Equibles

8-K

Essent Group Ltd. (ESNT)

8-K 2022-05-06 For: 2022-05-06
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Added on April 04, 2026

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d)

of the Securities Exchange Act of 1934

Date of report (Date of Earliest Event Reported): May 6, 2022

ESSENT GROUP LTD.

(Exact name of registrant as specified in its charter)

Bermuda 001-36157 Not Applicable
(State of Incorporation) (Commission File Number) (I.R.S. Employer Identification No.)

Clarendon House

2 Church Street

Hamilton HM11, Bermuda

(Address of Principal Executive Offices and Zip Code)

(441) 297‑9901

(Registrant’s telephone number, including area code)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

☐ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).

Emerging growth company        ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition

period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Securities registered pursuant to Section 12(b) of the Act:

Title of each class Trading<br>Symbol(s) Name of each exchange on which registered
Common Shares, $0.015 par value ESNT New York Stock Exchange

Item 2.02.    Results of Operations and Financial Condition

On May 6, 2022, Essent Group Ltd. (the “Company”) issued a press release announcing its financial results for the quarter ended March 31, 2022. A copy of this press release is furnished as Exhibit 99.1 to this report.

The information in this report, including Exhibit 99.1, has been “furnished” and shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to liability under that section. The information in this report shall not be incorporated by reference into any filing or other document under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such filing or document.

Item 9.01.             Financial Statements and Exhibits

| (d) | Exhibits | | --- | --- || Exhibit<br> No. | Description | | --- | --- | | 104 | Cover Page Interactive Data File - the cover page XBRL tags are embedded within the Inline XBRL document. | | 99.1 | Press Release issued by Essent Group Ltd. on May 6, 2022. |

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

Date: May 6, 2022

ESSENT GROUP LTD.

By:    /s/ Lawrence E. McAlee

Name: Lawrence E. McAlee

Title: Senior Vice President and Chief Financial Officer

Document

Exhibit 99.1

Essent Group Ltd. Announces First Quarter 2022 Results and Increases Quarterly Dividend

HAMILTON, Bermuda--(BUSINESS WIRE)--May 6, 2022--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2022 of $274.2 million or $2.52 per diluted share, compared to $135.6 million or $1.21 per diluted share for the quarter ended March 31, 2021.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.21 per common share. The dividend is payable on June 10, 2022, to shareholders of record on June 1, 2022.

“Our strong results for the quarter reflect the continued favorable credit performance of our portfolio,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our outlook on housing remains positive, and we believe that the fundamentals of our business remain solid. More importantly, with the strength of our balance sheet and buy, manage, and distribute operating model, we are built to manage through economic cycles. In connection with that, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.21 per share.”

First Quarter 2022 Financial Highlights:

•Insurance in force as of March 31, 2022 was $206.8 billion, compared to $207.2 billion as of December 31, 2021 and $197.1 billion as of March 31, 2021.

•New insurance written for the first quarter was $12.8 billion, compared to $16.4 billion in the fourth quarter of 2021 and $19.3 billion in the first quarter of 2021.

•Net premiums earned for the first quarter were $215.3 million, compared to $217.3 million in the fourth quarter of 2021 and $219.1 million in the first quarter of 2021.

•Income from other invested assets for the first quarter was $24.7 million, compared to $15.0 million in the fourth quarter of 2021.

•The expense ratio for the first quarter was 18.9%, compared to 19.0% in the fourth quarter of 2021 and 19.3% in the first quarter of 2021.

•The provision for losses and LAE for the first quarter was a benefit of $106.9 million, compared to a benefit of $3.4 million in the fourth quarter of 2021 and a provision of $32.3 million in the first quarter of 2021.

◦The provision in the first quarter of 2022 included a $101.2 million benefit associated with a change in the claim rate assumption for COVID-19 defaults recorded in the second and third quarters of 2020.

