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

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8-K - 8-K - Essent Group Ltd.	form8-kx3q2018earningsrele.htm

Exhibit 99.1

Essent Group Ltd. Reports Third Quarter 2018 Results

HAMILTON, Bermuda--(BUSINESS WIRE)--November 9, 2018--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2018 of $116.0 million or $1.18 per diluted share, compared to $78.4 million or $0.82 per diluted share for the quarter ended September 30, 2017. As of September 30, 2018, Essent had insurance in force of $131.2 billion and consolidated stockholders' equity of $2.2 billion.

“We are pleased with our strong operating performance for the third quarter as we grew net income 48% compared to the third quarter of 2017, while also generating a 21% annualized return on average equity,” said Mark Casale, Chairman and Chief Executive Officer. “Our third quarter results were driven by a 26% increase in our insurance in force to $131.2 billion compared to $103.9 billion at the end of the third quarter 2017, as well as another quarter of solid credit performance.”

Financial Highlights:


•	Insurance in force as of September 30, 2018 was $131.2 billion, compared to $103.9 billion as of September 30, 2017.


•	New insurance written for the third quarter was $13.9 billion, compared to $13.2 billion in the third quarter of 2017.


•	Net premiums earned for the third quarter were $166.7 million, compared to $137.9 million in the third quarter of 2017.


•	The expense ratio for the third quarter was 22.1%, compared to 26.8% in the third quarter of 2017.


•	The provision for losses and LAE for the third quarter was $5.5 million, compared to $4.3 million in the third quarter of 2017.


•	The percentage of loans in default as of September 30, 2018 was 0.61%, compared to 0.46% as of September 30, 2017.


•	The combined ratio for the third quarter was 25.4%, compared to 30.0% in the third quarter of 2017.


•	The consolidated balance of cash and investments at September 30, 2018 was $2.7 billion, including cash and investment balances at Essent Group Ltd. of $77.2 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 14.1:1 as of September 30, 2018.

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 866-393-4306 inside the U.S., or 734-385-2616 for international callers, using passcode 6486334 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 855-859-2056 inside the U.S., or 404-537-3406 for international callers, passcode 6486334.

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, 2017 filed with the Securities and Exchange Commission on February 20, 2018. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

Non-GAAP Financial Measures

In presenting Essent Group Ltd.’s results, management has included financial measures, including adjusted book value per share, that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (“GAAP”). Such measures are referred to as “non-GAAP measures.” These non-GAAP measures may be defined or calculated differently by other companies. Management believes these measures allow for a more complete understanding of the underlying business. These measures are used to monitor our results and should not be viewed as a substitute for those determined in accordance with GAAP. Reconciliations of such measures to the most comparable GAAP figures are included in the attached financial supplement in accordance with Regulation G.

About the Company

Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which, through its wholly-owned subsidiary Essent Guaranty, Inc., offers private mortgage insurance for single-family mortgage loans in the United States. Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania, Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia, and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.

Source: Essent Group Ltd.





Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended September 30, 2018


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		Investments Available for Sale
Exhibit K		Insurance Company Capital
Exhibit L		Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share



										Exhibit A

Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
(In thousands, except per share amounts)	2018			2017			2018			2017
Revenues:
Net premiums written	$	175,221		$	155,055		$	508,850		$	408,415
Increase in unearned premiums	(8,546		)	(17,115		)	(32,659		)	(26,261		)
Net premiums earned	166,675			137,940			476,191			382,154
Net investment income	16,646			10,626			45,494			28,461
Realized investment gains, net	524			564			1,160			1,763
Other income	1,153			1,073			3,384			3,023
Total revenues	184,998			150,203			526,229			415,401

Losses and expenses:
Provision for losses and LAE	5,452			4,313			12,574			9,776
Other underwriting and operating expenses	36,899			37,035			111,451			109,053
Interest expense	2,500			1,456			7,568			3,361
Total losses and expenses	44,851			42,804			131,593			122,190

Income before income taxes	140,147			107,399			394,636			293,211
Income tax expense	24,136			29,006			55,801			76,102
Net income	$	116,011		$	78,393		$	338,835		$	217,109


Earnings per share:
Basic	$	1.19		$	0.83		$	3.48		$	2.35
Diluted	1.18			0.82			3.46			2.31

