Pmi 8K The Pmi Group, Inc. Reports | PMI 17 Mar 08

The PMI Group, Inc.

Supplemental Portfolio Information

As of December 31, 2007

Exhibit 99.2

The PMI Group, Inc.

Forward-Looking Statement

Cautionary Statement: Statements in this presentation that are not historical facts or that relate to

future plans, events or performance are "forward-looking" statements within the meaning of the

Private Securities Litigation Reform Act of 1995. Forward-looking statements in this presentation

include our discussion and estimate of future captive reinsurance claim payments to us by captive

reinsurers. Forward-looking statements are subject to a number of risks and uncertainties

including,

but

not

limited

to,

the

following

factors:

changes

economic

conditions,

economic

recession or slowdowns, adverse changes in consumer confidence, declining housing values,

higher unemployment, deteriorating borrower credit, changes in interest rates, changes in housing

demand or mortgage originations, changes in credit spreads, credit market disruptions including

further deterioration in the housing, mortgage and related credit markets, the loss of a key

customer, increased severity or frequency of losses associated with our mortgage insurance and

other credit enhancement products, losses associated with the aging of our mortgage insurance

portfolio,

ratings

actions

with

respect

our

subsidiaries’

credit

ratings

insurer

financial

strength ratings assigned by the major ratings agencies, heightened competition from other

insurance providers, federal and state governmental or quasi-governmental entities, and from

alternative

products

private

mortgage

insurance

and

financial

guaranty

insurance,

changes

the charters or business practices of Fannie Mae and Freddie Mac, changes in political and

regulatory environments and the application of consumer, lending, insurance and other applicable

laws and regulations, the possibility that we may fail to estimate accurately the likelihood,

magnitude and timing of losses in connection with establishing loss reserves for our mortgage

insurance or financial guaranty businesses or to estimate accurately the fair value amounts of

derivative contracts in determining gains and losses on these contracts, limitations on the amount

of dividends that The PMI Group may receive from its insurance subsidiaries, or a combination of

these and other factors. Other risks and uncertainties are discussed in our SEC filings, including

our

Annual

Report

Form

10-K

for

the

year

ended

December

31,

2007

(in

Item

1A).

undertake

no obligation to update forward-looking statements.

The PMI Group, Inc.

Definition of Terms

2/28s

–

refers to loans with interest rates that are fixed for two years and reset to a new interest rate at the end of year two

for the remaining term of the loan.

ARMs

–

refers to loans with adjustable interest rates. We consider a loan an ARM if its interest rate may be adjusted prior

to the loan’s fifth anniversary.

A Quality Loans

–

we define A quality to include loans with credit scores of 620 and greater.

Alt-A Loans

–

we consider a loan Alt-A if it has a credit score of 620 or greater and the borrower requests and is given the

option of providing reduced documentation verifying income, assets, deposit information and/or employment.

Captive Reinsurance

–

refers to agreements in which a portion of risk insured by PMI is reinsured by a captive reinsurance

company affiliated with the mortgage originator or investor.

Defaults

–

our

primary

mortgage

insurance

master

policy

defines

“default”

the

borrower’s

failure

pay

when

due

amount

equal

the

scheduled

monthly

mortgage

payment

under

the

terms

the

mortgage.

Generally,

the

master

policies require an insured to notify PMI of a default no later than the last business day of the month following the month

which

the

borrower

becomes

three

monthly

payments

default.

For

reporting

purposes

and

internal

tracking

purposes, we do not consider a loan to be in default until the borrower has missed to consecutive payments. Depending

upon its scheduled payment date, a loan delinquent for two consecutive monthly payments could be reported to PMI

between

the

31st

and

the

60th

day

after

missed

payment.

Flow

–

generally refers to mortgage insurance offered on a loan-by-loan basis to lenders.

GSE Pool –

refers to a traditional pool product for mortgage loans sold by PMI’s customers to the GSEs. This product was

available from 1997 to 2001.

Interest

Only

Loans

–

refers

loans

that

not

reduce

principal

during

the

initial

deferral

period

(usually

between

two

and

ten years) and therefore do not accumulate equity through loan amortization during the initial deferral period.

Approximately 91% of our interest only loans have an initial deferral period of 5 years or greater. The average initial

deferral period for loans insured in 2007 was 9 years.

Insurance in Force (IIF)

–

refers to the current principal balance of all outstanding mortgage loans with insurance coverage

as of a given date.

Less-than-A Quality Loans

–

we define less-than-A credit quality loans to include loans with credit scores of 619 or below.

The majority of our less-than-A-quality loans have credit scores above 575.

The PMI Group, Inc.

Definition of Terms

Modified Pool Insurance

–

modified pool insurance may be used in addition to primary mortgage insurance or may be

placed

loans

that

not

require

primary

insurance.

Coverage

modified

pool

products

varies.

Some

products

provide first loss protection by covering a percentage of the losses on individual loans held within the pool of insured

loans up to a stated aggregate loss limit (“stop loss limit”) for the entire pool. Some modified pool products offer

mezzanine-level coverage by providing for claims payments only after a predetermined cumulative claims level, or

deductible, is reached.

New Insurance Written (NIW)

–

refers to the original principal balance of all loans that receive new primary mortgage

insurance coverage during a given period.

New Risk Written (NRW)

–

refers to the aggregate dollar amount of each insured mortgage loan’s current principal balance

multiplied

the

insurance

coverage

percentage

specified

the

policy

for

all

loans

that

receive

new

primary

mortgage

insurance coverage during a given period.

Old Pool –

refers to a traditional pool product for mortgage loans sold by PMI’s customers to capital market participants.

Payment Option ARMs

–

generally refers to loans that provide the borrower an option every month to make a payment

consisting of principal and interest, interest only, or an amount established by the lender that may be less than the

interest owed.

Primary

Insurance

–

refers

mortgage

insurance

placed

loan-by-loan

basis

through

our

“flow”

channel

and

mortgage

insurance issued for mortgage-backed securities and portfolio investors through our “structured transactions”

channel.

Primary information does not include pool or modified pool information.

Primary Risk in Force

–

refers to the aggregate dollar amount of each insured mortgage loan’s current principal balance

multiplied by the insurance coverage percentage specified in the

policy for insurance policies issued through our “flow”

and “structured transactions”

channels only.

Risk in Force (RIF) –

refers to the aggregate dollar amount of each insured mortgage loan’s current principal balance

multiplied by the insurance coverage percentage specified in the

policy.

Structured

–

generally refers to mortgage insurance offered by PMI that covers large portfolios of mortgage loans and is

provided to issuers of mortgage backed securities (“MBS”) and portfolio investors.

Traditional Pool

–

covers the entire loss on a defaulted mortgage loan that exceeds the claim payment under any primary

insurance

coverage,

stated

aggregate

loss

limit,

stop

loss,

for

all

the

loans

pool.

PMI

not

currently

offering traditional pool insurance to its customers.

The PMI Group, Inc.

Contents of Presentation

PMI Australia Portfolio Characteristics

Part 6

Primary Portfolio Characteristics by Vintage

Part 3

Focus on Particular Portfolio Segments

Part 2

Primary Portfolio Characteristics

Part 1

Captive Reinsurance Arrangements

Part 5

Modified Pool Portfolio

Part 4

PMI Guaranty Portfolio Characteristics

Part 7

Primary Portfolio

Characteristics

The PMI Group, Inc.

