Essent Group Ltd. Reports First Quarter 2020 Results & Declares Quarterly Dividend
“While we are pleased with our strong financial results for the first quarter, our focus is now on facing a challenging business environment as a result of COVID-19,” said
Financial Highlights:
- Insurance in force as of
March 31, 2020 was$165.6 billion , compared to$164.0 billion as ofDecember 31, 2019 and$143.2 billion as ofMarch 31, 2019 .
- New insurance written for the first quarter was
$13.5 billion , compared to$15.8 billion in the fourth quarter of 2019 and$11.0 billion in the first quarter of 2019.
- Net premiums earned for the first quarter were
$206.5 million , compared to$207.7 million in the fourth quarter of 2019 and$177.8 million in the first quarter of 2019.
- The expense ratio for the first quarter was 20.3%, compared to 19.9% in the fourth quarter of 2019 and 23.1% in the first quarter of 2019.
- The provision for losses and LAE for the first quarter was
$8.1 million , compared to a provision of$10.9 million in the fourth quarter of 2019 and a provision of$7.1 million in the first quarter of 2019.
- The percentage of loans in default as of
March 31, 2020 was 0.83%, compared to 0.85% as ofDecember 31, 2019 and 0.65% as ofMarch 31, 2019 .
- The combined ratio for the first quarter was 24.2%, compared to 25.1% in the fourth quarter of 2019 and 27.1% in the first quarter of 2019.
- Other income for the first quarter includes a
$4.2 million loss for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a loss of$3.6 million in the fourth quarter of 2019 and a gain of$1.4 million in the first quarter of 2019.
- The consolidated balance of cash and investments at
March 31, 2020 was$3.8 billion , including cash and investment balances atEssent Group Ltd. of$279.8 million .
- The combined risk-to-capital ratio of the
U.S. mortgage insurance business, which includes statutory capital for bothEssent Guaranty, Inc. andEssent Guaranty ofPA, Inc. , was 11.7:1 as ofMarch 31, 2020 .
- On
January 31, 2020 ,Essent's wholly-owned subsidiary,Essent Guaranty, Inc. , announced it had obtained$495.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written byEssent in January throughAugust 2019 from Radnor Re 2020-1 Ltd., a newly formedBermuda special purpose insurer. Radnor Re 2020-1 Ltd. is not a subsidiary or an affiliate ofEssent Group Ltd. Subsequent to the closing of the transaction with Radnor Re 2020-1 Ltd.,Essent Guaranty, Inc. executed an excess of loss reinsurance transaction with a panel of third-party reinsurers for$55.1 million of reinsurance coverage on mortgage insurance policies written byEssent in January throughAugust 2019 .
- On
March 27, 2020 ,Essent borrowed$200 million from the revolving component of its credit facility. In addition to this borrowing,Essent had$225 million of term debt outstanding atMarch 31, 2020 and maintained$75 million of undrawn capacity under the revolving component of its credit facility.
Private Mortgage Insurer Eligibility Requirements (PMIERs) Update:
Consistent with the PMIERs which were effective
Approximately 97% of Essent’s outstanding primary mortgage insurance portfolio, as of
Conference Call:
A replay of the webcast will be available on the
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
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: the impact of COVID-19 and related economic conditions; 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
About the Company:
Source:
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Financial Results and Supplemental Information (Unaudited) |
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Quarter Ended |
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Exhibit A |
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Condensed Consolidated Statements of Comprehensive Income (Unaudited) |
Exhibit B |
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Condensed Consolidated Balance Sheets (Unaudited) |
Exhibit C |
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Historical Quarterly Data |
Exhibit D |
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New Insurance Written |
Exhibit E |
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Insurance in Force and Risk in Force |
Exhibit F |
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Other Risk in Force |
Exhibit G |
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Portfolio Vintage Data |
Exhibit H |
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Reinsurance Vintage Data |
Exhibit I |
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Portfolio Geographic Data |
Exhibit J |
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Defaults, Reserve for Losses and LAE, and Claims |
Exhibit K |
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Investments Available for Sale |
Exhibit L |
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Exhibit M |
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Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share |
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Exhibit A |
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Condensed Consolidated Statements of Comprehensive Income (Unaudited) |
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Three Months Ended |
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(In thousands, except per share amounts) |
2020 |
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2019 |
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Revenues: |
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Direct premiums written |
$ |
205,980 |
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$ |
183,682 |
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Ceded premiums |
(14,237 |
) |
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(6,038 |
) |
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Net premiums written |
191,743 |
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|
177,644 |
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Decrease in unearned premiums |
