Essent Group Ltd. Announces Third Quarter 2021 Results & Increases Quarterly Dividend

Rhea-AI Summary

Essent Group Ltd. (NYSE: ESNT) reported a net income of $205.4 million or $1.84 per diluted share for Q3 2021, up from $124.5 million or $1.11 a year ago. The Board declared a quarterly cash dividend of $0.19 per share, payable on December 10, 2021. Insurance in force reached $208.2 billion, new insurance written was $23.6 billion, and net premiums earned were $218.7 million. The percentage of loans in default decreased to 2.47%, indicating improved credit performance. The combined ratio improved to 15.9%.

Positive

• Net income increased 64% year-over-year to $205.4 million.
• Quarterly cash dividend raised to $0.19 per share, signaling confidence in future earnings.
• Insurance in force grew to $208.2 billion, indicating strong market presence.
• Improved loans in default rate to 2.47%, reflecting better credit quality.
• Combined ratio decreased significantly to 15.9%, showing operational efficiency.

Negative

• New insurance written declined to $23.6 billion, down from $36.7 billion year-over-year.
• Expense ratio increased to 19.3%, which could impact profitability.

HAMILTON, Bermuda--(BUSINESS WIRE)-- Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2021 of $205.4 million or $1.84 per diluted share, compared to $124.5 million or $1.11 per diluted share for the quarter ended September 30, 2020.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.19 per common share. The dividend is payable on December 10, 2021, to shareholders of record on December 1, 2021.

“We are pleased with our strong financial results which continue to reflect a positive operating environment and ongoing strength in credit performance,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results for the quarter demonstrate the benefits of our economic engine in generating high quality earnings, strong returns and excess capital. In connection with our performance, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.19 per share.”

Third Quarter 2021 Financial Highlights:

• Insurance in force as of September 30, 2021 was $208.2 billion, compared to $203.6 billion as of June 30, 2021 and $190.8 billion as of September 30, 2020.
• New insurance written for the third quarter was $23.6 billion, compared to $25.0 billion in the second quarter of 2021 and $36.7 billion in the third quarter of 2020.
• Net premiums earned for the third quarter were $218.7 million, compared to $217.4 million in the second quarter of 2021 and $222.3 million in the third quarter of 2020.
• Income from other invested assets for the third quarter included $39.5 million, or $0.28 per diluted share on an after-tax basis, pertaining to net unrealized gains associated with strategic investments in limited partnerships. Of this amount, $21.1 million represents net unrealized gains that were accumulated in other comprehensive income at June 30, 2021 and prior periods.
• The expense ratio for the third quarter was 19.3%, compared to 18.9% in the second quarter of 2021 and 16.7% in the third quarter of 2020.
• The provision for losses and LAE for the third quarter was a benefit of $7.5 million, compared to a provision of $9.7 million in the second quarter of 2021 and a provision of $55.3 million in the third quarter of 2020.
• The percentage of loans in default as of September 30, 2021 was 2.47%, compared to 2.96% as of June 30, 2021 and 4.54% as of September 30, 2020.
• The combined ratio for the third quarter was 15.9%, compared to 23.3% in the second quarter of 2021 and 41.6% in the third quarter of 2020.
• The consolidated balance of cash and investments at September 30, 2021 was $5.1 billion, which includes net cash and investments available for sale at Essent Group Ltd. and Essent US Holdings, Inc. of $513.0 million.
• The combined risk-to-capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 10.5:1 as of September 30, 2021.
• On September 24, 2021, A.M. Best affirmed its “A (Excellent)” financial strength rating of Essent Guaranty, Inc. and a long-term issuer credit rating of "a" of the operating subsidiaries of Essent Group Ltd. Essent Guaranty, Inc. also has financial strength ratings of “A3” by Moody’s and “BBB+” by S&P.

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 888-510-2008 inside the U.S., or 646-960-0306 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; an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; deteriorating economic conditions; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2020 filed with the Securities and Exchange Commission on February 26, 2021, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

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

Source: Essent Group Ltd.

Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended September 30, 2021
Exhibit A		Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B		Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C		Historical Quarterly Data
Exhibit D		New Insurance Written
Exhibit E		Insurance in Force and Risk in Force
Exhibit F		Other Risk in Force
Exhibit G		Portfolio Vintage Data
Exhibit H		Reinsurance Vintage Data
Exhibit I		Portfolio Geographic Data
Exhibit J		Rollforward of Defaults and Reserve for Losses and LAE
Exhibit K		Detail of Reserves by Default Delinquency
Exhibit L		Investments Available for Sale
Exhibit M		Insurance Company Capital

													Exhibit A
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
	Three Months Ended September 30,								Nine Months Ended September 30,
(In thousands, except per share amounts)	2021				2020				2021				2020
Revenues:
Direct premiums written	$	229,228			$	243,390			$	693,434			$	677,414
Ceded premiums	(26,880		)		(21,167		)		(84,438		)		(57,544		)
Net premiums written	202,348				222,223				608,996				619,870
Decrease in unearned premiums	16,370				35				46,226				20,355
Net premiums earned	218,718				222,258				655,222				640,225
Net investment income	21,573				18,639				65,104				59,138
Realized investment gains, net	221				267				609				2,133
Income (loss) from other invested assets	40,741				(445		)		41,389				(217		)
Other income	2,283				2,319				9,270				6,676
Total revenues	283,536				243,038				771,594				707,955
Losses and expenses:
(Benefit) provision for losses and LAE	(7,483		)		55,280				34,490				239,220
Other underwriting and operating expenses	42,272				37,100				125,625				117,866
Interest expense	2,063				2,227				6,187				6,925
Total losses and expenses	36,852				94,607				166,302				364,011
Income before income taxes	246,684				148,431				605,292				343,944
Income tax expense	41,331				23,895				104,496				54,505
Net income	$	205,353			$	124,536			$	500,796			$	289,439
Earnings per share:
Basic	$	1.85			$	1.11			$	4.48			$	2.78
Diluted	1.84				1.11				4.47				2.77
Weighted average shares outstanding:
Basic	111,001				111,908				111,708				104,147
Diluted	111,387				112,134				112,070				104,383
Net income	$	205,353			$	124,536			$	500,796			$	289,439
Other comprehensive income (loss):
Change in unrealized (depreciation) appreciation of investments	(36,917		)		12,036				(59,760		)		76,247
Total other comprehensive (loss) income	(36,917		)		12,036				(59,760		)		76,247
Comprehensive income	$	168,436			$	136,572			$	441,036			$	365,686
Loss ratio	(3.4		%)		24.9		%		5.3		%		37.4		%
Expense ratio	19.3				16.7				19.2				18.4
Combined ratio	15.9		%		41.6		%		24.4		%		55.8		%

					Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
	September 30,				December 31,
(In thousands, except per share amounts)	2021				2020
Assets
Investments
Fixed maturities available for sale, at fair value	$	4,560,235			$	3,838,513
Short-term investments available for sale, at fair value	309,782				726,860
Total investments available for sale	4,870,017				4,565,373
Other invested assets	161,250				88,904
Total investments	5,031,267				4,654,277
Cash	65,825				102,830
Accrued investment income	24,642				19,948
Accounts receivable	47,760				50,140
Deferred policy acquisition costs	13,307				17,005
Property and equipment	12,485				15,095
Prepaid federal income tax	348,286				302,636
Other assets	45,944				40,793
Total assets	$	5,589,516			$	5,202,724
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	412,956			$	374,941
Unearned premium reserve	204,210				250,436
Net deferred tax liability	356,835				305,109
Credit facility borrowings, net of deferred costs	322,614				321,720
Other accrued liabilities	124,917				87,885
Total liabilities	1,421,532				1,340,091
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 110,915 shares in 2021 and 112,423 shares in 2020	1,664				1,686
Additional paid-in capital	1,493,005				1,571,163
Accumulated other comprehensive income	78,514				138,274
Retained earnings	2,594,801				2,151,510
Total stockholders' equity	4,167,984				3,862,633
Total liabilities and stockholders' equity	$	5,589,516			$	5,202,724
Return on average equity (1)	16.6		%		12.1		%
(1) The 2021 return on average equity is calculated by dividing annualized year-to-date 2021 net income by average equity. The 2020 return on average equity is calculated by dividing full year 2020 net income by average equity.

