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

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8-K - 8-K - Essent Group Ltd.	form8-kx2q2020earnings.htm

Exhibit 99.1

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

HAMILTON, Bermuda--(BUSINESS WIRE)--August 7, 2020--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2020 of $15.4 million or $0.15 per diluted share, compared to $136.4 million or $1.39 per diluted share for the quarter ended June 30, 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 September 10, 2020, to shareholders of record on August 31, 2020.

"Our financial results for the second quarter reflect the initial impact of the COVID-19 pandemic on our insured portfolio,” said Mark Casale, Chairman and Chief Executive Officer. “Our outlook on the timing and shape of an economic recovery remains cautious. However, we remain confident that with the strength and sustainability of our operating model, in conjunction with our strong balance sheet, capital and liquidity, we are well suited to navigate this challenging operating environment.”

Financial Highlights:


•	Insurance in force as of June 30, 2020 was $174.6 billion, compared to $165.6 billion as of March 31, 2020 and $153.3 billion as of June 30, 2019.


•	New insurance written for the second quarter was $28.2 billion, compared to $13.5 billion in the first quarter of 2020 and $18.0 billion in the second quarter of 2019.


•	Net premiums earned for the second quarter were $211.5 million, compared to $206.5 million in the first quarter of 2020 and $188.5 million in the second quarter of 2019.


•	The expense ratio for the second quarter was 18.4%, compared to 20.3% in the first quarter of 2020 and 22.0% in the second quarter of 2019.


•	The provision for losses and LAE for the second quarter was $175.9 million, compared to a provision of $8.1 million in the first quarter of 2020 and a provision of $5.0 million in the second quarter of 2019.


•	The percentage of loans in default as of June 30, 2020 was 5.19%, compared to 0.83% as of March 31, 2020 and 0.66% as of June 30, 2019.

◦As of July 31, 2020, the percentage of loans in default was 5.01%.


•	The combined ratio for the second quarter was 101.5%, compared to 24.2% in the first quarter of 2020 and 24.7% in the second quarter of 2019.


•	Other income for the second quarter includes a $2.5 million gain for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a loss of $4.2 million in the first quarter of 2020 and a gain of $1.2 million in the second quarter of 2019.


•	The consolidated balance of cash and investments at June 30, 2020 was $4.5 billion, including cash and investment balances at Essent Group Ltd. of $702.2 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 11.7:1 as of June 30, 2020.


•	On June 2, 2020, Essent Group Ltd. completed an offering of 13,800,000 common shares at $33.25 per share, generating net proceeds of $440.0 million.


•	During the second quarter, A.M. Best affirmed its “A (Excellent)” financial strength rating of Essent Guaranty, Inc., acknowledging the strength in our business model and capital position. Essent Guaranty, Inc. also has financial strength ratings of “A3” by Moody’s and “BBB+” by S&P.

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/events-and-presentations/events/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 5617769 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 5617769.

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/financials/quarterly-results/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 June 30, 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 June 30,						Six Months Ended June 30,
(In thousands, except per share amounts)	2020			2019			2020			2019
Revenues:
Direct premiums written	$	228,044		$	196,832		$	434,024		$	380,514
Ceded premiums	(22,140		)	(8,428		)	(36,377		)	(14,466		)
Net premiums written	205,904			188,404			397,647			366,048
Decrease in unearned premiums	5,567			86			20,320			233
Net premiums earned	211,471			188,490			417,967			366,281
Net investment income	19,866			20,581			40,499			40,461
Realized investment gains (losses), net	(1,269		)	583			1,866			1,243
Other income	6,009			2,238			4,585			4,433
Total revenues	236,077			211,892			464,917			412,418

Losses and expenses:
Provision for losses and LAE	175,877			4,960			183,940			12,067
Other underwriting and operating expenses	38,819			41,520			80,766			82,550
Interest expense	2,566			2,679			4,698			5,349
Total losses and expenses	217,262			49,159			269,404			99,966

Income before income taxes	18,815			162,733			195,513			312,452
Income tax expense	3,435			26,328			30,610			48,327
Net income	$	15,380		$	136,405		$	164,903		$	264,125


