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

Rhea-AI Summary

Essent Group Ltd. (NYSE: ESNT) reported a net income of $231.8 million ($2.16 per diluted share) for Q2 2022, an increase from $159.8 million ($1.42 per diluted share) in Q2 2021. The company declared a quarterly cash dividend of $0.22 per share, payable on September 12, 2022, to shareholders of record on September 1, 2022. The second quarter saw new insurance written at $20.1 billion and insurance in force rising to $215.9 billion. The combined ratio was negative at (16.2%), indicating strong credit performance despite some near-term headwinds.

Positive

• Net income up to $231.8 million from $159.8 million YoY.
• Quarterly dividend increased to $0.22 per share.
• New insurance written for Q2 at $20.1 billion, up from $12.8 billion in Q1 2022.
• Insurance in force increased to $215.9 billion from $206.8 billion in Q1 2022.
• Combined ratio improved to negative 16.2%.

Negative

• New insurance written decreased compared to $25.0 billion in Q2 2021.
• Potential long-term headwinds affecting market outlook.

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2022 of $231.8 million or $2.16 per diluted share, compared to $159.8 million or $1.42 per diluted share for the quarter ended June 30, 2021.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.22 per common share. The dividend is payable on September 12, 2022, to shareholders of record on September 1, 2022.

“We are pleased with our strong financial results for the second quarter, which reflect the continued favorable credit performance of our portfolio,” said Mark A. Casale, Chairman and Chief Executive Officer. “We believe that the fundamentals of our business remain solid, and despite near-term headwinds, our long-term structural outlook for the housing market remains positive. In connection with that, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.22 per share."

Second Quarter 2022 Financial Highlights:

• New insurance written for the second quarter was $20.1 billion, compared to $12.8 billion in the first quarter of 2022 and $25.0 billion in the second quarter of 2021.
• Insurance in force as of June 30, 2022 was $215.9 billion, compared to $206.8 billion as of March 31, 2022 and $203.6 billion as of June 30, 2021.
• The combined ratio for the second quarter was negative (16.2%), compared to negative (30.7%) in the first quarter of 2022 and 23.3% in the second quarter of 2021.
• The provision in the second quarter of 2022 included a $62.9 million benefit associated with a change in the claim rate assumption for COVID-19 defaults recorded in the second and third quarters of 2020.
• During the quarter, Essent entered into a forward excess of loss transaction with a panel of reinsurers. The agreement covers 20% of all eligible policies written by Essent Guaranty, Inc. for the period October 1, 2021 through December 31, 2022.

Conference Call:

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. The call may also be accessed by dialing 888-330-2384 inside the U.S., or 240-789-2701 for international callers, using passcode 9824537 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the U.S., or 647-362-9199 for international callers, passcode 9824537.

In addition to the information provided in the Company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx.

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2021 filed with the Securities and Exchange Commission on February 16, 2022, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which, through its wholly-owned subsidiary, Essent Guaranty, Inc., offers private mortgage insurance for single-family mortgage loans in the United States. Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania, Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia, and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Essent is committed to supporting environmental, social and governance (“ESG”) initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.

Source: Essent Group Ltd.

Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended June 30, 2022
Exhibit A		Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B		Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C		Historical Quarterly Data
Exhibit D		New Insurance Written
Exhibit E		Insurance in Force and Risk in Force
Exhibit F		Other Risk in Force
Exhibit G		Portfolio Vintage Data
Exhibit H		Reinsurance Vintage Data
Exhibit I		Portfolio Geographic Data
Exhibit J		Rollforward of Defaults and Reserve for Losses and LAE
Exhibit K		Detail of Reserves by Default Delinquency
Exhibit L		Investments Available for Sale
Exhibit M		Insurance Company Capital

