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

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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