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 First Quarter 2024 Results and Declares Quarterly Dividend By: Essent Group Ltd. via Business Wire May 03, 2024 at 06:30 AM EDT Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2024 of $181.7 million or $1.70 per diluted share, compared to $170.8 million or $1.59 per diluted share for the quarter ended March 31, 2023. 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 June 10, 2024, to shareholders of record on May 31, 2024. “We are pleased with our financial results in the first quarter, as our high-quality portfolio and consumer resilience have translated to favorable credit performance, and the current rate environment has benefited investment income and persistency,” said Mark A. Casale, Chairman and Chief Executive Officer. “The Essent franchise continues to grow, propelled by the strong performance of our mortgage insurance and reinsurance operations, and integration of the title business.” Financial Highlights: New insurance written for the first quarter of 2024 was $8.3 billion, compared to $8.8 billion in the fourth quarter of 2023 and $12.9 billion in the first quarter of 2023. Insurance in force as of March 31, 2024 was $238.5 billion, compared to $239.1 billion as of December 31, 2023 and $231.5 billion as of March 31, 2023. Net investment income for the first quarter of 2024 was $52.1 million, up 20% from the first quarter of 2023. During the first quarter of 2024, we entered into a quota share reinsurance transaction with a panel of highly rated third-party reinsurers. The quota share agreement covers 15% of all eligible policies written by Essent Guaranty, Inc. in the calendar year 2024. 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. On March 27, 2024, Moody’s Ratings affirmed the A3 insurance financial strength rating of Essent Guaranty, Inc. and raised the outlook to positive from stable. 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, 2023 filed with the Securities and Exchange Commission on February 16, 2024, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise. About the Company: Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which serves the housing finance industry by offering private mortgage insurance, reinsurance, risk management products and title insurance and settlement services to mortgage lenders, borrowers, and investors to support homeownership. Additional information regarding Essent may be found at www.essentgroup.com. Source: Essent Group Ltd. Essent Group Ltd. and Subsidiaries Financial Results and Supplemental Information (Unaudited) Quarter Ended March 31, 2024 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 - U.S. Mortgage Insurance Portfolio Exhibit L Detail of Reserves by Default Delinquency - U.S. Mortgage Insurance Portfolio Exhibit M Investments Available for Sale Exhibit N U.S. Mortgage Insurance Company Capital Exhibit O 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 March 31, (In thousands, except per share amounts) 2024 2023 Revenues: Direct premiums written $ 268,931 $ 239,491 Ceded premiums (30,391 ) (33,591 ) Net premiums written 238,540 205,900 Decrease in unearned premiums 7,050 5,358 Net premiums earned 245,590 211,258 Net investment income 52,085 43,236 Realized investment gains (losses), net (1,140 ) (488 ) Income (loss) from other invested assets (1,915 ) (2,702 ) Other income 3,737 4,942 Total revenues 298,357 256,246 Losses and expenses: Provision (benefit) for losses and LAE 9,913 (180 ) Other underwriting and operating expenses 57,349 48,195 Premiums retained by agents 9,491 — Interest expense 7,862 6,936 Total losses and expenses 84,615 54,951 Income before income taxes 213,742 201,295 Income tax expense 32,023 30,468 Net income $ 181,719 $ 170,827 Earnings per share: Basic $ 1.72 $ 1.60 Diluted 1.70 1.59 Weighted average shares outstanding: Basic 105,697 106,943 Diluted 106,770 107,585 Net income $ 181,719 $ 170,827 Other comprehensive income (loss): Change in unrealized appreciation (depreciation) of investments (21,766 ) 58,753 Total other comprehensive income (loss) (21,766 ) 58,753 Comprehensive income $ 159,953 $ 229,580 Exhibit B Essent Group Ltd. and Subsidiaries Condensed Consolidated Balance Sheets (Unaudited) March 31, December 31, (In thousands, except per share amounts) 2024 2023 Assets Investments Fixed maturities available for sale, at fair value $ 4,172,237 $ 4,335,008 Short-term investments available for sale, at fair value 1,196,837 928,731 Total investments available for sale 5,369,074 5,263,739 Other invested assets 279,625 277,226 Total investments 5,648,699 5,540,965 Cash 164,255 141,787 Accrued investment income 35,817 35,689 Accounts receivable 68,932 63,266 Deferred policy acquisition costs 8,980 9,139 Property and equipment 43,751 41,304 Prepaid federal income tax 467,183 470,646 Goodwill and intangible assets, net 72,271 72,826 Other assets 55,095 51,051 Total assets $ 6,564,983 $ 6,426,673 Liabilities and Stockholders' Equity Liabilities Reserve for losses and LAE $ 267,324 $ 260,095 Unearned premium reserve 133,235 140,285 Net deferred tax liability 368,955 362,753 Credit facility borrowings, net of deferred costs 422,184 421,920 Other accrued liabilities 147,131 139,070 Total liabilities 1,338,829 1,324,123 Commitments and contingencies Stockholders' Equity Common shares, $0.015 par value: Authorized - 233,333; issued and outstanding - 106,742 shares in 2024 and 106,597 shares in 2023 1,601 1,599 Additional paid-in capital 1,293,424 1,299,869 Accumulated other comprehensive loss (302,262 ) (280,496 ) Retained earnings 4,233,391 4,081,578 Total stockholders' equity 5,226,154 5,102,550 Total liabilities and stockholders' equity $ 6,564,983 $ 6,426,673 Return on average equity (1) 14.1 % 14.6 % (1) The 2024 return on average equity is calculated by dividing annualized year-to-date 2024 net income by average equity. The 2023 return on average equity is calculated by dividing full year 2023 net income by average equity. Exhibit C Essent Group Ltd. and Subsidiaries Supplemental Information Consolidated Historical Quarterly Data 2024 2023 Selected Income Statement Data March 31 December 31 September 30 June 30 March 31 (In thousands, except per share amounts) Revenues: Net premiums earned: U.S. Mortgage Insurance Portfolio $ 212,479 $ 211,083 $ 209,351 $ 195,502 $ 196,565 GSE and other risk share 17,826 17,166 16,850 17,727 14,693 Title insurance 15,285 17,365 20,604 — — Net premiums earned 245,590 245,614 246,805 213,229 211,258 Net investment income 52,085 50,581 47,072 45,250 43,236 Realized investment (losses) gains, net (1,140 ) (4,892 ) (235 ) (1,589 ) (488 ) (Loss) income from other invested assets (1,915 ) (421 ) (3,143 ) (4,852 ) (2,702 ) Other income (loss) (1) 3,737 6,395 5,609 8,090 4,942 Total revenues 298,357 297,277 296,108 260,128 256,246 Losses and expenses: Provision (benefit) for losses and LAE 9,913 19,640 10,822 1,260 (180 ) Other underwriting and operating expenses 57,349 55,248 54,814 42,174 48,195 Premiums retained by agents 9,491 11,475 13,175 — — Interest expense 7,862 7,953 7,854 7,394 6,936 Total losses and expenses 84,615 94,316 86,665 50,828 54,951 Income before income taxes 213,742 202,961 209,443 209,300 201,295 Income tax expense (2) 32,023 27,594 31,484 37,067 30,468 Net income $ 181,719 $ 175,367 $ 177,959 $ 172,233 $ 170,827 Earnings per share: Basic $ 1.72 $ 1.66 $ 1.68 $ 1.62 $ 1.60 Diluted 1.70 1.64 1.66 1.61 1.59 Weighted average shares outstanding: Basic 105,697 105,733 105,979 106,249 106,943 Diluted 106,770 106,823 107,025 107,093 107,585 Book value per share $ 48.96 $ 47.87 $ 44.98 $ 44.24 $ 43.18 Return on average equity (annualized) 14.1 % 14.2 % 14.9 % 14.7 % 15.0 % 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) 7.06 % 7.11 % 7.07 % 6.87 % 6.52 % Debt-to-capital 7.52 % 7.69 % 8.12 % 8.24 % 8.38 % (1) Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, were ($1,902), $412, ($898), $2,726, and ($368), respectively. (2) Income tax expense for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023 includes ($1,041), ($1,132), ($763), ($888) and ($368), respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2024 also includes ($616) of excess tax benefits associated with the vesting of common shares and common share units. 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 $5,295 of net discrete tax expense associated with prior year tax returns. Exhibit D Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Historical Quarterly Data 2024 2023 Other Data: March 31 December 31 September 30 June 30 March 31 ($ in thousands) U.S. Mortgage Insurance Portfolio New insurance written $ 8,323,544 $ 8,769,160 $ 12,505,823 $ 13,498,080 $ 12,893,789 New risk written 2,289,508 2,409,340 3,458,467 3,726,513 3,548,015 Average insurance in force $ 238,595,268 $ 239,005,961 $ 237,270,093 $ 233,484,941 $ 228,885,174 Insurance in force (end of period) $ 238,477,402 $ 239,078,262 $ 238,661,612 $ 235,649,884 $ 231,537,417 Gross risk in force (end of period) (1) $ 64,247,810 $ 64,061,374 $ 63,605,057 $ 62,403,400 $ 60,879,979 Risk in force (end of period) $ 54,686,533 $ 54,591,590 $ 53,920,308 $ 53,290,643 $ 51,469,312 Policies in force 815,752 822,012 825,248 821,690 815,751 Weighted average coverage (2) 26.9 % 26.8 % 26.7 % 26.5 % 26.3 % Annual persistency 86.9 % 86.9 % 86.6 % 85.8 % 84.4 % Loans in default (count) 13,992 14,819 13,391 12,480 12,773 Percentage of loans in default 1.72 % 1.80 % 1.62 % 1.52 % 1.57 % U.S. Mortgage Insurance Portfolio premium rate: Base average premium rate (3) 0.41 % 0.40 % 0.40 % 0.40 % 0.40 % Single premium cancellations (4) — % — % — % — % — % Gross average premium rate 0.41 % 0.40 % 0.40 % 0.40 % 0.40 % Ceded premiums (0.05 %) (0.05 %) (0.05 %) (0.07 %) (0.06 %) Net average premium rate 0.36 % 0.35 % 0.35 % 0.33 % 