													Exhibit A
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
	Three Months Ended June 30,								Six Months Ended June 30,
(In thousands, except per share amounts)	2022				2021				2022				2021
Revenues:
Direct premiums written	$	232,660			$	228,949			$	452,914			$	464,206
Ceded premiums		(22,318	)			(26,662	)			(42,841	)			(57,558	)
Net premiums written		210,342				202,287				410,073				406,648
Decrease in unearned premiums		1,669				15,150				17,268				29,856
Net premiums earned		212,011				217,437				427,341				436,504
Net investment income		29,339				21,743				54,019				43,531
Realized investment (losses) gains, net		(471	)			(253	)			(7,823	)			388
Income from other invested assets		1,953				122				26,658				648
Other income		1,577				4,212				8,825				6,987
Total revenues		244,409				243,261				509,020				488,058
Losses and expenses:
(Benefit) provision for losses and LAE		(76,199	)			9,651				(183,057	)			41,973
Other underwriting and operating expenses		41,898				41,114				82,694				83,353
Interest expense		2,887				2,073				5,113				4,124
Total losses and expenses		(31,414	)			52,838				(95,250	)			129,450
Income before income taxes		275,823				190,423				604,270				358,608
Income tax expense		44,054				30,628				98,334				63,165
Net income	$	231,769			$	159,795			$	505,936			$	295,443
Earnings per share:
Basic	$	2.17			$	1.43			$	4.70			$	2.64
Diluted		2.16				1.42				4.69				2.63
Weighted average shares outstanding:
Basic		106,921				112,118				107,540				112,067
Diluted		107,283				112,454				107,933				112,416
Net income	$	231,769			$	159,795			$	505,936			$	295,443
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments		(134,268	)			36,360				(337,274	)			(22,843	)
Total other comprehensive income (loss)		(134,268	)			36,360				(337,274	)			(22,843	)
Comprehensive income	$	97,501			$	196,155			$	168,662			$	272,600
Loss ratio		(35.9	%)			4.4	%			(42.8	%)			9.6	%
Expense ratio		19.8				18.9				19.4				19.1
Combined ratio		(16.2	%)			23.3	%			(23.5	%)			28.7	%

					Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
	June 30,				December 31,
(In thousands, except per share amounts)	2022				2021
Assets
Investments
Fixed maturities available for sale, at fair value	$	4,264,715			$	4,649,800
Short-term investments available for sale, at fair value		355,625				313,087
Total investments available for sale		4,620,340				4,962,887
Other invested assets		217,757				170,472
Total investments		4,838,097				5,133,359
Cash		77,852				81,491
Accrued investment income		26,716				26,546
Accounts receivable		51,281				46,157
Deferred policy acquisition costs		10,809				12,178
Property and equipment		20,569				11,921
Prepaid federal income tax		391,910				360,810
Other assets		103,868				49,712
Total assets	$	5,521,102			$	5,722,174
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	209,973			$	407,445
Unearned premium reserve		168,117				185,385
Net deferred tax liability		348,374				373,654
Credit facility borrowings, net of deferred costs		420,336				419,823
Other accrued liabilities		102,307				99,753
Total liabilities		1,249,107				1,486,060
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 107,696 shares in 2022 and 109,377 shares in 2021		1,615				1,641
Additional paid-in capital		1,340,650				1,428,952
Accumulated other comprehensive (loss) income		(286,567	)			50,707
Retained earnings		3,216,297				2,754,814
Total stockholders' equity		4,271,995				4,236,114
Total liabilities and stockholders' equity	$	5,521,102			$	5,722,174
Return on average equity (1)		23.8	%			16.8	%

(1) The 2022 return on average equity is calculated by dividing annualized year-to-date 2022 net income by average equity. The 2021 return on average equity is calculated by dividing full year 2021 net income by average equity.

																		Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
		2022								2021
Selected Income Statement Data		June 30				March 31				December 31				September 30				June 30
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio		$	198,891			$	203,312			$	205,877			$	207,127			$	204,149
GSE and other risk share			13,120				12,018				11,444				11,591				13,288
Net premiums earned			212,011				215,330				217,321				218,718				217,437
Net investment income			29,339				24,680				23,661				21,573				21,743
Realized investment (losses) gains, net			(471	)			(7,352	)			(191	)			221				(253	)
Income from other invested assets (1)			1,953				24,705				14,997				40,741				122
Other income (2)			1,577				7,248				1,128				2,283				4,212
Total revenues			244,409				264,611				256,916				283,536				243,261
Losses and expenses:
(Benefit) provision for losses and LAE			(76,199	)			(106,858	)			(3,433	)			(7,483	)			9,651
Other underwriting and operating expenses			41,898				40,796				41,232				42,272				41,114
Interest expense			2,887				2,226				2,095				2,063				2,073
Total losses and expenses			(31,414	)			(63,836	)			39,894				36,852				52,838
Income before income taxes			275,823				328,447				217,022				246,684				190,423
Income tax expense (3)			44,054				54,280				36,035				41,331				30,628
Net income		$	231,769			$	274,167			$	180,987			$	205,353			$	159,795
Earnings per share:
Basic		$	2.17			$	2.53			$	1.65			$	1.85			$	1.43
Diluted			2.16				2.52				1.64				1.84				1.42
Weighted average shares outstanding:
Basic			106,921				108,166				109,550				111,001				112,118
Diluted			107,283				108,590				110,028				111,387				112,454
Book value per share		$	39.67			$	38.98			$	38.73			$	37.58			$	36.32
Return on average equity (annualized)			21.8	%			26.0	%			17.2	%			19.9	%			16.0	%
Other Data:
Loss ratio (4)			(35.9	%)			(49.6	%)			(1.6	%)			(3.4	%)			4.4	%
Expense ratio (5)			19.8				18.9				19.0				19.3				18.9
Combined ratio			(16.2	%)			(30.7	%)			17.4	%			15.9	%			23.3	%
Credit Facility
Borrowings outstanding		$	425,000			$	425,000			$	425,000			$	325,000			$	325,000
Undrawn committed capacity		$	400,000			$	400,000			$	400,000			$	300,000			$	300,000
Weighted average interest rate (end of period)			2.92	%			1.99	%			1.79	%			2.13	%			2.13	%
Debt-to-capital			9.05	%			9.16	%			9.12	%			7.23	%			7.37	%