•The percentage of loans in default as of March 31, 2022 was 1.93%, compared to 2.16% as of December 31, 2021 and 3.70% as of March 31, 2021.

•The combined ratio for the first quarter was negative (30.7%), compared to 17.4% in the fourth quarter of 2021 and 34.0% in the first quarter of 2021.

•The consolidated balance of cash and investments at March 31, 2022 was $5.1 billion, which includes holding company net cash and investments available for sale of $578.6 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 9.9:1 as of March 31, 2022.

•During the quarter, we entered into a second quota share reinsurance transaction with a panel of highly rated third-party reinsurers. The quota share agreement covers 20% of all eligible policies written by Essent Guaranty, Inc. for the period January 1, 2022 through December 31, 2022.

•Essent’s Board of Directors has authorized a new share repurchase plan of up to $250 million of the Company’s common shares through December 31, 2023. The prior repurchase authorization from May 2021 was completed in April 2022.

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 888-330-2384 inside the U.S., or 240-789-2701 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; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); 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; 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, 2021 filed with the Securities and Exchange Commission on February 16, 2022, 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 March 31, 2022
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 March 31,
(In thousands, except per share amounts) 2022 2021
Revenues:
Direct premiums written $ 220,254 $ 235,257
Ceded premiums (20,523) (30,896)
Net premiums written 199,731 204,361
Decrease in unearned premiums 15,599 14,706
Net premiums earned 215,330 219,067
Net investment income 24,680 21,788
Realized investment (losses) gains, net (7,352) 641
Income from other invested assets 24,705 526
Other income 7,248 2,775
Total revenues 264,611 244,797
Losses and expenses:
(Benefit) provision for losses and LAE (106,858) 32,322
Other underwriting and operating expenses 40,796 42,239
Interest expense 2,226 2,051
Total losses and expenses (63,836) 76,612
Income before income taxes 328,447 168,185
Income tax expense 54,280 32,537
Net income $ 274,167 $ 135,648
Earnings per share:
Basic $ 2.53 $ 1.21
Diluted 2.52 1.21
Weighted average shares outstanding:
Basic 108,166 112,016
Diluted 108,590 112,378
Net income $ 274,167 $ 135,648
Other comprehensive income (loss):
Change in unrealized depreciation of investments (203,006) (59,203)
Total other comprehensive loss (203,006) (59,203)
Comprehensive income $ 71,161 $ 76,445
Loss ratio (49.6 %) 14.8 %
Expense ratio 18.9 19.3
Combined ratio (30.7 %) 34.0 %
Exhibit B
--- --- --- --- --- ---
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
December 31,
(In thousands, except per share amounts) 2021
Assets
Investments
Fixed maturities available for sale, at fair value 4,145,542 $ 4,649,800
Short-term investments available for sale, at fair value 313,087
Total investments available for sale 4,962,887
Other invested assets 170,472
Total investments 5,133,359
Cash 81,491
Accrued investment income 26,546
Accounts receivable 46,157
Deferred policy acquisition costs 12,178
Property and equipment 11,921
Prepaid federal income tax 360,810
Other assets 49,712
Total assets 5,586,145 $ 5,722,174
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE 293,072 $ 407,445
Unearned premium reserve 185,385
Net deferred tax liability 373,654
Credit facility borrowings, net of deferred costs 419,823
Other accrued liabilities 99,753
Total liabilities 1,486,060
Commitments and contingencies
Stockholders' Equity
Common shares, 0.015 par value:
Authorized - 233,333; issued and outstanding - 108,140 shares in 2022 and 109,377 shares in 2021 1,641
Additional paid-in capital 1,428,952
Accumulated other comprehensive (loss) income 50,707
Retained earnings 2,754,814
Total stockholders' equity 4,236,114
Total liabilities and stockholders' equity 5,586,145 $ 5,722,174
Return on average equity (1) % 16.8 %
(1) The 2022 return on average equity is calculated by dividing annualized year-to-date 2022 net income by average equity.  The 2021 return on average equity is calculated by dividing full year 2021 net income by average equity.

