Essent Group Ltd. Reports Third Quarter 2017 Results

November 9, 2017

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2017 of $78.4 million or $0.82 per diluted share, compared to $59.7 million or $0.65 per diluted share for the quarter ended September 30, 2016. As of September 30, 2017, Essent had insurance in force of $103.9 billion and consolidated stockholders’ equity of $1.8 billion.

"During the third quarter we continued building a high credit quality and profitable mortgage insurance portfolio,” said Mark Casale, Chairman and Chief Executive Officer. “Additionally, I am pleased that we have now surpassed $100 billion of insurance in force which is a significant milestone for the Essent franchise and reflects our strong customer relationships as well as our best in class service.”

Financial Highlights:

Insurance in force as of September 30, 2017 was $103.9 billion, compared to $77.6 billion as of September 30, 2016.
New insurance written for the third quarter was $13.2 billion, compared to $10.3 billion in the third quarter of 2016.
Net premiums earned for the third quarter were $137.9 million, compared to $110.8 million in the third quarter of 2016.
The expense ratio for the third quarter was 26.8%, compared to 29.6% in the third quarter of 2016.
The provision for losses and LAE for the third quarter was $4.3 million, compared to $5.0 million in the third quarter of 2016.
The percentage of loans in default as of September 30, 2017 was 0.46%, compared to 0.41% as of September 30, 2016.
The combined ratio for the third quarter was 30.0%, compared to 34.1% in the third quarter of 2016.
The consolidated balance of cash and investments at September 30, 2017 was $2.2 billion, including cash and investment balances at Essent Group Ltd. of $128.0 million.
The combined risk-to-capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 14.7:1 as of September 30, 2017.
Essent Reinsurance Ltd. reinsured a total of $35.1 million of risk in GSE risk share transactions in the third quarter of 2017.

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 844-579-6824 inside the U.S., or 763-488-9145 for international callers, using passcode 99416499 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 99416499.

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.


Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended September 30, 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 September 30,						Nine Months Ended September 30,
(In thousands, except per share amounts)	2017			2016			2017			2016
Revenues:
Net premiums written	$	155,055		$	115,887		$	408,415		$	324,866
Increase in unearned premiums		(17,115	)		(5,086	)		(26,261	)		(18,951	)
Net premiums earned		137,940			110,801			382,154			305,915
Net investment income		10,626			6,781			28,461			19,665
Realized investment gains, net		564			435			1,763			1,489
Other income		1,073			3,237			3,023			4,816
Total revenues		150,203			121,254			415,401			331,885

Losses and expenses:
Provision for losses and LAE		4,313			4,965			9,776			11,660
Other underwriting and operating expenses		37,035			32,792			109,053			95,589
Interest expense		1,456			56			3,361			56
Total losses and expenses		42,804			37,813			122,190			107,305

Income before income taxes		107,399			83,441			293,211			224,580
Income tax expense		29,006			23,730			76,102			64,660
Net income	$	78,393		$	59,711		$	217,109		$	159,920


Earnings per share:
Basic	$	0.83		$	0.66		$	2.35		$	1.76
Diluted		0.82			0.65			2.31			1.74

Weighted average shares outstanding:
Basic		94,185			90,961			92,285			90,886
Diluted		96,094			92,399			94,104			92,133

Net income	$	78,393		$	59,711		$	217,109		$	159,920

Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments		1,978			(2,008	)		15,298			22,053
Total other comprehensive income (loss)		1,978			(2,008	)		15,298			22,053
Comprehensive income	$	80,371		$	57,703		$	232,407		$	181,973


Loss ratio		3.1	%		4.5	%		2.6	%		3.8	%
Expense ratio		26.8			29.6			28.5			31.2
Combined ratio		30.0	%		34.1	%		31.1	%		35.1	%