(1) Income from other invested assets for the three months ended September 30, 2021 includes $39.5 million of net unrealized gains, which includes $21.1 million of net unrealized gains that were accumulated in other comprehensive income at June 30, 2021 and prior periods.

(2) For each of the three month periods noted, Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements as follows: June 30, 2022: ($5,549); March 31, 2022: $4,365; December 31, 2021: ($2,931); September 30, 2021: ($1,493); June 30, 2021: $950.

(3) Income tax expense for the quarter ended December 31, 2021 includes $2,473 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. Income tax expense for the quarters ended June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021 includes ($299), $7,002, $1,759 and $8,271, respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses.

(4) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.

(5) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.

														Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
		2022								2021
Other Data, continued:		June 30				March 31				December 31				September 30				June 30
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written		$	20,096,135			$	12,841,482			$	16,379,082			$	23,579,884			$	25,004,854
New risk written			5,442,115				3,438,016				4,331,531				6,273,735				6,445,864
Bulk:
New insurance written		$	196			$	—			$	416			$	—			$	—
New risk written			29				—				41				—				—
Total:
New insurance written		$	20,096,331			$	12,841,482			$	16,379,498			$	23,579,884			$	25,004,854
New risk written		$	5,442,144			$	3,438,016			$	4,331,572			$	6,273,735			$	6,445,864
Average insurance in force		$	210,896,297			$	206,631,135			$	207,388,906			$	206,732,478			$	199,739,297
Insurance in force (end of period)		$	215,896,531			$	206,842,996			$	207,190,544			$	208,216,549			$	203,559,859
Gross risk in force (end of period) (6)		$	55,678,063			$	52,847,985			$	52,554,246			$	52,457,020			$	50,835,835
Risk in force (end of period)		$	47,289,910			$	45,261,164			$	45,273,383			$	45,074,159			$	42,906,519
Policies in force			789,652				774,002				785,119				798,877				794,743
Weighted average coverage (7)			25.8	%			25.5	%			25.4	%			25.2	%			25.0	%
Annual persistency			73.4	%			69.1	%			65.4	%			62.2	%			58.3	%
Loans in default (count)			12,707				14,923				16,963				19,721				23,504
Percentage of loans in default			1.61	%			1.93	%			2.16	%			2.47	%			2.96	%
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (8)			0.41	%			0.41	%			0.42	%			0.42	%			0.43	%
Single premium cancellations (9)			0.01	%			0.02	%			0.03	%			0.03	%			0.03	%
Gross average premium rate			0.42	%			0.43	%			0.45	%			0.45	%			0.46	%
Ceded premiums			(0.04	%)			(0.04	%)			(0.05	%)			(0.05	%)			(0.05	%)
Net average premium rate			0.38	%			0.39	%			0.40	%			0.40	%			0.41	%

(6) Gross risk in force includes risk ceded under third-party reinsurance.

(7) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.

(8) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.

(9) Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.

