Essent Group Ltd. Announces First Quarter 2021 Results, Increase of Quarterly Dividend, and Board Authorization of $250 Million Share Repurchase Plan

HAMILTON, Bermuda--(BUSINESS WIRE)--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2021 of $135.6 million or $1.21 per diluted share, compared to $149.5 million or $1.52 per diluted share for the quarter ended March 31, 2020.

Essent also announced today that its Board of Directors has authorized a $250 million share repurchase plan to be executed by the end of 2022 and declared a quarterly cash dividend of $0.17 per common share. The dividend is payable on June 10, 2021, to shareholders of record on June 1, 2021.

"We are pleased with our financial results for the first quarter which we believe demonstrate a return to pre-COVID-19 profitability, as the U.S. economy gains momentum coming out of the pandemic and our defaults continue to normalize,” said Mark A. Casale, Chairman and Chief Executive Officer. “At quarter end, our capital position remains strong as our buy, manage and distribute operating model has our franchise well positioned. As a reflection of this, we are pleased to announce our $250 million share repurchase program and $0.01 per share increase in our quarterly dividend."

First Quarter 2021 Financial Highlights:

• Insurance in force as of March 31, 2021 was $197.1 billion, compared to $198.9 billion as of December 31, 2020 and $165.6 billion as of March 31, 2020.

• New insurance written for the first quarter was $19.3 billion, compared to $29.6 billion in the fourth quarter of 2020 and $13.5 billion in the first quarter of 2020.

• Net premiums earned for the first quarter were $219.1 million, compared to $222.3 million in the fourth quarter of 2020 and $206.5 million in the first quarter of 2020.

• The expense ratio for the first quarter was 19.3%, compared to 16.6% in the fourth quarter of 2020 and 20.3% in the first quarter of 2020.

• The provision for losses and LAE for the first quarter was $32.3 million, compared to a provision of $62.1 million in the fourth quarter of 2020 and a provision of $8.1 million in the first quarter of 2020.

• The percentage of loans in default as of March 31, 2021 was 3.70%, compared to 3.93% as of December 31, 2020 and 0.83% as of March 31, 2020.

• The combined ratio for the first quarter was 34.0%, compared to 44.5% in the fourth quarter of 2020 and 24.2% in the first quarter of 2020.

• The consolidated balance of cash and investments at March 31, 2021 was $4.9 billion, including cash and investment balances at Essent Group Ltd. of $540.3 million.

• The combined risk-to-capital ratio of the U.S. mortgage insurance business, which includes statutory capital for both Essent Guaranty, Inc. and Essent Guaranty of PA, Inc., was 10.6:1 as of March 31, 2021.

• Income taxes for the quarter ended March 31, 2021 include $5.7 million of discrete tax expense associated with an increase in our state deferred income tax liability.

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 833-287-0797 inside the U.S., or 647-689-4456 for international callers, using passcode 4881985 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: 800-585-8367 inside the U.S., or 416-621-4642 for international callers, passcode 4881985.

In addition to the information provided in the company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx.

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; deteriorating economic conditions; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2020 filed with the Securities and Exchange Commission on February 26, 2021, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

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

Source: Essent Group Ltd.

Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended March 31, 2021
Exhibit A	Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B	Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C	Historical Quarterly Data
Exhibit D	New Insurance Written
Exhibit E	Insurance in Force and Risk in Force
Exhibit F	Other Risk in Force
Exhibit G	Portfolio Vintage Data
Exhibit H	Reinsurance Vintage Data
Exhibit I	Portfolio Geographic Data
Exhibit J	Rollforward of Defaults and Reserve for Losses and LAE
Exhibit K	Detail of Reserves by Default Delinquency
Exhibit L	Investments Available for Sale
Exhibit M	Insurance Company Capital

