645,029 50.4 3,204,930 54.6 6,278,080 49.9 5,130,693 54.0
95.01% and above 171,720     2.4   21,157     0.4   257,480     2.1   49,706     0.5  
Total $ 7,225,401     100.0 % $ 5,874,334     100.0 % $ 12,572,221     100.0 % $ 9,504,907     100.0 %
 
Weighted-average LTV 92 % 92 % 91 % 92 %
 
 
 
NIW by Product
Three Months Ended Six Months Ended
June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014
Single Premium policies 23.8 % 18.6 % 23.8 % 18.5 %
Monthly Premium policies 76.2   81.4   76.2   81.5  
100.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Six Months Ended
June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014
Purchase 78.4 % 86.6 % 74.5 % 86.0 %
Refinance 21.6   13.4   25.5   14.0  
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, 2015 June 30, 2014 June 30, 2015 June 30, 2014

($ in thousands)
>=760 $ 48,709 79.5 % $ 0.0 % $ 48,709 79.5 % $ 0.0 %

  740-759
6,266 10.2 6,266 10.2

  720-739
4,950 8.1 4,950 8.1

  700-719
1,333 2.2 1,333 2.2

  680-699
<=679                            
Total $ 61,258     100.0 % $   0.0 % $ 61,258     100.0 % $   0.0 %
 
Weighted-average credit score 778 N/A 778 N/A
 
 
 
NIW by LTV
Three Months Ended Six Months Ended
June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014

($ in thousands)
85.00% and below $ 61,258 100.0 % $ 0.0 % $ 61,258 100.0 % $ 0.0 %
85.01% to 90.00%
90.01% to 95.00%
95.01% and above                            
Total $ 61,258     100.0 % $   0.0 % $ 61,258     100.0 % $   0.0 %
 
Weighted-average LTV 79 % N/A 79 % N/A
 
 
 
NIW by Product
Three Months Ended Six Months Ended
June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014
Single Premium policies 100.0 % 0.0 % 100.0 % 0.0 %
Monthly Premium policies        
100.0 % 0.0 % 100.0 % 0.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Six Months Ended
June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014
Purchase 97.6 % 0.0 % 97.6 % 0.0 %
Refinance 2.4     2.4    
100.0 % 0.0 % 100.0 % 0.0 %
 

     
Exhibit E
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance in Force and Risk in Force: Consolidated
 
 
Portfolio by Credit Score
Total IIF by FICO score June 30, 2015 March 31, 2015 June 30, 2014

($ in thousands)
>=760 $ 27,079,306 47.2 % $ 25,345,630 47.6 % $ 20,157,165 51.2 %

  740-759
9,814,404 17.1 9,204,965 17.3 6,963,735 17.7

  720-739
8,274,037 14.4 7,613,387 14.3 5,502,718 14.0

  700-719
5,596,235 9.7 5,143,705 9.6 3,481,564 8.8

  680-699
4,238,060 7.4 3,842,342 7.2 2,368,613 6.0
<=679 2,433,817   4.2   2,103,603   4.0   906,084   2.3  
Total $ 57,435,859   100.0 % $ 53,253,632   100.0 % $ 39,379,879   100.0 %
 
Weighted-average credit score 751 752 756
 
Total RIF by FICO score June 30, 2015 March 31, 2015 June 30, 2014

($ in thousands)
>=760 $ 6,557,638 46.9 % $ 6,112,309 47.4 % $ 4,913,013 50.6 %

  740-759
2,410,327 17.2 2,244,474 17.4 1,722,247 17.8

  720-739
2,041,686 14.6 1,865,939 14.5 1,376,538 14.2

  700-719
1,347,680 9.6 1,224,580 9.5 855,985 8.8

  680-699
1,045,595 7.5 939,792 7.3 601,426 6.2
<=679 589,775   4.2   504,368   3.9   231,340   2.4  
Total $ 13,992,701   100.0 % $ 12,891,462   100.0 % $ 9,700,549   100.0 %
 