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 - U.S. Mortgage Insurance Portfolio New Insurance Written: Flow NIW by Credit Score Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) >=760 $ 3,596,600 43.2 % $ 3,708,316 42.3 % $ 4,847,058 37.7 % 740-759 1,410,446 16.9 1,531,800 17.5 2,397,982 18.6 720-739 1,244,648 15.0 1,333,537 15.2 2,204,844 17.1 700-719 1,140,430 13.7 1,256,250 14.3 2,002,892 15.5 680-699 563,419 6.8 581,913 6.6 1,100,815 8.5 <=679 368,001 4.4 357,344 4.1 340,198 2.6 Total $ 8,323,544 100.0 % $ 8,769,160 100.0 % $ 12,893,789 100.0 % Weighted average credit score 747 747 745 NIW by LTV Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) 85.00% and below $ 559,899 6.7 % $ 642,636 7.3 % $ 963,009 7.5 % 85.01% to 90.00% 1,732,131 20.8 1,871,854 21.3 2,685,828 20.8 90.01% to 95.00% 4,517,655 54.3 4,660,032 53.1 7,430,113 57.6 95.01% and above 1,513,859 18.2 1,594,638 18.3 1,814,839 14.1 Total $ 8,323,544 100.0 % $ 8,769,160 100.0 % $ 12,893,789 100.0 % Weighted average LTV 93 % 93 % 93 % NIW by Product Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 Single Premium policies 2.0 % 2.5 % 4.1 % Monthly Premium policies 98.0 97.5 95.9 100.0 % 100.0 % 100.0 % NIW by Purchase vs. Refinance Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 Purchase 97.4 % 98.7 % 98.6 % Refinance 2.6 1.3 1.4 100.0 % 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 March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) >=760 $ 96,712,431 40.6 % $ 97,085,244 40.6 % $ 94,560,292 40.8 % 740-759 41,477,680 17.4 41,490,720 17.4 39,870,193 17.2 720-739 37,342,339 15.7 37,435,781 15.7 35,950,319 15.5 700-719 32,023,895 13.4 31,932,469 13.4 30,103,007 13.0 680-699 19,664,999 8.2 19,780,944 8.3 19,338,187 8.4 <=679 11,256,058 4.7 11,353,104 4.6 11,715,419 5.1 Total $ 238,477,402 100.0 % $ 239,078,262 100.0 % $ 231,537,417 100.0 % Weighted average credit score 746 746 746 Gross RIF by FICO score March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) >=760 $ 25,806,552 40.2 % $ 25,752,549 40.2 % $ 24,613,214 40.4 % 740-759 11,326,253 17.6 11,268,607 17.6 10,612,582 17.4 720-739 10,206,055 15.9 10,179,683 15.9 9,602,368 15.8 700-719 8,757,648 13.6 8,687,001 13.6 8,017,430 13.2 680-699 5,321,802 8.3 5,330,894 8.3 5,126,581 8.4 <=679 2,829,500 4.4 2,842,640 4.4 2,907,804 4.8 Total $ 64,247,810 100.0 % $ 64,061,374 100.0 % $ 60,879,979 100.0 % Portfolio by LTV IIF by LTV March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) 85.00% and below $ 18,397,395 7.7 % $ 19,869,776 8.3 % $ 23,502,232 10.2 % 85.01% to 90.00% 62,218,749 26.1 62,973,580 26.3 63,478,244 27.3 90.01% to 95.00% 120,666,455 50.6 119,764,184 50.1 112,184,833 48.5 95.01% and above 37,194,803 15.6 36,470,722 15.3 32,372,108 14.0 Total $ 238,477,402 100.0 % $ 239,078,262 100.0 % $ 231,537,417 100.0 % Weighted average LTV 93 % 93 % 92 % Gross RIF by LTV March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) 85.00% and below $ 2,188,074 3.4 % $ 2,364,232 3.7 % $ 2,793,895 4.6 % 85.01% to 90.00% 15,329,091 23.9 15,494,172 24.2 15,529,427 25.5 90.01% to 95.00% 35,556,840 55.3 35,260,761 55.0 32,929,489 54.1 95.01% and above 11,173,805 17.4 10,942,209 17.1 9,627,168 15.8 Total $ 64,247,810 100.0 % $ 64,061,374 100.0 % $ 60,879,979 100.0 % Portfolio by Loan Amortization Period IIF by Loan Amortization Period March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) FRM 30 years and higher $ 232,753,590 97.6 % $ 232,995,380 97.5 % $ 224,230,607 96.8 % FRM 20-25 years 1,473,431 0.6 1,685,700 0.7 2,364,623 1.0 FRM 15 years 1,359,795 0.6 1,505,759 0.6 2,214,448 1.0 ARM 5 years and higher 2,890,586 1.2 2,891,423 1.2 2,727,739 1.2 Total $ 238,477,402 100.0 % $ 239,078,262 100.0 % $ 231,537,417 100.0 % Exhibit G Essent Group Ltd. and Subsidiaries Supplemental Information Other Risk in Force 2024 2023 ($ in thousands) March 31 December 31 September 30 June 30 March 31 GSE and other risk share (1): Risk in Force $ 2,307,267 $ 2,244,944 $ 2,247,393 $ 2,276,702 $ 2,098,033 Reserve for losses and LAE $ 32 $ 29 $ 54 $ 55 $ 65 Weighted average credit score 750 749 749 749 749 Weighted average LTV 82 % 82 % 82 % 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 March 31, 2024 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 $ 1,337,665 2.2 % 8,083 4.29 % 70.1 % 57.2 % 7.3 % 13.4 % 45.5 % 2.4 % 318 3.93 % 2015 26,193,656 1,192,019 4.6 7,166 4.25 81.6 70.1 5.3 18.3 39.0 2.3 265 3.70 2016 34,949,319 2,778,784 8.0 16,341 3.91 87.2 80.1 12.9 16.3 41.7 2.1 492 3.01 2017 43,858,322 4,511,284 10.3 27,229 4.28 91.3 73.9 21.5 20.6 37.3 3.2 1,052 3.86 2018 47,508,525 5,331,200 11.2 30,191 4.80 94.9 72.6 26.4 21.8 32.5 4.2 1,297 4.30 2019 63,569,183 11,776,711 18.5 56,634 4.23 88.7 70.3 25.4 19.0 35.3 4.0 1,726 3.05 2020 107,944,065 43,791,803 40.6 170,192 3.20 70.0 58.7 13.6 10.8 45.5 2.9 2,324 1.37 2021 84,218,250 58,766,271 69.8 193,329 3.09 87.5 64.2 15.9 13.8 40.4 6.6 3,172 1.64 2022 63,061,262 55,899,907 88.6 159,736 5.08 97.9 65.6 11.3 12.6 39.6 19.7 2,477 1.55 2023 47,666,852 44,842,520 94.1 124,984 6.65 98.8 72.5 18.3 11.0 39.1 15.9 867 0.69 2024 (through March 31) 8,323,544 8,249,238 99.1 21,867 6.74 97.4 72.6 18.3 11.2 43.0 0.8 2 0.01 Total $ 587,961,829 $ 238,477,402 40.6 815,752 4.51 89.4 66.2 15.6 13.0 40.6 4.5 13,992 1.72 (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 March 31, 2024 ($ 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 Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Radnor Re 2021-1 Aug. 2020 - Mar. 2021 $ 29,772,296 $ 7,817,502 $ 557,911 $ 280,941 $ — $ 278,956 $ 278,416 $ 2,325 $ 203,407 Radnor Re 2021-2 Apr. 2021 - Sep. 2021 34,555,672 9,408,534 439,407 322,709 — 279,415 278,709 3,674 265,684 Radnor Re 2022-1 Oct. 2021 - Jul. 2022 30,751,105 8,334,892 237,868 219,606 — 303,761 302,892 3,917 202,037 Radnor Re 2023-1 Aug. 2022 - Jun. 2023 30,145,794 8,250,148 281,462 281,462 — 281,463 281,463 3,478 266,826 Total $ 125,224,867 $ 33,811,076 $ 1,516,648 $ 1,104,718 $ — $ 1,143,595 $ 1,141,480 $ 13,394 (5) $ 937,954 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 Year-to-Date Reduction in PMIERs Minimum Required Assets (3) XOL 2019-1 Jan. 2018 - Dec. 2018 $ 5,274,449 $ 1,385,510 $ 118,650 $ 76,144 $ — $ 253,643 $ 245,590 $ 620 $ — XOL 2020-1 Jan. 2019 - Dec. 2019 6,574,279 1,728,344 55,102 35,024 — 215,605 212,934 280 — XOL 2022-1 Oct. 2021 - Dec. 2022 68,954,857 18,681,548 141,992 141,992 — 507,114 504,904 1,593 138,049 XOL 2023-1 Jan. 2023 - Dec. 2023 39,984,013 11,066,581 36,627 36,627 — 366,270 366,270 434 35,262 Total $ 120,787,598 $ 32,861,983 $ 352,371 $ 289,787 $ — $ 1,342,632 $ 1,329,698 $ 2,927 $ 173,311 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 Year-to-Date Year-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Sep. 2019 - Dec. 2020 (4) $ 48,738,950 $ 12,911,516 $ 10,961,149 $ 2,867,129 $ (181 ) $ 2,381 $ 4,224 $ 171,243 Jan. 2022 - Dec. 2022 20% 55,847,902 15,138,856 11,169,580 3,027,771 1,724 1,905 5,344 228,999 Jan. 2023 - Dec. 2023 17.5% 39,871,067 11,039,038 6,977,437 1,931,832 1,441 1,366 4,310 142,961 Jan. 2024 - Dec. 2024 15% 8,237,311 2,266,932 1,235,597 340,040 — 101 216 23,466 Total $ 152,695,230 $ 41,356,342 $ 30,343,763 $ 8,166,772 $ 2,984 $ 5,753 $ 14,094 $ 566,669 (1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs"). (2) Reinsurance provided by panels of reinsurers. (3) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs. (4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies. (5) Excludes ($24) of benefit in ceded premium on ILN's retired as of March 31, 2024. Exhibit J Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Geographic Data IIF by State March 31, 2024 December 31, 2023 March 31, 2023 CA 12.9 % 13.0 % 13.2 % FL 11.3 11.1 10.4 TX 10.6 10.5 10.5 CO 4.1 4.1 4.2 AZ 3.8 3.7 3.6 GA 3.5 3.4 3.2 WA 3.5 3.5 3.4 NC 2.9 2.9 2.7 VA 2.7 2.8 3.0 IL 2.7 2.8 3.0 All Others 42.0 42.2 42.8 Total 100.0 % 100.0 % 100.0 % Gross RIF by State March 31, 2024 December 31, 2023 March 31, 2023 CA 12.8 % 12.8 % 13.0 % FL 11.6 11.4 10.7 TX 10.9 10.9 10.8 CO 4.1 4.0 4.1 AZ 3.8 3.8 3.7 GA 3.6 3.4 3.3 WA 3.4 3.5 3.4 NC 2.9 2.9 2.8 VA 2.7 2.7 2.9 IL 2.7 2.7 2.9 All Others 41.5 41.9 42.4 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 2024 2023 March 31 December 31 September 30 June 30 March 31 Beginning default inventory 14,819 13,391 12,480 12,773 13,433 Plus: new defaults (A) 8,260 9,007 7,953 6,575 7,015 Less: cures (8,951 ) (7,418 ) (6,902 ) (6,761 ) (7,574 ) Less: claims paid (123 ) (148 ) (129 ) (96 ) (94 ) Less: rescissions and denials, net (13 ) (13 ) (11 ) (11 ) (7 ) Ending default inventory 13,992 14,819 13,391 12,480 12,773 (A) New defaults remaining as of March 31, 2024 5,425 3,139 1,897 1,119 663 Cure rate (1) 34 % 65 % 76 % 83 % 91 % Total amount paid for claims (in thousands) $ 3,605 $ 3,411 $ 2,956 $ 1,890 $ 1,959 Average amount paid per claim (in thousands) $ 29 $ 23 $ 23 $ 20 $ 21 Severity 65 % 54 % 66 % 58 % 59 % Rollforward of Reserve for Losses and LAE Three Months Ended 2024 2023 ($ in thousands) March 31 December 31 September 30 June 30 March 31 Reserve for losses and LAE at beginning of period $ 245,402 $ 226,617 $ 216,888 $ 215,957 $ 216,390 Less: Reinsurance recoverables 24,005 20,656 17,958 16,357 14,618 Net reserve for losses and LAE at beginning of period 221,397 205,961 198,930 199,600 201,772 Add provision for losses and LAE occurring in: Current period $ 39,396 $ 38,922 $ 35,609 $ 31,377 $ 32,693 Prior years (30,062 ) (19,912 ) (25,533 ) (30,107 ) (32,864 ) Incurred losses and LAE during the period 9,334 19,010 10,076 1,270 (171 ) Deduct payments for losses and LAE occurring in: Current period 1 330 156 31 — Prior years 3,735 3,244 2,889 1,909 2,001 Loss and LAE payments during the period 3,736 3,574 3,045 1,940 2,001 Net reserve for losses and LAE at end of period 226,995 221,397 205,961 