				Exhibit A
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
	Three Months Ended March 31,
(In thousands, except per share amounts)	2021			2020
Revenues:
Direct premiums written	$	235,257		$	205,980
Ceded premiums	(30,896)			(14,237)
Net premiums written	204,361			191,743
Decrease in unearned premiums	14,706			14,753
Net premiums earned	219,067			206,496
Net investment income	21,788			20,633
Realized investment gains, net	641			3,135
Other income (loss)	3,301			(1,424)
Total revenues	244,797			228,840
Losses and expenses:
Provision for losses and LAE	32,322			8,063
Other underwriting and operating expenses	42,239			41,947
Interest expense	2,051			2,132
Total losses and expenses	76,612			52,142
Income before income taxes	168,185			176,698
Income tax expense	32,537			27,175
Net income	$	135,648		$	149,523
Earnings per share:
Basic	$	1.21		$	1.53
Diluted	1.21			1.52
Weighted average shares outstanding:
Basic	112,016			97,949
Diluted	112,378			98,326
Net income	$	135,648		$	149,523
Other comprehensive income (loss):
Change in unrealized depreciation of investments	(59,203)			(10,074)
Total other comprehensive loss	(59,203)			(10,074)
Comprehensive income	$	76,445		$	139,449
Loss ratio	14.8		%	3.9		%
Expense ratio	19.3			20.3
Combined ratio	34.0		%	24.2		%

				Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
	March 31,			December 31,
(In thousands, except per share amounts)	2021			2020
Assets
Investments
Fixed maturities available for sale, at fair value	$	4,252,144		$	3,838,513
Short-term investments available for sale, at fair value	449,332			726,860
Total investments available for sale	4,701,476			4,565,373
Other invested assets	100,393			88,904
Total investments	4,801,869			4,654,277
Cash	81,022			102,830
Accrued investment income	23,600			19,948
Accounts receivable	45,618			50,140
Deferred policy acquisition costs	14,723			17,005
Property and equipment	14,258			15,095
Prepaid federal income tax	302,636			302,636
Other assets	48,120			40,793
Total assets	$	5,331,846		$	5,202,724
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE	$	411,123		$	374,941
Unearned premium reserve	235,730			250,436
Net deferred tax liability	318,622			305,109
Credit facility borrowings, net of deferred costs	322,018			321,720
Other accrued liabilities	123,416			87,885
Total liabilities	1,410,909			1,340,091
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 112,847 shares in 2021 and 112,423 shares in 2020	1,693			1,686
Additional paid-in capital	1,571,134			1,571,163
Accumulated other comprehensive income	79,071			138,274
Retained earnings	2,269,039			2,151,510
Total stockholders' equity	3,920,937			3,862,633
Total liabilities and stockholders' equity	$	5,331,846		$	5,202,724
Return on average equity (1)	13.9		%	12.1		%

(1) The 2021 return on average equity is calculated by dividing annualized year-to-date 2021 net income by average equity. The 2020 return on average equity is calculated by dividing full year 2020 net income by average equity.

										Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
	2021			2020
Selected Income Statement Data	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	$	207,840		$	208,715		$	211,126		$	200,816		$	195,718
GSE and other risk share	11,227			13,624			11,132			10,655			10,778
Net premiums earned	219,067			222,339			222,258			211,471			206,496
Other revenues (1)	25,730			24,860			20,780			24,606			22,344
Total revenues	244,797			247,199			243,038			236,077			228,840
Losses and expenses:
Provision for losses and LAE	32,322			62,073			55,280			175,877			8,063
Other underwriting and operating expenses	42,239			36,825			37,100			38,819			41,947
Interest expense	2,051			2,149			2,227			2,566			2,132
Total losses and expenses	76,612			101,047			94,607			217,262			52,142
Income before income taxes	168,185			146,152			148,431			18,815			176,698
Income tax expense (2)	32,537			22,550			23,895			3,435			27,175
Net income	$	135,648		$	123,602		$	124,536		$	15,380		$	149,523
Earnings per share:
Basic	$	1.21		$	1.10		$	1.11		$	0.15		$	1.53
Diluted	1.21			1.10			1.11			0.15			1.52
Weighted average shares outstanding:
Basic	112,016			111,908			111,908			102,500			97,949
Diluted	112,378			112,310			112,134			102,605			98,326
Book value per share	$	34.75		$	34.36		$	33.33		$	32.23		$	31.51
Return on average equity (annualized)	13.9		%	13.0		%	13.5		%	1.8		%	19.6		%
Other Data:
Loss ratio (3)	14.8		%	27.9		%	24.9		%	83.2		%	3.9		%
Expense ratio (4)	19.3			16.6			16.7			18.4			20.3
Combined ratio	34.0		%	44.5		%	41.6		%	101.5		%	24.2		%
Credit Facility
Borrowings outstanding	$	325,000		$	325,000		$	425,000		$	425,000		$	425,000
Undrawn committed capacity	$	300,000		$	300,000		$	75,000		$	75,000		$	75,000
Weighted average interest rate (end of period)	2.13		%	2.19		%	1.90		%	1.93		%	2.87		%
Debt-to-capital	7.65		%	7.76		%	10.19		%	10.50		%	12.03		%

