Q2 2022 Supplement

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended June 30, 2022

Exhibit A Condensed Consolidated Statements of Comprehensive Income (Unaudited)

Exhibit B Condensed Consolidated Balance Sheets (Unaudited)

Exhibit C Historical Quarterly Data

Exhibit D New Insurance Written

Exhibit E Insurance in Force and Risk in Force

Exhibit F Other Risk in Force Exhibit G Portfolio Vintage Data Exhibit H Reinsurance Vintage Data

Exhibit I Portfolio Geographic Data

Exhibit J Rollforward of Defaults and Reserve for Losses and LAE Exhibit K Detail of Reserves by Default Delinquency

Exhibit L Investments Available for Sale Exhibit M Insurance Company Capital

Exhibit A

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

		Three Months Ended June 30,			Six Months Ended June 30,
(In thousands, except per share amounts)		2022			2021			2022		2021
Revenues:
Direct premiums written	$	232,660	$	228,949	$	452,914	$	464,206
Ceded premiums		(22,318)			(26,662)			(42,841)		(57,558)
Net premiums written		210,342			202,287			410,073		406,648
Decrease in unearned premiums		1,669			15,150			17,268		29,856
Net premiums earned		212,011			217,437			427,341		436,504
Net investment income		29,339			21,743			54,019		43,531
Realized investment (losses) gains, net		(471)			(253)			(7,823)		388
Income from other invested assets		1,953			122			26,658		648
Other income		1,577			4,212			8,825		6,987
Total revenues		244,409			243,261			509,020		488,058
Losses and expenses:
(Benefit) provision for losses and LAE		(76,199)			9,651			(183,057)		41,973
Other underwriting and operating expenses		41,898			41,114			82,694		83,353
Interest expense		2,887			2,073			5,113		4,124
Total losses and expenses		(31,414)			52,838			(95,250)		129,450
Income before income taxes		275,823			190,423			604,270		358,608
Income tax expense		44,054			30,628			98,334		63,165
Net income	$	231,769	$	159,795	$	505,936	$	295,443
Earnings per share:

Basic	$	2.17	$	1.43	$	4.70	$	2.64
Diluted		2.16			1.42			4.69		2.63
Weighted average shares outstanding:
Basic		106,921			112,118			107,540		112,067
Diluted		107,283			112,454			107,933		112,416
Net income	$	231,769	$	159,795	$	505,936	$	295,443
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments		(134,268)			36,360			(337,274)		(22,843)
Total other comprehensive income (loss)		(134,268)			36,360			(337,274)		(22,843)
Comprehensive income	$	97,501	$	196,155	$	168,662	$	272,600
Loss ratio
	(35.9%)			4.4%			(42.8%)		9.6%
Expense ratio		19.8			18.9			19.4		19.1
Combined ratio		(16.2%)			23.3%			(23.5%)		28.7%

Exhibit B

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

		June 30,			December 31,
(In thousands, except per share amounts)		2022			2021
Assets
Investments
Fixed maturities available for sale, at fair value	$	4,264,715	$	4,649,800
Short-term investments available for sale, at fair value		355,625			313,087
Total investments available for sale		4,620,340			4,962,887
Other invested assets		217,757			170,472
Total investments		4,838,097			5,133,359
Cash		77,852			81,491
Accrued investment income		26,716			26,546
Accounts receivable		51,281			46,157
Deferred policy acquisition costs		10,809			12,178
Property and equipment		20,569			11,921
Prepaid federal income tax		391,910			360,810
Other assets		103,868			49,712
Total assets	$	5,521,102	$	5,722,174
Liabilities and Stockholders' Equity

Liabilities
Reserve for losses and LAE	$	209,973	$	407,445
Unearned premium reserve		168,117			185,385
Net deferred tax liability		348,374			373,654
Credit facility borrowings, net of deferred costs		420,336			419,823
Other accrued liabilities		102,307			99,753
Total liabilities		1,249,107			1,486,060
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 107,696 shares in 2022 and 109,377 shares in 2021		1,615			1,641
Additional paid-in capital		1,340,650			1,428,952
Accumulated other comprehensive (loss) income		(286,567)			50,707
Retained earnings		3,216,297			2,754,814
Total stockholders' equity		4,271,995			4,236,114
Total liabilities and stockholders' equity	$	5,521,102	$	5,722,174
Retuon average equity (1)
	23.8%			16.8%

