Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2015 of $44.5 million or $0.48 per diluted share. Net income for the full year 2015 was $157.3 million or $1.72 per diluted share.

Insurance in force as of December 31, 2015, was $65.2 billion, representing an increase of 29% compared to $50.8 billion of insurance in force as of December 31, 2014. As of December 31, 2015, Essent had consolidated stockholders' equity of $1.12 billion.

"2015 was another successful year for Essent, as we continue to grow a high-quality and profitable mortgage insurance portfolio," said Mark Casale, Chairman and Chief Executive Officer. "Not only did we grow net income 78% year over year, we also generated a return on average equity of over 15% for our shareholders in 2015."

Financial Highlights:
  • Insurance in force as of December 31, 2015 was $65.2 billion, compared to $62.1 billion as of September 30, 2015 and $50.8 billion as of December 31, 2014.
  • Flow new insurance written for the fourth quarter was $6.0 billion, compared to $7.4 billion in the third quarter of 2015 and $6.2 billion in the fourth quarter of 2014. For the full year 2015, flow new insurance written was $25.9 billion, compared to $23.0 billion for 2014.
  • Net premiums earned for the fourth quarter were $89.4 million, compared to $83.7 million in the third quarter of 2015 and $67.8 million in the fourth quarter of 2014. For the full year 2015, net premiums earned were $326.5 million, compared to $223.2 million for 2014.
  • The expense ratio for the fourth quarter was 33.1%, compared to 34.3% in the third quarter of 2015 and 37.8% in the fourth quarter of 2014. For the full year 2015, the expense ratio was 34.6%, compared to 43.6% for 2014.
  • The provision for losses and LAE for the fourth quarter was $4.2 million, compared to $3.4 million in the third quarter of 2015 and $3.0 million in the fourth quarter of 2014. For the full year 2015, the provision for losses and LAE was $11.9 million, compared to $6.3 million for 2014.
  • The percentage of loans in default as of December 31, 2015 was 0.35%, compared to 0.29% as of September 30, 2015 and 0.20% as of December 31, 2014.
  • The combined ratio for the fourth quarter was 37.8%, compared to 38.4% in the third quarter of 2015 and 42.3% in the fourth quarter of 2014. For the full year 2015, the combined ratio was 38.3%, compared to 46.4% for 2014.
  • The consolidated balance of cash and investments at December 31, 2015 was $1.3 billion, including cash and investment balances at Essent Group Ltd. of $70.6 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 15.2:1 as of December 31, 2015.
  • Over the course of 2015, Essent Reinsurance Ltd. reinsured a total of $121.0 million of risk across Freddie Mac's Agency Credit Insurance Structure ("ACIS") and Fannie Mae's Credit Insurance Risk Transfer ("CIRT") programs as compared to $43.9 million in 2014.

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 23883816 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 23883816.

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 and Year Ended December 31, 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 December 31, Year Ended December 31,

($ in thousands, except per share amounts)
2015 2014 2015 2014
Revenues:
Net premiums written $ 98,434 $ 83,219 $ 370,568 $ 276,778
Increase in unearned premiums (9,056 ) (15,405 ) (44,097 ) (53,549 )
Net premiums earned 89,378 67,814 326,471 223,229
Net investment income 5,563 3,902 19,885 12,285
Realized investment gains, net 789 306 2,554 925
Other income 1,746   720   4,380   3,028  
Total revenues 97,476   72,742   353,290   239,467  
 
Losses and expenses:
Provision for losses and LAE 4,199 3,049 11,905 6,308
Other underwriting and operating expenses 29,627   25,656   112,987   97,232  
Total losses and expenses 33,826   28,705   124,892   103,540  
 
Income before income taxes 63,650 44,037 228,398 135,927
Income tax expense 19,171   15,171   71,067   47,430  
Net income $ 44,479   $ 28,866   $ 157,331   $ 88,497  
 
 
Earnings per share:
Basic $ 0.49 $ 0.34 $ 1.74 $ 1.05
Diluted 0.48 0.33 1.72 1.03
 
Weighted average shares outstanding:
Basic 90,454 86,134 90,351 83,986
Diluted 91,918 87,950 91,738 85,602
 
Net income $ 44,479 $ 28,866 $ 157,331 $ 88,497
 
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments (5,146 ) 2,125   (4,766 ) 6,114  
Total other comprehensive income (loss) (5,146 ) 2,125   (4,766 ) 6,114  
Comprehensive income $ 39,333   $ 30,991   $ 152,565   $ 94,611  
 
