Business Wire | Aug 7, 2020 06:30AM EDT

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

Aug. 07, 2020

HAMILTON, Bermuda--(BUSINESS WIRE)--Aug. 07, 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 Condensed Consolidated Statements of Comprehensive IncomeA (Unaudited)

Exhibit Condensed Consolidated Balance Sheets (Unaudited)B

Exhibit Historical Quarterly DataC

Exhibit New Insurance WrittenD

Exhibit Insurance in Force and Risk in ForceE

Exhibit Other Risk in ForceF

Exhibit Portfolio Vintage DataG

Exhibit Reinsurance Vintage DataH

Exhibit Portfolio Geographic DataI

Exhibit Defaults, Reserve for Losses and LAE, and ClaimsJ

Exhibit Investments Available for SaleK

Exhibit Insurance Company CapitalL

Exhibit Reconciliation of Non-GAAP Financial Measure - Adjusted Book ValueM per Share

Exhibit A



Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)





Three Months Ended June Six Months Ended June 30, 30,

(In thousands, except 2020 2019 2020 2019per share amounts)

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 5,567 86 20,320 233 premiums

Net premiums earned 211,471 188,490 417,967 366,281

Net investment income 19,866 20,581 40,499 40,461

Realized investment (1,269 ) 583 1,866 1,243 gains (losses), net

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 175,877 4,960 183,940 12,067 LAE

Other underwriting and 38,819 41,520 80,766 82,550 operating expenses

Interest expense 2,566 2,679 4,698 5,349

Total losses and 217,262 49,159 269,404 99,966 expenses



Income before income 18,815 162,733 195,513 312,452 taxes

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 unrealizedappreciation of 74,285 35,987 64,211 74,353 investments

Total other 74,285 35,987 64,211 74,353 comprehensive income

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 $ 3,221,149 $ 3,035,385 value

Short-term investments available for sale, at 1,130,954 315,362 fair value

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 424,523 224,237 costs

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 - 1,686 1,476 112,423 shares in 2020 and 98,394 shares in 2019

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 annualizedyear-to-date 2020 net income by average equity. The 2019 return on averageequity 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

SelectedIncome June 30 March 31 December 31 September June 30 March 31Statement 30Data

(Inthousands,except per shareamounts)

Revenues:

Net premiums $ 205,904 $ 191,743 $ 196,493 $ 198,304 $ 188,404 $ 177,644 written



Net premiums 211,471 206,496 207,671 203,473 188,490 177,791 earned (1)

Other 24,606 22,344 21,091 22,914 23,402 22,735 revenues (2)

Total 236,077 228,840 228,762 226,387 211,892 200,526 revenues



Losses and expenses:

Provisionfor losses 175,877 8,063 10,929 9,990 4,960 7,107 and LAE

Otherunderwritingand 38,819 41,947 41,231 41,588 41,520 41,030 operatingexpenses

Interest 2,566 2,132 2,218 2,584 2,679 2,670 expense

Total losses 217,262 52,142 54,378 54,162 49,159 50,807 and expenses



Incomebefore 18,815 176,698 174,384 172,225 162,733 149,719 income taxes

Income tax 3,435 27,175 27,426 27,595 26,328 21,999 expense (3)

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



Weightedaverage sharesoutstanding:

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 83.2 % 3.9 % 5.3 % 4.9 % 2.6 % 4.0 %(4)

Expense 18.4 20.3 19.9 20.4 22.0 23.1 ratio (5)

Combined 101.5 % 24.2 % 25.1 % 25.3 % 24.7 % 27.1 %ratio



Return onaverage 1.8 % 19.6 % 20.1 % 20.8 % 20.9 % 20.9 %equity(annualized)



(1) Net premiums earned also includes premiums earned on GSE and other riskshare. See Exhibit F.

(2) Certain of our third-party reinsurance agreements contain an embeddedderivative as the premium ceded under those agreements will vary based onchanges 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 andMarch 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 theseembedded derivatives.