Portfolio by LTV
Total IIF by LTV June 30, 2015 March 31, 2015 June 30, 2014

($ in thousands)
85.00% and below $ 6,801,098 11.9 % $ 6,382,552 12.0 % $ 4,928,612 12.5 %
85.01% to 90.00% 19,751,418 34.4 18,422,873 34.6 14,516,271 36.9
90.01% to 95.00% 29,600,148 51.5 27,288,976 51.2 19,489,901 49.5
95.01% and above 1,283,195   2.2   1,159,231   2.2   445,095   1.1  
Total $ 57,435,859   100.0 % $ 53,253,632   100.0 % $ 39,379,879   100.0 %
 
Weighted-average LTV 92 % 92 % 91 %
 
Total RIF by LTV June 30, 2015 March 31, 2015 June 30, 2014

($ in thousands)
85.00% and below $ 761,349 5.4 % $ 716,057 5.6 % $ 550,950 5.7 %
85.01% to 90.00% 4,676,693 33.4 4,350,761 33.7 3,434,553 35.4
90.01% to 95.00% 8,335,450 59.6 7,644,265 59.3 5,567,538 57.4
95.01% and above 219,209   1.6   180,379   1.4   147,508   1.5  
Total $ 13,992,701   100.0 % $ 12,891,462   100.0 % $ 9,700,549   100.0 %
 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period June 30, 2015 March 31, 2015 June 30, 2014

($ in thousands)
FRM 30 years and higher $ 50,910,993 88.6 % $ 46,922,016 88.1 % $ 34,103,315 86.6 %
FRM 20-25 years 1,434,585 2.5 1,336,976 2.5 1,150,105 2.9
FRM 15 years 2,683,327 4.7 2,619,532 4.9 2,434,151 6.2
ARM 5 years and higher 2,406,954   4.2   2,375,108   4.5   1,692,308   4.3  
Total $ 57,435,859   100.0 % $ 53,253,632   100.0 % $ 39,379,879   100.0 %
 

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

(In thousands)
June 30, 2015 March 31, 2015 June 30, 2014
 
ACIS (A) $ 66,291 $ 63,533 $
 

 

(A) Essent Reinsurance Ltd. 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.
 

                 
Exhibit G
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data: Consolidated
 
 
 
Insurance in Force as of June 30, 2015

Origination year
 

Original Insurance Written ($ in thousands)
 

Remaining Insurance in Force ($ in thousands)
 

% Remaining of Original Insurance
 

% Purchase
  >90% LTV   >95% LTV  

FICO 700
 

FICO >= 760
 

% FRM
 
2010 $ 245,898 $ 61,948 25.2 % 74.1 % 41.2 % 0.0 % 3.1 % 60.4 % 98.1 %
2011 3,229,720 1,060,637 32.8 73.4 40.9 0.2 4.6 56.7 94.0
2012 11,241,161 6,588,716 58.6 71.3 50.1 0.5 5.2 56.0 97.2
2013 21,152,638 15,544,043 73.5 75.3 53.3 1.8 7.8 51.2 96.6
2014 24,799,434 21,735,013 87.6 84.3 57.0 3.3 15.2 42.5 94.1
2015 (through June 30) 12,633,479   12,445,502 98.5 74.6 51.8 2.1 14.2 44.6 97.3
Total $ 73,302,330   $ 57,435,859 78.4 78.1 53.8 2.2 11.6 47.1 95.8
 

                 
Exhibit H
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data: Consolidated
 
