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

Rhea-AI Summary

Essent Group Ltd. (NYSE: ESNT) reported a net income of $124.5 million or $1.11 per diluted share for Q3 2020, down from $144.6 million or $1.47 per share in Q3 2019. The Board declared a quarterly cash dividend of $0.16 per share, payable on December 10, 2020. Insurance in force increased to $190.8 billion, up from $161.0 billion a year earlier. New insurance written reached $36.7 billion, compared to $18.7 billion in Q3 2019. The percentage of loans in default decreased to 4.54%, while the combined ratio improved to 41.6% from 25.3% in the prior year.

Positive

• Net income of $124.5 million for Q3 2020, despite a year-over-year decline.
• Declared a quarterly cash dividend of $0.16, supporting shareholder income.
• Insurance in force increased to $190.8 billion, indicating growth.
• New insurance written rose to $36.7 billion, a significant year-over-year increase.
• Combined ratio improved to 41.6%, indicating better underwriting profitability.

Negative

• Year-over-year net income decline from $144.6 million to $124.5 million.
• Percentage of loans in default remains high at 4.54%, up from 0.75% a year ago.

HAMILTON, Bermuda--(BUSINESS WIRE)--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2020 of $124.5 million or $1.11 per diluted share, compared to $144.6 million or $1.47 per diluted share for the quarter ended September 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 December 10, 2020, to shareholders of record on December 1, 2020.

"We are encouraged by the increase in our third quarter earnings as compared to the second quarter due to a lower loss provision driven by a decrease in the number of new COVID-19 default notices received on our insured portfolio,” said Mark A. Casale, Chairman and Chief Executive Officer. “Although our outlook on the economy remains cautious, we are pleased with the resilience and strength that housing has demonstrated throughout the year which has been a bright spot in the economy and positive for high credit quality growth in our business.”

Financial Highlights:

• Insurance in force as of September 30, 2020 was $190.8 billion, compared to $174.6 billion as of June 30, 2020 and $161.0 billion as of September 30, 2019.

• New insurance written for the third quarter was $36.7 billion, compared to $28.2 billion in the second quarter of 2020 and $18.7 billion in the third quarter of 2019.

• Net premiums earned for the third quarter were $222.3 million, compared to $211.5 million in the second quarter of 2020 and $203.5 million in the third quarter of 2019.

• The expense ratio for the third quarter was 16.7%, compared to 18.4% in the second quarter of 2020 and 20.4% in the third quarter of 2019.

• The provision for losses and LAE for the third quarter was $55.3 million, compared to a provision of $175.9 million in the second quarter of 2020 and a provision of $10.0 million in the third quarter of 2019.

• The percentage of loans in default as of September 30, 2020 was 4.54%, compared to 5.19% as of June 30, 2020 and 0.75% as of September 30, 2019.
  • As of October 31, 2020, the percentage of loans in default was 4.25%.

• The combined ratio for the third quarter was 41.6%, compared to 101.5% in the second quarter of 2020 and 25.3% in the third quarter of 2019.

• Other income for the third quarter includes a $0.7 million loss for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a gain of $2.5 million in the second quarter of 2020 and a loss of $0.8 million in the third quarter of 2019.

• The consolidated balance of cash and investments at September 30, 2020 was $4.7 billion, including cash and investment balances at Essent Group Ltd. of $685.0 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 11.6:1 as of September 30, 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.

• During the third quarter, A.M. Best affirmed its “A (Excellent)” financial strength rating of Essent Guaranty, Inc. and a long-term issuer credit rating of "a" of the operating subsidiaries of Essent Group Ltd. Essent Guaranty, Inc. also has financial strength ratings of “A3” by Moody’s and “BBB+” by S&P.

• 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 3494393 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 3494393.

