Essent Group Ltd. Announces First Quarter 2021 Results, Increase of Quarterly Dividend, & Board Authorization of $250 Million...

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2021 of $135.6 million or $1.21 per diluted share, compared to $149.5 million or $1.52 per diluted share for the quarter ended March 31, 2020.

Essent also announced today that its Board of Directors has authorized a $250 million share repurchase plan to be executed by the end of 2022 and declared a quarterly cash dividend of $0.17 per common share. The dividend is payable on June 10, 2021, to shareholders of record on June 1, 2021.

"We are pleased with our financial results for the first quarter which we believe demonstrate a return to pre-COVID-19 profitability, as the U.S. economy gains momentum coming out of the pandemic and our defaults continue to normalize,” said Mark A. Casale, Chairman and Chief Executive Officer. “At quarter end, our capital position remains strong as our buy, manage and distribute operating model has our franchise well positioned. As a reflection of this, we are pleased to announce our $250 million share repurchase program and $0.01 per share increase in our quarterly dividend."

First Quarter 2021 Financial Highlights:

Insurance in force as of March 31, 2021 was $197.1 billion, compared to $198.9 billion as of December 31, 2020 and $165.6 billion as of March 31, 2020.

New insurance written for the first quarter was $19.3 billion, compared to $29.6 billion in the fourth quarter of 2020 and $13.5 billion in the first quarter of 2020.

Net premiums earned for the first quarter were $219.1 million, compared to $222.3 million in the fourth quarter of 2020 and $206.5 million in the first quarter of 2020.

The expense ratio for the first quarter was 19.3%, compared to 16.6% in the fourth quarter of 2020 and 20.3% in the first quarter of 2020.

The provision for losses and LAE for the first quarter was $32.3 million, compared to a provision of $62.1 million in the fourth quarter of 2020 and a provision of $8.1 million in the first quarter of 2020.

The percentage of loans in default as of March 31, 2021 was 3.70%, compared to 3.93% as of December 31, 2020 and 0.83% as of March 31, 2020.

The combined ratio for the first quarter was 34.0%, compared to 44.5% in the fourth quarter of 2020 and 24.2% in the first quarter of 2020.

The consolidated balance of cash and investments at March 31, 2021 was $4.9 billion, including cash and investment balances at Essent Group Ltd. of $540.3 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 10.6:1 as of March 31, 2021.

Income taxes for the quarter ended March 31, 2021 include $5.7 million of discrete tax expense associated with an increase in our state deferred income tax liability.

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 833-287-0797 inside the U.S., or 647-689-4456 for international callers, using passcode 4881985 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 4881985.

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 March 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 March 31,

(In thousands, except per share amounts)

2021

2020

Revenues:

Direct premiums written

235,257

205,980

Ceded premiums

(30,896)

(14,237)

Net premiums written

204,361

191,743

Decrease in unearned premiums

14,706

14,753

Net premiums earned

219,067

206,496

Net investment income

21,788

20,633

Realized investment gains, net

641

3,135

Other income (loss)

3,301

(1,424)

Total revenues

244,797

228,840

Losses and expenses:

Provision for losses and LAE

32,322

8,063

Other underwriting and operating expenses

42,239

41,947

Interest expense

2,051

2,132

Total losses and expenses

76,612

52,142

Income before income taxes

168,185

176,698

Income tax expense

32,537

27,175

Net income

135,648

149,523

Earnings per share:

Basic

1.21

1.53

Diluted

1.21

1.52

Weighted average shares outstanding:

Basic

112,016

97,949

Diluted

112,378

98,326

Net income

135,648

149,523

Other comprehensive income (loss):

Change in unrealized depreciation of investments

(59,203)

(10,074)

Total other comprehensive loss

(59,203)

(10,074)

Comprehensive income

76,445

139,449

Loss ratio

14.8

3.9

Expense ratio

19.3

20.3

Combined ratio

34.0

24.2

Exhibit B

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

March 31,

December 31,

(In thousands, except per share amounts)

