Essent Group Ltd. Reports Fourth Quarter and Full Year 2017 Results

February 9, 2018

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2017 of $162.6 million or $1.65 per diluted share, which includes an $85.1 million income tax benefit, or $0.86 per diluted share, reflecting the one-time impact of the reduced U.S. corporate income tax rate on the company's net deferred tax liability position. Net income for the full year 2017 was $379.7 million or $3.99 per diluted share.

“2017 was another successful year for the Essent franchise as we continued building a high credit quality and profitable mortgage insurance portfolio,” said Mark Casale, Chairman and Chief Executive Officer. “During the year, we continued growing our earnings and generating strong returns. As we head into our ninth year of writing mortgage insurance, our outlook for 2018 on our business and housing remains positive.”

Financial Highlights:

Insurance in force as of December 31, 2017 was $110.5 billion, compared to $103.9 billion as of September 30, 2017 and $83.3 billion as of December 31, 2016.
Flow new insurance written for the fourth quarter was $11.2 billion, compared to $13.2 billion in the third quarter of 2017 and $10.5 billion in the fourth quarter of 2016. For the full year 2017, flow new insurance written was $43.9 billion, compared to $34.9 billion for 2016.
Net premiums earned for the fourth quarter were $148.0 million, compared to $137.9 million in the third quarter of 2017 and $116.8 million in the fourth quarter of 2016. For the full year 2017, net premiums earned were $530.1 million, compared to $422.7 million for 2016.
The expense ratio for the fourth quarter was 24.7%, compared to 26.8% in the third quarter of 2017 and 29.8% in the fourth quarter of 2016. For the full year 2017, the expense ratio was 27.5%, compared to 30.9% for 2016.
The provision for losses and LAE for the fourth quarter was $17.5 million, compared to $4.3 million in the third quarter of 2017 and $3.9 million in the fourth quarter of 2016. For the full year 2017, the provision for losses and LAE was $27.2 million, compared to $15.5 million for 2016.
Loans in default at December 31, 2017 were 4,783 compared to 2,153 as of September 30, 2017 and 1,757 as of December 31, 2016. Total loans in default increased by 2,630 in the quarter, including 2,288 defaults that we have identified as related to Hurricanes Harvey and Irma. The percentage of loans in default as of December 31, 2017 was 0.96%, compared to 0.46% as of September 30, 2017 and 0.47% as of December 31, 2016.
The combined ratio for the fourth quarter was 36.4%, compared to 30.0% in the third quarter of 2017 and 33.1% in the fourth quarter of 2016.
The consolidated balance of cash and investments at December 31, 2017 was $2.3 billion, including cash and investment balances at Essent Group Ltd. of $104.2 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 14.2:1 as of December 31, 2017.
Essent Reinsurance Ltd. reinsured a total of $201 million of risk in GSE risk share transactions in 2017 compared to $260 million in 2016.

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 866-393-4306 inside the U.S., or 734-385-2616 for international callers, using passcode 5475697 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: 855-859-2056 inside the U.S., or 404-537-3406 for international callers, passcode 5475697.

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: 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, 2016 filed with the Securities and Exchange Commission on February 16, 2017. 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.

Non-GAAP Financial Measures

In presenting Essent Group Ltd.’s results, management has included financial measures, including adjusted book value per share, that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (“GAAP”). Such measures are referred to as “non-GAAP measures.” These non-GAAP measures may be defined or calculated differently by other companies. Management believes these measures allow for a more complete understanding of the underlying business. These measures are used to monitor our results and should not be viewed as a substitute for those determined in accordance with GAAP. Reconciliations of such measures to the most comparable GAAP figures are included in the attached financial supplement in accordance with Regulation G.

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. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.

Source: Essent Group Ltd.