14,753 |
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|
147 |
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Net premiums earned |
206,496 |
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|
177,791 |
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Net investment income |
20,633 |
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19,880 |
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Realized investment gains, net |
3,135 |
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|
660 |
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Other income (loss) |
(1,424 |
) |
|
2,195 |
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Total revenues |
228,840 |
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|
200,526 |
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Losses and expenses: |
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Provision for losses and LAE |
8,063 |
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|
7,107 |
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Other underwriting and operating expenses |
41,947 |
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|
41,030 |
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Interest expense |
2,132 |
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|
2,670 |
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Total losses and expenses |
52,142 |
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50,807 |
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Income before income taxes |
176,698 |
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149,719 |
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Income tax expense |
27,175 |
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|
21,999 |
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Net income |
$ |
149,523 |
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$ |
127,720 |
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Earnings per share: |
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Basic |
$ |
1.53 |
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$ |
1.31 |
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Diluted |
1.52 |
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1.30 |
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Weighted average shares outstanding: |
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Basic |
97,949 |
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97,595 |
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Diluted |
98,326 |
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|
98,104 |
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Net income |
$ |
149,523 |
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$ |
127,720 |
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Other comprehensive income (loss): |
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Change in unrealized (depreciation) appreciation of investments |
(10,074 |
) |
|
38,366 |
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Total other comprehensive (loss) income |
(10,074 |
) |
|
38,366 |
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Comprehensive income |
$ |
139,449 |
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$ |
166,086 |
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Loss ratio |
3.9 |
% |
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4.0 |
% |
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Expense ratio |
20.3 |
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23.1 |
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Combined ratio |
24.2 |
% |
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27.1 |
% |
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Exhibit B |
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Condensed Consolidated Balance Sheets (Unaudited) |
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(In thousands, except per share amounts) |
2020 |
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2019 |
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Assets |
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Investments |
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Fixed maturities available for sale, at fair value |
$ |
3,110,362 |
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$ |
3,035,385 |
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Short-term investments available for sale, at fair value |
595,165 |
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315,362 |
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Total investments available for sale |
3,705,527 |
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3,350,747 |
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Other invested assets |
75,380 |
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78,873 |
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Total investments |
3,780,907 |
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3,429,620 |
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Cash |
31,055 |
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|
71,350 |
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Accrued investment income |
18,572 |
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18,535 |
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Accounts receivable |
41,228 |
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|
40,655 |
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Deferred policy acquisition costs |
15,147 |
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15,705 |
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Property and equipment |
16,325 |
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|
17,308 |
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Prepaid federal income tax |
261,885 |
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|
261,885 |
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Other assets |
21,815 |
