Essent Group Ltd. Announces Fourth Quarter & Full Year 2020 Results; Declares Quarterly Dividend

Rhea-AI Summary

Essent Group Ltd. (NYSE: ESNT) reported a net income of $123.6 million or $1.10 per diluted share for Q4 2020, down from $147.0 million or $1.49 per share in Q4 2019. For the full year, net income decreased to $413.0 million or $3.88 per diluted share, compared to $555.7 million or $5.66 per diluted share in 2019. The Board declared a quarterly cash dividend of $0.16 per share, payable on March 19, 2021. The company reported insurance in force of $198.9 billion and a combined ratio of 44.5% for Q4 2020. The percentage of loans in default also improved to 3.93%.

Positive

• Quarterly cash dividend of $0.16 per share declared.
• Improved percentage of loans in default, decreasing to 3.93%.
• Insurance in force increased to $198.9 billion.

Negative

• Q4 2020 net income decreased by 16% year-over-year.
• Full year net income fell to $413.0 million, down 26% from 2019.
• Combined ratio increased to 44.5% compared to 41.6% in Q3 2020.

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 A		Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B		Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C		Historical Quarterly Data
Exhibit D		New Insurance Written
Exhibit E		Insurance in Force and Risk in Force
Exhibit F		Other Risk in Force
Exhibit G		Portfolio Vintage Data
Exhibit H		Reinsurance Vintage Data
Exhibit I		Portfolio Geographic Data
Exhibit J		Defaults, Reserve for Losses and LAE, and Claims
Exhibit K		Investments Available for Sale
Exhibit L		Insurance Company Capital
Exhibit M		Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share

Exhibit A
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
		Three Months Ended December 31,								Year Ended December 31,
(In thousands, except per share amounts)		2020				2019				2020				2019
Revenues:
Direct premiums written		$	245,437			$	207,263			$	922,851			$	796,344
Ceded premiums		(31,194		)		(10,770		)		(88,738		)		(35,499		)
Net premiums written		214,243				196,493				834,113				760,845
Decrease in unearned premiums		8,096				11,178				28,451				16,580
Net premiums earned		222,339				207,671				862,564				777,425
Net investment income		20,949				21,977				80,087				83,542
Realized investment gains, net		564				833				2,697				3,229
Other income (loss)		3,347				(1,719		)		9,806				3,371
Total revenues		247,199				228,762				955,154				867,567
Losses and expenses:
Provision for losses and LAE		62,073				10,929				301,293				32,986
Other underwriting and operating expenses		36,825				41,231				154,691				165,369
Interest expense		2,149				2,218				9,074				10,151
Total losses and expenses		101,047				54,378				465,058				208,506
Income before income taxes		146,152				174,384				490,096				659,061
Income tax expense		22,550				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
Diluted		1.10				1.49				3.88				5.66
Weighted average shares outstanding:
Basic		111,908				97,830				106,098				97,762
Diluted		112,310				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 investments		5,840				(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 ratio		27.9		%		5.3		%		34.9		%		4.2		%
Expense ratio		16.6				19.9				17.9				21.3
Combined ratio		44.5		%		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)		2020				2019
Assets
Investments
Fixed maturities available for sale, at fair value		$	3,838,513			$	3,035,385
Short-term investments available for sale, at fair value		726,860				315,362
Total investments available for sale		4,565,373				3,350,747
Other invested assets		88,904				78,873
Total investments		4,654,277				3,429,620
Cash		102,830				71,350
Accrued investment income		19,948				18,535
Accounts receivable		50,140				40,655
Deferred policy acquisition costs		17,005				15,705
Property and equipment		15,095				17,308
Prepaid federal income tax		302,636				261,885
Other assets		40,793				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 reserve		250,436				278,887
Net deferred tax liability		305,109				249,620
Credit facility borrowings, net of deferred costs		321,720				224,237
Other accrued liabilities		87,885				66,474
Total liabilities		1,340,091				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 2019		1,686				1,476
Additional paid-in capital		1,571,163				1,118,655
Accumulated other comprehensive income		138,274				56,187
Retained earnings		2,151,510				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 equity		12.1		%		20.8		%

Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
		2020																2019
Selected Income Statement Data		December 31				September 30				June 30				March 31				December 31				September 30				June 30				March 31
(In thousands, except per share amounts)
Revenues:
Net premiums written		$	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 revenues		247,199				243,038				236,077				228,840				228,762				226,387				211,892				200,526
Losses and expenses:
Provision for losses and LAE		62,073				55,280				175,877				8,063				10,929				9,990				4,960				7,107
Other underwriting and operating expenses		36,825				37,100				38,819				41,947				41,231				41,588				41,520				41,030
Interest expense		2,149				2,227				2,566				2,132				2,218				2,584				2,679				2,670
Total losses and expenses		101,047				94,607				217,262				52,142				54,378				54,162				49,159				50,807
Income before income taxes		146,152				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
Diluted		1.10				1.11				0.15				1.52				1.49				1.47				1.39				1.30
Weighted average shares outstanding:
Basic		111,908				111,908				102,500				97,949				97,830				97,822				97,798				97,595
Diluted		112,310				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 ratio		44.5		%		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
		2020																2019
Other Data, continued:		December 31				September 30				June 30				March 31				December 31				September 30				June 30				March 31
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written		$	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 written		7,051,173				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 force		799,893				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 persistency		60.1		%		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 default		3.93		%		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 Ended												Year Ended
		December 31, 2020						December 31, 2019						December 31, 2020						December 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	%
740-759		5,069,530			17.1			2,880,429			18.2			19,385,541			17.9			11,152,853			17.6
720-739		4,134,782			14.0			2,401,806			15.2			15,744,485			14.6			9,340,180			14.7
700-719		3,385,670			11.5			1,860,120			11.7			12,409,936			11.5			7,555,687			11.9
680-699		1,743,694			5.9			1,235,223			7.8			6,871,511			6.4			5,248,330			8.3
<=679		1,902,765			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 score		748						745						749						744
NIW by LTV
		Three Months Ended												Year Ended
		December 31, 2020						December 31, 2019						December 31, 2020						December 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 above		2,484,974			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 LTV		91		%				92		%				91		%				92		%
NIW by Product
		Three Months Ended												Year Ended
		December 31, 2020						December 31, 2019						December 31, 2020						December 31, 2019
Single Premium policies					7.7	%					10.4	%					9.0	%					11.1	%
Monthly Premium policies					92.3						89.6						91.0						88.9
					100.0	%					100.0	%					100.0	%					100.0	%
NIW by Purchase vs. Refinance
		Three Months Ended												Year Ended
		December 31, 2020						December 31, 2019						December 31, 2020						December 31, 2019
Purchase					61.6	%					71.8	%					60.4	%					80.4	%
Refinance					38.4						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 score		December 31, 2020						September 30, 2020						December 31, 2019
($ in thousands)
>=760		$	82,452,139		41.5	%		$	78,923,142		41.4	%		$	68,123,523		41.5	%
740-759		34,538,761			17.3			33,229,396			17.4			27,886,603			17.0
720-739		29,599,646			14.9			28,496,228			15.0			24,069,139			14.7
700-719		23,807,982			12.0			22,748,385			11.9			19,183,219			11.7
680-699		15,538,235			7.8			15,302,772			8.0			13,713,164			8.4
<=679		12,945,589			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 score		745						745						745
Gross RIF by FICO score		December 31, 2020						September 30, 2020						December 31, 2019
($ in thousands)
>=760		$	20,336,799		41.0	%		$	19,606,502		41.0	%		$	17,082,683		41.3	%
740-759		8,682,265			17.5			8,395,009			17.5			7,056,654			17.0
720-739		7,504,065			15.1			7,251,499			15.2			6,150,334			14.9
700-719		5,970,851			12.1			5,738,412			12.0			4,873,597			11.8
680-699		3,887,059			7.9			3,853,734			8.0			3,491,755			8.4
<=679		3,184,111			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 LTV		December 31, 2020						September 30, 2020						December 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 above		26,798,177			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 LTV		92		%				92		%				92		%
Gross RIF by LTV		December 31, 2020						September 30, 2020						December 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 above		7,466,092			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 Period		December 31, 2020						September 30, 2020						December 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 years		4,365,585			2.2			3,945,019			2.1			2,854,560			1.7
FRM 15 years		4,776,068			2.4			4,417,092			2.3			3,300,715			2.0
ARM 5 years and higher		2,036,699			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
		2020																2019
($ in thousands)		December 31				September 30				June 30				March 31				December 31				September 30				June 30				March 31
GSE and other risk share (1):
Premiums earned		$	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 score		746				747				746				746				745				746				748				747
Weighted average LTV		84		%		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
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		$	6,135,672		10.1	%	35,975		83.2	%	69.9	%	4.2	%	13.5	%	43.8	%	3.3	%	1,985		5.52	%
2015	26,193,656			5,674,591			21.7		30,252		86.2		63.4		3.1		16.5		41.4		4.6		1,615		5.34
2016	34,949,319			11,314,546			32.4		55,969		86.8		62.6		7.9		14.4		44.7		6.4		3,154		5.64
2017	43,858,322			16,268,294			37.1		82,036		89.2		63.0		16.5		18.2		39.5		9.7		5,614		6.84
2018	47,508,525			18,677,363			39.3		89,550		93.0		65.4		21.3		18.7		35.8		16.4		6,903		7.71
2019	63,569,183			38,688,532			60.9		156,164		82.9		63.0		20.4		17.6		36.7		31.2		9,230		5.91
2020	107,944,065			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
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 (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
2017	15,856,384			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
2018	18,295,450			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 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 (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, 2020			September 30, 2020			December 31, 2019
CA	12.0	%		11.2	%		10.0	%
TX	9.7			9.6			8.6
FL	8.7			8.5			7.9
CO	4.1			4.1			3.7
WA	3.8			3.9			4.4
AZ	3.6			3.5			3.3
IL	3.4			3.5			3.7
NJ	3.3			3.4			3.6
VA	3.1			3.2			3.2
MD	3.0			3.0			2.8
All Others	45.3			46.1			48.8
Total	100.0	%		100.0	%		100.0	%
Gross RIF by State
	December 31, 2020			September 30, 2020			December 31, 2019
CA	11.8	%		11.0	%		9.8	%
TX	10.0			9.9			8.9
FL	9.0			8.7			8.0
CO	4.1			4.0			3.6
WA	3.8			3.9			4.4
AZ	3.5			3.4			3.2
IL	3.3			3.4			3.5
NJ	3.2			3.3			3.6
GA	3.1			3.1			3.3
VA	3.1			3.1			3.1
All Others	45.1			46.2			48.6
Total	100.0	%		100.0	%		100.0	%