Earnings per share:
Basic	$	0.15		$	1.39		$	1.65		$	2.70
Diluted	0.15			1.39			1.64			2.69

Weighted average shares outstanding:
Basic	102,500			97,798			100,224			97,697
Diluted	102,605			98,170			100,466			98,137

Net income	$	15,380		$	136,405		$	164,903		$	264,125

Other comprehensive income (loss):
Change in unrealized appreciation of investments	74,285			35,987			64,211			74,353
Total other comprehensive income	74,285			35,987			64,211			74,353
Comprehensive income	$	89,665		$	172,392		$	229,114		$	338,478


Loss ratio	83.2		%	2.6		%	44.0		%	3.3		%
Expense ratio	18.4			22.0			19.3			22.5
Combined ratio	101.5		%	24.7		%	63.3		%	25.8		%



				Exhibit B

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


	June 30,			December 31,
(In thousands, except per share amounts)	2020			2019
Assets
Investments
Fixed maturities available for sale, at fair value	$	3,221,149		$	3,035,385
Short-term investments available for sale, at fair value	1,130,954			315,362
Total investments available for sale	4,352,103			3,350,747
Other invested assets	78,536			78,873
Total investments	4,430,639			3,429,620
Cash	72,787			71,350
Accrued investment income	18,711			18,535
Accounts receivable	39,750			40,655
Deferred policy acquisition costs	15,856			15,705
Property and equipment	15,458			17,308
Prepaid federal income tax	279,136			261,885
Other assets	27,611			18,367

Total assets	$	4,899,948		$	3,873,425

Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	250,890		$	69,362
Unearned premium reserve	258,567			278,887
Net deferred tax liability	272,746			249,620
Credit facility borrowings, net of deferred costs	424,523			224,237
Other accrued liabilities	69,893			66,474
Total liabilities	1,276,619			888,580

Commitments and contingencies

Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 112,423 shares in 2020 and 98,394 shares in 2019	1,686			1,476
Additional paid-in capital	1,561,737			1,118,655
Accumulated other comprehensive income	120,398			56,187
Retained earnings	1,939,508			1,808,527
Total stockholders' equity	3,623,329			2,984,845

Total liabilities and stockholders' equity	$	4,899,948		$	3,873,425

Return on average equity (1)	10.0		%	20.8		%

(1) The 2020 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	June 30			March 31			December 31			September 30			June 30			March 31
(In thousands, except per share amounts)
Revenues:
Net premiums written	$	205,904		$	191,743		$	196,493		$	198,304		$	188,404		$	177,644

Net premiums earned (1)	211,471			206,496			207,671			203,473			188,490			177,791
Other revenues (2)	24,606			22,344			21,091			22,914			23,402			22,735
Total revenues	236,077			228,840			228,762			226,387			211,892			200,526

Losses and expenses:
Provision for losses and LAE	175,877			8,063			10,929			9,990			4,960			7,107
Other underwriting and operating expenses	38,819			41,947			41,231			41,588			41,520			41,030
Interest expense	2,566			2,132			2,218			2,584			2,679			2,670
Total losses and expenses	217,262			52,142			54,378			54,162			49,159			50,807

Income before income taxes	18,815			176,698			174,384			172,225			162,733			149,719
Income tax expense (3)	3,435			27,175			27,426			27,595			26,328			21,999
Net income	$	15,380		$	149,523		$	146,958		$	144,630		$	136,405		$	127,720

Earnings per share:
Basic	$	0.15		$	1.53		$	1.50		$	1.48		$	1.39		$	1.31
Diluted	0.15			1.52			1.49			1.47			1.39			1.30

Weighted average shares outstanding:
Basic	102,500			97,949			97,830			97,822			97,798			97,595
Diluted	102,605			98,326			98,376			98,257			98,170			98,104

Other Data:
Loss ratio (4)	83.2		%	3.9		%	5.3		%	4.9		%	2.6		%	4.0		%
Expense ratio (5)	18.4			20.3			19.9			20.4			22.0			23.1
Combined ratio	101.5		%	24.2		%	25.1		%	25.3		%	24.7		%	27.1		%

