Exhibit 99.1
NEWS RELEASE | ||
Investors and Media Contacts: Bill Horning / Nate Purpura 925.658.6193 / 925.658.6247 |
THE PMI GROUP, INC. REPORTS
FIRST QUARTER 2008 FINANCIAL RESULTS
Walnut Creek, CA, May 12, 2008 - The PMI Group, Inc. (NYSE: PMI) (the “Company”) today reported a net loss for the first quarter of 2008 of $274.0 million, or $3.37 per basic and diluted1 share, compared to net income in the first quarter of 2007 of $102.0 million, or $1.16 per diluted share. The net loss for the first quarter of 2008 was primarily due to a net loss of $172.5 million in the U.S. Mortgage Insurance Operations due to increases in paid claims, loss adjustment expenses and additions to the reserve for losses (collectively “Losses and LAE”) and an other-than-temporary impairment of the Company’s investment in FGIC. These losses were partially offset by higher net income from International Operations.
First Quarter 2008 Update:
• | In the U.S. Mortgage Insurance Operations, net premiums earned increased by 7.2% to $207.8 million from $193.8 million in the first quarter of 2007. Primary insurance in force increased by 16.3% to $124.3 billion from $106.9 billion in the first quarter of 2007. |
• | PMI Australia reported record net income of $30.5 million, an increase of 69% from the first quarter 2007. Insurance in force for PMI Australia increased by 16.6% to $182.7 billion from $156.7 billion. |
• | In the Financial Guaranty segment, the Company determined that its investment in FGIC was other-than-temporarily impaired and reduced the carrying value of its investment from $103.6 million at December 31, 2007 to zero. The impairment resulted in an $88.0 million loss in the current quarter and a $15.6 million loss in other comprehensive income. To the extent that the Company’s carrying value remains zero, the Company will not recognize in future periods its proportionate share of FGIC losses, if any, and the Company is under no obligation to provide additional capital to FGIC. |
• | The Company completed the collateral pledge agreement for its revolving credit facility and drew $200 million under the facility. |
1 | Due to the net loss in the first quarter 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. |
• | The Company and its financial advisors continue to evaluate the execution of various capital raising initiatives that include reinsurance, the possible complete or partial sale of assets and/or capital markets transactions. |
Consolidated Operating Results
Consolidated net premiums written for the first quarter of 2008 totaled $255.3 million compared with $244.1 million for the same period one year ago. The year over year increase was due primarily to higher persistency and increases in average premium rates and insured loan sizes in U.S. Mortgage Insurance Operations, and favorable foreign exchange rates for International Operations’ net premiums written.
Consolidated premiums earned for the first quarter of 2008 were $262.0 million compared with $236.4 million for the same period one year ago. The increase was due primarily to improved persistency and larger loan sizes in our U.S. Mortgage Insurance Operations and larger loan sizes in International Operations.
Consolidated losses and LAE for the first quarter of 2008 were $579.8 million compared with $109.3 million for the same period one year ago. The increase was primarily a result of higher Losses and LAE in our U.S. Mortgage Insurance Operations as a result of the significant deterioration in the U.S. housing, mortgage and capital markets.
Consolidated reserve for losses and LAE totaled $1.7 billion as of March 31, 2008 compared with $1.2 billion as of December 31, 2007 and $443.0 million as of March 31, 2007. Reserves for losses and LAE in the U.S. Mortgage Insurance Operations increased $456.2 million in the first quarter of 2008 primarily due to an increase in notices of default, increased claim rates and larger claim sizes. PMI Australia’s reserve for losses and LAE increased $9.0 million in the first quarter of 2008 principally due to an increase in notices of default, higher claim rates and higher average claim sizes.
Consolidated other underwriting and operating expensesfor the first quarter of 2008 were $58.9 million compared with $62.7 million for the same period one year ago. The decrease was primarily a result of lower employee compensation expenses.