Exhibit J
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
Rollforward of Insured Loans in Default
		Three Months Ended								Year Ended
		December 31,				December 31,				December 31,				December 31,
		2020				2019				2020				2019
Beginning default inventory		35,464				5,232				5,947				4,024
Plus: new defaults		8,745				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 inventory		31,469				5,947				31,469				5,947
Rollforward of Reserve for Losses and LAE
		Three Months Ended								Year Ended
		December 31,				December 31,				December 31,				December 31,
($ in thousands)		2020				2019				2020				2019
Reserve for losses and LAE at beginning of period		$	307,737			$	61,436			$	69,362			$	49,464
Less: Reinsurance recoverables		11,898				—				71				—
Net reserve for losses and LAE at beginning of period		295,839				61,436				69,291				49,464
Add provision for losses and LAE occurring in:
Current period		63,949				12,658				317,516				50,562
Prior years		(1,876		)		(1,729		)		(16,223		)		(17,576		)
Incurred losses and LAE during the period		62,073				10,929				301,293				32,986
Deduct payments for losses and LAE occurring in:
Current period		524				631				1,018				1,288
Prior years		1,508				2,443				13,686				11,871
Loss and LAE payments during the period		2,032				3,074				14,704				13,159
Net reserve for losses and LAE at end of period		355,880				69,291				355,880				69,291
Plus: Reinsurance recoverables		19,061				71				19,061				71
Reserve for losses and LAE at end of period		$	374,941			$	69,362			$	374,941			$	69,362
Claims
		Three Months Ended								Year Ended
		December 31,				December 31,				December 31,				December 31,
		2020				2019				2020				2019
Number of claims paid		49				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
Severity		62		%		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 less		6,631		21	%	$	47,905		14	%	$	384,668		12	%
Four to eleven payments		23,543		75		260,593			76		1,553,593			17
Twelve or more payments		1,243		4		32,593			9		67,501			48
Pending claims		52		—		2,199			1		2,843			77
Total case reserves (1)		31,469		100	%	343,290			100	%	$	2,008,605		17
IBNR						25,747
LAE						4,831
Total reserves for losses and LAE (1)						$	373,868
Average reserve per default:
Case						$	10.9
Total						$	11.9
Default Rate		3.93%
(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $1,073.
		December 31, 2019
		Number of Policies in Default		Percentage of Policies in Default		Amount of Reserves			Percentage of Reserves		Defaulted RIF			Reserves as a Percentage of Defaulted RIF
($ 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.

