Recent Quotes View Full List My Watchlist Create Watchlist Indicators DJI Nasdaq Composite SPX Gold Crude Oil EL&P Market Index Markets Stocks ETFs Tools Overview News Currencies International Treasuries Essent Group Ltd. Announces Third Quarter 2023 Results and Declares Quarterly Dividend By: Essent Group Ltd. via Business Wire November 02, 2023 at 06:30 AM EDT Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2023 of $178.0 million or $1.66 per diluted share, compared to $178.1 million or $1.66 per diluted share for the quarter ended September 30, 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 December 11, 2023, to shareholders of record on December 1, 2023. “We are pleased with our third quarter 2023 financial results, as we continue to generate high quality earnings and robust returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “The credit quality of our portfolio remains strong. Higher interest rates have translated to higher portfolio persistency and increased investment income, supporting our revenues and growth in book value per share.” Financial Highlights: New insurance written for the third quarter of 2023 was $12.5 billion, compared to $13.5 billion in the second quarter of 2023 and $17.1 billion in the third quarter of 2022. Insurance in force as of September 30, 2023 was $238.7 billion, compared to $235.6 billion as of June 30, 2023 and $222.5 billion as of September 30, 2022. Net investment income for the third quarter of 2023 was $47.1 million, up 44% from the third quarter of 2022. For the nine months ended September 30, 2023, net investment income was $135.6 million, up 57% from the comparable period in 2022. On July 1, 2023, Essent Group Ltd. completed its previously announced acquisition of Agents National Title Holding Company and Boston National Holdings LLC for $92.6 million. On August 8, 2023, Essent closed its 9th insurance-linked note transaction, Radnor Re 2023-1, which provides $281.5 million of collateralized reinsurance coverage for NIW from August 2022 through June 2023. In October 2023, the Board approved a share repurchase plan that authorizes the Company to repurchase $250 million of common shares in the open market between January 1, 2024 and December 31, 2025. 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 serves the housing finance industry by offering private mortgage insurance, reinsurance, risk management products and title insurance and settlement services to mortgage lenders, borrowers, and investors to support homeownership. Additional information regarding Essent may be found at www.essentgroup.com. Source: Essent Group Ltd. Essent Group Ltd. and Subsidiaries Financial Results and Supplemental Information (Unaudited) Quarter Ended September 30, 2023 Exhibit A Condensed Consolidated Statements of Comprehensive Income (Unaudited) Exhibit B Condensed Consolidated Balance Sheets (Unaudited) Exhibit C Consolidated Historical Quarterly Data Exhibit D U.S Mortgage Insurance Portfolio Historical Quarterly Data Exhibit E New Insurance Written - U.S. Mortgage Insurance Portfolio Exhibit F Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio Exhibit G Other Risk in Force Exhibit H U.S. Mortgage Insurance Portfolio Vintage Data Exhibit I U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data Exhibit J U.S. Mortgage Insurance Portfolio Geographic Data Exhibit K Rollforward of Defaults and Reserve for Losses and LAE Exhibit L Detail of Reserves by Default Delinquency Exhibit M Investments Available for Sale Exhibit N U.S. Mortgage Insurance Company Capital Exhibit O Loss, Expense and Combined Ratios and Reconciliation of Non-GAAP Financial Measures Exhibit A Essent Group Ltd. and Subsidiaries Condensed Consolidated Statements of Comprehensive Income (Unaudited) Three Months Ended September 30, Nine Months Ended September 30, (In thousands, except per share amounts) 2023 2022 2023 2022 Revenues: Direct premiums written $ 270,868 $ 239,773 $ 759,526 $ 692,687 Ceded premiums (30,294 ) (30,543 ) (103,431 ) (73,384 ) Net premiums written 240,574 209,230 656,095 619,303 Decrease in unearned premiums 6,231 (1,296 ) 15,197 15,972 Net premiums earned 246,805 207,934 671,292 635,275 Net investment income 47,072 32,594 135,558 86,613 Realized investment losses, net (235 ) 175 (2,312 ) (7,648 ) (Loss) income from other invested assets (3,143 ) 9,617 (10,697 ) 36,275 Other income 5,609 11,447 18,641 20,272 Total revenues 296,108 261,767 812,482 770,787 Losses and expenses: Provision (benefit) for losses and LAE 10,822 4,252 11,902 (178,805 ) Other underwriting and operating expenses 54,814 42,144 145,183 124,838 Premiums retained by agents 13,175 — 13,175 — Interest expense 7,854 4,450 22,184 9,563 Total losses and expenses 86,665 50,846 192,444 (44,404 ) Income before income taxes 209,443 210,921 620,038 815,191 Income tax expense 31,484 32,870 99,019 131,204 Net income $ 177,959 $ 178,051 $ 521,019 $ 683,987 Earnings per share: Basic $ 1.68 $ 1.67 $ 4.90 $ 6.37 Diluted 1.66 1.66 4.86 6.35 Weighted average shares outstanding: Basic 105,979 106,870 106,387 107,314 Diluted 107,025 107,337 107,232 107,732 Net income $ 177,959 $ 178,051 $ 521,019 $ 683,987 Other comprehensive income (loss): Change in unrealized depreciation of investments (76,248 ) (137,010 ) (53,593 ) (474,284 ) Total other comprehensive loss (76,248 ) (137,010 ) (53,593 ) (474,284 ) Comprehensive income $ 101,711 $ 41,041 $ 467,426 $ 209,703 Exhibit B Essent Group Ltd. and Subsidiaries Condensed Consolidated Balance Sheets (Unaudited) September 30, December 31, (In thousands, except per share amounts) 2023 2022 Assets Investments Fixed maturities available for sale, at fair value $ 4,241,757 $ 4,489,598 Short-term investments available for sale, at fair value 755,931 252,027 Total investments available for sale 4,997,688 4,741,625 Other invested assets 272,619 257,941 Total investments 5,270,307 4,999,566 Cash 96,779 81,240 Accrued investment income 36,651 33,162 Accounts receivable 68,332 57,399 Deferred policy acquisition costs 9,375 9,910 Property and equipment 40,710 19,571 Prepaid federal income tax 461,386 418,460 Goodwill and intangible assets, net 64,271 — Other assets 46,389 104,489 Total assets $ 6,094,200 $ 5,723,797 Liabilities and Stockholders' Equity Liabilities Reserve for losses and LAE $ 241,333 $ 216,464 Unearned premium reserve 147,712 162,887 Net deferred tax liability 329,721 356,810 Credit facility borrowings, net of deferred costs 421,656 420,864 Other accrued liabilities 145,771 104,463 Total liabilities 1,286,193 1,261,488 Commitments and contingencies Stockholders' Equity Common shares, $0.015 par value: Authorized - 233,333; issued and outstanding - 106,887 shares in 2023 and 107,683 shares in 2022 1,603 1,615 Additional paid-in capital 1,309,717 1,350,377 Accumulated other comprehensive loss (436,383 ) (382,790 ) Retained earnings 3,933,070 3,493,107 Total stockholders' equity 4,808,007 4,462,309 Total liabilities and stockholders' equity $ 6,094,200 $ 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 Consolidated Historical Quarterly Data 2023 2022 Selected Income Statement Data September 30 June 30 March 31 December 31 September 30 (In thousands, except per share amounts) Revenues: Net premiums earned: U.S. Mortgage Insurance Portfolio $ 209,351 $ 195,502 $ 196,565 $ 192,670 $ 194,272 GSE and other risk share 16,850 17,727 14,693 14,582 13,662 Title insurance 20,604 — — — — Net premiums earned 246,805 213,229 211,258 207,252 207,934 Net investment income 47,072 45,250 43,236 37,796 32,594 Realized investment (losses) gains, net (235 ) (1,589 ) (488 ) (5,524 ) 175 (Loss) income from other invested assets (3,143 ) (4,852 ) (2,702 ) (7,599 ) 9,617 Other income (loss) (1) 5,609 8,090 4,942 (1,888 ) 11,447 Total revenues 296,108 260,128 256,246 230,037 261,767 Losses and expenses: Provision (benefit) for losses and LAE 10,822 1,260 (180 ) 4,101 4,252 Other underwriting and operating expenses 54,814 42,174 48,195 46,895 42,144 Premiums retained by agents 13,175 — — — — Interest expense 7,854 7,394 6,936 6,045 4,450 Total losses and expenses 86,665 50,828 54,951 57,041 50,846 Income before income taxes 209,443 209,300 201,295 172,996 210,921 Income tax expense (2) 31,484 37,067 30,468 25,630 32,870 Net income $ 177,959 $ 172,233 $ 170,827 $ 147,366 $ 178,051 Earnings per share: Basic $ 1.68 $ 1.62 $ 1.60 $ 1.38 $ 1.67 Diluted 1.66 1.61 1.59 1.37 1.66 Weighted average shares outstanding: Basic 105,979 106,249 106,943 106,881 106,870 Diluted 107,025 107,093 107,585 107,419 107,337 Book value per share $ 44.98 $ 44.24 $ 43.18 $ 41.44 $ 39.87 Return on average equity (annualized) 14.9 % 14.7 % 15.0 % 13.5 % 16.6 % 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) 7.07 % 6.87 % 6.52 % 6.02 % 4.39 % Debt-to-capital 8.12 % 8.24 % 8.38 % 8.70 % 9.01 % (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 September 30, 2023, June 30, 2023, March 31, 2023, December 31, 2022, and September 30, 2022 was ($898), $2,726, ($368), ($6,515), and $5,177, respectively. (2) Income tax expense for the quarters ended September 30, 2023, June 30, 2023, March 31, 2023, December 31, 2022 and September 30, 2022 includes ($763), $(888), ($368), ($4,122), and $2,925 respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns. Exhibit D Essent Group Ltd. and Subsidiaries Supplemental Information U.S Mortgage Insurance Portfolio Historical Quarterly Data 2023 2022 Other Data: September 30 June 30 March 31 December 31 September 30 ($ in thousands) U.S. Mortgage Insurance Portfolio Flow: New insurance written $ 12,505,823 $ 13,498,080 $ 12,893,789 $ 13,011,432 $ 17,112,017 New risk written 3,458,467 3,726,513 3,548,015 3,522,726 4,570,699 Bulk: New insurance written $ — $ — $ — $ — $ — New risk written — — — — — Total: New insurance written $ 12,505,823 $ 13,498,080 $ 12,893,789 $ 13,011,432 $ 17,112,017 New risk written $ 3,458,467 $ 3,726,513 $ 3,548,015 $ 3,522,726 $ 4,570,669 Average insurance in force $ 237,270,093 $ 233,484,941 $ 228,885,174 $ 224,840,675 $ 219,280,350 Insurance in force (end of period) $ 238,661,612 $ 235,649,884 $ 231,537,417 $ 227,062,055 $ 222,542,569 Gross risk in force (end of period) (1) $ 63,605,057 $ 62,403,400 $ 60,879,979 $ 59,276,489 $ 57,743,091 Risk in force (end of period) $ 53,920,308 $ 53,290,643 $ 51,469,312 $ 49,903,626 $ 48,690,571 Policies in force 825,248 821,690 815,751 808,596 800,745 Weighted average coverage (2) 26.7 % 26.5 % 26.3 % 26.1 % 25.9 % Annual persistency 86.6 % 85.8 % 84.4 % 82.1 % 77.9 % Loans in default (count) 13,391 12,480 12,773 13,433 12,435 Percentage of loans in default 1.62 % 1.52 % 1.57 % 1.66 % 1.55 % U.S. Mortgage Insurance Portfolio premium rate: Base average premium rate (3) 0.40 % 0.40 % 0.40 % 0.40 % 0.40 % Single premium cancellations (4) — % — % — % — % 0.01 % Gross average premium rate 0.40 % 0.40 % 0.40 % 0.40 % 0.41 % Ceded premiums (0.05 %) (0.07 %) (0.06 %) (0.06 %) (0.06 %) Net average premium rate 0.35 % 0.33 % 0.34 % 0.34 % 0.35 % (1) Gross risk in force includes risk ceded under third-party reinsurance. (2) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force. (3) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period. (4) 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 