Market Overview

Essent Group Ltd. Reports First Quarter 2017 Results

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Essent Group Ltd. (NYSE:ESNT) today reported net income for the quarter
ended March 31, 2017 of $66.6 million or $0.72 per diluted share,
compared to $48.0 million or $0.52 per diluted share for the quarter
ended March 31, 2016. As of March 31, 2017, Essent had insurance in
force of $88.0 billion and consolidated stockholders' equity of $1.4
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. "During the quarter, we
grew insurance in force 30% compared to March 31st a year
ago, while also generating a 19% annualized return on average equity in
the first quarter of 2017."

Financial Highlights:

  • Insurance in force as of March 31, 2017 was $88.0 billion, compared to
    $83.3 billion as of December 31, 2016 and $67.7 billion as of March
    31, 2016.
  • Flow new insurance written for the first quarter was $8.0 billion,
    compared to $10.5 billion in the fourth quarter of 2016 and $5.4
    billion in the first quarter of 2016.
  • Net premiums earned for the first quarter were $117.7 million,
    compared to $116.8 million in the fourth quarter of 2016 and $94.4
    million in the first quarter of 2016.
  • The expense ratio for the first quarter was 30.9%, compared to 29.8%
    in the fourth quarter of 2016 and 33.2% in the first quarter of 2016.
  • The provision for losses and LAE for the first quarter was $3.7
    million, compared to $3.9 million in the fourth quarter of 2016 and
    $3.7 million in the first quarter of 2016.
  • The percentage of loans in default as of March 31, 2017 was 0.45%,
    compared to 0.47% as of December 31, 2016 and 0.34% as of March 31,
    2016.
  • The combined ratio for the first quarter was 34.0%, compared to 33.1%
    in the fourth quarter of 2016 and 37.2% in the first quarter of 2016.
  • The consolidated balance of cash and investments at March 31, 2017 was
    $1.7 billion, including cash and investment balances at Essent Group
    Ltd. of $41.1 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 14.6:1 as of March 31, 2017.
  • Essent Reinsurance Ltd. reinsured a total of $62.8 million of risk in
    GSE risk share transactions in the first quarter of 2017.
  • Net income for the first quarter includes an income tax benefit of
    $3.0 million, or $0.03 per diluted share, related to the vesting of
    common shares and common share units.

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 4824281 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: 800-585-8367 inside
the U.S., or 416-621-4642 for international callers, passcode 4824281.

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 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, 2016 filed with the Securities and Exchange Commission on
February 16, 2017. 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 March 31, 2017
 
 
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 March 31,

(In thousands, except per share amounts)

2017 2016
Revenues:
Net premiums written $ 119,297 $ 100,466
Increase in unearned premiums (1,646 ) (6,063 )
Net premiums earned 117,651 94,403
Net investment income 8,435 6,183
Realized investment gains, net 655 471
Other income 851   1,409  
Total revenues 127,592   102,466  
 
Losses and expenses:
Provision for losses and LAE 3,693 3,731
Other underwriting and operating expenses 36,332 31,388
Interest expense 716    
Total losses and expenses 40,741   35,119  
 
Income before income taxes 86,851 67,347
Income tax expense 20,253   19,396  
Net income $ 66,598   $ 47,951  
 
 
Earnings per share:
Basic $ 0.73 $ 0.53
Diluted 0.72 0.52
 
Weighted average shares outstanding:
Basic 91,258 90,785
Diluted 93,023 91,859
 
Net income $ 66,598 $ 47,951
 
Other comprehensive income (loss):
Change in unrealized appreciation of investments 4,850   13,359  
Total other comprehensive income 4,850   13,359  
Comprehensive income $ 71,448   $ 61,310  
 
 
Loss ratio 3.1 % 4.0 %
Expense ratio 30.9 % 33.2 %
Combined ratio 34.0 % 37.2 %
 

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

(In thousands, except per share amounts)

