EX-99.1 2 a33124financialsupplement.htm EX-99.1

Exhibit 99.1

Essent Group Ltd. Announces First Quarter 2024 Results and Declares Quarterly Dividend

HAMILTON, Bermuda--(BUSINESS WIRE)--May 3, 2024--Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended March 31, 2024 of $181.7 million or $1.70 per diluted share, compared to $170.8 million or $1.59 per diluted share for the quarter ended March 31, 2023.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.28 per common share. The dividend is payable on June 10, 2024, to shareholders of record on May 31, 2024.

“We are pleased with our financial results in the first quarter, as our high-quality portfolio and consumer resilience have translated to favorable credit performance, and the current rate environment has benefited investment income and persistency,” said Mark A. Casale, Chairman and Chief Executive Officer. “The Essent franchise continues to grow, propelled by the strong performance of our mortgage insurance and reinsurance operations, and integration of the title business.”

Financial Highlights:

•New insurance written for the first quarter of 2024 was $8.3 billion, compared to $8.8 billion in the fourth quarter of 2023 and $12.9 billion in the first quarter of 2023.

•Insurance in force as of March 31, 2024 was $238.5 billion, compared to $239.1 billion as of December 31, 2023 and $231.5 billion as of March 31, 2023.

•Net investment income for the first quarter of 2024 was $52.1 million, up 20% from the first quarter of 2023.

•During the first quarter of 2024, we entered into a quota share reinsurance transaction with a panel of highly rated third-party reinsurers. The quota share agreement covers 15% of all eligible policies written by Essent Guaranty, Inc. in the calendar year 2024.

•On January 8, 2024, S&P Global Ratings raised its long-term financial strength and issuer credit ratings on Essent Guaranty, Inc. and Essent Reinsurance Ltd. to ‘A-’ from ‘BBB+’, with a stable outlook.

•On March 27, 2024, Moody’s Ratings affirmed the A3 insurance financial strength rating of Essent Guaranty, Inc. and raised the outlook to positive from stable.

Conference Call:

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

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

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

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); the impact of COVID-19 and related economic conditions; an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2023 filed with the Securities and Exchange Commission on February 16, 2024, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

---

About the Company:

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

Source: Essent Group Ltd.

Media Contact

610.230.0556

media@essentgroup.com

Investor Relations Contact

Philip Stefano

Vice President, Investor Relations

855-809-ESNT

ir@essentgroup.com

---

Essent Group Ltd. and Subsidiaries
Financial Results and Supplemental Information (Unaudited)
Quarter Ended March 31, 2024
Exhibit A						Condensed Consolidated Statements of Comprehensive Income (Unaudited)
Exhibit B						Condensed Consolidated Balance Sheets (Unaudited)
Exhibit C						Consolidated Historical Quarterly Data
Exhibit D						U.S. Mortgage Insurance Portfolio Historical Quarterly Data
Exhibit E						New Insurance Written - U.S. Mortgage Insurance Portfolio
Exhibit F						Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio
Exhibit G						Other Risk in Force
Exhibit H						U.S. Mortgage Insurance Portfolio Vintage Data
Exhibit I						U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data
Exhibit J						U.S. Mortgage Insurance Portfolio Geographic Data
Exhibit K						Rollforward of Defaults and Reserve for Losses and LAE - U.S. Mortgage Insurance Portfolio
Exhibit L						Detail of Reserves by Default Delinquency - U.S. Mortgage Insurance Portfolio
Exhibit M						Investments Available for Sale
Exhibit N						U.S. Mortgage Insurance Company Capital
Exhibit O						Ratios and Reconciliation of Non-GAAP Financial Measures

---

																					Exhibit A
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Statements of Comprehensive Income (Unaudited)
									Three Months Ended March 31,
(In thousands, except per share amounts)															2024						2023
Revenues:
Direct premiums written															$	268,931					$	239,491
Ceded premiums															(30,391)						(33,591)
Net premiums written															238,540						205,900
Decrease in unearned premiums															7,050						5,358
Net premiums earned															245,590						211,258
Net investment income															52,085						43,236
Realized investment gains (losses), net															(1,140)						(488)
Income (loss) from other invested assets															(1,915)						(2,702)
Other income															3,737						4,942
Total revenues															298,357						256,246
Losses and expenses:
Provision (benefit) for losses and LAE															9,913						(180)
Other underwriting and operating expenses															57,349						48,195
Premiums retained by agents															9,491						—
Interest expense															7,862						6,936
Total losses and expenses															84,615						54,951
Income before income taxes															213,742						201,295
Income tax expense															32,023						30,468
Net income															$	181,719					$	170,827
Earnings per share:
Basic															$	1.72					$	1.60
Diluted															1.70						1.59
Weighted average shares outstanding:
Basic															105,697						106,943
Diluted															106,770						107,585
Net income															$	181,719					$	170,827
Other comprehensive income (loss):
Change in unrealized appreciation (depreciation) of investments															(21,766)						58,753
Total other comprehensive income (loss)															(21,766)						58,753
Comprehensive income															$	159,953					$	229,580