2021

2020

Assets

Investments

Fixed maturities available for sale, at fair value

4,252,144

3,838,513

Short-term investments available for sale, at fair value

449,332

726,860

Total investments available for sale

4,701,476

4,565,373

Other invested assets

100,393

88,904

Total investments

4,801,869

4,654,277

Cash

81,022

102,830

Accrued investment income

23,600

19,948

Accounts receivable

45,618

50,140

Deferred policy acquisition costs

14,723

17,005

Property and equipment

14,258

15,095

Prepaid federal income tax

302,636

Other assets

48,120

40,793

Total assets

5,331,846

5,202,724

Liabilities and Stockholders' Equity

Liabilities

Reserve for losses and LAE

411,123

374,941

Unearned premium reserve

235,730

250,436

Net deferred tax liability

318,622

305,109

Credit facility borrowings, net of deferred costs

322,018

321,720

Other accrued liabilities

123,416

87,885

Total liabilities

1,410,909

1,340,091

Commitments and contingencies

Stockholders' Equity

Common shares, $0.015 par value:

Authorized - 233,333; issued and outstanding - 112,847 shares in 2021 and 112,423 shares in 2020

1,693

1,686

Additional paid-in capital

1,571,134

1,571,163

Accumulated other comprehensive income

79,071

138,274

Retained earnings

2,269,039

2,151,510

Total stockholders' equity

3,920,937

3,862,633

Total liabilities and stockholders' equity

5,331,846

5,202,724

Return on average equity (1)

13.9

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

March 31

December 31

September 30

June 30

March 31

(In thousands, except per share amounts)

Revenues:

Net premiums earned:

U.S. Mortgage Insurance Portfolio

207,840

208,715

211,126

200,816

195,718

GSE and other risk share

11,227

13,624

11,132

10,655

10,778

Net premiums earned

219,067

222,339

222,258

211,471

206,496

Other revenues (1)

25,730

24,860

20,780

24,606

22,344

Total revenues

244,797

247,199

243,038

236,077

228,840

Losses and expenses:

Provision for losses and LAE

32,322

62,073

55,280

175,877

8,063

Other underwriting and operating expenses

42,239

36,825

37,100

38,819

41,947

Interest expense

2,051

2,149

2,227

2,566

2,132

Total losses and expenses

76,612

101,047

94,607

217,262

52,142

Income before income taxes

168,185

146,152

148,431

18,815

176,698

Income tax expense (2)

32,537

22,550

23,895

3,435

27,175

Net income

135,648

123,602

124,536

15,380

149,523

Earnings per share:

Basic

1.21

1.10

1.11

0.15

1.53

Diluted

1.21

1.10

1.11

0.15

1.52

Weighted average shares outstanding:

Basic

112,016

111,908

102,500

97,949

Diluted

112,378

112,310

112,134

102,605

98,326

Book value per share

34.75

34.36

33.33

32.23

31.51

Return on average equity (annualized)

13.9

13.0

13.5

1.8

19.6

Other Data:

Loss ratio (3)

14.8

27.9

24.9

83.2

3.9

Expense ratio (4)

19.3

16.6

16.7

18.4

20.3

Combined ratio

34.0

44.5

41.6

101.5

24.2

Credit Facility

Borrowings outstanding

325,000

425,000

Undrawn committed capacity

300,000

75,000

Weighted average interest rate (end of period)

2.13

2.19

1.90

1.93

2.87

Debt-to-capital

7.65

7.76

10.19

10.50

12.03

(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: March 31, 2021: ($606); December 31, 2020: ($209); September 30, 2020: ($677); June 30, 2020: $2,502; March 31, 2020: ($4,200).

(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. Income tax expense for the three months ended March 31, 2020 was reduced by $620 of excess tax benefits associated with the vesting of common shares and common share units during each period.