Return on average equity (annualized)	1.8		%	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 June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019 include net favorable (unfavorable) changes of $2,502, ($4,200), ($3,585), ($760), $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:	June 30			March 31			December 31			September 30			June 30			March 31
($ in thousands)

U.S. Mortgage Insurance Portfolio
Flow:
New insurance written	$	28,163,212		$	13,549,299		$	15,839,836		$	18,719,876		$	17,973,505		$	10,945,307
New risk written	6,875,250			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)	0.53		%	0.51		%	0.51		%	0.52		%	0.51		%	0.50		%
Average net premium rate (7)	0.48		%	0.48		%	0.49		%	0.49		%	0.49		%	0.48		%
New insurance written	$	28,163,212		$	13,549,450		$	15,839,836		$	18,726,009		$	18,003,029		$	11,000,309
New risk written	$	6,875,250		$	3,384,195		$	3,966,363		$	4,696,453		$	4,487,346		$	2,719,931
Insurance in force (end of period)	$	174,646,273		$	165,615,503		$	164,005,853		$	160,962,192		$	153,317,157		$	143,181,641
Gross risk in force (end of period) (8)	$	43,993,989		$	41,865,977		$	41,402,950		$	40,540,289		$	38,531,090		$	35,925,830
Risk in force (end of period)	$	39,113,879		$	38,290,022		$	38,947,857		$	38,784,584		$	37,034,687		$	34,744,417
Policies in force	733,651			706,714			702,925			693,085			666,705			629,808
Weighted average coverage (9)	25.2		%	25.3		%	25.2		%	25.2		%	25.1		%	25.1		%
Annual persistency	67.9		%	73.9		%	77.5		%	82.1		%	84.8		%	85.1		%

Loans in default (count)	38,068			5,841			5,947			5,232			4,405			4,096
Percentage of loans in default	5.19		%	0.83		%	0.85		%	0.75		%	0.66		%	0.65		%

Other Risk in Force
GSE and other risk share (10)	$	1,031,699		$	1,100,966		$	895,374		$	849,184		$	802,530		$	771,175

Credit Facility
Borrowings outstanding	$	425,000		$	425,000		$	225,000		$	225,000		$	225,000		$	225,000
Undrawn committed capacity	$	75,000		$	75,000		$	275,000		$	275,000		$	275,000		$	275,000
Weighted average interest rate (end of period)	1.93		%

(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										Six Months Ended
	June 30, 2020					June 30, 2019					June 30, 2020					June 30, 2019
($ in thousands)
>=760	$	12,163,927		43.2	%	$	7,313,814		40.7	%	$	17,819,643		42.7	%	$	11,784,317		40.8	%
740-759	5,300,459			18.8		3,073,807			17.1		7,758,491			18.6		4,985,948			17.2
720-739	4,352,367			15.5		2,572,580			14.3		6,371,241			15.3		4,138,193			14.3
700-719	3,278,269			11.6		2,140,363			11.9		4,837,012			11.6		3,492,908			12.1
680-699	1,950,905			6.9		1,534,959			8.5		2,995,823			7.2		2,442,928			8.4
<=679	1,117,285			4.0		1,337,982			7.5		1,930,301			4.6		2,074,518			7.2
Total	$	28,163,212		100.0	%	$	17,973,505		100.0	%	$	41,712,511		100.0	%	$	28,918,812		100.0	%

Weighted average credit score	749					744					748					744



NIW by LTV
	Three Months Ended										Six Months Ended
	June 30, 2020					June 30, 2019					June 30, 2020					June 30, 2019
($ in thousands)
85.00% and below	$	5,028,803		17.9	%	$	2,220,430		12.3	%	$	6,992,279		16.8	%	$	3,663,263		12.7	%
85.01% to 90.00%	9,079,625			32.2		4,851,313			27.0		13,066,899			31.3		7,801,661			27.0
90.01% to 95.00%	10,914,874			38.8		7,525,709			41.9		16,600,754			39.8		12,185,046			42.1
95.01% and above	3,139,910			11.1		3,376,053			18.8		5,052,579			12.1		5,268,842			18.2
Total	$	28,163,212		100.0	%	$	17,973,505		100.0	%	$	41,712,511		100.0	%	$	28,918,812		100.0	%