---

									Exhibit B
Essent Group Ltd. and Subsidiaries
Condensed Consolidated Balance Sheets (Unaudited)
			March 31,						December 31,
(In thousands, except per share amounts)			2024						2023
Assets
Investments
Fixed maturities available for sale, at fair value			$	4,172,237					$	4,335,008
Short-term investments available for sale, at fair value			1,196,837						928,731
Total investments available for sale			5,369,074						5,263,739
Other invested assets			279,625						277,226
Total investments			5,648,699						5,540,965
Cash			164,255						141,787
Accrued investment income			35,817						35,689
Accounts receivable			68,932						63,266
Deferred policy acquisition costs			8,980						9,139
Property and equipment			43,751						41,304
Prepaid federal income tax			467,183						470,646
Goodwill and intangible assets, net			72,271						72,826
Other assets			55,095						51,051
Total assets			$	6,564,983					$	6,426,673
Liabilities and Stockholders' Equity
Liabilities
Reserve for losses and LAE			$	267,324					$	260,095
Unearned premium reserve			133,235						140,285
Net deferred tax liability			368,955						362,753
Credit facility borrowings, net of deferred costs			422,184						421,920
Other accrued liabilities			147,131						139,070
Total liabilities			1,338,829						1,324,123
Commitments and contingencies
Stockholders' Equity
Common shares, $0.015 par value:
Authorized - 233,333; issued and outstanding - 106,742 shares in 2024 and 106,597 shares in 2023			1,601						1,599
Additional paid-in capital			1,293,424						1,299,869
Accumulated other comprehensive loss			(302,262)						(280,496)
Retained earnings			4,233,391						4,081,578
Total stockholders' equity			5,226,154						5,102,550
Total liabilities and stockholders' equity			$	6,564,983					$	6,426,673
Return on average equity (1)			14.1		%				14.6		%
(1) The 2024 return on average equity is calculated by dividing annualized year-to-date 2024 net income by average equity.  The 2023 return on average equity is calculated by dividing full year 2023 net income by average equity.

---

																																																Exhibit C
Essent Group Ltd. and Subsidiaries
Supplemental Information
Consolidated Historical Quarterly Data
																								2024						2023
Selected Income Statement Data																								March 31						December 31						September 30						June 30						March 31
(In thousands, except per share amounts)
Revenues:
Net premiums earned:
U.S. Mortgage Insurance Portfolio																								$	212,479					$	211,083					$	209,351					$	195,502					$	196,565
GSE and other risk share																								17,826						17,166						16,850						17,727						14,693
Title insurance																								15,285						17,365						20,604						—						—
Net premiums earned																								245,590						245,614						246,805						213,229						211,258
Net investment income																								52,085						50,581						47,072						45,250						43,236
Realized investment (losses) gains, net																								(1,140)						(4,892)						(235)						(1,589)						(488)
(Loss) income from other invested assets																								(1,915)						(421)						(3,143)						(4,852)						(2,702)
Other income (loss) (1)																								3,737						6,395						5,609						8,090						4,942
Total revenues																								298,357						297,277						296,108						260,128						256,246
Losses and expenses:
Provision (benefit) for losses and LAE																								9,913						19,640						10,822						1,260						(180)
Other underwriting and operating expenses																								57,349						55,248						54,814						42,174						48,195
Premiums retained by agents																								9,491						11,475						13,175						—						—
Interest expense																								7,862						7,953						7,854						7,394						6,936
Total losses and expenses																								84,615						94,316						86,665						50,828						54,951
Income before income taxes																								213,742						202,961						209,443						209,300						201,295
Income tax expense (2)																								32,023						27,594						31,484						37,067						30,468
Net income																								$	181,719					$	175,367					$	177,959					$	172,233					$	170,827
Earnings per share:
Basic																								$	1.72					$	1.66					$	1.68					$	1.62					$	1.60
Diluted																								1.70						1.64						1.66						1.61						1.59
Weighted average shares outstanding:
Basic																								105,697						105,733						105,979						106,249						106,943
Diluted																								106,770						106,823						107,025						107,093						107,585
Book value per share																								$	48.96					$	47.87					$	44.98					$	44.24					$	43.18
Return on average equity (annualized)																								14.1		%				14.2		%				14.9		%				14.7		%				15.0		%
Credit Facility
Borrowings outstanding																								$	425,000					$	425,000					$	425,000					$	425,000					$	425,000
Undrawn committed capacity																								$	400,000					$	400,000					$	400,000					$	400,000					$	400,000
Weighted average interest rate (end of period)																								7.06		%				7.11		%				7.07		%				6.87		%				6.52		%
Debt-to-capital																								7.52		%				7.69		%				8.12		%				8.24		%				8.38		%
(1) Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, were ($1,902), $412, ($898), $2,726, and ($368), respectively.
(2) Income tax expense for the quarters ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023 includes ($1,041), ($1,132), ($763), ($888) and ($368), respectively, of discrete tax (benefit) expense associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2024 also includes ($616) of excess tax benefits associated with the vesting of common shares and common share units. Income tax expense for the quarter ended December 31, 2023 also includes a $2,731 net benefit associated with the recognition of a deferred tax asset for unrealized losses on the investment portfolios of Essent Group and Essent Re upon the enactment of the Bermuda Corporate Income Tax. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns.

