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

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HAMILTON, Bermuda, August 04, 2023--(BUSINESS WIRE)--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2023 of $172.2 million or $1.61 per diluted share, compared to $231.8 million or $2.16 per diluted share for the quarter ended June 30, 2022.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.25 per common share. The dividend is payable on September 11, 2023, to shareholders of record on September 1, 2023.

"We are pleased with our second quarter 2023 financial results, which reflect the high quality of our portfolio and the resilience in housing and employment," said Mark A. Casale, Chairman and Chief Executive Officer. "Our strong operational performance continues to demonstrate the earnings power of our business and provide us with attractive levels of excess capital, which we can then deploy in the best long-term interest of our shareholders."

Financial Highlights:

  • New insurance written for the second quarter of 2023 was $13.5 billion, compared to $12.9 billion in the first quarter of 2023 and $20.1 billion in the second quarter of 2022.

  • Insurance in force as of June 30, 2023 was $235.6 billion, compared to $231.5 billion as of March 31, 2023 and $215.9 billion as of June 30, 2022.

  • The combined ratio for the second quarter of 2023 was 20.4%, compared to 22.7% in the first quarter of 2023 and (16.2)% in the second quarter of 2022.

  • During the quarter, Essent successfully executed a consent and tender process on $637 million of outstanding notes from two seasoned ILN deals that provided no regulatory or economic capital credit.

  • On July 1, 2023, Essent Group Ltd. completed its previously announced acquisition of Agents National Title Holding Company and Boston National Holdings LLC for $92.6 million.

  • On July 27, 2023, Essent priced its 9th insurance-link note transaction, Radnor Re 2023-1, which provides $281.5 million of collateralized reinsurance coverage for NIW from August 2022 through June 2023.

Conference Call:

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

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

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

Forward-Looking Statements:

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

About the Company:

Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, "Essent") which serves the housing finance industry by offering private mortgage insurance, reinsurance, risk management products and title insurance and settlement services to mortgage lenders, borrowers, and investors to support homeownership. Additional information regarding Essent may be found at www.essentgroup.com and www.essent.us.

Source: Essent Group Ltd.

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended June 30, 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 June 30,

Six Months Ended June 30,

(In thousands, except per share amounts)

2023

2022

2023

2022

Revenues:

Direct premiums written

$

249,167

$

232,660

$

488,658

$

452,914

Ceded premiums

(39,546

)

(22,318

)

(73,137

)

(42,841

)

Net premiums written

209,621

210,342

415,521

410,073

Decrease in unearned premiums

3,608

1,669

8,966

17,268

Net premiums earned

213,229

212,011

424,487

427,341

Net investment income

45,250

29,339

88,486

54,019

Realized investment losses, net

(1,589

)

(471

)

(2,077

)

(7,823

)

(Loss) income from other invested assets

(4,852

)

1,953

(7,554

)

26,658

Other income

8,090

1,577

13,032

8,825

Total revenues

260,128

244,409

516,374

509,020

Losses and expenses:

Provision (benefit) for losses and LAE

1,260

(76,199

)

1,080

(183,057

)

Other underwriting and operating expenses

42,174

41,898

90,369

82,694

Interest expense

7,394

2,887

14,330

5,113

Total losses and expenses

50,828

(31,414

)

105,779

(95,250

)

Income before income taxes

209,300

275,823

410,595

604,270

Income tax expense

37,067

44,054

67,535

98,334

Net income

$

172,233

$

231,769

$

343,060

$

505,936

Earnings per share:

Basic

$

1.62

$

2.17

$

3.22

$

4.70

Diluted

1.61

2.16

3.20

4.69

Weighted average shares outstanding:

Basic

106,249

106,921

106,594

107,540

Diluted

107,093

107,283

107,338

107,933

Net income

$

172,233

$

231,769

$

343,060

$

505,936

Other comprehensive income (loss):

Change in unrealized appreciation (depreciation) of investments

(36,098

)

(134,268

)

22,655

(337,274

)

Total other comprehensive income (loss)

(36,098

)

(134,268

)

22,655

(337,274

)

Comprehensive income

$

136,135

$

97,501

$

365,715

$

168,662

Loss ratio

0.6

%

(35.9

%)

0.3

%

(42.8

%)

Expense ratio

19.8

19.8

21.3

19.4

Combined ratio

20.4

%

(16.2

%)

21.5

%

(23.5

%)

