Third Quarter 2009 Financial Supplement

EX-99.2 3 dex992.htm THIRD QUARTER 2009 FINANCIAL SUPPLEMENT Third Quarter 2009 Financial Supplement

Exhibit 99.2

LOGO

The PMI Group, Inc.

Third Quarter 2009

Financial Supplement

THE PMI GROUP, INC. AND SUBSIDIARIES

FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED SEPTEMBER 30, 2009


Table of Contents		Page

Notes to Financial Results and Statistical Information		3

Consolidated Results

Consolidated Statements of Operations		4

Consolidated Balance Sheets		5

Business Segments Results of Operations - Three Months Ended September 30, 2009 and 2008		6

Business Segments Results of Operations - Nine Months Ended September 30, 2009 and 2008		7

Business Segments Balance Sheets		8

U.S. Mortgage Insurance Operations Segment Results

U.S. Mortgage Insurance Operations Segment Results of Operations and Balance Sheets		9

U.S. Mortgage Insurance Operations Portfolio Characteristics		10-12

U.S. Mortgage Insurance Operations Default Information		13

U.S. Mortgage Insurance Operations Analysis of Loss Reserves		14

CMG Mortgage Insurance Company Statistical Information		15

International Mortgage Insurance Operations Segment Results

International Operations Segment Results of Operations and Balance Sheets		16

PMI Europe Quarterly Financial Information		17

PMI Europe Statistical Information		18

Financial Guaranty Segment Results

Financial Guaranty Segment Results of Operations and Balance Sheets		19

Corporate and Other Segment Results

Corporate and Other Segment Results of Operations and Balance Sheets		20

Page 2

THE PMI GROUP, INC. AND SUBSIDIARIES

FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED SEPTEMBER 30, 2009

Notes to Financial Results and Statistical Information:

⁽¹⁾

Effective January 1, 2008, The PMI Group, Inc. (the “Company”) adopted SFAS No. 159, The Fair Value Option for Financial Assets and Financial Liabilities—Including an Amendment of FASB Statement No. 115 (“SFAS No. 159”). The Company elected to adopt the fair value option for certain corporate debt on the adoption date. The Company’s net loss included a $3.1 million gain and $17.5 million loss for the three months and nine months ended September 30, 2009, respectively, related to fair value adjustments for these debt instruments.

⁽²⁾

At September 30, 2008, the carrying value of our investment in RAM Reinsurance Company, Ltd. (“RAM Re”) was $6.5 million. During the fourth quarter of 2008, we recognized equity in losses from RAM Re of $6.5 million which decreased our investment in RAM Re to zero. Additionally, the Company impaired its investment in FGIC in the first quarter and reduced the carrying value of its investment in FGIC to zero. This reduction resulted in an $88.0 million net realized investment loss in the consolidated statement of operations and $15.6 million loss in other comprehensive income in the first quarter of 2008. Due to the Company’s impairment of its investment in FGIC to zero, the Company did not recognize any equity in earnings (losses) from FGIC in 2009.

⁽³⁾	Other underwriting and operating expenses in the International segment include severance costs related to the reconfiguration of PMI Europe.

⁽⁴⁾

For the quarter and nine months ended September 30, 2009 and 2008, the Company’s equity in earnings (losses) from unconsolidated subsidiaries include CMG Mortgage Insurance Company, CMG Mortgage Reinsurance Company and CMG Mortgage Assurance Company (collectively, “CMG MI”), RAM Re and certain limited partnership interests.

⁽⁵⁾	Due to the net losses in the quarters ended and nine months ended September 30, 2009 and 2008, normally dilutive components of shares outstanding such as stock options were not included in fully diluted shares outstanding as their inclusion would have been anti-dilutive.

⁽⁶⁾

U.S. Mortgage Insurance Operations segment includes the operating results of PMI Mortgage Insurance Co. and affiliated U.S. mortgage insurance and reinsurance companies (collectively, “PMI”). CMG Mortgage Insurance Company and its affiliates are accounted for under the equity method of accounting and their operating results are in equity in earnings from unconsolidated subsidiaries.

⁽⁷⁾	International Operations segment includes PMI Europe and PMI Canada. PMI Australia and PMI Asia are reported as discontinued operations for all periods presented.

⁽⁸⁾

Financial Guaranty segment represents our equity investments in FGIC Corporation and RAM Re. PMI Guaranty Co.’s (“PMI Guaranty”) operating results are reported as discontinued operations for all periods presented. The Company merged PMI Guaranty into its U.S. Mortgage Insurance Operations during the fourth quarter of 2008. See Note 2 above for discussion on impairment of the Company’s investments in RAM Re and FGIC.

⁽⁹⁾

The Corporate and Other segment includes other income and related operating expenses of PMI Mortgage Services Co.’s investment income, change in fair value of certain debt instruments, interest expense, intercompany eliminations and corporate expenses of the Company; the results of Commercial Loan Insurance Corporation, WMAC Credit Insurance Corporation and equity in earnings (losses) from certain limited partnerships.

⁽¹⁰⁾

The loss ratio is expressed as a ratio of losses and loss adjustment expenses (“LAE”) from continuing operations to premiums earned from continuing operations. The expense ratio is expressed as a ratio of the sum of amortization of deferred policy acquisition costs and other underwriting and operating expenses from continuing operations to net premiums written from continuing operations.

⁽¹¹⁾

Pool insurance includes modified pool, GSE pool, old pool and all other pool insurance products for U.S. Mortgage Insurance Operations. As of June 30, 2008, we adjusted pool risk in force to appropriately reflect the effect of loan repayments on risk limits. Further beginning March 31, 2009, pool risk in force has been adjusted to reflect reserves established on pool which has the effect of reducing the risk layer.

⁽¹²⁾	Loss severity is, for a given period, initial claims paid as a percentage of the total risk in force of loans for which claims were paid. Initial claims paid does not include supplemental and other payments.

⁽¹³⁾	PMI’s persistency rate was calculated based upon the percentage of primary insurance in force at the beginning of a 12-month period that remains in force at the end of that period.

⁽¹⁴⁾	The statutory risk-to-capital ratio is for PMI Mortgage Insurance Co. only. As of March 31, 2009, the Company adjusted its statutory risk-to-capital ratio based on recent regulatory clarification to exclude risk in force for which a loss reserve has been established.

⁽¹⁵⁾	The excess minimum policyholders position is the surplus above the required minimum policyholders position. The excess minimum policyholders position is for PMI Mortgage Insurance Co. only.

⁽¹⁶⁾	As of data, such as insurance in force, risk in force, policy in force and loans in default, are the same as the recent period end in the total column except for captive agreements which relate to NIW for the periods presented.

⁽¹⁷⁾	As of September 30, 2009, the Company reclassified ceded claims paid from pool claims paid to primary claims paid and is now included in ‘Ceded claims, supplemental and other’ for all periods presented.

Note:

The interim financial and statistical information contained in this material is unaudited. Certain prior periods’ information has been reclassified to conform to the current periods’ presentation.

The PMI Group, Inc.’s Investor Relations contacts:


Bill Horning		Kosta Karmaniolas, CFA
Vice President, Investor Relations and		Director, Investor Relations and
Corporate Capital Management and Analysis		Corporate Capital Management and Analysis
(925) 658-6193		(925) 658-6137

Page 3

THE PMI GROUP, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF OPERATIONS


	Three Months Ended September 30,						Nine Months Ended September 30,
	2009			2008			2009			2008
	(Unaudited)						(Unaudited)
	*(Dollars and shares in thousands, except per share data)*
Net premiums written	$	167,362		$	176,497		$	521,932		$	591,352

Revenues
Premiums earned	$	176,572		$	183,581		$	546,266		$	602,037
Net gain (loss) from credit default swaps		9,248			(9,911	)		24,007			439
Net investment income		25,980			36,325			89,701			106,808
Net realized investment gains (losses)		11,921			(49,903	)		29,262			(21,977	)
Change in fair value of certain debt instruments ⁽¹⁾		3,125			66,283			(17,478	)		111,948
Impairment of unconsolidated subsidiaries ⁽²⁾		—			(2,887	)		—			(90,868	)
Other income		13			1,973			2,328			8,419

Total revenues		226,859			225,461			674,086			716,806

Losses and expenses
Losses and loss adjustment expenses		336,778			382,689			1,200,566			1,494,807
Amortization of deferred policy acquisition costs		4,151			4,955			11,249			13,773
Other underwriting and operating expenses ⁽³⁾		34,569			59,412			114,342			159,977
Interest expense		9,338			11,423			32,921			29,698

Total losses and expenses		384,836			458,479			1,359,078			1,698,255

Loss before equity in (losses) earnings from unconsolidated subsidiaries and income taxes		(157,977	)		(233,018	)		(684,992	)		(981,449	)
Equity in (losses) earnings from unconsolidated subsidiaries ⁽⁴⁾		(4,377	)		9,103			(8,215	)		(45,830	)

