Essent Group Ltd. - FORM 8-K - EX-99.1 - EXHIBIT 99.1

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8-K - 8-K - Essent Group Ltd.	form8-kx1q2020earnings.htm

Exhibit 99.1

Essent Group Ltd. Reports First Quarter 2020 Results & Declares Quarterly Dividend

HAMILTON, Bermuda--(BUSINESS WIRE)--May 8, 2020--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2020 of $149.5 million or $1.52 per diluted share, compared to $127.7 million or $1.30 per diluted share for the quarter ended March 31, 2019.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.16 per common share. The dividend is payable on June 12, 2020, to shareholders of record on June 2, 2020.

“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 Mark Casale, Chairman and Chief Executive Officer. “We believe that the strength and sustainability of our buy, manage, and distribute operating model, as well as our strong balance sheet, capital and liquidity, has allowed us to enter these challenging times in a position of strength.”

Financial Highlights:


•	Insurance in force as of March 31, 2020 was $165.6 billion, compared to $164.0 billion as of December 31, 2019 and $143.2 billion as of March 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 of December 31, 2019 and 0.65% as of March 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 at Essent Group Ltd. of $279.8 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 11.7:1 as of March 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 by Essent in January through August 2019 from Radnor Re 2020-1 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2020-1 Ltd. is not a subsidiary or an affiliate of Essent 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 by Essent in January through August 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 at March 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 September 27, 2018, Essent will apply a 0.30 multiplier to the risk-based required asset amount factor for each non-performing primary mortgage guaranty insurance loan backed by a property located in a Federal Emergency Management Agency (FEMA) Declared Major Disaster Area and that either 1) is subject to a forbearance plan executed in response to a FEMA Declared Major Disaster Area eligible for Individual Assistance, the terms of which are materially consistent with terms of forbearance plans offered by Fannie Mae or Freddie Mac, or 2) has an initial default date occurring up to either (i) 30 days prior to or (ii) 90 days following the COVID-19 pandemic event. In the case of the foregoing, the 0.30 multiplier shall be applied to the risk-based required asset amount factor for each non-performing primary mortgage guaranty insurance loan for no longer than 120 days from the initial default date absent a forbearance plan described in 1) above.

Approximately 97% of Essent’s outstanding primary mortgage insurance portfolio, as of March 31, 2020, has underlying properties located in FEMA Declared Major Disaster Areas eligible for Individual Assistance. Accordingly, the company believes that the majority of the non-performing loans that will be reported to the company subsequent to March 31, 2020, will fall into categories 1) and 2) above and receive the 0.30 multiplier in calculating the PMIERs required assets.

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 833-287-0797 inside the U.S., or 647-689-4456 for international callers, using passcode 1490696 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 1490696.

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: 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 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, 2019 filed with the Securities and Exchange Commission on February 18, 2020, as subsequently updated through other reports we file with the Securities and Exchange Commission. 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.

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. Essent is committed to supporting environmental, social and governance ("ESG") initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. 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, 2020


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		Reinsurance Vintage Data
Exhibit I		Portfolio Geographic Data
Exhibit J		Defaults, Reserve for Losses and LAE, and Claims
Exhibit K		Investments Available for Sale
Exhibit L		Insurance Company Capital
Exhibit M		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)	2020			2019
Revenues:
Direct premiums written	$	205,980		$	183,682
Ceded premiums	(14,237		)	(6,038		)
Net premiums written	191,743			177,644
Decrease in unearned premiums	14,753			147
Net premiums earned	206,496			177,791
Net investment income	20,633			19,880
Realized investment gains, net	3,135			660
Other income (loss)	(1,424		)	2,195
Total revenues	228,840			200,526

Losses and expenses:
Provision for losses and LAE	8,063			7,107
Other underwriting and operating expenses	41,947			41,030
Interest expense	2,132			2,670
Total losses and expenses	52,142			50,807

Income before income taxes	176,698			149,719
Income tax expense	27,175			21,999
Net income	$	149,523		$	127,720