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 September 30, 2020
Exhibit A		Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B		Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C		Historical Quarterly Data
Exhibit D		New Insurance Written
Exhibit E		Insurance in Force and Risk in Force
Exhibit F		Other Risk in Force
Exhibit G		Portfolio Vintage Data
Exhibit H		Reinsurance Vintage Data
Exhibit I		Portfolio Geographic Data
Exhibit J		Defaults, Reserve for Losses and LAE, and Claims
Exhibit K		Investments Available for Sale
Exhibit L		Insurance Company Capital
Exhibit M		Reconciliation of Non-GAAP Financial Measure - Adjusted Book Value per Share

													Exhibit A
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
	Three Months Ended September 30,								Nine Months Ended September 30,
(In thousands, except per share amounts)	2020				2019				2020				2019
Revenues:
Direct premiums written	$	243,390			$	208,567			$	677,414			$	589,081
Ceded premiums	(21,167)				(10,263)				(57,544)				(24,729)
Net premiums written	222,223				198,304				619,870				564,352
Decrease in unearned premiums	35				5,169				20,355				5,402
Net premiums earned	222,258				203,473				640,225				569,754
Net investment income	18,639				21,104				59,138				61,565
Realized investment gains, net	267				1,153				2,133				2,396
Other income	1,874				657				6,459				5,090
Total revenues	243,038				226,387				707,955				638,805
Losses and expenses:
Provision for losses and LAE	55,280				9,990				239,220				22,057
Other underwriting and operating expenses	37,100				41,588				117,866				124,138
Interest expense	2,227				2,584				6,925				7,933
Total losses and expenses	94,607				54,162				364,011				154,128
Income before income taxes	148,431				172,225				343,944				484,677
Income tax expense	23,895				27,595				54,505				75,922
Net income	$	124,536			$	144,630			$	289,439			$	408,755
Earnings per share:
Basic	$	1.11			$	1.48			$	2.78			$	4.18
Diluted	1.11				1.47				2.77				4.16
Weighted average shares outstanding:
Basic	111,908				97,822				104,147				97,739
Diluted	112,134				98,257				104,383				98,178
Net income	$	124,536			$	144,630			$	289,439			$	408,755
Other comprehensive income (loss):
Change in unrealized appreciation of investments	12,036				17,367				76,247				91,720
Total other comprehensive income	12,036				17,367				76,247				91,720
Comprehensive income	$	136,572			$	161,997			$	365,686			$	500,475
Loss ratio	24.9		%		4.9		%		37.4		%		3.9		%
Expense ratio	16.7				20.4				18.4				21.8
Combined ratio	41.6		%		25.3		%		55.8		%		25.7		%

					Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
	September 30,				December 31,
(In thousands, except per share amounts)	2020				2019
Assets
Investments
Fixed maturities available for sale, at fair value	$	3,549,397			$	3,035,385
Short-term investments available for sale, at fair value	952,952				315,362
Total investments available for sale	4,502,349				3,350,747
Other invested assets	83,063				78,873
Total investments	4,585,412				3,429,620
Cash	118,691				71,350
Accrued investment income	19,152				18,535
Accounts receivable	45,434				40,655
Deferred policy acquisition costs	16,704				15,705
Property and equipment	14,596				17,308
Prepaid federal income tax	279,136				261,885
Other assets	27,963				18,367
Total assets	$	5,107,088			$	3,873,425
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	307,737			$	69,362
Unearned premium reserve	258,532				278,887
Net deferred tax liability	281,506				249,620
Credit facility borrowings, net of deferred costs	424,658				224,237
Other accrued liabilities	88,111				66,474
Total liabilities	1,360,544				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	1,566,448				1,118,655
Accumulated other comprehensive income	132,434				56,187
Retained earnings	2,045,976				1,808,527
Total stockholders' equity	3,746,544				2,984,845
Total liabilities and stockholders' equity	$	5,107,088			$	3,873,425
Return on average equity (1)	11.5		%		20.8		%
(1) The 2020 return on average equity is calculated by dividing annualized year-to-date 2020 net income by average equity. The 2019 return on average equity is calculated by dividing full year 2019 net income by average equity.