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


Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter and Year Ended December 31, 2017


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		Portfolio Geographic Data
Exhibit I		Defaults, Reserve for Losses and LAE, and Claims
Exhibit J		Investment Portfolio
Exhibit K		Insurance Company Capital
Exhibit L		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)	2017			2016			2017			2016
Revenues:
Net premiums written	$	161,771		$	116,412		$	570,186		$	441,278
(Increase) decrease in unearned premiums	(13,795		)	380			(40,056		)	(18,571		)
Net premiums earned	147,976			116,792			530,130			422,707
Net investment income	11,765			8,225			40,226			27,890
Realized investment gains, net	252			445			2,015			1,934
Other income	1,117			911			4,140			5,727
Total revenues	161,110			126,373			576,511			458,258

Losses and expenses:
Provision for losses and LAE	17,456			3,865			27,232			15,525
Other underwriting and operating expenses	36,480			34,836			145,533			130,425
Interest expense	1,817			370			5,178			426
Total losses and expenses	55,753			39,071			177,943			146,376

Income before income taxes	105,357			87,302			398,568			311,882
Income tax (benefit) expense	(57,281		)	24,616			18,821			89,276
Net income	$	162,638		$	62,686		$	379,747		$	222,606


Earnings per share:
Basic	$	1.69		$	0.69		$	4.07		$	2.45
Diluted	1.65			0.68			3.99			2.41

Weighted average shares outstanding:
Basic	96,429			90,991			93,330			90,913
Diluted	98,497			92,577			95,211			92,245

Net income	$	162,638		$	62,686		$	379,747		$	222,606

Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments	(7,230		)	(34,209		)	8,068			(12,156		)
Total other comprehensive (loss) income	(7,230		)	(34,209		)	8,068			(12,156		)
Comprehensive income	$	155,408		$	28,477		$	387,815		$	210,450


Loss ratio	11.8		%	3.3		%	5.1		%	3.7		%
Expense ratio	24.7			29.8			27.5			30.9
Combined ratio	36.4		%	33.1		%	32.6		%	34.5		%


				Exhibit B

Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)


	December 31,			December 31,
(In thousands, except per share amounts)	2017			2016
Assets
Investments available for sale, at fair value
Fixed maturities	$	1,992,371		$	1,482,754
Short-term investments	312,694			132,348
Total investments	2,305,065			1,615,102
Cash	43,524			27,531
Accrued investment income	12,807			9,488
Accounts receivable	29,752			21,632
Deferred policy acquisition costs	15,354			13,400
Property and equipment	6,979			8,119
Prepaid federal income tax	252,157			181,272
Other assets	8,730			6,454

Total assets	$	2,674,368		$	1,882,998

Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	46,850		$	28,142
Unearned premium reserve	259,672			219,616
Net deferred tax liability	127,636			142,587
Credit facility borrowings, net of deferred costs	248,591			100,000
Securities purchased payable	14,999			14,999
Other accrued liabilities	36,184			33,881
Total liabilities	733,932			539,225

Commitments and contingencies

Stockholders' Equity
Common shares	1,476			1,397
Additional paid-in capital	1,127,137			918,296
Accumulated other comprehensive loss	(3,252		)	(12,255		)
Retained earnings	815,075			436,335
Total stockholders' equity	1,940,436			1,343,773

Total liabilities and stockholders' equity	$	2,674,368		$	1,882,998

Return on average equity	23.1		%	18.1		%


																			Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data


	2017												2016
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	$	161,771		$	155,055		$	134,063		$	119,297		$	116,412		$	115,887		$	108,513		$	100,466

Net premiums earned	147,976			137,940			126,563			117,651			116,792			110,801			100,711			94,403
Other revenues (1)	13,134			12,263			11,043			9,941			9,581			10,453			7,454			8,063
Total revenues	161,110			150,203			137,606			127,592			126,373			121,254			108,165			102,466

Losses and expenses:
Provision for losses and LAE	17,456			4,313			1,770			3,693			3,865			4,965			2,964			3,731
Other underwriting and operating expenses	36,480			37,035			35,686			36,332			34,836			32,792			31,409			31,388
Interest expense	1,817			1,456			1,189			716			370			56			—			—
Total losses and expenses	55,753			42,804			38,645			40,741			39,071			37,813			34,373			35,119

