Q1 2024 Supplement

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
Retuon average equity (1)
	14.1%			14.6%

The 2024 retuon average equity is calculated by dividing annualized year-to-date 2024 net income by average equity. The 2023 retuon 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
Retuon 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 %

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.
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%

Gross risk in force includes risk ceded under third-party reinsurance.
Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.
Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.
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%

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
		Original		Remaining	% Remaining of	Number of	Weighted						Incurred Loss	Number of	Percentage of
		Insurance		Insurance						Ratio
Year		Written		in Force	Original	Policies in	Average	% Purchase	>90% LTV	>95% LTV	FICO <>700	FICO >= 760	(Inception to	Loans in	Loans in
($ in thousands)		($ in thousands)	Insurance	Force	Coupon	Date) (1)	Default	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

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
			Remaining		Remaining			Original			Remaining			Losses			Original	Remaining					Reduction in
															PMIERs Minimum
Deal Name	Vintage		Insurance		Risk		Reinsurance		Reinsurance in			Ceded		First Layer	First Layer		Year-to-Date			Required
	in Force		in Force			in Force			Force			to Date			Retention		Retention					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		Reduction in
			Remaining		Remaining			Original			Remaining			Losses			Original	Remaining
																PMIERs Minimum
Deal Name	Vintage		Insurance		Risk		Reinsurance in		Reinsurance in			Ceded			First Layer	First Layer		Year-to-Date			Required
	in Force		in Force			Force			Force			to Date			Retention		Retention					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
			Remaining		Remaining															Reduction in
	Ceding				Remaining Ceded		Remaining Ceded										PMIERs Minimum
Year		Insurance		Risk				Year-to-Date		Year-to-Date			Year-to-Date			Required
Percentage		in Force		in Force		Insurance in Force			Risk in Force								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

Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").
Reinsurance provided by panels of reinsurers.
Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.
Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies.
Excludes ($24) of benefit in ceded premium on ILN's retired as of March 31, 2024.

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Essent Group Ltd. published this content on 03 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 03 May 2024 10:32:14 UTC.