1.4%

1.0%

0.5%

1.8%

3.9%

10.7%

10.5%

15.4%

19.6%

35.2%

10%

20%

30%

40%

50%

Prior to 1999

1999

2000

2001

2002

2003

2004

2005

2006

2007

$123.6 Billion Primary IIF

$31.0 Billion Primary RIF

U.S. Portfolio Age Distribution

Average

Rate (1)

(1)

Average PMI fixed annual mortgage interest rate

1.4%

1.0%

0.5%

1.7%

3.8%

10.3%

10.8%

15.6%

20.0%

35.0%

10%

20%

30%

40%

50%

Prior to 1999

1999

2000

2001

2002

2003

2004

2005

2006

2007

7.10%

6.31%

6.15%

6.00%

6.86%

7.52%

8.48%

7.34%

8.05%

Note: Due to rounding, the sum of percentages may not total 100%

7.17%

The PMI Group, Inc.

Primary Risk in Force by FICO Score

8.6%

7.8%

6.8%

5.9%

32.7%

33.8%

34.6%

34.7%

23.3%

23.4%

24.1%

30.5%

30.3%

30.7%

31.5%

32.7%

3.3%

3.0%

2.5%

2.2%

2.1%

5.9%

33.1%

24.6%

25.1%

25%

50%

75%

100%

2003

2004

2005

2006

2007

Less than 575

720 and above

680 -

719

620 -

679

575 -

619

U.S. Portfolio Credit Score Distribution

Excludes unreported FICO scores

The PMI Group, Inc.

LTVs

between 85.01% and 90%

Primary Risk in Force by Loan to Value

9.4%

9.2%

9.3%

7.1%

37.6%

36.4%

33.7%

31.0%

7.4%

6.6%

5.3%

4.6%

8.6%

11.9%

14.3%

8.9%

37.9%

35.0%

37.4%

35.9%

37.0%

29.5%

3.8%

24.6%

17.6%

25%

50%

75%

100%

2003

2004

2005

2006

2007

LTVs

above 97%

LTVs

between 95.01% and 97%

LTVs

between 90.01% and 95%

LTVs

of 85% and below

U.S. Portfolio Loan to Value Distribution

Note: Due to rounding, the sum of percentages may not total 100%

The PMI Group, Inc.

U.S. Portfolio Geographic Distribution

Top ten states as determined by primary RIF on December 31, 2007

10.8%

7.2%

8.1%

5.0%

3.8%

3.3%

3.6%

3.0%

4.7%

3.1%

Florida

10.8%

10.56%

3.44%

3.91%

California

8.1%

10.92%

3.56%

2.34%

Texas

7.2%

6.03%

5.63%

6.47%

Illinois

5.0%

8.19%

5.58%

5.41%

Georgia

4.7%

9.50%

7.86%

8.16%

% of RIF¹

2007

2006

2005

Ohio

3.8%

10.83%

8.79%

7.68%

New York

3.6%

6.78%

5.40%

4.93%

Pennsylvania

3.3%

7.47%

6.00%

5.93%

Washington

3.1%

3.58%

2.76%

2.99%

New Jersey

3.0%

7.53%

4.62%

4.74%

% of RIF¹

2007

2006

2005

Top Ten States –

Percent of Primary Risk in Force and Default Rates

Primary Default Rates

The PMI Group, Inc.

U.S. Portfolio Primary NIW Characteristics

18%

17%

18%

15%

39%

38%

43%

42%

28%

30%

24%

21%

11%

12%

10%

31%

24%

13%

19%

32%

25%

50%

75%

100%

2003

2004

2005

2006

2007

Flow and Structured Primary

NIW

New Insurance Written by LTV

New Risk Written by LTV

Note: Due to rounding, the sum of percentages may not total 100%

Flow Primary NIW

Structured Primary NIW

90.01 –

95%

85.01 –

90%

85 and below

Above 97%

95.01%-

97%

The increased percentage of above 97% LTV loans in

2007 is due to the reduced availability of alternative

mortgage products including piggyback loans and

increased activity by the GSEs.

Effective March 1, 2008, PMI will no longer insure loans

with LTV ratios above 97%.

11%

12%

10%

37%

35%

42%

41%

34%

27%

24%

13%

15%

30%

27%

18%

24%

35%

25%

50%

75%

100%

2003

2004

2005

2006

2007

90.01 –

95%

85.01 –

90%

85 and below

Above 97%

95.01%-

97%

50.2

36.3

28.2

23.3

37.6

7.1

4.9

7.7

8.9

8.6

$57.3

$41.2

$35.9

$46.1

$32.2

$10

$20

$30

$40

$50

$60

2003

2004

2005

2006

2007

The PMI Group, Inc.

U.S. Portfolio Primary NIW Characteristics

Refinances and Purchases as a %

of Primary NIW

Less-Than-A Quality Loans -

NIW

Alt-A Loans –

NIW

Note: Due to rounding, the sum of percentages may not total 100%

Refinances

Purchases

Less-Than-A Quality Loans

Structured Channel

Less-Than-A Quality Loans

–

Flow Channel

Less-Than-A Quality Loans as a

percentage of Total Primary NIW

Alt-A Loans –

Flow Channel

Alt-A Loans as a %

of Total Primary NIW

Alt-A Loan –

Structured Channel

The increase in less-than-A quality loans as a percentage

of total primary NIW is due to the GSEs’

expansion of

high-LTV, lower FICO programs.

Effective October 1, 2007, PMI discontinued insuring

loans with LTVs

above 95% and FICO scores below 620.

63%

64%

68%

55%

37%

36%

32%

45%

25%

50%

75%

100%

2003

2004

2005

2006

2007

1,153

3,067

838

2,703

1,588

3,618

1,605

1,780

1,084

2,501

$6,119

$4,483

$2,672

$4,672

$1,991

11%

10%

$2,000

$4,000

$6,000

$8,000

2003

2004

2005

2006

2007

10%

15%

20%

11,242

1,397

6,691

7,304

7,425

4,984

4,410

1,204

3,002

860

$5,844

$8,508

$10,427

$12,639

$11,101

10%

21%

29%

34%

27%

$4,000

$8,000

$12,000

2003

2004

2005

2006

2007

10%

15%

20%

25%

30%

35%

40%

The PMI Group, Inc.

Interest Only Loans -

NIW

Payment Option ARMs -

NIW

U.S. Portfolio Primary NIW Characteristics

Payment Option

ARMS –

Flow

Channel

Total Payment Option ARMs as

a percentage of Total Primary

NIW

Interest Only

–

Structured

Channel

Interest Only

–

Flow

Channel

Total Interest Only

Loans as a percentage

of Total Primary NIW

ARMs -

NIW

ARM amounts Primary

NIW –

Flow Channel

ARM amounts Primary

NIW –

Structured Channel

ARMs as a percentage

of Total Primary NIW

Approximately 3% of Total Primary RIF is subject to rate

adjustment in 2008. Approximately 1% is subject to

adjustment in 2009.

Approximately 98% of interest only loans written in 2007

have an initial deferral period of 5 years or greater and

85% have an initial deferral period of 7 years or greater.

For 2006 NIW, initial deferral periods of 5 and 7 years or

greater were 89% and 62%, respectively.

3,802

2,238

1,907

6,992

6,024

3,938

4,081

3,262

5,889

1,481

$5,419

$10,254

$11,913

$4,145

$7,883

25%

33%

24%

$4,000

$8,000

$12,000

2003

2004

2005

2006

2007

10%

15%

20%

25%

30%

35%

40%

8,296

1,025

1,533

3,507

3,235

410

2,329

2,386

$9,321

$5,836

$5,621

$1,943

20%

18%

16%

$2,000

$4,000

$6,000

$8,000

$10,000

2004

2005

2006

2007

10%

15%

20%

25%

2,799

2,617

1,252

952

$1,000

$2,000

$3,000

2004

2005

2006

2007

10%

Focus on Particular

Portfolio Segments

The PMI Group, Inc.

