Essent Group Ltd. - FORM 8-K - EX-99.1 - February 19, 2021

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Exhibit 99.1

Essent Group Ltd. Announces Fourth Quarter & Full Year 2020 Results; Declares Quarterly Dividend
HAMILTON, Bermuda--(BUSINESS WIRE)--February 19, 2021--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2020 of $123.6 million or $1.10 per diluted share, compared to $147.0 million or $1.49 per diluted share for the quarter ended December 31, 2019. For the full year 2020, net income was $413.0 million, or $3.88 per diluted share, compared to $555.7 million, or $5.66 per diluted share for 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 March 19, 2021, to shareholders of record on March 10, 2021.
"2020 was a challenging year for our country and economy, however, we were pleased with the confidence that our buy, manage and distribute operating model provides our stakeholders in navigating the COVID-19 environment,” said Mark A. Casale, Chairman and Chief Executive Officer. “During 2020, we were also pleased with housing’s resilience, which remains the bright spot in the economy entering 2021 as supply-demand imbalances and favorable first-time home buying trends persist which are positive for our franchise."
Fourth Quarter & Full Year 2020 Financial Highlights:
•Insurance in force as of December 31, 2020 was $198.9 billion, compared to $190.8 billion as of September 30, 2020 and $164.0 billion as of December 31, 2019.

•New insurance written for the fourth quarter was $29.6 billion, compared to $36.7 billion in the third quarter of 2020 and $15.8 billion in the fourth quarter of 2019.

•Net premiums earned for the fourth quarter were $222.3 million, compared to $222.3 million in the third quarter of 2020 and $207.7 million in the fourth quarter of 2019.

•The expense ratio for the fourth quarter was 16.6%, compared to 16.7% in the third quarter of 2020 and 19.9% in the fourth quarter of 2019.

•The provision for losses and LAE for the fourth quarter was $62.1 million, compared to a provision of $55.3 million in the third quarter of 2020 and a provision of $10.9 million in the fourth quarter of 2019.

•The percentage of loans in default as of December 31, 2020 was 3.93%, compared to 4.54% as of September 30, 2020 and 0.85% as of December 31, 2019.
◦As of January 31, 2021, the percentage of loans in default was 3.89%.

•The combined ratio for the fourth quarter was 44.5%, compared to 41.6% in the third quarter of 2020 and 25.1% in the fourth quarter of 2019.

•The consolidated balance of cash and investments at December 31, 2020 was $4.8 billion, including cash and investment balances at Essent Group Ltd. of $562.7 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 11.1:1 as of December 31, 2020.

•On October 8, 2020, Essent Guaranty, Inc. obtained $399.2 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in September 2019 through July 2020 from Radnor Re 2020-2 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2020-2 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd.

•On October 14, 2020, Essent Group Ltd. entered into an amended and restated credit facility, increasing to $625 million the committed capacity and extending the contractual maturity to October 16, 2023.


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 4848097 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 4848097.

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 and Year Ended December 31, 2020
Exhibit ACondensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit BCondensed Consolidated Balance Sheets (Unaudited)
Exhibit CHistorical Quarterly Data
Exhibit DNew Insurance Written
Exhibit EInsurance in Force and Risk in Force
Exhibit FOther Risk in Force
Exhibit GPortfolio Vintage Data
Exhibit HReinsurance Vintage Data
Exhibit IPortfolio Geographic Data
Exhibit JDefaults, Reserve for Losses and LAE, and Claims
Exhibit KInvestments Available for Sale
Exhibit LInsurance Company Capital
Exhibit MReconciliation 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)2020201920202019
Revenues:
Direct premiums written$245,437 $207,263 $922,851 $796,344 
Ceded premiums(31,194)(10,770)(88,738)(35,499)
Net premiums written214,243 196,493 834,113 760,845 
Decrease in unearned premiums8,096 11,178 28,451 16,580 
Net premiums earned222,339 207,671 862,564 777,425 
Net investment income20,949 21,977 80,087 83,542 
Realized investment gains, net564 833 2,697 3,229 
Other income (loss)3,347 (1,719)9,806 3,371 
Total revenues247,199 228,762 955,154 867,567 
Losses and expenses:
Provision for losses and LAE62,073 10,929 301,293 32,986 
Other underwriting and operating expenses36,825 41,231 154,691 165,369 
Interest expense2,149 2,218 9,074 10,151 
Total losses and expenses101,047 54,378 465,058 208,506 
Income before income taxes146,152 174,384 490,096 659,061 
Income tax expense22,550 27,426 77,055 103,348 
Net income$123,602 $146,958 $413,041 $555,713 
Earnings per share:
Basic$1.10 $1.50 $3.89 $5.68 
Diluted1.10 1.49 3.88 5.66 
Weighted average shares outstanding:
Basic111,908 97,830 106,098 97,762 
Diluted112,310 98,376 106,376 98,227 
Net income$123,602 $146,958 $413,041 $555,713 
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments5,840 (6,540)82,087 85,180 
Total other comprehensive income (loss)5,840 (6,540)82,087 85,180 
Comprehensive income$129,442 $140,418 $495,128 $640,893 
Loss ratio27.9 %5.3 %34.9 %4.2 %
Expense ratio16.6 19.9 17.9 21.3 
Combined ratio44.5 %25.1 %52.9 %25.5 %


Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
December 31,December 31,
(In thousands, except per share amounts)20202019
Assets
Investments
Fixed maturities available for sale, at fair value$3,838,513 $3,035,385 
Short-term investments available for sale, at fair value726,860 315,362 
Total investments available for sale4,565,373 3,350,747 
Other invested assets88,904 78,873 
Total investments4,654,277 3,429,620 
Cash102,830 71,350 
Accrued investment income19,948 18,535 
Accounts receivable50,140 40,655 
Deferred policy acquisition costs17,005 15,705 
Property and equipment15,095 17,308 
Prepaid federal income tax302,636 261,885 
Other assets40,793 18,367 
Total assets$5,202,724 $3,873,425 
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE$374,941 $69,362 
Unearned premium reserve250,436 278,887 
Net deferred tax liability305,109 249,620 
Credit facility borrowings, net of deferred costs321,720 224,237 
Other accrued liabilities87,885 66,474 
Total liabilities1,340,091 888,580 
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 20191,686 1,476 
Additional paid-in capital1,571,163 1,118,655 
Accumulated other comprehensive income138,274 56,187 
Retained earnings2,151,510 1,808,527 
Total stockholders' equity 3,862,633 2,984,845 
Total liabilities and stockholders' equity$5,202,724 $3,873,425 
Return on average equity12.1 %20.8 %



Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
20202019
Selected Income Statement DataDecember 31September 30June 30March 31December 31September 30June 30March 31
(In thousands, except per share amounts)
Revenues:
Net premiums written$214,243 $222,223 $205,904 $191,743 $196,493 $198,304 $188,404 $177,644 
Net premiums earned (1)
222,339 222,258 211,471 206,496 207,671 203,473 188,490 177,791 
Other revenues (2)
24,860 20,780 24,606 22,344 21,091 22,914 23,402 22,735 
Total revenues247,199 243,038 236,077 228,840 228,762 226,387 211,892 200,526 
Losses and expenses:
Provision for losses and LAE62,073 55,280 175,877 8,063 10,929 9,990 4,960 7,107 
Other underwriting and operating expenses36,825 37,100 38,819 41,947 41,231 41,588 41,520 41,030 
Interest expense2,149 2,227 2,566 2,132 2,218 2,584 2,679 2,670 
Total losses and expenses101,047 94,607 217,262 52,142 54,378 54,162 49,159 50,807 
Income before income taxes146,152 148,431 18,815 176,698 174,384 172,225 162,733 149,719 
Income tax expense (3)
22,550 23,895 3,435 27,175 27,426 27,595 26,328 21,999 
Net income$123,602 $124,536 $15,380 $149,523 $146,958 $144,630 $136,405 $127,720 
Earnings per share:
   Basic$1.10 $1.11 $0.15 $1.53 $1.50 $1.48 $1.39 $1.31 
   Diluted1.10 1.11 0.15 1.52 1.49 1.47 1.39 1.30 
Weighted average shares outstanding:
   Basic111,908 111,908 102,500 97,949 97,830 97,822 97,798 97,595 
   Diluted112,310 112,134 102,605 98,326 98,376 98,257 98,170 98,104 
Other Data:
   Loss ratio (4)
27.9 %24.9 %83.2 %3.9 %5.3 %4.9 %2.6 %4.0 %
   Expense ratio (5)
16.6 16.7 18.4 20.3 19.9 20.4 22.0 23.1 
      Combined ratio44.5 %41.6 %101.5 %24.2 %25.1 %25.3 %24.7 %27.1 %
Return on average equity (annualized)13.0 %13.5 %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. For each of the three month periods noted, Other revenues include net favorable (unfavorable) changes in the fair value of these embedded derivatives as follows: December 31, 2020: ($209); September 30, 2020: ($677); June 30, 2020: $2,502; March 31, 2020: ($4,200); December 31, 2019: ($3,585); September 30, 2019: ($760); June 30, 2019: $1,160 and March 31, 2019: $1,424.
(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
20202019
Other Data, continued:December 31September 30June 30March 31December 31September 30June 30March 31
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written$29,566,820 $36,664,583 $28,163,212 $13,549,299 $15,839,836 $18,719,876 $17,973,505 $10,945,307 
New risk written7,051,173 8,938,544 6,875,250 3,384,171 3,966,363 4,695,611 4,485,217 2,713,389 
Bulk:
New insurance written$— $— $— $151 $— $6,133 $29,524 $55,002 
New risk written— — — 24 — 842 2,129 6,542 
Total:
Average gross premium rate (6)
0.49 %0.51 %0.53 %0.51 %0.51 %0.52 %0.51 %0.50 %
Average net premium rate (7)
0.43 %0.46 %0.48 %0.48 %0.49 %0.49 %0.49 %0.48 %
New insurance written$29,566,820 $36,664,583 $28,163,212 $13,549,450 $15,839,836 $18,726,009 $18,003,029 $11,000,309 
New risk written$7,051,173 $8,938,544 $6,875,250 $3,384,195 $3,966,363 $4,696,453 $4,487,346 $2,719,931 
Insurance in force (end of period)$198,882,352 $190,811,292 $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)
$49,565,150 $47,838,668 $43,993,989 $41,865,977 $41,402,950 $40,540,289 $38,531,090 $35,925,830 
Risk in force (end of period)$41,339,262 $41,219,216 $39,113,879 $38,290,022 $38,947,857 $38,784,584 $37,034,687 $34,744,417 
Policies in force799,893 781,836 733,651 706,714 702,925 693,085 666,705 629,808 
Weighted average coverage (9)
24.9 %25.1 %25.2 %25.3 %25.2 %25.2 %25.1 %25.1 %
Annual persistency60.1 %64.2 %67.9 %73.9 %77.5 %82.1 %84.8 %85.1 %
Loans in default (count)31,469 35,464 38,068 5,841 5,947 5,232 4,405 4,096 
Percentage of loans in default3.93 %4.54 %5.19 %0.83 %0.85 %0.75 %0.66 %0.65 %
Other Risk in Force
GSE and other risk share (10)
$1,416,719 $1,216,353 $1,031,699 $1,100,966 $895,374 $849,184 $802,530 $771,175 
Credit Facility
Borrowings outstanding$325,000 $425,000 $425,000 $425,000 $225,000 $225,000 $225,000 $225,000 
Undrawn committed capacity$300,000 $75,000 $75,000 $75,000 $275,000 $275,000 $275,000 $275,000 