																		Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
		2021												2020
Selected Income Statement Data		September 30				June 30				March 31				December 31				September 30
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio		$	207,127			$	204,149			$	207,840			$	208,715			$	211,126
GSE and other risk share		11,591				13,288				11,227				13,624				11,132
Net premiums earned		218,718				217,437				219,067				222,339				222,258
Income (loss) from other invested assets (1)		40,741				122				526				2				(445		)
Other revenues (2)		24,077				25,702				25,204				24,858				21,225
Total revenues		283,536				243,261				244,797				247,199				243,038
Losses and expenses:
(Benefit) provision for losses and LAE		(7,483		)		9,651				32,322				62,073				55,280
Other underwriting and operating expenses		42,272				41,114				42,239				36,825				37,100
Interest expense		2,063				2,073				2,051				2,149				2,227
Total losses and expenses		36,852				52,838				76,612				101,047				94,607
Income before income taxes		246,684				190,423				168,185				146,152				148,431
Income tax expense (3)		41,331				30,628				32,537				22,550				23,895
Net income		$	205,353			$	159,795			$	135,648			$	123,602			$	124,536
Earnings per share:
Basic		$	1.85			$	1.43			$	1.21			$	1.10			$	1.11
Diluted		1.84				1.42				1.21				1.10				1.11
Weighted average shares outstanding:
Basic		111,001				112,118				112,016				111,908				111,908
Diluted		111,387				112,454				112,378				112,310				112,134
Book value per share		$	37.58			$	36.32			$	34.75			$	34.36			$	33.33
Return on average equity (annualized)		19.9		%		16.0		%		13.9		%		13.0		%		13.5		%
Other Data:
Loss ratio (4)		(3.4		%)		4.4		%		14.8		%		27.9		%		24.9		%
Expense ratio (5)		19.3				18.9				19.3				16.6				16.7
Combined ratio		15.9		%		23.3		%		34.0		%		44.5		%		41.6		%
Credit Facility
Borrowings outstanding		$	325,000			$	325,000			$	325,000			$	325,000			$	425,000
Undrawn committed capacity		$	300,000			$	300,000			$	300,000			$	300,000			$	75,000
Weighted average interest rate (end of period)		2.13		%		2.13		%		2.13		%		2.19		%		1.90		%
Debt-to-capital		7.23		%		7.37		%		7.65		%		7.76		%		10.19		%
(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) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. For each of the three month periods noted, Other revenues include net favorable (unfavorable) changes in the fair value of these embedded derivatives as follows: September 30, 2021: ($1,493); June 30, 2021: $950; March 31, 2021: ($606); December 31, 2020: ($209); September 30, 2020: ($677).
(3) Income tax expense for the quarter ended September 30, 2021 includes $8,271 of discrete tax expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2021 includes $5,718 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability.
(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
		2021												2020
Other Data, continued:		September 30				June 30				March 31				December 31				September 30
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written		$	23,579,884			$	25,004,854			$	19,254,014			$	29,566,820			$	36,664,583
New risk written		6,273,735				6,445,864				4,616,450				7,051,173				8,938,544
Bulk:
New insurance written		$	—			$	—			$	—			$	—			$	—
New risk written		—				—				—				—				—
Total:
New insurance written		$	23,579,884			$	25,004,854			$	19,254,014			$	29,566,820			$	36,664,583
New risk written		$	6,273,735			$	6,445,864			$	4,616,450			$	7,051,173			$	8,938,544
Average insurance in force		$	206,732,478			$	199,739,297			$	197,749,668			$	195,670,925			$	183,135,315
Insurance in force (end of period)		$	208,216,549			$	203,559,859			$	197,091,191			$	198,882,352			$	190,811,292
Gross risk in force (end of period) (6)		$	52,457,020			$	50,835,835			$	48,951,602			$	49,565,150			$	47,838,668
Risk in force (end of period)		$	45,074,159			$	42,906,519			$	41,135,978			$	41,339,262			$	41,219,216
Policies in force		798,877				794,743				785,382				799,893				781,836
Weighted average coverage (7)		25.2		%		25.0		%		24.8		%		24.9		%		25.1		%
Annual persistency		62.2		%		58.3		%		56.1		%		60.1		%		64.2		%
Loans in default (count)		19,721				23,504				29,080				31,469				35,464
Percentage of loans in default		2.47		%		2.96		%		3.70		%		3.93		%		4.54		%
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (8)		0.42		%		0.43		%		0.44		%		0.44		%		0.45		%
Single premium cancellations (9)		0.03		%		0.03		%		0.04		%		0.05		%		0.06		%
Gross average premium rate		0.45		%		0.46		%		0.48		%		0.49		%		0.51		%
Ceded premiums		(0.05		%)		(0.05		%)		(0.06		%)		(0.06		%)		(0.05		%)
Net average premium rate		0.40		%		0.41		%		0.42		%		0.43		%		0.46		%
(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												Nine Months Ended
