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

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8-K - 8-K - Essent Group Ltd.	form8-kx4q2019earnings.htm

Exhibit 99.1

Essent Group Ltd. Reports Fourth Quarter 2019 Results & Increases Quarterly Dividend

HAMILTON, Bermuda--(BUSINESS WIRE)--February 14, 2020--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2019 of $147.0 million or $1.49 per diluted share, compared to $128.5 million or $1.31 per diluted share for the quarter ended December 31, 2018. For the full year 2019, net income was $555.7 million.

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 March 20, 2020, to shareholders of record on March 10, 2020.

“We are pleased with our strong financial results for both the fourth quarter and full year 2019 as the operating environment remains favorable and credit continues to perform well,” said Mark Casale, Chairman and Chief Executive Officer. “Also, during the quarter we were pleased with Moody’s upgrade of our financial strength rating to A3. We believe that this upgrade is a validation of our progress in making Essent a stronger and more sustainable franchise through the programmatic use of reinsurance.”

Financial Highlights:


•	Insurance in force as of December 31, 2019 was $164.0 billion, compared to $161.0 billion as of September 30, 2019 and $137.7 billion as of December 31, 2018.


•	New insurance written for the fourth quarter was $15.8 billion, compared to $18.7 billion in the third quarter of 2019 and $11.4 billion in the fourth quarter of 2018.


•	Net premiums earned for the fourth quarter were $207.7 million, compared to $203.5 million in the third quarter of 2019 and $173.3 million in the fourth quarter of 2018.


•	The expense ratio for the fourth quarter was 19.9%, compared to 20.4% in the third quarter of 2019 and 22.8% in the fourth quarter of 2018.

•

The provision for losses and LAE for the fourth quarter was $10.9 million, compared to a provision of $10.0 million in the third quarter of 2019 and a benefit of $1.0 million in the fourth quarter of 2018. The provision in the fourth quarter of 2018 included a $9.9 million release of the $11.1 million reserve associated with loans identified as related to Hurricanes Harvey and Irma that was established in the fourth quarter of 2017.


•	The percentage of loans in default as of December 31, 2019 was 0.85%, compared to 0.75% as of September 30, 2019 and 0.66% as of December 31, 2018.


•	The combined ratio for the fourth quarter was 25.1%, compared to 25.3% in the third quarter of 2019 and 22.2% in the fourth quarter of 2018.


•	Other income for the fourth quarter includes a $3.6 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 $0.8 million in the third quarter of 2019. There were no changes in fair value of embedded derivatives in the fourth quarter of 2018.


•	The consolidated balance of cash and investments at December 31, 2019 was $3.5 billion, including cash and investment balances at Essent Group Ltd. of $98.4 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 12.6:1 as of December 31, 2019.


•	On October 17, 2019, Moody’s Investors Service (“Moody’s”) upgraded the financial strength rating of Essent Guaranty, Inc. to A3 from Baa1.

•

On January 31, 2020, Essent announced that its wholly-owned subsidiary, Essent Guaranty, Inc., 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.

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 3788913 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 3788913.

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, 2018 filed with the Securities and Exchange Commission on February 19, 2019. 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 and Year Ended December 31, 2019


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 December 31,						Year Ended December 31,
(In thousands, except per share amounts)	2019			2018			2019			2018
Revenues:
Net premiums written	$	196,493		$	176,437		$	760,845		$	685,287
Decrease (increase) in unearned premiums	11,178			(3,136		)	16,580			(35,795		)
Net premiums earned	207,671			173,301			777,425			649,492
Net investment income	21,977			18,597			83,542			64,091
Realized investment gains, net	833			158			3,229			1,318
Other income (loss)	(1,719		)	1,068			3,371			4,452
Total revenues	228,762			193,124			867,567			719,353

Losses and expenses:
Provision for losses and LAE	10,929			(999		)	32,986			11,575
Other underwriting and operating expenses	41,231			39,449			165,369			150,900
Interest expense	2,218			2,611			10,151			10,179
Total losses and expenses	54,378			41,061			208,506			172,654