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|
18,367 |
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Total assets |
$ |
4,186,934 |
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$ |
3,873,425 |
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Liabilities and Stockholders' Equity |
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Liabilities |
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Reserve for losses and LAE |
$ |
73,341 |
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$ |
69,362 |
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Unearned premium reserve |
264,134 |
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|
278,887 |
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Net deferred tax liability |
259,688 |
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|
249,620 |
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Credit facility borrowings, net of deferred costs |
424,380 |
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224,237 |
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Other accrued liabilities |
58,317 |
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|
66,474 |
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Total liabilities |
1,079,860 |
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888,580 |
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Commitments and contingencies |
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Stockholders' Equity |
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Common shares, |
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Authorized - 233,333; issued and outstanding - 98,602 shares in 2020 and 98,394 shares in 2019 |
1,479 |
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|
1,476 |
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Additional paid-in capital |
1,117,286 |
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|
1,118,655 |
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Accumulated other comprehensive income |
46,113 |
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|
56,187 |
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Retained earnings |
1,942,196 |
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1,808,527 |
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Total stockholders' equity |
3,107,074 |
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2,984,845 |
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Total liabilities and stockholders' equity |
$ |
4,186,934 |
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$ |
3,873,425 |
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Return on average equity (1) |
19.6 |
% |
|
20.8 |
% |
(1) The 2019 return on average equity is calculated by dividing annualized year-to-date 2020 net income by average equity. The 2019 return on average equity is calculated by dividing full year 2019 net income by average equity. |
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Exhibit C |
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Supplemental Information |
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Historical Quarterly Data |
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2020 |
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2019 |
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Selected Income Statement Data |
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(In thousands, except per share amounts) |
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Revenues: |
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|
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|
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|
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|
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Net premiums written |
|
$ |
191,743 |
|
|
$ |
196,493 |
|
|
$ |
198,304 |
|
|
$ |
188,404 |
|
|
$ |
177,644 |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net premiums earned (1) |
|
206,496 |
|
|
207,671 |
|
|
203,473 |
|
|
188,490 |
|
|
177,791 |
|
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Other revenues (2) |
|
22,344 |
|
|
21,091 |
|
|
22,914 |
|
|
23,402 |
|
|
22,735 |
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Total revenues |
|
228,840 |
|
|
228,762 |
|
|
226,387 |
|
|
211,892 |
|
|
200,526 |
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Losses and expenses: |
|
|
|
|
|
|
|
|
|
|
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Provision for losses and LAE |
|
8,063 |
|
|
10,929 |
|
|
9,990 |
|
|
4,960 |
|
|
7,107 |
|
|||||
Other underwriting and operating expenses |
|
41,947 |
|
|
41,231 |
|
|
41,588 |
|
|
41,520 |
|
|
41,030 |
|
|||||
Interest expense |
|
2,132 |
|
|
2,218 |
|
|
2,584 |
|
|
2,679 |
|
|
2,670 |
|
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Total losses and expenses |
|
52,142 |
|
|
54,378 |
|
|
54,162 |
|
|
49,159 |
|
|
50,807 |
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Income before income taxes |
|
176,698 |
|
|
174,384 |
|
|
172,225 |
|
|
162,733 |
|
|
149,719 |
|
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Income tax expense (3) |
|
27,175 |
|
|
27,426 |
|
|
27,595 |
|
|
26,328 |
|
|
21,999 |
|
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Net income |
|
$ |
149,523 |
|
|
$ |
146,958 |
|
|
$ |
144,630 |
|
|
$ |
136,405 |
|
|
$ |
127,720 |
|
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Earnings per share: |
|
|
|
|
|
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|
|
|
|
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Basic |
|
$ |
1.53 |
|
|
$ |
1.50 |
|
|
$ |
1.48 |
|
|
$ |
1.39 |
|
|
$ |
1.31 |
|
Diluted |
|
1.52 |
|
|
1.49 |
|
|
1.47 |
|
|
1.39 |
|
|
1.30 |
|
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Weighted average shares outstanding: |
|
|
|
|
|
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|
|
|
||||||||||
Basic |
|
97,949 |
|
|
97,830 |
|
|
97,822 |
|
|
97,798 |
|
|
97,595 |
|
|||||
Diluted |
|
98,326 |
|
|
98,376 |
|
|
98,257 |
|
|
98,170 |
|
|
98,104 |
|
