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

·14 mins read

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2020 of $15.4 million or $0.15 per diluted share, compared to $136.4 million or $1.39 per diluted share for the quarter ended June 30, 2019.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.16 per common share. The dividend is payable on September 10, 2020, to shareholders of record on August 31, 2020.

"Our financial results for the second quarter reflect the initial impact of the COVID-19 pandemic on our insured portfolio," said Mark Casale, Chairman and Chief Executive Officer. "Our outlook on the timing and shape of an economic recovery remains cautious. However, we remain confident that with the strength and sustainability of our operating model, in conjunction with our strong balance sheet, capital and liquidity, we are well suited to navigate this challenging operating environment."

Financial Highlights:

  • Insurance in force as of June 30, 2020 was $174.6 billion, compared to $165.6 billion as of March 31, 2020 and $153.3 billion as of June 30, 2019.

  • New insurance written for the second quarter was $28.2 billion, compared to $13.5 billion in the first quarter of 2020 and $18.0 billion in the second quarter of 2019.

  • Net premiums earned for the second quarter were $211.5 million, compared to $206.5 million in the first quarter of 2020 and $188.5 million in the second quarter of 2019.

  • The expense ratio for the second quarter was 18.4%, compared to 20.3% in the first quarter of 2020 and 22.0% in the second quarter of 2019.

  • The provision for losses and LAE for the second quarter was $175.9 million, compared to a provision of $8.1 million in the first quarter of 2020 and a provision of $5.0 million in the second quarter of 2019.

  • The percentage of loans in default as of June 30, 2020 was 5.19%, compared to 0.83% as of March 31, 2020 and 0.66% as of June 30, 2019.

    • As of July 31, 2020, the percentage of loans in default was 5.01%.

  • The combined ratio for the second quarter was 101.5%, compared to 24.2% in the first quarter of 2020 and 24.7% in the second quarter of 2019.

  • Other income for the second quarter includes a $2.5 million gain for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a loss of $4.2 million in the first quarter of 2020 and a gain of $1.2 million in the second quarter of 2019.

  • The consolidated balance of cash and investments at June 30, 2020 was $4.5 billion, including cash and investment balances at Essent Group Ltd. of $702.2 million.

  • The combined risk-to-capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 11.7:1 as of June 30, 2020.

  • On June 2, 2020, Essent Group Ltd. completed an offering of 13,800,000 common shares at $33.25 per share, generating net proceeds of $440.0 million.

  • During the second quarter, A.M. Best affirmed its "A (Excellent)" financial strength rating of Essent Guaranty, Inc., acknowledging the strength in our business model and capital position. Essent Guaranty, Inc. also has financial strength ratings of "A3" by Moody’s and "BBB+" by S&P.

Conference Call:

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. The call may also be accessed by dialing 833-287-0797 inside the U.S., or 647-689-4456 for international callers, using passcode 5617769 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-585-8367 inside the U.S., or 416-621-4642 for international callers, passcode 5617769.

In addition to the information provided in the company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx.

Forward-Looking Statements:

This press release may include "forward-looking statements" which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," "should," "expect," "plan," "anticipate," "believe," "estimate," "predict," or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the "GSEs"), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; deteriorating economic conditions; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A "Risk Factors" of our Annual Report on Form 10-K for the year ended December 31, 2019 filed with the Securities and Exchange Commission on February 18, 2020, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, "Essent") which, through its wholly-owned subsidiary, Essent Guaranty, Inc., offers private mortgage insurance for single-family mortgage loans in the United States. Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania, Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia, and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Essent is committed to supporting environmental, social and governance ("ESG") initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.

Source: Essent Group Ltd.

