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 Fourth Quarter & Full Year 2023 Results and Increases Quarterly Dividend By: Essent Group Ltd. via Business Wire February 09, 2024 at 06:30 AM EST Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2023 of $175.4 million or $1.64 per diluted share, compared to $147.4 million or $1.37 per diluted share for the quarter ended December 31, 2022. For the full year 2023, net income was $696.4 million or $6.50 per diluted share, compared to $831.4 million or $7.72 per diluted share for 2022. Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.28 per common share. The dividend is payable on March 22, 2024, to shareholders of record on March 13, 2024. “We are pleased with our fourth quarter and full year 2023 financial results, which benefited from favorable credit performance and higher interest rates,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results continue to demonstrate the earnings power of our business and provide us with attractive levels of operating cash flows, indicating the overall strength and stability of our franchise.” Financial Highlights: New insurance written for the fourth quarter of 2023 was $8.8 billion, compared to $12.5 billion in the third quarter of 2023 and $13.0 billion in the fourth quarter of 2022. Insurance in force as of December 31, 2023 was $239.1 billion, compared to $238.7 billion as of September 30, 2023 and $227.1 billion as of December 31, 2022. Net investment income for the fourth quarter of 2023 was $50.6 million, up 34% from the fourth quarter of 2022. In 2023, net investment income was $186.1 million, up 50% from 2022. On January 8, 2024, S&P Global Ratings raised its long-term financial strength and issuer credit ratings on Essent Guaranty, Inc. and Essent Reinsurance Ltd. to ‘A-’ from ‘BBB+’, with a stable outlook. 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 and Year Ended December 31, 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 December 31, Year Ended December 31, (In thousands, except per share amounts) 2023 2022 2023 2022 Revenues: Direct premiums written $ 269,255 $ 235,015 $ 1,028,781 $ 927,702 Ceded premiums (31,068 ) (34,289 ) (134,499 ) (107,673 ) Net premiums written 238,187 200,726 894,282 820,029 Decrease in unearned premiums 7,427 6,526 22,624 22,498 Net premiums earned 245,614 207,252 916,906 842,527 Net investment income 50,581 37,796 186,139 124,409 Realized investment gains (losses), net (4,892 ) (5,524 ) (7,204 ) (13,172 ) Income (loss) from other invested assets (421 ) (7,599 ) (11,118 ) 28,676 Other income (loss) 6,395 (1,888 ) 25,036 18,384 Total revenues 297,277 230,037 1,109,759 1,000,824 Losses and expenses: Provision (benefit) for losses and LAE 19,640 4,101 31,542 (174,704 ) Other underwriting and operating expenses 55,248 46,895 200,431 171,733 Premiums retained by agents 11,475 — 24,650 — Interest expense 7,953 6,045 30,137 15,608 Total losses and expenses 94,316 57,041 286,760 12,637 Income before income taxes 202,961 172,996 822,999 988,187 Income tax expense 27,594 25,630 126,613 156,834 Net income $ 175,367 $ 147,366 $ 696,386 $ 831,353 Earnings per share: Basic $ 1.66 $ 1.38 $ 6.56 $ 7.75 Diluted 1.64 1.37 6.50 7.72 Weighted average shares outstanding: Basic 105,733 106,881 106,222 107,205 Diluted 106,823 107,419 107,129 107,653 Net income $ 175,367 $ 147,366 $ 696,386 $ 831,353 Other comprehensive income (loss): Change in unrealized appreciation (depreciation) of investments 155,887 40,787 102,294 (433,497 ) Total other comprehensive income (loss) 155,887 40,787 102,294 (433,497 ) Comprehensive income $ 331,254 $ 188,153 $ 798,680 $ 397,856 Exhibit B Essent Group Ltd. and Subsidiaries Condensed Consolidated Balance Sheets (Unaudited) December 31, December 31, (In thousands, except per share amounts) 2023 2022 Assets Investments Fixed maturities available for sale, at fair value $ 4,335,008 $ 4,489,598 Short-term investments available for sale, at fair value 928,731 252,027 Total investments available for sale 5,263,739 4,741,625 Other invested assets 277,226 257,941 Total investments 5,540,965 4,999,566 Cash 141,787 81,240 Accrued investment income 35,689 33,162 Accounts receivable 63,266 57,399 Deferred policy acquisition costs 9,139 9,910 Property and equipment 41,304 19,571 Prepaid federal income tax 470,646 418,460 Goodwill and intangible assets, net 72,826 — Other assets 51,051 104,489 Total assets $ 6,426,673 $ 5,723,797 Liabilities and Stockholders' Equity Liabilities Reserve for losses and LAE $ 260,095 $ 216,464 Unearned premium reserve 140,285 162,887 Net deferred tax liability 362,753 356,810 Credit facility borrowings, net of deferred costs 421,920 420,864 Other accrued liabilities 139,070 104,463 Total liabilities 1,324,123 1,261,488 Commitments and contingencies Stockholders' Equity Common shares, $0.015 par value: Authorized - 233,333; issued and outstanding - 106,597 shares in 2023 and 107,683 shares in 2022 1,599 1,615 Additional paid-in capital 1,299,869 1,350,377 Accumulated other comprehensive (loss) income (280,496 ) (382,790 ) Retained earnings 4,081,578 3,493,107 Total stockholders' equity 5,102,550 4,462,309 Total liabilities and stockholders' equity $ 6,426,673 $ 5,723,797 Return on average equity 14.6 % 19.1 % Exhibit C Essent Group Ltd. and Subsidiaries Supplemental Information Consolidated Historical Quarterly Data 2023 2022 Selected Income Statement Data December 31 September 30 June 30 March 31 December 31 (In thousands, except per share amounts) Revenues: Net premiums earned: U.S. Mortgage Insurance Portfolio $ 211,083 $ 209,351 $ 195,502 $ 196,565 $ 192,670 GSE and other risk share 17,166 16,850 17,727 14,693 14,582 Title Insurance 17,365 20,604 — — — Net premiums earned 245,614 246,805 213,229 211,258 207,252 Net investment income 50,581 47,072 45,250 43,236 37,796 Realized investment gains (losses), net (4,892 ) (235 ) (1,589 ) (488 ) (5,524 ) Income (loss) from other invested assets (421 ) (3,143 ) (4,852 ) (2,702 ) (7,599 ) Other income (loss) (1) 6,395 5,609 8,090 4,942 (1,888 ) Total revenues 297,277 296,108 260,128 256,246 230,037 Losses and expenses: Provision (benefit) for losses and LAE 19,640 10,822 1,260 (180 ) 4,101 Other underwriting and operating expenses 55,248 54,814 42,174 48,195 46,895 Premiums retained by agents 11,475 13,175 — — — Interest expense 7,953 7,854 7,394 6,936 6,045 Total losses and expenses 94,316 86,665 50,828 54,951 57,041 Income before income taxes 202,961 209,443 209,300 201,295 172,996 Income tax expense (2) 27,594 31,484 37,067 30,468 25,630 Net income $ 175,367 $ 177,959 $ 172,233 $ 170,827 $ 147,366 Earnings per share: Basic $ 1.66 $ 1.68 $ 1.62 $ 1.60 $ 1.38 Diluted 1.64 1.66 1.61 1.59 1.37 Weighted average shares outstanding: Basic 105,733 105,979 106,249 106,943 106,881 Diluted 106,823 107,025 107,093 107,585 107,419 Book value per share $ 47.87 $ 44.98 $ 44.24 $ 43.18 $ 41.44 Return on average equity (annualized) 14.2 % 14.9 % 14.7 % 15.0 % 13.5 % 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) 7.11 % 7.07 % 6.87 % 6.52 % 6.02 % Debt-to-capital 7.69 % 8.12 % 8.24 % 8.38 % 8.70 % (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 December 31, 2023, September 30, 2023, June 30, 2023, March 31, 2023, and December 31, 2022 was $412, ($898), $2,726, ($368), and ($6,515), respectively. (2) Income tax expense for the quarters ended December 31, 2023, September 30, 2023, June 30, 2023, March 31, 2023 and December 31, 2022 includes ($1,132), ($763), ($888), ($368) and ($4,122), respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended December 31, 2023 also includes a $2,731 net benefit associated with the recognition of a deferred tax asset for unrealized losses on the investment portfolios of Essent Group and Essent Re upon the enactment of the Bermuda Corporate Income Tax. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns. Exhibit D Essent Group Ltd. and Subsidiaries Supplemental Information U.S Mortgage Insurance Portfolio Historical Quarterly Data 2023 2022 Other Data, continued: December 31 September 30 June 30 March 31 December 31 ($ in thousands) U.S. Mortgage Insurance Portfolio New insurance written $ 8,769,160 $ 12,505,823 $ 13,498,080 $ 12,893,789 $ 13,011,432 New risk written 2,409,340 3,458,467 3,726,513 3,548,015 3,522,726 Average insurance in force $ 239,005,961 $ 237,270,093 $ 233,484,941 $ 228,885,174 $ 224,840,675 Insurance in force (end of period) $ 239,078,262 $ 238,661,612 $ 235,649,884 $ 231,537,417 $ 227,062,055 Gross risk in force (end of period) (1) $ 64,061,374 $ 63,605,057 $ 62,403,400 $ 60,879,979 $ 59,276,489 Risk in force (end of period) $ 54,591,590 $ 53,920,308 $ 53,290,643 $ 51,469,312 $ 49,903,626 Policies in force 822,012 825,248 821,690 815,751 808,596 Weighted average coverage (2) 26.8 % 26.7 % 26.5 % 26.3 % 26.1 % Annual persistency 86.9 % 86.6 % 85.8 % 84.4 % 82.1 % Loans in default (count) 14,819 13,391 12,480 12,773 13,433 Percentage of loans in default 1.80 % 1.62 % 1.52 % 1.57 % 1.66 % 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) — % — % — % — % — % Gross average premium rate 0.40 % 0.40 % 0.40 % 0.40 % 0.40 % Ceded premiums (0.05 %) (0.05 %) (0.07 %) (0.06 %) (0.06 %) Net average premium rate 0.35 % 0.35 % 0.33 % 0.34 % 0.34 % (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 New Insurance Written: Flow NIW by Credit Score Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 ($ in thousands) >=760 $ 