Loss from continuing operations before income taxes		(162,354	)		(223,915	)		(693,207	)		(1,027,279	)
Income tax benefit from continuing operations		(74,434	)		(74,606	)		(267,399	)		(321,084	)

Loss from continuing operations		(87,920	)		(149,309	)		(425,808	)		(706,195	)
Loss from discontinued operations, net of taxes		(5,312	)		(80,104	)		(5,335	)		(43,468	)

Net loss	$	(93,232	)	$	(229,413	)	$	(431,143	)	$	(749,663	)

Diluted loss from continuing operations per share	$	(1.06	)	$	(1.83	)	$	(5.18	)	$	(8.68	)
Diluted loss from discontinued operations per share		(0.07	)		(0.98	)		(0.06	)		(0.54	)

Diluted net loss per share	$	(1.13	)	$	(2.81	)	$	(5.24	)	$	(9.22	)

Share data:
Basic weighted average common shares outstanding		82,549			81,597			82,230			81,343
Stock options and other dilutive components ⁽⁵⁾		—			—			—			—

Diluted weighted average common shares outstanding ⁽⁵⁾		82,549			81,597			82,230			81,343

Page 4

THE PMI GROUP, INC. AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS


	September 30, 2009		December 31, 2008			September 30, 2008
	(Unaudited)		(Audited)			(Unaudited)
	(Dollars and shares in thousands, except per share data)
Assets
Investments:
Fixed income securities	$	2,603,291	$	1,997,466		$	2,019,042
Equity securities:
Common		21,822		5,593			9,883
Preferred		186,733		216,256			212,703
Short term investments		2,215		2,280			2,280

Total investments	$	2,814,061	$	2,221,595		$	2,243,908
Cash and cash equivalents		844,265		1,483,313			713,241
Investments in unconsolidated subsidiaries		147,024		150,377			154,397
Reinsurance recoverables		659,356		482,678			393,654
Deferred policy acquisition costs		42,266		34,791			31,036
Property, equipment and software, net of accumulated depreciation and amortization		113,751		131,211			138,845
Other assets		315,295		320,434			360,637
Assets - discontinued operations - held for sale		—		—			1,324,795

Total assets	$	4,936,018	$	4,824,399		$	5,360,513

Liabilities
Reserve for losses and loss adjustment expenses	$	3,175,027	$	2,709,286		$	2,463,407
Unearned premiums		87,088		111,656			117,324
Debt		417,757		481,764			532,177
Other liabilities		273,038		243,468			250,897
Liabilities - discontinued operations - held for sale		—		—			543,830

Total liabilities		3,952,910		3,546,174			3,907,635
Shareholders’ equity
Common stock		1,193		1,193			1,193
Additional paid-in capital, treasury stock and retained earnings		888,307		1,312,711			1,491,384
Accumulated other comprehensive income (loss), net of deferred taxes		93,608		(35,679	)		(39,699	)

Total shareholders’ equity		983,108		1,278,225			1,452,878

Total liabilities and shareholders’ equity	$	4,936,018	$	4,824,399		$	5,360,513

Basic shares issued and outstanding		82,573		81,688			81,624

Book value per share	$	11.91	$	15.65		$	17.80

Page 5

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS RESULTS OF OPERATIONS - THREE MONTHS ENDED SEPTEMBER 30, 2009 AND 2008


	U.S. Mortgage Insurance Operations ⁽⁶⁾			International Operations⁽⁷⁾			Financial Guaranty⁽⁸⁾			Corporate and Other ⁽⁹⁾			Consolidated Total
	Three Months Ended September 30, 2009 (Unaudited)
	*(Dollars in thousands)*
Net premiums written	$	167,443		$	(80	)	$	—		$	(1	)	$	167,362

Revenues
Premiums earned	$	173,537		$	3,031		$	—		$	4		$	176,572
Net gain from credit default swaps		—			9,248			—			—			9,248
Net investment income (loss)		26,478			(849	)		—			351			25,980
Net realized investment gains (losses)		11,828			94			—			(1	)		11,921
Change in fair value of certain debt instruments ⁽¹⁾		—			—			—			3,125			3,125
Other income		1			7			—			5			13

Total revenues		211,844			11,531			—			3,484			226,859

Losses and expenses
Losses and loss adjustment expenses		334,593			2,185			—			—			336,778
Amortization of deferred policy acquisition costs		3,837			314			—			—			4,151
Other underwriting and operating expenses		30,437			2,073			—			2,059			34,569
Interest expense		12			—			—			9,326			9,338

Total losses and expenses		368,879			4,572			—			11,385			384,836

(Loss) income before equity in losses from unconsolidated subsidiaries and income taxes		(157,035	)		6,959			—			(7,901	)		(157,977	)
Equity in losses from unconsolidated subsidiaries ⁽⁴⁾		(4,268	)		—			—			(109	)		(4,377	)

(Loss) income from continuing operations before income taxes		(161,303	)		6,959			—			(8,010	)		(162,354	)
Income tax benefit from continuing operations		(50,683	)		(20,431	)		—			(3,320	)		(74,434	)

(Loss) income from continuing operations		(110,620	)		27,390			—			(4,690	)		(87,920	)

Loss from discontinued operations, net of taxes		—			(5,312	)		—			—			(5,312	)

Net (loss) income	$	(110,620	)	$	22,078		$	—		$	(4,690	)	$	(93,232	)

Loss ratio ⁽¹⁰⁾		192.8	%
Expense ratio ⁽¹⁰⁾		20.5	%
Combined ratio		213.3	%

	Three Months Ended September 30, 2008 (Unaudited)
	*(Dollars in thousands)*
Net premiums written	$	173,908		$	2,577		$	—		$	12		$	176,497

Revenues
Premiums earned	$	179,795		$	3,776		$	—		$	10		$	183,581
Net loss from credit default swaps		—			(9,911	)		—			—			(9,911	)
Net investment income		29,331			3,858			—			3,136			36,325
Net realized investment (losses) gains		(50,800	)		1,885			—			(988	)		(49,903	)
Change in fair value of certain debt instruments ⁽¹⁾		—			—						66,283			66,283
Impairment of unconsolidated subsidiaries		—			—			(2,887	)		—			(2,887	)
Other (loss) income		(190	)		(23	)		—			2,186			1,973

Total revenues (expenses)		158,136			(415	)		(2,887	)		70,627			225,461

Losses and expenses
Losses and loss adjustment expenses		348,201			34,488			—			—			382,689
Amortization of deferred policy acquisition costs		3,387			1,568			—			—			4,955
Other underwriting and operating expenses		24,633			13,048			—			21,731			59,412
Interest expense		53			—			—			11,370			11,423

Total losses and expenses		376,274			49,104			—			33,101			458,479

(Loss) income before equity in (losses) earnings from unconsolidated subsidiaries and income taxes		(218,138	)		(49,519	)		(2,887	)		37,526			(233,018	)
Equity in (losses) earnings from unconsolidated subsidiaries ⁽⁴⁾		(85	)		—			9,340			(152	)		9,103

(Loss) income from continuing operations before income taxes		(218,223	)		(49,519	)		6,453			37,374			(223,915	)
Income tax (benefit) expense from continuing operations		(81,108	)		(3,510	)		—			10,012			(74,606	)

(Loss) income from continuing operations		(137,115	)		(46,009	)		6,453			27,362			(149,309	)

(Loss) income from discontinued operations, net of taxes		—			(80,541	)		437			—			(80,104	)

Net (loss) income	$	(137,115	)	$	(126,550	)	$	6,890		$	27,362		$	(229,413	)

Loss ratio ⁽¹⁰⁾		193.7	%
Expense ratio ⁽¹⁰⁾		16.1	%
Combined ratio		209.8	%

Page 6

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS RESULTS OF OPERATIONS - NINE MONTHS ENDED SEPTEMBER 30, 2009 AND 2008


	U.S. Mortgage Insurance Operations ⁽⁶⁾			International Operations⁽⁷⁾			Financial Guaranty⁽⁸⁾			Corporate and Other ⁽⁹⁾			Consolidated Total
	Nine Months Ended September 30, 2009 (Unaudited)
	*(Dollars in thousands)*
Net premiums written	$	521,958		$	(30	)	$	—		$	4		$	521,932

Revenues
Premiums earned	$	537,329		$	8,918		$	—		$	19		$	546,266
Net gain from credit default swaps		—			24,007			—			—			24,007
Net investment income		83,177			3,471			—			3,053			89,701
Net realized investment gains (losses)		31,223			(1,942	)		—			(19	)		29,262
Change in fair value of certain debt instruments ⁽¹⁾		—			—			—			(17,478	)		(17,478	)
Other (loss) income		(37	)		(14	)		—			2,379			2,328