																						Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
		2020												2019
Selected Income Statement Data		September 30				June 30				March 31				December 31				September 30				June 30				March 31
(In thousands, except per share amounts)
Revenues:
Net premiums written		$	222,223			$	205,904			$	191,743			$	196,493			$	198,304			$	188,404			$	177,644
Net premiums earned (1)		222,258				211,471				206,496				207,671				203,473				188,490				177,791
Other revenues (2)		20,780				24,606				22,344				21,091				22,914				23,402				22,735
Total revenues		243,038				236,077				228,840				228,762				226,387				211,892				200,526
Losses and expenses:
Provision for losses and LAE		55,280				175,877				8,063				10,929				9,990				4,960				7,107
Other underwriting and operating expenses		37,100				38,819				41,947				41,231				41,588				41,520				41,030
Interest expense		2,227				2,566				2,132				2,218				2,584				2,679				2,670
Total losses and expenses		94,607				217,262				52,142				54,378				54,162				49,159				50,807
Income before income taxes		148,431				18,815				176,698				174,384				172,225				162,733				149,719
Income tax expense (3)		23,895				3,435				27,175				27,426				27,595				26,328				21,999
Net income		$	124,536			$	15,380			$	149,523			$	146,958			$	144,630			$	136,405			$	127,720
Earnings per share:
Basic		$	1.11			$	0.15			$	1.53			$	1.50			$	1.48			$	1.39			$	1.31
Diluted		1.11				0.15				1.52				1.49				1.47				1.39				1.30
Weighted average shares outstanding:
Basic		111,908				102,500				97,949				97,830				97,822				97,798				97,595
Diluted		112,134				102,605				98,326				98,376				98,257				98,170				98,104
Other Data:
Loss ratio (4)		24.9		%		83.2		%		3.9		%		5.3		%		4.9		%		2.6		%		4.0		%
Expense ratio (5)		16.7				18.4				20.3				19.9				20.4				22.0				23.1
Combined ratio		41.6		%		101.5		%		24.2		%		25.1		%		25.3		%		24.7		%		27.1		%
Return on average equity (annualized)		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. Other revenues for the three months ended September 30, 2020, June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019 include net favorable (unfavorable) changes of ($677), $2,502, ($4,200), ($3,585), ($760), $1,160 and $1,424, respectively, in the fair value of these embedded derivatives.
(3) Income tax expense for the three months ended March 31, 2020 and 2019 was reduced by $620 and $1,956, respectively, of excess tax benefits associated with the vesting of common shares and common share units during each period.
(4) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
(5) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.