All values are in US Dollars.

Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2021
Selected Income Statement Data December 31 September 30 June 30 March 31
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio 203,312 $ 205,877 $ 207,127 $ 204,149 $ 207,840
GSE and other risk share 11,444 11,591 13,288 11,227
Net premiums earned 217,321 218,718 217,437 219,067
Net investment income 23,661 21,573 21,743 21,788
Realized investment (losses) gains, net (191) 221 (253) 641
Income from other invested assets (1) 14,997 40,741 122 526
Other income (2) 1,128 2,283 4,212 2,775
Total revenues 256,916 283,536 243,261 244,797
Losses and expenses:
(Benefit) provision for losses and LAE (3,433) (7,483) 9,651 32,322
Other underwriting and operating expenses 41,232 42,272 41,114 42,239
Interest expense 2,095 2,063 2,073 2,051
Total losses and expenses 39,894 36,852 52,838 76,612
Income before income taxes 217,022 246,684 190,423 168,185
Income tax expense (3) 36,035 41,331 30,628 32,537
Net income 274,167 $ 180,987 $ 205,353 $ 159,795 $ 135,648
Earnings per share:
Basic 2.53 $ 1.65 $ 1.85 $ 1.43 $ 1.21
Diluted 1.64 1.84 1.42 1.21
Weighted average shares outstanding:
Basic 109,550 111,001 112,118 112,016
Diluted 110,028 111,387 112,454 112,378
Book value per share 38.98 $ 38.73 $ 37.58 $ 36.32 $ 34.75
Return on average equity (annualized) % 17.2 % 19.9 % 16.0 % 13.9 %
Other Data:
Loss ratio (4) %) (1.6 %) (3.4 %) 4.4 % 14.8 %
Expense ratio (5) 19.0 19.3 18.9 19.3
Combined ratio %) 17.4 % 15.9 % 23.3 % 34.0 %
Credit Facility
Borrowings outstanding 425,000 $ 425,000 $ 325,000 $ 325,000 $ 325,000
Undrawn committed capacity 400,000 $ 400,000 $ 300,000 $ 300,000 $ 300,000
Weighted average interest rate (end of period) % 1.79 % 2.13 % 2.13 % 2.13 %
Debt-to-capital % 9.12 % 7.23 % 7.37 % 7.65 %
(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) For each of the three month periods noted, Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements as follows: March 31, 2022: 4,365; December 31, 2021: (2,931); September 30, 2021: (1,493); June 30, 2021: 950; March 31, 2021: (606).
(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 March 31, 2022, December 31, 2021 and September 30, 2021 includes 7,002, 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.

All values are in US Dollars.

Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2021
Other Data, continued: December 31 September 30 June 30 March 31
( in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written 12,841,482 $ 16,379,082 $ 23,579,884 $ 25,004,854 $ 19,254,014
New risk written 4,331,531 6,273,735 6,445,864 4,616,450
Bulk:
New insurance written — $ 416 $ — $ — $ —
New risk written 41 — — —
Total:
New insurance written 12,841,482 $ 16,379,498 $ 23,579,884 $ 25,004,854 $ 19,254,014
New risk written 3,438,016 $ 4,331,572 $ 6,273,735 $ 6,445,864 $ 4,616,450
Average insurance in force 206,631,135 $ 207,388,906 $ 206,732,478 $ 199,739,297 $ 197,749,668
Insurance in force (end of period) 206,842,996 $ 207,190,544 $ 208,216,549 $ 203,559,859 $ 197,091,191
Gross risk in force (end of period) (6) 52,847,985 $ 52,554,246 $ 52,457,020 $ 50,835,835 $ 48,951,602
Risk in force (end of period) 45,261,164 $ 45,273,383 $ 45,074,159 $ 42,906,519 $ 41,135,978
Policies in force 785,119 798,877 794,743 785,382
Weighted average coverage (7) % 25.4 % 25.2 % 25.0 % 24.8 %
Annual persistency % 65.4 % 62.2 % 58.3 % 56.1 %
Loans in default (count) 16,963 19,721 23,504 29,080
Percentage of loans in default % 2.16 % 2.47 % 2.96 % 3.70 %
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (8) % 0.42 % 0.42 % 0.43 % 0.44 %
Single premium cancellations (9) % 0.03 % 0.03 % 0.03 % 0.04 %
Gross average premium rate % 0.45 % 0.45 % 0.46 % 0.48 %
Ceded premiums %) (0.05 %) (0.05 %) (0.05 %) (0.06 %)
Net average premium rate % 0.40 % 0.40 % 0.41 % 0.42 %
(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.