Total revenues (expenses)		651,692			34,440			—			(12,046	)		674,086

Losses and expenses
Losses and loss adjustment expenses		1,191,268			9,298			—			—			1,200,566
Amortization of deferred policy acquisition costs		10,294			955			—			—			11,249
Other underwriting and operating expenses		96,738			8,773			—			8,831			114,342
Interest expense		44			—			—			32,877			32,921

Total losses and expenses		1,298,344			19,026			—			41,708			1,359,078

(Loss) income before equity in losses from unconsolidated subsidiaries and income taxes		(646,652	)		15,414			—			(53,754	)		(684,992	)
Equity in losses from unconsolidated subsidiaries ⁽⁴⁾		(7,783	)		—			—			(432	)		(8,215	)

(Loss) income from continuing operations before income taxes		(654,435	)		15,414			—			(54,186	)		(693,207	)
Income tax benefit from continuing operations		(240,472	)		(5,254	)		—			(21,673	)		(267,399	)

(Loss) income from continuing operations		(413,963	)		20,668			—			(32,513	)		(425,808	)

Loss from discontinued operations, net of taxes		—			(5,335	)		—			—			(5,335	)

Net (loss) income	$	(413,963	)	$	15,333		$	—		$	(32,513	)	$	(431,143	)

Loss ratio ⁽¹⁰⁾		221.7	%
Expense ratio ⁽¹⁰⁾		20.5	%
Combined ratio		242.2	%

	Nine Months Ended September 30, 2008 (Unaudited)
	*(Dollars in thousands)*
Net premiums written	$	574,969		$	16,358		$	—		$	25		$	591,352

Revenues
Premiums earned	$	591,254		$	10,750		$	—		$	33		$	602,037
Net gain from credit default swaps		—			439			—			—			439
Net investment income		86,586			12,387			—			7,835			106,808
Net realized investment (losses) gains		(22,149	)		1,174			—			(1,002	)		(21,977	)
Change in fair value of certain debt instruments ⁽¹⁾		—			—			—			111,948			111,948
Impairment of unconsolidated subsidiaries		—			—			(90,868	)		—			(90,868	)
Other (loss) income		(357	)		28			—			8,748			8,419

Total revenues (expenses)		655,334			24,778			(90,868	)		127,562			716,806

Losses and expenses
Losses and loss adjustment expenses		1,437,710			57,097			—			—			1,494,807
Amortization of deferred policy acquisition costs		11,457			2,316			—			—			13,773
Other underwriting and operating expenses		71,131			27,687			—			61,159			159,977
Interest expense		114			—			—			29,584			29,698

Total losses and expenses		1,520,412			87,100			—			90,743			1,698,255

(Loss) income before equity in earnings (losses) from unconsolidated subsidiaries and income taxes		(865,078	)		(62,322	)		(90,868	)		36,819			(981,449	)
Equity in earnings (losses) from unconsolidated subsidiaries ⁽⁴⁾		5,781			—			(51,217	)		(394	)		(45,830	)

(Loss) income from continuing operations before income taxes		(859,297	)		(62,322	)		(142,085	)		36,425			(1,027,279	)
Income tax (benefit) expense from continuing operations		(323,846	)		(5,506	)		(1,244	)		9,512			(321,084	)

(Loss) income from continuing operations		(535,451	)		(56,816	)		(140,841	)		26,913			(706,195	)

Loss from discontinued operations, net of taxes		—			(20,855	)		(22,613	)		—			(43,468	)

Net (loss) income	$	(535,451	)	$	(77,671	)	$	(163,454	)	$	26,913		$	(749,663	)

Loss ratio ⁽¹⁰⁾		243.2	%
Expense ratio ⁽¹⁰⁾		14.4	%
Combined ratio		257.6	%

Page 7

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS BALANCE SHEETS


	U.S. Mortgage Insurance Operations ⁽⁶⁾		International Operations ⁽⁷⁾		Financial Guaranty ⁽⁸⁾		Corporate and Other ⁽⁹⁾			Consolidated Total
	September 30, 2009 (Unaudited)
	*(Dollars in thousands)*
Assets
Investments:
Fixed income securities	$	2,441,616	$	145,622	$	—	$	16,053		$	2,603,291
Equity securities:
Common		21,822		—		—		—			21,822
Preferred		186,733		—		—		—			186,733
Short term investments		999		6		—		1,210			2,215

Total investments	$	2,651,170	$	145,628	$	—	$	17,263		$	2,814,061
Cash and cash equivalents		698,833		75,941		—		69,491			844,265
Investments in unconsolidated subsidiaries		132,025		—		—		14,999			147,024
Reinsurance recoverables		659,356		—		—		—			659,356
Deferred policy acquisition costs		40,677		1,589		—		—			42,266
Property, equipment and software, net of accumulated depreciation and amortization		40,567		38		—		73,146			113,751
Other assets (liabilities)		289,999		12,405		70,696		(57,805	)		315,295

Total assets	$	4,512,627	$	235,601	$	70,696	$	117,094		$	4,936,018

Liabilities
Reserve for losses and loss adjustment expenses	$	3,138,261	$	36,766	$	—	$	—		$	3,175,027
Unearned premiums		67,286		19,797		—		5			87,088
Debt		—		—		—		417,757			417,757
Other liabilities (assets)		274,786		58,908		—		(60,656	)		273,038

Total liabilities		3,480,333		115,471		—		357,106			3,952,910

Shareholders’ equity (deficit)		1,032,294		120,130		70,696		(240,012	)		983,108

Total liabilities and shareholders’ equity	$	4,512,627	$	235,601	$	70,696	$	117,094		$	4,936,018


	December 31, 2008 (Audited)
	*(Dollars in thousands)*
Assets
Investments:
Fixed income securities	$	1,722,432	$	139,804	$	—	$	135,230		$	1,997,466
Equity securities:
Common		5,593		—		—		—			5,593
Preferred		216,256		—		—		—			216,256
Short term investments		980		—		—		1,300			2,280

Total investments	$	1,945,261	$	139,804		—	$	136,530		$	2,221,595
Cash and cash equivalents		1,239,490		124,518		—		119,305			1,483,313
Investments in unconsolidated subsidiaries		135,082		—		—		15,295			150,377
Reinsurance recoverables		482,678		—		—		—			482,678
Deferred policy acquisition costs		32,317		2,474		—		—			34,791
Property, equipment and software, net of accumulated depreciation and amortization		54,230		948		—		76,033			131,211
Other assets (liabilities)		262,166		14,424		70,696		(26,852	)		320,434

Total assets	$	4,151,224	$	282,168	$	70,696	$	320,311		$	4,824,399

Liabilities
Reserve for losses and loss adjustment expenses	$	2,624,504	$	84,782	$	—	$	—		$	2,709,286
Unearned premiums		86,187		25,449		—		20			111,656
Debt		—		—		—		481,764			481,764
Other liabilities (assets)		190,348		78,436		—		(25,316	)		243,468

Total liabilities		2,901,039		188,667		—		456,468			3,546,174

Shareholders’ equity (deficit)		1,250,185		93,501		70,696		(136,157	)		1,278,225

Total liabilities and shareholders’ equity	$	4,151,224	$	282,168	$	70,696	$	320,311		$	4,824,399

Page 8

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS SEGMENT ⁽⁶⁾RESULTS OF OPERATIONS AND BALANCE SHEETS


	2009												2008
	9/30/2009			6/30/2009			3/31/2009			Total			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	*(Dollars in thousands)*												*(Dollars in thousands)*
Income Statement Components - Quarter Ended
Revenues
Premiums written:
Gross premiums written	$	224,242		$	232,033		$	245,759		$	702,034		$	243,883		$	249,423		$	251,677		$	262,870		$	1,007,853
Ceded and refunded premiums, net of assumed premiums		(56,799	)		(61,813	)		(61,464	)		(180,076	)		(68,225	)		(75,515	)		(55,614	)		(57,872	)		(257,226	)

Net premiums written		167,443			170,220			184,295			521,958			175,658			173,908			196,063			204,998			750,627
Change in unearned premiums		6,094			7,958			1,319			15,371			5,261			5,887			7,572			2,826			21,546

Premiums earned	$	173,537		$	178,178		$	185,614		$	537,329		$	180,919		$	179,795		$	203,635		$	207,824		$	772,173
Net investment income		26,478			28,929			27,770			83,177			28,633			29,331			29,255			28,000			115,219
Net realized investment gains (losses)		11,828			23,663			(4,268	)		31,223			(25,451	)		(50,800	)		(12,900	)		41,551			(47,600	)
Other income (loss)		1			12			(50	)		(37	)		6			(190	)		(91	)		(76	)		(351	)

Total revenues		211,844			230,782			209,066			651,692			184,107			158,136			219,899			277,299			839,441

