UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549 

FORM 10-Q

(Mark One)

☒      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 

For the period ended June 30, 2021

☐      TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 

For the transition period from              to             

Commission file number 001-36157 

ESSENT GROUP LTD.

(Exact name of registrant as specified in its charter)

Bermuda	Not Applicable
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification Number)

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)

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

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

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes ☒  No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232-405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files.)  Yes ☒  No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and "emerging growth company" in Rule 12b-2 of the Exchange Act. 

Large accelerated filer	☒	Accelerated filer	☐
Non-accelerated filer	☐	Smaller reporting company	☐
		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.  ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes ☐  No ☒

The number of the registrant’s common shares outstanding as of August 2, 2021 was 111,872,180.

Essent Group Ltd. and Subsidiaries

Form 10-Q

Index

PART I.	FINANCIAL INFORMATION	1
Item 1.	Financial Statements (Unaudited)	1
	Condensed Consolidated Balance Sheets (Unaudited)	1
	Condensed Consolidated Statements of Comprehensive Income (Unaudited)	2
	Condensed Consolidated Statements of Changes in Stockholders’ Equity (Unaudited)	3
	Condensed Consolidated Statements of Cash Flows (Unaudited)	4
	Notes to Condensed Consolidated Financial Statements (Unaudited)	5
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	23
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	46
Item 4.	Controls and Procedures	46
PART II.	OTHER INFORMATION	47
Item 1.	Legal Proceedings	47
Item 1A.	Risk Factors	47
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	47
Item 6.	Exhibits	48
SIGNATURES		49

i

Unless the context otherwise indicates or requires, the terms “we,” “our,” “us,” “Essent,” and the “Company,” as used in this Quarterly Report on Form 10-Q, refer to Essent Group Ltd. and its directly and indirectly owned subsidiaries, including our primary operating subsidiaries, Essent Guaranty, Inc. and Essent Reinsurance Ltd., as a combined entity, except where otherwise stated or where it is clear that the terms mean only Essent Group Ltd. exclusive of its subsidiaries.

SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS

This Quarterly Report on Form 10-Q, or Quarterly Report, includes forward-looking statements pursuant to the “safe harbor” provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements relate to expectations, beliefs, projections, future plans and strategies, anticipated events or trends and similar expressions concerning matters that are not historical facts or present facts or conditions, such as statements regarding our future financial condition or results of operations, our prospects and strategies for future growth, the introduction of new products and services, and the implementation of our marketing and branding strategies. In many cases, you can identify forward-looking statements by terms such as “may,” “will,” “should,” “expects,” “plans,” “anticipates,” “believes,” “estimates,” “predicts,” “potential” or the negative of these terms or other comparable terminology.

The forward-looking statements contained in this Quarterly Report reflect our views as of the date of this Quarterly Report about future events and are subject to risks, uncertainties, assumptions and changes in circumstances that may cause events or our actual activities or results to differ significantly from those expressed in any forward-looking statement. Although we believe that the expectations reflected in the forward-looking statements are reasonable, we cannot guarantee future events, results, actions, levels of activity, performance or achievements. A number of important factors could cause actual results to differ materially from those indicated by the forward-looking statements, including, but not limited to, those factors described below, in Part I, Item 2 “Management’s Discussion and Analysis of Financial Condition and Results of Operations” of this Quarterly Report, and 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. These factors include, without limitation, the following:

•the duration, spread and severity of the outbreak of novel coronavirus disease 2019 ("COVID-19"), which is currently ongoing and still evolving; the actions taken to contain the virus or treat its impact, including government and GSE actions to mitigate the economic impact of the outbreak; the nature and extent of the forbearance and modification options available to borrowers affected by the outbreak on mortgages we insure; reserve and other accounting estimates relating to the impact of the COVID-19 outbreak; borrower behavior in response to the outbreak and its economic impact; how quickly and to what extent normal economic and operating conditions can resume, including whether any future outbreaks interrupt economic recovery; how quickly and to what extent affected borrowers can recover from the negative economic impact of the outbreak; and whether and to what extent the outbreak and related economic conditions will exacerbate other risks and uncertainties facing our business, financial condition and business strategy;