(1) Certain of our third-party reinsurance agreements contain an embedded derivative as the premium ceded under those agreements will vary based on changes in interest rates. For each of the three month periods noted, Other revenues include net favorable (unfavorable) changes in the fair value of these embedded derivatives as follows: March 31, 2021: ($606); December 31, 2020: ($209); September 30, 2020: ($677); June 30, 2020: $2,502; March 31, 2020: ($4,200).

(2) Income tax expense for the quarter ended March 31, 2021 includes $5,718 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. Income tax expense for the three months ended March 31, 2020 was reduced by $620 of excess tax benefits associated with the vesting of common shares and common share units during each period.

(3) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.

(4) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.

										Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
	2021			2020
Other Data, continued:	March 31			December 31			September 30			June 30			March 31
($ in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written	$	19,254,014		$	29,566,820		$	36,664,583		$	28,163,212		$	13,549,299
New risk written	4,616,450			7,051,173			8,938,544			6,875,250			3,384,171
Bulk:
New insurance written	$	—		$	—		$	—		$	—		$	151
New risk written	—			—			—			—			24
Total:
New insurance written	$	19,254,014		$	29,566,820		$	36,664,583		$	28,163,212		$	13,549,450
New risk written	$	4,616,450		$	7,051,173		$	8,938,544		$	6,875,250		$	3,384,195
Average insurance in force	$	197,749,668		$	195,670,925		$	183,135,315		$	168,635,275		$	164,782,361
Insurance in force (end of period)	$	197,091,191		$	198,882,352		$	190,811,292		$	174,646,273		$	165,615,503
Gross risk in force (end of period) (5)	$	48,951,602		$	49,565,150		$	47,838,668		$	43,993,989		$	41,865,977
Risk in force (end of period)	$	41,135,978		$	41,339,262		$	41,219,216		$	39,113,879		$	38,290,022
Policies in force	785,382			799,893			781,836			733,651			706,714
Weighted average coverage (6)	24.8		%	24.9		%	25.1		%	25.2		%	25.3		%
Annual persistency	56.1		%	60.1		%	64.2		%	67.9		%	73.9		%
Loans in default (count)	29,080			31,469			35,464			38,068			5,841
Percentage of loans in default	3.70		%	3.93		%	4.54		%	5.19		%	0.83		%
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (7)	0.44		%	0.44		%	0.45		%	0.47		%	0.47		%
Single premium cancellations (8)	0.04		%	0.05		%	0.06		%	0.06		%	0.04		%
Gross average premium rate	0.48		%	0.49		%	0.51		%	0.53		%	0.51		%
Ceded premiums	(0.06		%)	(0.06		%)	(0.05		%)	(0.05		%)	(0.03		%)
Net average premium rate	0.42		%	0.43		%	0.46		%	0.48		%	0.48		%

