Equibles

8-K

Essent Group Ltd. (ESNT)

8-K 2023-02-10 For: 2023-02-10
View Original
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): February 10, 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 February 10, 2023, Essent Group Ltd. (the “Company”) issued a press release announcing its financial results for the quarter and year ended December 31, 2022. 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 February 10, 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: February 10, 2023

ESSENT GROUP LTD.

By:    /s/ David B. Weinstock

Name: David B. Weinstock

Title: Vice President, Chief Accounting Officer and Interim Chief Financial Officer

Document

Exhibit 99.1

Essent Group Ltd. Announces Fourth Quarter & Full Year 2022 Results and Increases Quarterly Dividend

HAMILTON, Bermuda--(BUSINESS WIRE)--February 10, 2023--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended December 31, 2022 of $147.4 million or $1.37 per diluted share, compared to $181.0 million or $1.64 per diluted share for the quarter ended December 31, 2021. For the full year 2022, net income was $831.4 million or $7.72 per diluted share, compared to $681.8 million or $6.11 per diluted share for 2021.

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 March 20, 2023, to shareholders of record on March 10, 2023.

“We are pleased with our fourth quarter and full year 2022 financial results, which reflect our continued focus on generating high-quality earnings and solid returns,” said Mark A. Casale, Chairman and Chief Executive Officer. “Our results reflect our focus on optimizing unit economics along with continued favorable credit performance. We remain committed to taking a measured approach to capital management. In connection with this, we are pleased to announce that our Board has approved an increase in our quarterly dividend to $0.25 per share.”

Financial Highlights:

•New insurance written for the fourth quarter of 2022 was $13.0 billion, compared to $17.1 billion in the third quarter of 2022 and $16.4 billion in the fourth quarter of 2021.

•Insurance in force as of December 31, 2022 was $227.1 billion, compared to $222.5 billion as of September 30, 2022 and $207.2 billion as of December 31, 2021.

•The combined ratio for the fourth quarter was 24.6%, compared to 22.3% in the third quarter of 2022 and 17.4% in the fourth quarter of 2021.

•During the fourth quarter of 2022, we entered into a quota share reinsurance transaction with a panel of highly rated third-party reinsurers. The quota share agreement covers 17.5% of all eligible policies written by Essent Guaranty, Inc. in the calendar year 2023.

•Last week, Essent US Holdings entered into an agreement to acquire the title insurance operations from a subsidiary of Finance of America Companies for $100 million.