																			Exhibit D
Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow
NIW by Credit Score
	Three Months Ended												Six Months Ended
	June 30, 2022						June 30, 2021						June 30, 2022						June 30, 2021
($ in thousands)
>=760	$	8,555,331		42.6	%		$	10,050,359		40.2	%		$	13,965,985		42.4	%		$	18,521,480		41.9	%
740-759		3,421,392		17.0				3,812,462		15.2				5,534,624		16.8				6,965,789		15.7
720-739		3,105,275		15.4				3,906,718		15.6				5,096,593		15.5				6,660,014		15.0
700-719		2,554,997		12.7				3,624,247		14.5				4,175,470		12.7				5,982,881		13.5
680-699		1,785,196		8.9				2,266,364		9.1				2,932,962		8.9				3,493,772		7.9
<=679		673,944		3.4				1,344,704		5.4				1,231,983		3.7				2,634,932		6.0
Total	$	20,096,135		100.0	%		$	25,004,854		100.0	%		$	32,937,617		100.0	%		$	44,258,868		100.0	%
Weighted average credit score		747						744						747						745
NIW by LTV
	Three Months Ended												Six Months Ended
	June 30, 2022						June 30, 2021						June 30, 2022						June 30, 2021
($ in thousands)
85.00% and below	$	1,675,255		8.3	%		$	3,355,412		13.4	%		$	2,937,293		8.9	%		$	7,323,988		16.6	%
85.01% to 90.00%		5,487,721		27.3				6,890,377		27.6				8,903,659		27.0				13,332,374		30.1
90.01% to 95.00%		10,874,315		54.1				11,463,713		45.8				17,290,570		52.5				18,516,235		41.8
95.01% and above		2,058,844		10.3				3,295,352		13.2				3,806,095		11.6				5,086,271		11.5
Total	$	20,096,135		100.0	%		$	25,004,854		100.0	%		$	32,937,617		100.0	%		$	44,258,868		100.0	%
Weighted average LTV		93	%					92	%					93	%					91	%
NIW by Product
	Three Months Ended												Six Months Ended
	June 30, 2022						June 30, 2021						June 30, 2022						June 30, 2021
Single Premium policies				6.5	%					3.4	%					4.7	%					4.9	%
Monthly Premium policies				93.5						96.6						95.3						95.1
				100.0	%					100.0	%					100.0	%					100.0	%
NIW by Purchase vs. Refinance
	Three Months Ended												Six Months Ended
	June 30, 2022						June 30, 2021						June 30, 2022						June 30, 2021
Purchase				98.0	%					82.3	%					96.5	%					73.6	%
Refinance				2.0						17.7						3.5						26.4
				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 score	June 30, 2022						March 31, 2022						June 30, 2021
($ in thousands)
>=760	$	89,790,212		41.6	%		$	85,707,070		41.4	%		$	84,110,514		41.3	%
740-759		36,606,394		17.0				35,048,891		17.0				34,636,115		17.0
720-739		32,637,422		15.1				31,180,765		15.1				30,471,320		15.0
700-719		27,258,759		12.6				26,040,114		12.6				25,177,026		12.4
680-699		17,697,662		8.2				16,847,202		8.1				15,962,389		7.8
<=679		11,906,082		5.5				12,018,954		5.8				13,202,495		6.5
Total	$	215,896,531		100.0	%		$	206,842,996		100.0	%		$	203,559,859		100.0	%
Weighted average credit score		746						746						745
Gross RIF by FICO score	June 30, 2022						March 31, 2022						June 30, 2021
($ in thousands)
>=760	$	22,956,271		41.2	%		$	21,707,751		41.1	%		$	20,807,006		40.9	%
740-759		9,540,921		17.1				9,041,350		17.1				8,729,038		17.2
720-739		8,545,969		15.3				8,091,445		15.3				7,745,794		15.2
700-719		7,107,888		12.8				6,724,288		12.7				6,342,378		12.5
680-699		4,601,675		8.3				4,338,206		8.2				3,998,410		7.9
<=679		2,925,339		5.3				2,944,945		5.6				3,213,209		6.3
Total	$	55,678,063		100.0	%		$	52,847,985		100.0	%		$	50,835,835		100.0	%
Portfolio by LTV
IIF by LTV	June 30, 2022						March 31, 2022						June 30, 2021
($ in thousands)
85.00% and below	$	25,510,400		11.8	%		$	26,057,055		12.6	%		$	29,045,720		14.3	%
85.01% to 90.00%		61,304,806		28.4				59,113,908		28.6				60,027,287		29.5
90.01% to 95.00%		98,938,435		45.8				92,460,810		44.7				87,382,625		42.9
95.01% and above		30,142,890		14.0				29,211,223		14.1				27,104,227		13.3
Total	$	215,896,531		100.0	%		$	206,842,996		100.0	%		$	203,559,859		100.0	%
Weighted average LTV		92	%					92	%					92	%
Gross RIF by LTV	June 30, 2022						March 31, 2022						June 30, 2021
($ in thousands)
85.00% and below	$	3,012,030		5.4	%		$	3,062,878		5.8	%		$	3,360,970		6.6	%
85.01% to 90.00%		14,868,579		26.7				14,288,854		27.0				14,421,749		28.4
90.01% to 95.00%		28,921,722		52.0				26,960,457		51.0				25,329,870		49.8
95.01% and above		8,875,732		15.9				8,535,796		16.2				7,723,246		15.2
Total	$	55,678,063		100.0	%		$	52,847,985		100.0	%		$	50,835,835		100.0	%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period	June 30, 2022						March 31, 2022						June 30, 2021
($ in thousands)
FRM 30 years and higher	$	207,888,842		96.3	%		$	198,658,948		96.1	%		$	192,995,698		94.8	%
FRM 20-25 years		3,114,962		1.4				3,365,533		1.6				4,269,217		2.1
FRM 15 years		3,222,801		1.5				3,580,416		1.7				4,742,281		2.3
ARM 5 years and higher		1,669,926		0.8				1,238,099		0.6				1,552,663		0.8
Total	$	215,896,531		100.0	%		$	206,842,996		100.0	%		$	203,559,859		100.0	%

