Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2015 of $40.8 million or $0.44 per diluted share, compared to $25.1 million or $0.29 per diluted share for the quarter ended September 30, 2014. As of September 30, 2015, Essent had primary insurance in force of $62.1 billion and consolidated stockholders' equity of $1.08 billion.

"We had another strong quarter of operating performance and producing high quality and growing earnings for our shareholders," said Mark Casale, Chairman and Chief Executive Officer. "As managers of long term mortgage credit risk, we are pleased with the growth and credit performance of our insured portfolio, as well as the returns that we are generating for our shareholders."

Financial Highlights:
  • Insurance in force as of September 30, 2015 was $62.1 billion, compared to $57.4 billion as of June 30, 2015 and $46.4 billion as of September 30, 2014.
  • Flow new insurance written for the third quarter was $7.4 billion, compared to $7.2 billion in the second quarter of 2015 and $7.3 billion in the third quarter of 2014.
  • Net premiums earned for the third quarter were $83.7 million, compared to $78.4 million in the second quarter of 2015 and $60.3 million in the third quarter of 2014.
  • The expense ratio for the third quarter was 34.3%, compared to 34.6% in the second quarter of 2015 and 40.6% in the third quarter of 2014.
  • The provision for losses and LAE for the third quarter was $3.4 million, compared to $2.3 million in the second quarter of 2015 and $1.4 million in the third quarter of 2014.
  • The percentage of loans in default as of September 30, 2015 was 0.29%, compared to 0.23% as of June 30, 2015 and 0.15% as of September 30, 2014.
  • The combined ratio for the third quarter was 38.4%, compared to 37.6% in the second quarter of 2015 and 42.9% in the third quarter of 2014.
  • The consolidated balance of cash and investments at September 30, 2015 was $1.3 billion, including cash and investment balances at Essent Group Ltd. of $69.3 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 15.4:1 as of September 30, 2015.
  • Essent Reinsurance Ltd. participated in Freddie Mac's Agency Credit Insurance Structure ("ACIS") 2015-6 transaction and reinsured a total of $5.5 million of risk that Freddie Mac had retained as part of its STACR 2015-DNA1 transaction. Essent Reinsurance Ltd. also participated in Fannie Mae's Credit Insurance Risk Transfer ("CIRT") 2015-2 and 2015-3 transactions, reinsuring $20.3 million and $28.2 million respectively in those transactions.

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 55727695 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 55727695.

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 and www.essent.us.
   
 
Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended September 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 September 30, Nine Months Ended September 30,

(In thousands, except per share amounts)
2015 2014 2015 2014
Revenues:
Net premiums written $ 97,478 $ 77,862 $ 272,134 $ 193,559
Increase in unearned premiums   (13,784 )   (17,539 )   (35,041 )   (38,144 )
Net premiums earned 83,694 60,323 237,093 155,415
Net investment income 5,322 3,405 14,322 8,383
Realized investment gains, net 548 151 1,765 619
Other income   2,172     742     2,634     2,308  
Total revenues   91,736     64,621     255,814     166,725  
 
Losses and expenses:
Provision for losses and LAE 3,393 1,391 7,706 3,259
Other underwriting and operating expenses   28,714     24,469     83,360     71,576  
Total losses and expenses   32,107     25,860     91,066     74,835  
 
Income before income taxes 59,629 38,761 164,748 91,890
Income tax expense   18,808     13,691     51,896     32,259  
Net income $ 40,821   $ 25,070   $ 112,852   $ 59,631  
 
 
Earnings per share:
Basic $ 0.45 $ 0.30 $ 1.25 $ 0.72
Diluted 0.44 0.29 1.23 0.70
 
Weighted average shares outstanding:
Basic 90,418 83,640 90,317 83,263
Diluted 91,841 85,028 91,678 84,811
 
Net income $ 40,821 $ 25,070 $ 112,852 $ 59,631
 
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments   4,260     (1,405 )   380     3,989  
Total other comprehensive income (loss)   4,260     (1,405 )   380     3,989  
Comprehensive income $ 45,081   $ 23,665   $ 113,232   $ 63,620  
 
 
Loss ratio 4.1 % 2.3 % 3.3 % 2.1 %
Expense ratio   34.3 %   40.6 %   35.2 %   46.1 %
Combined ratio   38.4 %   42.9 %   38.4 %   48.2 %
 