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

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

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

(8) 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, 2021					December 31, 2020					March 31, 2020
($ in thousands)
>=760	$	8,471,121		44.0	%	$	13,330,379		45.1	%	$	5,655,716		41.8	%
740-759	3,153,327			16.4		5,069,530			17.1		2,458,032			18.1
720-739	2,753,296			14.3		4,134,782			14.0		2,018,874			14.9
700-719	2,358,634			12.2		3,385,670			11.5		1,558,743			11.5
680-699	1,227,408			6.4		1,743,694			5.9		1,044,918			7.7
<=679	1,290,228			6.7		1,902,765			6.4		813,016			6.0
Total	$	19,254,014		100.0	%	$	29,566,820		100.0	%	$	13,549,299		100.0	%
Weighted average credit score	747					748					746
NIW by LTV
	Three Months Ended
	March 31, 2021					December 31, 2020					March 31, 2020
($ in thousands)
85.00% and below	$	3,968,576		20.6	%	$	6,317,550		21.4	%	$	1,963,476		14.5	%
85.01% to 90.00%	6,441,997			33.5		9,629,373			32.6		3,987,274			29.4
90.01% to 95.00%	7,052,522			36.6		11,134,923			37.6		5,685,880			42.0
95.01% and above	1,790,919			9.3		2,484,974			8.4		1,912,669			14.1
Total	$	19,254,014		100.0	%	$	29,566,820		100.0	%	$	13,549,299		100.0	%
Weighted average LTV	91		%			91		%			92		%
NIW by Product
	Three Months Ended
	March 31, 2021					December 31, 2020					March 31, 2020
Single Premium policies				6.9	%				7.7	%				9.7	%
Monthly Premium policies				93.1					92.3					90.3
				100.0	%				100.0	%				100.0	%
NIW by Purchase vs. Refinance
	Three Months Ended
	March 31, 2021					December 31, 2020					March 31, 2020
Purchase				62.3	%				61.6	%				69.2	%
Refinance				37.7					38.4					30.8
				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, 2021					December 31, 2020					March 31, 2020
($ in thousands)
>=760	$	81,629,166		41.4	%	$	82,452,139		41.5	%	$	68,385,363		41.3	%
740-759	33,969,375			17.2		34,538,761			17.3		28,289,661			17.1
720-739	29,323,182			14.9		29,599,646			14.9		24,441,834			14.7
700-719	23,775,892			12.1		23,807,982			12.0		19,442,133			11.7
680-699	15,241,886			7.7		15,538,235			7.8		13,859,727			8.4
<=679	13,151,690			6.7		12,945,589			6.5		11,196,785			6.8
Total	$	197,091,191		100.0	%	$	198,882,352		100.0	%	$	165,615,503		100.0	%
Weighted average credit score	745					745					745
Gross RIF by FICO score	March 31, 2021					December 31, 2020					March 31, 2020
($ in thousands)
>=760	$	20,063,586		41.0	%	$	20,336,799		41.0	%	$	17,138,596		40.9	%
740-759	8,512,926			17.4		8,682,265			17.5		7,181,181			17.2
720-739	7,410,503			15.1		7,504,065			15.1		6,262,376			15.0
700-719	5,947,590			12.1		5,970,851			12.1		4,950,746			11.8
680-699	3,798,221			7.8		3,887,059			7.9		3,537,973			8.4
<=679	3,218,776			6.6		3,184,111			6.4		2,795,105			6.7
Total	$	48,951,602		100.0	%	$	49,565,150		100.0	%	$	41,865,977		100.0	%
Portfolio by LTV
IIF by LTV	March 31, 2021					December 31, 2020					March 31, 2020
($ in thousands)
85.00% and below	$	28,285,671		14.4	%	$	27,308,296		13.7	%	$	17,304,231		10.5	%
85.01% to 90.00%	58,587,812			29.7		58,606,394			29.5		47,063,180			28.4
90.01% to 95.00%	84,042,974			42.6		86,169,485			43.3		77,059,950			46.5
95.01% and above	26,174,734			13.3		26,798,177			13.5		24,188,142			14.6
Total	$	197,091,191		100.0	%	$	198,882,352		100.0	%	$	165,615,503		100.0	%
Weighted average LTV	92		%			92		%			92		%
Gross RIF by LTV	March 31, 2021					December 31, 2020					March 31, 2020
($ in thousands)
85.00% and below	$	3,260,280		6.7	%	$	3,142,034		6.3	%	$	1,997,845		4.8	%
85.01% to 90.00%	14,061,301			28.7		14,061,553			28.4		11,322,131			27.0
90.01% to 95.00%	24,287,268			49.6		24,895,471			50.2		22,110,369			52.8
95.01% and above	7,342,753			15.0		7,466,092			15.1		6,435,632			15.4
Total	$	48,951,602		100.0	%	$	49,565,150		100.0	%	$	41,865,977		100.0	%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period	March 31, 2021					December 31, 2020					March 31, 2020
($ in thousands)
FRM 30 years and higher	$	186,190,300		94.5	%	$	187,704,000		94.4	%	$	156,741,714		94.6	%
FRM 20-25 years	4,354,432			2.2		4,365,585			2.2		2,829,876			1.7
FRM 15 years	4,763,796			2.4		4,776,068			2.4		3,230,148			2.0
ARM 5 years and higher	1,782,663			0.9		2,036,699			1.0		2,813,765			1.7
Total	$	197,091,191		100.0	%	$	198,882,352		100.0	%	$	165,615,503		100.0	%

													Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
	2021			2020
($ in thousands)	March 31			December 31			September 30			June 30			March 31
GSE and other risk share (1):
Risk in Force	$	1,534,174		$	1,416,719		$	1,216,353		$	1,031,699		$	1,100,966
Reserve for losses and LAE	$	1,312		$	1,073		$	718		$	28		$	16
Weighted average credit score	747			746			747			746			746
Weighted average LTV	84		%	84		%	84		%	85		%	85		%

(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, 2021
								Insurance in Force
Year	Original Insurance Written ($ in thousands)		Remaining Insurance in Force ($ in thousands)		% Remaining of Original Insurance		Number of Policies in Force	Weighted Average Coupon		% Purchase		>90% LTV		>95% LTV		FICO < 700		FICO >= 760		Incurred Loss Ratio (Inception to Date) (1)		Number of Loans in Default	Percentage of Loans in Default
2010 - 2014	$	60,668,851	$	5,129,571	8.5	%	30,610	4.29	%	82.8	%	69.9	%	4.5	%	14.2	%	43.1	%	3.3	%	1,715	5.60	%
2015	26,193,656		4,850,420		18.5		26,439	4.15		86.4		64.1		3.2		17.1		40.6		4.5		1,422	5.38
2016	34,949,319		9,643,407		27.6		48,920	3.85		87.3		63.7		8.3		14.9		44.1		6.2		2,760	5.64
2017	43,858,322		13,655,157		31.1		70,677	4.25		89.7		63.7		17.2		18.9		38.7		9.6		5,017	7.10
2018	47,508,525		15,685,099		33.0		77,094	4.76		93.3		66.1		22.1		19.5		34.9		16.0		6,106	7.92
2019	63,569,183		32,499,325		51.1		135,127	4.22		84.0		64.1		21.2		18.5		35.9		29.9		8,222	6.08
2020	107,944,065		96,534,141		89.4		335,081	3.21		60.9		50.5		10.9		11.7		43.9		23.5		3,819	1.14
2021 (through March 31)	19,254,014		19,094,071		99.2		61,434	2.87		62.3		46.0		9.3		13.1		43.9		2.4		19	0.03
Total	$	403,945,935	$	197,091,191	48.8		785,382	3.62		71.9		55.9		13.3		14.4		41.4		10.3		29,080	3.70

(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, 2021
($ in thousands)
Excess of Loss Reinsurance
					Original Reinsurance in Force						Remaining Reinsurance in Force												Earned Premiums Ceded
Year	Remaining Insurance in Force		Remaining Risk in Force		ILN (1)		Other Reinsurance (2)		Total		ILN		Other Reinsurance		Total		Losses Ceded to Date		Original First Layer Retention		Remaining First Layer Retention		Year-to-Date		Reduction in PMIERs Minimum Required Assets (6)
2015 & 2016	$	13,987,747	$	3,777,142	$	333,844	$	—	$	333,844	$	216,480	$	—	$	216,480	$	—	$	208,111	$	207,588	$	1,212	$	48,644
2017	13,285,965		3,404,783		424,412		165,167		589,579		242,123		165,167		407,290		—		224,689		218,262		2,644		53,839
2018	15,328,438		3,897,423		473,184		118,650		591,834		325,537		76,144		401,681		—		253,643		250,350		3,186		98,593
2019 (3)	18,493,963		4,724,213		495,889		55,102		550,991		495,889		55,102		550,991		—		215,605		215,481		2,763		227,756
2019 & 2020 (4)	43,365,923		10,872,860		399,159		—		399,159		399,159		—		399,159		—		465,690		465,690		5,102		289,031
Total	$	104,462,036	$	26,676,421	$	2,126,488	$	338,919	$	2,465,407	$	1,679,188	$	296,413	$	1,975,601	$	—	$	1,367,738	$	1,357,371	$	14,907	$	717,863

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 (6)
2019 & 2020	(5)	$	109,753,017	$	26,943,264	$	24,013,881	$	5,840,023	$	5,869	$	5,060	$	15,989	$	389,362

(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 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.

