Essent Group Ltd. Announces First Quarter 2023 Results and Declares Quarterly Dividend

May 05, 2023 at 06:30 AM EDT

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2023 of $170.8 million or $1.59 per diluted share, compared to $274.2 million or $2.52 per diluted share for the quarter ended March 31, 2022.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.25 per common share. The dividend is payable on June 12, 2023, to shareholders of record on June 1, 2023.

“We are pleased with our first quarter 2023 financial results, which benefited from rising interest rates and favorable credit performance,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results continue to demonstrate the earnings power of our business and provide us with attractive levels of operating cash flows. We continue to believe deploying our capital in a balanced manner is in the best long-term interest of our shareholders.”

Financial Highlights:

New insurance written for the first quarter of 2023 was $12.9 billion, compared to $13.0 billion in the fourth quarter of 2022 and $12.8 billion in the first quarter of 2022.
Insurance in force as of March 31, 2023 was $231.5 billion, compared to $227.1 billion as of December 31, 2022 and $206.8 billion as of March 31, 2022.
The combined ratio for the first quarter of 2023 was 22.7%, compared to 24.6% in the fourth quarter of 2022 and (30.7)% in the first quarter of 2022.

Conference Call:

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. The call may also be accessed by dialing 888-330-2384 inside the U.S., or 240-789-2701 for international callers, using passcode 9824537 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the U.S., or 647-362-9199 for international callers, passcode 9824537.

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

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: 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); the impact of COVID-19 and related economic conditions; 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, 2022 filed with the Securities and Exchange Commission on February 17, 2023, 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, 2023


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)		2023			2022
Revenues:
Direct premiums written	$	239,491		$	220,254
Ceded premiums		(33,591	)		(20,523	)
Net premiums written		205,900			199,731
Decrease in unearned premiums		5,358			15,599
Net premiums earned		211,258			215,330
Net investment income		43,236			24,680
Realized investment losses, net		(488	)		(7,352	)
(Loss) income from other invested assets		(2,702	)		24,705
Other income		4,942			7,248
Total revenues		256,246			264,611

Losses and expenses:
(Benefit) provision for losses and LAE		(180	)		(106,858	)
Other underwriting and operating expenses		48,195			40,796
Interest expense		6,936			2,226
Total losses and expenses		54,951			(63,836	)

Income before income taxes		201,295			328,447
Income tax expense		30,468			54,280
Net income	$	170,827		$	274,167


Earnings per share:
Basic	$	1.60		$	2.53
Diluted		1.59			2.52

Weighted average shares outstanding:
Basic		106,943			108,166
Diluted		107,585			108,590

Net income	$	170,827		$	274,167

Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments		58,753			(203,006	)
Total other comprehensive income (loss)		58,753			(203,006	)
Comprehensive income	$	229,580		$	71,161


Loss ratio		(0.1	%)		(49.6	%)
Expense ratio		22.8			18.9
Combined ratio		22.7	%		(30.7	%)


				Exhibit B

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


	March 31,			December 31,
(In thousands, except per share amounts)		2023			2022
*Assets*
Investments
Fixed maturities available for sale, at fair value	$	4,602,284		$	4,489,598
Short-term investments available for sale, at fair value		347,752			252,027
Total investments available for sale		4,950,036			4,741,625
Other invested assets		255,288			257,941
Total investments		5,205,324			4,999,566
Cash		68,633			81,240
Accrued investment income		36,896			33,162
Accounts receivable		61,282			57,399
Deferred policy acquisition costs		9,511			9,910
Property and equipment		18,514			19,571
Prepaid federal income tax		418,460			418,460
Other assets		108,886			104,489

Total assets	$	5,927,506		$	5,723,797

*Liabilities and Stockholders' Equity*
Liabilities
Reserve for losses and LAE	$	216,022		$	216,464
Unearned premium reserve		157,529			162,887
Net deferred tax liability		383,116			356,810
Credit facility borrowings, net of deferred costs		421,128			420,864
Other accrued liabilities		100,770			104,463
Total liabilities		1,278,565			1,261,488

Commitments and contingencies

Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 107,659 shares in 2023 and 107,683 shares in 2022		1,615			1,615
Additional paid-in capital		1,334,607			1,350,377
Accumulated other comprehensive loss		(324,037	)		(382,790	)
Retained earnings		3,636,756			3,493,107
Total stockholders' equity		4,648,941			4,462,309

Total liabilities and stockholders' equity	$	5,927,506		$	5,723,797

Return on average equity (1)		15.0	%		19.1	%

(1) The 2023 return on average equity is calculated by dividing annualized year-to-date 2023 net income by average equity. The 2022 return on average equity is calculated by dividing full year 2022 net income by average equity.


													Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data

		2023		2022
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	$	196,565		$	192,670		$	194,272		$	198,891		$	203,312
GSE and other risk share		14,693			14,582			13,662			13,120			12,018
Net premiums earned		211,258			207,252			207,934			212,011			215,330
Net investment income		43,236			37,796			32,594			29,339			24,680
Realized investment (losses) gains, net		(488	)		(5,524	)		175			(471	)		(7,352	)
(Loss) income from other invested assets		(2,702	)		(7,599	)		9,617			1,953			24,705
Other income (loss) (1)		4,942			(1,888	)		11,447			1,577			7,248
Total revenues		256,246			230,037			261,767			244,409			264,611

Losses and expenses:
(Benefit) provision for losses and LAE		(180	)		4,101			4,252			(76,199	)		(106,858	)
Other underwriting and operating expenses		48,195			46,895			42,144			41,898			40,796
Interest expense		6,936			6,045			4,450			2,887			2,226
Total losses and expenses		54,951			57,041			50,846			(31,414	)		(63,836	)

Income before income taxes		201,295			172,996			210,921			275,823			328,447
Income tax expense (2)		30,468			25,630			32,870			44,054			54,280
Net income	$	170,827		$	147,366		$	178,051		$	231,769		$	274,167

Earnings per share:
Basic	$	1.60		$	1.38		$	1.67		$	2.17		$	2.53
Diluted		1.59			1.37			1.66			2.16			2.52

Weighted average shares outstanding:
Basic		106,943			106,881			106,870			106,921			108,166
Diluted		107,585			107,419			107,337			107,283			108,590

Book value per share	$	43.18		$	41.44		$	39.87		$	39.67		$	38.98
Return on average equity (annualized)		15.0	%		13.5	%		16.6	%		21.8	%		26.0	%

Other Data:
Loss ratio (3)		(0.1	%)		2.0	%		2.0	%		(35.9	)%		(49.6	)%
Expense ratio (4)		22.8			22.6			20.3			19.8			18.9
Combined ratio		22.7	%		24.6	%		22.3	%		(16.2	)%		(30.7	)%

Credit Facility
Borrowings outstanding	$	425,000		$	425,000		$	425,000		$	425,000		$	425,000
Undrawn committed capacity	$	400,000		$	400,000		$	400,000		$	400,000		$	400,000
Weighted average interest rate (end of period)		6.52	%		6.02	%		4.39	%		2.92	%		1.99	%
Debt-to-capital		8.38	%		8.70	%		9.01	%		9.05	%		9.16	%

(1) Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended March 31, 2023, December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022 was ($368), ($6,515),$5,177, ($5,549), and $4,365, respectively.
(2) Income tax expense for the quarters ended March 31, 2023, December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022 includes ($368), ($4,122), $2,925, ($299), and $7,002, respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses.
(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


		2023			2022
Other Data, continued:	March 31				December 31			September 30			June 30			March 31
($ in thousands)

U.S. Mortgage Insurance Portfolio
Flow:
New insurance written	$	12,893,789			$	13,011,432		$	17,112,017		$	20,096,135		$	12,841,482
New risk written		3,548,015				3,522,726			4,570,699			5,442,115			3,438,016

Bulk:
New insurance written	$	—			$	—		$	—		$	196		$	—
New risk written		—				—			—			29			—

Total:
New insurance written	$	12,893,789			$	13,011,432		$	17,112,017		$	20,096,331		$	12,841,482
New risk written	$	3,548,015			$	3,522,726		$	4,570,669		$	5,442,144		$	3,438,016