---

																								Exhibit D
Essent Group Ltd. and Subsidiaries
Supplemental Information
U.S. Mortgage Insurance Portfolio Historical Quarterly Data
																								2024						2023
Other Data:																								March 31						December 31						September 30						June 30						March 31
($ in thousands)
U.S. Mortgage Insurance Portfolio
New insurance written																								$	8,323,544					$	8,769,160					$	12,505,823					$	13,498,080					$	12,893,789
New risk written																								2,289,508						2,409,340						3,458,467						3,726,513						3,548,015
Average insurance in force																								$	238,595,268					$	239,005,961					$	237,270,093					$	233,484,941					$	228,885,174
Insurance in force (end of period)																								$	238,477,402					$	239,078,262					$	238,661,612					$	235,649,884					$	231,537,417
Gross risk in force (end of period) (1)																								$	64,247,810					$	64,061,374					$	63,605,057					$	62,403,400					$	60,879,979
Risk in force (end of period)																								$	54,686,533					$	54,591,590					$	53,920,308					$	53,290,643					$	51,469,312
Policies in force																								815,752						822,012						825,248						821,690						815,751
Weighted average coverage (2)																								26.9		%				26.8		%				26.7		%				26.5		%				26.3		%
Annual persistency																								86.9		%				86.9		%				86.6		%				85.8		%				84.4		%
Loans in default (count)																								13,992						14,819						13,391						12,480						12,773
Percentage of loans in default																								1.72		%				1.80		%				1.62		%				1.52		%				1.57		%
U.S. Mortgage Insurance Portfolio premium rate:
Base average premium rate (3)																								0.41		%				0.40		%				0.40		%				0.40		%				0.40		%
Single premium cancellations (4)																								—		%				—		%				—		%				—		%				—		%
Gross average premium rate																								0.41		%				0.40		%				0.40		%				0.40		%				0.40		%
Ceded premiums																								(0.05		%)				(0.05		%)				(0.05		%)				(0.07		%)				(0.06		%)
Net average premium rate																								0.36		%				0.35		%				0.35		%				0.33		%				0.34		%
(1) Gross risk in force includes risk ceded under third-party reinsurance.
(2) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
(3) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
(4) Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.

---

																					Exhibit E
Essent Group Ltd. and Subsidiaries
Supplemental Information - U.S. Mortgage Insurance Portfolio
New Insurance Written: Flow
NIW by Credit Score
			Three Months Ended
			March 31, 2024									December 31, 2023									March 31, 2023
($ in thousands)
>=760			$	3,596,600		43.2		%				$	3,708,316		42.3		%				$	4,847,058		37.7		%
740-759			1,410,446			16.9						1,531,800			17.5						2,397,982			18.6
720-739			1,244,648			15.0						1,333,537			15.2						2,204,844			17.1
700-719			1,140,430			13.7						1,256,250			14.3						2,002,892			15.5
680-699			563,419			6.8						581,913			6.6						1,100,815			8.5
<=679			368,001			4.4						357,344			4.1						340,198			2.6
Total			$	8,323,544		100.0		%				$	8,769,160		100.0		%				$	12,893,789		100.0		%
Weighted average credit score			747									747									745
NIW by LTV
			Three Months Ended
			March 31, 2024									December 31, 2023									March 31, 2023
($ in thousands)
85.00% and below			$	559,899		6.7		%				$	642,636		7.3		%				$	963,009		7.5		%
85.01% to 90.00%			1,732,131			20.8						1,871,854			21.3						2,685,828			20.8
90.01% to 95.00%			4,517,655			54.3						4,660,032			53.1						7,430,113			57.6
95.01% and above			1,513,859			18.2						1,594,638			18.3						1,814,839			14.1
Total			$	8,323,544		100.0		%				$	8,769,160		100.0		%				$	12,893,789		100.0		%
Weighted average LTV			93		%							93		%							93		%
NIW by Product
			Three Months Ended
			March 31, 2024									December 31, 2023									March 31, 2023
Single Premium policies						2.0		%							2.5		%							4.1		%
Monthly Premium policies						98.0									97.5									95.9
						100.0		%							100.0		%							100.0		%
NIW by Purchase vs. Refinance
			Three Months Ended
			March 31, 2024									December 31, 2023									March 31, 2023
Purchase						97.4		%							98.7		%							98.6		%
Refinance						2.6									1.3									1.4
						100.0		%							100.0		%							100.0		%