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Other Data: |
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Loss ratio (4) |
|
3.9 |
% |
|
5.3 |
% |
|
4.9 |
% |
|
2.6 |
% |
|
4.0 |
% |
|||||
Expense ratio (5) |
|
20.3 |
|
|
19.9 |
|
|
20.4 |
|
|
22.0 |
|
|
23.1 |
|
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Combined ratio |
|
24.2 |
% |
|
25.1 |
% |
|
25.3 |
% |
|
24.7 |
% |
|
27.1 |
% |
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Return on average equity (annualized) |
|
19.6 |
% |
|
20.1 |
% |
|
20.8 |
% |
|
20.9 |
% |
|
20.9 |
% |
(1) Net premiums earned also includes premiums earned on GSE and other risk share. See Exhibit F. |
(2) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. Other revenues for the three months ended |
(3) Income tax expense for the three months ended |
(4) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned. |
(5) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned. |
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Exhibit C, continued |
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Supplemental Information |
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Historical Quarterly Data |
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2020 |
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2019 |
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Other Data, continued: |
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($ in thousands) |
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Flow: |
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New insurance written |
|
$ |
13,549,299 |
|
|
$ |
15,839,836 |
|
|
$ |
18,719,876 |
|
|
$ |
17,973,505 |
|
|
$ |
10,945,307 |
|
New risk written |
|
3,384,171 |
|
|
3,966,363 |
|
|
4,695,611 |
|
|
4,485,217 |
|
|
2,713,389 |
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Bulk: |
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New insurance written |
|
$ |
151 |
|
|
$ |
— |
|
|
$ |
6,133 |
|
|
$ |
29,524 |
|
|
$ |
55,002 |
|
New risk written |
|
24 |
|
|
— |
|
|
842 |
|
|
2,129 |
|
|
6,542 |
|
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Total: |
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|
||||||||||
Average gross premium rate (6) |
|
0.51 |
% |
|
0.51 |
% |
|
0.52 |
% |
|
0.51 |
% |
|
0.50 |
% |
|||||
Average net premium rate (7) |
|
0.48 |
% |
|
0.49 |
% |
|
0.49 |
% |
|
0.49 |
% |
|
0.48 |
% |
|||||
New insurance written |
|
$ |
13,549,450 |
|
|
$ |
15,839,836 |
|
|
$ |
18,726,009 |
|
|
$ |
18,003,029 |
|
|
$ |
11,000,309 |
|
New risk written |
|
$ |
3,384,195 |
|
|
$ |
3,966,363 |
|
|
$ |
4,696,453 |
|
|
$ |
4,487,346 |
|
|
$ |
2,719,931 |
|
Insurance in force (end of period) |
|
$ |
165,615,503 |
|
|
$ |
164,005,853 |
|
|
$ |
160,962,192 |
|
|
$ |
153,317,157 |
|
|
$ |
143,181,641 |
|
Gross risk in force (end of period) (8) |
|
$ |
41,865,977 |
|
|
$ |
41,402,950 |
|
|
$ |
40,540,289 |
|
|
$ |
38,531,090 |
|
|
$ |
35,925,830 |
|
Risk in force (end of period) |
|
$ |
38,290,022 |
|
|
$ |
38,947,857 |
|
|
$ |
38,784,584 |
|
|
$ |
37,034,687 |
|
|
$ |
34,744,417 |
|
Policies in force |
|
706,714 |
|
|
702,925 |
|
|
693,085 |
|
|
666,705 |
|
|
629,808 |
|
|||||
Weighted average coverage (9) |
|
25.3 |
% |
|
25.2 |
% |
|
25.2 |
% |
|
25.1 |
% |
|
25.1 |
% |
|||||
Annual persistency |
|
73.9 |
% |
|
77.5 |
% |
|
82.1 |
% |
|
84.8 |
% |
|
85.1 |
% |
|||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Loans in default (count) |
|
5,841 |
|
|
5,947 |
|
|
5,232 |
|
|
4,405 |
|
|
4,096 |
|
|||||
Percentage of loans in default |
|
0.83 |
% |
|
0.85 |
% |
|
0.75 |
% |
|
0.66 |
% |
|
0.65 |
% |
|||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Other Risk in Force |
|
|
|
|
|
|
|
|
||||||||||||
GSE and other risk share (10) |
|
$ |
1,100,966 |
|
|
$ |
895,374 |
|
|
$ |
849,184 |
|
|
$ |
802,530 |
|
|
$ |
771,175 |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Credit Facility |
|
|
|
|
|
|
|
|
|
|
||||||||||
Borrowings outstanding |
|
$ |
425,000 |
|
|
$ |
225,000 |
|
|
$ |
225,000 |
|
|
$ |
225,000 |
|
|
$ |
225,000 |
|
Undrawn committed capacity |
|
$ |
75,000 |
|
|
$ |
275,000 |
|
|
$ |
275,000 |
|
|
$ |
275,000 |
|
|
$ |
275,000 |
|
Weighted average interest rate (end of period) |
|
2.87 |
% |
|
|
|
|
|
|
|
|
(6) Average gross premium rate is calculated by dividing annualized premiums earned for the |
(7) Average net premium rate is calculated by dividing annualized net premiums earned for the |
(8) Gross risk in force includes risk ceded under third-party reinsurance. |
(9) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force. |
(10) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Re provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae. |
|
|
|
|
|
|
Exhibit D |
||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
|
||||||||||||||||||
Supplemental Information |
||||||||||||||||||
New Insurance Written: Flow |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
NIW by Credit Score |
||||||||||||||||||
|
Three Months Ended |
|||||||||||||||||
|
|
|
|
|
|
|||||||||||||
($ in thousands) |
|
|
|
|
|
|
|
|
||||||||||
>=760 |
$ |
5,655,716 |
|
41.8 |
% |
|
$ |
6,486,486 |
|
40.9 |
% |
|
$ |
4,470,503 |
|
40.8 |
% |
|
740-759 |
2,458,032 |
|
18.1 |
|
|
2,880,429 |
|
18.2 |
|
|
1,912,141 |
|
17.5 |
|
||||
720-739 |
2,018,874 |
|
14.9 |
|
|
2,401,806 |
|
15.2 |
|
|
1,565,613 |
|
14.3 |
|
||||
700-719 |
1,558,743 |
|
11.5 |
|
|
1,860,120 |
|
11.7 |
|
|
1,352,545 |
|
12.4 |
|
||||
680-699 |
1,044,918 |
|
7.7 |
|
|
1,235,223 |
|
7.8 |
|
|
907,969 |
|
8.3 |
|
||||
<=679 |
813,016 |
|
6.0 |
|
|
975,772 |
|
6.2 |
|
|
736,536 |
|
6.7 |
|
||||
Total |
$ |
13,549,299 |
|
100.0 |
% |
|
$ |
15,839,836 |
|
100.0 |
% |
|
$ |
10,945,307 |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
||||||||||
Weighted average credit score |
746 |
|
|
|
745 |
|
|
|
744 |
|
|
|||||||
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
NIW by LTV |
||||||||||||||||||
|
Three Months Ended |
|||||||||||||||||
|
|
|
|
|
|
|||||||||||||
($ in thousands) |
