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

ESNT

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2022 of $274.2 million or $2.52 per diluted share, compared to $135.6 million or $1.21 per diluted share for the quarter ended March 31, 2021.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.21 per common share. The dividend is payable on June 10, 2022, to shareholders of record on June 1, 2022.

“Our strong results for the quarter reflect the continued favorable credit performance of our portfolio,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our outlook on housing remains positive, and we believe that the fundamentals of our business remain solid. More importantly, with the strength of our balance sheet and buy, manage, and distribute operating model, we are built to manage through economic cycles. In connection with that, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.21 per share.”

First Quarter 2022 Financial Highlights:

  • Insurance in force as of March 31, 2022 was $206.8 billion, compared to $207.2 billion as of December 31, 2021 and $197.1 billion as of March 31, 2021.
  • New insurance written for the first quarter was $12.8 billion, compared to $16.4 billion in the fourth quarter of 2021 and $19.3 billion in the first quarter of 2021.
  • Net premiums earned for the first quarter were $215.3 million, compared to $217.3 million in the fourth quarter of 2021 and $219.1 million in the first quarter of 2021.
  • Income from other invested assets for the first quarter was $24.7 million, compared to $15.0 million in the fourth quarter of 2021.
  • The expense ratio for the first quarter was 18.9%, compared to 19.0% in the fourth quarter of 2021 and 19.3% in the first quarter of 2021.
  • The provision for losses and LAE for the first quarter was a benefit of $106.9 million, compared to a benefit of $3.4 million in the fourth quarter of 2021 and a provision of $32.3 million in the first quarter of 2021.
    • The provision in the first quarter of 2022 included a $101.2 million benefit associated with a change in the claim rate assumption for COVID-19 defaults recorded in the second and third quarters of 2020.
  • The percentage of loans in default as of March 31, 2022 was 1.93%, compared to 2.16% as of December 31, 2021 and 3.70% as of March 31, 2021.
  • The combined ratio for the first quarter was negative (30.7%), compared to 17.4% in the fourth quarter of 2021 and 34.0% in the first quarter of 2021.
  • The consolidated balance of cash and investments at March 31, 2022 was $5.1 billion, which includes holding company net cash and investments available for sale of $578.6 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 9.9:1 as of March 31, 2022.
  • During the quarter, we entered into a second quota share reinsurance transaction with a panel of highly rated third-party reinsurers. The quota share agreement covers 20% of all eligible policies written by Essent Guaranty, Inc. for the period January 1, 2022 through December 31, 2022.
  • Essent’s Board of Directors has authorized a new share repurchase plan of up to $250 million of the Company’s common shares through December 31, 2023. The prior repurchase authorization from May 2021 was completed in April 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.

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended March 31, 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 March 31,

(In thousands, except per share amounts)

2022

2021

Revenues:

Direct premiums written

$

220,254

$

235,257

Ceded premiums

(20,523

)

(30,896

)

Net premiums written

199,731

204,361

Decrease in unearned premiums

15,599

14,706

Net premiums earned

215,330

219,067

Net investment income

24,680

21,788

Realized investment (losses) gains, net

(7,352

)

641

Income from other invested assets

24,705

526

Other income

7,248

2,775

Total revenues

264,611

244,797

Losses and expenses:

(Benefit) provision for losses and LAE

(106,858

)

32,322

Other underwriting and operating expenses

40,796

42,239

Interest expense

2,226

2,051

Total losses and expenses

(63,836

)

76,612

Income before income taxes

328,447

168,185

Income tax expense

54,280

32,537

Net income

$

274,167

$

135,648

Earnings per share:

Basic

$

2.53

$

1.21

Diluted

2.52

1.21

Weighted average shares outstanding:

Basic

108,166

112,016

Diluted

108,590

112,378

Net income

$

274,167

$

135,648

Other comprehensive income (loss):

Change in unrealized depreciation of investments

(203,006

)

(59,203

)

Total other comprehensive loss

(203,006

)

(59,203

)

Comprehensive income

$

71,161

$

76,445

Loss ratio

(49.6

%)

14.8

%

Expense ratio

18.9

19.3

Combined ratio

(30.7

%)

