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Essent Group Ltd. Reports First Quarter 2015 Results

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Essent Group Ltd. (NYSE:ESNT) today reported net income for the quarter ended March 31, 2015 of $34.8 million or $0.38 per diluted share, compared to $15.0 million or $0.18 per diluted share for the quarter ended March 31, 2014. As of March 31, 2015, Essent had primary insurance in force of $53.3 billion and consolidated stockholders’ equity of $996.0 million.

“Our strong results reflect our continued execution on building a high credit quality and profitable mortgage insurance portfolio,” said Mark Casale, Chairman and Chief Executive Officer. “Our outlook for the private mortgage insurance sector remains positive. Essent continues to be well positioned and we are optimistic about the future of our franchise.”

Financial Highlights:

  • Insurance in force as of March 31, 2015 was $53.3 billion, compared to $50.8 billion as of December 31, 2014 and $34.8 billion as of March 31, 2014.
  • New insurance written for the first quarter was $5.3 billion, compared to $6.5 billion in the fourth quarter of 2014 and $3.6 billion in the first quarter of 2014.
  • Net premiums earned for the first quarter were $75.0 million, compared to $67.8 million in the fourth quarter of 2014 and $44.8 million in the first quarter of 2014.
  • The expense ratio for the first quarter was 36.6%, compared to 37.8% in the fourth quarter of 2014 and 52.4% in the first quarter of 2014.
  • The provision for losses and LAE for the first quarter was $2.0 million, compared to $3.0 million in the fourth quarter of 2014 and $0.9 million in the first quarter of 2014.
  • The percentage of loans in default as of March 31, 2015 was 0.21%, compared to 0.20% as of December 31, 2014 and 0.12% as of March 31, 2014.
  • The combined ratio for the first quarter was 39.3%, compared to 42.3% in the fourth quarter of 2014 and 54.4% in the first quarter of 2014.
  • The consolidated balance of cash and investments at March 31, 2015 was $1.1 billion, including cash and investment balances at Essent Group Ltd. of $123.6 million.
  • The combined risk to capital ratio of the US mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 15.8:1 as of March 31, 2015.
  • Essent Reinsurance Ltd. participated in Freddie Mac’s Agency Credit Insurance Structure (“ACIS”) 2015-2 and 2015-3 transactions and insured a total of $20.7 million of risk that Freddie Mac had retained as part of its STACR 2014-DN3 and STACR 2014-DN4 transactions.

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 877-201-0168 inside the U.S., or 647-788-4901 for international callers, using passcode 23672839 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 23672839.

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,” “plan,” “seek,” “comfortable with,” “will,” “expect,” “intend,” “estimate,” “anticipate,” “believe” or “continue” 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; 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, 2014 filed with the Securities and Exchange Commission on February 27, 2015. 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 which, through its wholly-owned subsidiary Essent Guaranty, Inc., (collectively, “Essent”) 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 and rated BBB+ by Standard & Poor’s and Baa2 by Moody’s, 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 and reinsurance through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Additional information regarding Essent may be found at www.essentgroup.com.

Source: Essent Group Ltd.

Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended March 31, 2015
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 March 31,

(In thousands, except per share amounts)

2015 2014
Revenues:
Net premiums written $ 82,257 $ 52,192
Increase in unearned premiums (7,219 ) (7,442 )
Net premiums earned 75,038 44,750
Net investment income 4,280 1,898
Realized investment gains, net 649 400
Other income 44 773
Total revenues 80,011 47,821
Losses and expenses:
Provision for losses and LAE 1,999 902
Other underwriting and operating expenses 27,498 23,459
Total losses and expenses 29,497 24,361
Income before income taxes 50,514 23,460
Income tax expense 15,676 8,454
Net income $ 34,838 $ 15,006
Earnings per share:
Basic $ 0.39 $ 0.18
Diluted 0.38 0.18
Weighted average shares outstanding:
Basic 90,185 82,864
Diluted 91,514 84,696
Net income $ 34,838 $ 15,006
Other comprehensive income:
Change in unrealized appreciation of investments 4,889 479
Total other comprehensive income 4,889 479
Comprehensive income $ 39,727 $ 15,485
Loss ratio 2.7 % 2.0 %
Expense ratio 36.6 % 52.4 %
Combined ratio 39.3 % 54.4 %
Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
March 31, December 31,

(In thousands, except per share amounts)