Weighted average shares outstanding:
Basic	97,438			94,185			97,388			92,285
Diluted	98,013			96,094			97,944			94,104

Net income	$	116,011		$	78,393		$	338,835		$	217,109

Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments	(8,201		)	1,978			(44,197		)	15,298
Total other comprehensive (loss) income	(8,201		)	1,978			(44,197		)	15,298
Comprehensive income	$	107,810		$	80,371		$	294,638		$	232,407


Loss ratio	3.3		%	3.1		%	2.6		%	2.6		%
Expense ratio	22.1			26.8			23.4			28.5
Combined ratio	25.4		%	30.0		%	26.0		%	31.1		%



				Exhibit B

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


	September 30,			December 31,
(In thousands, except per share amounts)	2018			2017
Assets
Investments
Fixed maturities available for sale, at fair value	$	2,473,840		$	1,992,371
Short-term investments available for sale, at fair value	191,912			312,694
Total investments available for sale	2,665,752			2,305,065
Other invested assets	24,865			500
Total investments	2,690,617			2,305,565
Cash	29,797			43,524
Accrued investment income	17,125			12,807
Accounts receivable	35,597			29,752
Deferred policy acquisition costs	16,159			15,354
Property and equipment	7,387			6,979
Prepaid federal income tax	185,935			252,157
Other assets	10,806			8,230

Total assets	$	2,993,423		$	2,674,368

Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	53,355		$	46,850
Unearned premium reserve	292,331			259,672
Net deferred tax liability	155,349			127,636
Credit facility borrowings, net of deferred costs	223,487			248,591
Securities purchased payable	21,741			14,999
Other accrued liabilities	32,021			36,184
Total liabilities	778,284			733,932

Commitments and contingencies

Stockholders' Equity
Common shares	1,472			1,476
Additional paid-in capital	1,107,206			1,127,137
Accumulated other comprehensive loss	(47,449		)	(3,252		)
Retained earnings	1,153,910			815,075
Total stockholders' equity	2,215,139			1,940,436

Total liabilities and stockholders' equity	$	2,993,423		$	2,674,368

Return on average equity (1)	21.7		%	23.1		%

(1) The 2018 return on average equity is calculated by dividing annualized year-to-date 2018 net income by average equity. The 2017 return on average equity is calculated by dividing full year 2017 net income by average equity.



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


	2018									2017
Selected Income Statement Data	September 30			June 30			March 31			December 31			September 30			June 30			March 31
(In thousands, except per share amounts)
Revenues:
Net premiums written	$	175,221		$	168,404		$	165,225		$	161,771		$	155,055		$	134,063		$	119,297

Net premiums earned (1)	166,675			156,958			152,558			147,976			137,940			126,563			117,651
Other revenues	18,323			16,810			14,905			13,134			12,263			11,043			9,941
Total revenues	184,998			173,768			167,463			161,110			150,203			137,606			127,592

Losses and expenses:
Provision for losses and LAE	5,452			1,813			5,309			17,456			4,313			1,770			3,693
Other underwriting and operating expenses	36,899			36,428			38,124			36,480			37,035			35,686			36,332
Interest expense	2,500			2,618			2,450			1,817			1,456			1,189			716
Total losses and expenses	44,851			40,859			45,883			55,753			42,804			38,645			40,741

Income before income taxes	140,147			132,909			121,580			105,357			107,399			98,961			86,851
Income tax expense (benefit) (2) (3)	24,136			21,154			10,511			(57,281		)	29,006			26,843			20,253
Net income	$	116,011		$	111,755		$	111,069		$	162,638		$	78,393		$	72,118		$	66,598

Earnings per share:
Basic	$	1.19		$	1.15		$	1.14		$	1.69		$	0.83		$	0.79		$	0.73
Diluted	1.18			1.14			1.13			1.65			0.82			0.77			0.72

Weighted average shares outstanding:
Basic	97,438			97,426			97,298			96,429			94,185			91,381			91,258
Diluted	98,013			97,866			97,951			98,497			96,094			93,162			93,023

Other Data:
Loss ratio (4)	3.3		%	1.2		%	3.5		%	11.8		%	3.1		%	1.4		%	3.1		%
Expense ratio (5)	22.1			23.2			25.0			24.7			26.8			28.2			30.9
Combined ratio	25.4		%	24.4		%	28.5		%	36.4		%	30.0		%	29.6		%	34.0		%