Weighted average LTV	91		%			92		%			91		%			92		%



NIW by Product
	Three Months Ended										Six Months Ended
	June 30, 2020					June 30, 2019					June 30, 2020					June 30, 2019
Single Premium policies				10.6	%				11.1	%				10.3	%				11.6	%
Monthly Premium policies				89.4					88.9					89.7					88.4
				100.0	%				100.0	%				100.0	%				100.0	%



NIW by Purchase vs. Refinance
	Three Months Ended										Six Months Ended
	June 30, 2020					June 30, 2019					June 30, 2020					June 30, 2019
Purchase				54.2	%				84.5	%				59.1	%				85.7	%
Refinance				45.8					15.5					40.9					14.3
				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	June 30, 2020					March 31, 2020					June 30, 2019
($ in thousands)
>=760	$	71,570,804		41.0	%	$	68,385,363		41.3	%	$	64,977,185		42.4	%
740-759	30,265,718			17.3		28,289,661			17.1		25,747,495			16.8
720-739	26,130,764			15.0		24,441,834			14.7		22,203,764			14.5
700-719	20,721,839			11.9		19,442,133			11.7		17,723,067			11.5
680-699	14,545,011			8.3		13,859,727			8.4		12,697,092			8.3
<=679	11,412,137			6.5		11,196,785			6.8		9,968,554			6.5
Total	$	174,646,273		100.0	%	$	165,615,503		100.0	%	$	153,317,157		100.0	%

Weighted average credit score	745					745					746

Gross RIF by FICO score	June 30, 2020					March 31, 2020					June 30, 2019
($ in thousands)
>=760	$	17,871,881		40.6	%	$	17,138,596		40.9	%	$	16,258,608		42.2	%
740-759	7,672,436			17.4		7,181,181			17.2		6,478,145			16.8
720-739	6,673,863			15.2		6,262,376			15.0		5,643,012			14.6
700-719	5,246,989			11.9		4,950,746			11.8		4,473,871			11.6
680-699	3,693,448			8.4		3,537,973			8.4		3,217,062			8.4
<=679	2,835,372			6.5		2,795,105			6.7		2,460,392			6.4
Total	$	43,993,989		100.0	%	$	41,865,977		100.0	%	$	38,531,090		100.0	%

Portfolio by LTV
IIF by LTV	June 30, 2020					March 31, 2020					June 30, 2019
($ in thousands)
85.00% and below	$	19,874,830		11.4	%	$	17,304,231		10.5	%	$	16,525,093		10.8	%
85.01% to 90.00%	50,446,645			28.9		47,063,180			28.4		44,234,770			28.9
90.01% to 95.00%	79,112,541			45.3		77,059,950			46.5		72,549,888			47.3
95.01% and above	25,212,257			14.4		24,188,142			14.6		20,007,406			13.0
Total	$	174,646,273		100.0	%	$	165,615,503		100.0	%	$	153,317,157		100.0	%

Weighted average LTV	92		%			92		%			92		%

Gross RIF by LTV	June 30, 2020					March 31, 2020					June 30, 2019
($ in thousands)
85.00% and below	$	2,292,935		5.2	%	$	1,997,845		4.8	%	$	1,907,272		5.0	%
85.01% to 90.00%	12,120,308			27.6		11,322,131			27.0		10,625,848			27.6
90.01% to 95.00%	22,760,884			51.7		22,110,369			52.8		20,784,261			53.9
95.01% and above	6,819,862			15.5		6,435,632			15.4		5,213,709			13.5
Total	$	43,993,989		100.0	%	$	41,865,977		100.0	%	$	38,531,090		100.0	%

Portfolio by Loan Amortization Period
IIF by Loan Amortization Period	June 30, 2020					March 31, 2020					June 30, 2019
($ in thousands)
FRM 30 years and higher	$	165,143,246		94.5	%	$	156,741,714		94.6	%	$	143,827,908		93.8	%
FRM 20-25 years	3,277,847			1.9		2,829,876			1.7		2,901,947			1.9
FRM 15 years	3,660,888			2.1		3,230,148			2.0		3,391,072			2.2
ARM 5 years and higher	2,564,292			1.5		2,813,765			1.7		3,196,230			2.1
Total	$	174,646,273		100.0	%	$	165,615,503		100.0	%	$	153,317,157		100.0	%