2017 2016
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,612,153 $ 1,482,754
Short-term investments 112,380   132,348  
Total investments 1,724,533 1,615,102
Cash 19,713 27,531
Accrued investment income 10,191 9,488
Accounts receivable 23,479 21,632
Deferred policy acquisition costs 13,493 13,400
Property and equipment 8,205 8,119
Prepaid federal income tax 180,657 181,272
Other assets 7,429   6,454  
 
Total assets $ 1,987,700   $ 1,882,998  
 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE $ 29,468 $ 28,142
Unearned premium reserve 221,262 219,616
Net deferred tax liability 162,651 142,587
Revolving credit facility borrowings 125,000 100,000
Securities purchased payable 17,315 14,999
Other accrued liabilities 19,252   33,881  
Total liabilities 574,948   539,225  
 
Commitments and contingencies
 
Stockholders' Equity
Common shares 1,401 1,397
Additional paid-in capital 915,895 918,296
Accumulated other comprehensive loss (7,405 ) (12,255 )
Retained earnings 502,861   436,335  
Total stockholders' equity 1,412,752   1,343,773  
 
Total liabilities and stockholders' equity $ 1,987,700   $ 1,882,998  
 
Return on average equity (1) 19.3 % 18.1 %

 

(1) The 2017 return on average equity is calculated by
dividing annualized year-to-date 2017 net income by average
equity. The 2016 return on average equity is calculated by
dividing full year 2016 net income by average equity.

 

 
          Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
 
 
2017 2016
Selected Income Statement Data March 31 December 31 September 30 June 30 March 31

(In thousands, except per share amounts)

Revenues:
Net premiums written $ 119,297   $ 116,412   $ 115,887   $ 108,513   $ 100,466  
 
Net premiums earned 117,651 116,792 110,801 100,711 94,403
Other revenues (1) 9,941   9,581   10,453   7,454   8,063  
Total revenues 127,592   126,373   121,254   108,165   102,466  
 
Losses and expenses:
Provision for losses and LAE 3,693 3,865 4,965 2,964 3,731
Other underwriting and operating expenses 36,332 34,836 32,792 31,409 31,388
Interest expense 716   370   56      
Total losses and expenses 40,741   39,071   37,813   34,373   35,119  
 
Income before income taxes 86,851 87,302 83,441 73,792 67,347
Income tax expense (2) 20,253   24,616   23,730   21,534   19,396  
Net income $ 66,598   $ 62,686   $ 59,711   $ 52,258   $ 47,951  
 
Earnings per share:
Basic $ 0.73 $ 0.69 $ 0.66 $ 0.57 $ 0.53
Diluted 0.72 0.68 0.65 0.57 0.52
 
Weighted average shares outstanding:
Basic 91,258 90,991 90,961 90,912 90,785
Diluted 93,023 92,577 92,399 92,138 91,859
 
Other Data:
Loss ratio (3) 3.1 % 3.3 % 4.5 % 2.9 % 4.0 %
Expense ratio (4) 30.9 % 29.8 % 29.6 % 31.2 % 33.2 %
Combined ratio 34.0 % 33.1 % 34.1 % 34.1 % 37.2 %
 
Return on average equity (annualized) 19.3 % 18.9 % 18.7 % 17.2 % 16.7 %

 

(1) In 2016, other revenues included the change in the fair
value of insurance and certain reinsurance policies issued by
Essent Reinsurance Ltd. ("Essent Re") in connection with Freddie
Mac's Agency Credit Insurance Structure ("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) and $677 in the three months
ended September 30, 2016, June 30, 2016 and March 31, 2016,
respectively.

 
(2) Income tax expense for the quarter ended March 31, 2017
was calculated using an annualized effective tax rate of 26.8% and
was reduced by $3,023 of excess tax benefits associated with the
vesting of common shares and common share units during the quarter.
Prior to January 1, 2017, excess tax benefits were recognized in
additional paid-in-capital.
 
(3) Loss ratio is calculated by dividing the provision for
losses and LAE by net premiums earned.
 