All values are in US Dollars.

Exhibit D
Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow
NIW by Credit Score
December 31, 2021 March 31, 2021
( in thousands)
>=760 5,410,654 42.1 % $ 6,643,740 40.6 % $ 8,471,121 44.0 %
740-759 16.5 2,833,379 17.3 3,153,327 16.4
720-739 15.5 2,472,738 15.1 2,753,296 14.3
700-719 12.6 2,170,829 13.2 2,358,634 12.2
680-699 8.9 1,504,268 9.2 1,227,408 6.4
<=679 4.4 754,128 4.6 1,290,228 6.7
Total 12,841,482 100.0 % $ 16,379,082 100.0 % $ 19,254,014 100.0 %
Weighted average credit score 745 747
NIW by LTV
December 31, 2021 March 31, 2021
( in thousands)
85.00% and below 1,262,038 9.8 % $ 1,799,336 11.0 % $ 3,968,576 20.6 %
85.01% to 90.00% 26.6 4,372,552 26.7 6,441,997 33.5
90.01% to 95.00% 50.0 7,722,842 47.1 7,052,522 36.6
95.01% and above 13.6 2,484,352 15.2 1,790,919 9.3
Total 12,841,482 100.0 % $ 16,379,082 100.0 % $ 19,254,014 100.0 %
Weighted average LTV % 92 % 91 %
NIW by Product
December 31, 2021 March 31, 2021
Single Premium policies 1.9 % 2.7 % 6.9 %
Monthly Premium policies 98.1 97.3 93.1
100.0 % 100.0 % 100.0 %
NIW by Purchase vs. Refinance
December 31, 2021 March 31, 2021
Purchase 94.1 % 92.1 % 62.3 %
Refinance 5.9 7.9 37.7
100.0 % 100.0 % 100.0 %

All values are in US Dollars.