Average insurance in force	$	228,885,174			$	224,840,675		$	219,280,350		$	210,896,297		$	206,631,135
Insurance in force (end of period)	$	231,537,417			$	227,062,055		$	222,542,569		$	215,896,531		$	206,842,996
Gross risk in force (end of period) (5)	$	60,879,979			$	59,276,489		$	57,743,091		$	55,678,063		$	52,847,985
Risk in force (end of period)	$	51,469,312			$	49,903,626		$	48,690,571		$	47,289,910		$	45,261,164
Policies in force		815,751				808,596			800,745			789,652			774,002
Weighted average coverage (6)		26.3	%			26.1	%		25.9	%		25.8	%		25.5	%
Annual persistency		84.4	%			82.1	%		77.9	%		73.4	%		69.1	%

Loans in default (count)		12,773				13,433			12,435			12,707			14,923
Percentage of loans in default		1.57	%			1.66	%		1.55	%		1.61	%		1.93	%

U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (7)		0.40	%			0.40	%		0.40	%		0.41	%		0.41	%
Single premium cancellations (8)		—	%			—	%		0.01	%		0.01	%		0.02	%
Gross average premium rate		0.40	%			0.40	%		0.41	%		0.42	%		0.43	%
Ceded premiums		(0.06	%)			(0.06	%)		(0.06	%)		(0.04	%)		(0.04	%)
Net average premium rate		0.34	%			0.34	%		0.35	%		0.38	%		0.39	%


(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, 2023					December 31, 2022					March 31, 2022
($ in thousands)
>=760	$	4,847,058		37.7	%	$	4,761,917		36.6	%	$	5,410,654		42.1	%
740-759		2,397,982		18.6			2,428,164		18.7			2,113,232		16.5
720-739		2,204,844		17.1			2,301,392		17.7			1,991,318		15.5
700-719		2,002,892		15.5			1,919,146		14.6			1,620,473		12.6
680-699		1,100,815		8.5			1,138,743		8.8			1,147,766		8.9
<=679		340,198		2.6			462,070		3.6			558,039		4.4
Total	$	12,893,789		100.0	%	$	13,011,432		100.0	%	$	12,841,482		100.0	%

Weighted average credit score		745					744					747



NIW by LTV
	Three Months Ended
	March 31, 2023					December 31, 2022					March 31, 2022
($ in thousands)
85.00% and below	$	963,009		7.5	%	$	1,121,853		8.6	%	$	1,262,038		9.8	%
85.01% to 90.00%		2,685,828		20.8			3,075,304		23.6			3,415,938		26.6
90.01% to 95.00%		7,430,113		57.6			7,464,333		57.4			6,416,255		50.0
95.01% and above		1,814,839		14.1			1,349,942		10.4			1,747,251		13.6
Total	$	12,893,789		100.0	%	$	13,011,432		100.0	%	$	12,841,482		100.0	%

Weighted average LTV		93	%				93	%				93	%



NIW by Product
	Three Months Ended
	March 31, 2023					December 31, 2022					March 31, 2022
Single Premium policies				4.1	%				4.3	%				1.9	%
Monthly Premium policies				95.9					95.7					98.1
				100.0	%				100.0	%				100.0	%



NIW by Purchase vs. Refinance
	Three Months Ended
	March 31, 2023					December 31, 2022					March 31, 2022
Purchase				98.6	%				98.9	%				94.1	%
Refinance				1.4					1.1					5.9
				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, 2023					December 31, 2022					March 31, 2022
($ in thousands)
>=760	$	94,560,292		40.8	%	$	93,389,066		41.1	%	$	85,707,070		41.4	%
740-759		39,870,193		17.2			38,842,311		17.2			35,048,891		17.0
720-739		35,950,319		15.5			34,981,632		15.4			31,180,765		15.1
700-719		30,103,007		13.0			29,146,543		12.8			26,040,114		12.6
680-699		19,338,187		8.4			18,859,824		8.3			16,847,202		8.1
<=679		11,715,419		5.1			11,842,679		5.2			12,018,954		5.8
Total	$	231,537,417		100.0	%	$	227,062,055		100.0	%	$	206,842,996		100.0	%