|
|
|
|
|
|
|
|
||||||||||
85.00% and below |
$ |
1,963,476 |
|
14.5 |
% |
|
$ |
2,084,932 |
|
13.2 |
% |
|
$ |
1,442,833 |
|
13.2 |
% |
|
85.01% to 90.00% |
3,987,274 |
|
29.4 |
|
|
4,757,915 |
|
30.0 |
|
|
2,950,348 |
|
26.9 |
|
||||
90.01% to 95.00% |
5,685,880 |
|
42.0 |
|
|
6,771,196 |
|
42.7 |
|
|
4,659,337 |
|
42.6 |
|
||||
95.01% and above |
1,912,669 |
|
14.1 |
|
|
2,225,793 |
|
14.1 |
|
|
1,892,789 |
|
17.3 |
|
||||
Total |
$ |
13,549,299 |
|
100.0 |
% |
|
$ |
15,839,836 |
|
100.0 |
% |
|
$ |
10,945,307 |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
||||||||||
Weighted average LTV |
92 |
% |
|
|
92 |
% |
|
|
92 |
% |
|
|||||||
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
NIW by Product |
||||||||||||||||||
|
Three Months Ended |
|||||||||||||||||
|
|
|
|
|
|
|||||||||||||
Single Premium policies |
|
9.7 |
% |
|
|
10.4 |
% |
|
|
12.3 |
% |
|||||||
Monthly Premium policies |
|
90.3 |
|
|
|
89.6 |
|
|
|
87.7 |
|
|||||||
|
|
100.0 |
% |
|
|
100.0 |
% |
|
|
100.0 |
% |
|||||||
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
NIW by Purchase vs. Refinance |
||||||||||||||||||
|
Three Months Ended |
|||||||||||||||||
|
|
|
|
|
|
|||||||||||||
Purchase |
|
69.2 |
% |
|
|
71.8 |
% |
|
|
87.6 |
% |
|||||||
Refinance |
|
30.8 |
|
|
|
28.2 |
|
|
|
12.4 |
|
|||||||
|
|
100.0 |
% |
|
|
100.0 |
% |
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
Exhibit E |
||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
|
||||||||||||||||||
Supplemental Information |
||||||||||||||||||
Insurance in Force and Risk in Force |
||||||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
Portfolio by Credit Score |
||||||||||||||||||
IIF by FICO score |
|
|
|
|
|
|||||||||||||
($ in thousands) |
|
|
|
|
|
|
|
|
||||||||||
>=760 |
$ |
68,385,363 |
|
41.3 |
% |
|
$ |
68,123,523 |
|
41.5 |
% |
|
$ |
61,191,185 |
|
42.7 |
% |
|
740-759 |
28,289,661 |
|
17.1 |
|
|
27,886,603 |
|
17.0 |
|
|
23,919,745 |
|
16.7 |
|
||||
720-739 |
24,441,834 |
|
14.7 |
|
|
24,069,139 |
|
14.7 |
|
|
20,728,151 |
|
14.5 |
|
||||
700-719 |
19,442,133 |
|
11.7 |
|
|
19,183,219 |
|
11.7 |
|
|
16,454,730 |
|
11.5 |
|
||||
680-699 |
13,859,727 |
|
8.4 |
|
|
13,713,164 |
|
8.4 |
|
|
11,774,884 |
|
8.2 |
|
||||
<=679 |
11,196,785 |
|
6.8 |
|
|
11,030,205 |
|
6.7 |
|
|
9,112,946 |
|
6.4 |
|
||||
Total |
$ |
165,615,503 |
|
100.0 |
% |
|
$ |
164,005,853 |
|
100.0 |
% |
|
$ |
143,181,641 |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
||||||||||
Weighted average credit score |
745 |
|
|
|
745 |
|
|
|
746 |
|
|
|||||||
|
|
|
|
|
|
|
|
|
||||||||||
Gross RIF by FICO score |
|
|
|
|
|
|||||||||||||
($ in thousands) |
|
|
|
|
|
|
|
|
||||||||||
>=760 |
$ |
17,138,596 |
|
40.9 |
% |
|
$ |
17,082,683 |
|
41.3 |
% |
|
$ |
15,303,364 |
|
42.6 |
% |
|
740-759 |
7,181,181 |
|
17.2 |
|
|
7,056,654 |
|
17.0 |
|
|
6,012,004 |
|
16.7 |
|
||||
720-739 |
6,262,376 |
|
15.0 |
|
|
6,150,334 |
|
14.9 |
|
|
5,257,051 |
|
14.6 |
|
||||
700-719 |
4,950,746 |
|
11.8 |
|
|
4,873,597 |
|
11.8 |
|
|
4,144,221 |
|
11.6 |
|
||||
680-699 |
3,537,973 |
|
8.4 |
|
|
3,491,755 |
|
8.4 |
|
|
2,974,758 |
|
8.3 |
|
||||
<=679 |
2,795,105 |
|
6.7 |
|
|
2,747,927 |
|
6.6 |
|
|
2,234,432 |
|
6.2 |
|
||||
Total |
$ |
41,865,977 |
|
100.0 |
% |
|
$ |
41,402,950 |
|
100.0 |
% |
|
$ |
35,925,830 |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
||||||||||
Portfolio by LTV |
||||||||||||||||||
IIF by LTV |
|
|
|
|
|
|||||||||||||
($ in thousands) |
|
|
|
|
|
|
|
|
||||||||||
85.00% and below |
$ |
17,304,231 |
|
10.5 |
% |
|
$ |
17,128,008 |
|
10.5 |
% |
|
$ |
15,581,861 |
|
10.9 |
% |
|
85.01% to 90.00% |
47,063,180 |
|
28.4 |
|
|
46,771,386 |
|
28.5 |
|
|
42,045,657 |
|
29.3 |
|
||||
90.01% to 95.00% |
77,059,950 |
|
46.5 |
|
|
76,611,494 |
|
46.7 |
|
|
68,414,122 |
|
47.8 |
|
||||
95.01% and above |
24,188,142 |
|
14.6 |
|
|
23,494,965 |
|
14.3 |
|
|
17,140,001 |
|
12.0 |
|
||||
Total |
$ |
165,615,503 |
|
100.0 |
% |
|
$ |
164,005,853 |
|
100.0 |
% |
|
$ |
143,181,641 |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
||||||||||
Weighted average LTV |
92 |
% |
|
|
92 |
% |
|
|
92 |
% |
|
|||||||
|
|
|
|
|
|
|||||||||||||
Gross RIF by LTV |
|
|
|
|
|
|||||||||||||
($ in thousands) |
|
|
|
|
|
|
|
|
||||||||||
85.00% and below |
$ |
1,997,845 |
|
4.8 |
% |
|
$ |
1,977,361 |
|
4.8 |
% |
|
$ |
1,797,794 |
|
5.0 |
% |
|
85.01% to 90.00% |
11,322,131 |
|
27.0 |
|
|
11,249,383 |
|
27.2 |
|
|
10,083,981 |
|
28.1 |
|
||||
90.01% to 95.00% |
22,110,369 |
|
52.8 |
|
|
21,981,598 |
|
53.1 |
|
|
19,605,747 |
|
54.6 |
|
||||
95.01% and above |
6,435,632 |
|
15.4 |
|
|
6,194,608 |
|
14.9 |
|
|
4,438,308 |
|
12.3 |
|
||||
Total |
$ |
41,865,977 |
|
100.0 |
% |
|
$ |
41,402,950 |
|
100.0 |
% |
|
$ |
35,925,830 |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
||||||||||
Portfolio by Loan Amortization Period |
||||||||||||||||||
IIF by Loan Amortization Period |
|
|
|
|
|
|||||||||||||
($ in thousands) |
|
|
|
|
|
|
|
|
||||||||||
FRM 30 years and higher |
$ |
156,741,714 |
|
94.6 |
% |
|
$ |
154,905,519 |
|
94.5 |
% |
|
$ |
133,725,528 |
|
93.4 |
% |
|
FRM 20-25 years |
2,829,876 |
|
1.7 |
|
|
2,854,560 |
|
1.7 |
|
|
2,912,323 |
|
2.1 |
|
||||
FRM 15 years |
3,230,148 |
|
2.0 |
|
|
3,300,715 |
|
2.0 |
|
|
3,335,714 |
|
2.3 |
|
||||
ARM 5 years and higher |
2,813,765 |
|
1.7 |
|
|
2,945,059 |
|
1.8 |
|
|
3,208,076 |
|
2.2 |
|
||||
Total |
$ |
165,615,503 |
|
100.0 |
% |
|
$ |
164,005,853 |
|
100.0 |
% |
|
$ |
143,181,641 |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
Exhibit F |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
||||||||||||||||||||
Supplemental Information |
||||||||||||||||||||
Other Risk in Force |
||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
2020 |
|
2019 |
||||||||||||||||
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
||||||||||
GSE and other risk share (1): |
|
|
|
|
|
|
|
|
|
|
||||||||||
Premiums earned |
|
$ |
10,778 |
|
|
$ |
9,867 |
|
|
$ |
9,284 |
|
|
$ |
8,622 |
|
|
$ |
7,894 |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Risk in Force |