34.0

%

Exhibit B

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

March 31,

December 31,

(In thousands, except per share amounts)

2022

2021

Assets

Investments

Fixed maturities available for sale, at fair value

$

4,145,542

$

4,649,800

Short-term investments available for sale, at fair value

517,363

313,087

Total investments available for sale

4,662,905

4,962,887

Other invested assets

212,521

170,472

Total investments

4,875,426

5,133,359

Cash

203,845

81,491

Accrued investment income

23,233

26,546

Accounts receivable

45,167

46,157

Deferred policy acquisition costs

11,148

12,178

Property and equipment

20,308

11,921

Prepaid federal income tax

360,810

360,810

Other assets

46,208

49,712

Total assets

$

5,586,145

$

5,722,174

Liabilities and Stockholders' Equity

Liabilities

Reserve for losses and LAE

$

293,072

$

407,445

Unearned premium reserve

169,786

185,385

Net deferred tax liability

359,919

373,654

Credit facility borrowings, net of deferred costs

420,073

419,823

Other accrued liabilities

128,227

99,753

Total liabilities

1,371,077

1,486,060

Commitments and contingencies

Stockholders' Equity

Common shares, $0.015 par value:

Authorized - 233,333; issued and outstanding - 108,140 shares in 2022 and 109,377 shares in 2021

1,622

1,641

Additional paid-in capital

1,358,583

1,428,952

Accumulated other comprehensive (loss) income

(152,299

)

50,707

Retained earnings

3,007,162

2,754,814

Total stockholders' equity

4,215,068

4,236,114

Total liabilities and stockholders' equity

$

5,586,145

$

5,722,174

Return on average equity (1)

26.0

%

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

March 31

December 31

September 30

June 30

March 31

(In thousands, except per share amounts)

Revenues:

Net premiums earned:

U.S. Mortgage Insurance Portfolio

$

203,312

$

205,877

$

207,127

$

204,149

$

207,840

GSE and other risk share

12,018

11,444

11,591

13,288

11,227

Net premiums earned

215,330

217,321

218,718

217,437

219,067

Net investment income

24,680

23,661

21,573

21,743

21,788

Realized investment (losses) gains, net

(7,352

)

(191

)

221

(253

)

641

Income from other invested assets (1)

24,705

14,997

40,741

122

526

Other income (2)

7,248

1,128

2,283

4,212

2,775

Total revenues

264,611

256,916

283,536

243,261

244,797

Losses and expenses:

(Benefit) provision for losses and LAE

(106,858

)

(3,433

)

(7,483

)

9,651

32,322

Other underwriting and operating expenses

40,796

41,232

42,272

41,114

42,239

Interest expense

2,226

2,095

2,063

2,073

2,051

Total losses and expenses

(63,836

)

39,894

36,852

52,838

76,612

Income before income taxes

328,447

217,022

246,684

190,423

168,185

Income tax expense (3)

54,280

36,035

41,331

30,628

32,537

Net income

$

274,167

$

180,987

$

205,353

$

159,795

$

135,648

Earnings per share:

Basic

$

2.53

$

1.65

$

1.85

$

1.43

$

1.21

Diluted

2.52

1.64

1.84

1.42

1.21

Weighted average shares outstanding:

Basic

108,166

109,550

111,001

112,118

112,016

Diluted

108,590

110,028

111,387

112,454

112,378

Book value per share

$

38.98

$

38.73

$

37.58

$

36.32

$

34.75

Return on average equity (annualized)

26.0

%

17.2

%

19.9

%

16.0

%

13.9

%

Other Data:

Loss ratio (4)

(49.6

%)

(1.6

%)

(3.4

%)

4.4

%

14.8

%

Expense ratio (5)

18.9

19.0

19.3

18.9

19.3

Combined ratio

(30.7

%)

17.4

%

15.9

%

23.3

%

34.0

%

Credit Facility

Borrowings outstanding

$

425,000

$

425,000

$

325,000

$

325,000

$

325,000

Undrawn committed capacity

$

400,000

$

400,000

$

300,000

$

300,000

$

300,000

Weighted average interest rate (end of period)

1.99

%

1.79

%

2.13

%

2.13

%

2.13

%

Debt-to-capital

9.16

%

9.12

%

7.23

%

7.37

%

7.65

%

(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: March 31, 2022: $4,365; December 31, 2021: ($2,931); September 30, 2021: ($1,493); June 30, 2021: $950; March 31, 2021: ($606).