Income before income taxes	174,384			152,063			659,061			546,699
Income tax expense	27,426			23,535			103,348			79,336
Net income	$	146,958		$	128,528		$	555,713		$	467,363


Earnings per share:
Basic	$	1.50		$	1.32		$	5.68		$	4.80
Diluted	1.49			1.31			5.66			4.77

Weighted average shares outstanding:
Basic	97,830			97,450			97,762			97,403
Diluted	98,376			98,066			98,227			97,974

Net income	$	146,958		$	128,528		$	555,713		$	467,363

Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments	(6,540		)	18,456			85,180			(25,741		)
Total other comprehensive income (loss)	(6,540		)	18,456			85,180			(25,741		)
Comprehensive income	$	140,418		$	146,984		$	640,893		$	441,622


Loss ratio	5.3		%	(0.6		)%	4.2		%	1.8		%
Expense ratio	19.9			22.8			21.3			23.2
Combined ratio	25.1		%	22.2		%	25.5		%	25.0		%



				Exhibit B

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


	December 31,			December 31,
(In thousands, except per share amounts)	2019			2018
Assets
Investments
Fixed maturities available for sale, at fair value	$	3,035,385		$	2,605,666
Short-term investments available for sale, at fair value	315,362			154,400
Total investments available for sale	3,350,747			2,760,066
Other invested assets	78,873			30,952
Total investments	3,429,620			2,791,018
Cash	71,350			64,946
Accrued investment income	18,535			17,627
Accounts receivable	40,655			36,881
Deferred policy acquisition costs	15,705			16,049
Property and equipment	17,308			7,629
Prepaid federal income tax	261,885			202,385
Other assets	18,367			13,436

Total assets	$	3,873,425		$	3,149,971

Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	69,362		$	49,464
Unearned premium reserve	278,887			295,467
Net deferred tax liability	249,620			172,642
Credit facility borrowings, net of deferred costs	224,237			223,664
Other accrued liabilities	66,474			43,017
Total liabilities	888,580			784,254

Commitments and contingencies

Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 98,394 shares in 2019 and 98,139 shares in 2018	1,476			1,472
Additional paid-in capital	1,118,655			1,110,800
Accumulated other comprehensive income (loss)	56,187			(28,993		)
Retained earnings	1,808,527			1,282,438
Total stockholders' equity	2,984,845			2,365,717

Total liabilities and stockholders' equity	$	3,873,425		$	3,149,971

Return on average equity	20.8		%	21.7		%



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


	2019												2018
Selected Income Statement Data	December 31			September 30			June 30			March 31			December 31			September 30			June 30			March 31
(In thousands, except per share amounts)
Revenues:
Net premiums written	$	196,493		$	198,304		$	188,404		$	177,644		$	176,437		$	175,221		$	168,404		$	165,225

Net premiums earned (1)	207,671			203,473			188,490			177,791			173,301			166,675			156,958			152,558
Other revenues (2)	21,091			22,914			23,402			22,735			19,823			18,323			16,810			14,905
Total revenues	228,762			226,387			211,892			200,526			193,124			184,998			173,768			167,463

Losses and expenses:
Provision for losses and LAE (3)	10,929			9,990			4,960			7,107			(999		)	5,452			1,813			5,309
Other underwriting and operating expenses	41,231			41,588			41,520			41,030			39,449			36,899			36,428			38,124
Interest expense	2,218			2,584			2,679			2,670			2,611			2,500			2,618			2,450
Total losses and expenses	54,378			54,162			49,159			50,807			41,061			44,851			40,859			45,883

Income before income taxes	174,384			172,225			162,733			149,719			152,063			140,147			132,909			121,580
Income tax expense (4)	27,426			27,595			26,328			21,999			23,535			24,136			21,154			10,511
Net income	$	146,958		$	144,630		$	136,405		$	127,720		$	128,528		$	116,011		$	111,755		$	111,069

