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

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2020 of $149.5 million or $1.52 per diluted share, compared to $127.7 million or $1.30 per diluted share for the quarter ended March 31, 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 June 12, 2020, to shareholders of record on June 2, 2020.

“While we are pleased with our strong financial results for the first quarter, our focus is now on facing a challenging business environment as a result of COVID-19,” said Mark Casale, Chairman and Chief Executive Officer. “We believe that the strength and sustainability of our buy, manage, and distribute operating model, as well as our strong balance sheet, capital and liquidity, has allowed us to enter these challenging times in a position of strength.”

Financial Highlights:

• Insurance in force as of March 31, 2020 was $165.6 billion, compared to $164.0 billion as of December 31, 2019 and $143.2 billion as of March 31, 2019.

• New insurance written for the first quarter was $13.5 billion, compared to $15.8 billion in the fourth quarter of 2019 and $11.0 billion in the first quarter of 2019.

• Net premiums earned for the first quarter were $206.5 million, compared to $207.7 million in the fourth quarter of 2019 and $177.8 million in the first quarter of 2019.

• The expense ratio for the first quarter was 20.3%, compared to 19.9% in the fourth quarter of 2019 and 23.1% in the first quarter of 2019.

• The provision for losses and LAE for the first quarter was $8.1 million, compared to a provision of $10.9 million in the fourth quarter of 2019 and a provision of $7.1 million in the first quarter of 2019.

• The percentage of loans in default as of March 31, 2020 was 0.83%, compared to 0.85% as of December 31, 2019 and 0.65% as of March 31, 2019.

• The combined ratio for the first quarter was 24.2%, compared to 25.1% in the fourth quarter of 2019 and 27.1% in the first quarter of 2019.

• Other income for the first quarter includes a $4.2 million loss for the change in the fair value of embedded derivatives in certain of our third-party reinsurance agreements, compared to a loss of $3.6 million in the fourth quarter of 2019 and a gain of $1.4 million in the first quarter of 2019.

• The consolidated balance of cash and investments at March 31, 2020 was $3.8 billion, including cash and investment balances at Essent Group Ltd. of $279.8 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 March 31, 2020.

• On January 31, 2020, Essent's wholly-owned subsidiary, Essent Guaranty, Inc., announced it had obtained $495.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in January through August 2019 from Radnor Re 2020-1 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2020-1 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd. Subsequent to the closing of the transaction with Radnor Re 2020-1 Ltd., Essent Guaranty, Inc. executed an excess of loss reinsurance transaction with a panel of third-party reinsurers for $55.1 million of reinsurance coverage on mortgage insurance policies written by Essent in January through August 2019.

• On March 27, 2020, Essent borrowed $200 million from the revolving component of its credit facility. In addition to this borrowing, Essent had $225 million of term debt outstanding at March 31, 2020 and maintained $75 million of undrawn capacity under the revolving component of its credit facility.

Private Mortgage Insurer Eligibility Requirements (PMIERs) Update:

Consistent with the PMIERs which were effective September 27, 2018, Essent will apply a 0.30 multiplier to the risk-based required asset amount factor for each non-performing primary mortgage guaranty insurance loan backed by a property located in a Federal Emergency Management Agency (FEMA) Declared Major Disaster Area and that either 1) is subject to a forbearance plan executed in response to a FEMA Declared Major Disaster Area eligible for Individual Assistance, the terms of which are materially consistent with terms of forbearance plans offered by Fannie Mae or Freddie Mac, or 2) has an initial default date occurring up to either (i) 30 days prior to or (ii) 90 days following the COVID-19 pandemic event. In the case of the foregoing, the 0.30 multiplier shall be applied to the risk-based required asset amount factor for each non-performing primary mortgage guaranty insurance loan for no longer than 120 days from the initial default date absent a forbearance plan described in 1) above.