Earnings per share:
Basic	$	1.53		$	1.31
Diluted	1.52			1.30

Weighted average shares outstanding:
Basic	97,949			97,595
Diluted	98,326			98,104

Net income	$	149,523		$	127,720

Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments	(10,074		)	38,366
Total other comprehensive (loss) income	(10,074		)	38,366
Comprehensive income	$	139,449		$	166,086


Loss ratio	3.9		%	4.0		%
Expense ratio	20.3			23.1
Combined ratio	24.2		%	27.1		%



				Exhibit B

Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)


	March 31,			December 31,
(In thousands, except per share amounts)	2020			2019
Assets
Investments
Fixed maturities available for sale, at fair value	$	3,110,362		$	3,035,385
Short-term investments available for sale, at fair value	595,165			315,362
Total investments available for sale	3,705,527			3,350,747
Other invested assets	75,380			78,873
Total investments	3,780,907			3,429,620
Cash	31,055			71,350
Accrued investment income	18,572			18,535
Accounts receivable	41,228			40,655
Deferred policy acquisition costs	15,147			15,705
Property and equipment	16,325			17,308
Prepaid federal income tax	261,885			261,885
Other assets	21,815			18,367

Total assets	$	4,186,934		$	3,873,425

Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	73,341		$	69,362
Unearned premium reserve	264,134			278,887
Net deferred tax liability	259,688			249,620
Credit facility borrowings, net of deferred costs	424,380			224,237
Other accrued liabilities	58,317			66,474
Total liabilities	1,079,860			888,580

Commitments and contingencies

Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 98,602 shares in 2020 and 98,394 shares in 2019	1,479			1,476
Additional paid-in capital	1,117,286			1,118,655
Accumulated other comprehensive income	46,113			56,187
Retained earnings	1,942,196			1,808,527
Total stockholders' equity	3,107,074			2,984,845

Total liabilities and stockholders' equity	$	4,186,934		$	3,873,425

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.



										Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data


	2020			2019
Selected Income Statement Data	March 31			December 31			September 30			June 30			March 31
(In thousands, except per share amounts)
Revenues:
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
Other revenues (2)	22,344			21,091			22,914			23,402			22,735
Total revenues	228,840			228,762			226,387			211,892			200,526

Losses and expenses:
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
Total losses and expenses	52,142			54,378			54,162			49,159			50,807

Income before income taxes	176,698			174,384			172,225			162,733			149,719
Income tax expense (3)	27,175			27,426			27,595			26,328			21,999
Net income	$	149,523		$	146,958		$	144,630		$	136,405		$	127,720

Earnings per share:
Basic	$	1.53		$	1.50		$	1.48		$	1.39		$	1.31
Diluted	1.52			1.49			1.47			1.39			1.30

Weighted average shares outstanding:
Basic	97,949			97,830			97,822			97,798			97,595
Diluted	98,326			98,376			98,257			98,170			98,104

Other Data:
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
Combined ratio	24.2		%	25.1		%	25.3		%	24.7		%	27.1		%

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 March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019 include unfavorable decreases of $4,200, $3,585 and $760 and favorable increases of $1,160 and $1,424, respectively, in the fair value of these embedded derivatives.
(3) Income tax expense for the three months ended March 31, 2020 and 2019 was reduced by $620 and $1,956, respectively, of excess tax benefits associated with the vesting of common shares and common share units during each period.
(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.



										Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data


	2020			2019
Other Data, continued:	March 31			December 31			September 30			June 30			March 31
($ in thousands)

U.S. Mortgage Insurance Portfolio
Flow:
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

Bulk:
New insurance written	$	151		$	—		$	6,133		$	29,524		$	55,002
New risk written	24			—			842			2,129			6,542

Total:
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 U.S. mortgage insurance portfolio, before reductions for premiums ceded under third-party reinsurance, by average insurance in force for the period.
(7) Average net premium rate is calculated by dividing annualized net premiums earned for the U.S. mortgage insurance portfolio by average insurance in force for the period.
(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

Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow


NIW by Credit Score
	Three Months Ended
	March 31, 2020					December 31, 2019					March 31, 2019
($ 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
	March 31, 2020					December 31, 2019					March 31, 2019
($ 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
	March 31, 2020					December 31, 2019					March 31, 2019
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
	March 31, 2020					December 31, 2019					March 31, 2019
Purchase				69.2	%				71.8	%				87.6	%
Refinance				30.8					28.2					12.4
				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
IIF by FICO score	March 31, 2020					December 31, 2019					March 31, 2019
($ 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	March 31, 2020					December 31, 2019					March 31, 2019
($ 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	March 31, 2020					December 31, 2019					March 31, 2019
($ 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	March 31, 2020					December 31, 2019					March 31, 2019
($ 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	March 31, 2020					December 31, 2019					March 31, 2019
($ 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

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

	2020			2019
($ in thousands)	March 31			December 31			September 30			June 30			March 31
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. 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.



																					Exhibit G

Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
March 31, 2020


								Insurance in Force
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		Incurred Loss Ratio (Inception to Date) (1)		Number of Loans in Default	Percentage of Loans in Default

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 March 31)	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

Essent Group Ltd. and Subsidiaries
Supplemental Information
Reinsurance Vintage Data
March 31, 2020
($ in thousands)
Excess of Loss Reinsurance
					Original Reinsurance in Force						Remaining Reinsurance in Force												Year-to-Date
Year	Remaining Insurance in Force		Remaining Risk in Force		ILN (1)		Other Reinsurance (2)		Total		ILN		Other Reinsurance		Total		Losses Ceded to Date		Original First Layer Retention		Remaining First Layer Retention		Earned Premiums Ceded		Reduction in PMIERs Minimum Required Assets (5)
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 Insurance in Force		Remaining Risk in Force		Remaining Ceded Insurance in Force		Remaining Ceded Risk in Force		Losses Ceded		Ceding Commission		Earned Premiums Ceded		Reduction in PMIERs Minimum Required Assets (5)
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 January 1, 2019 through August 31, 2019.
(4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.
(5) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.



					Exhibit I

Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data


IIF by State
	March 31, 2020		December 31, 2019		March 31, 2019
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
	March 31, 2020		December 31, 2019		March 31, 2019
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

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,
	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
	March 31,			December 31,			March 31,
($ 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
	March 31,			December 31,			March 31,
	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
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
U.S. Mortgage Insurance Portfolio

	March 31, 2020
	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	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 U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $16.

	December 31, 2019
	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	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 U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $179.

	March 31, 2019
	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	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

Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale


Investments Available for Sale by Asset Class
Asset Class	March 31, 2020					December 31, 2019
($ in thousands)	Fair Value			Percent		Fair Value		Percent
U.S. Treasury securities	$	235,565		6.4	%	$	242,206	7.2	%
U.S. agency securities	33,892			0.9		33,605		1.0
U.S. agency mortgage-backed securities	876,298			23.7		848,334		25.3
Municipal debt securities	419,688			11.3		361,638		10.8
Non-U.S. government securities	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)	March 31, 2020					December 31, 2019
($ 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	March 31, 2020					December 31, 2019
($ 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 March 31, 2020	2.51		%

Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of March 31, 2020	$	279,778
As of December 31, 2019	$	98,376



				Exhibit L

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital


		March 31, 2020		December 31, 2019
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
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)
	Essent Guaranty, Inc.	12.1:1		13.1:1
	Essent Guaranty of PA, Inc.	2.7:1		2.9:1
	Combined (4)	11.7:1		12.6:1

Essent Reinsurance Ltd.:
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 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 M
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 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 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 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 March 31, 2020, December 31, 2019 and March 31, 2019, 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, 2020, December 31, 2019 and March 31, 2019 in accordance with Regulation G:




(In thousands, except per share amounts)	March 31, 2020		December 31, 2019		March 31, 2019

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

Essent Group Ltd. - FORM 8-K - EX-99.1 - EXHIBIT 99.1 - May 8, 2020

Attached files

Essent Group Ltd. Reports