Exhibit B

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

June 30,

December 31,

(In thousands, except per share amounts)

2023

2022

Assets

Investments

Fixed maturities available for sale, at fair value

$

4,438,554

$

4,489,598

Short-term investments available for sale, at fair value

583,540

252,027

Total investments available for sale

5,022,094

4,741,625

Other invested assets

266,559

257,941

Total investments

5,288,653

4,999,566

Cash

68,101

81,240

Accrued investment income

36,099

33,162

Accounts receivable

62,692

57,399

Deferred policy acquisition costs

9,460

9,910

Property and equipment

31,324

19,571

Prepaid federal income tax

446,460

418,460

Other assets

40,526

104,489

Total assets

$

5,983,315

$

5,723,797

Liabilities and Stockholders' Equity

Liabilities

Reserve for losses and LAE

$

216,943

$

216,464

Unearned premium reserve

153,921

162,887

Net deferred tax liability

328,340

356,810

Credit facility borrowings, net of deferred costs

421,392

420,864

Other accrued liabilities

129,367

104,463

Total liabilities

1,249,963

1,261,488

Commitments and contingencies

Stockholders' Equity

Common shares, $0.015 par value:

Authorized - 233,333; issued and outstanding - 106,988 shares in 2023 and 107,683 shares in 2022

1,605

1,615

Additional paid-in capital

1,309,834

1,350,377

Accumulated other comprehensive loss

(360,135

)

(382,790

)

Retained earnings

3,782,048

3,493,107

Total stockholders' equity

4,733,352

4,462,309

Total liabilities and stockholders' equity

$

5,983,315

$

5,723,797

Return on average equity (1)

14.9

%

19.1

%

(1) The 2023 return on average equity is calculated by dividing annualized year-to-date 2023 net income by average equity. The 2022 return on average equity is calculated by dividing full year 2022 net income by average equity.

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

2023

2022

Selected Income Statement Data

June 30

March 31

December 31

September 30

June 30

(In thousands, except per share amounts)

Revenues:

Net premiums earned:

U.S. Mortgage Insurance Portfolio

$

195,502

$

196,565

$

192,670

$

194,272

$

198,891

GSE and other risk share

17,727

14,693

14,582

13,662

13,120

Net premiums earned

213,229

211,258

207,252

207,934

212,011

Net investment income

45,250

43,236

37,796

32,594

29,339

Realized investment (losses) gains, net

(1,589

)

(488

)

(5,524

)

175

(471

)

(Loss) income from other invested assets

(4,852

)

(2,702

)

(7,599

)

9,617

1,953

Other income (loss) (1)

8,090

4,942

(1,888

)

11,447

1,577

Total revenues

260,128

256,246

230,037

261,767

244,409

Losses and expenses:

Provision (benefit) for losses and LAE

1,260

(180

)

4,101

4,252

(76,199

)

Other underwriting and operating expenses

42,174

48,195

46,895

42,144

41,898

Interest expense

7,394

6,936

6,045

4,450

2,887

Total losses and expenses

50,828

54,951

57,041

50,846

(31,414

)

Income before income taxes

209,300

201,295

172,996

210,921

275,823

Income tax expense (2)

37,067

30,468

25,630

32,870

44,054

Net income

$

172,233

$

170,827

$

147,366

$

178,051

$

231,769

Earnings per share:

Basic

$

1.62

$

1.60

$

1.38

$

1.67

$

2.17

Diluted

1.61

1.59

1.37

1.66

2.16

Weighted average shares outstanding:

Basic

106,249

106,943

106,881

106,870

106,921

Diluted

107,093

107,585

107,419

107,337

107,283

Book value per share

$

44.24

$

43.18

$

41.44

$

39.87

$

39.67

Return on average equity (annualized)

14.7

%

15.0

%

13.5

%

16.6

%

21.8

%

Other Data:

Loss ratio (3)

0.6

%

(0.1

)%

2.0

%

2.0

%

(35.9

)%

Expense ratio (4)

19.8

22.8

22.6

20.3

19.8

Combined ratio

20.4

%

22.7

%

24.6

%

22.3

%

(16.2

)%

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)

6.87

%

6.52

%

6.02

%

4.39

%

2.92

%

Debt-to-capital

8.24

%

8.38

%

8.70

%

9.01

%

9.05

%

(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 June 30, 2023, March 31, 2023, December 31, 2022, September 30, 2022, and June 30, 2022 was $2,726, ($368), ($6,515), $5,177, and ($5,549), respectively.