198,930 199,600 Plus: Reinsurance recoverables 26,570 24,005 20,656 17,958 16,357 Reserve for losses and LAE at end of period $ 253,565 $ 245,402 $ 226,617 $ 216,888 $ 215,957 (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 March 31, 2024 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 6,527 47 % $ 42,354 18 % $ 482,151 9 % Four to eleven payments 5,440 39 104,123 45 426,513 24 Twelve or more payments 1,883 13 80,025 34 130,816 61 Pending claims 142 1 7,382 3 8,351 88 Total case reserves 13,992 100 % 233,884 100 % $ 1,047,831 22 % IBNR 17,541 LAE 2,140 Total reserves for losses and LAE $ 253,565 Average reserve per default: Case $ 16.7 Total $ 18.1 Default Rate 1.72 % 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 % March 31, 2023 Number of Policies in Default Percentage of Policies in Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of Defaulted RIF ($ in thousands) Missed Payments: Three payments or less 5,366 42 % $ 31,080 16 % $ 366,993 8 % Four to eleven payments 5,106 40 78,125 39 363,299 22 Twelve or more payments 2,188 17 85,517 43 130,520 66 Pending claims 113 1 4,386 2 5,004 88 Total case reserves 12,773 100 % 199,108 100 % $ 865,816 23 % IBNR 14,933 LAE 1,916 Total reserves for losses and LAE $ 215,957 Average reserve per default: Case $ 15.6 Total $ 16.9 Default Rate 1.57 % Exhibit M Essent Group Ltd. and Subsidiaries Supplemental Information Investments Available for Sale Investments Available for Sale by Asset Class Asset Class March 31, 2024 December 31, 2023 ($ in thousands) Fair Value Percent Fair Value Percent U.S. Treasury securities $ 1,036,787 19.3 % $ 996,382 18.9 % U.S. agency securities 1,573 0.1 7,195 0.1 U.S. agency mortgage-backed securities 787,285 14.7 821,346 15.6 Municipal debt securities 539,678 10.1 547,258 10.5 Non-U.S. government securities 66,395 1.2 67,447 1.3 Corporate debt securities 1,219,160 22.7 1,297,055 24.7 Residential and commercial mortgage securities 506,780 9.4 517,940 9.8 Asset-backed securities 522,352 9.7 564,995 10.7 Money market funds 689,064 12.8 444,121 8.4 Total investments available for sale $ 5,369,074 100.0 % $ 5,263,739 100.0 % Investments Available for Sale by Credit Rating Rating (1) March 31, 2024 December 31, 2023 ($ in thousands) Fair Value Percent Fair Value Percent Aaa $ 2,523,003 53.9 % $ 2,561,363 53.2 % Aa1 107,659 2.3 104,474 2.2 Aa2 281,505 6.0 291,501 6.0 Aa3 198,316 4.2 208,882 4.3 A1 368,360 7.9 377,188 7.8 A2 285,058 6.1 329,423 6.8 A3 269,390 5.8 253,081 5.3 Baa1 199,880 4.3 220,901 4.6 Baa2 210,558 4.5 226,449 4.7 Baa3 160,219 3.4 166,121 3.4 Below Baa3 76,062 1.6 80,235 1.7 Total (2) $ 4,680,010 100.0 % $ 4,819,618 100.0 % (1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available. (2) Excludes $689,064 and $444,121 of money market funds at March 31, 2024 and December 31, 2023, respectively. Investments Available for Sale by Duration and Book Yield Effective Duration March 31, 2024 December 31, 2023 ($ in thousands) Fair Value Percent Fair Value Percent < 1 Year $ 2,074,776 38.6 % $ 1,892,074 35.9 % 1 to < 2 Years 359,920 6.7 371,583 7.1 2 to < 3 Years 496,204 9.2 538,775 10.2 3 to < 4 Years 364,968 6.8 402,668 7.6 4 to < 5 Years 422,678 7.9 376,722 7.2 5 or more Years 1,650,528 30.8 1,681,917 32.0 Total investments available for sale $ 5,369,074 100.0 % $ 5,263,739 100.0 % Pre-tax investment income yield: Three months ended March 31, 2024 3.67 % Holding company net cash and investments available for sale: ($ in thousands) As of March 31, 2024 $ 720,419 As of December 31, 2023 $ 693,507 Exhibit N Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Company Capital 2024 2023 March 31 December 31 September 30 June 30 March 31 ($ in thousands) U.S. Mortgage Insurance Subsidiaries: Combined statutory capital (1) $ 3,453,553 $ 3,376,117 $ 3,309,522 $ 3,243,086 $ 3,207,102 Combined net risk in force (2) $ 34,463,082 $ 34,549,500 $ 34,203,678 $ 34,019,643 $ 33,038,825 Risk-to-capital ratios: (3) Essent Guaranty, Inc. 10.3:1 10.6:1 10.7:1 10.8:1 10.6:1 Essent Guaranty of PA, Inc. 0.4:1 0.4:1 0.5:1 0.5:1 0.5:1 Combined (4) 10.0:1 10.2:1 10.3:1 10.5:1 10.3:1 Essent Guaranty, Inc. PMIERs Data (5): Available Assets $ 3,464,119 $ 3,379,936 $ 3,318,179 $ 3,245,481 $ 3,226,436 Minimum Required Assets 1,999,928 1,985,545 1,910,659 1,991,741 1,917,769 PMIERs excess Available Assets $ 1,464,191 $ 1,394,391 $ 1,407,520 $ 1,253,740 $ 1,308,667 PMIERs sufficiency ratio (6) 173 % 170 % 174 % 163 % 168 % Essent Reinsurance Ltd.: Stockholder's equity (GAAP basis) $ 1,793,005 $ 1,758,665 $ 1,684,122 $ 1,633,763 $ 1,573,013 Net risk in force (2) $ 22,271,316 $ 22,043,926 $ 21,739,419 $ 21,327,762 $ 20,305,111 (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 Ratios and Reconciliation of Non-GAAP Financial Measures 2024 2023 March 31 December 31 September 30 June 30 March 31 Loss Ratio (1) 4.0 % 7.9 % 4.4 % 0.6 % (0.1 )% Expense Ratio (2) 27.1 % 27.0 % 27.3 % 19.8 % 22.8 % Combined Ratio 31.1 % 34.9 % 31.7 % 20.4 % 22.7 % Underwriting Margin (3) 68.9 % 65.1 % 68.3 % 79.6 % 77.3 % We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the three months ended March 31, 2024 lack comparability with periods prior to the acquisition. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to ratios excluding title, as shown below. 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. 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 ratios excluding title to the most comparable GAAP amount for the three months ended March 31, 2024, in accordance with Regulation G: Three Months Ended March 31, 2024 Consolidated Title Excluding Title ($ in thousands) Revenues: Net premiums earned $ 245,590 $ 15,285 $ 230,305 Net investment income 52,085 751 51,334 Realized investment losses, net (1,140 ) — (1,140 ) (Loss) income from other invested assets (1,915 ) — (1,915 ) Settlement services (4) 1,424 1,424 — Other income 2,313 408 1,905 Total revenues 298,357 17,868 280,489 Losses and expenses: Provision (benefit) for losses and LAE 9,913 576 9,337 Other underwriting and operating expenses 57,349 11,810 45,539 Premiums retained by agents 9,491 9,491 — Interest expense 7,862 — 7,862 Total losses and expenses 84,615 21,877 62,738 Loss ratio (1) 4.0 % 3.4 % 4.1 % Expense ratio (2) 27.1 % 127.5 % 19.8 % Combined ratio 31.1 % 130.9 % 23.9 % Underwriting Margin (3) 68.9 % (30.9 %) 76.1 % (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) Calculated as the inverse of the combined ratio. (4) 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/20240503505670/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 First Quarter 2024 Results and Declares Quarterly Dividend By: Essent Group Ltd. via Business Wire May 03, 2024 at 06:30 AM EDT Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2024 of $181.7 million or $1.70 per diluted share, compared to $170.8 million or $1.59 per diluted share for the quarter ended March 31, 2023. 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 June 10, 2024, to shareholders of record on May 31, 2024. “We are pleased with our financial results in the first quarter, as our high-quality portfolio and consumer resilience have translated to favorable credit performance, and the current rate environment has benefited investment income and persistency,” said Mark A. Casale, Chairman and Chief Executive Officer. “The Essent franchise continues to grow, propelled by the strong performance of our mortgage insurance and reinsurance operations, and integration of the title business.” Financial Highlights: New insurance written for the first quarter of 2024 was $8.3 billion, compared to $8.8 billion in the fourth quarter of 2023 and $12.9 billion in the first quarter of 2023. Insurance in force as of March 31, 2024 was $238.5 billion, compared to $239.1 billion as of December 31, 2023 and $231.5 billion as of March 31, 2023. Net investment income for the first quarter of 2024 was $52.1 million, up 20% from the first quarter of 2023. During the first quarter of 2024, we entered into a quota share reinsurance transaction with a panel of highly rated third-party reinsurers. The quota share agreement covers 15% of all eligible policies written by Essent Guaranty, Inc. in the calendar year 2024. 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. On March 27, 2024, Moody’s Ratings affirmed the A3 insurance financial strength rating of Essent Guaranty, Inc. and raised the outlook to positive from stable. 