Essent Group Ltd. Reports Third Quarter 2016 Results

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2016 of $59.7 million or $0.65 per diluted share, compared to $40.8 million or $0.44 per diluted share for the quarter ended September 30, 2015. As of September 30, 2016, Essent had insurance in force of $77.6 billion and consolidated stockholders' equity of $1.3 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. "We grew insurance in force 25% year over year, which drove year over year growth in quarterly net income of 46% while also producing a 17.6% annualized return on average equity for the nine month period ended September 30, 2016."

Financial Highlights:
  • Insurance in force as of September 30, 2016 was $77.6 billion, compared to $62.1 billion as of September 30, 2015.
  • New insurance written for the third quarter was $10.3 billion, compared to $7.6 billion in the third quarter of 2015.
  • Net premiums earned for the third quarter were $110.8 million, compared to $83.7 million in the third quarter of 2015.
  • The expense ratio for the third quarter was 29.6%, compared to 34.3% in the third quarter of 2015.
  • The provision for losses and LAE for the third quarter was $5.0 million, compared to $3.4 million in the third quarter of 2015.
  • The percentage of loans in default as of September 30, 2016 was 0.41%, compared to 0.29% as of September 30, 2015.
  • The combined ratio for the third quarter was 34.1%, compared to 38.4% in the third quarter of 2015.
  • The consolidated balance of cash and investments at September 30, 2016 was $1.6 billion, including cash and investment balances at Essent Group Ltd. of $44.6 million.
  • The combined risk to capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 14.8:1 as of September 30, 2016.
  • Essent's net income for the third quarter reflects a positive $2.0 million valuation adjustment associated with an amendment to certain GSE risk share transactions at Essent Reinsurance Ltd., which resulted in a conversion from derivative accounting to insurance accounting.
  • Essent Reinsurance Ltd. reinsured a total of $5.2 million of risk in GSE risk share transactions in the third quarter of 2016.
  • Essent drew $50.0 million under its revolving credit facility in the third quarter of 2016. The proceeds of the draw were contributed to Essent Reinsurance Ltd.
  • On November 3, 2016, S&P Global Ratings assigned its 'BBB+' long-term counterparty and financial strength ratings to Essent Reinsurance Ltd.

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 93871346 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 93871346.

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," "will," "should," "expect," "plan," "anticipate," "believe," "estimate," "predict" or "potential" 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 the 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; our 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, 2015 filed with the Securities and Exchange Commission on February 29, 2016. 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, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.

Source: Essent Group Ltd.
   
Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended September 30, 2016
 
 
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)
2016 2015 2016 2015
Revenues:
Net premiums written $ 115,887 $ 97,478 $ 324,866 $ 272,134
Increase in unearned premiums (5,086 ) (13,784 ) (18,951 ) (35,041 )
Net premiums earned 110,801 83,694 305,915 237,093
Net investment income 6,781 5,322 19,665 14,322
Realized investment gains, net 435 548 1,489 1,765
Other income 3,237   2,172   4,816   2,634  
Total revenues 121,254   91,736   331,885   255,814  
 
Losses and expenses:
Provision for losses and LAE 4,965 3,393 11,660 7,706
Other underwriting and operating expenses 32,848   28,714   95,645   83,360  
Total losses and expenses 37,813   32,107   107,305   91,066  
 
Income before income taxes 83,441 59,629 224,580 164,748
Income tax expense 23,730   18,808   64,660   51,896  
Net income $ 59,711   $ 40,821   $ 159,920   $ 112,852  
 
 
Earnings per share:
Basic $ 0.66 $ 0.45 $ 1.76 $ 1.25
Diluted 0.65 0.44 1.74 1.23
 
Weighted average shares outstanding:
Basic 90,961 90,418 90,886 90,317
Diluted 92,399 91,841 92,133 91,678
 
Net income $ 59,711 $ 40,821 $ 159,920 $ 112,852
 
Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments (2,008 ) 4,260   22,053   380  
Total other comprehensive (loss) income (2,008 ) 4,260   22,053   380  
Comprehensive income $ 57,703   $ 45,081   $ 181,973   $ 113,232  
 
 
Loss ratio 4.5 % 4.1 % 3.8 % 3.3 %
Expense ratio 29.6 % 34.3 % 31.2 % 35.2 %
Combined ratio 34.1 % 38.4 % 35.1 % 38.4 %