Income before income taxes	105,357			107,399			98,961			86,851			87,302			83,441			73,792			67,347
Income tax (benefit) expense (2) (3)	(57,281		)	29,006			26,843			20,253			24,616			23,730			21,534			19,396
Net income	$	162,638		$	78,393		$	72,118		$	66,598		$	62,686		$	59,711		$	52,258		$	47,951

Earnings per share:
Basic	$	1.69		$	0.83		$	0.79		$	0.73		$	0.69		$	0.66		$	0.57		$	0.53
Diluted	1.65			0.82			0.77			0.72			0.68			0.65			0.57			0.52

Weighted average shares outstanding:
Basic	96,429			94,185			91,381			91,258			90,991			90,961			90,912			90,785
Diluted	98,497			96,094			93,162			93,023			92,577			92,399			92,138			91,859

Other Data:
Loss ratio (4)	11.8		%	3.1		%	1.4		%	3.1		%	3.3		%	4.5		%	2.9		%	4.0		%
Expense ratio (5)	24.7			26.8			28.2			30.9			29.8			29.6			31.2			33.2
Combined ratio	36.4		%	30.0		%	29.6		%	34.0		%	33.1		%	34.1		%	34.1		%	37.2		%

Return on average equity (annualized)	35.0		%	19.1		%	19.8		%	19.3		%	18.9		%	18.7		%	17.2		%	16.7		%

(1) In 2016, other revenues included the change in the fair value of insurance and certain reinsurance policies issued by Essent Reinsurance Ltd. ("Essent Re") in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") program that were accounted for as derivatives under GAAP. In the three months ended September 30, 2016, these contracts were amended and are now accounted for as insurance contracts. The change in fair values of these policies was $2,012, ($755) and $677 in the three months ended September 30, 2016, June 30, 2016 and March 31, 2016, respectively.

(2) Income tax expense for the quarter ended March 31, 2017 was reduced by $3,023 of excess tax benefits associated with the vesting of common shares and common share units during the quarter. Prior to January 1, 2017, excess tax benefits were recognized in additional paid-in-capital.

(3) Income tax expense for the quarter ended December 31, 2017 was reduced by $85,091 of income tax benefit due to the one-time impact of the reduced U.S. corporate income tax rate on the company's net deferred tax liability position.

(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


	2017												2016
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	$	11,234,855		$	13,221,038		$	11,368,276		$	8,034,153		$	10,475,258		$	10,299,161		$	8,715,171		$	5,366,675
New risk written	2,737,008			3,228,603			2,786,501			1,929,832			2,498,831			2,536,734			2,167,333			1,340,588

Bulk:
New insurance written	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	93,054
New risk written	—			—			—			—			—			—			—			8,480

Total:
Average premium rate (6)	0.53		%	0.53		%	0.53		%	0.53		%	0.56		%	0.58		%	0.57		%	0.56		%
New insurance written	$	11,234,855		$	13,221,038		$	11,368,276		$	8,034,153		$	10,475,258		$	10,299,161		$	8,715,171		$	5,459,729
New risk written	$	2,737,008		$	3,228,603		$	2,786,501		$	1,929,832		$	2,498,831		$	2,536,734		$	2,167,333		$	1,349,068
Insurance in force (end of period)	$	110,461,950		$	103,936,307		$	95,494,390		$	87,993,227		$	83,265,522		$	77,614,373		$	72,267,099		$	67,716,741
Risk in force (end of period)	$	27,443,985		$	25,807,358		$	23,665,045		$	21,801,667		$	20,627,317		$	19,289,387		$	17,937,364		$	16,745,819
Policies in force	496,477			467,483			430,585			397,650			375,898			350,600			328,441			308,779
Weighted average coverage (7)	24.8		%	24.8		%	24.8		%	24.8		%	24.8		%	24.9		%	24.8		%	24.7		%
Annual persistency	83.9		%	82.1		%	80.1		%	78.2		%	77.7		%	79.4		%	81.0		%	81.0		%

