Essent Group Ltd. Announces Fourth Quarter & Full Year 2021 Results and Increases Quarterly Dividend

February 11, 2022 6:30 AM

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2021 of $181.0 million or $1.64 per diluted share, compared to $123.6 million or $1.10 per diluted share for the quarter ended December 31, 2020. For the full year 2021, net income was $681.8 million or $6.11 per diluted share, compared to $413.0 million or $3.88 per diluted share for 2020.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.20 per common share. The dividend is payable on March 21, 2022, to shareholders of record on March 10, 2022.

“We are pleased with our fourth quarter and full year 2021 financial results, which reflect our continued focus on optimizing our unit economics in generating high-quality earnings and strong returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our strong operating performance also generated excess capital, which we continued to deploy in a balanced manner between reinvestment in our franchise and distribution to shareholders. In connection with this, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.20 per share.”

Fourth Quarter & Full Year 2021 Financial Highlights:

Insurance in force as of December 31, 2021 was $207.2 billion, compared to $208.2 billion as of September 30, 2021 and $198.9 billion as of December 31, 2020.
New insurance written for the fourth quarter was $16.4 billion, compared to $23.6 billion in the third quarter of 2021 and $29.6 billion in the fourth quarter of 2020.
Net premiums earned for the fourth quarter were $217.3 million, compared to $218.7 million in the third quarter of 2021 and $222.3 million in the fourth quarter of 2020.
Income from other invested assets for the fourth quarter included $12.0 million, or $0.09 per diluted share on an after-tax basis, pertaining to net unrealized gains associated with strategic investments in limited partnerships.
The expense ratio for the fourth quarter was 19.0%, compared to 19.3% in the third quarter of 2021 and 16.6% in the fourth quarter of 2020.
The provision for losses and LAE for the fourth quarter was a benefit of $3.4 million, compared to a benefit of $7.5 million in the third quarter of 2021 and a provision of $62.1 million in the fourth quarter of 2020.
The percentage of loans in default as of December 31, 2021 was 2.16%, compared to 2.47% as of September 30, 2021 and 3.93% as of December 31, 2020.
The combined ratio for the fourth quarter was 17.4%, compared to 15.9% in the third quarter of 2021 and 44.5% in the fourth quarter of 2020.
The consolidated balance of cash and investments at December 31, 2021 was $5.2 billion, which includes holding company net cash and investments available for sale of $618.3 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 10.4:1 as of December 31, 2021.
On November 10, 2021, Essent Guaranty, Inc. obtained $439.4 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in April 1, 2021 through September 30, 2021 from Radnor Re 2021-2 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2021-2 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd.
On December 10, 2021, Essent Group Ltd. entered into an amended and restated credit facility, increasing to $825 million the committed capacity and extending the contractual maturity to December 10, 2026.

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 888-510-2507 inside the U.S., or 646-960-0351 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 and Year Ended December 31, 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 December 31,						Year Ended December 31,
(In thousands, except per share amounts)		2021			2020			2021			2020
Revenues:
Direct premiums written	$	224,972		$	245,437		$	918,406		$	922,851
Ceded premiums		(26,476	)		(31,194	)		(110,914	)		(88,738	)
Net premiums written		198,496			214,243			807,492			834,113
Decrease in unearned premiums		18,825			8,096			65,051			28,451
Net premiums earned		217,321			222,339			872,543			862,564
Net investment income		23,661			20,949			88,765			80,087
Realized investment (losses) gains, net		(191	)		564			418			2,697
Income (loss) from other invested assets		14,997			2			56,386			(215	)
Other income		1,128			3,345			10,398			10,021
Total revenues		256,916			247,199			1,028,510			955,154

Losses and expenses:
(Benefit) provision for losses and LAE		(3,433	)		62,073			31,057			301,293
Other underwriting and operating expenses		41,232			36,825			166,857			154,691
Interest expense		2,095			2,149			8,282			9,074
Total losses and expenses		39,894			101,047			206,196			465,058

Income before income taxes		217,022			146,152			822,314			490,096
Income tax expense		36,035			22,550			140,531			77,055
Net income	$	180,987		$	123,602		$	681,783		$	413,041


