EX-99.1 2 a63023financialsupplement.htm EX-99.1

Exhibit 99.1

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

HAMILTON, Bermuda--(BUSINESS WIRE)--August 4, 2023--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.

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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.

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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

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																					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		%)

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									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.

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																																										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.

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																								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.

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																																							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		%

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																											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		%

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																																										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.

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																																							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.

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																																																						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.

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															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		%

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																																										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%.

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																		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%

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																								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

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																																													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.