3,708,316 42.3 % $ 4,761,917 36.6 % $ 19,181,507 40.2 % $ 25,704,025 40.8 % 740-759 1,531,800 17.5 2,428,164 18.7 8,563,621 18.0 10,927,903 17.3 720-739 1,333,537 15.2 2,301,392 17.7 7,644,101 16.0 10,186,558 16.2 700-719 1,256,250 14.3 1,919,146 14.6 7,148,954 15.0 8,371,867 13.2 680-699 581,913 6.6 1,138,743 8.8 3,606,260 7.6 5,548,687 8.8 <=679 357,344 4.1 462,070 3.6 1,522,409 3.2 2,322,026 3.7 Total $ 8,769,160 100.0 % $ 13,011,432 100.0 % $ 47,666,852 100.0 % $ 63,061,066 100.0 % Weighted average credit score 747 744 746 746 NIW by LTV Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 ($ in thousands) 85.00% and below $ 642,636 7.3 % $ 1,121,853 8.6 % $ 3,443,647 7.2 % $ 5,678,058 9.0 % 85.01% to 90.00% 1,871,854 21.3 3,075,304 23.6 9,822,916 20.6 16,732,649 26.5 90.01% to 95.00% 4,660,032 53.1 7,464,333 57.4 26,043,728 54.6 33,925,998 53.8 95.01% and above 1,594,638 18.3 1,349,942 10.4 8,356,561 17.6 6,724,361 10.7 Total $ 8,769,160 100.0 % $ 13,011,432 100.0 % $ 47,666,852 100.0 % $ 63,061,066 100.0 % Weighted average LTV 93 % 93 % 93 % 93 % NIW by Product Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 Single Premium policies 2.5 % 4.3 % 3.5 % 5.6 % Monthly Premium policies 97.5 95.7 96.5 94.4 100.0 % 100.0 % 100.0 % 100.0 % NIW by Purchase vs. Refinance Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 Purchase 98.7 % 98.9 % 98.8 % 97.6 % Refinance 1.3 1.1 1.2 2.4 100.0 % 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 December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) >=760 $ 97,085,244 40.6 % $ 97,027,348 40.7 % $ 93,389,066 41.1 % 740-759 41,490,720 17.4 41,362,480 17.3 38,842,311 17.2 720-739 37,435,781 15.7 37,297,809 15.6 34,981,632 15.4 700-719 31,932,469 13.4 31,674,346 13.3 29,146,543 12.8 680-699 19,780,944 8.3 19,850,176 8.3 18,859,824 8.3 <=679 11,353,104 4.6 11,449,453 4.8 11,842,679 5.2 Total $ 239,078,262 100.0 % $ 238,661,612 100.0 % $ 227,062,055 100.0 % Weighted average credit score 746 746 746 Gross RIF by FICO score December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) >=760 $ 25,752,549 40.2 % $ 25,594,262 40.1 % $ 24,152,726 40.8 % 740-759 11,268,607 17.6 11,165,727 17.6 10,255,195 17.3 720-739 10,179,683 15.9 10,090,889 15.9 9,276,750 15.6 700-719 8,687,001 13.6 8,568,811 13.5 7,696,965 13.0 680-699 5,330,894 8.3 5,327,434 8.4 4,963,470 8.4 <=679 2,842,640 4.4 2,857,934 4.5 2,931,383 4.9 Total $ 64,061,374 100.0 % $ 63,605,057 100.0 % $ 59,276,489 100.0 % Portfolio by LTV IIF by LTV December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) 85.00% and below $ 19,869,776 8.3 % $ 21,226,685 8.9 % $ 24,454,468 10.8 % 85.01% to 90.00% 62,973,580 26.3 63,374,562 26.6 63,436,445 27.8 90.01% to 95.00% 119,764,184 50.1 118,461,030 49.6 107,932,064 47.6 95.01% and above 36,470,722 15.3 35,599,335 14.9 31,239,078 13.8 Total $ 239,078,262 100.0 % $ 238,661,612 100.0 % $ 227,062,055 100.0 % Weighted average LTV 93 % 93 % 92 % Gross RIF by LTV December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) 85.00% and below $ 2,364,232 3.7 % $ 2,525,753 4.0 % $ 2,903,877 4.9 % 85.01% to 90.00% 15,494,172 24.2 15,566,095 24.5 15,477,031 26.1 90.01% to 95.00% 35,260,761 55.0 34,848,762 54.8 31,642,669 53.4 95.01% and above 10,942,209 17.1 10,664,447 16.7 9,252,912 15.6 Total $ 64,061,374 100.0 % $ 63,605,057 100.0 % $ 59,276,489 100.0 % Portfolio by Loan Amortization Period IIF by Loan Amortization Period December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) FRM 30 years and higher $ 232,995,380 97.5 % $ 232,186,999 97.3 % $ 219,416,408 96.7 % FRM 20-25 years 1,685,700 0.7 1,910,610 0.8 2,601,108 1.1 FRM 15 years 1,505,759 0.6 1,719,467 0.7 2,552,931 1.1 ARM 5 years and higher 2,891,423 1.2 2,844,536 1.2 2,491,608 1.1 Total $ 239,078,262 100.0 % $ 238,661,612 100.0 % $ 227,062,055 100.0 % Exhibit G Essent Group Ltd. and Subsidiaries Supplemental Information Other Risk in Force 2023 2022 ($ in thousands) December 31 September 30 June 30 March 31 December 31 GSE and other risk share (1): Risk in Force $ 2,244,944 $ 2,247,393 $ 2,276,702 $ 2,098,033 $ 2,030,571 Reserve for losses and LAE $ 29 $ 54 $ 55 $ 65 $ 74 Weighted average credit score 749 749 749 749 749 Weighted average LTV 82 % 82 % 83 % 83 % 83 % (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 December 31, 2023 Insurance in Force Year Original Insurance Written ($ in thousands) Remaining Insurance in Force ($ in thousands) % Remaining of Original Insurance Number of Policies in Force Weighted Average Coupon % Purchase >90% LTV >95% LTV FICO < 700 FICO >= 760 Incurred Loss Ratio (Inception to Date) (1) Number of Loans in Default Percentage of Loans in Default 2010 - 2014 $ 60,668,851 $ 1,432,521 2.4 % 8,762 4.31 % 71.2 % 59.2 % 7.3 % 14.6 % 44.4 % 2.5 % 379 4.33 % 2015 26,193,656 1,345,073 5.1 8,143 4.23 82.9 72.5 5.0 18.2 39.1 2.5 319 3.92 2016 34,949,319 3,015,806 8.6 17,568 3.90 87.6 80.8 12.4 16.0 42.2 2.2 545 3.10 2017 43,858,322 4,792,840 10.9 28,705 4.28 91.4 72.6 21.0 20.5 37.6 3.4 1,166 4.06 2018 47,508,525 5,570,630 11.7 31,331 4.79 94.9 72.0 26.2 21.7 32.6 4.5 1,498 4.78 2019 63,569,183 12,360,264 19.4 59,051 4.23 88.4 69.0 24.9 18.8 35.4 4.3 1,913 3.24 2020 107,944,065 46,454,833 43.0 178,941 3.19 69.0 57.5 13.3 10.8 45.6 3.1 2,511 1.40 2021 84,218,250 61,442,213 73.0 200,700 3.09 86.9 63.3 15.6 13.8 40.5 7.1 3,410 1.70 2022 63,061,262 56,943,590 90.3 162,074 5.07 97.9 65.4 11.2 12.6 39.7 20.1 2,456 1.52 2023 47,666,852 45,720,492 95.9 126,737 6.66 98.8 72.4 18.1 10.9 39.4 14.5 622 0.49 Total $ 579,638,285 $ 239,078,262 41.2 822,012 4.41 88.5 65.3 15.3 13.0 40.6 4.4 14,819 1.80 (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 December 31, 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 $ — $ — $ — $ — $ — $ — $ — $ (644 ) $ 1,137 $ — Radnor Re 2019-1 Jan. 2018 - Dec. 2018 — — — — — — — (513 ) 12,894 — Radnor Re 2019-2 Jan. 2015 - Dec. 2016 — — — — — — — (175 ) 44 — Radnor Re 2020-1 Jan. 2019 - Aug. 2019 6,887,869 1,797,683 495,889 2,350 — 215,605 213,230 748 6,536 — Radnor Re 2021-1 Aug. 2020 - Mar. 2021 31,673,378 8,233,067 557,911 309,199 — 278,956 278,638 2,764 11,558 232,809 Radnor Re 2021-2 Apr. 2021 - Sep. 2021 35,958,961 9,735,395 439,407 339,890 — 279,415 279,051 3,898 16,059 276,777 Radnor Re 2022-1 Oct. 2021 - Jul. 2022 31,520,927 8,522,229 237,868 231,142 — 303,761 303,324 4,311 17,092 212,651 Radnor Re 2023-1 Aug. 2022 - Jun. 2023 30,639,242 8,380,934 281,462 281,462 — 281,463 281,463 3,641 6,759 266,826 Total $ 136,680,377 $ 36,669,308 $ 2,012,537 $ 1,164,043 $ — $ 1,359,200 $ 1,355,706 $ 14,030 $ 72,079 $ 989,063 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 $ — $ — $ — $ — $ — $ — $ — $ — $ 955 $ — XOL 2019-1 Jan. 2018 - Dec. 2018 5,503,086 1,441,695 118,650 76,144 — 253,643 245,894 627 2,489 — XOL 2020-1 Jan. 2019 - Dec. 2019 6,887,869 1,797,683 55,102 36,403 — 215,605 213,230 (4) 290 1,221 — XOL 2022-1 Oct. 2021 - Dec. 2022 70,477,115 19,058,430 141,992 141,992 — 507,114 506,183 1,611 6,390 138,081 Total $ 82,868,070 $ 22,297,808 $ 315,744 $ 254,539 $ — $ 976,362 $ 965,220 $ 2,528 $ 11,055 $ 138,081 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) $ 51,655,811 $ 13,558,839 $ 11,586,936 $ 3,004,059 $ (164 ) $ (2,372 ) $ 2,493 $ 10,836 $ 4,448 $ 17,675 $ 178,426 Jan. 2022 - Dec. 2022 20 % 56,890,266 15,401,694 11,378,053 3,080,339 2,258 9,731 1,921 7,801 5,908 24,554 233,244 Jan. 2023 - Dec. 2023 17.5 % 40,609,952 11,238,879 7,106,742 1,966,804 1,461 2,584 1,283 3,120 4,154 9,136 142,432 Total $ 149,156,029 $ 40,199,412 $ 30,071,731 $ 8,051,202 $ 3,555 $ 9,943 $ 5,697 $ 21,757 $ 14,510 $ 51,365 $ 554,102 (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 December 31, 2023 September 30, 2023 December 31, 2022 CA 13.0 % 13.0 % 13.2 % FL 11.1 11.0 10.2 TX 10.5 10.5 10.4 CO 4.1 4.1 4.2 AZ 3.7 3.7 3.5 WA 3.5 3.4 3.4 GA 3.4 3.4 3.2 NC 2.9 2.8 2.7 VA 2.8 2.8 3.0 IL 2.8 2.8 3.1 All Others 42.2 42.5 43.1 Total 100.0 % 100.0 % 100.0 % Gross RIF by State December 31, 2023 September 30, 2023 December 31, 2022 CA 12.8 % 12.9 % 13.0 % FL 11.4 11.3 10.5 TX 10.9 10.8 10.7 CO 4.0 4.0 4.1 AZ 3.8 3.8 3.6 WA 3.5 3.4 3.3 GA 3.4 3.5 3.2 NC 2.9 2.9 2.7 VA 2.7 2.8 3.0 IL 2.7 2.8 3.0 All Others 41.9 41.8 42.9 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 December 31 September 30 June 30 March 31 December 31 Beginning default inventory 13,391 12,480 12,773 13,433 12,435 Plus: new defaults (A) 9,007 7,953 6,575 7,015 7,505 Less: cures (7,418 ) (6,902 ) (6,761 ) (7,574 ) (6,425 ) Less: claims paid (148 ) (129 ) (96 ) (94 ) (73 ) Less: rescissions and denials, net (13 ) (11 ) (11 ) (7 ) (9 ) Ending default inventory 14,819 13,391 12,480 12,773 13,433 (A) New defaults remaining as of December 31, 2023 6,514 3,000 1,772 1,056 730 Cure rate (1) 28 % 62 % 73 % 85 % 90 % Total amount paid for claims (in thousands) $ 3,411 $ 2,956 $ 1,890 $ 1,959 $ 1,441 Average amount paid per claim (in thousands) $ 23 $ 23 $ 20 $ 21 $ 20 Severity 54 % 66 % 58 % 59 % 46 % Rollforward of Reserve for Losses and LAE Three Months Ended 2023 2022 ($ in thousands) December 31 September 30 June 30 March 31 December 31 Reserve for losses and LAE at beginning of period $ 226,617 $ 216,888 $ 215,957 $ 216,390 $ 212,392 Less: Reinsurance recoverables 20,656 17,958 16,357 14,618 13,244 Net reserve for losses and LAE at beginning of period 205,961 198,930 199,600 201,772 199,148 Add provision for losses and LAE occurring in: Current period 38,922 35,609 31,377 32,693 36,141 