Earnings per share:
Basic	$	1.65		$	1.10		$	6.13		$	3.89
Diluted		1.64			1.10			6.11			3.88

Weighted average shares outstanding:
Basic		109,550			111,908			111,164			106,098
Diluted		110,028			112,310			111,555			106,376

Net income	$	180,987		$	123,602		$	681,783		$	413,041

Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments		(27,807	)		5,840			(87,567	)		82,087
Total other comprehensive (loss) income		(27,807	)		5,840			(87,567	)		82,087
Comprehensive income	$	153,180		$	129,442		$	594,216		$	495,128


Loss ratio		(1.6	%)		27.9	%		3.6	%		34.9	%
Expense ratio		19.0			16.6			19.1			17.9
Combined ratio		17.4	%		44.5	%		22.7	%		52.9	%

				Exhibit B

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


	December 31,			December 31,
(In thousands, except per share amounts)	2021			2020
*Assets*
Investments
Fixed maturities available for sale, at fair value	$	4,649,800		$	3,838,513
Short-term investments available for sale, at fair value		313,087			726,860
Total investments available for sale		4,962,887			4,565,373
Other invested assets		170,472			88,904
Total investments		5,133,359			4,654,277
Cash		81,491			102,830
Accrued investment income		26,546			19,948
Accounts receivable		46,157			50,140
Deferred policy acquisition costs		12,178			17,005
Property and equipment		11,921			15,095
Prepaid federal income tax		360,810			302,636
Other assets		49,712			40,793

Total assets	$	5,722,174		$	5,202,724

*Liabilities and Stockholders' Equity*
Liabilities
Reserve for losses and LAE	$	407,445		$	374,941
Unearned premium reserve		185,385			250,436
Net deferred tax liability		373,654			305,109
Credit facility borrowings, net of deferred costs		419,823			321,720
Other accrued liabilities		99,753			87,885
Total liabilities		1,486,060			1,340,091

Commitments and contingencies

Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 109,377 shares in 2021 and 112,423 shares in 2020		1,641			1,686
Additional paid-in capital		1,428,952			1,571,163
Accumulated other comprehensive income		50,707			138,274
Retained earnings		2,754,814			2,151,510
Total stockholders' equity		4,236,114			3,862,633

Total liabilities and stockholders' equity	$	5,722,174		$	5,202,724

Return on average equity		16.8	%		12.1	%

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

	2021													2020
Selected Income Statement Data	December 31			September 30			June 30			March 31			December 31
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio	$	205,877		$	207,127		$	204,149		$	207,840		$	208,715
GSE and other risk share		11,444			11,591			13,288			11,227			13,624
Net premiums earned		217,321			218,718			217,437			219,067			222,339
Income from other invested assets (1)		14,997			40,741			122			526			2
Other revenues (2)		24,598			24,077			25,702			25,204			24,858
Total revenues		256,916			283,536			243,261			244,797			247,199

Losses and expenses:
(Benefit) provision for losses and LAE		(3,433	)		(7,483	)		9,651			32,322			62,073
Other underwriting and operating expenses		41,232			42,272			41,114			42,239			36,825
Interest expense		2,095			2,063			2,073			2,051			2,149
Total losses and expenses		39,894			36,852			52,838			76,612			101,047

Income before income taxes		217,022			246,684			190,423			168,185			146,152
Income tax expense (3)		36,035			41,331			30,628			32,537			22,550
Net income	$	180,987		$	205,353		$	159,795		$	135,648		$	123,602

Earnings per share:
Basic	$	1.65		$	1.85		$	1.43		$	1.21		$	1.10
Diluted		1.64			1.84			1.42			1.21			1.10

Weighted average shares outstanding:
Basic		109,550			111,001			112,118			112,016			111,908
Diluted		110,028			111,387			112,454			112,378			112,310

Book value per share	$	38.73		$	37.58		$	36.32		$	34.75		$	34.36
Return on average equity (annualized)		17.2	%		19.9	%		16.0	%		13.9	%		13.0	%