	September 30, 2021						September 30, 2020						September 30, 2021						September 30, 2020
($ in thousands)
>=760	$	9,257,407		39.3	%		$	16,887,062		46.1	%		$	27,778,887		40.9	%		$	34,706,705		44.3	%
740-759	3,892,226			16.5			6,557,520			17.9			10,858,015			16.0			14,316,011			18.3
720-739	3,656,963			15.5			5,238,462			14.3			10,316,977			15.2			11,609,703			14.8
700-719	3,345,696			14.2			4,187,254			11.4			9,328,577			13.8			9,024,266			11.5
680-699	2,361,529			10.0			2,131,994			5.8			5,855,301			8.6			5,127,817			6.5
<=679	1,066,063			4.5			1,662,291			4.5			3,700,995			5.5			3,592,592			4.6
Total	$	23,579,884		100.0	%		$	36,664,583		100.0	%		$	67,838,752		100.0	%		$	78,377,094		100.0	%
Weighted average credit score	744						751						745						749
NIW by LTV
	Three Months Ended												Nine Months Ended
	September 30, 2021						September 30, 2020						September 30, 2021						September 30, 2020
($ in thousands)
85.00% and below	$	2,336,949		9.9	%		$	6,815,158		18.6	%		$	9,660,937		14.2	%		$	13,807,437		17.6	%
85.01% to 90.00%	5,860,301			24.9			11,324,610			30.9			19,192,675			28.3			24,391,509			31.1
90.01% to 95.00%	11,574,090			49.1			14,781,544			40.3			30,090,325			44.4			31,382,298			40.1
95.01% and above	3,808,544			16.1			3,743,271			10.2			8,894,815			13.1			8,795,850			11.2
Total	$	23,579,884		100.0	%		$	36,664,583		100.0	%		$	67,838,752		100.0	%		$	78,377,094		100.0	%
Weighted average LTV	93		%				91		%				92		%				91		%
NIW by Product
	Three Months Ended												Nine Months Ended
	September 30, 2021						September 30, 2020						September 30, 2021						September 30, 2020
Single Premium policies				2.5	%					8.6	%					4.1	%					9.5	%
Monthly Premium policies				97.5						91.4						95.9						90.5
				100.0	%					100.0	%					100.0	%					100.0	%
NIW by Purchase vs. Refinance
	Three Months Ended												Nine Months Ended
	September 30, 2021						September 30, 2020						September 30, 2021						September 30, 2020
Purchase				90.9	%					61.1	%					79.6	%					60.0	%
Refinance				9.1						38.9						20.4						40.0
				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		September 30, 2021						June 30, 2021						September 30, 2020
($ in thousands)
>=760		$	85,833,588		41.2	%		$	84,110,514		41.3	%		$	78,923,142		41.4	%
740-759		35,234,863			16.9			34,636,115			17.0			33,229,396			17.4
720-739		31,291,415			15.1			30,471,320			15.0			28,496,228			15.0
700-719		26,136,910			12.6			25,177,026			12.4			22,748,385			11.9
680-699		16,758,439			8.0			15,962,389			7.8			15,302,772			8.0
<=679		12,961,334			6.2			13,202,495			6.5			12,111,369			6.3
Total		$	208,216,549		100.0	%		$	203,559,859		100.0	%		$	190,811,292		100.0	%
Weighted average credit score		745						745						745
Gross RIF by FICO score		September 30, 2021						June 30, 2021						September 30, 2020
($ in thousands)
>=760		$	21,414,607		40.8	%		$	20,807,006		40.9	%		$	19,606,502		41.0	%
740-759		8,958,297			17.1			8,729,038			17.2			8,395,009			17.5
720-739		8,020,171			15.3			7,745,794			15.2			7,251,499			15.2
700-719		6,652,117			12.7			6,342,378			12.5			5,738,412			12.0
680-699		4,250,044			8.1			3,998,410			7.9			3,853,734			8.0
<=679		3,161,784			6.0			3,213,209			6.3			2,993,512			6.3
Total		$	52,457,020		100.0	%		$	50,835,835		100.0	%		$	47,838,668		100.0	%
Portfolio by LTV
IIF by LTV		September 30, 2021						June 30, 2021						September 30, 2020
($ in thousands)
85.00% and below		$	28,452,535		13.7	%		$	29,045,720		14.3	%		$	23,979,065		12.6	%
85.01% to 90.00%		60,257,704			28.9			60,027,287			29.5			55,453,633			29.1
90.01% to 95.00%		90,957,363			43.7			87,382,625			42.9			84,573,433			44.3
95.01% and above		28,548,947			13.7			27,104,227			13.3			26,805,161			14.0
Total		$	208,216,549		100.0	%		$	203,559,859		100.0	%		$	190,811,292		100.0	%
Weighted average LTV		92		%				92		%				92		%
Gross RIF by LTV		September 30, 2021						June 30, 2021						September 30, 2020
($ in thousands)
85.00% and below		$	3,311,106		6.3	%		$	3,360,970		6.6	%		$	2,759,320		5.8	%
85.01% to 90.00%		14,506,577			27.7			14,421,749			28.4			13,307,205			27.8
90.01% to 95.00%		26,410,513			50.3			25,329,870			49.8			24,391,376			51.0
95.01% and above		8,228,824			15.7			7,723,246			15.2			7,380,767			15.4
Total		$	52,457,020		100.0	%		$	50,835,835		100.0	%		$	47,838,668		100.0	%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period		September 30, 2021						June 30, 2021						September 30, 2020
($ in thousands)
FRM 30 years and higher		$	198,392,156		95.3	%		$	192,995,698		94.8	%		$	180,135,430		94.4	%
FRM 20-25 years		3,974,602			1.9			4,269,217			2.1			3,945,019			2.1
FRM 15 years		4,419,750			2.1			4,742,281			2.3			4,417,092			2.3
ARM 5 years and higher		1,430,041			0.7			1,552,663			0.8			2,313,751			1.2
Total		$	208,216,549		100.0	%		$	203,559,859		100.0	%		$	190,811,292		100.0	%

