EX-99.1 2 a63021financialsupplement.htm EX-99.1 Document

Exhibit 99.1

Essent Group Ltd. Announces Second Quarter 2021 Results & Increases Quarterly Dividend
HAMILTON, Bermuda--(BUSINESS WIRE)--August 6, 2021--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 ACondensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit BCondensed Consolidated Balance Sheets (Unaudited)
Exhibit CHistorical Quarterly Data
Exhibit DNew Insurance Written
Exhibit EInsurance in Force and Risk in Force
Exhibit FOther Risk in Force
Exhibit GPortfolio Vintage Data
Exhibit HReinsurance Vintage Data
Exhibit IPortfolio Geographic Data
Exhibit JRollforward of Defaults and Reserve for Losses and LAE
Exhibit KDetail of Reserves by Default Delinquency
Exhibit LInvestments Available for Sale
Exhibit MInsurance 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)2021202020212020
Revenues:
Direct premiums written$228,949 $228,044 $464,206 $434,024 
Ceded premiums(26,662)(22,140)(57,558)(36,377)
Net premiums written202,287 205,904 406,648 397,647 
Decrease in unearned premiums15,150 5,567 29,856 20,320 
Net premiums earned217,437 211,471 436,504 417,967 
Net investment income21,743 19,866 43,531 40,499 
Realized investment (losses) gains, net(253)(1,269)388 1,866 
Other income4,334 6,009 7,635 4,585 
Total revenues243,261 236,077 488,058 464,917 
Losses and expenses:
Provision for losses and LAE9,651 175,877 41,973 183,940 
Other underwriting and operating expenses41,114 38,819 83,353 80,766 
Interest expense2,073 2,566 4,124 4,698 
Total losses and expenses52,838 217,262 129,450 269,404 
Income before income taxes190,423 18,815 358,608 195,513 
Income tax expense30,628 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 
Diluted1.42 0.15 2.63 1.64 
Weighted average shares outstanding:
Basic112,118 102,500 112,067 100,224 
Diluted112,454 102,605 112,416 100,466 
Net income$159,795 $15,380 $295,443 $164,903 
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments36,360 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 ratio4.4 %83.2 %9.6 %44.0 %
Expense ratio18.9 18.4 19.1 19.3 
Combined ratio23.3 %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)20212020
Assets
Investments
Fixed maturities available for sale, at fair value$4,374,008 $3,838,513 
Short-term investments available for sale, at fair value372,320 726,860 
Total investments available for sale4,746,328 4,565,373 
Other invested assets145,310 88,904 
Total investments4,891,638 4,654,277 
Cash142,140 102,830 
Accrued investment income24,468 19,948 
Accounts receivable53,127 50,140 
Deferred policy acquisition costs14,070 17,005 
Property and equipment12,989 15,095 
Prepaid federal income tax332,886 302,636 
Other assets50,471 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 reserve220,580 250,436 
Net deferred tax liability343,098 305,109 
Credit facility borrowings, net of deferred costs322,316 321,720 
Other accrued liabilities129,095 87,885 
Total liabilities1,436,961 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 20201,687 1,686 
Additional paid-in capital1,558,142 1,571,163 
Accumulated other comprehensive income115,431 138,274 
Retained earnings2,409,568 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
20212020
Selected Income Statement DataJune 30March 31December 31September 30June 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 share13,288 11,227 13,624 11,132 10,655 
Net premiums earned217,437 219,067 222,339 222,258 211,471 
Other revenues (1)
25,824 25,730 24,860 20,780 24,606 
Total revenues243,261 244,797 247,199 243,038 236,077 
Losses and expenses:
Provision for losses and LAE9,651 32,322 62,073 55,280 175,877 
Other underwriting and operating expenses41,114 42,239 36,825 37,100 38,819 
Interest expense2,073 2,051 2,149 2,227 2,566 
Total losses and expenses52,838 76,612 101,047 94,607 217,262 