(3) Income tax expense for the quarters ended December 31, 2021 and March 31, 2021 includes $2,473 and $5,718, respectively, 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 March 31, 2022, December 31, 2021 and September 30, 2021 includes $7,002, $1,759 and $8,271, respectively, of discrete tax 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:

March 31

December 31

September 30

June 30

March 31

($ in thousands)

U.S. Mortgage Insurance Portfolio

Flow:

New insurance written

$

12,841,482

$

16,379,082

$

23,579,884

$

25,004,854

$

19,254,014

New risk written

3,438,016

4,331,531

6,273,735

6,445,864

4,616,450

Bulk:

New insurance written

$

$

416

$

$

$

New risk written

41

Total:

New insurance written

$

12,841,482

$

16,379,498

$

23,579,884

$

25,004,854

$

19,254,014

New risk written

$

3,438,016

$

4,331,572

$

6,273,735

$

6,445,864

$

4,616,450

Average insurance in force

$

206,631,135

$

207,388,906

$

206,732,478

$

199,739,297

$

197,749,668

Insurance in force (end of period)

$

206,842,996

$

207,190,544

$

208,216,549

$

203,559,859

$

197,091,191

Gross risk in force (end of period) (6)

$

52,847,985

$

52,554,246

$

52,457,020

$

50,835,835

$

48,951,602

Risk in force (end of period)

$

45,261,164

$

45,273,383

$

45,074,159

$

42,906,519

$

41,135,978

Policies in force

774,002

785,119

798,877

794,743

785,382

Weighted average coverage (7)

25.5

%

25.4

%

25.2

%

25.0

%

24.8

%

Annual persistency

69.1

%

65.4

%

62.2

%

58.3

%

56.1

%

Loans in default (count)

14,923

16,963

19,721

23,504

29,080

Percentage of loans in default

1.93

%

2.16

%

2.47

%

2.96

%

3.70

%

U.S. Mortgage Insurance Portfolio premium rate:

Base average premium rate (8)

0.41

%

0.42

%

0.42

%

0.43

%

0.44

%

Single premium cancellations (9)

0.02

%

0.03

%

0.03

%

0.03

%

0.04

%

Gross average premium rate

0.43

%

0.45

%

0.45

%

0.46

%

0.48

%

Ceded premiums

(0.04

%)

(0.05

%)

(0.05

%)

(0.05

%)

(0.06

%)

Net average premium rate

0.39

%

0.40

%

0.40

%

0.41

%

0.42

%

(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

March 31, 2022

December 31, 2021

March 31, 2021

($ in thousands)

>=760

$

5,410,654

42.1

%

$

6,643,740

40.6

%

$

8,471,121

44.0

%

740-759

2,113,232

16.5

2,833,379

17.3

3,153,327

16.4

720-739

1,991,318

15.5

2,472,738

15.1

2,753,296

14.3

700-719

1,620,473

12.6

2,170,829

13.2

2,358,634

12.2

680-699

1,147,766

8.9

1,504,268

9.2

1,227,408

6.4

<=679

558,039

4.4

754,128

4.6

1,290,228

6.7

Total

$

12,841,482

100.0

%

$

16,379,082

100.0

%

$

19,254,014

100.0

%

Weighted average credit score

747

745

747

NIW by LTV

Three Months Ended

March 31, 2022

December 31, 2021

March 31, 2021

($ in thousands)