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, 2023 filed with the Securities and Exchange Commission on February 16, 2024, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise. About the Company: Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which serves the housing finance industry by offering private mortgage insurance, reinsurance, risk management products and title insurance and settlement services to mortgage lenders, borrowers, and investors to support homeownership. Additional information regarding Essent may be found at www.essentgroup.com. Source: Essent Group Ltd. Essent Group Ltd. and Subsidiaries Financial Results and Supplemental Information (Unaudited) Quarter Ended March 31, 2024 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 - U.S. Mortgage Insurance Portfolio Exhibit L Detail of Reserves by Default Delinquency - U.S. Mortgage Insurance Portfolio Exhibit M Investments Available for Sale Exhibit N U.S. Mortgage Insurance Company Capital Exhibit O 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 March 31, (In thousands, except per share amounts) 2024 2023 Revenues: Direct premiums written $ 268,931 $ 239,491 Ceded premiums (30,391 ) (33,591 ) Net premiums written 238,540 205,900 Decrease in unearned premiums 7,050 5,358 Net premiums earned 245,590 211,258 Net investment income 52,085 43,236 Realized investment gains (losses), net (1,140 ) (488 ) Income (loss) from other invested assets (1,915 ) (2,702 ) Other income 3,737 4,942 Total revenues 298,357 256,246 Losses and expenses: Provision (benefit) for losses and LAE 9,913 (180 ) Other underwriting and operating expenses 57,349 48,195 Premiums retained by agents 9,491 — Interest expense 7,862 6,936 Total losses and expenses 84,615 54,951 Income before income taxes 213,742 201,295 Income tax expense 32,023 30,468 Net income $ 181,719 $ 170,827 Earnings per share: Basic $ 1.72 $ 1.60 Diluted 1.70 1.59 Weighted average shares outstanding: Basic 105,697 106,943 Diluted 106,770 107,585 Net income $ 181,719 $ 170,827 Other comprehensive income (loss): Change in unrealized appreciation (depreciation) of investments (21,766 ) 58,753 Total other comprehensive income (loss) (21,766 ) 58,753 Comprehensive income $ 159,953 $ 229,580 Exhibit B Essent Group Ltd. and Subsidiaries Condensed Consolidated Balance Sheets (Unaudited) March 31, December 31, (In thousands, except per share amounts) 2024 2023 Assets Investments Fixed maturities available for sale, at fair value $ 4,172,237 $ 4,335,008 Short-term investments available for sale, at fair value 1,196,837 928,731 Total investments available for sale 5,369,074 5,263,739 Other invested assets 279,625 277,226 Total investments 5,648,699 5,540,965 Cash 164,255 141,787 Accrued investment income 35,817 35,689 Accounts receivable 68,932 63,266 Deferred policy acquisition costs 8,980 9,139 Property and equipment 43,751 41,304 Prepaid federal income tax 467,183 470,646 Goodwill and intangible assets, net 72,271 72,826 Other assets 55,095 51,051 Total assets $ 6,564,983 $ 6,426,673 Liabilities and Stockholders' Equity Liabilities Reserve for losses and LAE $ 267,324 $ 260,095 Unearned premium reserve 133,235 140,285 Net deferred tax liability 368,955 362,753 Credit facility borrowings, net of deferred costs 422,184 421,920 Other accrued liabilities 147,131 139,070 Total liabilities 1,338,829 1,324,123 Commitments and contingencies Stockholders' Equity Common shares, $0.015 par value: Authorized - 233,333; issued and outstanding - 106,742 shares in 2024 and 106,597 shares in 2023 1,601 1,599 Additional paid-in capital 1,293,424 1,299,869 Accumulated other comprehensive loss (302,262 ) (280,496 ) Retained earnings 4,233,391 4,081,578 Total stockholders' equity 5,226,154 5,102,550 Total liabilities and stockholders' equity $ 6,564,983 $ 6,426,673 Return on average equity (1) 14.1 % 14.6 % (1) The 2024 return on average equity is calculated by dividing annualized year-to-date 2024 net income by average equity. The 2023 return on average equity is calculated by dividing full year 2023 net income by average equity. Exhibit C Essent Group Ltd. and Subsidiaries Supplemental Information Consolidated Historical Quarterly Data 2024 2023 Selected Income Statement Data March 31 December 31 September 30 June 30 March 31 (In thousands, except per share amounts) Revenues: Net premiums earned: U.S. Mortgage Insurance Portfolio $ 212,479 $ 211,083 $ 209,351 $ 195,502 $ 196,565 GSE and other risk share 17,826 17,166 16,850 17,727 14,693 Title insurance 15,285 17,365 20,604 — — Net premiums earned 245,590 245,614 246,805 213,229 211,258 Net investment income 52,085 50,581 47,072 45,250 43,236 Realized investment (losses) gains, net (1,140 ) (4,892 ) (235 ) (1,589 ) (488 ) (Loss) income from other invested assets (1,915 ) (421 ) (3,143 ) (4,852 ) (2,702 ) Other income (loss) (1) 3,737 6,395 5,609 8,090 4,942 Total revenues 298,357 297,277 296,108 260,128 256,246 Losses and expenses: Provision (benefit) for losses and LAE 9,913 19,640 10,822 1,260 (180 ) Other underwriting and operating expenses 57,349 55,248 54,814 42,174 48,195 Premiums retained by agents 9,491 11,475 13,175 — — Interest expense 7,862 7,953 7,854 7,394 6,936 Total losses and expenses 84,615 94,316 86,665 50,828 54,951 Income before income taxes 213,742 202,961 209,443 209,300 201,295 Income tax expense (2) 32,023 27,594 31,484 37,067 30,468 Net income $ 181,719 $ 175,367 $ 177,959 $ 172,233 $ 170,827 Earnings per share: Basic $ 1.72 $ 1.66 $ 1.68 $ 1.62 $ 1.60 Diluted 1.70 1.64 1.66 1.61 1.59 Weighted average shares outstanding: Basic 105,697 105,733 105,979 106,249 106,943 Diluted 106,770 106,823 107,025 107,093 107,585 Book value per share $ 48.96 $ 47.87 $ 44.98 $ 44.24 $ 43.18 Return on average equity (annualized) 14.1 % 14.2 % 14.9 % 14.7 % 15.0 % 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) 7.06 % 7.11 % 7.07 % 6.87 % 6.52 % Debt-to-capital 7.52 % 7.69 % 8.12 % 8.24 % 8.38 % (1) Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, were ($1,902), $412, ($898), $2,726, and ($368), respectively. (2) Income tax expense for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023 includes ($1,041), ($1,132), ($763), ($888) and ($368), respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2024 also includes ($616) of excess tax benefits associated with the vesting of common shares and common share units. 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 $5,295 of net discrete tax expense associated with prior year tax returns. Exhibit D Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Historical Quarterly Data 2024 2023 Other Data: March 31 December 31 September 30 June 30 March 31 ($ in thousands) U.S. Mortgage Insurance Portfolio New insurance written $ 8,323,544 $ 8,769,160 $ 12,505,823 $ 13,498,080 $ 12,893,789 New risk written 2,289,508 2,409,340 3,458,467 3,726,513 3,548,015 Average insurance in force $ 238,595,268 $ 239,005,961 $ 237,270,093 $ 233,484,941 $ 228,885,174 Insurance in force (end of period) $ 238,477,402 $ 239,078,262 $ 238,661,612 $ 235,649,884 $ 231,537,417 Gross risk in force (end of period) (1) $ 64,247,810 $ 64,061,374 $ 63,605,057 $ 62,403,400 $ 60,879,979 Risk in force (end of period) $ 54,686,533 $ 54,591,590 $ 53,920,308 $ 53,290,643 $ 51,469,312 Policies in force 815,752 822,012 825,248 821,690 815,751 Weighted average coverage (2) 26.9 % 26.8 % 26.7 % 26.5 % 26.3 % Annual persistency 86.9 % 86.9 % 86.6 % 85.8 % 84.4 % Loans in default (count) 13,992 14,819 13,391 12,480 12,773 Percentage of loans in default 1.72 % 1.80 % 1.62 % 1.52 % 1.57 % U.S. Mortgage Insurance Portfolio premium rate: Base average premium rate (3) 0.41 % 0.40 % 0.40 % 0.40 % 0.40 % Single premium cancellations (4) — % — % — % — % — % Gross average premium rate 0.41 % 0.40 % 0.40 % 0.40 % 0.40 % Ceded premiums (0.05 %) (0.05 %) (0.05 %) (0.07 %) (0.06 %) Net average premium rate 0.36 % 0.35 % 0.35 % 0.33 % 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 - U.S. Mortgage Insurance Portfolio New Insurance Written: Flow NIW by Credit Score Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) >=760 $ 3,596,600 43.2 % $ 3,708,316 42.3 % $ 4,847,058 37.7 % 740-759 1,410,446 16.9 1,531,800 17.5 2,397,982 18.6 720-739 1,244,648 15.0 1,333,537 15.2 2,204,844 17.1 700-719 1,140,430 13.7 1,256,250 14.3 2,002,892 15.5 680-699 563,419 6.8 581,913 6.6 1,100,815 8.5 <=679 368,001 4.4 357,344 4.1 340,198 2.6 Total $ 8,323,544 100.0 % $ 8,769,160 100.0 % $ 12,893,789 100.0 % Weighted average credit score 747 747 745 NIW by LTV Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) 85.00% and below $ 559,899 6.7 % $ 642,636 7.3 % $ 963,009 7.5 % 85.01% to 90.00% 1,732,131 20.8 1,871,854 21.3 2,685,828 20.8 90.01% to 95.00% 4,517,655 54.3 4,660,032 53.1 7,430,113 57.6 95.01% and above 1,513,859 18.2 1,594,638 18.3 1,814,839 14.1 Total $ 8,323,544 100.0 % $ 8,769,160 100.0 % $ 12,893,789 100.0 % Weighted average LTV 93 % 93 % 93 % NIW by Product Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 Single Premium policies 2.0 % 2.5 % 4.1 % Monthly Premium policies 98.0 97.5 95.9 100.0 % 100.0 % 100.0 % NIW by Purchase vs. Refinance Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 Purchase 97.4 % 98.7 % 98.6 % Refinance 2.6 1.3 1.4 100.0 % 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 March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) >=760 $ 96,712,431 40.6 % $ 97,085,244 40.6 % $ 94,560,292 40.8 % 740-759 41,477,680 17.4 41,490,720 17.4 39,870,193 17.2 720-739 37,342,339 15.7 37,435,781 15.7 35,950,319 15.5 700-719 32,023,895 13.4 31,932,469 13.4 30,103,007 13.0 680-699 19,664,999 8.2 19,780,944 8.3 19,338,187 8.4 <=679 11,256,058 4.7 11,353,104 4.6 11,715,419 5.1 Total $ 238,477,402 100.0 % $ 239,078,262 100.0 % $ 231,537,417 100.0 % Weighted average credit score 746 746 746 Gross RIF by FICO score March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) >=760 $ 25,806,552 40.2 % $ 25,752,549 40.2 % $ 24,613,214 40.4 % 740-759 11,326,253 17.6 11,268,607 17.6 10,612,582 17.4 720-739 10,206,055 15.9 10,179,683 15.9 9,602,368 15.8 700-719 8,757,648 13.6 8,687,001 13.6 8,017,430 13.2 680-699 5,321,802 8.3 5,330,894 8.3 5,126,581 8.4 <=679 2,829,500 4.4 2,842,640 4.4 2,907,804 4.8 Total $ 64,247,810 100.0 % $ 64,061,374 100.0 % $ 60,879,979 100.0 % Portfolio by LTV IIF by LTV March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) 85.00% and below $ 18,397,395 7.7 % $ 19,869,776 8.3 % $ 23,502,232 10.2 % 85.01% to 90.00% 62,218,749 26.1 62,973,580 26.3 63,478,244 27.3 90.01% to 95.00% 120,666,455 50.6 119,764,184 50.1 112,184,833 48.5 95.01% and above 37,194,803 15.6 36,470,722 15.3 32,372,108 14.0 Total $ 238,477,402 100.0 % $ 239,078,262 100.0 % $ 231,537,417 100.0 % Weighted average LTV 93 % 93 % 92 % Gross RIF by LTV March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) 85.00% and below $ 2,188,074 3.4 % $ 2,364,232 3.7 % $ 2,793,895 4.6 % 85.01% to 90.00% 15,329,091 23.9 15,494,172 24.2 15,529,427 25.5 90.01% to 95.00% 35,556,840 55.3 35,260,761 55.0 32,929,489 54.1 95.01% and above 11,173,805 17.4 10,942,209 17.1 9,627,168 15.8 Total $ 64,247,810 100.0 % $ 64,061,374 100.0 % $ 60,879,979 100.0 % Portfolio by Loan Amortization