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

(In thousands, except per share amounts)
2015 2014
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,118,914 $ 846,925
Short-term investments   121,600   210,688
Total investments 1,240,514 1,057,613
Cash 18,723 24,411
Accrued investment income 7,372 5,748
Accounts receivable 17,053 15,810
Deferred policy acquisition costs 11,229 9,597

Property and equipment (at cost, less accumulated depreciation of $41,646 in 2015 and $39,260 in 2014)
8,126 5,841
Prepaid federal income tax 107,412 59,673
Other assets   1,505   2,768
 
Total assets $ 1,411,934 $ 1,181,461
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 14,548 $ 8,427
Unearned premium reserve 191,989 156,948
Accrued payroll and bonuses 12,213 14,585
Net deferred tax liability 77,291 37,092
Securities purchased payable 28,115 227
Other accrued liabilities   11,542   8,444
Total liabilities   335,698   225,723
 
Commitments and contingencies
 
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued - 92,653 shares in 2015 and 92,546 shares in 2014 1,390 1,388
Additional paid-in capital 900,549 893,285
Accumulated other comprehensive income 5,047 4,667
Retained earnings   169,250   56,398
Total stockholders' equity   1,076,236   955,738
 
Total liabilities and stockholders' equity $ 1,411,934 $ 1,181,461
 

                           
Exhibit C
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
 
 
2015 2014
Selected Income Statement Data September 30 June 30 March 31 December 31 September 30 June 30 March 31

(In thousands, except per share amounts)
Revenues:
Net premiums written $ 97,478   $ 92,399   $ 82,257   $ 83,219   $ 77,862   $ 63,505   $ 52,192  
 
Net premiums earned 83,694 78,361 75,038 67,814 60,323 50,342 44,750
Other revenues (1)   8,042     5,706     4,973     4,928     4,298     3,941     3,071  
Total revenues   91,736     84,067     80,011     72,742     64,621     54,283     47,821  
 
Losses and expenses:
Provision for losses and LAE 3,393 2,314 1,999 3,049 1,391 966 902
Other underwriting and operating expenses   28,714     27,148     27,498     25,656     24,469     23,648     23,459  
Total losses and expenses   32,107     29,462     29,497     28,705     25,860     24,614     24,361  
 
Income before income taxes 59,629 54,605 50,514 44,037 38,761 29,669 23,460
Income tax expense   18,808     17,412     15,676     15,171     13,691     10,114     8,454  
Net income $ 40,821   $ 37,193   $ 34,838   $ 28,866   $ 25,070   $ 19,555   $ 15,006  
 
Earnings per share:
Basic $ 0.45 $ 0.41 $ 0.39 $ 0.34 $ 0.30 $ 0.23 $ 0.18
Diluted 0.44 0.41 0.38 0.33 0.29 0.23 0.18
 
Weighted average shares outstanding:
Basic 90,418 90,344 90,185 86,134 83,640 83,276 82,864
Diluted 91,841 91,674 91,514 87,950 85,028 84,706 84,696
 
Other Data:
Loss ratio (2) 4.1 % 3.0 % 2.7 % 4.5 % 2.3 % 1.9 % 2.0 %
Expense ratio (3)   34.3 %   34.6 %   36.6 %   37.8 %   40.6 %   47.0 %   52.4 %
Combined ratio   38.4 %   37.6 %   39.3 %   42.3 %   42.9 %   48.9 %   54.4 %

 

(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 $1,258, ($391), ($749) and $78 in the three months ended September 30, 2015, June 30, 2015, March 31, 2015 and December 31, 2014, 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
 
 
2015 2014
Other Data, continued: 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 $ 7,384,654 $ 7,225,401 $ 5,346,820 $ 6,204,821 $ 7,283,169 $ 5,874,334 $ 3,630,573
New risk written 1,854,884 1,800,027 1,302,710 1,523,527 1,802,408 1,477,547 907,257
 
Bulk:
New insurance written $ 204,867 $ 61,258 $ $ 300,008 $ 1,506,529 $ $
New risk written 25,760 4,062 35,007 30,131
 