The PMI Group, Inc. First Quarter Results by Segment
First Quarter Total Revenues | First Quarter Net (Loss) Income | ||||||||||||||
(Dollars in millions, except per share data) | 2008 | 2007 | 2008 | 2007 | |||||||||||
U.S. Mortgage Insurance Operations2 | $ | 277.3 | $ | 224.3 | $ | (172.5 | ) | $ | 68.9 | ||||||
International Operations3 | 90.8 | 63.8 | 17.8 | 23.1 | |||||||||||
Financial Guaranty4 | (85.3 | ) | 2.5 | (124.2 | ) | 29.9 | |||||||||
Corporate and Other5 | 33.2 | 3.8 | 5.0 | (19.8 | ) | ||||||||||
Consolidated Total | $ | 315.9 | $ | 294.5 | $ | (274.0 | ) | $ | 102.0 | ||||||
Diluted Net (Loss) Income Per Share1 | $ | (3.37 | ) | $ | 1.16 | ||||||||||
Book Value Per Share | $ | 27.58 | $ | 42.21 |
May not total due to rounding.
Segment Highlights
U.S. Mortgage Insurance Operations
• | The net loss totaled $172.5 million for the first quarter of 2008 compared with net income of $68.9 million in the first quarter of 2007. The net loss in the first quarter was due primarily to higher Losses and LAE partially offset by higher premiums earned, increased realized investment gains and lower other underwriting and operating expenses. |
• | Net premiums earned in the first quarter of 2008 increased by 7.2% to $207.8 million from $193.8 million in the first quarter of 2007. The increase was due primarily to a 16.3% increase in insurance in force to $124.3 billion from $106.9 billion in the first quarter of 2007 and a higher primary persistency rate. In the first quarter of 2008, the primary persistency rate increased to 77.6% compared with 70.7% in the first quarter of 2007. |
• | Losses and LAE in the first quarter of 2008 were $537.0 million compared with $92.8 million in the first quarter of 2007 driven by an increase in notices of default, increased claim rates and larger claim sizes. |
• | Total claims paid increased to $162.6 million for the first quarter of 2008 compared with $69.3 million in the first quarter of 2007 driven by an increase in claim rates and larger average claim sizes. |
• | After tax equity in earnings from CMG MI for the first quarter of 2008 were $1.9 million, compared with $3.2 million for the same period of 2007. The decline in equity in earnings was primarily driven by higher Losses and LAE partially offset by higher premiums earned. CMG MI’s insurance in force grew to $19.5 billion, persistency increased to 81.6% and the primary default rate was 1.42%. |
2 | “U.S. Mortgage Insurance Operations” includes the results of PMI Mortgage Insurance Co. (PMI), affiliated U.S. reinsurance companies and equity in earnings from CMG Mortgage Insurance Company (CMG MI). |
3 | “International Operations” includes the results of PMI Australia, PMI Europe, PMI Asia and PMI Canada. |
4 | “Financial Guaranty” includes PMI Guaranty Co. (PMI Guaranty) and our equity investments in Financial Guaranty Insurance Company, Inc. (FGIC) and Ram Reinsurance Company Ltd. (RAM Re). |
5 | The “Corporate and Other” segment primarily consists of the holding company, contract underwriting operations and intercompany eliminations. |
International Operations
• | PMI Australia reported record net income of $30.5 million for the first quarter of 2008 compared with net income of $18.0 million for the first quarter of 2007. The increase in net income was due primarily to higher premiums earned, net investment income and net realized investment gains, as well as the strengthening Australian dollar. The increase in net income was partially offset by higher Losses and LAE. The first quarter of 2008 addition to reserves for losses and LAE was $9.0 million bringing the total reserves for losses and LAE to $74.1 million. Claims paid for the first quarter totaled $14.4 million. |
• | PMI Europe reported a net loss of $13.9 million in the first quarter of 2008 compared with net income of $3.0 million for the same period a year ago. The decrease was driven by an increase in loss reserves due primarily to the deteriorating performance of certain U.S. exposures on which PMI Europe provided reinsurance coverage in 2005. To a lesser extent, the decrease was driven by an unrealized $2.6 million (pre-tax) negative mark-to-market adjustment on credit default swaps related to European prime mortgage risks due to widening credit spreads. |
• | PMI Asia’s net income in the first quarter of 2008 totaled $2.7 million compared with $2.2 million for the same period a year ago. |
Financial Guaranty
