Equibles

8-K

Essent Group Ltd. (ESNT)

8-K 2023-05-05 For: 2023-05-05
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Added on April 04, 2026

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d)

of the Securities Exchange Act of 1934

Date of report (Date of Earliest Event Reported): May 5, 2023

ESSENT GROUP LTD.

(Exact name of registrant as specified in its charter)

Bermuda 001-36157 Not Applicable
(State of Incorporation) (Commission File Number) (I.R.S. Employer Identification No.)

Clarendon House

2 Church Street

Hamilton HM11, Bermuda

(Address of Principal Executive Offices and Zip Code)

(441) 297‑9901

(Registrant’s telephone number, including area code)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

☐ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).

Emerging growth company        ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition

period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Securities registered pursuant to Section 12(b) of the Act:

Title of each class Trading<br>Symbol(s) Name of each exchange on which registered
Common Shares, $0.015 par value ESNT New York Stock Exchange

Item 2.02.    Results of Operations and Financial Condition

On May 5, 2023, Essent Group Ltd. (the “Company”) issued a press release announcing its financial results for the quarter ended March 31, 2023. A copy of this press release is furnished as Exhibit 99.1 to this report.

The information in this report, including Exhibit 99.1, has been “furnished” and shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to liability under that section. The information in this report shall not be incorporated by reference into any filing or other document under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such filing or document.

Item 9.01.             Financial Statements and Exhibits

| (d) | Exhibits | | --- | --- || Exhibit<br> No. | Description | | --- | --- | | 104 | Cover Page Interactive Data File - the cover page XBRL tags are embedded within the Inline XBRL document. | | 99.1 | Press Release issued by Essent Group Ltd. on May 5, 2023. |

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

Date: May 5, 2023

ESSENT GROUP LTD.

By:    /s/ David B. Weinstock

Name: David B. Weinstock

Title: Senior Vice President and Chief Financial Officer

Document

Exhibit 99.1

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

HAMILTON, Bermuda--(BUSINESS WIRE)--May 5, 2023--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2023 of $170.8 million or $1.59 per diluted share, compared to $274.2 million or $2.52 per diluted share for the quarter ended March 31, 2022.

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

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

Financial Highlights:

•New insurance written for the first quarter of 2023 was $12.9 billion, compared to $13.0 billion in the fourth quarter of 2022 and $12.8 billion in the first quarter of 2022.

•Insurance in force as of March 31, 2023 was $231.5 billion, compared to $227.1 billion as of December 31, 2022 and $206.8 billion as of March 31, 2022.

•The combined ratio for the first quarter of 2023 was 22.7%, compared to 24.6% in the fourth quarter of 2022 and (30.7)% in the first quarter of 2022.

Conference Call:

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

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

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

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); the impact of COVID-19 and related economic conditions; an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2022 filed with the Securities and Exchange Commission on February 17, 2023, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) which, through its wholly-owned subsidiary, Essent Guaranty, Inc., offers private mortgage insurance for single-family mortgage loans in the United States. Essent provides private capital to mitigate mortgage credit risk, allowing lenders to make additional mortgage financing available to prospective homeowners. Headquartered in Radnor, Pennsylvania, Essent Guaranty, Inc. is licensed to write mortgage insurance in all 50 states and the District of Columbia, and is approved by Fannie Mae and Freddie Mac. Essent also offers mortgage-related insurance, reinsurance and advisory services through its Bermuda-based subsidiary, Essent Reinsurance Ltd. Essent is committed to supporting environmental, social and governance (“ESG”) initiatives that are relevant to the company and align with the companywide dedication to responsible corporate citizenship that positively impacts the community and people served. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.

Source: Essent Group Ltd.

Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended March 31, 2023
Exhibit A Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C Historical Quarterly Data
Exhibit D New Insurance Written
Exhibit E Insurance in Force and Risk in Force
Exhibit F Other Risk in Force
Exhibit G Portfolio Vintage Data
Exhibit H Reinsurance Vintage Data
Exhibit I Portfolio Geographic Data
Exhibit J Rollforward of Defaults and Reserve for Losses and LAE
Exhibit K Detail of Reserves by Default Delinquency
Exhibit L Investments Available for Sale
Exhibit M Insurance Company Capital
Exhibit A
--- --- --- --- --- --- --- ---
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Three Months Ended March 31,
(In thousands, except per share amounts) 2023 2022
Revenues:
Direct premiums written $ 239,491 $ 220,254
Ceded premiums (33,591) (20,523)
Net premiums written 205,900 199,731
Decrease in unearned premiums 5,358 15,599
Net premiums earned 211,258 215,330
Net investment income 43,236 24,680
Realized investment losses, net (488) (7,352)
(Loss) income from other invested assets (2,702) 24,705
Other income 4,942 7,248
Total revenues 256,246 264,611
Losses and expenses:
(Benefit) provision for losses and LAE (180) (106,858)
Other underwriting and operating expenses 48,195 40,796
Interest expense 6,936 2,226
Total losses and expenses 54,951 (63,836)
Income before income taxes 201,295 328,447
Income tax expense 30,468 54,280
Net income $ 170,827 $ 274,167
Earnings per share:
Basic $ 1.60 $ 2.53
Diluted 1.59 2.52
Weighted average shares outstanding:
Basic 106,943 108,166
Diluted 107,585 108,590
Net income $ 170,827 $ 274,167
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments 58,753 (203,006)
Total other comprehensive income (loss) 58,753 (203,006)
Comprehensive income $ 229,580 $ 71,161
Loss ratio (0.1 %) (49.6 %)
Expense ratio 22.8 18.9
Combined ratio 22.7 % (30.7 %)
Exhibit B
--- --- --- --- --- ---
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
December 31,
(In thousands, except per share amounts) 2022
Assets
Investments
Fixed maturities available for sale, at fair value 4,602,284 $ 4,489,598
Short-term investments available for sale, at fair value 252,027
Total investments available for sale 4,741,625
Other invested assets 257,941
Total investments 4,999,566
Cash 81,240
Accrued investment income 33,162
Accounts receivable 57,399
Deferred policy acquisition costs 9,910
Property and equipment 19,571
Prepaid federal income tax 418,460
Other assets 104,489
Total assets 5,927,506 $ 5,723,797
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE 216,022 $ 216,464
Unearned premium reserve 162,887
Net deferred tax liability 356,810
Credit facility borrowings, net of deferred costs 420,864
Other accrued liabilities 104,463
Total liabilities 1,261,488
Commitments and contingencies
Stockholders' Equity
Common shares, 0.015 par value:
Authorized - 233,333; issued and outstanding - 107,659 shares in 2023 and 107,683 shares in 2022 1,615
Additional paid-in capital 1,350,377
Accumulated other comprehensive loss (382,790)
Retained earnings 3,493,107
Total stockholders' equity 4,462,309
Total liabilities and stockholders' equity 5,927,506 $ 5,723,797
Return on average equity (1) % 19.1 %
(1) The 2023 return on average equity is calculated by dividing annualized year-to-date 2023 net income by average equity.  The 2022 return on average equity is calculated by dividing full year 2022 net income by average equity.

All values are in US Dollars.

Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2022
Selected Income Statement Data December 31 September 30 June 30 March 31
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio 196,565 $ 192,670 $ 194,272 $ 198,891 $ 203,312
GSE and other risk share 14,582 13,662 13,120 12,018
Net premiums earned 207,252 207,934 212,011 215,330
Net investment income 37,796 32,594 29,339 24,680
Realized investment (losses) gains, net (5,524) 175 (471) (7,352)
(Loss) income from other invested assets (7,599) 9,617 1,953 24,705
Other income (loss) (1) (1,888) 11,447 1,577 7,248
Total revenues 230,037 261,767 244,409 264,611
Losses and expenses:
(Benefit) provision for losses and LAE 4,101 4,252 (76,199) (106,858)
Other underwriting and operating expenses 46,895 42,144 41,898 40,796
Interest expense 6,045 4,450 2,887 2,226
Total losses and expenses 57,041 50,846 (31,414) (63,836)
Income before income taxes 172,996 210,921 275,823 328,447
Income tax expense (2) 25,630 32,870 44,054 54,280
Net income 170,827 $ 147,366 $ 178,051 $ 231,769 $ 274,167
Earnings per share:
Basic 1.60 $ 1.38 $ 1.67 $ 2.17 $ 2.53
Diluted 1.37 1.66 2.16 2.52
Weighted average shares outstanding:
Basic 106,881 106,870 106,921 108,166
Diluted 107,419 107,337 107,283 108,590
Book value per share 43.18 $ 41.44 $ 39.87 $ 39.67 $ 38.98
Return on average equity (annualized) % 13.5 % 16.6 % 21.8 % 26.0 %
Other Data:
Loss ratio (3) %) 2.0 % 2.0 % (35.9) % (49.6) %
Expense ratio (4) 22.6 20.3 19.8 18.9
Combined ratio % 24.6 % 22.3 % (16.2) % (30.7) %
Credit Facility
Borrowings outstanding 425,000 $ 425,000 $ 425,000 $ 425,000 $ 425,000
Undrawn committed capacity 400,000 $ 400,000 $ 400,000 $ 400,000 $ 400,000
Weighted average interest rate (end of period) % 6.02 % 4.39 % 2.92 % 1.99 %
Debt-to-capital % 8.70 % 9.01 % 9.05 % 9.16 %
(1) Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended March 31, 2023, December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022 was (368), (6,515),5,177, (5,549), and 4,365, respectively.
(2) Income tax expense for the quarters ended March 31, 2023, December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022 includes (368), (4,122), 2,925, (299), and 7,002, respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses.
(3) Loss ratio is calculated by dividing the provision for losses and LAE by net premiums earned.
(4) Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.

All values are in US Dollars.

Exhibit C, continued
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2022
Other Data, continued: December 31 September 30 June 30 March 31
( in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written 12,893,789 $ 13,011,432 $ 17,112,017 $ 20,096,135 $ 12,841,482
New risk written 3,522,726 4,570,699 5,442,115 3,438,016
Bulk:
New insurance written — $ — $ — $ 196 $ —
New risk written — — 29 —
Total:
New insurance written 12,893,789 $ 13,011,432 $ 17,112,017 $ 20,096,331 $ 12,841,482
New risk written 3,548,015 $ 3,522,726 $ 4,570,669 $ 5,442,144 $ 3,438,016
Average insurance in force 228,885,174 $ 224,840,675 $ 219,280,350 $ 210,896,297 $ 206,631,135
Insurance in force (end of period) 231,537,417 $ 227,062,055 $ 222,542,569 $ 215,896,531 $ 206,842,996
Gross risk in force (end of period) (5) 60,879,979 $ 59,276,489 $ 57,743,091 $ 55,678,063 $ 52,847,985
Risk in force (end of period) 51,469,312 $ 49,903,626 $ 48,690,571 $ 47,289,910 $ 45,261,164
Policies in force 808,596 800,745 789,652 774,002
Weighted average coverage (6) % 26.1 % 25.9 % 25.8 % 25.5 %
Annual persistency % 82.1 % 77.9 % 73.4 % 69.1 %
Loans in default (count) 13,433 12,435 12,707 14,923
Percentage of loans in default % 1.66 % 1.55 % 1.61 % 1.93 %
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (7) % 0.40 % 0.40 % 0.41 % 0.41 %
Single premium cancellations (8) % — % 0.01 % 0.01 % 0.02 %
Gross average premium rate % 0.40 % 0.41 % 0.42 % 0.43 %
Ceded premiums %) (0.06 %) (0.06 %) (0.04 %) (0.04 %)
Net average premium rate % 0.34 % 0.35 % 0.38 % 0.39 %
(5) Gross risk in force includes risk ceded under third-party reinsurance.
(6) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
(7) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
(8) Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.

All values are in US Dollars.