																Exhibit F

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

	2020						2019
($ in thousands)	June 30			March 31			December 31			September 30			June 30			March 31
GSE and other risk share (1):
Premiums earned	$	10,655		$	10,778		$	9,867		$	9,284		$	8,622		$	7,894

Risk in Force	$	1,031,699		$	1,100,966		$	895,374		$	849,184		$	802,530		$	771,175

Weighted average credit score	746			746			745			746			748			747
Weighted average LTV	85		%	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
June 30, 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	$	8,530,559	14.1	%	47,938	83.7	%	69.0	%	3.9	%	12.6	%	45.3	%	3.2	%	2,532	5.28	%
2015	26,193,656		7,936,090		30.3		40,235	85.6		61.8		2.9		15.1		43.2		4.2		2,305	5.73
2016	34,949,319		15,675,316		44.9		73,492	85.4		60.2		7.4		13.6		45.5		5.9		4,493	6.11
2017	43,858,322		23,247,877		53.0		110,369	88.6		61.7		15.3		16.5		41.3		8.8		7,354	6.66
2018	47,508,525		26,920,663		56.7		121,708	92.7		63.7		19.8		16.8		38.3		14.0		8,598	7.06
2019	63,569,183		51,138,928		80.4		196,033	81.1		61.0		18.7		16.3		38.5		27.3		11,098	5.66
2020 (through June 30)	41,712,662		41,196,840		98.8		143,876	58.9		51.9		12.2		11.8		42.6		34.5		1,688	1.17
Total	$	318,460,518	$	174,646,273	54.8		733,651	79.3		59.7		14.4		14.9		41.0		7.9		38,068	5.19

(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
June 30, 2020
($ 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 (1)		Other Reinsurance (2)		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 (5)
2015 & 2016	$	22,315,283	$	6,025,734	$	333,844	$	—	$	333,844	$	216,480	$	—	$	216,480	$	—	$	208,111	$	207,849	$	1,449	$	3,287	$	174,682
2017	22,597,869		5,742,641		424,412		165,167		589,579		242,123		165,167		407,290		—		224,689		220,308		2,801		6,154		204,148
2018	26,393,162		6,676,437		473,184		118,650		591,834		325,537		76,144		401,681		—		253,643		252,392		3,473		7,578		299,170
2019 (3)	30,475,038		7,724,225		495,889		55,102		550,991		495,889		55,102		550,991		—		215,605		215,605		2,953		5,442		423,843
Total	$	101,781,352	$	26,169,037	$	1,727,329	$	338,919	$	2,066,248	$	1,280,029	$	296,413	$	1,576,442	$	—	$	902,048	$	896,154	$	10,676	$	22,461	$	1,101,843



Quota Share Reinsurance
										Losses Ceded				Ceding Commission				Earned Premiums Ceded
Year		Remaining Insurance in Force		Remaining Risk in Force		Remaining Ceded Insurance in Force		Remaining Ceded Risk in Force		Quarter-to-Date		Year-to-Date		Quarter-to-Date		Year-to-Date		Quarter-to-Date		Year-to-Date		Reduction in PMIERs Minimum Required Assets (5)
2019 & 2020	(4)	$	61,036,696	$	15,141,048	$	13,463,715	$	3,303,668	$	7,598	$	7,696	$	1,933	$	3,110	$	11,464	$	13,916	$	223,393


(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
	June 30, 2020		March 31, 2020		June 30, 2019
CA	10.6	%	10.4	%	9.6	%
TX	9.4		8.9		8.0
FL	8.2		8.0		7.5
WA	4.0		4.2		4.6
CO	3.9		3.8		3.6
IL	3.5		3.6		3.8
NJ	3.5		3.6		3.7
AZ	3.5		3.3		3.2
VA	3.2		3.1		3.2
OH	3.2		3.3		3.4
All Others	47.0		47.8		49.4
Total	100.0	%	100.0	%	100.0	%