 
Loss ratio 4.7 % 4.5 % 3.6 % 2.8 %
Expense ratio 33.1 % 37.8 % 34.6 % 43.6 %
Combined ratio 37.8 % 42.3 % 38.3 % 46.4 %

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

(In thousands, except per share amounts)
2015 2014
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,190,638 $ 846,925
Short-term investments 85,996   210,688
Total investments 1,276,634 1,057,613
Cash 24,606 24,411
Accrued investment income 7,768 5,748
Accounts receivable 16,637 15,810
Deferred policy acquisition costs 11,529 9,597
Property and equipment (at cost, less accumulated depreciation of $42,479 in 2015 and $39,260 in 2014) 9,021 5,841
Prepaid federal income tax 119,412 59,673
Other assets 3,492   2,768
 
Total assets $ 1,469,099   $ 1,181,461
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 17,760 $ 8,427
Unearned premium reserve 201,045 156,948
Accrued payroll and bonuses 15,955 14,585
Net deferred tax liability 87,964 37,092
Securities purchased payable 14,996 227
Other accrued liabilities 12,138   8,444
Total liabilities 349,858   225,723
 
Commitments and contingencies
 
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued - 92,650 shares in 2015 and 92,546 shares in 2014 1,390 1,388
Additional paid-in capital 904,221 893,285
Accumulated other comprehensive income (loss) (99 ) 4,667
Retained earnings 213,729   56,398
Total stockholders' equity 1,119,241   955,738
 
Total liabilities and stockholders' equity $ 1,469,099   $ 1,181,461

               
Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
 
 
2015 2014
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 $ 98,434   $ 97,478   $ 92,399   $ 82,257   $ 83,219   $ 77,862   $ 63,505   $ 52,192  
 
Net premiums earned 89,378 83,694 78,361 75,038 67,814 60,323 50,342 44,750
Other revenues (1) 8,098   8,042   5,706   4,973   4,928   4,298   3,941   3,071  
Total revenues 97,476   91,736   84,067   80,011   72,742   64,621   54,283   47,821  
 
Losses and expenses:
Provision for losses and LAE 4,199 3,393 2,314 1,999 3,049 1,391 966 902
Other underwriting and operating expenses 29,627   28,714   27,148   27,498   25,656   24,469   23,648   23,459  
Total losses and expenses 33,826   32,107   29,462   29,497   28,705   25,860   24,614   24,361  
 
Income before income taxes 63,650 59,629 54,605 50,514 44,037 38,761 29,669 23,460
Income tax expense 19,171   18,808   17,412   15,676   15,171   13,691   10,114   8,454  
Net income $ 44,479   $ 40,821   $ 37,193   $ 34,838   $ 28,866   $ 25,070   $ 19,555   $ 15,006  
 
Earnings per share:
Basic $ 0.49 $ 0.45 $ 0.41 $ 0.39 $ 0.34 $ 0.30 $ 0.23 $ 0.18
Diluted 0.48 0.44 0.41 0.38 0.33 0.29 0.23 0.18
 
Weighted average shares outstanding:
Basic 90,454 90,418 90,344 90,185 86,134 83,640 83,276 82,864
Diluted 91,918 91,841 91,674 91,514 87,950 85,028 84,706 84,696
 
Other Data:
Loss ratio (2) 4.7 % 4.1 % 3.0 % 2.7 % 4.5 % 2.3 % 1.9 % 2.0 %
Expense ratio (3) 33.1 % 34.3 % 34.6 % 36.6 % 37.8 % 40.6 % 47.0 % 52.4 %
Combined ratio 37.8 % 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 $974, $1,258, ($391), ($749) and $78 in the three months ended December 31, 2015, 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: 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 $ 5,970,656 $ 7,384,654 $ 7,225,401 $ 5,346,820 $ 6,204,821 $ 7,283,169 $ 5,874,334 $ 3,630,573
New risk written 1,486,328 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 % 0.55 % 0.57 % 0.58 % 0.56 % 0.55 % 0.54 % 0.54 %
New insurance written $ 5,970,656 $ 7,589,521 $ 7,286,659 $ 5,346,820 $ 6,504,829 $ 8,789,698 $ 5,874,334 $ 3,630,573
New risk written $ 1,486,328 $ 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) $ 65,242,453 $ 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) $ 16,073,174 $ 15,229,575 $ 13,992,701 $ 12,891,462 $ 12,227,270 $ 11,152,497 $ 9,700,549 $ 8,493,862
Policies in force 297,437 282,671 261,996 242,477 229,721 209,841 175,773 154,451
Weighted average coverage (5) 24.6 % 24.5 % 24.4 % 24.2 % 24.1 % 24.0 % 24.6 % 24.4 %
Annual persistency 80.2 % 80.2 % 80.3 % 82.8 % 86.4 % 88.5 % 89.1 % 87.9 %
 