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended June 30, 2020

Exhibit 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 June 30,

Six Months Ended June 30,

(In thousands, except per share amounts)

2020

2019

2020

2019

Revenues:

Direct premiums written

$

228,044

$

196,832

$

434,024

$

380,514

Ceded premiums

(22,140

)

(8,428

)

(36,377

)

(14,466

)

Net premiums written

205,904

188,404

397,647

366,048

Decrease in unearned premiums

5,567

86

20,320

233

Net premiums earned

211,471

188,490

417,967

366,281

Net investment income

19,866

20,581

40,499

40,461

Realized investment gains (losses), net

(1,269

)

583

1,866

1,243

Other income

6,009

2,238

4,585

4,433

Total revenues

236,077

211,892

464,917

412,418

Losses and expenses:

Provision for losses and LAE

175,877

4,960

183,940

12,067

Other underwriting and operating expenses

38,819

41,520

80,766

82,550

Interest expense

2,566

2,679

4,698

5,349

Total losses and expenses

217,262

49,159

269,404

99,966

Income before income taxes

18,815

162,733

195,513

312,452

Income tax expense

3,435

26,328

30,610

48,327

Net income

$

15,380

$

136,405

$

164,903

$

264,125

Earnings per share:

Basic

$

0.15

$

1.39

$

1.65

$

2.70

Diluted

0.15

1.39

1.64

2.69

Weighted average shares outstanding:

Basic

102,500

97,798

100,224

97,697

Diluted

102,605

98,170

100,466

98,137

Net income

$

15,380

$

136,405

$

164,903

$

264,125

Other comprehensive income (loss):

Change in unrealized appreciation of investments

74,285

35,987

64,211

74,353

Total other comprehensive income

74,285

35,987

64,211

74,353

Comprehensive income

$

89,665

$

172,392

$

229,114

$

338,478

Loss ratio

83.2

%

2.6

%

44.0

%

3.3

%

Expense ratio

18.4

22.0

19.3

22.5

Combined ratio

101.5

%

24.7

%

63.3

%

25.8

%

Exhibit B

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

June 30,

December 31,

(In thousands, except per share amounts)

2020

2019

Assets

Investments

Fixed maturities available for sale, at fair value

$

3,221,149

$

3,035,385

Short-term investments available for sale, at fair value

1,130,954

315,362

Total investments available for sale

4,352,103

3,350,747

Other invested assets

78,536

78,873

Total investments

4,430,639

3,429,620

Cash

72,787

71,350

Accrued investment income

18,711

18,535

Accounts receivable

39,750

40,655

Deferred policy acquisition costs

15,856

15,705

Property and equipment

15,458

17,308

Prepaid federal income tax

279,136

261,885

Other assets

27,611

18,367

Total assets

$

4,899,948

$

3,873,425

Liabilities and Stockholders' Equity

Liabilities

Reserve for losses and LAE

$

250,890

$

69,362

Unearned premium reserve

258,567

278,887

Net deferred tax liability

272,746

249,620

Credit facility borrowings, net of deferred costs

424,523

224,237

Other accrued liabilities

69,893

66,474

Total liabilities

1,276,619

888,580

Commitments and contingencies

Stockholders' Equity

Common shares, $0.015 par value:

Authorized - 233,333; issued and outstanding - 112,423 shares in 2020 and 98,394 shares in 2019

1,686

1,476

Additional paid-in capital

1,561,737

1,118,655

Accumulated other comprehensive income

120,398

56,187

Retained earnings

1,939,508

1,808,527

Total stockholders' equity

3,623,329

2,984,845

Total liabilities and stockholders' equity

$

4,899,948

$

3,873,425

Return on average equity (1)

10.0

%

20.8

%

(1) The 2020 return on average equity is calculated by dividing 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

June 30

March 31

December 31

September 30

June 30

March 31

(In thousands, except per share amounts)

Revenues:

Net premiums written

$

205,904

$

191,743

$

196,493

$

198,304

$

188,404

$

177,644

Net premiums earned (1)

211,471

206,496

207,671

203,473

188,490

177,791

Other revenues (2)

24,606

22,344

21,091

22,914

23,402

22,735

Total revenues

236,077

228,840

228,762

226,387

211,892

200,526

Losses and expenses:

Provision for losses and LAE

175,877

8,063

10,929

9,990

4,960

7,107

Other underwriting and operating expenses

38,819

41,947

41,231

41,588

41,520

41,030

Interest expense

2,566

2,132

2,218

2,584

2,679

2,670

Total losses and expenses

217,262

52,142

54,378

54,162

49,159

50,807

Income before income taxes

18,815

176,698

174,384

172,225

162,733

149,719

Income tax expense (3)

3,435

27,175

27,426

27,595

26,328

21,999

Net income

$

15,380

$

149,523

$

146,958

$

144,630

$

136,405

$

127,720

Earnings per share:

Basic

$

0.15

$

1.53

$

1.50

$

1.48

$

1.39

$

1.31

Diluted

0.15

1.52

1.49

1.47

1.39

1.30

Weighted average shares outstanding:

Basic

102,500

97,949

97,830

97,822

97,798

97,595

Diluted

102,605

98,326

98,376

98,257

98,170

98,104

Other Data:

Loss ratio (4)

83.2

%

3.9

%

5.3

%

4.9

%

2.6

%

4.0

%

Expense ratio (5)

18.4

20.3

19.9

20.4

22.0

23.1

Combined ratio

101.5

%

24.2

%

25.1

%

25.3

%

24.7

%

27.1

%

Return on average equity (annualized)

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 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 $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:

June 30

March 31

December 31

September 30

June 30

March 31

($ in thousands)

U.S. Mortgage Insurance Portfolio

Flow:

New insurance written

$

28,163,212

$

13,549,299

$

15,839,836

$

18,719,876

$

17,973,505

$

10,945,307

New risk written

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)

0.53

%

0.51

%

0.51

%

0.52

%

0.51

%

0.50

%

Average net premium rate (7)

0.48

%

0.48

%

0.49

%

0.49

%

0.49

%

0.48

%

New insurance written

$

28,163,212

$

13,549,450

$

15,839,836

$

18,726,009

$

18,003,029

$

11,000,309

New risk written

$

6,875,250

$

3,384,195

$

3,966,363

$

4,696,453

$

4,487,346

$

2,719,931

Insurance in force (end of period)

$

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)

$

43,993,989

$

41,865,977

$

41,402,950

$

40,540,289

$

38,531,090

$

35,925,830

Risk in force (end of period)

$

39,113,879

$

38,290,022

$

38,947,857

$

38,784,584

$

37,034,687

$

34,744,417

Policies in force

733,651

706,714

702,925

693,085

666,705

629,808

Weighted average coverage (9)

25.2

%

25.3

%

25.2

%

25.2

%

25.1

%

25.1

%

Annual persistency

67.9

%

73.9

%

77.5

%

82.1

%

84.8

%

85.1

%

Loans in default (count)

38,068

5,841

5,947

5,232

4,405

4,096

Percentage of loans in default

5.19

%

0.83

%

0.85

%

0.75

%

0.66

%

0.65

%

Other Risk in Force

GSE and other risk share (10)

$

1,031,699

$

1,100,966

$

895,374

$

849,184

$

802,530

$

771,175

Credit Facility

Borrowings outstanding

$

425,000

$

425,000

$

225,000

$

225,000

$

225,000

$

225,000

Undrawn committed capacity

$

75,000

$

75,000

$

275,000

$

275,000

$

275,000

$

275,000

Weighted average interest rate (end of period)

1.93

%

(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

Six Months Ended

June 30, 2020

June 30, 2019

June 30, 2020

June 30, 2019

($ in thousands)

>=760

$

12,163,927

43.2

%

$

7,313,814

40.7

%

$

17,819,643

42.7

%

$

11,784,317

40.8

%

740-759

5,300,459

18.8

3,073,807

17.1

7,758,491

18.6

4,985,948

17.2

720-739

4,352,367

15.5

2,572,580

14.3

6,371,241

15.3

4,138,193

14.3

700-719

3,278,269

11.6

2,140,363

11.9

4,837,012

11.6

3,492,908

12.1

680-699

1,950,905

6.9

1,534,959

8.5

2,995,823

7.2

2,442,928

8.4

<=679

1,117,285

4.0

1,337,982

7.5

1,930,301

4.6

2,074,518

7.2

Total

$

28,163,212

100.0

%

$

17,973,505

100.0

%

$

41,712,511

100.0

%

$

28,918,812

100.0

%

Weighted average credit score

749

744

748

744

NIW by LTV

Three Months Ended

Six Months Ended

June 30, 2020

June 30, 2019

June 30, 2020

June 30, 2019

($ in thousands)