(4) 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
 
 
2017 2016
Other Data, continued: March 31 December 31 September 30 June 30 March 31

($ in thousands)

 
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written $ 8,034,153 $ 10,475,258 $ 10,299,161 $ 8,715,171 $ 5,366,675
New risk written 1,929,832 2,498,831 2,536,734 2,167,333 1,340,588
 
Bulk:
New insurance written $ $ $ $ $ 93,054
New risk written 8,480
 
Total:
Average premium rate (5) 0.53 % 0.56 % 0.58 % 0.57 % 0.56 %
New insurance written $ 8,034,153 $ 10,475,258 $ 10,299,161 $ 8,715,171 $ 5,459,729
New risk written $ 1,929,832 $ 2,498,831 $ 2,536,734 $ 2,167,333 $ 1,349,068
Insurance in force (end of period) $ 87,993,227 $ 83,265,522 $ 77,614,373 $ 72,267,099 $ 67,716,741
Risk in force (end of period) $ 21,801,667 $ 20,627,317 $ 19,289,387 $ 17,937,364 $ 16,745,819
Policies in force 397,650 375,898 350,600 328,441 308,779
Weighted average coverage (6) 24.8 % 24.8 % 24.9 % 24.8 % 24.7 %
Annual persistency 78.2 % 77.7 % 79.4 % 81.0 % 81.0 %
 
Loans in default (count) 1,777 1,757 1,453 1,174 1,060
Percentage of loans in default 0.45 % 0.47 % 0.41 % 0.36 % 0.34 %
 
Other Risk in Force
GSE Risk Share (7) $ 436,991 $ 384,103 $ 302,211 $ 305,357 $ 188,766
 
Revolving Credit Facility
Borrowings outstanding $ 125,000 $ 100,000 $ 50,000 $ N/A
Undrawn committed capacity $ 75,000 $ 100,000 $ 150,000 $ 200,000 N/A
Weighted average interest rate 2.96 %

 

(5) Average premium rate is calculated by dividing net
premiums earned by average insurance in force for the period.
 
(6) Weighted average coverage is calculated by dividing end
of period risk in force by insurance in force.
 

(7) Essent Re provides insurance or reinsurance relating to
the risk in force on loans in reference pools acquired by Freddie
Mac and Fannie Mae, including in connection with Freddie Mac's
Agency Credit Insurance Structure ("ACIS") and Fannie Mae's Credit
Insurance Risk Transfer ("CIRT") programs.

 

         
Exhibit D
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow
 
 
NIW by Credit Score
Three Months Ended
March 31, 2017 December 31, 2016 March 31, 2016

($ in thousands)

>=760 $ 3,399,754 42.3 % $ 4,642,666 44.3 % $ 2,287,903 42.6 %

740-759

1,243,278 15.5 1,636,508 15.6 839,808 15.6

720-739

1,149,215 14.3 1,456,147 13.9 779,556 14.5

700-719

958,015 11.9 1,212,922 11.6 582,731 10.9

680-699

694,814 8.7 879,907 8.4 486,852 9.1
<=679 589,077     7.3   647,108     6.2   389,825     7.3  
Total $ 8,034,153     100.0 % $ 10,475,258     100.0 % $ 5,366,675     100.0 %
 
Weighted average credit score 745 747 745
 
 
 
NIW by LTV
Three Months Ended
March 31, 2017 December 31, 2016 March 31, 2016

($ in thousands)

85.00% and below $ 1,218,800 15.2 % $ 1,808,741 17.3 % $ 663,998 12.4 %
85.01% to 90.00% 2,498,907 31.1 3,242,535 30.9 1,803,776 33.6
90.01% to 95.00% 3,511,603 43.7 4,525,547 43.2 2,730,564 50.9
95.01% and above 804,843     10.0   898,435     8.6   168,337     3.1  
Total $ 8,034,153     100.0 % $ 10,475,258     100.0 % $ 5,366,675     100.0 %
 
Weighted average LTV 92 % 91 % 92 %
 
 
 