(2) Income tax expense for the quarters ended June 30, 2023, March 31, 2023, December 31, 2022, September 30, 2022, and June 30, 2022 includes $(888), ($368), ($4,122), $2,925, and ($299) respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns.

(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.

Exhibit C, continued

Essent Group Ltd. and Subsidiaries

Supplemental Information

Historical Quarterly Data

2023

2022

Other Data, continued:

June 30

March 31

December 31

September 30

June 30

($ in thousands)

U.S. Mortgage Insurance Portfolio

Flow:

New insurance written

$

13,498,080

$

12,893,789

$

13,011,432

$

17,112,017

$

20,096,135

New risk written

3,726,513

3,548,015

3,522,726

4,570,699

5,442,115

Bulk:

New insurance written

$

—

$

—

$

—

$

—

$

196

New risk written

—

—

—

—

29

Total:

New insurance written

$

13,498,080

$

12,893,789

$

13,011,432

$

17,112,017

$

20,096,331

New risk written

$

3,726,513

$

3,548,015

$

3,522,726

$

4,570,669

$

5,442,144

Average insurance in force

$

233,484,941

$

228,885,174

$

224,840,675

$

219,280,350

$

210,896,297

Insurance in force (end of period)

$

235,649,884

$

231,537,417

$

227,062,055

$

222,542,569

$

215,896,531

Gross risk in force (end of period) (5)

$

62,403,400

$

60,879,979

$

59,276,489

$

57,743,091

$

55,678,063

Risk in force (end of period)

$

53,290,643

$

51,469,312

$

49,903,626

$

48,690,571

$

47,289,910

Policies in force

821,690

815,751

808,596

800,745

789,652

Weighted average coverage (6)

26.5

%

26.3

%

26.1

%

25.9

%

25.8

%

Annual persistency

85.8

%

84.4

%

82.1

%

77.9

%

73.4

%

Loans in default (count)

12,480

12,773

13,433

12,435

12,707

Percentage of loans in default

1.52

%

1.57

%

1.66

%

1.55

%

1.61

%

U.S. Mortgage Insurance Portfolio premium rate:

Base average premium rate (7)

0.40

%

0.40

%

0.40

%

0.40

%

0.41

%

Single premium cancellations (8)

—

%

—

%

—

%

0.01

%

0.01

%

Gross average premium rate

0.40

%

0.40

%

0.40

%

0.41

%

0.42

%

Ceded premiums

(0.07

%)

(0.06

%)

(0.06

%)

(0.06

%)

(0.04

%)

Net average premium rate

0.33

%

0.34

%

0.34

%

0.35

%

0.38

%

(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.

Exhibit D

Essent Group Ltd. and Subsidiaries

Supplemental Information

New Insurance Written: Flow

NIW by Credit Score

Three Months Ended

Six Months Ended

June 30, 2023

June 30, 2022

June 30, 2023

June 30, 2022

($ in thousands)

>=760

$

5,413,790

40.1

%

$

8,555,331

42.6

%

$

10,260,848

38.9

%

$

13,965,985

42.4

%

740-759

2,428,773

18.0

3,421,392

17.0

4,826,755

18.3

5,534,624

16.8

720-739

2,194,400

16.3

3,105,275

15.4

4,399,244

16.7

5,096,593

15.5

700-719

2,022,302

15.0

2,554,997

12.7

4,025,194

15.2

4,175,470

12.7

680-699

1,032,061

7.6

1,785,196

8.9

2,132,876

8.1

2,932,962

8.9

<=679

406,754

3.0

673,944

3.4

746,952

2.8

1,231,983

3.7

Total

$

13,498,080

100.0

%

$

20,096,135

100.0

%

$

26,391,869

100.0

%

$

32,937,617

100.0

%

Weighted average credit score

746

747

746

747

NIW by LTV

Three Months Ended

Six Months Ended

June 30, 2023

June 30, 2022

June 30, 2023

June 30, 2022

($ in thousands)

