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 September 30, 2022

☐      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 November 3, 2022 was 107,707,483.

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	26
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	49
Item 4.	Controls and Procedures	49
PART II.	OTHER INFORMATION	50
Item 1.	Legal Proceedings	50
Item 1A.	Risk Factors	50
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	50
Item 6.	Exhibits	50
SIGNATURES		51

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, 2021 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 (including inflation, rising interest rates and other adverse economic trends);

•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)

	September 30,		December 31,
(In thousands, except per share amounts)	2022		2021
Assets
Investments
Fixed maturities available for sale, at fair value (amortized cost: 2022 — $4,744,377; 2021 — $4,584,521)	$	4,253,705	$	4,649,800
Short-term investments available for sale, at fair value (amortized cost: 2022 — $331,605; 2021 — $313,086)	331,139		313,087
Total investments available for sale	4,584,844		4,962,887
Other invested assets	263,126		170,472
Total investments	4,847,970		5,133,359
Cash	79,467		81,491
Accrued investment income	29,598		26,546
Accounts receivable	59,069		46,157
Deferred policy acquisition costs	10,408		12,178
Property and equipment (at cost, less accumulated depreciation of $66,562 in 2022 and $64,340 in 2021)	19,778		11,921
Prepaid federal income tax	405,910		360,810
Other assets	104,704		49,712
Total assets	$	5,556,904	$	5,722,174
Liabilities and Stockholders’ Equity
Liabilities
Reserve for losses and LAE	$	212,494	$	407,445
Unearned premium reserve	169,413		185,385
Net deferred tax liability	340,627		373,654
Credit facility borrowings (at carrying value, less unamortized deferred costs of $4,400 in 2022 and $5,177 in 2021)	420,600		419,823
Other accrued liabilities	119,562		99,753
Total liabilities	1,262,696		1,486,060
Commitments and contingencies (see Note 7)
Stockholders’ Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 107,697 shares in 2022 and 109,377 shares in 2021	1,615		1,641
Additional paid-in capital	1,345,598		1,428,952
Accumulated other comprehensive (loss) income	(423,577)		50,707
Retained earnings	3,370,572		2,754,814
Total stockholders’ equity	4,294,208		4,236,114
Total liabilities and stockholders’ equity	$	5,556,904	$	5,722,174

See accompanying notes to condensed consolidated financial statements.

1

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

	Three Months Ended September 30,				Nine Months Ended September 30,
(In thousands, except per share amounts)	2022		2021		2022		2021
Revenues:
Net premiums written	$	209,230	$	202,348	$	619,303	$	608,996
Decrease (increase) in unearned premiums	(1,296)		16,370		15,972		46,226
Net premiums earned	207,934		218,718		635,275		655,222
Net investment income	32,594		21,573		86,613		65,104
Realized investment (losses) gains, net	175		221		(7,648)		609
Income from other invested assets	9,617		40,741		36,275		41,389
Other income	11,447		2,283		20,272		9,270
Total revenues	261,767		283,536		770,787		771,594
Losses and expenses:
(Benefit) provision for losses and LAE	4,252		(7,483)		(178,805)		34,490
Other underwriting and operating expenses	42,144		42,272		124,838		125,625
Interest expense	4,450		2,063		9,563		6,187
Total losses and expenses	50,846		36,852		(44,404)		166,302
Income before income taxes	210,921		246,684		815,191		605,292
Income tax expense	32,870		41,331		131,204		104,496
Net income	$	178,051	$	205,353	$	683,987	$	500,796
Earnings per share:
Basic	$	1.67	$	1.85	$	6.37	$	4.48
Diluted	1.66		1.84		6.35		4.47
Weighted average shares outstanding:
Basic	106,870		111,001		107,314		111,708
Diluted	107,337		111,387		107,732		112,070
Net income	$	178,051	$	205,353	$	683,987	$	500,796
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments, net of tax expense (benefit) of ($22,000) and ($8,599) in the three months ended September 30, 2022 and 2021 and ($82,132) and ($10,944) in the nine months ended September 30, 2022 and 2021	(137,010)		(36,917)		(474,284)		(59,760)
Total other comprehensive income (loss)	(137,010)		(36,917)		(474,284)		(59,760)
Comprehensive income	$	41,041	$	168,436	$	209,703	$	441,036

