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

August 06, 2021 at 06:30 AM EDT

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2021 of $159.8 million or $1.42 per diluted share, compared to $15.4 million or $0.15 per diluted share for the quarter ended June 30, 2020.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.18 per common share. The dividend is payable on September 10, 2021, to shareholders of record on September 1, 2021.

"We are pleased with our financial performance for the second quarter as we produced strong earnings and generated excess capital,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results reflect a favorable operating environment as credit continues to normalize and housing demand remains elevated. Our buy, manage and distribute model is operating on all cylinders and confidence in our economic engine remains high."

Second Quarter 2021 Financial Highlights:

Insurance in force as of June 30, 2021 was $203.6 billion, compared to $197.1 billion as of March 31, 2021 and $174.6 billion as of June 30, 2020.

New insurance written for the second quarter was $25.0 billion, compared to $19.3 billion in the first quarter of 2021 and $28.2 billion in the second quarter of 2020.

Net premiums earned for the second quarter were $217.4 million, compared to $219.1 million in the first quarter of 2021 and $211.5 million in the second quarter of 2020.

The expense ratio for the second quarter was 18.9%, compared to 19.3% in the first quarter of 2021 and 18.4% in the second quarter of 2020.

The provision for losses and LAE for the second quarter was $9.7 million, compared to a provision of $32.3 million in the first quarter of 2021 and a provision of $175.9 million in the second quarter of 2020.

The percentage of loans in default as of June 30, 2021 was 2.96%, compared to 3.70% as of March 31, 2021 and 5.19% as of June 30, 2020.

The combined ratio for the second quarter was 23.3%, compared to 34.0% in the first quarter of 2021 and 101.5% in the second quarter of 2020.

The consolidated balance of cash and investments at June 30, 2021 was $5.0 billion, including cash and investment balances at Essent Group Ltd. of $509.8 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 10.6:1 as of June 30, 2021.

On June 23, 2021, Essent Guaranty, Inc. obtained $557.9 million of fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written by Essent in August 2020 through March 2021 from Radnor Re 2021-1 Ltd., a newly formed Bermuda special purpose insurer. Radnor Re 2021-1 Ltd. is not a subsidiary or an affiliate of Essent Group Ltd.

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 833-921-1656 inside the U.S., or 236-389-2661 for international callers, using passcode 2073556 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: 800-585-8367 inside the U.S., or 416-621-4642 for international callers, passcode 2073556.

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 June 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 June 30,						Six Months Ended June 30,
(In thousands, except per share amounts)	2021			2020			2021			2020
Revenues:
Direct premiums written	$	228,949		$	228,044		$	464,206		$	434,024
Ceded premiums	(26,662		)	(22,140		)	(57,558		)	(36,377		)
Net premiums written	202,287			205,904			406,648			397,647
Decrease in unearned premiums	15,150			5,567			29,856			20,320
Net premiums earned	217,437			211,471			436,504			417,967
Net investment income	21,743			19,866			43,531			40,499
Realized investment (losses) gains, net	(253		)	(1,269		)	388			1,866
Other income	4,334			6,009			7,635			4,585
Total revenues	243,261			236,077			488,058			464,917

Losses and expenses:
Provision for losses and LAE	9,651			175,877			41,973			183,940
Other underwriting and operating expenses	41,114			38,819			83,353			80,766
Interest expense	2,073			2,566			4,124			4,698
Total losses and expenses	52,838			217,262			129,450			269,404

Income before income taxes	190,423			18,815			358,608			195,513
Income tax expense	30,628			3,435			63,165			30,610
Net income	$	159,795		$	15,380		$	295,443		$	164,903


Earnings per share:
Basic	$	1.43		$	0.15		$	2.64		$	1.65
Diluted	1.42			0.15			2.63			1.64

Weighted average shares outstanding:
Basic	112,118			102,500			112,067			100,224
Diluted	112,454			102,605			112,416			100,466

Net income	$	159,795		$	15,380		$	295,443		$	164,903

Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments	36,360			74,285			(22,843		)	64,211
Total other comprehensive income (loss)	36,360			74,285			(22,843		)	64,211
Comprehensive income	$	196,155		$	89,665		$	272,600		$	229,114