Earnings per share:
Basic	$	1.50		$	1.48		$	1.39		$	1.31		$	1.32		$	1.19		$	1.15		$	1.14
Diluted	1.49			1.47			1.39			1.30			1.31			1.18			1.14			1.13

Weighted average shares outstanding:
Basic	97,830			97,822			97,798			97,595			97,450			97,438			97,426			97,298
Diluted	98,376			98,257			98,170			98,104			98,066			98,013			97,866			97,951

Other Data:
Loss ratio (5)	5.3		%	4.9		%	2.6		%	4.0		%	(0.6		)%	3.3		%	1.2		%	3.5		%
Expense ratio (6)	19.9			20.4			22.0			23.1			22.8			22.1			23.2			25.0
Combined ratio	25.1		%	25.3		%	24.7		%	27.1		%	22.2		%	25.4		%	24.4		%	28.5		%

Return on average equity (annualized)	20.1		%	20.8		%	20.9		%	20.9		%	22.4		%	21.5		%	21.8		%	22.6		%

(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 December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019 include unfavorable decreases of $3,585 and $760 and favorable increases of $1,160 and $1,424, respectively, in the fair value of these embedded derivatives.
(3) Provision for losses and LAE for the three months ended December 31, 2018 includes a $9,941 reduction associated with previously identified hurricane-related defaults based on the performance to date and our expectations of the amount of ultimate losses on the remaining delinquencies.
(4) Income tax expense for the three months ended March 31, 2019 and 2018 was reduced by $1,956 and $9,549, respectively, of excess tax benefits associated with the vesting of common shares and common share units during each period. Income tax expense for the three months 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.
(5) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
(6) 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


	2019												2018
Other Data, continued:	December 31			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	$	15,839,836		$	18,719,876		$	17,973,505		$	10,945,307		$	11,408,542		$	13,913,191		$	12,850,642		$	9,336,150
New risk written	3,966,363			4,695,611			4,485,217			2,713,389			2,838,530			3,430,942			3,201,610			2,295,314

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

Total:
Average gross premium rate (7)	0.51		%	0.52		%	0.51		%	0.50		%	0.50		%	0.51		%	0.52		%	0.52		%
Average net premium rate (8)	0.49		%	0.49		%	0.49		%	0.48		%	0.49		%	0.50		%	0.51		%	0.52		%
New insurance written	$	15,839,836		$	18,726,009		$	18,003,029		$	11,000,309		$	11,408,542		$	13,913,191		$	12,850,642		$	9,336,150
New risk written	$	3,966,363		$	4,696,453		$	4,487,346		$	2,719,931		$	2,838,530		$	3,430,942		$	3,201,610		$	2,295,314
Insurance in force (end of period)	$	164,005,853		$	160,962,192		$	153,317,157		$	143,181,641		$	137,720,786		$	131,249,957		$	122,501,246		$	115,250,949
Gross risk in force (end of period) (9)	$	41,402,950		$	40,540,289		$	38,531,090		$	35,925,830		$	34,482,448		$	32,786,194		$	30,579,106		$	28,691,561
Risk in force (end of period)	$	38,947,857		$	38,784,584		$	37,034,687		$	34,744,417		$	33,892,869		$	32,361,782		$	30,154,694		$	28,267,149
Policies in force	702,925			693,085			666,705			629,808			608,135			581,570			546,576			517,215
Weighted average coverage (10)	25.2		%	25.2		%	25.1		%	25.1		%	25.0		%	25.0		%	25.0		%	24.9		%
Annual persistency	77.5		%	82.1		%	84.8		%	85.1		%	84.9		%	84.0		%	83.0		%	83.5		%

Loans in default (count)	5,947			5,232			4,405			4,096			4,024			3,538			3,519			4,442
Percentage of loans in default	0.85		%	0.75		%	0.66		%	0.65		%	0.66		%	0.61		%	0.64		%	0.86		%

Other Risk in Force
GSE and other risk share (11)	$	895,374		$	849,184		$	802,530		$	771,175		$	655,384		$	612,750		$	592,493		$	557,692