---

																											Exhibit F
Essent Group Ltd. and Subsidiaries
Supplemental Information
Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio
Portfolio by Credit Score
IIF by FICO score						March 31, 2024									December 31, 2023									March 31, 2023
($ in thousands)
>=760						$	96,712,431		40.6		%				$	97,085,244		40.6		%				$	94,560,292		40.8		%
740-759						41,477,680			17.4						41,490,720			17.4						39,870,193			17.2
720-739						37,342,339			15.7						37,435,781			15.7						35,950,319			15.5
700-719						32,023,895			13.4						31,932,469			13.4						30,103,007			13.0
680-699						19,664,999			8.2						19,780,944			8.3						19,338,187			8.4
<=679						11,256,058			4.7						11,353,104			4.6						11,715,419			5.1
Total						$	238,477,402		100.0		%				$	239,078,262		100.0		%				$	231,537,417		100.0		%
Weighted average credit score						746									746									746
Gross RIF by FICO score						March 31, 2024									December 31, 2023									March 31, 2023
($ in thousands)
>=760						$	25,806,552		40.2		%				$	25,752,549		40.2		%				$	24,613,214		40.4		%
740-759						11,326,253			17.6						11,268,607			17.6						10,612,582			17.4
720-739						10,206,055			15.9						10,179,683			15.9						9,602,368			15.8
700-719						8,757,648			13.6						8,687,001			13.6						8,017,430			13.2
680-699						5,321,802			8.3						5,330,894			8.3						5,126,581			8.4
<=679						2,829,500			4.4						2,842,640			4.4						2,907,804			4.8
Total						$	64,247,810		100.0		%				$	64,061,374		100.0		%				$	60,879,979		100.0		%
Portfolio by LTV
IIF by LTV						March 31, 2024									December 31, 2023									March 31, 2023
($ in thousands)
85.00% and below						$	18,397,395		7.7		%				$	19,869,776		8.3		%				$	23,502,232		10.2		%
85.01% to 90.00%						62,218,749			26.1						62,973,580			26.3						63,478,244			27.3
90.01% to 95.00%						120,666,455			50.6						119,764,184			50.1						112,184,833			48.5
95.01% and above						37,194,803			15.6						36,470,722			15.3						32,372,108			14.0
Total						$	238,477,402		100.0		%				$	239,078,262		100.0		%				$	231,537,417		100.0		%
Weighted average LTV						93		%							93		%							92		%
Gross RIF by LTV						March 31, 2024									December 31, 2023									March 31, 2023
($ in thousands)
85.00% and below						$	2,188,074		3.4		%				$	2,364,232		3.7		%				$	2,793,895		4.6		%
85.01% to 90.00%						15,329,091			23.9						15,494,172			24.2						15,529,427			25.5
90.01% to 95.00%						35,556,840			55.3						35,260,761			55.0						32,929,489			54.1
95.01% and above						11,173,805			17.4						10,942,209			17.1						9,627,168			15.8
Total						$	64,247,810		100.0		%				$	64,061,374		100.0		%				$	60,879,979		100.0		%
Portfolio by Loan Amortization Period
IIF by Loan Amortization Period						March 31, 2024									December 31, 2023									March 31, 2023
($ in thousands)
FRM 30 years and higher						$	232,753,590		97.6		%				$	232,995,380		97.5		%				$	224,230,607		96.8		%
FRM 20-25 years						1,473,431			0.6						1,685,700			0.7						2,364,623			1.0
FRM 15 years						1,359,795			0.6						1,505,759			0.6						2,214,448			1.0
ARM 5 years and higher						2,890,586			1.2						2,891,423			1.2						2,727,739			1.2
Total						$	238,477,402		100.0		%				$	239,078,262		100.0		%				$	231,537,417		100.0		%

---

																																																Exhibit G
Essent Group Ltd. and Subsidiaries
Supplemental Information
Other Risk in Force
																					2024									2023
($ in thousands)																								March 31						December 31						September 30						June 30						March 31
GSE and other risk share (1):
Risk in Force																								$	2,307,267					$	2,244,944					$	2,247,393					$	2,276,702					$	2,098,033
Reserve for losses and LAE																								$	32					$	29					$	54					$	55					$	65
Weighted average credit score																								750						749						749						749						749
Weighted average LTV																								82		%				82		%				82		%				83		%				83		%
(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.