Loans in default (count) 1,028 814 605 505 457 312 235 192
Percentage of loans in default 0.35 % 0.29 % 0.23 % 0.21 % 0.20 % 0.15 % 0.13 % 0.12 %
 
Other Risk in Force
GSE Risk Share (6) $ 156,347 $ 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 Year Ended
December 31, 2015 December 31, 2014 December 31, 2015 December 31, 2014

($ in thousands)
>=760 $ 2,549,859 42.7 % $ 2,618,070 42.2 % $ 11,414,155 44.0 % $ 10,045,373 43.7 %

740-759
954,427 16.0 1,017,384 16.4 4,212,139 16.2 3,808,163 16.6

720-739
845,731 14.2 868,254 14.0 3,705,326 14.3 3,314,333 14.4

700-719
656,708 11.0 692,036 11.2 2,745,041 10.6 2,475,271 10.8

680-699
556,605 9.3 576,830 9.3 2,204,216 8.5 2,020,177 8.8
<=679 407,326   6.8   432,247   6.9   1,646,654   6.4   1,329,580   5.7  
Total $ 5,970,656   100.0 % $ 6,204,821   100.0 % $ 25,927,531   100.0 % $ 22,992,897   100.0 %
 
Weighted average credit score 746 745 747 747
 
 
 
NIW by LTV
Three Months Ended Year Ended
December 31, 2015 December 31, 2014 December 31, 2015 December 31, 2014

($ in thousands)
85.00% and below $ 728,547 12.2 % $ 931,067 15.0 % $ 3,235,112 12.5 % $ 2,991,324 13.0 %
85.01% to 90.00% 2,040,008 34.2 2,057,770 33.2 8,955,916 34.5 7,694,465 33.5
90.01% to 95.00% 3,042,571 50.9 3,176,124 51.2 13,147,611 50.7 12,147,728 52.8
95.01% and above 159,530   2.7   39,860   0.6   588,892   2.3   159,380   0.7  
Total $ 5,970,656   100.0 % $ 6,204,821   100.0 % $ 25,927,531   100.0 % $ 22,992,897   100.0 %
 
Weighted average LTV 92 % 91 % 92 % 92 %
 
 
 
NIW by Product
Three Months Ended Year Ended
December 31, 2015 December 31, 2014 December 31, 2015 December 31, 2014
Single Premium policies 24.3 % 22.8 % 23.3 % 20.1 %
Monthly Premium policies 75.7   77.2   76.7   79.9  
100.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Year Ended
December 31, 2015 December 31, 2014 December 31, 2015 December 31, 2014
Purchase 82.6 % 77.7 % 79.6 % 82.9 %
Refinance 17.4   22.3   20.4   17.1  
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 Year Ended
December 31, 2015 December 31, 2014 December 31, 2015 December 31, 2014

($ in thousands)
>=760 $ 0.0

%
$ 203,901

68.0

%
$ 201,990 75.9 % $ 694,882 38.5 %

740-759
51,590 17.2 31,425 11.8 286,790 15.9

720-739
34,077 11.4 19,891 7.5 269,065 14.9

700-719
10,440 3.4 12,819 4.8 244,314 13.5

680-699
190,009 10.5
<=679             121,477   6.7  
Total $   0.0 % $ 300,008   100.0 % $ 266,125   100.0 % $ 1,806,537   100.0 %
 
Weighted average credit score N/A 771 774 742
 
 
 
NIW by LTV
Three Months Ended Year Ended
December 31, 2015 December 31, 2014 December 31, 2015 December 31, 2014

($ in thousands)
85.00% and below $ 0.0 % $ 10,706 3.6 % $ 63,448 23.8 % $ 62,316 3.4 %
85.01% to 90.00% 151,608 50.5 94,984 35.7 273,390 15.1
90.01% to 95.00% 137,694 45.9 107,693 40.5 855,547 47.4
95.01% and above             615,284   34.1  
Total $   0.0 % $ 300,008   100.0 % $ 266,125   100.0 % $ 1,806,537   100.0 %
 