Approximately 97% of Essent’s outstanding primary mortgage insurance portfolio, as of March 31, 2020, has underlying properties located in FEMA Declared Major Disaster Areas eligible for Individual Assistance. Accordingly, the company believes that the majority of the non-performing loans that will be reported to the company subsequent to March 31, 2020, will fall into categories 1) and 2) above and receive the 0.30 multiplier in calculating the PMIERs required assets.

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/investors/webcasts-and-presentations/event-calendar/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 1490696 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 1490696.

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/investors/financial-information/quarterly-financial-supplements/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 March 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 March 31,
(In thousands, except per share amounts)		2020				2019
Revenues:
Direct premiums written		$	205,980			$	183,682
Ceded premiums		(14,237		)		(6,038		)
Net premiums written		191,743				177,644
Decrease in unearned premiums		14,753				147
Net premiums earned		206,496				177,791
Net investment income		20,633				19,880
Realized investment gains, net		3,135				660
Other income (loss)		(1,424		)		2,195
Total revenues		228,840				200,526
Losses and expenses:
Provision for losses and LAE		8,063				7,107
Other underwriting and operating expenses		41,947				41,030
Interest expense		2,132				2,670
Total losses and expenses		52,142				50,807
Income before income taxes		176,698				149,719
Income tax expense		27,175				21,999
Net income		$	149,523			$	127,720
Earnings per share:
Basic		$	1.53			$	1.31
Diluted		1.52				1.30
Weighted average shares outstanding:
Basic		97,949				97,595
Diluted		98,326				98,104
Net income		$	149,523			$	127,720
Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments		(10,074		)		38,366
Total other comprehensive (loss) income		(10,074		)		38,366
Comprehensive income		$	139,449			$	166,086
Loss ratio		3.9		%		4.0		%
Expense ratio		20.3				23.1
Combined ratio		24.2		%		27.1		%

						Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
		March 31,				December 31,
(In thousands, except per share amounts)		2020				2019
Assets
Investments
Fixed maturities available for sale, at fair value		$	3,110,362			$	3,035,385
Short-term investments available for sale, at fair value		595,165				315,362
Total investments available for sale		3,705,527				3,350,747
Other invested assets		75,380				78,873
Total investments		3,780,907				3,429,620
Cash		31,055				71,350
Accrued investment income		18,572				18,535
Accounts receivable		41,228				40,655
Deferred policy acquisition costs		15,147				15,705
Property and equipment		16,325				17,308
Prepaid federal income tax		261,885				261,885
Other assets		21,815				18,367
Total assets		$	4,186,934			$	3,873,425
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE		$	73,341			$	69,362
Unearned premium reserve		264,134				278,887
Net deferred tax liability		259,688				249,620
Credit facility borrowings, net of deferred costs		424,380				224,237
Other accrued liabilities		58,317				66,474
Total liabilities		1,079,860				888,580
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 98,602 shares in 2020 and 98,394 shares in 2019		1,479				1,476
Additional paid-in capital		1,117,286				1,118,655
Accumulated other comprehensive income		46,113				56,187
Retained earnings		1,942,196				1,808,527
Total stockholders' equity		3,107,074				2,984,845
Total liabilities and stockholders' equity		$	4,186,934			$	3,873,425
Return on average equity (1)		19.6		%		20.8		%

