Essent Group Ltd. Announces Third Quarter 2021 Results & Increases Quarterly Dividend

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Essent Group Ltd. Announces Third Quarter 2021 Results & Increases Quarterly Dividend

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November 5, 2021 6:30 AM

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2021 of $205.4 million or $1.84 per diluted share, compared to $124.5 million or $1.11 per diluted share for the quarter ended September 30, 2020.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.19 per common share. The dividend is payable on December 10, 2021, to shareholders of record on December 1, 2021.

“We are pleased with our strong financial results which continue to reflect a positive operating environment and ongoing strength in credit performance,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results for the quarter demonstrate the benefits of our economic engine in generating high quality earnings, strong returns and excess capital. In connection with our performance, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.19 per share.”

Third Quarter 2021 Financial Highlights:

Insurance in force as of September 30, 2021 was $208.2 billion, compared to $203.6 billion as of June 30, 2021 and $190.8 billion as of September 30, 2020.
New insurance written for the third quarter was $23.6 billion, compared to $25.0 billion in the second quarter of 2021 and $36.7 billion in the third quarter of 2020.
Net premiums earned for the third quarter were $218.7 million, compared to $217.4 million in the second quarter of 2021 and $222.3 million in the third quarter of 2020.
Income from other invested assets for the third quarter included $39.5 million, or $0.28 per diluted share on an after-tax basis, pertaining to net unrealized gains associated with strategic investments in limited partnerships. Of this amount, $21.1 million represents net unrealized gains that were accumulated in other comprehensive income at June 30, 2021 and prior periods.
The expense ratio for the third quarter was 19.3%, compared to 18.9% in the second quarter of 2021 and 16.7% in the third quarter of 2020.
The provision for losses and LAE for the third quarter was a benefit of $7.5 million, compared to a provision of $9.7 million in the second quarter of 2021 and a provision of $55.3 million in the third quarter of 2020.
The percentage of loans in default as of September 30, 2021 was 2.47%, compared to 2.96% as of June 30, 2021 and 4.54% as of September 30, 2020.
The combined ratio for the third quarter was 15.9%, compared to 23.3% in the second quarter of 2021 and 41.6% in the third quarter of 2020.
The consolidated balance of cash and investments at September 30, 2021 was $5.1 billion, which includes net cash and investments available for sale at Essent Group Ltd. and Essent US Holdings, Inc. of $513.0 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 10.5:1 as of September 30, 2021.
On September 24, 2021, A.M. Best affirmed its “A (Excellent)” financial strength rating of Essent Guaranty, Inc. and a long-term issuer credit rating of "a" of the operating subsidiaries of Essent Group Ltd. Essent Guaranty, Inc. also has financial strength ratings of “A3” by Moody’s and “BBB+” by S&P.

Conference Call:

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. The call may also be accessed by dialing 888-510-2008 inside the U.S., or 646-960-0306 for international callers, using passcode 9824537 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the U.S., or 647-362-9199 for international callers, passcode 9824537.

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

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; deteriorating economic conditions; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2020 filed with the Securities and Exchange Commission on February 26, 2021, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

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

Source: Essent Group Ltd.



Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended September 30, 2021


Exhibit A		Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B		Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C		Historical Quarterly Data
Exhibit D		New Insurance Written
Exhibit E		Insurance in Force and Risk in Force
Exhibit F		Other Risk in Force
Exhibit G		Portfolio Vintage Data
Exhibit H		Reinsurance Vintage Data
Exhibit I		Portfolio Geographic Data
Exhibit J		Rollforward of Defaults and Reserve for Losses and LAE
Exhibit K		Detail of Reserves by Default Delinquency
Exhibit L		Investments Available for Sale
Exhibit M		Insurance Company Capital

										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)	2021			2020			2021			2020
Revenues:
Direct premiums written	$	229,228		$	243,390		$	693,434		$	677,414
Ceded premiums	(26,880		)	(21,167		)	(84,438		)	(57,544		)
Net premiums written	202,348			222,223			608,996			619,870
Decrease in unearned premiums	16,370			35			46,226			20,355
Net premiums earned	218,718			222,258			655,222			640,225
Net investment income	21,573			18,639			65,104			59,138
Realized investment gains, net	221			267			609			2,133
Income (loss) from other invested assets	40,741			(445		)	41,389			(217		)
Other income	2,283			2,319			9,270			6,676
Total revenues	283,536			243,038			771,594			707,955