• | The Company determined that its investment in FGIC was other-than-temporarily impaired and reduced the carrying value of its investment from $103.6 million at December 31, 2007 to zero. Due to the impairment of its FGIC investment in the first quarter of 2008, the Company did not recognize any equity in earnings or losses in the quarter. In the first quarter of 2007, the Company recorded after tax equity in earnings of $27.1 million. |
• | After tax equity in losses from RAM Re for the first quarter of 2008 were $36.2 million compared with after tax equity in earnings of $1.5 million for the same period one year ago. The decrease was due primarily to net unrealized mark-to-market losses on its derivative portfolio as a result of widening spreads and an increase in loss reserves related to continuing deterioration in the performance of residential mortgage backed securities. After equity in losses in the quarter, the Company determined that the carrying value of its investment in RAM Re was below the market value and therefore no impairment was necessary. As of March 31, 2008, the carrying value of the Company’s investment in RAM Re was $26.0 million. |
• | PMI Guaranty reported a net loss of $1.3 million in the first quarter of 2008 compared with net income of $1.2 million for the same period one year ago. |
Corporate and Other
• | The Corporate and Other segment reported net income of $5.0 million for the first quarter of 2008 compared with a net loss of $19.8 million for the same period a year ago. The increase in net income for the first quarter of 2008 compared with the net loss in the first quarter of 2007 was due primarily to the reporting of certain debt instruments at fair value under SFAS No. 157 and 1596 and, to a lesser extent, lower other underwriting and operating expenses related to contract underwriting services and lower share-based compensation. |
6 | Effective January 1, 2008 the Company adopted SFAS No. 157,Fair Value Measurements, and SFAS No. 159,The Fair Value Option for Financial Assets and Financial Liabilities – Including an Amendment of FASB No. 115.SFAS No. 157 provides a framework for measuring fair value under GAAP. SFAS No. 159 allows an entity the irrevocable option to elect fair value for the initial subsequent measurement of certain financial assets and liabilities on a contract-by-contract basis. |
Supplemental Financial Information
• | The PMI Group, Inc.’s First Quarter 2008 Financial Supplement can be found atwww.pmigroup.com under Investor Relations. |
ABOUT THE PMI GROUP, INC.
The PMI Group, Inc. (NYSE: PMI), headquartered in Walnut Creek, CA, is an international provider of credit enhancement products that promote homeownership and facilitate mortgage transactions in the capital markets. Through its wholly owned subsidiaries and unconsolidated strategic investments, the company offers residential mortgage insurance and credit enhancement products domestically and internationally, financial guaranty insurance, and financial guaranty reinsurance. Through its subsidiaries, The PMI Group, Inc. is one of the world’s largest providers of private mortgage insurance with operations in the United States, Australia and New Zealand, Canada and the European Union, as well as one of the largest providers of mortgage guaranty reinsurance in Hong Kong. For more information:www.pmigroup.com.
Cautionary Statement: Statements in this press release 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. Readers are cautioned that forward-looking statements by their nature involve risk and uncertainty because they relate to events and depend on circumstances that will occur in the future. Many factors could cause actual results and developments to differ materially from those expressed or implied by forward-looking statements. Such factors include, among others, national or regional recessions, and further deterioration in the housing, mortgage and related credit markets. In particular, declines in housing values and/or housing demand, deterioration of borrower credit, higher unemployment rates, changes in interest rates, higher levels of consumer credit, higher mortgage default and claim rates, lower cure rates, higher claim sizes, the aging of our mortgage insurance portfolios, adverse changes in liquidity in the capital markets, the inability of loans servicers to process higher volumes of delinquent loans, and the further contraction of credit markets could negatively affect our losses. Other risks and uncertainties are discussed in our SEC filings, including our Annual Report on Form 10-K for the year ended December 31, 2007 (in Item 1A) and our Quarterly Report on Form 10-Q for the quarter ended March 31, 2008. We undertake no obligation to update forward-looking statements.