																						Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
		2020												2019
Other Data, continued:		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		$	36,664,583			$	28,163,212			$	13,549,299			$	15,839,836			$	18,719,876			$	17,973,505			$	10,945,307
New risk written		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)		0.51		%		0.53		%		0.51		%		0.51		%		0.52		%		0.51		%		0.50		%
Average net premium rate (7)		0.46		%		0.48		%		0.48		%		0.49		%		0.49		%		0.49		%		0.48		%
New insurance written		$	36,664,583			$	28,163,212			$	13,549,450			$	15,839,836			$	18,726,009			$	18,003,029			$	11,000,309
New risk written		$	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)		$	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)		$	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)		$	41,219,216			$	39,113,879			$	38,290,022			$	38,947,857			$	38,784,584			$	37,034,687			$	34,744,417
Policies in force		781,836				733,651				706,714				702,925				693,085				666,705				629,808
Weighted average coverage (9)		25.1		%		25.2		%		25.3		%		25.2		%		25.2		%		25.1		%		25.1		%
Annual persistency		64.2		%		67.9		%		73.9		%		77.5		%		82.1		%		84.8		%		85.1		%
Loans in default (count)		35,464				38,068				5,841				5,947				5,232				4,405				4,096
Percentage of loans in default		4.54		%		5.19		%		0.83		%		0.85		%		0.75		%		0.66		%		0.65		%
Other Risk in Force
GSE and other risk share (10)		$	1,216,353			$	1,031,699			$	1,100,966			$	895,374			$	849,184			$	802,530			$	771,175
Credit Facility
Borrowings outstanding		$	425,000			$	425,000			$	425,000			$	225,000			$	225,000			$	225,000			$	225,000
Undrawn committed capacity		$	75,000			$	75,000			$	75,000			$	275,000			$	275,000			$	275,000			$	275,000
Weighted average interest rate (end of period)		1.90		%
(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												Nine Months Ended
	September 30, 2020						September 30, 2019						September 30, 2020						September 30, 2019
($ in thousands)
>=760	$	16,887,062		46.1	%		$	7,467,620		39.9	%		$	34,706,705		44.3	%		$	19,251,937		40.4	%
740-759	6,557,520			17.9			3,286,476			17.5			14,316,011			18.3			8,272,424			17.4
720-739	5,238,462			14.3			2,800,181			15.0			11,609,703			14.8			6,938,374			14.6
700-719	4,187,254			11.4			2,202,659			11.8			9,024,266			11.5			5,695,567			11.9
680-699	2,131,994			5.8			1,570,179			8.4			5,127,817			6.5			4,013,107			8.4
<=679	1,662,291			4.5			1,392,761			7.4			3,592,592			4.6			3,467,279			7.3
Total	$	36,664,583		100.0	%		$	18,719,876		100.0	%		$	78,377,094		100.0	%		$	47,638,688		100.0	%
Weighted average credit score	751						744						749						744
NIW by LTV
	Three Months Ended												Nine Months Ended
	September 30, 2020						September 30, 2019						September 30, 2020						September 30, 2019
($ in thousands)
85.00% and below	$	6,815,158		18.6	%		$	2,126,071		11.4	%		$	13,807,437		17.6	%		$	5,789,334		12.2	%
85.01% to 90.00%	11,324,610			30.9			5,288,027			28.2			24,391,509			31.1			13,089,688			27.5
90.01% to 95.00%	14,781,544			40.3			7,896,661			42.2			31,382,298			40.1			20,081,707			42.1
95.01% and above	3,743,271			10.2			3,409,117			18.2			8,795,850			11.2			8,677,959			18.2
Total	$	36,664,583		100.0	%		$	18,719,876		100.0	%		$	78,377,094		100.0	%		$	47,638,688		100.0	%
Weighted average LTV	91		%				92		%				91		%				92		%
NIW by Product