Prior years (19,912 ) (25,533 ) (30,107 ) (32,864 ) (32,012 ) Incurred losses and LAE during the period 19,010 10,076 1,270 (171 ) 4,129 Deduct payments for losses and LAE occurring in: Current period 330 156 31 — 113 Prior years 3,244 2,889 1,909 2,001 1,392 Loss and LAE payments during the period 3,574 3,045 1,940 2,001 1,505 Net reserve for losses and LAE at end of period 221,397 205,961 198,930 199,600 201,772 Plus: Reinsurance recoverables 24,005 20,656 17,958 16,357 14,618 Reserve for losses and LAE at end of period $ 245,402 $ 226,617 $ 216,888 $ 215,957 $ 216,390 (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 December 31, 2023 Number of Policies in Default Percentage of Policies in Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of Defaulted RIF ($ in thousands) Missed Payments: Three payments or less 7,288 49 % $ 44,607 20 % $ 527,419 8 % Four to eleven payments 5,421 37 97,424 43 417,876 23 Twelve or more payments 1,984 13 78,540 35 132,257 59 Pending claims 126 1 5,550 2 6,302 88 Total case reserves 14,819 100 % 226,121 100 % $ 1,083,854 21 IBNR 16,959 LAE 2,322 Total reserves for losses and LAE $ 245,402 Average reserve per default: Case $ 15.3 Total $ 16.6 Default Rate 1.80 % 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 % Exhibit M Essent Group Ltd. and Subsidiaries Supplemental Information Investments Available for Sale Investments Available for Sale by Asset Class Asset Class December 31, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent U.S. Treasury securities $ 996,382 18.9 % $ 556,438 11.7 % U.S. agency securities 7,195 0.1 49,058 1.0 U.S. agency mortgage-backed securities 821,346 15.6 783,743 16.5 Municipal debt securities 547,258 10.5 602,690 12.8 Non-U.S. government securities 67,447 1.3 62,399 1.3 Corporate debt securities 1,297,055 24.7 1,414,321 29.8 Residential and commercial mortgage securities 517,940 9.8 511,824 10.8 Asset-backed securities 564,995 10.7 624,561 13.2 Money market funds 444,121 8.4 136,591 2.9 Total investments available for sale $ 5,263,739 100.0 % $ 4,741,625 100.0 % Investments Available for Sale by Credit Rating Rating (1) December 31, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent Aaa $ 2,561,363 53.2 % $ 2,122,599 46.2 % Aa1 104,474 2.2 111,262 2.4 Aa2 291,501 6.0 325,241 7.1 Aa3 208,882 4.3 232,500 5.0 A1 377,188 7.8 396,095 8.6 A2 329,423 6.8 410,163 8.9 A3 253,081 5.3 268,928 5.8 Baa1 220,901 4.6 236,793 5.1 Baa2 226,449 4.7 221,308 4.8 Baa3 166,121 3.4 187,117 4.1 Below Baa3 80,235 1.7 93,028 2.0 Total (2) $ 4,819,618 100.0 % $ 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 $444,121 and $136,591 of money market funds at December 31, 2023 and December 31, 2022, respectively. Investments Available for Sale by Duration and Book Yield Effective Duration December 31, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent < 1 Year $ 1,892,074 35.9 % $ 1,245,839 26.3 % 1 to < 2 Years 371,583 7.1 534,038 11.3 2 to < 3 Years 538,775 10.2 511,701 10.8 3 to < 4 Years 402,668 7.6 525,683 11.1 4 to < 5 Years 376,722 7.2 400,540 8.4 5 or more Years 1,681,917 32.0 1,523,824 32.1 Total investments available for sale $ 5,263,739 100.0 % $ 4,741,625 100.0 % Pre-tax investment income yield: Three months ended December 31, 2023 3.62 % Year ended December 31, 2023 3.50 % Holding company net cash and investments available for sale: ($ in thousands) As of December 31, 2023 $ 693,507 As of December 31, 2022 $ 685,178 Exhibit N Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Company Capital 2023 2022 December 31 September 30 June 30 March 31 December 31 ($ in thousands) U.S. Mortgage Insurance Subsidiaries: Combined statutory capital (1) $ 3,376,117 $ 3,309,522 $ 3,243,086 $ 3,207,102 $ 3,178,151 Combined net risk in force (2) $ 34,549,500 $ 34,203,678 $ 34,019,643 $ 33,038,825 $ 32,265,701 Risk-to-capital ratios: (3) Essent Guaranty, Inc. 10.6:1 10.7:1 10.8:1 10.6:1 10.5:1 Essent Guaranty of PA, Inc. 0.4:1 0.5:1 0.5:1 0.5:1 0.6:1 Combined (4) 10.2:1 10.3:1 10.5:1 10.3:1 10.2:1 Essent Guaranty, Inc. PMIERs Data (5): Available Assets $ 3,379,936 $ 3,318,179 $ 3,245,481 $ 3,226,436 $ 3,191,047 Minimum Required Assets 1,985,545 1,910,659 1,991,741 1,917,769 1,832,363 PMIERs excess Available Assets $ 1,394,391 $ 1,407,520 $ 1,253,740 $ 1,308,667 $ 1,358,684 PMIERs sufficiency ratio (6) 170 % 174 % 163 % 168 % 174 % Essent Reinsurance Ltd.: Stockholder's equity (GAAP basis) $ 1,758,665 $ 1,684,122 $ 1,633,763 $ 1,573,013 $ 1,478,772 Net risk in force (2) $ 22,043,926 $ 21,739,419 $ 21,327,762 $ 20,305,111 $ 19,454,046 (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 December 31 September 30 June 30 March 31 December 31 Loss Ratio (1) 7.9 % 4.4 % 0.6 % (0.1 )% 2.0 % Expense Ratio (2) 27.0 % 27.3 % 19.8 % 22.8 % 22.6 % Combined Ratio 34.9 % 31.7 % 20.4 % 22.7 % 24.6 % 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 months and year ended December 31, 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 months and year ended December 31, 2023, in accordance with Regulation G: Three Months Ended December 31, 2023 Year Ended December 31, 2023 Consolidated Acquired Title Consolidated Excluding Title Consolidated Acquired Title Consolidated Excluding Title ($ in thousands) Revenues: Net premiums earned $ 245,614 $ 17,365 $ 228,249 $ 916,906 $ 37,969 $ 878,937 Net investment income 50,581 432 50,149 186,139 837 185,302 Realized investment losses, net (4,892 ) — (4,892 ) (7,204 ) — (7,204 ) Loss from other invested assets (421 ) — (421 ) (11,118 ) — (11,118 ) Settlement services (3) 1,475 1,475 — 3,512 3,512 — Other income 4,920 503 4,417 21,524 907 20,617 Total revenues 297,277 19,775 277,502 1,109,759 43,225 1,066,534 Losses and expenses: Provision (benefit) for losses and LAE 19,640 655 18,985 31,542 1,422 30,120 Other underwriting and operating expenses 55,248 11,595 43,653 200,431 25,061 175,370 Premiums retained by agents 11,475 11,475 — 24,650 24,650 — Interest expense 7,953 — 7,953 30,137 — 30,137 Total losses and expenses 94,316 23,725 70,591 286,760 51,133 235,627 Loss ratio (1) 7.9 % 3.5 % 8.3 % 3.4 % 3.4 % 3.4 % Expense ratio (2) 27.0 % 122.5 % 19.1 % 24.5 % 119.8 % 20.0 % Combined ratio 34.9 % 126.0 % 27.4 % 27.9 % 123.2 % 23.4 % (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/20240209440689/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 Fourth Quarter & Full Year 2023 Results and Increases Quarterly Dividend By: Essent Group Ltd. via Business Wire February 09, 2024 at 06:30 AM EST Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2023 of $175.4 million or $1.64 per diluted share, compared to $147.4 million or $1.37 per diluted share for the quarter ended December 31, 2022. For the full year 2023, net income was $696.4 million or $6.50 per diluted share, compared to $831.4 million or $7.72 per diluted share for 2022. Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.28 per common share. The dividend is payable on March 22, 2024, to shareholders of record on March 13, 2024. “We are pleased with our fourth quarter and full year 2023 financial results, which benefited from favorable credit performance and higher interest rates,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results continue to demonstrate the earnings power of our business and provide us with attractive levels of operating cash flows, indicating the overall strength and stability of our franchise.” Financial Highlights: New insurance written for the fourth quarter of 2023 was $8.8 billion, compared to $12.5 billion in the third quarter of 2023 and $13.0 billion in the fourth quarter of 2022. Insurance in force as of December 31, 2023 was $239.1 billion, compared to $238.7 billion as of September 30, 2023 and $227.1 billion as of December 31, 2022. Net investment income for the fourth quarter of 2023 was $50.6 million, up 34% from the fourth quarter of 2022. In 2023, net investment income was $186.1 million, up 50% from 2022. On January 8, 2024, S&P Global Ratings raised its long-term financial strength and issuer credit ratings on Essent Guaranty, Inc. and Essent Reinsurance Ltd. to ‘A-’ from ‘BBB+’, with a stable outlook. 