E Essent Group Ltd. and Subsidiaries Supplemental Information - U.S. Mortgage Insurance Portfolio New Insurance Written: Flow NIW by Credit Score Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 ($ in thousands) >=760 $ 5,212,343 41.8 % $ 6,976,123 40.8 % $ 15,473,191 39.8 % $ 20,942,108 41.8 % 740-759 2,205,066 17.6 2,965,115 17.3 7,031,821 18.1 8,499,739 17.0 720-739 1,911,320 15.3 2,788,573 16.3 6,310,564 16.2 7,885,166 15.8 700-719 1,867,510 14.9 2,277,251 13.3 5,892,704 15.1 6,452,721 12.9 680-699 891,471 7.1 1,476,982 8.6 3,024,347 7.8 4,409,944 8.8 <=679 418,113 3.3 627,973 3.7 1,165,065 3.0 1,859,956 3.7 Total $ 12,505,823 100.0 % $ 17,112,017 100.0 % $ 38,897,692 100.0 % $ 50,049,634 100.0 % Weighted average credit score 747 746 746 747 NIW by LTV Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 ($ in thousands) 85.00% and below $ 849,250 6.7 % $ 1,618,912 9.5 % $ 2,801,011 7.2 % $ 4,556,205 9.1 % 85.01% to 90.00% 2,445,924 19.6 4,753,686 27.8 7,951,062 20.4 13,657,345 27.3 90.01% to 95.00% 6,614,050 52.9 9,171,095 53.5 21,383,696 55.0 26,461,665 52.9 95.01% and above 2,596,599 20.8 1,568,324 9.2 6,761,923 17.4 5,374,419 10.7 Total $ 12,505,823 100.0 % $ 17,112,017 100.0 % $ 38,897,692 100.0 % $ 50,049,634 100.0 % Weighted average LTV 93 % 93 % 93 % 93 % NIW by Product Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 Single Premium policies 2.8 % 8.2 % 3.8 % 5.9 % Monthly Premium policies 97.2 91.8 96.2 94.1 100.0 % 100.0 % 100.0 % 100.0 % NIW by Purchase vs. Refinance Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 Purchase 99.0 % 98.7 % 98.8 % 97.2 % Refinance 1.0 1.3 1.2 2.8 100.0 % 100.0 % 100.0 % 100.0 % Exhibit F Essent Group Ltd. and Subsidiaries Supplemental Information Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio Portfolio by Credit Score IIF by FICO score September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) >=760 $ 97,027,348 40.7 % $ 95,925,520 40.8 % $ 92,309,692 41.5 % 740-759 41,362,480 17.3 40,733,799 17.3 37,821,201 17.0 720-739 37,297,809 15.6 36,791,104 15.6 33,910,646 15.2 700-719 31,674,346 13.3 30,970,132 13.1 28,263,518 12.7 680-699 19,850,176 8.3 19,667,866 8.3 18,351,570 8.2 <=679 11,449,453 4.8 11,561,463 4.9 11,885,942 5.4 Total $ 238,661,612 100.0 % $ 235,649,884 100.0 % $ 222,542,569 100.0 % Weighted average credit score 746 746 746 Gross RIF by FICO score September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) >=760 $ 25,594,262 40.1 % $ 25,138,762 40.3 % $ 23,743,335 41.1 % 740-759 11,165,727 17.6 10,922,780 17.5 9,920,331 17.2 720-739 10,090,889 15.9 9,896,425 15.9 8,934,327 15.5 700-719 8,568,811 13.5 8,319,353 13.3 7,412,542 12.8 680-699 5,327,434 8.4 5,248,349 8.4 4,801,986 8.3 <=679 2,857,934 4.5 2,877,731 4.6 2,930,570 5.1 Total $ 63,605,057 100.0 % $ 62,403,400 100.0 % $ 57,743,091 100.0 % Portfolio by LTV IIF by LTV September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) 85.00% and below $ 21,226,685 8.9 % $ 22,427,649 9.5 % $ 25,121,995 11.3 % 85.01% to 90.00% 63,374,562 26.6 63,562,258 27.0 62,963,331 28.3 90.01% to 95.00% 118,461,030 49.6 115,768,826 49.1 103,794,020 46.6 95.01% and above 35,599,335 14.9 33,891,151 14.4 30,663,223 13.8 Total $ 238,661,612 100.0 % $ 235,649,884 100.0 % $ 222,542,569 100.0 % Weighted average LTV 93 % 93 % 92 % Gross RIF by LTV September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) 85.00% and below $ 2,525,753 4.0 % $ 2,667,981 4.3 % $ 2,975,898 5.2 % 85.01% to 90.00% 15,566,095 24.5 15,583,198 25.0 15,317,449 26.5 90.01% to 95.00% 34,848,762 54.8 34,026,320 54.5 30,388,328 52.6 95.01% and above 10,664,447 16.7 10,125,901 16.2 9,061,416 15.7 Total $ 63,605,057 100.0 % $ 62,403,400 100.0 % $ 57,743,091 100.0 % Portfolio by Loan Amortization Period IIF by Loan Amortization Period September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) FRM 30 years and higher $ 232,186,999 97.3 % $ 228,745,641 97.1 % $ 214,688,363 96.5 % FRM 20-25 years 1,910,610 0.8 2,124,690 0.9 2,859,734 1.3 FRM 15 years 1,719,467 0.7 1,953,448 0.8 2,903,355 1.3 ARM 5 years and higher 2,844,536 1.2 2,826,105 1.2 2,091,117 0.9 Total $ 238,661,612 100.0 % $ 235,649,884 100.0 % $ 222,542,569 100.0 % Exhibit G Essent Group Ltd. and Subsidiaries Supplemental Information Other Risk in Force 2023 2022 ($ in thousands) September 30 June 30 March 31 December 31 September 30 GSE and other risk share (1): Risk in Force $ 2,247,393 $ 2,276,702 $ 2,098,033 $ 2,030,571 $ 2,026,895 Reserve for losses and LAE $ 54 $ 55 $ 65 $ 74 $ 102 Weighted average credit score 749 749 749 749 748 Weighted average LTV 82 % 83 % 83 % 83 % 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 H Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Vintage Data September 30, 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 $ 1,598,284 2.6 % 9,938 4.32 % 73.3 % 62.4 % 7.0 % 15.1 % 43.4 % 2.5 % 392 3.94 % 2015 26,193,656 1,521,374 5.8 9,232 4.21 84.2 74.8 4.6 17.7 39.6 2.5 327 3.54 2016 34,949,319 3,234,730 9.3 18,705 3.89 87.8 80.6 12.0 15.9 42.4 2.3 560 2.99 2017 43,858,322 5,031,656 11.5 29,934 4.27 91.3 71.7 20.7 20.4 37.8 3.5 1,176 3.93 2018 47,508,525 5,805,471 12.2 32,505 4.79 94.7 71.3 26.0 21.7 32.6 4.6 1,484 4.57 2019 63,569,183 12,907,957 20.3 61,266 4.22 88.1 68.1 24.5 18.8 35.5 4.4 1,813 2.96 2020 107,944,065 49,162,995 45.5 187,990 3.19 68.0 56.5 13.0 10.8 45.6 3.3 2,373 1.26 2021 84,218,250 64,048,451 76.1 208,074 3.08 86.3 62.6 15.3 13.9 40.5 7.1 3,038 1.46 2022 63,061,262 57,742,660 91.6 163,804 5.07 97.8 65.2 11.2 12.7 39.7 19.9 1,962 1.20 2023 (through September 30) 38,897,692 37,608,034 96.7 103,800 6.51 98.8 72.6 17.8 10.9 39.1 11.3 266 0.26 Total $ 570,869,125 $ 238,661,612 41.8 825,248 4.28 87.6 64.6 14.9 13.1 40.7 4.3 13,391 1.62 (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 I Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data September 30, 2023 ($ in thousands) Insurance Linked Notes (1) Earned Premiums Ceded Deal Name Vintage Remaining Insurance in Force Remaining Risk in Force Original Reinsurance in Force Remaining Reinsurance in Force Losses Ceded to Date Original First Layer Retention Remaining First Layer Retention Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Radnor Re 2018-1 Jan. 2017 - Dec. 2017 $ — $ — $ — $ — $ — $ — $ — $ — $ 1,781 $ — Radnor Re 2019-1 Jan. 2018 - Dec. 2018 5,730,888 1,496,891 473,184 21,467 — 253,643 246,939 (40 ) 13,407 — Radnor Re 2019-2 Jan. 2015 - Dec. 2016 — — — — — — — — 220 — Radnor Re 2020-1 Jan. 2019 - Aug. 2019 7,185,440 1,864,143 495,889 50,596 — 215,605 213,798 (82 ) 5,788 — Radnor Re 2021-1 Aug. 2020 - Mar. 2021 33,594,368 8,642,916 557,911 339,120 — 278,956 278,796 2,615 8,794 261,926 Radnor Re 2021-2 Apr. 2021 - Sep. 2021 37,420,329 10,079,502 439,407 361,449 — 279,415 279,231 3,887 12,161 285,689 Radnor Re 2022-1 Oct. 2021 - Jul. 2022 32,132,944 8,669,748 237,868 237,868 — 303,761 303,660 4,260 12,781 218,839 Radnor Re 2023-1 Aug. 2022 - Jun. 2023 31,014,596 8,478,658 281,462 281,462 — 281,463 281,463 3,118 3,118 266,826 Total $ 147,078,565 $ 39,231,858 $ 2,485,721 $ 1,291,962 $ — $ 1,612,843 $ 1,603,887 $ 13,758 $ 58,050 $ 1,033,280 Excess of Loss Reinsurance (2) Earned Premiums Ceded Deal Name Vintage Remaining Insurance in Force Remaining Risk in Force Original Reinsurance in Force Remaining Reinsurance in Force Losses Ceded to Date Original First Layer Retention Remaining First Layer Retention Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) XOL 2018-1 Jan. 2017 - Dec. 2017 $ 4,920,622 $ 1,297,126 $ 165,167 $ 57,250 $ — $ 678,283 $ 421,003 $ 291 $ 955 $ — XOL 2019-1 Jan. 2018 - Dec. 2018 5,730,888 1,496,891 118,650 76,144 — 253,643 246,939 (4) 627 1,861 — XOL 2020-1 Jan. 2019 - Dec. 2019 7,185,440 1,864,143 55,102 38,579 — 215,605 213,798 (4) 303 931 — XOL 2022-1 Oct. 2021 - Dec. 2022 71,671,369 19,351,146 141,992 141,992 — 507,114 506,301 1,611 4,779 137,913 Total $ 89,508,319 $ 24,009,306 $ 480,911 $ 313,965 $ — $ 1,654,645 $ 1,388,041 $ 2,832 $ 8,526 $ 137,913 Quota Share Reinsurance (2) 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 Quarter-to-Date Year-to-Date Quarter-to-Date Year-to-Date Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Sep. 2019 - Dec. 2020 (5 ) $ 54,596,089 $ 14,208,745 $ 12,218,215 $ 3,142,000 $ (464 ) $ (2,208 ) $ 2,631 $ 8,343 $ 4,403 $ 13,227 $ 187,406 Jan. 2022 - Dec. 2023 20 % 57,688,314 15,600,877 11,537,663 3,120,175 2,592 7,473 1,942 5,880 6,282 18,645 229,964 Jan. 2023 - Dec. 2023 17.5 % 37,561,195 10,380,842 6,573,209 1,816,647 791 1,123 1,061 1,837 3,019 4,981 129,422 Total $ 149,845,598 $ 40,190,464 $ 30,329,087 $ 8,078,822 $ 2,919 $ 6,388 $ 5,634 $ 16,060 $ 13,704 $ 36,853 $ 546,792 (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) First layer retentions shown are ILN retention levels as a result of overlapping coverage within the vintage. (5) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies. Exhibit J Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Geographic Data IIF by State September 30, 2023 June 30, 2023 September 30, 2022 CA 13.0 % 13.1 % 13.2 % FL 11.0 10.8 10.1 TX 10.5 10.5 10.3 CO 4.1 4.1 4.1 AZ 3.7 3.7 3.5 WA 3.4 3.4 3.4 GA 3.4 3.3 3.1 NC 2.8 2.8 2.7 IL 2.8 2.9 3.1 VA 2.8 2.9 3.1 All Others 42.5 42.5 43.4 Total 100.0 % 100.0 % 100.0 % Gross RIF by State September 30, 2023 June 30, 2023 September 30, 2022 CA 12.9 % 13.0 % 13.0 % FL 11.3 11.1 10.5 TX 10.8 10.8 10.6 CO 4.0 4.1 4.1 AZ 3.8 3.8 3.5 GA 3.5 3.4 3.2 WA 3.4 3.4 3.3 NC 2.9 2.8 2.7 IL 2.8 2.8 3.1 VA 2.8 2.8 3.0 All Others 41.8 42.0 43.0 Total 100.0 % 100.0 % 100.0 % Exhibit K 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 September 30 June 30 March 31 December 31 September 30 Beginning default inventory 12,480 12,773 13,433 12,435 12,707 Plus: new defaults (A) 7,953 6,575 7,015 7,505 6,448 Less: cures (6,902 ) (6,761 ) (7,574 ) (6,425 ) (6,642 ) Less: claims paid (129 ) (96 ) (94 ) (73 ) (68 ) Less: rescissions and denials, net (11 ) (11 ) (7 ) (9 ) (10 ) Ending default inventory 13,391 12,480 12,773 13,433 12,435 (A) New defaults remaining as of September 30, 2023 5,664 2,630 1,520 1,199 672 Cure rate (1) 29 % 60 % 78 % 84 % 90 % Total amount paid for claims (in thousands) $ 2,956 $ 1,890 $ 1,959 $ 1,441 $ 1,261 Average amount paid per claim (in thousands) $ 23 $ 20 $ 21 $ 20 $ 19 Severity 66 % 58 % 59 % 46 % 47 % Rollforward of Reserve for Losses and LAE Three Months Ended 2023 2022 ($ in thousands) September 30 June 30 March 31 December 31 September 30 Reserve for losses and LAE at beginning of period $ 216,888 $ 215,957 $ 216,390 $ 212,392 $ 209,829 Less: Reinsurance recoverables 17,958 16,357 14,618 13,244 13,657 Net reserve for losses and LAE at beginning of period 198,930 199,600 201,772 199,148 196,172 Add provision for losses and LAE occurring in: Current period 35,609 31,377 32,693 36,141 20,144 Prior years (25,533 ) (30,107 ) (32,864 ) (32,012 ) (15,850 ) Incurred losses and LAE during the period 10,076 1,270 (171 ) 4,129 4,294 Deduct payments for losses and LAE occurring in: Current period 156 31 — 113 30 Prior years 2,889 1,909 2,001 1,392 1,288 Loss and LAE payments during the period 3,045 1,940 2,001 1,505 1,318 Net reserve for losses and LAE at end of period 205,961 198,930 199,600 201,772 199,148 Plus: Reinsurance recoverables 20,656 17,958 16,357 14,618 13,244 Reserve for losses and LAE at end of period $ 226,617 $ 216,888 $ 215,957 $ 216,390 $ 212,392 (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 L Essent Group Ltd. and Subsidiaries Supplemental Information Detail of Reserves by Default Delinquency U.S. Mortgage Insurance Portfolio September 30, 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 6,383 48 % $ 38,412 18 % $ 448,039 9 % Four to eleven payments 4,877 36 87,025 42 369,711 24 Twelve or more payments 1,989 15 77,369 37 126,317 61 Pending claims 142 1 6,076 3 6,924 88 Total case reserves 13,391 100 % 208,882 100 % $ 950,991 22 % IBNR 15,666 LAE 2,069 Total reserves for losses and LAE $ 226,617 Average reserve per default: Case $ 15.6 Total $ 16.9 Default Rate 1.62 % 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 % September 30, 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 4,971 40 % $ 22,279 12 % $ 313,531 7 % Four to eleven payments 4,443 36 55,431 28 292,644 19 Twelve or more payments 2,923 23 114,250 58 174,589 65 Pending claims 98 1 3,879 2 4,611 84 Total case reserves 12,435 100 % 195,839 100 % $ 785,375 25 % IBNR 14,688 LAE 1,865 Total reserves for losses and LAE $ 212,392 Average reserve per default: Case $ 15.7 Total $ 17.1 Default Rate 1.55 % Exhibit M Essent Group Ltd. and Subsidiaries Supplemental Information Investments Available for Sale Investments Available for Sale by Asset Class Asset Class September 30, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent U.S. Treasury securities $ 879,185 17.6 % $ 556,438 11.7 % U.S. agency securities 7,180 0.1 49,058 1.0 U.S. agency mortgage-backed securities 750,938 15.0 783,743 16.5 Municipal debt securities 562,510 11.3 602,690 12.8 Non-U.S. government securities 48,571 1.0 62,399 1.3 Corporate debt securities 1,280,433 25.6 1,414,321 29.8 Residential and commercial mortgage securities 493,693 9.9 511,824 10.8 Asset-backed securities 614,818 12.3 624,561 13.2 Money market funds 360,360 7.2 136,591 2.9 Total investments available for sale $ 4,997,688 100.0 % $ 4,741,625 100.0 % Investments Available for Sale by Credit Rating Rating (1) September 30, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent Aaa $ 2,393,047 51.6 % $ 2,122,599 46.2 % Aa1 108,593 2.3 111,262 2.4 Aa2 300,510 6.5 325,241 7.1 Aa3 210,967 4.5 232,500 5.0 A1 381,479 8.2 396,095 8.6 A2 314,587 6.8 410,163 8.9 A3 235,490 5.1 268,928 5.8 Baa1 227,543 4.9 236,793 5.1 Baa2 231,612 5.0 221,308 4.8 Baa3 151,078 3.3 187,117 4.1 Below Baa3 82,422 1.8 93,028 2.0 Total (2) $ 4,637,328 100.0 % $ 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 $360,360 and $136,591 of money market funds at September 30, 2023 and December 31, 2022, respectively. Investments Available for Sale by Duration and Book Yield Effective Duration September 30, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent < 1 Year $ 1,713,199 34.3 % $ 1,245,839 26.3 % 1 to < 2 Years 484,032 9.7 534,038 11.3 2 to < 3 Years 456,987 9.1 511,701 10.8 3 to < 4 Years 418,831 8.4 525,683 11.1 4 to < 5 Years 389,441 7.8 400,540 8.4 5 or more Years 1,535,198 30.7 1,523,824 32.1 Total investments available for sale $ 4,997,688 100.0 % $ 4,741,625 100.0 % Pre-tax investment income yield: Three months ended 3.55 % 3.03 % Nine months ended September 30, 2023 3.47 % Holding company net cash and investments available for sale: ($ in thousands) As of September 30, 2023 $ 648,658 As of December 31, 2022 $ 685,178 Exhibit N Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Company Capital 2023 2022 September 30 June 30 March 31 December 31 September 30 ($ in thousands) U.S. Mortgage Insurance Subsidiaries: Combined statutory capital (1) $ 3,309,522 $ 3,243,086 $ 3,207,102 $ 3,178,151 $ 3,128,681 Combined net risk in force (2) $ 34,203,678 $ 34,019,643 $ 33,038,825 $ 32,265,701 $ 31,736,095 Risk-to-capital ratios: (3) Essent Guaranty, Inc. 10.7:1 10.8:1 10.6:1 10.5:1 10.5:1 Essent Guaranty of PA, Inc. 0.5:1 0.5:1 0.5:1 0.6:1 0.6:1 Combined (4) 10.3:1 10.5:1 10.3:1 10.2:1 10.1:1 Essent Guaranty, Inc. PMIERs Data (5): Available Assets $ 3,318,179 $ 3,245,481 $ 3,226,436 $ 3,191,047 $ 3,147,545 Minimum Required Assets 1,910,659 1,991,741 1,917,769 1,832,363 1,759,182 PMIERs excess Available Assets $ 1,407,520 $ 1,253,740 $ 1,308,667 $ 1,358,684 $ 1,388,363 PMIERs sufficiency ratio (6) 174 % 163 % 168 % 174 % 179 % Essent Reinsurance Ltd.: Stockholder's equity (GAAP basis) $ 1,684,122 $ 1,633,763 $ 1,573,013 $ 1,478,772 $ 1,397,287 Net risk in force (2) $ 21,739,419 $ 21,327,762 $ 20,305,111 $ 19,454,046 $ 18,694,500 (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. Exhibit O Essent Group Ltd. and Subsidiaries Supplemental Information Loss, Expense and Combined Ratios and Reconciliation of Non-GAAP Financial Measures 2023 2022 September 30 June 30 March 31 December 31 September 30 Loss Ratio (1) 4.4 % 0.6 % (0.1 )% 2.0 % 2.0 % Expense Ratio (2) 27.3 % 19.8 % 22.8 % 22.6 % 20.3 % Combined Ratio 31.7 % 20.4 % 22.7 % 24.6 % 22.3 % We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the three and nine months ended September 30, 2023 lack comparability with prior periods. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to Consolidated Ratios Excluding Title, as shown below. Consolidated Ratios Excluding Title are financial measures that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and are referred to as non-GAAP measures. Consolidated Ratios Excluding Title are measures used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP. The following table sets forth the reconciliation of the loss, expense and combined Consolidated Ratios Excluding Title to the most comparable GAAP amount for the three and nine months ended September 30, 2023, in accordance with Regulation G: Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023 Consolidated Acquired Title Consolidated Excluding Title Consolidated Acquired Title Consolidated Excluding Title ($ in thousands) Revenues: Net premiums earned $ 246,805 $ 20,604 $ 226,201 $ 671,292 $ 20,604 $ 650,688 Net investment income 47,072 405 46,667 135,558 405 135,153 Realized investment losses, net (235 ) — (235 ) (2,312 ) — (2,312 ) (Loss) income from other invested assets (3,143 ) — (3,143 ) (10,697 ) — (10,697 ) Settlement services (3) 2,037 2,037 — 2,037 2,037 — Other income 3,572 404 3,168 16,604 404 16,200 Total revenues 296,108 23,450 272,658 812,482 23,450 789,032 Losses and expenses: Provision (benefit) for losses and LAE 10,822 768 10,054 11,902 768 11,134 Other underwriting and operating expenses 54,814 13,466 41,348 145,183 13,466 131,717 Premiums retained by agents 13,175 13,175 — 13,175 13,175 — Interest expense 7,854 — 7,854 22,184 — 22,184 Total losses and expenses 86,665 27,409 59,256 192,444 27,409 165,035 Loss ratio (1) 4.4 % 3.4 % 4.4 % 1.8 % 3.4 % 1.7 % Expense ratio (2) 27.3 % 117.7 % 18.3 % 23.5 % 117.7 % 20.2 % Combined ratio 31.7 % 121.1 % 22.7 % 25.3 % 121.1 % 21.9 % (1) Loss ratio is calculated by dividing the provision for losses and LAE by the sum of net premiums earned and settlement services revenue, if applicable. (2) Expense ratio is calculated by dividing the sum of other underwriting and operating expenses and premiums retained by agents by the sum of net premiums earned and settlement services revenue, if applicable. (3) Settlement services revenue is included in "Other income" within Exhibit A and Exhibit C. View source version on businesswire.com: https://www.businesswire.com/news/home/20231102380127/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 Data & News supplied by www.cloudquote.io Stock quotes supplied by Barchart Quotes delayed at least 20 minutes. By accessing this page, you agree to the following Privacy Policy and Terms and Conditions.
Essent Group Ltd. Announces Third Quarter 2023 Results and Declares Quarterly Dividend By: Essent Group Ltd. via Business Wire November 02, 2023 at 06:30 AM EDT Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2023 of $178.0 million or $1.66 per diluted share, compared to $178.1 million or $1.66 per diluted share for the quarter ended September 30, 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 December 11, 2023, to shareholders of record on December 1, 2023. “We are pleased with our third quarter 2023 financial results, as we continue to generate high quality earnings and robust returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “The credit quality of our portfolio remains strong. Higher interest rates have translated to higher portfolio persistency and increased investment income, supporting our revenues and growth in book value per share.” Financial Highlights: New insurance written for the third quarter of 2023 was $12.5 billion, compared to $13.5 billion in the second quarter of 2023 and $17.1 billion in the third quarter of 2022. Insurance in force as of September 30, 2023 was $238.7 billion, compared to $235.6 billion as of June 30, 2023 and $222.5 billion as of September 30, 2022. Net investment income for the third quarter of 2023 was $47.1 million, up 44% from the third quarter of 2022. For the nine months ended September 30, 2023, net investment income was $135.6 million, up 57% from the comparable period in 2022. On July 1, 2023, Essent Group Ltd. completed its previously announced acquisition of Agents National Title Holding Company and Boston National Holdings LLC for $92.6 million. On August 8, 2023, Essent closed its 9th insurance-linked note transaction, Radnor Re 2023-1, which provides $281.5 million of collateralized reinsurance coverage for NIW from August 2022 through June 2023. In October 2023, the Board approved a share repurchase plan that authorizes the Company to repurchase $250 million of common shares in the open market between January 1, 2024 and December 31, 2025. 