Gross RIF by State
	June 30, 2020		March 31, 2020		June 30, 2019
CA	10.3	%	10.1	%	9.4	%
TX	9.7		9.2		8.3
FL	8.4		8.2		7.6
WA	4.0		4.2		4.6
CO	3.8		3.7		3.5
NJ	3.4		3.5		3.6
AZ	3.4		3.3		3.1
IL	3.4		3.5		3.7
GA	3.2		3.2		3.4
OH	3.2		3.3		3.4
All Others	47.2		47.8		49.4
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						Six Months Ended
	June 30,			June 30,			June 30,			June 30,
	2020			2019			2020			2019
Beginning default inventory	5,841			4,096			5,947			4,024
Plus: new defaults	37,357			2,849			41,290			5,767
Less: cures	(4,983		)	(2,433		)	(8,897		)	(5,182		)
Less: claims paid	(144		)	(106		)	(262		)	(194		)
Less: rescissions and denials, net	(3		)	(1		)	(10		)	(10		)
Ending default inventory	38,068			4,405			38,068			4,405



Rollforward of Reserve for Losses and LAE
	Three Months Ended						Six Months Ended
	June 30,			June 30,			June 30,			June 30,
($ in thousands)	2020			2019			2020			2019
Reserve for losses and LAE at beginning of period	$	73,341		$	53,484		$	69,362		$	49,464
Less: Reinsurance recoverables	98			—			71			—
Net reserve for losses and LAE at beginning of period	73,243			53,484			69,291			49,464
Add provision for losses and LAE occurring in:
Current period	181,776			11,354			197,195			23,182
Prior years	(5,899		)	(6,394		)	(13,255		)	(11,115		)
Incurred losses and LAE during the period	175,877			4,960			183,940			12,067
Deduct payments for losses and LAE occurring in:
Current period	288			230			289			245
Prior years	5,703			3,076			9,813			6,148
Loss and LAE payments during the period	5,991			3,306			10,102			6,393
Net reserve for losses and LAE at end of period	243,129			55,138			243,129			55,138
Plus: Reinsurance recoverables	7,761			—			7,761			—
Reserve for losses and LAE at end of period	$	250,890		$	55,138		$	250,890		$	55,138



Claims
	Three Months Ended						Six Months Ended
	June 30,			June 30,			June 30,			June 30,
	2020			2019			2020			2019
Number of claims paid	144			106			262			194
Total amount paid for claims (in thousands)	$	5,718		$	3,208		$	9,875		$	6,107
Average amount paid per claim (in thousands)	$	40		$	30		$	38		$	31
Severity	78		%	69		%	78		%	74		%



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

	June 30, 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	33,514	88	%	$	166,897	73	%	$	2,233,678	7	%
Four to eleven payments	3,813	10		39,028		17		234,152		17
Twelve or more payments	664	2		18,590		8		36,694		51
Pending claims	77	—		3,271		2		3,846		85
Total case reserves (1)	38,068	100	%	227,786		100	%	$	2,508,370	9
IBNR				17,084
LAE				5,992
Total reserves for losses and LAE (1)				$	250,862

Average reserve per default:
Case				$	6.0
Total				$	6.6

Default Rate	5.19%

(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $28.

	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.

	June 30, 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	2,511	57	%	$	12,646	25	%	$	133,536	9	%
Four to eleven payments	1,443	33		22,292		44		78,047		29
Twelve or more payments	369	8		11,583		23		22,093		52
Pending claims	82	2		4,055		8		4,657		87
Total case reserves	4,405	100	%	50,576		100	%	$	238,333	21
IBNR				3,792
LAE				770
Total reserves for losses and LAE				$	55,138