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 and Year Ended December 31, 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 December 31, Year Ended December 31, (In thousands, except per share amounts) 2023 2022 2023 2022 Revenues: Direct premiums written $ 269,255 $ 235,015 $ 1,028,781 $ 927,702 Ceded premiums (31,068 ) (34,289 ) (134,499 ) (107,673 ) Net premiums written 238,187 200,726 894,282 820,029 Decrease in unearned premiums 7,427 6,526 22,624 22,498 Net premiums earned 245,614 207,252 916,906 842,527 Net investment income 50,581 37,796 186,139 124,409 Realized investment gains (losses), net (4,892 ) (5,524 ) (7,204 ) (13,172 ) Income (loss) from other invested assets (421 ) (7,599 ) (11,118 ) 28,676 Other income (loss) 6,395 (1,888 ) 25,036 18,384 Total revenues 297,277 230,037 1,109,759 1,000,824 Losses and expenses: Provision (benefit) for losses and LAE 19,640 4,101 31,542 (174,704 ) Other underwriting and operating expenses 55,248 46,895 200,431 171,733 Premiums retained by agents 11,475 — 24,650 — Interest expense 7,953 6,045 30,137 15,608 Total losses and expenses 94,316 57,041 286,760 12,637 Income before income taxes 202,961 172,996 822,999 988,187 Income tax expense 27,594 25,630 126,613 156,834 Net income $ 175,367 $ 147,366 $ 696,386 $ 831,353 Earnings per share: Basic $ 1.66 $ 1.38 $ 6.56 $ 7.75 Diluted 1.64 1.37 6.50 7.72 Weighted average shares outstanding: Basic 105,733 106,881 106,222 107,205 Diluted 106,823 107,419 107,129 107,653 Net income $ 175,367 $ 147,366 $ 696,386 $ 831,353 Other comprehensive income (loss): Change in unrealized appreciation (depreciation) of investments 155,887 40,787 102,294 (433,497 ) Total other comprehensive income (loss) 155,887 40,787 102,294 (433,497 ) Comprehensive income $ 331,254 $ 188,153 $ 798,680 $ 397,856 Exhibit B Essent Group Ltd. and Subsidiaries Condensed Consolidated Balance Sheets (Unaudited) December 31, December 31, (In thousands, except per share amounts) 2023 2022 Assets Investments Fixed maturities available for sale, at fair value $ 4,335,008 $ 4,489,598 Short-term investments available for sale, at fair value 928,731 252,027 Total investments available for sale 5,263,739 4,741,625 Other invested assets 277,226 257,941 Total investments 5,540,965 4,999,566 Cash 141,787 81,240 Accrued investment income 35,689 33,162 Accounts receivable 63,266 57,399 Deferred policy acquisition costs 9,139 9,910 Property and equipment 41,304 19,571 Prepaid federal income tax 470,646 418,460 Goodwill and intangible assets, net 72,826 — Other assets 51,051 104,489 Total assets $ 6,426,673 $ 5,723,797 Liabilities and Stockholders' Equity Liabilities Reserve for losses and LAE $ 260,095 $ 216,464 Unearned premium reserve 140,285 162,887 Net deferred tax liability 362,753 356,810 Credit facility borrowings, net of deferred costs 421,920 420,864 Other accrued liabilities 139,070 104,463 Total liabilities 1,324,123 1,261,488 Commitments and contingencies Stockholders' Equity Common shares, $0.015 par value: Authorized - 233,333; issued and outstanding - 106,597 shares in 2023 and 107,683 shares in 2022 1,599 1,615 Additional paid-in capital 1,299,869 1,350,377 Accumulated other comprehensive (loss) income (280,496 ) (382,790 ) Retained earnings 4,081,578 3,493,107 Total stockholders' equity 5,102,550 4,462,309 Total liabilities and stockholders' equity $ 6,426,673 $ 5,723,797 Return on average equity 14.6 % 19.1 % Exhibit C Essent Group Ltd. and Subsidiaries Supplemental Information Consolidated Historical Quarterly Data 2023 2022 Selected Income Statement Data December 31 September 30 June 30 March 31 December 31 (In thousands, except per share amounts) Revenues: Net premiums earned: U.S. Mortgage Insurance Portfolio $ 211,083 $ 209,351 $ 195,502 $ 196,565 $ 192,670 GSE and other risk share 17,166 16,850 17,727 14,693 14,582 Title Insurance 17,365 20,604 — — — Net premiums earned 245,614 246,805 213,229 211,258 207,252 Net investment income 50,581 47,072 45,250 43,236 37,796 Realized investment gains (losses), net (4,892 ) (235 ) (1,589 ) (488 ) (5,524 ) Income (loss) from other invested assets (421 ) (3,143 ) (4,852 ) (2,702 ) (7,599 ) Other income (loss) (1) 6,395 5,609 8,090 4,942 (1,888 ) Total revenues 297,277 296,108 260,128 256,246 230,037 Losses and expenses: Provision (benefit) for losses and LAE 19,640 10,822 1,260 (180 ) 4,101 Other underwriting and operating expenses 55,248 54,814 42,174 48,195 46,895 Premiums retained by agents 11,475 13,175 — — — Interest expense 7,953 7,854 7,394 6,936 6,045 Total losses and expenses 94,316 86,665 50,828 54,951 57,041 Income before income taxes 202,961 209,443 209,300 201,295 172,996 Income tax expense (2) 27,594 31,484 37,067 30,468 25,630 Net income $ 175,367 $ 177,959 $ 172,233 $ 170,827 $ 147,366 Earnings per share: Basic $ 1.66 $ 1.68 $ 1.62 $ 1.60 $ 1.38 Diluted 1.64 1.66 1.61 1.59 1.37 Weighted average shares outstanding: Basic 105,733 105,979 106,249 106,943 106,881 Diluted 106,823 107,025 107,093 107,585 107,419 Book value per share $ 47.87 $ 44.98 $ 44.24 $ 43.18 $ 41.44 Return on average equity (annualized) 14.2 % 14.9 % 14.7 % 15.0 % 13.5 % 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) 7.11 % 7.07 % 6.87 % 6.52 % 6.02 % Debt-to-capital 7.69 % 8.12 % 8.24 % 8.38 % 8.70 % (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 December 31, 2023, September 30, 2023, June 30, 2023, March 31, 2023, and December 31, 2022 was $412, ($898), $2,726, ($368), and ($6,515), respectively. (2) Income tax expense for the quarters ended December 31, 2023, September 30, 2023, June 30, 2023, March 31, 2023 and December 31, 2022 includes ($1,132), ($763), ($888), ($368) and ($4,122), respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended December 31, 2023 also includes a $2,731 net benefit associated with the recognition of a deferred tax asset for unrealized losses on the investment portfolios of Essent Group and Essent Re upon the enactment of the Bermuda Corporate Income Tax. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns. Exhibit D Essent Group Ltd. and Subsidiaries Supplemental Information U.S Mortgage Insurance Portfolio Historical Quarterly Data 2023 2022 Other Data, continued: December 31 September 30 June 30 March 31 December 31 ($ in thousands) U.S. Mortgage Insurance Portfolio New insurance written $ 8,769,160 $ 12,505,823 $ 13,498,080 $ 12,893,789 $ 13,011,432 New risk written 2,409,340 3,458,467 3,726,513 3,548,015 3,522,726 Average insurance in force $ 239,005,961 $ 237,270,093 $ 233,484,941 $ 228,885,174 $ 224,840,675 Insurance in force (end of period) $ 239,078,262 $ 238,661,612 $ 235,649,884 $ 231,537,417 $ 227,062,055 Gross risk in force (end of period) (1) $ 64,061,374 $ 63,605,057 $ 62,403,400 $ 60,879,979 $ 59,276,489 Risk in force (end of period) $ 54,591,590 $ 53,920,308 $ 53,290,643 $ 51,469,312 $ 49,903,626 Policies in force 822,012 825,248 821,690 815,751 808,596 Weighted average coverage (2) 26.8 % 26.7 % 26.5 % 26.3 % 26.1 % Annual persistency 86.9 % 86.6 % 85.8 % 84.4 % 82.1 % Loans in default (count) 14,819 13,391 12,480 12,773 13,433 Percentage of loans in default 1.80 % 1.62 % 1.52 % 1.57 % 1.66 % 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) — % — % — % — % — % Gross average premium rate 0.40 % 0.40 % 0.40 % 0.40 % 0.40 % Ceded premiums (0.05 %) (0.05 %) (0.07 %) (0.06 %) (0.06 %) Net average premium rate 0.35 % 0.35 % 0.33 % 0.34 % 0.34 % (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 New Insurance Written: Flow NIW by Credit Score Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 ($ in thousands) >=760 $ 3,708,316 42.3 % $ 4,761,917 36.6 % $ 19,181,507 40.2 % $ 25,704,025 40.8 % 740-759 1,531,800 17.5 2,428,164 18.7 8,563,621 18.0 10,927,903 17.3 720-739 1,333,537 15.2 2,301,392 17.7 7,644,101 16.0 10,186,558 16.2 700-719 1,256,250 14.3 1,919,146 14.6 7,148,954 15.0 8,371,867 13.2 680-699 581,913 6.6 1,138,743 8.8 3,606,260 7.6 5,548,687 8.8 <=679 357,344 4.1 462,070 3.6 1,522,409 3.2 2,322,026 3.7 Total $ 8,769,160 100.0 % $ 13,011,432 100.0 % $ 47,666,852 100.0 % $ 63,061,066 100.0 % Weighted average credit score 747 744 746 746 NIW by LTV Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 ($ in thousands) 85.00% and below $ 642,636 7.3 % $ 1,121,853 8.6 % $ 3,443,647 7.2 % $ 5,678,058 9.0 % 85.01% to 90.00% 1,871,854 21.3 3,075,304 23.6 9,822,916 20.6 16,732,649 26.5 90.01% to 95.00% 4,660,032 53.1 7,464,333 57.4 26,043,728 54.6 33,925,998 53.8 95.01% and above 1,594,638 18.3 1,349,942 10.4 8,356,561 17.6 6,724,361 10.7 Total $ 8,769,160 100.0 % $ 13,011,432 100.0 % $ 47,666,852 100.0 % $ 63,061,066 100.0 % Weighted average LTV 93 % 93 % 93 % 93 % NIW by Product Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 Single Premium policies 2.5 % 4.3 % 3.5 % 5.6 % Monthly Premium policies 97.5 95.7 96.5 94.4 100.0 % 100.0 % 100.0 % 100.0 % NIW by Purchase vs. Refinance Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 Purchase 98.7 % 98.9 % 98.8 % 97.6 % Refinance 1.3 1.1 1.2 2.4 100.0 % 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 December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) >=760 $ 97,085,244 40.6 % $ 97,027,348 40.7 % $ 93,389,066 41.1 % 740-759 41,490,720 17.4 41,362,480 17.3 38,842,311 17.2 720-739 37,435,781 15.7 37,297,809 15.6 34,981,632 15.4 700-719 31,932,469 13.4 31,674,346 13.3 29,146,543 12.8 680-699 19,780,944 8.3 19,850,176 8.3 18,859,824 8.3 <=679 11,353,104 4.6 11,449,453 4.8 11,842,679 5.2 Total $ 239,078,262 100.0 % $ 238,661,612 100.0 % $ 227,062,055 100.0 % Weighted average credit score 746 746 746 Gross RIF by FICO score December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) >=760 $ 25,752,549 40.2 % $ 25,594,262 40.1 % $ 24,152,726 40.8 % 740-759 11,268,607 17.6 11,165,727 17.6 10,255,195 17.3 720-739 10,179,683 15.9 10,090,889 15.9 9,276,750 15.6 700-719 8,687,001 13.6 8,568,811 13.5 7,696,965 13.0 680-699 5,330,894 8.3 5,327,434 8.4 4,963,470 8.4 <=679 2,842,640 4.4 2,857,934 4.5 2,931,383 4.9 Total $ 64,061,374 100.0 % $ 63,605,057 100.0 % $ 59,276,489 100.0 % Portfolio by LTV IIF by LTV December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) 85.00% and below $ 19,869,776 8.3 % $ 21,226,685 8.9 % $ 24,454,468 10.8 % 85.01% to 90.00% 62,973,580 26.3 63,374,562 26.6 63,436,445 27.8 90.01% to 95.00% 119,764,184 50.1 118,461,030 49.6 107,932,064 47.6 95.01% and above 36,470,722 15.3 35,599,335 14.9 31,239,078 13.8 Total $ 239,078,262 100.0 % $ 238,661,612 100.0 % $ 227,062,055 100.0 % Weighted average LTV 93 % 93 % 92 % Gross RIF by LTV December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) 85.00% and below $ 2,364,232 3.7 % $ 2,525,753 4.0 % $ 2,903,877 4.9 % 85.01% to 90.00% 15,494,172 24.2 15,566,095 24.5 15,477,031 26.1 90.01% to 95.00% 