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 September 30,				Nine Months Ended September 30,
(In thousands)	2022		2021		2022		2021
Common Shares
Balance, beginning of period	$	1,615	$	1,687	$	1,641	$	1,686
Issuance of management incentive shares	—		—		9		9
Cancellation of treasury stock	—		(23)		(35)		(31)
Balance, end of period	1,615		1,664		1,615		1,664
Additional Paid-In Capital
Balance, beginning of period	1,340,650		1,558,142		1,428,952		1,571,163
Dividends and dividend equivalents declared	264		190		683		559
Issuance of management incentive shares	—		—		(9)		(9)
Stock-based compensation expense	4,702		5,511		13,707		16,075
Cancellation of treasury stock	(18)		(70,838)		(97,735)		(94,783)
Balance, end of period	1,345,598		1,493,005		1,345,598		1,493,005
Accumulated Other Comprehensive Income (Loss)
Balance, beginning of period	(286,567)		115,431		50,707		138,274
Other comprehensive loss	(137,010)		(36,917)		(474,284)		(59,760)
Balance, end of period	(423,577)		78,514		(423,577)		78,514
Retained Earnings
Balance, beginning of period	3,216,297		2,409,568		2,754,814		2,151,510
Net income	178,051		205,353		683,987		500,796
Dividends and dividend equivalents declared	(23,776)		(20,120)		(68,229)		(57,505)
Balance, end of period	3,370,572		2,594,801		3,370,572		2,594,801
Treasury Stock
Balance, beginning of period	—		—		—		—
Treasury stock acquired	(18)		(70,861)		(97,770)		(94,814)
Cancellation of treasury stock	18		70,861		97,770		94,814
Balance, end of period	—		—		—		—
Total Stockholders' Equity	$	4,294,208	$	4,167,984	$	4,294,208	$	4,167,984

See accompanying notes to condensed consolidated financial statements.

3

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Cash Flows (Unaudited)

	Nine Months Ended September 30,
(In thousands)	2022		2021
Operating Activities
Net income	$	683,987	$	500,796
Adjustments to reconcile net income to net cash provided by operating activities:
Realized investment losses (gains), net	7,648		(609)
Income from other invested assets	(36,275)		(41,389)
Distribution of income from other invested assets	11,149		1,568
Depreciation and amortization	2,230		2,578
Stock-based compensation expense	13,707		16,075
Amortization of premium on investment securities	14,654		25,300
Deferred income tax provision	49,106		62,670
Change in:
Accrued investment income	(3,052)		(4,694)
Accounts receivable	(11,811)		1,780
Deferred policy acquisition costs	1,770		3,698
Prepaid federal income tax	(45,100)		(45,650)
Other assets	(50,722)		(3,319)
Reserve for losses and LAE	(194,951)		38,015
Unearned premium reserve	(15,972)		(46,226)
Other accrued liabilities	(9,912)		7,574
Net cash provided by operating activities	416,456		518,167
Investing Activities
Net change in short-term investments	(18,052)		417,078
Purchase of investments available for sale	(1,022,095)		(1,503,051)
Proceeds from maturities and paydowns of investments available for sale	183,232		214,424
Proceeds from sales of investments available for sale	673,945		509,998
Purchase of other invested assets	(69,019)		(56,166)
Return of investment from other invested assets	1,490		16,000
Purchase of property and equipment	(2,511)		(1,695)
Net cash used in investing activities	(253,010)		(403,412)
Financing Activities
Credit facility borrowings	—		25,000
Credit facility repayments	—		(25,000)
Treasury stock acquired	(97,770)		(94,814)
Payment of issuance costs for credit facility	(154)		—
Dividends paid	(67,546)		(56,946)
Net cash used in financing activities	(165,470)		(151,760)
Net (decrease) increase in cash	(2,024)		(37,005)
Cash at beginning of year	81,491		102,830
Cash at end of period	$	79,467	$	65,825
Supplemental Disclosure of Cash Flow Information
Income tax payments	$	(73,226)	$	(35,000)
Interest payments	(8,044)		(5,321)
Noncash Transactions
Lease liabilities arising from obtaining right-of-use assets	$	10,096	$	—

