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Credit Risk Transfer Update: As of June 30, 2022

CREDIT RISK TRANSFER (CRT) UPDATE

FOR PERIOD ENDING: JUNE 30, 2022

AUGUST 5, 2022

DISCLAIMER

This presentation may include "forward-looking statements" which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," "should," "expect," "plan," "anticipate," "believe," "estimate," "predict," or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: the impact of COVID-19 and related economic conditions; changes in or to Fannie Mae and Freddie Mac (the "GSEs"), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers; lenders or investors seeking alternatives to private mortgage insurance; deteriorating economic conditions (including inflation, rising interest rates and other adverse economic trends); an increase in the number of loans insured through Federal government mortgage insurance programs, including those offered by the Federal Housing Administration; decline in new insurance written and franchise value due to loss of a significant customer; decline in the volume of low down payment mortgage originations; the definition of "Qualified Mortgage" reducing the size of the mortgage origination market or creating incentives to use government mortgage insurance programs; the definition of "Qualified Residential Mortgage" reducing the number of low down payment loans or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a decrease in the length of time that insurance policies are in force; uncertainty of loss reserve estimates; our non-U.S. operations becoming subject to U.S. Federal income taxation; becoming considered a passive foreign investment company for U.S. Federal income tax purposes; and other risks and factors described in Part I, Item 1A "Risk Factors" of our Annual Report on Form 10-K for the year ended December 31, 2021 filed with the Securities and Exchange Commission on February 16, 2022, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this presentation, 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.

2

COMPLETED TRANSACTIONS: CLOSING INFORMATION

XOL 2022-1

XOL 2022-1

(XOL 22-1)

(XOL 22-1)

Closing Date

June 30, 2022

NIWIW Period

October 2021 -

December 2022

Bond Issuance /

Bond Issuance /

(1)

Reinsurance

$89,591,389

Reinsurance

Limit

M-1A: $10,541,000

M-1B: $14,853,000

Tranche Sizing

2ndMLayer:-1C:$$8,625,00076,792,619(1)

1st Layer: $12,798,770(1)

M-2A: $13,895,000

M-2B: $4,792,000

B-1: $2,396,000

Spread

-*

Radnor Re

2021-2

(RMIR 21-2)(RMIR21-2)

November 10, 2021

April 2021 -

September 2021

$439,407,000

M-1A: $139,534,000

M-1A: $139,534,000

M-1B: $147,763,000, ,

M-2: $130,382,000, , B-1: $21,728,000 B-1:$21,728,000

M-1A: 1.85%

M-1A: 1.85%

M--1B: 3..70%

M-2: 5..00%

B-1: 6.00%

B-1: 6.00%

Radnor Re

2021-1

(RMIR 21-1)(RMIR21-1)

June 23, 2021

August 2020 -

March 2021

$557,911,000

M-1A: $139,478,000

M-1A: $139,478,000

M-1B: $132,504,000

M-1B: $132,504,000

M-1C: $153,426,000, ,

M-2: $$97,634,0009 , ,

B-1: $34,869,000

B-1: $34,869,000

M-1A: 1.65%

M-1A: 1.65%

M-1B: 1.70%

M-1B: 1.70%

M-1C: 2..70%

M-2:33..15%15%

B-1: 4.00%

B-1: 4.00%

Radnor Re

2020-2

(RMIR 20-2)(RMIR20-2)

October 8, 2020

September 2019 -

July 2020

$399,159,000

M-1A: $79,832,000

M-1A: $79,832,000

M-1B: $93,137,000

M-1B: $93,137,000

M-1C: $93,137,000, ,

M-2: $$99,790,00099,790,000

B-1: $33,263,000

B-1: $33,263,000

M-1A: 3.15%

M-1A: 3.15%

M-1B: 4.00%

M-1B: 4.00%

M-1C: 4..60%

M-2:55..60%60%

B-1: 7.60%

B-1: 7.60%

Radnor Re

2020-1

(RMIR 20-1)(RMIR20-1)

January 30, 2020

January 2019 - August 2019

$495,889,000

M-1A: $94,866,000

M-1A: $94,866,000

M-1B: $133,675,000

M-1B: $133,675,000 M-1C: $77,617,000, ,

M-2A: $125,051,000, , M-2B: $43,120,000 M-2B:$43,120,000 B-1: $21,560,000

B-1: $21,560,000

M-1A: 0.95%

M-1A: 0.95%

M-1B: 1.45%

M-1B: 1.45%

M-1C: 1..75%

M-2A: 2..00%

M-2B: 2.25%

M-2B: 2.25%

B-1: 3.00%

B-1: 3.00%

XOL 2020-1XOL2020-1 (XOL 20-1)(XOL20-1)