2015 2014
Assets
Investments available for sale, at fair value
Fixed maturities $ 1,008,309 $ 846,925
Short-term investments 111,922 210,688
Total investments 1,120,231 1,057,613
Cash 21,902 24,411
Accrued investment income 6,240 5,748
Accounts receivable 15,763 15,810
Deferred policy acquisition costs 9,852 9,597

Property and equipment (at cost, less accumulated depreciation of $39,994 in 2015 and $39,260 in 2014)

8,073 5,841
Prepaid federal income tax 63,673 59,673
Other assets 4,352 2,768
Total assets $ 1,250,086 $ 1,181,461
Liabilities and Stockholders’ Equity
Liabilities
Reserve for losses and LAE $ 10,065 $ 8,427
Unearned premium reserve 164,167 156,948
Accrued payroll and bonuses 5,464 14,585
Net deferred tax liability 53,482 37,092
Other accrued liabilities 20,891 8,671
Total liabilities 254,069 225,723
Commitments and contingencies
Stockholders’ Equity
Common shares, $0.015 par value:
Authorized – 233,333; issued – 92,574 shares in 2015 and 92,546 shares in 2014 1,389 1,388
Additional paid-in capital 893,836 893,285
Accumulated other comprehensive income 9,556 4,667
Retained earnings 91,236 56,398
Total stockholders’ equity 996,017 955,738
Total liabilities and stockholders’ equity $ 1,250,086 $ 1,181,461

Exhibit C

Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2015 2014
Selected Income Statement Data March 31 December 31 September 30 June 30 March 31

(In thousands, except per share amounts)

Revenues:
Net premiums written $ 82,257 $ 83,219 $ 77,862 $ 63,505 $ 52,192
Net premiums earned 75,038 67,814 60,323 50,342 44,750
Other revenues 4,973 4,928 4,298 3,941 3,071
Total revenues 80,011 72,742 64,621 54,283 47,821
Losses and expenses:
Provision for losses and LAE 1,999 3,049 1,391 966 902
Other underwriting and operating expenses 27,498 25,656 24,469 23,648 23,459
Total losses and expenses 29,497 28,705 25,860 24,614 24,361
Income before income taxes 50,514 44,037 38,761 29,669 23,460
Income tax expense 15,676 15,171 13,691 10,114 8,454
Net income $ 34,838 $ 28,866 $ 25,070 $ 19,555 $ 15,006
Earnings per share:
Basic $ 0.39 $ 0.34 $ 0.30 $ 0.23 $ 0.18
Diluted $ 0.38 $ 0.33 $ 0.29 $ 0.23 $ 0.18
Weighted average shares outstanding:
Basic 90,185 86,134 83,640 83,276 82,864
Diluted 91,514 87,950 85,028 84,706 84,696
Other Data:
Loss ratio (1) 2.7 % 4.5 % 2.3 % 1.9 % 2.0 %
Expense ratio (2) 36.6 % 37.8 % 40.6 % 47.0 % 52.4 %
Combined ratio 39.3 % 42.3 % 42.9 % 48.9 % 54.4 %

(1)

Loss ratio is calculated by dividing the provision for loss and loss adjustment expenses by net premiums earned.

(2)

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
2015 2014
Other Data, continued: March 31 December 31 September 30 June 30 March 31

($ in thousands)

Flow:
New insurance written $ 5,346,820 $ 6,204,821 $ 7,283,169 $ 5,874,334 $ 3,630,573
New risk written 1,302,710 1,523,527 1,802,408 1,477,547 907,257
Bulk:
New insurance written $ $ 300,008 $ 1,506,529 $ $
New risk written 35,007 30,131
Consolidated:
Average premium rate (3) 0.58 % 0.56 % 0.55 % 0.54 % 0.54 %
New insurance written $ 5,346,820 $ 6,504,829 $ 8,789,698 $ 5,874,334 $ 3,630,573
New risk written $ 1,302,710 $ 1,558,534 $ 1,832,539 $ 1,477,547 $ 907,257
Insurance in force (end of period) $ 53,253,632 $ 50,762,594 $ 46,428,526 $ 39,379,879 $ 34,778,057
Risk in Force (end of period) $ 12,891,462 $ 12,227,270 $ 11,152,497 $ 9,700,549 $ 8,493,862
Policies in force 242,477 229,721 209,841 175,773 154,451
Weighted-average coverage (4) 24.2 % 24.1 % 24.0 % 24.6 % 24.4 %
Annual persistency 82.8 % 86.4 % 88.5 % 89.1 % 87.9 %
Loans in default (count) 505 457 312 235 192
Percentage of loans in default 0.21 % 0.20 % 0.15 % 0.13 % 0.12 %

(3)

Average premium rate is calculated by dividing net premium earned by average insurance in force for the period.