(1) The 2019 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		March 31				December 31				September 30				June 30				March 31
(In thousands, except per share amounts)
Revenues:
Net premiums written		$	191,743			$	196,493			$	198,304			$	188,404			$	177,644
Net premiums earned (1)		206,496				207,671				203,473				188,490				177,791
Other revenues (2)		22,344				21,091				22,914				23,402				22,735
Total revenues		228,840				228,762				226,387				211,892				200,526
Losses and expenses:
Provision for losses and LAE		8,063				10,929				9,990				4,960				7,107
Other underwriting and operating expenses		41,947				41,231				41,588				41,520				41,030
Interest expense		2,132				2,218				2,584				2,679				2,670
Total losses and expenses		52,142				54,378				54,162				49,159				50,807
Income before income taxes		176,698				174,384				172,225				162,733				149,719
Income tax expense (3)		27,175				27,426				27,595				26,328				21,999
Net income		$	149,523			$	146,958			$	144,630			$	136,405			$	127,720
Earnings per share:
Basic		$	1.53			$	1.50			$	1.48			$	1.39			$	1.31
Diluted		1.52				1.49				1.47				1.39				1.30
Weighted average shares outstanding:
Basic		97,949				97,830				97,822				97,798				97,595
Diluted		98,326				98,376				98,257				98,170				98,104
Other Data:
Loss ratio (4)		3.9		%		5.3		%		4.9		%		2.6		%		4.0		%
Expense ratio (5)		20.3				19.9				20.4				22.0				23.1
Combined ratio		24.2		%		25.1		%		25.3		%		24.7		%		27.1		%
Return on average equity (annualized)		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 March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019 include unfavorable decreases of $4,200, $3,585 and $760 and favorable increases of $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:		March 31				December 31				September 30				June 30				March 31
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written		$	13,549,299			$	15,839,836			$	18,719,876			$	17,973,505			$	10,945,307
New risk written		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		%		0.51		%		0.52		%		0.51		%		0.50		%
Average net premium rate (7)		0.48		%		0.49		%		0.49		%		0.49		%		0.48		%
New insurance written		$	13,549,450			$	15,839,836			$	18,726,009			$	18,003,029			$	11,000,309
New risk written		$	3,384,195			$	3,966,363			$	4,696,453			$	4,487,346			$	2,719,931
Insurance in force (end of period)		$	165,615,503			$	164,005,853			$	160,962,192			$	153,317,157			$	143,181,641
Gross risk in force (end of period) (8)		$	41,865,977			$	41,402,950			$	40,540,289			$	38,531,090			$	35,925,830
Risk in force (end of period)		$	38,290,022			$	38,947,857			$	38,784,584			$	37,034,687			$	34,744,417
Policies in force		706,714				702,925				693,085				666,705				629,808
Weighted average coverage (9)		25.3		%		25.2		%		25.2		%		25.1		%		25.1		%
Annual persistency		73.9		%		77.5		%		82.1		%		84.8		%		85.1		%
Loans in default (count)		5,841				5,947				5,232				4,405				4,096
Percentage of loans in default		0.83		%		0.85		%		0.75		%		0.66		%		0.65		%
Other Risk in Force
GSE and other risk share (10)		$	1,100,966			$	895,374			$	849,184			$	802,530			$	771,175
Credit Facility
Borrowings outstanding		$	425,000			$	225,000			$	225,000			$	225,000			$	225,000
Undrawn committed capacity		$	75,000			$	275,000			$	275,000			$	275,000			$	275,000
Weighted average interest rate (end of period)		2.87		%