January 30, 2020

January 2019 - August 2019

$55,102,000

M-1A: $10,541,000

M-1A: $10,541,000

M-1B: $14,853,000

M-1B: $14,853,000 M-1C: $8,625,000, ,

M-2A: $13,895,000, , M-2B: $4,792,000 M-2B:$4,792,000 B-1: $2,396,000

B-1: $2,396,000

-*

M-1A: 6.90%

M-1B: 5.35%

M-1A: 5.70%

Initial Creditit

2ndMLayer:-1C:4.45%3.00%

M-1A: 5.70%

M-1B: 4.00%

Enhancement

1st Layer: 2.50%

M-2: 2..50%

t

M-2A: 3.00%

M-2B: 2.50%

B-1: 2.25%

B-1: 2.25%

B-1: 2.25%

M-1A: Baa3 & BBB

M-1A: Baa3 & BBB (low )

(low )

Credit Ratingi

N/A

M-1B: Ba3 & BB

M-1B: Ba3 & BB

M-2: NR & B

M-2: NR & B

B-1: NR & B (low )

B-1: NR & B (low )

Rating Agency

Moody's & DBRS
    1. XOL balance is accumulating through December 2022
  • Pricing has not been publicly disclosed for XOL agreements.

M-1A: 4.05%

M-1A: 4.05%

M-1B: 4.05%

M-1B: 4.05%

MM--1C:1C:2..95%

M--2:2:2..25%

B-1: 2.00%

B-1: 2.00%

M-1A: Baa3

M-1A: Baa3

M-1B: Baa3

M-1B: Baa3

M-1C: Ba3

M-2: B33

B-1: NR

B-1: NR

Moody's

M-1A: 5.90%

M-1A: 5.90%

M-1B: 5.20%

M-1B: 5.20%

M-1C: 4..50%

M-2:33..75%75%

B-1: 3.50%

B-1: 3.50%

M-1A: Ba1

M-1A: Ba1

M-1B: Ba2

M-1B: Ba2

M-1C: Ba3

M-2: B22

B-1: B3

B-1: B3

Moody's

M-1A: 6.90%

M-1A: 6.90%

M-1B: 5.35%

M-1B: 5.35%

M-1C: 4..45%

M-2A: 3..00%

M-2B: 2.50%

M-2B: 2.50%

B-1: 2.25%

B-1: 2.25%

M-1A: BBB (low )

M-1A: BBB (low )

M-1B: BB (high)

M-1B: BB (high)

M--1C::BBBB(low(l ))

M-2A: B

M-2B: B (low )

M-2B: B (low )

B-1: NR

B-1: NR

DBRS / Morningstar

M-1A: 6.90%

M-1A: 6.90%

M-1B: 5.35%

M-1B: 5.35%

M-1C: 4..45%

M-2A: 3..00%

M-2B: 2.50%

M-2B: 2.50% B-1:2.25% B-1: 2.25%

N/A

3

COMPLETED TRANSACTIONS: CLOSING INFORMATION CONT.

Closing Date

NIWIW Period

Bond Issuance /

Bond Issuance /

Reinsurance

Reinsurance

Limit

Tranche Sizingi i

Spread

Initial Creditit

Enhancementt

Credit Ratingi

Rating Agency

Radnor Re

2019-2

(RMIR 19-2)(RMIR19-2)

June 20, 2019

January 2015 - December 2016

$333,844,000

M-1A: $125,734,000 $125,734,000

M-1B: $186,432,000

B--1:1: $21,678,000

M-1A: 1.20%

M-1A: 1.20%

M-1B: 1.75%

M-1B: 1.75%

B-1: 2.70%

B-1: 2.70%

M-1A:4.80% 4.80%

M-1B: 2..65%

BB--1:1:2.40%

M-1A:AA-

AA-

M-1B: A-

B--1:1: BBB+

Morningstar

Radnora r Re

2019-1

(RMIR 19-1)(RMIR19-1)