Credit Facility
Borrowings outstanding	$	225,000		$	225,000		$	225,000		$	225,000		$	225,000		$	225,000		$	225,000		$	265,000
Undrawn committed capacity	$	275,000		$	275,000		$	275,000		$	275,000		$	275,000		$	275,000		$	275,000		$	110,000
Weighted average interest rate (end of period)	3.51		%

(7) 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.
(8) 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.
(9) Gross risk in force includes risk ceded under third-party reinsurance.
(10) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
(11) 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										Year Ended
	December 31, 2019					December 31, 2018					December 31, 2019					December 31, 2018
($ in thousands)
>=760	$	6,486,486		40.9	%	$	4,737,774		41.5	%	$	25,738,423		40.5	%	$	19,903,369		41.9	%
740-759	2,880,429			18.2		1,959,523			17.2		11,152,853			17.6		8,076,182			17.0
720-739	2,401,806			15.2		1,665,931			14.6		9,340,180			14.7		6,875,823			14.5
700-719	1,860,120			11.7		1,349,689			11.8		7,555,687			11.9		5,715,076			12.0
680-699	1,235,223			7.8		875,125			7.7		5,248,330			8.3		3,722,490			7.8
<=679	975,772			6.2		820,500			7.2		4,443,051			7.0		3,215,585			6.8
Total	$	15,839,836		100.0	%	$	11,408,542		100.0	%	$	63,478,524		100.0	%	$	47,508,525		100.0	%

Weighted average credit score	745					745					744					745



NIW by LTV
	Three Months Ended										Year Ended
	December 31, 2019					December 31, 2018					December 31, 2019					December 31, 2018
($ in thousands)
85.00% and below	$	2,084,932		13.2	%	$	1,384,296		12.1	%	$	7,874,266		12.4	%	$	5,731,894		12.1	%
85.01% to 90.00%	4,757,915			30.0		3,124,625			27.4		17,847,603			28.1		13,227,075			27.8
90.01% to 95.00%	6,771,196			42.7		4,955,729			43.4		26,852,903			42.3		20,579,615			43.3
95.01% and above	2,225,793			14.1		1,943,892			17.1		10,903,752			17.2		7,969,941			16.8
Total	$	15,839,836		100.0	%	$	11,408,542		100.0	%	$	63,478,524		100.0	%	$	47,508,525		100.0	%

Weighted average LTV	92		%			92		%			92		%			92		%



NIW by Product
	Three Months Ended										Year Ended
	December 31, 2019					December 31, 2018					December 31, 2019					December 31, 2018
Single Premium policies				10.4	%				13.5	%				11.1	%				15.3	%
Monthly Premium policies				89.6					86.5					88.9					84.7
				100.0	%				100.0	%				100.0	%				100.0	%



NIW by Purchase vs. Refinance
	Three Months Ended										Year Ended
	December 31, 2019					December 31, 2018					December 31, 2019					December 31, 2018
Purchase				71.8	%				93.3	%				80.4	%				91.8	%
Refinance				28.2					6.7					19.6					8.2
				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	December 31, 2019					September 30, 2019					December 31, 2018
($ in thousands)
>=760	$	68,123,523		41.5	%	$	67,408,766		41.9	%	$	59,249,659		43.0	%
740-759	27,886,603			17.0		27,178,330			16.9		22,843,145			16.6
720-739	24,069,139			14.7		23,459,055			14.6		19,898,885			14.5
700-719	19,183,219			11.7		18,728,884			11.6		15,714,206			11.4
680-699	13,713,164			8.4		13,418,919			8.3		11,299,829			8.2
<=679	11,030,205			6.7		10,768,238			6.7		8,715,062			6.3
Total	$	164,005,853		100.0	%	$	160,962,192		100.0	%	$	137,720,786		100.0	%