Return on average equity (annualized)	21.5		%	21.8		%	22.6		%	35.0		%	19.1		%	19.8		%	19.3		%

(1) Net premiums earned are net of premiums ceded to Radnor Re 2018-1 Ltd., an unaffiliated special purpose insurer domiciled in Bermuda, in connection with a fully collateralized reinsurance agreement entered into on March 22, 2018. Premiums ceded to Radnor Re totaled $3,158, $3,585 and $294 in the three months ended September, 30, 2018, June 30, 2018 and March 31, 2018, respectively.
(2) Income tax expense for the quarter ended September 30, 2018 includes $1,450 of expense associated with accrual to return adjustments associated with the completion of the 2017 U.S. federal income tax return. Income tax expense for the quarters ended March 31, 2018 and 2017 was reduced by $9,549 and $3,023, respectively, of excess tax benefits associated with the vesting of common shares and common share units during each period.
(3) Income tax expense for the quarter ended December 31, 2017 was reduced by $85,091 of income tax benefit due to the one-time impact of the reduced U.S. corporate income tax rate on the company's net deferred tax liability position.
(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


	2018									2017
Other Data, continued:	September 30			June 30			March 31			December 31			September 30			June 30			March 31
($ in thousands)

U.S. Mortgage Insurance Portfolio
Flow:
New insurance written	$	13,913,191		$	12,850,642		$	9,336,150		$	11,234,855		$	13,221,038		$	11,368,276		$	8,034,153
New risk written	3,430,942			3,201,610			2,295,314			2,737,008			3,228,603			2,786,501			1,929,832

Bulk:
New insurance written	$	—		$	—		$	—		$	—		$	—		$	—		$	—
New risk written	—			—			—			—			—			—			—

Total:
Average gross premium rate (6)	0.51		%	0.52		%	0.52		%	0.53		%	0.53		%	0.53		%	0.53		%
Average net premium rate (7)	0.50		%	0.51		%	0.52		%	0.53		%	0.53		%	0.53		%	0.53		%
New insurance written	$	13,913,191		$	12,850,642		$	9,336,150		$	11,234,855		$	13,221,038		$	11,368,276		$	8,034,153
New risk written	$	3,430,942		$	3,201,610		$	2,295,314		$	2,737,008		$	3,228,603		$	2,786,501		$	1,929,832
Insurance in force (end of period)	$	131,249,957		$	122,501,246		$	115,250,949		$	110,461,950		$	103,936,307		$	95,494,390		$	87,993,227
Gross risk in force (end of period) (8)	$	32,786,194		$	30,579,106		$	28,691,561		$	27,443,985		$	25,807,358		$	23,665,045		$	21,801,667
Risk in force (end of period)	$	32,361,782		$	30,154,694		$	28,267,149		$	27,443,985		$	25,807,358		$	23,665,045		$	21,801,667
Policies in force	581,570			546,576			517,215			496,477			467,483			430,585			397,650
Weighted average coverage (9)	25.0		%	25.0		%	24.9		%	24.8		%	24.8		%	24.8		%	24.8		%
Annual persistency	84.0		%	83.0		%	83.5		%	83.9		%	82.1		%	80.1		%	78.2		%

Loans in default (count)	3,538			3,519			4,442			4,783			2,153			1,776			1,777
Percentage of loans in default	0.61		%	0.64		%	0.86		%	0.96		%	0.46		%	0.41		%	0.45		%

Other Risk in Force
GSE and other risk share (10)	$	612,750		$	592,493		$	557,692		$	538,944		$	501,485		$	479,762		$	436,991

Credit Facility
Borrowings outstanding	$	225,000		$	225,000		$	265,000		$	250,000		$	175,000		$	175,000		$	125,000
Undrawn committed capacity	$	275,000		$	275,000		$	110,000		$	125,000		$	200,000		$	200,000		$	75,000
Weighted average interest rate	4.15		%