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
	Essent Group Ltd. and Subsidiaries
	Supplemental Information
	Historical Quarterly Data
			2022							2021
Selected Income Statement Data			June 30			March 31			December 31		September 30	June 30
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio	$	198,891	$	203,312	$	205,877	$	207,127	$	204,149
GSE and other risk share			13,120			12,018			11,444		11,591	13,288
Net premiums earned			212,011			215,330			217,321		218,718	217,437
Net investment income			29,339			24,680			23,661		21,573	21,743
Realized investment (losses) gains, net			(471)			(7,352)			(191)		221	(253)
Income from other invested assets (1)			1,953			24,705			14,997		40,741	122
Other income (2)			1,577			7,248			1,128		2,283	4,212
Total revenues			244,409			264,611			256,916		283,536	243,261
Losses and expenses:
(Benefit) provision for losses and LAE			(76,199)			(106,858)			(3,433)		(7,483)	9,651
Other underwriting and operating expenses			41,898			40,796			41,232		42,272	41,114
Interest expense			2,887			2,226			2,095		2,063	2,073
Total losses and expenses			(31,414)			(63,836)			39,894		36,852	52,838
Income before income taxes			275,823			328,447			217,022		246,684	190,423
Income tax expense (3)			44,054			54,280			36,035		41,331	30,628
Net income	$	231,769	$	274,167	$	180,987	$	205,353	$	159,795
Earnings per share:

Basic	$	2.17	$	2.53	$	1.65	$	1.85	$	1.43
Diluted			2.16			2.52			1.64		1.84	1.42
Weighted average shares outstanding:
Basic			106,921			108,166			109,550		111,001	112,118
Diluted			107,283			108,590			110,028		111,387	112,454
Book value per share	$	39.67	$	38.98	$	38.73	$	37.58	$	36.32
Retuon average equity (annualized)			21.8%			26.0%			17.2%		19.9%	16.0%
Other Data:
Loss ratio (4)			(35.9%)			(49.6%)			(1.6%)		(3.4%)	4.4%
Expense ratio (5)			19.8			18.9			19.0		19.3	18.9
Combined ratio			(16.2%)			(30.7%)			17.4%		15.9%	23.3%
Credit Facility

Borrowings outstanding	$	425,000	$	425,000	$	425,000	$	325,000	$	325,000
Undrawn committed capacity	$	400,000	$	400,000	$	400,000	$	300,000	$	300,000
Weighted average interest rate (end of period)			2.92%			1.99%			1.79%		2.13%	2.13%
Debt-to-capital			9.05%			9.16%			9.12%		7.23%	7.37%

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.
For each of the three month periods noted, Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements as follows: June 30, 2022: ($5,549); March 31, 2022: $4,365; December 31, 2021: ($2,931); September 30, 2021: ($1,493); June 30, 2021: $950.
Income tax expense for the quarter ended December 31, 2021 includes $2,473 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. Income tax expense for the quarters ended June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021 includes ($299), $7,002, $1,759 and $8,271, respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses.
Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.

Exhibit C, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

		2022		2021
Other Data, continued:	June 30		March 31		December 31	September 30	June 30
($ in thousands)

U.S. Mortgage Insurance Portfolio

Flow:

New insurance written	$	20,096,135	$	12,841,482	$	16,379,082	$	23,579,884	$	25,004,854
New risk written		5,442,115		3,438,016		4,331,531		6,273,735		6,445,864

Bulk:

New insurance written	$	196	$	-	$	416	$	-	$	-
New risk written		29		-		41		-		-

Total:

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

Gross risk in force includes risk ceded under third-party reinsurance.
Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
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 05 August 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 05 August 2022 10:48:25 UTC.