Credit Risk Transfer Transaction: September 2022

MORTGAGE INSURANCE-LINKEDNOTE

REINSURANCE TRANSACTION

REINSURANCE PROVIDED BY:

RADNOR RE 2022-1 LTD.

SEPTEMBER 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.

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TRANSACTION OVERVIEW

CEDING

INSURER:

REINSURER:

ESSENT

BENEFITS:

• On September 21, 2022, Essent Guaranty, Inc., a wholly owned subsidiary of Essent Group Ltd., obtained fully collateralized excess of loss reinsurance coverage on mortgage insurance policies written in October 2021 through July 2022.
• The total amount of reinsurance was $237.9 million as of the closing date.
• For this transaction, reinsurance is provided by Radnor Re 2022-1 Ltd. ("Radnor Re"), a newly formed Bermuda based special purpose insurer. Radnor Re is not a subsidiary or an affiliate of Essent Group Ltd.
• Radnor Re has funded its reinsurance obligations by issuing four classes of mortgage insurance-linked notes with 10-year legal maturities in an unregistered private offering. The notes are non-recourse to any assets of Essent Guaranty, Inc. or its affiliates.
• The proceeds of the notes offering were deposited into a reinsurance trust account for the benefit of Essent Guaranty, Inc. The noteholders have a subordinated interest in the reinsurance trust account, which is the sole source of funds for the repayment of the notes.
• This transaction is expected to provide the following benefits to Essent:
• • Diversified source of capital
  • A layer of protection against adverse credit losses
  • Enhanced counterparty strength
  • PMIERs required asset credit

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MORTGAGE INSURANCE-LINKEDNOTES AT CLOSING

		% OF RISK	CREDIT	OFFERED	FUNDED	MOODY'S	DBRS	WEIGHTED
CLASS	BALANCE	ENHANCEMENT	NOTES	AVERAGE	INDEX	SPREAD
IN FORCE	PERCENT	RATING	RATING
		%	(FUNDED)	LIFE*
A-H	$8,738,967,000	93.50%	6.50%			RETAINED BY ESSENT
M-1A	$84,118,000	0.90%	5.60%	$84,118,000	100.0%	Ba2	BBB (low)		1.21 yrs.	SOFR	375bps
M-1B	$126,178,000	1.35%	4.25%	$88,325,000	70.0%	B1	BB (high)		2.75 yrs.	SOFR	675bps
M-2	$70,099,000	0.75%	3.50%	$49,069,000	70.0%	NR	BB (low)		4.33 yrs.	SOFR	850bps
B-1	$23,366,000	0.25%	3.25%	$16,356,000	70.0%	NR	B (high)		4.76 yrs.	SOFR	1050bps
B-2/B-3H	$303,761,128	3.25%	-			RETAINED BY ESSENT
OFFERED NOTES			$237,868,000

TRANSACTION HIGHLIGHTS

• Radnor Re collateralized and funded the reinsurance coverage by issuing $237.9 million of mortgage insurance-linked series 2022-1 notes to investors.
• The reference pool has an aggregate unpaid principal balance of $53.0 billion and Aggregate Exposed Principal Balance of $9.3 billion as of the July 31, 2022, cut-off date.
• The notes provide excess of loss protection to Essent Guaranty for four coverage levels designated as M-1A,M-1B,M-2, and B-1, with a funded percentage of 100% for M-1A and 70% for all other levels.
• The notes are SOFR-based floating rate securities with a 10-year legal maturity.
• Radnor Re used the Series 2022-1 note proceeds to purchase investments to fully fund the reinsurance trust post closing on September 21, 2022.
• Essent Guaranty, Inc., is required to make premium payments to Radnor Re to cover interest payments on the Series 2022-1 notes less investment income from the assets in the reinsurance trust.
• Essent Guaranty, Inc. has an option to call the transaction on and after September 25, 2028.

*WALs based on assumptions of 10% CPR, no losses and that Essent exercises its option to call the deal on September 25, 2028

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