Income before income taxes190,423 168,185 146,152 148,431 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 
   Diluted1.42 1.21 1.10 1.11 0.15 
Weighted average shares outstanding:
   Basic112,118 112,016 111,908 111,908 102,500 
   Diluted112,454 112,378 112,310 112,134 102,605 
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 ratio23.3 %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-capital7.37 %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
20212020
Other Data, continued:June 30March 31December 31September 30June 30
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written$25,004,854 $19,254,014 $29,566,820 $36,664,583 $28,163,212 
New risk written6,445,864 4,616,450 7,051,173 8,938,544 6,875,250 
Bulk:
New insurance written$— $— $— $— $— 
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 force794,743 785,382 799,893 781,836 733,651 
Weighted average coverage (6)
25.0 %24.8 %24.9 %25.1 %25.2 %
Annual persistency58.3 %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 default2.96 %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 rate0.46 %0.48 %0.49 %0.51 %0.53 %
  Ceded premiums(0.05 %)(0.06 %)(0.06 %)(0.05 %)(0.05 %)
    Net average premium rate0.41 %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 EndedSix Months Ended
June 30, 2021June 30, 2020June 30, 2021June 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 %
740-7593,812,462 15.2 5,300,459 18.8 6,965,789 15.7 7,758,491 18.6 
720-7393,906,718 15.6 4,352,367 15.5 6,660,014 15.0 6,371,241 15.3 
700-7193,624,247 14.5 3,278,269 11.6 5,982,881 13.5 4,837,012 11.6 
680-6992,266,364 9.1 1,950,905 6.9 3,493,772 7.9 2,995,823 7.2 
<=6791,344,704 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 %$41,712,511 100.0 %
Weighted average credit score744 749 745 748 
NIW by LTV
Three Months EndedSix Months Ended
June 30, 2021June 30, 2020June 30, 2021June 30, 2020
($ 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 above3,295,352 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 LTV92 %91 %91 %91 %
NIW by Product
Three Months EndedSix Months Ended
June 30, 2021June 30, 2020June 30, 2021June 30, 2020
Single Premium policies3.4 %10.6 %4.9 %10.3 %
Monthly Premium policies96.6 89.4 95.1 89.7 
100.0 %100.0 %100.0 %100.0 %
NIW by Purchase vs. Refinance
Three Months EndedSix Months Ended
June 30, 2021June 30, 2020June 30, 2021June 30, 2020
Purchase82.3 %54.2 %73.6 %59.1 %
Refinance17.7 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 scoreJune 30, 2021March 31, 2021June 30, 2020
($ in thousands)
>=760$84,110,514 41.3 %$81,629,166 41.4 %$71,570,804 41.0 %
740-75934,636,115 17.0 33,969,375 17.2 30,265,718 17.3 
720-73930,471,320 15.0 29,323,182 14.9 26,130,764 15.0 
700-71925,177,026 12.4 23,775,892 12.1 20,721,839 11.9 
680-69915,962,389 7.8 15,241,886 7.7 14,545,011 8.3 
<=67913,202,495 6.5 13,151,690 6.7 11,412,137 6.5 
Total$203,559,859 100.0 %$197,091,191 100.0 %$174,646,273 100.0 %
Weighted average credit score745 745 745 
Gross RIF by FICO scoreJune 30, 2021March 31, 2021June 30, 2020
($ in thousands)
>=760$20,807,006 40.9 %$20,063,586 41.0 %$17,871,881 40.6 %
740-7598,729,038 17.2 8,512,926 17.4 7,672,436 17.4 
720-7397,745,794 15.2 7,410,503 15.1 6,673,863 15.2 
700-7196,342,378 12.5 5,947,590 12.1 5,246,989 11.9 
680-6993,998,410 7.9 3,798,221 7.8 3,693,448 8.4 
<=6793,213,209 6.3 3,218,776 6.6 2,835,372 6.5 
Total$50,835,835 100.0 %$48,951,602 100.0 %$43,993,989 100.0 %
Portfolio by LTV
IIF by LTVJune 30, 2021March 31, 2021June 30, 2020
($ 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 above27,104,227 13.3 26,174,734 13.3 25,212,257 14.4 
Total$203,559,859 100.0 %$197,091,191 100.0 %$174,646,273 100.0 %
Weighted average LTV92 %92 %92 %
Gross RIF by LTVJune 30, 2021March 31, 2021June 30, 2020
($ 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 above7,723,246 15.2 7,342,753 15.0 6,819,862 15.5 
Total$50,835,835 100.0 %$48,951,602 100.0 %$43,993,989 100.0 %