	Three Months Ended												Nine Months Ended
	September 30, 2020						September 30, 2019						September 30, 2020						September 30, 2019
Single Premium policies				8.6	%					10.8	%					9.5	%					11.3	%
Monthly Premium policies				91.4						89.2						90.5						88.7
				100.0	%					100.0	%					100.0	%					100.0	%
NIW by Purchase vs. Refinance
	Three Months Ended												Nine Months Ended
	September 30, 2020						September 30, 2019						September 30, 2020						September 30, 2019
Purchase				61.1	%					79.6	%					60.0	%					83.3	%
Refinance				38.9						20.4						40.0						16.7
				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		September 30, 2020						June 30, 2020						September 30, 2019
($ in thousands)
>=760		$	78,923,142		41.4	%		$	71,570,804		41.0	%		$	67,408,766		41.9	%
740-759		33,229,396			17.4			30,265,718			17.3			27,178,330			16.9
720-739		28,496,228			15.0			26,130,764			15.0			23,459,055			14.6
700-719		22,748,385			11.9			20,721,839			11.9			18,728,884			11.6
680-699		15,302,772			8.0			14,545,011			8.3			13,418,919			8.3
<=679		12,111,369			6.3			11,412,137			6.5			10,768,238			6.7
Total		$	190,811,292		100.0	%		$	174,646,273		100.0	%		$	160,962,192		100.0	%
Weighted average credit score		745						745						745
Gross RIF by FICO score		September 30, 2020						June 30, 2020						September 30, 2019
($ in thousands)
>=760		$	19,606,502		41.0	%		$	17,871,881		40.6	%		$	16,877,750		41.6	%
740-759		8,395,009			17.5			7,672,436			17.4			6,857,369			16.9
720-739		7,251,499			15.2			6,673,863			15.2			5,980,949			14.8
700-719		5,738,412			12.0			5,246,989			11.9			4,743,360			11.7
680-699		3,853,734			8.0			3,693,448			8.4			3,406,811			8.4
<=679		2,993,512			6.3			2,835,372			6.5			2,674,050			6.6
Total		$	47,838,668		100.0	%		$	43,993,989		100.0	%		$	40,540,289		100.0	%
Portfolio by LTV
IIF by LTV		September 30, 2020						June 30, 2020						September 30, 2019
($ in thousands)
85.00% and below		$	23,979,065		12.6	%		$	19,874,830		11.4	%		$	16,918,870		10.5	%
85.01% to 90.00%		55,453,633			29.1			50,446,645			28.9			46,021,398			28.6
90.01% to 95.00%		84,573,433			44.3			79,112,541			45.3			75,528,177			46.9
95.01% and above		26,805,161			14.0			25,212,257			14.4			22,493,747			14.0
Total		$	190,811,292		100.0	%		$	174,646,273		100.0	%		$	160,962,192		100.0	%
Weighted average LTV		92		%				92		%				92		%
Gross RIF by LTV		September 30, 2020						June 30, 2020						September 30, 2019
($ in thousands)
85.00% and below		$	2,759,320		5.8	%		$	2,292,935		5.2	%		$	1,953,058		4.8	%
85.01% to 90.00%		13,307,205			27.8			12,120,308			27.6			11,065,886			27.3
90.01% to 95.00%		24,391,376			51.0			22,760,884			51.7			21,633,852			53.4
95.01% and above		7,380,767			15.4			6,819,862			15.5			5,887,493			14.5
Total		$	47,838,668		100.0	%		$	43,993,989		100.0	%		$	40,540,289		100.0	%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period		September 30, 2020						June 30, 2020						September 30, 2019
($ in thousands)
FRM 30 years and higher		$	180,135,430		94.4	%		$	165,143,246		94.5	%		$	151,594,009		94.2	%
FRM 20-25 years		3,945,019			2.1			3,277,847			1.9			2,872,964			1.8
FRM 15 years		4,417,092			2.3			3,660,888			2.1			3,367,326			2.1
ARM 5 years and higher		2,313,751			1.2			2,564,292			1.5			3,127,893			1.9
Total		$	190,811,292		100.0	%		$	174,646,273		100.0	%		$	160,962,192		100.0	%