Exhibit B

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


	September 30,			December 31,
(In thousands, except per share amounts)	2017			2016
Assets
Investments available for sale, at fair value
Fixed maturities	$	1,826,801		$	1,482,754
Short-term investments		296,513			132,348
Total investments		2,123,314			1,615,102
Cash		57,741			27,531
Accrued investment income		11,839			9,488
Accounts receivable		29,284			21,632
Deferred policy acquisition costs		14,831			13,400
Property and equipment		7,825			8,119
Prepaid federal income tax		233,457			181,272
Other assets		7,300			6,454

Total assets	$	2,485,591		$	1,882,998

Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	31,579		$	28,142
Unearned premium reserve		245,877			219,616
Net deferred tax liability		198,042			142,587
Credit facility borrowings, net of deferred costs		173,489			100,000
Securities purchased payable		25,998			14,999
Other accrued liabilities		30,036			33,881
Total liabilities		705,021			539,225

Commitments and contingencies

Stockholders' Equity
Common shares		1,476			1,397
Additional paid-in capital		1,122,679			918,296
Accumulated other comprehensive income (loss)		3,043			(12,255	)
Retained earnings		653,372			436,335
Total stockholders' equity		1,780,570			1,343,773

Total liabilities and stockholders' equity	$	2,485,591		$	1,882,998

Return on average equity (1)		18.5	%		18.1	%

(1) The 2017 return on average equity is calculated by dividing annualized year-to-date 2017 net income by average equity. The 2016 return on average equity is calculated by dividing full year 2016 net income by average equity.


Exhibit C

Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data


	2017									2016
Selected Income Statement Data	September 30			June 30			March 31			December 31			September 30			June 30			March 31
(In thousands, except per share amounts)
Revenues:
Net premiums written	$	155,055		$	134,063		$	119,297		$	116,412		$	115,887		$	108,513		$	100,466

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

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

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

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

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

Other Data:
Loss ratio (3)		3.1	%		1.4	%		3.1	%		3.3	%		4.5	%		2.9	%		4.0	%
Expense ratio (4)		26.8			28.2			30.9			29.8			29.6			31.2			33.2
Combined ratio		30.0	%		29.6	%		34.0	%		33.1	%		34.1	%		34.1	%		37.2	%

Return on average equity (annualized)		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) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.

(4) 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:	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	$	13,221,038		$	11,368,276		$	8,034,153		$	10,475,258		$	10,299,161		$	8,715,171		$	5,366,675
New risk written		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 (5)		0.53	%		0.53	%		0.53	%		0.56	%		0.58	%		0.57	%		0.56	%
New insurance written	$	13,221,038		$	11,368,276		$	8,034,153		$	10,475,258		$	10,299,161		$	8,715,171		$	5,459,729
New risk written	$	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)	$	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)	$	25,807,358		$	23,665,045		$	21,801,667		$	20,627,317		$	19,289,387		$	17,937,364		$	16,745,819
Policies in force		467,483			430,585			397,650			375,898			350,600			328,441			308,779
Weighted average coverage (6)		24.8	%		24.8	%		24.8	%		24.8	%		24.9	%		24.8	%		24.7	%
Annual persistency		82.1	%		80.1	%		78.2	%		77.7	%		79.4	%		81.0	%		81.0	%

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

Other Risk in Force
GSE Risk Share (7)	$	501,485		$	479,762		$	436,991		$	384,103		$	302,211		$	305,357		$	188,766

Credit Facility
Borrowings outstanding	$	175,000		$	175,000		$	125,000		$	100,000		$	50,000		$	—			N/A
Undrawn committed capacity	$	200,000		$	200,000		$	75,000		$	100,000		$	150,000		$	200,000			N/A
Weighted average interest rate		3.24	%

(5) 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.