Loans in default (count)	4,783			2,153			1,776			1,777			1,757			1,453			1,174			1,060
Percentage of loans in default	0.96		%	0.46		%	0.41		%	0.45		%	0.47		%	0.41		%	0.36		%	0.34		%

Other Risk in Force
GSE Risk Share (8)	$	538,944		$	501,485		$	479,762		$	436,991		$	384,103		$	302,211		$	305,357		$	188,766

Credit Facility
Borrowings outstanding	$	250,000		$	175,000		$	175,000		$	125,000		$	100,000		$	50,000		$	—		N/A
Undrawn committed capacity	$	125,000		$	200,000		$	200,000		$	75,000		$	100,000		$	150,000		$	200,000		N/A
Weighted average interest rate	3.49		%

(6) Average premium rate is calculated by dividing net premiums earned for the U.S. mortgage insurance portfolio by average insurance in force for the period.

(7) Weighted average coverage is calculated by dividing end of period risk in force by insurance in force.

(8) Essent Re provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae, including in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") and Fannie Mae's Credit Insurance Risk Transfer ("CIRT") programs.


																Exhibit D

Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow


NIW by Credit Score
	Three Months Ended										Year Ended
	December 31, 2017					December 31, 2016					December 31, 2017					December 31, 2016
($ in thousands)
>=760	$	4,551,775		40.5	%	$	4,642,666		44.3	%	$	18,455,482		42.1	%	$	15,827,689		45.4	%
740-759	1,793,713			16.0		1,636,508			15.6		6,851,174			15.6		5,533,992			15.9
720-739	1,644,956			14.6		1,456,147			13.9		6,223,802			14.2		4,750,940			13.6
700-719	1,378,170			12.3		1,212,922			11.6		5,228,590			11.9		3,859,363			11.1
680-699	1,024,440			9.1		879,907			8.4		3,843,164			8.8		2,801,820			8.0
<=679	841,801			7.5		647,108			6.2		3,256,110			7.4		2,082,461			6.0
Total	$	11,234,855		100.0	%	$	10,475,258		100.0	%	$	43,858,322		100.0	%	$	34,856,265		100.0	%

Weighted average credit score	743					747					744					748



NIW by LTV
	Three Months Ended										Year Ended
	December 31, 2017					December 31, 2016					December 31, 2017					December 31, 2016
($ in thousands)
85.00% and below	$	1,532,008		13.6	%	$	1,808,741		17.3	%	$	5,839,270		13.3	%	$	5,155,388		14.8	%
85.01% to 90.00%	3,286,879			29.3		3,242,535			30.9		13,072,845			29.8		11,148,955			32.0
90.01% to 95.00%	4,845,713			43.1		4,525,547			43.2		19,301,353			44.0		16,516,689			47.4
95.01% and above	1,570,255			14.0		898,435			8.6		5,644,854			12.9		2,035,233			5.8
Total	$	11,234,855		100.0	%	$	10,475,258		100.0	%	$	43,858,322		100.0	%	$	34,856,265		100.0	%

Weighted average LTV	92		%			91		%			92		%			92		%



NIW by Product
	Three Months Ended										Year Ended
	December 31, 2017					December 31, 2016					December 31, 2017					December 31, 2016
Single Premium policies				19.0	%				12.7	%				16.3	%				17.0	%
Monthly Premium policies				81.0					87.3					83.7					83.0
				100.0	%				100.0	%				100.0	%				100.0	%



NIW by Purchase vs. Refinance
	Three Months Ended										Year Ended
	December 31, 2017					December 31, 2016					December 31, 2017					December 31, 2016
Purchase				84.4	%				73.9	%				85.2	%				79.2	%
Refinance				15.6					26.1					14.8					20.8
				100.0	%				100.0	%				100.0	%				100.0	%