Period IIF by Loan Amortization Period March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) FRM 30 years and higher $ 232,753,590 97.6 % $ 232,995,380 97.5 % $ 224,230,607 96.8 % FRM 20-25 years 1,473,431 0.6 1,685,700 0.7 2,364,623 1.0 FRM 15 years 1,359,795 0.6 1,505,759 0.6 2,214,448 1.0 ARM 5 years and higher 2,890,586 1.2 2,891,423 1.2 2,727,739 1.2 Total $ 238,477,402 100.0 % $ 239,078,262 100.0 % $ 231,537,417 100.0 % Exhibit G Essent Group Ltd. and Subsidiaries Supplemental Information Other Risk in Force 2024 2023 ($ in thousands) March 31 December 31 September 30 June 30 March 31 GSE and other risk share (1): Risk in Force $ 2,307,267 $ 2,244,944 $ 2,247,393 $ 2,276,702 $ 2,098,033 Reserve for losses and LAE $ 32 $ 29 $ 54 $ 55 $ 65 Weighted average credit score 750 749 749 749 749 Weighted average LTV 82 % 82 % 82 % 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 March 31, 2024 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 $ 1,337,665 2.2 % 8,083 4.29 % 70.1 % 57.2 % 7.3 % 13.4 % 45.5 % 2.4 % 318 3.93 % 2015 26,193,656 1,192,019 4.6 7,166 4.25 81.6 70.1 5.3 18.3 39.0 2.3 265 3.70 2016 34,949,319 2,778,784 8.0 16,341 3.91 87.2 80.1 12.9 16.3 41.7 2.1 492 3.01 2017 43,858,322 4,511,284 10.3 27,229 4.28 91.3 73.9 21.5 20.6 37.3 3.2 1,052 3.86 2018 47,508,525 5,331,200 11.2 30,191 4.80 94.9 72.6 26.4 21.8 32.5 4.2 1,297 4.30 2019 63,569,183 11,776,711 18.5 56,634 4.23 88.7 70.3 25.4 19.0 35.3 4.0 1,726 3.05 2020 107,944,065 43,791,803 40.6 170,192 3.20 70.0 58.7 13.6 10.8 45.5 2.9 2,324 1.37 2021 84,218,250 58,766,271 69.8 193,329 3.09 87.5 64.2 15.9 13.8 40.4 6.6 3,172 1.64 2022 63,061,262 55,899,907 88.6 159,736 5.08 97.9 65.6 11.3 12.6 39.6 19.7 2,477 1.55 2023 47,666,852 44,842,520 94.1 124,984 6.65 98.8 72.5 18.3 11.0 39.1 15.9 867 0.69 2024 (through March 31) 8,323,544 8,249,238 99.1 21,867 6.74 97.4 72.6 18.3 11.2 43.0 0.8 2 0.01 Total $ 587,961,829 $ 238,477,402 40.6 815,752 4.51 89.4 66.2 15.6 13.0 40.6 4.5 13,992 1.72 (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 March 31, 2024 ($ 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 Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Radnor Re 2021-1 Aug. 2020 - Mar. 2021 $ 29,772,296 $ 7,817,502 $ 557,911 $ 280,941 $ — $ 278,956 $ 278,416 $ 2,325 $ 203,407 Radnor Re 2021-2 Apr. 2021 - Sep. 2021 34,555,672 9,408,534 439,407 322,709 — 279,415 278,709 3,674 265,684 Radnor Re 2022-1 Oct. 2021 - Jul. 2022 30,751,105 8,334,892 237,868 219,606 — 303,761 302,892 3,917 202,037 Radnor Re 2023-1 Aug. 2022 - Jun. 2023 30,145,794 8,250,148 281,462 281,462 — 281,463 281,463 3,478 266,826 Total $ 125,224,867 $ 33,811,076 $ 1,516,648 $ 1,104,718 $ — $ 1,143,595 $ 1,141,480 $ 13,394 (5) $ 937,954 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 Year-to-Date Reduction in PMIERs Minimum Required Assets (3) XOL 2019-1 Jan. 2018 - Dec. 2018 $ 5,274,449 $ 1,385,510 $ 118,650 $ 76,144 $ — $ 253,643 $ 245,590 $ 620 $ — XOL 2020-1 Jan. 2019 - Dec. 2019 6,574,279 1,728,344 55,102 35,024 — 215,605 212,934 280 — XOL 2022-1 Oct. 2021 - Dec. 2022 68,954,857 18,681,548 141,992 141,992 — 507,114 504,904 1,593 138,049 XOL 2023-1 Jan. 2023 - Dec. 2023 39,984,013 11,066,581 36,627 36,627 — 366,270 366,270 434 35,262 Total $ 120,787,598 $ 32,861,983 $ 352,371 $ 289,787 $ — $ 1,342,632 $ 1,329,698 $ 2,927 $ 173,311 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 Year-to-Date Year-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Sep. 2019 - Dec. 2020 (4) $ 48,738,950 $ 12,911,516 $ 10,961,149 $ 2,867,129 $ (181 ) $ 2,381 $ 4,224 $ 171,243 Jan. 2022 - Dec. 2022 20% 55,847,902 15,138,856 11,169,580 3,027,771 1,724 1,905 5,344 228,999 Jan. 2023 - Dec. 2023 17.5% 39,871,067 11,039,038 6,977,437 1,931,832 1,441 1,366 4,310 142,961 Jan. 2024 - Dec. 2024 15% 8,237,311 2,266,932 1,235,597 340,040 — 101 216 23,466 Total $ 152,695,230 $ 41,356,342 $ 30,343,763 $ 8,166,772 $ 2,984 $ 5,753 $ 14,094 $ 566,669 (1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs"). (2) Reinsurance provided by panels of reinsurers. (3) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs. (4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies. (5) Excludes ($24) of benefit in ceded premium on ILN's retired as of March 31, 2024. Exhibit J Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Geographic Data IIF by State March 31, 2024 December 31, 2023 March 31, 2023 CA 12.9 % 13.0 % 13.2 % FL 11.3 11.1 10.4 TX 10.6 10.5 10.5 CO 4.1 4.1 4.2 AZ 3.8 3.7 3.6 GA 3.5 3.4 3.2 WA 3.5 3.5 3.4 NC 2.9 2.9 2.7 VA 2.7 2.8 3.0 IL 2.7 2.8 3.0 All Others 42.0 42.2 42.8 Total 100.0 % 100.0 % 100.0 % Gross RIF by State March 31, 2024 December 31, 2023 March 31, 2023 CA 12.8 % 12.8 % 13.0 % FL 11.6 11.4 10.7 TX 10.9 10.9 10.8 CO 4.1 4.0 4.1 AZ 3.8 3.8 3.7 GA 3.6 3.4 3.3 WA 3.4 3.5 3.4 NC 2.9 2.9 2.8 VA 2.7 2.7 2.9 IL 2.7 2.7 2.9 All Others 41.5 41.9 42.4 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 2024 2023 March 31 December 31 September 30 June 30 March 31 Beginning default inventory 14,819 13,391 12,480 12,773 13,433 Plus: new defaults (A) 8,260 9,007 7,953 6,575 7,015 Less: cures (8,951 ) (7,418 ) (6,902 ) (6,761 ) (7,574 ) Less: claims paid (123 ) (148 ) (129 ) (96 ) (94 ) Less: rescissions and denials, net (13 ) (13 ) (11 ) (11 ) (7 ) Ending default inventory 13,992 14,819 13,391 12,480 12,773 (A) New defaults remaining as of March 31, 2024 5,425 3,139 1,897 1,119 663 Cure rate (1) 34 % 65 % 76 % 83 % 91 % Total amount paid for claims (in thousands) $ 3,605 $ 3,411 $ 2,956 $ 1,890 $ 1,959 Average amount paid per claim (in thousands) $ 29 $ 23 $ 23 $ 20 $ 21 Severity 65 % 54 % 66 % 58 % 59 % Rollforward of Reserve for Losses and LAE Three Months Ended 2024 2023 ($ in thousands) March 31 December 31 September 30 June 30 March 31 Reserve for losses and LAE at beginning of period $ 245,402 $ 226,617 $ 216,888 $ 215,957 $ 216,390 Less: Reinsurance recoverables 24,005 20,656 17,958 16,357 14,618 Net reserve for losses and LAE at beginning of period 221,397 205,961 198,930 199,600 201,772 Add provision for losses and LAE occurring in: Current period $ 39,396 $ 38,922 $ 35,609 $ 31,377 $ 32,693 Prior years (30,062 ) (19,912 ) (25,533 ) (30,107 ) (32,864 ) Incurred losses and LAE during the period 9,334 19,010 10,076 1,270 (171 ) Deduct payments for losses and LAE occurring in: Current period 1 330 156 31 — Prior years 3,735 3,244 2,889 1,909 2,001 Loss and LAE payments during the period 3,736 3,574 3,045 1,940 2,001 Net reserve for losses and LAE at end of period 226,995 221,397 205,961 198,930 199,600 Plus: Reinsurance recoverables 26,570 24,005 20,656 17,958 16,357 Reserve for losses and LAE at end of period $ 253,565 $ 245,402 $ 226,617 $ 216,888 $ 215,957 (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 March 31, 2024 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 6,527 47 % $ 42,354 18 % $ 482,151 9 % Four to eleven payments 5,440 39 104,123 45 426,513 24 Twelve or more payments 1,883 13 80,025 34 130,816 61 Pending claims 142 1 7,382 3 8,351 88 Total case reserves 13,992 100 % 233,884 100 % $ 1,047,831 22 % IBNR 17,541 LAE 2,140 Total reserves for losses and LAE $ 253,565 Average reserve per default: Case $ 16.7 Total $ 18.1 Default Rate 1.72 % 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 % March 31, 2023 Number of Policies in Default Percentage of Policies in Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of Defaulted RIF ($ in thousands) Missed Payments: Three payments or less 5,366 42 % $ 31,080 16 % $ 366,993 8 % Four to eleven payments 5,106 40 78,125 39 363,299 22 Twelve or more payments 2,188 17 85,517 43 130,520 66 Pending claims 113 1 4,386 2 5,004 88 Total case reserves 12,773 100 % 199,108 100 % $ 865,816 23 % IBNR 14,933 LAE 1,916 Total reserves for losses and LAE $ 215,957 Average reserve per default: Case $ 15.6 Total $ 16.9 Default Rate 1.57 % Exhibit M Essent Group Ltd. and Subsidiaries Supplemental Information Investments Available for Sale Investments Available for Sale by Asset Class Asset Class March 31, 2024 December 31, 2023 ($ in thousands) Fair Value Percent Fair Value Percent U.S. Treasury securities $ 1,036,787 19.3 % $ 996,382 18.9 % U.S. agency securities 1,573 0.1 7,195 0.1 U.S. agency mortgage-backed securities 787,285 14.7 821,346 15.6 Municipal debt securities 539,678 10.1 547,258 10.5 Non-U.S. government securities 66,395 1.2 67,447 1.3 Corporate debt securities 1,219,160 22.7 1,297,055 24.7 Residential and commercial mortgage securities 506,780 9.4 517,940 9.8 Asset-backed securities 522,352 9.7 564,995 10.7 Money market funds 689,064 12.8 444,121 8.4 Total investments available for sale $ 5,369,074 100.0 % $ 5,263,739 100.0 % Investments Available for Sale by Credit Rating Rating (1) March 31, 2024 December 31, 2023 ($ in thousands) Fair Value Percent Fair Value Percent Aaa $ 2,523,003 53.9 % $ 2,561,363 53.2 % Aa1 107,659 2.3 104,474 2.2 Aa2 281,505 6.0 291,501 6.0 Aa3 198,316 4.2 208,882 4.3 A1 368,360 7.9 377,188 7.8 A2 285,058 6.1 329,423 6.8 A3 269,390 5.8 253,081 5.3 Baa1 199,880 4.3 220,901 4.6 Baa2 210,558 4.5 226,449 4.7 Baa3 160,219 3.4 166,121 3.4 Below Baa3 76,062 1.6 80,235 1.7 Total (2) $ 4,680,010 100.0 % $ 4,819,618 100.0 % (1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available. (2) Excludes $689,064 and $444,121 of money market funds at March 31, 2024 and December 31, 2023, respectively. Investments Available for Sale by Duration and Book Yield Effective Duration March 31, 2024 December 31, 2023 ($ in thousands) Fair Value Percent Fair Value Percent < 1 Year $ 2,074,776 38.6 % $ 1,892,074 35.9 % 1 to < 2 Years 359,920 6.7 371,583 7.1 2 to < 3 Years 496,204 9.2 538,775 10.2 3 to < 4 Years 364,968 6.8 402,668 7.6 4 to < 5 Years 422,678 7.9 376,722 7.2 5 or more Years 1,650,528 30.8 1,681,917 32.0 Total investments available for sale $ 