Other Data:
Loss ratio (4)		(1.6	%)		(3.4	%)		4.4	%		14.8	%		27.9	%
Expense ratio (5)		19.0			19.3			18.9			19.3			16.6
Combined ratio		17.4	%		15.9	%		23.3	%		34.0	%		44.5	%

Credit Facility
Borrowings outstanding	$	425,000		$	325,000		$	325,000		$	325,000		$	325,000
Undrawn committed capacity	$	400,000		$	300,000		$	300,000		$	300,000		$	300,000
Weighted average interest rate (end of period)		1.79	%		2.13	%		2.13	%		2.13	%		2.19	%
Debt-to-capital		9.12	%		7.23	%		7.37	%		7.65	%		7.76	%

(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: December 31, 2021: ($2,931); September 30, 2021: ($1,493); June 30, 2021: $950; March 31, 2021: ($606); December 31, 2020: ($209).
(3) Income tax expense for the quarters ended December 31, 2021 and March 31, 2021 includes $2,473 and $5,718, respectively, of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. Income tax expense for the quarters ended December 31, 2021 and September 30, 2021 includes $1,759 and $8,271, respectively, of discrete tax expense associated with realized and unrealized gains and losses.
(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:	December 31			September 30			June 30			March 31			December 31
($ in thousands)

U.S. Mortgage Insurance Portfolio
Flow:
New insurance written	$	16,379,082		$	23,579,884		$	25,004,854		$	19,254,014		$	29,566,820
New risk written		4,331,531			6,273,735			6,445,864			4,616,450			7,051,173

Bulk:
New insurance written	$	416		$	—		$	—		$	—		$	—
New risk written		41			—			—			—			—

Total:
New insurance written	$	16,379,498		$	23,579,884		$	25,004,854		$	19,254,014		$	29,566,820
New risk written	$	4,331,572		$	6,273,735		$	6,445,864		$	4,616,450		$	7,051,173

Average insurance in force	$	207,388,906		$	206,732,478		$	199,739,297		$	197,749,668		$	195,670,925
Insurance in force (end of period)	$	207,190,544		$	208,216,549		$	203,559,859		$	197,091,191		$	198,882,352
Gross risk in force (end of period) (6)	$	52,554,246		$	52,457,020		$	50,835,835		$	48,951,602		$	49,565,150
Risk in force (end of period)	$	45,273,383		$	45,074,159		$	42,906,519		$	41,135,978		$	41,339,262
Policies in force		785,119			798,877			794,743			785,382			799,893
Weighted average coverage (7)		25.4	%		25.2	%		25.0	%		24.8	%		24.9	%
Annual persistency		65.4	%		62.2	%		58.3	%		56.1	%		60.1	%

Loans in default (count)		16,963			19,721			23,504			29,080			31,469
Percentage of loans in default		2.16	%		2.47	%		2.96	%		3.70	%		3.93	%

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


(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										Year Ended
	December 31, 2021					December 31, 2020					December 31, 2021					December 31, 2020
($ in thousands)
>=760	$	6,643,740		40.6	%	$	13,330,379		45.1	%	$	34,422,627		40.9	%	$	48,037,084		44.5	%
740-759		2,833,379		17.3			5,069,530		17.1			13,691,394		16.3			19,385,541		17.9
720-739		2,472,738		15.1			4,134,782		14.0			12,789,715		15.2			15,744,485		14.6
700-719		2,170,829		13.2			3,385,670		11.5			11,499,406		13.6			12,409,936		11.5
680-699		1,504,268		9.2			1,743,694		5.9			7,359,569		8.7			6,871,511		6.4
<=679		754,128		4.6			1,902,765		6.4			4,455,123		5.3			5,495,357		5.1
Total	$	16,379,082		100.0	%	$	29,566,820		100.0	%	$	84,217,834		100.0	%	$	107,943,914		100.0	%