35,260,761 55.0 34,848,762 54.8 31,642,669 53.4 95.01% and above 10,942,209 17.1 10,664,447 16.7 9,252,912 15.6 Total $ 64,061,374 100.0 % $ 63,605,057 100.0 % $ 59,276,489 100.0 % Portfolio by Loan Amortization Period IIF by Loan Amortization Period December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) FRM 30 years and higher $ 232,995,380 97.5 % $ 232,186,999 97.3 % $ 219,416,408 96.7 % FRM 20-25 years 1,685,700 0.7 1,910,610 0.8 2,601,108 1.1 FRM 15 years 1,505,759 0.6 1,719,467 0.7 2,552,931 1.1 ARM 5 years and higher 2,891,423 1.2 2,844,536 1.2 2,491,608 1.1 Total $ 239,078,262 100.0 % $ 238,661,612 100.0 % $ 227,062,055 100.0 % Exhibit G Essent Group Ltd. and Subsidiaries Supplemental Information Other Risk in Force 2023 2022 ($ in thousands) December 31 September 30 June 30 March 31 December 31 GSE and other risk share (1): Risk in Force $ 2,244,944 $ 2,247,393 $ 2,276,702 $ 2,098,033 $ 2,030,571 Reserve for losses and LAE $ 29 $ 54 $ 55 $ 65 $ 74 Weighted average credit score 749 749 749 749 749 Weighted average LTV 82 % 82 % 83 % 83 % 83 % (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 December 31, 2023 Insurance in Force Year Original Insurance Written ($ in thousands) Remaining Insurance in Force ($ in thousands) % Remaining of Original Insurance Number of Policies in Force Weighted Average Coupon % Purchase >90% LTV >95% LTV FICO < 700 FICO >= 760 Incurred Loss Ratio (Inception to Date) (1) Number of Loans in Default Percentage of Loans in Default 2010 - 2014 $ 60,668,851 $ 1,432,521 2.4 % 8,762 4.31 % 71.2 % 59.2 % 7.3 % 14.6 % 44.4 % 2.5 % 379 4.33 % 2015 26,193,656 1,345,073 5.1 8,143 4.23 82.9 72.5 5.0 18.2 39.1 2.5 319 3.92 2016 34,949,319 3,015,806 8.6 17,568 3.90 87.6 80.8 12.4 16.0 42.2 2.2 545 3.10 2017 43,858,322 4,792,840 10.9 28,705 4.28 91.4 72.6 21.0 20.5 37.6 3.4 1,166 4.06 2018 47,508,525 5,570,630 11.7 31,331 4.79 94.9 72.0 26.2 21.7 32.6 4.5 1,498 4.78 2019 63,569,183 12,360,264 19.4 59,051 4.23 88.4 69.0 24.9 18.8 35.4 4.3 1,913 3.24 2020 107,944,065 46,454,833 43.0 178,941 3.19 69.0 57.5 13.3 10.8 45.6 3.1 2,511 1.40 2021 84,218,250 61,442,213 73.0 200,700 3.09 86.9 63.3 15.6 13.8 40.5 7.1 3,410 1.70 2022 63,061,262 56,943,590 90.3 162,074 5.07 97.9 65.4 11.2 12.6 39.7 20.1 2,456 1.52 2023 47,666,852 45,720,492 95.9 126,737 6.66 98.8 72.4 18.1 10.9 39.4 14.5 622 0.49 Total $ 579,638,285 $ 239,078,262 41.2 822,012 4.41 88.5 65.3 15.3 13.0 40.6 4.4 14,819 1.80 (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 December 31, 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 $ — $ — $ — $ — $ — $ — $ — $ (644 ) $ 1,137 $ — Radnor Re 2019-1 Jan. 2018 - Dec. 2018 — — — — — — — (513 ) 12,894 — Radnor Re 2019-2 Jan. 2015 - Dec. 2016 — — — — — — — (175 ) 44 — Radnor Re 2020-1 Jan. 2019 - Aug. 2019 6,887,869 1,797,683 495,889 2,350 — 215,605 213,230 748 6,536 — Radnor Re 2021-1 Aug. 2020 - Mar. 2021 31,673,378 8,233,067 557,911 309,199 — 278,956 278,638 2,764 11,558 232,809 Radnor Re 2021-2 Apr. 2021 - Sep. 2021 35,958,961 9,735,395 439,407 339,890 — 279,415 279,051 3,898 16,059 276,777 Radnor Re 2022-1 Oct. 2021 - Jul. 2022 31,520,927 8,522,229 237,868 231,142 — 303,761 303,324 4,311 17,092 212,651 Radnor Re 2023-1 Aug. 2022 - Jun. 2023 30,639,242 8,380,934 281,462 281,462 — 281,463 281,463 3,641 6,759 266,826 Total $ 136,680,377 $ 36,669,308 $ 2,012,537 $ 1,164,043 $ — $ 1,359,200 $ 1,355,706 $ 14,030 $ 72,079 $ 989,063 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 $ — $ — $ — $ — $ — $ — $ — $ — $ 955 $ — XOL 2019-1 Jan. 2018 - Dec. 2018 5,503,086 1,441,695 118,650 76,144 — 253,643 245,894 627 2,489 — XOL 2020-1 Jan. 2019 - Dec. 2019 6,887,869 1,797,683 55,102 36,403 — 215,605 213,230 (4) 290 1,221 — XOL 2022-1 Oct. 2021 - Dec. 2022 70,477,115 19,058,430 141,992 141,992 — 507,114 506,183 1,611 6,390 138,081 Total $ 82,868,070 $ 22,297,808 $ 315,744 $ 254,539 $ — $ 976,362 $ 965,220 $ 2,528 $ 11,055 $ 138,081 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) $ 51,655,811 $ 13,558,839 $ 11,586,936 $ 3,004,059 $ (164 ) $ (2,372 ) $ 2,493 $ 10,836 $ 4,448 $ 17,675 $ 178,426 Jan. 2022 - Dec. 2022 20 % 56,890,266 15,401,694 11,378,053 3,080,339 2,258 9,731 1,921 7,801 5,908 24,554 233,244 Jan. 2023 - Dec. 2023 17.5 % 40,609,952 11,238,879 7,106,742 1,966,804 1,461 2,584 1,283 3,120 4,154 9,136 142,432 Total $ 149,156,029 $ 40,199,412 $ 30,071,731 $ 8,051,202 $ 3,555 $ 9,943 $ 5,697 $ 21,757 $ 14,510 $ 51,365 $ 554,102 (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 December 31, 2023 September 30, 2023 December 31, 2022 CA 13.0 % 13.0 % 13.2 % FL 11.1 11.0 10.2 TX 10.5 10.5 10.4 CO 4.1 4.1 4.2 AZ 3.7 3.7 3.5 WA 3.5 3.4 3.4 GA 3.4 3.4 3.2 NC 2.9 2.8 2.7 VA 2.8 2.8 3.0 IL 2.8 2.8 3.1 All Others 42.2 42.5 43.1 Total 100.0 % 100.0 % 100.0 % Gross RIF by State December 31, 2023 September 30, 2023 December 31, 2022 CA 12.8 % 12.9 % 13.0 % FL 11.4 11.3 10.5 TX 10.9 10.8 10.7 CO 4.0 4.0 4.1 AZ 3.8 3.8 3.6 WA 3.5 3.4 3.3 GA 3.4 3.5 3.2 NC 2.9 2.9 2.7 VA 2.7 2.8 3.0 IL 2.7 2.8 3.0 All Others 41.9 41.8 42.9 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 December 31 September 30 June 30 March 31 December 31 Beginning default inventory 13,391 12,480 12,773 13,433 12,435 Plus: new defaults (A) 9,007 7,953 6,575 7,015 7,505 Less: cures (7,418 ) (6,902 ) (6,761 ) (7,574 ) (6,425 ) Less: claims paid (148 ) (129 ) (96 ) (94 ) (73 ) Less: rescissions and denials, net (13 ) (11 ) (11 ) (7 ) (9 ) Ending default inventory 14,819 13,391 12,480 12,773 13,433 (A) New defaults remaining as of December 31, 2023 6,514 3,000 1,772 1,056 730 Cure rate (1) 28 % 62 % 73 % 85 % 90 % Total amount paid for claims (in thousands) $ 3,411 $ 2,956 $ 1,890 $ 1,959 $ 1,441 Average amount paid per claim (in thousands) $ 23 $ 23 $ 20 $ 21 $ 20 Severity 54 % 66 % 58 % 59 % 46 % Rollforward of Reserve for Losses and LAE Three Months Ended 2023 2022 ($ in thousands) December 31 September 30 June 30 March 31 December 31 Reserve for losses and LAE at beginning of period $ 226,617 $ 216,888 $ 215,957 $ 216,390 $ 212,392 Less: Reinsurance recoverables 20,656 17,958 16,357 14,618 13,244 Net reserve for losses and LAE at beginning of period 205,961 198,930 199,600 201,772 199,148 Add provision for losses and LAE occurring in: Current period 38,922 35,609 31,377 32,693 36,141 Prior years (19,912 ) (25,533 ) (30,107 ) (32,864 ) (32,012 ) Incurred losses and LAE during the period 19,010 10,076 1,270 (171 ) 4,129 Deduct payments for losses and LAE occurring in: Current period 330 156 31 — 113 Prior years 3,244 2,889 1,909 2,001 1,392 Loss and LAE payments during the period 3,574 3,045 1,940 2,001 1,505 Net reserve for losses and LAE at end of period 221,397 205,961 198,930 199,600 201,772 Plus: Reinsurance recoverables 24,005 20,656 17,958 16,357 14,618 Reserve for losses and LAE at end of period $ 245,402 $ 226,617 $ 216,888 $ 215,957 $ 216,390 (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 December 31, 2023 Number of Policies in Default Percentage of Policies in Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of Defaulted RIF ($ in thousands) Missed Payments: Three payments or less 7,288 49 % $ 44,607 20 % $ 527,419 8 % Four to eleven payments 5,421 37 97,424 43 417,876 23 Twelve or more payments 1,984 13 78,540 35 132,257 59 Pending claims 126 1 5,550 2 6,302 88 Total case reserves 14,819 100 % 226,121 100 % $ 1,083,854 21 IBNR 16,959 LAE 2,322 Total reserves for losses and LAE $ 245,402 Average reserve per default: Case $ 15.3 Total $ 16.6 Default Rate 1.80 % 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 % Exhibit M Essent Group Ltd. and Subsidiaries Supplemental Information Investments Available for Sale Investments Available for Sale by Asset Class Asset Class December 31, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent U.S. Treasury securities $ 996,382 18.9 % $ 556,438 11.7 % U.S. agency securities 7,195 0.1 49,058 1.0 U.S. agency mortgage-backed securities 821,346 15.6 783,743 16.5 Municipal debt securities 547,258 10.5 602,690 12.8 Non-U.S. government securities 67,447 1.3 62,399 1.3 Corporate debt securities 1,297,055 24.7 1,414,321 29.8 Residential and commercial mortgage securities 517,940 9.8 511,824 10.8 Asset-backed securities 564,995 10.7 624,561 13.2 Money market funds 444,121 8.4 136,591 2.9 Total investments available for sale $ 5,263,739 100.0 % $ 4,741,625 100.0 % Investments Available for Sale by Credit Rating Rating (1) December 31, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent Aaa $ 2,561,363 53.2 % $ 2,122,599 46.2 % Aa1 104,474 2.2 111,262 2.4 Aa2 291,501 6.0 325,241 7.1 Aa3 208,882 4.3 232,500 5.0 A1 377,188 7.8 396,095 8.6 A2 329,423 6.8 410,163 8.9 A3 253,081 5.3 268,928 5.8 Baa1 220,901 4.6 236,793 5.1 Baa2 226,449 4.7 221,308 4.8 Baa3 166,121 3.4 187,117 4.1 Below Baa3 80,235 1.7 93,028 2.0 Total (2) $ 4,819,618 100.0 % $ 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 $444,121 and $136,591 of money market funds at December 31, 2023 and December 31, 2022, respectively. Investments Available for Sale by Duration and Book Yield Effective Duration December 31, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent < 1 Year $ 1,892,074 35.9 % $ 1,245,839 26.3 % 1 to < 2 Years 371,583 7.1 534,038 11.3 2 to < 3 Years 538,775 10.2 511,701 10.8 3 to < 4 Years 402,668 7.6 525,683 11.1 4 to < 5 Years 376,722 7.2 400,540 8.4 5 or more Years 1,681,917 32.0 1,523,824 32.1 Total investments available for sale $ 5,263,739 100.0 % $ 4,741,625 100.0 % Pre-tax investment income yield: Three months ended December 31, 2023 3.62 % Year ended December 31, 2023 3.50 % Holding company net cash and investments available for sale: ($ in thousands) As of December 31, 2023 $ 693,507 As of December 31, 2022 $ 685,178 Exhibit N Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Company Capital 2023 2022 December 31 September 30 June 30 March 31 December 31 ($ in thousands) U.S. Mortgage Insurance Subsidiaries: Combined statutory capital (1) $ 3,376,117 $ 3,309,522 $ 3,243,086 $ 3,207,102 $ 3,178,151 Combined net risk in force (2) $ 34,549,500 $ 34,203,678 $ 34,019,643 $ 33,038,825 $ 32,265,701 Risk-to-capital ratios: (3) Essent Guaranty, Inc. 10.6:1 10.7:1 10.8:1 10.6:1 10.5:1 Essent Guaranty of PA, Inc. 0.4:1 0.5:1 0.5:1 0.5:1 0.6:1 Combined (4) 10.2:1 10.3:1 10.5:1 10.3:1 10.2:1 Essent Guaranty, Inc. PMIERs Data (5): Available Assets $ 3,379,936 $ 3,318,179 $ 3,245,481 $ 3,226,436 $ 3,191,047 Minimum Required Assets 1,985,545 1,910,659 1,991,741 1,917,769 1,832,363 PMIERs excess Available Assets $ 1,394,391 $ 1,407,520 $ 1,253,740 $ 1,308,667 $ 1,358,684 PMIERs sufficiency ratio (6) 170 % 174 % 163 % 168 % 174 % Essent Reinsurance Ltd.: Stockholder's equity (GAAP basis) $ 1,758,665 $ 1,684,122 $ 1,633,763 $ 1,573,013 $ 1,478,772 Net risk in force (2) $ 22,043,926 $ 21,739,419 $ 21,327,762 $ 20,305,111 $ 19,454,046 (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 December 31 September 30 June 30 March 31 December 31 Loss Ratio (1) 7.9 % 4.4 % 0.6 % (0.1 )% 2.0 % Expense Ratio (2) 27.0 % 27.3 % 19.8 % 22.8 % 22.6 % Combined Ratio 34.9 % 31.7 % 20.4 % 22.7 % 24.6 % 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 months and year ended December 31, 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 months and year ended December 31, 2023, in accordance with Regulation G: Three Months Ended December 31, 2023 Year Ended December 31, 2023 Consolidated Acquired Title Consolidated Excluding Title Consolidated Acquired Title Consolidated Excluding Title ($ in thousands) Revenues: Net premiums earned $ 245,614 $ 17,365 $ 228,249 $ 916,906 $ 37,969 $ 878,937 Net investment income 50,581 432 50,149 186,139 837 185,302 Realized investment losses, net (4,892 ) — (4,892 ) (7,204 ) — (7,204 ) Loss from other invested assets (421 ) — (421 ) (11,118 ) — (11,118 ) Settlement services (3) 1,475 1,475 — 3,512 3,512 — Other income 4,920 503 4,417 21,524 907 20,617 Total revenues 297,277 19,775 277,502 1,109,759 43,225 1,066,534 Losses and expenses: Provision (benefit) for losses and LAE 19,640 655 18,985 31,542 1,422 30,120 Other underwriting and operating expenses 55,248 11,595 43,653 200,431 25,061 175,370 Premiums retained by agents 11,475 11,475 — 24,650 24,650 — Interest expense 7,953 — 7,953 30,137 — 30,137 Total losses and expenses 94,316 23,725 70,591 286,760 51,133 235,627 Loss ratio (1) 7.9 % 3.5 % 8.3 % 3.4 % 3.4 % 3.4 % Expense ratio (2) 27.0 % 122.5 % 19.1 % 24.5 % 119.8 % 20.0 % Combined ratio 34.9 % 126.0 % 27.4 % 27.9 % 123.2 % 23.4 % (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/20240209440689/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 December 31, 2023 of $175.4 million or $1.64 per diluted share, compared to $147.4 million or $1.37 per diluted share for the quarter ended December 31, 2022. For the full year 2023, net income was $696.4 million or $6.50 per diluted share, compared to $831.4 million or $7.72 per diluted share for 2022. Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.28 per common share. The dividend is payable on March 22, 2024, to shareholders of record on March 13, 2024. “We are pleased with our fourth quarter and full year 2023 financial results, which benefited from favorable credit performance and higher interest rates,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results continue to demonstrate the earnings power of our business and provide us with attractive levels of operating cash flows, indicating the overall strength and stability of our franchise.” Financial Highlights: New insurance written for the fourth quarter of 2023 was $8.8 billion, compared to $12.5 billion in the third quarter of 2023 and $13.0 billion in the fourth quarter of 2022. Insurance in force as of December 31, 2023 was $239.1 billion, compared to $238.7 billion as of September 30, 2023 and $227.1 billion as of December 31, 2022. Net investment income for the fourth quarter of 2023 was $50.6 million, up 34% from the fourth quarter of 2022. In 2023, net investment income was $186.1 million, up 50% from 2022. On January 8, 2024, S&P Global Ratings raised its long-term financial strength and issuer credit ratings on Essent Guaranty, Inc. and Essent Reinsurance Ltd. to ‘A-’ from ‘BBB+’, with a stable outlook. 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 and Year Ended December 31, 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 December 31, Year Ended December 31, (In thousands, except per share amounts) 2023 2022 2023 2022 Revenues: Direct premiums written $ 269,255 $ 235,015 $ 1,028,781 $ 927,702 Ceded premiums (31,068 ) (34,289 ) (134,499 ) (107,673 ) Net premiums written 238,187 200,726 894,282 820,029 Decrease in unearned premiums 7,427 6,526 22,624 22,498 Net premiums earned 245,614 207,252 916,906 842,527 Net investment income 50,581 37,796 186,139 124,409 Realized investment gains (losses), net (4,892 ) (5,524 ) (7,204 ) (13,172 ) Income (loss) from other invested assets (421 ) (7,599 ) (11,118 ) 28,676 Other income (loss) 6,395 (1,888 ) 25,036 18,384 Total revenues 297,277 230,037 1,109,759 1,000,824 Losses and expenses: Provision (benefit) for losses and LAE 19,640 4,101 31,542 (174,704 ) Other underwriting and operating expenses 55,248 46,895 200,431 171,733 Premiums retained by agents 11,475 — 24,650 — Interest expense 7,953 6,045 30,137 15,608 Total losses and expenses 94,316 57,041 286,760 12,637 Income before income taxes 202,961 172,996 822,999 988,187 Income tax expense 27,594 25,630 126,613 156,834 Net income $ 175,367 $ 147,366 $ 696,386 $ 831,353 Earnings per share: Basic $ 1.66 $ 1.38 $ 6.56 $ 7.75 Diluted 1.64 1.37 6.50 7.72 Weighted average shares outstanding: Basic 105,733 106,881 106,222 107,205 Diluted 106,823 107,419 107,129 107,653 Net income $ 175,367 $ 147,366 $ 696,386 $ 831,353 Other comprehensive income (loss): Change in unrealized appreciation (depreciation) of investments 155,887 40,787 102,294 (433,497 ) Total other comprehensive income (loss) 155,887 40,787 102,294 (433,497 ) Comprehensive income $ 331,254 $ 188,153 $ 798,680 $ 397,856 Exhibit B Essent Group Ltd. and Subsidiaries Condensed Consolidated Balance Sheets (Unaudited) December 31, December 31, (In thousands, except per share amounts) 2023 2022 Assets Investments Fixed maturities available for sale, at fair value $ 4,335,008 $ 4,489,598 Short-term investments available for sale, at fair value 928,731 252,027 Total investments available for sale 5,263,739 4,741,625 Other invested assets 277,226 257,941 Total investments 5,540,965 4,999,566 Cash 141,787 81,240 Accrued investment income 35,689 33,162 Accounts receivable 63,266 57,399 Deferred policy acquisition costs 9,139 9,910 Property and equipment 41,304 19,571 Prepaid federal income tax 470,646 418,460 Goodwill and intangible assets, net 72,826 — Other assets 51,051 104,489 Total assets $ 6,426,673 $ 5,723,797 Liabilities and Stockholders' Equity Liabilities Reserve for losses and LAE $ 260,095 $ 216,464 Unearned premium reserve 140,285 162,887 Net deferred tax liability 362,753 356,810 Credit facility borrowings, net of deferred costs 421,920 420,864 Other accrued liabilities 139,070 104,463 Total liabilities 1,324,123 1,261,488 Commitments and contingencies Stockholders' Equity Common shares, $0.015 par value: Authorized - 233,333; issued and outstanding - 106,597 shares in 2023 and 107,683 shares in 2022 1,599 1,615 Additional paid-in capital 1,299,869 1,350,377 Accumulated other comprehensive (loss) income (280,496 ) (382,790 ) Retained earnings 4,081,578 3,493,107 Total stockholders' equity 5,102,550 4,462,309 Total liabilities and stockholders' equity $ 6,426,673 $ 5,723,797 Return on average equity 14.6 % 19.1 % Exhibit C Essent Group Ltd. and Subsidiaries Supplemental Information Consolidated Historical Quarterly Data 2023 2022 Selected Income Statement Data December 31 September 30 June 30 March 31 December 31 (In thousands, except per share amounts) Revenues: Net premiums earned: U.S. Mortgage Insurance Portfolio $ 211,083 $ 209,351 $ 195,502 $ 196,565 $ 192,670 GSE and other risk share 17,166 16,850 17,727 14,693 14,582 Title Insurance 17,365 20,604 — — — Net premiums earned 245,614 246,805 213,229 211,258 207,252 Net investment income 50,581 47,072 45,250 43,236 37,796 Realized investment gains (losses), net (4,892 ) (235 ) (1,589 ) (488 ) (5,524 ) Income (loss) from other invested assets (421 ) (3,143 ) (4,852 ) (2,702 ) (7,599 ) Other income (loss) (1) 6,395 5,609 8,090 4,942 (1,888 ) Total revenues 297,277 296,108 260,128 256,246 230,037 Losses and expenses: Provision (benefit) for losses and LAE 19,640 10,822 1,260 (180 ) 4,101 Other underwriting and operating expenses 55,248 54,814 42,174 48,195 46,895 Premiums retained by agents 11,475 13,175 — — — Interest expense 7,953 7,854 7,394 6,936 6,045 Total losses and expenses 94,316 86,665 50,828 54,951 57,041 Income before income taxes 202,961 209,443 209,300 201,295 172,996 Income tax expense (2) 27,594 31,484 37,067 30,468 25,630 Net income $ 175,367 $ 177,959 $ 172,233 $ 170,827 $ 147,366 Earnings per share: Basic $ 1.66 $ 1.68 $ 1.62 $ 1.60 $ 1.38 Diluted 1.64 1.66 1.61 1.59 1.37 Weighted average shares outstanding: Basic 105,733 105,979 106,249 106,943 106,881 Diluted 106,823 107,025 107,093 107,585 107,419 Book value per share $ 47.87 $ 44.98 $ 44.24 $ 43.18 $ 41.44 Return on average equity (annualized) 14.2 % 14.9 % 14.7 % 15.0 % 13.5 % 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) 7.11 % 7.07 % 6.87 % 6.52 % 6.02 % Debt-to-capital 7.69 % 8.12 % 8.24 % 8.38 % 8.70 % (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 December 31, 2023, September 30, 2023, June 30, 2023, March 31, 2023, and December 31, 2022 was $412, ($898), $2,726, ($368), and ($6,515), respectively. (2) Income tax expense for the quarters ended December 31, 2023, September 30, 2023, June 30, 2023, March 31, 2023 and December 31, 2022 includes ($1,132), ($763), ($888), ($368) and ($4,122), respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended December 31, 2023 also includes a $2,731 net benefit associated with the recognition of a deferred tax asset for unrealized losses on the investment portfolios of Essent Group and Essent Re upon the enactment of the Bermuda Corporate Income Tax. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns. Exhibit D Essent Group Ltd. and Subsidiaries Supplemental Information U.S Mortgage Insurance Portfolio Historical Quarterly Data 2023 2022 Other Data, continued: December 31 September 30 June 30 March 31 December 31 ($ in thousands) U.S. Mortgage Insurance Portfolio New insurance written $ 8,769,160 $ 12,505,823 $ 13,498,080 $ 12,893,789 $ 13,011,432 New risk written 2,409,340 3,458,467 3,726,513 3,548,015 3,522,726 Average insurance in force $ 239,005,961 $ 237,270,093 $ 233,484,941 $ 228,885,174 $ 224,840,675 Insurance in force (end of period) $ 239,078,262 $ 238,661,612 $ 235,649,884 $ 231,537,417 $ 227,062,055 Gross risk in force (end of period) (1) $ 64,061,374 $ 63,605,057 $ 62,403,400 $ 60,879,979 $ 59,276,489 Risk in force (end of period) $ 54,591,590 $ 53,920,308 $ 53,290,643 $ 51,469,312 $ 49,903,626 Policies in force 822,012 825,248 821,690 815,751 808,596 Weighted average coverage (2) 26.8 % 26.7 % 26.5 % 26.3 % 26.1 % Annual persistency 86.9 % 86.6 % 85.8 % 84.4 % 82.1 % Loans in default (count) 14,819 13,391 12,480 12,773 13,433 Percentage of loans in default 1.80 % 1.62 % 1.52 % 1.57 % 1.66 % 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) — % — % — % — % — % Gross average premium rate 0.40 % 0.40 % 0.40 % 0.40 % 0.40 % Ceded premiums (0.05 %) (0.05 %) (0.07 %) (0.06 %) (0.06 %) Net average premium rate 0.35 % 0.35 % 0.33 % 0.34 % 0.34 % (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 New Insurance Written: Flow NIW by Credit Score Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 ($ in thousands) >=760 $ 3,708,316 42.3 % $ 4,761,917 36.6 % $ 19,181,507 40.2 % $ 25,704,025 40.8 % 740-759 1,531,800 17.5 2,428,164 18.7 8,563,621 18.0 10,927,903 17.3 720-739 1,333,537 15.2 2,301,392 17.7 7,644,101 16.0 10,186,558 16.2 700-719 1,256,250 14.3 1,919,146 14.6 7,148,954 15.0 8,371,867 13.2 680-699 581,913 6.6 1,138,743 8.8 3,606,260 7.6 5,548,687 8.8 <=679 357,344 4.1 462,070 3.6 1,522,409 3.2 2,322,026 3.7 Total $ 8,769,160 100.0 % $ 13,011,432 100.0 % $ 47,666,852 100.0 % $ 63,061,066 100.0 % Weighted average credit score 747 744 746 746 NIW by LTV Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 ($ in thousands) 85.00% and below $ 642,636 7.3 % $ 1,121,853 8.6 % $ 3,443,647 7.2 % $ 5,678,058 9.0 % 85.01% to 90.00% 1,871,854 21.3 3,075,304 23.6 9,822,916 20.6 16,732,649 26.5 90.01% to 95.00% 4,660,032 53.1 7,464,333 57.4 26,043,728 54.6 33,925,998 53.8 95.01% and above 1,594,638 18.3 1,349,942 10.4 8,356,561 17.6 6,724,361 10.7 Total $ 8,769,160 100.0 % $ 13,011,432 100.0 % $ 47,666,852 100.0 % $ 63,061,066 100.0 % Weighted average LTV 93 % 93 % 93 % 93 % NIW by Product Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 Single Premium policies 2.5 % 4.3 % 3.5 % 5.6 % Monthly Premium policies 97.5 95.7 96.5 94.4 100.0 % 100.0 % 100.0 % 100.0 % NIW by Purchase vs. Refinance Three Months Ended Year Ended December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 Purchase 98.7 % 98.9 % 98.8 % 97.6 % Refinance 1.3 1.1 1.2 2.4 100.0 % 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 December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) >=760 $ 97,085,244 40.6 % $ 97,027,348 40.7 % $ 93,389,066 41.1 % 740-759 41,490,720 17.4 41,362,480 17.3 38,842,311 17.2 720-739 37,435,781 15.7 37,297,809 15.6 34,981,632 15.4 700-719 31,932,469 13.4 31,674,346 13.3 29,146,543 12.8 680-699 19,780,944 8.3 19,850,176 8.3 18,859,824 8.3 <=679 11,353,104 4.6 11,449,453 4.8 11,842,679 5.2 Total $ 239,078,262 100.0 % $ 238,661,612 100.0 % $ 227,062,055 100.0 % Weighted average credit score 746 746 746 Gross RIF by FICO score December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) >=760 $ 25,752,549 40.2 % $ 25,594,262 40.1 % $ 24,152,726 40.8 % 740-759 11,268,607 17.6 11,165,727 17.6 10,255,195 17.3 720-739 10,179,683 15.9 10,090,889 15.9 9,276,750 15.6 700-719 8,687,001 13.6 8,568,811 13.5 7,696,965 13.0 680-699 5,330,894 8.3 5,327,434 8.4 4,963,470 8.4 <=679 2,842,640 4.4 2,857,934 4.5 2,931,383 4.9 Total $ 64,061,374 100.0 % $ 63,605,057 100.0 % $ 59,276,489 100.0 % Portfolio by LTV IIF by LTV December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) 85.00% and below $ 19,869,776 8.3 % $ 21,226,685 8.9 % $ 24,454,468 10.8 % 85.01% to 90.00% 62,973,580 26.3 63,374,562 26.6 63,436,445 27.8 90.01% to 95.00% 119,764,184 50.1 118,461,030 49.6 107,932,064 47.6 95.01% and above 36,470,722 15.3 35,599,335 14.9 31,239,078 13.8 Total $ 239,078,262 100.0 % $ 238,661,612 100.0 % $ 227,062,055 100.0 % Weighted average LTV 93 % 93 % 92 % Gross RIF by LTV December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) 85.00% and below $ 2,364,232 3.7 % $ 2,525,753 4.0 % $ 2,903,877 4.9 % 85.01% to 90.00% 15,494,172 24.2 15,566,095 24.5 15,477,031 26.1 90.01% to 95.00% 35,260,761 55.0 34,848,762 54.8 31,642,669 53.4 95.01% and above 10,942,209 17.1 10,664,447 16.7 9,252,912 15.6 Total $ 64,061,374 100.0 % $ 63,605,057 100.0 % $ 59,276,489 100.0 % Portfolio by Loan Amortization Period IIF by Loan Amortization Period December 31, 2023 September 30, 2023 December 31, 2022 ($ in thousands) FRM 30 years and higher $ 232,995,380 97.5 % $ 232,186,999 97.3 % $ 219,416,408 96.7 % FRM 20-25 years 1,685,700 0.7 1,910,610 0.8 2,601,108 1.1 FRM 15 years 1,505,759 0.6 1,719,467 0.7 2,552,931 1.1 ARM 5 years and higher 2,891,423 1.2 2,844,536 1.2 2,491,608 1.1 Total $ 239,078,262 100.0 % $ 238,661,612 100.0 % $ 227,062,055 100.0 % Exhibit G Essent Group Ltd. and Subsidiaries Supplemental Information Other Risk in Force 2023 2022 ($ in thousands) December 31 September 30 June 30 March 31 December 31 GSE and other risk share (1): Risk in Force $ 2,244,944 $ 2,247,393 $ 2,276,702 $ 2,098,033 $ 2,030,571 Reserve for losses and LAE $ 29 $ 54 $ 55 $ 65 $ 74 Weighted average credit score 749 749 749 749 749 Weighted average LTV 82 % 82 % 83 % 83 % 83 % (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 December 31, 2023 Insurance in Force Year Original Insurance Written ($ in thousands) Remaining Insurance in Force ($ in thousands) % Remaining of Original Insurance Number of Policies in Force Weighted Average Coupon % Purchase >90% LTV >95% LTV FICO < 700 FICO >= 760 Incurred Loss Ratio (Inception to Date) (1) Number of Loans in Default Percentage of Loans in Default 2010 - 2014 $ 60,668,851 $ 1,432,521 2.4 % 8,762 4.31 % 71.2 % 59.2 % 7.3 % 14.6 % 44.4 % 2.5 % 379 4.33 % 2015 26,193,656 1,345,073 5.1 8,143 4.23 82.9 72.5 5.0 18.2 39.1 2.5 319 3.92 2016 34,949,319 3,015,806 8.6 17,568 3.90 87.6 80.8 12.4 16.0 42.2 2.2 545 3.10 2017 43,858,322 4,792,840 10.9 28,705 4.28 91.4 72.6 21.0 20.5 37.6 3.4 1,166 4.06 2018 47,508,525 5,570,630 11.7 31,331 4.79 94.9 72.0 26.2 21.7 32.6 4.5 1,498 4.78 2019 63,569,183 12,360,264 19.4 59,051 4.23 88.4 69.0 24.9 18.8 35.4 4.3 1,913 3.24 2020 107,944,065 46,454,833 43.0 178,941 3.19 69.0 57.5 13.3 10.8 45.6 3.1 2,511 1.40 2021 84,218,250 61,442,213 73.0 200,700 3.09 86.9 63.3 15.6 13.8 40.5 7.1 3,410 1.70 2022 63,061,262 56,943,590 90.3 162,074 5.07 97.9 65.4 11.2 12.6 39.7 20.1 2,456 1.52 2023 47,666,852 45,720,492 95.9 126,737 6.66 98.8 72.4 18.1 10.9 39.4 14.5 622 0.49 Total $ 579,638,285 $ 239,078,262 41.2 822,012 4.41 88.5 65.3 15.3 13.0 40.6 4.4 14,819 1.80 (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 December 31, 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 $ — $ — $ — $ — $ — $ — $ — $ (644 ) $ 1,137 $ — Radnor Re 2019-1 Jan. 2018 - Dec. 2018 — — — — — — — (513 ) 12,894 — Radnor Re 2019-2 Jan. 2015 - Dec. 2016 — — — — — — — (175 ) 44 — Radnor Re 2020-1 Jan. 2019 - Aug. 2019 6,887,869 1,797,683 495,889 2,350 — 215,605 213,230 748 6,536 — Radnor Re 2021-1 Aug. 2020 - Mar. 2021 31,673,378 8,233,067 557,911 309,199 — 278,956 278,638 2,764 11,558 232,809 Radnor Re 2021-2 Apr. 2021 - Sep. 2021 35,958,961 9,735,395 439,407 339,890 — 279,415 279,051 3,898 16,059 276,777 Radnor Re 2022-1 Oct. 2021 - Jul. 2022 31,520,927 8,522,229 237,868 231,142 — 303,761 303,324 4,311 17,092 212,651 Radnor Re 2023-1 Aug. 2022 - Jun. 2023 30,639,242 8,380,934 281,462 281,462 — 281,463 281,463 3,641 6,759 266,826 