Loss ratio	4.4		%	83.2		%	9.6		%	44.0		%
Expense ratio	18.9			18.4			19.1			19.3
Combined ratio	23.3		%	101.5		%	28.7		%	63.3		%

				Exhibit B

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


	June 30,			December 31,
(In thousands, except per share amounts)	2021			2020
*Assets*
Investments
Fixed maturities available for sale, at fair value	$	4,374,008		$	3,838,513
Short-term investments available for sale, at fair value	372,320			726,860
Total investments available for sale	4,746,328			4,565,373
Other invested assets	145,310			88,904
Total investments	4,891,638			4,654,277
Cash	142,140			102,830
Accrued investment income	24,468			19,948
Accounts receivable	53,127			50,140
Deferred policy acquisition costs	14,070			17,005
Property and equipment	12,989			15,095
Prepaid federal income tax	332,886			302,636
Other assets	50,471			40,793

Total assets	$	5,521,789		$	5,202,724

*Liabilities and Stockholders' Equity*
Liabilities
Reserve for losses and LAE	$	421,872		$	374,941
Unearned premium reserve	220,580			250,436
Net deferred tax liability	343,098			305,109
Credit facility borrowings, net of deferred costs	322,316			321,720
Other accrued liabilities	129,095			87,885
Total liabilities	1,436,961			1,340,091

Commitments and contingencies

Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 112,481 shares in 2021 and 112,423 shares in 2020	1,687			1,686
Additional paid-in capital	1,558,142			1,571,163
Accumulated other comprehensive income	115,431			138,274
Retained earnings	2,409,568			2,151,510
Total stockholders' equity	4,084,828			3,862,633

Total liabilities and stockholders' equity	$	5,521,789		$	5,202,724

Return on average equity (1)	14.9		%	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	June 30			March 31			December 31			September 30			June 30
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio	$	204,149		$	207,840		$	208,715		$	211,126		$	200,816
GSE and other risk share	13,288			11,227			13,624			11,132			10,655
Net premiums earned	217,437			219,067			222,339			222,258			211,471
Other revenues (1)	25,824			25,730			24,860			20,780			24,606
Total revenues	243,261			244,797			247,199			243,038			236,077

Losses and expenses:
Provision for losses and LAE	9,651			32,322			62,073			55,280			175,877
Other underwriting and operating expenses	41,114			42,239			36,825			37,100			38,819
Interest expense	2,073			2,051			2,149			2,227			2,566
Total losses and expenses	52,838			76,612			101,047			94,607			217,262

Income before income taxes	190,423			168,185			146,152			148,431			18,815
Income tax expense (2)	30,628			32,537			22,550			23,895			3,435
Net income	$	159,795		$	135,648		$	123,602		$	124,536		$	15,380

Earnings per share:
Basic	$	1.43		$	1.21		$	1.10		$	1.11		$	0.15
Diluted	1.42			1.21			1.10			1.11			0.15

Weighted average shares outstanding:
Basic	112,118			112,016			111,908			111,908			102,500
Diluted	112,454			112,378			112,310			112,134			102,605

Book value per share	$	36.32		$	34.75		$	34.36		$	33.33		$	32.23
Return on average equity (annualized)	16.0		%	13.9		%	13.0		%	13.5		%	1.8		%

Other Data:
Loss ratio (3)	4.4		%	14.8		%	27.9		%	24.9		%	83.2		%
Expense ratio (4)	18.9			19.3			16.6			16.7			18.4
Combined ratio	23.3		%	34.0		%	44.5		%	41.6		%	101.5		%

Credit Facility
Borrowings outstanding	$	325,000		$	325,000		$	325,000		$	425,000		$	425,000
Undrawn committed capacity	$	300,000		$	300,000		$	300,000		$	75,000		$	75,000
Weighted average interest rate (end of period)	2.13		%	2.13		%	2.19		%	1.90		%	1.93		%
Debt-to-capital	7.37		%	7.65		%	7.76		%	10.19		%	10.50		%

(1) 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: June 30, 2021: $950; March 31, 2021: ($606); December 31, 2020: ($209); September 30, 2020: ($677); June 30, 2020: $2,502.
(2) 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.
(3) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
(4) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.