Exhibit D
Essent Group Ltd. and Subsidiaries
Supplemental Information
New Insurance Written: Flow
NIW by Credit Score
December 31, 2022 March 31, 2022
( in thousands)
>=760 4,847,058 37.7 % $ 4,761,917 36.6 % $ 5,410,654 42.1 %
740-759 18.6 2,428,164 18.7 2,113,232 16.5
720-739 17.1 2,301,392 17.7 1,991,318 15.5
700-719 15.5 1,919,146 14.6 1,620,473 12.6
680-699 8.5 1,138,743 8.8 1,147,766 8.9
<=679 2.6 462,070 3.6 558,039 4.4
Total 12,893,789 100.0 % $ 13,011,432 100.0 % $ 12,841,482 100.0 %
Weighted average credit score 744 747
NIW by LTV
December 31, 2022 March 31, 2022
( in thousands)
85.00% and below 963,009 7.5 % $ 1,121,853 8.6 % $ 1,262,038 9.8 %
85.01% to 90.00% 20.8 3,075,304 23.6 3,415,938 26.6
90.01% to 95.00% 57.6 7,464,333 57.4 6,416,255 50.0
95.01% and above 14.1 1,349,942 10.4 1,747,251 13.6
Total 12,893,789 100.0 % $ 13,011,432 100.0 % $ 12,841,482 100.0 %
Weighted average LTV % 93 % 93 %
NIW by Product
December 31, 2022 March 31, 2022
Single Premium policies 4.1 % 4.3 % 1.9 %
Monthly Premium policies 95.9 95.7 98.1
100.0 % 100.0 % 100.0 %
NIW by Purchase vs. Refinance
December 31, 2022 March 31, 2022
Purchase 98.6 % 98.9 % 94.1 %
Refinance 1.4 1.1 5.9
100.0 % 100.0 % 100.0 %

All values are in US Dollars.

Exhibit E
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance in Force and Risk in Force
Portfolio by Credit Score
IIF by FICO score December 31, 2022 March 31, 2022
( in thousands)
>=760 94,560,292 40.8 % $ 93,389,066 41.1 % $ 85,707,070 41.4 %
740-759 17.2 38,842,311 17.2 35,048,891 17.0
720-739 15.5 34,981,632 15.4 31,180,765 15.1
700-719 13.0 29,146,543 12.8 26,040,114 12.6
680-699 8.4 18,859,824 8.3 16,847,202 8.1
<=679 5.1 11,842,679 5.2 12,018,954 5.8
Total 231,537,417 100.0 % $ 227,062,055 100.0 % $ 206,842,996 100.0 %
Weighted average credit score 746 746
Gross RIF by FICO score December 31, 2022 March 31, 2022
( in thousands)
>=760 24,613,214 40.4 % $ 24,152,726 40.8 % $ 21,707,751 41.1 %
740-759 17.4 10,255,195 17.3 9,041,350 17.1
720-739 15.8 9,276,750 15.6 8,091,445 15.3
700-719 13.2 7,696,965 13.0 6,724,288 12.7
680-699 8.4 4,963,470 8.4 4,338,206 8.2
<=679 4.8 2,931,383 4.9 2,944,945 5.6
Total 60,879,979 100.0 % $ 59,276,489 100.0 % $ 52,847,985 100.0 %
Portfolio by LTV
IIF by LTV December 31, 2022 March 31, 2022
( in thousands)
85.00% and below 23,502,232 10.2 % $ 24,454,468 10.8 % $ 26,057,055 12.6 %
85.01% to 90.00% 27.3 63,436,445 27.8 59,113,908 28.6
90.01% to 95.00% 48.5 107,932,064 47.6 92,460,810 44.7
95.01% and above 14.0 31,239,078 13.8 29,211,223 14.1
Total 231,537,417 100.0 % $ 227,062,055 100.0 % $ 206,842,996 100.0 %
Weighted average LTV % 92 % 92 %
Gross RIF by LTV December 31, 2022 March 31, 2022
( in thousands)
85.00% and below 2,793,895 4.6 % $ 2,903,877 4.9 % $ 3,062,878 5.8 %
85.01% to 90.00% 25.5 15,477,031 26.1 14,288,854 27.0
90.01% to 95.00% 54.1 31,642,669 53.4 26,960,457 51.0
95.01% and above 15.8 9,252,912 15.6 8,535,796 16.2
Total 60,879,979 100.0 % $ 59,276,489 100.0 % $ 52,847,985 100.0 %
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period December 31, 2022 March 31, 2022
( in thousands)
FRM 30 years and higher 224,230,607 96.8 % $ 219,416,408 96.7 % $ 198,658,948 96.1 %
FRM 20-25 years 1.0 2,601,108 1.1 3,365,533 1.6
FRM 15 years 1.0 2,552,931 1.1 3,580,416 1.7
ARM 5 years and higher 1.2 2,491,608 1.1 1,238,099 0.6
Total 231,537,417 100.0 % $ 227,062,055 100.0 % $ 206,842,996 100.0 %