Total $ 136,680,377 $ 36,669,308 $ 2,012,537 $ 1,164,043 $ — $ 1,359,200 $ 1,355,706 $ 14,030 $ 72,079 $ 989,063 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 $ — $ — $ — $ — $ — $ — $ — $ — $ 955 $ — XOL 2019-1 Jan. 2018 - Dec. 2018 5,503,086 1,441,695 118,650 76,144 — 253,643 245,894 627 2,489 — XOL 2020-1 Jan. 2019 - Dec. 2019 6,887,869 1,797,683 55,102 36,403 — 215,605 213,230 (4) 290 1,221 — XOL 2022-1 Oct. 2021 - Dec. 2022 70,477,115 19,058,430 141,992 141,992 — 507,114 506,183 1,611 6,390 138,081 Total $ 82,868,070 $ 22,297,808 $ 315,744 $ 254,539 $ — $ 976,362 $ 965,220 $ 2,528 $ 11,055 $ 138,081 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) $ 51,655,811 $ 13,558,839 $ 11,586,936 $ 3,004,059 $ (164 ) $ (2,372 ) $ 2,493 $ 10,836 $ 4,448 $ 17,675 $ 178,426 Jan. 2022 - Dec. 2022 20 % 56,890,266 15,401,694 11,378,053 3,080,339 2,258 9,731 1,921 7,801 5,908 24,554 233,244 Jan. 2023 - Dec. 2023 17.5 % 40,609,952 11,238,879 7,106,742 1,966,804 1,461 2,584 1,283 3,120 4,154 9,136 142,432 Total $ 149,156,029 $ 40,199,412 $ 30,071,731 $ 8,051,202 $ 3,555 $ 9,943 $ 5,697 $ 21,757 $ 14,510 $ 51,365 $ 554,102 (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 December 31, 2023 September 30, 2023 December 31, 2022 CA 13.0 % 13.0 % 13.2 % FL 11.1 11.0 10.2 TX 10.5 10.5 10.4 CO 4.1 4.1 4.2 AZ 3.7 3.7 3.5 WA 3.5 3.4 3.4 GA 3.4 3.4 3.2 NC 2.9 2.8 2.7 VA 2.8 2.8 3.0 IL 2.8 2.8 3.1 All Others 42.2 42.5 43.1 Total 100.0 % 100.0 % 100.0 % Gross RIF by State December 31, 2023 September 30, 2023 December 31, 2022 CA 12.8 % 12.9 % 13.0 % FL 11.4 11.3 10.5 TX 10.9 10.8 10.7 CO 4.0 4.0 4.1 AZ 3.8 3.8 3.6 WA 3.5 3.4 3.3 GA 3.4 3.5 3.2 NC 2.9 2.9 2.7 VA 2.7 2.8 3.0 IL 2.7 2.8 3.0 All Others 41.9 41.8 42.9 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 December 31 September 30 June 30 March 31 December 31 Beginning default inventory 13,391 12,480 12,773 13,433 12,435 Plus: new defaults (A) 9,007 7,953 6,575 7,015 7,505 Less: cures (7,418 ) (6,902 ) (6,761 ) (7,574 ) (6,425 ) Less: claims paid (148 ) (129 ) (96 ) (94 ) (73 ) Less: rescissions and denials, net (13 ) (11 ) (11 ) (7 ) (9 ) Ending default inventory 14,819 13,391 12,480 12,773 13,433 (A) New defaults remaining as of December 31, 2023 6,514 3,000 1,772 1,056 730 Cure rate (1) 28 % 62 % 73 % 85 % 90 % Total amount paid for claims (in thousands) $ 3,411 $ 2,956 $ 1,890 $ 1,959 $ 1,441 Average amount paid per claim (in thousands) $ 23 $ 23 $ 20 $ 21 $ 20 Severity 54 % 66 % 58 % 59 % 46 % Rollforward of Reserve for Losses and LAE Three Months Ended 2023 2022 ($ in thousands) December 31 September 30 June 30 March 31 December 31 Reserve for losses and LAE at beginning of period $ 226,617 $ 216,888 $ 215,957 $ 216,390 $ 212,392 Less: Reinsurance recoverables 20,656 17,958 16,357 14,618 13,244 Net reserve for losses and LAE at beginning of period 205,961 198,930 199,600 201,772 199,148 Add provision for losses and LAE occurring in: Current period 38,922 35,609 31,377 32,693 36,141 Prior years (19,912 ) (25,533 ) (30,107 ) (32,864 ) (32,012 ) Incurred losses and LAE during the period 19,010 10,076 1,270 (171 ) 4,129 Deduct payments for losses and LAE occurring in: Current period 330 156 31 — 113 Prior years 3,244 2,889 1,909 2,001 1,392 Loss and LAE payments during the period 3,574 3,045 1,940 2,001 1,505 Net reserve for losses and LAE at end of period 221,397 205,961 198,930 199,600 201,772 Plus: Reinsurance recoverables 24,005 20,656 17,958 16,357 14,618 Reserve for losses and LAE at end of period $ 245,402 $ 226,617 $ 216,888 $ 215,957 $ 216,390 (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 December 31, 2023 Number of Policies in Default Percentage of Policies in Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of Defaulted RIF ($ in thousands) Missed Payments: Three payments or less 7,288 49 % $ 44,607 20 % $ 527,419 8 % Four to eleven payments 5,421 37 97,424 43 417,876 23 Twelve or more payments 1,984 13 78,540 35 132,257 59 Pending claims 126 1 5,550 2 6,302 88 Total case reserves 14,819 100 % 226,121 100 % $ 1,083,854 21 IBNR 16,959 LAE 2,322 Total reserves for losses and LAE $ 245,402 Average reserve per default: Case $ 15.3 Total $ 16.6 Default Rate 1.80 % 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 % Exhibit M Essent Group Ltd. and Subsidiaries Supplemental Information Investments Available for Sale Investments Available for Sale by Asset Class Asset Class December 31, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent U.S. Treasury securities $ 996,382 18.9 % $ 556,438 11.7 % U.S. agency securities 7,195 0.1 49,058 1.0 U.S. agency mortgage-backed securities 821,346 15.6 783,743 16.5 Municipal debt securities 547,258 10.5 602,690 12.8 Non-U.S. government securities 67,447 1.3 62,399 1.3 Corporate debt securities 1,297,055 24.7 1,414,321 29.8 Residential and commercial mortgage securities 517,940 9.8 511,824 10.8 Asset-backed securities 564,995 10.7 624,561 13.2 Money market funds 444,121 8.4 136,591 2.9 Total investments available for sale $ 5,263,739 100.0 % $ 4,741,625 100.0 % Investments Available for Sale by Credit Rating Rating (1) December 31, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent Aaa $ 2,561,363 53.2 % $ 2,122,599 46.2 % Aa1 104,474 2.2 111,262 2.4 Aa2 291,501 6.0 325,241 7.1 Aa3 208,882 4.3 232,500 5.0 A1 377,188 7.8 396,095 8.6 A2 329,423 6.8 410,163 8.9 A3 253,081 5.3 268,928 5.8 Baa1 220,901 4.6 236,793 5.1 Baa2 226,449 4.7 221,308 4.8 Baa3 166,121 3.4 187,117 4.1 Below Baa3 80,235 1.7 93,028 2.0 Total (2) $ 4,819,618 100.0 % $ 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 $444,121 and $136,591 of money market funds at December 31, 2023 and December 31, 2022, respectively. Investments Available for Sale by Duration and Book Yield Effective Duration December 31, 2023 December 31, 2022 ($ in thousands) Fair Value Percent Fair Value Percent < 1 Year $ 1,892,074 35.9 % $ 1,245,839 26.3 % 1 to < 2 Years 371,583 7.1 534,038 11.3 2 to < 3 Years 538,775 10.2 511,701 10.8 3 to < 4 Years 402,668 7.6 525,683 11.1 4 to < 5 Years 376,722 7.2 400,540 8.4 5 or more Years 1,681,917 32.0 1,523,824 32.1 Total investments available for sale $ 5,263,739 100.0 % $ 4,741,625 100.0 % Pre-tax investment income yield: Three months ended December 31, 2023 3.62 % Year ended December 31, 2023 3.50 % Holding company net cash and investments available for sale: ($ in thousands) As of December 31, 2023 $ 693,507 As of December 31, 2022 $ 685,178 Exhibit N Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Company Capital 2023 2022 December 31 September 30 June 30 March 31 December 31 ($ in thousands) U.S. Mortgage Insurance Subsidiaries: Combined statutory capital (1) $ 3,376,117 $ 3,309,522 $ 3,243,086 $ 3,207,102 $ 3,178,151 Combined net risk in force (2) $ 34,549,500 $ 34,203,678 $ 34,019,643 $ 33,038,825 $ 32,265,701 Risk-to-capital ratios: (3) Essent Guaranty, Inc. 10.6:1 10.7:1 10.8:1 10.6:1 10.5:1 Essent Guaranty of PA, Inc. 0.4:1 0.5:1 0.5:1 0.5:1 0.6:1 Combined (4) 10.2:1 10.3:1 10.5:1 10.3:1 10.2:1 Essent Guaranty, Inc. PMIERs Data (5): Available Assets $ 3,379,936 $ 3,318,179 $ 3,245,481 $ 3,226,436 $ 3,191,047 Minimum Required Assets 1,985,545 1,910,659 1,991,741 1,917,769 1,832,363 PMIERs excess Available Assets $ 1,394,391 $ 1,407,520 $ 1,253,740 $ 1,308,667 $ 1,358,684 PMIERs sufficiency ratio (6) 170 % 174 % 163 % 168 % 174 % Essent Reinsurance Ltd.: Stockholder's equity (GAAP basis) $ 1,758,665 $ 1,684,122 $ 1,633,763 $ 1,573,013 $ 1,478,772 Net risk in force (2) $ 22,043,926 $ 21,739,419 $ 21,327,762 $ 20,305,111 $ 19,454,046 (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 December 31 September 30 June 30 March 31 December 31 Loss Ratio (1) 7.9 % 4.4 % 0.6 % (0.1 )% 2.0 % Expense Ratio (2) 27.0 % 27.3 % 19.8 % 22.8 % 22.6 % Combined Ratio 34.9 % 31.7 % 20.4 % 22.7 % 24.6 % 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 months and year ended December 31, 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 months and year ended December 31, 2023, in accordance with Regulation G: Three Months Ended December 31, 2023 Year Ended December 31, 2023 Consolidated Acquired Title Consolidated Excluding Title Consolidated Acquired Title Consolidated Excluding Title ($ in thousands) Revenues: Net premiums earned $ 245,614 $ 17,365 $ 228,249 $ 916,906 $ 37,969 $ 878,937 Net investment income 50,581 432 50,149 186,139 837 185,302 Realized investment losses, net (4,892 ) — (4,892 ) (7,204 ) — (7,204 ) Loss from other invested assets (421 ) — (421 ) (11,118 ) — (11,118 ) Settlement services (3) 1,475 1,475 — 3,512 3,512 — Other income 4,920 503 4,417 21,524 907 20,617 Total revenues 297,277 19,775 277,502 1,109,759 43,225 1,066,534 Losses and expenses: Provision (benefit) for losses and LAE 19,640 655 18,985 31,542 1,422 30,120 Other underwriting and operating expenses 55,248 11,595 43,653 200,431 25,061 175,370 Premiums retained by agents 11,475 11,475 — 24,650 24,650 — Interest expense 7,953 — 7,953 30,137 — 30,137 Total losses and expenses 94,316 23,725 70,591 286,760 51,133 235,627 Loss ratio (1) 7.9 % 3.5 % 8.3 % 3.4 % 3.4 % 3.4 % Expense ratio (2) 27.0 % 122.5 % 19.1 % 24.5 % 119.8 % 20.0 % Combined ratio 34.9 % 126.0 % 27.4 % 27.9 % 123.2 % 23.4 % (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/20240209440689/en/
Media Contact 610.230.0556 media@essentgroup.com Investor Relations Contact Philip Stefano Vice President, Investor Relations 855-809-ESNT ir@essentgroup.com