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: the impact of COVID-19 and related economic conditions; 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); 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, 2021 filed with the Securities and Exchange Commission on February 16, 2022, 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 and Year Ended December 31, 2022
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 December 31, Year Ended December 31,
(In thousands, except per share amounts) 2022 2021 2022 2021
Revenues:
Direct premiums written $ 235,015 $ 224,972 $ 927,702 $ 918,406
Ceded premiums (34,289) (26,476) (107,673) (110,914)
Net premiums written 200,726 198,496 820,029 807,492
Decrease in unearned premiums 6,526 18,825 22,498 65,051
Net premiums earned 207,252 217,321 842,527 872,543
Net investment income 37,796 23,661 124,409 88,765
Realized investment (losses) gains, net (5,524) (191) (13,172) 418
Income (loss) from other invested assets (7,599) 14,997 28,676 56,386
Other income (1,888) 1,128 18,384 10,398
Total revenues 230,037 256,916 1,000,824 1,028,510
Losses and expenses:
(Benefit) provision for losses and LAE 4,101 (3,433) (174,704) 31,057
Other underwriting and operating expenses 46,895 41,232 171,733 166,857
Interest expense 6,045 2,095 15,608 8,282
Total losses and expenses 57,041 39,894 12,637 206,196
Income before income taxes 172,996 217,022 988,187 822,314
Income tax expense 25,630 36,035 156,834 140,531
Net income $ 147,366 $ 180,987 $ 831,353 $ 681,783
Earnings per share:
Basic $ 1.38 $ 1.65 $ 7.75 $ 6.13
Diluted 1.37 1.64 7.72 6.11
Weighted average shares outstanding:
Basic 106,881 109,550 107,205 111,164
Diluted 107,419 110,028 107,653 111,555
Net income $ 147,366 $ 180,987 $ 831,353 $ 681,783
Other comprehensive (loss) income:
Change in unrealized (depreciation) appreciation of investments 40,787 (27,807) (433,497) (87,567)
Total other comprehensive (loss) income 40,787 (27,807) (433,497) (87,567)
Comprehensive income $ 188,153 $ 153,180 $ 397,856 $ 594,216
Loss ratio 2.0 % (1.6 %) (20.7 %) 3.6 %
Expense ratio 22.6 19.0 20.4 19.1
Combined ratio 24.6 % 17.4 % (0.4 %) 22.7 %
Exhibit B
--- --- --- --- --- ---
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
December 31,
(In thousands, except per share amounts) 2021
Assets
Investments
Fixed maturities available for sale, at fair value 4,489,598 $ 4,649,800
Short-term investments available for sale, at fair value 313,087
Total investments available for sale 4,962,887
Other invested assets 170,472
Total investments 5,133,359
Cash 81,491
Accrued investment income 26,546
Accounts receivable 46,157
Deferred policy acquisition costs 12,178
Property and equipment 11,921
Prepaid federal income tax 360,810
Other assets 49,712
Total assets 5,723,797 $ 5,722,174
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE 216,464 $ 407,445
Unearned premium reserve 185,385
Net deferred tax liability 373,654
Credit facility borrowings, net of deferred costs 419,823
Other accrued liabilities 99,753
Total liabilities 1,486,060
Commitments and contingencies
Stockholders' Equity
Common shares, 0.015 par value:
Authorized - 233,333; issued and outstanding - 107,683 shares in 2022 and 109,377 shares in 2021 1,641
Additional paid-in capital 1,428,952
Accumulated other comprehensive income (loss) 50,707
Retained earnings 2,754,814
Total stockholders' equity 4,236,114
Total liabilities and stockholders' equity 5,723,797 $ 5,722,174
Return on average equity % 16.8 %

All values are in US Dollars.

Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Historical Quarterly Data
2021
Selected Income Statement Data September 30 June 30 March 31 December 31
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio 192,670 $ 194,272 $ 198,891 $ 203,312 $ 205,877
GSE and other risk share 13,662 13,120 12,018 11,444
Net premiums earned 207,934 212,011 215,330 217,321
Net investment income 32,594 29,339 24,680 23,661
Realized investment (losses) gains, net 175 (471) (7,352) (191)
Income (loss) from other invested assets 9,617 1,953 24,705 14,997
Other income (loss) (1) 11,447 1,577 7,248 1,128
Total revenues 261,767 244,409 264,611 256,916
Losses and expenses:
(Benefit) provision for losses and LAE 4,252 (76,199) (106,858) (3,433)
Other underwriting and operating expenses 42,144 41,898 40,796 41,232
Interest expense 4,450 2,887 2,226 2,095
Total losses and expenses 50,846 (31,414) (63,836) 39,894
Income before income taxes 210,921 275,823 328,447 217,022
Income tax expense (2) 32,870 44,054 54,280 36,035
Net income 147,366 $ 178,051 $ 231,769 $ 274,167 $ 180,987
Earnings per share:
Basic 1.38 $ 1.67 $ 2.17 $ 2.53 $ 1.65
Diluted 1.66 2.16 2.52 1.64
Weighted average shares outstanding:
Basic 106,870 106,921 108,166 109,550
Diluted 107,337 107,283 108,590 110,028
Book value per share 41.44 $ 39.87 $ 39.67 $ 38.98 $ 38.73
Return on average equity (annualized) % 16.6 % 21.8 % 26.0 % 17.2 %
Other Data:
Loss ratio (3) % 2.0 % (35.9 %) (49.6 %) (1.6 %)
Expense ratio (4) 20.3 19.8 18.9 19.0
Combined ratio % 22.3 % (16.2 %) (30.7 %) 17.4 %
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) % 4.39 % 2.92 % 1.99 % 1.79 %
Debt-to-capital % 9.01 % 9.05 % 9.16 % 9.12 %
(1) For each of the three month periods noted, Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements as follows: December 31, 2022: (6,515); September 30, 2022: 5,177; June 30, 2022: (5,549); March 31, 2022: 4,365; December 31, 2021: (2,931).
(2) Income tax expense for the quarter ended December 31, 2021 includes 2,473 of discrete tax expense associated with an increase in the estimate of our beginning of the year deferred state income tax liability. Income tax expense for the quarters ended December 31, 2022, September 30, 2022, June 30, 2022, March 31, 2022 and December 31, 2021 includes (4,122), 2,925, (299), 7,002 and 1,759, 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
2021
Other Data, continued: September 30 June 30 March 31 December 31
( in thousands)
U.S. Mortgage Insurance Portfolio
Flow:
New insurance written 13,011,432 $ 17,112,017 $ 20,096,135 $ 12,841,482 $ 16,379,082
New risk written 4,570,699 5,442,115 3,438,016 4,331,531
Bulk:
New insurance written — $ — $ 196 $ — $ 416
New risk written — 29 — 41
Total:
New insurance written 13,011,432 $ 17,112,017 $ 20,096,331 $ 12,841,482 $ 16,379,498
New risk written 3,522,726 $ 4,570,669 $ 5,442,144 $ 3,438,016 $ 4,331,572
Average insurance in force 224,840,675 $ 219,280,350 $ 210,896,297 $ 206,631,135 $ 207,388,906
Insurance in force (end of period) 227,062,055 $ 222,542,569 $ 215,896,531 $ 206,842,996 $ 207,190,544
Gross risk in force (end of period) (5) 59,276,489 $ 57,743,091 $ 55,678,063 $ 52,847,985 $ 52,554,246
Risk in force (end of period) 49,903,626 $ 48,690,571 $ 47,289,910 $ 45,261,164 $ 45,273,383
Policies in force 800,745 789,652 774,002 785,119
Weighted average coverage (6) % 25.9 % 25.8 % 25.5 % 25.4 %
Annual persistency % 77.9 % 73.4 % 69.1 % 65.4 %
Loans in default (count) 12,435 12,707 14,923 16,963
Percentage of loans in default % 1.55 % 1.61 % 1.93 % 2.16 %
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (7) % 0.40 % 0.41 % 0.41 % 0.42 %
Single premium cancellations (8) % 0.01 % 0.01 % 0.02 % 0.03 %
Gross average premium rate % 0.41 % 0.42 % 0.43 % 0.45 %