NIW by Product
Three Months Ended
March 31, 2017 December 31, 2016 March 31, 2016
Single Premium policies 14.2 % 12.7 % 24.6 %
Monthly Premium policies 85.8   87.3   75.4  
100.0 % 100.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended
March 31, 2017 December 31, 2016 March 31, 2016
Purchase 78.9 % 73.9 % 81.6 %
Refinance 21.1   26.1   18.4  
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
March 31, 2017 December 31, 2016 March 31, 2016

($ in thousands)

>=760 $ 0.0 % $ 0.0 % $ 45,625 49.0 %

740-759

18,154 19.5

720-739

11,475 12.3

700-719

8,220 8.8

680-699

6,453 7.0
<=679             3,127     3.4  
Total $     0.0 % $     0.0 % $ 93,054     100.0 %
 
Weighted average credit score N/A N/A 750
 
 
 
NIW by LTV
Three Months Ended
March 31, 2017 December 31, 2016 March 31, 2016

($ in thousands)

85.00% and below $ 0.0 % $ 0.0 % $ 755 0.8 %
85.01% to 90.00% 27,757 29.8
90.01% to 95.00% 64,542 69.4
95.01% and above                  
Total $     0.0 % $     0.0 % $ 93,054     100.0 %
 
Weighted average LTV N/A N/A 91 %
 
 
 
NIW by Product
Three Months Ended
March 31, 2017 December 31, 2016 March 31, 2016
Single Premium policies 0.0 % 0.0 % 100.0 %
Monthly Premium policies      
0.0 % 0.0 % 100.0 %
 
 
 
NIW by Purchase vs. Refinance
Three Months Ended
March 31, 2017 December 31, 2016 March 31, 2016
Purchase 0.0 % 0.0 % 100.0 %
Refinance      
0.0 % 0.0 % 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 March 31, 2017 December 31, 2016 March 31, 2016

($ in thousands)

>=760 $ 39,724,096 45.1 % $ 37,858,422 45.5 % $ 31,032,734 45.8 %

740-759

14,460,034 16.4 13,760,610 16.5 11,383,450 16.8

720-739

12,550,737 14.3 11,855,648 14.2 9,783,221 14.5

700-719

9,325,770 10.6 8,712,971 10.5 6,816,087 10.1

680-699

7,051,155 8.0 6,611,166 7.9 5,310,252 7.8
<=679 4,881,435     5.6   4,466,705     5.4   3,390,997     5.0  
Total $ 87,993,227     100.0 % $ 83,265,522     100.0 % $ 67,716,741     100.0 %
 
Weighted average credit score 748 749 750
 
Total RIF by FICO score March 31, 2017 December 31, 2016 March 31, 2016

($ in thousands)

>=760 $ 9,791,036 44.9 % $ 9,319,522 45.2 % $ 7,616,124 45.5 %

740-759

3,609,590 16.6 3,434,392 16.7 2,835,832 16.9

720-739

3,146,943 14.4 2,970,941 14.4 2,451,777 14.6

700-719

2,303,107 10.6 2,151,657 10.4 1,677,361 10.0

680-699

1,762,997 8.1 1,656,791 8.0 1,330,183 8.0
<=679 1,187,994     5.4   1,094,014     5.3   834,542     5.0  
Total $ 21,801,667     100.0 % $ 20,627,317     100.0 % $ 16,745,819     100.0 %
 
Portfolio by LTV
Total IIF by LTV March 31, 2017 December 31, 2016 March 31, 2016

($ in thousands)

85.00% and below $ 10,403,824 11.8 % $ 9,756,578 11.7 % $ 7,460,266 11.0 %
85.01% to 90.00% 28,744,011 32.7 27,409,202 32.9 23,115,372 34.1
90.01% to 95.00% 44,862,812 51.0 42,854,633 51.5 35,485,155 52.4
95.01% and above 3,982,580     4.5   3,245,109     3.9   1,655,948     2.5  
Total $ 87,993,227     100.0 % $ 83,265,522     100.0 % $ 67,716,741    