																										Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
		2020												2019
($ in thousands)		September 30				June 30				March 31				December 31				September 30				June 30				March 31
GSE and other risk share (1):
Premiums earned		$	11,132			$	10,655			$	10,778			$	9,867			$	9,284			$	8,622			$	7,894
Risk in Force		$	1,216,353			$	1,031,699			$	1,100,966			$	895,374			$	849,184			$	802,530			$	771,175
Weighted average credit score		747				746				746				745				746				748				747
Weighted average LTV		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
September 30, 2020
											Insurance in Force
Year	Original Insurance Written ($ in thousands)			Remaining Insurance in Force ($ in thousands)			% Remaining of Original Insurance		Number of Policies in Force		% Purchase		>90% LTV		>95% LTV		FICO < 700		FICO >= 760		Incurred Loss Ratio (Inception to Date) (1)		Number of Loans in Default		Percentage of Loans in Default
2010 - 2014	$	60,668,851		$	7,269,635		12.0	%	41,790		83.4	%	69.3	%	4.0	%	13.0	%	44.8	%	3.3	%	2,213		5.30	%
2015	26,193,656			6,744,380			25.7		35,079		85.8		62.4		3.0		15.7		42.5		4.5		1,940		5.53
2016	34,949,319			13,401,895			38.3		64,585		86.0		61.3		7.6		14.0		45.1		6.2		3,750		5.81
2017	43,858,322			19,575,798			44.6		95,783		88.9		62.3		15.9		17.4		40.3		9.4		6,591		6.88
2018	47,508,525			22,549,067			47.5		105,062		92.8		64.6		20.7		17.7		37.1		15.4		8,054		7.67
2019	63,569,183			45,236,714			71.2		177,594		81.9		62.0		19.6		16.9		37.7		28.7		10,531		5.93
2020 (through September 30)	78,377,245			76,033,803			97.0		261,943		59.9		51.4		11.4		11.2		44.0		23.9		2,385		0.91
Total	$	355,125,101		$	190,811,292		53.7		781,836		75.6		58.4		14.0		14.4		41.4		8.9		35,464		4.54
(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
September 30, 2020
($ in thousands)
Excess of Loss Reinsurance
								Original Reinsurance in Force										Remaining Reinsurance in Force																					Earned Premiums Ceded
Year	Remaining Insurance in Force			Remaining Risk in Force				ILN (1)			Other Reinsurance (2)			Total				ILN			Other Reinsurance			Total				Losses Ceded to Date				Original First Layer Retention			Remaining First Layer Retention				Quarter-to-Date			Year-to-Date				Reduction in PMIERs Minimum Required Assets (5)
2015 & 2016	$	19,182,623		$	5,179,608			$	333,844		$	—		$	333,844			$	216,480		$	—		$	216,480			$	—			$	208,111		$	207,813			$	1,245		$	4,532			$	133,695
2017	19,040,243			4,851,958				424,412			165,167			589,579				242,123			165,167			407,290				—				224,689			219,220				2,708			8,862				152,007
2018	22,096,001			5,601,015				473,184			118,650			591,834				325,537			76,144			401,681				—				253,643			251,614				3,357			10,935				232,059
2019 (3)	26,346,557			6,698,195				495,889			55,102			550,991				495,889			55,102			550,991				—				215,605			215,509				3,057			8,499				376,386
Total	$	86,665,424		$	22,330,776			$	1,727,329		$	338,919		$	2,066,248			$	1,280,029		$	296,413		$	1,576,442			$	—			$	902,048		$	894,156			$	10,367		$	32,828			$	894,147