85.00% and below

$

1,262,038

9.8

%

$

1,799,336

11.0

%

$

3,968,576

20.6

%

85.01% to 90.00%

3,415,938

26.6

4,372,552

26.7

6,441,997

33.5

90.01% to 95.00%

6,416,255

50.0

7,722,842

47.1

7,052,522

36.6

95.01% and above

1,747,251

13.6

2,484,352

15.2

1,790,919

9.3

Total

$

12,841,482

100.0

%

$

16,379,082

100.0

%

$

19,254,014

100.0

%

Weighted average LTV

93

%

92

%

91

%

NIW by Product

Three Months Ended

March 31, 2022

December 31, 2021

March 31, 2021

Single Premium policies

1.9

%

2.7

%

6.9

%

Monthly Premium policies

98.1

97.3

93.1

100.0

%

100.0

%

100.0

%

NIW by Purchase vs. Refinance

Three Months Ended

March 31, 2022

December 31, 2021

March 31, 2021

Purchase

94.1

%

92.1

%

62.3

%

Refinance

5.9

7.9

37.7

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

March 31, 2022

December 31, 2021

March 31, 2021

($ in thousands)

>=760

$

85,707,070

41.4

%

$

85,501,113

41.3

%

$

81,629,166

41.4

%

740-759

35,048,891

17.0

35,111,019

17.0

33,969,375

17.2

720-739

31,180,765

15.1

31,158,325

15.0

29,323,182

14.9

700-719

26,040,114

12.6

26,105,790

12.6

23,775,892

12.1

680-699

16,847,202

8.1

16,819,629

8.1

15,241,886

7.7

<=679

12,018,954

5.8

12,494,668

6.0

13,151,690

6.7

Total

$

206,842,996

100.0

%

$

207,190,544

100.0

%

$

197,091,191

100.0

%

Weighted average credit score

746

745

745

Gross RIF by FICO score

March 31, 2022

December 31, 2021

March 31, 2021

($ in thousands)

>=760

$

21,707,751

41.1

%

$

21,488,011

40.9

%

$

20,063,586

41.0

%

740-759

9,041,350

17.1

8,992,181

17.1

8,512,926

17.4

720-739

8,091,445

15.3

8,029,952

15.3

7,410,503

15.1

700-719

6,724,288

12.7

6,693,045

12.7

5,947,590

12.1

680-699

4,338,206

8.2

4,299,245

8.2

3,798,221

7.8

<=679

2,944,945

5.6

3,051,812

5.8

3,218,776

6.6

Total

$

52,847,985

100.0

%

$

52,554,246

100.0

%

$

48,951,602

100.0

%

Portfolio by LTV

IIF by LTV

March 31, 2022

December 31, 2021

March 31, 2021

($ in thousands)

85.00% and below

$

26,057,055

12.6

%

$

27,362,267

13.2

%

$

28,285,671

14.4

%

85.01% to 90.00%

59,113,908

28.6

59,567,378

28.7

58,587,812

29.7

90.01% to 95.00%

92,460,810

44.7

91,350,909

44.1

84,042,974

42.6

95.01% and above

29,211,223

14.1

28,909,990

14.0

26,174,734

13.3

Total

$

206,842,996

100.0

%

$

207,190,544

100.0

%

$

197,091,191

100.0

%

Weighted average LTV

92

%

92

%

92

%

Gross RIF by LTV

March 31, 2022

December 31, 2021

March 31, 2021

($ in thousands)

85.00% and below

$

3,062,878

5.8

%

$

3,200,124

6.1

%

$

3,260,280

6.7

%

85.01% to 90.00%

14,288,854

27.0

14,366,450

27.3

14,061,301

28.7

90.01% to 95.00%

26,960,457

51.0

26,592,162

50.6

24,287,268

49.6

95.01% and above

8,535,796

16.2

8,395,510

16.0

7,342,753

15.0

Total

$

52,847,985

100.0

%

$

52,554,246

100.0

%

$

48,951,602

100.0

%

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

March 31, 2022

December 31, 2021

March 31, 2021

($ in thousands)

FRM 30 years and higher

$

198,658,948

96.1

%

$

198,243,758

95.7

%

$

186,190,300

94.5

%

FRM 20-25 years

3,365,533

1.6

3,658,366

1.8

4,354,432

2.2

FRM 15 years

3,580,416

1.7

3,996,684

1.9

4,763,796

2.4

ARM 5 years and higher

1,238,099

0.6

1,291,736

0.6

1,782,663

0.9

Total

$

206,842,996

100.0

%

$

207,190,544

100.0

%

$

197,091,191

100.0

%

Exhibit F

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

2022

2021

($ in thousands)