(6) 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, 2021		December 31, 2020		March 31, 2020
CA	12.5	%	12.0	%	10.4	%
TX	9.8		9.7		8.9
FL	9.0		8.7		8.0
CO	4.1		4.1		3.8
WA	3.7		3.8		4.2
AZ	3.5		3.6		3.3
IL	3.4		3.4		3.6
NJ	3.2		3.3		3.6
VA	3.1		3.1		3.1
GA	3.0		3.0		3.1
All Others	44.7		45.3		48.0
Total	100.0	%	100.0	%	100.0	%
Gross RIF by State
	March 31, 2021		December 31, 2020		March 31, 2020
CA	12.2	%	11.8	%	10.1	%
TX	10.1		10.0		9.2
FL	9.3		9.0		8.2
CO	4.0		4.1		3.7
WA	3.6		3.8		4.2
AZ	3.5		3.5		3.3
IL	3.3		3.3		3.5
NJ	3.1		3.2		3.5
GA	3.1		3.1		3.2
VA	3.0		3.1		3.1
All Others	44.8		45.1		48.0
Total	100.0	%	100.0	%	100.0	%

													Exhibit J
Essent Group Ltd. and Subsidiaries
Supplemental Information
Rollforward of Defaults and Reserve for Losses and LAE
U.S. Mortgage Insurance Portfolio
Rollforward of Insured Loans in Default
	Three Months Ended
	2021			2020
	March 31			December 31			September 30			June 30			March 31
Beginning default inventory	31,469			35,464			38,068			5,841			5,947
Plus: new defaults (A)	7,422			8,745			12,614			37,357			3,933
Less: cures	(9,737)			(12,679)			(15,135)			(4,983)			(3,914)
Less: claims paid	(61)			(49)			(67)			(144)			(118)
Less: rescissions and denials, net	(13)			(12)			(16)			(3)			(7)
Ending default inventory	29,080			31,469			35,464			38,068			5,841
(A) New defaults remaining as of March 31, 2021	5,775			4,640			5,009			11,450			764
Cure rate (1)	22		%	47		%	60		%	69		%	81		%
Total amount paid for claims (in thousands)	$	1,989		$	1,922		$	2,557		$	5,718		$	4,157
Average amount paid per claim (in thousands)	$	33		$	39		$	38		$	40		$	35
Severity	70		%	62		%	77		%	78		%	77		%
Rollforward of Reserve for Losses and LAE
	Three Months Ended
	2021			2020
($ in thousands)	March 31			December 31			September 30			June 30			March 31
Reserve for losses and LAE at beginning of period	$	373,868		$	307,019		$	250,862		$	73,325		$	69,183
Less: Reinsurance recoverables	19,061			11,898			7,761			98			71
Net reserve for losses and LAE at beginning of period	354,807			295,121			243,101			73,227			69,112
Add provision for losses and LAE occurring in:
Current period	47,763			63,597			55,660			181,776			15,419
Prior years	(15,680)			(1,879)			(1,070)			(5,911)			(7,193)
Incurred losses and LAE during the period	32,083			61,718			54,590			175,865			8,226
Deduct payments for losses and LAE occurring in:
Current period	114			524			205			288			1
Prior years	1,872			1,508			2,365			5,703			4,110
Loss and LAE payments during the period	1,986			2,032			2,570			5,991			4,111
Net reserve for losses and LAE at end of period	384,904			354,807			295,121			243,101			73,227
Plus: Reinsurance recoverables	24,907			19,061			11,898			7,761			98
Reserve for losses and LAE at end of period	$	409,811		$	373,868		$	307,019		$	250,862		$	73,325

(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, 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%
	December 31, 2020
	Number of Policies in Default	Percentage of Policies in Default		Amount of Reserves		Percentage of Reserves		Defaulted RIF		Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less	6,631	21	%	$	47,905	14	%	$	384,668	12	%
Four to eleven payments	23,543	75		260,593		76		1,553,593		17
Twelve or more payments	1,243	4		32,593		9		67,501		48
Pending claims	52	—		2,199		1		2,843		77
Total case reserves	31,469	100	%	343,290		100	%	$	2,008,605	17
IBNR				25,747
LAE				4,831
Total reserves for losses and LAE				$	373,868
Average reserve per default:
Case				$	10.9
Total				$	11.9
Default Rate	3.93%
	March 31, 2020
	Number of Policies in Default	Percentage of Policies in Default		Amount of Reserves		Percentage of Reserves		Defaulted RIF		Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less	3,043	52	%	$	15,128	23	%	$	170,374	9	%
Four to eleven payments	2,140	37		30,493		45		114,135		27
Twelve or more payments	518	9		15,235		23		29,596		51
Pending claims	140	2		6,241		9		7,074		88
Total case reserves	5,841	100	%	67,097		100	%	$	321,179	21
IBNR				5,032
LAE				1,196
Total reserves for losses and LAE				$	73,325
Average reserve per default:
Case				$	11.5
Total				$	12.6
Default Rate	0.83%

								Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class	March 31, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
U.S. Treasury securities	$	262,309		5.6	%	$	268,444	5.9	%
U.S. agency securities	16,138			0.3		18,085		0.4
U.S. agency mortgage-backed securities	1,022,991			21.7		995,905		21.8
Municipal debt securities	572,263			12.2		551,517		12.1
Non-U.S. government securities	79,280			1.7		61,607		1.3
Corporate debt securities	1,414,938			30.1		1,126,512		24.7
Residential and commercial mortgage securities	446,208			9.5		409,282		9.0
Asset-backed securities	473,804			10.1		454,717		9.9
Money market funds	413,545			8.8		679,304		14.9
Total investments available for sale	$	4,701,476		100.0	%	$	4,565,373	100.0	%
Investments Available for Sale by Credit Rating
Rating (1)	March 31, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
Aaa	$	2,310,267		49.1	%	$	2,564,746	56.2	%
Aa1	138,510			3.0		133,100		2.9
Aa2	288,583			6.1		260,462		5.7
Aa3	217,683			4.6		204,917		4.5
A1	266,937			5.7		249,710		5.5
A2	426,285			9.1		401,175		8.8
A3	278,424			5.9		229,882		5.0
Baa1	296,627			6.3		260,602		5.7
Baa2	274,367			5.8		178,926		3.9
Baa3	140,688			3.0		48,199		1.1
Below Baa3	63,105			1.4		33,654		0.7
Total investments available for sale	$	4,701,476		100.0	%	$	4,565,373	100.0	%
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
Investments Available for Sale by Duration and Book Yield
Effective Duration	March 31, 2021					December 31, 2020
($ in thousands)	Fair Value			Percent		Fair Value		Percent
< 1 Year	$	1,158,371		24.6	%	$	1,568,505	34.4	%
1 to < 2 Years	443,897			9.4		581,003		12.7
2 to < 3 Years	708,723			15.1		616,069		13.5
3 to < 4 Years	473,707			10.1		426,333		9.3
4 to < 5 Years	511,955			10.9		367,633		8.1
5 or more Years	1,404,823			29.9		1,005,830		22.0
Total investments available for sale	$	4,701,476		100.0	%	$	4,565,373	100.0	%
Pre-tax investment income yield:
Three months ended March 31, 2021	2.02		%
Net cash and investments at holding company, Essent Group Ltd.:
($ in thousands)
As of March 31, 2021	$	540,330
As of December 31, 2020	$	562,714

														Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
		2021			2020
		March 31			December 31			September 30			June 30			March 31
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)		$	2,778,131		$	2,659,161		$	2,581,136		$	2,457,368		$	2,452,730
Combined net risk in force (2)		$	29,358,191		$	29,493,572		$	29,821,246		$	28,787,600		$	28,729,105
Risk-to-capital ratios: (3)
	Essent Guaranty, Inc.	11.0:1			11.5:1			12.0:1			12.1:1			12.1:1
	Essent Guaranty of PA, Inc.	1.4:1			1.7:1			2.0:1			2.3:1			2.7:1
	Combined (4)	10.6:1			11.1:1			11.6:1			11.7:1			11.7:1
Essent Guaranty, Inc. PMIERs Data (5):
	Available Assets	$	2,996,651		$	2,855,923		$	2,720,432		$	2,586,394		$	2,453,705
	Minimum Required Assets	1,864,262			1,671,011			1,739,479			1,458,273			1,226,824
	PMIERs excess Available Assets	$	1,132,389		$	1,184,912		$	980,953		$	1,128,121		$	1,226,881
	PMIERs sufficiency ratio (6)	161		%	171		%	156		%	177		%	200		%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)		$	1,136,504		$	1,101,003		$	1,061,546		$	1,022,689		$	1,005,038
Net risk in force (2)		$	12,905,289		$	12,892,300		$	12,312,124		$	11,113,079		$	10,589,736

(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.