Weighted average credit score		745					748					745					749


NIW by LTV
	Three Months Ended										Year Ended
	December 31, 2021					December 31, 2020					December 31, 2021					December 31, 2020
($ in thousands)
85.00% and below	$	1,799,336		11.0	%	$	6,317,550		21.4	%	$	11,460,273		13.6	%	$	20,124,987		18.6	%
85.01% to 90.00%		4,372,552		26.7			9,629,373		32.6			23,565,227		28.0			34,020,882		31.5
90.01% to 95.00%		7,722,842		47.1			11,134,923		37.6			37,813,167		44.9			42,517,221		39.4
95.01% and above		2,484,352		15.2			2,484,974		8.4			11,379,167		13.5			11,280,824		10.5
Total	$	16,379,082		100.0	%	$	29,566,820		100.0	%	$	84,217,834		100.0	%	$	107,943,914		100.0	%

Weighted average LTV		92	%				91	%				92	%				91	%


NIW by Product
	Three Months Ended										Year Ended
	December 31, 2021					December 31, 2020					December 31, 2021					December 31, 2020
Single Premium policies				2.7	%				7.7	%				3.8	%				9.0	%
Monthly Premium policies				97.3					92.3					96.2					91.0
				100.0	%				100.0	%				100.0	%				100.0	%


NIW by Purchase vs. Refinance
	Three Months Ended										Year Ended
	December 31, 2021					December 31, 2020					December 31, 2021					December 31, 2020
Purchase				92.1	%				61.6	%				82.1	%				60.4	%
Refinance				7.9					38.4					17.9					39.6
				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	December 31, 2021					September 30, 2021					December 31, 2020
($ in thousands)
>=760	$	85,501,113		41.3	%	$	85,833,588		41.2	%	$	82,452,139		41.5	%
740-759		35,111,019		17.0			35,234,863		16.9			34,538,761		17.3
720-739		31,158,325		15.0			31,291,415		15.1			29,599,646		14.9
700-719		26,105,790		12.6			26,136,910		12.6			23,807,982		12.0
680-699		16,819,629		8.1			16,758,439		8.0			15,538,235		7.8
<=679		12,494,668		6.0			12,961,334		6.2			12,945,589		6.5
Total	$	207,190,544		100.0	%	$	208,216,549		100.0	%	$	198,882,352		100.0	%

Weighted average credit score		745					745					745

Gross RIF by FICO score	December 31, 2021					September 30, 2021					December 31, 2020
($ in thousands)
>=760	$	21,488,011		40.9	%	$	21,414,607		40.8	%	$	20,336,799		41.0	%
740-759		8,992,181		17.1			8,958,297		17.1			8,682,265		17.5
720-739		8,029,952		15.3			8,020,171		15.3			7,504,065		15.1
700-719		6,693,045		12.7			6,652,117		12.7			5,970,851		12.1
680-699		4,299,245		8.2			4,250,044		8.1			3,887,059		7.9
<=679		3,051,812		5.8			3,161,784		6.0			3,184,111		6.4
Total	$	52,554,246		100.0	%	$	52,457,020		100.0	%	$	49,565,150		100.0	%

Portfolio by LTV
IIF by LTV	December 31, 2021					September 30, 2021					December 31, 2020
($ in thousands)
85.00% and below	$	27,362,267		13.2	%	$	28,452,535		13.7	%	$	27,308,296		13.7	%
85.01% to 90.00%		59,567,378		28.7			60,257,704		28.9			58,606,394		29.5
90.01% to 95.00%		91,350,909		44.1			90,957,363		43.7			86,169,485		43.3
95.01% and above		28,909,990		14.0			28,548,947		13.7			26,798,177		13.5
Total	$	207,190,544		100.0	%	$	208,216,549		100.0	%	$	198,882,352		100.0	%

Weighted average LTV		92	%				92	%				92	%

Gross RIF by LTV	December 31, 2021					September 30, 2021					December 31, 2020
($ in thousands)
85.00% and below	$	3,200,124		6.1	%	$	3,311,106		6.3	%	$	3,142,034		6.3	%
85.01% to 90.00%		14,366,450		27.3			14,506,577		27.7			14,061,553		28.4
90.01% to 95.00%		26,592,162		50.6			26,410,513		50.3			24,895,471		50.2
95.01% and above		8,395,510		16.0			8,228,824		15.7			7,466,092		15.1
Total	$	52,554,246		100.0	%	$	52,457,020		100.0	%	$	49,565,150		100.0	%