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, 2021, 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 September 30, 2022 prior to the issuance of these condensed consolidated financial statements.

Certain amounts in prior years have been reclassified to conform to the current year presentation.

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

5

Essent Group Ltd. and Subsidiaries

Notes to Condensed Consolidated Financial Statements (Unaudited)

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.

In June 2022, the FASB issued ASU No. 2022-03, Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. This update clarifies the guidance in ASC 820 on the fair value measurement of an equity security that is subject to a contractual sale restriction and requires specific disclosures related to such an equity security. The update clarifies that a contractual sale restriction prohibiting the sale of an equity security is a characteristic of the reporting entity holding the equity security and is not included in the equity security's unit of account. Accordingly, an entity should not consider the contractual sale restriction when measuring the equity security’s fair value. The update also requires specific disclosures related to equity securities that are subject to contractual sale restrictions, including (1) the fair value of such equity securities reflected in the balance sheet, (2) the nature and remaining duration of the corresponding restrictions, and (3) any circumstances that could cause a lapse in the restrictions. The ASU is effective for fiscal years beginning after December 15, 2023, and interim periods within those fiscal years, with early adoption permitted. The adoption of this ASU is not expected to have a material effect on the Company's consolidated operating results or financial position.

Note 3. Investments

Investments available for sale consist of the following:

September 30, 2022 (In thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury securities	$	566,466	$	2	$	(30,832)	$	535,636
U.S. agency securities	—		—		—		—
U.S. agency mortgage-backed securities	879,028		—		(126,792)		752,236
Municipal debt securities (1)	627,772		95		(68,083)		559,784
Non-U.S. government securities	70,126		—		(9,292)		60,834
Corporate debt securities (2)	1,501,150		7		(155,888)		1,345,269
Residential and commercial mortgage securities	586,771		123		(63,286)		523,608
Asset-backed securities	645,522		15		(37,207)		608,330
Money market funds	199,147		—		—		199,147
Total investments available for sale	$	5,075,982	$	242	$	(491,380)	$	4,584,844

December 31, 2021 (In thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
U.S. Treasury securities	$	447,926	$	3,833	$	(2,966)	$	448,793
U.S. agency securities	5,501		3		—		5,504
U.S. agency mortgage-backed securities	1,005,611		13,365		(10,113)		1,008,863
Municipal debt securities (1)	598,764		30,122		(1,287)		627,599
Non-U.S. government securities	77,366		3,232		(855)		79,743
Corporate debt securities (2)	1,428,645		36,067		(9,465)		1,455,247
Residential and commercial mortgage securities	541,638		10,452		(6,667)		545,423
Asset-backed securities	582,144		1,673		(2,114)		581,703
Money market funds	210,012		—		—		210,012
Total investments available for sale	$	4,897,607	$	98,747	$	(33,467)	$	4,962,887

	September 30,		December 31,
(1) The following table summarizes municipal debt securities as of:	2022		2021
Special revenue bonds	78.5	%	77.1	%
General obligation bonds	21.5		20.5
Certificate of participation bonds	—		1.9
Tax allocation bonds	—		0.5
Total	100.0	%	100.0	%

6

Essent Group Ltd. and Subsidiaries

Notes to Condensed Consolidated Financial Statements (Unaudited)