Weighted average interest rate (end of period)
2.19 %
(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 EndedYear Ended
December 31, 2020December 31, 2019December 31, 2020December 31, 2019
($ in thousands)
>=760$13,330,379 45.1 %$6,486,486 40.9 %$48,037,084 44.5 %$25,738,423 40.5 %
740-7595,069,530 17.1 2,880,429 18.2 19,385,541 17.9 11,152,853 17.6 
720-7394,134,782 14.0 2,401,806 15.2 15,744,485 14.6 9,340,180 14.7 
700-7193,385,670 11.5 1,860,120 11.7 12,409,936 11.5 7,555,687 11.9 
680-6991,743,694 5.9 1,235,223 7.8 6,871,511 6.4 5,248,330 8.3 
<=6791,902,765 6.4 975,772 6.2 5,495,357 5.1 4,443,051 7.0 
Total$29,566,820 100.0 %$15,839,836 100.0 %$107,943,914 100.0 %$63,478,524 100.0 %
Weighted average credit score748 745 749 744 
NIW by LTV
Three Months EndedYear Ended
December 31, 2020December 31, 2019December 31, 2020December 31, 2019
($ in thousands)
85.00% and below$6,317,550 21.4 %$2,084,932 13.2 %$20,124,987 18.6 %$7,874,266 12.4 %
85.01% to 90.00%9,629,373 32.6 4,757,915 30.0 34,020,882 31.5 17,847,603 28.1 
90.01% to 95.00%11,134,923 37.6 6,771,196 42.7 42,517,221 39.4 26,852,903 42.3 
95.01% and above2,484,974 8.4 2,225,793 14.1 11,280,824 10.5 10,903,752 17.2 
Total$29,566,820 100.0 %$15,839,836 100.0 %$107,943,914 100.0 %$63,478,524 100.0 %
Weighted average LTV91 %92 %91 %92 %
NIW by Product
Three Months EndedYear Ended
December 31, 2020December 31, 2019December 31, 2020December 31, 2019
Single Premium policies7.7 %10.4 %9.0 %11.1 %
Monthly Premium policies92.3 89.6 91.0 88.9 
100.0 %100.0 %100.0 %100.0 %
NIW by Purchase vs. Refinance
Three Months EndedYear Ended
December 31, 2020December 31, 2019December 31, 2020December 31, 2019
Purchase61.6 %71.8 %60.4 %80.4 %
Refinance38.4 28.2 39.6 19.6 
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 scoreDecember 31, 2020September 30, 2020December 31, 2019
($ in thousands)
>=760$82,452,139 41.5 %$78,923,142 41.4 %$68,123,523 41.5 %
740-75934,538,761 17.3 33,229,396 17.4 27,886,603 17.0 
720-73929,599,646 14.9 28,496,228 15.0 24,069,139 14.7 
700-71923,807,982 12.0 22,748,385 11.9 19,183,219 11.7 
680-69915,538,235 7.8 15,302,772 8.0 13,713,164 8.4 
<=67912,945,589 6.5 12,111,369 6.3 11,030,205 6.7 
Total$198,882,352 100.0 %$190,811,292 100.0 %$164,005,853 100.0 %
Weighted average credit score745 745 745 
Gross RIF by FICO scoreDecember 31, 2020September 30, 2020December 31, 2019
($ in thousands)
>=760$20,336,799 41.0 %$19,606,502 41.0 %$17,082,683 41.3 %
740-7598,682,265 17.5 8,395,009 17.5 7,056,654 17.0 
720-7397,504,065 15.1 7,251,499 15.2 6,150,334 14.9 
700-7195,970,851 12.1 5,738,412 12.0 4,873,597 11.8 
680-6993,887,059 7.9 3,853,734 8.0 3,491,755 8.4 
<=6793,184,111 6.4 2,993,512 6.3 2,747,927 6.6 
Total$49,565,150 100.0 %$47,838,668 100.0 %$41,402,950 100.0 %
Portfolio by LTV
IIF by LTVDecember 31, 2020September 30, 2020December 31, 2019
($ in thousands)
85.00% and below$27,308,296 13.7 %$23,979,065 12.6 %$17,128,008 10.5 %
85.01% to 90.00%58,606,394 29.5 55,453,633 29.1 46,771,386 28.5 
90.01% to 95.00%86,169,485 43.3 84,573,433 44.3 76,611,494 46.7 
95.01% and above26,798,177 13.5 26,805,161 14.0 23,494,965 14.3 
Total$198,882,352 100.0 %$190,811,292 100.0 %$164,005,853 100.0 %
Weighted average LTV92 %92 %92 %
Gross RIF by LTVDecember 31, 2020September 30, 2020December 31, 2019
($ in thousands)
85.00% and below$3,142,034 6.3 %$2,759,320 5.8 %$1,977,361 4.8 %
85.01% to 90.00%14,061,553 28.4 13,307,205 27.8 11,249,383 27.2 
90.01% to 95.00%24,895,471 50.2 24,391,376 51.0 21,981,598 53.1 
95.01% and above7,466,092 15.1 7,380,767 15.4 6,194,608 14.9 
Total$49,565,150 100.0 %$47,838,668 100.0 %$41,402,950 100.0 %
Portfolio by Loan Amortization Period
IIF by Loan Amortization PeriodDecember 31, 2020September 30, 2020December 31, 2019
($ in thousands)
FRM 30 years and higher$187,704,000 94.4 %$180,135,430 94.4 %$154,905,519 94.5 %
FRM 20-25 years4,365,585 2.2 3,945,019 2.1 2,854,560 1.7 
FRM 15 years4,776,068 2.4 4,417,092 2.3 3,300,715 2.0 
ARM 5 years and higher2,036,699 1.0 2,313,751 1.2 2,945,059 1.8 
Total$198,882,352 100.0 %$190,811,292 100.0 %$164,005,853 100.0 %


Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
20202019
($ in thousands)December 31September 30June 30March 31December 31September 30June 30March 31
GSE and other risk share (1):
Premiums earned$13,624 $11,132 $10,655 $10,778 $9,867 $9,284 $8,622 $7,894 
Risk in Force$1,416,719 $1,216,353 $1,031,699 $1,100,966 $895,374 $849,184 $802,530 $771,175 
Weighted average credit score746 747 746 746 745 746 748 747 
Weighted average LTV84 %84 %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
December 31, 2020
Insurance in Force
YearOriginal
Insurance
Written
($ in thousands)		Remaining
Insurance
in Force
($ in thousands)		% Remaining of Original
Insurance		Number of Policies in Force% Purchase>90% LTV>95% LTVFICO < 700FICO >= 760Incurred Loss Ratio (Inception to Date) (1)Number of Loans in DefaultPercentage of Loans in Default
2010 - 2014$60,668,851 $6,135,672 10.1 %35,975 83.2 %69.9 %4.2 %13.5 %43.8 %3.3 %1,985 5.52 %
201526,193,656 5,674,591 21.7 30,252 86.2 63.4 3.1 16.5 41.4 4.6 1,615 5.34 
201634,949,319 11,314,546 32.4 55,969 86.8 62.6 7.9 14.4 44.7 6.4 3,154 5.64 
201743,858,322 16,268,294 37.1 82,036 89.2 63.0 16.5 18.2 39.5 9.7 5,614 6.84 
201847,508,525 18,677,363 39.3 89,550 93.0 65.4 21.3 18.7 35.8 16.4 6,903 7.71 
201963,569,183 38,688,532 60.9 156,164 82.9 63.0 20.4 17.6 36.7 31.2 9,230 5.91 
2020107,944,065 102,123,354 94.6 349,947 60.5 50.1 10.7 11.6 44.1 24.5 2,968 0.85 
Total$384,691,921 $198,882,352 51.7 799,893 73.2 56.8 13.5 14.3 41.5 10.0 31,469 3.93 
(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, 2020
($ in thousands)
Excess of Loss Reinsurance
Original
Reinsurance in Force		Remaining
Reinsurance in Force		Earned Premiums Ceded
YearRemaining
Insurance
in Force		Remaining
Risk
in Force		ILN (1)Other Reinsurance (2)TotalILNOther ReinsuranceTotalLosses
Ceded
to Date		Original
First Layer
Retention		Remaining
First Layer
Retention		Quarter-to-DateYear-to-DateReduction in PMIERs Minimum Required
Assets (6)
2015 & 2016$16,329,165 $4,411,094 $333,844 $— $333,844 $216,480 $— $216,480 $— $208,111 $207,787 $1,246 $5,778 $88,169 
201715,856,384 4,052,481 424,412 165,167 589,579 242,123 165,167 407,290 — 224,689 218,838 2,714 11,576 97,119 
201818,295,450 4,646,734 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 251,262 3,268 14,203 158,139 
2019 (3)
22,137,416 5,643,954 495,889 55,102 550,991 495,889 55,102 550,991 — 215,605 215,509 2,852 11,351 304,954 
2019 & 2020 (4)
48,570,459 12,141,563 399,159 — 399,159 399,159 — 399,159 — 465,690 465,690 4,744 4,744 362,497 
Total$121,188,874 $30,895,826 $2,126,488 $338,919 $2,465,407 $1,679,188 $296,413 $1,975,601 $— $1,367,738 $1,359,086 $14,824 $47,652 $1,010,878 
Quota Share Reinsurance
Losses CededCeding CommissionEarned Premiums Ceded
YearRemaining
Insurance
in Force		Remaining
Risk
in Force		Remaining Ceded Insurance in ForceRemaining Ceded Risk in ForceQuarter-to-DateYear-to-DateQuarter-to-DateYear-to-DateQuarter-to-DateYear-to-DateReduction in PMIERs Minimum Required
Assets (6)
2019 & 2020(5)$117,856,260 $28,865,874 $25,756,347 $6,250,287 $7,188 $19,038 $4,598 $11,024 $16,370 $41,086 $411,948 
(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 new insurance written from September 1, 2019 through July 31, 2020.
(5) 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.
(6) 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, 2020September 30, 2020December 31, 2019
CA12.0 %11.2 %10.0 %
TX9.7 9.6 8.6 
FL8.7 8.5 7.9 
CO4.1 4.1 3.7 
WA3.8 3.9 4.4 
AZ3.6 3.5 3.3 
IL3.4 3.5 3.7 
NJ3.3 3.4 3.6 
VA3.1 3.2 3.2 
MD3.0 3.0 2.8 
All Others45.3 46.1 48.8 
Total100.0 %100.0 %100.0 %
Gross RIF by State
December 31, 2020September 30, 2020December 31, 2019
CA11.8 %11.0 %9.8 %
TX10.0 9.9 8.9 
FL9.0 8.7 8.0 
CO4.1 4.0 3.6 
WA3.8 3.9 4.4 
AZ3.5 3.4 3.2 
IL3.3 3.4 3.5 
NJ3.2 3.3 3.6 
GA3.1 3.1 3.3 
VA3.1 3.1 3.1 
All Others45.1 46.2 48.6 
Total100.0 %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 EndedYear Ended
December 31,December 31,December 31,December 31,
2020201920202019
Beginning default inventory35,464 5,232 5,947 4,024 
Plus: new defaults8,745 3,826 62,649 13,304 
Less: cures(12,679)(3,027)(36,711)(10,985)
Less: claims paid(49)(80)(378)(377)
Less: rescissions and denials, net(12)(4)(38)(19)
Ending default inventory31,469 5,947 31,469 5,947 
Rollforward of Reserve for Losses and LAE
Three Months EndedYear Ended
December 31,December 31,December 31,December 31,
($ in thousands)2020201920202019
Reserve for losses and LAE at beginning of period$307,737 $61,436 $69,362 $49,464 
Less: Reinsurance recoverables11,898 — 71 — 
Net reserve for losses and LAE at beginning of period295,839 61,436 69,291 49,464 
Add provision for losses and LAE occurring in:
Current period63,949 12,658 317,516 50,562 
Prior years(1,876)(1,729)(16,223)(17,576)
Incurred losses and LAE during the period62,073 10,929 301,293 32,986 
Deduct payments for losses and LAE occurring in:
Current period524 631 1,018 1,288 
Prior years1,508 2,443 13,686 11,871 
Loss and LAE payments during the period2,032 3,074 14,704 13,159 
Net reserve for losses and LAE at end of period355,880 69,291 355,880 69,291 
Plus: Reinsurance recoverables19,061 71 19,061 71 
Reserve for losses and LAE at end of period$374,941 $69,362 $374,941 $69,362 
Claims
Three Months EndedYear Ended
December 31,December 31,December 31,December 31,
2020201920202019
Number of claims paid49 80 378 377 
Total amount paid for claims (in thousands)$1,922 $2,922 $14,354 $12,613 
Average amount paid per claim (in thousands)$39 $37 $38 $33 
Severity62 %76 %75 %74 %