													Exhibit D, continued

Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Bulk


NIW by Credit Score
	Three Months Ended								Year Ended
	December 31, 2017				December 31, 2016				December 31, 2017				December 31, 2016
($ in thousands)
>=760	$	—	0.0	%	$	—	0.0	%	$	—	0.0	%	$	45,625		49.0	%
740-759	—		—		—		—		—		—		18,154			19.5
720-739	—		—		—		—		—		—		11,475			12.3
700-719	—		—		—		—		—		—		8,220			8.8
680-699	—		—		—		—		—		—		6,453			7.0
<=679	—		—		—		—		—		—		3,127			3.4
Total	$	—	0.0	%	$	—	0.0	%	$	—	0.0	%	$	93,054		100.0	%

Weighted average credit score	N/A				N/A				N/A				750



NIW by LTV
	Three Months Ended								Year Ended
	December 31, 2017				December 31, 2016				December 31, 2017				December 31, 2016
($ in thousands)
85.00% and below	$	—	0.0	%	$	—	0.0	%	$	—	0.0	%	$	755		0.8	%
85.01% to 90.00%	—		—		—		—		—		—		27,757			29.8
90.01% to 95.00%	—		—		—		—		—		—		64,542			69.4
95.01% and above	—		—		—		—		—		—		—			—
Total	$	—	0.0	%	$	—	0.0	%	$	—	0.0	%	$	93,054		100.0	%

Weighted average LTV	N/A				N/A				N/A				91		%



NIW by Product
	Three Months Ended								Year Ended
	December 31, 2017				December 31, 2016				December 31, 2017				December 31, 2016
Single Premium policies			0.0	%			0.0	%			0.0	%				100.0	%
Monthly Premium policies			—				—				—					—
			0.0	%			0.0	%			0.0	%				100.0	%



NIW by Purchase vs. Refinance
	Three Months Ended								Year Ended
	December 31, 2017				December 31, 2016				December 31, 2017				December 31, 2016
Purchase			0.0	%			0.0	%			0.0	%				100.0	%
Refinance			—				—				—					—
			0.0	%			0.0	%			0.0	%				100.0	%


														Exhibit E

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance in Force and Risk in Force


Portfolio by Credit Score
Total IIF by FICO score	December 31, 2017					September 30, 2017					December 31, 2016
($ in thousands)
>=760	$	48,668,705		44.1	%	$	46,220,799		44.5	%	$	37,858,422		45.5	%
740-759	17,939,206			16.2		16,890,061			16.2		13,760,610			16.5
720-739	15,761,787			14.3		14,767,164			14.2		11,855,648			14.2
700-719	12,167,285			11.0		11,307,184			10.9		8,712,971			10.5
680-699	9,156,196			8.3		8,523,233			8.2		6,611,166			7.9
<=679	6,768,771			6.1		6,227,866			6.0		4,466,705			5.4
Total	$	110,461,950		100.0	%	$	103,936,307		100.0	%	$	83,265,522		100.0	%

Weighted average credit score	747					747					749

Total RIF by FICO score	December 31, 2017					September 30, 2017					December 31, 2016
($ in thousands)
>=760	$	12,058,196		43.9	%	$	11,434,540		44.3	%	$	9,319,522		45.2	%
740-759	4,485,439			16.4		4,218,828			16.3		3,434,392			16.7
720-739	3,957,922			14.4		3,707,571			14.4		2,970,941			14.4
700-719	3,018,341			11.0		2,805,886			10.9		2,151,657			10.4
680-699	2,286,082			8.3		2,129,638			8.2		1,656,791			8.0
<=679	1,638,005			6.0		1,510,895			5.9		1,094,014			5.3
Total	$	27,443,985		100.0	%	$	25,807,358		100.0	%	$	20,627,317		100.0	%

Portfolio by LTV
Total IIF by LTV	December 31, 2017					September 30, 2017					December 31, 2016
($ in thousands)
85.00% and below	$	12,917,751		11.7	%	$	12,103,499		11.6	%	$	9,756,578		11.7	%
85.01% to 90.00%	34,794,108			31.5		33,129,815			31.9		27,409,202			32.9
90.01% to 95.00%	54,323,103			49.2		51,684,041			49.7		42,854,633			51.5
95.01% and above	8,426,988			7.6		7,018,952			6.8		3,245,109			3.9
Total	$	110,461,950		100.0	%	$	103,936,307		100.0	%	$	83,265,522		100.0	%