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

(In thousands, except per share amounts)
2016 2015
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,431,673 $ 1,190,638
Short-term investments 150,483   85,996  
Total investments 1,582,156 1,276,634
Cash 16,336 24,606
Accrued investment income 8,858 7,768
Accounts receivable 20,253 16,637
Deferred policy acquisition costs 13,013 11,529
Property and equipment (at cost, less accumulated depreciation of $45,567 in 2016 and $42,479 in 2015) 8,291 9,021
Prepaid federal income tax 163,022 119,412
Other assets 5,799   3,492  
 
Total assets $ 1,817,728   $ 1,469,099  
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 25,731 $ 17,760
Unearned premium reserve 219,996 201,045
Net deferred tax liability 140,641 87,964
Revolving credit facility borrowings 50,000
Securities purchased payable 45,770 14,996
Other accrued liabilities 25,375   28,093  
Total liabilities 507,513   349,858  
 
Commitments and contingencies
 
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued - 93,102 shares in 2016 and 92,650 shares in 2015 1,397 1,390
Additional paid-in capital 913,215 904,221
Accumulated other comprehensive income (loss) 21,954 (99 )
Retained earnings 373,649   213,729  
Total stockholders' equity 1,310,215   1,119,241  
 
Total liabilities and stockholders' equity $ 1,817,728   $ 1,469,099  
 
Return on average equity (1) 17.6 % 15.2 %
 
(1) The 2016 return on average equity is calculated by dividing annualized year-to-date 2016 net income by average equity. The 2015 return on average equity is calculated by dividing full year 2015 net income by average equity.

             
Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
 
 
2016 2015
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 $ 115,887   $ 108,513   $ 100,466   $ 98,434   $ 97,478   $ 92,399   $ 82,257  
 
Net premiums earned 110,801 100,711 94,403 89,378 83,694 78,361 75,038
Other revenues (1) 10,453   7,454   8,063   8,098   8,042   5,706   4,973  
Total revenues 121,254   108,165   102,466   97,476   91,736   84,067   80,011  
 
Losses and expenses:
Provision for losses and LAE 4,965 2,964 3,731 4,199 3,393 2,314 1,999
Other underwriting and operating expenses 32,848   31,409   31,388   29,627   28,714   27,148   27,498  
Total losses and expenses 37,813   34,373   35,119   33,826   32,107   29,462   29,497  
 
Income before income taxes 83,441 73,792 67,347 63,650 59,629 54,605 50,514
Income tax expense 23,730   21,534   19,396   19,171   18,808   17,412   15,676  
Net income $ 59,711   $ 52,258   $ 47,951   $ 44,479   $ 40,821   $ 37,193   $ 34,838  
 
Earnings per share:
Basic $ 0.66 $ 0.57 $ 0.53 $ 0.49 $ 0.45 $ 0.41 $ 0.39
Diluted 0.65 0.57 0.52 0.48 0.44 0.41 0.38
 
Weighted average shares outstanding:
Basic 90,961 90,912 90,785 90,454 90,418 90,344 90,185
Diluted 92,399 92,138 91,859 91,918 91,841 91,674 91,514
 
Other Data:
Loss ratio (2) 4.5 % 2.9 % 4.0 % 4.7 % 4.1 % 3.0 % 2.7 %
Expense ratio (3) 29.6 % 31.2 % 33.2 % 33.1 % 34.3 % 34.6 % 36.6 %
Combined ratio 34.1 % 34.1 % 37.2 % 37.8 % 38.4 % 37.6 % 39.3 %
 
Return on average equity (annualized) 18.7 % 17.2 % 16.7 % 16.2 % 15.5 % 14.7 % 14.3 %
 
(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 were accounted for as derivatives under GAAP. In the three months ended September 30, 2016, these contracts were amended and are now accounted for as insurance contracts. The change in fair values of these policies was $2,012, ($755), $677, $974, $1,258, ($391) and ($749) in the three months ended September 30, 2016, June 30, 2016, March 31, 2016, December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015, 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
 
 
2016 2015
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 $ 10,299,161 $ 8,715,171 $ 5,366,675 $ 5,970,656 $ 7,384,654 $ 7,225,401 $ 5,346,820
New risk written 2,536,734 2,167,333 1,340,588 1,486,328 1,854,884 1,800,027 1,302,710
 
Bulk:
New insurance written $ $ $ 93,054 $ $ 204,867 $ 61,258 $
New risk written 8,480 25,760 4,062
 