(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
		March 31, 2020						December 31, 2019						March 31, 2019
($ in thousands)
>=760		$	5,655,716		41.8	%		$	6,486,486		40.9	%		$	4,470,503		40.8	%
740-759		2,458,032			18.1			2,880,429			18.2			1,912,141			17.5
720-739		2,018,874			14.9			2,401,806			15.2			1,565,613			14.3
700-719		1,558,743			11.5			1,860,120			11.7			1,352,545			12.4
680-699		1,044,918			7.7			1,235,223			7.8			907,969			8.3
<=679		813,016			6.0			975,772			6.2			736,536			6.7
Total		$	13,549,299		100.0	%		$	15,839,836		100.0	%		$	10,945,307		100.0	%
Weighted average credit score		746						745						744
NIW by LTV
		Three Months Ended
		March 31, 2020						December 31, 2019						March 31, 2019
($ in thousands)
85.00% and below		$	1,963,476		14.5	%		$	2,084,932		13.2	%		$	1,442,833		13.2	%
85.01% to 90.00%		3,987,274			29.4			4,757,915			30.0			2,950,348			26.9
90.01% to 95.00%		5,685,880			42.0			6,771,196			42.7			4,659,337			42.6
95.01% and above		1,912,669			14.1			2,225,793			14.1			1,892,789			17.3
Total		$	13,549,299		100.0	%		$	15,839,836		100.0	%		$	10,945,307		100.0	%
Weighted average LTV		92		%				92		%				92		%
NIW by Product
		Three Months Ended
		March 31, 2020						December 31, 2019						March 31, 2019
Single Premium policies					9.7	%					10.4	%					12.3	%
Monthly Premium policies					90.3						89.6						87.7
					100.0	%					100.0	%					100.0	%
NIW by Purchase vs. Refinance
		Three Months Ended
		March 31, 2020						December 31, 2019						March 31, 2019
Purchase					69.2	%					71.8	%					87.6	%
Refinance					30.8						28.2						12.4
					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		March 31, 2020						December 31, 2019						March 31, 2019
($ in thousands)
>=760		$	68,385,363		41.3	%		$	68,123,523		41.5	%		$	61,191,185		42.7	%
740-759		28,289,661			17.1			27,886,603			17.0			23,919,745			16.7
720-739		24,441,834			14.7			24,069,139			14.7			20,728,151			14.5
700-719		19,442,133			11.7			19,183,219			11.7			16,454,730			11.5
680-699		13,859,727			8.4			13,713,164			8.4			11,774,884			8.2
<=679		11,196,785			6.8			11,030,205			6.7			9,112,946			6.4
Total		$	165,615,503		100.0	%		$	164,005,853		100.0	%		$	143,181,641		100.0	%
Weighted average credit score		745						745						746
Gross RIF by FICO score		March 31, 2020						December 31, 2019						March 31, 2019
($ in thousands)
>=760		$	17,138,596		40.9	%		$	17,082,683		41.3	%		$	15,303,364		42.6	%
740-759		7,181,181			17.2			7,056,654			17.0			6,012,004			16.7
720-739		6,262,376			15.0			6,150,334			14.9			5,257,051			14.6
700-719		4,950,746			11.8			4,873,597			11.8			4,144,221			11.6
680-699		3,537,973			8.4			3,491,755			8.4			2,974,758			8.3
<=679		2,795,105			6.7			2,747,927			6.6			2,234,432			6.2
Total		$	41,865,977		100.0	%		$	41,402,950		100.0	%		$	35,925,830		100.0	%
Portfolio by LTV
IIF by LTV		March 31, 2020						December 31, 2019						March 31, 2019
($ in thousands)
85.00% and below		$	17,304,231		10.5	%		$	17,128,008		10.5	%		$	15,581,861		10.9	%
85.01% to 90.00%		47,063,180			28.4			46,771,386			28.5			42,045,657			29.3
90.01% to 95.00%		77,059,950			46.5			76,611,494			46.7			68,414,122			47.8
95.01% and above		24,188,142			14.6			23,494,965			14.3			17,140,001			12.0
Total		$	165,615,503		100.0	%		$	164,005,853		100.0	%		$	143,181,641		100.0	%
Weighted average LTV		92		%				92		%				92		%
Gross RIF by LTV		March 31, 2020						December 31, 2019						March 31, 2019
($ in thousands)
85.00% and below		$	1,997,845		4.8	%		$	1,977,361		4.8	%		$	1,797,794		5.0	%
85.01% to 90.00%		11,322,131			27.0			11,249,383			27.2			10,083,981			28.1
90.01% to 95.00%		22,110,369			52.8			21,981,598			53.1			19,605,747			54.6
95.01% and above		6,435,632			15.4			6,194,608			14.9			4,438,308			12.3
Total		$	41,865,977		100.0	%		$	41,402,950		100.0	%		$	35,925,830		100.0	%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period		March 31, 2020						December 31, 2019						March 31, 2019
($ in thousands)
FRM 30 years and higher		$	156,741,714		94.6	%		$	154,905,519		94.5	%		$	133,725,528		93.4	%
FRM 20-25 years		2,829,876			1.7			2,854,560			1.7			2,912,323			2.1
FRM 15 years		3,230,148			2.0			3,300,715			2.0			3,335,714			2.3
ARM 5 years and higher		2,813,765			1.7			2,945,059			1.8			3,208,076			2.2
Total		$	165,615,503		100.0	%		$	164,005,853		100.0	%		$	143,181,641		100.0	%