Portfolio by Loan Amortization Period
IIF by Loan Amortization Period	December 31, 2021					September 30, 2021					December 31, 2020
($ in thousands)
FRM 30 years and higher	$	198,243,758		95.7	%	$	198,392,156		95.3	%	$	187,704,000		94.4	%
FRM 20-25 years		3,658,366		1.8			3,974,602		1.9			4,365,585		2.2
FRM 15 years		3,996,684		1.9			4,419,750		2.1			4,776,068		2.4
ARM 5 years and higher		1,291,736		0.6			1,430,041		0.7			2,036,699		1.0
Total	$	207,190,544		100.0	%	$	208,216,549		100.0	%	$	198,882,352		100.0	%

													Exhibit F

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

	2021													2020
($ in thousands)	December 31			September 30			June 30			March 31			December 31
GSE and other risk share (1):
Risk in Force	$	1,788,918		$	1,568,800		$	1,496,247		$	1,534,174		$	1,416,719
Reserve for losses and LAE	$	1,349		$	1,389		$	1,390		$	1,312		$	1,073

Weighted average credit score		748			748			747			747			746
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
December 31, 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	$	3,122,498	5.1	%	19,269	4.32	%	80.6	%	71.7	%	5.2	%	15.3	%	42.4	%	3.3	%	900	4.67	%
2015		26,193,656		3,114,853	11.9		17,893	4.16		86.5		67.1		3.5		17.8		39.8		4.3		742	4.15
2016		34,949,319		6,326,129	18.1		33,941	3.86		88.1		65.3		8.9		15.2		43.9		5.3		1,327	3.91
2017		43,858,322		8,509,847	19.4		47,080	4.26		90.5		65.6		18.3		20.0		37.9		8.3		2,458	5.22
2018		47,508,525		9,482,084	20.0		49,923	4.77		93.7		66.9		23.5		21.2		33.3		13.7		3,096	6.20
2019		63,569,183		20,252,049	31.9		90,476	4.21		86.0		65.3		22.4		19.0		35.5		21.8		3,953	4.37
2020		107,944,065		76,550,717	70.9		276,407	3.18		63.0		51.7		11.3		11.1		44.8		13.6		3,490	1.26
2021		84,218,250		79,832,367	94.8		250,130	3.07		82.7		59.0		13.9		14.1		40.4		9.1		997	0.40
Total	$	468,910,171	$	207,190,544	44.2		785,119	3.41		76.8		58.0		14.0		14.1		41.3		8.9		16,963	2.16

(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
December 31, 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 (8)
2015 & 2016	$	9,131,102	$	2,462,841	$	333,844	$	—	$	333,844	$	178,717	$	—	$	178,717	$	—	$	208,111	$	207,140	$	1,177	$	4,808	$	—
2017		8,286,495		2,143,551		424,412		165,167		589,579		242,123		165,167		407,290		—		224,689		217,409		2,679		10,655		—
2018		9,341,880		2,382,994		473,184		118,650		591,834		325,537		76,144		401,681		—		253,643		249,450		3,220		12,824		—
2019 (3)		11,238,898		2,874,767		495,889		55,102		550,991		495,889		55,102		550,991		—		215,605		215,115		2,778		11,068		43,674
2019 & 2020 (4)		31,050,401		7,848,926		399,159		—		399,159		153,530		—		153,530		—		465,690		465,690		3,174		17,573		78,211
2020 & 2021 (5)		50,143,288		12,263,000		557,911		—		557,911		557,911		—		557,911		—		278,956		278,956		3,695		7,675		534,049
2021 (6)		45,887,021		12,086,006		439,407		—		439,407		439,407		—		439,407		—		279,415		279,415		2,367		2,367		400,151
Total	$	165,079,085	$	42,062,085	$	3,123,806	$	338,919	$	3,462,725	$	2,393,114	$	296,413	$	2,689,527	$	—	$	1,926,109	$	1,913,175	$	19,090	$	66,970	$	1,056,085