Ceded premiums %) (0.06 %) (0.04 %) (0.04 %) (0.05 %)
Net average premium rate % 0.35 % 0.38 % 0.39 % 0.40 %
(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
Year Ended
December 31, 2021 December 31, 2022 December 31, 2021
( in thousands)
>=760 4,761,917 36.6 % $ 6,643,740 40.6 % $ 25,704,025 40.8 % $ 34,422,627 40.9 %
740-759 18.7 2,833,379 17.3 10,927,903 17.3 13,691,394 16.3
720-739 17.7 2,472,738 15.1 10,186,558 16.2 12,789,715 15.2
700-719 14.6 2,170,829 13.2 8,371,867 13.2 11,499,406 13.6
680-699 8.8 1,504,268 9.2 5,548,687 8.8 7,359,569 8.7
<=679 3.6 754,128 4.6 2,322,026 3.7 4,455,123 5.3
Total 13,011,432 100.0 % $ 16,379,082 100.0 % $ 63,061,066 100.0 % $ 84,217,834 100.0 %
Weighted average credit score 745 746 745
NIW by LTV
Year Ended
December 31, 2021 December 31, 2022 December 31, 2021
( in thousands)
85.00% and below 1,121,853 8.6 % $ 1,799,336 11.0 % $ 5,678,058 9.0 % $ 11,460,273 13.6 %
85.01% to 90.00% 23.6 4,372,552 26.7 16,732,649 26.5 23,565,227 28.0
90.01% to 95.00% 57.4 7,722,842 47.1 33,925,998 53.8 37,813,167 44.9
95.01% and above 10.4 2,484,352 15.2 6,724,361 10.7 11,379,167 13.5
Total 13,011,432 100.0 % $ 16,379,082 100.0 % $ 63,061,066 100.0 % $ 84,217,834 100.0 %
Weighted average LTV % 92 % 93 % 92 %
NIW by Product
Year Ended
December 31, 2021 December 31, 2022 December 31, 2021
Single Premium policies 4.3 % 2.7 % 5.6 % 3.8 %
Monthly Premium policies 95.7 97.3 94.4 96.2
100.0 % 100.0 % 100.0 % 100.0 %
NIW by Purchase vs. Refinance
Year Ended
December 31, 2021 December 31, 2022 December 31, 2021
Purchase 98.9 % 92.1 % 97.6 % 82.1 %
Refinance 1.1 7.9 2.4 17.9
100.0 % 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 September 30, 2022 December 31, 2021
( in thousands)
>=760 93,389,066 41.1 % $ 92,309,692 41.5 % $ 85,501,113 41.3 %
740-759 17.2 37,821,201 17.0 35,111,019 17.0
720-739 15.4 33,910,646 15.2 31,158,325 15.0
700-719 12.8 28,263,518 12.7 26,105,790 12.6
680-699 8.3 18,351,570 8.2 16,819,629 8.1
<=679 5.2 11,885,942 5.4 12,494,668 6.0
Total 227,062,055 100.0 % $ 222,542,569 100.0 % $ 207,190,544 100.0 %
Weighted average credit score 746 745
Gross RIF by FICO score September 30, 2022 December 31, 2021
( in thousands)
>=760 24,152,726 40.8 % $ 23,743,335 41.1 % $ 21,488,011 40.9 %
740-759 17.3 9,920,331 17.2 8,992,181 17.1
720-739 15.6 8,934,327 15.5 8,029,952 15.3
700-719 13.0 7,412,542 12.8 6,693,045 12.7
680-699 8.4 4,801,986 8.3 4,299,245 8.2
<=679 4.9 2,930,570 5.1 3,051,812 5.8
Total 59,276,489 100.0 % $ 57,743,091 100.0 % $ 52,554,246 100.0 %
Portfolio by LTV
IIF by LTV September 30, 2022 December 31, 2021
( in thousands)
85.00% and below 24,454,468 10.8 % $ 25,121,995 11.3 % $ 27,362,267 13.2 %
85.01% to 90.00% 27.8 62,963,331 28.3 59,567,378 28.7
90.01% to 95.00% 47.6 103,794,020 46.6 91,350,909 44.1
95.01% and above 13.8 30,663,223 13.8 28,909,990 14.0
Total 227,062,055 100.0 % $ 222,542,569 100.0 % $ 207,190,544 100.0 %
Weighted average LTV % 92 % 92 %
Gross RIF by LTV September 30, 2022 December 31, 2021
( in thousands)
85.00% and below 2,903,877 4.9 % $ 2,975,898 5.2 % $ 3,200,124 6.1 %
85.01% to 90.00% 26.1 15,317,449 26.5 14,366,450 27.3
90.01% to 95.00% 53.4 30,388,328 52.6 26,592,162 50.6
95.01% and above 15.6 9,061,416 15.7 8,395,510 16.0
Total 59,276,489 100.0 % $ 57,743,091 100.0 % $ 52,554,246 100.0 %
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period September 30, 2022 December 31, 2021
( in thousands)
FRM 30 years and higher 219,416,408 96.7 % $ 214,688,363 96.5 % $ 198,243,758 95.7 %
FRM 20-25 years 1.1 2,859,734 1.3 3,658,366 1.8
FRM 15 years 1.1 2,903,355 1.3 3,996,684 1.9
ARM 5 years and higher 1.1 2,091,117 0.9 1,291,736 0.6
Total 227,062,055 100.0 % $ 222,542,569 100.0 % $ 207,190,544 100.0 %