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


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

U.S. Mortgage Insurance Portfolio
Flow:
New insurance written	$	25,004,854		$	19,254,014		$	29,566,820		$	36,664,583		$	28,163,212
New risk written	6,445,864			4,616,450			7,051,173			8,938,544			6,875,250

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

Total:
New insurance written	$	25,004,854		$	19,254,014		$	29,566,820		$	36,664,583		$	28,163,212
New risk written	$	6,445,864		$	4,616,450		$	7,051,173		$	8,938,544		$	6,875,250

Average insurance in force	$	199,739,297		$	197,749,668		$	195,670,925		$	183,135,315		$	168,635,275
Insurance in force (end of period)	$	203,559,859		$	197,091,191		$	198,882,352		$	190,811,292		$	174,646,273
Gross risk in force (end of period) (5)	$	50,835,835		$	48,951,602		$	49,565,150		$	47,838,668		$	43,993,989
Risk in force (end of period)	$	42,906,519		$	41,135,978		$	41,339,262		$	41,219,216		$	39,113,879
Policies in force	794,743			785,382			799,893			781,836			733,651
Weighted average coverage (6)	25.0		%	24.8		%	24.9		%	25.1		%	25.2		%
Annual persistency	58.3		%	56.1		%	60.1		%	64.2		%	67.9		%

Loans in default (count)	23,504			29,080			31,469			35,464			38,068
Percentage of loans in default	2.96		%	3.70		%	3.93		%	4.54		%	5.19		%

U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (7)	0.43		%	0.44		%	0.44		%	0.45		%	0.47		%
Single premium cancellations (8)	0.03		%	0.04		%	0.05		%	0.06		%	0.06		%
Gross average premium rate	0.46		%	0.48		%	0.49		%	0.51		%	0.53		%
Ceded premiums	(0.05		%)	(0.06		%)	(0.06		%)	(0.05		%)	(0.05		%)
Net average premium rate	0.41		%	0.42		%	0.43		%	0.46		%	0.48		%


(5) Gross risk in force includes risk ceded under third-party reinsurance.
(6) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
(7) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
(8) 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										Six Months Ended
	June 30, 2021					June 30, 2020					June 30, 2021					June 30, 2020
($ in thousands)
>=760	$	10,050,359		40.2	%	$	12,163,927		43.2	%	$	18,521,480		41.9	%	$	17,819,643		42.7	%
740-759	3,812,462			15.2		5,300,459			18.8		6,965,789			15.7		7,758,491			18.6
720-739	3,906,718			15.6		4,352,367			15.5		6,660,014			15.0		6,371,241			15.3
700-719	3,624,247			14.5		3,278,269			11.6		5,982,881			13.5		4,837,012			11.6
680-699	2,266,364			9.1		1,950,905			6.9		3,493,772			7.9		2,995,823			7.2
<=679	1,344,704			5.4		1,117,285			4.0		2,634,932			6.0		1,930,301			4.6
Total	$	25,004,854		100.0	%	$	28,163,212		100.0	%	$	44,258,868		100.0	%	$	41,712,511		100.0	%

Weighted average credit score	744					749					745					748



NIW by LTV
	Three Months Ended										Six Months Ended
	June 30, 2021					June 30, 2020					June 30, 2021					June 30, 2020
($ in thousands)
85.00% and below	$	3,355,412		13.4	%	$	5,028,803		17.9	%	$	7,323,988		16.6	%	$	6,992,279		16.8	%
85.01% to 90.00%	6,890,377			27.6		9,079,625			32.2		13,332,374			30.1		13,066,899			31.3
90.01% to 95.00%	11,463,713			45.8		10,914,874			38.8		18,516,235			41.8		16,600,754			39.8
95.01% and above	3,295,352			13.2		3,139,910			11.1		5,086,271			11.5		5,052,579			12.1
Total	$	25,004,854		100.0	%	$	28,163,212		100.0	%	$	44,258,868		100.0	%	$	41,712,511		100.0	%