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 serves the housing finance industry by offering private mortgage insurance, reinsurance, risk management products and title insurance and settlement services to mortgage lenders, borrowers, and investors to support homeownership. Additional information regarding Essent may be found at www.essentgroup.com. Source: Essent Group Ltd. Essent Group Ltd. and Subsidiaries Financial Results and Supplemental Information (Unaudited) Quarter Ended September 30, 2023 Exhibit A Condensed Consolidated Statements of Comprehensive Income (Unaudited) Exhibit B Condensed Consolidated Balance Sheets (Unaudited) Exhibit C Consolidated Historical Quarterly Data Exhibit D U.S Mortgage Insurance Portfolio Historical Quarterly Data Exhibit E New Insurance Written - U.S. Mortgage Insurance Portfolio Exhibit F Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio Exhibit G Other Risk in Force Exhibit H U.S. Mortgage Insurance Portfolio Vintage Data Exhibit I U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data Exhibit J U.S. Mortgage Insurance Portfolio Geographic Data Exhibit K Rollforward of Defaults and Reserve for Losses and LAE Exhibit L Detail of Reserves by Default Delinquency Exhibit M Investments Available for Sale Exhibit N U.S. Mortgage Insurance Company Capital Exhibit O Loss, Expense and Combined Ratios and Reconciliation of Non-GAAP Financial Measures Exhibit A Essent Group Ltd. and Subsidiaries Condensed Consolidated Statements of Comprehensive Income (Unaudited) Three Months Ended September 30, Nine Months Ended September 30, (In thousands, except per share amounts) 2023 2022 2023 2022 Revenues: Direct premiums written $ 270,868 $ 239,773 $ 759,526 $ 692,687 Ceded premiums (30,294 ) (30,543 ) (103,431 ) (73,384 ) Net premiums written 240,574 209,230 656,095 619,303 Decrease in unearned premiums 6,231 (1,296 ) 15,197 15,972 Net premiums earned 246,805 207,934 671,292 635,275 Net investment income 47,072 32,594 135,558 86,613 Realized investment losses, net (235 ) 175 (2,312 ) (7,648 ) (Loss) income from other invested assets (3,143 ) 9,617 (10,697 ) 36,275 Other income 5,609 11,447 18,641 20,272 Total revenues 296,108 261,767 812,482 770,787 Losses and expenses: Provision (benefit) for losses and LAE 10,822 4,252 11,902 (178,805 ) Other underwriting and operating expenses 54,814 42,144 145,183 124,838 Premiums retained by agents 13,175 — 13,175 — Interest expense 7,854 4,450 22,184 9,563 Total losses and expenses 86,665 50,846 192,444 (44,404 ) Income before income taxes 209,443 210,921 620,038 815,191 Income tax expense 31,484 32,870 99,019 131,204 Net income $ 177,959 $ 178,051 $ 521,019 $ 683,987 Earnings per share: Basic $ 1.68 $ 1.67 $ 4.90 $ 6.37 Diluted 1.66 1.66 4.86 6.35 Weighted average shares outstanding: Basic 105,979 106,870 106,387 107,314 Diluted 107,025 107,337 107,232 107,732 Net income $ 177,959 $ 178,051 $ 521,019 $ 683,987 Other comprehensive income (loss): Change in unrealized depreciation of investments (76,248 ) (137,010 ) (53,593 ) (474,284 ) Total other comprehensive loss (76,248 ) (137,010 ) (53,593 ) (474,284 ) Comprehensive income $ 101,711 $ 41,041 $ 467,426 $ 209,703 Exhibit B Essent Group Ltd. and Subsidiaries Condensed Consolidated Balance Sheets (Unaudited) September 30, December 31, (In thousands, except per share amounts) 2023 2022 Assets Investments Fixed maturities available for sale, at fair value $ 4,241,757 $ 4,489,598 Short-term investments available for sale, at fair value 755,931 252,027 Total investments available for sale 4,997,688 4,741,625 Other invested assets 272,619 257,941 Total investments 5,270,307 4,999,566 Cash 96,779 81,240 Accrued investment income 36,651 33,162 Accounts receivable 68,332 57,399 Deferred policy acquisition costs 9,375 9,910 Property and equipment 40,710 19,571 Prepaid federal income tax 461,386 418,460 Goodwill and intangible assets, net 64,271 — Other assets 46,389 104,489 Total assets $ 6,094,200 $ 5,723,797 Liabilities and Stockholders' Equity Liabilities Reserve for losses and LAE $ 241,333 $ 216,464 Unearned premium reserve 147,712 162,887 Net deferred tax liability 329,721 356,810 Credit facility borrowings, net of deferred costs 421,656 420,864 Other accrued liabilities 145,771 104,463 Total liabilities 1,286,193 1,261,488 Commitments and contingencies Stockholders' Equity Common shares, $0.015 par value: Authorized - 233,333; issued and outstanding - 106,887 shares in 2023 and 107,683 shares in 2022 1,603 1,615 Additional paid-in capital 1,309,717 1,350,377 Accumulated other comprehensive loss (436,383 ) (382,790 ) Retained earnings 3,933,070 3,493,107 Total stockholders' equity 4,808,007 4,462,309 Total liabilities and stockholders' equity $ 6,094,200 $ 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 Consolidated Historical Quarterly Data 2023 2022 Selected Income Statement Data September 30 June 30 March 31 December 31 September 30 (In thousands, except per share amounts) Revenues: Net premiums earned: U.S. Mortgage Insurance Portfolio $ 209,351 $ 195,502 $ 196,565 $ 192,670 $ 194,272 GSE and other risk share 16,850 17,727 14,693 14,582 13,662 Title insurance 20,604 — — — — Net premiums earned 246,805 213,229 211,258 207,252 207,934 Net investment income 47,072 45,250 43,236 37,796 32,594 Realized investment (losses) gains, net (235 ) (1,589 ) (488 ) (5,524 ) 175 (Loss) income from other invested assets (3,143 ) (4,852 ) (2,702 ) (7,599 ) 9,617 Other income (loss) (1) 5,609 8,090 4,942 (1,888 ) 11,447 Total revenues 296,108 260,128 256,246 230,037 261,767 Losses and expenses: Provision (benefit) for losses and LAE 10,822 1,260 (180 ) 4,101 4,252 Other underwriting and operating expenses 54,814 42,174 48,195 46,895 42,144 Premiums retained by agents 13,175 — — — — Interest expense 7,854 7,394 6,936 6,045 4,450 Total losses and expenses 86,665 50,828 54,951 57,041 50,846 Income before income taxes 209,443 209,300 201,295 172,996 210,921 Income tax expense (2) 31,484 37,067 30,468 25,630 32,870 Net income $ 177,959 $ 172,233 $ 170,827 $ 147,366 $ 178,051 Earnings per share: Basic $ 1.68 $ 1.62 $ 1.60 $ 1.38 $ 1.67 Diluted 1.66 1.61 1.59 1.37 1.66 Weighted average shares outstanding: Basic 105,979 106,249 106,943 106,881 106,870 Diluted 107,025 107,093 107,585 107,419 107,337 Book value per share $ 44.98 $ 44.24 $ 43.18 $ 41.44 $ 39.87 Return on average equity (annualized) 14.9 % 14.7 % 15.0 % 13.5 % 16.6 % 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) 7.07 % 6.87 % 6.52 % 6.02 % 4.39 % Debt-to-capital 8.12 % 8.24 % 8.38 % 8.70 % 9.01 % (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 September 30, 2023, June 30, 2023, March 31, 2023, December 31, 2022, and September 30, 2022 was ($898), $2,726, ($368), ($6,515), and $5,177, respectively. (2) Income tax expense for the quarters ended September 30, 2023, June 30, 2023, March 31, 2023, December 31, 2022 and September 30, 2022 includes ($763), $(888), ($368), ($4,122), and $2,925 respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns. Exhibit D Essent Group Ltd. and Subsidiaries Supplemental Information U.S Mortgage Insurance Portfolio Historical Quarterly Data 2023 2022 Other Data: September 30 June 30 March 31 December 31 September 30 ($ in thousands) U.S. Mortgage Insurance Portfolio Flow: New insurance written $ 12,505,823 $ 13,498,080 $ 12,893,789 $ 13,011,432 $ 17,112,017 New risk written 3,458,467 3,726,513 3,548,015 3,522,726 4,570,699 Bulk: New insurance written $ — $ — $ — $ — $ — New risk written — — — — — Total: New insurance written $ 12,505,823 $ 13,498,080 $ 12,893,789 $ 13,011,432 $ 17,112,017 New risk written $ 3,458,467 $ 3,726,513 $ 3,548,015 $ 3,522,726 $ 4,570,669 Average insurance in force $ 237,270,093 $ 233,484,941 $ 228,885,174 $ 224,840,675 $ 219,280,350 Insurance in force (end of period) $ 238,661,612 $ 235,649,884 $ 231,537,417 $ 227,062,055 $ 222,542,569 Gross risk in force (end of period) (1) $ 63,605,057 $ 62,403,400 $ 60,879,979 $ 59,276,489 $ 57,743,091 Risk in force (end of period) $ 53,920,308 $ 53,290,643 $ 51,469,312 $ 49,903,626 $ 48,690,571 Policies in force 825,248 821,690 815,751 808,596 800,745 Weighted average coverage (2) 26.7 % 26.5 % 26.3 % 26.1 % 25.9 % Annual persistency 86.6 % 85.8 % 84.4 % 82.1 % 77.9 % Loans in default (count) 13,391 12,480 12,773 13,433 12,435 Percentage of loans in default 1.62 % 1.52 % 1.57 % 1.66 % 1.55 % U.S. Mortgage Insurance Portfolio premium rate: Base average premium rate (3) 0.40 % 0.40 % 0.40 % 0.40 % 0.40 % Single premium cancellations (4) — % — % — % — % 0.01 % Gross average premium rate 0.40 % 0.40 % 0.40 % 0.40 % 0.41 % Ceded premiums (0.05 %) (0.07 %) (0.06 %) (0.06 %) (0.06 %) Net average premium rate 0.35 % 0.33 % 0.34 % 0.34 % 0.35 % (1) Gross risk in force includes risk ceded under third-party reinsurance. (2) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force. (3) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period. (4) 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 E Essent Group Ltd. and Subsidiaries Supplemental Information - U.S. Mortgage Insurance Portfolio New Insurance Written: Flow NIW by Credit Score Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 ($ in thousands) >=760 $ 5,212,343 41.8 % $ 6,976,123 40.8 % $ 15,473,191 39.8 % $ 20,942,108 41.8 % 740-759 2,205,066 17.6 2,965,115 17.3 7,031,821 18.1 8,499,739 17.0 720-739 1,911,320 15.3 2,788,573 16.3 6,310,564 16.2 7,885,166 15.8 700-719 1,867,510 14.9 2,277,251 13.3 5,892,704 15.1 6,452,721 12.9 680-699 891,471 7.1 1,476,982 8.6 3,024,347 7.8 4,409,944 8.8 <=679 418,113 3.3 627,973 3.7 1,165,065 3.0 1,859,956 3.7 Total $ 12,505,823 100.0 % $ 17,112,017 100.0 % $ 38,897,692 100.0 % $ 50,049,634 100.0 % Weighted average credit score 747 746 746 747 NIW by LTV Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 ($ in thousands) 85.00% and below $ 849,250 6.7 % $ 1,618,912 9.5 % $ 2,801,011 7.2 % $ 4,556,205 9.1 % 85.01% to 90.00% 2,445,924 19.6 4,753,686 27.8 7,951,062 20.4 13,657,345 27.3 90.01% to 95.00% 6,614,050 52.9 9,171,095 53.5 21,383,696 55.0 26,461,665 52.9 95.01% and above 2,596,599 20.8 1,568,324 9.2 6,761,923 17.4 5,374,419 10.7 Total $ 12,505,823 100.0 % $ 17,112,017 100.0 % $ 38,897,692 100.0 % $ 50,049,634 100.0 % Weighted average LTV 93 % 93 % 93 % 93 % NIW by Product Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 Single Premium policies 2.8 % 8.2 % 3.8 % 5.9 % Monthly Premium policies 97.2 91.8 96.2 94.1 100.0 % 100.0 % 100.0 % 100.0 % NIW by Purchase vs. Refinance Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 Purchase 99.0 % 98.7 % 98.8 % 97.2 % Refinance 1.0 1.3 1.2 2.8 100.0 % 100.0 % 100.0 % 100.0 % Exhibit F Essent Group Ltd. and Subsidiaries Supplemental Information Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio Portfolio by Credit Score IIF by FICO score September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) >=760 $ 97,027,348 40.7 % $ 95,925,520 40.8 % $ 92,309,692 41.5 % 740-759 41,362,480 17.3 40,733,799 17.3 37,821,201 17.0 720-739 37,297,809 15.6 36,791,104 15.6 33,910,646 15.2 700-719 31,674,346 13.3 30,970,132 13.1 28,263,518 12.7 680-699 19,850,176 8.3 19,667,866 8.3 18,351,570 8.2 <=679 11,449,453 4.8 11,561,463 4.9 11,885,942 5.4 Total $ 238,661,612 100.0 % $ 235,649,884 100.0 % $ 222,542,569 100.0 % Weighted average credit score 746 746 746 Gross RIF by FICO score September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) >=760 $ 25,594,262 40.1 % $ 25,138,762 40.3 % $ 23,743,335 41.1 % 740-759 11,165,727 17.6 10,922,780 17.5 9,920,331 17.2 720-739 10,090,889 15.9 9,896,425 15.9 8,934,327 15.5 700-719 8,568,811 13.5 8,319,353 13.3 7,412,542 12.8 680-699 5,327,434 8.4 5,248,349 8.4 4,801,986 8.3 <=679 2,857,934 4.5 2,877,731 4.6 2,930,570 5.1 Total $ 63,605,057 100.0 % $ 62,403,400 100.0 % $ 57,743,091 100.0 % Portfolio by LTV IIF by LTV September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) 85.00% and below $ 21,226,685 8.9 % $ 22,427,649 9.5 % $ 25,121,995 11.3 % 85.01% to 90.00% 63,374,562 26.6 63,562,258 27.0 62,963,331 28.3 90.01% to 95.00% 118,461,030 49.6 115,768,826 49.1 103,794,020 46.6 95.01% and above 35,599,335 14.9 33,891,151 14.4 30,663,223 13.8 Total $ 238,661,612 100.0 % $ 235,649,884 100.0 % $ 222,542,569 100.0 % Weighted average LTV 93 % 93 % 92 % Gross RIF by LTV September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) 85.00% and below $ 2,525,753 4.0 % $ 2,667,981 4.3 % $ 2,975,898 5.2 % 85.01% to 90.00% 15,566,095 24.5 15,583,198 25.0 15,317,449 26.5 90.01% to 95.00% 34,848,762 54.8 34,026,320 54.5 30,388,328 52.6 95.01% and above 10,664,447 16.7 10,125,901 16.2 9,061,416 15.7 Total $ 63,605,057 