Average reserve per default:
Case				$	11.5
Total				$	12.5

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	June 30, 2020					December 31, 2019
($ in thousands)	Fair Value			Percent		Fair Value		Percent
U.S. Treasury securities	$	259,259		5.9	%	$	242,206	7.2	%
U.S. agency securities	14,682			0.3		33,605		1.0
U.S. agency mortgage-backed securities	830,124			19.1		848,334		25.3
Municipal debt securities	465,063			10.7		361,638		10.8
Non-U.S. government securities	54,637			1.2		54,995		1.7
Corporate debt securities	912,137			21.0		880,301		26.3
Residential and commercial mortgage securities	312,511			7.2		288,281		8.6
Asset-backed securities	385,486			8.9		326,025		9.7
Money market funds	1,118,204			25.7		315,362		9.4
Total investments available for sale	$	4,352,103		100.0	%	$	3,350,747	100.0	%

Investments Available for Sale by Credit Rating
Rating (1)	June 30, 2020					December 31, 2019
($ in thousands)	Fair Value			Percent		Fair Value		Percent
Aaa	$	2,642,359		60.7	%	$	1,817,905	54.2	%
Aa1	129,451			3.0		109,122		3.3
Aa2	171,704			3.9		145,282		4.3
Aa3	235,462			5.4		159,599		4.8
A1	213,946			4.9		206,643		6.2
A2	253,507			5.8		183,780		5.5
A3	211,209			4.9		191,933		5.7
Baa1	244,669			5.6		232,490		6.9
Baa2	183,639			4.2		179,664		5.4
Baa3	37,005			0.9		65,119		1.9
Below Baa3	29,152			0.7		59,210		1.8
Total investments available for sale	$	4,352,103		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	June 30, 2020					December 31, 2019
($ in thousands)	Fair Value			Percent		Fair Value		Percent
< 1 Year	$	2,140,698		49.2	%	$	1,038,782	31.0	%
1 to < 2 Years	415,342			9.5		306,148		9.1
2 to < 3 Years	369,123			8.5		348,708		10.4
3 to < 4 Years	258,405			5.9		361,147		10.8
4 to < 5 Years	343,687			7.9		443,382		13.2
5 or more Years	824,848			19.0		852,580		25.5
Total investments available for sale	$	4,352,103		100.0	%	$	3,350,747	100.0	%

Pre-tax investment income yield:
Three months ended June 30, 2020	2.16		%
Six months ended June 30, 2020	2.33		%

Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of June 30, 2020	$	702,225
As of December 31, 2019	$	98,376



				Exhibit L

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital


		June 30, 2020		December 31, 2019
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)		$	2,457,368	$	2,335,828

Combined net risk in force (2)		$	28,787,600	$	29,460,191

Risk-to-capital ratios: (3)
	Essent Guaranty, Inc.	12.1:1		13.1:1
	Essent Guaranty of PA, Inc.	2.3:1		2.9:1
	Combined (4)	11.7:1		12.6:1

Essent Guaranty, Inc. PMIERs Data (5):
	Available Assets	$	2,586,394	$	2,337,086
	Minimum Required Assets	1,458,273		1,499,369
	PMIERs excess Available Assets	$	1,128,121	$	837,717

Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)		$	1,022,689	$	939,360

Net risk in force (2)		$	11,113,079	$	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.
(5) PMIERs data is based on our interpretation of PMIERs 2.0 as of the dates indicated.



					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 June 30, 2020, December 31, 2019 and June 30, 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 June 30, 2020, December 31, 2019 and June 30, 2019 in accordance with Regulation G:




(In thousands, except per share amounts)	June 30, 2020		December 31, 2019		June 30, 2019

Numerator:
Total Stockholders' Equity (Book Value)	$	3,623,329	$	2,984,845	$	2,704,292

Subtract: Accumulated Other Comprehensive Income	120,398		56,187		45,360

Adjusted Book Value	$	3,502,931	$	2,928,658	$	2,658,932

Denominator:
Total Common Shares Outstanding	112,423		98,394		98,396

Add: Restricted Share Units and Dividend Equivalent Units Outstanding	510		356		365

Total Common Shares and Share Units Outstanding	112,933		98,750		98,761

Adjusted Book Value per Share	$	31.02	$	29.66	$	26.92

Essent Group Ltd. - FORM 8-K - EX-99.1 - EXHIBIT 99.1 - August 7, 2020

Attached files

Essent Group Ltd. Reports