All values are in US Dollars.

Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
2023 2022
($ in thousands) March 31 December 31 September 30 June 30 March 31
GSE and other risk share (1):
Risk in Force $ 2,098,033 $ 2,030,571 $ 2,026,895 $ 1,898,364 $ 1,888,437
Reserve for losses and LAE $ 65 $ 74 $ 102 $ 144 $ 254
Weighted average credit score 749 749 748 748 748
Weighted average LTV 83 % 83 % 84 % 84 % 84 %
(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.
Exhibit G
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Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
March 31, 2023
Insurance in Force
Year OriginalInsuranceWritten( in thousands) RemainingInsurancein Force( in thousands) % Remaining of Original<br>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 3.2 % 12,429 4.32 % 76.7 % 67.7 % 6.1 % 15.0 % 43.0 % 2.6 % 469 3.77 %
2015 26,193,656 1,774,450 6.8 10,695 4.19 85.1 76.3 4.4 17.4 39.6 2.7 384 3.59
2016 34,949,319 3,808,006 10.9 21,772 3.88 88.3 76.6 11.0 16.2 42.4 2.6 642 2.95
2017 43,858,322 5,637,892 12.9 33,053 4.27 91.2 69.7 20.0 20.2 38.0 3.8 1,251 3.78
2018 47,508,525 6,439,876 13.6 35,612 4.79 94.4 69.7 25.3 21.6 32.8 5.3 1,593 4.47
2019 63,569,183 14,135,010 22.2 66,304 4.22 87.7 67.2 24.1 18.7 35.6 5.5 1,957 2.95
2020 107,944,065 55,661,138 51.6 209,325 3.18 66.6 54.8 12.4 10.7 45.6 4.2 2,594 1.24
2021 84,218,250 69,593,624 82.6 223,703 3.08 85.0 61.2 14.8 13.9 40.4 7.8 2,743 1.23
2022 63,061,262 59,703,096 94.7 168,003 5.07 97.7 64.9 11.0 12.7 39.9 17.4 1,131 0.67
2023 (through March 31) 12,893,789 12,813,737 99.4 34,855 6.24 98.6 71.8 14.1 11.2 37.4 3.1 9 0.03
Total 42.5 815,751 3.97 85.2 62.4 14.0 13.4 40.8 4.4 12,773 1.57
(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.

All values are in US Dollars.