																		Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
		2021												2020
($ in thousands)		September 30				June 30				March 31				December 31				September 30
GSE and other risk share (1):
Risk in Force		$	1,568,800			$	1,496,247			$	1,534,174			$	1,416,719			$	1,216,353
Reserve for losses and LAE		$	1,389			$	1,390			$	1,312			$	1,073			$	718
Weighted average credit score		748				747				747				746				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
September 30, 2021
											Insurance in Force
Year	Original Insurance Written ($ in thousands)			Remaining Insurance in Force ($ in thousands)			% Remaining of Original Insurance		Number of Policies in Force		Weighted Average Coupon		% Purchase		>90% LTV		>95% LTV		FICO < 700		FICO >= 760		Incurred Loss Ratio (Inception to Date) (1)		Number of Loans in Default		Percentage of Loans in Default
2010 - 2014	$	60,668,851		$	3,679,908		6.1	%	22,495		4.31	%	81.4	%	70.8	%	4.9	%	15.0	%	42.5	%	3.3	%	1,124		5.00	%
2015	26,193,656			3,613,111			13.8		20,414		4.16		86.5		65.4		3.4		17.6		40.0		4.5		915		4.48
2016	34,949,319			7,191,077			20.6		38,011		3.86		87.8		64.7		8.7		15.2		43.9		5.5		1,665		4.38
2017	43,858,322			9,881,021			22.5		53,501		4.26		90.2		64.7		17.9		19.6		38.0		8.9		3,138		5.87
2018	47,508,525			11,062,279			23.3		57,104		4.77		93.6		66.6		23.2		20.7		33.8		14.5		3,863		6.76
2019	63,569,183			23,609,156			37.1		103,202		4.21		85.4		64.9		22.0		18.8		35.7		24.0		5,007		4.85
2020	107,944,065			83,556,296			77.4		297,734		3.19		62.2		51.3		11.2		11.4		44.4		16.3		3,563		1.20
2021 (through September 30)	67,838,752			65,623,701			96.7		206,416		3.05		80.0		57.9		13.4		14.1		40.6		7.6		446		0.22
Total	$	452,530,673		$	208,216,549		46.0		798,877		3.46		75.1		57.4		13.7		14.3		41.2		9.4		19,721		2.47
(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
September 30, 2021
($ in thousands)
Excess of Loss Reinsurance								Original Reinsurance in Force										Remaining Reinsurance in Force																					Earned Premiums Ceded
Year	Remaining Insurance in Force			Remaining Risk in Force				ILN (1)			Other Reinsurance (2)			Total				ILN			Other Reinsurance			Total				Losses Ceded to Date				Original First Layer Retention			Remaining First Layer Retention				Quarter-to-Date			Year-to-Date				Reduction in PMIERs Minimum Required Assets (7)
2015 & 2016	$	10,456,730		$	2,819,155			$	333,844		$	—		$	333,844			$	216,480		$	—		$	216,480			$	—			$	208,111		$	207,228			$	1,212		$	3,631			$	—
2017	9,626,915			2,477,614				424,412			165,167			589,579				242,123			165,167			407,290				—				224,689			217,662				2,681			7,976				—
2018	10,872,992			2,769,084				473,184			118,650			591,834				325,537			76,144			401,681				—				253,643			249,595				3,221			9,604				—
2019 (3)	13,147,399			3,359,701				495,889			55,102			550,991				495,889			55,102			550,991				—				215,605			215,198				2,778			8,290				76,545
2019 & 2020 (4)	34,844,588			8,778,381				399,159			—			399,159				233,980			—			233,980				—				465,690			465,690				4,486			14,399				148,858
2020 & 2021 (5)	53,337,485			12,988,275				557,911			—			557,911				557,911			—			557,911				—				278,956			278,956				3,714			3,980				557,911
Total	$	132,286,109		$	33,192,210			$	2,684,399		$	338,919		$	3,023,318			$	2,071,920		$	296,413		$	2,368,333			$	—			$	1,646,694		$	1,634,329			$	18,092		$	47,880			$	783,314