March 31

December 31

September 30

June 30

March 31

GSE and other risk share (1):

Risk in Force

$

1,888,437

$

1,788,918

$

1,568,800

$

1,496,247

$

1,534,174

Reserve for losses and LAE

$

254

$

1,349

$

1,389

$

1,390

$

1,312

Weighted average credit score

748

748

748

747

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

March 31, 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

$

2,761,581

4.6

%

17,165

4.33

%

79.9

%

71.9

%

5.5

%

15.2

%

42.7

%

2.9

%

730

4.25

%

2015

26,193,656

2,684,417

10.2

15,613

4.17

86.5

69.6

3.6

18.1

39.7

3.5

618

3.96

2016

34,949,319

5,591,978

16.0

30,487

3.86

88.4

66.9

9.2

15.4

43.6

3.9

1,114

3.65

2017

43,858,322

7,526,131

17.2

42,330

4.26

90.7

66.7

18.9

20.1

37.9

5.8

2,042

4.82

2018

47,508,525

8,357,025

17.6

44,754

4.78

93.9

67.4

23.8

21.4

33.0

9.2

2,542

5.68

2019

63,569,183

18,001,459

28.3

81,777

4.21

86.4

65.6

22.8

18.9

35.5

13.4

3,150

3.85

2020

107,944,065

71,633,103

66.4

260,871

3.18

63.8

52.4

11.5

10.9

45.2

9.7

3,263

1.25

2021

84,218,250

77,556,621

92.1

244,657

3.07

83.0

59.3

14.1

14.0

40.4

9.4

1,456

0.60

2022 (through March 31)

12,841,482

12,730,681

99.1

36,348

3.63

94.1

63.6

13.7

13.3

42.0

2.2

8

0.02

Total

$

481,751,653

$

206,842,996

42.9

774,002

3.40

78.2

58.8

14.1

14.0

41.4

6.4

14,923

1.93

(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

March 31, 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

Year-to-Date

Reduction in PMIERs Minimum Required

Assets (9)

2015 & 2016

$

7,994,097

$

2,161,454

$

333,844

$

$

333,844

$

135,785

$

$

135,785

$

$

208,111

$

207,023

$

969

$

2017

7,329,533

1,908,895

424,412

165,167

589,579

242,123

165,167

407,290

224,689

217,185

2,662

2018

8,233,272

2,104,668

473,184

118,650

591,834

325,537

76,144

401,681

253,643

249,213

3,192

2019 (3)

9,954,519

2,549,289

495,889

55,102

550,991

495,889

55,102

550,991

215,605

215,054

2,760

13,924

2019 & 2020 (4)

28,615,471

7,271,864

399,159

399,159

102,726

102,726

465,690

465,681

2,497

32,257

2020 & 2021 (5)

47,520,573

11,699,693

557,911

557,911

557,911

557,911

278,956

278,936

3,603

503,240

2021 (6)

44,685,107

11,789,932

439,407

439,407

439,407

439,407

279,415

279,415

4,151

388,513

Total

$

154,332,572

$

39,485,795

$

3,123,806

$

338,919

$

3,462,725

$

2,299,378

$

296,413

$

2,595,791

$

$

1,926,109

$

1,912,507

$

19,834

$

937,934

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

Year-to-Date

Year-to-Date

Year-to-Date

Reduction in PMIERs Minimum Required

Assets (9)

2019 & 2020

(7)

$

79,216,280

$

19,757,783

$

17,451,969

$

4,309,817

$

(6,619

)

$

3,748

$

315

$

286,276

2022

(8)

$

12,714,671

$

3,406,064

$

2,542,934

$

681,213

$

23

$

185

$

374

$

46,627

Total

$

91,930,951

$

23,163,847

$

19,994,903

$

4,991,030

$

(6,596

)

$

3,933

$

689

$

332,903

(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.