High LTV

Alt-A

Distressed Markets

Summary of Underwriting Guideline Changes

PMI no longer insures

loans with

the following characteristics:

•

LTVs

and combined LTVs

97.01% and above

•

LTVs

greater than 95 percent

and FICO scores below 620

PMI will insure

interest-only

loans with LTVs

of 95.01% to

97% that are:

•

Originated in compliance

with Fannie Mae or Freddie

Mac product or programs,

and

•

Have a minimum interest-

only term of five years, and

•

The borrower is qualified at

the fully amortizing payment

rate.

Maximum LTV of 90% (further

reduced by 5% in distressed

markets)

Minimum FICO score of 680

No investment properties

allowed

No payment option ARMs

allowed

At least 50% of qualifying

income must come from non-

salaried sources

In distressed markets, PMI

no longer insures

loans with the

following characteristics:

•

LTV or combined LTV greater

than 90 percent

•

Payment option ARMS or A-

minus (FICO scores of 575-

619) loans

For products or programs with a

minimum LTV of 90%, a further 5

percentage point reduction is

required

For example, PMI no longer

insures limited documentation

loans with an LTV greater than

85% in distressed markets

The PMI Group, Inc.

1.53%

0.58%

0.46%

0.76%

0.11%

0.50%

0.20%

0.40%

2008

2009

2010

U.S. Portfolio Interest Rate Adjustments

1.50%

0.41%

0.27%

0.71%

0.67%

0.44%

0.99%

2008

2009

2010

Rate Adjustments

by Credit Quality

Rate Adjustments of

Hybrid Loans and Other ARMs

Rate Adjustments in

Distressed Geographic

Regions

1.33%

0.49%

0.37%

1.72%

0.43%

0.15%

0.17%

0.19%

2008

2009

2010

Other ARMs

3/27s

2/28s

Prime

Alt-A

Less than A Quality

Note: 2/28s resets in 2009 and 2010 are 0.01% and 0.00%, respectively

California

All Other

Florida

Auto States

Note: Auto states include Michigan, Ohio, Illinois and Indiana

0.08%

0.09%

0.08%

Note: Percentages are of total Primary RIF at December 31, 2007

2008

2009

2010

Total interest rate adjustments as a percentage of primary risk in force:

3.2%

1.1%

0.7%

The PMI Group, Inc.

California

at December 31, 2007

1 Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

% of

CA RIF

% of

Total RIF

% of

CA RIF

% of

Total RIF

FICO Scores²

720 and above

32.3%

2.6%

680-719

31.1%

2.5%

620-679

33.0%

2.7%

575-619

2.7%

0.2%

Less than 575

0.7%

0.1%

Loan to Value

Above 97.00%

17.2%

1.4%

95.01% to 97.00%

1.8%

0.1%

90.01% to 95.00%

23.8%

1.9%

85.01% to 90.00%

44.0%

3.6%

85.00% and below

13.1%

1.1%

$2.5 Billion of Total Risk in Force

8.1% of PMI’s Primary Risk in Force

$301,386 Average Loan Size

Loan Type

Fixed Rate

66.9%

5.4%

ARM

33.1%

2.7%

Property Type¹

Single Family

82.2%

6.7%

Condominium

13.2%

1.1%

Multi-Family and other

4.6%

0.4%

Occupancy

Primary Residence

90.9%

7.4%

Second Home

2.6%

0.2%

Non-owner occupied

6.5%

0.5%

Alt-A

44.1%

3.6%

MSA Distribution of Total Primary RIF

Santa

Ana

–

Anaheim

–

Irvine

–

0.4%

San

Diego

–

Carlsbad

–

San

Marcos

–

0.6%

Sacramento

–

Arden-Arcade

–

Roseville

–

0.7%

Riverside

–

San

Bernardino

–

Ontario

–

1.8%

Los

Angeles

–

Long

Beach

–

Glendale

–

1.6%

The PMI Group, Inc.

Loan Type

Fixed Rate

82.5%

8.9%

ARM

17.5%

1.9%

Property Type¹

Single Family

71.8%

7.7%

Condominium

25.9%

2.8%

Multi-Family and other

2.2%

0.2%

Occupancy

Primary Residence

77.8%

8.4%

Second Home

12.2%

1.3%

Non-owner occupied

10.0%

1.1%

Alt-A

39.2%

4.2%

Florida

at December 31, 2007

1 Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

FICO Scores²

720 and above

34.3%

3.7%

680-719

28.1%

3.0%

620-679

31.7%

3.4%

575-619

4.2%

.5%

Less than 575

1.3%

.1%

Loan to Value

Above 97.00%

21.8%

2.3%

95.01% to 97.00%

2.5%

0.3%

90.01% to 95.00%

30.9%

3.3%

85.01% to 90.00%

38.5%

4.2%

85.00% and below

6.3%

0.7%

% of

FL RIF

% of

Total RIF

% of

FL RIF

% of

Total RIF

$3.3 Billion of Total Risk in Force

10.8% of PMI’s Primary Risk in Force

$177,999 Average Loan Size

MSA Distribution of Total Primary RIF

Jacksonville

–

0.7%

Fort

Lauderdale

–

Pompano

Beach

–

Deerfield

Beach

–

1.2%

Tampa

–

St.

Petersburg

–

Clearwater

–

1.5%

Orlando

–

Kissimmee

–

1.7%

Miami

–

Miami

Beach

–

Kendall

–

1.7%

The PMI Group, Inc.

Loan Type

Fixed Rate

87.2% 11.9%

ARM

12.8%

1.7%

Property Type¹

Single Family

83.6% 11.4%

Condominium

11.8%

1.6%

Multi-Family and other

4.5%

0.6%

Occupancy

Primary Residence

91.8% 12.5%

Second Home

1.3%

0.2%

Non-owner occupied

6.9%

0.9%

Alt-A

15.5%

2.1%

Auto States

(Michigan, Ohio, Illinois, Indiana)

December 31, 2007

1 Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

% of Auto

States RIF

% of

Total RIF

% of Auto

States RIF

% of

Total RIF

FICO Scores²

720 and above

30.6%

4.2%

680-719

23.3%

3.2%

620-679

34.9% 4.7%

575-619

7.2%

1.0%

Less than 575

3.4%

0.5%

Loan to Value

Above 97.00%

22.7%

3.1%

95.01% to 97.00%

5.1%

0.7%

90.01% to 95.00%

30.5%

4.2%

85.01% to 90.00%

33.8%

4.6%

85.00% and below

7.8%

1.1%

$4.2 Billion of Total Risk in Force

13.6% of PMI’s Primary Risk in Force

$132,202 Average Loan Size

MSA Distribution of Total Primary RIF

Indianapolis

–

Carmel,

–

0.7%

Columbus,

–

0.8%

Warren

–

Troy

–

Farmington

Hills,

–

0.9%

Cleveland

–

Elyria

–

Mentor,

–

1.0%

Chicago

–

Naperville

–

Joliet,

–

3.8%

The PMI Group, Inc.

Notes

2/28 Hybrid ARMS

at December 31, 2007

1Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

FICO Scores²

720 and above

12.6%

0.4%

680-719

22.4%

0.7%

620-679

51.3% 1.7%

575-619

8.8%

0.3%

Less than 575

4.9%

0.2%

Loan to Value

Above 97.00%

10.1%

0.3%

95.01% to 97.00%

0.1%

0.0%

90.01% to 95.00%

21.8%

0.7%

85.01% to 90.00%

37.7%

1.3%

85.00% and below

30.3%

1.0%

% of

2/28 RIF

% of

Total RIF

% of

Total RIF

% of

2/28 RIF

$1 Billion of Total Risk in Force

3.3% of PMI’s Primary Risk in Force

$184,442 Average Loan Size

2/28 Hybrid ARMs that are subject to

reset in 2008 represent approximately

1% of Total Primary RIF.