February 28, 2019

January 2018 - December 2018

$473,184,000

M-1A: $84,547,000

M-1A: $84,547,000 M-1B: $174,563,000, ,

M--2::$$192,937,000192,937,000 B-1: $21,137,000 B-1:$21,137,000

M-1A: 1.25%

M-1A: 1.25%

M-1B: 1..95%

M-2: 3..20%

B-1: 4.45%

B-1: 4.45%

M-1A: 6.50%

M-1A: 6.50%

M-1B: 4.60%

M-2: 2..50%

B-1: 2.25%

B-1: 2.25%

M-1A: A-

M-1A: A-

M-1B: BBB-

M-2:BB--

B-1: B+

B-1: B+

Morningstar

XOL 2019-1XOL2019-1 (XOL 19-1)(XOL19-1)

February 28, 2019

January 2018 - December 2018

$118,650,000

M-1A: $28,183,000

M-1A: $28,183,000

M-1B: $39,625,000, ,

M-2: $43,796,000, ,

B-1: $7,046,000

B-1: $7,046,000

-*

M-1A: 6.50%

M-1A: 6.50%

M-1B: 4..60%

M-2: 2..50%

B-1: 2.25%

B-1: 2.25%

N/A

Radnor Re

2018-1

(RMIR 18-1)(RMIR18-1)

March 22, 2018

January 2017 - December 2017

$424,412,000

M-1: $189,737,000 $189,737,000

M-2: $209,710,000

B--1:1: $24,965,000

M-1: 1.40%

M-1: 1.40%

M-2: 2.70%

M-2: 2.70%

B-1: 3.80%

B-1: 3.80%

M-1: 4.60% 4.60%

M-2: 2.50%

B--1:: 2.25%

M-1: BBB

M-1: BBB

M-2:BB--

BB--1:1: B+

Morningstar

XOL 2018-1XOL2018-1 (XOL 18-1)(XOL18-1)

November 1, 2018

January 2017 - December 2017

$165,167,226

X-1: $187,112,603

-*

X-1: 7.25%

N/A

* Pricing has not been publicly disclosed for XOL agreements.

4

CRT SUMMARY: AS OF CLOSING

INDEX KEY:

ESSENT RETAINS

XOL

XOL 18-1:

7.25% - 9.25%

ILN

XOL

RMIR 20-1:

XOL

RMIR 19-1:

19-1:

2.25% -

20-1:

RMIR 20-2:

2.25% -

2.25% -

8.00%

2.25% -

RMIR 19-2:

RMIR 18-1:

7.50%

8.00%

3.50% - 6.50%

RMIR 21-2:

7.50%

RMIR 21-1:

2.40% - 6.25%

2.25% - 6.50%

2.25% - 7.25%

2.00% - 6.00%

Vintage NIW Period:

2015 & 2016

2017

2018

2019 (JAN-AUG)

SEP-19 - JUL-20

AUG-20 - MAR-21

APR-21 - SEP-21

IIF at Closing $M

Insurance in Force (IIF):

$32,080

$40,551

$45,036

$38,018

$68,439

$68,268

$47,195

Risk in Force Cut-Off:

ILN

$8,671

$9,986

$11,273

$9,582

$13,305

$13,948

$12,417

At Closing $M

XOL

$8,671

$9,356

$11,273

$9,582

-

-

-

First Loss Layer:

ILN

$208

$225

$254

$216

$466

$279

$279

At Closing $M

XOL

-

$678

$254

$216

-

-

-

Original Reinsurance

ILN

$334

$424

$473

$496

$399

$558

$439

XOL

-

$165

$119

$55

-

-

-

in Force $M

Total:

$334

$590

$592

$551

$399

$558

$439

Insurance Linked Note

Attachment:

2.40%

2.25%

2.25%

2.25%

3.50%

2.00%

2.25%

Transactions (ILN)1

Detachment:

6.25%

6.50%

7.50%

8.00%

6.50%

6.00%

7.25%

Excess Of Loss

Attachment:

-

7.25%

2.25%

2.25%

-

-

-

Agreements (XOL)2

Detachment:

-

9.25%

7.50%

8.00%

-

-

-

Target Credit

ILN

6.50%

7.25%

8.50%

9.00%

7.50%

7.00%

7.75%

Enhancement %

XOL

-

N/A

8.50%

9.00%

-

-

-
  1. Insurance Linked Note Transactions (ILN) are with Radnor Re (RMIR) entities.
  • The Radnor Re entities are Bermuda Special Purpose Insurers, and are not subsidiaries of nor affiliated with Essent Group Ltd.

2) Excess of Loss Agreements (XOL) are with panels of U.S. & global reinsurers.

5

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Disclaimer

Essent Group Ltd. published this content on 05 August 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 05 August 2022 20:37:21 UTC.

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