# # #
THE PMI GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS
Three Months Ended March 31, | |||||||
2008 | 2007 | ||||||
(Unaudited) | |||||||
(Dollars in thousands, except per share data) | |||||||
Net premiums written | $ | 255,325 | $ | 244,051 | |||
Revenues | |||||||
Premiums earned | $ | 261,965 | $ | 236,361 | |||
Net gain from credit default swaps | 800 | 1,828 | |||||
Net investment income | 58,313 | 52,639 | |||||
Net realized investment gains | 51,010 | 1,578 | |||||
Change in fair value of certain debt instruments | 28,708 | — | |||||
Impairment of unconsolidated subsidiary | (87,981 | ) | — | ||||
Other income | 3,085 | 2,082 | |||||
Total revenues | 315,900 | 294,488 | |||||
Losses and expenses | |||||||
Losses and loss adjustment expenses | 579,794 | 109,320 | |||||
Amortization of deferred policy acquisition costs | 9,896 | 16,445 | |||||
Other underwriting and operating expenses | 58,920 | 62,701 | |||||
Interest expense | 8,363 | 8,259 | |||||
Total losses and expenses | 656,973 | 196,725 | |||||
(Loss) income before equity in (losses) earnings from unconsolidated subsidiaries and income taxes | (341,073 | ) | 97,763 | ||||
Equity in (losses) earnings from unconsolidated subsidiaries | (33,477 | ) | 36,509 | ||||
(Loss) income before income taxes | (374,550 | ) | 134,272 | ||||
Income tax (benefit) expense | (100,586 | ) | 32,239 | ||||
Net (loss) income | $ | (273,964 | ) | $ | 102,033 | ||
Diluted net (loss) income per share | $ | (3.37 | ) | $ | 1.16 | ||
THE PMI GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED BALANCE SHEETS
March 31, 2008 | December 31, 2007 | March 31, 2007 | |||||||
(Unaudited) | (Audited) | (Unaudited) | |||||||
(Dollars in thousands, except per share data) | |||||||||
Assets | |||||||||
Investments | $ | 3,925,343 | $ | 3,729,151 | $ | 3,377,635 | |||
Cash and cash equivalents | 455,509 | 427,912 | 557,605 | ||||||
Investments in unconsolidated subsidiaries | 175,155 | 309,800 | 1,129,764 | ||||||
Reinsurance recoverable | 131,010 | 36,917 | 3,573 | ||||||
Deferred policy acquisition costs | 65,951 | 59,712 | 88,772 | ||||||
Property, equipment and software, net of accumulated depreciation and amortization | 159,512 | 161,762 | 170,597 | ||||||
Other assets | 315,289 | 345,186 | 201,699 | ||||||
Total assets | $ | 5,227,769 | $ | 5,070,440 | $ | 5,529,645 | |||
Liabilities | |||||||||
Reserve for losses and loss adjustment expenses | $ | 1,729,469 | $ | 1,242,599 | $ | 443,020 | |||
Unearned premiums | 626,462 | 611,247 | 537,857 | ||||||
Debt | 414,378 | 496,593 | 496,593 | ||||||
Other liabilities | 217,591 | 207,039 | 387,214 | ||||||
Total liabilities | 2,987,900 | 2,557,478 | 1,864,684 | ||||||
Shareholders’ equity | 2,239,869 | 2,512,962 | 3,664,961 | ||||||
Total liabilities and shareholders’ equity | $ | 5,227,769 | $ | 5,070,440 | $ | 5,529,645 | |||
Basic shares issued and outstanding | 81,213 | 81,120 | 86,835 | ||||||
Book value per share | $ | 27.58 | $ | 30.98 | $ | 42.21 | |||
Note: Please refer toThe PMI Group, Inc. First Quarter 2008 Financial Supplement for additional information.
The PMI Group, Inc.