(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:

March 31

December 31

September 30

June 30

March 31

($ in thousands)

U.S. Mortgage Insurance Portfolio

Flow:

New insurance written

19,254,014

29,566,820

36,664,583

28,163,212

13,549,299

New risk written

4,616,450

7,051,173

8,938,544

6,875,250

3,384,171

Bulk:

New insurance written

—

151

New risk written

—

Total:

New insurance written

19,254,014

29,566,820

36,664,583

28,163,212

13,549,450

New risk written

4,616,450

7,051,173

8,938,544

6,875,250

3,384,195

Average insurance in force

197,749,668

195,670,925

183,135,315

168,635,275

164,782,361

Insurance in force (end of period)

197,091,191

198,882,352

190,811,292

174,646,273

165,615,503

Gross risk in force (end of period) (5)

48,951,602

49,565,150

47,838,668

43,993,989

41,865,977

Risk in force (end of period)

41,135,978

41,339,262

41,219,216

39,113,879

38,290,022

Policies in force

785,382

799,893

781,836

733,651

706,714

Weighted average coverage (6)

24.8

24.9

25.1

25.2

25.3

Annual persistency

56.1

60.1

64.2

67.9

73.9

Loans in default (count)

29,080

31,469

35,464

38,068

5,841

Percentage of loans in default

3.70

3.93

4.54

5.19

0.83

U.S. Mortgage Insurance Portfolio premium rate:

Base average premium rate (7)

0.44

0.45

0.47

Single premium cancellations (8)

0.04

0.05

0.06

0.04

Gross average premium rate

0.48

0.49

0.51

0.53

0.51

Ceded premiums

(0.06

(0.05

(0.03

Net average premium rate

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

March 31, 2021

December 31, 2020

March 31, 2020

($ in thousands)

>=760

8,471,121

44.0

13,330,379

45.1

5,655,716

41.8

740-759

3,153,327

16.4

5,069,530

17.1

2,458,032

18.1

720-739

2,753,296

14.3

4,134,782

14.0

2,018,874

14.9

700-719

2,358,634

12.2

3,385,670

11.5

1,558,743

11.5

680-699

1,227,408

6.4

1,743,694

5.9

1,044,918

7.7

<=679

1,290,228

6.7

1,902,765

6.4

813,016

6.0

Total

19,254,014

100.0

29,566,820

100.0

13,549,299

100.0

Weighted average credit score

747

748

746

NIW by LTV

Three Months Ended

March 31, 2021

December 31, 2020

March 31, 2020

($ in thousands)

85.00% and below

3,968,576

20.6

6,317,550

21.4

1,963,476

14.5

85.01% to 90.00%

6,441,997

33.5

9,629,373

32.6

3,987,274

29.4

90.01% to 95.00%

7,052,522

36.6

11,134,923

37.6

5,685,880

42.0

95.01% and above

1,790,919

9.3

2,484,974

8.4

1,912,669

14.1

Total

19,254,014

100.0

29,566,820

100.0

13,549,299

100.0

Weighted average LTV

NIW by Product

Three Months Ended

March 31, 2021

December 31, 2020

March 31, 2020

Single Premium policies

6.9

7.7

9.7

Monthly Premium policies

93.1

92.3

90.3

100.0

NIW by Purchase vs. Refinance

Three Months Ended

March 31, 2021

December 31, 2020

March 31, 2020

Purchase

62.3

61.6

69.2

Refinance

37.7

38.4

30.8

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

March 31, 2021

December 31, 2020

March 31, 2020

($ in thousands)

>=760

81,629,166

41.4

82,452,139

41.5

68,385,363

41.3

740-759

33,969,375

17.2

34,538,761

17.3

28,289,661

17.1

720-739

29,323,182

14.9

29,599,646

14.9

24,441,834

14.7

700-719

23,775,892

12.1

23,807,982

12.0

19,442,133

11.7

680-699

15,241,886

7.7

15,538,235

7.8

13,859,727

8.4

<=679

13,151,690

6.7

12,945,589

6.5

11,196,785

6.8

Total

197,091,191

100.0

198,882,352

100.0

165,615,503

100.0

Weighted average credit score

745

Gross RIF by FICO score

March 31, 2021

December 31, 2020

March 31, 2020

($ in thousands)

>=760

20,063,586

41.0

20,336,799

41.0

17,138,596

40.9

740-759

8,512,926

17.4

8,682,265

17.5

7,181,181

17.2

720-739

7,410,503

15.1

7,504,065

15.1

6,262,376

15.0

700-719

5,947,590

12.1

5,970,851

12.1

4,950,746

11.8

680-699

3,798,221

7.8

3,887,059

7.9

3,537,973

8.4

<=679

3,218,776

6.6

3,184,111

6.4

2,795,105

6.7

Total

48,951,602

100.0

49,565,150

100.0

41,865,977

100.0

Portfolio by LTV

IIF by LTV

March 31, 2021

December 31, 2020

March 31, 2020

($ in thousands)