2/28 hybrid ARMs monthly reported

notices of default peaked in late 2007.

Property Type¹

Single Family

80.6% 2.7%

Condominium

6.8%

0.2%

Multi-Family and other

12.6%

0.4%

Occupancy

Primary Residence

74.6% 2.5%

Second Home

2.3%

0.1%

Non-owner occupied

23.1%

0.8%

Alt-A

45.5%

1.5%

State Distribution of Bulk 2/28s RIF

0.00% to 1.00%

1.00% to 2.00%

2.00% to 5.00%

5.00% to 10.00%

>10.00%

The PMI Group, Inc.

California

29.9%

1.0%

Florida

8.7%

0.3%

Michigan

5.7%

0.2%

Illinois

4.9%

0.1%

New York

4.2%

0.1%

Ohio

3.5%

0.1%

Texas

3.4%

0.1%

Arizona

3.4%

0.1%

Minnesota

2.6%

0.1%

Pennsylvania

2.4%

0.1%

2/28 Hybrid ARMS at December 31, 2007

Top ten states as determined by Primary RIF on December 31, 2007

% Total

2/28 RIF

% Total

RIF

Top States¹

MSA Distribution of CA Bulk 2/28 RIF

Oakland

–

Fremont

–

Hayward

–

7.0%

San

Diego

–

Carlsbad

–

San

Marcos

–

7.4%

Sacramento

–

Arden-Arcade

–

Roseville

–

8.0%

Riverside

–

San

Bernardino

–

Ontario

–

19.7%

Los

Angeles

–

Long

Beach

–

Glendale

–

20.6%

The PMI Group, Inc.

Greater Than 97% LTV at December 31, 2007

1 Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

FICO Scores²

720 and above

27.9%

6.8%

680-719

22.7%

5.6%

620-679

36.3% 8.9%

575-619

8.9%

2.2%

Less than 575

2.9%

0.7%

% of

>97 RIF

% of

Total RIF

% of

>97 RIF

% of

Total RIF

Loan Type

Fixed Rate

94.1% 23.1%

ARM

5.9%

1.4%

Property Type¹

Single Family

85.6% 21.0%

Condominium

12.3%

3.0%

Multi-Family and other

2.1%

0.5%

Occupancy

Primary Residence

94.2% 23.1%

Second Home

1.4%

0.3%

Non-owner occupied

4.4%

1.1%

Alt-A

16.1%

4.0%

$7.6 Billion of Total Risk in Force

24.6% of PMI’s Primary Risk in Force

$152,016 Average Loan Size

Effective March 1, 2008, PMI will no longer insure

loans with LTV ratios above 97%

Guideline Changes

State Distribution of > 97% LTV RIF

0.00% to 1.00%

1.00% to 2.00%

2.00% to 5.00%

5.00% to 10.00%

>10.00%

The PMI Group, Inc.

Top States¹

Florida

9.6%

2.3%

Texas

9.3%

2.2%

California

5.7%

1.4%

Georgia

5.4%

1.3%

Illinois

5.0%

1.2%

Virginia

3.7%

0.9%

Arizona

3.6%

0.9%

Washington

3.5%

0.8%

Maryland

3.4%

0.8%

North Carolina

3.0%

0.7%

Greater Than 97% LTV at December 31, 2007

Top ten states as determined by Primary RIF on December 31, 2007

% Total

> 97% RIF

% Total

RIF

MSA Distribution of FL > 97% LTV RIF

Jacksonville

–

8.8%

Fort

Lauderdale

–

Pompano

Beach

–

Deerfield

Beach

–

10.7%

Tampa

–

St.

Petersburg

–

Clearwater

–

14.0%

Orlando

–

Kissimmee

–

17.2%

Miami

–

Miami

Beach

–

Kendall

–

17.6%

MSA Distribution of TX > 97% LTV RIF

Austin

–

Round

Rock

–

6.6%

San

Antonio

–

6.8%

Fort

Worth

–

Arlington

–

10.8%

Dallas

–

Plano

–

Irving

–

20.7%

Houston

–

Sugar

Land

–

Baytown

–

30.7%

MSA Distribution of CA > 97% LTV RIF

Bakersfield

–

5.6%

San

Diego

–

Carlsbad

–

San

Marcos

–

7.8%

Sacramento

–

Arden-Arcade

–

Roseville

–

10.3%

Los

Angeles

–

Long

Beach

–

Glendale

–

16.2%

Riverside

–

San

Bernardino

–

Ontario

–

25.1%

The PMI Group, Inc.

FICO Scores²

720 and above

36.8%

8.4%

680-719

35.1%

8.0%

620-679

28.1%

6.4%

575-619

0.0%

Less than 575

0.0%

Loan to Value

Above 97.00%

17.3%

4.0%

95.01% to 97.00%

0.2%

0.0%

90.01% to 95.00%

27.0%

6.1%

85.01% to 90.00%

46.2% 10.5%

85.00% and below

9.3%

2.1%

Alt-A

at December 31, 2007

1 Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

% of

Alt-A RIF

% of

Total RIF

% of

Total RIF

Loan Type

Fixed Rate

74.8% 17.0%

ARM

25.2%

5.7%

Property Type¹

Single Family

78.2% 17.8%

Condominium

14.7%

3.3%

Multi-Family and other

7.1%

1.6%

Occupancy

Primary Residence

79.1% 18.0%

Second Home

6.9%

1.6%

Non-owner occupied

14.1%

3.2%

$7.1 Billion of Total Risk in Force

22.8% of PMI’s Primary Risk in Force

$214,694 Average Loan Size

Maximum LTV is 90%

Minimum FICO score of 680

At least 50% of qualifying income must

come from non-salaried sources

Guideline Changes

% of

Alt-A RIF

State Distribution of Alt-A RIF

0.00% to 1.00%

1.00% to 2.00%

2.00% to 5.00%

5.00% to 10.00%

>10.00%

The PMI Group, Inc.

Top States¹

Florida

18.5%

4.2%

California

15.7%

3.6%

Illinois

5.0%

1.1%

New York

4.6%

1.1%

Texas

4.5%

1.0%

New Jersey

4.3%

1.0%

Arizona

3.8%

0.9%

Virginia

3.3%

0.8%

Maryland

3.2% 0.7%

Nevada

3.1% 0.7%

Alt-A at December 31, 2007

Top ten states as determined by Primary RIF on December 31, 2007

% Total

Alt-A RIF

% Total

RIF

MSA Distribution of FL Alt-A RIF

West

Palm

Beach

–

Boca

Raton

–

Boynton

Beach

–

7.5%

Fort

Lauderdale

–

Pompano

Beach

–

Deerfield

Beach

–

11.6%

Tampa

–

St.

Petersburg

–

Clearwater

–

12.4%

Orlando

–

Kissimmee

–

18.9%

Miami

–

Miami

Beach

–

Kendall

–

15.3%

MSA Distribution of CA Alt-A RIF

Santa

Ana

–

Anaheim

–

Irvine

–

5.8%

San

Diego

–

Carlsbad

–

San

Marcos

–

8.0%

Sacramento

–

Arden-Arcade

–

Roseville

–

8.7%

Los

Angeles

–

Long

Beach

–

Glendale

–

21.2%

Riverside

–

San

Bernardino

–

Ontario

–

23.0%

Primary Portfolio Characteristics

by Vintage

The PMI Group, Inc.