(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 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, 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										Nine Months Ended
	September 30, 2018					September 30, 2017					September 30, 2018					September 30, 2017
($ in thousands)
>=760	$	5,873,337		42.2	%	$	5,590,793		42.3	%	$	15,165,595		42.0	%	$	13,903,707		42.6	%
740-759	2,349,227			16.9		2,028,500			15.3		6,116,659			17.0		5,057,461			15.5
720-739	1,989,413			14.3		1,882,227			14.2		5,209,892			14.4		4,578,846			14.0
700-719	1,676,184			12.0		1,571,170			11.9		4,365,387			12.1		3,850,420			11.8
680-699	1,097,160			7.9		1,160,771			8.8		2,847,365			7.9		2,818,724			8.7
<=679	927,870			6.7		987,577			7.5		2,395,085			6.6		2,414,309			7.4
Total	$	13,913,191		100.0	%	$	13,221,038		100.0	%	$	36,099,983		100.0	%	$	32,623,467		100.0	%

Weighted average credit score	745					745					745					745



NIW by LTV
	Three Months Ended										Nine Months Ended
	September 30, 2018					September 30, 2017					September 30, 2018					September 30, 2017
($ in thousands)
85.00% and below	$	1,644,226		11.8	%	$	1,682,491		12.7	%	$	4,347,598		12.0	%	$	4,307,262		13.2	%
85.01% to 90.00%	3,804,681			27.3		3,893,155			29.4		10,102,450			28.0		9,785,966			30.0
90.01% to 95.00%	5,961,310			42.9		5,811,182			44.0		15,623,886			43.3		14,455,640			44.3
95.01% and above	2,502,974			18.0		1,834,210			13.9		6,026,049			16.7		4,074,599			12.5
Total	$	13,913,191		100.0	%	$	13,221,038		100.0	%	$	36,099,983		100.0	%	$	32,623,467		100.0	%

Weighted average LTV	93		%			92		%			92		%			92		%



NIW by Product
	Three Months Ended										Nine Months Ended
	September 30, 2018					September 30, 2017					September 30, 2018					September 30, 2017
Single Premium policies				14.2	%				16.8	%				15.9	%				15.4	%
Monthly Premium policies				85.8					83.2					84.1					84.6
				100.0	%				100.0	%				100.0	%				100.0	%



NIW by Purchase vs. Refinance
	Three Months Ended										Nine Months Ended
	September 30, 2018					September 30, 2017					September 30, 2018					September 30, 2017
Purchase				93.8	%				87.6	%				91.3	%				85.4	%
Refinance				6.2					12.4					8.7					14.6
				100.0	%				100.0	%				100.0	%				100.0	%



														Exhibit E

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


Portfolio by Credit Score
IIF by FICO score	September 30, 2018					June 30, 2018					September 30, 2017
($ in thousands)
>=760	$	56,686,270		43.2	%	$	53,145,884		43.4	%	$	46,220,799		44.5	%
740-759	21,661,445			16.5		20,127,254			16.4		16,890,061			16.2
720-739	18,909,281			14.4		17,605,819			14.4		14,767,164			14.2
700-719	14,928,024			11.4		13,836,837			11.3		11,307,184			10.9
680-699	10,828,068			8.2		10,145,188			8.3		8,523,233			8.2
<=679	8,236,869			6.3		7,640,264			6.2		6,227,866			6.0
Total	$	131,249,957		100.0	%	$	122,501,246		100.0	%	$	103,936,307		100.0	%

Weighted average credit score	746					746					747

Gross RIF by FICO score	September 30, 2018					June 30, 2018					September 30, 2017
($ in thousands)
>=760	$	14,119,178		43.1	%	$	13,245,851		43.3	%	$	11,434,540		44.3	%
740-759	5,434,079			16.6		5,052,409			16.5		4,218,828			16.3
720-739	4,773,174			14.5		4,438,671			14.5		3,707,571			14.4
700-719	3,735,034			11.4		3,450,490			11.3		2,805,886			10.9
680-699	2,718,524			8.3		2,540,531			8.3		2,129,638			8.2
<=679	2,006,205			6.1		1,851,154			6.1		1,510,895			5.9
Total	$	32,786,194		100.0	%	$	30,579,106		100.0	%	$	25,807,358		100.0	%