Losses and expenses
Losses and loss adjustment expenses		334,593			476,829			379,846			1,191,268			398,010			348,201			552,476			537,033			1,835,720
Amortization of deferred policy acquisition costs		3,837			3,432			3,025			10,294			4,129			3,387			3,819			4,251			15,586
Other underwriting and operating expenses		30,437			32,781			33,520			96,738			52,237			24,633			24,159			22,339			123,368
Interest expense		12			16			16			44			25			53			29			32			139

Total losses and expenses		368,879			513,058			416,407			1,298,344			454,401			376,274			580,483			563,655			1,974,813

Loss before equity in (losses) earnings from unconsolidated subsidiaries and income taxes		(157,035	)		(282,276	)		(207,341	)		(646,652	)		(270,294	)		(218,138	)		(360,584	)		(286,356	)		(1,135,372	)
Equity in (losses) earnings from unconsolidated subsidiaries		(4,268	)		(1,221	)		(2,294	)		(7,783	)		675			(85	)		2,986			2,880			6,456

Loss before income taxes		(161,303	)		(283,497	)		(209,635	)		(654,435	)		(269,619	)		(218,223	)		(357,598	)		(283,476	)		(1,128,916	)
Income tax benefit		(50,683	)		(107,720	)		(82,069	)		(240,472	)		(95,525	)		(81,108	)		(131,739	)		(110,999	)		(419,371	)

Net loss	$	(110,620	)	$	(175,777	)	$	(127,566	)	$	(413,963	)	$	(174,094	)	$	(137,115	)	$	(225,859	)	$	(172,477	)	$	(709,545	)

Loss ratio ⁽¹⁰⁾		192.8	%		267.6	%		204.6	%		221.7	%		220.0	%		193.7	%		271.3	%		258.4	%		237.7	%
Expense ratio ⁽¹⁰⁾		20.5	%		21.3	%		19.8	%		20.5	%		32.1	%		16.1	%		14.3	%		13.0	%		18.5	%
Combined ratio		213.3	%		288.9	%		224.4	%		242.2	%		252.1	%		209.8	%		285.6	%		271.4	%		256.2	%


	9/30/2009		6/30/2009		3/31/2009		12/31/2008		9/30/2008		6/30/2008		3/31/2008
	*(Dollars in thousands)*						*(Dollars in thousands)*
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income securities	$	2,441,616	$	2,044,222	$	1,917,378	$	1,722,432	$	1,726,032	$	1,960,626	$	1,746,902
Equity securities:
Common		21,822		11,679		3,303		5,593		9,883		10,927		14,159
Preferred		186,733		177,762		158,994		216,256		212,703		243,459		260,646
Short term investments		999		996		981		980		980		977		951

Total investments	$	2,651,170	$	2,234,659	$	2,080,656	$	1,945,261	$	1,949,598	$	2,215,989	$	2,022,658
Cash and cash equivalents		698,833		1,075,108		1,058,306		1,239,490		400,086		106,317		285,074
Investments in unconsolidated subsidiaries		132,025		132,271		134,646		135,082		132,584		135,580		133,664
Reinsurance recoverables		659,356		602,318		549,369		482,678		392,701		313,549		123,864
Deferred policy acquisition costs		40,677		38,895		37,034		32,317		28,091		22,532		15,992
Property, equipment and software, net of accumulated depreciation and amortization		40,567		45,535		51,191		54,230		60,000		70,330		73,832
Other assets		289,999		352,590		359,573		262,166		298,908		264,577		242,679

Total assets	$	4,512,627	$	4,481,376	$	4,270,775	$	4,151,224	$	3,261,968	$	3,128,874	$	2,897,763

Liabilities
Reserve for losses and loss adjustment expenses	$	3,138,261	$	3,185,488	$	2,854,797	$	2,624,504	$	2,349,651	$	2,132,632	$	1,589,253
Unearned premiums		67,286		73,786		86,480		86,187		90,007		96,739		104,674
Other liabilities		274,786		163,419		203,772		190,348		200,593		115,973		185,738

Total liabilities		3,480,333		3,422,693		3,145,049		2,901,039		2,640,251		2,345,344		1,879,665

Shareholder’s equity		1,032,294		1,058,683		1,125,726		1,250,185		621,717		783,530		1,018,098

Total liabilities and shareholder’s equity	$	4,512,627	$	4,481,376	$	4,270,775	$	4,151,224	$	3,261,968	$	3,128,874	$	2,897,763

Page 9

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (1)


	2009												2008
	9/30/2009			6/30/2009			3/31/2009			Total			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	*(Dollars in millions)*												*(Dollars in millions)*
New Insurance Written
Flow insurance written	$	1,176		$	2,001		$	4,847		$	8,024		$	5,725		$	6,156		$	4,364		$	5,952		$	22,197
Structured insurance written		—			—			1			1			24			67			184			167			442

Primary new insurance written	$	1,176		$	2,001		$	4,848		$	8,025		$	5,749		$	6,223		$	4,548		$	6,119		$	22,639

Primary new risk written	$	253		$	426		$	1,034		$	1,713		$	1,322		$	1,413		$	985		$	1,417		$	5,137
Pool new insurance written ⁽¹¹⁾	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	274		$	274
Pool new risk written ⁽¹¹⁾	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	4		$	4
Product mix as a % of primary new insurance written:
High LTV (above 97% LTV’s)		0	%		0	%		0	%		0	%		0	%		0	%		4	%		15	%		5	%
95.01% to 97% LTV’s		0	%		0	%		1	%		1	%		3	%		4	%		5	%		2	%		3	%
90.01% to 95% LTV’s		29	%		29	%		30	%		30	%		31	%		26	%		22	%		23	%		26	%
85.01% to 90% LTV’s		54	%		51	%		48	%		49	%		52	%		55	%		49	%		44	%		50	%
85% and below		17	%		20	%		21	%		20	%		14	%		15	%		20	%		16	%		16	%
Less than A quality loans		0	%		0	%		0	%		0	%		0	%		0	%		1	%		4	%		1	%
Alt-A loans		0	%		0	%		0	%		0	%		0	%		1	%		8	%		13	%		5	%
Interest only loans		0	%		0	%		0	%		0	%		2	%		5	%		6	%		8	%		5	%
Payment option ARMS		0	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%
ARMs		0	%		0	%		0	%		0	%		1	%		1	%		2	%		2	%		1	%
Monthlies		88	%		89	%		89	%		88	%		93	%		92	%		97	%		98	%		95	%
Refinances		29	%		49	%		54	%		49	%		25	%		22	%		41	%		45	%		33	%
Structured transactions		0	%		0	%		0	%		0	%		0	%		1	%		4	%		3	%		2	%

Page 10

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (2)


	2009									2008
	9/30/2009			6/30/2009			3/31/2009			12/31/2008			9/30/2008			6/30/2008			3/31/2008
				*(Dollars in millions, except loan size)*
Primary Insurance and Risk in Force
Primary insurance in force
Flow	$	100,745		$	103,367		$	106,352		$	106,147		$	104,336		$	103,626		$	103,860
Structured transactions		16,187			16,852			17,545			18,118			18,806			19,525			20,403

Total	$	116,932		$	120,219		$	123,897		$	124,265		$	123,142		$	123,151		$	124,263

Primary risk in force
Flow	$	24,794		$	25,458		$	26,237		$	26,329		$	25,981		$	25,983		$	26,156
Structured transactions		3,805			3,963			4,129			4,276			4,458			4,650			4,896

Total	$	28,599		$	29,421		$	30,366		$	30,605		$	30,439		$	30,633		$	31,052

Pool risk in force ⁽¹¹⁾	$	1,292		$	1,579		$	1,853		$	2,722		$	2,762		$	2,812		$	3,443
Primary risk in force - credit score distribution
Flow
620 or above		94.4	%		94.3	%		94.3	%		94.1	%		93.7	%		93.4	%		93.2	%
619-575		4.4	%		4.5	%		4.5	%		4.6	%		4.9	%		5.1	%		5.3	%
574 or below		1.2	%		1.2	%		1.2	%		1.3	%		1.4	%		1.5	%		1.5	%
Structured transactions
620 or above		85.8	%		85.9	%		86.0	%		86.2	%		86.2	%		86.2	%		86.2	%
619-575		9.0	%		8.9	%		8.8	%		8.7	%		8.7	%		8.7	%		8.7	%
574 or below		5.2	%		5.2	%		5.2	%		5.1	%		5.1	%		5.1	%		5.1	%
Total
620 or above		93.2	%		93.1	%		93.1	%		93.0	%		92.6	%		92.4	%		92.1	%
619-575		5.0	%		5.1	%		5.1	%		5.2	%		5.5	%		5.6	%		5.8	%
574 or below		1.8	%		1.8	%		1.8	%		1.8	%		1.9	%		2.0	%		2.1	%
Primary average loan size (in thousands)
Flow	$	161.9		$	161.8		$	161.6		$	160.3		$	158.3		$	157.0		$	155.6
Structured transactions	$	157.5		$	158.1		$	158.9		$	159.4		$	159.9		$	160.3		$	160.8
Total	$	161.3		$	161.2		$	161.2		$	160.2		$	158.6		$	157.5		$	156.4
Loss severity ⁽¹²⁾ - primary (quarterly)
Flow		94.2	%		75.7	%		83.6	%		87.4	%		100.7	%		98.8	%		95.7	%
Structured transactions		87.9	%		63.9	%		85.9	%		91.9	%		98.9	%		98.2	%		98.9	%
Total		92.7	%		72.2	%		84.3	%		89.0	%		100.0	%		98.6	%		96.9	%
Persistency⁽¹³⁾
Primary persistency rate		83.8	%		82.3	%		82.5	%		82.2	%		81.0	%		79.6	%		77.6	%
Risk-to-capital ratio⁽¹⁴⁾		18.5 to 1			19.6 to 1			18.7 to 1			16.6 to 1			14.3 to 1			11.7 to 1			10.5 to 1
Excess minimum policyholders position (MPP) ⁽¹⁵⁾	$	215.2		$	185.3		$	246.6		$	423.8		$	505.9		$	611.6		$	905.6