Weighted average LTV	92		%			91		%			91		%			91		%



NIW by Product
	Three Months Ended										Six Months Ended
	June 30, 2021					June 30, 2020					June 30, 2021					June 30, 2020
Single Premium policies				3.4	%				10.6	%				4.9	%				10.3	%
Monthly Premium policies				96.6					89.4					95.1					89.7
				100.0	%				100.0	%				100.0	%				100.0	%



NIW by Purchase vs. Refinance
	Three Months Ended										Six Months Ended
	June 30, 2021					June 30, 2020					June 30, 2021					June 30, 2020
Purchase				82.3	%				54.2	%				73.6	%				59.1	%
Refinance				17.7					45.8					26.4					40.9
				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	June 30, 2021					March 31, 2021					June 30, 2020
($ in thousands)
>=760	$	84,110,514		41.3	%	$	81,629,166		41.4	%	$	71,570,804		41.0	%
740-759	34,636,115			17.0		33,969,375			17.2		30,265,718			17.3
720-739	30,471,320			15.0		29,323,182			14.9		26,130,764			15.0
700-719	25,177,026			12.4		23,775,892			12.1		20,721,839			11.9
680-699	15,962,389			7.8		15,241,886			7.7		14,545,011			8.3
<=679	13,202,495			6.5		13,151,690			6.7		11,412,137			6.5
Total	$	203,559,859		100.0	%	$	197,091,191		100.0	%	$	174,646,273		100.0	%

Weighted average credit score	745					745					745

Gross RIF by FICO score	June 30, 2021					March 31, 2021					June 30, 2020
($ in thousands)
>=760	$	20,807,006		40.9	%	$	20,063,586		41.0	%	$	17,871,881		40.6	%
740-759	8,729,038			17.2		8,512,926			17.4		7,672,436			17.4
720-739	7,745,794			15.2		7,410,503			15.1		6,673,863			15.2
700-719	6,342,378			12.5		5,947,590			12.1		5,246,989			11.9
680-699	3,998,410			7.9		3,798,221			7.8		3,693,448			8.4
<=679	3,213,209			6.3		3,218,776			6.6		2,835,372			6.5
Total	$	50,835,835		100.0	%	$	48,951,602		100.0	%	$	43,993,989		100.0	%

Portfolio by LTV
IIF by LTV	June 30, 2021					March 31, 2021					June 30, 2020
($ in thousands)
85.00% and below	$	29,045,720		14.3	%	$	28,285,671		14.4	%	$	19,874,830		11.4	%
85.01% to 90.00%	60,027,287			29.5		58,587,812			29.7		50,446,645			28.9
90.01% to 95.00%	87,382,625			42.9		84,042,974			42.6		79,112,541			45.3
95.01% and above	27,104,227			13.3		26,174,734			13.3		25,212,257			14.4
Total	$	203,559,859		100.0	%	$	197,091,191		100.0	%	$	174,646,273		100.0	%

Weighted average LTV	92		%			92		%			92		%

Gross RIF by LTV	June 30, 2021					March 31, 2021					June 30, 2020
($ in thousands)
85.00% and below	$	3,360,970		6.6	%	$	3,260,280		6.7	%	$	2,292,935		5.2	%
85.01% to 90.00%	14,421,749			28.4		14,061,301			28.7		12,120,308			27.6
90.01% to 95.00%	25,329,870			49.8		24,287,268			49.6		22,760,884			51.7
95.01% and above	7,723,246			15.2		7,342,753			15.0		6,819,862			15.5
Total	$	50,835,835		100.0	%	$	48,951,602		100.0	%	$	43,993,989		100.0	%