(4)

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

Exhibit D
Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow
NIW by Credit Score
Three Months Ended
March 31, 2015 December 31, 2014 March 31, 2014

($ in thousands)

>=760 $ 2,346,791 43.9 % $ 2,618,070 42.2 % $ 1,614,436 44.5 %

740-759

894,376 16.7 1,017,384 16.4 636,859 17.5

720-739

779,412 14.6 868,254 14.0 536,471 14.8

700-719

539,076 10.1 692,036 11.2 375,500 10.3

680-699

452,446 8.5 576,830 9.3 315,267 8.7
<=679 334,719 6.2 432,247 6.9 152,040 4.2
Total $ 5,346,820 100.0 % $ 6,204,821 100.0 % $ 3,630,573 100.0 %
Weighted-average credit score 747 745 749
NIW by LTV
Three Months Ended
March 31, 2015 December 31, 2014 March 31, 2014

($ in thousands)

85.00% and below $ 809,238 15.1 % $ 931,067 15.0 % $ 435,733 12.0 %
85.01% to 90.00% 1,818,771 34.0 2,057,770 33.2 1,240,528 34.2
90.01% to 95.00% 2,633,051 49.3 3,176,124 51.2 1,925,763 53.0
95.01% and above 85,760 1.6 39,860 0.6 28,549 0.8
$ 5,346,820 100.0 % $ 6,204,821 100.0 % $ 3,630,573 100.0 %
Weighted-average LTV 91 % 91 % 92 %
NIW by Product
Three Months Ended
March 31, 2015 December 31, 2014 March 31, 2014
Single Premium policies 23.7 % 22.8 % 18.2 %
Monthly Premium policies 76.3 77.2 81.8
100.0 % 100.0 % 100.0 %
NIW by Purchase vs. Refinance
Three Months Ended
March 31, 2015 December 31, 2014 March 31, 2014
Purchase 69.3 % 77.7 % 84.9 %
Refinance 30.7 22.3 15.1
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
March 31, 2015 December 31, 2014 March 31, 2014

($ in thousands)

>=760 $ $ 203,901 68.0 % $

740-759

51,590 17.2

720-739

34,077 11.4

700-719

10,440 3.4

680-699

<=679
Total $ $ 300,008 100.0 % $
Weighted-average credit score N/A 771 N/A
NIW by LTV
Three Months Ended
March 31, 2015 December 31, 2014 March 31, 2014

($ in thousands)

85.00% and below $ $ 10,706 3.6 % $
85.01% to 90.00% 151,608 50.5
90.01% to 95.00% 137,694 45.9
95.01% and above
$ $ 300,008 100.0 % $
Weighted-average LTV N/A 91 % N/A
NIW by Product
Three Months Ended
March 31, 2015 December 31, 2014 March 31, 2014
Single Premium policies 100.0 %
Monthly Premium policies
100.0 %
NIW by Purchase vs. Refinance
Three Months Ended
March 31, 2015 December 31, 2014 March 31, 2014
Purchase 90.0 %
Refinance 10.0
100.0 %
Exhibit E
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance in Force and Risk in Force: Consolidated
Portfolio by Credit Score
Total IIF by FICO score March 31, 2015 December 31, 2014 March 31, 2014

($ in thousands)

>=760 $ 25,345,630 47.6 % $ 24,546,571 48.4 % $ 18,212,476 52.3 %

740-759

9,204,965 17.3 8,804,454 17.3 6,218,225 17.9

720-739

7,613,387 14.3 7,185,175 14.2 4,804,322 13.8

700-719

5,143,705 9.6 4,849,412 9.6 2,955,696 8.5

680-699

3,842,342 7.2 3,540,811 7.0 1,940,162 5.6
<=679 2,103,603 4.0 1,836,171 3.5 647,176 1.9
Total $ 53,253,632 100.0 % $ 50,762,594 100.0 % $ 34,778,057 100.0 %
Weighted-average credit score 752 753 757
Total RIF by FICO score March 31, 2015 December 31, 2014 March 31, 2014