All values are in US Dollars.

Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
2022 2021
($ in thousands) December 31 September 30 June 30 March 31 December 31
GSE and other risk share (1):
Risk in Force $ 2,030,571 $ 2,026,895 $ 1,898,364 $ 1,888,437 $ 1,788,918
Reserve for losses and LAE $ 74 $ 102 $ 144 $ 254 $ 1,349
Weighted average credit score 749 748 748 748 748
Weighted average LTV 83 % 84 % 84 % 84 % 84 %
(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.
Exhibit G
--- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Vintage Data
December 31, 2022
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 3.5 % 13,410 4.33 % 77.6 % 69.1 % 5.9 % 15.1 % 43.1 % 2.6 % 523 3.90 %
2015 26,193,656 1,917,056 7.3 11,486 4.18 85.5 76.1 4.3 17.6 39.3 2.7 425 3.70
2016 34,949,319 4,241,287 12.1 24,006 3.87 88.6 72.2 10.3 15.8 43.1 2.8 758 3.16
2017 43,858,322 5,953,785 13.6 34,592 4.26 91.1 68.9 19.9 20.1 38.2 4.0 1,432 4.14
2018 47,508,525 6,714,277 14.1 36,913 4.78 94.4 69.0 24.9 21.5 32.9 5.3 1,748 4.74
2019 63,569,183 14,742,465 23.2 68,798 4.22 87.3 66.7 23.8 18.7 35.7 5.8 2,158 3.14
2020 107,944,065 59,228,334 54.9 220,705 3.18 65.8 54.0 12.1 10.8 45.5 4.4 2,856 1.29
2021 84,218,250 71,533,600 84.9 228,943 3.07 84.4 60.6 14.6 13.9 40.4 7.9 2,750 1.20
2022 63,061,262 60,609,538 96.1 169,743 5.07 97.7 64.8 10.9 12.6 40.0 14.4 783 0.46
Total 42.7 808,596 3.83 83.8 61.3 13.8 13.5 41.1 4.3 13,433 1.66
(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
December 31, 2022
( 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 Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required <br>Assets (9)
2015 & 2016 5,931,479 $ 1,610,997 $ 333,844 $ — $ 333,844 $ 41,764 $ — $ 41,764 $ — $ 208,111 $ 206,843 $ 389 $ 2,852 $ —
2017 1,527,469 424,412 165,167 589,579 225,562 85,627 311,189 — 224,689 216,143 2,429 11,060 —
2018 1,708,129 473,184 118,650 591,834 325,537 76,144 401,681 — 253,643 248,675 3,873 14,425 —
2019 (3) 2,108,121 495,889 55,102 550,991 418,006 46,448 464,454 — 215,605 214,708 3,233 12,751 —
2019 & 2020 (4) — 399,159 — 399,159 — — — — 465,690 — — 5,222 —
2020 & 2021 (5) 10,206,068 557,911 — 557,911 451,093 — 451,093 — 278,956 278,919 3,498 14,528 376,024
2021 (6) 11,027,751 439,407 — 439,407 410,778 — 410,778 — 279,415 279,400 4,250 17,080 368,047
2021 & 2022 (10) 20,284,551 — 141,992 141,992 — 141,992 141,992 — 507,114 507,114 1,610 3,295 138,300
2021 & 2022 (11) 9,079,729 237,868 — 237,868 237,868 — 237,868 — 303,761 303,761 4,563 5,131 218,839
Total 217,903,467 $ 57,552,815 $ 3,361,674 $ 480,911 $ 3,842,585 $ 2,110,608 $ 350,211 $ 2,460,819 $ — $ 2,736,984 $ 2,028,750 (12) $ 23,845 $ 86,344 $ 1,101,210

All values are in US Dollars.