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

(7) 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										Nine Months Ended
		September 30, 2017					September 30, 2016					September 30, 2017					September 30, 2016
($ in thousands)
	>=760	$	5,590,793		42.3	%	$	4,883,884		47.4	%	$	13,903,707		42.6	%	$	11,185,023		45.9	%
	740-759		2,028,500		15.3			1,651,059		16.0			5,057,461		15.5			3,897,484		16.0
	720-739		1,882,227		14.2			1,358,205		13.2			4,578,846		14.0			3,294,793		13.5
	700-719		1,571,170		11.9			1,112,745		10.8			3,850,420		11.8			2,646,441		10.8
	680-699		1,160,771		8.8			746,419		7.3			2,818,724		8.7			1,921,913		7.9
	<=679		987,577		7.5			546,849		5.3			2,414,309		7.4			1,435,353		5.9
Total		$	13,221,038		100.0	%	$	10,299,161		100.0	%	$	32,623,467		100.0	%	$	24,381,007		100.0	%

Weighted average credit score			745					750					745					749



NIW by LTV
		Three Months Ended										Nine Months Ended
		September 30, 2017					September 30, 2016					September 30, 2017					September 30, 2016
($ in thousands)
	85.00% and below	$	1,682,491		12.7	%	$	1,506,576		14.6	%	$	4,307,262		13.2	%	$	3,346,647		13.7	%
	85.01% to 90.00%		3,893,155		29.4			3,254,538		31.6			9,785,966		30.0			7,906,420		32.4
	90.01% to 95.00%		5,811,182		44.0			4,930,162		47.9			14,455,640		44.3			11,991,142		49.2
	95.01% and above		1,834,210		13.9			607,885		5.9			4,074,599		12.5			1,136,798		4.7
Total		$	13,221,038		100.0	%	$	10,299,161		100.0	%	$	32,623,467		100.0	%	$	24,381,007		100.0	%

Weighted average LTV			92	%				92	%				92	%				92	%



NIW by Product
		Three Months Ended										Nine Months Ended
		September 30, 2017					September 30, 2016					September 30, 2017					September 30, 2016
Single Premium policies					16.8	%				16.2	%				15.4	%				18.8	%
Monthly Premium policies					83.2					83.8					84.6					81.2
					100.0	%				100.0	%				100.0	%				100.0	%



NIW by Purchase vs. Refinance
		Three Months Ended										Nine Months Ended
		September 30, 2017					September 30, 2016					September 30, 2017					September 30, 2016
Purchase					87.6	%				80.7	%				85.4	%				81.5	%
Refinance					12.4					19.3					14.6					18.5
					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								Nine Months Ended
		September 30, 2017				September 30, 2016				September 30, 2017				September 30, 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								Nine Months Ended
		September 30, 2017				September 30, 2016				September 30, 2017				September 30, 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								Nine Months Ended
		September 30, 2017				September 30, 2016				September 30, 2017				September 30, 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								Nine Months Ended
		September 30, 2017				September 30, 2016				September 30, 2017				September 30, 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		September 30, 2017					June 30, 2017					September 30, 2016
($ in thousands)
	>=760	$	46,220,799		44.5	%	$	42,839,819		44.8	%	$	35,510,017		45.8	%
	740-759		16,890,061		16.2			15,628,721		16.4			12,924,061		16.6
	720-739		14,767,164		14.2			13,568,471		14.2			11,075,479		14.3
	700-719		11,307,184		10.9			10,239,343		10.7			7,985,448		10.3
	680-699		8,523,233		8.2			7,715,118		8.1			6,079,109		7.8
	<=679		6,227,866		6.0			5,502,918		5.8			4,040,259		5.2
Total		$	103,936,307		100.0	%	$	95,494,390		100.0	%	$	77,614,373		100.0	%

Weighted average credit score			747					748					749

Total RIF by FICO score		September 30, 2017					June 30, 2017					September 30, 2016
($ in thousands)
	>=760	$	11,434,540		44.3	%	$	10,565,479		44.6	%	$	8,763,990		45.4	%
	740-759		4,218,828		16.3			3,900,374		16.5			3,236,792		16.8
	720-739		3,707,571		14.4			3,400,897		14.4			2,784,413		14.4
	700-719		2,805,886		10.9			2,531,834		10.7			1,977,518		10.3
	680-699		2,129,638		8.2			1,928,884		8.1			1,529,092		7.9
	<=679		1,510,895		5.9			1,337,577		5.7			997,582		5.2
Total		$	25,807,358		100.0	%	$	23,665,045		100.0	%	$	19,289,387		100.0	%