Losses and expenses:
(Benefit) provision for losses and LAE	(7,483		)	55,280			34,490			239,220
Other underwriting and operating expenses	42,272			37,100			125,625			117,866
Interest expense	2,063			2,227			6,187			6,925
Total losses and expenses	36,852			94,607			166,302			364,011

Income before income taxes	246,684			148,431			605,292			343,944
Income tax expense	41,331			23,895			104,496			54,505
Net income	$	205,353		$	124,536		$	500,796		$	289,439


Earnings per share:
Basic	$	1.85		$	1.11		$	4.48		$	2.78
Diluted	1.84			1.11			4.47			2.77

Weighted average shares outstanding:
Basic	111,001			111,908			111,708			104,147
Diluted	111,387			112,134			112,070			104,383

Net income	$	205,353		$	124,536		$	500,796		$	289,439

Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments	(36,917		)	12,036			(59,760		)	76,247
Total other comprehensive (loss) income	(36,917		)	12,036			(59,760		)	76,247
Comprehensive income	$	168,436		$	136,572		$	441,036		$	365,686


Loss ratio	(3.4		%)	24.9		%	5.3		%	37.4		%
Expense ratio	19.3			16.7			19.2			18.4
Combined ratio	15.9		%	41.6		%	24.4		%	55.8		%

				Exhibit B

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


	September 30,			December 31,
(In thousands, except per share amounts)	2021			2020
*Assets*
Investments
Fixed maturities available for sale, at fair value	$	4,560,235		$	3,838,513
Short-term investments available for sale, at fair value	309,782			726,860
Total investments available for sale	4,870,017			4,565,373
Other invested assets	161,250			88,904
Total investments	5,031,267			4,654,277
Cash	65,825			102,830
Accrued investment income	24,642			19,948
Accounts receivable	47,760			50,140
Deferred policy acquisition costs	13,307			17,005
Property and equipment	12,485			15,095
Prepaid federal income tax	348,286			302,636
Other assets	45,944			40,793

Total assets	$	5,589,516		$	5,202,724

*Liabilities and Stockholders' Equity*
Liabilities
Reserve for losses and LAE	$	412,956		$	374,941
Unearned premium reserve	204,210			250,436
Net deferred tax liability	356,835			305,109
Credit facility borrowings, net of deferred costs	322,614			321,720
Other accrued liabilities	124,917			87,885
Total liabilities	1,421,532			1,340,091

Commitments and contingencies

Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 110,915 shares in 2021 and 112,423 shares in 2020	1,664			1,686
Additional paid-in capital	1,493,005			1,571,163
Accumulated other comprehensive income	78,514			138,274
Retained earnings	2,594,801			2,151,510
Total stockholders' equity	4,167,984			3,862,633

Total liabilities and stockholders' equity	$	5,589,516		$	5,202,724

Return on average equity (1)	16.6		%	12.1		%

(1) The 2021 return on average equity is calculated by dividing annualized year-to-date 2021 net income by average equity. The 2020 return on average equity is calculated by dividing full year 2020 net income by average equity.

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

	2021									2020
Selected Income Statement Data	September 30			June 30			March 31			December 31			September 30
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio	$	207,127		$	204,149		$	207,840		$	208,715		$	211,126
GSE and other risk share	11,591			13,288			11,227			13,624			11,132
Net premiums earned	218,718			217,437			219,067			222,339			222,258
Income (loss) from other invested assets (1)	40,741			122			526			2			(445		)
Other revenues (2)	24,077			25,702			25,204			24,858			21,225
Total revenues	283,536			243,261			244,797			247,199			243,038

Losses and expenses:
(Benefit) provision for losses and LAE	(7,483		)	9,651			32,322			62,073			55,280
Other underwriting and operating expenses	42,272			41,114			42,239			36,825			37,100
Interest expense	2,063			2,073			2,051			2,149			2,227
Total losses and expenses	36,852			52,838			76,612			101,047			94,607

Income before income taxes	246,684			190,423			168,185			146,152			148,431
Income tax expense (3)	41,331			30,628			32,537			22,550			23,895
Net income	$	205,353		$	159,795		$	135,648		$	123,602		$	124,536

Earnings per share:
Basic	$	1.85		$	1.43		$	1.21		$	1.10		$	1.11
Diluted	1.84			1.42			1.21			1.10			1.11