																		Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
		2022								2021
($ in thousands)		June 30				March 31				December 31				September 30				June 30
GSE and other risk share (1):
Risk in Force		$	1,898,364			$	1,888,437			$	1,788,918			$	1,568,800			$	1,496,247
Reserve for losses and LAE		$	144			$	254			$	1,349			$	1,389			$	1,390
Weighted average credit score			748				748				748				748				747
Weighted average LTV			84	%			84	%			84	%			84	%			84	%

(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.

																							Exhibit G
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
June 30, 2022
								Insurance in Force
Year	Original Insurance Written ($ in thousands)		Remaining Insurance in Force ($ in thousands)		% Remaining of Original Insurance		Number of Policies in Force	Weighted Average Coupon		% Purchase		>90% LTV		>95% LTV		FICO < 700		FICO >= 760		Incurred Loss Ratio (Inception to Date) (1)		Number of Loans in Default	Percentage of Loans in Default
2010 - 2014	$	60,668,851	$	2,490,613	4.1	%	15,566	4.33	%	79.1	%	71.1	%	5.6	%	15.1	%	43.0	%	2.7	%	615	3.95	%
2015		26,193,656		2,332,124	8.9		13,792	4.18		86.4		72.4		3.9		17.8		39.6		2.8		492	3.57
2016		34,949,319		5,030,997	14.4		27,817	3.86		88.4		68.3		9.5		15.5		43.5		3.1		907	3.26
2017		43,858,322		6,809,618	15.5		38,842	4.26		91.0		67.6		19.4		20.1		38.1		4.4		1,626	4.19
2018		47,508,525		7,611,480	16.0		41,168	4.78		94.0		67.9		24.2		21.4		33.0		6.0		2,003	4.87
2019		63,569,183		16,560,800	26.1		76,072	4.21		86.7		66.0		23.1		18.8		35.6		8.1		2,437	3.20
2020		107,944,065		67,409,464	62.4		247,090	3.18		64.6		53.0		11.7		10.8		45.3		6.3		2,814	1.14
2021		84,218,250		75,326,623	89.4		238,857	3.07		83.5		59.7		14.3		14.0		40.4		9.0		1,727	0.72
2022 (through June 30)		32,937,813		32,324,812	98.1		90,448	4.40		96.5		64.2		11.7		12.7		42.1		6.5		86	0.10
Total	$	501,847,984	$	215,896,531	43.0		789,652	3.53		80.5		59.8		14.0		13.7		41.6		4.7		12,707	1.61