First Quarter 2008
Financial Supplement
THE PMI GROUP, INC. AND SUBSIDIARIES
FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED MARCH 31, 2008
Page | ||
3 | ||
Consolidated Results | ||
4 | ||
5 | ||
6 | ||
7 | ||
U.S. Mortgage Insurance Operations Segment Results | ||
U.S. Mortgage Insurance Operations Segment Results of Operations and Balance Sheets | 8 | |
U.S. Mortgage Insurance Operations Portfolio Characteristics | 9-11 | |
12 | ||
U.S. Mortgage Insurance Operations Analysis of Loss Reserves | 13 | |
14 | ||
International Mortgage Insurance Operations Segment Results | ||
International Operations Segment Results of Operations and Balance Sheets | 15 | |
16 | ||
17 | ||
18 | ||
19 | ||
20 | ||
Financial Guaranty Segment Results | ||
Financial Guaranty Segment Results of Operations and Balance Sheets | 21 | |
Corporate and Other Segment Results | ||
Corporate and Other Segment Results of Operations and Balance Sheets | 22 |
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THE PMI GROUP, INC. AND SUBSIDIARIES
FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED MARCH 31, 2008
Notes to Financial Results and Statistical Information:
(1) | 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 included under the equity method of accounting in equity in earnings from unconsolidated subsidiaries. |
(2) | International Operations segment includes PMI Australia, PMI Europe, PMI Asia and PMI Canada. PMI Canada began offering residential mortgage insurance products to Canadian lenders and mortgage originators in the second quarter of 2007. |
(3) | Financial Guaranty segment represents PMI Guaranty Co. (“PMI Guaranty”) and our equity investments in FGIC Corporation and RAM Reinsurance Company, Ltd. (“RAM Re”). See note 16 below for discussion on impairment of The PMI Group Inc’s (the “Company”) investment in FGIC. |
(4) | The Corporate and Other segment includes other income and related operating expenses of PMI Mortgage Services Co.; investment income, 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. |
(5) | For the quarter ended March 31, 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. |
(6) | Other underwriting and operating expenses from the Corporate and Other segment include charges of $4.4 million (pre-tax) or $3.1million (after tax) for share-based compensation expenses in the first quarter ended March 31, 2008, compared to $7.1 million or $5.0 million (after tax) for the corresponding periods in 2007. |
(7) | The expense ratio is expressed as a ratio, of the sum of amortization of deferred policy acquisition costs and other underwriting and operating expenses to net premiums written. The loss ratio is expressed as a ratio of losses and loss adjustment expenses (“LAE”) to premiums earned. |
(8) | Pool insurance includes modified pool, GSE pool, old pool and all other pool insurance products for U.S. Mortgage Insurance Operations. |
(9) | The statutory risk-to-capital ratio is for PMI Mortgage Insurance Co. only. |
(10) | During the first quarter of 2008, the Company did not repurchase any common shares. The total number of shares repurchased in the first quarter of 2007 was 325,000. |
(11) | Interest expense in our Financial Guaranty segment relates to a $50 million surplus note provided to PMI Guaranty by the Company. The surplus note bears interest at an annual rate of 5.85% and is due October 20, 2026. The surplus note and the interest expense are eliminated in the Corporate and Other segment. |
(12) | As of data, such as insurance in force, risk in force, policy in force and loans in default, are the same as recent period end in the total column. |
(13) | Due to the net loss in this quarter, 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. |
(14) | Claim severity is, for a given period, claims paid as a percentage of the total risk in force of loans for which claims were paid. |
(15) | 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. |