Portfolio by LTV
IIF by LTV	September 30, 2018					June 30, 2018					September 30, 2017
($ in thousands)
85.00% and below	$	14,641,309		11.2	%	$	13,868,422		11.3	%	$	12,103,499		11.6	%
85.01% to 90.00%	39,598,332			30.2		37,558,668			30.6		33,129,815			31.9
90.01% to 95.00%	63,167,371			48.1		59,491,807			48.6		51,684,041			49.7
95.01% and above	13,842,945			10.5		11,582,349			9.5		7,018,952			6.8
Total	$	131,249,957		100.0	%	$	122,501,246		100.0	%	$	103,936,307		100.0	%

Weighted average LTV	92		%			92		%			92		%

Gross RIF by LTV	September 30, 2018					June 30, 2018					September 30, 2017
($ in thousands)
85.00% and below	$	1,680,050		5.1	%	$	1,584,294		5.2	%	$	1,366,982		5.3	%
85.01% to 90.00%	9,458,067			28.8		8,950,145			29.3		7,858,283			30.4
90.01% to 95.00%	18,090,207			55.2		17,068,140			55.8		14,810,490			57.4
95.01% and above	3,557,870			10.9		2,976,527			9.7		1,771,603			6.9
Total	$	32,786,194		100.0	%	$	30,579,106		100.0	%	$	25,807,358		100.0	%

Portfolio by Loan Amortization Period
IIF by Loan Amortization Period	September 30, 2018					June 30, 2018					September 30, 2017
($ in thousands)
FRM 30 years and higher	$	121,455,115		92.6	%	$	112,753,292		92.0	%	$	94,299,877		90.7	%
FRM 20-25 years	3,032,593			2.3		3,040,764			2.5		2,695,714			2.6
FRM 15 years	3,571,994			2.7		3,638,461			3.0		3,779,626			3.7
ARM 5 years and higher	3,190,255			2.4		3,068,729			2.5		3,161,090			3.0
Total	$	131,249,957		100.0	%	$	122,501,246		100.0	%	$	103,936,307		100.0	%



							Exhibit F

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


($ in thousands)	September 30, 2018			June 30, 2018			September 30, 2017

GSE and other risk share (1)	$	612,750		$	592,493		$	501,485

Weighted average credit score	749			748			749
Weighted average LTV	85		%	85		%	84		%

(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, 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
September 30, 2018


								Insurance in Force
Origination Year	Original Insurance Written ($ in thousands)		Remaining Insurance in Force ($ in thousands)		% Remaining of Original Insurance		Number of Policies in Force	% Purchase		>90% LTV		>95% LTV		FICO < 700		FICO >= 760		% FRM		Incurred Loss Ratio (Inception to Date) (1)		Number of Loans in Default

2010	$	245,898	$	8,615	3.5	%	60	75.3	%	70.2	%	0.0	%	1.1	%	65.1	%	100.0	%	2.6	%	—
2011	3,229,720		273,058		8.5		1,611	75.1		53.3		0.3		6.3		52.3		98.1		3.7		35
2012	11,241,161		2,057,354		18.3		10,903	76.2		60.7		0.6		5.7		56.1		98.9		2.2		95
2013	21,152,638		5,388,328		25.5		28,088	79.8		60.9		2.1		7.8		51.5		98.4		2.4		283
2014	24,799,434		8,726,281		35.2		46,317	88.5		63.4		4.4		15.6		41.4		96.3		3.3		580
2015	26,193,656		14,202,260		54.2		67,074	84.0		57.7		2.6		14.7		43.7		97.5		3.4		640
2016	34,949,319		26,510,429		75.9		115,759	81.5		56.1		6.5		13.7		45.3		98.3		3.7		809
2017	43,858,322		38,894,605		88.7		169,912	85.8		58.0		13.6		16.2		41.5		97.0		6.2		968
2018 (through September 30)	36,099,983		35,189,027		97.5		141,846	91.3		60.2		16.9		14.6		41.6		97.8		2.2		128
Total	$	201,770,131	$	131,249,957	65.0		581,570	86.0		58.7		10.5		14.5		43.2		97.6		3.4		3,538

(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.