•changes in or to Fannie Mae and Freddie Mac, which we refer to collectively as 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 our customers or the loss of a significant customer;

•lenders or investors seeking alternatives to private mortgage insurance;

•increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration;

•decline in the volume of low down payment mortgage originations;

•uncertainty of loss reserve estimates;

•decrease in the length of time our insurance policies are in force;

•deteriorating economic conditions;

•recently enacted U.S. Federal tax reform and its impact on us, our shareholders and our operations;

ii

•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, which may discourage the use of private mortgage insurance;

•management of risk in our investment portfolio;

•fluctuations in interest rates;

•inadequacy of the premiums we charge to compensate for our losses incurred;

•dependence on management team and qualified personnel;

•disturbance to our information technology systems;

•change in our customers’ capital requirements discouraging the use of mortgage insurance;

•declines in the value of borrowers’ homes;

•limited availability of capital or reinsurance;

•unanticipated claims arise under and risks associated with our contract underwriting program;

•industry practice that loss reserves are established only upon a loan default;

•disruption in mortgage loan servicing, as a result of COVID-19 or otherwise;

•risk of future legal proceedings;

•customers’ technological demands;

•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

•potential restrictions on the ability of our insurance subsidiaries to pay dividends.

Readers are urged to consider these factors carefully in evaluating the forward-looking statements and are cautioned not to place undue reliance on these forward-looking statements. All of the forward-looking statements we have included in this Quarterly Report are based on information available to us on the date of this Quarterly Report. We undertake no obligation to publicly update or revise any forward-looking statement, whether as a result of new information, future events or otherwise, except as otherwise required by law.

iii

PART I — FINANCIAL INFORMATION

Item 1.   Financial Statements (Unaudited)

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

	June 30,		December 31,
(In thousands, except per share amounts)	2021		2020
Assets
Investments
Fixed maturities available for sale, at fair value (amortized cost: 2021 — $4,253,267; 2020 — $3,677,815)	$	4,374,008	$	3,838,513
Short-term investments available for sale, at fair value (amortized cost: 2021 — $372,318; 2020 — $726,875)	372,320		726,860
Total investments available for sale	4,746,328		4,565,373
Other invested assets	145,310		88,904
Total investments	4,891,638		4,654,277
Cash	142,140		102,830
Accrued investment income	24,468		19,948
Accounts receivable	53,127		50,140
Deferred policy acquisition costs	14,070		17,005
Property and equipment (at cost, less accumulated depreciation of $62,690 in 2021 and $60,967 in 2020)	12,989		15,095
Prepaid federal income tax	332,886		302,636
Other assets	50,471		40,793
Total assets	$	5,521,789	$	5,202,724
Liabilities and Stockholders’ Equity
Liabilities
Reserve for losses and LAE	$	421,872	$	374,941
Unearned premium reserve	220,580		250,436
Net deferred tax liability	343,098		305,109
Credit facility borrowings (at carrying value, less unamortized deferred costs of $2,684 in 2021 and $3,280 in 2020)	322,316		321,720
Other accrued liabilities	129,095		87,885
Total liabilities	1,436,961		1,340,091
Commitments and contingencies (see Note 7)
Stockholders’ Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 112,481 shares in 2021 and 112,423 shares in 2020	1,687		1,686
Additional paid-in capital	1,558,142		1,571,163
Accumulated other comprehensive income	115,431		138,274
Retained earnings	2,409,568		2,151,510
Total stockholders’ equity	4,084,828		3,862,633
Total liabilities and stockholders’ equity	$	5,521,789	$	5,202,724

See accompanying notes to condensed consolidated financial statements.