Weighted average LTV	92		%			92		%			92		%

Total RIF by LTV	December 31, 2017					September 30, 2017					December 31, 2016
($ in thousands)
85.00% and below	$	1,462,351		5.3	%	$	1,366,982		5.3	%	$	1,101,947		5.3	%
85.01% to 90.00%	8,262,322			30.1		7,858,283			30.4		6,512,613			31.6
90.01% to 95.00%	15,576,125			56.8		14,810,490			57.4		12,234,306			59.3
95.01% and above	2,143,187			7.8		1,771,603			6.9		778,451			3.8
Total	$	27,443,985		100.0	%	$	25,807,358		100.0	%	$	20,627,317		100.0	%

Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period	December 31, 2017					September 30, 2017					December 31, 2016
($ in thousands)
FRM 30 years and higher	$	100,592,946		91.1	%	$	94,299,877		90.7	%	$	75,428,964		90.6	%
FRM 20-25 years	2,879,977			2.6		2,695,714			2.6		2,113,529			2.5
FRM 15 years	3,857,152			3.5		3,779,626			3.7		3,066,893			3.7
ARM 5 years and higher	3,131,875			2.8		3,161,090			3.0		2,656,136			3.2
Total	$	110,461,950		100.0	%	$	103,936,307		100.0	%	$	83,265,522		100.0	%


							Exhibit F

Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force


($ in thousands)	December 31, 2017			September 30, 2017			December 31, 2016

GSE Risk Share (1)	$	538,944		$	501,485		$	384,103

Weighted average credit score	749			749			749
Weighted average LTV	84		%	84		%	82		%

(1) 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, including in connection with Freddie Mac's Agency Credit Insurance Structure ("ACIS") and Fannie Mae's Credit Insurance Risk Transfer ("CIRT") programs.


																						Exhibit G

Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
December 31, 2017


								Insurance in Force
Origination 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		% FRM		Incurred Loss Ratio (Inception to Date) (1)		Number of Loans in Default

2010	$	245,898	$	14,320	5.8	%	100	77.7	%	63.2	%	0.0	%	2.6	%	60.8	%	100.0	%	2.6	%	—
2011		3,229,720		392,583	12.2		2,237	77.0		47.6		0.2		5.5		54.4		96.7		3.6		40
2012		11,241,161		2,759,869	24.6		14,221	76.7		56.3		0.5		5.6		56.1		98.4		2.5		161
2013		21,152,638		6,905,742	32.6		35,003	79.6		58.2		1.9		7.7		51.5		97.8		2.5		440
2014		24,799,434		10,794,703	43.5		55,665	87.9		61.8		4.1		15.4		42.0		95.5		3.6		890
2015		26,193,656		17,283,506	66.0		79,549	83.4		56.6		2.5		14.5		44.1		96.9		4.0		1,023
2016		34,949,319		30,252,690	86.6		129,285	80.3		54.5		6.2		13.9		45.2		98.1		4.6		1,164
2017		43,858,322		42,058,537	95.9		180,417	85.2		57.1		13.2		16.3		41.7		96.9		7.5		1,065
Total	$	165,670,148	$	110,461,950	66.7		496,477	83.2		56.8		7.6		14.4		44.1		97.2		3.7		4,783

(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
Portfolio Geographic Data


IIF by State
	December 31, 2017		September 30, 2017		December 31, 2016
CA	9.4	%	9.4	%	9.4	%
TX	8.0		8.1		8.2
FL	7.0		7.0		6.6
WA	4.8		4.8		4.8
IL	4.0		4.0		4.0
NJ	3.7		3.6		3.5
NC	3.5		3.6		3.7
GA	3.4		3.4		3.4
OH	3.2		3.2		3.1
AZ	3.1		3.1		3.2
All Others	49.9		49.8		50.1
Total	100.0	%	100.0	%	100.0	%