Weighted average shares outstanding:
Basic	111,001			112,118			112,016			111,908			111,908
Diluted	111,387			112,454			112,378			112,310			112,134

Book value per share	$	37.58		$	36.32		$	34.75		$	34.36		$	33.33
Return on average equity (annualized)	19.9		%	16.0		%	13.9		%	13.0		%	13.5		%

Other Data:
Loss ratio (4)	(3.4		%)	4.4		%	14.8		%	27.9		%	24.9		%
Expense ratio (5)	19.3			18.9			19.3			16.6			16.7
Combined ratio	15.9		%	23.3		%	34.0		%	44.5		%	41.6		%

Credit Facility
Borrowings outstanding	$	325,000		$	325,000		$	325,000		$	325,000		$	425,000
Undrawn committed capacity	$	300,000		$	300,000		$	300,000		$	300,000		$	75,000
Weighted average interest rate (end of period)	2.13		%	2.13		%	2.13		%	2.19		%	1.90		%
Debt-to-capital	7.23		%	7.37		%	7.65		%	7.76		%	10.19		%

(1) Income from other invested assets for the three months ended September 30, 2021 includes $39.5 million of net unrealized gains, which includes $21.1 million of net unrealized gains that were accumulated in other comprehensive income at June 30, 2021 and prior periods.
(2) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. For each of the three month periods noted, Other revenues include net favorable (unfavorable) changes in the fair value of these embedded derivatives as follows: September 30, 2021: ($1,493); June 30, 2021: $950; March 31, 2021: ($606); December 31, 2020: ($209); September 30, 2020: ($677).
(3) Income tax expense for the quarter ended September 30, 2021 includes $8,271 of discrete tax expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2021 includes $5,718 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability.
(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


	2021									2020
Other Data, continued:	September 30			June 30			March 31			December 31			September 30
($ in thousands)

U.S. Mortgage Insurance Portfolio
Flow:
New insurance written	$	23,579,884		$	25,004,854		$	19,254,014		$	29,566,820		$	36,664,583
New risk written	6,273,735			6,445,864			4,616,450			7,051,173			8,938,544

Bulk:
New insurance written	$	—		$	—		$	—		$	—		$	—
New risk written	—			—			—			—			—

Total:
New insurance written	$	23,579,884		$	25,004,854		$	19,254,014		$	29,566,820		$	36,664,583
New risk written	$	6,273,735		$	6,445,864		$	4,616,450		$	7,051,173		$	8,938,544

Average insurance in force	$	206,732,478		$	199,739,297		$	197,749,668		$	195,670,925		$	183,135,315
Insurance in force (end of period)	$	208,216,549		$	203,559,859		$	197,091,191		$	198,882,352		$	190,811,292
Gross risk in force (end of period) (6)	$	52,457,020		$	50,835,835		$	48,951,602		$	49,565,150		$	47,838,668
Risk in force (end of period)	$	45,074,159		$	42,906,519		$	41,135,978		$	41,339,262		$	41,219,216
Policies in force	798,877			794,743			785,382			799,893			781,836
Weighted average coverage (7)	25.2		%	25.0		%	24.8		%	24.9		%	25.1		%
Annual persistency	62.2		%	58.3		%	56.1		%	60.1		%	64.2		%

Loans in default (count)	19,721			23,504			29,080			31,469			35,464
Percentage of loans in default	2.47		%	2.96		%	3.70		%	3.93		%	4.54		%

U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (8)	0.42		%	0.43		%	0.44		%	0.44		%	0.45		%
Single premium cancellations (9)	0.03		%	0.03		%	0.04		%	0.05		%	0.06		%
Gross average premium rate	0.45		%	0.46		%	0.48		%	0.49		%	0.51		%
Ceded premiums	(0.05		%)	(0.05		%)	(0.06		%)	(0.06		%)	(0.05		%)
Net average premium rate	0.40		%	0.41		%	0.42		%	0.43		%	0.46		%

(6) Gross risk in force includes risk ceded under third-party reinsurance.
(7) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
(8) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
(9) Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.