	September 30,		December 31,
(2) The following table summarizes corporate debt securities as of:	2022		2021
Financial	39.4	%	33.7	%
Consumer, non-cyclical	17.5		19.8
Communications	8.8		11.4
Industrial	6.8		7.0
Consumer, cyclical	7.2		7.0
Energy	6.6		6.0
Technology	5.6		6.8
Utilities	6.1		4.6
Basic materials	2.0		3.7
Total	100.0	%	100.0	%

7

Essent Group Ltd. and Subsidiaries

Notes to Condensed Consolidated Financial Statements (Unaudited)

The amortized cost and fair value of investments available for sale at September 30, 2022, 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	$	169,120	$	167,667
Due after 1 but within 5 years	353,483		330,053
Due after 5 but within 10 years	38,835		34,103
Due after 10 years	5,028		3,813
Subtotal	566,466		535,636
U.S. agency securities:
Due in 1 year	—		—
Due after 1 but within 5 years	—		—
Subtotal	—		—
Municipal debt securities:
Due in 1 year	6,992		6,943
Due after 1 but within 5 years	141,922		137,108
Due after 5 but within 10 years	164,538		151,508
Due after 10 years	314,320		264,225
Subtotal	627,772		559,784
Non-U.S. government securities:
Due in 1 year	10,452		10,396
Due after 1 but within 5 years	27,362		25,697
Due after 5 but within 10 years	8,893		7,979
Due after 10 years	23,419		16,762
Subtotal	70,126		60,834
Corporate debt securities:
Due in 1 year	235,975		233,177
Due after 1 but within 5 years	696,023		657,186
Due after 5 but within 10 years	419,294		345,569
Due after 10 years	149,858		109,337
Subtotal	1,501,150		1,345,269
U.S. agency mortgage-backed securities	879,028		752,236
Residential and commercial mortgage securities	586,771		523,608
Asset-backed securities	645,522		608,330
Money market funds	199,147		199,147
Total investments available for sale	$	5,075,982	$	4,584,844

8

Essent Group Ltd. and Subsidiaries

Notes to Condensed Consolidated Financial Statements (Unaudited)

The components of realized investment (losses) gains, net on the condensed consolidated statements of comprehensive income were as follows:

	Three Months Ended September 30,				Nine Months Ended September 30,
(In thousands)	2022		2021		2022		2021
Realized gross gains	$	1,650	$	654	$	14,397	$	1,422
Realized gross losses	(1,370)		(433)		(14,634)		(813)
Impairment loss	(105)		—		(7,411)		—

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
September 30, 2022 (In thousands)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
U.S. Treasury securities	$	361,655	$	(15,490)	$	161,968	$	(15,342)	$	523,623	$	(30,832)
U.S. agency mortgage-backed securities	508,415		(74,350)		243,821		(52,442)		752,236		(126,792)
Municipal debt securities	527,796		(64,097)		14,588		(3,986)		542,384		(68,083)
Non-U.S. government securities	51,784		(5,922)		9,050		(3,370)		60,834		(9,292)
Corporate debt securities	1,166,786		(127,688)		143,745		(28,200)		1,310,531		(155,888)
Residential and commercial mortgage securities	376,356		(38,046)		143,118		(25,240)		519,474		(63,286)
Asset-backed securities	481,105		(27,029)		122,339		(10,178)		603,444		(37,207)
Total	$	3,473,897	$	(352,622)	$	838,629	$	(138,758)	$	4,312,526	$	(491,380)

	Less than 12 months				12 months or more				Total
December 31, 2021 (In thousands)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
U.S. Treasury securities	$	207,122	$	(2,170)	$	28,012	$	(796)	$	235,134	$	(2,966)
U.S. agency mortgage-backed securities	582,108		(9,414)		26,131		(699)		608,239		(10,113)
Municipal debt securities	91,719		(1,281)		312		(6)		92,031		(1,287)
Non-U.S. government securities	22,986		(855)		—		—		22,986		(