($ in thousands)

>=760 $ 6,112,309 47.4 % $ 5,900,373 48.3 % $ 4,403,362 51.9 %

740-759

2,244,474 17.4 2,135,891 17.4 1,527,784 18.0

720-739

1,865,939 14.5 1,750,232 14.3 1,192,630 14.0

700-719

1,224,580 9.5 1,145,431 9.4 717,501 8.4

680-699

939,792 7.3 859,436 7.0 488,405 5.8
<=679 504,368 3.9 435,907 3.6 164,180 1.9
Total $ 12,891,462 100.0 % $ 12,227,270 100.0 % $ 8,493,862 100.0 %
Portfolio by LTV
Total IIF by LTV March 31, 2015 December 31, 2014 March 31, 2014

($ in thousands)

85.00% and below $ 6,382,552 12.0 % $ 6,100,274 12.0 % $ 4,540,795 13.1 %
85.01% to 90.00% 18,422,873 34.6 17,719,816 34.9 13,054,922 37.5
90.01% to 95.00% 27,288,976 51.2 25,832,106 50.9 16,748,932 48.2
95.01% and above 1,159,231 2.2 1,110,398 2.2 433,408 1.2
$ 53,253,632 100.0 % $ 50,762,594 100.0 % $ 34,778,057 100.0 %
Weighted-average LTV 92 % 92 % 91 %
Total RIF by LTV March 31, 2015 December 31, 2014 March 31, 2014

($ in thousands)

85.00% and below $ 716,057 5.6 % $ 681,908 5.6 % $ 503,315 5.9 %
85.01% to 90.00% 4,350,761 33.7 4,174,743 34.1 3,074,541 36.2
90.01% to 95.00% 7,644,265 59.3 7,203,270 58.9 4,770,413 56.2
95.01% and above 180,379 1.4 167,349 1.4 145,593 1.7
$ 12,891,462 100.0 % $ 12,227,270 100.0 % $ 8,493,862 100.0 %
Portfolio by Loan Amortization Period
Total IIF by Loan Amortization Period March 31, 2015 December 31, 2014 March 31, 2014

($ in thousands)

FRM 30 years and higher $ 46,922,016 88.1 % $ 44,503,607 87.7 % $ 29,906,738 85.9 %
FRM 20-25 years 1,336,976 2.5 1,273,086 2.5 1,105,372 3.2
FRM 15 years 2,619,532 4.9 2,637,970 5.2 2,383,315 6.9
ARM 5 years and higher 2,375,108 4.5 2,347,931 4.6 1,382,632 4.0
Total $ 53,253,632 100.0 % $ 50,762,594 100.0 % $ 34,778,057 100.0 %
Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force

($ in thousands)

March 31, 2015 December 31, 2014 March 31, 2014
ACIS (A) $ 63,533 $ 43,733 $

(A)

Essent Reinsurance Ltd. provides insurance or reinsurance in connection with Freddie Mac’s Agency Credit Insurance Structure (“ACIS”) program, and covers the risk in force on the loans in the reference pools associated with STACR notes issued by Freddie Mac.

Exhibit G
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data: Consolidated
Original Remaining
Insurance Insurance % Remaining of Insurance in Force as of March 31, 2015
Origination year Written

($ in thousands)

in Force

($ in thousands)

Original

Insurance

% Purchase >90% LTV >95% LTV FICO < 700 FICO >= 760 % FRM
2010 $ 245,898 $ 71,538 29.1 % 73.6 % 39.0 % 0.0 % 2.9 % 62.2 % 97.9 %
2011 3,229,720 1,183,725 36.7 72.9 40.5 0.2 4.5 57.1 93.7
2012 11,241,161 7,189,946 64.0 70.5 49.6 0.5 5.2 55.8 96.9
2013 21,152,638 16,775,870 79.3 74.8 52.6 1.8 7.8 51.2 96.5
2014 24,799,434 22,714,231 91.6 84.0 56.6 3.3 15.1 42.6 94.1
2015 (through March 31) 5,346,820 5,318,322 99.5 69.3 50.9 1.6 14.7 43.8 97.2
Total $ 66,015,671 $ 53,253,632