85.00% and below

$

5,028,803

17.9

%

$

2,220,430

12.3

%

$

6,992,279

16.8

%

$

3,663,263

12.7

%

85.01% to 90.00%

9,079,625

32.2

4,851,313

27.0

13,066,899

31.3

7,801,661

27.0

90.01% to 95.00%

10,914,874

38.8

7,525,709

41.9

16,600,754

39.8

12,185,046

42.1

95.01% and above

3,139,910

11.1

3,376,053

18.8

5,052,579

12.1

5,268,842

18.2

Total

$

28,163,212

100.0

%

$

17,973,505

100.0

%

$

41,712,511

100.0

%

$

28,918,812

100.0

%

Weighted average LTV

91

%

92

%

91

%

92

%

NIW by Product

Three Months Ended

Six Months Ended

June 30, 2020

June 30, 2019

June 30, 2020

June 30, 2019

Single Premium policies

10.6

%

11.1

%

10.3

%

11.6

%

Monthly Premium policies

89.4

88.9

89.7

88.4

100.0

%

100.0

%

100.0

%

100.0

%

NIW by Purchase vs. Refinance

Three Months Ended

Six Months Ended

June 30, 2020

June 30, 2019

June 30, 2020

June 30, 2019

Purchase

54.2

%

84.5

%

59.1

%

85.7

%

Refinance

45.8

15.5

40.9

14.3

100.0

%

100.0

%

100.0

%

100.0

%

Exhibit E

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force

Portfolio by Credit Score

IIF by FICO score

June 30, 2020

March 31, 2020

June 30, 2019

($ in thousands)

>=760

$

71,570,804

41.0

%

$

68,385,363

41.3

%

$

64,977,185

42.4

%

740-759

30,265,718

17.3

28,289,661

17.1

25,747,495

16.8

720-739

26,130,764

15.0

24,441,834

14.7

22,203,764

14.5

700-719

20,721,839

11.9

19,442,133

11.7

17,723,067

11.5

680-699

14,545,011

8.3

13,859,727

8.4

12,697,092

8.3

<=679

11,412,137

6.5

11,196,785

6.8

9,968,554

6.5

Total

$

174,646,273

100.0

%

$

165,615,503

100.0

%

$

153,317,157

100.0

%

Weighted average credit score

745

745

746

Gross RIF by FICO score

June 30, 2020

March 31, 2020

June 30, 2019

($ in thousands)

>=760

$

17,871,881

40.6

%

$

17,138,596

40.9

%

$

16,258,608

42.2

%

740-759

7,672,436

17.4

7,181,181

17.2

6,478,145

16.8

720-739

6,673,863

15.2

6,262,376

15.0

5,643,012

14.6

700-719

5,246,989

11.9

4,950,746

11.8

4,473,871

11.6

680-699

3,693,448

8.4

3,537,973

8.4

3,217,062

8.4

<=679

2,835,372

6.5

2,795,105

6.7

2,460,392

6.4

Total

$

43,993,989

100.0

%

$

41,865,977

100.0

%

$

38,531,090

100.0

%

Portfolio by LTV

IIF by LTV

June 30, 2020

March 31, 2020

June 30, 2019

($ in thousands)

85.00% and below

$

19,874,830

11.4

%

$

17,304,231

10.5

%

$

16,525,093

10.8

%

85.01% to 90.00%

50,446,645

28.9

47,063,180

28.4

44,234,770

28.9

90.01% to 95.00%

79,112,541

45.3

77,059,950

46.5

72,549,888

47.3

95.01% and above

25,212,257

14.4

24,188,142

14.6

20,007,406

13.0

Total

$

174,646,273

100.0

%

$

165,615,503

100.0

%

$

153,317,157

100.0

%

Weighted average LTV

92

%

92

%

92

%

Gross RIF by LTV

June 30, 2020

March 31, 2020

June 30, 2019

($ in thousands)

85.00% and below

$

2,292,935

5.2

%

$

1,997,845

4.8

%

$

1,907,272

5.0

%

85.01% to 90.00%

12,120,308

27.6

11,322,131

27.0

10,625,848

27.6

90.01% to 95.00%

22,760,884

51.7

22,110,369

52.8

20,784,261

53.9

95.01% and above

6,819,862

15.5

6,435,632

15.4

5,213,709

13.5

Total

$

43,993,989

100.0

%

$

41,865,977

100.0

%

$

38,531,090

100.0

%

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

June 30, 2020

March 31, 2020

June 30, 2019

($ in thousands)