					Exhibit H

Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data


IIF by State
	September 30, 2018		June 30, 2018		September 30, 2017
CA	9.1	%	9.2	%	9.4	%
TX	7.9		8.0		8.1
FL	7.3		7.2		7.0
WA	4.8		4.8		4.8
IL	3.9		3.9		4.0
NJ	3.8		3.7		3.6
NC	3.5		3.5		3.6
GA	3.4		3.4		3.4
CO	3.3		3.3		3.0
OH	3.3		3.2		3.2
All Others	49.7		49.8		49.9
Total	100.0	%	100.0	%	100.0	%



Gross RIF by State
	September 30, 2018		June 30, 2018		September 30, 2017
CA	8.9	%	8.9	%	9.1	%
TX	8.1		8.2		8.3
FL	7.4		7.3		7.1
WA	4.8		4.9		4.9
IL	3.8		3.8		3.9
NJ	3.7		3.6		3.6
NC	3.5		3.5		3.6
GA	3.5		3.5		3.5
OH	3.3		3.3		3.2
CO	3.3		3.2		2.9
All Others	49.7		49.8		49.9
Total	100.0	%	100.0	%	100.0	%



										Exhibit I

Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims


Rollforward of Insured Loans in Default
	Three Months Ended						Nine Months Ended
	September 30,			September 30,			September 30,			September 30,
	2018			2017			2018			2017
Beginning default inventory	3,519			1,776			4,783			1,757
Plus: new defaults	2,285			1,592			5,980			3,897
Less: cures	(2,201		)	(1,145		)	(7,043		)	(3,322		)
Less: claims paid	(64		)	(68		)	(179		)	(176		)
Less: rescissions and denials, net	(1		)	(2		)	(3		)	(3		)
Ending default inventory	3,538			2,153			3,538			2,153



Rollforward of Reserve for Losses and LAE
	Three Months Ended						Nine Months Ended
	September 30,			September 30,			September 30,			September 30,
($ in thousands)	2018			2017			2018			2017
Reserve for losses and LAE at beginning of period	$	50,016		$	29,798		$	46,850		$	28,142
Add provision for losses and LAE occurring in:
Current year	8,671			7,150			25,199			19,266
Prior years	(3,219		)	(2,837		)	(12,625		)	(9,490		)
Incurred losses and LAE during the period	5,452			4,313			12,574			9,776
Deduct payments for losses and LAE occurring in:
Current year	409			146			620			243
Prior years	1,704			2,386			5,449			6,096
Loss and LAE payments during the period	2,113			2,532			6,069			6,339
Reserve for losses and LAE at end of period	$	53,355		$	31,579		$	53,355		$	31,579



Claims
	Three Months Ended						Nine Months Ended
	September 30,			September 30,			September 30,			September 30,
	2018			2017			2018			2017
Number of claims paid	64			68			179			176
Total amount paid for claims (in thousands)	$	2,029		$	2,468		$	5,848		$	6,155
Average amount paid per claim (in thousands)	$	32		$	36		$	33		$	35
Severity	69		%	76		%	70		%	81		%



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


	September 30, 2018
	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	1,886	53	%	$	10,498	22	%	$	101,755	10	%
Four to eleven payments	1,252	36		24,531		50		68,670		36
Twelve or more payments	351	10		11,795		24		20,160		59
Pending claims	49	1		1,941		4		2,212		88
Total case reserves	3,538	100	%	48,765		100	%	$	192,797	25
IBNR				3,657
LAE				933
Total reserves for losses and LAE				$	53,355

Average reserve per default:
Case				$	13.8
Total				$	15.1

Default Rate	0.61%

	December 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	3,243	68	%	$	15,925	37	%	$	187,163	9	%
Four to eleven payments	1,284	27		18,087		42		73,547		25
Twelve or more payments	211	4		6,781		16		11,139		61
Pending claims	45	1		2,075		5		2,355		88
Total case reserves	4,783	100	%	42,868		100	%	$	274,204	16
IBNR				3,215
LAE				767
Total reserves for losses and LAE				$	46,850

Average reserve per default:
Case				$	9.0
Total				$	9.8

Default Rate	0.96%

	September 30, 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	1,228	57	%	$	7,935	27	%	$	68,317	12	%
Four to eleven payments	690	32		12,948		45		38,003		34
Twelve or more payments	195	9		6,105		21		10,087		61
Pending claims	40	2		2,036		7		2,376		86
Total case reserves	2,153	100	%	29,024		100	%	$	118,783	24
IBNR				2,177
LAE				378
Total reserves for losses and LAE				$	31,579