80.7

77.5 53.4 2.2 11.2 47.6 95.5
Exhibit H
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data: Consolidated
IIF by State
As of March 31, 2015 As of December 31, 2014 As of March 31, 2014
CA 10.0 % 10.2 % 11.2 %
TX 8.4 8.3 8.3
FL 5.6 5.3 4.9
WA 4.5 4.3 3.7
NC 4.0 4.0 4.3
IL 3.9 3.9 3.9
MA 3.7 3.9 2.7
PA 3.4 3.4 3.5
NJ 3.4 3.4 3.7
GA 3.3 3.3 3.5
All Others 49.8 50.0 50.3
TOTAL 100.0 % 100.0 % 100.0 %
RIF by State
As of March 31, 2015 As of December 31, 2014 As of March 31, 2014
CA 9.6 % 9.8 % 10.6 %
TX 8.6 8.5 8.1
FL 5.9 5.6 5.0
WA 4.6 4.4 3.8
NC 4.2 4.2 4.4
IL 4.0 4.0 3.9
GA 3.5 3.5 3.7
NJ 3.4 3.4 3.6
AZ 3.2 3.2 3.3
PA 3.2 3.2 3.5
All Others 49.8 50.2 50.1
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
March 31, December 31, March 31,
2015 2014 2014
Beginning default inventory 457 312 159
Plus: new defaults 381 349 167
Less: cures (320 ) (196 ) (128 )
Less: claims paid (13 ) (8 ) (6 )
Ending default inventory 505 457 192
Rollforward of Reserve for Losses and LAE
Three Months Ended
March 31, December 31, March 31,

($ in thousands)

2015 2014 2014
Reserve for losses and LAE at beginning of period $ 8,427 $ 5,682 $ 3,070
Add provision for losses and LAE occurring in:
Current year 2,705 2,923 1,286
Prior years (706 ) 126 (384 )
Incurred losses during the period 1,999 3,049 902
Deduct payments for losses and LAE occurring in:
Current year 137
Prior years 361 167 168
Loss and LAE payments during the period 361 304 168
Reserve for losses and LAE at end of period $ 10,065 $ 8,427 $ 3,804
Claims
Three Months Ended
March 31, December 31, March 31,
2015 2014 2014
Number of claims paid 13 8 6
Total amount paid for claims (in thousands) $ 349 $ 292 $ 159
Average amount paid per claim (in thousands) $ 27 $ 37 $ 27
Severity 72 % 98 % 84 %
Exhibit I, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Defaults, Reserve for Losses and LAE, and Claims
As of March 31, 2015

Number of
Policies in
Default

Percentage of
Policies in
Default

Amount of
Reserves

Percentage of
Reserves

Defaulted RIF

Reserves as a
Percentage of RIF

($ in thousands)

Missed Payments:
Three payments or less 230 46 % $ 2,246 24 % $ 12,782 18 %
Four to eleven payments 216 43 5,045 55 11,195 45
Twelve or more payments 52 10 1,658 18 2,241 74
Pending claims 7 1 261 3 257 102
TOTAL 505 100 % 9,210 100 % $ 26,475 35
IBNR 691
LAE 164
TOTAL $ 10,065
Average reserve per default:
Case $ 18.2
Total $ 19.9
Default Rate 0.21 %
As of December 31, 2014

Number of
Policies in
Default

Percentage of
Policies in
Default

Amount of
Reserves

Percentage of
Reserves

Defaulted RIF

Reserves as a
Percentage of RIF

($ in thousands)

Missed Payments:
Three payments or less 247 54 % $ 2,381 31 % $ 13,059 18 %
Four to eleven payments 167 37 3,748 49 8,132 46
Twelve or more payments 34 7 1,147 15 1,510 76
Pending claims 9 2 424 5 419 101
TOTAL 457 100 % 7,700 100 % $ 23,120 33
IBNR 578
LAE 149
TOTAL $ 8,427
Average reserve per default:
Case $ 16.8
Total $ 18.4
Default Rate 0.20 %
As of March 31, 2014

Number of
Policies in
Default

Percentage of
Policies in
Default

Amount of
Reserves

Percentage of
Reserves

Defaulted RIF

Reserves as a
Percentage of RIF

($ in thousands)

Missed Payments:
Three payments or less 95 49 % $ 936 27 % $ 4,309 22 %
Four to eleven payments 76 40 1,636 47 3,406 48
Twelve or more payments 15 8 561 16 867 65
Pending claims 6 3 348 10 360 97
TOTAL 192 100 %