$31.0 Billion Primary Risk in Force

and $3.5 Billion Pool Risk in Force*

Primary Flow

75%

Domestic

Mortgage

Insurance

Primary

Structured

15%

Domestic MI

57%

Modified

Pool

General Portfolio Categories

Primary Flow Insurance

$25.9 billion of risk in force

Primary mortgage insurance offered to lenders

on a loan-by-loan basis

Primary Structured Insurance

$5.1 billion of risk in force

Credit enhancement solutions offered across the

credit spectrum to agency and non-agency MBS

issuers as well as portfolio investors

Modified Pool Risk in Force

$2.9 billion of risk in force

Insurance offered to agency and non-agency MBS

issuers and investors

Other Pool

$0.6 billion of risk in force

Prior to 2002, PMI offered certain pool insurance

products, referred to principally as GSE or Old Pool,

to lenders, the GSEs and non-agency market

Other Pool

* At December 31, 2007

The PMI Group, Inc.

U.S. Portfolio

–

Policy Year Loan Performance

*Gross premiums written include ceded and refunded premiums.

Percentage of Cumulative Primary Insurance Losses Paid (Gross)

To Cumulative Primary Insurance Premiums Written (Gross)*

100

150

200

250

300

Years Since Policy Issue

1982

1990

2001

2002

2003

2004

2005

2006

2007

1982 “Oil Patch”

experience

1990 “California”

experience

The PMI Group, Inc.

Risk Characteristics

Risk Characteristics: Total Primary Portfolio

Risk in Force (dollars in millions)

Default Rate (as measured by policies)

Credit Score

Total

Loan Type

Total Primary Portfolio:

PMI’s total primary book is primarily driven by the flow channel

Loans are primarily fixed rate and owner occupied with FICO scores greater than 620

Certain geographies and select products have exhibited heightened levels of defaults

Total Primary Risk in Force as of December 31, 2007

$26,996

$7,785

$10,242

$10,115

$30,967

$1,831

$7,603

$7,058

$2,506

$3,337

$2,936

$4,388

$675

$1,036

$4,210

15.5%

10.2%

6.1%

2.9%

7.9%

17.3%

38.6%

11.0%

9.1%

13.9%

10.9%

10.6%

6.5%

10.6%

27.0%

Total

720 and

above

680 -

719

620 -

679

575 -

619

Less

than 575

Fixed

Rate

ARMs

2/28s

Interest

Only

LTV>97

Alt-A

Calif.

Florida

Auto

States

The PMI Group, Inc.

Primary Portfolio Characteristics

Primary RIF as of December 31, 2007

Excludes unreported FICO scores

At origination

Note:

Interest rate adjustments as a percentage of Total Risk in Force are approximately 3% and 1% in 2008 and 2009, respectively.

Categories are not mutually exclusive except for Credit Score and Loan Type

All $ in Millions, except for Average Loan Size

Total

Credit Score¹

Loan Type

Less than 575

575 -

619

620 -

679

680 -

719

720 and above

Fixed Rate

ARM

2/28s

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg Loan Size

Avg LTV2

Avg FICO

Specific Portfolio Characteristics

Total Portfolio

$30,967.1

$674.7

$1,830.5

$10,242.4

$7,785.1

$10,115.1

$26,996.2

$2,935.5

$1,035.5

Default Rate

7.9%

27.0%

17.3%

10.2%

6.1%

2.9%

6.5%

15.5%

38.6%

2007 Vintage

$10,824.8

$277.6

$682.4

$3,247.7

$2,837.0

$3,750.6

$10,054.4

$698.4

$72.0

Default Rate

5.1%

17.1%

9.7%

5.7%

4.1%

2.4%

4.8%

8.5%

16.8%

2006 Vintage

$6,191.1

$82.5

$269.2

$2,190.8

$1,615.2

$2,001.3

$4,805.2

$867.4

$518.5

Default Rate

10.8%

35.5%

22.0%

14.4%

9.4%

4.4%

8.1%

17.7%

37.7%

2005 Vintage

$4,829.0

$65.1

$218.3

$1,757.0

$1,239.1

$1,513.8

$3,660.1

$790.8

$378.1

Default Rate

9.6%

36.3%

23.2%

13.1%

7.6%

3.5%

6.5%

16.9%

40.7%

2004 Vintage and Prior

$9,122.3

$249.5

$660.6

$3,047.0

$2,093.8

$2,849.3

$8,476.5

$578.9

$66.9

Default Rate

8.0%

31.7%

20.3%

10.2%

5.3%

2.4%

7.2%

18.7%

46.9%

Total Portfolio

$4,388.0

$7,603.0

$7,058.1

$2,505.5

$3,336.9

$4,209.9

$155,029

93%

689

Default Rate

11.0%

9.1%

13.9%

10.9%

10.6%

2007 Vintage

$2,428.2

$3,820.2

$3,189.2

$1,157.9

$1,167.1

$1,193.0

$194,313

94%

687

Default Rate

7.9%

7.1%

9.7%

6.2%

8.8%

5.6%

2006 Vintage

$1,177.0

$1,610.9

$2,108.6

$584.1

$873.6

$807.4

$176,811

93%

692

Default Rate

14.2%

10.4%

18.3%

22.4%

16.8%

13.9%

2005 Vintage

$671.1

$911.8

$1,093.7

$441.2

$628.9

$707.1

$160,175

92%

693

Default Rate

15.1%

11.6%

17.7%

19.2%

12.6%

12.5%

2004 Vintage and Prior

$111.7

$1,260.1

$666.5

$322.2

$667.2

$1,502.3

$115,947

92%

688

Default Rate

10.7%

11.0%

4.5%

6.7%

11.4%

The PMI Group, Inc.

Flow Risk in Force as of December 31, 2007

Risk Characteristics: Flow

Risk in Force (dollars in millions)

Default Rate (as measured by policies)

Credit Score

Total

Loan Type

Risk Characteristics

Primary Flow Portfolio:

PMI’s primary flow book represents 83% of primary insurance and is primarily owner occupied, fixed

rate loans with FICO scores greater than 620

Approximately 77% of flow risk in force has a GSE as the coverage beneficiary

Approximately 62% of flow risk in force is in captive reinsurance agreements

$412

$3,354

$6,213

$3,502

$23,618

$2,853

$1,843

$5,468

$1,382

$25,852

$8,732

$8,416

$6,690

$2,233

27.3%

15.1%

8.5%

6.2%

10.1%

8.0%

11.6%

8.8%

9.5%

15.6%

6.7%

2.8%

5.4%

8.6%

Total

720 and

above

680 -

719

620 -

679

575 -

619

Less

than 575

Fixed

Rate

ARMs

2/28s

Interest

Only

LTV>97

Alt-A

Calif.

Florida

Auto

States

The PMI Group, Inc.