100.0

%
 
Weighted average LTV 92 % 92 % 92 %
 
Total RIF by LTV March 31, 2017 December 31, 2016 March 31, 2016

($ in thousands)

85.00% and below $ 1,172,920 5.4 % $ 1,101,947 5.3 % $ 842,560 5.0 %
85.01% to 90.00% 6,821,725 31.3 6,512,613 31.6 5,498,657 32.8
90.01% to 95.00% 12,829,032 58.8 12,234,306 59.3 10,078,998 60.2
95.01% and above 977,990     4.5   778,451     3.8   325,604     2.0  
Total $ 21,801,667     100.0 % $ 20,627,317     100.0 % $ 16,745,819    

100.0

%

 
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period March 31, 2017 December 31, 2016 March 31, 2016

($ in thousands)

FRM 30 years and higher $ 79,647,327 90.5 % $ 75,428,964 90.6 % $ 60,857,001 89.9 %
FRM 20-25 years 2,298,806 2.6 2,113,529 2.5 1,546,759 2.3
FRM 15 years 3,290,900 3.8 3,066,893 3.7 2,629,322 3.9
ARM 5 years and higher 2,756,194     3.1   2,656,136     3.2   2,683,659     3.9  
Total $ 87,993,227     100.0 % $ 83,265,522     100.0 % $ 67,716,741     100.0 %
 

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

($ in thousands)

March 31, 2017 December 31, 2016 March 31, 2016
 
GSE Risk Share (1) $ 436,991   $ 384,103   $ 188,766  
 
Weighted average credit score 750 749 753
Weighted average LTV 83 % 82 % 77 %
 

(1) Essent Reinsurance Ltd. ("Essent Re") provides
insurance or reinsurance relating to the risk in force on loans in
reference pools acquired by Freddie Mac and Fannie Mae, including
in connection with Freddie Mac's Agency Credit Insurance Structure
("ACIS") and Fannie Mae's Credit Insurance Risk Transfer ("CIRT")
programs.

 

                       
Exhibit G
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
March 31, 2017
 
 
Insurance in Force
Original Remaining

Incurred

Insurance Insurance % Remaining of Number of

Loss Ratio

Number of
Written in Force Original Policies in (Inception Loans in
Origination Year   ($ in thousands)   ($ in thousands)   Insurance   Force   % Purchase   >90% LTV   >95% LTV  

FICO <700

 

FICO >= 760

  % FRM   to Date) (1)   Default
 
2010 $ 245,898 $ 26,764 10.9 % 173 78.7 % 48.6 % 0.0 % 4.2 % 58.3 % 99.2 % 2.7 % 1
2011 3,229,720 522,127 16.2 2,880 76.5 45.6 0.2 5.3 54.7 95.7 3.7 41
2012 11,241,161 3,553,612 31.6 17,894 75.7 54.3 0.5 5.4 55.8 97.8 2.4 130
2013 21,152,638 8,758,749 41.4 43,437 78.6 56.4 1.9 7.8 51.3 97.4 2.6 322
2014 24,799,434 13,669,734 55.1 68,094 87.1 61.2 3.8 15.3 42.1 94.2 3.8 637
2015 26,193,656 20,458,227 78.1 92,205 82.0 55.4 2.4 14.8 43.7 96.6 3.4 433
2016 34,949,319 33,018,253 94.5 138,401 79.3 53.7 6.0 14.1 45.1 98.0 3.0 209
2017 (through March 31) 8,034,153     7,985,761   99.4 34,566   78.9 53.8 10.1 16.0 42.2 96.5 0.5 4
Total $ 129,845,979     $ 87,993,227   67.8 397,650   80.8 55.5 4.5 13.6 45.1 96.9 3.1 1,777
 

(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
March 31, 2017 December 31, 2016 March 31, 2016
CA 9.4 % 9.4 % 9.5 %
TX 8.2 8.2 8.4
FL 6.8 6.6 6.3
WA 4.8 4.8 4.7
IL 3.9 4.0 4.0
NC 3.6 3.7 3.9
NJ 3.6 3.5 3.4
GA 3.4 3.4 3.3
MN 3.2 3.2 2.9
AZ 3.2 3.2 3.2
All Others 49.9   50.0   50.4  
Total 100.0 % 100.0 % 100.0 %
 