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 (7)
2019 & 2020	(6)	$	93,411,304		$	23,055,319			$	20,512,448			$	5,014,528			$	(307)		$	7,949			$	4,547		$	14,304			$	8,788		$	36,558			$	335,553
(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
(2) Reinsurance provided by panels of reinsurers.
(3) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.
(4) Reinsurance coverage on new insurance written from September 1, 2019 through July 31, 2020.
(5) Reinsurance coverage on new insurance written from August 1, 2020 through March 31, 2021.
(6) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.
(7) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.

							Exhibit I
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data
IIF by State
	September 30, 2021			June 30, 2021			September 30, 2020
CA	13.1	%		12.9	%		11.2	%
TX	9.8			9.8			9.6
FL	9.5			9.3			8.5
CO	4.1			4.1			4.1
WA	3.7			3.7			3.9
IL	3.4			3.3			3.5
AZ	3.4			3.5			3.5
VA	3.1			3.1			3.2
NJ	3.1			3.1			3.4
GA	3.1			3.1			3.1
All Others	43.7			44.1			46.0
Total	100.0	%		100.0	%		100.0	%
Gross RIF by State
	September 30, 2021			June 30, 2021			September 30, 2020
CA	12.9	%		12.7	%		11.0	%
TX	10.1			10.1			9.9
FL	9.8			9.6			8.7
CO	4.1			4.1			4.0
WA	3.7			3.6			3.9
AZ	3.3			3.4			3.4
IL	3.3			3.2			3.4
GA	3.1			3.1			3.1
VA	3.1			3.0			3.1
NJ	3.0			3.0			3.3
All Others	43.6			44.2			46.2
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
		2021												2020
		September 30				June 30				March 31				December 31				September 30
Beginning default inventory		23,504				29,080				31,469				35,464				38,068
Plus: new defaults (A)		5,132				4,934				7,422				8,745				12,614
Less: cures		(8,862		)		(10,453		)		(9,737		)		(12,679		)		(15,135		)
Less: claims paid		(41		)		(46		)		(61		)		(49		)		(67		)
Less: rescissions and denials, net		(12		)		(11		)		(13		)		(12		)		(16		)
Ending default inventory		19,721				23,504				29,080				31,469				35,464
(A) New defaults remaining as of September 30, 2021		3,820				2,230				2,396				2,250				2,360
Cure rate (1)		26		%		55		%		68		%		74		%		81		%
Total amount paid for claims (in thousands)		$	1,069			$	1,154			$	1,989			$	1,922			$	2,557
Average amount paid per claim (in thousands)		$	26			$	25			$	33			$	39			$	38
Severity		60		%		57		%		70		%		62		%		77		%
Rollforward of Reserve for Losses and LAE
		Three Months Ended
		2021												2020
($ in thousands)		September 30				June 30				March 31				December 31				September 30
Reserve for losses and LAE at beginning of period		$	420,482			$	409,811			$	373,868			$	307,019			$	250,862
Less: Reinsurance recoverables		27,286				24,907				19,061				11,898				7,761
Net reserve for losses and LAE at beginning of period		393,196				384,904				354,807				295,121				243,101
Add provision for losses and LAE occurring in:
Current period		11,371				24,534				47,763				63,597				55,660
Prior years		(18,853		)		(14,961		)		(15,680		)		(1,879		)		(1,070		)
Incurred losses and LAE during the period		(7,482		)		9,573				32,083				61,718				54,590
Deduct payments for losses and LAE occurring in:
Current period		103				14				114				524				205
Prior years		1,014				1,267				1,872				1,508				2,365
Loss and LAE payments during the period		1,117				1,281				1,986				2,032				2,570
Net reserve for losses and LAE at end of period		384,597				393,196				384,904				354,807				295,121
Plus: Reinsurance recoverables		26,970				27,286				24,907				19,061				11,898
Reserve for losses and LAE at end of period		$	411,567			$	420,482			$	409,811			$	373,868			$	307,019
(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
		September 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		3,823		20	%	$	20,438		5	%	$	223,065		9	%
Four to eleven payments		6,738		34		103,062			27		426,282			24
Twelve or more payments		9,108		46		254,499			67		595,444			43
Pending claims		52		—		2,037			1		2,516			81
Total case reserves		19,721		100	%	380,036			100	%	$	1,247,307		30
IBNR						28,503
LAE						3,028
Total reserves for losses and LAE						$	411,567
Average reserve per default:
Case						$	19.3
Total						$	20.9
Default Rate		2.47%
		December 31, 2020
		Number of Policies in Default		Percentage of Policies in Default		Amount of Reserves			Percentage of Reserves		Defaulted RIF			Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less		6,631		21	%	$	47,905		14	%	$	384,668		12	%
Four to eleven payments		23,543		75		260,593			76		1,553,593			17
Twelve or more payments		1,243		4		32,593			9		67,501			48
Pending claims		52		—		2,199			1		2,843			77
Total case reserves		31,469		100	%	343,290			100	%	$	2,008,605		17
IBNR						25,747
LAE						4,831
Total reserves for losses and LAE						$	373,868
Average reserve per default:
Case						$	10.9
Total						$	11.9
Default Rate		3.93%
		September 30, 2020
		Number of Policies in Default		Percentage of Policies in Default		Amount of Reserves			Percentage of Reserves		Defaulted RIF			Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less		9,237		26	%	$	58,296		21	%	$	554,524		11	%
Four to eleven payments		25,290		71		194,892			69		1,697,419			11
Twelve or more payments		891		3		24,842			9		48,612			51
Pending claims		46		—		2,417			1		2,840			85
Total case reserves		35,464		100	%	280,447			100	%	$	2,303,395		12
IBNR						21,034
LAE						5,538
Total reserves for losses and LAE						$	307,019
Average reserve per default:
Case						$	7.9
Total						$	8.7
Default Rate		4.54%

													Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class		September 30, 2021							December 31, 2020
($ in thousands)		Fair Value				Percent			Fair Value				Percent
U.S. Treasury securities		$	331,216			6.8	%		$	268,444			5.9	%
U.S. agency securities		5,536				0.1			18,085				0.4
U.S. agency mortgage-backed securities		989,552				20.3			995,905				21.8
Municipal debt securities		592,458				12.2			551,517				12.1
Non-U.S. government securities		79,994				1.6			61,607				1.3
Corporate debt securities		1,524,144				31.3			1,126,512				24.7
Residential and commercial mortgage securities		539,186				11.1			409,282				9.0
Asset-backed securities		554,475				11.4			454,717				9.9
Money market funds		253,456				5.2			679,304				14.9
Total investments available for sale		$	4,870,017			100.0	%		$	4,565,373			100.0	%
Investments Available for Sale by Credit Rating
Rating (1)		September 30, 2021							December 31, 2020
($ in thousands)		Fair Value				Percent			Fair Value				Percent
Aaa		$	2,356,302			48.4	%		$	2,564,746			56.2	%
Aa1		106,743				2.2			133,100				2.9
Aa2		320,018				6.6			260,462				5.7
Aa3		212,516				4.4			204,917				4.5
A1		288,177				5.9			249,710				5.5
A2		459,205				9.4			401,175				8.8
A3		293,220				6.0			229,882				5.0
Baa1		302,771				6.2			260,602				5.7
Baa2		260,360				5.4			178,926				3.9
Baa3		190,999				3.9			48,199				1.1
Below Baa3		79,706				1.6			33,654				0.7
Total investments available for sale		$	4,870,017			100.0	%		$	4,565,373			100.0	%
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
Investments Available for Sale by Duration and Book Yield
Effective Duration		September 30, 2021							December 31, 2020
($ in thousands)		Fair Value				Percent			Fair Value				Percent
< 1 Year		$	1,181,803			24.3	%		$	1,568,505			34.4	%
1 to < 2 Years		644,007				13.2			581,003				12.7
2 to < 3 Years		530,003				10.9			616,069				13.5
3 to < 4 Years		688,472				14.1			426,333				9.3
4 to < 5 Years		493,847				10.1			367,633				8.1
5 or more Years		1,331,885				27.4			1,005,830				22.0
Total investments available for sale		$	4,870,017			100.0	%		$	4,565,373			100.0	%
Pre-tax investment income yield:
Three months ended September 30, 2021		1.93		%
Nine months ended September 30, 2021		1.97		%