Portfolio by LTV
Total IIF by LTV		September 30, 2017					June 30, 2017					September 30, 2016
($ in thousands)
	85.00% and below	$	12,103,499		11.6	%	$	11,175,433		11.7	%	$	8,697,580		11.2	%
	85.01% to 90.00%		33,129,815		31.9			30,771,122		32.2			25,916,495		33.4
	90.01% to 95.00%		51,684,041		49.7			48,225,083		50.5			40,553,061		52.2
	95.01% and above		7,018,952		6.8			5,322,752		5.6			2,447,237		3.2
Total		$	103,936,307		100.0	%	$	95,494,390		100.0	%	$	77,614,373		100.0	%

Weighted average LTV			92	%				92	%				92	%

Total RIF by LTV		September 30, 2017					June 30, 2017					September 30, 2016
($ in thousands)
	85.00% and below	$	1,366,982		5.3	%	$	1,261,421		5.3	%	$	986,759		5.1	%
	85.01% to 90.00%		7,858,283		30.4			7,301,776		30.9			6,173,686		32.0
	90.01% to 95.00%		14,810,490		57.4			13,776,313		58.2			11,574,082		60.0
	95.01% and above		1,771,603		6.9			1,325,535		5.6			554,860		2.9
Total		$	25,807,358		100.0	%	$	23,665,045		100.0	%	$	19,289,387		100.0	%


Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period		September 30, 2017					June 30, 2017					September 30, 2016
($ in thousands)
	FRM 30 years and higher	$	94,299,877		90.7	%	$	86,471,721		90.5	%	$	70,363,929		90.7	%
	FRM 20-25 years		2,695,714		2.6			2,458,906		2.6			1,808,715		2.3
	FRM 15 years		3,779,626		3.7			3,521,645		3.7			2,757,521		3.5
	ARM 5 years and higher		3,161,090		3.0			3,042,118		3.2			2,684,208		3.5
Total		$	103,936,307		100.0	%	$	95,494,390		100.0	%	$	77,614,373		100.0	%


Exhibit F

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


($ in thousands)	September 30, 2017			June 30, 2017			September 30, 2016

GSE Risk Share (1)	$	501,485		$	479,762		$	302,211

Weighted average credit score	749			749			751
Weighted average LTV	84		%	83		%	80		%

(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
September 30, 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	$	17,949	7.3	%	122	79.1	%	51.1	%	0.0	%	2.1	%	63.8	%	100.0	%	2.6	%	—
2011		3,229,720		434,676	13.5		2,445	77.0		46.8		0.2		5.3		53.9		96.2		3.7		38
2012		11,241,161		3,001,863	26.7		15,333	76.4		55.5		0.5		5.5		56.0		98.2		2.3		115
2013		21,152,638		7,394,766	35.0		37,261	79.2		57.5		1.9		7.8		51.5		97.7		2.4		312
2014		24,799,434		11,747,210	47.4		59,673	87.7		61.6		4.0		15.3		42.1		94.9		3.4		636
2015		26,193,656		18,328,775	70.0		83,827	83.0		56.2		2.5		14.7		43.9		96.8		3.4		546
2016		34,949,319		31,268,320	89.5		132,750	79.8		54.2		6.1		14.0		45.0		98.1		3.2		408
2017 (through September 30)		32,623,467		31,742,748	97.3		136,072	85.4		57.0		12.7		16.1		42.3		96.4		1.7		98
Total	$	154,435,293	$	103,936,307	67.3		467,483	82.8		56.5		6.8		14.2		44.5		97.0		3.0		2,153