(16) | In connection with the preparation of its consolidated financial statements for the quarter ended March 31, 2008, the Company determined that its investment in FGIC was other-than-temporarily impaired and reduced the carrying value of its investment in FGIC from $103.6 million at December 31, 2007 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 current quarter. Due to the impairment of its FGIC investment in the first quarter of 2008, the Company did not recognize any equity in earnings (losses) from FGIC in that quarter. |
(17) | Effective January 1, 2008, 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, and recognized a net of tax gain of $34.8 million to the beginning retained earnings as of January 1, 2008 related to the initial adoption of SFAS No. 159. For the quarter ended March 31, 2008, the Company’s net income included a $28.7 million gain related to the subsequent measurement of fair value for these debt instruments. |
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 | |
(925) 658-6193 | (925) 658-6137 |
Page 3
THE PMI GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS
Three Months Ended March 31, | |||||||||
2008 | 2007 | ||||||||
(Unaudited) | |||||||||
(Dollars and shares in thousands, except per share data) | |||||||||
Net premiums written | $ | 255,325 | $ | 244,051 | |||||
Revenues | |||||||||
Premiums earned | $ | 261,965 | $ | 236,361 | |||||
Net gain from credit default swaps | 800 | 1,828 | |||||||
Net investment income | 58,313 | 52,639 | |||||||
Net realized investment gains | 51,010 | 1,578 | |||||||
Change in fair value of certain debt instruments(17) | 28,708 | — | |||||||
Impairment of unconsolidated subsidiary(16) | (87,981 | ) | — | ||||||
Other income | 3,085 | 2,082 | |||||||
Total revenues | 315,900 | 294,488 | |||||||
Losses and expenses | |||||||||
Losses and loss adjustment expenses | 579,794 | 109,320 | |||||||
Amortization of deferred policy acquisition costs | 9,896 | 16,445 | |||||||
Other underwriting and operating expenses(6) | 58,920 | 62,701 | |||||||
Interest expense | 8,363 | 8,259 | |||||||
Total losses and expenses | 656,973 | 196,725 | |||||||
(Loss) income before equity in (losses) earnings from unconsolidated subsidiaries and income taxes | (341,073 | ) | 97,763 | ||||||
Equity in (losses) earnings from unconsolidated subsidiaries(5) | (33,477 | ) | 36,509 | ||||||
(Loss) income before income taxes | (374,550 | ) | 134,272 | ||||||
Income tax (benefit) expense | (100,586 | ) | 32,239 | ||||||
Net (loss) income | $ | (273,964 | ) | $ | 102,033 | ||||
Diluted net (loss) income per share | $ | (3.37 | ) | $ | 1.16 | ||||
Reconciliation of (losses) earnings per share | |||||||||
Net (loss) income | $ | (273,964 | ) | $ | 102,033 | ||||
Net (loss) income adjusted for diluted earnings per share calculation | $ | (273,964 | ) | $ | 102,033 | ||||
Share data: | |||||||||
Basic weighted average common shares outstanding | 81,204 | 86,968 | |||||||
Stock options and other dilutive components(13) | — | 1,212 | |||||||
Diluted weighted average common shares outstanding(13) | 81,204 | 88,180 | |||||||
Share repurchase data: | |||||||||
Common shares repurchased(10) | — | 325 | |||||||
Average price paid per common share repurchased (including commissions) | $ | — | $ | 43.81 | |||||
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THE PMI GROUP, INC. AND SUBSIDIARIES
CONSOLIDATED BALANCE SHEETS
March 31, | December 31, | March 31, | |||||||
2008 | 2007 | 2007 | |||||||
(Unaudited) | (Audited) | (Unaudited) | |||||||
(Dollars and shares in thousands, except per share data) | |||||||||
Assets | |||||||||
Investments - available-for-sale, at fair value: | |||||||||
Fixed income securities | $ | 3,623,433 | $ | 3,266,693 | $ | 2,946,665 | |||
Equity securities: | |||||||||
Common | 17,268 | 159,936 | 170,763 | ||||||
Preferred | 281,748 | 299,630 | 254,407 | ||||||
Short term investments | 2,894 | 2,892 | 5,800 | ||||||