Flow Portfolio Characteristics

Flow RIF as of December 31, 2007

All $ in Millions, except for Average Loan Size

Excludes unreported FICO scores

At origination

Note: Categories are not mutually exclusive except for Credit Score and Loan Type

Total

Credit Score¹

Loan Type

Less than 575

575 -

619

620 -

679

680 -

719

720 and above

Fixed Rate

ARM

2/28s

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg Loan Size

Avg LTV2

Avg FICO

Specific Portfolio Characteristics

Total Portfolio

$25,851.6

$412.0

$1,381.6

$8,416.3

$6,689.5

$8,732.0

$23,618.3

$2,233.3

$0.0

Default Rate

6.7%

27.3%

15.6%

8.6%

5.4%

2.8%

6.2%

15.1%

2007 Vintage

$9,129.9

$204.1

$556.3

$2,808.9

$2,454.1

$3,077.1

$8,688.8

$441.1

$0.0

Default Rate

5.2%

21.0%

10.3%

5.6%

4.2%

2.5%

5.0%

9.2%

2006 Vintage

$4,490.5

$34.8

$176.0

$1,461.4

$1,218.1

$1,567.9

$3,804.0

$686.4

$0.0

Default Rate

7.9%

36.8%

18.5%

9.7%

7.4%

3.8%

6.9%

16.9%

2005 Vintage

$4,004.5

$28.5

$150.5

$1,367.2

$1,049.2

$1,373.5

$3,391.3

$613.2

$0.0

Default Rate

7.2%

34.0%

18.2%

9.8%

6.1%

3.1%

6.0%

16.7%

2004 Vintage and Prior

$8,226.7

$144.6

$498.8

$2,778.8

$1,968.1

$2,713.5

$7,734.2

$492.5

$0.0

Default Rate

7.2%

30.4%

18.3%

9.6%

5.2%

2.4%

6.8%

14.9%

Total Portfolio

$3,353.9

$6,212.5

$5,468.2

$1,843.2

$2,853.4

$3,501.5

$153,720

93%

693

Default Rate

9.6%

8.8%

11.6%

8.0%

10.1%

8.5%

2007 Vintage

$2,152.8

$3,271.7

$2,835.5

$1,024.0

$993.8

$1,007.2

$197,124

94%

689

Default Rate

8.1%

7.6%

9.7%

6.2%

9.5%

5.4%

2006 Vintage

$700.5

$1,196.4

$1,296.6

$301.7

$686.0

$555.9

$176,383

93%

697

Default Rate

12.5%

10.2%

15.0%

16.2%

15.4%

7.8%

2005 Vintage

$403.2

$790.7

$775.6

$240.6

$574.6

$563.0

$157,512

92%

697

Default Rate

10.9%

10.0%

13.8%

14.1%

11.7%

8.9%

2004 Vintage and Prior

$97.4

$953.6

$560.6

$276.9

$599.0

$1,375.3

$116,373

92%

692

Default Rate

9.5%

9.6%

9.7%

3.8%

6.3%

10.2%

The PMI Group, Inc.

Risk Characteristics: Structured Transactions

Risk in Force (dollars in millions)

Default Rate (as measured by policies)

Credit Score

Total

Loan Type

Risk Characteristics

Primary Structured Portfolio:

PMI’s primary structured book represents approximately 17% of total primary insurance

Highest defaults are reported in the 2/28 hybrid ARMs product, in which:

Approximately 71% of 2/28 hybrid ARM risk in force has passed the interest rate reset date

Monthly reporting of notices of default began to decline in late 2007

Structured Transactions Risk in Force as of December 31, 2007

$263

$1,034

$1,391

$1,036

$484

$3,378

$484

$662

$1,590

$449

$5,116

$1,383

$1,826

$1,096

$702

38.6%

26.6%

16.4%

20.7%

8.7%

13.4%

21.0%

20.8%

10.2%

15.9%

21.6%

13.9%

4.2%

10.4%

18.1%

Total

720 and

above

680 -

719

620 -

679

575 -

619

Less

than 575

Fixed

Rate

ARMs

2/28s

Interest

Only

LTV>97

Alt-A

Calif.

Florida

Auto

States

The PMI Group, Inc.

Structured Portfolio Characteristics

Structured RIF as of December 31, 2007

All $ in Millions, except for Average Loan Size

Excludes unreported FICO scores

At origination

Note:

Approximately 3% of Total Primary RIF is subject to a rate adjustment in 2008. 2/28 Hybrid ARMs that are subject to a rate reset in 2008 represent approximately 1% of Total Primary RIF.

2/28 hybrid ARMs monthly reported notices of default peaked in late 2007.

Categories are not mutually exclusive except for Credit Score and Loan Type

Total

Credit Score¹

Loan Type

Less than 575

575 -

619

620 -

679

680 -

719

720 and above

Fixed Rate

ARM

2/28s

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg Loan Size

Avg LTV2

Specific Portfolio Characteristics

Avg FICO

Total Portfolio

$5,115.6

$262.7

$448.9

$1,826.1

$1,095.5

$1,383.1

$3,377.8

$702.3

$1,035.5

Default Rate

13.9%

26.6%

21.6%

18.1%

10.4%

4.2%

8.7%

16.4%

38.6%

2007 Vintage

$1,694.8

$73.5

$126.1

$438.8

$382.9

$673.6

$1,365.6

$257.2

$72.0

Default Rate

4.9%

10.6%

8.1%

6.0%

3.5%

1.7%

3.6%

8.1%

16.8%

2006 Vintage

$1,700.6

$47.7

$93.2

$729.4

$397.0

$433.3

$1,001.2

$180.9

$518.5

Default Rate

19.5%

34.4%

29.1%

25.6%

16.1%

7.1%

12.7%

19.9%

37.7%

2005 Vintage

$824.5

$36.6

$67.8

$389.7

$189.9

$140.3

$268.8

$177.7

$378.1

Default Rate

24.1%

38.4%

36.7%

28.2%

18.8%

8.3%

12.5%

17.8%

40.7%

2004 Vintage and Prior

$895.6

$104.9

$161.8

$268.2

$125.7

$135.9

$742.3

$86.4

$66.9

Default Rate

14.7%

33.6%

26.3%

15.6%

7.4%

3.0%

10.5%

36.1%

46.9%

California

Total Portfolio

$1,034.1

$1,390.6

$1,589.9

$662.3

$483.5

$708.4

$161,679

92%

669

Default Rate

15.9%

10.2%

20.8%

21.0%

13.4%

20.7%

2007 Vintage

$275.4

$548.5

$353.7

$133.9

$173.4

$185.8

$182,765

94%

677

Default Rate

6.9%

5.0%

10.1%

6.6%

5.7%

6.4%

2006 Vintage

$476.5

$414.5

$812.0

$282.4

$187.6

$251.5

$178,075

91%

678

Default Rate

16.9%

11.4%

22.9%

30.8%

21.8%

27.4%

2005 Vintage

$267.9

$121.1

$318.1

$200.7

$54.3

$144.1

$175,842

89%

667

Default Rate

24.1%

24.9%

29.0%

27.5%

22.3%

26.9%

2004 Vintage and Prior

$14.3

$306.4

$106.0

$45.3

$68.3

$126.9

$112,549

91%

648

Default Rate

18.0%

13.3%

17.0%

9.0%

10.0%

23.0%

The PMI Group, Inc.

Risk Characteristics: Pool

Modified Pool Insurance:

Modified pool insurance may be used in tandem with primary mortgage insurance or may be placed on

loans that do not require mortgage insurance.

The extent of coverage of modified pool products varies.

Some products provide first loss protection by covering a percentage of the losses on individual loans

held within the pool of loans up to a stated aggregate loss limit (“stop loss limit”) for the entire pool.

Some modified pool products offer mezzanine-level coverage by providing for claims payments only after

a predetermined cumulative claims level, or deductible, is reached.

$1,391

$1,517

$1,810

$2,527

$657

$502

$421

$347

$325

$267

$243

$231

$2,852

$278

$226

$485

$112

$122

$116

$109

$1,000

$2,000

$3,000

$4,000

2003

2004

2005

2006

2007

Modified Pool

Old Pool

Traditional Pool

GSE Pool

Other Pool Insurance:

Prior to 2002, PMI offered certain pool insurance products, referred to principally as GSE or Old Pool,

to lenders, the GSEs and non-agency markets.

$2,858

$2,408

$2,589

$3,217

$3,464

Pool Risk in Force as of December 31, 2007

The PMI Group, Inc.