																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, 2021					September 30, 2020					September 30, 2021					September 30, 2020
($ in thousands)
>=760	$	9,257,407		39.3	%	$	16,887,062		46.1	%	$	27,778,887		40.9	%	$	34,706,705		44.3	%
740-759	3,892,226			16.5		6,557,520			17.9		10,858,015			16.0		14,316,011			18.3
720-739	3,656,963			15.5		5,238,462			14.3		10,316,977			15.2		11,609,703			14.8
700-719	3,345,696			14.2		4,187,254			11.4		9,328,577			13.8		9,024,266			11.5
680-699	2,361,529			10.0		2,131,994			5.8		5,855,301			8.6		5,127,817			6.5
<=679	1,066,063			4.5		1,662,291			4.5		3,700,995			5.5		3,592,592			4.6
Total	$	23,579,884		100.0	%	$	36,664,583		100.0	%	$	67,838,752		100.0	%	$	78,377,094		100.0	%

Weighted average credit score	744					751					745					749


NIW by LTV
	Three Months Ended										Nine Months Ended
	September 30, 2021					September 30, 2020					September 30, 2021					September 30, 2020
($ in thousands)
85.00% and below	$	2,336,949		9.9	%	$	6,815,158		18.6	%	$	9,660,937		14.2	%	$	13,807,437		17.6	%
85.01% to 90.00%	5,860,301			24.9		11,324,610			30.9		19,192,675			28.3		24,391,509			31.1
90.01% to 95.00%	11,574,090			49.1		14,781,544			40.3		30,090,325			44.4		31,382,298			40.1
95.01% and above	3,808,544			16.1		3,743,271			10.2		8,894,815			13.1		8,795,850			11.2
Total	$	23,579,884		100.0	%	$	36,664,583		100.0	%	$	67,838,752		100.0	%	$	78,377,094		100.0	%

Weighted average LTV	93		%			91		%			92		%			91		%


NIW by Product
	Three Months Ended										Nine Months Ended
	September 30, 2021					September 30, 2020					September 30, 2021					September 30, 2020
Single Premium policies				2.5	%				8.6	%				4.1	%				9.5	%
Monthly Premium policies				97.5					91.4					95.9					90.5
				100.0	%				100.0	%				100.0	%				100.0	%


NIW by Purchase vs. Refinance
	Three Months Ended										Nine Months Ended
	September 30, 2021					September 30, 2020					September 30, 2021					September 30, 2020
Purchase				90.9	%				61.1	%				79.6	%				60.0	%
Refinance				9.1					38.9					20.4					40.0
				100.0	%				100.0	%				100.0	%				100.0	%

														Exhibit E

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


Portfolio by Credit Score
IIF by FICO score	September 30, 2021					June 30, 2021					September 30, 2020
($ in thousands)
>=760	$	85,833,588		41.2	%	$	84,110,514		41.3	%	$	78,923,142		41.4	%
740-759	35,234,863			16.9		34,636,115			17.0		33,229,396			17.4
720-739	31,291,415			15.1		30,471,320			15.0		28,496,228			15.0
700-719	26,136,910			12.6		25,177,026			12.4		22,748,385			11.9
680-699	16,758,439			8.0		15,962,389			7.8		15,302,772			8.0
<=679	12,961,334			6.2		13,202,495			6.5		12,111,369			6.3
Total	$	208,216,549		100.0	%	$	203,559,859		100.0	%	$	190,811,292		100.0	%

Weighted average credit score	745					745					745

Gross RIF by FICO score	September 30, 2021					June 30, 2021					September 30, 2020
($ in thousands)
>=760	$	21,414,607		40.8	%	$	20,807,006		40.9	%	$	19,606,502		41.0	%
740-759	8,958,297			17.1		8,729,038			17.2		8,395,009			17.5
720-739	8,020,171			15.3		7,745,794			15.2		7,251,499			15.2
700-719	6,652,117			12.7		6,342,378			12.5		5,738,412			12.0
680-699	4,250,044			8.1		3,998,410			7.9		3,853,734			8.0
<=679	3,161,784			6.0		3,213,209			6.3		2,993,512			6.3
Total	$	52,457,020		100.0	%	$	50,835,835		100.0	%	$	47,838,668		100.0	%