Average reserve per default:
Case				$	13.5
Total				$	14.7

Default Rate	0.46%



								Exhibit J

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


Investments Available for Sale by Asset Class
Asset Class	September 30, 2018					December 31, 2017
($ in thousands)	Fair Value			Percent		Fair Value		Percent
U.S. Treasury securities	$	265,233		9.9	%	$	227,805	9.9	%
U.S. agency securities	32,677			1.2		33,114		1.4
U.S. agency mortgage-backed securities	566,626			21.3		456,037		19.8
Municipal debt securities	457,506			17.2		465,255		20.2
Non-U.S. government securities	44,798			1.7		—		—
Corporate debt securities	706,330			26.5		611,728		26.5
Residential and commercial mortgage securities	101,649			3.8		79,407		3.5
Asset-backed securities	299,021			11.2		167,922		7.3
Money market funds	191,912			7.2		263,797		11.4
Total investments available for sale	$	2,665,752		100.0	%	$	2,305,065	100.0	%

Investments Available for Sale by Credit Rating
Rating (1)	September 30, 2018					December 31, 2017
($ in thousands)	Fair Value			Percent		Fair Value		Percent
Aaa	$	1,314,053		49.3	%	$	1,160,200	50.3	%
Aa1	131,368			4.9		115,237		5.0
Aa2	187,542			7.0		123,551		5.4
Aa3	130,983			4.9		127,785		5.6
A1	223,943			8.4		205,369		8.9
A2	171,217			6.4		157,651		6.8
A3	148,670			5.6		148,246		6.4
Baa1	167,283			6.3		115,178		5.0
Baa2	127,092			4.8		87,869		3.8
Baa3	33,953			1.3		43,024		1.9
Below Baa3	29,648			1.1		20,955		0.9
Total investments available for sale	$	2,665,752		100.0	%	$	2,305,065	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	September 30, 2018					December 31, 2017
($ in thousands)	Fair Value			Percent		Fair Value		Percent
< 1 Year	$	598,900		22.5	%	$	628,958	27.3	%
1 to < 2 Years	259,820			9.7		164,856		7.2
2 to < 3 Years	250,341			9.4		280,177		12.2
3 to < 4 Years	217,233			8.2		263,799		11.4
4 to < 5 Years	461,890			17.3		263,273		11.4
5 or more Years	877,568			32.9		704,002		30.5
Total investments available for sale	$	2,665,752		100.0	%	$	2,305,065	100.0	%

Pre-tax investment income yield:
Three months ended September 30, 2018	2.60		%
Nine months ended September 30, 2018	2.49		%

Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of September 30, 2018	$	77,206
As of December 31, 2017	$	104,167



				Exhibit K

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital


		September 30, 2018		December 31, 2017
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)		$	1,781,912	$	1,528,869

Combined net risk in force (2)		$	25,124,809	$	21,637,409

Risk-to-capital ratios: (3)
	Essent Guaranty, Inc.	14.7:1		14.7:1
	Essent Guaranty of PA, Inc.	4.4:1		5.4:1
	Combined (4)	14.1:1		14.2:1

Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)		$	749,205	$	662,819

Net risk in force (2)		$	7,797,302	$	6,299,437


(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 September 30, 2018, December 31, 2017 and September 30, 2017, the Company does not have any options, warrants and similar instruments outstanding.

The following table sets forth the reconciliation of Adjusted Book Value to the most comparable GAAP amount as of September 30, 2018, December 31, 2017 and September 30, 2017 in accordance with Regulation G:




(In thousands, except per share amounts)	September 30, 2018			December 31, 2017			September 30, 2017

Numerator:
Total Stockholders' Equity (Book Value)	$	2,215,139		$	1,940,436		$	1,780,570

Subtract: Accumulated Other Comprehensive Income (Loss)	(47,449		)	(3,252		)	3,043

Adjusted Book Value	$	2,262,588		$	1,943,688		$	1,777,527

Denominator:
Total Common Shares Outstanding	98,128			98,434			98,423

Add: Restricted Share Units Outstanding	468			536			553

Total Common Shares and Share Units Outstanding	98,596			98,970			98,976

Adjusted Book Value per Share	$	22.95		$	19.64		$	17.96

Essent Group Ltd. - FORM 8-K - EX-99.1 - EXHIBIT 99.1 - November 9, 2018

Attached files

Essent Group Ltd. Reports