100.0 % $ 62,403,400 100.0 % $ 57,743,091 100.0 % Portfolio by Loan Amortization Period IIF by Loan Amortization Period September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) FRM 30 years and higher $ 232,186,999 97.3 % $ 228,745,641 97.1 % $ 214,688,363 96.5 % FRM 20-25 years 1,910,610 0.8 2,124,690 0.9 2,859,734 1.3 FRM 15 years 1,719,467 0.7 1,953,448 0.8 2,903,355 1.3 ARM 5 years and higher 2,844,536 1.2 2,826,105 1.2 2,091,117 0.9 Total $ 238,661,612 100.0 % $ 235,649,884 100.0 % $ 222,542,569 100.0 % Exhibit G Essent Group Ltd. and Subsidiaries Supplemental Information Other Risk in Force 2023 2022 ($ in thousands) September 30 June 30 March 31 December 31 September 30 GSE and other risk share (1): Risk in Force $ 2,247,393 $ 2,276,702 $ 2,098,033 $ 2,030,571 $ 2,026,895 Reserve for losses and LAE $ 54 $ 55 $ 65 $ 74 $ 102 Weighted average credit score 749 749 749 749 748 Weighted average LTV 82 % 83 % 83 % 83 % 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 H Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Vintage Data September 30, 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 $ 1,598,284 2.6 % 9,938 4.32 % 73.3 % 62.4 % 7.0 % 15.1 % 43.4 % 2.5 % 392 3.94 % 2015 26,193,656 1,521,374 5.8 9,232 4.21 84.2 74.8 4.6 17.7 39.6 2.5 327 3.54 2016 34,949,319 3,234,730 9.3 18,705 3.89 87.8 80.6 12.0 15.9 42.4 2.3 560 2.99 2017 43,858,322 5,031,656 11.5 29,934 4.27 91.3 71.7 20.7 20.4 37.8 3.5 1,176 3.93 2018 47,508,525 5,805,471 12.2 32,505 4.79 94.7 71.3 26.0 21.7 32.6 4.6 1,484 4.57 2019 63,569,183 12,907,957 20.3 61,266 4.22 88.1 68.1 24.5 18.8 35.5 4.4 1,813 2.96 2020 107,944,065 49,162,995 45.5 187,990 3.19 68.0 56.5 13.0 10.8 45.6 3.3 2,373 1.26 2021 84,218,250 64,048,451 76.1 208,074 3.08 86.3 62.6 15.3 13.9 40.5 7.1 3,038 1.46 2022 63,061,262 57,742,660 91.6 163,804 5.07 97.8 65.2 11.2 12.7 39.7 19.9 1,962 1.20 2023 (through September 30) 38,897,692 37,608,034 96.7 103,800 6.51 98.8 72.6 17.8 10.9 39.1 11.3 266 0.26 Total $ 570,869,125 $ 238,661,612 41.8 825,248 4.28 87.6 64.6 14.9 13.1 40.7 4.3 13,391 1.62 (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 I Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data September 30, 2023 ($ in thousands) Insurance Linked Notes (1) Earned Premiums Ceded Deal Name Vintage Remaining Insurance in Force Remaining Risk in Force Original Reinsurance in Force Remaining Reinsurance in Force Losses Ceded to Date Original First Layer Retention Remaining First Layer Retention Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Radnor Re 2018-1 Jan. 2017 - Dec. 2017 $ — $ — $ — $ — $ — $ — $ — $ — $ 1,781 $ — Radnor Re 2019-1 Jan. 2018 - Dec. 2018 5,730,888 1,496,891 473,184 21,467 — 253,643 246,939 (40 ) 13,407 — Radnor Re 2019-2 Jan. 2015 - Dec. 2016 — — — — — — — — 220 — Radnor Re 2020-1 Jan. 2019 - Aug. 2019 7,185,440 1,864,143 495,889 50,596 — 215,605 213,798 (82 ) 5,788 — Radnor Re 2021-1 Aug. 2020 - Mar. 2021 33,594,368 8,642,916 557,911 339,120 — 278,956 278,796 2,615 8,794 261,926 Radnor Re 2021-2 Apr. 2021 - Sep. 2021 37,420,329 10,079,502 439,407 361,449 — 279,415 279,231 3,887 12,161 285,689 Radnor Re 2022-1 Oct. 2021 - Jul. 2022 32,132,944 8,669,748 237,868 237,868 — 303,761 303,660 4,260 12,781 218,839 Radnor Re 2023-1 Aug. 2022 - Jun. 2023 31,014,596 8,478,658 281,462 281,462 — 281,463 281,463 3,118 3,118 266,826 Total $ 147,078,565 $ 39,231,858 $ 2,485,721 $ 1,291,962 $ — $ 1,612,843 $ 1,603,887 $ 13,758 $ 58,050 $ 1,033,280 Excess of Loss Reinsurance (2) Earned Premiums Ceded Deal Name Vintage Remaining Insurance in Force Remaining Risk in Force Original Reinsurance in Force Remaining Reinsurance in Force Losses Ceded to Date Original First Layer Retention Remaining First Layer Retention Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) XOL 2018-1 Jan. 2017 - Dec. 2017 $ 4,920,622 $ 1,297,126 $ 165,167 $ 57,250 $ — $ 678,283 $ 421,003 $ 291 $ 955 $ — XOL 2019-1 Jan. 2018 - Dec. 2018 5,730,888 1,496,891 118,650 76,144 — 253,643 246,939 (4) 627 1,861 — XOL 2020-1 Jan. 2019 - Dec. 2019 7,185,440 1,864,143 55,102 38,579 — 215,605 213,798 (4) 303 931 — XOL 2022-1 Oct. 2021 - Dec. 2022 71,671,369 19,351,146 141,992 141,992 — 507,114 506,301 1,611 4,779 137,913 Total $ 89,508,319 $ 24,009,306 $ 480,911 $ 313,965 $ — $ 1,654,645 $ 1,388,041 $ 2,832 $ 8,526 $ 137,913 Quota Share Reinsurance (2) 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 Quarter-to-Date Year-to-Date Quarter-to-Date Year-to-Date Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Sep. 2019 - Dec. 2020 (5 ) $ 54,596,089 $ 14,208,745 $ 12,218,215 $ 3,142,000 $ (464 ) $ (2,208 ) $ 2,631 $ 8,343 $ 4,403 $ 13,227 $ 187,406 Jan. 2022 - Dec. 2023 20 % 57,688,314 15,600,877 11,537,663 3,120,175 2,592 7,473 1,942 5,880 6,282 18,645 229,964 Jan. 2023 - Dec. 2023 17.5 % 37,561,195 10,380,842 6,573,209 1,816,647 791 1,123 1,061 1,837 3,019 4,981 129,422 Total $ 149,845,598 $ 40,190,464 $ 30,329,087 $ 8,078,822 $ 2,919 $ 6,388 $ 5,634 $ 16,060 $ 13,704 $ 36,853 $ 546,792 (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) First layer retentions shown are ILN retention levels as a result of overlapping coverage within the vintage. (5) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies. Exhibit J Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Geographic Data IIF by State September 30, 2023 June 30, 2023 September 30, 2022 CA 13.0 % 13.1 % 13.2 % FL 11.0 10.8 10.1 TX 10.5 10.5 10.3 CO 4.1 4.1 4.1 AZ 3.7 3.7 3.5 WA 3.4 3.4 3.4 GA 3.4 3.3 3.1 NC 2.8 2.8 2.7 IL 2.8 2.9 3.1 VA 2.8 2.9 3.1 All Others 42.5 42.5 43.4 Total 100.0 % 100.0 % 100.0 % Gross RIF by State September 30, 2023 June 30, 2023 September 30, 2022 CA 12.9 % 13.0 % 13.0 % FL 11.3 11.1 10.5 TX 10.8 10.8 10.6 CO 4.0 4.1 4.1 AZ 3.8 3.8 3.5 GA 3.5 3.4 3.2 WA 3.4 3.4 3.3 NC 2.9 2.8 2.7 IL 2.8 2.8 3.1 VA 2.8 2.8 3.0 All Others 41.8 42.0 43.0 Total 100.0 % 100.0 % 100.0 % Exhibit K 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 September 30 June 30 March 31 December 31 September 30 Beginning default inventory 12,480 12,773 13,433 12,435 12,707 Plus: new defaults (A) 7,953 6,575 7,015 7,505 6,448 Less: cures (6,902 ) (6,761 ) (7,574 ) (6,425 ) (6,642 ) Less: claims paid (129 ) (96 ) (94 ) (73 ) (68 ) Less: rescissions and denials, net (11 ) (11 ) (7 ) (9 ) (10 ) Ending default inventory 13,391 12,480 12,773 13,433 12,435 (A) New defaults remaining as of September 30, 2023 5,664 2,630 1,520 1,199 672 Cure rate (1) 29 % 60 % 78 % 84 % 90 % Total amount paid for claims (in thousands) $ 2,956 $ 1,890 $ 1,959 $ 1,441 $ 1,261 Average amount paid per claim (in thousands) $ 23 $ 20 $ 21 $ 20 $ 19 Severity 66 % 58 % 59 % 46 % 47 % Rollforward of Reserve for Losses and LAE Three Months Ended 2023 2022 ($ in thousands) September 30 June 30 March 31 December 31 September 30 Reserve for losses and LAE at beginning of period $ 216,888 $ 215,957 $ 216,390 $ 212,392 $ 209,829 Less: Reinsurance recoverables 17,958 16,357 14,618 13,244 13,657 Net reserve for losses and LAE at beginning of period 198,930 199,600 201,772 199,148 196,172 Add provision for losses and LAE occurring in: Current period 35,609 31,377 32,693 36,141 20,144 Prior years (25,533 ) (30,107 ) (32,864 ) (32,012 ) (15,850 ) Incurred losses and LAE during the period 10,076 1,270 (171 ) 4,129 4,294 Deduct payments for losses and LAE occurring in: Current period 156 31 — 113 30 Prior years 2,889 1,909 2,001 1,392 1,288 Loss and LAE payments during the period 3,045 1,940 2,001 1,505 1,318 Net reserve for losses and LAE at end of period 205,961 198,930 199,600 201,772 199,148 Plus: Reinsurance recoverables 20,656 17,958 16,357 14,618 13,244 Reserve for losses and LAE at end of period $ 226,617 $ 216,888 $ 215,957 $ 216,390 $ 212,392 (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 L Essent Group Ltd. and Subsidiaries Supplemental Information Detail of Reserves by Default Delinquency U.S. Mortgage Insurance Portfolio September 30, 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 6,383 48 % $ 38,412 18 % $ 448,039 9 % Four to eleven payments 4,877 36 87,025 42 369,711 24 Twelve or more payments 1,989 15 77,369 37 126,317 61 Pending claims 142 1 6,076 3 6,924 88 Total case reserves 13,391 100 % 208,882 100 % $ 950,991 22 % IBNR 15,666 LAE 2,069 Total reserves for losses and LAE $ 226,617 Average reserve per default: Case $ 15.6 Total $ 16.9 Default Rate 1.62 % 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 % September 30, 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 4,971 40 % $ 22,279 12 % $ 313,531 7 % Four to eleven payments 4,443 36 55,431 28 292,644 19 Twelve or more payments 2,923 23 114,250 58 174,589 65 Pending claims 98 1 3,879 2 4,611 84 Total case reserves 12,435 100 % 195,839 100 % $ 785,375 25 % IBNR 14,688 LAE 1,865 Total reserves for losses and LAE $ 212,392 Average reserve per default: Case $ 15.7 Total $ 17.1 Default Rate 1.55 % Exhibit M Essent Group Ltd. and Subsidiaries Supplemental Information Investments Available for Sale Investments Available for Sale by Asset Class Asset Class September 30, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent U.S. Treasury securities $ 879,185 17.6 % $ 556,438 11.7 % U.S. agency securities 7,180 0.1 49,058 1.0 U.S. agency mortgage-backed securities 750,938 15.0 783,743 16.5 Municipal debt securities 562,510 11.3 602,690 12.8 Non-U.S. government securities 48,571 1.0 62,399 1.3 Corporate debt securities 1,280,433 25.6 1,414,321 29.8 Residential and commercial mortgage securities 493,693 9.9 511,824 10.8 Asset-backed securities 614,818 12.3 624,561 13.2 Money market funds 360,360 7.2 136,591 2.9 Total investments available for sale $ 4,997,688 100.0 % $ 4,741,625 100.0 % Investments Available for Sale by Credit Rating Rating (1) September 30, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent Aaa $ 2,393,047 51.6 % $ 2,122,599 46.2 % Aa1 108,593 2.3 111,262 2.4 Aa2 300,510 6.5 325,241 7.1 Aa3 210,967 4.5 232,500 5.0 A1 381,479 8.2 396,095 8.6 A2 314,587 6.8 410,163 8.9 A3 235,490 5.1 268,928 5.8 Baa1 227,543 4.9 236,793 5.1 Baa2 231,612 5.0 221,308 4.8 Baa3 151,078 3.3 187,117 4.1 Below Baa3 82,422 1.8 93,028 2.0 Total (2) $ 4,637,328 100.0 % $ 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 $360,360 and $136,591 of money market funds at September 30, 2023 and December 31, 2022, respectively. Investments Available for Sale by Duration and Book Yield Effective Duration September 30, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent < 1 Year $ 1,713,199 34.3 % $ 1,245,839 26.3 % 1 to < 2 Years 484,032 9.7 534,038 11.3 2 to < 3 Years 456,987 9.1 511,701 10.8 3 to < 4 Years 418,831 8.4 525,683 11.1 4 to < 5 Years 389,441 7.8 400,540 8.4 5 or more Years 1,535,198 30.7 1,523,824 32.1 Total investments available for sale $ 4,997,688 100.0 % $ 4,741,625 100.0 % Pre-tax investment income yield: Three months ended 3.55 % 3.03 % Nine months ended September 30, 2023 3.47 % Holding company net cash and investments available for sale: ($ in thousands) As of September 30, 2023 $ 648,658 As of December 31, 2022 $ 685,178 Exhibit N Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Company Capital 2023 2022 September 30 June 30 March 31 December 31 September 30 ($ in thousands) U.S. Mortgage Insurance Subsidiaries: Combined statutory capital (1) $ 3,309,522 $ 3,243,086 $ 3,207,102 $ 3,178,151 $ 3,128,681 Combined net risk in force (2) $ 34,203,678 $ 34,019,643 $ 33,038,825 $ 32,265,701 $ 31,736,095 Risk-to-capital ratios: (3) Essent Guaranty, Inc. 10.7:1 10.8:1 10.6:1 10.5:1 10.5:1 Essent Guaranty of PA, Inc. 0.5:1 0.5:1 0.5:1 0.6:1 0.6:1 Combined (4) 10.3:1 10.5:1 10.3:1 10.2:1 10.1:1 Essent Guaranty, Inc. PMIERs Data (5): Available Assets $ 3,318,179 $ 3,245,481 $ 3,226,436 $ 3,191,047 $ 3,147,545 Minimum Required Assets 1,910,659 1,991,741 1,917,769 1,832,363 1,759,182 PMIERs excess Available Assets $ 1,407,520 $ 1,253,740 $ 1,308,667 $ 1,358,684 $ 1,388,363 PMIERs sufficiency ratio (6) 174 % 163 % 168 % 174 % 179 % Essent Reinsurance Ltd.: Stockholder's equity (GAAP basis) $ 1,684,122 $ 1,633,763 $ 1,573,013 $ 1,478,772 $ 1,397,287 Net risk in force (2) $ 21,739,419 $ 21,327,762 $ 20,305,111 $ 19,454,046 $ 18,694,500 (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. Exhibit O Essent Group Ltd. and Subsidiaries Supplemental Information Loss, Expense and Combined Ratios and Reconciliation of Non-GAAP Financial Measures 2023 2022 September 30 June 30 March 31 December 31 September 30 Loss Ratio (1) 4.4 % 0.6 % (0.1 )% 2.0 % 2.0 % Expense Ratio (2) 27.3 % 19.8 % 22.8 % 22.6 % 20.3 % Combined Ratio 31.7 % 20.4 % 22.7 % 24.6 % 22.3 % We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the three and nine months ended September 30, 2023 lack comparability with prior periods. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to Consolidated Ratios Excluding Title, as shown below. Consolidated Ratios Excluding Title are financial measures that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and are referred to as non-GAAP measures. Consolidated Ratios Excluding Title are measures used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP. The following table sets forth the reconciliation of the loss, expense and combined Consolidated Ratios Excluding Title to the most comparable GAAP amount for the three and nine months ended September 30, 2023, in accordance with Regulation G: Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023 Consolidated Acquired Title Consolidated Excluding Title Consolidated Acquired Title Consolidated Excluding Title ($ in thousands) Revenues: Net premiums earned $ 246,805 $ 20,604 $ 226,201 $ 671,292 $ 20,604 $ 650,688 Net investment income 47,072 405 46,667 135,558 405 135,153 Realized investment losses, net (235 ) — (235 ) (2,312 ) — (2,312 ) (Loss) income from other invested assets (3,143 ) — (3,143 ) (10,697 ) — (10,697 ) Settlement services (3) 2,037 2,037 — 2,037 2,037 — Other income 3,572 404 3,168 16,604 404 16,200 Total revenues 296,108 23,450 272,658 812,482 23,450 789,032 Losses and expenses: Provision (benefit) for losses and LAE 10,822 768 10,054 11,902 768 11,134 Other underwriting and operating expenses 54,814 13,466 41,348 145,183 13,466 131,717 Premiums retained by agents 13,175 13,175 — 13,175 13,175 — Interest expense 7,854 — 7,854 22,184 — 22,184 Total losses and expenses 86,665 27,409 59,256 192,444 27,409 165,035 Loss ratio (1) 4.4 % 3.4 % 4.4 % 1.8 % 3.4 % 1.7 % Expense ratio (2) 27.3 % 117.7 % 18.3 % 23.5 % 117.7 % 20.2 % Combined ratio 31.7 % 121.1 % 22.7 % 25.3 % 121.1 % 21.9 % (1) Loss ratio is calculated by dividing the provision for losses and LAE by the sum of net premiums earned and settlement services revenue, if applicable. (2) Expense ratio is calculated by dividing the sum of other underwriting and operating expenses and premiums retained by agents by the sum of net premiums earned and settlement services revenue, if applicable. (3) Settlement services revenue is included in "Other income" within Exhibit A and Exhibit C. View source version on businesswire.com: https://www.businesswire.com/news/home/20231102380127/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
Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended September 30, 2023 of $178.0 million or $1.66 per diluted share, compared to $178.1 million or $1.66 per diluted share for the quarter ended September 30, 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 December 11, 2023, to shareholders of record on December 1, 2023. “We are pleased with our third quarter 2023 financial results, as we continue to generate high quality earnings and robust returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “The credit quality of our portfolio remains strong. Higher interest rates have translated to higher portfolio persistency and increased investment income, supporting our revenues and growth in book value per share.” Financial Highlights: New insurance written for the third quarter of 2023 was $12.5 billion, compared to $13.5 billion in the second quarter of 2023 and $17.1 billion in the third quarter of 2022. Insurance in force as of September 30, 2023 was $238.7 billion, compared to $235.6 billion as of June 30, 2023 and $222.5 billion as of September 30, 2022. Net investment income for the third quarter of 2023 was $47.1 million, up 44% from the third quarter of 2022. For the nine months ended September 30, 2023, net investment income was $135.6 million, up 57% from the comparable period in 2022. On July 1, 2023, Essent Group Ltd. completed its previously announced acquisition of Agents National Title Holding Company and Boston National Holdings LLC for $92.6 million. On August 8, 2023, Essent closed its 9th insurance-linked note transaction, Radnor Re 2023-1, which provides $281.5 million of collateralized reinsurance coverage for NIW from August 2022 through June 2023. In October 2023, the Board approved a share repurchase plan that authorizes the Company to repurchase $250 million of common shares in the open market between January 1, 2024 and December 31, 2025. 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 serves the housing finance industry by offering private mortgage insurance, reinsurance, risk management products and title insurance and settlement services to mortgage lenders, borrowers, and investors to support homeownership. Additional information regarding Essent may be found at www.essentgroup.com. Source: Essent Group Ltd. Essent Group Ltd. and Subsidiaries Financial Results and Supplemental Information (Unaudited) Quarter Ended September 30, 2023 Exhibit A Condensed Consolidated Statements of Comprehensive Income (Unaudited) Exhibit B Condensed Consolidated Balance Sheets (Unaudited) Exhibit C Consolidated Historical Quarterly Data Exhibit D U.S Mortgage Insurance Portfolio Historical Quarterly Data Exhibit E New Insurance Written - U.S. Mortgage Insurance Portfolio Exhibit F Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio Exhibit G Other Risk in Force Exhibit H U.S. Mortgage Insurance Portfolio Vintage Data Exhibit I U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data Exhibit J U.S. Mortgage Insurance Portfolio Geographic Data Exhibit K Rollforward of Defaults and Reserve for Losses and LAE Exhibit L Detail of Reserves by Default Delinquency Exhibit M Investments Available for Sale Exhibit N U.S. Mortgage Insurance Company Capital Exhibit O Loss, Expense and Combined Ratios and Reconciliation of Non-GAAP Financial Measures Exhibit A Essent Group Ltd. and Subsidiaries Condensed Consolidated Statements of Comprehensive Income (Unaudited) Three Months Ended September 30, Nine Months Ended September 30, (In thousands, except per share amounts) 2023 2022 2023 2022 Revenues: Direct premiums written $ 270,868 $ 239,773 $ 759,526 $ 692,687 Ceded premiums (30,294 ) (30,543 ) (103,431 ) (73,384 ) Net premiums written 240,574 209,230 656,095 619,303 Decrease in unearned premiums 6,231 (1,296 ) 15,197 15,972 Net premiums earned 246,805 207,934 671,292 635,275 Net investment income 47,072 32,594 135,558 86,613 Realized investment losses, net (235 ) 175 (2,312 ) (7,648 ) (Loss) income from other invested assets (3,143 ) 9,617 (10,697 ) 36,275 Other income 5,609 11,447 18,641 20,272 Total revenues 296,108 261,767 812,482 770,787 Losses and expenses: Provision (benefit) for losses and LAE 10,822 4,252 11,902 (178,805 ) Other underwriting and operating expenses 54,814 42,144 145,183 124,838 Premiums retained by agents 13,175 — 13,175 — Interest expense 7,854 4,450 22,184 9,563 Total losses and expenses 86,665 50,846 192,444 (44,404 ) Income before income taxes 209,443 210,921 620,038 815,191 Income tax expense 31,484 32,870 99,019 131,204 Net income $ 177,959 $ 178,051 $ 521,019 $ 683,987 Earnings per share: Basic $ 1.68 $ 1.67 $ 4.90 $ 6.37 Diluted 1.66 1.66 4.86 6.35 Weighted average shares outstanding: Basic 105,979 106,870 106,387 107,314 Diluted 107,025 107,337 107,232 107,732 Net income $ 177,959 $ 178,051 $ 521,019 $ 683,987 Other comprehensive income (loss): Change in unrealized depreciation of investments (76,248 ) (137,010 ) (53,593 ) (474,284 ) Total other comprehensive loss (76,248 ) (137,010 ) (53,593 ) (474,284 ) Comprehensive income $ 101,711 $ 41,041 $ 467,426 $ 209,703 Exhibit B Essent Group Ltd. and Subsidiaries Condensed Consolidated Balance Sheets (Unaudited) September 30, December 31, (In thousands, except per share amounts) 2023 2022 Assets Investments Fixed maturities available for sale, at fair value $ 4,241,757 $ 4,489,598 Short-term investments available for sale, at fair value 755,931 252,027 Total investments available for sale 4,997,688 4,741,625 Other invested assets 272,619 257,941 Total investments 5,270,307 4,999,566 Cash 96,779 81,240 Accrued investment income 36,651 33,162 Accounts receivable 68,332 57,399 Deferred policy acquisition costs 9,375 9,910 Property and equipment 40,710 19,571 Prepaid federal income tax 461,386 418,460 Goodwill and intangible assets, net 64,271 — Other assets 46,389 104,489 Total assets $ 6,094,200 $ 5,723,797 Liabilities and Stockholders' Equity Liabilities Reserve for losses and LAE $ 241,333 $ 216,464 Unearned premium reserve 147,712 162,887 Net deferred tax liability 329,721 356,810 Credit facility borrowings, net of deferred costs 421,656 420,864 Other accrued liabilities 145,771 104,463 Total liabilities 1,286,193 1,261,488 Commitments and contingencies Stockholders' Equity Common shares, $0.015 par value: Authorized - 233,333; issued and outstanding - 106,887 shares in 2023 and 107,683 shares in 2022 1,603 1,615 Additional paid-in capital 1,309,717 1,350,377 Accumulated other comprehensive loss (436,383 ) (382,790 ) Retained earnings 3,933,070 3,493,107 Total stockholders' equity 4,808,007 4,462,309 Total liabilities and stockholders' equity $ 6,094,200 $ 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 Consolidated Historical Quarterly Data 2023 2022 Selected Income Statement Data September 30 June 30 March 31 December 31 September 30 (In thousands, except per share amounts) Revenues: Net premiums earned: U.S. Mortgage Insurance Portfolio $ 209,351 $ 195,502 $ 196,565 $ 192,670 $ 194,272 GSE and other risk share 16,850 17,727 14,693 14,582 13,662 Title insurance 20,604 — — — — Net premiums earned 246,805 213,229 211,258 207,252 207,934 Net investment income 47,072 45,250 43,236 37,796 32,594 Realized investment (losses) gains, net (235 ) (1,589 ) (488 ) (5,524 ) 175 (Loss) income from other invested assets (3,143 ) (4,852 ) (2,702 ) (7,599 ) 9,617 Other income (loss) (1) 5,609 8,090 4,942 (1,888 ) 11,447 Total revenues 296,108 260,128 256,246 230,037 261,767 Losses and expenses: Provision (benefit) for losses and LAE 10,822 1,260 (180 ) 4,101 4,252 Other underwriting and operating expenses 54,814 42,174 48,195 46,895 42,144 Premiums retained by agents 13,175 — — — — Interest expense 7,854 7,394 6,936 6,045 4,450 Total losses and expenses 86,665 50,828 54,951 57,041 50,846 Income before income taxes 209,443 209,300 201,295 172,996 210,921 Income tax expense (2) 31,484 37,067 30,468 25,630 32,870 Net income $ 177,959 $ 172,233 $ 170,827 $ 147,366 $ 178,051 Earnings per share: Basic $ 1.68 $ 1.62 $ 1.60 $ 1.38 $ 1.67 Diluted 1.66 1.61 1.59 1.37 1.66 Weighted average shares outstanding: Basic 105,979 106,249 106,943 106,881 106,870 Diluted 107,025 107,093 107,585 107,419 107,337 Book value per share $ 44.98 $ 44.24 $ 43.18 $ 41.44 $ 39.87 Return on average equity (annualized) 14.9 % 14.7 % 15.0 % 13.5 % 16.6 % 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) 7.07 % 6.87 % 6.52 % 6.02 % 4.39 % Debt-to-capital 8.12 % 8.24 % 8.38 % 8.70 % 9.01 % (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 September 30, 2023, June 30, 2023, March 31, 2023, December 31, 2022, and September 30, 2022 was ($898), $2,726, ($368), ($6,515), and $5,177, respectively. (2) Income tax expense for the quarters ended September 30, 2023, June 30, 2023, March 31, 2023, December 31, 2022 and September 30, 2022 includes ($763), $(888), ($368), ($4,122), and $2,925 respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns. Exhibit D Essent Group Ltd. and Subsidiaries Supplemental Information U.S Mortgage Insurance Portfolio Historical Quarterly Data 2023 2022 Other Data: September 30 June 30 March 31 December 31 September 30 ($ in thousands) U.S. Mortgage Insurance Portfolio Flow: New insurance written $ 12,505,823 $ 13,498,080 $ 12,893,789 $ 13,011,432 $ 17,112,017 New risk written 3,458,467 3,726,513 3,548,015 3,522,726 4,570,699 Bulk: New insurance written $ — $ — $ — $ — $ — New risk written — — — — — Total: New insurance written $ 12,505,823 $ 13,498,080 $ 12,893,789 $ 13,011,432 $ 17,112,017 New risk written $ 3,458,467 $ 3,726,513 $ 3,548,015 $ 3,522,726 $ 4,570,669 Average insurance in force $ 237,270,093 $ 233,484,941 $ 228,885,174 $ 224,840,675 $ 219,280,350 Insurance in force (end of period) $ 238,661,612 $ 235,649,884 $ 231,537,417 $ 227,062,055 $ 222,542,569 Gross risk in force (end of period) (1) $ 63,605,057 $ 62,403,400 $ 60,879,979 $ 59,276,489 $ 57,743,091 Risk in force (end of period) $ 53,920,308 $ 53,290,643 $ 51,469,312 $ 49,903,626 $ 48,690,571 Policies in force 825,248 821,690 815,751 808,596 800,745 Weighted average coverage (2) 26.7 % 26.5 % 26.3 % 26.1 % 25.9 % Annual persistency 86.6 % 85.8 % 84.4 % 82.1 % 77.9 % Loans in default (count) 13,391 12,480 12,773 13,433 12,435 Percentage of loans in default 1.62 % 1.52 % 1.57 % 1.66 % 1.55 % U.S. Mortgage Insurance Portfolio premium rate: Base average premium rate (3) 0.40 % 0.40 % 0.40 % 0.40 % 0.40 % Single premium cancellations (4) — % — % — % — % 0.01 % Gross average premium rate 0.40 % 0.40 % 0.40 % 0.40 % 0.41 % Ceded premiums (0.05 %) (0.07 %) (0.06 %) (0.06 %) (0.06 %) Net average premium rate 0.35 % 0.33 % 0.34 % 0.34 % 0.35 % (1) Gross risk in force includes risk ceded under third-party reinsurance. (2) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force. (3) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period. (4) 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 E Essent Group Ltd. and Subsidiaries Supplemental Information - U.S. Mortgage Insurance Portfolio New Insurance Written: Flow NIW by Credit Score Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 ($ in thousands) >=760 $ 5,212,343 41.8 % $ 6,976,123 40.8 % $ 15,473,191 39.8 % $ 20,942,108 41.8 % 740-759 2,205,066 17.6 2,965,115 17.3 7,031,821 18.1 8,499,739 17.0 720-739 1,911,320 15.3 2,788,573 16.3 6,310,564 16.2 7,885,166 15.8 700-719 1,867,510 14.9 2,277,251 13.3 5,892,704 15.1 6,452,721 12.9 680-699 891,471 7.1 1,476,982 8.6 3,024,347 7.8 4,409,944 8.8 <=679 418,113 3.3 627,973 3.7 1,165,065 3.0 1,859,956 3.7 Total $ 12,505,823 100.0 % $ 17,112,017 100.0 % $ 38,897,692 100.0 % $ 50,049,634 100.0 % Weighted average credit score 747 746 746 747 NIW by LTV Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 ($ in thousands) 85.00% and below $ 849,250 6.7 % $ 1,618,912 9.5 % $ 2,801,011 7.2 % $ 4,556,205 9.1 % 85.01% to 90.00% 2,445,924 19.6 4,753,686 27.8 7,951,062 20.4 13,657,345 27.3 90.01% to 95.00% 6,614,050 52.9 9,171,095 53.5 21,383,696 55.0 26,461,665 52.9 95.01% and above 2,596,599 20.8 1,568,324 9.2 6,761,923 17.4 5,374,419 10.7 Total $ 12,505,823 100.0 % $ 17,112,017 100.0 % $ 38,897,692 100.0 % $ 50,049,634 100.0 % Weighted average LTV 93 % 93 % 93 % 93 % NIW by Product Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 Single Premium policies 2.8 % 8.2 % 3.8 % 5.9 % Monthly Premium policies 97.2 91.8 96.2 94.1 100.0 % 100.0 % 100.0 % 100.0 % NIW by Purchase vs. Refinance Three Months Ended Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 Purchase 99.0 % 98.7 % 98.8 % 97.2 % Refinance 1.0 1.3 1.2 2.8 100.0 % 100.0 % 100.0 % 100.0 % Exhibit F Essent Group Ltd. and Subsidiaries Supplemental Information Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio Portfolio by Credit Score IIF by FICO score September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) >=760 $ 97,027,348 40.7 % $ 95,925,520 40.8 % $ 92,309,692 41.5 % 740-759 41,362,480 17.3 40,733,799 17.3 37,821,201 17.0 720-739 37,297,809 15.6 36,791,104 15.6 33,910,646 15.2 700-719 31,674,346 13.3 30,970,132 13.1 28,263,518 12.7 680-699 19,850,176 8.3 19,667,866 8.3 18,351,570 8.2 <=679 11,449,453 4.8 11,561,463 4.9 11,885,942 5.4 Total $ 238,661,612 100.0 % $ 235,649,884 100.0 % $ 222,542,569 100.0 % Weighted average credit score 746 746 746 Gross RIF by FICO score September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) >=760 $ 25,594,262 40.1 % $ 25,138,762 40.3 % $ 23,743,335 41.1 % 740-759 11,165,727 17.6 10,922,780 17.5 9,920,331 17.2 720-739 10,090,889 15.9 9,896,425 15.9 8,934,327 15.5 700-719 8,568,811 13.5 8,319,353 13.3 7,412,542 12.8 680-699 5,327,434 8.4 5,248,349 8.4 4,801,986 8.3 <=679 2,857,934 4.5 2,877,731 4.6 2,930,570 5.1 Total $ 63,605,057 100.0 % $ 62,403,400 100.0 % $ 57,743,091 100.0 % Portfolio by LTV IIF by LTV September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) 85.00% and below $ 21,226,685 8.9 % $ 22,427,649 9.5 % $ 25,121,995 11.3 % 85.01% to 90.00% 63,374,562 26.6 63,562,258 27.0 62,963,331 28.3 90.01% to 95.00% 118,461,030 49.6 115,768,826 49.1 103,794,020 46.6 95.01% and above 35,599,335 14.9 33,891,151 14.4 30,663,223 13.8 Total $ 238,661,612 100.0 % $ 235,649,884 100.0 % $ 222,542,569 100.0 % Weighted average LTV 93 % 93 % 92 % Gross RIF by LTV September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) 85.00% and below $ 2,525,753 4.0 % $ 2,667,981 4.3 % $ 2,975,898 5.2 % 85.01% to 90.00% 15,566,095 24.5 15,583,198 25.0 15,317,449 26.5 90.01% to 95.00% 34,848,762 54.8 34,026,320 54.5 30,388,328 52.6 95.01% and above 10,664,447 16.7 10,125,901 16.2 9,061,416 15.7 Total $ 63,605,057 100.0 % $ 62,403,400 100.0 % $ 57,743,091 100.0 % Portfolio by Loan Amortization Period IIF by Loan Amortization Period September 30, 2023 June 30, 2023 September 30, 2022 ($ in thousands) FRM 30 years and higher $ 232,186,999 97.3 % $ 228,745,641 97.1 % $ 214,688,363 96.5 % FRM 20-25 years 1,910,610 0.8 2,124,690 0.9 2,859,734 1.3 FRM 15 years 1,719,467 0.7 1,953,448 0.8 2,903,355 1.3 ARM 5 years and higher 2,844,536 1.2 2,826,105 1.2 2,091,117 0.9 Total $ 238,661,612 100.0 % $ 235,649,884 100.0 % $ 222,542,569 100.0 % Exhibit G Essent Group Ltd. and Subsidiaries Supplemental Information Other Risk in Force 2023 2022 ($ in thousands) September 30 June 30 March 31 December 31 September 30 GSE and other risk share (1): Risk in Force $ 2,247,393 $ 2,276,702 $ 2,098,033 $ 2,030,571 $ 2,026,895 Reserve for losses and LAE $ 54 $ 55 $ 65 $ 74 $ 102 Weighted average credit score 749 749 749 749 748 Weighted average LTV 82 % 83 % 83 % 83 % 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 H Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Vintage Data September 30, 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 $ 1,598,284 2.6 % 9,938 4.32 % 73.3 % 62.4 % 7.0 % 15.1 % 43.4 % 2.5 % 392 3.94 % 2015 26,193,656 1,521,374 5.8 9,232 4.21 84.2 74.8 4.6 17.7 39.6 2.5 327 3.54 2016 34,949,319 3,234,730 9.3 18,705 3.89 87.8 80.6 12.0 15.9 42.4 2.3 560 2.99 2017 43,858,322 5,031,656 11.5 29,934 4.27 91.3 71.7 20.7 20.4 37.8 3.5 1,176 3.93 2018 47,508,525 5,805,471 12.2 32,505 4.79 94.7 71.3 26.0 21.7 32.6 4.6 1,484 4.57 2019 63,569,183 12,907,957 20.3 61,266 4.22 88.1 68.1 24.5 18.8 35.5 4.4 1,813 2.96 2020 107,944,065 49,162,995 45.5 187,990 3.19 68.0 56.5 13.0 10.8 45.6 3.3 2,373 1.26 2021 84,218,250 64,048,451 76.1 208,074 3.08 86.3 62.6 15.3 13.9 40.5 7.1 3,038 1.46 2022 63,061,262 57,742,660 91.6 163,804 5.07 97.8 65.2 11.2 12.7 39.7 19.9 1,962 1.20 2023 (through September 30) 38,897,692 37,608,034 96.7 103,800 6.51 98.8 72.6 17.8 10.9 39.1 11.3 266 0.26 Total $ 570,869,125 $ 238,661,612 41.8 825,248 4.28 87.6 64.6 14.9 13.1 40.7 4.3 13,391 1.62 (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 I Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data September 30, 2023 ($ in thousands) Insurance Linked Notes (1) Earned Premiums Ceded Deal Name Vintage Remaining Insurance in Force Remaining Risk in Force Original Reinsurance in Force Remaining Reinsurance in Force Losses Ceded to Date Original First Layer Retention Remaining First Layer Retention Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Radnor Re 2018-1 Jan. 2017 - Dec. 2017 $ — $ — $ — $ — $ — $ — $ — $ — $ 1,781 $ — Radnor Re 2019-1 Jan. 2018 - Dec. 2018 5,730,888 1,496,891 473,184 21,467 — 253,643 246,939 (40 ) 13,407 — Radnor Re 2019-2 Jan. 2015 - Dec. 2016 — — — — — — — — 220 — Radnor Re 2020-1 Jan. 2019 - Aug. 2019 7,185,440 1,864,143 495,889 50,596 — 215,605 213,798 (82 ) 5,788 — Radnor Re 2021-1 Aug. 2020 - Mar. 2021 33,594,368 8,642,916 557,911 339,120 — 278,956 278,796 2,615 8,794 261,926 Radnor Re 2021-2 Apr. 2021 - Sep. 2021 37,420,329 10,079,502 439,407 361,449 — 279,415 279,231 3,887 12,161 285,689 Radnor Re 2022-1 Oct. 2021 - Jul. 2022 32,132,944 8,669,748 237,868 237,868 — 303,761 303,660 4,260 12,781 218,839 Radnor Re 2023-1 Aug. 2022 - Jun. 2023 31,014,596 8,478,658 281,462 281,462 — 281,463 281,463 3,118 3,118 266,826 Total $ 147,078,565 $ 39,231,858 $ 2,485,721 $ 1,291,962 $ — $ 1,612,843 $ 1,603,887 $ 13,758 $ 58,050 $ 1,033,280 Excess of Loss Reinsurance (2) Earned Premiums Ceded Deal Name Vintage Remaining Insurance in Force Remaining Risk in Force Original Reinsurance in Force Remaining Reinsurance in Force Losses Ceded to Date Original First Layer Retention Remaining First Layer Retention Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) XOL 2018-1 Jan. 2017 - Dec. 2017 $ 4,920,622 $ 1,297,126 $ 165,167 $ 57,250 $ — $ 678,283 $ 421,003 $ 291 $ 955 $ — XOL 2019-1 Jan. 2018 - Dec. 2018 5,730,888 1,496,891 118,650 76,144 — 253,643 246,939 (4) 