---

																																							Exhibit H
Essent Group Ltd. and Subsidiaries
Supplemental Information
U.S. Mortgage Insurance Portfolio Vintage Data
March 31, 2024
															Insurance in Force
Year			Original Insurance Written ($ in thousands)			Remaining Insurance in Force ($ in thousands)			% Remaining of Original Insurance			Number of Policies in Force			Weighted Average Coupon			% Purchase			>90% LTV			>95% LTV			FICO < 700			FICO >= 760			Incurred Loss Ratio (Inception to Date) (1)			Number of Loans in Default			Percentage of Loans in Default
2010 - 2014			$	60,668,851		$	1,337,665		2.2		%	8,083			4.29		%	70.1		%	57.2		%	7.3		%	13.4		%	45.5		%	2.4		%	318			3.93		%
2015			26,193,656			1,192,019			4.6			7,166			4.25			81.6			70.1			5.3			18.3			39.0			2.3			265			3.70
2016			34,949,319			2,778,784			8.0			16,341			3.91			87.2			80.1			12.9			16.3			41.7			2.1			492			3.01
2017			43,858,322			4,511,284			10.3			27,229			4.28			91.3			73.9			21.5			20.6			37.3			3.2			1,052			3.86
2018			47,508,525			5,331,200			11.2			30,191			4.80			94.9			72.6			26.4			21.8			32.5			4.2			1,297			4.30
2019			63,569,183			11,776,711			18.5			56,634			4.23			88.7			70.3			25.4			19.0			35.3			4.0			1,726			3.05
2020			107,944,065			43,791,803			40.6			170,192			3.20			70.0			58.7			13.6			10.8			45.5			2.9			2,324			1.37
2021			84,218,250			58,766,271			69.8			193,329			3.09			87.5			64.2			15.9			13.8			40.4			6.6			3,172			1.64
2022			63,061,262			55,899,907			88.6			159,736			5.08			97.9			65.6			11.3			12.6			39.6			19.7			2,477			1.55
2023			47,666,852			44,842,520			94.1			124,984			6.65			98.8			72.5			18.3			11.0			39.1			15.9			867			0.69
2024 (through March 31)			8,323,544			8,249,238			99.1			21,867			6.74			97.4			72.6			18.3			11.2			43.0			0.8			2			0.01
Total			$	587,961,829		$	238,477,402		40.6			815,752			4.51			89.4			66.2			15.6			13.0			40.6			4.5			13,992			1.72
(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.

---

																																																						Exhibit I
Essent Group Ltd. and Subsidiaries
Supplemental Information
U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data
March 31, 2024
($ in thousands)
Insurance Linked Notes (1)
																																																Earned Premiums Ceded
Deal Name			Vintage						Remaining Insurance in Force			Remaining Risk in Force						Original Reinsurance in Force						Remaining Reinsurance in Force						Losses Ceded to Date						Original First Layer Retention			Remaining First Layer Retention									Year-to-Date						Reduction in PMIERs Minimum Required Assets (3)
Radnor Re 2021-1			Aug. 2020 - Mar. 2021						$	29,772,296		$	7,817,502					$	557,911					$	280,941					$	—					$	278,956		$	278,416								$	2,325					$	203,407
Radnor Re 2021-2			Apr. 2021 - Sep. 2021						34,555,672			9,408,534						439,407						322,709						—						279,415			278,709									3,674						265,684
Radnor Re 2022-1			Oct. 2021 - Jul. 2022						30,751,105			8,334,892						237,868						219,606						—						303,761			302,892									3,917						202,037
Radnor Re 2023-1			Aug. 2022 - Jun. 2023						30,145,794			8,250,148						281,462						281,462						—						281,463			281,463									3,478						266,826
Total									$	125,224,867		$	33,811,076					$	1,516,648					$	1,104,718					$	—					$	1,143,595		$	1,141,480								$	13,394		(5)			$	937,954

Excess of Loss Reinsurance (2)
																																													Earned Premiums Ceded
Deal Name			Vintage			Remaining Insurance in Force			Remaining Risk in Force						Original Reinsurance in Force						Remaining Reinsurance in Force						Losses Ceded to Date						Original First Layer Retention			Remaining First Layer Retention									Year-to-Date						Reduction in PMIERs Minimum Required Assets (3)
XOL 2019-1			Jan. 2018 - Dec. 2018			$	5,274,449		$	1,385,510					$	118,650					$	76,144					$	—					$	253,643		$	245,590								$	620					$	—
XOL 2020-1			Jan. 2019 - Dec. 2019			6,574,279			1,728,344						55,102						35,024						—						215,605			212,934									280						—
XOL 2022-1			Oct. 2021 - Dec. 2022			68,954,857			18,681,548						141,992						141,992						—						507,114			504,904									1,593						138,049
XOL 2023-1			Jan. 2023 - Dec. 2023			39,984,013			11,066,581						36,627						36,627						—						366,270			366,270									434						35,262
Total						$	120,787,598		$	32,861,983					$	352,371					$	289,787					$	—					$	1,342,632		$	1,329,698								$	2,927					$	173,311