Exhibit H
Essent Group Ltd. and Subsidiaries
Supplemental Information
Reinsurance Vintage Data
March 31, 2023
( in thousands)
Excess of Loss Reinsurance Original<br>Reinsurance in Force Remaining<br>Reinsurance in Force Earned Premiums Ceded
Year Remaining<br>Risk<br>in Force ILN (1) Other Reinsurance (2) Total ILN Other Reinsurance Total Losses<br>Ceded<br>to Date Original<br>First Layer<br>Retention Remaining<br>First Layer<br>Retention Year-to-Date Reduction in PMIERs Minimum Required <br>Assets (3)
2017 5,511,131 $ 1,450,432 $ 424,412 $ 165,167 $ 589,579 $ — $ 70,895 $ 70,895 $ — $ 678,283 $ 421,003 (9) $ 2,136 $ —
2018 1,644,287 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 248,221 4,113 —
2019 (4) 2,029,598 495,889 55,102 550,991 395,889 43,991 439,880 — 215,605 214,485 2,691 —
2020 & 2021 (5) 9,652,777 557,911 — 557,911 414,005 — 414,005 — 278,956 278,909 3,195 326,919
2021 (6) 10,825,130 439,407 — 439,407 399,786 — 399,786 — 279,415 279,400 4,153 363,292
2021 & 2022 (7) 19,998,840 — 141,992 141,992 — 141,992 141,992 — 507,114 507,114 1,553 138,375
2021 & 2022 (8) 8,966,697 237,868 — 237,868 237,868 — 237,868 — 303,761 303,761 4,215 218,839
Total 206,065,438 $ 54,567,761 $ 2,628,671 $ 480,911 $ 3,109,582 $ 1,773,085 $ 333,022 $ 2,106,107 $ — $ 2,289,964 $ 2,025,706 (10) $ 22,276 (11) $ 1,047,425

All values are in US Dollars.