Total investments | $ | 3,925,343 | $ | 3,729,151 | $ | 3,377,635 | |||
Cash and cash equivalents | 455,509 | 427,912 | 557,605 | ||||||
Investments in unconsolidated subsidiaries(5) | 175,155 | 309,800 | 1,129,764 | ||||||
Reinsurance recoverable | 131,010 | 36,917 | 3,573 | ||||||
Deferred policy acquisition costs | 65,951 | 59,712 | 88,772 | ||||||
Property, equipment and software, net of accumulated depreciation and amortization | 159,512 | 161,762 | 170,597 | ||||||
Other assets | 315,289 | 345,186 | 201,699 | ||||||
Total assets | $ | 5,227,769 | $ | 5,070,440 | $ | 5,529,645 | |||
Liabilities | |||||||||
Reserve for losses and loss adjustment expenses | $ | 1,729,469 | $ | 1,242,599 | $ | 443,020 | |||
Unearned premiums | 626,462 | 611,247 | 537,857 | ||||||
Debt | 414,378 | 496,593 | 496,593 | ||||||
Other liabilities | 217,591 | 207,039 | 387,214 | ||||||
Total liabilities | 2,987,900 | 2,557,478 | 1,864,684 | ||||||
Shareholders’ equity | |||||||||
Common stock | 1,193 | 1,193 | 1,192 | ||||||
Additional paid-in capital, treasury stock and retained earnings | 1,964,786 | 2,196,692 | 3,391,493 | ||||||
Accumulated other comprehensive income, net of deferred taxes | 273,890 | 315,077 | 272,276 | ||||||
Total shareholders’ equity | 2,239,869 | 2,512,962 | 3,664,961 | ||||||
Total liabilities and shareholders’ equity | $ | 5,227,769 | $ | 5,070,440 | $ | 5,529,645 | |||
Basic shares issued and outstanding | 81,213 | 81,120 | 86,835 | ||||||
Book value per share | $ | 27.58 | $ | 30.98 | $ | 42.21 | |||
Page 5
THE PMI GROUP, INC. AND SUBSIDIARIES
BUSINESS SEGMENTS RESULTS OF OPERATIONS - THREE MONTHS ENDED MARCH 31, 2008 AND 2007
U.S. Mortgage Insurance Operations (1) | International Operations (2) | Financial Guaranty (3) | Corporate and Other (4) | Consolidated Total | ||||||||||||||||
Three Months Ended March 31, 2008 (Unaudited) | ||||||||||||||||||||
(Dollars in thousands) | ||||||||||||||||||||
Net premiums written | $ | 204,998 | $ | 50,285 | $ | 34 | $ | 8 | $ | 255,325 | ||||||||||
Revenues | ||||||||||||||||||||
Premiums earned | $ | 207,824 | $ | 53,717 | $ | 412 | $ | 12 | $ | 261,965 | ||||||||||
Net gain from credit default swaps | — | 800 | — | — | 800 | |||||||||||||||
Net investment income | 28,000 | 26,872 | 2,230 | 1,211 | 58,313 | |||||||||||||||
Net realized investment gains (losses) | 41,551 | 9,470 | — | (11 | ) | 51,010 | ||||||||||||||
Change in fair value of certain debt instruments(17) | — | — | — | 28,708 | 28,708 | |||||||||||||||
Impairment of unconsolidated subsidiary(16) | — | — | (87,981 | ) | — | (87,981 | ) | |||||||||||||
Other (loss) income | (76 | ) | (82 | ) | — | 3,243 | 3,085 | |||||||||||||
Total revenues | 277,299 | 90,777 | (85,339 | ) | 33,163 | 315,900 | ||||||||||||||
Losses and expenses | ||||||||||||||||||||
Losses and loss adjustment expenses | 537,033 | 39,675 | 3,086 | — | 579,794 | |||||||||||||||
Amortization of deferred policy acquisition costs | 4,251 | 5,334 | 311 | — | 9,896 | |||||||||||||||
Other underwriting and operating expenses(6) | 22,339 | 16,862 | 1,436 | 18,283 | 58,920 | |||||||||||||||
Interest expense(11) | 32 | — | 731 | 7,600 | 8,363 | |||||||||||||||
Total losses and expenses | 563,655 | 61,871 | 5,564 | 25,883 | 656,973 | |||||||||||||||
(Loss) income before equity in earnings (losses) from unconsolidated subsidiaries and income taxes | (286,356 | ) | 28,906 | (90,903 | ) | 7,280 | (341,073 | ) | ||||||||||||
Equity in earnings (losses) from unconsolidated subsidiaries (5) | 2,880 | — | (36,236 | ) | (121 | ) | (33,477 | ) | ||||||||||||
(Loss) income before income taxes | (283,476 | ) | 28,906 | (127,139 | ) | 7,159 | (374,550 | ) | ||||||||||||
Income tax (benefit) expense | (110,999 | ) | 11,130 | (2,901 | ) | 2,184 | (100,586 | ) | ||||||||||||
Net (loss) income | $ | (172,477 | ) | $ | 17,776 | $ | (124,238 | ) | $ | 4,975 | $ | (273,964 | ) | |||||||
Loss ratio(7) | 258.4 | % | 73.9 | % | ||||||||||||||||