(3) Income tax expense for the three months ended March 31, 2020 and 2019 wasreduced by $620 and $1,956, respectively, of excess tax benefits associatedwith 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 bynet premiums earned.

(5) Expense ratio is calculated by dividing other underwriting and operatingexpenses by net premiums earned.

Exhibit C, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data





2020 2019

Other Data, June 30 March 31 December 31 September 30 June 30 March 31continued:

($ in thousands)



U.S.Mortgage InsurancePortfolio

Flow:

Newinsurance $ 28,163,212 $ 13,549,299 $ 15,839,836 $ 18,719,876 $ 17,973,505 $ 10,945,307 written

New risk 6,875,250 3,384,171 3,966,363 4,695,611 4,485,217 2,713,389 written



Bulk:

Newinsurance $ - $ 151 $ - $ 6,133 $ 29,524 $ 55,002 written

New risk - 24 - 842 2,129 6,542 written



Total:

Averagegross 0.53 % 0.51 % 0.51 % 0.52 % 0.51 % 0.50 %premiumrate (6)

Average netpremium 0.48 % 0.48 % 0.49 % 0.49 % 0.49 % 0.48 %rate (7)

Newinsurance $ 28,163,212 $ 13,549,450 $ 15,839,836 $ 18,726,009 $ 18,003,029 $ 11,000,309 written

New risk $ 6,875,250 $ 3,384,195 $ 3,966,363 $ 4,696,453 $ 4,487,346 $ 2,719,931 written

Insurancein force $ 174,646,273 $ 165,615,503 $ 164,005,853 $ 160,962,192 $ 153,317,157 $ 143,181,641 (end ofperiod)

Gross riskin force $ 43,993,989 $ 41,865,977 $ 41,402,950 $ 40,540,289 $ 38,531,090 $ 35,925,830 (end ofperiod) (8)

Risk inforce (end $ 39,113,879 $ 38,290,022 $ 38,947,857 $ 38,784,584 $ 37,034,687 $ 34,744,417 of period)

Policies in 733,651 706,714 702,925 693,085 666,705 629,808 force

Weightedaverage 25.2 % 25.3 % 25.2 % 25.2 % 25.1 % 25.1 %coverage(9)

Annual 67.9 % 73.9 % 77.5 % 82.1 % 84.8 % 85.1 %persistency



Loans indefault 38,068 5,841 5,947 5,232 4,405 4,096 (count)

Percentageof loans in 5.19 % 0.83 % 0.85 % 0.75 % 0.66 % 0.65 %default



Other Risk in Force

GSE andother risk $ 1,031,699 $ 1,100,966 $ 895,374 $ 849,184 $ 802,530 $ 771,175 share (10)



Credit Facility

Borrowings $ 425,000 $ 425,000 $ 225,000 $ 225,000 $ 225,000 $ 225,000 outstanding

Undrawncommitted $ 75,000 $ 75,000 $ 275,000 $ 275,000 $ 275,000 $ 275,000 capacity

Weightedaverageinterest 1.93 % rate (endof period)



(6) Average gross premium rate is calculated by dividing annualized premiumsearned for the U.S. mortgage insurance portfolio, before reductions forpremiums ceded under third-party reinsurance, by average insurance in force forthe period.

(7) Average net premium rate is calculated by dividing annualized net premiumsearned for the U.S. mortgage insurance portfolio by average insurance in forcefor 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 grossrisk in force by end of period insurance in force.