Quota Share Reinsurance
Losses Ceded Ceding Commission Earned Premiums Ceded
Year Remaining<br>Insurance<br>in Force Remaining<br>Risk<br>in Force Remaining Ceded Insurance in Force Remaining Ceded Risk in Force Quarter-to-Date Year-to-Date Quarter-to-Date Year-to-Date Quarter-to-Date Year-to-Date Reduction in PMIERs Minimum Required <br>Assets (9)
2019 & 2020 (7) $ 65,434,808 $ 16,603,792 $ 14,520,550 $ 3,645,733 $ (703) $ (14,360) $ 3,099 $ 13,580 $ 5,031 $ 10,763 $ 220,812
2022 (8) 60,546,185 16,331,557 12,109,237 3,266,311 2,089 3,087 1,749 3,936 5,413 10,566 228,185
Total $ 125,980,993 $ 32,935,349 $ 26,629,787 $ 6,912,044 $ 1,386 $ (11,273) $ 4,848 $ 17,516 $ 10,444 $ 21,329 $ 448,997
(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) Reinsurance coverage on new insurance written from January 1, 2019 through August 31, 2019.
(4) Reinsurance coverage on new insurance written from September 1, 2019 through July 31, 2020. This ILN was called during the third quarter of 2022.
(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 40% of eligible single premium policies and 20% of all other eligible policies written from September 1, 2019 through December 31, 2020.
(8) Reinsurance coverage on 20% of all eligible policies written from January 1, 2022 through December 31, 2022.
(9) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.
(10) Reinsurance coverage on 20% of all eligible policies written from October 1, 2021 through December 31, 2022.
(11) Reinsurance coverage on new insurance written from October 1, 2021 through July 31, 2022.
(12) The total remaining first layer retention differs from the sum of the individual reinsurance transactions as a result of overlapping coverage between certain transactions.
Exhibit I
--- --- --- --- --- --- ---
Essent Group Ltd. and Subsidiaries
Supplemental Information
Portfolio Geographic Data
IIF by State
December 31, 2022 September 30, 2022 December 31, 2021
CA 13.2 % 13.2 % 13.1 %
TX 10.4 10.3 9.9
FL 10.2 10.1 9.7
CO 4.2 4.1 4.1
AZ 3.5 3.5 3.3
WA 3.4 3.4 3.7
GA 3.2 3.1 3.1
IL 3.1 3.1 3.3
VA 3.0 3.1 3.1
NJ 3.0 3.0 3.1
All Others 42.8 43.1 43.6
Total 100.0 % 100.0 % 100.0 %
Gross RIF by State
December 31, 2022 September 30, 2022 December 31, 2021
CA 13.0 % 13.0 % 13.0 %
TX 10.7 10.6 10.2
FL 10.5 10.5 10.0
CO 4.1 4.1 4.0
AZ 3.6 3.5 3.3
WA 3.3 3.3 3.6
GA 3.2 3.2 3.1
IL 3.0 3.1 3.2
VA 3.0 3.0 3.0
NJ 2.9 2.9 3.0
All Others 42.7 42.8 43.6
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
2022 2021
December 31 September 30 June 30 March 31 December 31
Beginning default inventory 12,435 12,707 14,923 16,963 19,721
Plus: new defaults (A) 7,505 6,448 5,495 6,188 5,809
Less: cures (6,425) (6,642) (7,639) (8,167) (8,514)
Less: claims paid (73) (68) (65) (55) (47)
Less: rescissions and denials, net (9) (10) (7) (6) (6)
Ending default inventory 13,433 12,435 12,707 14,923 16,963
(A) New defaults remaining as of December 31, 2022 5,744 2,541 1,489 981 514
Cure rate (1) 23 % 61 % 73 % 84 % 91 %
Total amount paid for claims (in thousands) $ 1,441 $ 1,261 $ 1,137 $ 826 $ 992
Average amount paid per claim (in thousands) $ 20 $ 19 $ 17 $ 15 $ 21
Severity 46 % 47 % 50 % 35 % 45 %
Rollforward of Reserve for Losses and LAE
Three Months Ended
2022 2021
($ in thousands) December 31 September 30 June 30 March 31 December 31
Reserve for losses and LAE at beginning of period $ 212,392 $ 209,829 $ 292,818 $ 406,096 $ 411,567
Less: Reinsurance recoverables 13,244 13,657 19,335 25,940 26,970
Net reserve for losses and LAE at beginning of period 199,148 196,172 273,483 380,156 384,597
Add provision for losses and LAE occurring in:
Current period 36,141 20,144 18,720 24,346 13,231
Prior years (32,012) (15,850) (94,809) (130,114) (16,624)
Incurred losses and LAE during the period 4,129 4,294 (76,089) (105,768) (3,393)
Deduct payments for losses and LAE occurring in:
Current period 113 30 80 1 157
Prior years 1,392 1,288 1,142 904 891
Loss and LAE payments during the period 1,505 1,318 1,222 905 1,048
Net reserve for losses and LAE at end of period 201,772 199,148 196,172 273,483 380,156
Plus: Reinsurance recoverables 14,618 13,244 13,657 19,335 25,940
Reserve for losses and LAE at end of period $ 216,390 $ 212,392 $ 209,829 $ 292,818 $ 406,096
(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 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 24 % $ 20,712 5 % $ 243,511 9 %
Four to eleven payments 32 77,822 21 349,494 22
Twelve or more payments 43 274,465 73 470,859 58
Pending claims 1 2,397 1 2,852 84
Total case reserves 100 % 375,396 100 % $ 1,066,716 35
IBNR 28,155
LAE 2,545
Total reserves for losses and LAE $ 406,096
Average reserve per default:
Case $ 22.1
Total $ 23.9
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 December 31, 2021
($ in thousands) Fair Value Percent Fair Value Percent
U.S. Treasury securities $ 556,438 11.7 % $ 448,793 9.1 %
U.S. agency securities 49,058 1.0 5,504 0.1
U.S. agency mortgage-backed securities 783,743 16.5 1,008,863 20.3
Municipal debt securities 602,690 12.8 627,599 12.7
Non-U.S. government securities 62,399 1.3 79,743 1.6
Corporate debt securities 1,414,321 29.8 1,455,247 29.3
Residential and commercial mortgage securities 511,824 10.8 545,423 11.0
Asset-backed securities 624,561 13.2 581,703 11.7
Money market funds 136,591 2.9 210,012 4.2
Total investments available for sale $ 4,741,625 100.0 % $ 4,962,887 100.0 %
Investments Available for Sale by Credit Rating
Rating (1) December 31, 2022 December 31, 2021
($ in thousands) Fair Value Percent Fair Value Percent
Aaa $ 2,226,951 46.9 % $ 2,412,273 48.6 %
Aa1 111,342 2.3 96,331 1.9
Aa2 327,742 6.9 354,951 7.2
Aa3 234,994 5.0 221,914 4.5
A1 421,752 8.9 263,820 5.3
A2 411,670 8.7 427,282 8.6
A3 268,928 5.7 274,525 5.5
Baa1 236,793 5.0 305,204 6.1
Baa2 221,308 4.7 274,011 5.5
Baa3 187,117 3.9 240,755 4.9
Below Baa3 93,028 2.0 91,821 1.9
Total investments available for sale $ 4,741,625 100.0 % $ 4,962,887 100.0 %
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
Investments Available for Sale by Duration and Book Yield
Effective Duration December 31, 2022 December 31, 2021
($ in thousands) Fair Value Percent Fair Value Percent
< 1 Year $ 1,245,839 26.3 % $ 1,104,397 22.2 %
1 to < 2 Years 534,038 11.3 561,297 11.3
2 to < 3 Years 511,701 10.8 539,174 10.9
3 to < 4 Years 525,683 11.1 593,663 12.0
4 to < 5 Years 400,540 8.4 663,127 13.4
5 or more Years 1,523,824 32.1 1,501,229 30.2
Total investments available for sale $ 4,741,625 100.0 % $ 4,962,887 100.0 %
Pre-tax investment income yield:
Three months ended December 31, 2022 3.03 %
Year ended December 31, 2022 2.59 %
Holding company net cash and investments available for sale:
--- ---
( in thousands)
As of December 31, 2022 685,178
As of December 31, 2021 618,306