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 March 31, 2021
( in thousands)
>=760 85,707,070 41.4 % $ 85,501,113 41.3 % $ 81,629,166 41.4 %
740-759 17.0 35,111,019 17.0 33,969,375 17.2
720-739 15.1 31,158,325 15.0 29,323,182 14.9
700-719 12.6 26,105,790 12.6 23,775,892 12.1
680-699 8.1 16,819,629 8.1 15,241,886 7.7
<=679 5.8 12,494,668 6.0 13,151,690 6.7
Total 206,842,996 100.0 % $ 207,190,544 100.0 % $ 197,091,191 100.0 %
Weighted average credit score 745 745
Gross RIF by FICO score December 31, 2021 March 31, 2021
( in thousands)
>=760 21,707,751 41.1 % $ 21,488,011 40.9 % $ 20,063,586 41.0 %
740-759 17.1 8,992,181 17.1 8,512,926 17.4
720-739 15.3 8,029,952 15.3 7,410,503 15.1
700-719 12.7 6,693,045 12.7 5,947,590 12.1
680-699 8.2 4,299,245 8.2 3,798,221 7.8
<=679 5.6 3,051,812 5.8 3,218,776 6.6
Total 52,847,985 100.0 % $ 52,554,246 100.0 % $ 48,951,602 100.0 %
Portfolio by LTV
IIF by LTV December 31, 2021 March 31, 2021
( in thousands)
85.00% and below 26,057,055 12.6 % $ 27,362,267 13.2 % $ 28,285,671 14.4 %
85.01% to 90.00% 28.6 59,567,378 28.7 58,587,812 29.7
90.01% to 95.00% 44.7 91,350,909 44.1 84,042,974 42.6
95.01% and above 14.1 28,909,990 14.0 26,174,734 13.3
Total 206,842,996 100.0 % $ 207,190,544 100.0 % $ 197,091,191 100.0 %
Weighted average LTV % 92 % 92 %
Gross RIF by LTV December 31, 2021 March 31, 2021
( in thousands)
85.00% and below 3,062,878 5.8 % $ 3,200,124 6.1 % $ 3,260,280 6.7 %
85.01% to 90.00% 27.0 14,366,450 27.3 14,061,301 28.7
90.01% to 95.00% 51.0 26,592,162 50.6 24,287,268 49.6
95.01% and above 16.2 8,395,510 16.0 7,342,753 15.0
Total 52,847,985 100.0 % $ 52,554,246 100.0 % $ 48,951,602 100.0 %
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period December 31, 2021 March 31, 2021
( in thousands)
FRM 30 years and higher 198,658,948 96.1 % $ 198,243,758 95.7 % $ 186,190,300 94.5 %
FRM 20-25 years 1.6 3,658,366 1.8 4,354,432 2.2
FRM 15 years 1.7 3,996,684 1.9 4,763,796 2.4
ARM 5 years and higher 0.6 1,291,736 0.6 1,782,663 0.9
Total 206,842,996 100.0 % $ 207,190,544 100.0 % $ 197,091,191 100.0 %

All values are in US Dollars.

Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
2022 2021
($ in thousands) March 31 December 31 September 30 June 30 March 31
GSE and other risk share (1):
Risk in Force $ 1,888,437 $ 1,788,918 $ 1,568,800 $ 1,496,247 $ 1,534,174
Reserve for losses and LAE $ 254 $ 1,349 $ 1,389 $ 1,390 $ 1,312
Weighted average credit score 748 748 748 747 747
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
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Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
March 31, 2022
Insurance in Force
Year OriginalInsuranceWritten( in thousands) RemainingInsurancein Force( in thousands) % Remaining of Original<br>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 4.6 % 17,165 4.33 % 79.9 % 71.9 % 5.5 % 15.2 % 42.7 % 2.9 % 730 4.25 %
2015 26,193,656 2,684,417 10.2 15,613 4.17 86.5 69.6 3.6 18.1 39.7 3.5 618 3.96
2016 34,949,319 5,591,978 16.0 30,487 3.86 88.4 66.9 9.2 15.4 43.6 3.9 1,114 3.65
2017 43,858,322 7,526,131 17.2 42,330 4.26 90.7 66.7 18.9 20.1 37.9 5.8 2,042 4.82
2018 47,508,525 8,357,025 17.6 44,754 4.78 93.9 67.4 23.8 21.4 33.0 9.2 2,542 5.68
2019 63,569,183 18,001,459 28.3 81,777 4.21 86.4 65.6 22.8 18.9 35.5 13.4 3,150 3.85
2020 107,944,065 71,633,103 66.4 260,871 3.18 63.8 52.4 11.5 10.9 45.2 9.7 3,263 1.25
2021 84,218,250 77,556,621 92.1 244,657 3.07 83.0 59.3 14.1 14.0 40.4 9.4 1,456 0.60
2022 (through March 31) 12,841,482 12,730,681 99.1 36,348 3.63 94.1 63.6 13.7 13.3 42.0 2.2 8 0.02
Total 42.9 774,002 3.40 78.2 58.8 14.1 14.0 41.4 6.4 14,923 1.93
(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.