 
IIF by State
As of June 30, 2015 As of March 31, 2015 As of June 30, 2014
CA 9.9 % 10.0 % 11.0 %
TX 8.3 8.4 8.5
FL 5.8 5.6 5.1
WA 4.6 4.5 4.0
NC 4.0 4.0 4.3
IL 4.0 3.9 3.9
MA 3.4 3.7 2.6
NJ 3.4 3.4 3.5
PA 3.3 3.4 3.3
GA 3.3 3.3 3.5
All Others 50.0   49.8   50.3  
TOTAL 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
As of June 30, 2015 As of March 31, 2015 As of June 30, 2014
CA 9.5 % 9.6 % 10.4 %
TX 8.6 8.6 8.3
FL 6.1 5.9 5.3
WA 4.7 4.6 4.0
NC 4.1 4.2 4.4
IL 4.0 4.0 4.0
GA 3.5 3.5 3.6
NJ 3.3 3.4 3.4
AZ 3.2 3.2 3.3
PA 3.2 3.2 3.4
All Others 49.8   49.8   49.9  
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,
2015   2014 2015   2014
Beginning default inventory 505 192 457 159
Plus: new defaults 385 151 766 318
Less: cures (270 ) (98 ) (590 ) (226 )
Less: claims paid (15 )   (10 ) (28 )   (16 )
Ending default inventory 605     235   605     235  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended Six Months Ended
June 30, June 30, June 30, June 30,

($ in thousands)
2015   2014 2015   2014
Reserve for losses and LAE at beginning of period $ 10,065     $ 3,804   $ 8,427     $ 3,070  
Add provision for losses and LAE occurring in:
Current year 3,374 1,166 6,079 2,452
Prior years (1,060 )   (200 ) (1,766 )   (584 )
Incurred losses during the period 2,314     966   4,313     1,868  
Deduct payments for losses and LAE occurring in:
Current year 140 140
Prior years 308     264   669     432  
Loss and LAE payments during the period 448     264   809     432  
Reserve for losses and LAE at end of period $ 11,931     $ 4,506   $ 11,931     $ 4,506  
 
 
 
Claims
Three Months Ended Six Months Ended
June 30, June 30, June 30, June 30,
2015   2014 2015   2014
Number of claims paid 15 10 28 16
Total amount paid for claims (in thousands) $ 431 $ 263 $ 780 $ 422
Average amount paid per claim (in thousands) $ 29 $ 26 $ 28 $ 26
Severity 88 % 54 % 81 % 62 %
 

           
Exhibit I, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
 
 
As of 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 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 605     100 % 10,958 100 %   $ 31,943 34
IBNR 822
LAE   151
Total $ 11,931
 
Average reserve per default:
Case $ 18.1
Total $ 19.7
 
Default Rate 0.23 %
 
As of December 31, 2014

Number of Policies in Default
 

Percentage of Policies in Default
 

Amount of Reserves
 

Percentage of Reserves
 

Defaulted RIF
 

Reserves as a Percentage of RIF

($ in thousands)
Missed Payments:
Three payments or less 247 54 % $ 2,381 31 % $ 13,059 18 %
Four to eleven payments 167 37 3,748 49 8,132 46
Twelve or more payments 34 7 1,147 15 1,510 76
Pending claims 9     2       424   5       419 101
Total 457     100 % 7,700 100 %   $ 23,120 33
IBNR 578
LAE   149
Total $ 8,427
 
Average reserve per default:
Case $ 16.8
Total $ 18.4
 
Default Rate 0.20 %
 
As of June 30, 2014

Number of Policies in Default
 

Percentage of Policies in Default
 

Amount of Reserves
 

Percentage of Reserves
  Defaulted RIF  

Reserves as a Percentage of RIF

($ in thousands)
Missed Payments:
Three payments or less 121 51 % $ 1,266 31 % $ 6,316 20 %
Four to eleven payments 92 39 2,026 49 4,083 50
Twelve or more payments 20 9 724 18 990 73
Pending claims 2     1       105   2       103 102
Total 235     100 % 4,121 100 %   $ 11,492 36
IBNR 309
LAE   76
Total $ 4,506
 