5,369,074 100.0 % $ 5,263,739 100.0 % Pre-tax investment income yield: Three months ended March 31, 2024 3.67 % Holding company net cash and investments available for sale: ($ in thousands) As of March 31, 2024 $ 720,419 As of December 31, 2023 $ 693,507 Exhibit N Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Company Capital 2024 2023 March 31 December 31 September 30 June 30 March 31 ($ in thousands) U.S. Mortgage Insurance Subsidiaries: Combined statutory capital (1) $ 3,453,553 $ 3,376,117 $ 3,309,522 $ 3,243,086 $ 3,207,102 Combined net risk in force (2) $ 34,463,082 $ 34,549,500 $ 34,203,678 $ 34,019,643 $ 33,038,825 Risk-to-capital ratios: (3) Essent Guaranty, Inc. 10.3:1 10.6:1 10.7:1 10.8:1 10.6:1 Essent Guaranty of PA, Inc. 0.4:1 0.4:1 0.5:1 0.5:1 0.5:1 Combined (4) 10.0:1 10.2:1 10.3:1 10.5:1 10.3:1 Essent Guaranty, Inc. PMIERs Data (5): Available Assets $ 3,464,119 $ 3,379,936 $ 3,318,179 $ 3,245,481 $ 3,226,436 Minimum Required Assets 1,999,928 1,985,545 1,910,659 1,991,741 1,917,769 PMIERs excess Available Assets $ 1,464,191 $ 1,394,391 $ 1,407,520 $ 1,253,740 $ 1,308,667 PMIERs sufficiency ratio (6) 173 % 170 % 174 % 163 % 168 % Essent Reinsurance Ltd.: Stockholder's equity (GAAP basis) $ 1,793,005 $ 1,758,665 $ 1,684,122 $ 1,633,763 $ 1,573,013 Net risk in force (2) $ 22,271,316 $ 22,043,926 $ 21,739,419 $ 21,327,762 $ 20,305,111 (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 Ratios and Reconciliation of Non-GAAP Financial Measures 2024 2023 March 31 December 31 September 30 June 30 March 31 Loss Ratio (1) 4.0 % 7.9 % 4.4 % 0.6 % (0.1 )% Expense Ratio (2) 27.1 % 27.0 % 27.3 % 19.8 % 22.8 % Combined Ratio 31.1 % 34.9 % 31.7 % 20.4 % 22.7 % Underwriting Margin (3) 68.9 % 65.1 % 68.3 % 79.6 % 77.3 % We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the three months ended March 31, 2024 lack comparability with periods prior to the acquisition. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to ratios excluding title, as shown below. 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. 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 ratios excluding title to the most comparable GAAP amount for the three months ended March 31, 2024, in accordance with Regulation G: Three Months Ended March 31, 2024 Consolidated Title Excluding Title ($ in thousands) Revenues: Net premiums earned $ 245,590 $ 15,285 $ 230,305 Net investment income 52,085 751 51,334 Realized investment losses, net (1,140 ) — (1,140 ) (Loss) income from other invested assets (1,915 ) — (1,915 ) Settlement services (4) 1,424 1,424 — Other income 2,313 408 1,905 Total revenues 298,357 17,868 280,489 Losses and expenses: Provision (benefit) for losses and LAE 9,913 576 9,337 Other underwriting and operating expenses 57,349 11,810 45,539 Premiums retained by agents 9,491 9,491 — Interest expense 7,862 — 7,862 Total losses and expenses 84,615 21,877 62,738 Loss ratio (1) 4.0 % 3.4 % 4.1 % Expense ratio (2) 27.1 % 127.5 % 19.8 % Combined ratio 31.1 % 130.9 % 23.9 % Underwriting Margin (3) 68.9 % (30.9 %) 76.1 % (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) Calculated as the inverse of the combined ratio. (4) 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/20240503505670/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 March 31, 2024 of $181.7 million or $1.70 per diluted share, compared to $170.8 million or $1.59 per diluted share for the quarter ended March 31, 2023. 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 June 10, 2024, to shareholders of record on May 31, 2024. “We are pleased with our financial results in the first quarter, as our high-quality portfolio and consumer resilience have translated to favorable credit performance, and the current rate environment has benefited investment income and persistency,” said Mark A. Casale, Chairman and Chief Executive Officer. “The Essent franchise continues to grow, propelled by the strong performance of our mortgage insurance and reinsurance operations, and integration of the title business.” Financial Highlights: New insurance written for the first quarter of 2024 was $8.3 billion, compared to $8.8 billion in the fourth quarter of 2023 and $12.9 billion in the first quarter of 2023. Insurance in force as of March 31, 2024 was $238.5 billion, compared to $239.1 billion as of December 31, 2023 and $231.5 billion as of March 31, 2023. Net investment income for the first quarter of 2024 was $52.1 million, up 20% from the first quarter of 2023. During the first quarter of 2024, we entered into a quota share reinsurance transaction with a panel of highly rated third-party reinsurers. The quota share agreement covers 15% of all eligible policies written by Essent Guaranty, Inc. in the calendar year 2024. 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. On March 27, 2024, Moody’s Ratings affirmed the A3 insurance financial strength rating of Essent Guaranty, Inc. and raised the outlook to positive from stable. 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, 2023 filed with the Securities and Exchange Commission on February 16, 2024, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise. About the Company: Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which serves the housing finance industry by offering private mortgage insurance, reinsurance, risk management products and title insurance and settlement services to mortgage lenders, borrowers, and investors to support homeownership. Additional information regarding Essent may be found at www.essentgroup.com. Source: Essent Group Ltd. Essent Group Ltd. and Subsidiaries Financial Results and Supplemental Information (Unaudited) Quarter Ended March 31, 2024 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 - U.S. Mortgage Insurance Portfolio Exhibit L Detail of Reserves by Default Delinquency - U.S. Mortgage Insurance Portfolio Exhibit M Investments Available for Sale Exhibit N U.S. Mortgage Insurance Company Capital Exhibit O 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 March 31, (In thousands, except per share amounts) 2024 2023 Revenues: Direct premiums written $ 268,931 $ 239,491 Ceded premiums (30,391 ) (33,591 ) Net premiums written 238,540 205,900 Decrease in unearned premiums 7,050 5,358 Net premiums earned 245,590 211,258 Net investment income 52,085 43,236 Realized investment gains (losses), net (1,140 ) (488 ) Income (loss) from other invested assets (1,915 ) (2,702 ) Other income 3,737 4,942 Total revenues 298,357 256,246 Losses and expenses: Provision (benefit) for losses and LAE 9,913 (180 ) Other underwriting and operating expenses 57,349 48,195 Premiums retained by agents 9,491 — Interest expense 7,862 6,936 Total losses and expenses 84,615 54,951 Income before income taxes 213,742 201,295 Income tax expense 32,023 30,468 Net income $ 181,719 $ 170,827 Earnings per share: Basic $ 1.72 $ 1.60 Diluted 1.70 1.59 Weighted average shares outstanding: Basic 105,697 106,943 Diluted 106,770 107,585 Net income $ 181,719 $ 170,827 Other comprehensive income (loss): Change in unrealized appreciation (depreciation) of investments (21,766 ) 58,753 Total other comprehensive income (loss) (21,766 ) 58,753 Comprehensive income $ 159,953 $ 229,580 Exhibit B Essent Group Ltd. and Subsidiaries Condensed Consolidated Balance Sheets (Unaudited) March 31, December 31, (In thousands, except per share amounts) 2024 2023 Assets Investments Fixed maturities available for sale, at fair value $ 4,172,237 $ 4,335,008 Short-term investments available for sale, at fair value 1,196,837 928,731 Total investments available for sale 5,369,074 5,263,739 Other invested assets 279,625 277,226 Total investments 5,648,699 5,540,965 Cash 164,255 141,787 Accrued investment income 35,817 35,689 Accounts receivable 68,932 63,266 Deferred policy acquisition costs 8,980 9,139 Property and equipment 43,751 41,304 Prepaid federal income tax 467,183 470,646 Goodwill and intangible assets, net 72,271 72,826 Other assets 55,095 51,051 Total assets $ 6,564,983 $ 6,426,673 Liabilities and Stockholders' Equity Liabilities Reserve for losses and LAE $ 267,324 $ 260,095 Unearned premium reserve 133,235 140,285 Net deferred tax liability 368,955 362,753 Credit facility borrowings, net of deferred costs 422,184 421,920 Other accrued liabilities 147,131 139,070 Total liabilities 1,338,829 1,324,123 Commitments and contingencies Stockholders' Equity Common shares, $0.015 par value: Authorized - 233,333; issued and outstanding - 106,742 shares in 2024 and 106,597 shares in 2023 1,601 1,599 Additional paid-in capital 1,293,424 1,299,869 Accumulated other comprehensive loss (302,262 ) (280,496 ) Retained earnings 4,233,391 4,081,578 Total stockholders' equity 5,226,154 5,102,550 Total liabilities and stockholders' equity $ 6,564,983 $ 6,426,673 Return on average equity (1) 14.1 % 14.6 % (1) The 2024 return on average equity is calculated by dividing annualized year-to-date 2024 net income by average equity. The 2023 return on average equity is calculated by dividing full year 2023 net income by average equity. Exhibit C Essent Group Ltd. and Subsidiaries Supplemental Information Consolidated Historical Quarterly Data 2024 2023 Selected Income Statement Data March 31 December 31 September 30 June 30 March 31 (In thousands, except per share amounts) Revenues: Net premiums earned: U.S. Mortgage Insurance Portfolio $ 212,479 $ 211,083 $ 209,351 $ 195,502 $ 196,565 GSE and other risk share 17,826 17,166 16,850 17,727 14,693 Title insurance 15,285 17,365 20,604 — — Net premiums earned 245,590 245,614 246,805 213,229 211,258 Net investment income 52,085 50,581 47,072 45,250 43,236 Realized investment (losses) gains, net (1,140 ) (4,892 ) (235 ) (1,589 ) (488 ) (Loss) income from other invested assets (1,915 ) (421 ) (3,143 ) (4,852 ) (2,702 ) Other income (loss) (1) 3,737 