Total:
Average premium rate (4) 0.55 % 0.57 % 0.58 % 0.56 % 0.55 % 0.54 % 0.54 %
New insurance written $ 7,589,521 $ 7,286,659 $ 5,346,820 $ 6,504,829 $ 8,789,698 $ 5,874,334 $ 3,630,573
New risk written $ 1,880,644 $ 1,804,089 $ 1,302,710 $ 1,558,534 $ 1,832,539 $ 1,477,547 $ 907,257
Insurance in force (end of period) $ 62,141,406 $ 57,435,859 $ 53,253,632 $ 50,762,594 $ 46,428,526 $ 39,379,879 $ 34,778,057
Risk in force (end of period) $ 15,229,575 $ 13,992,701 $ 12,891,462 $ 12,227,270 $ 11,152,497 $ 9,700,549 $ 8,493,862
Policies in force 282,671 261,996 242,477 229,721 209,841 175,773 154,451
Weighted-average coverage (5) 24.5 % 24.4 % 24.2 % 24.1 % 24.0 % 24.6 % 24.4 %
Annual persistency 80.2 % 80.3 % 82.8 % 86.4 % 88.5 % 89.1 % 87.9 %
 
Loans in default (count) 814 605 505 457 312 235 192
Percentage of loans in default 0.29 % 0.23 % 0.21 % 0.20 % 0.15 % 0.13 % 0.12 %
 
Other Risk in Force
GSE Risk Share (6) $ 118,073 $ 66,291 $ 63,533 $ 43,733 $ 28,398 $ $

 

(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 Nine Months Ended
September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014

($ in thousands)
>=760 $ 3,255,765 44.1 % $ 3,161,643 43.4 % $ 8,864,296 44.4 % $ 7,427,303 44.2 %
740-759 1,197,552 16.2 1,189,598 16.3 3,257,712 16.3 2,790,779 16.6
720-739 1,016,419 13.8 1,051,260 14.4 2,859,595 14.3 2,446,079 14.6
700-719 815,726 11.0 778,524 10.7 2,088,333 10.5 1,783,235 10.6
680-699 621,126 8.4 637,821 8.8 1,647,611 8.3 1,443,347 8.6
<=679   478,066       6.5     464,323       6.4     1,239,328       6.2     897,333       5.4  
Total $ 7,384,654       100.0 % $ 7,283,169       100.0 % $ 19,956,875       100.0 % $ 16,788,076       100.0 %
 
Weighted-average credit score 747 747 748 748
 
 
 
NIW by LTV
Three Months Ended Nine Months Ended
September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014

($ in thousands)
85.00% and below $ 803,370 10.9 % $ 952,873 13.1 % $ 2,506,565 12.6 % $ 2,060,257 12.3 %
85.01% to 90.00% 2,582,442 35.0 2,419,571 33.2 6,915,908 34.6 5,636,695 33.6
90.01% to 95.00% 3,826,960 51.8 3,840,911 52.7 10,105,040 50.6 8,971,604 53.4
95.01% and above   171,882       2.3     69,814       1.0     429,362       2.2     119,520       0.7  
Total $ 7,384,654       100.0 % $ 7,283,169       100.0 % $ 19,956,875       100.0 % $ 16,788,076       100.0 %
 
Weighted-average LTV 92 % 92 % 92 % 92 %
 
 
 
NIW by Product
Three Months Ended Nine Months Ended
September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014
Single Premium policies 21.7 % 19.9 % 23.0 % 19.1 %
Monthly Premium policies 78.3   80.1   77.0   80.9  
100.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Nine Months Ended
September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014
Purchase 85.8 % 83.5 % 78.7 % 84.9 %
Refinance 14.2   16.5   21.3   15.1  
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 Nine Months Ended
September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014

($ in thousands)
>=760 $ 153,281 74.8 % $ 490,981 32.6 % $ 201,990 75.9 % $ 490,981 32.6 %
740-759 25,159 12.3 235,200 15.6 31,425 11.8 235,200 15.6
720-739 14,941 7.3 234,988 15.6 19,891 7.5 234,988 15.6
700-719 11,486 5.6 233,874 15.5 12,819 4.8 233,874 15.5
680-699 190,009 12.6 190,009 12.6
<=679             121,477       8.1               121,477       8.1  
Total $ 204,867       100.0 % $ 1,506,529       100.0 % $ 266,125       100.0 % $ 1,506,529       100.0 %
 
Weighted-average credit score 773 737 774 737
 
 
 
NIW by LTV
Three Months Ended Nine Months Ended
September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014