Portfolio by LTV
IIF by LTV	September 30, 2021					June 30, 2021					September 30, 2020
($ in thousands)
85.00% and below	$	28,452,535		13.7	%	$	29,045,720		14.3	%	$	23,979,065		12.6	%
85.01% to 90.00%	60,257,704			28.9		60,027,287			29.5		55,453,633			29.1
90.01% to 95.00%	90,957,363			43.7		87,382,625			42.9		84,573,433			44.3
95.01% and above	28,548,947			13.7		27,104,227			13.3		26,805,161			14.0
Total	$	208,216,549		100.0	%	$	203,559,859		100.0	%	$	190,811,292		100.0	%

Weighted average LTV	92		%			92		%			92		%

Gross RIF by LTV	September 30, 2021					June 30, 2021					September 30, 2020
($ in thousands)
85.00% and below	$	3,311,106		6.3	%	$	3,360,970		6.6	%	$	2,759,320		5.8	%
85.01% to 90.00%	14,506,577			27.7		14,421,749			28.4		13,307,205			27.8
90.01% to 95.00%	26,410,513			50.3		25,329,870			49.8		24,391,376			51.0
95.01% and above	8,228,824			15.7		7,723,246			15.2		7,380,767			15.4
Total	$	52,457,020		100.0	%	$	50,835,835		100.0	%	$	47,838,668		100.0	%

Portfolio by Loan Amortization Period
IIF by Loan Amortization Period	September 30, 2021					June 30, 2021					September 30, 2020
($ in thousands)
FRM 30 years and higher	$	198,392,156		95.3	%	$	192,995,698		94.8	%	$	180,135,430		94.4	%
FRM 20-25 years	3,974,602			1.9		4,269,217			2.1		3,945,019			2.1
FRM 15 years	4,419,750			2.1		4,742,281			2.3		4,417,092			2.3
ARM 5 years and higher	1,430,041			0.7		1,552,663			0.8		2,313,751			1.2
Total	$	208,216,549		100.0	%	$	203,559,859		100.0	%	$	190,811,292		100.0	%

													Exhibit F

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

	2021									2020
($ in thousands)	September 30			June 30			March 31			December 31			September 30
GSE and other risk share (1):
Risk in Force	$	1,568,800		$	1,496,247		$	1,534,174		$	1,416,719		$	1,216,353
Reserve for losses and LAE	$	1,389		$	1,390		$	1,312		$	1,073		$	718

Weighted average credit score	748			747			747			746			747
Weighted average LTV	84		%	84		%	84		%	84		%	84		%

(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.

																							Exhibit G

Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
September 30, 2021


								Insurance in Force
Year	Original Insurance Written ($ in thousands)		Remaining Insurance in Force ($ in thousands)		% Remaining of Original Insurance		Number of Policies in Force	Weighted Average Coupon		% Purchase		>90% LTV		>95% LTV		FICO < 700		FICO >= 760		Incurred Loss Ratio (Inception to Date) (1)		Number of Loans in Default	Percentage of Loans in Default

2010 - 2014	$	60,668,851	$	3,679,908	6.1	%	22,495	4.31	%	81.4	%	70.8	%	4.9	%	15.0	%	42.5	%	3.3	%	1,124	5.00	%
2015	26,193,656		3,613,111		13.8		20,414	4.16		86.5		65.4		3.4		17.6		40.0		4.5		915	4.48
2016	34,949,319		7,191,077		20.6		38,011	3.86		87.8		64.7		8.7		15.2		43.9		5.5		1,665	4.38
2017	43,858,322		9,881,021		22.5		53,501	4.26		90.2		64.7		17.9		19.6		38.0		8.9		3,138	5.87
2018	47,508,525		11,062,279		23.3		57,104	4.77		93.6		66.6		23.2		20.7		33.8		14.5		3,863	6.76
2019	63,569,183		23,609,156		37.1		103,202	4.21		85.4		64.9		22.0		18.8		35.7		24.0		5,007	4.85
2020	107,944,065		83,556,296		77.4		297,734	3.19		62.2		51.3		11.2		11.4		44.4		16.3		3,563	1.20
2021 (through September 30)	67,838,752		65,623,701		96.7		206,416	3.05		80.0		57.9		13.4		14.1		40.6		7.6		446	0.22
Total	$	452,530,673	$	208,216,549	46.0		798,877	3.46		75.1		57.4		13.7		14.3		41.2		9.4		19,721	2.47