(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, 2022
($ in thousands)
Excess of Loss Reinsurance						Original Reinsurance in Force							Remaining Reinsurance in Force															Earned Premiums Ceded
Year	Remaining Insurance in Force		Remaining Risk in Force			ILN (1)		Other Reinsurance (2)		Total			ILN		Other Reinsurance		Total			Losses Ceded to Date			Original First Layer Retention		Remaining First Layer Retention			Quarter-to-Date		Year-to-Date			Reduction in PMIERs Minimum Required Assets (9)
2015 & 2016	$	7,103,695	$	1,923,750		$	333,844	$	—	$	333,844		$	92,252	$	—	$	92,252		$	—		$	208,111	$	206,949		$	867	$	1,836		$	—
2017		6,635,437		1,737,626			424,412		165,167		589,579			242,123		163,289		405,412			—			224,689		216,924			2,878		5,540			—
2018		7,501,596		1,923,568			473,184		118,650		591,834			325,537		76,144		401,681			—			253,643		249,142			3,465		6,657			—
2019 (3)		9,163,963		2,349,594			495,889		55,102		550,991			495,889		55,102		550,991			—			215,605		214,983			3,162		5,922			—
2019 & 2020 (4)		26,585,463		6,789,598			399,159		—		399,159			64,499		—		64,499			—			465,690		465,676			1,676		4,173			—
2020 & 2021 (5)		45,196,322		11,204,778			557,911		—		557,911			519,999		—		519,999			—			278,956		278,919			3,614		7,217			474,736
2021 (6)		43,511,188		11,508,673			439,407		—		439,407			439,407		—		439,407			—			279,415		279,415			4,205		8,356			379,188
2021 & 2022 (10)		47,680,467		12,798,770			—		89,591		89,591			—		89,591		89,591			—			319,969		319,969			336		336			88,670
Total	$	193,378,131	$	50,236,357		$	3,123,806	$	428,510	$	3,552,316		$	2,179,706	$	384,126	$	2,563,832		$	—		$	2,246,078	$	2,231,977		$	20,203	$	40,037		$	942,594

Quota Share Reinsurance
													Losses Ceded							Ceding Commission					Earned Premiums Ceded
Year		Remaining Insurance in Force		Remaining Risk in Force			Remaining Ceded Insurance in Force			Remaining Ceded Risk in Force			Quarter-to-Date			Year-to-Date				Quarter-to-Date		Year-to-Date			Quarter-to-Date		Year-to-Date			Reduction in PMIERs Minimum Required Assets (9)
2019 & 2020	(7)	$	74,399,753	$	18,667,689		$	16,422,951		$	4,078,992		$	(5,954	)	$	(12,573	)		$	3,467	$	7,215		$	460	$	775		$	264,432
2022	(8)		32,285,262		8,717,258			6,457,052			1,743,452			289			312				707		892			1,633		2,007			118,723
Total		$	106,685,015	$	27,384,947		$	22,880,003		$	5,822,444		$	(5,665	)	$	(12,261	)		$	4,174	$	8,107		$	2,093	$	2,782		$	383,155

(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").

(2) Reinsurance provided by panels of reinsurers.

(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.

(4) Reinsurance coverage on new insurance written from September 1, 2019 through July 31, 2020.

(5) Reinsurance coverage on new insurance written from August 1, 2020 through March 31, 2021.

(6) Reinsurance coverage on new insurance written from April 1, 2021 through September 30, 2021.

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

(8) Reinsurance coverage on 20% of all eligible policies written from January 1, 2022 through December 31, 2022.

(9) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.

(10) Reinsurance coverage on 20% of all eligible policies written from October 1, 2021 through December 31, 2022.

							Exhibit I
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data
IIF by State
	June 30, 2022			March 31, 2022			June 30, 2021
CA	13.2	%		13.2	%		12.9	%
TX	10.2			10.0			9.8
FL	10.0			9.9			9.3
CO	4.2			4.1			4.1
WA	3.5			3.6			3.7
AZ	3.4			3.3			3.5
IL	3.2			3.3			3.3
GA	3.1			3.1			3.1
VA	3.1			3.1			3.1
NJ	3.1			3.1			3.1
All Others	43.0			43.3			44.1
Total	100.0	%		100.0	%		100.0	%
Gross RIF by State
	June 30, 2022			March 31, 2022			June 30, 2021
CA	13.0	%		13.1	%		12.7	%
TX	10.6			10.4			10.1
FL	10.3			10.2			9.6
CO	4.1			4.0			4.1
AZ	3.4			3.4			3.4
WA	3.4			3.6			3.6
GA	3.2			3.2			3.1
IL	3.1			3.2			3.2
VA	3.0			3.0			3.0
NJ	2.9			3.0			3.0
All Others	43.0			42.9			44.2
Total	100.0	%		100.0	%		100.0	%