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 (8)
2019 & 2020 (7)	$	85,045,135	$	21,077,760	$	18,703,480	$	4,591,336	$	(1,023	)	$	6,926	$	4,205	$	18,509	$	7,386	$	43,944	$	306,548


(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 new insurance written from April 1, 2021 through September 30, 2021.
(7) 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.
(8) 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
	December 31, 2021		September 30, 2021		December 31, 2020
CA	13.1	%	13.1	%	12.0	%
TX	9.9		9.8		9.7
FL	9.7		9.5		8.7
CO	4.1		4.1		4.1
WA	3.7		3.7		3.8
IL	3.3		3.4		3.4
AZ	3.3		3.4		3.6
NJ	3.1		3.1		3.3
VA	3.1		3.1		3.1
GA	3.1		3.1		3.0
All Others	43.6		43.7		45.3
Total	100.0	%	100.0	%	100.0	%



Gross RIF by State
	December 31, 2021		September 30, 2021		December 31, 2020
CA	13.0	%	12.9	%	11.8	%
TX	10.2		10.1		10.0
FL	10.0		9.8		9.0
CO	4.0		4.1		4.1
WA	3.6		3.7		3.8
AZ	3.3		3.3		3.5
IL	3.2		3.3		3.3
GA	3.1		3.1		3.1
VA	3.0		3.1		3.1
NJ	3.0		3.0		3.2
All Others	43.6		43.6		45.1
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
	December 31			September 30			June 30			March 31			December 31
Beginning default inventory		19,721			23,504			29,080			31,469			35,464
Plus: new defaults (A)		5,809			5,132			4,934			7,422			8,745
Less: cures		(8,514	)		(8,862	)		(10,453	)		(9,737	)		(12,679	)
Less: claims paid		(47	)		(41	)		(46	)		(61	)		(49	)
Less: rescissions and denials, net		(6	)		(12	)		(11	)		(13	)		(12	)
Ending default inventory		16,963			19,721			23,504			29,080			31,469

(A) New defaults remaining as of December 31, 2021		4,316			2,162			1,523			1,686			1,516
Cure rate (1)		26	%		58	%		69	%		77	%		83	%

Total amount paid for claims (in thousands)	$	992		$	1,069		$	1,154		$	1,989		$	1,922
Average amount paid per claim (in thousands)	$	21		$	26		$	25		$	33		$	39
Severity		45	%		60	%		57	%		70	%		62	%

Rollforward of Reserve for Losses and LAE
	Three Months Ended
	2021													2020
($ in thousands)	December 31			September 30			June 30			March 31			December 31
Reserve for losses and LAE at beginning of period	$	411,567		$	420,482		$	409,811		$	373,868		$	307,019
Less: Reinsurance recoverables		26,970			27,286			24,907			19,061			11,898
Net reserve for losses and LAE at beginning of period		384,597			393,196			384,904			354,807			295,121
Add provision for losses and LAE occurring in:
Current period		13,231			11,371			24,534			47,763			63,597
Prior years		(16,624	)		(18,853	)		(14,961	)		(15,680	)		(1,879	)
Incurred losses and LAE during the period		(3,393	)		(7,482	)		9,573			32,083			61,718
Deduct payments for losses and LAE occurring in:
Current period		157			103			14			114			524
Prior years		891			1,014			1,267			1,872			1,508
Loss and LAE payments during the period		1,048			1,117			1,281			1,986			2,032
Net reserve for losses and LAE at end of period		380,156			384,597			393,196			384,904			354,807
Plus: Reinsurance recoverables		25,940			26,970			27,286			24,907			19,061
Reserve for losses and LAE at end of period	$	406,096		$	411,567		$	420,482		$	409,811		$	373,868

(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

	December 31, 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	4,113		24	%	$	20,712	5	%	$	243,511	9	%
Four to eleven payments	5,459		32			77,822	21			349,494	22
Twelve or more payments	7,331		43			274,465	73			470,859	58
Pending claims	60		1			2,397	1			2,852	84
Total case reserves	16,963		100	%		375,396	100	%	$	1,066,716	35
IBNR						28,155
LAE						2,545
Total reserves for losses and LAE					$	406,096