3,481 100 % $ 8,942 39
IBNR 261
LAE 62
TOTAL $ 3,804
Average reserve per default:
Case $ 18.1
Total $ 19.8
Default Rate 0.12 %
Exhibit J
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investment Portfolio
Investment Portfolio by Asset Class
Asset Class March 31, 2015 December 31, 2014

($ in thousands)

Fair Value Percent Fair Value Percent
U.S. Treasury securities $ 126,093 11.2 % $ 74,216 7.0 %
U.S. agency securities 3,208 0.3 4,520 0.4
U.S. agency mortgage-backed securities 85,958 7.7 83,540 7.9
Municipal debt securities 246,271 22.0 195,546 18.5
Corporate debt securities 345,081 30.8 296,829 28.1
Mortgage-backed securities 64,159 5.7 66,086 6.3
Asset-backed securities 137,539 12.3 126,188 11.9
Money market funds 111,922 10.0 210,688 19.9
Total Investments $ 1,120,231 100.0 % $ 1,057,613 100.0 %
Investment Portfolio by Credit Rating
Rating (1) March 31, 2015 December 31, 2014

($ in thousands)

Fair Value Percent Fair Value Percent
Aaa $ 518,358 46.3 % $ 545,807 51.6 %
Aa1 46,102 4.1 47,792 4.5
Aa2 73,769 6.6 51,958 4.9
Aa3 67,658 6.0 48,261 4.6
A1 91,362 8.2 74,161 7.0
A2 86,326 7.7 67,413 6.4
A3 78,110 7.0 71,964 6.8
Baa1 65,536 5.8 60,399 5.7
Baa2 83,382 7.4 79,727 7.5
Baa3 9,628 0.9 10,131 1.0
Below Baa3
Total Investments $ 1,120,231 100.0 % $ 1,057,613 100.0 %
(1) Based on ratings issued by Moody’s, if available. S&P rating utilized if Moody’s not available.
Portfolio by Duration and Book Yield
Effective Duration March 31, 2015 December 31, 2014

($ in thousands)

Fair Value Percent Fair Value Percent
< 1 Year $ 267,998 23.9 % $ 332,399 31.4 %
1 to < 2 Years 138,388 12.4 85,971 8.1
2 to < 3 Years 168,187 15.0 167,504 15.8
3 to < 4 Years 136,313 12.2 106,432 10.1
4 to < 5 Years 59,834 5.3 80,300 7.6
5 or more Years 349,511 31.2 285,007 27.0
Total Investments $ 1,120,231 100.0 % $ 1,057,613 100.0 %
Pre-tax investment income yield:
Three months ended March 31, 2015 1.70 %
Net cash and investments at holding company, Essent Group Ltd. ($ in thousands):
As of March 31, 2015 $ 123,572
As of December 31, 2014 $ 126,327
Exhibit K
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
As of
March 31, 2015 December 31, 2014

($ in thousands)

US Mortgage Insurance Business:
Combined statutory capital (A) $ 747,924 $ 705,890
Combined net risk in force (B) $ 11,798,777 $ 11,426,748
Risk to capital ratios: (C)
Essent Guaranty, Inc. 16.1:1 16.4:1
Essent Guaranty of PA, Inc. 13.1:1 14.6:1
Combined (D) 15.8:1 16.2:1
Essent Reinsurance Ltd. Mortgage Insurance Business:
Stockholder’s equity (GAAP basis) $ 159,021 $ 155,123
Net risk in force (B) $ 1,146,317 $ 835,976
(A) 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.
(B) 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.
(C) The risk to capital ratio is calculated as the ratio of net risk in force to statutory capital.
(D) 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 March 31, 2015 and December 31, 2014, 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, 2015 and December 31, 2014 in accordance with Regulation G:

(In thousands, except per share amounts)

March 31, 2015 December 31, 2014
Numerator:
Total Stockholders’ Equity (Book Value) $ 996,017 $ 955,738
Subtract: Accumulated Other Comprehensive Income 9,556 4,667
Adjusted Book Value $ 986,461 $ 951,071
Denominator:
Total Common Shares Outstanding 92,574 92,546
Add: Restricted Share Units Outstanding 548 664
Total Common Shares and Share Units Outstanding 93,122 93,210
Adjusted Book Value per Share $ 10.59 $ 10.20

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