Quota Share Reinsurance
																	Losses Ceded							Ceding Commission							Earned Premiums Ceded
Year		Remaining Insurance in Force			Remaining Risk in Force				Remaining Ceded Insurance in Force				Remaining Ceded Risk in Force				Quarter-to-Date			Year-to-Date				Quarter-to-Date			Year-to-Date				Quarter-to-Date			Year-to-Date				Reduction in PMIERs Minimum Required Assets (5)
2019 & 2020	(4)	$	94,074,498		$	23,215,840			$	20,635,915			$	5,043,010			$	4,154		$	11,850			$	3,316		$	6,426			$	10,800		$	24,716			$	336,170
(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
(2) Reinsurance provided by panels of reinsurers.
(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.
(4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.
(5) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.

							Exhibit I
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data
IIF by State
	September 30, 2020			June 30, 2020			September 30, 2019
CA	11.2	%		10.6	%		9.8	%
TX	9.6			9.4			8.3
FL	8.5			8.2			7.7
CO	4.1			3.9			3.6
WA	3.9			4.0			4.5
AZ	3.5			3.5			3.2
IL	3.5			3.5			3.7
NJ	3.4			3.5			3.6
VA	3.2			3.2			3.2
GA	3.1			3.1			3.3
All Others	46.0			47.1			49.1
Total	100.0	%		100.0	%		100.0	%
Gross RIF by State
	September 30, 2020			June 30, 2020			September 30, 2019
CA	11.0	%		10.3	%		9.6	%
TX	9.9			9.7			8.6
FL	8.7			8.4			7.9
CO	4.0			3.8			3.5
WA	3.9			4.0			4.5
AZ	3.4			3.4			3.2
IL	3.4			3.4			3.6
NJ	3.3			3.4			3.6
VA	3.1			3.2			3.2
GA	3.1			3.2			3.3
All Others	46.2			47.2			49.0
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								Nine Months Ended
		September 30,				September 30,				September 30,				September 30,
		2020				2019				2020				2019
Beginning default inventory		38,068				4,405				5,947				4,024
Plus: new defaults		12,614				3,711				53,904				9,478
Less: cures		(15,135)				(2,776)				(24,032)				(7,958)
Less: claims paid		(67)				(103)				(329)				(297)
Less: rescissions and denials, net		(16)				(5)				(26)				(15)
Ending default inventory		35,464				5,232				35,464				5,232
Rollforward of Reserve for Losses and LAE
		Three Months Ended								Nine Months Ended
		September 30,				September 30,				September 30,				September 30,
($ in thousands)		2020				2019				2020				2019
Reserve for losses and LAE at beginning of period		$	250,890			$	55,138			$	69,362			$	49,464
Less: Reinsurance recoverables		7,761				—				71				—
Net reserve for losses and LAE at beginning of period		243,129				55,138				69,291				49,464
Add provision for losses and LAE occurring in:
Current period		56,372				14,722				253,567				37,904
Prior years		(1,092)				(4,732)				(14,347)				(15,847)
Incurred losses and LAE during the period		55,280				9,990				239,220				22,057
Deduct payments for losses and LAE occurring in:
Current period		205				412				494				657
Prior years		2,365				3,280				12,178				9,428
Loss and LAE payments during the period		2,570				3,692				12,672				10,085
Net reserve for losses and LAE at end of period		295,839				61,436				295,839				61,436
Plus: Reinsurance recoverables		11,898				—				11,898				—
Reserve for losses and LAE at end of period		$	307,737			$	61,436			$	307,737			$	61,436
Claims
		Three Months Ended								Nine Months Ended
		September 30,				September 30,				September 30,				September 30,
		2020				2019				2020				2019
Number of claims paid		67				103				329				297
Total amount paid for claims (in thousands)		$	2,557			$	3,584			$	12,432			$	9,691
Average amount paid per claim (in thousands)		$	38			$	35			$	38			$	33
Severity		77		%		71		%		78		%		73		%

											Exhibit J, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
U.S. Mortgage Insurance Portfolio
		September 30, 2020
		Number of Policies in Default		Percentage of Policies in Default		Amount of Reserves			Percentage of Reserves		Defaulted RIF			Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less		9,237		26	%	$	58,296		21	%	$	554,524		11	%
Four to eleven payments		25,290		71		194,892			69		1,697,419			11
Twelve or more payments		891		3		24,842			9		48,612			51
Pending claims		46		—		2,417			1		2,840			85
Total case reserves (1)		35,464		100	%	280,447			100	%	$	2,303,395		12
IBNR						21,034
LAE						5,538
Total reserves for losses and LAE (1)						$	307,019
Average reserve per default:
Case						$	7.9
Total						$	8.7
Default Rate		4.54%
(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $718.
		December 31, 2019
		Number of Policies in Default		Percentage of Policies in Default		Amount of Reserves			Percentage of Reserves		Defaulted RIF			Reserves as a Percentage of Defaulted RIF
($ 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 $179.
		September 30, 2019
		Number of Policies in Default		Percentage of Policies in Default		Amount of Reserves			Percentage of Reserves		Defaulted RIF			Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less		3,071		59	%	$	15,212		27	%	$	162,459		9	%
Four to eleven payments		1,665		32		24,588			44		89,965			27
Twelve or more payments		416		8		12,600			22		24,503			51
Pending claims		80		1		3,723			7		4,227			88
Total case reserves (3)		5,232		100	%	56,123			100	%	$	281,154		20
IBNR						4,209
LAE						1,014
Total reserves for losses and LAE (3)						$	61,346
Average reserve per default:
Case						$	10.7
Total						$	11.7
Default Rate		0.75%
(3) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $90.