Portfolio by Loan Amortization Period
IIF by Loan Amortization Period	June 30, 2021					March 31, 2021					June 30, 2020
($ in thousands)
FRM 30 years and higher	$	192,995,698		94.8	%	$	186,190,300		94.5	%	$	165,143,246		94.5	%
FRM 20-25 years	4,269,217			2.1		4,354,432			2.2		3,277,847			1.9
FRM 15 years	4,742,281			2.3		4,763,796			2.4		3,660,888			2.1
ARM 5 years and higher	1,552,663			0.8		1,782,663			0.9		2,564,292			1.5
Total	$	203,559,859		100.0	%	$	197,091,191		100.0	%	$	174,646,273		100.0	%

													Exhibit F

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

	2021						2020
($ in thousands)	June 30			March 31			December 31			September 30			June 30
GSE and other risk share (1):
Risk in Force	$	1,496,247		$	1,534,174		$	1,416,719		$	1,216,353		$	1,031,699
Reserve for losses and LAE	$	1,390		$	1,312		$	1,073		$	718		$	28

Weighted average credit score	747			747			746			747			746
Weighted average LTV	84		%	84		%	84		%	84		%	85		%

(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
June 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	$	4,330,210	7.1	%	26,195	4.30	%	82.3	%	70.2	%	4.7	%	14.6	%	42.9	%	3.3	%	1,363	5.20	%
2015	26,193,656		4,152,528		15.9		23,093	4.15		86.4		64.7		3.2		17.4		40.3		4.5		1,116	4.83
2016	34,949,319		8,275,662		23.7		42,914	3.85		87.6		64.3		8.5		15.1		43.9		6.0		2,118	4.94
2017	43,858,322		11,454,788		26.1		60,927	4.25		90.0		64.2		17.7		19.4		38.2		9.4		3,902	6.40
2018	47,508,525		12,993,723		27.4		65,716	4.77		93.4		66.4		22.7		20.2		34.2		15.3		4,740	7.21
2019	63,569,183		27,678,727		43.5		118,342	4.22		84.6		64.5		21.6		18.6		35.7		27.2		6,329	5.35
2020	107,944,065		91,202,454		84.5		320,176	3.20		61.4		50.8		11.0		11.5		44.0		20.3		3,758	1.17
2021 (through June 30)	44,258,868		43,471,767		98.2		137,380	3.02		73.7		53.5		11.6		13.9		41.7		7.0		178	0.13
Total	$	428,950,789	$	203,559,859	47.5		794,743	3.53		72.8		56.2		13.3		14.3		41.3		10.0		23,504	2.96

(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
June 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	$	12,018,660	$	3,243,956	$	333,844	$	—	$	333,844	$	216,480	$	—	$	216,480	$	—	$	208,111	$	207,359	$	1,207	$	2,419	$	12,242
2017	11,155,879		2,865,141		424,412		165,167		589,579		242,123		165,167		407,290		—		224,689		217,930		2,651		5,295		15,146
2018	12,752,743		3,245,746		473,184		118,650		591,834		325,537		76,144		401,681		—		253,643		249,912		3,197		6,383		44,631
2019 (3)	15,581,172		3,979,796		495,889		55,102		550,991		495,889		55,102		550,991		—		215,605		215,282		2,749		5,512		147,849
2019 & 2020 (4)	39,400,549		9,903,301		399,159		—		399,159		313,772		—		313,772		—		465,690		465,690		4,811		9,913		225,548
2020 & 2021 (5)	56,303,818		13,658,801		557,911		—		557,911		557,911		—		557,911		—		278,956		278,956		266		266		557,911
Total	$	147,212,821	$	36,896,741	$	2,684,399	$	338,919	$	3,023,318	$	2,151,712	$	296,413	$	2,448,125	$	—	$	1,646,694	$	1,635,129	$	14,881	$	29,788	$	1,003,327

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)	$	102,624,392	$	25,254,668	$	22,482,650	$	5,481,191	$	2,387	$	8,256	$	4,697	$	9,757	$	11,781	$	27,770	$	366,706


(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
	June 30, 2021		March 31, 2021		June 30, 2020
CA	12.9	%	12.5	%	10.6	%
TX	9.8		9.8		9.4
FL	9.3		9.0		8.2
CO	4.1		4.1		3.9
WA	3.7		3.7		4.0
AZ	3.5		3.5		3.5
IL	3.3		3.4		3.5
NJ	3.1		3.2		3.5
VA	3.1		3.1		3.2
GA	3.1		3.0		3.1
All Others	44.1		44.7		47.1
Total	100.0	%	100.0	%	100.0	%