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

																											Exhibit H

Essent Group Ltd. and Subsidiaries
Supplemental Information
Reinsurance Vintage Data
September 30, 2021
($ in thousands)
Excess of Loss Reinsurance					Original Reinsurance in Force						Remaining Reinsurance in Force												Earned Premiums Ceded
Year	Remaining Insurance in Force		Remaining Risk in Force		ILN (1)		Other Reinsurance (2)		Total		ILN		Other Reinsurance		Total		Losses Ceded to Date		Original First Layer Retention		Remaining First Layer Retention		Quarter-to-Date		Year-to-Date		Reduction in PMIERs Minimum Required Assets (7)
2015 & 2016	$	10,456,730	$	2,819,155	$	333,844	$	—	$	333,844	$	216,480	$	—	$	216,480	$	—	$	208,111	$	207,228	$	1,212	$	3,631	$	—
2017	9,626,915		2,477,614		424,412		165,167		589,579		242,123		165,167		407,290		—		224,689		217,662		2,681		7,976		—
2018	10,872,992		2,769,084		473,184		118,650		591,834		325,537		76,144		401,681		—		253,643		249,595		3,221		9,604		—
2019 (3)	13,147,399		3,359,701		495,889		55,102		550,991		495,889		55,102		550,991		—		215,605		215,198		2,778		8,290		76,545
2019 & 2020 (4)	34,844,588		8,778,381		399,159		—		399,159		233,980		—		233,980		—		465,690		465,690		4,486		14,399		148,858
2020 & 2021 (5)	53,337,485		12,988,275		557,911		—		557,911		557,911		—		557,911		—		278,956		278,956		3,714		3,980		557,911
Total	$	132,286,109	$	33,192,210	$	2,684,399	$	338,919	$	3,023,318	$	2,071,920	$	296,413	$	2,368,333	$	—	$	1,646,694	$	1,634,329	$	18,092	$	47,880	$	783,314

Quota Share Reinsurance
										Losses Ceded				Ceding Commission				Earned Premiums Ceded
Year		Remaining Insurance in Force		Remaining Risk in Force		Remaining Ceded Insurance in Force		Remaining Ceded Risk in Force		Quarter-to-Date		Year-to-Date		Quarter-to-Date		Year-to-Date		Quarter-to-Date		Year-to-Date		Reduction in PMIERs Minimum Required Assets (7)
2019 & 2020	(6)	$	93,411,304	$	23,055,319	$	20,512,448	$	5,014,528	$	(307)	$	7,949	$	4,547	$	14,304	$	8,788	$	36,558	$	335,553

(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
(2) Reinsurance provided by panels of reinsurers.
(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.
(4) Reinsurance coverage on new insurance written from September 1, 2019 through July 31, 2020.
(5) Reinsurance coverage on new insurance written from August 1, 2020 through March 31, 2021.
(6) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.
(7) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.

					Exhibit I

Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data


IIF by State
	September 30, 2021		June 30, 2021		September 30, 2020
CA	13.1	%	12.9	%	11.2	%
TX	9.8		9.8		9.6
FL	9.5		9.3		8.5
CO	4.1		4.1		4.1
WA	3.7		3.7		3.9
IL	3.4		3.3		3.5
AZ	3.4		3.5		3.5
VA	3.1		3.1		3.2
NJ	3.1		3.1		3.4
GA	3.1		3.1		3.1
All Others	43.7		44.1		46.0
Total	100.0	%	100.0	%	100.0	%

Gross RIF by State
	September 30, 2021		June 30, 2021		September 30, 2020
CA	12.9	%	12.7	%	11.0	%
TX	10.1		10.1		9.9
FL	9.8		9.6		8.7
CO	4.1		4.1		4.0
WA	3.7		3.6		3.9
AZ	3.3		3.4		3.4
IL	3.3		3.2		3.4
GA	3.1		3.1		3.1
VA	3.1		3.0		3.1
NJ	3.0		3.0		3.3
All Others	43.6		44.2		46.2
Total	100.0	%	100.0	%	100.0	%

													Exhibit J

Essent Group Ltd. and Subsidiaries
Supplemental Information
Rollforward of Defaults and Reserve for Losses and LAE
U.S. Mortgage Insurance Portfolio

Rollforward of Insured Loans in Default
	Three Months Ended
	2021									2020
	September 30			June 30			March 31			December 31			September 30
Beginning default inventory	23,504			29,080			31,469			35,464			38,068
Plus: new defaults (A)	5,132			4,934			7,422			8,745			12,614
Less: cures	(8,862		)	(10,453		)	(9,737		)	(12,679		)	(15,135		)
Less: claims paid	(41		)	(46		)	(61		)	(49		)	(67		)
Less: rescissions and denials, net	(12		)	(11		)	(13		)	(12		)	(16		)
Ending default inventory	19,721			23,504			29,080			31,469			35,464