Page 11

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (3)


			9/30/2009					12/31/2008					9/30/2008
			Primary Risk in Force			Percent of Total		Primary Risk in Force			Percent of Total		Primary Risk in Force			Percent of Total
			*(In millions)*					*(In millions)*					*(In millions)*
Policy Year As a Percentage of Primary Risk in Force (RIF)
Prior to 1999			$	283		1.0	%	$	336		1.1	%	$	359		1.2	%
1999				248		0.9	%		273		0.9	%		279		0.9	%
2000				109		0.4	%		122		0.4	%		126		0.4	%
2001				377		1.3	%		438		1.4	%		457		1.5	%
2002				820		2.9	%		956		3.1	%		998		3.3	%
2003				2,221		7.8	%		2,577		8.4	%		2,691		8.8	%
2004				2,417		8.4	%		2,755		9.0	%		2,862		9.4	%
2005				3,582		12.5	%		4,029		13.2	%		4,189		13.8	%
2006				4,559		15.9	%		5,175		16.9	%		5,384		17.7	%
2007				8,019		28.0	%		9,068		29.6	%		9,435		31.0	%
2008				4,318		15.1	%		4,876		16.0	%		3,659		12.0	%
2009				1,646		5.8	%		—		0.0	%		—

Total			$	28,599				$	30,605				$	30,439


			9/30/2009					12/31/2008					9/30/2008
			% of Primary RIF			Primary Default Rate		% of Primary RIF			Primary Default Rate		% of Primary RIF			Primary Default Rate
Top 10 States as a Percentage of Primary Risk in Force,
(Ranking based on 9/30/09 RIF)
Florida				10.1	%	38.2	%		10.3	%	27.8	%		10.5	%	22.6	%
California				7.7	%	34.3	%		8.0	%	24.7	%		8.2	%	21.0	%
Texas				7.4	%	11.7	%		7.3	%	9.4	%		7.2	%	8.0	%
Illinois				5.2	%	22.1	%		5.2	%	14.8	%		5.1	%	12.6	%
Georgia				4.7	%	20.7	%		4.7	%	14.6	%		4.7	%	12.3	%
New York				4.0	%	16.2	%		3.9	%	11.3	%		3.8	%	9.6	%
Ohio				3.8	%	16.7	%		3.8	%	13.5	%		3.8	%	12.6	%
Pennsylvania				3.4	%	14.0	%		3.3	%	10.8	%		3.3	%	9.7	%
New Jersey				3.2	%	21.6	%		3.2	%	14.2	%		3.1	%	12.0	%
Washington				3.2	%	14.4	%		3.1	%	8.1	%		3.1	%	6.4	%

	2009							2008
	9/30/2009		6/30/2009			3/31/2009		12/31/2008			9/30/2008		6/30/2008			3/31/2008
As a Percentage of Primary Risk in Force - loan to value ratios
High LTV (above 97% LTV’s)	20.5	%		20.6	%	20.8	%		21.5	%	22.6	%		24.0	%	24.4	%
95.01% to 97% LTV’s	4.1	%		4.1	%	4.1	%		4.1	%	4.0	%		3.9	%	3.8	%
90.01% to 95% LTV’s	30.4	%		30.3	%	30.2	%		29.9	%	29.4	%		29.3	%	29.4	%
85.01% to 90% LTV’s	38.0	%		37.9	%	37.8	%		37.5	%	36.9	%		35.7	%	35.3	%
85% and below	7.0	%		7.1	%	7.1	%		7.0	%	7.1	%		7.1	%	7.1	%
As a Percentage of Primary Risk in Force:
Less-than-A quality (FICO scores below 620)	6.8	%		6.8	%	6.9	%		7.1	%	7.4	%		7.7	%	7.9	%
Less-than-A quality (FICO scores below 575) ^(A)	1.8	%		1.8	%	1.8	%		1.8	%	1.9	%		2.0	%	2.1	%
Alt-A Loans:
With FICO scores of 660 and above	15.0	%		15.3	%	15.7	%		16.3	%	17.4	%		19.0	%	19.4	%
With FICO scores below 660 and above 619	2.3	%		2.3	%	2.3	%		2.5	%	2.6	%		2.9	%	3.0	%

Total Alt-A Loans	17.3	%		17.6	%	18.0	%		18.8	%	20.0	%		21.9	%	22.4	%
ARMs ^(B)	9.5	%		9.7	%	9.9	%		10.3	%	11.0	%		11.6	%	12.1	%
Interest Only ^(C)	11.0	%		11.1	%	11.3	%		11.8	%	12.5	%		13.8	%	14.0	%
Payment Option ARMs	3.1	%		3.2	%	3.3	%		3.4	%	3.6	%		3.7	%	3.7	%

(A)	Less-than-A quality loans with FICO scores below 575 is a subset of PMI’s less-than-A quality loan portfolio.

(B)	Approximately 1.0% and 0.6% of RIF are subject to initial payment adjustment in 2009 and 2010, respectively.

(C)	Approximately 95.0% and 95.2% of interest only loans written in 2008 and the first nine months of 2009, respectively, have an initial deferral period of 5 years or greater.

Page 12

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS DEFAULT INFORMATION


	2009												2008
	9/30/2009			6/30/2009			3/31/2009			Total ⁽¹⁶⁾			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total ⁽¹⁶⁾
	*(Dollars in millions, except claim size)*												*(Dollars in millions, except claim size)*
Primary loans, defaults and default rates
Primary policies in force		725,029			745,551			768,441			725,029			775,841			776,544			781,867			794,323			775,841
Primary loans in default		141,261			126,431			117,503			141,261			109,580			93,670			80,895			69,718			109,580
Primary default rate		19.48	%		16.96	%		15.29	%		19.48	%		14.12	%		12.06	%		10.35	%		8.78	%		14.12	%
Flow only default rate		18.26	%		15.81	%		14.14	%		18.26	%		13.00	%		10.93	%		9.26	%		7.57	%		13.00	%
Structured transactions only default rate		26.87	%		23.83	%		22.16	%		26.87	%		20.70	%		18.41	%		16.25	%		15.14	%		20.70	%
Pool default rate		20.86	%		19.46	%		17.69	%		20.86	%		15.54	%		12.74	%		10.76	%		9.20	%		15.54	%
Primary default rates by loan type
Alt-A loans		41.28	%		37.52	%		34.79	%		41.28	%		30.56	%		25.79	%		21.67	%		17.47	%		30.56	%
Less than A quality loans		37.96	%		33.61	%		30.94	%		37.96	%		30.81	%		27.25	%		23.27	%		20.74	%		30.81	%
Above 97s		26.03	%		22.36	%		19.85	%		26.03	%		18.28	%		15.23	%		12.39	%		10.18	%		18.28	%
ARMs (excluding 2/28 Hybrid ARMs)		40.50	%		37.32	%		35.09	%		40.50	%		32.00	%		27.40	%		23.41	%		19.03	%		32.00	%
2/28 Hybrid ARMs		52.87	%		50.41	%		49.95	%		52.87	%		48.46	%		47.38	%		45.38	%		42.95	%		48.46	%
Payment option ARMs		50.75	%		47.01	%		43.78	%		50.75	%		38.87	%		32.60	%		26.72	%		19.59	%		38.87	%
Interest Only		40.78	%		36.49	%		33.41	%		40.78	%		28.62	%		23.53	%		19.25	%		15.04	%		28.62	%
Claims paid
Primary claims paid - flow	$	144.6		$	129.8		$	136.7		$	411.1		$	143.7		$	130.1		$	117.2		$	93.0		$	484.0
Primary claims paid - structured transactions		43.7			47.3			65.3			156.3			79.7			76.9			71.8			59.9			288.3
Ceded claims, supplemental and other ⁽¹⁷⁾		(29.8	)		(21.8	)		(21.3	)		(72.9	)		(18.1	)		(29.4	)		(0.2	)		0.7			(47.0	)