Total:
Average premium rate (4) 0.58 % 0.57 % 0.56 % 0.55 % 0.55 % 0.57 % 0.58 %
New insurance written $ 10,299,161 $ 8,715,171 $ 5,459,729 $ 5,970,656 $ 7,589,521 $ 7,286,659 $ 5,346,820
New risk written $ 2,536,734 $ 2,167,333 $ 1,349,068 $ 1,486,328 $ 1,880,644 $ 1,804,089 $ 1,302,710
Insurance in force (end of period) $ 77,614,373 $ 72,267,099 $ 67,716,741 $ 65,242,453 $ 62,141,406 $ 57,435,859 $ 53,253,632
Risk in force (end of period) $ 19,289,387 $ 17,937,364 $ 16,745,819 $ 16,073,174 $ 15,229,575 $ 13,992,701 $ 12,891,462
Policies in force 350,600 328,441 308,779 297,437 282,671 261,996 242,477
Weighted average coverage (5) 24.9 % 24.8 % 24.7 % 24.6 % 24.5 % 24.4 % 24.2 %
Annual persistency 79.4 % 81.0 % 81.0 % 80.2 % 80.2 % 80.3 % 82.8 %
 
Loans in default (count) 1,453 1,174 1,060 1,028 814 605 505
Percentage of loans in default 0.41 % 0.36 % 0.34 % 0.35 % 0.29 % 0.23 % 0.21 %
 
Other Risk in Force
GSE Risk Share (6) $ 302,211 $ 305,357 $ 188,766 $ 156,347 $ 118,073 $ 66,291 $ 63,533
 
Revolving Credit Facility
Borrowings outstanding $ 50,000 $ N/A N/A N/A N/A N/A
Undrawn committed capacity $ 150,000 $ 200,000 N/A N/A N/A N/A N/A
Interest rate at September 30, 2016: 2.52 %
 
(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, 2016 September 30, 2015 September 30, 2016 September 30, 2015

($ in thousands)
>=760 $ 4,883,884 47.4 % $ 3,255,765 44.1 % $ 11,185,023 45.9 % $ 8,864,296 44.4 %

740-759
1,651,059 16.0 1,197,552 16.2 3,897,484 16.0 3,257,712 16.3

720-739
1,358,205 13.2 1,016,419 13.8 3,294,793 13.5 2,859,595 14.3

700-719
1,112,745 10.8 815,726 11.0 2,646,441 10.8 2,088,333 10.5

680-699
746,419 7.3 621,126 8.4 1,921,913 7.9 1,647,611 8.3
<=679 546,849     5.3   478,066     6.5   1,435,353     5.9   1,239,328     6.2  
Total $ 10,299,161     100.0 % $ 7,384,654     100.0 % $ 24,381,007     100.0 % $ 19,956,875     100.0 %
 
Weighted average credit score 750 747 749 748
 
 
 
NIW by LTV
Three Months Ended Nine Months Ended
September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015

($ in thousands)
85.00% and below $ 1,506,576 14.6 % $ 803,370 10.9 % $ 3,346,647 13.7 % $ 2,506,565 12.6 %
85.01% to 90.00% 3,254,538 31.6 2,582,442 35.0 7,906,420 32.4 6,915,908 34.6
90.01% to 95.00% 4,930,162 47.9 3,826,960 51.8 11,991,142 49.2 10,105,040 50.6
95.01% and above 607,885     5.9   171,882     2.3   1,136,798     4.7   429,362     2.2  
Total $ 10,299,161     100.0 % $ 7,384,654     100.0 % $ 24,381,007     100.0 % $ 19,956,875     100.0 %
 
Weighted average LTV 92 % 92 % 92 % 92 %
 
 
 
NIW by Product
Three Months Ended Nine Months Ended
September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015
Single Premium policies 16.2 % 21.7 % 18.8 % 23.0 %
Monthly Premium policies 83.8   78.3   81.2   77.0  
100.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Nine Months Ended
September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015
Purchase 80.7 % 85.8 % 81.5 % 78.7 %
Refinance 19.3   14.2   18.5   21.3  
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, 2016 September 30, 2015 September 30, 2016 September 30, 2015

($ in thousands)
>=760 $ 0.0 % $ 153,281 74.8 % $ 45,625 49.0 % $ 201,990 75.9 %

740-759
25,159 12.3 18,154 19.5 31,425 11.8

720-739
14,941 7.3 11,475 12.3 19,891 7.5

700-719
11,486 5.6 8,220 8.8 12,819 4.8

680-699
6,453 7.0
<=679             3,127     3.4        
Total $     0.0 % $ 204,867     100.0 % $ 93,054     100.0 % $ 266,125     100.0 %
 