FRM 30 years and higher

$

165,143,246

94.5

%

$

156,741,714

94.6

%

$

143,827,908

93.8

%

FRM 20-25 years

3,277,847

1.9

2,829,876

1.7

2,901,947

1.9

FRM 15 years

3,660,888

2.1

3,230,148

2.0

3,391,072

2.2

ARM 5 years and higher

2,564,292

1.5

2,813,765

1.7

3,196,230

2.1

Total

$

174,646,273

100.0

%

$

165,615,503

100.0

%

$

153,317,157

100.0

%

Exhibit F

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

2020

2019

($ in thousands)

June 30

March 31

December 31

September 30

June 30

March 31

GSE and other risk share (1):

Premiums earned

$

10,655

$

10,778

$

9,867

$

9,284

$

8,622

$

7,894

Risk in Force

$

1,031,699

$

1,100,966

$

895,374

$

849,184

$

802,530

$

771,175

Weighted average credit score

746

746

745

746

748

747

Weighted average LTV

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

June 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

$

8,530,559

14.1

%

47,938

83.7

%

69.0

%

3.9

%

12.6

%

45.3

%

3.2

%

2,532

5.28

%

2015

26,193,656

7,936,090

30.3

40,235

85.6

61.8

2.9

15.1

43.2

4.2

2,305

5.73

2016

34,949,319

15,675,316

44.9

73,492

85.4

60.2

7.4

13.6

45.5

5.9

4,493

6.11

2017

43,858,322

23,247,877

53.0

110,369

88.6

61.7

15.3

16.5

41.3

8.8

7,354

6.66

2018

47,508,525

26,920,663

56.7

121,708

92.7

63.7

19.8

16.8

38.3

14.0

8,598

7.06

2019

63,569,183

51,138,928

80.4

196,033

81.1

61.0

18.7

16.3

38.5

27.3

11,098

5.66

2020 (through June 30)

41,712,662

41,196,840

98.8

143,876

58.9

51.9

12.2

11.8

42.6

34.5

1,688

1.17

Total

$

318,460,518

$

174,646,273

54.8

733,651

79.3

59.7

14.4

14.9

41.0

7.9

38,068

5.19

(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.

Exhibit H

Essent Group Ltd. and Subsidiaries

Supplemental Information

Reinsurance Vintage Data

June 30, 2020

($ in thousands)

Excess of Loss Reinsurance

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

$

22,315,283

$

6,025,734

$

333,844

$

$

333,844

$

216,480

$

$

216,480

$

$

208,111

$

207,849

$

1,449

$

3,287

$

174,682

2017

22,597,869

5,742,641

424,412

165,167

589,579

242,123

165,167

407,290

224,689

220,308

2,801

6,154

204,148

2018

26,393,162

6,676,437

473,184

118,650

591,834

325,537

76,144

401,681

253,643

252,392

3,473

7,578

299,170

2019 (3)

30,475,038

7,724,225

495,889

55,102

550,991

495,889

55,102

550,991

215,605

215,605

2,953

5,442

423,843

Total

$

101,781,352

$

26,169,037

$

1,727,329

$

338,919

$

2,066,248

$

1,280,029

$

296,413

$

1,576,442

$

$

902,048

$

896,154

$

10,676

$

22,461

$

1,101,843

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)