RIF by State
	December 31, 2017		September 30, 2017		December 31, 2016
CA	9.1	%	9.1	%	9.0	%
TX	8.3		8.3		8.5
FL	7.1		7.1		6.9
WA	4.9		4.9		4.8
IL	3.9		3.9		4.0
NJ	3.6		3.6		3.5
NC	3.5		3.6		3.7
GA	3.5		3.5		3.5
OH	3.2		3.2		3.1
MN	3.2		3.2		3.3
All Others	49.7		49.6		49.7
Total	100.0	%	100.0	%	100.0	%


										Exhibit I

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,
	2017			2016			2017			2016
Beginning default inventory		2,153			1,453			1,757			1,028
Plus: new defaults		4,332			1,208			8,229			3,746
Less: cures		(1,648	)		(861	)		(4,970	)		(2,857	)
Less: claims paid		(53	)		(39	)		(229	)		(154	)
Less: rescissions and denials, net		(1	)		(4	)		(4	)		(6	)
Ending default inventory		4,783			1,757			4,783			1,757



Rollforward of Reserve for Losses and LAE
	Three Months Ended						Year Ended
	December 31,			December 31,			December 31,			December 31,
($ in thousands)	2017			2016			2017			2016
Reserve for losses and LAE at beginning of period	$	31,579		$	25,731		$	28,142		$	17,760
Add provision for losses and LAE occurring in:
Current year		18,912			5,502			38,178			21,889
Prior years		(1,456	)		(1,637	)		(10,946	)		(6,364	)
Incurred losses during the period		17,456			3,865			27,232			15,525
Deduct payments for losses and LAE occurring in:
Current year		390			460			633			927
Prior years		1,795			994			7,891			4,216
Loss and LAE payments during the period		2,185			1,454			8,524			5,143
Reserve for losses and LAE at end of period	$	46,850		$	28,142		$	46,850		$	28,142



Claims
	Three Months Ended						Year Ended
	December 31,			December 31,			December 31,			December 31,
	2017			2016			2017			2016
Number of claims paid		53			39			229			154
Total amount paid for claims (in thousands)	$	2,125		$	1,438		$	8,280		$	5,028
Average amount paid per claim (in thousands)	$	40		$	37		$	36		$	33
Severity		87	%		70	%		83	%		73	%


									Exhibit I, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims


	December 31, 2017
	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	3,243		68	%	$	15,925	37	%	$	187,163	9	%
Four to eleven payments	1,284		27			18,087	42			73,547	25
Twelve or more payments	211		4			6,781	16			11,139	61
Pending claims	45		1			2,075	5			2,355	88
Total case reserves	4,783		100	%		42,868	100	%	$	274,204	16
IBNR						3,215
LAE						767
Total reserves for losses and LAE					$	46,850

Average reserve per default:
Case					$	9.0
Total					$	9.8

Default Rate	0.96	%

	December 31, 2016
	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	914		52	%	$	6,615	26	%	$	50,737	13	%
Four to eleven payments	620		35			11,505	45			32,833	35
Twelve or more payments	179		10			5,678	22			9,575	59
Pending claims	44		3			1,960	7			2,272	86
Total case reserves	1,757		100	%		25,758	100	%	$	95,417	27
IBNR						1,932
LAE						452
Total reserves for losses and LAE					$	28,142

Average reserve per default:
Case					$	14.7
Total					$	16.0

Default Rate	0.47	%


								Exhibit J

Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio


Investment Portfolio by Asset Class
Asset Class	December 31, 2017					December 31, 2016
($ in thousands)	Fair Value			Percent		Fair Value		Percent
U.S. Treasury securities	$	227,805		9.9	%	$	191,548	11.9	%
U.S. agency securities		33,114		1.4			18,441	1.1
U.S. agency mortgage-backed securities		456,037		19.8			316,494	19.6
Municipal debt securities		465,255		20.2			334,324	20.7
Corporate debt securities		611,728		26.5			456,357	28.3
Residential and commercial mortgage securities		79,407		3.5			68,336	4.2
Asset-backed securities		167,922		7.3			127,172	7.9
Money market funds		263,797		11.4			102,430	6.3
Total Investments	$	2,305,065		100.0	%	$	1,615,102	100.0	%