Weighted average credit score N/A 773 750 774
 
 
 
NIW by LTV
Three Months Ended Nine Months Ended
September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015

($ in thousands)
85.00% and below $ 0.0 % $ 2,190 1.1 % $ 755 0.8 % $ 63,448 23.8 %
85.01% to 90.00% 94,984 46.3 27,757 29.8 94,984 35.7
90.01% to 95.00% 107,693 52.6 64,542 69.4 107,693 40.5
95.01% and above                        
Total $     0.0 % $ 204,867     100.0 % $ 93,054     100.0 % $ 266,125     100.0 %
 
Weighted average LTV N/A 91 % 91 % 89 %
 
 
 
NIW by Product
Three Months Ended Nine Months Ended
September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015
Single Premium policies 0.0 % 100.0 % 100.0 % 100.0 %
Monthly Premium policies        
0.0 % 100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended Nine Months Ended
September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015
Purchase 0.0 % 87.9 % 100.0 % 90.1 %
Refinance   12.1     9.9  
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 September 30, 2016 June 30, 2016 September 30, 2015

($ in thousands)
>=760 $ 35,510,017 45.8 % $ 33,032,120 45.7 % $ 29,034,420 46.7 %

740-759
12,924,061 16.6 12,096,199 16.7 10,548,621 17.0

720-739
11,075,479 14.3 10,374,218 14.4 8,920,180 14.4

700-719
7,985,448 10.3 7,365,368 10.2 6,146,299 9.9

680-699
6,079,109 7.8 5,696,562 7.9 4,675,449 7.5
<=679   4,040,259     5.2     3,702,632     5.1     2,816,437     4.5  
Total $ 77,614,373     100.0 % $ 72,267,099     100.0 % $ 62,141,406     100.0 %
 
Weighted average credit score 749 749 751
 
Total RIF by FICO score September 30, 2016 June 30, 2016 September 30, 2015

($ in thousands)
>=760 $ 8,763,990 45.4 % $ 8,138,995 45.4 % $ 7,066,840 46.4 %

740-759
3,236,792 16.8 3,023,589 16.9 2,604,845 17.1

720-739
2,784,413 14.4 2,607,057 14.5 2,215,539 14.6

700-719
1,977,518 10.3 1,820,731 10.1 1,493,506 9.8

680-699
1,529,092 7.9 1,432,032 8.0 1,160,601 7.6
<=679   997,582     5.2     914,960     5.1     688,244     4.5  
Total $ 19,289,387     100.0 % $ 17,937,364     100.0 % $ 15,229,575     100.0 %
 
Portfolio by LTV
Total IIF by LTV September 30, 2016 June 30, 2016 September 30, 2015

($ in thousands)
85.00% and below $ 8,697,580 11.2 % $ 7,957,849 11.0 % $ 7,119,316 11.5 %
85.01% to 90.00% 25,916,495 33.4 24,456,328 33.8 21,345,266 34.3
90.01% to 95.00% 40,553,061 52.2 37,911,936 52.5 32,267,048 51.9
95.01% and above   2,447,237     3.2     1,940,986     2.7     1,409,776     2.3  
Total $ 77,614,373     100.0 % $ 72,267,099     100.0 % $ 62,141,406     100.0 %
 
Weighted average LTV 92 % 92 % 92 %
 
Total RIF by LTV September 30, 2016 June 30, 2016 September 30, 2015

($ in thousands)
85.00% and below $ 986,759 5.1 % $ 901,838 5.0 % $ 799,556 5.2 %
85.01% to 90.00% 6,173,686 32.0 5,824,455 32.5 5,064,459 33.3
90.01% to 95.00% 11,574,082 60.0 10,802,375 60.2 9,108,483 59.8
95.01% and above   554,860     2.9     408,696     2.3     257,077     1.7  
Total $ 19,289,387     100.0 % $ 17,937,364     100.0 % $ 15,229,575     100.0 %
 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period September 30, 2016 June 30, 2016 September 30, 2015

($ in thousands)
FRM 30 years and higher $ 70,363,929 90.7 % $ 65,269,610 90.3 % $ 55,347,061 89.1 %
FRM 20-25 years 1,808,715 2.3 1,660,361 2.3 1,477,612 2.4
FRM 15 years 2,757,521 3.5 2,653,056 3.7 2,709,749 4.3
ARM 5 years and higher   2,684,208     3.5     2,684,072     3.7     2,606,984     4.2  
Total $ 77,614,373     100.0 % $ 72,267,099     100.0 % $ 62,141,406     100.0 %
 