Weighted average credit score		746					746					746

Gross RIF by FICO score	March 31, 2023					December 31, 2022					March 31, 2022
($ in thousands)
>=760	$	24,613,214		40.4	%	$	24,152,726		40.8	%	$	21,707,751		41.1	%
740-759		10,612,582		17.4			10,255,195		17.3			9,041,350		17.1
720-739		9,602,368		15.8			9,276,750		15.6			8,091,445		15.3
700-719		8,017,430		13.2			7,696,965		13.0			6,724,288		12.7
680-699		5,126,581		8.4			4,963,470		8.4			4,338,206		8.2
<=679		2,907,804		4.8			2,931,383		4.9			2,944,945		5.6
Total	$	60,879,979		100.0	%	$	59,276,489		100.0	%	$	52,847,985		100.0	%

Portfolio by LTV
IIF by LTV	March 31, 2023					December 31, 2022					March 31, 2022
($ in thousands)
85.00% and below	$	23,502,232		10.2	%	$	24,454,468		10.8	%	$	26,057,055		12.6	%
85.01% to 90.00%		63,478,244		27.3			63,436,445		27.8			59,113,908		28.6
90.01% to 95.00%		112,184,833		48.5			107,932,064		47.6			92,460,810		44.7
95.01% and above		32,372,108		14.0			31,239,078		13.8			29,211,223		14.1
Total	$	231,537,417		100.0	%	$	227,062,055		100.0	%	$	206,842,996		100.0	%

Weighted average LTV		92	%				92	%				92	%

Gross RIF by LTV	March 31, 2023					December 31, 2022					March 31, 2022
($ in thousands)
85.00% and below	$	2,793,895		4.6	%	$	2,903,877		4.9	%	$	3,062,878		5.8	%
85.01% to 90.00%		15,529,427		25.5			15,477,031		26.1			14,288,854		27.0
90.01% to 95.00%		32,929,489		54.1			31,642,669		53.4			26,960,457		51.0
95.01% and above		9,627,168		15.8			9,252,912		15.6			8,535,796		16.2
Total	$	60,879,979		100.0	%	$	59,276,489		100.0	%	$	52,847,985		100.0	%

Portfolio by Loan Amortization Period
IIF by Loan Amortization Period	March 31, 2023					December 31, 2022					March 31, 2022
($ in thousands)
FRM 30 years and higher	$	224,230,607		96.8	%	$	219,416,408		96.7	%	$	198,658,948		96.1	%
FRM 20-25 years		2,364,623		1.0			2,601,108		1.1			3,365,533		1.6
FRM 15 years		2,214,448		1.0			2,552,931		1.1			3,580,416		1.7
ARM 5 years and higher		2,727,739		1.2			2,491,608		1.1			1,238,099		0.6
Total	$	231,537,417		100.0	%	$	227,062,055		100.0	%	$	206,842,996		100.0	%


													Exhibit F

Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force

		2023		2022
($ in thousands)	March 31			December 31			September 30			June 30			March 31
GSE and other risk share (1):
Risk in Force	$	2,098,033		$	2,030,571		$	2,026,895		$	1,898,364		$	1,888,437
Reserve for losses and LAE	$	65		$	74		$	102		$	144		$	254

Weighted average credit score		749			749			748			748			748
Weighted average LTV		83	%		83	%		84	%		84	%		84	%

(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.


																							Exhibit G

Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
March 31, 2023


								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	$	1,970,588	3.2	%	12,429	4.32	%	76.7	%	67.7	%	6.1	%	15.0	%	43.0	%	2.6	%	469	3.77	%
2015		26,193,656		1,774,450	6.8		10,695	4.19		85.1		76.3		4.4		17.4		39.6		2.7		384	3.59
2016		34,949,319		3,808,006	10.9		21,772	3.88		88.3		76.6		11.0		16.2		42.4		2.6		642	2.95
2017		43,858,322		5,637,892	12.9		33,053	4.27		91.2		69.7		20.0		20.2		38.0		3.8		1,251	3.78
2018		47,508,525		6,439,876	13.6		35,612	4.79		94.4		69.7		25.3		21.6		32.8		5.3		1,593	4.47
2019		63,569,183		14,135,010	22.2		66,304	4.22		87.7		67.2		24.1		18.7		35.6		5.5		1,957	2.95
2020		107,944,065		55,661,138	51.6		209,325	3.18		66.6		54.8		12.4		10.7		45.6		4.2		2,594	1.24
2021		84,218,250		69,593,624	82.6		223,703	3.08		85.0		61.2		14.8		13.9		40.4		7.8		2,743	1.23
2022		63,061,262		59,703,096	94.7		168,003	5.07		97.7		64.9		11.0		12.7		39.9		17.4		1,131	0.67
2023 (through March 31)		12,893,789		12,813,737	99.4		34,855	6.24		98.6		71.8		14.1		11.2		37.4		3.1		9	0.03
Total	$	544,865,222	$	231,537,417	42.5		815,751	3.97		85.2		62.4		14.0		13.4		40.8		4.4		12,773	1.57