Weighted average credit score	745					745					746

Gross RIF by FICO score	December 31, 2019					September 30, 2019					December 31, 2018
($ in thousands)
>=760	$	17,082,683		41.3	%	$	16,877,750		41.6	%	$	14,789,783		42.9	%
740-759	7,056,654			17.0		6,857,369			16.9		5,736,432			16.6
720-739	6,150,334			14.9		5,980,949			14.8		5,036,063			14.6
700-719	4,873,597			11.8		4,743,360			11.7		3,943,925			11.4
680-699	3,491,755			8.4		3,406,811			8.4		2,846,297			8.3
<=679	2,747,927			6.6		2,674,050			6.6		2,129,948			6.2
Total	$	41,402,950		100.0	%	$	40,540,289		100.0	%	$	34,482,448		100.0	%

Portfolio by LTV
IIF by LTV	December 31, 2019					September 30, 2019					December 31, 2018
($ in thousands)
85.00% and below	$	17,128,008		10.5	%	$	16,918,870		10.5	%	$	15,123,578		11.0	%
85.01% to 90.00%	46,771,386			28.5		46,021,398			28.6		41,020,839			29.8
90.01% to 95.00%	76,611,494			46.7		75,528,177			46.9		66,028,990			47.9
95.01% and above	23,494,965			14.3		22,493,747			14.0		15,547,379			11.3
Total	$	164,005,853		100.0	%	$	160,962,192		100.0	%	$	137,720,786		100.0	%

Weighted average LTV	92		%			92		%			92		%

Gross RIF by LTV	December 31, 2019					September 30, 2019					December 31, 2018
($ in thousands)
85.00% and below	$	1,977,361		4.8	%	$	1,953,058		4.8	%	$	1,741,823		5.1	%
85.01% to 90.00%	11,249,383			27.2		11,065,886			27.3		9,819,171			28.5
90.01% to 95.00%	21,981,598			53.1		21,633,852			53.4		18,912,421			54.8
95.01% and above	6,194,608			14.9		5,887,493			14.5		4,009,033			11.6
Total	$	41,402,950		100.0	%	$	40,540,289		100.0	%	$	34,482,448		100.0	%

Portfolio by Loan Amortization Period
IIF by Loan Amortization Period	December 31, 2019					September 30, 2019					December 31, 2018
($ in thousands)
FRM 30 years and higher	$	154,905,519		94.5	%	$	151,594,009		94.2	%	$	128,083,429		93.0	%
FRM 20-25 years	2,854,560			1.7		2,872,964			1.8		2,965,782			2.2
FRM 15 years	3,300,715			2.0		3,367,326			2.1		3,445,447			2.5
ARM 5 years and higher	2,945,059			1.8		3,127,893			1.9		3,226,128			2.3
Total	$	164,005,853		100.0	%	$	160,962,192		100.0	%	$	137,720,786		100.0	%



																						Exhibit F

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

	2019												2018
($ in thousands)	December 31			September 30			June 30			March 31			December 31			September 30			June 30			March 31
GSE and other risk share (1):
Premiums earned	$	9,867		$	9,284		$	8,622		$	7,894		$	7,333		$	6,886		$	6,715		$	6,267

Risk in Force	$	895,374		$	849,184		$	802,530		$	771,175		$	655,384		$	612,750		$	592,493		$	557,692

Weighted average credit score	745			746			748			747			748			749			748			751
Weighted average LTV	85		%	85		%	85		%	85		%	85		%	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.



																						Exhibit G

Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
December 31, 2019


								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		% FRM		Incurred Loss Ratio (Inception to Date) (1)		Number of Loans in Default