Total primary claims paid		158.5			155.3			180.7			494.5			205.3			177.6			188.8			153.6			725.3
Total pool and other		268.8			31.0			25.9			325.7			19.2			22.5			3.9			9.0			54.6

Total claims paid		427.3			186.3			206.6			820.2			224.5			200.1			192.7			162.6			779.9
Loss adjustment expenses		11.6			12.8			9.6			34.0			11.6			10.2			6.1			6.2			34.1

Total claims paid including loss adjustment expenses	$	438.9		$	199.1		$	216.2		$	854.2		$	236.1		$	210.3		$	198.8		$	168.8		$	814.0
Number of primary claims paid		4,299			5,010			4,613			13,922			5,044			4,371			4,329			3,722			17,466
Average primary claim size (in thousands)	$	36.9		$	31.0		$	39.2		$	35.5		$	40.7		$	40.6		$	43.6		$	41.3		$	41.5
Captive reinsurance arrangements
Percentage of flow NIW subject to captive reinsurance arrangements		0.2	%		0.7	%		4.7	%		3.1	%		23.2	%		19.6	%		50.8	%		68.4	%		39.8	%
Percentage of primary NIW subject to captive reinsurance arrangements		0.2	%		0.7	%		4.7	%		3.1	%		23.1	%		19.4	%		48.7	%		66.5	%		39.0	%
Percentage of primary IIF subject to captive reinsurance arrangements		46.5	%		46.9	%		47.5	%		46.5	%		49.0	%		50.0	%		53.0	%		53.0	%		49.0	%
Percentage of primary RIF subject to captive reinsurance arrangements		47.5	%		47.8	%		48.3	%		47.5	%		49.5	%		50.4	%		53.1	%		53.1	%		49.5	%

Page 13

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS ANALYSIS OF LOSS RESERVES


	2009									2008
	9/30/2009			6/30/2009			3/31/2009			12/31/2008			9/30/2008			6/30/2008			3/31/2008
	*(Dollars in millions)*									*(Dollars in millions)*
Loss Reserve Analysis
Beginning reserves for losses and LAE,	$	3,185.5		$	2,854.8		$	2,624.5		$	2,349.7		$	2,132.6		$	1,589.3		$	1,133.1
Reinsurance recoverables		(602.3	)		(549.4	)		(482.7	)		(392.7	)		(313.5	)		(123.9	)		(35.9	)

Net balance at beginning of the period		2,583.2			2,305.4			2,141.8			1,957.0			1,819.1			1,465.4			1,097.2
Loss and LAE incurred (principally with respect to defaults occuring in):
Current year		375.2			374.1			370.6			473.8			393.5			480.4			363.2
Prior years		(40.6	)		102.7			9.2			(45.8	)		(45.3	)		72.1			173.8

Total incurred		334.6			476.8			379.8			428.0			348.2			552.5			537.0
Loss and LAE payments (principally with respect to defaults occuring in):
Current year		(121.2	)		(4.3	)		(2.6	)		(72.7	)		(22.7	)		(5.4	)		(0.1	)
Prior years		(317.7	)		(194.7	)		(213.6	)		(170.5	)		(187.6	)		(193.4	)		(168.7	)

Total payments		(438.9	)		(199.0	)		(216.2	)		(243.2	)		(210.3	)		(198.8	)		(168.8	)
Net ending balance		2,478.9			2,583.2			2,305.4			2,141.8			1,957.0			1,819.1			1,465.4
Reinsurance recoverables ^(A)		659.4			602.3			549.4			482.7			392.7			313.5			123.9

Ending reserves for losses and LAE	$	3,138.3		$	3,185.5		$	2,854.8		$	2,624.5		$	2,349.7		$	2,132.6		$	1,589.3


	9/30/2009			6/30/2009			3/31/2009			12/31/2008			12/31/2007			12/31/2006
	*(Dollars in thousands)*									*(Dollars in thousands)*
Loss Reserves by Book Year
2002 and prior	$	127,098		$	117,670		$	128,501		$	137,136		$	117,987		$	103,053
2003		131,432			115,439			115,725			118,672			87,713			65,107
2004		210,726			192,493			172,624			166,420			119,017			76,606
2005		499,670			534,897			437,354			406,224			238,077			83,339
2006		847,254			1,008,011			872,408			774,871			345,918			38,077
2007		1,137,081			1,067,259			1,007,037			928,065			224,368			—
2008		182,536			148,482			120,973			93,116			—			—
2009		2,464			1,237			175			—			—			—

Total Loss Reserves	$	3,138,261		$	3,185,488		$	2,854,797		$	2,624,504		$	1,133,080		$	366,182


	9/30/2009			6/30/2009			3/31/2009			12/31/2008			9/30/2008
	Loans in Default	Reserve for Losses and LAE		Loans in Default	Reserve for Losses and LAE		Loans in Default	Reserve for Losses and LAE		Loans in Default	Reserve for Losses and LAE		Loans in Default	Reserve for Losses and LAE
	*(Dollars in millions)*
Primary insurance	141,261	$	2,694.4	126,431	$	2,560.4	117,503	$	2,445.2	109,580	$	2,340.0	93,670	$	2,195.3
Pool insurance ⁽¹¹⁾	52,158		421.2	57,121		602.3	53,807		386.7	50,770		261.6	42,741		154.4
Surety ^(B)	—		22.7	—		22.8	—		22.9	—		22.9	—		—

Total	193,419	$	3,138.3	183,552	$	3,185.5	171,310	$	2,854.8	160,350	$	2,624.5	136,411	$	2,349.7

(A)	Reinsurance recoverables includes captive reinsurance agreements and other reinsurance recoverables.

(B)	Reserve for losses and LAE relates to loss reserves on PMI Guaranty’s surety business with FGIC which was commuted and merged into the Company’s U.S. Mortgage Insurance Operations in the fourth quarter of 2008.

Page 14

THE PMI GROUP, INC. AND SUBSIDIARIES

CMG MORTGAGE INSURANCE COMPANY STATISTICAL INFORMATION


	2009												2008
	9/30/2009			6/30/2009			3/31/2009			Total ⁽¹⁶⁾			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total ⁽¹⁶⁾
	*(Dollars in millions, except claims paid and claim size)*
Primary new insurance written	$	489		$	1,052		$	1,630		$	3,171		$	1,148		$	1,466		$	1,877		$	1,353		$	5,844
Primary insurance in force	$	22,315		$	22,645		$	22,665		$	22,315		$	22,015		$	21,446		$	20,627		$	19,530		$	22,015
Primary risk in force	$	5,444		$	5,533		$	5,569		$	5,444		$	5,465		$	5,334		$	5,137		$	4,871		$	5,465
Policies in force		139,073			141,448			142,541			139,073			140,128			137,979			134,451			129,032			140,128
Primary loans in default		6,479			5,550			4,480			6,479			3,565			2,795			2,157			1,832			3,565
Primary default rate		4.66	%		3.92	%		3.14	%		4.66	%		2.54	%		2.03	%		1.60	%		1.42	%		2.54	%
Persistency		83.9	%		84.1	%		84.7	%		83.9	%		85.4	%		84.1	%		82.6	%		81.6	%		85.4	%
Primary claims paid (in thousands)	$	15,159		$	12,857		$	10,703		$	38,719		$	8,432		$	5,929		$	6,051		$	4,033		$	24,445
Number of primary claims paid		345			294			235			874			232			169			173			118			692
Average primary claim size (in thousands)	$	43.9		$	43.7		$	45.5		$	44.3		$	36.3		$	35.1		$	35.0		$	34.2		$	35.3

Page 15

THE PMI GROUP, INC. AND SUBSIDIARIES

INTERNATIONAL OPERATIONS SEGMENT ⁽⁷⁾RESULTS OF OPERATIONS AND BALANCE SHEETS


	2009												2008
	9/30/2009			6/30/2009			3/31/2009			Total			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	*(U.S. dollars in thousands)*												*(U.S. dollars in thousands)*
Income Statement Components - Quarter Ended
Net premiums written	$	(80	)	$	(496	)	$	546		$	(30	)	$	1,875		$	2,577		$	6,093		$	7,688		$	18,233