																		Exhibit J
Essent Group Ltd. and Subsidiaries
Supplemental Information
Rollforward of Defaults and Reserve for Losses and LAE
U.S. Mortgage Insurance Portfolio
Rollforward of Insured Loans in Default
		Three Months Ended
		2022								2021
		June 30				March 31				December 31				September 30				June 30
Beginning default inventory			14,923				16,963				19,721				23,504				29,080
Plus: new defaults (A)			5,495				6,188				5,809				5,132				4,934
Less: cures			(7,639	)			(8,167	)			(8,514	)			(8,862	)			(10,453	)
Less: claims paid			(65	)			(55	)			(47	)			(41	)			(46	)
Less: rescissions and denials, net			(7	)			(6	)			(6	)			(12	)			(11	)
Ending default inventory			12,707				14,923				16,963				19,721				23,504
(A) New defaults remaining as of June 30, 2022			3,928				2,225				1,483				955				556
Cure rate (1)			29	%			64	%			74	%			81	%			89	%
Total amount paid for claims (in thousands)		$	1,137			$	826			$	992			$	1,069			$	1,154
Average amount paid per claim (in thousands)		$	17			$	15			$	21			$	26			$	25
Severity			50	%			35	%			45	%			60	%			57	%
Rollforward of Reserve for Losses and LAE
		Three Months Ended
		2022								2021
($ in thousands)		June 30				March 31				December 31				September 30				June 30
Reserve for losses and LAE at beginning of period		$	292,818			$	406,096			$	411,567			$	420,482			$	409,811
Less: Reinsurance recoverables			19,335				25,940				26,970				27,286				24,907
Net reserve for losses and LAE at beginning of period			273,483				380,156				384,597				393,196				384,904
Add provision for losses and LAE occurring in:
Current period			18,720				24,346				13,231				11,371				24,534
Prior years			(94,809	)			(130,114	)			(16,624	)			(18,853	)			(14,961	)
Incurred losses and LAE during the period			(76,089	)			(105,768	)			(3,393	)			(7,482	)			9,573
Deduct payments for losses and LAE occurring in:
Current period			80				1				157				103				14
Prior years			1,142				904				891				1,014				1,267
Loss and LAE payments during the period			1,222				905				1,048				1,117				1,281
Net reserve for losses and LAE at end of period			196,172				273,483				380,156				384,597				393,196
Plus: Reinsurance recoverables			13,657				19,335				25,940				26,970				27,286
Reserve for losses and LAE at end of period		$	209,829			$	292,818			$	406,096			$	411,567			$	420,482

(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, 2022
		Number of Policies in Default		Percentage of Policies in Default		Amount of Reserves		Percentage of Reserves		Defaulted RIF		Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less		4,036		32	%	$	18,653	10	%	$	250,303	7	%
Four to eleven payments		4,741		37			59,753	31			304,764	20
Twelve or more payments		3,849		30			111,442	57			236,440	47
Pending claims		81		1			3,568	2			3,574	100
Total case reserves		12,707		100	%		193,416	100	%	$	795,081	24
IBNR							14,506
LAE							1,907
Total reserves for losses and LAE						$	209,829
Average reserve per default:
Case						$	15.2
Total						$	16.5
Default Rate		1.61	%
		December 31, 2021
		Number of Policies in Default		Percentage of Policies in Default		Amount of Reserves		Percentage of Reserves		Defaulted RIF		Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less		4,113		24	%	$	20,712	5	%	$	243,511	9	%
Four to eleven payments		5,459		32			77,822	21			349,494	22
Twelve or more payments		7,331		43			274,465	73			470,859	58
Pending claims		60		1			2,397	1			2,852	84
Total case reserves		16,963		100	%		375,396	100	%	$	1,066,716	35
IBNR							28,155
LAE							2,545
Total reserves for losses and LAE						$	406,096
Average reserve per default:
Case						$	22.1
Total						$	23.9
Default Rate		2.16	%
		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 less		3,926		17	%	$	25,915	7	%	$	234,604	11	%
Four to eleven payments		9,316		40			147,383	38			585,390	25
Twelve or more payments		10,217		43			212,634	55			680,733	31
Pending claims		45		—			1,758	—			2,139	82
Total case reserves		23,504		100	%		387,690	100	%	$	1,502,866	26
IBNR							29,077
LAE							3,715
Total reserves for losses and LAE						$	420,482
Average reserve per default:
Case						$	16.5
Total						$	17.9
Default Rate		2.96	%

												Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class		June 30, 2022							December 31, 2021
($ in thousands)		Fair Value				Percent			Fair Value			Percent
U.S. Treasury securities		$	470,146			10.2	%		$	448,793		9.1	%
U.S. agency securities			2,000			—				5,504		0.1
U.S. agency mortgage-backed securities			783,438			17.0				1,008,863		20.3
Municipal debt securities			540,772			11.7				627,599		12.7
Non-U.S. government securities			65,135			1.4				79,743		1.6
Corporate debt securities			1,354,110			29.3				1,455,247		29.3
Residential and commercial mortgage securities			545,999			11.8				545,423		11.0
Asset-backed securities			618,115			13.4				581,703		11.7
Money market funds			240,625			5.2				210,012		4.2
Total investments available for sale		$	4,620,340			100.0	%		$	4,962,887		100.0	%
Investments Available for Sale by Credit Rating
Rating (1)		June 30, 2022							December 31, 2021
($ in thousands)		Fair Value				Percent			Fair Value			Percent
Aaa		$	2,247,042			48.6	%		$	2,412,273		48.6	%
Aa1			87,609			1.9				96,331		1.9
Aa2			340,956			7.4				354,951		7.2
Aa3			212,582			4.6				221,914		4.5
A1			343,606			7.4				263,820		5.3
A2			379,762			8.2				427,282		8.6
A3			237,827			5.2				274,525		5.5
Baa1			237,793			5.1				305,204		6.1
Baa2			212,313			4.6				274,011		5.5
Baa3			211,721			4.6				240,755		4.9
Below Baa3			109,129			2.4				91,821		1.9
Total investments available for sale		$	4,620,340			100.0	%		$	4,962,887		100.0	%
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
Investments Available for Sale by Duration and Book Yield
Effective Duration		June 30, 2022							December 31, 2021
($ in thousands)		Fair Value				Percent			Fair Value			Percent
< 1 Year		$	1,225,902			26.5	%		$	1,104,397		22.2	%
1 to < 2 Years			377,295			8.2				561,297		11.3
2 to < 3 Years			525,739			11.4				539,174		10.9
3 to < 4 Years			469,535			10.2				593,663		12.0
4 to < 5 Years			601,988			13.0				663,127		13.4
5 or more Years			1,419,881			30.7				1,501,229		30.2
Total investments available for sale		$	4,620,340			100.0	%		$	4,962,887		100.0	%
Pre-tax investment income yield:
Three months ended June 30, 2022			2.50	%
Six months ended June 30, 2022			2.30	%

Holding company net cash and investments available for sale:
($ in thousands)
As of June 30, 2022		$	619,165
As of December 31, 2021		$	618,306

																		Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
		2022								2021
		June 30				March 31				December 31				September 30				June 30
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)		$	3,062,438			$	3,058,880			$	2,950,107			$	2,916,802			$	2,809,087
Combined net risk in force (2)		$	31,221,406			$	30,331,197			$	30,660,272			$	30,766,379			$	29,646,042
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.		10.6:1				10.3:1				10.8:1				10.9:1				10.9:1
Essent Guaranty of PA, Inc.		0.6:1				0.7:1				0.8:1				1.0:1				1.1:1
Combined (4)		10.2:1				9.9:1				10.4:1				10.5:1				10.6:1
Essent Guaranty, Inc. PMIERs Data (5):
Available Assets		$	3,120,098			$	3,194,939			$	3,170,881			$	3,161,780			$	3,016,050
Minimum Required Assets			1,869,524				1,840,069				1,791,551				1,951,096				1,731,843
PMIERs excess Available Assets		$	1,250,574			$	1,354,870			$	1,379,330			$	1,210,684			$	1,284,207
PMIERs sufficiency ratio (6)			167	%			174	%			177	%			162	%			174	%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)		$	1,380,067			$	1,330,840			$	1,301,937			$	1,249,996			$	1,192,077
Net risk in force (2)		$	17,758,801			$	16,527,587			$	15,997,129			$	15,466,651			$	14,338,567

(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.

 

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610.230.0556

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Investor Relations

Philip Stefano

Vice President, Investor Relations

855-809-ESNT

ir@essentgroup.com

Source: Essent Group Ltd.

FAQ

What is Essent Group's net income for Q2 2022?

Essent Group reported a net income of $231.8 million for Q2 2022.

What is the dividend amount and payment date for Essent Group?

Essent Group declared a quarterly cash dividend of $0.22 per share, payable on September 12, 2022.

How much new insurance was written by Essent Group in Q2 2022?

Essent Group wrote $20.1 billion in new insurance for Q2 2022.

What was the combined ratio for Essent Group in Q2 2022?

The combined ratio for Q2 2022 was negative 16.2%.

How does Essent Group's Q2 2022 performance compare to Q2 2021?

Essent Group's net income increased from $159.8 million in Q2 2021 to $231.8 million in Q2 2022.