Exhibit I

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Geographic Data

IIF by State

March 31, 2022

December 31, 2021

March 31, 2021

CA

13.2

%

13.1

%

12.5

%

TX

10.0

9.9

9.8

FL

9.9

9.7

9.0

CO

4.1

4.1

4.1

WA

3.6

3.7

3.7

AZ

3.3

3.3

3.5

IL

3.3

3.3

3.4

GA

3.1

3.1

3.0

NJ

3.1

3.1

3.2

VA

3.1

3.1

3.1

All Others

43.3

43.6

44.7

Total

100.0

%

100.0

%

100.0

%

Gross RIF by State

March 31, 2022

December 31, 2021

March 31, 2021

CA

13.1

%

13.0

%

12.2

%

TX

10.4

10.2

10.1

FL

10.2

10.0

9.3

CO

4.0

4.0

4.0

WA

3.6

3.6

3.6

AZ

3.4

3.3

3.5

IL

3.2

3.2

3.3

GA

3.2

3.1

3.1

VA

3.0

3.0

3.0

NJ

3.0

3.0

3.1

All Others

42.9

43.6

44.8

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

March 31

December 31

September 30

June 30

March 31

Beginning default inventory

16,963

19,721

23,504

29,080

31,469

Plus: new defaults (A)

6,188

5,809

5,132

4,934

7,422

Less: cures

(8,167

)

(8,514

)

(8,862

)

(10,453

)

(9,737

)

Less: claims paid

(55

)

(47

)

(41

)

(46

)

(61

)

Less: rescissions and denials, net

(6

)

(6

)

(12

)

(11

)

(13

)

Ending default inventory

14,923

16,963

19,721

23,504

29,080

(A) New defaults remaining as of March 31, 2022

4,347

2,243

1,453

1,042

1,165

Cure rate (1)

30

%

61

%

72

%

79

%

84

%

Total amount paid for claims (in thousands)

$

826

$

992

$

1,069

$

1,154

$

1,989

Average amount paid per claim (in thousands)

$

15

$

21

$

26

$

25

$

33

Severity

35

%

45

%

60

%

57

%

70

%

Rollforward of Reserve for Losses and LAE

Three Months Ended

2022

2021

($ in thousands)

March 31

December 31

September 30

June 30

March 31

Reserve for losses and LAE at beginning of period

$

406,096

$

411,567

$

420,482

$

409,811

$

373,868

Less: Reinsurance recoverables

25,940

26,970

27,286

24,907

19,061

Net reserve for losses and LAE at beginning of period

380,156

384,597

393,196

384,904

354,807

Add provision for losses and LAE occurring in:

Current period

24,346

13,231

11,371

24,534

47,763

Prior years

(130,114

)

(16,624

)

(18,853

)

(14,961

)

(15,680

)

Incurred losses and LAE during the period

(105,768

)

(3,393

)

(7,482

)

9,573

32,083

Deduct payments for losses and LAE occurring in:

Current period

1

157

103

14

114

Prior years

904

891

1,014

1,267

1,872

Loss and LAE payments during the period

905

1,048

1,117

1,281

1,986

Net reserve for losses and LAE at end of period

273,483

380,156

384,597

393,196

384,904

Plus: Reinsurance recoverables

19,335

25,940

26,970

27,286

24,907

Reserve for losses and LAE at end of period

$

292,818

$

406,096

$

411,567

$

420,482

$

409,811

(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

March 31, 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

4,338

29

%

$

21,348

8

%

$

269,069

8

%

Four to eleven payments

4,971

33

64,332

24

312,976

21

Twelve or more payments

5,540

37

181,859

67

347,926

52

Pending claims

74

1

2,753

1

3,341

82

Total case reserves

14,923

100

%

270,292

100

%

$

933,312

29

IBNR

20,272

LAE

2,254

Total reserves for losses and LAE

$

292,818

Average reserve per default:

Case

$

18.1

Total

$

19.6

Default Rate

1.93

%

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

%

March 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

5,487

19

%

$

39,244

10

%

$

329,223

12

%

Four to eleven payments

16,157

56

215,949

57

1,022,979

21

Twelve or more payments

7,393

25

120,128

32

500,658

24

Pending claims

43

1,758

1

2,236

79

Total case reserves

29,080

100

%

377,079

100

%

$

1,855,096

20

IBNR

28,281

LAE

4,451

Total reserves for losses and LAE

$

409,811

Average reserve per default:

Case

$

13.0

Total

$

14.1

Default Rate

3.70

%

Exhibit L

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

Investments Available for Sale by Asset Class

Asset Class

March 31, 2022

December 31, 2021

($ in thousands)

Fair Value

Percent

Fair Value

Percent

U.S. Treasury securities

$

423,640

9.1

%

$

448,793

9.1

%

U.S. agency securities

5,504

0.1

U.S. agency mortgage-backed securities

854,775

18.3

1,008,863

20.3

Municipal debt securities

512,185

11.0

627,599

12.7

Non-U.S. government securities

71,743

1.5

79,743

1.6

Corporate debt securities

1,283,644

27.5

1,455,247

29.3

Residential and commercial mortgage securities

538,870

11.6

545,423

11.0

Asset-backed securities

594,451

12.8

581,703

11.7

Money market funds

383,597

8.2

210,012

4.2

Total investments available for sale

$

4,662,905

100.0

%

$

4,962,887

100.0

%

Investments Available for Sale by Credit Rating

Rating (1)

March 31, 2022

December 31, 2021

($ in thousands)

Fair Value

Percent

Fair Value

Percent

Aaa

$

2,372,351

50.9

%

$

2,412,273

48.6

%

Aa1

80,491

1.7

96,331

1.9

Aa2

334,764

7.2

354,951

7.2

Aa3

212,344

4.5

221,914

4.5

A1

275,127

5.9

263,820

5.3

A2

413,390

8.9

427,282

8.6

A3

240,922

5.2

274,525

5.5

Baa1

226,229

4.8

305,204

6.1

Baa2

218,244

4.7

274,011

5.5

Baa3

190,644

4.1

240,755

4.9

Below Baa3

98,399

2.1

91,821

1.9

Total investments available for sale

$

4,662,905

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

March 31, 2022

December 31, 2021

($ in thousands)

Fair Value

Percent

Fair Value

Percent

< 1 Year

$

1,277,568

27.4

%

$

1,104,397

22.2

%

1 to < 2 Years

398,752

8.6

561,297

11.3

2 to < 3 Years

412,012

8.8

539,174

10.9

3 to < 4 Years

514,026

11.0

593,663

12.0

4 to < 5 Years

615,448

13.2

663,127

13.4

5 or more Years

1,445,099

31.0

1,501,229

30.2

Total investments available for sale

$

4,662,905

100.0

%

$

4,962,887

100.0

%

Pre-tax investment income yield:

Three months ended March 31, 2022

2.10

%

Holding company net cash and investments available for sale:

($ in thousands)

As of March 31, 2022

$

578,579

As of December 31, 2021

$

618,306

Exhibit M

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

2022

2021

March 31

December 31

September 30

June 30

March 31

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:

Combined statutory capital (1)

$

3,058,880

$

2,950,107

$

2,916,802

$

2,809,087

$

2,778,131

Combined net risk in force (2)

$

30,331,197

$

30,660,272

$

30,766,379

$

29,646,042

$

29,358,191

Risk-to-capital ratios: (3)

Essent Guaranty, Inc.

10.3:1

10.8:1

10.9:1

10.9:1

11.0:1

Essent Guaranty of PA, Inc.

0.7:1

0.8:1

1.0:1

1.1:1

1.4:1

Combined (4)

9.9:1

10.4:1

10.5:1

10.6:1

10.6:1

Essent Guaranty, Inc. PMIERs Data (5):

Available Assets

$

3,194,939

$

3,170,881

$

3,161,780

$

3,016,050

$

2,996,651

Minimum Required Assets

1,840,069

1,791,551

1,951,096

1,731,843

1,864,262

PMIERs excess Available Assets

$

1,354,870

$

1,379,330

$

1,210,684

$

1,284,207

$

1,132,389

PMIERs sufficiency ratio (6)

174

%

177

%

162

%

174

%

161

%

Essent Reinsurance Ltd.:

Stockholder's equity (GAAP basis)

$

1,330,840

$

1,301,937

$

1,249,996

$

1,192,077

$

1,136,504

Net risk in force (2)

$

16,527,587

$

15,997,129

$

15,466,651

$

14,338,567

$

12,905,289

(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.

Source: Essent Group Ltd.