																		Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
		2020				2019
($ in thousands)		March 31				December 31				September 30				June 30				March 31
GSE and other risk share (1):
Premiums earned		$	10,778			$	9,867			$	9,284			$	8,622			$	7,894
Risk in Force		$	1,100,966			$	895,374			$	849,184			$	802,530			$	771,175
Weighted average credit score		746				745				746				748				747
Weighted average LTV		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
March 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			$	9,744,199			16.1	%		53,929			83.9	%		68.5	%		3.8	%		12.2	%		45.9	%		2.6	%		815			1.51	%
2015		26,193,656				9,081,764				34.7			45,264			85.2			61.3			2.8			14.8			43.8			2.7			594			1.31
2016		34,949,319				17,593,372				50.3			81,241			84.7			59.6			7.2			13.5			45.7			2.9			890			1.10
2017		43,858,322				27,127,737				61.9			125,541			88.2			61.3			14.8			15.8			41.9			4.2			1,542			1.23
2018		47,508,525				32,032,954				67.4			140,687			92.5			63.0			19.1			15.9			39.5			5.9			1,390			0.99
2019		63,569,183				56,579,438				89.0			212,911			80.6			60.4			18.1			15.8			39.3			4.3			603			0.28
2020 (through March 31)		13,549,450				13,456,039				99.3			47,141			69.1			56.1			14.1			13.7			41.7			1.1			7			0.01
Total		$	290,297,306			$	165,615,503			57.1			706,714			84.1			61.1			14.6			15.1			41.3			3.4			5,841			0.83
(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
March 31, 2020
($ in thousands)
Excess of Loss Reinsurance
										Original Reinsurance in Force												Remaining Reinsurance in Force																								Year-to-Date
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				Earned Premiums Ceded				Reduction in PMIERs Minimum Required Assets (5)
2015 & 2016		$	25,025,497			$	6,762,026			$	333,844			$	—			$	333,844			$	244,105			$	—			$	244,105			$	—			$	208,111			$	208,111			$	1,838			$	192,485
2017		26,279,318				6,665,183				424,412				165,167				589,579				280,180				165,167				445,347				—				224,689				221,852				3,353				241,513
2018		31,375,687				7,923,964				473,184				118,650				591,834				377,509				87,941				465,450				—				253,643				253,081				4,105				366,199
2019 (3)		34,916,398				8,826,958				495,889				55,102				550,991				495,889				55,102				550,991				—				215,605				215,605				2,489				462,024
Total		$	117,596,900			$	30,178,131			$	1,727,329			$	338,919			$	2,066,248			$	1,397,683			$	308,210			$	1,705,893			$	—			$	902,048			$	898,649			$	11,785			$	1,262,221