|
$ |
1,100,966 |
|
|
$ |
895,374 |
|
|
$ |
849,184 |
|
|
$ |
802,530 |
|
|
$ |
771,175 |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Weighted average credit score |
|
746 |
|
|
745 |
|
|
746 |
|
|
748 |
|
|
747 |
|
|||||
Weighted average LTV |
|
85 |
% |
|
85 |
% |
|
85 |
% |
|
85 |
% |
|
85 |
% |
(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. |
|
|
|
|
|
|
|
|
|
|
|
Exhibit G |
|||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||
Supplemental Information |
||||||||||||||||||||||||||||||||||||||
Portfolio Vintage Data |
||||||||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||
|
|
|
|
|
Insurance in Force |
|
|
|
||||||||||||||||||||||||||||||
Year |
Original |
Remaining |
% Remaining of |
Number of |
% Purchase |
>90% LTV |
>95% LTV |
FICO < 700 |
FICO >= 760 |
Incurred |
Number of |
Percentage of |
||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||
2010 - 2014 |
$ |
60,668,851 |
|
$ |
9,744,199 |
|
16.1 |
% |
53,929 |
|
83.9 |
% |
68.5 |
% |
3.8 |
% |
12.2 |
% |
45.9 |
% |
2.6 |
% |
815 |
|
1.51 |
% |
||||||||||||
2015 |
26,193,656 |
|
9,081,764 |
|
34.7 |
|
45,264 |
|
85.2 |
|
61.3 |
|
2.8 |
|
14.8 |
|
43.8 |
|
2.7 |
|
594 |
|
1.31 |
|
||||||||||||||
2016 |
34,949,319 |
|
17,593,372 |
|
50.3 |
|
81,241 |
|
84.7 |
|
59.6 |
|
7.2 |
|
13.5 |
|
45.7 |
|
2.9 |
|
890 |
|
1.10 |
|
||||||||||||||
2017 |
43,858,322 |
|
27,127,737 |
|
61.9 |
|
125,541 |
|
88.2 |
|
61.3 |
|
14.8 |
|
15.8 |
|
41.9 |
|
4.2 |
|
1,542 |
|
1.23 |
|
||||||||||||||
2018 |
47,508,525 |
|
32,032,954 |
|
67.4 |
|
140,687 |
|
92.5 |
|
63.0 |
|
19.1 |
|
15.9 |
|
39.5 |
|
5.9 |
|
1,390 |
|
0.99 |
|
||||||||||||||
2019 |
63,569,183 |
|
56,579,438 |
|
89.0 |
|
212,911 |
|
80.6 |
|
60.4 |
|
18.1 |
|
15.8 |
|
39.3 |
|
4.3 |
|
603 |
|
0.28 |
|
||||||||||||||
2020 (through |
13,549,450 |
|
13,456,039 |
|
99.3 |
|
47,141 |
|
69.1 |
|
56.1 |
|
14.1 |
|
13.7 |
|
41.7 |
|
1.1 |
|
7 |
|
0.01 |
|
||||||||||||||
Total |
$ |
290,297,306 |
|
$ |
165,615,503 |
|
57.1 |
|
706,714 |
|
84.1 |
|
61.1 |
|
14.6 |
|
15.1 |
|
41.3 |
|
3.4 |
|
5,841 |
|
0.83 |
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||
(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 |
|||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
Supplemental Information |
||||||||||||||||||||||||||||||||||||||||||||||||||||
Reinsurance Vintage Data |
||||||||||||||||||||||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||
Excess of Loss Reinsurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
|
|
Original Reinsurance in Force |
|
Remaining Reinsurance in Force |
|
|
|
|
|
|
Year-to-Date |
|
|
|||||||||||||||||||||||||||||||||||||||
Year |
Remaining |
Remaining |
|
ILN (1) |
Other |
Total |
|
ILN |
Other |
Total |
|
Losses |
|
Original |
Remaining |
|
Earned |
|
Reduction in |
|||||||||||||||||||||||||||||||||
2015 & 2016 |
$ |
25,025,497 |
|
$ |
6,762,026 |
|
|
$ |
333,844 |
|
$ |
— |
|
$ |
333,844 |
|
|
$ |
244,105 |
|
$ |
— |
|
$ |
244,105 |
|
|
$ |
— |
|
|
$ |
208,111 |
|
$ |
208,111 |
|
|
$ |
1,838 |
|
|
$ |
192,485 |
|
|||||||
2017 |
26,279,318 |
|
6,665,183 |
|
|
424,412 |
|
165,167 |
|
589,579 |
|
|
280,180 |
|
165,167 |
|
445,347 |
|
|
— |
|
|
224,689 |
|
221,852 |
|
|
3,353 |
|
|
241,513 |
|
||||||||||||||||||||
2018 |
31,375,687 |
|
7,923,964 |
|
|
473,184 |
|
118,650 |
|
591,834 |
|
|
377,509 |
|
87,941 |
|
465,450 |
|
|
— |
|
|
253,643 |
|
253,081 |
|
|
4,105 |
|
|
366,199 |
|
||||||||||||||||||||
2019 (3) |
34,916,398 |
|
8,826,958 |
|
|
495,889 |
|
55,102 |
|
550,991 |
|
|
495,889 |
|
55,102 |
|
550,991 |
|
|
— |
|
|
215,605 |
|
215,605 |
|
|
2,489 |
|
|
462,024 |
|
||||||||||||||||||||
Total |
$ |
117,596,900 |
|
$ |
30,178,131 |
|
|
$ |
1,727,329 |
|
$ |
338,919 |
|
$ |
2,066,248 |
|
|
$ |
1,397,683 |
|
$ |
308,210 |
|
$ |
1,705,893 |
|
|
$ |
— |
|
|
$ |
902,048 |
|
$ |
898,649 |
|
|
$ |
11,785 |
|
|
$ |
1,262,221 |
|
Quota Share Reinsurance |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
|
|
|
|
|
|
Year-to-Date |
|
|
|||||||||||||||||||||||||
Year |
|
Remaining |
Remaining |
|
Remaining Ceded |
|
Remaining Ceded Risk |
|
Losses |
|
Ceding |
|
Earned Premiums |
|
Reduction in PMIERs |
|||||||||||||||||||
2019 & 2020 |
(4) |
$ |
34,268,944 |
|
$ |
8,598,188 |
|
|
$ |
7,542,999 |
|
|
$ |
1,870,062 |
|
|
$ |
98 |
|
|
$ |
1,177 |
|
|
$ |
2,452 |
|
|
$ |
127,311 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs"). |
||||||||||||||||||||||||||||||||||
(2) Reinsurance provided by panels of reinsurers. |
||||||||||||||||||||||||||||||||||
(3) Reinsurance coverage on new insurance written from |
||||||||||||||||||||||||||||||||||
(4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from |
||||||||||||||||||||||||||||||||||
(5) Represents the reduction in |
||||||||||||||||||||||||||||||||||
|
|
|
|
|
Exhibit I |
||||
|
|
|
|
|
|
||||
|
|||||||||
Supplemental Information |
|||||||||
Portfolio Geographic Data |
|||||||||
|
|
|
|
|
|
||||
|
|
|
|
|
|
||||
IIF by State |
|||||||||
|
|
|
|
|
|
||||
CA |
10.4 |
% |
|
10.0 |
% |
|
9.3 |
% |
|
TX |
8.9 |
|
|
8.6 |
|
|
7.9 |
|
|
FL |
8.0 |
|
|
7.9 |
|
|
7.4 |
|
|
WA |
4.2 |
|
|
4.4 |
|
|
4.7 |
|
|
CO |
3.8 |
|
|
3.7 |
|
|
3.4 |
|
|
IL |
3.6 |
|
|
3.7 |
|
|
3.8 |
|
|
NJ |
3.6 |
|
|
3.6 |
|
|
3.7 |
|
|
AZ |
3.3 |
|
|
3.3 |
|
|
3.1 |
|
|
OH |
3.3 |
|
|
3.4 |
|
|
3.3 |
|
|
NC |
3.2 |
|
|
3.3 |
|
|
3.5 |
|
|
All Others |
47.7 |
|
|
48.1 |
|
|
49.9 |
|
|
Total |
100.0 |
% |
|
100.0 |
% |
|
100.0 |
% |
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
||||
|
|
|
|
|
|
||||
Gross RIF by State |
|||||||||
|
|
|
|
|
|
||||
CA |
10.1 |
% |
|
9.8 |
% |
|
9.0 |
% |
|
TX |
9.2 |
|
|
8.9 |
|
|
8.1 |
|
|
FL |
8.2 |
|
|
8.0 |
|
|
7.6 |
|
|
WA |
4.2 |
|
|
4.4 |
|
|
4.7 |
|
|
CO |
3.7 |
|
|
3.6 |
|
|
3.3 |
|
|
NJ |
3.5 |
|
|
3.6 |
|
|
3.7 |
|
|
IL |
3.5 |
|
|
3.5 |
|
|
3.7 |
|
|
AZ |
3.3 |
|
|
3.2 |
|
|
3.1 |
|
|
OH |
3.3 |
|
|
3.3 |
|
|
3.4 |
|
|
GA |
3.2 |
|
|
3.3 |
|
|
3.5 |
|
|
All Others |
47.8 |
|
|
48.4 |
|
|
49.9 |
|
|
Total |
100.0 |
% |
|
100.0 |
% |