Investment Portfolio by Credit Rating
Rating (1)	December 31, 2017					December 31, 2016
($ in thousands)	Fair Value			Percent		Fair Value		Percent
Aaa	$	1,160,200		50.3	%	$	780,513	48.3	%
Aa1		115,237		5.0			88,977	5.5
Aa2		123,551		5.4			101,772	6.3
Aa3		127,785		5.6			89,421	5.5
A1		205,369		8.9			143,938	8.9
A2		157,651		6.8			126,113	7.8
A3		148,246		6.4			95,926	6.0
Baa1		115,178		5.0			85,864	5.3
Baa2		87,869		3.8			71,950	4.5
Baa3		43,024		1.9			24,544	1.5
Below Baa3		20,955		0.9			6,084	0.4
Total Investments	$	2,305,065		100.0	%	$	1,615,102	100.0	%

(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.

Investment Portfolio by Duration and Book Yield
Effective Duration	December 31, 2017					December 31, 2016
($ in thousands)	Fair Value			Percent		Fair Value		Percent
< 1 Year	$	628,958		27.3	%	$	329,901	20.4	%
1 to < 2 Years		164,856		7.2			153,184	9.5
2 to < 3 Years		280,177		12.2			156,620	9.7
3 to < 4 Years		263,799		11.4			176,896	11.0
4 to < 5 Years		263,273		11.4			139,115	8.6
5 or more Years		704,002		30.5			659,386	40.8
Total Investments	$	2,305,065		100.0	%	$	1,615,102	100.0	%

Pre-tax investment income yield:
Three months ended December 31, 2017		2.23	%
Year ended December 31, 2017		2.22	%

Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of December 31, 2017	$	104,167
As of December 31, 2016	$	46,561


			Exhibit K

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital


	December 31, 2017		December 31, 2016
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)	$	1,528,869	$	1,144,279

Combined net risk in force (2)	$	21,637,409	$	16,801,992

Risk-to-capital ratios: (3)
Essent Guaranty, Inc.	14.7:1			15.3:1
Essent Guaranty of PA, Inc.	5.4:1			6.8:1
Combined (4)	14.2:1			14.7:1

Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)	$	662,819	$	401,273

Net risk in force (2)	$	6,299,437	$	4,181,737

(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 L
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 a measure 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) 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 that are classified as available for sale. The Company does not view these unrealized gains and losses to be indicative of our fundamental operating performance. As of December 31, 2017 and December 31, 2016, the Company does not have any options, warrants and similar instruments outstanding.

The following table sets forth the reconciliation of Adjusted Book Value to the most comparable GAAP amount as of December 31, 2017 and December 31, 2016 in accordance with Regulation G:


(In thousands, except per share amounts)	December 31, 2017			December 31, 2016

Numerator:
Total Stockholders' Equity (Book Value)	$	1,940,436		$	1,343,773

Subtract: Accumulated Other Comprehensive Income (Loss)	(3,252		)	(12,255		)

Adjusted Book Value	$	1,943,688		$	1,356,028

Denominator:
Total Common Shares Outstanding	98,434			93,105

Add: Restricted Share Units Outstanding	536			493

Total Common Shares and Share Units Outstanding	98,970			93,598

Adjusted Book Value per Share	$	19.64		$	14.49

View source version on businesswire.com: http://www.businesswire.com/news/home/20180209005061/en/

Source: Essent Group Ltd.

Essent Group Ltd.

Media Contact

610-230-0556

media@essentgroup.com

or

Investor Relations Contact

Christopher G. Curran

Senior Vice President – Investor Relations

855-809-ESNT

ir@essentgroup.com

Alert type
End of Day Stock Quote
SEC Filing
Events & Presentations
News
Annual Reports
Quarterly Reports