(10) GSE and other risk share includes GSE risk share and other reinsurancetransactions. Essent Re provides insurance or reinsurance relating to the riskin 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 %



Weightedaverage 749 744 748 744 creditscore







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 $ 5,028,803 17.9 % $ 2,220,430 12.3 % $ 6,992,279 16.8 % $ 3,663,263 12.7 %below

85.01% to 9,079,625 32.2 4,851,313 27.0 13,066,899 31.3 7,801,661 27.0 90.00%

90.01% to 10,914,874 38.8 7,525,709 41.9 16,600,754 39.8 12,185,046 42.1 95.00%

95.01% and 3,139,910 11.1 3,376,053 18.8 5,052,579 12.1 5,268,842 18.2 above

Total $ 28,163,212 100.0 % $ 17,973,505 100.0 % $ 41,712,511 100.0 % $ 28,918,812 100.0 %



Weightedaverage 91 % 92 % 91 % 92 % LTV







NIW by Product

Three Months Ended Six Months Ended

June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019

SinglePremium 10.6 % 11.1 % 10.3 % 11.6 %policies

MonthlyPremium 89.4 88.9 89.7 88.4 policies

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 June 30, 2020 March 31, 2020 June 30, 2019score

($ 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 %



Weightedaverage 745 745 746 credit score



Gross RIF by June 30, 2020 March 31, 2020 June 30, 2019FICO score

($ 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 $ 19,874,830 11.4 % $ 17,304,231 10.5 % $ 16,525,093 10.8 %below

85.01% to 50,446,645 28.9 47,063,180 28.4 44,234,770 28.9 90.00%

90.01% to 79,112,541 45.3 77,059,950 46.5 72,549,888 47.3 95.00%

95.01% and 25,212,257 14.4 24,188,142 14.6 20,007,406 13.0 above

Total $ 174,646,273 100.0 % $ 165,615,503 100.0 % $ 153,317,157 100.0 %



Weighted 92 % 92 % 92 % average LTV



Gross RIF by June 30, 2020 March 31, 2020 June 30, 2019LTV

($ in thousands)

85.00% and $ 2,292,935 5.2 % $ 1,997,845 4.8 % $ 1,907,272 5.0 %below

85.01% to 12,120,308 27.6 11,322,131 27.0 10,625,848 27.6 90.00%

90.01% to 22,760,884 51.7 22,110,369 52.8 20,784,261 53.9 95.00%

95.01% and 6,819,862 15.5 6,435,632 15.4 5,213,709 13.5 above

Total $ 43,993,989 100.0 % $ 41,865,977 100.0 % $ 38,531,090 100.0 %



Portfolio by Loan Amortization Period

IIF by LoanAmortization June 30, 2020 March 31, 2020 June 30, 2019Period

($ in thousands)

FRM 30 years $ 165,143,246 94.5 % $ 156,741,714 94.6 % $ 143,827,908 93.8 %and higher

FRM 20-25 3,277,847 1.9 2,829,876 1.7 2,901,947 1.9 years

FRM 15 years 3,660,888 2.1 3,230,148 2.0 3,391,072 2.2

ARM 5 years 2,564,292 1.5 2,813,765 1.7 3,196,230 2.1 and higher

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 June 30 March 31 December 31 September June 30 March 31thousands) 30

GSE andother risk share (1):

Premiums $ 10,655 $ 10,778 $ 9,867 $ 9,284 $ 8,622 $ 7,894 earned



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



Weightedaverage 746 746 745 746 748 747 creditscore

Weightedaverage 85 % 85 % 85 % 85 % 85 % 85 %LTV



(1) GSE and other risk share includes GSE risk share and other reinsurancetransactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance orreinsurance relating to the risk in force on loans in reference pools acquiredby Freddie Mac and Fannie Mae.

Exhibit G



Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Vintage Data

June 30, 2020





Insurance in Force

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



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 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 June 30)

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



Earned Premiums Ceded Original Remaining Reinsurance in Force Reinsurance in Force



Year-to-

Date Losses Remaining Remaining Other Original Remaining Other Ceded Quarter-to-Year Insurance Risk ILN (1) Reinsurance Total ILN Total First Layer First Layer Reduction Reinsurance to Date in in Force in Force (2) Retention Retention Date PMIERs

Minimum

Required

Assets (5)

$

3,287

2015 &2016 $ 22,315,283 $ 6,025,734 $ 333,844 $ - $ 333,844 $ 216,480 $ - $ 216,480 $ - $ 208,111 $ 207,849 $ 1,449