Quota Share Reinsurance
																				Year-to-Date
Year				Remaining Insurance in Force				Remaining Risk in Force				Remaining Ceded Insurance in Force				Remaining Ceded Risk in Force				Losses Ceded				Ceding Commission				Earned Premiums Ceded				Reduction in PMIERs Minimum Required Assets (5)
2019 & 2020		(4)		$	34,268,944			$	8,598,188			$	7,542,999			$	1,870,062			$	98			$	1,177			$	2,452			$	127,311
(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
		March 31, 2020			December 31, 2019			March 31, 2019
CA		10.4	%		10.0	%		9.3	%
TX		8.9			8.6			7.9
FL		8.0			7.9			7.4
WA		4.2			4.4			4.7
CO		3.8			3.7			3.4
IL		3.6			3.7			3.8
NJ		3.6			3.6			3.7
AZ		3.3			3.3			3.1
OH		3.3			3.4			3.3
NC		3.2			3.3			3.5
All Others		47.7			48.1			49.9
Total		100.0	%		100.0	%		100.0	%
Gross RIF by State
		March 31, 2020			December 31, 2019			March 31, 2019
CA		10.1	%		9.8	%		9.0	%
TX		9.2			8.9			8.1
FL		8.2			8.0			7.6
WA		4.2			4.4			4.7
CO		3.7			3.6			3.3
NJ		3.5			3.6			3.7
IL		3.5			3.5			3.7
AZ		3.3			3.2			3.1
OH		3.3			3.3			3.4
GA		3.2			3.3			3.5
All Others		47.8			48.4			49.9
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
		March 31,				December 31,				March 31,
		2020				2019				2019
Beginning default inventory		5,947				5,232				4,024
Plus: new defaults		3,933				3,826				2,918
Less: cures		(3,914		)		(3,027		)		(2,749		)
Less: claims paid		(118		)		(80		)		(88		)
Less: rescissions and denials, net		(7		)		(4		)		(9		)
Ending default inventory		5,841				5,947				4,096
Rollforward of Reserve for Losses and LAE
		Three Months Ended
		March 31,				December 31,				March 31,
($ in thousands)		2020				2019				2019
Reserve for losses and LAE at beginning of period		$	69,362			$	61,436			$	49,464
Less: Reinsurance recoverables		71				—				—
Net reserve for losses and LAE at beginning of period		69,291				61,436				49,464
Add provision for losses and LAE occurring in:
Current year		15,419				12,658				11,828
Prior years		(7,356		)		(1,729		)		(4,721		)
Incurred losses and LAE during the period		8,063				10,929				7,107
Deduct payments for losses and LAE occurring in:
Current year		1				631				15
Prior years		4,110				2,443				3,072
Loss and LAE payments during the period		4,111				3,074				3,087
Net reserve for losses and LAE at end of period		73,243				69,291				53,484
Plus: Reinsurance recoverables		98				71				—
Reserve for losses and LAE at end of period		$	73,341			$	69,362			$	53,484
Claims
		Three Months Ended
		March 31,				December 31,				March 31,
		2020				2019				2019
Number of claims paid		118				80				88
Total amount paid for claims (in thousands)		$	4,157			$	2,922			$	2,899
Average amount paid per claim (in thousands)		$	35			$	37			$	33
Severity		77		%		76		%		78		%

															Exhibit J, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
U.S. Mortgage Insurance Portfolio
		March 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		3,043			52	%		$	15,128			23	%		$	170,374			9	%
Four to eleven payments		2,140			37			30,493				45			114,135				27
Twelve or more payments		518			9			15,235				23			29,596				51
Pending claims		140			2			6,241				9			7,074				88
Total case reserves (1)		5,841			100	%		67,097				100	%		$	321,179			21
IBNR								5,032
LAE								1,196
Total reserves for losses and LAE (1)								$	73,325
Average reserve per default:
Case								$	11.5
Total								$	12.6
Default Rate		0.83%
(1) The U.S. Mortgage Insurance Portfolio reserves exclude reserves on GSE and other risk share at Essent Re of $16.
		December 31, 2019
		Number of Policies in Default			Percentage of Policies in Default			Amount of Reserves				Percentage of Reserves			Defaulted RIF				Reserves as a Percentage of Defaulted RIF
($ 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 $179.
		March 31, 2019
		Number of Policies in Default			Percentage of Policies in Default			Amount of Reserves				Percentage of Reserves			Defaulted RIF				Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less		2,172			53	%		$	11,374			23	%		$	117,607			10	%
Four to eleven payments		1,492			36			23,599				48			80,842				29
Twelve or more payments		361			9			11,105				23			20,526				54
Pending claims		71			2			3,015				6			3,517				86
Total case reserves		4,096			100	%		49,093				100	%		$	222,492			22
IBNR								3,682
LAE								709
Total reserves for losses and LAE								$	53,484
Average reserve per default:
Case								$	12.0
Total								$	13.1
Default Rate		0.65%