Weighted average LTV N/A 91 % 89 % 93 %
 
 
 
NIW by Product
Three Months Ended Year Ended
December 31, 2015 December 31, 2014 December 31, 2015 December 31, 2014
Single Premium policies 0.0 % 100.0 % 100.0 % 16.6 %
Monthly Premium policies       83.4  
0.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Year Ended
December 31, 2015 December 31, 2014 December 31, 2015 December 31, 2014
Purchase 0.0 % 90.0 % 90.1 % 86.5 %
Refinance   10.0   9.9   13.5  
0.0 % 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 December 31, 2015 September 30, 2015 December 31, 2014

($ in thousands)
>=760 $ 30,174,460 46.2 % $ 29,034,420 46.7 % $ 24,546,571 48.4

%

   740-759
11,019,729 16.9 10,548,621 17.0 8,804,454 17.3

   720-739
9,398,659 14.4 8,920,180 14.4 7,185,175 14.2

   700-719 
6,507,454 10.0 6,146,299 9.9 4,849,412 9.6

   680-699
5,030,169 7.7 4,675,449 7.5 3,540,811 7.0
<=679 3,111,982   4.8   2,816,437   4.5   1,836,171   3.5  
Total $ 65,242,453   100.0 % $ 62,141,406   100.0

%
$ 50,762,594   100.0

%
 
Weighted average credit score 750 751 753
 
Total RIF by FICO score December 31, 2015 September 30, 2015 December 31, 2014

($ in thousands)
>=760 $ 7,379,053 45.9 % $ 7,066,840 46.4 % $ 5,900,373 48.3

%

   740-759
2,735,754 17.0 2,604,845 17.1 2,135,891 17.4

   720-739
2,346,971 14.6 2,215,539 14.6 1,750,232 14.3

   700-719
1,592,463 9.9 1,493,506 9.8 1,145,431 9.4

   680-699
1,255,734 7.8 1,160,601 7.6 859,436 7.0
<=679 763,199   4.8   688,244   4.5   435,907   3.6  
Total $ 16,073,174   100.0 % $ 15,229,575   100.0 % $ 12,227,270   100.0

%
 
Portfolio by LTV
Total IIF by LTV December 31, 2015 September 30, 2015 December 31, 2014

($ in thousands)
85.00% and below $ 7,341,316 11.3 % $ 7,119,316 11.5 % $ 6,100,274 12.0

%
85.01% to 90.00% 22,337,975 34.2 21,345,266 34.3 17,719,816 34.9
90.01% to 95.00% 34,035,682 52.2 32,267,048 51.9 25,832,106 50.9
95.01% and above 1,527,480   2.3   1,409,776   2.3   1,110,398   2.2  
Total $ 65,242,453   100.0 % $ 62,141,406   100.0 % $ 50,762,594   100.0

%
 
Weighted average LTV 92 % 92 % 92 %
 
Total RIF by LTV December 31, 2015 September 30, 2015 December 31, 2014

($ in thousands)
85.00% and below $ 826,531 5.2 % $ 799,556 5.2 % $ 681,908 5.6

%
85.01% to 90.00% 5,310,050 33.0 5,064,459 33.3 4,174,743 34.1
90.01% to 95.00% 9,646,406 60.0 9,108,483 59.8 7,203,270 58.9
95.01% and above 290,187   1.8   257,077   1.7   167,349   1.4  
Total $ 16,073,174   100.0 % $ 15,229,575   100.0 % $ 12,227,270   100.0

%
 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period December 31, 2015 September 30, 2015 December 31, 2014

($ in thousands)

 
FRM 30 years and higher $ 58,344,666 89.4 % $ 55,347,061 89.1 % $ 44,503,607 87.7

%
FRM 20-25 years 1,515,756 2.3 1,477,612 2.4 1,273,086 2.5
FRM 15 years 2,702,723 4.2 2,709,749 4.3 2,637,970 5.2
ARM 5 years and higher 2,679,308   4.1   2,606,984   4.2   2,347,931   4.6  
Total $ 65,242,453   100.0 % $ 62,141,406   100.0 % $ 50,762,594   100.0

%
 

 

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

($ in thousands)
December 31, 2015 September 30, 2015 December 31, 2014
 
GSE Risk Share (1) $ 156,347   $ 118,073   $ 43,733  
 
Weighted average credit score 754 754 761
Weighted average LTV 76 % 76 % 75 %
 

(1) Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") program and covers the risk in force on the loans in the reference pools associated with STACR notes issued by Freddie Mac. Essent Re also provides reinsurance in connection with Fannie Mae's Credit Insurance Risk Transfer ("CIRT") program and covers the risk in force on the loans in reference pools acquired by Fannie Mae.
                       