(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
	September 30, 2017		June 30, 2017		September 30, 2016
CA	10.2	%	9.4	%	9.4	%
TX	8.8		8.2		8.3
FL	7.6		6.9		6.5
WA	5.2		4.8		4.8
IL	4.3		4.0		4.1
NJ	4.0		3.6		3.4
NC	3.9		3.6		3.7
GA	3.7		3.4		3.4
OH	3.5		3.1		3.0
MN	3.4		3.2		3.2
All Others	45.4		49.8		50.2
Total	100.0	%	100.0	%	100.0	%



RIF by State
	September 30, 2017		June 30, 2017		September 30, 2016
CA	9.1	%	9.0	%	9.0	%
TX	8.3		8.4		8.5
FL	7.1		7.1		6.8
WA	4.9		4.9		4.8
IL	3.9		3.9		4.1
NC	3.6		3.7		3.8
NJ	3.6		3.5		3.4
GA	3.5		3.5		3.5
OH	3.2		3.2		3.1
MN	3.2		3.3		3.3
All Others	49.6		49.5		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						Nine Months Ended
	September 30,			September 30,			September 30,			September 30,
	2017			2016			2017			2016
Beginning default inventory		1,776			1,174			1,757			1,028
Plus: new defaults		1,592			1,015			3,897			2,538
Less: cures		(1,145	)		(682	)		(3,322	)		(1,996	)
Less: claims paid		(68	)		(54	)		(176	)		(115	)
Less: rescissions and denials, net		(2	)		—			(3	)		(2	)
Ending default inventory		2,153			1,453			2,153			1,453



Rollforward of Reserve for Losses and LAE
	Three Months Ended						Nine Months Ended
	September 30,			September 30,			September 30,			September 30,
($ in thousands)	2017			2016			2017			2016
Reserve for losses and LAE at beginning of period	$	29,798		$	22,474		$	28,142		$	17,760
Add provision for losses and LAE occurring in:
Current year		7,150			6,819			19,266			16,387
Prior years		(2,837	)		(1,854	)		(9,490	)		(4,727	)
Incurred losses during the period		4,313			4,965			9,776			11,660
Deduct payments for losses and LAE occurring in:
Current year		146			355			243			467
Prior years		2,386			1,353			6,096			3,222
Loss and LAE payments during the period		2,532			1,708			6,339			3,689
Reserve for losses and LAE at end of period	$	31,579		$	25,731		$	31,579		$	25,731



Claims
	Three Months Ended						Nine Months Ended
	September 30,			September 30,			September 30,			September 30,
	2017			2016			2017			2016
Number of claims paid		68			54			176			115
Total amount paid for claims (in thousands)	$	2,468		$	1,668		$	6,155		$	3,590
Average amount paid per claim (in thousands)	$	36		$	31		$	35		$	31
Severity		76	%		68	%		81	%		75	%


Exhibit I, continued

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


	September 30, 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	1,228		57	%	$	7,935	27	%	$	68,317	12	%
Four to eleven payments	690		32			12,948	45			38,003	34
Twelve or more payments	195		9			6,105	21			10,087	61
Pending claims	40		2			2,036	7			2,376	86
Total case reserves	2,153		100	%		29,024	100	%	$	118,783	24
IBNR						2,177
LAE						378
Total reserves for losses and LAE					$	31,579

Average reserve per default:
Case					$	13.5
Total					$	14.7

Default Rate	0.46	%


	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	%


	September 30, 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	779		54	%	$	6,245	26	%	$	43,000	15	%
Four to eleven payments	484		33			10,207	43			25,814	40
Twelve or more payments	158		11			5,351	23			8,387	64
Pending claims	32		2			1,769	8			1,878	94
Total case reserves	1,453		100	%		23,572	100	%	$	79,079	30
IBNR						1,768
LAE						391
Total reserves for losses and LAE					$	25,731