Holding company net cash and investments available for sale: (2)
($ in thousands)
As of September 30, 2021		$	513,000
As of December 31, 2020		$	574,901
(2) Includes net cash and investments available for sale at Essent Group Ltd. and Essent US Holdings, Inc.

																		Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
		2021												2020
		September 30				June 30				March 31				December 31				September 30
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)		$	2,916,802			$	2,809,087			$	2,778,131			$	2,659,161			$	2,581,136
Combined net risk in force (2)		$	30,766,379			$	29,646,042			$	29,358,191			$	29,493,572			$	29,821,246
Risk-to-capital ratios: (3)
Essent Guaranty, Inc.		10.9:1				10.9:1				11.0:1				11.5:1				12.0:1
Essent Guaranty of PA, Inc.		1.0:1				1.1:1				1.4:1				1.7:1				2.0:1
Combined (4)		10.5:1				10.6:1				10.6:1				11.1:1				11.6:1
Essent Guaranty, Inc. PMIERs Data (5):
Available Assets		$	3,161,780			$	3,016,050			$	2,996,651			$	2,855,923			$	2,720,432
Minimum Required Assets		1,951,096				1,731,843				1,864,262				1,671,011				1,739,479
PMIERs excess Available Assets		$	1,210,684			$	1,284,207			$	1,132,389			$	1,184,912			$	980,953
PMIERs sufficiency ratio (6)		162		%		174		%		161		%		171		%		156		%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)		$	1,249,996			$	1,192,077			$	1,136,504			$	1,101,003			$	1,061,546
Net risk in force (2)		$	15,466,651			$	14,338,567			$	12,905,289			$	12,892,300			$	12,312,124
(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.
(5) Data is based on our interpretation of the PMIERs as of the dates indicated.
(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.

 

View source version on businesswire.com: https://www.businesswire.com/news/home/20211105005192/en/

Media Contact

610.230.0556

media@essentgroup.com

Investor Relations Contact

Christopher G. Curran

Senior Vice President – Investor Relations

855-809-ESNT

ir@essentgroup.com

Source: Essent Group Ltd.

FAQ

What is Essent Group's latest net income report for Q3 2021?

Essent Group reported a net income of $205.4 million or $1.84 per diluted share for Q3 2021.

When is Essent Group's dividend payment date?

The dividend payment date is December 10, 2021.

What is the amount of the dividend declared by Essent Group?

Essent Group declared a quarterly cash dividend of $0.19 per common share.

What was the percentage of loans in default for Essent Group as of September 30, 2021?

The percentage of loans in default was 2.47% as of September 30, 2021.

How did Essent Group's insurance in force change in Q3 2021?

Insurance in force increased to $208.2 billion as of September 30, 2021.