(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, 2023
($ 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 (3)
2017	$	5,511,131	$	1,450,432	$	424,412	$	165,167	$	589,579	$	—	$	70,895	$	70,895	$	—	$	678,283	$	421,003	(9)	$	2,136		$	—
2018		6,349,474		1,644,287		473,184		118,650		591,834		325,537		76,144		401,681		—		253,643		248,221			4,113			—
2019 (4)		7,859,217		2,029,598		495,889		55,102		550,991		395,889		43,991		439,880		—		215,605		214,485			2,691			—
2020 & 2021 (5)		38,168,321		9,652,777		557,911		—		557,911		414,005		—		414,005		—		278,956		278,909			3,195			326,919
2021 (6)		40,543,749		10,825,130		439,407		—		439,407		399,786		—		399,786		—		279,415		279,400			4,153			363,292
2021 & 2022 (7)		74,276,338		19,998,840		—		141,992		141,992		—		141,992		141,992		—		507,114		507,114			1,553			138,375
2021 & 2022 (8)		33,357,208		8,966,697		237,868		—		237,868		237,868		—		237,868		—		303,761		303,761			4,215			218,839
Total	$	206,065,438	$	54,567,761	$	2,628,671	$	480,911	$	3,109,582	$	1,773,085	$	333,022	$	2,106,107	$	—	$	2,289,964	$	2,025,706	(10)	$	22,276	(11)	$	1,047,425


Quota Share Reinsurance
										Losses Ceded			Ceding Commission		Earned Premiums Ceded
Year	Ceding Percentage	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 (3)
2019 & 2020	(12)	$	61,601,698	$	15,757,097	$	13,706,657	$	3,467,883	$	(729	)	$	2,927	$	4,686	$	210,467
2022	20%		59,645,799		16,099,874		11,929,160		3,219,975		2,493			1,979		6,253		228,069
2023	17.5%		12,796,821		3,524,010		2,559,364		616,702		29			166		376		43,519
Total		$	134,044,318	$	35,380,981	$	28,195,181	$	7,304,560	$	1,793		$	5,072	$	11,315	$	482,055


(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) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.
(4) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.
(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 20% of all eligible policies written from October 1, 2021 through December 31, 2022.
(8) Reinsurance coverage on new insurance written from October 1, 2021 through July 31, 2022.
(9) The original and remaining first layer retention is associated with reinsurance provided by a panel of reinsurers. Amounts reported in prior periods reflected the retention associated with an ILN that is no longer outstanding as of March 31, 2023.
(10) The total remaining first layer retention differs from the sum of the individual reinsurance transactions as a result of overlapping coverage between certain transactions.
(11) The total ceded premium differs from the sum of the individual reinsurance transactions as a result of ILN's that ceded premiums during 2023 but are no longer outstanding as of March 31, 2023.
(12) 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.

					Exhibit I

Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data


IIF by State
	March 31, 2023		December 31, 2022		March 31, 2022
CA	13.2	%	13.2	%	13.2	%
TX	10.5		10.4		10.0
FL	10.4		10.2		9.9
CO	4.2		4.2		4.1
AZ	3.6		3.5		3.3
WA	3.4		3.4		3.6
GA	3.2		3.2		3.1
IL	3.0		3.1		3.3
VA	3.0		3.0		3.1
NJ	2.9		3.0		3.1
All Others	42.6		42.8		43.3
Total	100.0	%	100.0	%	100.0	%