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Exhibit J |
||||||
|
|
|
|
|
|
|
||||||
|
||||||||||||
Supplemental Information |
||||||||||||
Defaults, Reserve for Losses and LAE, and Claims |
||||||||||||
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
||||||
Rollforward of Insured Loans in Default |
||||||||||||
|
|
Three Months Ended |
||||||||||
|
|
|
|
|
|
|
||||||
|
|
2020 |
|
2019 |
|
2019 |
||||||
Beginning default inventory |
|
5,947 |
|
|
5,232 |
|
|
4,024 |
|
|||
Plus: new defaults |
|
3,933 |
|
|
3,826 |
|
|
2,918 |
|
|||
Less: cures |
|
(3,914 |
) |
|
(3,027 |
) |
|
(2,749 |
) |
|||
Less: claims paid |
|
(118 |
) |
|
(80 |
) |
|
(88 |
) |
|||
Less: rescissions and denials, net |
|
(7 |
) |
|
(4 |
) |
|
(9 |
) |
|||
Ending default inventory |
|
5,841 |
|
|
5,947 |
|
|
4,096 |
|
|||
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
||||||
Rollforward of Reserve for Losses and LAE |
||||||||||||
|
|
Three Months Ended |
||||||||||
|
|
|
|
|
|
|
||||||
($ in thousands) |
|
2020 |
|
2019 |
|
2019 |
||||||
Reserve for losses and LAE at beginning of period |
|
$ |
69,362 |
|
|
$ |
61,436 |
|
|
$ |
49,464 |
|
Less: Reinsurance recoverables |
|
71 |
|
|
— |
|
|
— |
|
|||
Net reserve for losses and LAE at beginning of period |
|
69,291 |
|
|
61,436 |
|
|
49,464 |
|
|||
Add provision for losses and LAE occurring in: |
|
|
|
|
|
|
||||||
Current year |
|
15,419 |
|
|
12,658 |
|
|
11,828 |
|
|||
Prior years |
|
(7,356 |
) |
|
(1,729 |
) |
|
(4,721 |
) |
|||
Incurred losses and LAE during the period |
|
8,063 |
|
|
10,929 |
|
|
7,107 |
|
|||
Deduct payments for losses and LAE occurring in: |
|
|
|
|
|
|
||||||
Current year |
|
1 |
|
|
631 |
|
|
15 |
|
|||
Prior years |
|
4,110 |
|
|
2,443 |
|
|
3,072 |
|
|||
Loss and LAE payments during the period |
|
4,111 |
|
|
3,074 |
|
|
3,087 |
|
|||
Net reserve for losses and LAE at end of period |
|
73,243 |
|
|
69,291 |
|
|
53,484 |
|
|||
Plus: Reinsurance recoverables |
|
98 |
|
|
71 |
|
|
— |
|
|||
Reserve for losses and LAE at end of period |
|
$ |
73,341 |
|
|
$ |
69,362 |
|
|
$ |
53,484 |
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
||||||
Claims |
||||||||||||
|
|
Three Months Ended |
||||||||||
|
|
|
|
|
|
|
||||||
|
|
2020 |
|
2019 |
|
2019 |
||||||
Number of claims paid |
|
118 |
|
|
80 |
|
|
88 |
|
|||
Total amount paid for claims (in thousands) |
|
$ |
4,157 |
|
|
$ |
2,922 |
|
|
$ |
2,899 |
|
Average amount paid per claim (in thousands) |
|
$ |
35 |
|
|
$ |
37 |
|
|
$ |
33 |
|
Severity |
|
77 |
% |
|
76 |
% |
|
78 |
% |
|
|
|
|
|
Exhibit J, continued |
|||||||||||||||
|
||||||||||||||||||||
Supplemental Information |
||||||||||||||||||||
Defaults, Reserve for Losses and LAE, and Claims |
||||||||||||||||||||
|
||||||||||||||||||||
|
|
|
|
|
|
|
||||||||||||||
|
|
|||||||||||||||||||
|
Number of |
Percentage of |
Amount of |
Percentage of |
Defaulted RIF |
Reserves as a |
||||||||||||||
($ in thousands) |
|
|
|
|
|
|
||||||||||||||
Missed Payments: |
|
|
|
|
|
|
||||||||||||||
Three payments or less |
3,043 |
|
52 |
% |
$ |
15,128 |
|
23 |
% |
$ |
170,374 |
|
9 |
% |
||||||
Four to eleven payments |
2,140 |
|
37 |
|
30,493 |
|
45 |
|
114,135 |
|
27 |
|
||||||||
Twelve or more payments |
518 |
|
9 |
|
15,235 |
|
23 |
|
29,596 |
|
51 |
|
||||||||
Pending claims |
140 |
|
2 |
|
6,241 |
|
9 |
|
7,074 |
|
88 |
|
||||||||
Total case reserves (1) |
5,841 |
|
100 |
% |
67,097 |
|
100 |
% |
$ |
321,179 |
|
21 |
|
|||||||
IBNR |
|
|
5,032 |
|
|
|
|
|||||||||||||
LAE |
|
|
1,196 |
|
|
|
|
|||||||||||||
Total reserves for losses and LAE (1) |
|
|
$ |
73,325 |
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
||||||||||||||
Average reserve per default: |
|
|
|
|
|
|
||||||||||||||
Case |
|
|
$ |
11.5 |
|
|
|
|
||||||||||||
Total |
|
|
$ |
12.6 |
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
||||||||||||||
Default Rate |
0.83% |
|
|
|
|
|
||||||||||||||
|
|
|
|
|
|
|
||||||||||||||
(1) The |
||||||||||||||||||||
|
|
|
|
|
|
|
||||||||||||||
|
|
|||||||||||||||||||
|
Number of |
Percentage of |
Amount of |
Percentage of |
Defaulted RIF |
Reserves as a |
||||||||||||||
($ in thousands) |
|
|
|
|
|
|
||||||||||||||
Missed Payments: |
|
|
|
|
|
|
||||||||||||||
Three payments or less |
3,310 |
|
56 |
% |
$ |
15,793 |
|
25 |
% |
$ |
177,238 |
|
9 |
% |
||||||
Four to eleven payments |
2,035 |
|
34 |
|
28,006 |
|
44 |
|
108,743 |
|
26 |
|
||||||||
Twelve or more payments |
473 |
|
8 |
|
13,549 |
|
22 |
|
27,152 |
|
50 |
|
||||||||
Pending claims |
129 |
|
2 |
|
5,832 |
|
9 |
|
6,777 |
|
86 |
|
||||||||
Total case reserves (2) |
5,947 |
|
100 |
% |
63,180 |
|
100 |
% |
$ |
319,910 |
|
20 |
|
|||||||
IBNR |
|
|
4,738 |
|
|
|
|
|||||||||||||
LAE |
|
|
1,265 |
|
|
|
|
|||||||||||||
Total reserves for losses and LAE (2) |
|
|
$ |
69,183 |
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
||||||||||||||
Average reserve per default: |
|
|
|
|
|
|
||||||||||||||
Case |
|
|
$ |
10.6 |
|
|
|
|
||||||||||||
Total |
|
|
$ |
11.6 |
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
||||||||||||||
Default Rate |
0.85% |
|
|
|
|
|
||||||||||||||
|
|
|
|
|
|
|
||||||||||||||
(2) The |
||||||||||||||||||||
|
|
|
|
|
|
|
||||||||||||||
|
|
|||||||||||||||||||
|
Number of |
Percentage of |
Amount of |
Percentage of |
Defaulted RIF |
Reserves as a |
||||||||||||||
($ in thousands) |
|
|
|
|
|
|
||||||||||||||
Missed Payments: |
|
|
|
|
|
|
||||||||||||||
Three payments or less |
2,172 |
|
53 |
% |
$ |
11,374 |
|
23 |
% |
$ |
117,607 |
|
10 |
% |
||||||
Four to eleven payments |
1,492 |
|
36 |
|
23,599 |
|
48 |
|
80,842 |
|
29 |
|
||||||||
Twelve or more payments |
361 |
|
9 |
|
11,105 |
|
23 |
|
20,526 |
|
54 |
|
||||||||
Pending claims |
71 |
|
2 |
|
3,015 |
|
6 |
|
3,517 |
|
86 |
|
||||||||
Total case reserves |
4,096 |
|
100 |
% |
49,093 |
|
100 |
% |
$ |
222,492 |
|
22 |
|
|||||||
IBNR |
|
|
3,682 |
|
|
|
|
|||||||||||||
LAE |
|
|
709 |
|
|
|
|
|||||||||||||
Total reserves for losses and LAE |
|
|
$ |
53,484 |
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