Modified Pool Portfolio Characteristics

All $ in Millions

Modified Pool:

Data shown in this exhibit is an aggregation of unique pools into book years

Risk reduction features of modified pool, which may include deductibles and stop loss limits, mitigate

risk of loss from loans insured

Modified pool has performed very well and PMI’s actual claims paid or losses to date have been

minimal

Modified Pool with Deductibles

Modified Pool without Deductibles

2004 and Prior

2005

2006

2007

Original Insured Balance

$35,500

$13,234

$18,913

$8,782

Insurance in Force

$8,953

$7,839

$15,301

$8,325

Original Stop Loss Amount

(a)

$1,315

$367

$643

$265

Original Deductible Amount

(b)

$266

$78

$136

$77

Original Risk in Force

(a-b)

$1,049

$289

$507

$188

Losses Applicable to Deductible

( c)

$82

PMI's

Claims Paid to Date

(d)

Deductible Balance

(b-c)

$184

$73

$134

$77

Risk in Force

(a-b-d)

$1,049

$289

$507

$188

Average Loan Level Coverage Percent

24.9%

25.2%

24.1%

24.0%

2004 and Prior

2005

2006

2007

Original Insured Balance

$16,375

$2,577

$8,442

Insurance in Force

$2,774

$1,604

$5,798

Original Stop Loss Amount

$483

$54

$317

PMI's

Claims Paid to Date

$31

Stop Loss Balance

(Remaining RIF)

$452

$52

$315

Average Loan Level Coverage Percent

26.1%

24.6%

27.2%

0.0%

The PMI Group, Inc.

Modified Pool Portfolio Characteristics

Modified Pool IIF as of December 31, 2007

Excludes unreported FICO scores

Excludes Balloon, Buy Down, and Other

At origination

Note: Categories are not mutually exclusive except for Credit Score and Loan Type

All $ in Millions, except for Average Loan Size

Specific Portfolio Characteristics

Credit Score1

Loan Type2

Credit Score1

Loan Type2

Total

Fixed Rate

ARM

2/28s

Fixed Rate

ARM

2/28s

Deductible

Non Deductible

Less than 575

575 -

619

620 -

679

680 -

719

720 and above

Less than 575

575 -

619

620 -

679

680 -

719

720 and above

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg Loan Size

Avg LTV3

Avg FICO

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg Loan Size

Avg LTV3

Avg FICO

Total Portfolio

$40,418

$601

$1,350

$12,737

$12,161

$13,556

$37,768

$2,460

2007 Vintage

$8,325

$138

$292

$2,892

$2,846

$2,156

$7,912

$412

2006 Vintage

$15,301

$83

$180

$5,797

$5,138

$4,102

$15,095

$203

2005 Vintage

$7,839

$62

$1,886

$2,485

$3,398

$6,302

$1,535

2004 Vintage and Prior

$8,953

$373

$815

$2,162

$1,692

$3,901

$8,458

$310

Total Portfolio

$13,271

$802

$25,902

$6,656

$4,068

$4,134

$172,215

694

2007 Vintage

$3,668

$617

$5,686

$1,608

$792

$767

$207,481

688

2006 Vintage

$5,744

$63

$11,139

$2,485

$1,750

$1,452

$189,907

693

2005 Vintage

$2,969

$45

$5,445

$1,406

$966

$740

$177,194

709

2004 Vintage and Prior

$890

$78

$3,632

$1,157

$559

$1,174

$128,341

690

Total Portfolio

$10,176

$469

$1,042

$3,787

$2,415

$2,230

$6,056

$4,024

$31

2007 Vintage

2006 Vintage

$5,798

$457

$991

$2,521

$1,173

$655

$2,023

$3,743

$31

2005 Vintage

$1,604

$330

$479

$769

$1,579

$26

2004 Vintage and Prior

$2,774

$12

$45

$936

$764

$805

$2,454

$255

Total Portfolio

$1,323

$2,171

$3,628

$1,512

$853

$1,157

$153,208

672

2007 Vintage

N/A

2006 Vintage

$391

$2,093

$439

$606

$524

$911

$156,958

651

2005 Vintage

$746

$1,140

$337

$121

$69

$198,959

718

2004 Vintage and Prior

$186

$77

$2,049

$568

$209

$177

$129,516

694

Captive Reinsurance

The PMI Group, Inc.

$275

$274

$34

2007

2008

2009

Captive reinsurers are wholly-owned, bankruptcy remote subsidiaries of originators that provide mezzanine level reinsurance

for loans for which PMI has provided primary mortgage insurance coverage.

PMI is the named beneficiary on captive trust balances totaling approximately $703 million as of December 31, 2007.

At December 31, 2007, approximately 62% of flow risk in force was covered by captive reinsurance agreements, including:

Captive trust balances will continue to grow with new insurance written in the flow channel. Future ceded premiums can be

used to meet capital adequacy for existing book years.

Based on current expectations of defaults, PMI forecasts approximately the following reductions to total incurred losses as a

result of captive reinsurance agreements in 2008 and 2009:

Expected Benefit from Captive Reinsurance Agreements

PMI’s Captive Reinsurance Agreements

(Dollars in Millions)

Flow Risk in Force Covered by Captives

~ 55% of LTVs

>97%*

~ 65% of less-than-A quality

~ 48% of Alt-A

~ 65% of prime

Captive coverage for LTVs

greater than 97% may overlap with other listed categories

The PMI Group, Inc.

Example of a Captive Reinsurance Structure

Example of a 4-10-40 XOL Reinsurance Structure

A sample portfolio of insured mortgage loans total $100 million with an average mortgage insurance coverage rate

of 25%. PMI, the primary mortgage insurer, would insure $25 million in gross risk.

PMI will cede 40% of the gross written premium to the reinsurer to reinsure a percentage of the original risk

insured.

PMI would pay losses up to the first loss attachment layer of 4%

of gross risk, or $1,000,000 (i.e. 4% x $25MM).

The reinsurer will pay losses in excess of $1,000,000 up to $3.5

million for a maximum exposure of $2.5 million

(i.e. 10% x $25MM).

All losses in excess of $3.5 million are the responsibility of PMI.

Captive Reinsurance –

Ultimate Loss Ratio Example

10%

11%

12%

13%

14%

15%

16%

17%

18%

19%

20%

Ultimate Claim Rate

Pre-Captive

PMI

Reinsurer

The PMI Group, Inc.

A Reinsurance Agreement and related Trust Agreement must be negotiated and executed by all parties.

Captive trust accounts are regulated by Arizona and New York State insurance regulations, as well as GSE guidelines.

Trust assets must be invested in eligible securities to ensure the security of the trust assets, including:

Conservative investment standards as defined by New York statute.

Assets must be readily marketable and investment-grade securities.

A trust account is established at an independent trustee bank with PMI as the named beneficiary.

PMI, as beneficiary, shall have the sole right to withdraw trust

assets at any time without notice to Grantor (lender).

The lender must fund the trust account with a minimum 10% of first year’s risk ceded irrespective of any premiums ceded into

the trust.

Failure to contribute initial capital or any portion thereof results in reinsurance agreement termination.

Reinsurer loses these deposits and any other trust balances if it fails to make any subsequent required deposits.

100% of ceded premiums are deposited into the trust account

At all times, the minimum trust balance must be the greater of 10% of reinsured risk and 102% of required

reserves.

Failure to maintain minimum capital levels results in reinsurance agreement termination.

Terminations result in all trust assets being transferred to PMI, reassumption of all ceded business and cancellation

of rights and obligations under reinsurance agreement.

Reinsurance agreements are usually written for more than one policy, and the policies are “cross-collateralized’, meaning that

the total risk assumed by the captive across all policy years is

compared to the total capital in the trust account for calculating

capital adequacy.

Contractual and Capital Requirements

The PMI Group, Inc.