Quota Share Reinsurance (2)
																														Losses Ceded									Ceding Commission									Earned Premiums Ceded
Year			Ceding Percentage			Remaining Insurance in Force			Remaining Risk in Force						Remaining Ceded Insurance in Force						Remaining Ceded Risk in Force									Year-to-Date									Year-to-Date									Year-to-Date						Reduction in PMIERs Minimum Required Assets (3)
Sep. 2019 - Dec. 2020			(4)			$	48,738,950		$	12,911,516					$	10,961,149					$	2,867,129								$	(181)								$	2,381								$	4,224					$	171,243
Jan. 2022 - Dec. 2022			20%			55,847,902			15,138,856						11,169,580						3,027,771									1,724									1,905									5,344						228,999
Jan. 2023 - Dec. 2023			17.5%			39,871,067			11,039,038						6,977,437						1,931,832									1,441									1,366									4,310						142,961
Jan. 2024 - Dec. 2024			15%			8,237,311			2,266,932						1,235,597						340,040									—									101									216						23,466
Total						$	152,695,230		$	41,356,342					$	30,343,763					$	8,166,772								$	2,984								$	5,753								$	14,094					$	566,669
(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
(2) Reinsurance provided by panels of reinsurers.
(3) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.
(4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies.
(5) Excludes ($24) of benefit in ceded premium on ILN's retired as of March 31, 2024.

---

															Exhibit J
Essent Group Ltd. and Subsidiaries
Supplemental Information
U.S. Mortgage Insurance Portfolio Geographic Data
IIF by State
			March 31, 2024						December 31, 2023						March 31, 2023
CA			12.9		%				13.0		%				13.2		%
FL			11.3						11.1						10.4
TX			10.6						10.5						10.5
CO			4.1						4.1						4.2
AZ			3.8						3.7						3.6
GA			3.5						3.4						3.2
WA			3.5						3.5						3.4
NC			2.9						2.9						2.7
VA			2.7						2.8						3.0
IL			2.7						2.8						3.0
All Others			42.0						42.2						42.8
Total			100.0		%				100.0		%				100.0		%
Gross RIF by State
			March 31, 2024						December 31, 2023						March 31, 2023
CA			12.8		%				12.8		%				13.0		%
FL			11.6						11.4						10.7
TX			10.9						10.9						10.8
CO			4.1						4.0						4.1
AZ			3.8						3.8						3.7
GA			3.6						3.4						3.3
WA			3.4						3.5						3.4
NC			2.9						2.9						2.8
VA			2.7						2.7						2.9
IL			2.7						2.7						2.9
All Others			41.5						41.9						42.4
Total			100.0		%				100.0		%				100.0		%

---

																																																Exhibit K
Essent Group Ltd. and Subsidiaries
Supplemental Information
Rollforward of Defaults and Reserve for Losses and LAE
U.S. Mortgage Insurance Portfolio
Rollforward of Insured Loans in Default
																					Three Months Ended
																					2024									2023
																								March 31						December 31						September 30						June 30						March 31
Beginning default inventory																								14,819						13,391						12,480						12,773						13,433
Plus: new defaults (A)																								8,260						9,007						7,953						6,575						7,015
Less: cures																								(8,951)						(7,418)						(6,902)						(6,761)						(7,574)
Less: claims paid																								(123)						(148)						(129)						(96)						(94)
Less: rescissions and denials, net																								(13)						(13)						(11)						(11)						(7)
Ending default inventory																								13,992						14,819						13,391						12,480						12,773
(A) New defaults remaining as of March 31, 2024																								5,425						3,139						1,897						1,119						663
Cure rate (1)																								34		%				65		%				76		%				83		%				91		%
Total amount paid for claims (in thousands)																								$	3,605					$	3,411					$	2,956					$	1,890					$	1,959
Average amount paid per claim (in thousands)																								$	29					$	23					$	23					$	20					$	21
Severity																								65		%				54		%				66		%				58		%				59		%
Rollforward of Reserve for Losses and LAE
																					Three Months Ended
																					2024									2023
($ in thousands)																								March 31						December 31						September 30						June 30						March 31
Reserve for losses and LAE at beginning of period																								$	245,402					$	226,617					$	216,888					$	215,957					$	216,390
Less: Reinsurance recoverables																								24,005						20,656						17,958						16,357						14,618
Net reserve for losses and LAE at beginning of period																								221,397						205,961						198,930						199,600						201,772
Add provision for losses and LAE occurring in:
Current period																								$	39,396					$	38,922					$	35,609					$	31,377					$	32,693
Prior years																								(30,062)						(19,912)						(25,533)						(30,107)						(32,864)
Incurred losses and LAE during the period																								9,334						19,010						10,076						1,270						(171)
Deduct payments for losses and LAE occurring in:
Current period																								1						330						156						31						—
Prior years																								3,735						3,244						2,889						1,909						2,001
Loss and LAE payments during the period																								3,736						3,574						3,045						1,940						2,001
Net reserve for losses and LAE at end of period																								226,995						221,397						205,961						198,930						199,600
Plus: Reinsurance recoverables																								26,570						24,005						20,656						17,958						16,357
Reserve for losses and LAE at end of period																								$	253,565					$	245,402					$	226,617					$	216,888					$	215,957
(1) The cure rate is calculated by dividing new defaults remaining as of the reporting date by the original number of new defaults reported in the quarterly period and subtracting that percentage from 100%.