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

($ in thousands)
September 30, 2016 June 30, 2016 September 30, 2015
 
GSE Risk Share (1) $ 302,211   $ 305,357   $ 118,073  
 
Weighted average credit score 751 751 754
Weighted average LTV 80 % 80 % 76 %
 
(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
September 30, 2016
 
 
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 $ 34,787 14.1 % 217 78.5 % 47.9 % 0.0 % 3.3 % 58.4 % 98.7 % 2.8 % 1
2011 3,229,720 647,804 20.1 3,500 76.2 43.8 0.2 5.2 56.0 95.2 3.7 45
2012 11,241,161 4,247,993 37.8 20,996 74.6 51.9 0.5 5.4 55.9 97.6 2.6 156
2013 21,152,638 10,373,377 49.0 50,378 77.9 55.6 1.9 7.7 51.0 97.2 2.6 337
2014 24,799,434 16,001,540 64.5 77,889 86.5 60.1 3.6 15.2 42.2 94.1 4.0 598
2015 26,193,656 22,509,458 85.9 99,714 81.1 54.4 2.4 14.8 43.7 96.6 3.1 274
2016 (through September 30)   24,474,061     23,799,414 97.2 97,906 81.6 54.1 4.7 13.8 45.7 97.7 1.6 42
Total $ 111,336,568   $ 77,614,373 69.7 350,600 81.5 55.4 3.2 13.0 45.8 96.5 3.1 1,453
 
(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
September 30, 2016 June 30, 2016 September 30, 2015
CA 9.4 % 9.5 % 9.8 %
TX 8.3 8.3 8.3
FL 6.5 6.5 6.0
WA 4.8 4.7 4.6
IL 4.1 4.1 4.1
NC 3.7 3.8 3.9
NJ 3.4 3.4 3.4
GA 3.4 3.3 3.3
MN 3.2 3.0 2.9
AZ 3.1 3.2 3.2
All Others 50.1   50.2   50.5  
Total 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
September 30, 2016 June 30, 2016 September 30, 2015
CA 9.0 % 9.1 % 9.3 %
TX 8.5 8.6 8.6
FL 6.8 6.7 6.2
WA 4.8 4.8 4.8
IL 4.1 4.1 4.1
NC 3.8 3.9 4.0
GA 3.5 3.5 3.5
NJ 3.4 3.4 3.3
MN 3.3 3.1 3.0
AZ 3.1 3.1 3.2
All Others 49.7   49.7   50.0  
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,
2016 2015 2016 2015
Beginning default inventory 1,174 605 1,028 457
Plus: new defaults 1,015 562 2,538 1,328
Less: cures (682 ) (327 ) (1,996 ) (917 )
Less: claims paid (54 ) (26 ) (115 ) (54 )
Less: rescissions and denials           (2 )    
Ending default inventory   1,453     814     1,453     814  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended Nine Months Ended
September 30, September 30, September 30, September 30,

($ in thousands)
2016 2015 2016 2015
Reserve for losses and LAE at beginning of period $ 22,474   $ 11,931   $ 17,760   $ 8,427  
Add provision for losses and LAE occurring in:
Current year 6,819 4,277 16,387 10,356
Prior years   (1,854 )   (884 )   (4,727 )   (2,650 )
Incurred losses during the period   4,965     3,393     11,660     7,706  
Deduct payments for losses and LAE occurring in:
Current year 355 122 467 262
Prior years   1,353     654     3,222     1,323  
Loss and LAE payments during the period   1,708     776     3,689     1,585  
Reserve for losses and LAE at end of period $ 25,731   $ 14,548   $ 25,731   $ 14,548  
 
 
 
Claims
Three Months Ended Nine Months Ended
September 30, September 30, September 30, September 30,
2016 2015 2016 2015
Number of claims paid 54 26 115 54
Total amount paid for claims (in thousands) $ 1,668 $ 750 $ 3,590 $ 1,530
Average amount paid per claim (in thousands) $ 31 $ 29 $ 31 $ 28
Severity 68 % 92 % 75 % 86 %
 

 
Exhibit I, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
                       
 
September 30, 2016
Number of

Policies in

Default
    Percentage of

Policies in

Default
   

Amount of

Reserves
   

Percentage of

Reserves
   

Defaulted RIF
   

Reserves as a

Percentage of

Defaulted RIF

($ in thousands)
Missed Payments:
Three payments or less 779 54 % $ 6,245 26 % $ 43,000 15 %
Four to eleven payments 484 33 10,207 43 25,814 40
Twelve or more payments 158 11 5,351 23 8,387 64
Pending claims 32       2         1,769     8         1,878 94
Total case reserves 1,453       100 % 23,572 100 %     $ 79,079 30
IBNR 1,768
LAE   391
Total reserves for losses and LAE $ 25,731
 