Quota Share Reinsurance
Losses Ceded Ceding Commission Earned Premiums Ceded
Year Ceding Percentage Remaining<br>Insurance<br>in Force Remaining<br>Risk<br>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 <br>Assets (3)
2019 & 2020 (12) $ 61,601,698 $ 15,757,097 $ 13,706,657 $ 3,467,883 $ (729) $ 2,927 $ 4,686 $ 210,467
2022 20% 59,645,799 16,099,874 11,929,160 3,219,975 2,493 1,979 6,253 228,069
2023 17.5% 12,796,821 3,524,010 2,559,364 616,702 29 166 376 43,519
Total $ 134,044,318 $ 35,380,981 $ 28,195,181 $ 7,304,560 $ 1,793 $ 5,072 $ 11,315 $ 482,055
(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
(2) Reinsurance provided by panels of reinsurers.
(3) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.
(4) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.
(5) Reinsurance coverage on new insurance written from August 1, 2020 through March 31, 2021.
(6) Reinsurance coverage on new insurance written from April 1, 2021 through September 30, 2021.
(7) Reinsurance coverage on 20% of all eligible policies written from October 1, 2021 through December 31, 2022.
(8) Reinsurance coverage on new insurance written from October 1, 2021 through July 31, 2022.
(9) The original and remaining first layer retention is associated with reinsurance provided by a panel of reinsurers. Amounts reported in prior periods reflected the retention associated with an ILN that is no longer outstanding as of March 31, 2023.
(10) The total remaining first layer retention differs from the sum of the individual reinsurance transactions as a result of overlapping coverage between certain transactions.
(11) The total ceded premium differs from the sum of the individual reinsurance transactions as a result of ILN's that ceded premiums during 2023 but are no longer outstanding as of March 31, 2023.
(12) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.
Exhibit I
--- --- --- --- --- --- ---
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data
IIF by State
March 31, 2023 December 31, 2022 March 31, 2022
CA 13.2 % 13.2 % 13.2 %
TX 10.5 10.4 10.0
FL 10.4 10.2 9.9
CO 4.2 4.2 4.1
AZ 3.6 3.5 3.3
WA 3.4 3.4 3.6
GA 3.2 3.2 3.1
IL 3.0 3.1 3.3
VA 3.0 3.0 3.1
NJ 2.9 3.0 3.1
All Others 42.6 42.8 43.3
Total 100.0 % 100.0 % 100.0 %
Gross RIF by State
March 31, 2023 December 31, 2022 March 31, 2022
CA 13.0 % 13.0 % 13.1 %
TX 10.8 10.7 10.4
FL 10.7 10.5 10.2
CO 4.1 4.1 4.0
AZ 3.7 3.6 3.4
WA 3.4 3.3 3.6
GA 3.3 3.2 3.2
IL 2.9 3.0 3.2
VA 2.9 3.0 3.0
NJ 2.8 2.9 3.0
All Others 42.4 42.7 42.9
Total 100.0 % 100.0 % 100.0 %
Exhibit J
--- --- --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Essent Group Ltd. and Subsidiaries
Supplemental Information
Rollforward of Defaults and Reserve for Losses and LAE
U.S. Mortgage Insurance Portfolio
Rollforward of Insured Loans in Default
Three Months Ended
2023 2022
March 31 December 31 September 30 June 30 March 31
Beginning default inventory 13,433 12,435 12,707 14,923 16,963
Plus: new defaults (A) 7,015 7,505 6,448 5,495 6,188
Less: cures (7,574) (6,425) (6,642) (7,639) (8,167)
Less: claims paid (94) (73) (68) (65) (55)
Less: rescissions and denials, net (7) (9) (10) (7) (6)
Ending default inventory 12,773 13,433 12,435 12,707 14,923
(A) New defaults remaining as of March 31, 2023 4,755 2,897 1,658 990 540
Cure rate (1) 32 % 61 % 74 % 82 % 91 %
Total amount paid for claims (in thousands) $ 1,959 $ 1,441 $ 1,261 $ 1,137 $ 826
Average amount paid per claim (in thousands) $ 21 $ 20 $ 19 $ 17 $ 15
Severity 59 % 46 % 47 % 50 % 35 %
Rollforward of Reserve for Losses and LAE
Three Months Ended
2023 2022
($ in thousands) March 31 December 31 September 30 June 30 March 31
Reserve for losses and LAE at beginning of period $ 216,390 $ 212,392 $ 209,829 $ 292,818 $ 406,096
Less: Reinsurance recoverables 14,618 13,244 13,657 19,335 25,940
Net reserve for losses and LAE at beginning of period 201,772 199,148 196,172 273,483 380,156
Add provision for losses and LAE occurring in:
Current period 32,693 36,141 20,144 18,720 24,346
Prior years (32,864) (32,012) (15,850) (94,809) (130,114)
Incurred losses and LAE during the period (171) 4,129 4,294 (76,089) (105,768)
Deduct payments for losses and LAE occurring in:
Current period — 113 30 80 1
Prior years 2,001 1,392 1,288 1,142 904
Loss and LAE payments during the period 2,001 1,505 1,318 1,222 905
Net reserve for losses and LAE at end of period 199,600 201,772 199,148 196,172 273,483
Plus: Reinsurance recoverables 16,357 14,618 13,244 13,657 19,335
Reserve for losses and LAE at end of period $ 215,957 $ 216,390 $ 212,392 $ 209,829 $ 292,818
(1) The cure rate is calculated by dividing new defaults remaining as of the reporting date by the original number of new defaults reported in the quarterly period and subtracting that percentage from 100%.
Exhibit K
--- --- --- --- --- --- --- --- --- --- ---
Essent Group Ltd. and Subsidiaries
Supplemental Information
Detail of Reserves by Default Delinquency
U.S. Mortgage Insurance Portfolio
Percentage of <br>Policies in <br>Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of <br>Defaulted RIF
( in thousands)
Missed Payments:
Three payments or less 42 % $ 31,080 16 % $ 366,993 8 %
Four to eleven payments 40 78,125 39 363,299 22
Twelve or more payments 17 85,517 43 130,520 66
Pending claims 1 4,386 2 5,004 88
Total case reserves 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
Percentage of <br>Policies in <br>Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of <br>Defaulted RIF
( in thousands)
Missed Payments:
Three payments or less 46 % $ 32,242 16 % $ 411,624 8 %
Four to eleven payments 35 65,071 33 317,417 21
Twelve or more payments 18 98,291 49 147,247 67
Pending claims 1 3,815 2 4,860 78
Total case reserves 100 % 199,419 100 % $ 881,148 23
IBNR 14,956
LAE 2,015
Total reserves for losses and LAE $ 216,390
Average reserve per default:
Case $ 14.8
Total $ 16.1
Default Rate
Percentage of <br>Policies in <br>Default Amount of Reserves Percentage of Reserves Defaulted RIF Reserves as a Percentage of <br>Defaulted RIF
( in thousands)
Missed Payments:
Three payments or less 29 % $ 21,348 8 % $ 269,069 8 %
Four to eleven payments 33 64,332 24 312,976 21
Twelve or more payments 37 181,859 67 347,926 52
Pending claims 1 2,753 1 3,341 82
Total case reserves 100 % 270,292 100 % $ 933,312 29
IBNR 20,272
LAE 2,254
Total reserves for losses and LAE $ 292,818
Average reserve per default:
Case $ 18.1
Total $ 19.6
Default Rate

All values are in US Dollars.

Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class December 31, 2022
( in thousands) Percent Fair Value Percent
U.S. Treasury securities 475,784 9.6 % $ 556,438 11.7 %
U.S. agency securities 0.3 49,058 1.0
U.S. agency mortgage-backed securities 17.2 783,743 16.5
Municipal debt securities 12.3 602,690 12.8
Non-U.S. government securities 1.3 62,399 1.3
Corporate debt securities 29.5 1,414,321 29.8
Residential and commercial mortgage securities 10.9 511,824 10.8
Asset-backed securities 13.1 624,561 13.2
Money market funds 5.8 136,591 2.9
Total investments available for sale 4,950,036 100.0 % $ 4,741,625 100.0 %
Investments Available for Sale by Credit Rating
Rating (1) December 31, 2022
( in thousands) Percent Fair Value Percent
Aaa 2,152,791 46.1 % $ 2,122,599 46.2 %
Aa1 2.3 111,262 2.4
Aa2 7.1 325,241 7.1
Aa3 5.0 232,500 5.0
A1 8.7 396,095 8.6
A2 8.3 410,163 8.9
A3 6.0 268,928 5.8
Baa1 5.3 236,793 5.1
Baa2 5.3 221,308 4.8
Baa3 3.8 187,117 4.1
Below Baa3 2.1 93,028 2.0
Total (2) 4,663,344 100.0 % $ 4,605,034 100.0 %
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
(2) Excludes 286,692 and 136,591 of money market funds at March 31, 2023 and December 31, 2022, respectively.
Investments Available for Sale by Duration and Book Yield
Effective Duration December 31, 2022
( in thousands) Percent Fair Value Percent
< 1 Year 1,297,860 26.2 % $ 1,245,839 26.3 %
1 to < 2 Years 10.5 534,038 11.3
2 to < 3 Years 8.4 511,701 10.8
3 to < 4 Years 11.8 525,683 11.1
4 to < 5 Years 8.9 400,540 8.4
5 or more Years 34.2 1,523,824 32.1
Total investments available for sale 4,950,036 100.0 % $ 4,741,625 100.0 %
Pre-tax investment income yield:
Three months ended % 3.03 %

All values are in US Dollars.

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

All values are in US Dollars.

Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
2023 2022
March 31 December 31 September 30 June 30 March 31
( in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 3,207,102 $ 3,178,151 $ 3,128,681 $ 3,062,438 $ 3,058,880
Combined net risk in force (2) $ 33,038,825 $ 32,265,701 $ 31,736,095 $ 31,221,406 $ 30,331,197
Risk-to-capital ratios: (3)
10.6:1 10.5:1 10.5:1 10.6:1 10.3:1
0.5:1 0.6:1 0.6:1 0.6:1 0.7:1
10.3:1 10.2:1 10.1:1 10.2:1 9.9:1
Essent Guaranty, Inc. PMIERs Data (5):
$ 3,226,436 $ 3,191,047 $ 3,147,545 $ 3,120,098 $ 3,194,939
1,917,769 1,832,363 1,759,182 1,869,524 1,840,069
$ 1,308,667 $ 1,358,684 $ 1,388,363 $ 1,250,574 $ 1,354,870
168 % 174 % 179 % 167 % 174 %
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 1,573,013 $ 1,478,772 $ 1,397,287 $ 1,380,067 $ 1,330,840
Net risk in force (2) $ 20,305,111 $ 19,454,046 $ 18,694,500 $ 17,758,801 $ 16,527,587
(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.
(5) Data is based on our interpretation of the PMIERs as of the dates indicated.
(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.

All values are in US Dollars.

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