$

61,036,696

$

15,141,048

$

13,463,715

$

3,303,668

$

7,598

$

7,696

$

1,933

$

3,110

$

11,464

$

13,916

$

223,393

(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

June 30, 2020

March 31, 2020

June 30, 2019

CA

10.6

%

10.4

%

9.6

%

TX

9.4

8.9

8.0

FL

8.2

8.0

7.5

WA

4.0

4.2

4.6

CO

3.9

3.8

3.6

IL

3.5

3.6

3.8

NJ

3.5

3.6

3.7

AZ

3.5

3.3

3.2

VA

3.2

3.1

3.2

OH

3.2

3.3

3.4

All Others

47.0

47.8

49.4

Total

100.0

%

100.0

%

100.0

%

Gross RIF by State

June 30, 2020

March 31, 2020

June 30, 2019

CA

10.3

%

10.1

%

9.4

%

TX

9.7

9.2

8.3

FL

8.4

8.2

7.6

WA

4.0

4.2

4.6

CO

3.8

3.7

3.5

NJ

3.4

3.5

3.6

AZ

3.4

3.3

3.1

IL

3.4

3.5

3.7

GA

3.2

3.2

3.4

OH

3.2

3.3

3.4

All Others

47.2

47.8

49.4

Total

100.0

%

100.0

%

100.0

%

Exhibit J

Essent Group Ltd. and Subsidiaries

Supplemental Information

Defaults, Reserve for Losses and LAE, and Claims

Rollforward of Insured Loans in Default

Three Months Ended

Six Months Ended

June 30,

June 30,

June 30,

June 30,

2020

2019

2020

2019

Beginning default inventory

5,841

4,096

5,947

4,024

Plus: new defaults

37,357

2,849

41,290

5,767

Less: cures

(4,983

)

(2,433

)

(8,897

)

(5,182

)

Less: claims paid

(144

)

(106

)

(262

)

(194

)

Less: rescissions and denials, net

(3

)

(1

)

(10

)

(10

)

Ending default inventory

38,068

4,405

38,068

4,405

Rollforward of Reserve for Losses and LAE

Three Months Ended

Six Months Ended

June 30,

June 30,

June 30,

June 30,

($ in thousands)

2020

2019

2020

2019

Reserve for losses and LAE at beginning of period

$

73,341

$

53,484

$

69,362

$

49,464

Less: Reinsurance recoverables

98

71

Net reserve for losses and LAE at beginning of period

73,243

53,484

69,291

49,464

Add provision for losses and LAE occurring in:

Current period

181,776

11,354

197,195

23,182

Prior years

(5,899

)

(6,394

)

(13,255

)

(11,115

)

Incurred losses and LAE during the period

175,877

4,960

183,940

12,067

Deduct payments for losses and LAE occurring in:

Current period

288

230

289

245

Prior years

5,703

3,076

9,813

6,148

Loss and LAE payments during the period

5,991

3,306

10,102

6,393

Net reserve for losses and LAE at end of period

243,129

55,138

243,129

55,138

Plus: Reinsurance recoverables

7,761

7,761

Reserve for losses and LAE at end of period

$

250,890

$

55,138

$

250,890

$

55,138

Claims

Three Months Ended

Six Months Ended

June 30,

June 30,

June 30,

June 30,

2020

2019

2020

2019

Number of claims paid

144

106

262

194

Total amount paid for claims (in thousands)

$

5,718

$

3,208

$

9,875

$

6,107

Average amount paid per claim (in thousands)

$

40

$

30

$

38

$

31

Severity

78

%

69

%

78

%

74

%

Exhibit J, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Defaults, Reserve for Losses and LAE, and Claims

U.S. Mortgage Insurance Portfolio

June 30, 2020

Number 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

33,514

88

%

$

166,897

73

%

$

2,233,678

7

%

Four to eleven payments

3,813

10

39,028

17

234,152

17

Twelve or more payments

664

2

18,590

8

36,694

51

Pending claims

77

3,271

2

3,846

85

Total case reserves (1)

38,068

100

%

227,786

100

%

$

2,508,370

9

IBNR

17,084

LAE

5,992

Total reserves for losses and LAE (1)

$

250,862

Average reserve per default:

Case

$

6.0

Total

$

6.6

Default Rate

5.19%

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

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.

June 30, 2019

Number of

Policies i n

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

2,511

57

%

$

12,646

25

%

$

133,536

9

%

Four to eleven payments

1,443

33

22,292

44

78,047

29

Twelve or more payments

369

8

11,583

23

22,093

52

Pending claims

82

2

4,055

8

4,657

87

Total case reserves

4,405

100

%

50,576

100

%

$

238,333

21

IBNR

3,792

LAE

770

Total reserves for losses and LAE

$

55,138

Average reserve per default:

Case

$

11.5

Total

$

12.5

Default Rate

0.66%

Exhibit K

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

Investments Available for Sale by Asset Class

Asset Class

June 30, 2020

December 31, 2019

($ in thousands)