||||||||||||||
Average reserve per default: |
|
|
|
|
|
|
||||||||||||||
Case |
|
|
$ |
12.0 |
|
|
|
|
||||||||||||
Total |
|
|
$ |
13.1 |
|
|
|
|
||||||||||||
|
|
|
|
|
|
|
||||||||||||||
Default Rate |
0.65% |
|
|
|
|
|
|
|
|
|
|
|
|
Exhibit K |
|||||||
|
|
|
|
|
|
|
|
|||||||
|
||||||||||||||
Supplemental Information |
||||||||||||||
Investments Available for Sale |
||||||||||||||
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|||||||
Investments Available for Sale by Asset Class |
||||||||||||||
Asset Class |
|
|
|
|||||||||||
($ in thousands) |
Fair Value |
|
Percent |
|
Fair Value |
|
Percent |
|||||||
|
$ |
235,565 |
|
|
6.4 |
% |
|
$ |
242,206 |
|
|
7.2 |
% |
|
|
33,892 |
|
|
0.9 |
|
|
33,605 |
|
|
1.0 |
|
|||
|
876,298 |
|
|
23.7 |
|
|
848,334 |
|
|
25.3 |
|
|||
Municipal debt securities |
419,688 |
|
|
11.3 |
|
|
361,638 |
|
|
10.8 |
|
|||
Non- |
52,209 |
|
|
1.4 |
|
|
54,995 |
|
|
1.7 |
|
|||
Corporate debt securities |
879,503 |
|
|
23.7 |
|
|
880,301 |
|
|
26.3 |
|
|||
Residential and commercial mortgage securities |
275,532 |
|
|
7.4 |
|
|
288,281 |
|
|
8.6 |
|
|||
Asset-backed securities |
337,675 |
|
|
9.1 |
|
|
326,025 |
|
|
9.7 |
|
|||
Money market funds |
595,165 |
|
|
16.1 |
|
|
315,362 |
|
|
9.4 |
|
|||
Total investments available for sale |
$ |
3,705,527 |
|
|
100.0 |
% |
|
$ |
3,350,747 |
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|||||||
Investments Available for Sale by Credit Rating |
||||||||||||||
Rating (1) |
|
|
|
|||||||||||
($ in thousands) |
Fair Value |
|
Percent |
|
Fair Value |
|
Percent |
|||||||
Aaa |
$ |
2,177,097 |
|
|
58.7 |
% |
|
$ |
1,817,905 |
|
|
54.2 |
% |
|
Aa1 |
109,937 |
|
|
3.0 |
|
|
109,122 |
|
|
3.3 |
|
|||
Aa2 |
152,322 |
|
|
4.1 |
|
|
145,282 |
|
|
4.3 |
|
|||
Aa3 |
200,368 |
|
|
5.4 |
|
|
159,599 |
|
|
4.8 |
|
|||
A1 |
199,762 |
|
|
5.4 |
|
|
206,643 |
|
|
6.2 |
|
|||
A2 |
199,109 |
|
|
5.4 |
|
|
183,780 |
|
|
5.5 |
|
|||
A3 |
188,393 |
|
|
5.1 |
|
|
191,933 |
|
|
5.7 |
|
|||
Baa1 |
227,067 |
|
|
6.1 |
|
|
232,490 |
|
|
6.9 |
|
|||
Baa2 |
173,772 |
|
|
4.7 |
|
|
179,664 |
|
|
5.4 |
|
|||
Baa3 |
43,374 |
|
|
1.2 |
|
|
65,119 |
|
|
1.9 |
|
|||
Below Baa3 |
34,326 |
|
|
0.9 |
|
|
59,210 |
|
|
1.8 |
|
|||
Total investments available for sale |
$ |
3,705,527 |
|
|
100.0 |
% |
|
$ |
3,350,747 |
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|||||||
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available. |
||||||||||||||
|
|
|
|
|
|
|
|
|||||||
Investments Available for Sale by Duration and Book Yield |
||||||||||||||
Effective Duration |
|
|
|
|||||||||||
($ in thousands) |
Fair Value |
|
Percent |
|
Fair Value |
|
Percent |
|||||||
< 1 Year |
$ |
1,372,660 |
|
|
37.0 |
% |
|
$ |
1,038,782 |
|
|
31.0 |
% |
|
1 to < 2 Years |
508,923 |
|
|
13.7 |
|
|
306,148 |
|
|
9.1 |
|
|||
2 to < 3 Years |
402,111 |
|
|
10.9 |
|
|
348,708 |
|
|
10.4 |
|
|||
3 to < 4 Years |
330,719 |
|
|
8.9 |
|
|
361,147 |
|
|
10.8 |
|
|||
4 to < 5 Years |
298,753 |
|
|
8.1 |
|
|
443,382 |
|
|
13.2 |
|
|||
5 or more Years |
792,361 |
|
|
21.4 |
|
|
852,580 |
|
|
25.5 |
|
|||
Total investments available for sale |
$ |
3,705,527 |
|
|
100.0 |
% |
|
$ |
3,350,747 |
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|||||||
Pre-tax investment income yield: |
|
|
|
|
|
|
|
|||||||
Three months ended |
2.51 |
% |
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|||||||
Net cash and investments at holding company, |
|
|
|
|
|
|
||||||||
($ in thousands) |
|
|
|
|
|
|
|
|||||||
As of |
$ |
279,778 |
|
|
|
|
|
|
|
|||||
As of |
$ |
98,376 |
|
|
|
|
|
|
|
|||||
|
|
|
|
|
Exhibit L |
||||
|
|
|
|
|
||||
|
||||||||
Supplemental Information |
||||||||
|
||||||||
|
|
|
|
|
||||
|
|
|
||||||
|
|
|
|
|
||||
($ in thousands) |
|
|
|
|
||||
|
|
|
|
|
||||
Combined statutory capital (1) |
|
$ |
2,452,730 |
|
|
$ |
2,335,828 |
|
|
|
|
|
|
||||
Combined net risk in force (2) |
|
$ |
28,729,105 |
|
|
$ |
29,460,191 |
|
|
|
|
|
|
||||
Risk-to-capital ratios: (3) |
|
|
|
|
||||
|
|
12.1:1 |
|
13.1:1 |
||||
|
|
2.7:1 |
|
2.9:1 |
||||
Combined (4) |
|
11.7:1 |
|
12.6:1 |
||||
|
|
|
|
|
||||
|
|
|
||||||
Stockholder's equity (GAAP basis) |
|
$ |
1,005,038 |
|
|
$ |
939,360 |
|
|
|
|
|
|
||||
Net risk in force (2) |
|
$ |
10,589,736 |
|
|
$ |
10,314,942 |
|
(1) Combined statutory capital equals the sum of statutory capital of |
(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 |
|
|
|
|
Exhibit M |
|
|
|||||
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 the basis for measures 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
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 and dividend equivalent 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. The Company does not view these unrealized gains and losses to be indicative of our fundamental operating performance. As of
The following table sets forth the reconciliation of Adjusted Book Value to the most comparable GAAP amount as of
|
|
|
|
|
|
|
||||||
(In thousands, except per share amounts) |
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
||||||
Numerator: |
|
|
|
|
|
|
||||||
Total Stockholders' Equity (Book Value) |
|
$ |
3,107,074 |
|
|
$ |
2,984,845 |
|
|
$ |
2,527,803 |
|
|
|
|
|
|
|
|
||||||
Subtract: Accumulated Other Comprehensive Income |
|
46,113 |
|
|
56,187 |
|
|
9,373 |
|
|||
|
|
|
|
|
|
|
||||||
Adjusted Book Value |
|
$ |
3,060,961 |
|
|
$ |
2,928,658 |
|
|
$ |
2,518,430 |
|
|
|
|
|
|
|
|
||||||
Denominator: |
|
|
|
|
|
|
||||||
Total Common Shares Outstanding |
|
98,602 |
|
|
98,394 |
|
|
98,364 |
|
|||
|
|
|
|
|
|
|
||||||
Add: Restricted Share Units and Dividend Equivalent Units Outstanding |
|
495 |
|
|
356 |
|
|
374 |
|
|||
|
|
|
|
|
|
|
||||||
Total Common Shares and Share Units Outstanding |
|
99,097 |
|
|
98,750 |
|
|
98,738 |
|
|||
|
|
|
|
|
|
|
||||||
Adjusted Book Value per Share |
|
$ |
30.89 |
|
|
$ |
29.66 |
|
|
$ |
25.51 |
|
View source version on businesswire.com: https://www.businesswire.com/news/home/20200508005055/en/
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