													Exhibit K
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class		March 31, 2020							December 31, 2019
($ in thousands)		Fair Value				Percent			Fair Value				Percent
U.S. Treasury securities		$	235,565			6.4	%		$	242,206			7.2	%
U.S. agency securities		33,892				0.9			33,605				1.0
U.S. agency mortgage-backed securities		876,298				23.7			848,334				25.3
Municipal debt securities		419,688				11.3			361,638				10.8
Non-U.S. government securities		52,209				1.4			54,995				1.7
Corporate debt securities		879,503				23.7			880,301				26.3
Residential and commercial mortgage securities		275,532				7.4			288,281				8.6
Asset-backed securities		337,675				9.1			326,025				9.7
Money market funds		595,165				16.1			315,362				9.4
Total investments available for sale		$	3,705,527			100.0	%		$	3,350,747			100.0	%
Investments Available for Sale by Credit Rating
Rating (1)		March 31, 2020							December 31, 2019
($ in thousands)		Fair Value				Percent			Fair Value				Percent
Aaa		$	2,177,097			58.7	%		$	1,817,905			54.2	%
Aa1		109,937				3.0			109,122				3.3
Aa2		152,322				4.1			145,282				4.3
Aa3		200,368				5.4			159,599				4.8
A1		199,762				5.4			206,643				6.2
A2		199,109				5.4			183,780				5.5
A3		188,393				5.1			191,933				5.7
Baa1		227,067				6.1			232,490				6.9
Baa2		173,772				4.7			179,664				5.4
Baa3		43,374				1.2			65,119				1.9
Below Baa3		34,326				0.9			59,210				1.8
Total investments available for sale		$	3,705,527			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		March 31, 2020							December 31, 2019
($ in thousands)		Fair Value				Percent			Fair Value				Percent
< 1 Year		$	1,372,660			37.0	%		$	1,038,782			31.0	%
1 to < 2 Years		508,923				13.7			306,148				9.1
2 to < 3 Years		402,111				10.9			348,708				10.4
3 to < 4 Years		330,719				8.9			361,147				10.8
4 to < 5 Years		298,753				8.1			443,382				13.2
5 or more Years		792,361				21.4			852,580				25.5
Total investments available for sale		$	3,705,527			100.0	%		$	3,350,747			100.0	%
Pre-tax investment income yield:
Three months ended March 31, 2020		2.51		%
Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of March 31, 2020		$	279,778
As of December 31, 2019		$	98,376

						Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
		March 31, 2020				December 31, 2019
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)		$	2,452,730			$	2,335,828
Combined net risk in force (2)		$	28,729,105			$	29,460,191
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.		12.1:1				13.1:1
Essent Guaranty of PA, Inc.		2.7:1				2.9:1
Combined (4)		11.7:1				12.6:1
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)		$	1,005,038			$	939,360
Net risk in force (2)		$	10,589,736			$	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.

					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 March 31, 2020, December 31, 2019 and March 31, 2019, the Company does not have any options, warrants and similar instruments outstanding.

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

(In thousands, except per share amounts)		March 31, 2020				December 31, 2019				March 31, 2019
Numerator:
Total Stockholders' Equity (Book Value)		$	3,107,074			$	2,984,845			$	2,527,803
Subtract: Accumulated Other Comprehensive Income		46,113				56,187				9,373
Adjusted Book Value		$	3,060,961			$	2,928,658			$	2,518,430
Denominator:
Total Common Shares Outstanding		98,602				98,394				98,364
Add: Restricted Share Units and Dividend Equivalent Units Outstanding		495				356				374
Total Common Shares and Share Units Outstanding		99,097				98,750				98,738
Adjusted Book Value per Share		$	30.89			$	29.66			$	25.51

 

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