($ in thousands)
85.00% and below $ 2,190 1.1 % $ 51,610 3.4 % $ 63,448 23.8 % $ 51,610 3.4 %
85.01% to 90.00% 94,984 46.3 121,782 8.1 94,984 35.7 121,782 8.1
90.01% to 95.00% 107,693 52.6 717,853 47.7 107,693 40.5 717,853 47.7
95.01% and above             615,284       40.8               615,284       40.8  
Total $ 204,867       100.0 % $ 1,506,529       100.0 % $ 266,125       100.0 % $ 1,506,529       100.0 %
 
Weighted-average LTV 91 % 94 % 89 % 94 %
 
 
 
NIW by Product
Three Months Ended Nine Months Ended
September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014
Single Premium policies 100.0 % 0.0 % 100.0 % 0.0 %
Monthly Premium policies   100.0     100.0  
100.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Nine Months Ended
September 30, 2015 September 30, 2014 September 30, 2015 September 30, 2014
Purchase 87.9 % 85.8 % 90.1 % 85.8 %
Refinance 12.1   14.2   9.9   14.2  
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
Total IIF by FICO score September 30, 2015 June 30, 2015 September 30, 2014

($ in thousands)
>=760 $ 29,034,420 46.7 % $ 27,079,306 47.2 % $ 22,859,418 49.2 %
740-759 10,548,621 17.0 9,814,404 17.1 8,102,165 17.5
720-739 8,920,180 14.4 8,274,037 14.4 6,561,002 14.1
700-719 6,146,299 9.9 5,596,235 9.7 4,342,161 9.4
680-699 4,675,449 7.5 4,238,060 7.4 3,102,261 6.7
<=679   2,816,437       4.5     2,433,817       4.2     1,461,519       3.1  
Total $ 62,141,406       100.0 % $ 57,435,859       100.0 % $ 46,428,526       100.0 %
 
Weighted-average credit score 751 751 754
 
Total RIF by FICO score September 30, 2015 June 30, 2015 September 30, 2014

($ in thousands)
>=760 $ 7,066,840 46.4 % $ 6,557,638 46.9 % $ 5,490,591 49.2 %
740-759 2,604,845 17.1 2,410,327 17.2 1,960,787 17.6
720-739 2,215,539 14.6 2,041,686 14.6 1,593,492 14.3
700-719 1,493,506 9.8 1,347,680 9.6 1,019,259 9.1
680-699 1,160,601 7.6 1,045,595 7.5 745,744 6.7
<=679   688,244       4.5     589,775       4.2     342,624       3.1  
Total $ 15,229,575       100.0 % $ 13,992,701       100.0 % $ 11,152,497       100.0 %
 
Portfolio by LTV
Total IIF by LTV September 30, 2015 June 30, 2015 September 30, 2014

($ in thousands)
85.00% and below $ 7,119,316 11.5 % $ 6,801,098 11.9 % $ 5,581,330 12.0 %
85.01% to 90.00% 21,345,266 34.3 19,751,418 34.4 16,358,760 35.2
90.01% to 95.00% 32,267,048 51.9 29,600,148 51.5 23,383,926 50.4
95.01% and above   1,409,776       2.3     1,283,195       2.2     1,104,510       2.4  
Total $ 62,141,406       100.0 % $ 57,435,859       100.0 % $ 46,428,526       100.0 %
 
Weighted-average LTV 92 % 92 % 92 %
 
Total RIF by LTV September 30, 2015 June 30, 2015 September 30, 2014

($ in thousands)
85.00% and below $ 799,556 5.2 % $ 761,349 5.4 % $ 621,083 5.6 %
85.01% to 90.00% 5,064,459 33.3 4,676,693 33.4 3,859,783 34.6
90.01% to 95.00% 9,108,483 59.8 8,335,450 59.6 6,502,875 58.3
95.01% and above   257,077       1.7     219,209       1.6     168,756       1.5  
Total $ 15,229,575       100.0 % $ 13,992,701       100.0 % $ 11,152,497       100.0 %
 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period September 30, 2015 June 30, 2015 September 30, 2014

($ in thousands)
FRM 30 years and higher $ 55,347,061 89.1 % $ 50,910,993 88.6 % $ 40,633,185 87.5 %
FRM 20-25 years 1,477,612 2.4 1,434,585 2.5 1,208,777 2.6
FRM 15 years 2,709,749 4.3 2,683,327 4.7 2,555,323 5.5
ARM 5 years and higher   2,606,984       4.2     2,406,954       4.2     2,031,241       4.4  
Total $ 62,141,406       100.0 % $ 57,435,859       100.0 % $ 46,428,526       100.0 %
 