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, 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 less6,631 21 %$47,905 14 %$384,668 12 %
Four to eleven payments23,543 75 260,593 76 1,553,593 17 
Twelve or more payments1,243 4 32,593 9 67,501 48 
Pending claims52 — 2,199 1 2,843 77 
Total case reserves (1)
31,469 100 %343,290 100 %$2,008,605 17 
IBNR25,747 
LAE4,831 
Total reserves for losses and LAE (1)
$373,868 
Average reserve per default:
Case$10.9 
Total$11.9 
Default Rate3.93%
(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $1,073.
December 31, 2019
Number of
Policies in
Default		Percentage of
Policies in
Default		 Amount of ReservesPercentage of Reserves Defaulted RIFReserves as a Percentage of
Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less3,310 56 %$15,793 25 %$177,238 9 %
Four to eleven payments2,035 34 28,006 44 108,743 26 
Twelve or more payments473 8 13,549 22 27,152 50 
Pending claims129 2 5,832 9 6,777 86 
Total case reserves (2)
5,947 100 %63,180 100 %$319,910 20 
IBNR4,738 
LAE1,265 
Total reserves for losses and LAE (2)
$69,183 
Average reserve per default:
Case$10.6 
Total$11.6 
Default Rate0.85%
(2) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $179.



Exhibit K
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset ClassDecember 31, 2020December 31, 2019
($ in thousands)Fair ValuePercentFair ValuePercent
U.S. Treasury securities$268,444 5.9 %$242,206 7.2 %
U.S. agency securities18,085 0.4 33,605 1.0 
U.S. agency mortgage-backed securities995,905 21.8 848,334 25.3 
Municipal debt securities551,517 12.1 361,638 10.8 
Non-U.S. government securities61,607 1.3 54,995 1.7 
Corporate debt securities1,126,512 24.7 880,301 26.3 
Residential and commercial mortgage securities409,282 9.0 288,281 8.6 
Asset-backed securities454,717 9.9 326,025 9.7 
Money market funds679,304 14.9 315,362 9.4 
Total investments available for sale$4,565,373 100.0 %$3,350,747 100.0 %
Investments Available for Sale by Credit Rating
Rating (1)
December 31, 2020December 31, 2019
($ in thousands)Fair ValuePercentFair ValuePercent
Aaa$2,564,746 56.2 %$1,817,905 54.2 %
Aa1133,100 2.9 109,122 3.3 
Aa2260,462 5.7 145,282 4.3 
Aa3204,917 4.5 159,599 4.8 
A1249,710 5.5 206,643 6.2 
A2401,175 8.8 183,780 5.5 
A3229,882 5.0 191,933 5.7 
Baa1260,602 5.7 232,490 6.9 
Baa2178,926 3.9 179,664 5.4 
Baa348,199 1.1 65,119 1.9 
Below Baa333,654 0.7 59,210 1.8 
Total investments available for sale$4,565,373 100.0 %$3,350,747 100.0 %
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
Investments Available for Sale by Duration and Book Yield
Effective DurationDecember 31, 2020December 31, 2019
($ in thousands)Fair ValuePercentFair ValuePercent
< 1 Year$1,568,505 34.4 %$1,038,782 31.0 %
1 to < 2 Years581,003 12.7 306,148 9.1 
2 to < 3 Years616,069 13.5 348,708 10.4 
3 to < 4 Years426,333 9.3 361,147 10.8 
4 to < 5 Years367,633 8.1 443,382 13.2 
5 or more Years1,005,830 22.0 852,580 25.5 
Total investments available for sale$4,565,373 100.0 %$3,350,747 100.0 %
Pre-tax investment income yield:
Three months ended December 31, 20202.00 %
Year ended December 31, 20202.11 %
Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of December 31, 2020$562,714 
As of December 31, 2019$98,376 


Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
December 31, 2020December 31, 2019
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)
$2,659,161 $2,335,828 
Combined net risk in force (2)
$29,493,572 $29,460,191 
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.11.5:113.1:1
Essent Guaranty of PA, Inc.1.7:12.9:1
Combined (4)
11.1:112.6:1
Essent Guaranty, Inc. PMIERs Data (5):
Available Assets$2,855,923 $2,337,086 
Minimum Required Assets1,647,225 1,499,369 
PMIERs excess Available Assets$1,208,698 $837,717 
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)$1,101,003 $939,360 
Net risk in force (2)
$12,892,300 $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) Data is based on our interpretation of the PMIERs 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 December 31, 2020 and December 31, 2019, the Company does not have any options, warrants and similar instruments outstanding.

The following table sets forth the reconciliation of Adjusted Book Value to the most comparable GAAP amount as of December 31, 2020 and December 31, 2019 in accordance with Regulation G:
(In thousands, except per share amounts)December 31, 2020December 31, 2019
Numerator:
Total Stockholders' Equity (Book Value)$3,862,633 $2,984,845 
Subtract: Accumulated Other Comprehensive Income
138,274 56,187 
Adjusted Book Value$3,724,359 $2,928,658 
Denominator:
Total Common Shares Outstanding112,423 98,394 
Add: Restricted Share Units and Dividend Equivalent Units Outstanding513 356 
Total Common Shares and Share Units Outstanding112,936 98,750 
Adjusted Book Value per Share$32.98 $29.66 

Essent Group Ltd. Reports