85.00% and below

$

988,752

7.3

%

$

1,675,255

8.3

%

$

1,951,761

7.4

%

$

2,937,293

8.9

%

85.01% to 90.00%

2,819,310

20.9

5,487,721

27.3

5,505,138

20.9

8,903,659

27.0

90.01% to 95.00%

7,339,533

54.4

10,874,315

54.1

14,769,646

55.9

17,290,570

52.5

95.01% and above

2,350,485

17.4

2,058,844

10.3

4,165,324

15.8

3,806,095

11.6

Total

$

13,498,080

100.0

%

$

20,096,135

100.0

%

$

26,391,869

100.0

%

$

32,937,617

100.0

%

Weighted average LTV

93

%

93

%

93

%

93

%

NIW by Product

Three Months Ended

Six Months Ended

June 30, 2023

June 30, 2022

June 30, 2023

June 30, 2022

Single Premium policies

4.3

%

6.5

%

4.1

%

4.7

%

Monthly Premium policies

95.7

93.5

95.9

95.3

100.0

%

100.0

%

100.0

%

100.0

%

NIW by Purchase vs. Refinance

Three Months Ended

Six Months Ended

June 30, 2023

June 30, 2022

June 30, 2023

June 30, 2022

Purchase

98.8

%

98.0

%

98.7

%

96.5

%

Refinance

1.2

2.0

1.3

3.5

100.0

%

100.0

%

100.0

%

100.0

%

Exhibit E

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force

Portfolio by Credit Score

IIF by FICO score

June 30, 2023

March 31, 2023

June 30, 2022

($ in thousands)

>=760

$

95,925,520

40.8

%

$

94,560,292

40.8

%

$

89,790,212

41.6

%

740-759

40,733,799

17.3

39,870,193

17.2

36,606,394

17.0

720-739

36,791,104

15.6

35,950,319

15.5

32,637,422

15.1

700-719

30,970,132

13.1

30,103,007

13.0

27,258,759

12.6

680-699

19,667,866

8.3

19,338,187

8.4

17,697,662

8.2

<=679

11,561,463

4.9

11,715,419

5.1

11,906,082

5.5

Total

$

235,649,884

100.0

%

$

231,537,417

100.0

%

$

215,896,531

100.0

%

Weighted average credit score

746

746

746

Gross RIF by FICO score

June 30, 2023

March 31, 2023

June 30, 2022

($ in thousands)

>=760

$

25,138,762

40.3

%

$

24,613,214

40.4

%

$

22,956,271

41.2

%

740-759

10,922,780

17.5

10,612,582

17.4

9,540,921

17.1

720-739

9,896,425

15.9

9,602,368

15.8

8,545,969

15.3

700-719

8,319,353

13.3

8,017,430

13.2

7,107,888

12.8

680-699

5,248,349

8.4

5,126,581

8.4

4,601,675

8.3

<=679

2,877,731

4.6

2,907,804

4.8

2,925,339

5.3

Total

$

62,403,400

100.0

%

$

60,879,979

100.0

%

$

55,678,063

100.0

%

Portfolio by LTV

IIF by LTV

June 30, 2023

March 31, 2023

June 30, 2022

($ in thousands)

85.00% and below

$

22,427,649

9.5

%

$

23,502,232

10.2

%

$

25,510,400

11.8

%

85.01% to 90.00%

63,562,258

27.0

63,478,244

27.3

61,304,806

28.4

90.01% to 95.00%

115,768,826

49.1

112,184,833

48.5

98,938,435

45.8

95.01% and above

33,891,151

14.4

32,372,108

14.0

30,142,890

14.0

Total

$

235,649,884

100.0

%

$

231,537,417

100.0

%

$

215,896,531

100.0

%

Weighted average LTV

93

%

92

%

92

%

Gross RIF by LTV

June 30, 2023

March 31, 2023

June 30, 2022

($ in thousands)

85.00% and below

$

2,667,981

4.3

%

$

2,793,895

4.6

%

$

3,012,030

5.4

%

85.01% to 90.00%

15,583,198

25.0

15,529,427

25.5

14,868,579

26.7

90.01% to 95.00%

34,026,320

54.5

32,929,489

54.1

28,921,722

52.0

95.01% and above

10,125,901

16.2

9,627,168

15.8

8,875,732

15.9

Total

$

62,403,400

100.0

%

$

60,879,979

100.0

%

$

55,678,063

100.0

%

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

June 30, 2023

March 31, 2023

June 30, 2022

($ in thousands)