Gross RIF by State
	March 31, 2023		December 31, 2022		March 31, 2022
CA	13.0	%	13.0	%	13.1	%
TX	10.8		10.7		10.4
FL	10.7		10.5		10.2
CO	4.1		4.1		4.0
AZ	3.7		3.6		3.4
WA	3.4		3.3		3.6
GA	3.3		3.2		3.2
IL	2.9		3.0		3.2
VA	2.9		3.0		3.0
NJ	2.8		2.9		3.0
All Others	42.4		42.7		42.9
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
		2023		2022
	March 31			December 31			September 30			June 30			March 31
Beginning default inventory		13,433			12,435			12,707			14,923			16,963
Plus: new defaults (A)		7,015			7,505			6,448			5,495			6,188
Less: cures		(7,574	)		(6,425	)		(6,642	)		(7,639	)		(8,167	)
Less: claims paid		(94	)		(73	)		(68	)		(65	)		(55	)
Less: rescissions and denials, net		(7	)		(9	)		(10	)		(7	)		(6	)
Ending default inventory		12,773			13,433			12,435			12,707			14,923

(A) New defaults remaining as of March 31, 2023		4,755			2,897			1,658			990			540
Cure rate (1)		32	%		61	%		74	%		82	%		91	%

Total amount paid for claims (in thousands)	$	1,959		$	1,441		$	1,261		$	1,137		$	826
Average amount paid per claim (in thousands)	$	21		$	20		$	19		$	17		$	15
Severity		59	%		46	%		47	%		50	%		35	%

Rollforward of Reserve for Losses and LAE
	Three Months Ended
		2023		2022
($ in thousands)	March 31			December 31			September 30			June 30			March 31
Reserve for losses and LAE at beginning of period	$	216,390		$	212,392		$	209,829		$	292,818		$	406,096
Less: Reinsurance recoverables		14,618			13,244			13,657			19,335			25,940
Net reserve for losses and LAE at beginning of period		201,772			199,148			196,172			273,483			380,156
Add provision for losses and LAE occurring in:
Current period		32,693			36,141			20,144			18,720			24,346
Prior years		(32,864	)		(32,012	)		(15,850	)		(94,809	)		(130,114	)
Incurred losses and LAE during the period		(171	)		4,129			4,294			(76,089	)		(105,768	)
Deduct payments for losses and LAE occurring in:
Current period		—			113			30			80			1
Prior years		2,001			1,392			1,288			1,142			904
Loss and LAE payments during the period		2,001			1,505			1,318			1,222			905
Net reserve for losses and LAE at end of period		199,600			201,772			199,148			196,172			273,483
Plus: Reinsurance recoverables		16,357			14,618			13,244			13,657			19,335
Reserve for losses and LAE at end of period	$	215,957		$	216,390		$	212,392		$	209,829		$	292,818



(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, 2023
	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	5,366		42	%	$	31,080	16	%	$	366,993	8	%
Four to eleven payments	5,106		40			78,125	39			363,299	22
Twelve or more payments	2,188		17			85,517	43			130,520	66
Pending claims	113		1			4,386	2			5,004	88
Total case reserves	12,773		100	%		199,108	100	%	$	865,816	23
IBNR						14,933
LAE						1,916
Total reserves for losses and LAE					$	215,957

Average reserve per default:
Case					$	15.6
Total					$	16.9

Default Rate	1.57	%


	December 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	6,154		46	%	$	32,242	16	%	$	411,624	8	%
Four to eleven payments	4,684		35			65,071	33			317,417	21
Twelve or more payments	2,474		18			98,291	49			147,247	67
Pending claims	121		1			3,815	2			4,860	78
Total case reserves	13,433		100	%		199,419	100	%	$	881,148	23
IBNR						14,956
LAE						2,015
Total reserves for losses and LAE					$	216,390