Exhibit K
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class		December 31, 2020							December 31, 2019
($ in thousands)		Fair Value				Percent			Fair Value				Percent
U.S. Treasury securities		$	268,444			5.9	%		$	242,206			7.2	%
U.S. agency securities		18,085				0.4			33,605				1.0
U.S. agency mortgage-backed securities		995,905				21.8			848,334				25.3
Municipal debt securities		551,517				12.1			361,638				10.8
Non-U.S. government securities		61,607				1.3			54,995				1.7
Corporate debt securities		1,126,512				24.7			880,301				26.3
Residential and commercial mortgage securities		409,282				9.0			288,281				8.6
Asset-backed securities		454,717				9.9			326,025				9.7
Money market funds		679,304				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, 2020							December 31, 2019
($ in thousands)		Fair Value				Percent			Fair Value				Percent
Aaa		$	2,564,746			56.2	%		$	1,817,905			54.2	%
Aa1		133,100				2.9			109,122				3.3
Aa2		260,462				5.7			145,282				4.3
Aa3		204,917				4.5			159,599				4.8
A1		249,710				5.5			206,643				6.2
A2		401,175				8.8			183,780				5.5
A3		229,882				5.0			191,933				5.7
Baa1		260,602				5.7			232,490				6.9
Baa2		178,926				3.9			179,664				5.4
Baa3		48,199				1.1			65,119				1.9
Below Baa3		33,654				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 Duration		December 31, 2020							December 31, 2019
($ in thousands)		Fair Value				Percent			Fair Value				Percent
< 1 Year		$	1,568,505			34.4	%		$	1,038,782			31.0	%
1 to < 2 Years		581,003				12.7			306,148				9.1
2 to < 3 Years		616,069				13.5			348,708				10.4
3 to < 4 Years		426,333				9.3			361,147				10.8
4 to < 5 Years		367,633				8.1			443,382				13.2
5 or more Years		1,005,830				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, 2020		2.00		%
Year ended December 31, 2020		2.11		%
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, 2020				December 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.		11.5:1				13.1:1
Essent Guaranty of PA, Inc.		1.7:1				2.9:1
Combined (4)		11.1:1				12.6:1
Essent Guaranty, Inc. PMIERs Data (5):
Available Assets		$	2,855,923			$	2,337,086
Minimum Required Assets		1,647,225				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, 2020				December 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 Outstanding		112,423				98,394
Add: Restricted Share Units and Dividend Equivalent Units Outstanding		513				356
Total Common Shares and Share Units Outstanding		112,936				98,750
Adjusted Book Value per Share		$	32.98			$	29.66

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20210219005054/en/

FAQ

What are Essent Group's Q4 2020 earnings results?

Essent Group reported a net income of $123.6 million or $1.10 per diluted share for Q4 2020.

What was the dividend declared by Essent Group?

Essent Group declared a quarterly cash dividend of $0.16 per share.

When is the dividend payment date for Essent Group?

The dividend is payable on March 19, 2021.

What was the percentage of loans in default for Essent Group?

The percentage of loans in default was 3.93% as of December 31, 2020.

How much insurance in force did Essent Group report?

Essent Group reported insurance in force of $198.9 billion as of December 31, 2020.