Exhibit G
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
December 31, 2015
 
 
Insurance in Force
Origination Year  

Original Insurance

Written

($ in thousands)
 

Remaining Insurance

in Force

($ in thousands)
  % Remaining of Original

Insurance
 

Number of Policies in Force
  % Purchase   >90% LTV   >95% LTV   FICO < 700   FICO >= 760   % FRM  

Incurred Loss Ratio (Inception to Date) (1)
 

Number of Loans in Default
 
2010 $ 245,898 $ 48,841 19.9 % 286 75.4 % 43.6 % 0.0

%
3.2 % 60.1 % 98.5 % 3.6 % 4
2011 3,229,720 886,106 27.4 4,668 74.8 41.7 0.2 4.6 56.4 94.4 3.9 45
2012 11,241,161 5,566,258 49.5 26,651 72.6 50.1 0.5 5.4 56.0 97.4 2.3 154
2013 21,152,638 13,552,397 64.1 63,562 76.7 54.6 1.8 7.8 51.2 96.8 2.5 303
2014 24,799,434 19,896,191 80.2 93,457 85.0 58.0 3.4 15.1 42.5 94.2 3.8 421
2015 26,193,656   25,292,660 96.6 108,813 79.8 53.1 2.3 14.8 44.0 96.5 2.1 101
Total $ 86,862,507   $ 65,242,453 75.1 297,437 80.1 54.5 2.3 12.5 46.2 95.9 2.8 1,028
 

 

(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.
     
Exhibit H
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data
 
 
IIF by State
December 31, 2015 September 30, 2015 December 31, 2014
CA 9.6 % 9.8 % 10.2 %
TX 8.3 8.3 8.3
FL 6.2 6.0 5.3
WA 4.6 4.6 4.3
IL 4.1 4.1 3.9
NC 3.9 3.9 4.0
NJ 3.4 3.4 3.4
GA 3.3 3.3 3.3
PA 3.3 3.3 3.4
AZ 3.2 3.2 3.3
All Others 50.1   50.1   50.6  
Total 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
December 31, 2015 September 30, 2015 December 31, 2014
CA 9.2 % 9.3 % 9.8 %
TX 8.6 8.6 8.5
FL 6.4 6.2 5.6
WA 4.8 4.8 4.4
IL 4.1 4.1 4.0
NC 4.0 4.0 4.2
GA 3.5 3.5 3.5
NJ 3.3 3.3 3.4
AZ 3.2 3.2 3.2
PA 3.1 3.2 3.2
All Others 49.8   49.8   50.2  
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   Year Ended
December 31,   December 31, December 31,   December 31,
2015   2014 2015   2014
Beginning default inventory 814 312 457 159
Plus: new defaults 706 349 2,034 904
Less: cures (467 ) (196 ) (1,384 ) (578 )
Less: claims paid   (25 )     (8 )   (79 )     (28 )
Ending default inventory   1,028       457     1,028       457  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended Year Ended
December 31, December 31, December 31, December 31,

($ in thousands)
2015   2014 2015   2014
Reserve for losses and LAE at beginning of period $ 14,548     $ 5,682   $ 8,427     $ 3,070  
Add provision for losses and LAE occurring in:
Current year 4,600 2,923 14,956 6,877
Prior years   (401 )     126     (3,051 )     (569 )
Incurred losses during the period   4,199       3,049     11,905       6,308  
Deduct payments for losses and LAE occurring in:
Current year 282 137 544 138
Prior years   705       167     2,028       813  
Loss and LAE payments during the period   987       304     2,572       951  
Reserve for losses and LAE at end of period $ 17,760     $ 8,427   $ 17,760     $ 8,427  
 
 
 
Claims
Three Months Ended Year Ended
December 31, December 31, December 31, December 31,
2015   2014 2015   2014
Number of claims paid 25 8 79 28
Total amount paid for claims (in thousands) $ 968 $ 292 $ 2,498 $ 929
Average amount paid per claim (in thousands) $ 39 $ 37 $ 32 $ 33
Severity 102 % 98 % 92 % 79 %
 