Gross RIF by State
	June 30, 2021		March 31, 2021		June 30, 2020
CA	12.7	%	12.2	%	10.3	%
TX	10.1		10.1		9.7
FL	9.6		9.3		8.4
CO	4.1		4.0		3.8
WA	3.6		3.6		4.0
AZ	3.4		3.5		3.4
IL	3.2		3.3		3.4
GA	3.1		3.1		3.2
VA	3.0		3.0		3.2
NJ	3.0		3.1		3.4
All Others	44.2		44.8		47.2
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
	June 30			March 31			December 31			September 30			June 30
Beginning default inventory	29,080			31,469			35,464			38,068			5,841
Plus: new defaults (A)	4,934			7,422			8,745			12,614			37,357
Less: cures	(10,453		)	(9,737		)	(12,679		)	(15,135		)	(4,983		)
Less: claims paid	(46		)	(61		)	(49		)	(67		)	(144		)
Less: rescissions and denials, net	(11		)	(13		)	(12		)	(16		)	(3		)
Ending default inventory	23,504			29,080			31,469			35,464			38,068

(A) New defaults remaining as of June 30, 2021	3,813			3,408			3,158			3,448			7,821
Cure rate (1)	23		%	54		%	64		%	73		%	79		%

Total amount paid for claims (in thousands)	$	1,154		$	1,989		$	1,922		$	2,557		$	5,718
Average amount paid per claim (in thousands)	$	25		$	33		$	39		$	38		$	40
Severity	57		%	70		%	62		%	77		%	78		%

Rollforward of Reserve for Losses and LAE
	Three Months Ended
	2021						2020
($ in thousands)	June 30			March 31			December 31			September 30			June 30
Reserve for losses and LAE at beginning of period	$	409,811		$	373,868		$	307,019		$	250,862		$	73,325
Less: Reinsurance recoverables	24,907			19,061			11,898			7,761			98
Net reserve for losses and LAE at beginning of period	384,904			354,807			295,121			243,101			73,227
Add provision for losses and LAE occurring in:
Current period	24,534			47,763			63,597			55,660			181,776
Prior years	(14,961		)	(15,680		)	(1,879		)	(1,070		)	(5,911		)
Incurred losses and LAE during the period	9,573			32,083			61,718			54,590			175,865
Deduct payments for losses and LAE occurring in:
Current period	14			114			524			205			288
Prior years	1,267			1,872			1,508			2,365			5,703
Loss and LAE payments during the period	1,281			1,986			2,032			2,570			5,991
Net reserve for losses and LAE at end of period	393,196			384,904			354,807			295,121			243,101
Plus: Reinsurance recoverables	27,286			24,907			19,061			11,898			7,761
Reserve for losses and LAE at end of period	$	420,482		$	409,811		$	373,868		$	307,019		$	250,862



(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

	June 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	3,926	17	%	$	25,915	7	%	$	234,604	11	%
Four to eleven payments	9,316	40		147,383		38		585,390		25
Twelve or more payments	10,217	43		212,634		55		680,733		31
Pending claims	45	—		1,758		—		2,139		82
Total case reserves	23,504	100	%	387,690		100	%	$	1,502,866	26
IBNR				29,077
LAE				3,715
Total reserves for losses and LAE				$	420,482

Average reserve per default:
Case				$	16.5
Total				$	17.9

Default Rate	2.96%


	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%


	June 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	33,514	88	%	$	166,897	73	%	$	2,233,678	7	%
Four to eleven payments	3,813	10		39,028		17		234,152		17
Twelve or more payments	664	2		18,590		8		36,694		51
Pending claims	77	—		3,271		2		3,846		85
Total case reserves	38,068	100	%	227,786		100	%	$	2,508,370	9
IBNR				17,084
LAE				5,992
Total reserves for losses and LAE				$	250,862