1

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

	Three Months Ended June 30,				Six Months Ended June 30,
(In thousands, except per share amounts)	2021		2020		2021		2020
Revenues:
Net premiums written	$	202,287	$	205,904	$	406,648	$	397,647
Decrease in unearned premiums	15,150		5,567		29,856		20,320
Net premiums earned	217,437		211,471		436,504		417,967
Net investment income	21,743		19,866		43,531		40,499
Realized investment (losses) gains, net	(253)		(1,269)		388		1,866
Other income	4,334		6,009		7,635		4,585
Total revenues	243,261		236,077		488,058		464,917
Losses and expenses:
Provision for losses and LAE	9,651		175,877		41,973		183,940
Other underwriting and operating expenses	41,114		38,819		83,353		80,766
Interest expense	2,073		2,566		4,124		4,698
Total losses and expenses	52,838		217,262		129,450		269,404
Income before income taxes	190,423		18,815		358,608		195,513
Income tax expense	30,628		3,435		63,165		30,610
Net income	$	159,795	$	15,380	$	295,443	$	164,903
Earnings per share:
Basic	$	1.43	$	0.15	$	2.64	$	1.65
Diluted	1.42		0.15		2.63		1.64
Weighted average shares outstanding:
Basic	112,118		102,500		112,067		100,224
Diluted	112,454		102,605		112,416		100,466
Net income	$	159,795	$	15,380	$	295,443	$	164,903
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments, net of tax expense (benefit) of $7,856 and $17,592 in the three months ended June 30, 2021 and 2020 and ($2,345) and $10,613 in the six months ended June 30, 2021 and 2020	36,360		74,285		(22,843)		64,211
Total other comprehensive income (loss)	36,360		74,285		(22,843)		64,211
Comprehensive income	$	196,155	$	89,665	$	272,600	$	229,114

See accompanying notes to condensed consolidated financial statements.

2

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Changes in Stockholders’ Equity (Unaudited)

	Three Months Ended June 30,				Six Months Ended June 30,
(In thousands)	2021		2020		2021		2020
Common Shares
Balance, beginning of period	$	1,693	$	1,479	$	1,686	$	1,476
Issuance of common shares	—		207		—		207
Issuance of management incentive shares	1		—		9		5
Cancellation of treasury stock	(7)		—		(8)		(2)
Balance, end of period	1,687		1,686		1,687		1,686
Additional Paid-In Capital
Balance, beginning of period	1,571,134		1,117,286		1,571,163		1,118,655
Issuance of common shares, net of issuance costs of $18,875 in 2020	—		439,768		—		439,768
Dividends and dividend equivalents declared	193		163		369		323
Issuance of management incentive shares	(1)		—		(9)		(5)
Stock-based compensation expense	5,385		4,568		10,564		9,348
Cancellation of treasury stock	(18,569)		(48)		(23,945)		(6,352)
Balance, end of period	1,558,142		1,561,737		1,558,142		1,561,737
Accumulated Other Comprehensive Income (Loss)
Balance, beginning of period	79,071		46,113		138,274		56,187
Other comprehensive income (loss)	36,360		74,285		(22,843)		64,211
Balance, end of period	115,431		120,398		115,431		120,398
Retained Earnings
Balance, beginning of period	2,269,039		1,942,196		2,151,510		1,808,527
Net income	159,795		15,380		295,443		164,903
Dividends and dividend equivalents declared	(19,266)		(18,068)		(37,385)		(33,922)
Balance, end of period	2,409,568		1,939,508		2,409,568		1,939,508
Treasury Stock
Balance, beginning of period	—		—		—		—
Treasury stock acquired	(18,576)		(48)		(23,953)		(6,354)
Cancellation of treasury stock	18,576		48		23,953		6,354
Balance, end of period	—		—		—		—
Total Stockholders' Equity	$	4,084,828	$	3,623,329	$	4,084,828	$	3,623,329

See accompanying notes to condensed consolidated financial statements.