Average reserve per default:
Case					$	22.1
Total					$	23.9

Default Rate	2.16	%


	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	%

								Exhibit L

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


Investments Available for Sale by Asset Class
Asset Class	December 31, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
U.S. Treasury securities	$	448,793		9.1	%	$	268,444	5.9	%
U.S. agency securities		5,504		0.1			18,085	0.4
U.S. agency mortgage-backed securities		1,008,863		20.3			995,905	21.8
Municipal debt securities		627,599		12.7			551,517	12.1
Non-U.S. government securities		79,743		1.6			61,607	1.3
Corporate debt securities		1,455,247		29.3			1,126,512	24.7
Residential and commercial mortgage securities		545,423		11.0			409,282	9.0
Asset-backed securities		581,703		11.7			454,717	9.9
Money market funds		210,012		4.2			679,304	14.9
Total investments available for sale	$	4,962,887		100.0	%	$	4,565,373	100.0	%

Investments Available for Sale by Credit Rating
Rating (1)	December 31, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
Aaa	$	2,412,273		48.6	%	$	2,564,746	56.2	%
Aa1		96,331		1.9			133,100	2.9
Aa2		354,951		7.2			260,462	5.7
Aa3		221,914		4.5			204,917	4.5
A1		263,820		5.3			249,710	5.5
A2		427,282		8.6			401,175	8.8
A3		274,525		5.5			229,882	5.0
Baa1		305,204		6.1			260,602	5.7
Baa2		274,011		5.5			178,926	3.9
Baa3		240,755		4.9			48,199	1.1
Below Baa3		91,821		1.9			33,654	0.7
Total investments available for sale	$	4,962,887		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	December 31, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
< 1 Year	$	1,104,397		22.2	%	$	1,568,505	34.4	%
1 to < 2 Years		561,297		11.3			581,003	12.7
2 to < 3 Years		539,174		10.9			616,069	13.5
3 to < 4 Years		593,663		12.0			426,333	9.3
4 to < 5 Years		663,127		13.4			367,633	8.1
5 or more Years		1,501,229		30.2			1,005,830	22.0
Total investments available for sale	$	4,962,887		100.0	%	$	4,565,373	100.0	%

Pre-tax investment income yield:
Three months ended December 31, 2021		2.06	%
Year ended December 31, 2021		1.99	%

Holding company net cash and investments available for sale:
($ in thousands)
As of December 31, 2021	$	618,306
As of December 31, 2020	$	574,901

														Exhibit M

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital

		2021													2020
		December 31			September 30			June 30			March 31			December 31
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)		$	2,950,107		$	2,916,802		$	2,809,087		$	2,778,131		$	2,659,161

Combined net risk in force (2)		$	30,660,272		$	30,766,379		$	29,646,042		$	29,358,191		$	29,493,572

Risk-to-capital ratios: (3)
	Essent Guaranty, Inc.	10.8:1			10.9:1			10.9:1			11.0:1			11.5:1
	Essent Guaranty of PA, Inc.	0.8:1			1.0:1			1.1:1			1.4:1			1.7:1
	Combined (4)	10.4:1			10.5:1			10.6:1			10.6:1			11.1:1

Essent Guaranty, Inc. PMIERs Data (5):
	Available Assets	$	3,170,881		$	3,161,780		$	3,016,050		$	2,996,651		$	2,855,923
	Minimum Required Assets		1,791,551			1,951,096			1,731,843			1,864,262			1,671,011
	PMIERs excess Available Assets	$	1,379,330		$	1,210,684		$	1,284,207		$	1,132,389		$	1,184,912
	PMIERs sufficiency ratio (6)		177	%		162	%		174	%		161	%		171	%

Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)		$	1,301,937		$	1,249,996		$	1,192,077		$	1,136,504		$	1,101,003

Net risk in force (2)		$	15,997,129		$	15,466,651		$	14,338,567		$	12,905,289		$	12,892,300

(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/20220211005069/en/

Media Contact

610.230.0556

[email protected]

Investor Relations Contact

Philip Stefano

Vice President, Investor Relations

855-809-ESNT

[email protected]

Source: Essent Group Ltd.

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