Exhibit I, continued
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
 
 
  December 31, 2015

Number of Policies in Default
 

Percentage of Policies in Default
 

Amount of Reserves
 

Percentage of Reserves
 

Defaulted RIF
 

Reserves as a Percentage of RIF

($ in thousands)
         
Missed Payments:
Three payments or less 535 52 % $ 4,492 28 % $ 29,003 15 %
Four to eleven payments 383 37 8,283 51 20,825 40
Twelve or more payments 89 9 2,688 16 4,299 63
Pending claims 21     2       809   5       844 96
Total case reserves 1,028     100 % 16,272 100 %   $ 54,971 30
IBNR 1,220
LAE   268
Total reserves for losses and LAE $ 17,760
 
Average reserve per default:
Case $ 15.8
Total $ 17.3
 
Default Rate 0.35 %
 
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 case reserves 457     100 % 7,700 100 %   $ 23,120 33
IBNR 578
LAE   149
Total reserves for losses and LAE $ 8,427
 
Average reserve per default:
Case $ 16.8
Total $ 18.4
 
Default Rate 0.20 %
 

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

($ in thousands)
Fair Value   Percent Fair Value   Percent
U.S. Treasury securities $ 177,607   13.9 % $ 74,216   7.0 %
U.S. agency securities 13,782 1.1 4,520 0.4
U.S. agency mortgage-backed securities 159,602 12.5 83,540 7.9
Municipal debt securities 279,828 21.9 195,546 18.5
Corporate debt securities 396,732 31.1 296,829 28.1
Mortgage-backed securities 55,356 4.3 66,086 6.3
Asset-backed securities 126,629 9.9 126,188 11.9
Money market funds   67,098     5.3     210,688   19.9  
Total Investments $ 1,276,634     100.0 % $ 1,057,613   100.0 %
 
Investment Portfolio by Credit Rating
Rating (1) December 31, 2015 December 31, 2014

($ in thousands)
Fair Value   Percent Fair Value   Percent
Aaa $ 554,789 43.5 % $ 545,807 51.6 %
Aa1 74,322 5.8 47,792 4.5
Aa2 89,533 7.0 51,958 4.9
Aa3 68,587 5.4 48,261 4.6
A1 126,920 9.9 74,161 7.0
A2 122,745 9.6 67,413 6.4
A3 87,781 6.9 71,964 6.8
Baa1 80,137 6.3 60,399 5.7
Baa2 51,528 4.0 79,727 7.5
Baa3 19,662 1.5 10,131 1.0
Below Baa3   630     0.1        
Total Investments $ 1,276,634     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 December 31, 2015 December 31, 2014

($ in thousands)
Fair Value   Percent Fair Value   Percent
< 1 Year $ 235,001 18.4 % $ 332,399 31.4 %
1 to < 2 Years 141,995 11.1 85,971 8.1
2 to < 3 Years 214,274 16.8 167,504 15.8
3 to < 4 Years 104,772 8.2 106,432 10.1
4 to < 5 Years 141,428 11.1 80,300 7.6
5 or more Years   439,164     34.4     285,007   27.0  
Total Investments $ 1,276,634     100.0 % $ 1,057,613   100.0 %
 
Pre-tax investment income yield:
Three months ended December 31, 2015 1.96 %
Year ended December 31, 2015 1.85 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)
As of December 31, 2015 $ 70,601
As of December 31, 2014 $ 126,327
 

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

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $

913,182
$ 705,890
 
Combined net risk in force (2) $ 13,847,336 $ 11,426,748
 
Risk-to-capital ratios: (3)
Essent Guaranty, Inc. 15.7:1 16.4:1
Essent Guaranty of PA, Inc. 9.7:1 14.6:1
Combined (4) 15.2:1 16.2:1
 
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 220,178 $ 155,123
 
Net risk in force (2) $ 2,364,692 $ 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 December 31, 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 December 31, 2015 and December 31, 2014 in accordance with Regulation G:
 

(In thousands, except per share amounts)
  December 31, 2015   December 31, 2014
 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,119,241 $ 955,738
 
Subtract: Accumulated Other Comprehensive Income (Loss)   (99 )   4,667
 
Adjusted Book Value $ 1,119,340   $ 951,071
 
Denominator:
Total Common Shares Outstanding 92,650 92,546
 
Add: Restricted Share Units Outstanding   544     664
 
Total Common Shares and Share Units Outstanding   93,194     93,210
 
Adjusted Book Value per Share $ 12.01   $ 10.20
 

Source: Essent Group Ltd.

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