6,395 5,609 8,090 4,942 Total revenues 298,357 297,277 296,108 260,128 256,246 Losses and expenses: Provision (benefit) for losses and LAE 9,913 19,640 10,822 1,260 (180 ) Other underwriting and operating expenses 57,349 55,248 54,814 42,174 48,195 Premiums retained by agents 9,491 11,475 13,175 — — Interest expense 7,862 7,953 7,854 7,394 6,936 Total losses and expenses 84,615 94,316 86,665 50,828 54,951 Income before income taxes 213,742 202,961 209,443 209,300 201,295 Income tax expense (2) 32,023 27,594 31,484 37,067 30,468 Net income $ 181,719 $ 175,367 $ 177,959 $ 172,233 $ 170,827 Earnings per share: Basic $ 1.72 $ 1.66 $ 1.68 $ 1.62 $ 1.60 Diluted 1.70 1.64 1.66 1.61 1.59 Weighted average shares outstanding: Basic 105,697 105,733 105,979 106,249 106,943 Diluted 106,770 106,823 107,025 107,093 107,585 Book value per share $ 48.96 $ 47.87 $ 44.98 $ 44.24 $ 43.18 Return on average equity (annualized) 14.1 % 14.2 % 14.9 % 14.7 % 15.0 % 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) 7.06 % 7.11 % 7.07 % 6.87 % 6.52 % Debt-to-capital 7.52 % 7.69 % 8.12 % 8.24 % 8.38 % (1) Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, were ($1,902), $412, ($898), $2,726, and ($368), respectively. (2) Income tax expense for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023 includes ($1,041), ($1,132), ($763), ($888) and ($368), respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2024 also includes ($616) of excess tax benefits associated with the vesting of common shares and common share units. 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 $5,295 of net discrete tax expense associated with prior year tax returns. Exhibit D Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Historical Quarterly Data 2024 2023 Other Data: March 31 December 31 September 30 June 30 March 31 ($ in thousands) U.S. Mortgage Insurance Portfolio New insurance written $ 8,323,544 $ 8,769,160 $ 12,505,823 $ 13,498,080 $ 12,893,789 New risk written 2,289,508 2,409,340 3,458,467 3,726,513 3,548,015 Average insurance in force $ 238,595,268 $ 239,005,961 $ 237,270,093 $ 233,484,941 $ 228,885,174 Insurance in force (end of period) $ 238,477,402 $ 239,078,262 $ 238,661,612 $ 235,649,884 $ 231,537,417 Gross risk in force (end of period) (1) $ 64,247,810 $ 64,061,374 $ 63,605,057 $ 62,403,400 $ 60,879,979 Risk in force (end of period) $ 54,686,533 $ 54,591,590 $ 53,920,308 $ 53,290,643 $ 51,469,312 Policies in force 815,752 822,012 825,248 821,690 815,751 Weighted average coverage (2) 26.9 % 26.8 % 26.7 % 26.5 % 26.3 % Annual persistency 86.9 % 86.9 % 86.6 % 85.8 % 84.4 % Loans in default (count) 13,992 14,819 13,391 12,480 12,773 Percentage of loans in default 1.72 % 1.80 % 1.62 % 1.52 % 1.57 % U.S. Mortgage Insurance Portfolio premium rate: Base average premium rate (3) 0.41 % 0.40 % 0.40 % 0.40 % 0.40 % Single premium cancellations (4) — % — % — % — % — % Gross average premium rate 0.41 % 0.40 % 0.40 % 0.40 % 0.40 % Ceded premiums (0.05 %) (0.05 %) (0.05 %) (0.07 %) (0.06 %) Net average premium rate 0.36 % 0.35 % 0.35 % 0.33 % 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 - U.S. Mortgage Insurance Portfolio New Insurance Written: Flow NIW by Credit Score Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) >=760 $ 3,596,600 43.2 % $ 3,708,316 42.3 % $ 4,847,058 37.7 % 740-759 1,410,446 16.9 1,531,800 17.5 2,397,982 18.6 720-739 1,244,648 15.0 1,333,537 15.2 2,204,844 17.1 700-719 1,140,430 13.7 1,256,250 14.3 2,002,892 15.5 680-699 563,419 6.8 581,913 6.6 1,100,815 8.5 <=679 368,001 4.4 357,344 4.1 340,198 2.6 Total $ 8,323,544 100.0 % $ 8,769,160 100.0 % $ 12,893,789 100.0 % Weighted average credit score 747 747 745 NIW by LTV Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) 85.00% and below $ 559,899 6.7 % $ 642,636 7.3 % $ 963,009 7.5 % 85.01% to 90.00% 1,732,131 20.8 1,871,854 21.3 2,685,828 20.8 90.01% to 95.00% 4,517,655 54.3 4,660,032 53.1 7,430,113 57.6 95.01% and above 1,513,859 18.2 1,594,638 18.3 1,814,839 14.1 Total $ 8,323,544 100.0 % $ 8,769,160 100.0 % $ 12,893,789 100.0 % Weighted average LTV 93 % 93 % 93 % NIW by Product Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 Single Premium policies 2.0 % 2.5 % 4.1 % Monthly Premium policies 98.0 97.5 95.9 100.0 % 100.0 % 100.0 % NIW by Purchase vs. Refinance Three Months Ended March 31, 2024 December 31, 2023 March 31, 2023 Purchase 97.4 % 98.7 % 98.6 % Refinance 2.6 1.3 1.4 100.0 % 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 March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) >=760 $ 96,712,431 40.6 % $ 97,085,244 40.6 % $ 94,560,292 40.8 % 740-759 41,477,680 17.4 41,490,720 17.4 39,870,193 17.2 720-739 37,342,339 15.7 37,435,781 15.7 35,950,319 15.5 700-719 32,023,895 13.4 31,932,469 13.4 30,103,007 13.0 680-699 19,664,999 8.2 19,780,944 8.3 19,338,187 8.4 <=679 11,256,058 4.7 11,353,104 4.6 11,715,419 5.1 Total $ 238,477,402 100.0 % $ 239,078,262 100.0 % $ 231,537,417 100.0 % Weighted average credit score 746 746 746 Gross RIF by FICO score March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) >=760 $ 25,806,552 40.2 % $ 25,752,549 40.2 % $ 24,613,214 40.4 % 740-759 11,326,253 17.6 11,268,607 17.6 10,612,582 17.4 720-739 10,206,055 15.9 10,179,683 15.9 9,602,368 15.8 700-719 8,757,648 13.6 8,687,001 13.6 8,017,430 13.2 680-699 5,321,802 8.3 5,330,894 8.3 5,126,581 8.4 <=679 2,829,500 4.4 2,842,640 4.4 2,907,804 4.8 Total $ 64,247,810 100.0 % $ 64,061,374 100.0 % $ 60,879,979 100.0 % Portfolio by LTV IIF by LTV March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) 85.00% and below $ 18,397,395 7.7 % $ 19,869,776 8.3 % $ 23,502,232 10.2 % 85.01% to 90.00% 62,218,749 26.1 62,973,580 26.3 63,478,244 27.3 90.01% to 95.00% 120,666,455 50.6 119,764,184 50.1 112,184,833 48.5 95.01% and above 37,194,803 15.6 36,470,722 15.3 32,372,108 14.0 Total $ 238,477,402 100.0 % $ 239,078,262 100.0 % $ 231,537,417 100.0 % Weighted average LTV 93 % 93 % 92 % Gross RIF by LTV March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) 85.00% and below $ 2,188,074 3.4 % $ 2,364,232 3.7 % $ 2,793,895 4.6 % 85.01% to 90.00% 15,329,091 23.9 15,494,172 24.2 15,529,427 25.5 90.01% to 95.00% 35,556,840 55.3 35,260,761 55.0 32,929,489 54.1 95.01% and above 11,173,805 17.4 10,942,209 17.1 9,627,168 15.8 Total $ 64,247,810 100.0 % $ 64,061,374 100.0 % $ 60,879,979 100.0 % Portfolio by Loan Amortization Period IIF by Loan Amortization Period March 31, 2024 December 31, 2023 March 31, 2023 ($ in thousands) FRM 30 years and higher $ 232,753,590 97.6 % $ 232,995,380 97.5 % $ 224,230,607 96.8 % FRM 20-25 years 1,473,431 0.6 1,685,700 0.7 2,364,623 1.0 FRM 15 years 1,359,795 0.6 1,505,759 0.6 2,214,448 1.0 ARM 5 years and higher 2,890,586 1.2 2,891,423 1.2 2,727,739 1.2 Total $ 238,477,402 100.0 % $ 239,078,262 100.0 % $ 231,537,417 100.0 % Exhibit G Essent Group Ltd. and Subsidiaries Supplemental Information Other Risk in Force 2024 2023 ($ in thousands) March 31 December 31 September 30 June 30 March 31 GSE and other risk share (1): Risk in Force $ 2,307,267 $ 2,244,944 $ 2,247,393 $ 2,276,702 $ 2,098,033 Reserve for losses and LAE $ 32 $ 29 $ 54 $ 55 $ 65 Weighted average credit score 750 749 749 749 749 Weighted average LTV 82 % 82 % 82 % 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 March 31, 2024 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 $ 1,337,665 2.2 % 8,083 4.29 % 70.1 % 57.2 % 7.3 % 13.4 % 45.5 % 2.4 % 318 3.93 % 2015 26,193,656 1,192,019 4.6 7,166 4.25 81.6 70.1 5.3 18.3 39.0 2.3 265 3.70 2016 34,949,319 2,778,784 8.0 16,341 3.91 87.2 80.1 12.9 16.3 41.7 2.1 492 3.01 2017 43,858,322 4,511,284 10.3 27,229 4.28 91.3 73.9 21.5 20.6 37.3 3.2 1,052 3.86 2018 47,508,525 5,331,200 11.2 30,191 4.80 94.9 72.6 26.4 21.8 32.5 4.2 1,297 4.30 2019 63,569,183 11,776,711 18.5 56,634 4.23 88.7 70.3 25.4 19.0 35.3 4.0 1,726 3.05 2020 107,944,065 43,791,803 40.6 170,192 3.20 70.0 58.7 13.6 10.8 45.5 2.9 2,324 1.37 2021 84,218,250 58,766,271 69.8 193,329 3.09 87.5 64.2 15.9 13.8 40.4 6.6 3,172 1.64 2022 63,061,262 55,899,907 88.6 159,736 5.08 97.9 65.6 11.3 12.6 39.6 19.7 2,477 1.55 2023 47,666,852 44,842,520 94.1 124,984 6.65 98.8 72.5 18.3 11.0 39.1 15.9 867 0.69 2024 (through March 31) 8,323,544 8,249,238 99.1 21,867 6.74 97.4 72.6 18.3 11.2 43.0 0.8 2 0.01 Total $ 587,961,829 $ 238,477,402 40.6 815,752 4.51 89.4 66.2 15.6 13.0 40.6 4.5 13,992 1.72 (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 March 31, 2024 ($ 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 Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Radnor Re 2021-1 Aug. 2020 - Mar. 2021 $ 29,772,296 $ 7,817,502 $ 557,911 $ 280,941 $ — $ 278,956 $ 278,416 $ 2,325 $ 203,407 Radnor Re 2021-2 Apr. 2021 - Sep. 2021 34,555,672 9,408,534 439,407 322,709 — 279,415 278,709 3,674 265,684 Radnor Re 2022-1 Oct. 2021 - Jul. 2022 30,751,105 8,334,892 237,868 219,606 — 303,761 302,892 3,917 202,037 Radnor Re 2023-1 Aug. 2022 - Jun. 2023 30,145,794 8,250,148 281,462 281,462 — 281,463 281,463 3,478 266,826 Total $ 125,224,867 $ 33,811,076 $ 1,516,648 $ 1,104,718 $ — $ 1,143,595 $ 1,141,480 $ 13,394 (5) $ 937,954 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 Year-to-Date Reduction in PMIERs Minimum Required Assets (3) XOL 2019-1 Jan. 2018 - Dec. 2018 $ 5,274,449 $ 1,385,510 $ 118,650 $ 76,144 $ — $ 253,643 $ 245,590 $ 620 $ — XOL 2020-1 Jan. 2019 - Dec. 2019 6,574,279 1,728,344 55,102 35,024 — 215,605 212,934 280 — XOL 2022-1 Oct. 2021 - Dec. 2022 68,954,857 18,681,548 141,992 141,992 — 507,114 504,904 1,593 138,049 XOL 2023-1 Jan. 2023 - Dec. 2023 39,984,013 11,066,581 36,627 36,627 — 366,270 366,270 434 35,262 Total $ 120,787,598 $ 32,861,983 $ 352,371 $ 289,787 $ — $ 1,342,632 $ 1,329,698 $ 2,927 $ 173,311 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 Year-to-Date Year-to-Date Year-to-Date Reduction in PMIERs Minimum