627 1,861 — XOL 2020-1 Jan. 2019 - Dec. 2019 7,185,440 1,864,143 55,102 38,579 — 215,605 213,798 (4) 303 931 — XOL 2022-1 Oct. 2021 - Dec. 2022 71,671,369 19,351,146 141,992 141,992 — 507,114 506,301 1,611 4,779 137,913 Total $ 89,508,319 $ 24,009,306 $ 480,911 $ 313,965 $ — $ 1,654,645 $ 1,388,041 $ 2,832 $ 8,526 $ 137,913 Quota Share Reinsurance (2) 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 Quarter-to-Date Year-to-Date Quarter-to-Date Year-to-Date Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Sep. 2019 - Dec. 2020 (5 ) $ 54,596,089 $ 14,208,745 $ 12,218,215 $ 3,142,000 $ (464 ) $ (2,208 ) $ 2,631 $ 8,343 $ 4,403 $ 13,227 $ 187,406 Jan. 2022 - Dec. 2023 20 % 57,688,314 15,600,877 11,537,663 3,120,175 2,592 7,473 1,942 5,880 6,282 18,645 229,964 Jan. 2023 - Dec. 2023 17.5 % 37,561,195 10,380,842 6,573,209 1,816,647 791 1,123 1,061 1,837 3,019 4,981 129,422 Total $ 149,845,598 $ 40,190,464 $ 30,329,087 $ 8,078,822 $ 2,919 $ 6,388 $ 5,634 $ 16,060 $ 13,704 $ 36,853 $ 546,792 (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) First layer retentions shown are ILN retention levels as a result of overlapping coverage within the vintage. (5) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies. Exhibit J Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Geographic Data IIF by State September 30, 2023 June 30, 2023 September 30, 2022 CA 13.0 % 13.1 % 13.2 % FL 11.0 10.8 10.1 TX 10.5 10.5 10.3 CO 4.1 4.1 4.1 AZ 3.7 3.7 3.5 WA 3.4 3.4 3.4 GA 3.4 3.3 3.1 NC 2.8 2.8 2.7 IL 2.8 2.9 3.1 VA 2.8 2.9 3.1 All Others 42.5 42.5 43.4 Total 100.0 % 100.0 % 100.0 % Gross RIF by State September 30, 2023 June 30, 2023 September 30, 2022 CA 12.9 % 13.0 % 13.0 % FL 11.3 11.1 10.5 TX 10.8 10.8 10.6 CO 4.0 4.1 4.1 AZ 3.8 3.8 3.5 GA 3.5 3.4 3.2 WA 3.4 3.4 3.3 NC 2.9 2.8 2.7 IL 2.8 2.8 3.1 VA 2.8 2.8 3.0 All Others 41.8 42.0 43.0 Total 100.0 % 100.0 % 100.0 % Exhibit K 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 September 30 June 30 March 31 December 31 September 30 Beginning default inventory 12,480 12,773 13,433 12,435 12,707 Plus: new defaults (A) 7,953 6,575 7,015 7,505 6,448 Less: cures (6,902 ) (6,761 ) (7,574 ) (6,425 ) (6,642 ) Less: claims paid (129 ) (96 ) (94 ) (73 ) (68 ) Less: rescissions and denials, net (11 ) (11 ) (7 ) (9 ) (10 ) Ending default inventory 13,391 12,480 12,773 13,433 12,435 (A) New defaults remaining as of September 30, 2023 5,664 2,630 1,520 1,199 672 Cure rate (1) 29 % 60 % 78 % 84 % 90 % Total amount paid for claims (in thousands) $ 2,956 $ 1,890 $ 1,959 $ 1,441 $ 1,261 Average amount paid per claim (in thousands) $ 23 $ 20 $ 21 $ 20 $ 19 Severity 66 % 58 % 59 % 46 % 47 % Rollforward of Reserve for Losses and LAE Three Months Ended 2023 2022 ($ in thousands) September 30 June 30 March 31 December 31 September 30 Reserve for losses and LAE at beginning of period $ 216,888 $ 215,957 $ 216,390 $ 212,392 $ 209,829 Less: Reinsurance recoverables 17,958 16,357 14,618 13,244 13,657 Net reserve for losses and LAE at beginning of period 198,930 199,600 201,772 199,148 196,172 Add provision for losses and LAE occurring in: Current period 35,609 31,377 32,693 36,141 20,144 Prior years (25,533 ) (30,107 ) (32,864 ) (32,012 ) (15,850 ) Incurred losses and LAE during the period 10,076 1,270 (171 ) 4,129 4,294 Deduct payments for losses and LAE occurring in: Current period 156 31 — 113 30 Prior years 2,889 1,909 2,001 1,392 1,288 Loss and LAE payments during the period 3,045 1,940 2,001 1,505 1,318 Net reserve for losses and LAE at end of period 205,961 198,930 199,600 201,772 199,148 Plus: Reinsurance recoverables 20,656 17,958 16,357 14,618 13,244 Reserve for losses and LAE at end of period $ 226,617 $ 216,888 $ 215,957 $ 216,390 $ 212,392 (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 L Essent Group Ltd. and Subsidiaries Supplemental Information Detail of Reserves by Default Delinquency U.S. Mortgage Insurance Portfolio September 30, 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 6,383 48 % $ 38,412 18 % $ 448,039 9 % Four to eleven payments 4,877 36 87,025 42 369,711 24 Twelve or more payments 1,989 15 77,369 37 126,317 61 Pending claims 142 1 6,076 3 6,924 88 Total case reserves 13,391 100 % 208,882 100 % $ 950,991 22 % IBNR 15,666 LAE 2,069 Total reserves for losses and LAE $ 226,617 Average reserve per default: Case $ 15.6 Total $ 16.9 Default Rate 1.62 % 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 % September 30, 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 4,971 40 % $ 22,279 12 % $ 313,531 7 % Four to eleven payments 4,443 36 55,431 28 292,644 19 Twelve or more payments 2,923 23 114,250 58 174,589 65 Pending claims 98 1 3,879 2 4,611 84 Total case reserves 12,435 100 % 195,839 100 % $ 785,375 25 % IBNR 14,688 LAE 1,865 Total reserves for losses and LAE $ 212,392 Average reserve per default: Case $ 15.7 Total $ 17.1 Default Rate 1.55 % Exhibit M Essent Group Ltd. and Subsidiaries Supplemental Information Investments Available for Sale Investments Available for Sale by Asset Class Asset Class September 30, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent U.S. Treasury securities $ 879,185 17.6 % $ 556,438 11.7 % U.S. agency securities 7,180 0.1 49,058 1.0 U.S. agency mortgage-backed securities 750,938 15.0 783,743 16.5 Municipal debt securities 562,510 11.3 602,690 12.8 Non-U.S. government securities 48,571 1.0 62,399 1.3 Corporate debt securities 1,280,433 25.6 1,414,321 29.8 Residential and commercial mortgage securities 493,693 9.9 511,824 10.8 Asset-backed securities 614,818 12.3 624,561 13.2 Money market funds 360,360 7.2 136,591 2.9 Total investments available for sale $ 4,997,688 100.0 % $ 4,741,625 100.0 % Investments Available for Sale by Credit Rating Rating (1) September 30, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent Aaa $ 2,393,047 51.6 % $ 2,122,599 46.2 % Aa1 108,593 2.3 111,262 2.4 Aa2 300,510 6.5 325,241 7.1 Aa3 210,967 4.5 232,500 5.0 A1 381,479 8.2 396,095 8.6 A2 314,587 6.8 410,163 8.9 A3 235,490 5.1 268,928 5.8 Baa1 227,543 4.9 236,793 5.1 Baa2 231,612 5.0 221,308 4.8 Baa3 151,078 3.3 187,117 4.1 Below Baa3 82,422 1.8 93,028 2.0 Total (2) $ 4,637,328 100.0 % $ 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 $360,360 and $136,591 of money market funds at September 30, 2023 and December 31, 2022, respectively. Investments Available for Sale by Duration and Book Yield Effective Duration September 30, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent < 1 Year $ 1,713,199 34.3 % $ 1,245,839 26.3 % 1 to < 2 Years 484,032 9.7 534,038 11.3 2 to < 3 Years 456,987 9.1 511,701 10.8 3 to < 4 Years 418,831 8.4 525,683 11.1 4 to < 5 Years 389,441 7.8 400,540 8.4 5 or more Years 1,535,198 30.7 1,523,824 32.1 Total investments available for sale $ 4,997,688 100.0 % $ 4,741,625 100.0 % Pre-tax investment income yield: Three months ended 3.55 % 3.03 % Nine months ended September 30, 2023 3.47 % Holding company net cash and investments available for sale: ($ in thousands) As of September 30, 2023 $ 648,658 As of December 31, 2022 $ 685,178 Exhibit N Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Company Capital 2023 2022 September 30 June 30 March 31 December 31 September 30 ($ in thousands) U.S. Mortgage Insurance Subsidiaries: Combined statutory capital (1) $ 3,309,522 $ 3,243,086 $ 3,207,102 $ 3,178,151 $ 3,128,681 Combined net risk in force (2) $ 34,203,678 $ 34,019,643 $ 33,038,825 $ 32,265,701 $ 31,736,095 Risk-to-capital ratios: (3) Essent Guaranty, Inc. 10.7:1 10.8:1 10.6:1 10.5:1 10.5:1 Essent Guaranty of PA, Inc. 0.5:1 0.5:1 0.5:1 0.6:1 0.6:1 Combined (4) 10.3:1 10.5:1 10.3:1 10.2:1 10.1:1 Essent Guaranty, Inc. PMIERs Data (5): Available Assets $ 3,318,179 $ 3,245,481 $ 3,226,436 $ 3,191,047 $ 3,147,545 Minimum Required Assets 1,910,659 1,991,741 1,917,769 1,832,363 1,759,182 PMIERs excess Available Assets $ 1,407,520 $ 1,253,740 $ 1,308,667 $ 1,358,684 $ 1,388,363 PMIERs sufficiency ratio (6) 174 % 163 % 168 % 174 % 179 % Essent Reinsurance Ltd.: Stockholder's equity (GAAP basis) $ 1,684,122 $ 1,633,763 $ 1,573,013 $ 1,478,772 $ 1,397,287 Net risk in force (2) $ 21,739,419 $ 21,327,762 $ 20,305,111 $ 19,454,046 $ 18,694,500 (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. Exhibit O Essent Group Ltd. and Subsidiaries Supplemental Information Loss, Expense and Combined Ratios and Reconciliation of Non-GAAP Financial Measures 2023 2022 September 30 June 30 March 31 December 31 September 30 Loss Ratio (1) 4.4 % 0.6 % (0.1 )% 2.0 % 2.0 % Expense Ratio (2) 27.3 % 19.8 % 22.8 % 22.6 % 20.3 % Combined Ratio 31.7 % 20.4 % 22.7 % 24.6 % 22.3 % We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the three and nine months ended September 30, 2023 lack comparability with prior periods. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to Consolidated Ratios Excluding Title, as shown below. Consolidated Ratios Excluding Title are financial measures that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and are referred to as non-GAAP measures. Consolidated Ratios Excluding Title are measures used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP. The following table sets forth the reconciliation of the loss, expense and combined Consolidated Ratios Excluding Title to the most comparable GAAP amount for the three and nine months ended September 30, 2023, in accordance with Regulation G: Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023 Consolidated Acquired Title Consolidated Excluding Title Consolidated Acquired Title Consolidated Excluding Title ($ in thousands) Revenues: Net premiums earned $ 246,805 $ 20,604 $ 226,201 $ 671,292 $ 20,604 $ 650,688 Net investment income 47,072 405 46,667 135,558 405 135,153 Realized investment losses, net (235 ) — (235 ) (2,312 ) — (2,312 ) (Loss) income from other invested assets (3,143 ) — (3,143 ) (10,697 ) — (10,697 ) Settlement services (3) 2,037 2,037 — 2,037 2,037 — Other income 3,572 404 3,168 16,604 404 16,200 Total revenues 296,108 23,450 272,658 812,482 23,450 789,032 Losses and expenses: Provision (benefit) for losses and LAE 10,822 768 10,054 11,902 768 11,134 Other underwriting and operating expenses 54,814 13,466 41,348 145,183 13,466 131,717 Premiums retained by agents 13,175 13,175 — 13,175 13,175 — Interest expense 7,854 — 7,854 22,184 — 22,184 Total losses and expenses 86,665 27,409 59,256 192,444 27,409 165,035 Loss ratio (1) 4.4 % 3.4 % 4.4 % 1.8 % 3.4 % 1.7 % Expense ratio (2) 27.3 % 117.7 % 18.3 % 23.5 % 117.7 % 20.2 % Combined ratio 31.7 % 121.1 % 22.7 % 25.3 % 121.1 % 21.9 % (1) Loss ratio is calculated by dividing the provision for losses and LAE by the sum of net premiums earned and settlement services revenue, if applicable. (2) Expense ratio is calculated by dividing the sum of other underwriting and operating expenses and premiums retained by agents by the sum of net premiums earned and settlement services revenue, if applicable. (3) Settlement services revenue is included in "Other income" within Exhibit A and Exhibit C. View source version on businesswire.com: https://www.businesswire.com/news/home/20231102380127/en/
Media Contact 610.230.0556 media@essentgroup.com Investor Relations Contact Philip Stefano Vice President, Investor Relations 855-809-ESNT ir@essentgroup.com