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

($ in thousands)
September 30, 2015 June 30, 2015 September 30, 2014
 
GSE Risk Share (1) $ 118,073   $ 66,291   $ 28,398  
 
Weighted-average credit score 754 758 761
Weighted-average LTV 76 % 75 % 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
 
 
Insurance in Force as of September 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 $ 54,224 22.1 % 74.3 % 41.6 % 0.0 % 2.9 % 60.1 % 98.7 %
2011 3,229,720 968,945 30.0 74.1 40.8 0.1 4.6 56.3 94.2
2012 11,241,161 6,050,265 53.8 72.0 50.2 0.5 5.3 55.9 97.4
2013 21,152,638 14,491,552 68.5 76.1 54.0 1.8 7.8 51.3 96.7
2014 24,799,434 20,843,576 84.0 84.6 57.5 3.3 15.2 42.4 94.2
2015 (through September 30)   20,223,000       19,732,844 97.6 78.9 52.8 2.1 14.3 44.6 96.5
Total $ 80,891,851     $ 62,141,406 76.8 79.4 54.2 2.3 12.1 46.7 95.8
 

 
Exhibit H
           
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data
 
 
IIF by State
As of September 30, 2015 As of June 30, 2015 As of September 30, 2014
CA 9.8 % 9.9 % 10.4 %
TX 8.3 8.3 8.3
FL 6.0 5.8 5.1
WA 4.6 4.6 4.1
IL 4.1 4.0 3.8
NC 3.9 4.0 4.0
NJ 3.4 3.4 3.4
GA 3.3 3.3 3.3
PA 3.3 3.3 3.5
MA 3.3 3.4 4.1
All Others 50.0   50.0   50.0  
TOTAL 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
As of September 30, 2015 As of June 30, 2015 As of September 30, 2014
CA 9.3 % 9.5 % 10.0 %
TX 8.6 8.6 8.4
FL 6.2 6.1 5.4
WA 4.8 4.7 4.2
IL 4.1 4.0 4.0
NC 4.0 4.1 4.3
GA 3.5 3.5 3.6
NJ 3.3 3.3 3.4
PA 3.2 3.2 3.3
AZ 3.2 3.2 3.3
All Others 49.8   49.8   50.1  
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 Nine Months Ended
September 30, September 30, September 30, September 30,
2015     2014 2015     2014
Beginning default inventory 605 235 457 159
Plus: new defaults 562 237 1,328 555
Less: cures (327 ) (156 ) (917 ) (382 )
Less: claims paid   (26 )       (4 )   (54 )       (20 )
Ending default inventory   814         312     814         312  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended Nine Months Ended
September 30, September 30, September 30, September 30,

($ in thousands)
2015     2014 2015     2014
Reserve for losses and LAE at beginning of period $ 11,931       $ 4,506   $ 8,427       $ 3,070  
Add provision for losses and LAE occurring in:
Current year 4,277 1,502 10,356 3,954
Prior years   (884 )       (111 )   (2,650 )       (695 )
Incurred losses during the period   3,393         1,391     7,706         3,259  
Deduct payments for losses and LAE occurring in:
Current year 122 1 262 1
Prior years   654         214     1,323         646  
Loss and LAE payments during the period   776         215     1,585         647  
Reserve for losses and LAE at end of period $ 14,548       $ 5,682   $ 14,548       $ 5,682  
 
 
 
Claims
Three Months Ended Nine Months Ended
September 30, September 30, September 30, September 30,
2015     2014 2015     2014
Number of claims paid 26 4 54 20
Total amount paid for claims (in thousands) $ 750 $ 214 $ 1,530 $ 636
Average amount paid per claim (in thousands) $ 29 $ 54 $ 28 $ 32
Severity 92 % 108 % 86 % 73 %
 

 
Exhibit I, continued
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
                       
 
As of September 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 434 53 % $ 3,700 28 % $ 23,220 16 %
Four to eleven payments 287 35 6,570 49 15,771 42
Twelve or more payments 79 10 2,484 19 3,414 73
Pending claims 14       2         589     4         590 100
Total 814       100 % 13,343 100 %     $ 42,995 31
IBNR 1,001
LAE   204
Total $ 14,548
 