85.00% and below

28,285,671

14.4

27,308,296

13.7

17,304,231

10.5

85.01% to 90.00%

58,587,812

29.7

58,606,394

29.5

47,063,180

28.4

90.01% to 95.00%

84,042,974

42.6

86,169,485

43.3

77,059,950

46.5

95.01% and above

26,174,734

13.3

26,798,177

13.5

24,188,142

14.6

Total

197,091,191

100.0

198,882,352

100.0

165,615,503

100.0

Weighted average LTV

Gross RIF by LTV

March 31, 2021

December 31, 2020

March 31, 2020

($ in thousands)

85.00% and below

3,260,280

6.7

3,142,034

6.3

1,997,845

4.8

85.01% to 90.00%

14,061,301

28.7

14,061,553

28.4

11,322,131

27.0

90.01% to 95.00%

24,287,268

49.6

24,895,471

50.2

22,110,369

52.8

95.01% and above

7,342,753

15.0

7,466,092

15.1

6,435,632

15.4

Total

48,951,602

100.0

49,565,150

100.0

41,865,977

100.0

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

March 31, 2021

December 31, 2020

March 31, 2020

($ in thousands)

FRM 30 years and higher

186,190,300

94.5

187,704,000

94.4

156,741,714

94.6

FRM 20-25 years

4,354,432

2.2

4,365,585

2.2

2,829,876

1.7

FRM 15 years

4,763,796

2.4

4,776,068

2.4

3,230,148

2.0

ARM 5 years and higher

1,782,663

0.9

2,036,699

1.0

2,813,765

1.7

Total

197,091,191

100.0

198,882,352

100.0

165,615,503

100.0

Exhibit F

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

2021

2020

($ in thousands)

March 31

December 31

September 30

June 30

March 31

GSE and other risk share (1):

Risk in Force

1,534,174

1,416,719

1,216,353

1,031,699

1,100,966

Reserve for losses and LAE

1,312

1,073

718

Weighted average credit score

747

746

747

746

Weighted average LTV

(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

March 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

5,129,571

8.5

30,610

4.29

82.8

69.9

4.5

14.2

43.1

3.3

1,715

5.60

2015

26,193,656

4,850,420

18.5

26,439

4.15

86.4

64.1

3.2

17.1

40.6

4.5

1,422

5.38

2016

34,949,319

9,643,407

27.6

48,920

3.85

87.3

63.7

8.3

14.9

44.1

6.2

2,760

5.64

2017

43,858,322

13,655,157

31.1

70,677

4.25

89.7

63.7

17.2

18.9

38.7

9.6

5,017

7.10

2018

47,508,525

15,685,099

33.0

77,094

4.76

93.3

66.1

22.1

19.5

34.9

16.0

6,106

7.92

2019

63,569,183

32,499,325

51.1

135,127

4.22

84.0

64.1

21.2

18.5

35.9

29.9

8,222

6.08

2020

107,944,065

96,534,141

89.4

335,081

3.21

60.9

50.5

10.9

11.7

43.9

23.5

3,819

1.14

2021 (through March 31)

19,254,014

19,094,071

99.2

61,434

2.87

62.3

46.0

9.3

13.1

43.9

2.4

0.03

Total

403,945,935

197,091,191

48.8

785,382

3.62

71.9

55.9

13.3

14.4

41.4

10.3

29,080

3.70

(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

March 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

Year-to-Date

Reduction in PMIERs Minimum Required Assets (6)

2015 & 2016

13,987,747

3,777,142

333,844

—

333,844

216,480

—

216,480

—

208,111

207,588

1,212

48,644

2017

13,285,965

3,404,783

424,412

165,167

589,579

242,123

165,167

407,290

—

224,689

218,262

2,644

53,839

2018

15,328,438

3,897,423

473,184

118,650

591,834

325,537

76,144

401,681

—

253,643

250,350

3,186

98,593

2019 (3)