All values are in US Dollars.

Exhibit H
Essent Group Ltd. and Subsidiaries
Supplemental Information
Reinsurance Vintage Data
March 31, 2022
( in thousands)
Excess of Loss Reinsurance Original<br>Reinsurance in Force Remaining<br>Reinsurance in Force Earned Premiums Ceded
Year Remaining<br>Risk<br>in Force ILN (1) Other Reinsurance (2) Total ILN Other Reinsurance Total Losses<br>Ceded<br>to Date Original<br>First Layer<br>Retention Remaining<br>First Layer<br>Retention Year-to-Date Reduction in PMIERs Minimum Required <br>Assets (9)
2015 & 2016 7,994,097 $ 2,161,454 $ 333,844 $ — $ 333,844 $ 135,785 $ — $ 135,785 $ — $ 208,111 $ 207,023 $ 969 $ —
2017 1,908,895 424,412 165,167 589,579 242,123 165,167 407,290 — 224,689 217,185 2,662 —
2018 2,104,668 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 249,213 3,192 —
2019 (3) 2,549,289 495,889 55,102 550,991 495,889 55,102 550,991 — 215,605 215,054 2,760 13,924
2019 & 2020 (4) 7,271,864 399,159 — 399,159 102,726 — 102,726 — 465,690 465,681 2,497 32,257
2020 & 2021 (5) 11,699,693 557,911 — 557,911 557,911 — 557,911 — 278,956 278,936 3,603 503,240
2021 (6) 11,789,932 439,407 — 439,407 439,407 — 439,407 — 279,415 279,415 4,151 388,513
Total 154,332,572 $ 39,485,795 $ 3,123,806 $ 338,919 $ 3,462,725 $ 2,299,378 $ 296,413 $ 2,595,791 $ — $ 1,926,109 $ 1,912,507 $ 19,834 $ 937,934

All values are in US Dollars.