3

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Cash Flows (Unaudited)

	Six Months Ended June 30,
(In thousands)	2021		2020
Operating Activities
Net income	$	295,443	$	164,903
Adjustments to reconcile net income to net cash provided by operating activities:
Gain on the sale of investments, net	(388)		(1,866)
Equity in net (income) loss of other invested assets	(647)		(228)
Distribution of income from other invested assets	593		794
Depreciation and amortization	1,723		1,735
Stock-based compensation expense	10,564		9,348
Amortization of premium on investment securities	15,761		11,548
Deferred income tax provision	40,334		12,513
Change in:
Accrued investment income	(4,520)		(176)
Accounts receivable	3,467		1,238
Deferred policy acquisition costs	2,935		(151)
Prepaid federal income tax	(30,250)		(17,251)
Other assets	(8,498)		(7,622)
Reserve for losses and LAE	46,931		181,528
Unearned premium reserve	(29,856)		(20,320)
Other accrued liabilities	(3,797)		9,792
Net cash provided by operating activities	339,795		345,785
Investing Activities
Net change in short-term investments	354,540		(815,592)
Purchase of investments available for sale	(971,873)		(541,193)
Proceeds from maturity of investments available for sale	107,564		113,217
Proceeds from sales of investments available for sale	312,618		299,149
Purchase of other invested assets	(49,978)		(6,618)
Return of investment from other invested assets	8,378		7,078
Purchase of property and equipment	(765)		(934)
Net cash used in investing activities	(239,516)		(944,893)
Financing Activities
Issuance of common shares, net of costs	—		440,498
Credit facility borrowings	25,000		200,000
Credit facility repayments	(25,000)		—
Treasury stock acquired	(23,953)		(6,354)
Dividends paid	(37,016)		(33,599)
Net cash (used in) provided by financing activities	(60,969)		600,545
Net increase in cash	39,310		1,437
Cash at beginning of year	102,830		71,350
Cash at end of period	$	142,140	$	72,787
Supplemental Disclosure of Cash Flow Information
Income tax payments	$	(20,000)	$	(10,000)
Interest payments	(3,575)		(4,283)

See accompanying notes to condensed consolidated financial statements.

4

Essent Group Ltd. and Subsidiaries

Notes to Condensed Consolidated Financial Statements (Unaudited)

In these notes to condensed consolidated financial statements, “Essent”, “Company”, “we”, “us”, and “our” refer to Essent Group Ltd. and its subsidiaries, unless the context otherwise requires.

Note 1. Nature of Operations and Basis of Presentation

Essent Group Ltd. (“Essent Group”) is a Bermuda-based holding company, which, through its wholly-owned subsidiaries, offers private mortgage insurance and reinsurance for mortgages secured by residential properties located in the United States. Mortgage insurance facilitates the sale of low down payment (generally less than 20%) mortgage loans into the secondary mortgage market, primarily to two government-sponsored enterprises (“GSEs”), Fannie Mae and Freddie Mac.

The primary mortgage insurance operations are conducted through Essent Guaranty, Inc. (“Essent Guaranty”), a wholly-owned subsidiary approved as a qualified mortgage insurer by the GSEs and is licensed to write mortgage insurance in all 50 states and the District of Columbia. Essent Guaranty reinsures new insurance written ("NIW") to Essent Reinsurance Ltd. (“Essent Re”), an affiliated Bermuda domiciled Class 3A Insurer licensed pursuant to Section 4 of the Bermuda Insurance Act 1978 that provides insurance and reinsurance coverage of mortgage credit risk. In April 2021, Essent Guaranty and Essent Re agreed to increase the quota share reinsurance coverage of Essent Guaranty’s NIW provided by Essent Re from 25% to 35% effective January 1, 2021. The quota share reinsurance coverage provided by Essent Re for Essent Guaranty’s NIW prior to January 1, 2021 will continue to be 25%, the quota share percentage in effect at the time NIW was first ceded. Essent Re also provides insurance and reinsurance to Freddie Mac and Fannie Mae. In 2016, Essent Re formed Essent Agency (Bermuda) Ltd., a wholly-owned subsidiary, which provides underwriting consulting services to third-party reinsurers. In accordance with certain state law requirements then in effect, Essent Guaranty also reinsures that portion of the risk that is in excess of 25% of the mortgage balance with respect to loans insured prior to April 1, 2019, after consideration of other reinsurance, to Essent Guaranty of PA, Inc. (“Essent PA”), an affiliate.

In addition to offering mortgage insurance, we provide contract underwriting services on a limited basis through CUW Solutions, LLC ("CUW Solutions"), a Delaware limited liability company, that provides, among other things, mortgage contract underwriting services to lenders and mortgage insurance underwriting services to affiliates.