Average reserve per default:
Case					$	14.8
Total					$	16.1

Default Rate	1.66	%


	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	%

									Exhibit L

Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale


Investments Available for Sale by Asset Class
Asset Class	March 31, 2023					December 31, 2022
($ in thousands)	Fair Value			Percent		Fair Value			Percent
U.S. Treasury securities	$	475,784		9.6	%	$	556,438		11.7	%
U.S. agency securities		12,690		0.3			49,058		1.0
U.S. agency mortgage-backed securities		850,124		17.2			783,743		16.5
Municipal debt securities		609,010		12.3			602,690		12.8
Non-U.S. government securities		63,018		1.3			62,399		1.3
Corporate debt securities		1,462,596		29.5			1,414,321		29.8
Residential and commercial mortgage securities		542,013		10.9			511,824		10.8
Asset-backed securities		648,109		13.1			624,561		13.2
Money market funds		286,692		5.8			136,591		2.9
Total investments available for sale	$	4,950,036		100.0	%	$	4,741,625		100.0	%

Investments Available for Sale by Credit Rating
Rating (1)	March 31, 2023					December 31, 2022
($ in thousands)	Fair Value			Percent		Fair Value			Percent
Aaa	$	2,152,791		46.1	%	$	2,122,599		46.2	%
Aa1		106,131		2.3			111,262		2.4
Aa2		329,046		7.1			325,241		7.1
Aa3		233,021		5.0			232,500		5.0
A1		407,348		8.7			396,095		8.6
A2		388,296		8.3			410,163		8.9
A3		281,073		6.0			268,928		5.8
Baa1		246,921		5.3			236,793		5.1
Baa2		245,523		5.3			221,308		4.8
Baa3		175,828		3.8			187,117		4.1
Below Baa3		97,366		2.1			93,028		2.0
Total (2)	$	4,663,344		100.0	%	$	4,605,034		100.0	%

(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
(2) Excludes $286,692 and $136,591 of money market funds at March 31, 2023 and December 31, 2022, respectively.

Investments Available for Sale by Duration and Book Yield
Effective Duration	March 31, 2023					December 31, 2022
($ in thousands)	Fair Value			Percent		Fair Value			Percent
< 1 Year	$	1,297,860		26.2	%	$	1,245,839		26.3	%
1 to < 2 Years		517,407		10.5			534,038		11.3
2 to < 3 Years		416,003		8.4			511,701		10.8
3 to < 4 Years		586,055		11.8			525,683		11.1
4 to < 5 Years		438,784		8.9			400,540		8.4
5 or more Years		1,693,927		34.2			1,523,824		32.1
Total investments available for sale	$	4,950,036		100.0	%	$	4,741,625		100.0	%

Pre-tax investment income yield:
Three months ended		3.40	%				3.03	%

Holding company net cash and investments available for sale:
($ in thousands)
As of March 31, 2023	$	723,050
As of December 31, 2022	$	685,178


													Exhibit M

Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital

	2023			2022
	March 31			December 31			September 30			June 30			March 31
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)	$	3,207,102		$	3,178,151		$	3,128,681		$	3,062,438		$	3,058,880

Combined net risk in force (2)	$	33,038,825		$	32,265,701		$	31,736,095		$	31,221,406		$	30,331,197

Risk-to-capital ratios: (3)
Essent Guaranty, Inc.	10.6:1			10.5:1			10.5:1			10.6:1			10.3:1
Essent Guaranty of PA, Inc.	0.5:1			0.6:1			0.6:1			0.6:1			0.7:1
Combined (4)	10.3:1			10.2:1			10.1:1			10.2:1			9.9:1

Essent Guaranty, Inc. PMIERs Data (5):
Available Assets	$	3,226,436		$	3,191,047		$	3,147,545		$	3,120,098		$	3,194,939
Minimum Required Assets		1,917,769			1,832,363			1,759,182			1,869,524			1,840,069
PMIERs excess Available Assets	$	1,308,667		$	1,358,684		$	1,388,363		$	1,250,574		$	1,354,870
PMIERs sufficiency ratio (6)		168	%		174	%		179	%		167	%		174	%

Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)	$	1,573,013		$	1,478,772		$	1,397,287		$	1,380,067		$	1,330,840

Net risk in force (2)	$	20,305,111		$	19,454,046		$	18,694,500		$	17,758,801		$	16,527,587


(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.

View source version on businesswire.com: https://www.businesswire.com/news/home/20230505005064/en/

Contacts

Media Contact

610.230.0556

media@essentgroup.com

Investor Relations Contact

Philip Stefano

Vice President, Investor Relations

855-809-ESNT

ir@essentgroup.com

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