(A) New defaults remaining as of September 30, 2021	3,820			2,230			2,396			2,250			2,360
Cure rate (1)	26		%	55		%	68		%	74		%	81		%

Total amount paid for claims (in thousands)	$	1,069		$	1,154		$	1,989		$	1,922		$	2,557
Average amount paid per claim (in thousands)	$	26		$	25		$	33		$	39		$	38
Severity	60		%	57		%	70		%	62		%	77		%

Rollforward of Reserve for Losses and LAE
	Three Months Ended
	2021									2020
($ in thousands)	September 30			June 30			March 31			December 31			September 30
Reserve for losses and LAE at beginning of period	$	420,482		$	409,811		$	373,868		$	307,019		$	250,862
Less: Reinsurance recoverables	27,286			24,907			19,061			11,898			7,761
Net reserve for losses and LAE at beginning of period	393,196			384,904			354,807			295,121			243,101
Add provision for losses and LAE occurring in:
Current period	11,371			24,534			47,763			63,597			55,660
Prior years	(18,853		)	(14,961		)	(15,680		)	(1,879		)	(1,070		)
Incurred losses and LAE during the period	(7,482		)	9,573			32,083			61,718			54,590
Deduct payments for losses and LAE occurring in:
Current period	103			14			114			524			205
Prior years	1,014			1,267			1,872			1,508			2,365
Loss and LAE payments during the period	1,117			1,281			1,986			2,032			2,570
Net reserve for losses and LAE at end of period	384,597			393,196			384,904			354,807			295,121
Plus: Reinsurance recoverables	26,970			27,286			24,907			19,061			11,898
Reserve for losses and LAE at end of period	$	411,567		$	420,482		$	409,811		$	373,868		$	307,019

(1) The cure rate is calculated by dividing new defaults remaining as of the reporting date by the original number of new defaults reported in the quarterly period and subtracting that percentage from 100%.

								Exhibit K
Essent Group Ltd. and Subsidiaries
Supplemental Information
Detail of Reserves by Default Delinquency
U.S. Mortgage Insurance Portfolio

	September 30, 2021
	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	3,823	20	%	$	20,438	5	%	$	223,065	9	%
Four to eleven payments	6,738	34		103,062		27		426,282		24
Twelve or more payments	9,108	46		254,499		67		595,444		43
Pending claims	52	—		2,037		1		2,516		81
Total case reserves	19,721	100	%	380,036		100	%	$	1,247,307	30
IBNR				28,503
LAE				3,028
Total reserves for losses and LAE				$	411,567

Average reserve per default:
Case				$	19.3
Total				$	20.9

Default Rate	2.47%

	December 31, 2020
	Number of Policies in Default	Percentage of Policies in Default		Amount of Reserves		Percentage of Reserves		Defaulted RIF		Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less	6,631	21	%	$	47,905	14	%	$	384,668	12	%
Four to eleven payments	23,543	75		260,593		76		1,553,593		17
Twelve or more payments	1,243	4		32,593		9		67,501		48
Pending claims	52	—		2,199		1		2,843		77
Total case reserves	31,469	100	%	343,290		100	%	$	2,008,605	17
IBNR				25,747
LAE				4,831
Total reserves for losses and LAE				$	373,868

Average reserve per default:
Case				$	10.9
Total				$	11.9

Default Rate	3.93%

	September 30, 2020
	Number of Policies in Default	Percentage of Policies in Default		Amount of Reserves		Percentage of Reserves		Defaulted RIF		Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less	9,237	26	%	$	58,296	21	%	$	554,524	11	%
Four to eleven payments	25,290	71		194,892		69		1,697,419		11
Twelve or more payments	891	3		24,842		9		48,612		51
Pending claims	46	—		2,417		1		2,840		85
Total case reserves	35,464	100	%	280,447		100	%	$	2,303,395	12
IBNR				21,034
LAE				5,538
Total reserves for losses and LAE				$	307,019