We have prepared the condensed consolidated financial statements included herein pursuant to the rules and regulations of the Securities and Exchange Commission (“SEC”). We have condensed or omitted certain information and footnote disclosures normally included in consolidated financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) pursuant to such rules and regulations. In the opinion of management, the statements include all adjustments (which include normal recurring adjustments) required for a fair statement of financial position, results of operations and cash flows for the interim periods presented. These statements should be read in conjunction with the consolidated financial statements and notes thereto, including Note 1 and Note 2 to the consolidated financial statements, included in our Annual Report on Form 10-K for the year ended December 31, 2020, which discloses the principles of consolidation and a summary of significant accounting policies. The results of operations for the interim periods are not necessarily indicative of the results for the full year. We evaluated the need to recognize or disclose events that occurred subsequent to June 30, 2021 prior to the issuance of these condensed consolidated financial statements.

Note 2. Recently Issued Accounting Standards

Accounting Standards Not Yet Adopted

    In March 2020, the Financial Accounting Standards Board ("FASB") issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide temporary optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform. It provides optional expedients and exceptions for applying generally accepted accounting principles to contract, hedging relationships and other transactions affected by reference rate reform if certain criteria are met. This standard may be elected and applied prospectively over time from March 12, 2020 through December 31, 2022 as reference rate reform activities occur. The adoption of, and future elections under, this ASU are not expected to have a material impact on our consolidated financial statements as the ASU will ease, if warranted, the requirements for accounting for the future effects of the rate reform. We continue to monitor the impact the discontinuance of LIBOR or another reference rate will have on our contracts and other transactions.

5

Essent Group Ltd. and Subsidiaries

Notes to Condensed Consolidated Financial Statements (Unaudited)

Note 3. Investments

Investments available for sale consist of the following:

June 30, 2021 (In thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury securities	$	284,834	$	5,892	$	(765)	$	289,961
U.S. agency securities	16,026		62		—		16,088
U.S. agency mortgage-backed securities	989,948		22,041		(5,334)		1,006,655
Municipal debt securities (1)	544,993		36,175		(274)		580,894
Non-U.S. government securities	78,203		4,273		(948)		81,528
Corporate debt securities (2)	1,506,723		51,311		(6,322)		1,551,712
Residential and commercial mortgage securities	449,798		15,075		(2,888)		461,985
Asset-backed securities	453,624		2,837		(392)		456,069
Money market funds	301,436		—		—		301,436
Total investments available for sale	$	4,625,585	$	137,666	$	(16,923)	$	4,746,328

December 31, 2020 (In thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury securities	$	259,378	$	9,088	$	(22)	$	268,444
U.S. agency securities	17,930		155		—		18,085
U.S. agency mortgage-backed securities	963,670		33,205		(970)		995,905
Municipal debt securities (1)	513,870		37,662		(15)		551,517
Non-U.S. government securities	56,045		5,562		—		61,607
Corporate debt securities (2)	1,070,027		56,864		(379)		1,126,512
Residential and commercial mortgage securities	391,921		18,641		(1,280)		409,282
Asset-backed securities	452,527		3,246		(1,056)		454,717
Money market funds	679,322		—		(18)		679,304
Total investments available for sale	$	4,404,690	$	164,423	$	(3,740)	$	4,565,373

	June 30,		December 31,
(1) The following table summarizes municipal debt securities as of :	2021		2020
Special revenue bonds	77.1	%	76.8	%
General obligation bonds	20.2		20.3
Certificate of participation bonds	2.1		2.3
Tax allocation bonds	0.6		0.6
Total	100.0	%	100.0	%

	June 30,		December 31,
(2) The following table summarizes corporate debt securities as of :	2021		2020
Financial	34.3	%	34.9	%
Consumer, non-cyclical	18.7		19.1
Communications	11.6		9.3
Industrial	7.3		5.3
Consumer, cyclical	7.0		8.0
Energy	6.1		8.2
Technology	5.9		6.1
Utilities	5.3		5.9
Basic materials	3.6		3.1
Government	0.2		0.1
Total	100.0	%	100.0	%

6

Essent Group Ltd. and Subsidiaries

Notes to Condensed Consolidated Financial Statements (Unaudited)

The amortized cost and fair value of investments available for sale at June 30, 2021, by contractual maturity, are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Because most U.S. agency mortgage-backed securities, residential and commercial mortgage securities and asset-backed securities provide for periodic payments throughout their lives, they are listed below in separate categories.

