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

HAMILTON, Bermuda--(BUSINESS WIRE)-- 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.

 

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Source: Essent Group Ltd.