Average reserve per default:
Case				$	6.0
Total				$	6.6

Default Rate	5.19%

								Exhibit L

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


Investments Available for Sale by Asset Class
Asset Class	June 30, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
U.S. Treasury securities	$	289,961		6.1	%	$	268,444	5.9	%
U.S. agency securities	16,088			0.4		18,085		0.4
U.S. agency mortgage-backed securities	1,006,655			21.2		995,905		21.8
Municipal debt securities	580,894			12.2		551,517		12.1
Non-U.S. government securities	81,528			1.7		61,607		1.3
Corporate debt securities	1,551,712			32.7		1,126,512		24.7
Residential and commercial mortgage securities	461,985			9.7		409,282		9.0
Asset-backed securities	456,069			9.6		454,717		9.9
Money market funds	301,436			6.4		679,304		14.9
Total investments available for sale	$	4,746,328		100.0	%	$	4,565,373	100.0	%

Investments Available for Sale by Credit Rating
Rating (1)	June 30, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
Aaa	$	2,251,468		47.4	%	$	2,564,746	56.2	%
Aa1	105,851			2.2		133,100		2.9
Aa2	291,517			6.1		260,462		5.7
Aa3	226,011			4.8		204,917		4.5
A1	306,340			6.5		249,710		5.5
A2	477,726			10.1		401,175		8.8
A3	283,669			6.0		229,882		5.0
Baa1	314,072			6.6		260,602		5.7
Baa2	272,914			5.7		178,926		3.9
Baa3	150,425			3.2		48,199		1.1
Below Baa3	66,335			1.4		33,654		0.7
Total investments available for sale	$	4,746,328		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	June 30, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
< 1 Year	$	1,094,953		23.0	%	$	1,568,505	34.4	%
1 to < 2 Years	549,219			11.6		581,003		12.7
2 to < 3 Years	682,585			14.4		616,069		13.5
3 to < 4 Years	601,629			12.7		426,333		9.3
4 to < 5 Years	446,775			9.4		367,633		8.1
5 or more Years	1,371,167			28.9		1,005,830		22.0
Total investments available for sale	$	4,746,328		100.0	%	$	4,565,373	100.0	%

Pre-tax investment income yield:
Three months ended June 30, 2021	1.96		%
Six months ended June 30, 2021	1.99		%

Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of June 30, 2021	$	509,775
As of December 31, 2020	$	562,714

														Exhibit M

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital

		2021						2020
		June 30			March 31			December 31			September 30			June 30
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)		$	2,809,087		$	2,778,131		$	2,659,161		$	2,581,136		$	2,457,368

Combined net risk in force (2)		$	29,646,042		$	29,358,191		$	29,493,572		$	29,821,246		$	28,787,600

Risk-to-capital ratios: (3)
	Essent Guaranty, Inc.	10.9:1			11.0:1			11.5:1			12.0:1			12.1:1
	Essent Guaranty of PA, Inc.	1.1:1			1.4:1			1.7:1			2.0:1			2.3:1
	Combined (4)	10.6:1			10.6:1			11.1:1			11.6:1			11.7:1

Essent Guaranty, Inc. PMIERs Data (5):
	Available Assets	$	3,016,050		$	2,996,651		$	2,855,923		$	2,720,432		$	2,586,394
	Minimum Required Assets	1,731,843			1,864,262			1,671,011			1,739,479			1,458,273
	PMIERs excess Available Assets	$	1,284,207		$	1,132,389		$	1,184,912		$	980,953		$	1,128,121
	PMIERs sufficiency ratio (6)	174		%	161		%	171		%	156		%	177		%

Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)		$	1,192,077		$	1,136,504		$	1,101,003		$	1,061,546		$	1,022,689

Net risk in force (2)		$	14,338,567		$	12,905,289		$	12,892,300		$	12,312,124		$	11,113,079


(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/20210806005033/en/

Contacts

Media

610.230.0556

media@essentgroup.com

Investor Relations

Christopher G. Curran

Senior Vice President – Investor Relations

855-809-ESNT

ir@essentgroup.com

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

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