(In thousands)	Amortized Cost		Fair Value
U.S. Treasury securities:
Due in 1 year	$	59,791	$	59,912
Due after 1 but within 5 years	175,112		177,726
Due after 5 but within 10 years	48,946		51,289
Due after 10 years	985		1,034
Subtotal	284,834		289,961
U.S. agency securities:
Due in 1 year	12,527		12,588
Due after 1 but within 5 years	3,499		3,500
Subtotal	16,026		16,088
Municipal debt securities:
Due in 1 year	10,070		10,090
Due after 1 but within 5 years	108,315		113,451
Due after 5 but within 10 years	223,197		240,230
Due after 10 years	203,411		217,123
Subtotal	544,993		580,894
Non-U.S. government securities:
Due in 1 year	4,365		4,457
Due after 1 but within 5 years	24,298		26,044
Due after 5 but within 10 years	20,996		23,221
Due after 10 years	28,544		27,806
Subtotal	78,203		81,528
Corporate debt securities:
Due in 1 year	208,044		209,574
Due after 1 but within 5 years	645,345		664,310
Due after 5 but within 10 years	401,811		417,599
Due after 10 years	251,523		260,229
Subtotal	1,506,723		1,551,712
U.S. agency mortgage-backed securities	989,948		1,006,655
Residential and commercial mortgage securities	449,798		461,985
Asset-backed securities	453,624		456,069
Money market funds	301,436		301,436
Total investments available for sale	$	4,625,585	$	4,746,328

7

Essent Group Ltd. and Subsidiaries

Notes to Condensed Consolidated Financial Statements (Unaudited)

Gross gains and losses realized on the sale of investments available for sale were as follows:

	Three Months Ended June 30,				Six Months Ended June 30,
(In thousands)	2021		2020		2021		2020
Realized gross gains	$	18	$	1,263	$	768	$	4,525
Realized gross losses	271		2,103		380		2,230

The fair value of investments available for sale in an unrealized loss position and the related unrealized losses for which no allowance for credit loss has been recorded were as follows:

	Less than 12 months				12 months or more				Total
June 30, 2021 (In thousands)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
U.S. Treasury securities	$	103,733	$	(765)	$	—	$	—	$	103,733	$	(765)
U.S. agency mortgage-backed securities	408,237		(5,274)		2,164		(60)		410,401		(5,334)
Municipal debt securities	39,481		(274)		—		—		39,481		(274)
Non-U.S. government securities	23,538		(948)		—		—		23,538		(948)
Corporate debt securities	413,837		(6,322)		—		—		413,837		(6,322)
Residential and commercial mortgage securities	152,475		(2,308)		18,054		(580)		170,529		(2,888)
Asset-backed securities	112,292		(193)		21,148		(199)		133,440		(392)
Total	$	1,253,593	$	(16,084)	$	41,366	$	(839)	$	1,294,959	$	(16,923)

	Less than 12 months				12 months or more				Total
December 31, 2020 (In thousands)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
U.S. Treasury securities	$	28,776	$	(22)	$	—	$	—	$	28,776	$	(22)
U.S. agency mortgage-backed securities	152,671		(924)		3,007		(46)		155,678		(970)
Municipal debt securities	3,838		(15)		—		—		3,838		(15)
Corporate debt securities	141,803		(379)		—		—		141,803		(379)
Residential and commercial mortgage securities	63,203		(777)		9,516		(503)		72,719		(1,280)
Asset-backed securities	124,165		(483)		65,897		(573)		190,062		(1,056)
Money market funds	99,995		(18)		—		—		99,995		(18)
Total	$	614,451	$	(2,618)	$	78,420	$	(1,122)	$	692,871	$	(3,740)