 
 
RIF by State
March 31, 2017 December 31, 2016 March 31, 2016
CA 9.0 % 9.0 % 9.2 %
TX 8.5 8.5 8.6
FL 7.0 6.9 6.5
WA 4.9 4.8 4.7
IL 3.9 4.0 4.1
NC 3.7 3.7 4.0
NJ 3.5 3.5 3.3
GA 3.5 3.5 3.5
MN 3.3 3.3 3.0
OH 3.1 3.1 3.0
All Others 49.6   49.7   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
March 31, December 31, March 31,
2017 2016 2016
Beginning default inventory 1,757 1,453 1,028
Plus: new defaults 1,200 1,208 769
Less: cures (1,114 ) (861 ) (706 )
Less: claims paid (65 ) (39 ) (30 )
Less: rescissions and denials, net (1 ) (4 ) (1 )
Ending default inventory 1,777   1,757   1,060  
 
 
 
Rollforward of Reserve for Losses and LAE
Three Months Ended
March 31, December 31, March 31,

($ in thousands)

2017 2016 2016
Reserve for losses and LAE at beginning of period $ 28,142   $ 25,731   $ 17,760  
Add provision for losses and LAE occurring in:
Current year 7,090 5,502 5,080
Prior years (3,397 ) (1,637 ) (1,349 )
Incurred losses during the period 3,693   3,865   3,731  
Deduct payments for losses and LAE occurring in:
Current year 1 460 1
Prior years 2,366   994   1,020  
Loss and LAE payments during the period 2,367   1,454   1,021  
Reserve for losses and LAE at end of period $ 29,468   $ 28,142   $ 20,470  
 
 
 
Claims
Three Months Ended
March 31, December 31, March 31,
2017 2016 2016
Number of claims paid 65 39 30
Total amount paid for claims (in thousands) $ 2,307 $ 1,438 $ 998
Average amount paid per claim (in thousands) $ 35 $ 37 $ 33
Severity 87 % 70 % 93 %
 

         
Exhibit I, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
 
 
March 31, 2017

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 869 49 % $ 6,426 24 % $ 50,004 13 %
Four to eleven payments 690 39 13,428 50 38,252 35
Twelve or more payments 184 10 5,673 21 9,403 60
Pending claims 34     2       1,437   5       1,748 82
Total case reserves 1,777     100 % 26,964 100 %   $ 99,407 27
IBNR 2,022
LAE   482
Total reserves for losses and LAE $ 29,468
 
Average reserve per default:
Case $ 15.2
Total $ 16.6
 
Default Rate 0.45 %
 
December 31, 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 914 52 % $ 6,615 26 % $ 50,737 13 %
Four to eleven payments 620 35 11,505 45 32,833 35
Twelve or more payments 179 10 5,678 22 9,575 59
Pending claims 44     3       1,960   7       2,272 86
Total case reserves 1,757     100 % 25,758 100 %   $ 95,417 27
IBNR 1,932
LAE   452
Total reserves for losses and LAE $ 28,142
 
Average reserve per default:
Case $ 14.7
Total $ 16.0
 
Default Rate 0.47 %
 
March 31, 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 505 48 % $ 4,639 25 % $ 28,519 16 %
Four to eleven payments 426 40 9,689 52 23,147 42
Twelve or more payments 105 10 3,438 18 5,217 66
Pending claims 24     2       1,029   5       1,202 86
Total case reserves 1,060     100 % 18,795 100 %   $ 58,085 32
IBNR 1,410
LAE   265
Total reserves for losses and LAE $ 20,470
 