Revenues
Premiums earned	$	3,031		$	3,415		$	2,472		$	8,918		$	3,192		$	3,776		$	3,769		$	3,205		$	13,942
Net gains (losses) from credit default swaps		9,248			7,003			7,756			24,007			(11,714	)		(9,911	)		9,550			800			(11,275	)
Net investment (loss) income		(849	)		(540	)		4,860			3,471			850			3,858			3,762			4,767			13,237
Net realized investment gains (losses)		94			(271	)		(1,765	)		(1,942	)		(1,237	)		1,885			(480	)		(231	)		(63	)
Other income (loss)		7			14			(35	)		(14	)		(23	)		(23	)		23			28			5

Total revenues (expenses)		11,531			9,621			13,288			34,440			(8,932	)		(415	)		16,624			8,569			15,846

Losses and expenses
Losses and loss adjustment expenses		2,185			4,012			3,101			9,298			6,447			34,488			3,589			19,020			63,544
Amortization of deferred policy acquisition costs		314			321			320			955			383			1,568			403			345			2,699
Other underwriting and operating expenses ⁽³⁾		2,073			3,909			2,791			8,773			12,216			13,048			7,658			6,981			39,903

Total losses and expenses		4,572			8,242			6,212			19,026			19,046			49,104			11,650			26,346			106,146

Income (loss) from continuing operations before income taxes		6,959			1,379			7,076			15,414			(27,978	)		(49,519	)		4,974			(17,777	)		(90,300	)
Income tax (benefit) expense from continuing operations		(20,431	)		14,831			346			(5,254	)		2,242			(3,510	)		340			(2,336	)		(3,264	)

Income (loss) from continuing operations		27,390			(13,452	)		6,730			20,668			(30,220	)		(46,009	)		4,634			(15,441	)		(87,036	)
Income (loss) from discontinued operations, net of taxes		—			—			—			—			1,914			(51	)		26,469			33,217			61,549
(Loss) gain on sale from discontinued operations, net of taxes		(5,312	)		7			(30	)		(5,335	)		1,741			(80,490	)		—			—			(78,749	)

Net income (loss)	$	22,078		$	(13,445	)	$	6,700		$	15,333		$	(26,565	)	$	(126,550	)	$	31,103		$	17,776		$	(104,236	)

Loss ratio, expense ratio and combined ratio for the International Operations segment are not meaningful due to the sale of PMI Australia and PMI Asia, which were classified as discontinued operations.


	9/30/2009		6/30/2009			3/31/2009		12/31/2008		9/30/2008		6/30/2008		3/31/2008
	*(U.S. dollars in thousands)*							*(U.S. dollars in thousands)*
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income and equity securities	$	145,628	$	124,312		$	97,521	$	139,804	$	158,171	$	285,814	$	288,047
Cash and cash equivalents		75,941		103,065			134,011		124,518		164,276		64,566		61,732
Reinsurance recoverables		—		—			—		—		953		1,066		1,068
Deferred policy acquisition costs		1,589		1,823			2,027		2,474		2,945		4,965		5,006
Property, equipment and software, net of accumulated depreciation and amortization		38		52			688		948		1,709		1,901		2,065
Other assets (liabilities)		12,405		(4,298	)		10,620		14,424		18,596		15,815		16,837
Assets - discontinued operations - held for sale		—		—			—		—		1,324,795		1,618,497		1,522,347

Total assets	$	235,601	$	224,954		$	244,867	$	282,168	$	1,671,445	$	1,992,624	$	1,897,102

Liabilities
Reserve for losses and loss adjustment expenses	$	36,766	$	49,884		$	61,065	$	84,782	$	90,856	$	62,664	$	60,736
Unearned premiums		19,797		21,946			24,522		25,449		27,296		31,660		29,378
Other liabilities		58,908		64,217			64,623		78,436		63,124		48,915		52,694
Liabilities - discontinued operations - held for sale		—		—			—		—		543,830		615,441		576,681

Total liabilities		115,471		136,047			150,210		188,667		725,106		758,680		719,489

Shareholder’s equity		120,130		88,907			94,657		93,501		946,339		1,233,944		1,177,613

Total liabilities and shareholder’s equity	$	235,601	$	224,954		$	244,867	$	282,168	$	1,671,445	$	1,992,624	$	1,897,102

Page 16

THE PMI GROUP, INC. AND SUBSIDIARIES

PMI EUROPE QUARTERLY FINANCIAL INFORMATION


	2009												2008
	9/30/2009			6/30/2009			3/31/2009			Total			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	(U.S. dollars in thousands, unless otherwise noted)												*(U.S. dollars in thousands, unless otherwise noted)*
Income Statement Components - Quarter Ended
Net premiums written	$	(80	)	$	(496	)	$	546		$	(30	)	$	1,875		$	2,577		$	6,093		$	5,368		$	15,913

Revenues
Premiums earned	$	2,904		$	3,262		$	2,373		$	8,539		$	3,051		$	3,598		$	3,660		$	3,156		$	13,465
Net gains (losses) from credit default swaps		9,248			7,003			7,756			24,007			(11,714	)		(9,911	)		9,550			800			(11,275	)
Net investment (loss) income		(758	)		(375	)		4,673			3,540			282			3,221			2,971			3,972			10,446
Net realized investment gains (losses)		100			66			(1,314	)		(1,148	)		(4,377	)		874			(480	)		(231	)		(4,214	)

Total revenues (expenses)		11,494			9,956			13,488			34,938			(12,758	)		(2,218	)		15,701			7,697			8,422

Losses and expenses
Losses and loss adjustment expenses		1,950			3,814			2,943			8,707			6,288			34,386			3,589			18,975			63,238
Amortization of deferred policy acquisition costs		279			283			298			860			311			1,565			401			345			2,622
Other underwriting and operating expenses ⁽³⁾		1,836			3,685			2,436			7,957			6,069			9,813			5,587			4,633			26,102

Total losses and expenses		4,065			7,782			5,677			17,524			12,668			45,764			9,577			23,953			91,962

Income (loss) before income taxes		7,429			2,174			7,811			17,414			(25,426	)		(47,982	)		6,124			(16,256	)		(83,540	)
Income tax (benefit) expense		(20,430	)		16,284			346			(3,800	)		2,255			(3,510	)		340			(2,336	)		(3,251	)

Net income (loss)	$	27,859		$	(14,110	)	$	7,465		$	21,214		$	(27,681	)	$	(44,472	)	$	5,784		$	(13,920	)	$	(80,289	)

Net income (loss) (Euros in thousands)	€	20,494		€	(10,693	)	€	5,715		€	15,516		€	(20,011	)	€	(29,410	)	€	3,704		€	(8,857	)	€	(54,574	)

Loss ratio, expense ratio and combined ratio for PMI Europe are not meaningful.


	9/30/2009		6/30/2009			3/31/2009		12/31/2008		9/30/2008		6/30/2008		3/31/2008
	*(U.S. dollars in thousands)*							*(U.S. dollars in thousands)*
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income securities	$	131,439	$	110,107		$	96,586	$	136,856	$	145,746	$	220,099	$	222,364
Cash and cash equivalents		70,751		100,102			117,336		107,420		109,440		58,256		53,765
Reinsurance recoverables		—		—			—		—		954		1,066		1,068
Deferred policy acquisition costs		1,412		1,627			1,811		2,228		2,580		4,581		4,623
Property, equipment and software, net of accumulated depreciation and amortization		38		52			688		948		1,165		1,269		1,372
Other assets (liabilities)		11,763		(8,462	)		10,581		14,332		18,279		15,287		15,837

Total assets	$	215,403	$	203,426		$	227,002	$	261,784	$	278,164	$	300,558	$	299,029

Liabilities
Reserve for losses and loss adjustment expenses	$	35,874	$	49,281		$	60,637	$	84,503	$	90,715	$	62,620	$	60,692
Unearned premiums		18,497		20,629			23,167		23,948		25,417		29,521		27,140
Other liabilities		58,584		61,981			64,220		76,814		61,269		47,284		50,432

Total liabilities		112,955		131,891			148,024		185,265		177,401		139,425		138,264
Shareholder’s equity		102,448		71,535			78,978		76,519		100,763		161,133		160,765

Total liabilities and shareholder’s equity	$	215,403	$	203,426		$	227,002	$	261,784	$	278,164	$	300,558	$	299,029

Page 17

THE PMI GROUP, INC. AND SUBSIDIARIES

PMI EUROPE STATISTICAL INFORMATION


	2009								2008
	9/30/2009		6/30/2009		3/31/2009		Total⁽¹⁵⁾		12/31/2008		9/30/2008		6/30//2008		3/31/2008		Total⁽¹⁵⁾
	*(U.S. dollars in millions, except claims paid)*								*(U.S. dollars in millions, except claims paid)*
New insurance written	$	—	$	—	$	—	$	—	$	172	$	90	$	129	$	95	$	486
New credit default swaps written	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
New reinsurance written	$	—	$	—	$	—	$	—	$	—	$	—	$	3,627	$	1,934	$	5,561
Insurance in force	$	36,289	$	39,196	$	41,552	$	36,289	$	46,290	$	55,143	$	62,422	$	63,103	$	46,290
Risk in force	$	5,252	$	6,812	$	6,611	$	5,252	$	7,367	$	7,972	$	9,182	$	9,628	$	7,367
Claims paid including credit default swaps (in thousands)	$	18,675	$	19,676	$	23,570	$	61,921	$	11,988	$	2,461	$	3,593	$	3,562	$	21,604