FRM 30 years and higher

$

228,745,641

97.1

%

$

224,230,607

96.8

%

$

207,888,842

96.3

%

FRM 20-25 years

2,124,690

0.9

2,364,623

1.0

3,114,962

1.4

FRM 15 years

1,953,448

0.8

2,214,448

1.0

3,222,801

1.5

ARM 5 years and higher

2,826,105

1.2

2,727,739

1.2

1,669,926

0.8

Total

$

235,649,884

100.0

%

$

231,537,417

100.0

%

$

215,896,531

100.0

%

Exhibit F

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

2023

2022

($ in thousands)

June 30

March 31

December 31

September 30

June 30

GSE and other risk share (1):

Risk in Force

$

2,276,702

$

2,098,033

$

2,030,571

$

2,026,895

$

1,898,364

Reserve for losses and LAE

$

55

$

65

$

74

$

102

$

144

Weighted average credit score

749

749

749

748

748

Weighted average LTV

83

%

83

%

83

%

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

June 30, 2023

Insurance in Force

Year

Original

Insurance

Written

($ in thousands)

Remaining

Insurance

in Force

($ in thousands)

% Remaining
of Original
Insurance

Number of Policies in Force

Weighted Average Coupon

% Purchase

>90% LTV

>95% LTV

FICO < 700

FICO >= 760

Incurred Loss Ratio (Inception to Date) (1)

Number of Loans in Default

Percentage of Loans in Default

2010 - 2014

$

60,668,851

$

1,807,238

3.0

%

11,385

4.31

%

75.6

%

65.8

%

6.4

%

14.9

%

43.4

%

2.5

%

416

3.65

%

2015

26,193,656

1,649,738

6.3

9,997

4.19

84.7

75.8

4.5

17.4

39.6

2.6

367

3.67

2016

34,949,319

3,476,870

9.9

19,998

3.89

87.9

79.3

11.6

16.2

42.4

2.5

586

2.93

2017

43,858,322

5,316,345

12.1

31,404

4.27

91.3

70.7

20.4

20.4

37.9

3.5

1,134

3.61

2018

47,508,525

6,113,917

12.9

34,026

4.79

94.6

70.5

25.6

21.7

32.7

4.8

1,456

4.28

2019

63,569,183

13,481,766

21.2

63,599

4.22

87.9

67.6

24.3

18.7

35.6

4.9

1,845

2.90

2020

107,944,065

52,266,774

48.4

198,262

3.19

67.3

55.6

12.7

10.8

45.6

3.6

2,359

1.19

2021

84,218,250

66,928,946

79.5

216,319

3.08

85.7

61.9

15.0

13.9

40.5

7.5

2,799

1.29

2022

63,061,262

58,725,613

93.1

165,953

5.07

97.8

65.0

11.1

12.7

39.7

18.7

1,429

0.86

2023 (through June 30)

26,391,869

25,882,677

98.1

70,747

6.34

98.7

71.9

16.0

11.0

38.4

7.8

89

0.13

Total

$

558,363,302

$

235,649,884

42.2

821,690

4.12

86.5

63.5

14.4

13.3

40.7

4.3

12,480

1.52

(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 H

Essent Group Ltd. and Subsidiaries

Supplemental Information

Reinsurance Vintage Data

June 30, 2023

($ in thousands)

Insurance Linked Notes (1)

Earned Premiums Ceded

Deal Name

Vintage

Remaining

Insurance

in Force

Remaining

Risk

in Force

Original

Reinsurance in Force

Remaining

Reinsurance in Force

Losses

Ceded

to Date

Original

First Layer

Retention

Remaining

First Layer

Retention

Quarter-to-Date

Year-to-Date

Reduction in PMIERs Minimum Required

Assets (3)

Radnor Re 2018-1

Jan. 2017 - Dec. 2017

$

—

$

—

$

—

$

—

$

—

$

—

$

—

$

—

$

1,781

$

—

Radnor Re 2019-1

Jan. 2018 - Dec. 2018

6,031,462

1,568,566

473,184

21,467

—

253,643

247,780

9,948

13,447

—

Radnor Re 2019-2

Jan. 2015 - Dec. 2016

—

—

—

—

—

—

—

—

220

—

Radnor Re 2020-1

Jan. 2019 - Aug. 2019

7,496,071

1,939,751

495,889

52,691

—

215,605

214,221

3,497

5,871

—

Radnor Re 2021-1

Aug. 2020 - Mar. 2021

35,742,003

9,110,919

557,911

374,172

—

278,956

278,827

2,984

6,178

289,810

Radnor Re 2021-2

Apr. 2021 - Sep. 2021

39,179,542

10,503,842

439,407

384,452

—

279,415

279,297

4,121

8,274

331,024

Radnor Re 2022-1

Oct. 2021 - Jul. 2022

32,744,576

8,818,357

237,868

237,868

—

303,761

303,761

4,306

8,521

218,839

Total

$

121,193,654

$

31,941,435

$

2,204,259

$

1,070,650

$

—

$

1,331,380

$

1,323,886

$

24,856

$

44,292

$

839,673

Excess of Loss Reinsurance (2)