Required Assets (3) Sep. 2019 - Dec. 2020 (4) $ 48,738,950 $ 12,911,516 $ 10,961,149 $ 2,867,129 $ (181 ) $ 2,381 $ 4,224 $ 171,243 Jan. 2022 - Dec. 2022 20% 55,847,902 15,138,856 11,169,580 3,027,771 1,724 1,905 5,344 228,999 Jan. 2023 - Dec. 2023 17.5% 39,871,067 11,039,038 6,977,437 1,931,832 1,441 1,366 4,310 142,961 Jan. 2024 - Dec. 2024 15% 8,237,311 2,266,932 1,235,597 340,040 — 101 216 23,466 Total $ 152,695,230 $ 41,356,342 $ 30,343,763 $ 8,166,772 $ 2,984 $ 5,753 $ 14,094 $ 566,669 (1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs"). (2) Reinsurance provided by panels of reinsurers. (3) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs. (4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies. (5) Excludes ($24) of benefit in ceded premium on ILN's retired as of March 31, 2024. Exhibit J Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Portfolio Geographic Data IIF by State March 31, 2024 December 31, 2023 March 31, 2023 CA 12.9 % 13.0 % 13.2 % FL 11.3 11.1 10.4 TX 10.6 10.5 10.5 CO 4.1 4.1 4.2 AZ 3.8 3.7 3.6 GA 3.5 3.4 3.2 WA 3.5 3.5 3.4 NC 2.9 2.9 2.7 VA 2.7 2.8 3.0 IL 2.7 2.8 3.0 All Others 42.0 42.2 42.8 Total 100.0 % 100.0 % 100.0 % Gross RIF by State March 31, 2024 December 31, 2023 March 31, 2023 CA 12.8 % 12.8 % 13.0 % FL 11.6 11.4 10.7 TX 10.9 10.9 10.8 CO 4.1 4.0 4.1 AZ 3.8 3.8 3.7 GA 3.6 3.4 3.3 WA 3.4 3.5 3.4 NC 2.9 2.9 2.8 VA 2.7 2.7 2.9 IL 2.7 2.7 2.9 All Others 41.5 41.9 42.4 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 2024 2023 March 31 December 31 September 30 June 30 March 31 Beginning default inventory 14,819 13,391 12,480 12,773 13,433 Plus: new defaults (A) 8,260 9,007 7,953 6,575 7,015 Less: cures (8,951 ) (7,418 ) (6,902 ) (6,761 ) (7,574 ) Less: claims paid (123 ) (148 ) (129 ) (96 ) (94 ) Less: rescissions and denials, net (13 ) (13 ) (11 ) (11 ) (7 ) Ending default inventory 13,992 14,819 13,391 12,480 12,773 (A) New defaults remaining as of March 31, 2024 5,425 3,139 1,897 1,119 663 Cure rate (1) 34 % 65 % 76 % 83 % 91 % Total amount paid for claims (in thousands) $ 3,605 $ 3,411 $ 2,956 $ 1,890 $ 1,959 Average amount paid per claim (in thousands) $ 29 $ 23 $ 23 $ 20 $ 21 Severity 65 % 54 % 66 % 58 % 59 % Rollforward of Reserve for Losses and LAE Three Months Ended 2024 2023 ($ in thousands) March 31 December 31 September 30 June 30 March 31 Reserve for losses and LAE at beginning of period $ 245,402 $ 226,617 $ 216,888 $ 215,957 $ 216,390 Less: Reinsurance recoverables 24,005 20,656 17,958 16,357 14,618 Net reserve for losses and LAE at beginning of period 221,397 205,961 198,930 199,600 201,772 Add provision for losses and LAE occurring in: Current period $ 39,396 $ 38,922 $ 35,609 $ 31,377 $ 32,693 Prior years (30,062 ) (19,912 ) (25,533 ) (30,107 ) (32,864 ) Incurred losses and LAE during the period 9,334 19,010 10,076 1,270 (171 ) Deduct payments for losses and LAE occurring in: Current period 1 330 156 31 — Prior years 3,735 3,244 2,889 1,909 2,001 Loss and LAE payments during the period 3,736 3,574 3,045 1,940 2,001 Net reserve for losses and LAE at end of period 226,995 221,397 205,961 198,930 199,600 Plus: Reinsurance recoverables 26,570 24,005 20,656 17,958 16,357 Reserve for losses and LAE at end of period $ 253,565 $ 245,402 $ 226,617 $ 216,888 $ 215,957 (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 March 31, 2024 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 6,527 47 % $ 42,354 18 % $ 482,151 9 % Four to eleven payments 5,440 39 104,123 45 426,513 24 Twelve or more payments 1,883 13 80,025 34 130,816 61 Pending claims 142 1 7,382 3 8,351 88 Total case reserves 13,992 100 % 233,884 100 % $ 1,047,831 22 % IBNR 17,541 LAE 2,140 Total reserves for losses and LAE $ 253,565 Average reserve per default: Case $ 16.7 Total $ 18.1 Default Rate 1.72 % 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 % March 31, 2023 Number of Policies in Default Percentage of Policies in Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of Defaulted RIF ($ in thousands) Missed Payments: Three payments or less 5,366 42 % $ 31,080 16 % $ 366,993 8 % Four to eleven payments 5,106 40 78,125 39 363,299 22 Twelve or more payments 2,188 17 85,517 43 130,520 66 Pending claims 113 1 4,386 2 5,004 88 Total case reserves 12,773 100 % 199,108 100 % $ 865,816 23 % IBNR 14,933 LAE 1,916 Total reserves for losses and LAE $ 215,957 Average reserve per default: Case $ 15.6 Total $ 16.9 Default Rate 1.57 % Exhibit M Essent Group Ltd. and Subsidiaries Supplemental Information Investments Available for Sale Investments Available for Sale by Asset Class Asset Class March 31, 2024 December 31, 2023 ($ in thousands) Fair Value Percent Fair Value Percent U.S. Treasury securities $ 1,036,787 19.3 % $ 996,382 18.9 % U.S. agency securities 1,573 0.1 7,195 0.1 U.S. agency mortgage-backed securities 787,285 14.7 821,346 15.6 Municipal debt securities 539,678 10.1 547,258 10.5 Non-U.S. government securities 66,395 1.2 67,447 1.3 Corporate debt securities 1,219,160 22.7 1,297,055 24.7 Residential and commercial mortgage securities 506,780 9.4 517,940 9.8 Asset-backed securities 522,352 9.7 564,995 10.7 Money market funds 689,064 12.8 444,121 8.4 Total investments available for sale $ 5,369,074 100.0 % $ 5,263,739 100.0 % Investments Available for Sale by Credit Rating Rating (1) March 31, 2024 December 31, 2023 ($ in thousands) Fair Value Percent Fair Value Percent Aaa $ 2,523,003 53.9 % $ 2,561,363 53.2 % Aa1 107,659 2.3 104,474 2.2 Aa2 281,505 6.0 291,501 6.0 Aa3 198,316 4.2 208,882 4.3 A1 368,360 7.9 377,188 7.8 A2 285,058 6.1 329,423 6.8 A3 269,390 5.8 253,081 5.3 Baa1 199,880 4.3 220,901 4.6 Baa2 210,558 4.5 226,449 4.7 Baa3 160,219 3.4 166,121 3.4 Below Baa3 76,062 1.6 80,235 1.7 Total (2) $ 4,680,010 100.0 % $ 4,819,618 100.0 % (1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available. (2) Excludes $689,064 and $444,121 of money market funds at March 31, 2024 and December 31, 2023, respectively. Investments Available for Sale by Duration and Book Yield Effective Duration March 31, 2024 December 31, 2023 ($ in thousands) Fair Value Percent Fair Value Percent < 1 Year $ 2,074,776 38.6 % $ 1,892,074 35.9 % 1 to < 2 Years 359,920 6.7 371,583 7.1 2 to < 3 Years 496,204 9.2 538,775 10.2 3 to < 4 Years 364,968 6.8 402,668 7.6 4 to < 5 Years 422,678 7.9 376,722 7.2 5 or more Years 1,650,528 30.8 1,681,917 32.0 Total investments available for sale $ 5,369,074 100.0 % $ 5,263,739 100.0 % Pre-tax investment income yield: Three months ended March 31, 2024 3.67 % Holding company net cash and investments available for sale: ($ in thousands) As of March 31, 2024 $ 720,419 As of December 31, 2023 $ 693,507 Exhibit N Essent Group Ltd. and Subsidiaries Supplemental Information U.S. Mortgage Insurance Company Capital 2024 2023 March 31 December 31 September 30 June 30 March 31 ($ in thousands) U.S. Mortgage Insurance Subsidiaries: Combined statutory capital (1) $ 3,453,553 $ 3,376,117 $ 3,309,522 $ 3,243,086 $ 3,207,102 Combined net risk in force (2) $ 34,463,082 $ 34,549,500 $ 34,203,678 $ 34,019,643 $ 33,038,825 Risk-to-capital ratios: (3) Essent Guaranty, Inc. 10.3:1 10.6:1 10.7:1 10.8:1 10.6:1 Essent Guaranty of PA, Inc. 0.4:1 0.4:1 0.5:1 0.5:1 0.5:1 Combined (4) 10.0:1 10.2:1 10.3:1 10.5:1 10.3:1 Essent Guaranty, Inc. PMIERs Data (5): Available Assets $ 3,464,119 $ 3,379,936 $ 3,318,179 $ 3,245,481 $ 3,226,436 Minimum Required Assets 1,999,928 1,985,545 1,910,659 1,991,741 1,917,769 PMIERs excess Available Assets $ 1,464,191 $ 1,394,391 $ 1,407,520 $ 1,253,740 $ 1,308,667 PMIERs sufficiency ratio (6) 173 % 170 % 174 % 163 % 168 % Essent Reinsurance Ltd.: Stockholder's equity (GAAP basis) $ 1,793,005 $ 1,758,665 $ 1,684,122 $ 1,633,763 $ 1,573,013 Net risk in force (2) $ 22,271,316 $ 22,043,926 $ 21,739,419 $ 21,327,762 $ 20,305,111 (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 Ratios and Reconciliation of Non-GAAP Financial Measures 2024 2023 March 31 December 31 September 30 June 30 March 31 Loss Ratio (1) 4.0 % 7.9 % 4.4 % 0.6 % (0.1 )% Expense Ratio (2) 27.1 % 27.0 % 27.3 % 19.8 % 22.8 % Combined Ratio 31.1 % 34.9 % 31.7 % 20.4 % 22.7 % Underwriting Margin (3) 68.9 % 65.1 % 68.3 % 79.6 % 77.3 % We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the three months ended March 31, 2024 lack comparability with periods prior to the acquisition. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to ratios excluding title, as shown below. 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. 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 ratios excluding title to the most comparable GAAP amount for the three months ended March 31, 2024, in accordance with Regulation G: Three Months Ended March 31, 2024 Consolidated Title Excluding Title ($ in thousands) Revenues: Net premiums earned $ 245,590 $ 15,285 $ 230,305 Net investment income 52,085 751 51,334 Realized investment losses, net (1,140 ) — (1,140 ) (Loss) income from other invested assets (1,915 ) — (1,915 ) Settlement services (4) 1,424 1,424 — Other income 2,313 408 1,905 Total revenues 298,357 17,868 280,489 Losses and expenses: Provision (benefit) for losses and LAE 9,913 576 9,337 Other underwriting and operating expenses 57,349 11,810 45,539 Premiums retained by agents 9,491 9,491 — Interest expense 7,862 — 7,862 Total losses and expenses 84,615 21,877 62,738 Loss ratio (1) 4.0 % 3.4 % 4.1 % Expense ratio (2) 27.1 % 127.5 % 19.8 % Combined ratio 31.1 % 130.9 % 23.9 % Underwriting Margin (3) 68.9 % (30.9 %) 76.1 % (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) Calculated as the inverse of the combined ratio. (4) 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/20240503505670/en/
Media Contact 610.230.0556 media@essentgroup.com Investor Relations Contact Philip Stefano Vice President, Investor Relations 855-809-ESNT ir@essentgroup.com