Page 18

THE PMI GROUP, INC. AND SUBSIDIARIES

FINANCIAL GUARANTY SEGMENT ⁽⁸⁾ RESULTS OF OPERATIONS AND BALANCE SHEETS


	2009								2008
	9/30/2009		6/30/2009		3/31/2009		Total		12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	*(Dollars in thousands)*								*(Dollars in thousands)*
Income Statement Components - Quarter Ended
Net premiums written	$	—	$	—	$	—	$	—	$	—		$	—		$	—		$	—		$	—

Revenues
Premiums earned	$	—	$	—	$	—	$	—	$	—		$	—		$	—		$	—		$	—
Net investment income		—		—		—		—		—			—			—			—			—
Net realized investment gains		—		—		—		—		—			—			—			—			—
Impairment of unconsolidated subsidiaries ⁽²⁾		—		—		—		—		—			(2,887	)		—			(87,981	)		(90,868	)

Total revenues (expenses)		—		—		—		—		—			(2,887	)		—			(87,981	)		(90,868	)

													—
Losses and expenses
Losses and loss adjustment expenses		—		—		—		—		—			—			—			—			—
Amortization of deferred policy acquisition costs		—		—		—		—		—			—			—			—			—
Other underwriting and operating expenses		—		—		—		—		—			—			—			—			—

Total losses and expenses		—		—		—		—		—			—			—			—			—

Loss before equity in (losses) gains from unconsolidated subsidiaries and income taxes		—		—		—		—		—			(2,887	)		—			(87,981	)		(90,868	)
Equity in (losses) gains from unconsolidated subsidiaries		—		—		—		—		(6,453	)		9,340			(24,321	)		(36,236	)		(57,670	)

(Loss) income from continuing operations before income taxes		—		—		—		—		(6,453	)		6,453			(24,321	)		(124,217	)		(148,538	)
Income tax benefit from continuing operations		—		—		—		—		(23,296	)		—			—			(1,244	)		(24,540	)

Income (loss) from continuing operations	$	—	$	—	$	—	$	—	$	16,843		$	6,453		$	(24,321	)	$	(122,973	)	$	(123,998	)
(Loss) income from discontinued operations, net of taxes		—		—		—		—		(1,507	)		437			(21,785	)		(1,265	)		(24,120	)

Net income (loss)	$	—	$	—	$	—	$	—	$	15,336		$	6,890		$	(46,106	)	$	(124,238	)	$	(148,118	)


	9/30/2009		6/30/2009		3/31/2009		12/31/2008		9/30/2008			6/30/2008		3/31/2008
	*(Dollars in thousands)*						*(Dollars in thousands)*
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income securities	$	—	$	—	$	—	$	—	$	617		$	117,607	$	163,534
Equity securities: preferred		—		—		—		—		—			20,097		21,102

Total investments	$	—	$	—	$	—	$	—	$	617		$	137,704	$	184,636
Cash and cash equivalents		—		—		—		—		30,220			29,276		7,419
Investments in unconsolidated subsidiaries		—		—		—		—		6,453			—		25,998
Deferred policy acquisition costs		—		—		—		—		—			—		3,600
Property, equipment and software, net of accumulated depreciation and amortization		—		—		—		—		—			162		174
Other assets		70,696		70,696		70,696		70,696		60,414			67,520		7,323

Total assets	$	70,696	$	70,696	$	70,696	$	70,696	$	97,704		$	234,662	$	229,150

Liabilities
Reserve for losses and loss adjustment expenses	$	—	$	—	$	—	$	—	$	22,900		$	7,241	$	(878	)
Unearned premiums		—		—		—		—		—			820		6,331
Long-term debt		—		—		—		—		—			50,000		50,000
Other (assets) liabilities		—		—		—		—		(2,000	)		2,897		(45,082	)

Total liabilities		—		—		—		—		20,900			60,958		10,371

Shareholder’s equity		70,696		70,696		70,696		70,696		76,804			173,704		218,779

Total liabilities and shareholder’s equity	$	70,696	$	70,696	$	70,696	$	70,696	$	97,704		$	234,662	$	229,150

Page 19

THE PMI GROUP, INC. AND SUBSIDIARIES

CORPORATE AND OTHER SEGMENT ⁽⁹⁾ RESULTS OF OPERATIONS AND BALANCE SHEETS


	2009												2008
	9/30/2009			6/30/2009			3/31/2009			Total			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	*(Dollars in thousands)*												*(Dollars in thousands)*
Income Statement Components - Quarter Ended
Net premiums written	$	(1	)	$	—		$	5		$	4		$	10		$	12		$	5		$	8		$	35

Revenues
Premiums earned	$	4		$	7		$	8		$	19		$	11		$	10		$	11		$	12		$	44
Net investment income		351			727			1,975			3,053			2,410			3,136			2,757			1,942			10,245
Net realized investment losses		(1	)		—			(18	)		(19	)		(1	)		(988	)		(3	)		(11	)		(1,003	)
Change in fair value of certain debt instruments ⁽¹⁾		3,125			(39,079	)		18,476			(17,478	)		11,647			66,283			16,957			28,708			123,595
Other income		5			105			2,269			2,379			1,739			2,186			3,319			3,243			10,487

Total revenues (expenses)		3,484			(38,240	)		22,710			(12,046	)		15,806			70,627			23,041			33,894			143,368

Losses and expenses
Losses and loss adjustment expenses		—			—			—			—			—			—			—			—			—
Other underwriting and operating expenses (income)		2,059			3,062			3,710			8,831			(5,847	)		21,731			21,145			18,283			55,312
Interest expense		9,326			11,715			11,836			32,877			11,284			11,370			9,883			8,331			40,868

Total losses and expenses		11,385			14,777			15,546			41,708			5,437			33,101			31,028			26,614			96,180

(Loss) income before equity in losses from unconsolidated subsidiaries and income taxes		(7,901	)		(53,017	)		7,164			(53,754	)		10,369			37,526			(7,987	)		7,280			47,188
Equity in losses from unconsolidated subsidiaries		(109	)		(171	)		(152	)		(432	)		(194	)		(152	)		(121	)		(121	)		(588	)

(Loss) income before income taxes		(8,010	)		(53,188	)		7,012			(54,186	)		10,175			37,374			(8,108	)		7,159			46,600
Income tax (benefit) expense		(3,320	)		(19,790	)		1,437			(21,673	)		3,697			10,012			(2,684	)		2,184			13,209

Net (loss) income	$	(4,690	)	$	(33,398	)	$	5,575		$	(32,513	)	$	6,478		$	27,362		$	(5,424	)	$	4,975		$	33,391


	9/30/2009			6/30/2009			3/31/2009			12/31/2008			9/30/2008			6/30/2008			3/31/2008
	*(Dollars in thousands)*									*(Dollars in thousands)*
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income securities	$	16,053		$	15,606		$	117,718		$	135,230		$	134,222		$	50,080		$	51,979
Equity securities: common		—			—			—			—			—			987			1,242
Short term investments		1,210			1,300			1,300			1,300			1,300			1,300			1,300

Total investments	$	17,263		$	16,906		$	119,018		$	136,530		$	135,522		$	52,367		$	54,521
Cash and cash equivalents		69,491			86,798			135,952			119,305			118,659			224,779			40,214
Investments in unconsolidated subsidiaries		14,999			15,064			15,170			15,295			15,360			15,646			15,493
Property, equipment and software, net of accumulated depreciation and amortization		73,146			73,827			74,927			76,033			77,136			78,042			78,627
Other (liabilities) assets		(57,805	)		(26,414	)		(38,331	)		(26,852	)		(17,281	)		(5,837	)		8,821

Total assets	$	117,094		$	166,181		$	306,736		$	320,311		$	329,396		$	364,997		$	197,676

Liabilities
Unearned premiums	$	5		$	9		$	16		$	20		$	21		$	18		$	26
Debt		417,757			427,116			457,054			481,764			532,177			554,694			364,378
Other (assets) liabilities		(60,656	)		(22,651	)		(22,268	)		(25,316	)		(10,820	)		(7,122	)		7,893

Total liabilities		357,106			404,474			434,802			456,468			521,378			547,590			372,297

Shareholder’s deficit		(240,012	)		(238,293	)		(128,066	)		(136,157	)		(191,982	)		(182,593	)		(174,621	)

Total liabilities and shareholder’s deficit	$	117,094		$	166,181		$	306,736		$	320,311		$	329,396		$	364,997		$	197,676

Page 20