Portfolio by Loan Amortization Period
IIF by Loan Amortization PeriodJune 30, 2021March 31, 2021June 30, 2020
($ 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 years4,269,217 2.1 4,354,432 2.2 3,277,847 1.9 
FRM 15 years4,742,281 2.3 4,763,796 2.4 3,660,888 2.1 
ARM 5 years and higher1,552,663 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
20212020
($ in thousands)June 30March 31December 31September 30June 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 score747 747 746 747 746 
Weighted average LTV84 %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
YearOriginal
Insurance
Written
($ in thousands)
Remaining
Insurance
in Force
($ in thousands)
% Remaining of Original
Insurance
Number of Policies in ForceWeighted Average Coupon% Purchase>90% LTV>95% LTVFICO < 700FICO >= 760Incurred Loss Ratio (Inception to Date) (1)Number of Loans in DefaultPercentage 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 %
201526,193,656 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 
201634,949,319 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 
201743,858,322 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 
201847,508,525 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 
201963,569,183 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 
2020107,944,065 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
YearRemaining
Insurance
in Force
Remaining
Risk
in Force
ILN (1)Other Reinsurance (2)TotalILNOther ReinsuranceTotalLosses
Ceded
to Date
Original
First Layer
Retention
Remaining
First Layer
Retention
Quarter-to-DateYear-to-DateReduction 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 
201711,155,879 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 
201812,752,743 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 CededCeding CommissionEarned Premiums Ceded
YearRemaining
Insurance
in Force
Remaining
Risk
in Force
Remaining Ceded Insurance in ForceRemaining Ceded Risk in ForceQuarter-to-DateYear-to-DateQuarter-to-DateYear-to-DateQuarter-to-DateYear-to-DateReduction 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, 2021March 31, 2021June 30, 2020
CA12.9 %12.5 %10.6 %
TX9.8 9.8 9.4 
FL9.3 9.0 8.2 
CO4.1 4.1 3.9 
WA3.7 3.7 4.0 
AZ3.5 3.5 3.5 
IL3.3 3.4 3.5 
NJ3.1 3.2 3.5 
VA3.1 3.1 3.2 
GA3.1 3.0 3.1 
All Others44.1 44.7 47.1 
Total100.0 %100.0 %100.0 %
Gross RIF by State
June 30, 2021March 31, 2021June 30, 2020
CA12.7 %12.2 %10.3 %
TX10.1 10.1 9.7 
FL9.6 9.3 8.4 
CO4.1 4.0 3.8 
WA3.6 3.6 4.0 
AZ3.4 3.5 3.4 
IL3.2 3.3 3.4 
GA3.1 3.1 3.2 
VA3.0 3.0 3.2 
NJ3.0 3.1 3.4 
All Others44.2 44.8 47.2 
Total100.0 %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
20212020
June 30March 31December 31September 30June 30
Beginning default inventory29,080 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 inventory23,504 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 $40 
Severity57 %70 %62 %77 %78 %
Rollforward of Reserve for Losses and LAE
Three Months Ended
20212020
($ in thousands)June 30March 31December 31September 30June 30
Reserve for losses and LAE at beginning of period$409,811 $373,868 $307,019 $250,862 $73,325 
Less: Reinsurance recoverables24,907 19,061 11,898 7,761 98 
Net reserve for losses and LAE at beginning of period384,904 354,807 295,121 243,101 73,227 
Add provision for losses and LAE occurring in:
Current period24,534 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 period9,573 32,083 61,718 54,590 175,865 
Deduct payments for losses and LAE occurring in:
Current period14 114 524 205 288 
Prior years1,267 1,872 1,508 2,365 5,703 
Loss and LAE payments during the period1,281 1,986 2,032 2,570 5,991 
Net reserve for losses and LAE at end of period393,196 384,904 354,807 295,121 243,101 
Plus: Reinsurance recoverables27,286 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 less3,926 17 %$25,915 %$234,604 11 %
