EX-99.1 2 a33122financialsupplement.htm EX-99.1

Exhibit 99.1

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

HAMILTON, Bermuda--(BUSINESS WIRE)--May 6, 2022--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.

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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.

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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

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																					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		%

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									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.

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																																																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.

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																																										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.

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																					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		%

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																											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		%

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																																																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.

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																																							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.

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																																																															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.

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															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		%

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																																																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%.

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																		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%

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																								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

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																																																			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.