2010	$	245,898	$	3,354	1.4	%	25	55.5	%	43.8	%	0.0	%	2.6	%	55.8	%	100.0	%	2.6	%	1
2011	3,229,720		154,793		4.8		902	68.8		58.1		0.4		6.3		52.7		97.9		3.7		18
2012	11,241,161		1,144,794		10.2		6,165	72.2		70.8		0.8		4.9		57.3		99.2		2.1		84
2013	21,152,638		3,411,648		16.1		18,397	78.9		67.4		2.4		7.7		51.2		98.8		2.3		250
2014	24,799,434		5,972,714		24.1		33,081	89.5		67.7		4.9		16.0		41.0		97.4		3.0		535
2015	26,193,656		9,896,050		37.8		48,804	85.1		60.4		2.8		14.7		43.8		98.3		2.7		669
2016	34,949,319		19,022,616		54.4		86,915	84.1		59.0		7.1		13.5		45.7		98.7		2.9		948
2017	43,858,322		29,606,165		67.5		135,204	87.8		60.6		14.6		15.8		41.9		97.3		4.2		1,623
2018	47,508,525		35,318,382		74.3		152,372	92.3		62.4		18.7		15.6		39.9		97.9		6.0		1,398
2019	63,569,183		59,475,337		93.6		221,060	80.4		60.0		17.8		15.6		39.7		98.7		4.2		421
Total	$	276,747,856	$	164,005,853	59.3		702,925	85.2		61.0		14.3		15.1		41.5		98.2		3.3		5,947

(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
December 31, 2019
($ in thousands)
Excess of Loss Reinsurance
					Original Reinsurance in Force								Remaining Reinsurance in Force												Earned Premiums Ceded
Year	Remaining Insurance in Force		Remaining Risk in Force		ILN			Other Reinsurance			Total		ILN		Other Reinsurance		Total		Losses Ceded to Date		Original First Layer Retention		Remaining First Layer Retention		Quarter-to-Date		Year-to-Date		Reduction in PMIERs Minimum Required Assets (8)
2015 & 2016	$	26,837,265	$	7,251,785	$	333,844	(1)	$	—		$	333,844	$	273,773	$	—	$	273,773	$	—	$	208,111	$	208,111	$	1,689	$	4,242	$	221,215
2017	28,700,242		7,249,243		424,412		(2)	165,167		(3)	589,579		319,696		165,167		484,863		—		224,689		222,647		3,149		14,147		283,382
2018	34,615,998		8,719,128		473,184		(4)	118,650		(5)	591,834		426,677		103,147		529,824		—		253,643		253,415		4,660		15,718		428,514
Total	$	90,153,505	$	23,220,156	$	1,231,440		$	283,817		$	1,515,257	$	1,020,146	$	268,314	$	1,288,460	$	—	$	686,443	$	684,173	$	9,498	$	34,107	$	933,111



Quota Share Reinsurance
											Ceding Commission				Earned Premiums Ceded
Year	Remaining Insurance in Force		Remaining Risk in Force		Remaining Ceded Insurance in Force		Remaining Ceded Risk in Force		Losses Ceded to Date		Quarter-to- Date (6)		Year-to- Date (6)		Quarter-to- Date (7)		Year-to- Date (7)		Reduction in PMIERs Minimum Required Assets (8)
2019	$	21,289,799	$	5,349,686	$	4,698,154	$	1,166,633	$	71	$	600	$	650	$	1,272	$	1,392	$	79,554


(1) Reinsurance provided by Radnor Re 2019-2 Ltd., through its issuance of mortgage insurance-linked notes ("ILNs"), effective June 2019.
(2) Reinsurance provided by Radnor Re 2018-1 Ltd., through its issuance of ILNs, effective March 2018.
(3) Reinsurance provided by a panel of reinsurers effective November 2018. Coverage provided immediately above the coverage provided by Radnor Re 2018-1 Ltd.
(4) Reinsurance provided by Radnor Re 2019-1 Ltd., through its issuance of ILNs, effective February 2019.
(5) Reinsurance provided by a panel of reinsurers effective February 2019. Coverage provided pari-passu to the coverage provided by Radnor Re 2019-1 Ltd.
(6) Ceding commission is recorded as a reduction of Other underwriting and operating expenses in the Condensed Consolidated Statements of Comprehensive Income.
(7) Premiums ceded are net of profit commission.
(8) 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
	December 31, 2019		September 30, 2019		December 31, 2018
CA	10.0	%	9.8	%	9.1	%
TX	8.6		8.3		7.9
FL	7.9		7.7		7.4
WA	4.4		4.5		4.7
CO	3.7		3.6		3.4
IL	3.7		3.7		3.8
NJ	3.6		3.6		3.8
OH	3.4		3.4		3.3
NC	3.3		3.3		3.5
AZ	3.3		3.2		3.1
All Others	48.1		48.9		50.0
Total	100.0	%	100.0	%	100.0	%