Quota Share Reinsurance
Losses Ceded Ceding Commission Earned Premiums Ceded
Year Remaining<br>Insurance<br>in Force Remaining<br>Risk<br>in Force Remaining Ceded Insurance in Force Remaining Ceded Risk in Force Year-to-Date Year-to-Date Year-to-Date Reduction in PMIERs Minimum Required <br>Assets (9)
2019 & 2020 (7) $ 79,216,280 $ 19,757,783 $ 17,451,969 $ 4,309,817 $ (6,619) $ 3,748 $ 315 $ 286,276
2022 (8) $ 12,714,671 $ 3,406,064 $ 2,542,934 $ 681,213 $ 23 $ 185 $ 374 $ 46,627
Total $ 91,930,951 $ 23,163,847 $ 19,994,903 $ 4,991,030 $ (6,596) $ 3,933 $ 689 $ 332,903
(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) Reinsurance coverage on 20% of all eligible policies written from January 1, 2022 through December 31, 2022.
(9) 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
March 31, 2022 December 31, 2021 March 31, 2021
CA 13.2 % 13.1 % 12.5 %
TX 10.0 9.9 9.8
FL 9.9 9.7 9.0
CO 4.1 4.1 4.1
WA 3.6 3.7 3.7
AZ 3.3 3.3 3.5
IL 3.3 3.3 3.4
GA 3.1 3.1 3.0
NJ 3.1 3.1 3.2
VA 3.1 3.1 3.1
All Others 43.3 43.6 44.7
Total 100.0 % 100.0 % 100.0 %
Gross RIF by State
March 31, 2022 December 31, 2021 March 31, 2021
CA 13.1 % 13.0 % 12.2 %
TX 10.4 10.2 10.1
FL 10.2 10.0 9.3
CO 4.0 4.0 4.0
WA 3.6 3.6 3.6
AZ 3.4 3.3 3.5
IL 3.2 3.2 3.3
GA 3.2 3.1 3.1
VA 3.0 3.0 3.0
NJ 3.0 3.0 3.1
All Others 42.9 43.6 44.8
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
2022 2021
March 31 December 31 September 30 June 30 March 31
Beginning default inventory 16,963 19,721 23,504 29,080 31,469
Plus: new defaults (A) 6,188 5,809 5,132 4,934 7,422
Less: cures (8,167) (8,514) (8,862) (10,453) (9,737)
Less: claims paid (55) (47) (41) (46) (61)
Less: rescissions and denials, net (6) (6) (12) (11) (13)
Ending default inventory 14,923 16,963 19,721 23,504 29,080
(A) New defaults remaining as of March 31, 2022 4,347 2,243 1,453 1,042 1,165
Cure rate (1) 30 % 61 % 72 % 79 % 84 %
Total amount paid for claims (in thousands) $ 826 $ 992 $ 1,069 $ 1,154 $ 1,989
Average amount paid per claim (in thousands) $ 15 $ 21 $ 26 $ 25 $ 33
Severity 35 % 45 % 60 % 57 % 70 %
Rollforward of Reserve for Losses and LAE
Three Months Ended
2022 2021
($ in thousands) March 31 December 31 September 30 June 30 March 31
Reserve for losses and LAE at beginning of period $ 406,096 $ 411,567 $ 420,482 $ 409,811 $ 373,868
Less: Reinsurance recoverables 25,940 26,970 27,286 24,907 19,061
Net reserve for losses and LAE at beginning of period 380,156 384,597 393,196 384,904 354,807
Add provision for losses and LAE occurring in:
Current period 24,346 13,231 11,371 24,534 47,763
Prior years (130,114) (16,624) (18,853) (14,961) (15,680)
Incurred losses and LAE during the period (105,768) (3,393) (7,482) 9,573 32,083
Deduct payments for losses and LAE occurring in:
Current period 1 157 103 14 114
Prior years 904 891 1,014 1,267 1,872
Loss and LAE payments during the period 905 1,048 1,117 1,281 1,986
Net reserve for losses and LAE at end of period 273,483 380,156 384,597 393,196 384,904
Plus: Reinsurance recoverables 19,335 25,940 26,970 27,286 24,907
Reserve for losses and LAE at end of period $ 292,818 $ 406,096 $ 411,567 $ 420,482 $ 409,811
(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
Percentage of <br>Policies in <br>Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of <br>Defaulted RIF
( in thousands)
Missed Payments:
Three payments or less 29 % $ 21,348 8 % $ 269,069 8 %
Four to eleven payments 33 64,332 24 312,976 21
Twelve or more payments 37 181,859 67 347,926 52
Pending claims 1 2,753 1 3,341 82
Total case reserves 100 % 270,292 100 % $ 933,312 29
IBNR 20,272
LAE 2,254
Total reserves for losses and LAE $ 292,818
Average reserve per default:
Case $ 18.1
Total $ 19.6
Default Rate
Percentage of <br>Policies in <br>Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of <br>Defaulted RIF
( in thousands)
Missed Payments:
Three payments or less 24 % $ 20,712 5 % $ 243,511 9 %
Four to eleven payments 32 77,822 21 349,494 22
Twelve or more payments 43 274,465 73 470,859 58
Pending claims 1 2,397 1 2,852 84
Total case reserves 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
Percentage of <br>Policies in <br>Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of <br>Defaulted RIF
( in thousands)
Missed Payments:
Three payments or less 19 % $ 39,244 10 % $ 329,223 12 %
Four to eleven payments 56 215,949 57 1,022,979 21
Twelve or more payments 25 120,128 32 500,658 24
Pending claims — 1,758 1 2,236 79
Total case reserves 100 % 377,079 100 % $ 1,855,096 20
IBNR 28,281
LAE 4,451
Total reserves for losses and LAE $ 409,811
Average reserve per default:
Case $ 13.0
Total $ 14.1
Default Rate

All values are in US Dollars.

Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class March 31, 2022 December 31, 2021
($ in thousands) Fair Value Percent Fair Value Percent
U.S. Treasury securities $ 423,640 9.1 % $ 448,793 9.1 %
U.S. agency securities — — 5,504 0.1
U.S. agency mortgage-backed securities 854,775 18.3 1,008,863 20.3
Municipal debt securities 512,185 11.0 627,599 12.7
Non-U.S. government securities 71,743 1.5 79,743 1.6
Corporate debt securities 1,283,644 27.5 1,455,247 29.3
Residential and commercial mortgage securities 538,870 11.6 545,423 11.0
Asset-backed securities 594,451 12.8 581,703 11.7
Money market funds 383,597 8.2 210,012 4.2
Total investments available for sale $ 4,662,905 100.0 % $ 4,962,887 100.0 %
Investments Available for Sale by Credit Rating
Rating (1) March 31, 2022 December 31, 2021
($ in thousands) Fair Value Percent Fair Value Percent
Aaa $ 2,372,351 50.9 % $ 2,412,273 48.6 %
Aa1 80,491 1.7 96,331 1.9
Aa2 334,764 7.2 354,951 7.2
Aa3 212,344 4.5 221,914 4.5
A1 275,127 5.9 263,820 5.3
A2 413,390 8.9 427,282 8.6
A3 240,922 5.2 274,525 5.5
Baa1 226,229 4.8 305,204 6.1
Baa2 218,244 4.7 274,011 5.5
Baa3 190,644 4.1 240,755 4.9
Below Baa3 98,399 2.1 91,821 1.9
Total investments available for sale $ 4,662,905 100.0 % $ 4,962,887 100.0 %
(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 March 31, 2022 December 31, 2021
($ in thousands) Fair Value Percent Fair Value Percent
< 1 Year $ 1,277,568 27.4 % $ 1,104,397 22.2 %
1 to < 2 Years 398,752 8.6 561,297 11.3
2 to < 3 Years 412,012 8.8 539,174 10.9
3 to < 4 Years 514,026 11.0 593,663 12.0
4 to < 5 Years 615,448 13.2 663,127 13.4
5 or more Years 1,445,099 31.0 1,501,229 30.2
Total investments available for sale $ 4,662,905 100.0 % $ 4,962,887 100.0 %
Pre-tax investment income yield:
Three months ended March 31, 2022 2.10 %
Holding company net cash and investments available for sale:
--- ---
( in thousands)
As of March 31, 2022 578,579
As of December 31, 2021 618,306

All values are in US Dollars.

Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
2022 2021
March 31 December 31 September 30 June 30 March 31
( in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 3,058,880 $ 2,950,107 $ 2,916,802 $ 2,809,087 $ 2,778,131
Combined net risk in force (2) $ 30,331,197 $ 30,660,272 $ 30,766,379 $ 29,646,042 $ 29,358,191
Risk-to-capital ratios: (3)
10.3:1 10.8:1 10.9:1 10.9:1 11.0:1
0.7:1 0.8:1 1.0:1 1.1:1 1.4:1
9.9:1 10.4:1 10.5:1 10.6:1 10.6:1
Essent Guaranty, Inc. PMIERs Data (5):
$ 3,194,939 $ 3,170,881 $ 3,161,780 $ 3,016,050 $ 2,996,651
1,840,069 1,791,551 1,951,096 1,731,843 1,864,262
$ 1,354,870 $ 1,379,330 $ 1,210,684 $ 1,284,207 $ 1,132,389
174 % 177 % 162 % 174 % 161 %
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 1,330,840 $ 1,301,937 $ 1,249,996 $ 1,192,077 $ 1,136,504
Net risk in force (2) $ 16,527,587 $ 15,997,129 $ 15,466,651 $ 14,338,567 $ 12,905,289
(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.

All values are in US Dollars.

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