Average reserve per default:
Case				$	7.9
Total				$	8.7

Default Rate	4.54%

								Exhibit L

Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale


Investments Available for Sale by Asset Class
Asset Class	September 30, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
U.S. Treasury securities	$	331,216		6.8	%	$	268,444	5.9	%
U.S. agency securities	5,536			0.1		18,085		0.4
U.S. agency mortgage-backed securities	989,552			20.3		995,905		21.8
Municipal debt securities	592,458			12.2		551,517		12.1
Non-U.S. government securities	79,994			1.6		61,607		1.3
Corporate debt securities	1,524,144			31.3		1,126,512		24.7
Residential and commercial mortgage securities	539,186			11.1		409,282		9.0
Asset-backed securities	554,475			11.4		454,717		9.9
Money market funds	253,456			5.2		679,304		14.9
Total investments available for sale	$	4,870,017		100.0	%	$	4,565,373	100.0	%

Investments Available for Sale by Credit Rating
Rating (1)	September 30, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
Aaa	$	2,356,302		48.4	%	$	2,564,746	56.2	%
Aa1	106,743			2.2		133,100		2.9
Aa2	320,018			6.6		260,462		5.7
Aa3	212,516			4.4		204,917		4.5
A1	288,177			5.9		249,710		5.5
A2	459,205			9.4		401,175		8.8
A3	293,220			6.0		229,882		5.0
Baa1	302,771			6.2		260,602		5.7
Baa2	260,360			5.4		178,926		3.9
Baa3	190,999			3.9		48,199		1.1
Below Baa3	79,706			1.6		33,654		0.7
Total investments available for sale	$	4,870,017		100.0	%	$	4,565,373	100.0	%

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

Investments Available for Sale by Duration and Book Yield
Effective Duration	September 30, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
< 1 Year	$	1,181,803		24.3	%	$	1,568,505	34.4	%
1 to < 2 Years	644,007			13.2		581,003		12.7
2 to < 3 Years	530,003			10.9		616,069		13.5
3 to < 4 Years	688,472			14.1		426,333		9.3
4 to < 5 Years	493,847			10.1		367,633		8.1
5 or more Years	1,331,885			27.4		1,005,830		22.0
Total investments available for sale	$	4,870,017		100.0	%	$	4,565,373	100.0	%

Pre-tax investment income yield:
Three months ended September 30, 2021	1.93		%
Nine months ended September 30, 2021	1.97		%

													Exhibit M

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital

	2021									2020
	September 30			June 30			March 31			December 31			September 30
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)	$	2,916,802		$	2,809,087		$	2,778,131		$	2,659,161		$	2,581,136

Combined net risk in force (2)	$	30,766,379		$	29,646,042		$	29,358,191		$	29,493,572		$	29,821,246

Risk-to-capital ratios: (3)
Essent Guaranty, Inc.	10.9:1			10.9:1			11.0:1			11.5:1			12.0:1
Essent Guaranty of PA, Inc.	1.0:1			1.1:1			1.4:1			1.7:1			2.0:1
Combined (4)	10.5:1			10.6:1			10.6:1			11.1:1			11.6:1

Essent Guaranty, Inc. PMIERs Data (5):
Available Assets	$	3,161,780		$	3,016,050		$	2,996,651		$	2,855,923		$	2,720,432
Minimum Required Assets	1,951,096			1,731,843			1,864,262			1,671,011			1,739,479
PMIERs excess Available Assets	$	1,210,684		$	1,284,207		$	1,132,389		$	1,184,912		$	980,953
PMIERs sufficiency ratio (6)	162		%	174		%	161		%	171		%	156		%

Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)	$	1,249,996		$	1,192,077		$	1,136,504		$	1,101,003		$	1,061,546

Net risk in force (2)	$	15,466,651		$	14,338,567		$	12,905,289		$	12,892,300		$	12,312,124


(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.
(5) Data is based on our interpretation of the PMIERs as of the dates indicated.
(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.

View source version on businesswire.com: https://www.businesswire.com/news/home/20211105005192/en/

Media Contact

610.230.0556

[email protected]

Investor Relations Contact

Christopher G. Curran

Senior Vice President – Investor Relations

855-809-ESNT

[email protected]

Source: Essent Group Ltd.

Holding company net cash and investments available for sale: (2)

($ in thousands)

As of September 30, 2021

As of December 31, 2020

(2) Includes net cash and investments available for sale at Essent Group Ltd. and Essent US Holdings, Inc.