$

174,682



6,154



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

204,148



7,578



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

299,170



5,442



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

423,843



$

22,461



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

$

1,101,843



Quota Share Reinsurance

Losses Ceded Ceding Commission Earned Premiums Ceded

Reduction in Remaining Remaining Remaining Ceded Remaining PMIERsYear Insurance Risk Ceded Quarter-to-Date Year-to-Date Quarter-to-Date Year-to-Date Quarter-to-Date Year-to-Date Minimum Insurance in in Force in Force Force Risk in Force Required

Assets (5)

2019 & (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 2020





(1) Reinsurance provided by unaffiliated special purpose insurers through theissuance of mortgage insurance-linked notes ("ILNs").

(2) Reinsurance provided by panels of reinsurers.

(3) Reinsurance coverage on new insurance written from January 1, 2019 throughAugust 31, 2019.

(4) Reinsurance coverage on 40% of eligible single premium policies and 20% ofall other eligible policies written from September 1, 2019 through December 31,2020.

(5) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assetsbased 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 5,841 4,096 5,947 4,024 inventory

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 (3 ) (1 ) (10 ) (10 )denials, net

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 andLAE at beginning of $ 73,341 $ 53,484 $ 69,362 $ 49,464 period

Less: Reinsurance 98 - 71 - recoverables

Net reserve for lossesand LAE at beginning of 73,243 53,484 69,291 49,464 period

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 175,877 4,960 183,940 12,067 during the period

Deduct payments forlosses and LAE occurring in:

Current period 288 230 289 245

Prior years 5,703 3,076 9,813 6,148

Loss and LAE payments 5,991 3,306 10,102 6,393 during the period

Net reserve for losses 243,129 55,138 243,129 55,138 and LAE at end of period

Plus: Reinsurance 7,761 - 7,761 - recoverables

Reserve for losses and $ 250,890 $ 55,138 $ 250,890 $ 55,138 LAE at end of period







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 $ 5,718 $ 3,208 $ 9,875 $ 6,107 claims (in thousands)

Average amount paid per $ 40 $ 30 $ 38 $ 31 claim (in thousands)

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 Percentage Reserves of of as a Amount of Percentage Policies Policies of Defaulted RIF Percentage in in Reserves of Reserves Default Default Defaulted RIF

($ in thousands)

Missed Payments:

Threepayments 33,514 88 % $ 166,897 73 % $ 2,233,678 7 %or less

Four toeleven 3,813 10 39,028 17 234,152 17 payments

Twelve ormore 664 2 18,590 8 36,694 51 payments

Pending 77 - 3,271 2 3,846 85 claims

Total casereserves 38,068 100 % 227,786 100 % $ 2,508,370 9 (1)

IBNR 17,084

LAE 5,992

Totalreservesfor losses $ 250,862 and LAE(1)



Averagereserve perdefault:

Case $ 6.0

Total $ 6.6



Default 5.19% Rate



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



December 31, 2019

Number Percentage Reserves of of as a Amount of Percentage Policies Policies of Defaulted RIF Percentage in in Reserves of Reserves Default Default Defaulted RIF

($ in thousands)

Missed Payments:

Threepayments 3,310 56 % $ 15,793 25 % $ 177,238 9 %or less

Four toeleven 2,035 34 28,006 44 108,743 26 payments

Twelve ormore 473 8 13,549 22 27,152 50 payments

Pending 129 2 5,832 9 6,777 86 claims

Total casereserves 5,947 100 % 63,180 100 % $ 319,910 20 (2)

IBNR 4,738

LAE 1,265

Totalreservesfor losses $ 69,183 and LAE(2)



Averagereserve perdefault:

Case $ 10.6

Total $ 11.6



Default 0.85% Rate



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



June 30, 2019

Number Percentage Reserves of of as a Amount of Percentage Policies Policies of Defaulted RIF Percentage i n in Reserves of Reserves Default Default Defaulted RIF

($ in thousands)

Missed Payments:

Threepayments 2,511 57 % $ 12,646 25 % $ 133,536 9 %or less

Four toeleven 1,443 33 22,292 44 78,047 29 payments

Twelve ormore 369 8 11,583 23 22,093 52 payments

Pending 82 2 4,055 8 4,657 87 claims

Total case 4,405 100 % 50,576 100 % $ 238,333 21 reserves

IBNR 3,792

LAE 770

Totalreserves $ 55,138 for lossesand LAE



Averagereserve perdefault:

Case $ 11.5

Total $ 12.5



Default 0.66% Rate

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 830,124 19.1 848,334 25.3 securities

Municipal debt securities 465,063 10.7 361,638 10.8

Non-U.S. government 54,637 1.2 54,995 1.7 securities

Corporate debt securities 912,137 21.0 880,301 26.3

Residential and commercial 312,511 7.2 288,281 8.6 mortgage securities

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 $ 4,352,103 100.0 % $ 3,350,747 100.0 %for sale



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 $ 4,352,103 100.0 % $ 3,350,747 100.0 %for sale



(1) Based on ratings issued by Moody's, if available. S&P or Fitch ratingutilized 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 $ 4,352,103 100.0 % $ 3,350,747 100.0 %for sale



Pre-tax investment income yield:

Three months ended June 30, 2.16 % 2020

Six months ended June 30, 2.33 % 2020



Net cash and investments atholding 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 EssentGuaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impactof intercompany transactions. Statutory capital is computed based on accountingpractices prescribed or permitted by the Pennsylvania Insurance Department andthe National Association of Insurance Commissioners Accounting Practices andProcedures Manual.

(2) Net risk in force represents total risk in force, net of reinsurance cededand 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 forceto statutory capital.

(4) The combined risk-to-capital ratio equals the sum of the net risk in forceof Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by thecombined statutory capital.

(5) PMIERs data is based on our interpretation of PMIERs 2.0 as of the datesindicated.

.

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 animportant measure of our financial performance and is the basis for measuresused to determine vesting on certain restricted stock granted to seniormanagement under the Company's long-term incentive plan. Adjusted Book Valueper Share is a financial measure that is not calculated under standards orrules that comprise accounting principles generally accepted in the UnitedStates (GAAP) and is referred to as a non-GAAP measure. Adjusted Book Value perShare may be defined or calculated differently by other companies. AdjustedBook Value per Share is one measure used to monitor our results and should notbe viewed as a substitute for those measures determined in accordance withGAAP.

Adjusted Book Value per Share is calculated by dividing Adjusted Book Value byCommon Shares and Share Units Outstanding. Adjusted Book Value is defined asconsolidated stockholders' equity of the Company, excluding accumulated othercomprehensive income (loss) plus the proceeds, if any, from the assumedexercise of all "in-the-money" options, warrants and similar instruments.Common Shares and Share Units Outstanding is defined as total common sharesoutstanding plus all equity instruments (including restricted share units anddividend equivalent units) issued to management and the Board of Directors andany "in-the-money" options, warrants and similar instruments. Accumulated othercomprehensive income (loss) includes unrealized gains and losses that arisefrom changes in the market value of the Company's investments. The Company doesnot view these unrealized gains and losses to be indicative of our fundamentaloperating performance. As of June 30, 2020, December 31, 2019 and June 30,2019, the Company does not have any options, warrants and similar instrumentsoutstanding.

The following table sets forth the reconciliation of Adjusted Book Value to themost 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 June 30, 2020 December 31, June 30, 2019amounts) 2019



Numerator:

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



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



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 andDividend Equivalent Units 510 356 365 Outstanding



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



Adjusted Book Value per Share $ 31.02 $ 29.66 $ 26.92

View source version on businesswire.com: https://www.businesswire.com/news/home/20200807005058/en/

CONTACT: Media Contact 610.230.0556 media@essentgroup.com

CONTACT: Investor Relations Contact Christopher G. Curran Senior Vice President - Investor Relations 855-809-ESNT ir@essentgroup.com