Earned Premiums Ceded

Deal Name

Vintage

Remaining

Insurance

in Force

Remaining

Risk

in Force

Original

Reinsurance in Force

Remaining

Reinsurance in Force

Losses

Ceded

to Date

Original

First Layer

Retention

Remaining

First Layer

Retention

Quarter-to-Date

Year-to-Date

Reduction in PMIERs Minimum Required

Assets (3)

XOL 2018-1

Jan. 2017 - Dec. 2017

$

5,200,346

$

1,369,342

$

165,167

$

65,983

$

—

$

678,283

$

421,003

$

309

$

664

$

—

XOL 2019-1

Jan. 2018 - Dec. 2018

6,031,462

1,568,566

118,650

76,144

—

253,643

247,780

(4

)

621

1,234

—

XOL 2020-1

Jan. 2019 - Dec. 2019

7,496,071

1,939,751

55,102

41,162

—

215,605

214,221

(4

)

311

628

—

XOL 2022-1

Oct. 2021 - Dec. 2022

72,971,240

19,674,482

141,992

141,992

—

507,114

507,114

1,615

3,169

138,395

Total

$

91,699,119

$

24,552,141

$

480,911

$

325,281

$

—

$

1,654,645

$

1,390,118

$

2,856

$

5,695

$

138,395

(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").

(2) Reinsurance provided by panels of reinsurers.

(3) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.

(4) First layer retentions shown are ILN retention levels as a result of overlapping coverage within the vintage.

Quota Share Reinsurance (2)

Losses Ceded

Ceding Commission

Earned Premiums Ceded

Year

Ceding Percentage

Remaining

Insurance

in Force

Remaining

Risk

in Force

Remaining Ceded Insurance in Force

Remaining Ceded Risk in Force

Quarter-to-Date

Year-to-Date

Quarter-to-Date

Year-to-Date

Quarter-to-Date

Year-to-Date

Reduction in PMIERs Minimum Required

Assets (3)

Sep. 2019 - Dec. 2020

(5

)

$

57,938,827

$

14,951,010

$

12,929,459

$

3,298,284

$

(1,015

)

$

(1,744

)

$

2,785

$

5,712

$

4,138

$

8,824

$

198,708

Jan. 2022 - Dec. 2023

20

%

58,669,337

15,850,694

11,733,867

3,170,139

2,388

4,881

1,959

3,938

6,110

12,364

227,761

Jan. 2023 - Dec. 2023

17.5

%

25,838,027

7,133,730

4,521,655

1,248,403

304

332

611

776

1,586

1,962

88,320

Total

$

142,446,191

$

37,935,434

$

29,184,981

$

7,716,826

$

1,677

$

3,469

$

5,355

$

10,426

$

11,834

$

23,150

$

514,789

(5) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies.

Exhibit I

Essent Group Ltd. and Subsidiaries

Supplemental Information

Portfolio Geographic Data

IIF by State

June 30, 2023

March 31, 2023

June 30, 2022

CA

13.1

%

13.2

%

13.2

%

FL

10.8

10.4

10.0

TX

10.5

10.5

10.2

CO

4.1

4.2

4.2

AZ

3.7

3.6

3.4

WA

3.4

3.4

3.5

GA

3.3

3.2

3.1

IL

2.9

3.0

3.2

VA

2.9

3.0

3.1

NJ

2.9

2.9

3.1

All Others

42.4

42.6

43.0

Total

100.0

%

100.0

%

100.0

%

Gross RIF by State

June 30, 2023

March 31, 2023

June 30, 2022

CA

13.0

%

13.0

%

13.0

%

FL

11.1

10.7

10.3

TX

10.8

10.8

10.6

CO

4.1

4.1

4.1

AZ

3.8

3.7

3.4

WA

3.4

3.4

3.4

GA

3.4

3.3

3.2

IL

2.8

2.9

3.1

VA

2.8

2.9

3.0

NJ

2.8

2.8

2.9

All Others

42.0

42.4

43.0

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

June 30

March 31

December 31

September 30

June 30

Beginning default inventory

12,773

13,433

12,435

12,707

14,923

Plus: new defaults (A)