Captive reinsurance in the mortgage insurance industry is highly

regulated:

State Departments of Insurance:

Arizona –

Captive reinsurance agreements must meet certain statutory and regulatory requirements for

PMI to receive credit for reinsurance. This includes the requirement for the captive insurer to hold

contingency, loss and unearned premium reserves in investment restricted trust accounts of which a

mortgage insurer is the sole beneficiary.

NY, CA –

Impose their regulations on credit for reinsurance to both domestic and foreign insurers.

Reinsurer’s state of domicile –

Financial statements, actuarial opinions on loss reserves must be filed

annually.

HUD:

HUD

has,

letter,

set

certain

standards

that

are

used

evaluate

whether

captive

reinsurance

programs

may violate the Real Estate Settlement Procedures Act (RESPA).

OCC/OTS/Federal

Reserve:

Oversee

the

activities

captive

reinsurance

subsidiaries

banks

they

regulate.

Captive Review:

Each captive program structure is reviewed by an independent auditor or consultant and the

transfer of risk requirements in accordance with SFAS 113 are verified before PMI enters into the program

structure.

Freddie

Mac

and

Fannie

Mae

(GSEs):

effort

control

counterparty

risk,

GSEs

have

issued

Eligibility/Qualified Requirements. These requirements set strict standards around captive reinsurance

arrangements with lenders, including:

Reinsurance agreements must be eligible for reinsurance accounting and must constitute a risk transfer

as defined by SFAS 113.

The imposition of minimum and dividend capital levels.

Requiring a minimum restricted asset balance not less than $35 million

in aggregate for all in force

agreements

in order for a captive reinsurer to assume a premium cede greater than 25%.

Freddie Mac

announced that effective June 1, 2008 the portion of the premiums that Freddie Mac approved

mortgage insurers may pay to captive reinsurers will be limited to 25 percent.

Captive Reinsurance Regulatory Requirements

PMI Australia

Portfolio Characteristics

The PMI Group, Inc.

Australian Portfolio

Geographic Distribution

Risk in Force by State¹

New South Wales

33.9 %

Queensland

22.2%

Victoria

18.4%

Western Australia

12.4%

South Australia

7.0%

New Zealand

3.0%

Australian Capital Territory (ACT)

1.7%

Tasmania

0.9%

Northern Territory

0.5%

Australian Population by State²

New South Wales

6,854,800

32.9%

Victoria

5,165,400

24.8%

Queensland

4,132,000

19.8%

Western Australia

2,081,000

10.0%

South Australia

1,575,700

7.5%

Australian Capital

Territory (ACT)

336,400

1.6%

Tasmania

491,700

2.4%

Northern Territory

212,600

1.0%

20,852,000

100.0%

Risk in force as of December 31, 2007

Source: Australian Bureau of Statistics, December 2006 (Does not add due to rounding)

Western

Australia

South

Australia

Northern

Territory

Queensland

New South

Wales

Victoria

Tasmania

ACT

The PMI Group, Inc.

22.9%

$161.4 Billion Primary RIF

22.7%

$13,194

$3,259

$4,728

$6,131

$7,799

$11,996

$19,821

$36,527

$36,990

$20,959

$10,000

$20,000

$30,000

$40,000

$50,000

Prior to 1999

1999

2000

2001

2002

2003

2004

2005

2006

2007

Percent

of Total

12.3%

13.0%

7.4%

4.8%

3.8%

2.9%

2.0%

8.2%

Australian Portfolio

Age Distribution

U.S. Dollars in Millions

The PMI Group, Inc.

Australian Portfolio Characteristics

LTVs as a % of RIF

Property Type as a % of RIF

Occupancy Status as a % of RIF

Loan Amount as a % of RIF

60.0%

65.7%

65.8%

67.7%

22.2%

19.0%

18.5%

16.2%

16.3%

66.8%

15.7%

14.8%

15.0%

15.3%

17.3%

0.5%

0.7%

0.9%

1.2%

25%

50%

75%

100%

2003

2004

2005

2006

2007

79.9%

81.0%

81.5%

83.2%

83.5%

20.1%

19.0%

18.5%

16.8%

16.5%

25%

50%

75%

100%

2003

2004

2005

2006

2007

30.5%

24.9%

24.7%

18.3%

12.4%

53.8%

53.2%

53.4%

53.6%

47.8%

21.9%

28.1%

39.8%

15.7%

25%

50%

75%

100%

2003

2004

2005

2006

2007

Condominium,

townhouse, cooperative

88.5%

90.9%

89.6%

90.2%

89.7%

9.9%

7.9%

8.9%

8.4%

8.8%

1.4%

1.3%

1.5%

1.3%

1.6%

25%

50%

75%

100%

2003

2004

2005

2006

2007

Multi-family

dwelling and other

Single-Family

Detached

Non-Owner Occupied

Owner Occupied

Over $100,000 and up to $250,000

$100,000 or less

Over $250,000

LTVs between

90.01% and 95%

LTVs of 85%

and below

LTVs

above 95%

LTVs between

85.01% and 90%

Note: Due to rounding, the sum of percentages may not total 100%

The increase in loan size in Australia reflects the combination of higher property prices for newer policies and

lower loan sizes on terminating policies.

The PMI Group, Inc.

Australian Portfolio Characteristics

Low Documentation Loans as a % of RIF

Average Primary Loan Size

IIF and RIF

Flow and RMBS RIF

2.3%

5.0%

7.8%

7.9%

8.6%

10%

2003

2004

2005

2006

2007

$109.1

$122.7

$122.2

$141.0

$166.9

$25

$50

$75

$100

$125

$150

$175

2003

2004

2005

2006

2007

Insurance in Force

Risk in Force

Flow

RMBS

68.9

71.2

81.5

96.0

37.6

54.0

65.4

$79.3

$103.1

$108.8

59.5

19.8

34.2

$135.5

$161.4

$25

$50

$75

$100

$125

$150

$175

2003

2004

2005

2006

2007

Note: Due to rounding, the sum of percentages may not total 100%

$25

$50

$75

$100

$125

$150

$175

$200

2003

2004

2005

2006

2007

PMI Guaranty

Portfolio Characteristics

The PMI Group, Inc.

Portfolio by Source

(by par)

PMI Guaranty Portfolio

Public finance reinsurance is the largest segment of

PMI Guaranty’s portfolio

Structured finance obligations are all mortgage

PMI Guaranty stopped insuring new structured

transactions after the first quarter of 2007

PMI Guaranty was formed in 2006 and is a

wholly-owned surety company based in New

Jersey

Reinsurance to primary financial guarantors

represents the major source of PMI Guaranty’s

business

By providing reinsurance to financial guarantors,

PMI Guaranty can reduce the amount of total

capital required to be held by financial

guarantors

Direct

Reinsurance

97%

Public Finance

95%

Structured

Finance

Net Par in Force of $963 million

as of December 31, 2007

Segment Distribution

(by par)

The PMI Group, Inc.

MBS, 5%

Higher

Education

Tax-Backed

10%

Transport-

ation, 14%

Utility

13%

General

Obligation

56%

$ millions, as of December 31, 2007

Public Finance:

G.O.

$544

56%

Tax-Backed

$ 98

10%

Transportation

$132

14%

Utility

$125

13%

Higher Education

$ 15

Total Public Finance:

$914

95%

MBS:

$ 49

Total Par Outstanding:

$963

100%

Portfolio Profile by Sector

PMI Guaranty Portfolio

PMI Guaranty’s portfolio is well diversified

Two MBS transactions represent the structured finance sector, providing excess-of-loss

coverage –

not first loss

At the time of MBS origination, 90% of the original collateral represented first liens and

10% represented closed-end, fixed-rate second liens

Net Par In Force

Pmi (PMI) Inactive 8-KThe Pmi Group, Inc. Reports