---

																		Exhibit L
Essent Group Ltd. and Subsidiaries
Supplemental Information
Detail of Reserves by Default Delinquency
U.S. Mortgage Insurance Portfolio
						March 31, 2024
						Number of Policies in Default			Percentage of Policies in Default			Amount of Reserves			Percentage of Reserves			Defaulted RIF			Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less						6,527			47		%	$	42,354		18		%	$	482,151		9		%
Four to eleven payments						5,440			39			104,123			45			426,513			24
Twelve or more payments						1,883			13			80,025			34			130,816			61
Pending claims						142			1			7,382			3			8,351			88
Total case reserves						13,992			100		%	233,884			100		%	$	1,047,831		22		%
IBNR												17,541
LAE												2,140
Total reserves for losses and LAE												$	253,565
Average reserve per default:
Case												$	16.7
Total												$	18.1
Default Rate						1.72%
						December 31, 2023
						Number of Policies in Default			Percentage of Policies in Default			Amount of Reserves			Percentage of Reserves			Defaulted RIF			Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less						7,288			49		%	$	44,607		20		%	$	527,419		8		%
Four to eleven payments						5,421			37			97,424			43			417,876			23
Twelve or more payments						1,984			13			78,540			35			132,257			59
Pending claims						126			1			5,550			2			6,302			88
Total case reserves						14,819			100		%	226,121			100		%	$	1,083,854		21		%
IBNR												16,959
LAE												2,322
Total reserves for losses and LAE												$	245,402
Average reserve per default:
Case												$	15.3
Total												$	16.6
Default Rate						1.80%
						March 31, 2023
						Number of Policies in Default			Percentage of Policies in Default			Amount of Reserves			Percentage of Reserves			Defaulted RIF			Reserves as a Percentage of Defaulted RIF
($ in thousands)
Missed Payments:
Three payments or less						5,366			42		%	$	31,080		16		%	$	366,993		8		%
Four to eleven payments						5,106			40			78,125			39			363,299			22
Twelve or more payments						2,188			17			85,517			43			130,520			66
Pending claims						113			1			4,386			2			5,004			88
Total case reserves						12,773			100		%	199,108			100		%	$	865,816		23		%
IBNR												14,933
LAE												1,916
Total reserves for losses and LAE												$	215,957
Average reserve per default:
Case												$	15.6
Total												$	16.9
Default Rate						1.57%

---

																								Exhibit M
Essent Group Ltd. and Subsidiaries
Supplemental Information
Investments Available for Sale
Investments Available for Sale by Asset Class
Asset Class						March 31, 2024												December 31, 2023
($ in thousands)						Fair Value						Percent						Fair Value						Percent
U.S. Treasury securities						$	1,036,787					19.3		%				$	996,382					18.9		%
U.S. agency securities						1,573						0.1						7,195						0.1
U.S. agency mortgage-backed securities						787,285						14.7						821,346						15.6
Municipal debt securities						539,678						10.1						547,258						10.5
Non-U.S. government securities						66,395						1.2						67,447						1.3
Corporate debt securities						1,219,160						22.7						1,297,055						24.7
Residential and commercial mortgage securities						506,780						9.4						517,940						9.8
Asset-backed securities						522,352						9.7						564,995						10.7
Money market funds						689,064						12.8						444,121						8.4
Total investments available for sale						$	5,369,074					100.0		%				$	5,263,739					100.0		%
Investments Available for Sale by Credit Rating
Rating (1)						March 31, 2024												December 31, 2023
($ in thousands)						Fair Value						Percent						Fair Value						Percent
Aaa						$	2,523,003					53.9		%				$	2,561,363					53.2		%
Aa1						107,659						2.3						104,474						2.2
Aa2						281,505						6.0						291,501						6.0
Aa3						198,316						4.2						208,882						4.3
A1						368,360						7.9						377,188						7.8
A2						285,058						6.1						329,423						6.8
A3						269,390						5.8						253,081						5.3
Baa1						199,880						4.3						220,901						4.6
Baa2						210,558						4.5						226,449						4.7
Baa3						160,219						3.4						166,121						3.4
Below Baa3						76,062						1.6						80,235						1.7
Total (2)						$	4,680,010					100.0		%				$	4,819,618					100.0		%
(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.
(2) Excludes $689,064 and $444,121 of money market funds at March 31, 2024 and December 31, 2023, respectively.
Investments Available for Sale by Duration and Book Yield
Effective Duration						March 31, 2024												December 31, 2023
($ in thousands)						Fair Value						Percent						Fair Value						Percent
< 1 Year						$	2,074,776					38.6		%				$	1,892,074					35.9		%
1 to < 2 Years						359,920						6.7						371,583						7.1
2 to < 3 Years						496,204						9.2						538,775						10.2
3 to < 4 Years						364,968						6.8						402,668						7.6
4 to < 5 Years						422,678						7.9						376,722						7.2
5 or more Years						1,650,528						30.8						1,681,917						32.0
Total investments available for sale						$	5,369,074					100.0		%				$	5,263,739					100.0		%
Pre-tax investment income yield:
Three months ended March 31, 2024						3.67		%