18,493,963

4,724,213

495,889

55,102

550,991

495,889

55,102

550,991

—

215,605

215,481

2,763

227,756

2019 & 2020 (4)

43,365,923

10,872,860

399,159

—

399,159

—

399,159

—

465,690

5,102

289,031

Total

104,462,036

26,676,421

2,126,488

338,919

2,465,407

1,679,188

296,413

1,975,601

—

1,367,738

1,357,371

14,907

717,863

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

Year-to-Date

Reduction in PMIERs Minimum Required Assets (6)

2019 & 2020

(5)

109,753,017

26,943,264

24,013,881

5,840,023

5,869

5,060

15,989

389,362

(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 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.

(6) 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, 2021

December 31, 2020

March 31, 2020

12.5

12.0

10.4

9.8

9.7

8.9

9.0

8.7

8.0

4.1

3.8

3.7

3.8

4.2

3.5

3.6

3.3

3.4

3.6

3.2

3.3

3.6

3.1

3.0

3.1

All Others

44.7

45.3

48.0

Total

100.0

Gross RIF by State

March 31, 2021

December 31, 2020

March 31, 2020

12.2

11.8

10.1

10.0

9.2

9.3

9.0

8.2

4.0

4.1

3.7

3.6

3.8

4.2

3.5

3.3

3.5

3.1

3.2

3.5

3.1

3.2

3.0

3.1

All Others

44.8

45.1

48.0

Total

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

March 31

December 31

September 30

June 30

March 31

Beginning default inventory

31,469

35,464

38,068

5,841

5,947

Plus: new defaults (A)

7,422

8,745

12,614

37,357

3,933

Less: cures

(9,737)

(12,679)

(15,135)

(4,983)

(3,914)

Less: claims paid

(61)

(49)

(67)

(144)

(118)

Less: rescissions and denials, net

(13)

(12)

(16)

(3)

(7)

Ending default inventory

29,080

31,469

35,464

38,068

5,841

(A) New defaults remaining as of March 31, 2021

5,775

4,640

5,009

11,450

764

Cure rate (1)

Total amount paid for claims (in thousands)

1,989

1,922

2,557

5,718

4,157

Average amount paid per claim (in thousands)

Severity

Rollforward of Reserve for Losses and LAE

Three Months Ended

2021

2020

($ in thousands)

March 31

December 31

September 30

June 30

March 31

Reserve for losses and LAE at beginning of period

373,868

307,019

250,862

73,325

69,183

Less: Reinsurance recoverables

19,061

11,898

7,761

Net reserve for losses and LAE at beginning of period

354,807

295,121

243,101

73,227

69,112

Add provision for losses and LAE occurring in:

Current period

47,763

63,597

55,660

181,776

15,419

Prior years

(15,680)

(1,879)

(1,070)

(5,911)

(7,193)

Incurred losses and LAE during the period

32,083

61,718

54,590

175,865

8,226

Deduct payments for losses and LAE occurring in:

Current period

114

524

205

288

Prior years

1,872

1,508

2,365

5,703

4,110

Loss and LAE payments during the period

1,986

2,032

2,570

5,991

4,111

Net reserve for losses and LAE at end of period

384,904

354,807

295,121

243,101

73,227

Plus: Reinsurance recoverables

24,907

19,061

11,898

7,761

Reserve for losses and LAE at end of period

409,811

373,868

307,019

250,862

73,325

(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

March 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

5,487

39,244

329,223

Four to eleven payments

16,157

215,949

1,022,979

Twelve or more payments

7,393

120,128

500,658

Pending claims

—

1,758

2,236

Total case reserves

29,080

100

377,079

100

1,855,096

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

3.70%

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

47,905

384,668

Four to eleven payments

23,543

260,593

1,553,593

Twelve or more payments

1,243

32,593

67,501

Pending claims

—

2,199

2,843

Total case reserves

31,469

100

343,290

100

2,008,605

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%

March 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

3,043

15,128

170,374

Four to eleven payments

2,140

30,493

114,135

Twelve or more payments

518

15,235

29,596

Pending claims

140

6,241

7,074

Total case reserves

5,841

100

67,097

100

321,179

IBNR

5,032

LAE

1,196

Total reserves for losses and LAE

73,325

Average reserve per default:

Case

11.5

Total

12.6

Default Rate

0.83%

Exhibit L

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

Investments Available for Sale by Asset Class

Asset Class

March 31, 2021

December 31, 2020

($ in thousands)

Fair Value

Percent

Fair Value

Percent

U.S. Treasury securities

262,309

5.6

268,444

5.9

U.S. agency securities

16,138

0.3

18,085

0.4

U.S. agency mortgage-backed securities

1,022,991

21.7

995,905

21.8

Municipal debt securities

572,263

12.2

551,517

12.1

Non-U.S. government securities

79,280

1.7

61,607

1.3

Corporate debt securities

1,414,938

30.1

1,126,512

24.7

Residential and commercial mortgage securities

446,208

9.5

409,282

9.0

Asset-backed securities

473,804

10.1

454,717

9.9

Money market funds

413,545

8.8

679,304

14.9

Total investments available for sale

4,701,476

100.0

4,565,373

100.0

Investments Available for Sale by Credit Rating

Rating (1)

March 31, 2021

December 31, 2020

($ in thousands)

Fair Value

Percent

Fair Value

Percent

Aaa

2,310,267

49.1

2,564,746

56.2

Aa1

138,510

3.0

133,100

2.9

Aa2

288,583

6.1

260,462

5.7

Aa3

217,683

4.6

204,917

4.5

266,937

5.7

249,710

5.5

426,285

9.1

401,175

8.8

278,424

5.9

229,882

5.0

Baa1

296,627

6.3

260,602

5.7

Baa2

274,367

5.8

178,926

3.9

Baa3

140,688

3.0

48,199

1.1

Below Baa3

63,105

1.4

33,654

0.7

Total investments available for sale

4,701,476

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

March 31, 2021

December 31, 2020

($ in thousands)

Fair Value

Percent

Fair Value

Percent

< 1 Year

1,158,371

24.6

1,568,505

34.4

1 to < 2 Years

443,897

9.4

581,003

12.7

2 to < 3 Years

708,723

15.1

616,069

13.5

3 to < 4 Years

473,707

10.1

426,333

9.3

4 to < 5 Years

511,955

10.9

367,633

8.1

5 or more Years

1,404,823

29.9

1,005,830

22.0

Total investments available for sale

4,701,476

100.0

4,565,373

100.0

Pre-tax investment income yield:

Three months ended March 31, 2021

2.02

Net cash and investments at holding company, Essent Group Ltd.:

($ in thousands)

As of March 31, 2021

540,330

As of December 31, 2020

562,714

Exhibit M

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

2021

2020

March 31

December 31

September 30

June 30

March 31

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:

Combined statutory capital (1)

2,778,131

2,659,161

2,581,136

2,457,368

2,452,730

Combined net risk in force (2)

29,358,191

29,493,572

29,821,246

28,787,600

28,729,105

Risk-to-capital ratios: (3)

Essent Guaranty, Inc.

11.0:1

11.5:1

12.0:1

12.1:1

Essent Guaranty of PA, Inc.

1.4:1

1.7:1

2.0:1

2.3:1

2.7:1

Combined (4)

10.6:1

11.1:1

11.6:1

11.7:1

Essent Guaranty, Inc. PMIERs Data (5):

Available Assets

2,996,651

2,855,923

2,720,432

2,586,394

2,453,705

Minimum Required Assets

1,864,262

1,671,011

1,739,479

1,458,273

1,226,824

PMIERs excess Available Assets

1,132,389

1,184,912

980,953

1,128,121

1,226,881

PMIERs sufficiency ratio (6)

161

171

156

177

200

Essent Reinsurance Ltd.:

Stockholder's equity (GAAP basis)

1,136,504

1,101,003

1,061,546

1,022,689

1,005,038

Net risk in force (2)

12,905,289

12,892,300

12,312,124

11,113,079

10,589,736

(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/20210507005093/en/

Media Contact 610.230.0556 media@essentgroup.com Investor Relations Contact Christopher G. Curran Senior Vice President – Investor Relations 855-809-ESNT ir@essentgroup.com

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