Gross RIF by State
	December 31, 2019		September 30, 2019		December 31, 2018
CA	9.8	%	9.6	%	8.9	%
TX	8.9		8.6		8.1
FL	8.0		7.9		7.5
WA	4.4		4.5		4.7
CO	3.6		3.5		3.3
NJ	3.6		3.6		3.7
IL	3.5		3.6		3.8
OH	3.3		3.4		3.3
NC	3.3		3.3		3.5
GA	3.3		3.3		3.5
All Others	48.3		48.7		49.7
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						Year Ended
	December 31,			December 31,			December 31,			December 31,
	2019			2018			2019			2018
Beginning default inventory	5,232			3,538			4,024			4,783
Plus: new defaults	3,826			2,747			13,304			8,727
Less: cures	(3,027		)	(2,183		)	(10,985		)	(9,226		)
Less: claims paid	(80		)	(75		)	(377		)	(254		)
Less: rescissions and denials, net	(4		)	(3		)	(19		)	(6		)
Ending default inventory	5,947			4,024			5,947			4,024



Rollforward of Reserve for Losses and LAE
	Three Months Ended						Year Ended
	December 31,			December 31,			December 31,			December 31,
($ in thousands)	2019			2018			2019			2018
Reserve for losses and LAE at beginning of period	$	61,436		$	53,355		$	49,464		$	46,850
Less: Reinsurance recoverables	—			—			—			—
Net reserve for losses and LAE at beginning of period	61,436			53,355			49,464			46,850
Add provision for losses and LAE occurring in:
Current year	12,658			11,239			50,562			36,438
Prior years	(1,729		)	(12,238		)	(17,576		)	(24,863		)
Incurred losses and LAE during the period	10,929			(999		)	32,986			11,575
Deduct payments for losses and LAE occurring in:
Current year	631			690			1,288			1,310
Prior years	2,443			2,202			11,871			7,651
Loss and LAE payments during the period	3,074			2,892			13,159			8,961
Net reserve for losses and LAE at end of period	69,291			49,464			69,291			49,464
Plus: Reinsurance recoverables	71			—			71			—
Reserve for losses and LAE at end of period	$	69,362		$	49,464		$	69,362		$	49,464



Claims
	Three Months Ended						Year Ended
	December 31,			December 31,			December 31,			December 31,
	2019			2018			2019			2018
Number of claims paid	80			75			377			254
Total amount paid for claims (in thousands)	$	2,922		$	2,711		$	12,613		$	8,559
Average amount paid per claim (in thousands)	$	37		$	36		$	33		$	34
Severity	76		%	82		%	74		%	73		%



								Exhibit J, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
U.S. Mortgage Insurance Portfolio


	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 (1)	5,947	100	%	63,180		100	%	$	319,910	20
IBNR				4,738
LAE				1,265
Total reserves for losses and LAE (1)				$	69,183

Average reserve per default:
Case				$	10.6
Total				$	11.6

Default Rate	0.85%

(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $179.