6,575

7,015

7,505

6,448

5,495

Less: cures

(6,761

)

(7,574

)

(6,425

)

(6,642

)

(7,639

)

Less: claims paid

(96

)

(94

)

(73

)

(68

)

(65

)

Less: rescissions and denials, net

(11

)

(7

)

(9

)

(10

)

(7

)

Ending default inventory

12,480

12,773

13,433

12,435

12,707

(A) New defaults remaining as of June 30, 2023

4,876

2,343

1,797

1,104

559

Cure rate (1)

26

%

67

%

76

%

83

%

90

%

Total amount paid for claims (in thousands)

$

1,890

$

1,959

$

1,441

$

1,261

$

1,137

Average amount paid per claim (in thousands)

$

20

$

21

$

20

$

19

$

17

Severity

58

%

59

%

46

%

47

%

50

%

Rollforward of Reserve for Losses and LAE

Three Months Ended

2023

2022

($ in thousands)

June 30

March 31

December 31

September 30

June 30

Reserve for losses and LAE at beginning of period

$

215,957

$

216,390

$

212,392

$

209,829

$

292,818

Less: Reinsurance recoverables

16,357

14,618

13,244

13,657

19,335

Net reserve for losses and LAE at beginning of period

199,600

201,772

199,148

196,172

273,483

Add provision for losses and LAE occurring in:

Current period

31,377

32,693

36,141

20,144

18,720

Prior years

(30,107

)

(32,864

)

(32,012

)

(15,850

)

(94,809

)

Incurred losses and LAE during the period

1,270

(171

)

4,129

4,294

(76,089

)

Deduct payments for losses and LAE occurring in:

Current period

31

—

113

30

80

Prior years

1,909

2,001

1,392

1,288

1,142

Loss and LAE payments during the period

1,940

2,001

1,505

1,318

1,222

Net reserve for losses and LAE at end of period

198,930

199,600

201,772

199,148

196,172

Plus: Reinsurance recoverables

17,958

16,357

14,618

13,244

13,657

Reserve for losses and LAE at end of period

$

216,888

$

215,957

$

216,390

$

212,392

$

209,829

(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

June 30, 2023

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

Missed Payments:

Three payments or less

5,581

45

%

$

33,864

17

%

$

388,012

9

%

Four to eleven payments

4,725

38

82,196

41

348,955

24

Twelve or more payments

2,045

16

78,236

39

123,903

63

Pending claims

129

1

5,680

3

6,687

85

Total case reserves

12,480

100

%

199,976

100

%

$

867,557

23

%

IBNR

14,998

LAE

1,914

Total reserves for losses and LAE

$

216,888

Average reserve per default:

Case

$

16.0

Total

$

17.4

Default Rate

1.52

%

December 31, 2022

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

Missed Payments:

Three payments or less

6,154

46

%

$

32,242

16

%

$

411,624

8

%

Four to eleven payments

4,684

35

65,071

33

317,417

21

Twelve or more payments

2,474

18

98,291

49

147,247

67

Pending claims

121

1

3,815

2

4,860

78

Total case reserves

13,433

100

%

199,419

100

%

$

881,148

23

%

IBNR

14,956

LAE

2,015

Total reserves for losses and LAE

$

216,390

Average reserve per default:

Case

$

14.8

Total

$

16.1

Default Rate

1.66

%

June 30, 2022

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

Missed Payments:

Three payments or less

4,036

32

%

$

18,653

10

%

$

250,303

7

%

Four to eleven payments

4,741

37

59,753

31

304,764

20

Twelve or more payments

3,849

30

111,442

57

236,440

47

Pending claims

81

1

3,568

2

3,574

100

Total case reserves

12,707

100

%

193,416

100

%

$

795,081

24

%

IBNR

14,506

LAE

1,907

Total reserves for losses and LAE

$

209,829

Average reserve per default:

Case

$

15.2

Total

$

16.5

Default Rate

1.61

%

Exhibit L

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

Investments Available for Sale by Asset Class

Asset Class

June 30, 2023

December 31, 2022

($ in thousands)