Four to eleven payments9,316 40 147,383 38 585,390 25 
Twelve or more payments10,217 43 212,634 55 680,733 31 
Pending claims45 — 1,758 — 2,139 82 
Total case reserves23,504 100 %387,690 100 %$1,502,866 26 
IBNR29,077 
LAE3,715 
Total reserves for losses and LAE$420,482 
Average reserve per default:
Case$16.5 
Total$17.9 
Default Rate2.96%
December 31, 2020
Number of
Policies in
Default
Percentage of
Policies in
Default
 Amount of ReservesPercentage of Reserves Defaulted RIFReserves as a Percentage of
Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less6,631 21 %$47,905 14 %$384,668 12 %
Four to eleven payments23,543 75 260,593 76 1,553,593 17 
Twelve or more payments1,243 32,593 67,501 48 
Pending claims52 — 2,199 2,843 77 
Total case reserves31,469 100 %343,290 100 %$2,008,605 17 
IBNR25,747 
LAE4,831 
Total reserves for losses and LAE$373,868 
Average reserve per default:
Case$10.9 
Total$11.9 
Default Rate3.93%
June 30, 2020
Number of
Policies in
Default
Percentage of
Policies in
Default
 Amount of ReservesPercentage of Reserves Defaulted RIFReserves as a Percentage of
Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less33,514 88 %$166,897 73 %$2,233,678 %
Four to eleven payments3,813 10 39,028 17 234,152 17 
Twelve or more payments664 18,590 36,694 51 
Pending claims77 — 3,271 3,846 85 
Total case reserves38,068 100 %227,786 100 %$2,508,370 
IBNR17,084 
LAE5,992 
Total reserves for losses and LAE$250,862 
Average reserve per default:
Case$6.0 
Total$6.6 
Default Rate5.19%





Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset ClassJune 30, 2021December 31, 2020
($ in thousands)Fair ValuePercentFair ValuePercent
U.S. Treasury securities$289,961 6.1 %$268,444 5.9 %
U.S. agency securities16,088 0.4 18,085 0.4 
U.S. agency mortgage-backed securities1,006,655 21.2 995,905 21.8 
Municipal debt securities580,894 12.2 551,517 12.1 
Non-U.S. government securities81,528 1.7 61,607 1.3 
Corporate debt securities1,551,712 32.7 1,126,512 24.7 
Residential and commercial mortgage securities461,985 9.7 409,282 9.0 
Asset-backed securities456,069 9.6 454,717 9.9 
Money market funds301,436 6.4 679,304 14.9 
Total investments available for sale$4,746,328 100.0 %$4,565,373 100.0 %
Investments Available for Sale by Credit Rating
Rating (1)
June 30, 2021December 31, 2020
($ in thousands)Fair ValuePercentFair ValuePercent
Aaa$2,251,468 47.4 %$2,564,746 56.2 %
Aa1105,851 2.2 133,100 2.9 
Aa2291,517 6.1 260,462 5.7 
Aa3226,011 4.8 204,917 4.5 
A1306,340 6.5 249,710 5.5 
A2477,726 10.1 401,175 8.8 
A3283,669 6.0 229,882 5.0 
Baa1314,072 6.6 260,602 5.7 
Baa2272,914 5.7 178,926 3.9 
Baa3150,425 3.2 48,199 1.1 
Below Baa366,335 1.4 33,654 0.7 
Total investments available for sale$4,746,328 100.0 %$4,565,373 100.0 %
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
Investments Available for Sale by Duration and Book Yield
Effective DurationJune 30, 2021December 31, 2020
($ in thousands)Fair ValuePercentFair ValuePercent
< 1 Year$1,094,953 23.0 %$1,568,505 34.4 %
1 to < 2 Years549,219 11.6 581,003 12.7 
2 to < 3 Years682,585 14.4 616,069 13.5 
3 to < 4 Years601,629 12.7 426,333 9.3 
4 to < 5 Years446,775 9.4 367,633 8.1 
5 or more Years1,371,167 28.9 1,005,830 22.0 
Total investments available for sale$4,746,328 100.0 %$4,565,373 100.0 %
Pre-tax investment income yield:
Three months ended June 30, 20211.96 %
Six months ended June 30, 20211.99 %
Net cash and investments at holding company, Essent Group Ltd.:
($ 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
20212020
June 30March 31December 31September 30June 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.10.9:111.0:111.5:112.0:112.1:1
Essent Guaranty of PA, Inc.1.1:11.4:11.7:12.0:12.3:1
Combined (4)
10.6:110.6:111.1:111.6:111.7:1
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 Assets1,731,843 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.