Holding company net cash and investments available for sale:
($ in thousands)
As of March 31, 2024						$	720,419
As of December 31, 2023						$	693,507

---

																																																			Exhibit N
Essent Group Ltd. and Subsidiaries
Supplemental Information
U.S. Mortgage Insurance Company Capital
																								2024									2023
																											March 31						December 31						September 30						June 30						March 31
($ in thousands)
U.S. Mortgage Insurance Subsidiaries:
Combined statutory capital (1)																											$	3,453,553					$	3,376,117					$	3,309,522					$	3,243,086					$	3,207,102
Combined net risk in force (2)																											$	34,463,082					$	34,549,500					$	34,203,678					$	34,019,643					$	33,038,825
Risk-to-capital ratios: (3)
			Essent Guaranty, Inc.																								10.3:1						10.6:1						10.7:1						10.8:1						10.6:1
			Essent Guaranty of PA, Inc.																								0.4:1						0.4:1						0.5:1						0.5:1						0.5:1
			Combined (4)																								10.0:1						10.2:1						10.3:1						10.5:1						10.3:1
Essent Guaranty, Inc. PMIERs Data (5):
			Available Assets																								$	3,464,119					$	3,379,936					$	3,318,179					$	3,245,481					$	3,226,436
			Minimum Required Assets																								1,999,928						1,985,545						1,910,659						1,991,741						1,917,769
			PMIERs excess Available Assets																								$	1,464,191					$	1,394,391					$	1,407,520					$	1,253,740					$	1,308,667
			PMIERs sufficiency ratio (6)																								173		%				170		%				174		%				163		%				168		%
Essent Reinsurance Ltd.:
Stockholder's equity (GAAP basis)																											$	1,793,005					$	1,758,665					$	1,684,122					$	1,633,763					$	1,573,013
Net risk in force (2)																											$	22,271,316					$	22,043,926					$	21,739,419					$	21,327,762					$	20,305,111
(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.
(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.
(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.
(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.
(5) Data is based on our interpretation of the PMIERs as of the dates indicated.
(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.

---

																											Exhibit O
Essent Group Ltd. and Subsidiaries
Supplemental Information
Ratios and Reconciliation of Non-GAAP Financial Measures
			2024						2023
			March 31						December 31						September 30						June 30						March 31
Loss Ratio (1)			4.0		%				7.9		%				4.4		%				0.6		%				(0.1)		%
Expense Ratio (2)			27.1		%				27.0		%				27.3		%				19.8		%				22.8		%
Combined Ratio			31.1		%				34.9		%				31.7		%				20.4		%				22.7		%
Underwriting Margin (3)			68.9		%				65.1		%				68.3		%				79.6		%				77.3		%
We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the three months ended March 31, 2024 lack comparability with periods prior to the acquisition. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to ratios excluding title, as shown below. Ratios excluding title are financial measures that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and are referred to as non-GAAP measures. Ratios excluding title are measures used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP. The following table sets forth the reconciliation of the loss, expense and combined ratios excluding title to the most comparable GAAP amount for the three months ended March 31, 2024, in accordance with Regulation G:
									Three Months Ended March 31, 2024
									Consolidated						Title						Excluding Title
($ in thousands)
Revenues:
Net premiums earned									$	245,590					$	15,285					$	230,305
Net investment income									52,085						751						51,334
Realized investment losses, net									(1,140)						—						(1,140)
(Loss) income from other invested assets									(1,915)						—						(1,915)
Settlement services (4)									1,424						1,424						—
Other income									2,313						408						1,905
Total revenues									298,357						17,868						280,489
Losses and expenses:
Provision (benefit) for losses and LAE									9,913						576						9,337
Other underwriting and operating expenses									57,349						11,810						45,539
Premiums retained by agents									9,491						9,491						—
Interest expense									7,862						—						7,862
Total losses and expenses									84,615						21,877						62,738
Loss ratio (1)									4.0		%				3.4		%				4.1		%
Expense ratio (2)									27.1		%				127.5		%				19.8		%
Combined ratio									31.1		%				130.9		%				23.9		%
Underwriting Margin (3)									68.9		%				(30.9		%)				76.1		%
(1) Loss ratio is calculated by dividing the provision for losses and LAE by the sum of net premiums earned and settlement services revenue, if applicable.
(2) Expense ratio is calculated by dividing the sum of other underwriting and operating expenses and premiums retained by agents by the sum of net premiums earned and settlement services revenue, if applicable.
(3) Calculated as the inverse of the combined ratio.
(4) Settlement services revenue is included in "Other income" within Exhibit A and Exhibit C.