Fair Value

Percent

Fair Value

Percent

U.S. Treasury securities

$

259,259

5.9

%

$

242,206

7.2

%

U.S. agency securities

14,682

0.3

33,605

1.0

U.S. agency mortgage-backed securities

830,124

19.1

848,334

25.3

Municipal debt securities

465,063

10.7

361,638

10.8

Non-U.S. government securities

54,637

1.2

54,995

1.7

Corporate debt securities

912,137

21.0

880,301

26.3

Residential and commercial mortgage securities

312,511

7.2

288,281

8.6

Asset-backed securities

385,486

8.9

326,025

9.7

Money market funds

1,118,204

25.7

315,362

9.4

Total investments available for sale

$

4,352,103

100.0

%

$

3,350,747

100.0

%

Investments Available for Sale by Credit Rating

Rating (1)

June 30, 2020

December 31, 2019

($ in thousands)

Fair Value

Percent

Fair Value

Percent

Aaa

$

2,642,359

60.7

%

$

1,817,905

54.2

%

Aa1

129,451

3.0

109,122

3.3

Aa2

171,704

3.9

145,282

4.3

Aa3

235,462

5.4

159,599

4.8

A1

213,946

4.9

206,643

6.2

A2

253,507

5.8

183,780

5.5

A3

211,209

4.9

191,933

5.7

Baa1

244,669

5.6

232,490

6.9

Baa2

183,639

4.2

179,664

5.4

Baa3

37,005

0.9

65,119

1.9

Below Baa3

29,152

0.7

59,210

1.8

Total investments available for sale

$

4,352,103

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

June 30, 2020

December 31, 2019

($ in thousands)

Fair Value

Percent

Fair Value

Percent

< 1 Year

$

2,140,698

49.2

%

$

1,038,782

31.0

%

1 to < 2 Years

415,342

9.5

306,148

9.1

2 to < 3 Years

369,123

8.5

348,708

10.4

3 to < 4 Years

258,405

5.9

361,147

10.8

4 to < 5 Years

343,687

7.9

443,382

13.2

5 or more Years

824,848

19.0

852,580

25.5

Total investments available for sale

$

4,352,103

100.0

%

$

3,350,747

100.0

%

Pre-tax investment income yield:

Three months ended June 30, 2020

2.16

%

Six months ended June 30, 2020

2.33

%

Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)

As of June 30, 2020

$

702,225

As of December 31, 2019

$

98,376

Exhibit L

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

June 30, 2020

December 31, 2019

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:

Combined statutory capital (1)

$

2,457,368

$

2,335,828

Combined net risk in force (2)

$

28,787,600

$

29,460,191

Risk-to-capital ratios: (3)

Essent Guaranty, Inc.

12.1:1

13.1:1

Essent Guaranty of PA, Inc.

2.3:1

2.9:1

Combined (4)

11.7:1

12.6:1

Essent Guaranty, Inc. PMIERs Data (5):

Available Assets

$

2,586,394

$

2,337,086

Minimum Required Assets

1,458,273

1,499,369

PMIERs excess Available Assets

$

1,128,121

$

837,717

Essent Reinsurance Ltd.:

Stockholder's equity (GAAP basis)

$

1,022,689

$

939,360

Net risk in force (2)

$

11,113,079

$

10,314,942

(1) Combined statutory capital equals the sum of statutory capital of 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) PMIERs data is based on our interpretation of PMIERs 2.0 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 June 30, 2020, December 31, 2019 and June 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 June 30, 2020, December 31, 2019 and June 30, 2019 in accordance with Regulation G:

(In thousands, except per share amounts)

June 30, 2020

December 31, 2019

June 30, 2019

Numerator:

Total Stockholders' Equity (Book Value)

$

3,623,329

$

2,984,845

$

2,704,292

Subtract: Accumulated Other Comprehensive Income

120,398

56,187

45,360

Adjusted Book Value

$

3,502,931

$

2,928,658

$

2,658,932

Denominator:

Total Common Shares Outstanding

112,423

98,394

98,396

Add: Restricted Share Units and Dividend Equivalent Units Outstanding

510

356

365

Total Common Shares and Share Units Outstanding

112,933

98,750

98,761

Adjusted Book Value per Share

$

31.02

$

29.66

$

26.92

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

Contacts

Media Contact
610.230.0556
media@essentgroup.com

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