Average reserve per default:
Case $ 16.4
Total $ 17.9
 
Default Rate 0.29 %
 
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 September 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 175 56 % $ 1,773 34 % $ 9,464 19 %
Four to eleven payments 105 34 2,405 46 4,865 49
Twelve or more payments 26 8 788 15 1,042 76
Pending claims 6       2         226     5         223 101
Total 312       100 % 5,192 100 %     $ 15,594 33
IBNR 389
LAE   101
Total $ 5,682
 
Average reserve per default:
Case $ 16.6
Total $ 18.2
 
Default Rate 0.15 %
 

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

($ in thousands)
Fair Value     Percent Fair Value     Percent
U.S. Treasury securities $ 188,312 15.2 % $ 74,216 7.0 %
U.S. agency securities 3,185 0.3 4,520 0.4
U.S. agency mortgage-backed securities 128,225 10.3 83,540 7.9
Municipal debt securities 277,535 22.4 195,546 18.5
Corporate debt securities 371,620 30.0 296,829 28.1
Mortgage-backed securities 55,261 4.4 66,086 6.3
Asset-backed securities 124,276 10.0 126,188 11.9
Money market funds   92,100       7.4     210,688     19.9  
Total Investments $ 1,240,514       100.0 % $ 1,057,613     100.0 %
 
Investment Portfolio by Credit Rating
Rating (1) September 30, 2015 December 31, 2014

($ in thousands)
Fair Value     Percent Fair Value     Percent
Aaa $ 553,986 44.7 % $ 545,807 51.6 %
Aa1 58,689 4.7 47,792 4.5
Aa2 90,987 7.3 51,958 4.9
Aa3 71,243 5.7 48,261 4.6
A1 114,374 9.2 74,161 7.0
A2 108,041 8.7 67,413 6.4
A3 90,083 7.3 71,964 6.8
Baa1 72,507 5.9 60,399 5.7
Baa2 69,730 5.6 79,727 7.5
Baa3 10,469 0.9 10,131 1.0
Below Baa3   405       0.0          
Total Investments $ 1,240,514       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 September 30, 2015 December 31, 2014

($ in thousands)
Fair Value     Percent Fair Value     Percent
< 1 Year $ 280,418 22.6 % $ 332,399 31.4 %
1 to < 2 Years 132,479 10.7 85,971 8.1
2 to < 3 Years 179,858 14.5 167,504 15.8
3 to < 4 Years 139,760 11.3 106,432 10.1
4 to < 5 Years 88,546 7.1 80,300 7.6
5 or more Years   419,453       33.8     285,007     27.0  
Total Investments $ 1,240,514       100.0 % $ 1,057,613     100.0 %
 
Pre-tax investment income yield:
Three months ended September 30, 2015 1.94 %
Nine months ended September 30, 2015 1.82 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)
As of September 30, 2015 $ 69,277
As of December 31, 2014 $ 126,327
 

 

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

($ in thousands)
US Mortgage Insurance Business:
Combined statutory capital (1) $ 864,790 $ 705,890
 
Combined net risk in force (2) $ 13,316,327 $ 11,426,748
 
Risk to capital ratios: (3)
Essent Guaranty, Inc. 15.9:1 16.4:1
Essent Guaranty of PA, Inc. 10.6:1 14.6:1
Combined (4) 15.4:1 16.2:1
 
Essent Reinsurance Ltd. Mortgage Insurance Business:
Stockholder's equity (GAAP basis) $ 212,189 $ 155,123
 
Net risk in force (2) $ 2,016,977 $ 835,976
 

(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 September 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 September 30, 2015 and December 31, 2014 in accordance with Regulation G:
       

(In thousands, except per share amounts)
September 30, 2015 December 31, 2014
 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,076,236 $ 955,738
 
Subtract: Accumulated Other Comprehensive Income   5,047   4,667
 
Adjusted Book Value $ 1,071,189 $ 951,071
 
Denominator:
Total Common Shares Outstanding 92,653 92,546
 
Add: Restricted Share Units Outstanding   535   664
 
Total Common Shares and Share Units Outstanding   93,188   93,210
 
Adjusted Book Value per Share $ 11.49 $ 10.20
 

Source: Essent Group Ltd.

View source version on businesswire.com: http://www.businesswire.com/news/home/20151105005147/en/

Copyright Business Wire 2010