	December 31, 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	2,254	56	%	$	12,005	27	%	$	119,666	10	%
Four to eleven payments	1,350	33		20,031		44		72,222		28
Twelve or more payments	357	9		10,523		23		20,419		52
Pending claims	63	2		2,749		6		3,182		86
Total case reserves	4,024	100	%	45,308		100	%	$	215,489	21
IBNR				3,398
LAE				758
Total reserves for losses and LAE				$	49,464

Average reserve per default:
Case				$	11.3
Total				$	12.3

Default Rate	0.66%



								Exhibit K

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


Investments Available for Sale by Asset Class
Asset Class	December 31, 2019					December 31, 2018
($ in thousands)	Fair Value			Percent		Fair Value		Percent
U.S. Treasury securities	$	242,206		7.2	%	$	289,892	10.5	%
U.S. agency securities	33,605			1.0		32,997		1.2
U.S. agency mortgage-backed securities	848,334			25.3		637,178		23.1
Municipal debt securities	361,638			10.8		483,879		17.5
Non-U.S. government securities	54,995			1.7		45,001		1.6
Corporate debt securities	880,301			26.3		725,201		26.3
Residential and commercial mortgage securities	288,281			8.6		121,838		4.4
Asset-backed securities	326,025			9.7		284,997		10.3
Money market funds	315,362			9.4		139,083		5.1
Total investments available for sale	$	3,350,747		100.0	%	$	2,760,066	100.0	%

Investments Available for Sale by Credit Rating
Rating (1)	December 31, 2019					December 31, 2018
($ in thousands)	Fair Value			Percent		Fair Value		Percent
Aaa	$	1,817,905		54.2	%	$	1,362,781	49.4	%
Aa1	109,122			3.3		124,435		4.5
Aa2	145,282			4.3		196,218		7.1
Aa3	159,599			4.8		143,315		5.2
A1	206,643			6.2		222,073		8.0
A2	183,780			5.5		199,238		7.2
A3	191,933			5.7		146,300		5.3
Baa1	232,490			6.9		162,695		5.9
Baa2	179,664			5.4		140,168		5.1
Baa3	65,119			1.9		26,805		1.0
Below Baa3	59,210			1.8		36,038		1.3
Total investments available for sale	$	3,350,747		100.0	%	$	2,760,066	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	December 31, 2019					December 31, 2018
($ in thousands)	Fair Value			Percent		Fair Value		Percent
< 1 Year	$	1,038,782		31.0	%	$	529,545	19.2	%
1 to < 2 Years	306,148			9.1		285,060		10.3
2 to < 3 Years	348,708			10.4		251,763		9.1
3 to < 4 Years	361,147			10.8		278,804		10.1
4 to < 5 Years	443,382			13.2		429,005		15.6
5 or more Years	852,580			25.5		985,889		35.7
Total investments available for sale	$	3,350,747		100.0	%	$	2,760,066	100.0	%

Pre-tax investment income yield:
Three months ended December 31, 2019	2.79		%
Year ended December 31, 2019	2.82		%

Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of December 31, 2019	$	98,376
As of December 31, 2018	$	78,405



				Exhibit L

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital


		December 31, 2019		December 31, 2018
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)		$	2,335,828	$	1,886,929

Combined net risk in force (2)		$	29,460,191	$	26,233,783

Risk-to-capital ratios: (3)
	Essent Guaranty, Inc.	13.1:1		14.4:1
	Essent Guaranty of PA, Inc.	2.9:1		4.2:1
	Combined (4)	12.6:1		13.9:1

Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)		$	939,360	$	798,612

Net risk in force (2)		$	10,314,942	$	8,265,763


(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 December 31, 2019 and December 31, 2018, 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 December 31, 2019 and December 31, 2018 in accordance with Regulation G:




(In thousands, except per share amounts)	December 31, 2019		December 31, 2018

Numerator:
Total Stockholders' Equity (Book Value)	$	2,984,845	$	2,365,717

Subtract: Accumulated Other Comprehensive Income (Loss)	56,187		(28,993		)

Adjusted Book Value	$	2,928,658	$	2,394,710

Denominator:
Total Common Shares Outstanding	98,394		98,139

Add: Restricted Share Units and Dividend Equivalent Units Outstanding	356		449

Total Common Shares and Share Units Outstanding	98,750		98,588

Adjusted Book Value per Share	$	29.66	$	24.29

Essent Group Ltd. - FORM 8-K - EX-99.1 - EXHIBIT 99.1 - February 14, 2020

Attached files

Essent Group Ltd. Reports