Average reserve per default:
Case $ 17.5
Total $ 19.2
 
Default Rate 0.13 %
 

           
Exhibit J
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio
 
 
Investment Portfolio by Asset Class
Asset Class June 30, 2015 December 31, 2014

($ in thousands)
Fair Value   Percent Fair Value   Percent
U.S. Treasury securities $ 166,181 14.3 % $ 74,216 7.0 %
U.S. agency securities 3,196 0.3 4,520 0.4
U.S. agency mortgage-backed securities 104,236 9.0 83,540 7.9
Municipal debt securities 260,887 22.5 195,546 18.5
Corporate debt securities 363,632 31.4 296,829 28.1
Mortgage-backed securities 50,750 4.4 66,086 6.3
Asset-backed securities 130,128 11.2 126,188 11.9
Money market funds 80,369     6.9   210,688     19.9  
Total Investments $ 1,159,379     100.0 % $ 1,057,613     100.0 %
 
Investment Portfolio by Credit Rating
Rating (1) June 30, 2015 December 31, 2014

($ in thousands)
Fair Value   Percent Fair Value   Percent
Aaa $ 509,624 44.0 % $ 545,807 51.6 %
Aa1 53,428 4.6 47,792 4.5
Aa2 77,463 6.7 51,958 4.9
Aa3 67,968 5.9 48,261 4.6
A1 100,655 8.7 74,161 7.0
A2 110,740 9.5 67,413 6.4
A3 86,548 7.5 71,964 6.8
Baa1 70,109 6.0 60,399 5.7
Baa2 72,327 6.2 79,727 7.5
Baa3 10,517 0.9 10,131 1.0
Below Baa3            
Total Investments $ 1,159,379     100.0 % $ 1,057,613     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, 2015 December 31, 2014

($ in thousands)
Fair Value   Percent Fair Value   Percent
< 1 Year $ 235,260 20.3 % $ 332,399 31.4 %
1 to < 2 Years 132,001 11.4 85,971 8.1
2 to < 3 Years 188,325 16.2 167,504 15.8
3 to < 4 Years 142,899 12.3 106,432 10.1
4 to < 5 Years 97,351 8.4 80,300 7.6
5 or more Years 363,543     31.4   285,007     27.0  
Total Investments $ 1,159,379     100.0 % $ 1,057,613     100.0 %
 
Pre-tax investment income yield:
Three months ended June 30, 2015 1.81 %
Six months ended June 30, 2015 1.75 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)
As of June 30, 2015 $ 107,616
As of December 31, 2014 $ 126,327
 

       
Exhibit K
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
 
As of
June 30, 2015 December 31, 2014

($ in thousands)
US Mortgage Insurance Business:
Combined statutory capital (A) $ 816,441 $ 705,890
 
Combined net risk in force (B) $ 12,492,050 $ 11,426,748
 
Risk to capital ratios: (C)
Essent Guaranty, Inc. 15.7:1 16.4:1
Essent Guaranty of PA, Inc. 11.7:1 14.6:1
Combined (D) 15.3:1 16.2:1
 
Essent Reinsurance Ltd. Mortgage Insurance Business:
Stockholder's equity (GAAP basis) $ 162,464 $ 155,123
 
Net risk in force (B) $ 1,555,162 $ 835,976
 
 

(A) 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.
 

(B) 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.
 

(C) The risk to capital ratio is calculated as the ratio of net risk in force to statutory capital.
 
(D) 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, 2015 and December 31, 2014, 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, 2015 and December 31, 2014 in accordance with Regulation G:
 
             

(In thousands, except per share amounts)
June 30, 2015 December 31, 2014
 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,027,773 $ 955,738
 
Subtract: Accumulated Other Comprehensive Income 787   4,667
 
Adjusted Book Value $ 1,026,986   $ 951,071
 
Denominator:
Total Common Shares Outstanding 92,659 92,546
 
Add: Restricted Share Units Outstanding 540   664
 
Total Common Shares and Share Units Outstanding 93,199   93,210
 
Adjusted Book Value per Share $ 11.02   $ 10.20
 

Source: Essent Group Ltd.

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