Average reserve per default:
Case $ 16.2
Total $ 17.7
 
Default Rate 0.41 %
 
 
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

Defaulted 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 %
 
 
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

Defaulted 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 case reserves 814       100 % 13,343 100 %     $ 42,995 31
IBNR 1,001
LAE   204
Total reserves for losses and LAE $ 14,548
 
Average reserve per default:
Case $ 16.4
Total $ 17.9
 
Default Rate 0.29 %
 

 
Exhibit J
               
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio
 
 
Investment Portfolio by Asset Class
Asset Class September 30, 2016 December 31, 2015

($ in thousands)
Fair Value     Percent Fair Value     Percent
U.S. Treasury securities $ 192,769 12.2 % $ 177,607 13.9 %
U.S. agency securities 17,385 1.1 13,782 1.1
U.S. agency mortgage-backed securities 284,610 18.0 159,602 12.5
Municipal debt securities 332,063 21.0 279,828 21.9
Corporate debt securities 443,882 28.0 396,732 31.1
Mortgage-backed securities 48,465 3.1 55,356 4.3
Asset-backed securities 127,498 8.0 126,629 9.9
Money market funds   135,484       8.6     67,098     5.3  
Total Investments $ 1,582,156       100.0 % $ 1,276,634     100.0 %
 
Investment Portfolio by Credit Rating
Rating (1) September 30, 2016 December 31, 2015

($ in thousands)
Fair Value     Percent Fair Value     Percent
Aaa $ 766,996 48.5 % $ 554,789 43.5 %
Aa1 86,306 5.5 74,322 5.8
Aa2 104,229 6.6 89,533 7.0
Aa3 78,244 4.9 68,587 5.4
A1 149,804 9.5 126,920 9.9
A2 122,374 7.7 122,745 9.6
A3 86,904 5.5 87,781 6.9
Baa1 83,698 5.3 80,137 6.3
Baa2 79,609 5.0 51,528 4.0
Baa3 21,222 1.3 19,662 1.5
Below Baa3   2,770       0.2     630     0.1  
Total Investments $ 1,582,156       100.0 % $ 1,276,634     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, 2016 December 31, 2015

($ in thousands)
Fair Value     Percent Fair Value     Percent
< 1 Year $ 368,735 23.3 % $ 235,001 18.4 %
1 to < 2 Years 226,659 14.3 141,995 11.1
2 to < 3 Years 161,027 10.2 214,274 16.8
3 to < 4 Years 206,732 13.1 104,772 8.2
4 to < 5 Years 104,669 6.6 141,428 11.1
5 or more Years   514,334       32.5     439,164     34.4  
Total Investments $ 1,582,156       100.0 % $ 1,276,634     100.0 %
 
Pre-tax investment income yield:
Three months ended September 30, 2016 2.02 %
Nine months ended September 30, 2016 2.05 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)
As of September 30, 2016 $ 44,592
As of December 31, 2015 $ 70,601
 

       
Exhibit K
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
 
 
September 30, 2016 December 31, 2015

($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 1,078,491 $ 913,182
 
Combined net risk in force (2) $ 15,912,766 $ 13,847,336
 
Risk-to-capital ratios: (3)
Essent Guaranty, Inc. 15.4:1 15.7:1
Essent Guaranty of PA, Inc. 7.5:1 9.7:1
Combined (4) 14.8:1 15.2:1
 
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 343,376 $ 220,178
 
Net risk in force (2) $ 3,653,492 $ 2,364,692
 

(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, 2016 and December 31, 2015, 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, 2016 and December 31, 2015 in accordance with Regulation G:
       

(In thousands, except per share amounts)
September 30, 2016 December 31, 2015
 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,310,215 $ 1,119,241
 
Subtract: Accumulated Other Comprehensive Income (Loss)   21,954   (99 )
 
Adjusted Book Value $ 1,288,261 $ 1,119,340  
 
Denominator:
Total Common Shares Outstanding 93,102 92,650
 
Add: Restricted Share Units Outstanding   488   544  
 
Total Common Shares and Share Units Outstanding   93,590   93,194  
 
Adjusted Book Value per Share $ 13.76 $ 12.01  
 

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