Average reserve per default:
Case					$	16.2
Total					$	17.7

Default Rate	0.41	%


Exhibit J

Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio


Investment Portfolio by Asset Class
Asset Class	September 30, 2017					December 31, 2016
($ in thousands)	Fair Value			Percent		Fair Value		Percent
U.S. Treasury securities	$	259,579		12.2	%	$	191,548	11.9	%
U.S. agency securities		33,422		1.6			18,441	1.1
U.S. agency mortgage-backed securities		428,587		20.2			316,494	19.6
Municipal debt securities		389,503		18.4			334,324	20.7
Corporate debt securities		584,499		27.5			456,357	28.3
Residential and commercial mortgage securities		68,641		3.2			68,336	4.2
Asset-backed securities		149,115		7.0			127,172	7.9
Money market funds		209,968		9.9			102,430	6.3
Total Investments	$	2,123,314		100.0	%	$	1,615,102	100.0	%


Investment Portfolio by Credit Rating
Rating (1)	September 30, 2017					December 31, 2016
($ in thousands)	Fair Value			Percent		Fair Value		Percent
Aaa	$	1,064,971		50.2	%	$	780,513	48.3	%
Aa1		115,271		5.4			88,977	5.5
Aa2		102,196		4.8			101,772	6.3
Aa3		107,411		5.1			89,421	5.5
A1		215,371		10.1			143,938	8.9
A2		142,937		6.7			126,113	7.8
A3		109,945		5.2			95,926	6.0
Baa1		120,770		5.7			85,864	5.3
Baa2		90,965		4.3			71,950	4.5
Baa3		35,779		1.7			24,544	1.5
Below Baa3 / Unrated		17,698		0.8			6,084	0.4
Total Investments	$	2,123,314		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	September 30, 2017					December 31, 2016
($ in thousands)	Fair Value			Percent		Fair Value		Percent
< 1 Year	$	574,583		27.1	%	$	329,901	20.4	%
1 to < 2 Years		153,974		7.3			153,184	9.5
2 to < 3 Years		283,213		13.3			156,620	9.7
3 to < 4 Years		230,043		10.8			176,896	11.0
4 to < 5 Years		223,618		10.5			139,115	8.6
5 or more Years		657,883		31.0			659,386	40.8
Total Investments	$	2,123,314		100.0	%	$	1,615,102	100.0	%

Pre-tax investment income yield:
Three months ended September 30, 2017		2.26	%
Nine months ended September 30, 2017		2.21	%

Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of September 30, 2017	$	127,996
As of December 31, 2016	$	46,561


Exhibit K

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital


	September 30, 2017		December 31, 2016
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)	$	1,395,556	$	1,144,279

Combined net risk in force (2)	$	20,481,572	$	16,801,992

Risk-to-capital ratios: (3)
Essent Guaranty, Inc.		15.3:1		15.3:1
Essent Guaranty of PA, Inc.		5.8:1		6.8:1
Combined (4)		14.7:1		14.7:1

Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)	$	614,783	$	401,273

Net risk in force (2)	$	5,796,070	$	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 September 30, 2017, December 31, 2016 and September 30, 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 September 30, 2017, December 31, 2016 and September 30, 2016 in accordance with Regulation G:


(In thousands, except per share amounts)	September 30, 2017		December 31, 2016			September 30, 2016

Numerator:
Total Stockholders' Equity (Book Value)	$	1,780,570	$	1,343,773		$	1,310,215

Subtract: Accumulated Other Comprehensive Income (Loss)		3,043		(12,255	)		21,954

Adjusted Book Value	$	1,777,527	$	1,356,028		$	1,288,261

Denominator:
Total Common Shares Outstanding		98,423		93,105			93,102

Add: Restricted Share Units Outstanding		553		493			488

Total Common Shares and Share Units Outstanding		98,976		93,598			93,590

Adjusted Book Value per Share	$	17.96	$	14.49		$	13.76

View source version on businesswire.com: http://www.businesswire.com/news/home/20171109005249/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