All values are in US Dollars.

Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance Company Capital
2022 2021
December 31 September 30 June 30 March 31 December 31
( in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1) $ 3,175,889 $ 3,128,681 $ 3,062,438 $ 3,058,880 $ 2,950,107
Combined net risk in force (2) $ 32,265,701 $ 31,736,095 $ 31,221,406 $ 30,331,197 $ 30,660,272
Risk-to-capital ratios: (3)
10.5:1 10.5:1 10.6:1 10.3:1 10.8:1
0.6:1 0.6:1 0.6:1 0.7:1 0.8:1
10.2:1 10.1:1 10.2:1 9.9:1 10.4:1
Essent Guaranty, Inc. PMIERs Data (5):
$ 3,191,047 $ 3,147,545 $ 3,120,098 $ 3,194,939 $ 3,170,881
1,832,363 1,759,182 1,869,524 1,840,069 1,791,551
$ 1,358,684 $ 1,388,363 $ 1,250,574 $ 1,354,870 $ 1,379,330
174 % 179 % 167 % 174 % 177 %
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis) $ 1,478,772 $ 1,397,287 $ 1,380,067 $ 1,330,840 $ 1,301,937
Net risk in force (2) $ 19,454,046 $ 18,694,500 $ 17,758,801 $ 16,527,587 $ 15,997,129
(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.

Report a Problem

Category
Description
Email (optional, for follow-up)