Q1 2022 Supplement

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 AEssent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

(In thousands, except per share amounts)

Revenues:

Direct premiums written

Ceded premiums

Net premiums written

Decrease in unearned premiums Net premiums earned

Net investment income

Realized investment (losses) gains, net Income from other invested assets Other income

Total revenues

Losses and expenses:

(Benefit) provision for losses and LAE Other underwriting and operating expenses Interest expense

Total losses and expenses

Three Months Ended March 31,2022

• $ 220,254 (20,523)

  2021

  $ 235,257 (30,896)

  199,731 204,361

  15,599 14,706

  215,330 219,067

  24,680 21,788

  (7,352) 641

  24,705 526

  7,248 2,775

  264,611

  244,797

  (106,858) 32,322

  40,796 42,239

  2,226 2,051

  (63,836)

  76,612

  Income before income taxes Income tax expense

  Net income

  Earnings per share:

  Basic

  Diluted

  Weighted average shares outstanding:

  Basic

  328,447 168,185

  54,280 32,537

• $ 274,167

$ 135,648

$

2.53 $ 1.21

2.52 1.21

Diluted

108,166 112,016 108,590 112,378

Net incomeOther comprehensive income (loss):

Change in unrealized depreciation of investments Total other comprehensive loss

Comprehensive income

$

274,167

(203,006) (203,006)

$

71,161

$ 135,648

(59,203) (59,203)

$

76,445

Loss ratio Expense ratio Combined ratio

(49.6%) 14.8%

18.9 19.3

(30.7%) 34.0%

Exhibit BEssent Group Ltd. and Subsidiaries Condensed Consolidated Balance Sheets (Unaudited)

(In thousands, except per share amounts)

Assets

Investments

Fixed maturities available for sale, at fair value Short-term investments available for sale, at fair value Total investments available for sale

Other invested assets

Total investments Cash

Accrued investment income Accounts receivable

Deferred policy acquisition costs Property and equipment

Prepaid federal income tax Other assets

March 31, 2022

• $ 4,145,542 517,363 4,662,905 212,521

  December 31, 2021

  $ 4,649,800 313,087 4,962,887 170,472

  4,875,426 5,133,359

  203,845 81,491

  23,233 26,546

  45,167 46,157

  11,148 12,178

  20,308 11,921

  360,810 360,810

  46,208 49,712

  Total assets

  Liabilities and Stockholders' EquityLiabilities

  Reserve for losses and LAE Unearned premium reserve Net deferred tax liability

  Credit facility borrowings, net of deferred costs Other accrued liabilities

  Total liabilities

  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 Additional paid-in capital

  Accumulated other comprehensive (loss) income Retained earnings

  Total stockholders' equity

• $ 5,586,145

  $ 5,722,174

  $

  293,072 $ 407,445

  169,786 185,385

  359,919 373,654

  420,073 419,823

  128,227 99,753

  1,371,077

  1,622

  1,358,583

  (152,299)

  3,007,162

  4,215,068

  1,486,060

  1,641

  1,428,952

  50,707

  2,754,814

  4,236,114

  Total liabilities and stockholders' equity

• $ 5,586,145

$ 5,722,174

Retuon average equity (1)

26.0%

16.8%

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

Exhibit C

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 Income from other invested assets(1)Other income(2)

(7,352)

(191)

221

(253) 641

24,705

14,997

40,741

122 526

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 Other underwriting and operating expenses Interest expense

(106,858)

Total losses and expenses

40,796 2,226 (63,836)

(3,433) 41,232 2,095 39,894

(7,483) 42,272 2,063 36,852

9,651 32,322

41,114 42,239

2,073 2,051

52,838

76,612

Income before income taxes Income tax expense(3)

328,447 54,280

217,022 36,035

246,684 41,331

190,423 168,185

30,628 32,537

Net income

• $ 274,167

• $ 180,987

• $ 205,353

• $ 159,795

$ 135,648

Earnings per share:

Basic

$

Diluted

2.53 2.52

$

1.65 1.64

$

1.85 1.84

$

1.43 $ 1.21

1.42 1.21

Weighted average shares outstanding:

Basic

Diluted

108,166 108,590

109,550 110,028

111,001 111,387

112,118 112,016

112,454 112,378

Book value per share

$

Retuon average equity (annualized)

38.98 26.0%

$

38.73 17.2%

$

37.58 19.9%

$

36.32

$

34.75

16.0% 13.9%

Other Data:

Loss ratio(4)Expense ratio(5)

Combined ratio

(49.6%) 18.9 (30.7%)

(1.6%) 19.0 17.4%

(3.4%) 19.3 15.9%

4.4% 14.8%

18.9 19.3

23.3% 34.0%

Credit FacilityBorrowings outstanding Undrawn committed capacity

$ $

Weighted average interest rate (end of period) Debt-to-capital

425,000 400,000 1.99% 9.16%

$ $

425,000 400,000 1.79% 9.12%

$ $

325,000 300,000 2.13% 7.23%

$ $

325,000 300,000

$ 325,000 $ 300,000

2.13% 2.13%

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

Supplemental Information Historical Quarterly Data

2022

Other Data, continued:

($ in thousands)

U.S. Mortgage Insurance Portfolio Flow:

New insurance written New risk written

Bulk:

New insurance written New risk written

Total:

New insurance written New risk written

March 31

2021

December 31

September 30

June 30

March 31

$

12,841,482 3,438,016

$

16,379,082 4,331,531

$

23,579,884 6,273,735

$

25,004,854

• $ 19,254,014

6,445,864 4,616,450

$

- -

$

416 41

$

- -

$

- -

$

- -

$ $

12,841,482 3,438,016

$ $

16,379,498 4,331,572

$ $

23,579,884 6,273,735

$ $

25,004,854 6,445,864

• $ 19,254,014

• $ 4,616,450

  Average insurance in force Insurance in force (end of period) Gross risk in force (end of period)(6)Risk in force (end of period)

  Policies in force

  Weighted average coverage(7)Annual persistency

  $ $ $ $

  206,631,135

  $ $ $ $

  207,388,906

  206,842,996

  $ $ $ $

  206,732,478

  $ $ $ $

  199,739,297

• $ 197,749,668

  207,190,544

  208,216,549

  203,559,859

• $ 197,091,191

  52,847,985

  52,554,246

  52,457,020

  50,835,835

• $ 48,951,602

  45,261,164

  45,273,383

  45,074,159

  42,906,519

• $ 41,135,978

774,002

785,119

798,877

794,743

785,382

25.5%

25.4%

25.2%

25.0% 24.8%

69.1%

65.4%

62.2%

58.3% 56.1%Loans in default (count) Percentage of loans in default

U.S. Mortgage Insurance Portfolio premium rate:

Base average premium rate(8)

Single premium cancellations(9)Gross average premium rate Ceded premiums

Net average premium rate

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

  14,923 1.93%

  0.41%

  0.02%

  0.43%

  (0.04%)

  0.39%

  16,963 2.16%

  0.42%

  0.03%

  0.45%

  (0.05%)

  0.40%

  19,721 2.47%

  0.42%

  0.03%

  0.45%

  (0.05%)

  0.40%

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

  0.46% 0.48%

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

  23,504

  29,080

  2.96% 3.70%

  0.43% 0.44%

  0.03% 0.04%

  (0.05%) 0.41%

  (0.06%) 0.42%

• (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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Essent Group Ltd. published this content on 06 May 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 06 May 2022 10:42:27 UTC.