Fair Value

Percent

Fair Value

Percent

U.S. Treasury securities

$

643,586

12.8

%

$

556,438

11.7

%

U.S. agency securities

9,671

0.2

49,058

1.0

U.S. agency mortgage-backed securities

810,108

16.1

783,743

16.5

Municipal debt securities

600,162

12.0

602,690

12.8

Non-U.S. government securities

50,553

1.0

62,399

1.3

Corporate debt securities

1,349,221

26.9

1,414,321

29.8

Residential and commercial mortgage securities

510,350

10.2

511,824

10.8

Asset-backed securities

634,910

12.6

624,561

13.2

Money market funds

413,533

8.2

136,591

2.9

Total investments available for sale

$

5,022,094

100.0

%

$

4,741,625

100.0

%

Investments Available for Sale by Credit Rating

Rating (1)

June 30, 2023

December 31, 2022

($ in thousands)

Fair Value

Percent

Fair Value

Percent

Aaa

$

2,251,533

48.9

%

$

2,122,599

46.2

%

Aa1

113,007

2.5

111,262

2.4

Aa2

305,630

6.6

325,241

7.1

Aa3

230,676

5.0

232,500

5.0

A1

401,624

8.7

396,095

8.6

A2

313,849

6.8

410,163

8.9

A3

263,496

5.7

268,928

5.8

Baa1

237,699

5.2

236,793

5.1

Baa2

241,926

5.2

221,308

4.8

Baa3

161,797

3.5

187,117

4.1

Below Baa3

87,324

1.9

93,028

2.0

Total (2)

$

4,608,561

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 $413,533 and $136,591 of money market funds at June 30, 2023 and December 31, 2022, respectively.

Investments Available for Sale by Duration and Book Yield

Effective Duration

June 30, 2023

December 31, 2022

($ in thousands)

Fair Value

Percent

Fair Value

Percent

< 1 Year

$

1,511,281

30.1

%

$

1,245,839

26.3

%

1 to < 2 Years

545,993

10.9

534,038

11.3

2 to < 3 Years

408,377

8.1

511,701

10.8

3 to < 4 Years

529,277

10.5

525,683

11.1

4 to < 5 Years

395,775

7.9

400,540

8.4

5 or more Years

1,631,391

32.5

1,523,824

32.1

Total investments available for sale

$

5,022,094

100.0

%

$

4,741,625

100.0

%

Pre-tax investment income yield:

Three months ended

3.46

%

3.03

%

Six months ended June 30, 2023

3.42

%

Holding company net cash and investments available for sale:

($ in thousands)

As of June 30, 2023

$

739,525

As of December 31, 2022

$

685,178

Exhibit M

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance Company Capital

2023

2022

June 30

March 31

December 31

September 30

June 30

($ in thousands)

U.S. Mortgage Insurance Subsidiaries:

Combined statutory capital (1)

$

3,243,086

$

3,207,102

$

3,178,151

$

3,128,681

$

3,062,438

Combined net risk in force (2)

$

34,019,643

$

33,038,825

$

32,265,701

$

31,736,095

$

31,221,406

Risk-to-capital ratios: (3)

Essent Guaranty, Inc.

10.8:1

10.6:1

10.5:1

10.5:1

10.6:1

Essent Guaranty of PA, Inc.

0.5:1

0.5:1

0.6:1

0.6:1

0.6:1

Combined (4)

10.5:1

10.3:1

10.2:1

10.1:1

10.2:1

Essent Guaranty, Inc. PMIERs Data (5):

Available Assets

$

3,245,481

$

3,226,436

$

3,191,047

$

3,147,545

$

3,120,098

Minimum Required Assets

1,991,741

1,917,769

1,832,363

1,759,182

1,869,524

PMIERs excess Available Assets

$

1,253,740

$

1,308,667

$

1,358,684

$

1,388,363

$

1,250,574

PMIERs sufficiency ratio (6)

163

%

168

%

174

%

179

%

167

%

Essent Reinsurance Ltd.:

Stockholder's equity (GAAP basis)

$

1,633,763

$

1,573,013

$

1,478,772

$

1,397,287

$

1,380,067

Net risk in force (2)

$

21,327,762

$

20,305,111

$

19,454,046

$

18,694,500

$

17,758,801

(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.

View source version on businesswire.com: https://www.businesswire.com/news/home/20230804672391/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

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