Average reserve per default:
Case $ 17.7
Total $ 19.3
 
Default Rate 0.34 %
 

       
Exhibit J
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio
 
 
Investment Portfolio by Asset Class
Asset Class March 31, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
U.S. Treasury securities $ 178,743 10.4 % $ 191,548 11.9 %
U.S. agency securities 26,284 1.5 18,441 1.1
U.S. agency mortgage-backed securities 355,239 20.6 316,494 19.6
Municipal debt securities 361,392 21.0 334,324 20.7
Corporate debt securities 505,288 29.3 456,357 28.3
Residential and commercial mortgage securities 65,288 3.8 68,336 4.2
Asset-backed securities 134,911 7.8 127,172 7.9
Money market funds   97,388   5.6     102,430 6.3  
Total Investments $ 1,724,533   100.0 % $ 1,615,102 100.0 %
 
Investment Portfolio by Credit Rating
Rating (1) March 31, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
Aaa $ 809,229 46.9 % $ 780,513 48.3 %
Aa1 96,852 5.6 88,977 5.5
Aa2 102,056 5.9 101,772 6.3
Aa3 98,218 5.7 89,421 5.5
A1 156,350 9.1 143,938 8.9
A2 134,741 7.8 126,113 7.8
A3 99,307 5.8 95,926 6.0
Baa1 98,948 5.7 85,864 5.3
Baa2 82,677 4.8 71,950 4.5
Baa3 28,819 1.7 24,544 1.5
Below Baa3 / Unrated   17,336   1.0     6,084 0.4  
Total Investments $ 1,724,533   100.0 % $ 1,615,102 100.0 %
 
(1) Based on ratings issued by Moody's, if available. S&P or
Fitch rating utilized if Moody's not available.
 
Investment Portfolio by Duration and Book Yield
Effective Duration March 31, 2017 December 31, 2016

($ in thousands)

Fair Value Percent Fair Value Percent
< 1 Year $ 329,046 19.1 % $ 329,901 20.4 %
1 to < 2 Years 156,647 9.1 153,184 9.5
2 to < 3 Years 134,555 7.8 156,620 9.7
3 to < 4 Years 219,776 12.7 176,896 11.0
4 to < 5 Years 166,485 9.7 139,115 8.6
5 or more Years   718,024   41.6     659,386 40.8  
Total Investments $ 1,724,533   100.0 % $ 1,615,102 100.0 %
 
Pre-tax investment income yield:
Three months ended March 31, 2017 2.15 %
 
Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)

As of March 31, 2017 $ 41,060
As of December 31, 2016 $ 46,561
 

   
Exhibit K
 
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
 
 
March 31, 2017 December 31, 2016

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 1,202,569 $ 1,144,279
 
Combined net risk in force (2) $ 17,611,301 $ 16,801,992
 
Risk-to-capital ratios: (3)
Essent Guaranty, Inc. 15.2:1 15.3:1
Essent Guaranty of PA, Inc. 6.7:1 6.8:1
Combined (4) 14.6:1 14.7:1
 
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 452,541 $ 401,273
 
Net risk in force (2) $ 4,598,370 $ 4,181,737
 
 
(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 and the National
Association of Insurance Commissioners Accounting Practices and
Procedures Manual.
 

(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 March 31, 2017, December 31, 2016 and March
31, 2016, 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 March 31, 2017,
December 31, 2016 and March 31, 2016 in accordance with Regulation
G:

     

(In thousands, except per share amounts)

March 31,
2017

December 31,
2016

March 31,
2016

 
Numerator:
Total Stockholders' Equity (Book Value) $ 1,412,752 $ 1,343,773 $ 1,181,495
 
Subtract: Accumulated Other Comprehensive (Loss) Income (7,405 ) (12,255 ) 13,260
 
Adjusted Book Value $ 1,420,157   $ 1,356,028   $ 1,168,235
 
Denominator:
Total Common Shares Outstanding 93,377 93,105 93,070
 
Add: Restricted Share Units Outstanding 598   493   484
 
Total Common Shares and Share Units Outstanding 93,975   93,598   93,554
 
Adjusted Book Value per Share $ 15.11   $ 14.49   $ 12.49
 

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