												Exhibit K
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class	September 30, 2020							December 31, 2019
($ in thousands)	Fair Value				Percent			Fair Value				Percent
U.S. Treasury securities	$	229,417			5.1	%		$	242,206			7.2	%
U.S. agency securities	14,640				0.3			33,605				1.0
U.S. agency mortgage-backed securities	956,581				21.2			848,334				25.3
Municipal debt securities	493,673				11.0			361,638				10.8
Non-U.S. government securities	60,752				1.4			54,995				1.7
Corporate debt securities	985,384				21.9			880,301				26.3
Residential and commercial mortgage securities	366,227				8.1			288,281				8.6
Asset-backed securities	442,723				9.8			326,025				9.7
Money market funds	952,952				21.2			315,362				9.4
Total investments available for sale	$	4,502,349			100.0	%		$	3,350,747			100.0	%
Investments Available for Sale by Credit Rating
Rating (1)	September 30, 2020							December 31, 2019
($ in thousands)	Fair Value				Percent			Fair Value				Percent
Aaa	$	2,665,634			59.2	%		$	1,817,905			54.2	%
Aa1	175,114				3.9			109,122				3.3
Aa2	223,475				5.0			145,282				4.3
Aa3	213,770				4.7			159,599				4.8
A1	229,925				5.1			206,643				6.2
A2	278,661				6.2			183,780				5.5
A3	213,041				4.7			191,933				5.7
Baa1	251,954				5.6			232,490				6.9
Baa2	177,633				3.9			179,664				5.4
Baa3	43,850				1.0			65,119				1.9
Below Baa3	29,292				0.7			59,210				1.8
Total investments available for sale	$	4,502,349			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	September 30, 2020							December 31, 2019
($ in thousands)	Fair Value				Percent			Fair Value				Percent
< 1 Year	$	2,009,570			44.6	%		$	1,038,782			31.0	%
1 to < 2 Years	431,317				9.6			306,148				9.1
2 to < 3 Years	377,331				8.4			348,708				10.4
3 to < 4 Years	334,656				7.4			361,147				10.8
4 to < 5 Years	381,525				8.5			443,382				13.2
5 or more Years	967,950				21.5			852,580				25.5
Total investments available for sale	$	4,502,349			100.0	%		$	3,350,747			100.0	%
Pre-tax investment income yield:
Three months ended September 30, 2020	1.83		%
Nine months ended September 30, 2020	2.15		%
Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of September 30, 2020	$	684,959
As of December 31, 2019	$	98,376

						Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
			September 30, 2020			December 31, 2019
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)			$	2,581,136		$	2,335,828
Combined net risk in force (2)			$	29,821,246		$	29,460,191
Risk-to-capital ratios: (3)
	Essent Guaranty, Inc.		12.0:1			13.1:1
	Essent Guaranty of PA, Inc.		2.0:1			2.9:1
	Combined (4)		11.6:1			12.6:1
Essent Guaranty, Inc. PMIERs Data (5):
	Available Assets		$	2,720,432		$	2,337,086
	Minimum Required Assets		1,739,479			1,499,369
	PMIERs excess Available Assets		$	980,953		$	837,717
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)			$	1,061,546		$	939,360
Net risk in force (2)			$	12,312,124		$	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 September 30, 2020, December 31, 2019 and September 30, 2019, the Company does not have any options, warrants and similar instruments outstanding.

The following table sets forth the reconciliation of Adjusted Book Value to the most comparable GAAP amount as of September 30, 2020, December 31, 2019 and September 30, 2019 in accordance with Regulation G:

(In thousands, except per share amounts)		September 30, 2020				December 31, 2019				September 30, 2019
Numerator:
Total Stockholders' Equity (Book Value)		$	3,746,544			$	2,984,845			$	2,855,170
Subtract: Accumulated Other Comprehensive Income		132,434				56,187				62,727
Adjusted Book Value		$	3,614,110			$	2,928,658			$	2,792,443
Denominator:
Total Common Shares Outstanding		112,423				98,394				98,385
Add: Restricted Share Units and Dividend Equivalent Units Outstanding		511				356				366
Total Common Shares and Share Units Outstanding		112,934				98,750				98,751
Adjusted Book Value per Share		$	32.00			$	29.66			$	28.28