Expense ratio(7) | 13.0 | % | 44.1 | % | ||||||||||||||||
Combined ratio | 271.4 | % | 118.0 | % | ||||||||||||||||
Three Months Ended March 31, 2007 (Unaudited) | ||||||||||||||||||||
(Dollars in thousands) | ||||||||||||||||||||
Net premiums written | $ | 195,916 | $ | 43,382 | $ | 4,741 | $ | 12 | $ | 244,051 | ||||||||||
Revenues | ||||||||||||||||||||
Premiums earned | $ | 193,759 | $ | 42,382 | $ | 207 | $ | 13 | $ | 236,361 | ||||||||||
Net investment income | 28,322 | 19,164 | 2,321 | 2,832 | 52,639 | |||||||||||||||
Net realized investment gains (losses) | 2,267 | 37 | — | (726 | ) | 1,578 | ||||||||||||||
Other (loss) income | (13 | ) | 2,217 | — | 1,706 | 3,910 | ||||||||||||||
Total revenues | 224,335 | 63,800 | 2,528 | 3,825 | 294,488 | |||||||||||||||
Losses and expenses | ||||||||||||||||||||
Losses and loss adjustment expenses | 92,784 | 16,536 | — | — | 109,320 | |||||||||||||||
Amortization of deferred policy acquisition costs | 12,582 | 3,761 | 102 | — | 16,445 | |||||||||||||||
Other underwriting and operating expenses(6) | 27,661 | 10,573 | 454 | 24,013 | 62,701 | |||||||||||||||
Interest expense | — | 6 | 731 | 7,522 | 8,259 | |||||||||||||||
Total losses and expenses | 133,027 | 30,876 | 1,287 | 31,535 | 196,725 | |||||||||||||||
Income (loss) before equity in earnings (losses) from unconsolidated subsidiaries and income taxes | 91,308 | 32,924 | 1,241 | (27,710 | ) | 97,763 | ||||||||||||||
Equity in earnings (losses) from unconsolidated subsidiaries (5) | 4,861 | — | 31,703 | (55 | ) | 36,509 | ||||||||||||||
Income (loss) before income taxes | 96,169 | 32,924 | 32,944 | (27,765 | ) | 134,272 | ||||||||||||||
Income tax expense (benefit) | 27,293 | 9,798 | 3,080 | (7,932 | ) | 32,239 | ||||||||||||||
Net income (loss) | $ | 68,876 | $ | 23,126 | $ | 29,864 | $ | (19,833 | ) | $ | 102,033 | |||||||||
Loss ratio(7) | 47.9 | % | 39.0 | % | ||||||||||||||||
Expense ratio(7) | 20.5 | % | 33.0 | % | ||||||||||||||||
Combined ratio | 68.4 | % | 72.0 | % |
Page 6
THE PMI GROUP, INC. AND SUBSIDIARIES
BUSINESS SEGMENTS BALANCE SHEETS
U.S. Mortgage Insurance Operations (1) | International Operations (2) | Financial Guaranty (3) | Corporate and Other (4) | Consolidated Total | ||||||||||||||
March 31, 2008 (Unaudited) | ||||||||||||||||||
(Dollars in thousands) | ||||||||||||||||||
Assets | ||||||||||||||||||
Investments - available-for-sale, at fair value: | ||||||||||||||||||
Fixed income securities | $ | 1,746,902 | $ | 1,661,018 | $ | 163,534 | $ | 51,979 | $ | 3,623,433 | ||||||||
Equity securities: | ||||||||||||||||||
Common | 14,159 | 1,867 | — | 1,242 | 17,268 | |||||||||||||
Preferred | 260,646 | — | 21,102 | — | 281,748 | |||||||||||||
Short term investments | 951 | 643 | — | 1,300 | 2,894 | |||||||||||||
Total investments | $ | 2,022,658 | $ | 1,663,528 | $ | 184,636 | $ | 54,521 | $ | 3,925,343 | ||||||||
Cash and cash equivalents | 285,074 | 122,802 | 7,419 | 40,214 | 455,509 | |||||||||||||
Investments in unconsolidated subsidiaries(5) | 133,664 | — | 25,998 | 15,493 | 175,155 | |||||||||||||
Reinsurance recoverable | 123,864 | 1,068 | 6,078 | — | 131,010 | |||||||||||||
Deferred policy acquisition costs | 15,992 | 46,359 | 3,600 | — | 65,951 | |||||||||||||
Property, equipment and software, net of accumulated depreciation and amortization | 73,832 | 6,879 | 174 | 78,627 | 159,512 | |||||||||||||
Other assets | 242,679 | 56,466 | 7,323 | 8,821 | 315,289 | |||||||||||||
Total assets | $ | 2,897,763 | $ | 1,897,102 | $ | 235,228 | $ | 197,676 | $ | 5,227,769 | ||||||||
Liabilities | ||||||||||||||||||
Reserve for losses and loss adjustment expenses | $ | 1,589,253 | $ | 135,016 | $ | 5,200 | $ | — | $ | 1,729,469 | ||||||||
Unearned premiums | 104,674 | 515,431 | 6,331 | 26 | 626,462 | |||||||||||||
Long-term debt | — | — | 50,000 | 364,378 | 414,378 | |||||||||||||
Other liabilities (assets) | 185,738 | 69,042 | (45,082 | ) | 7,893 | 217,591 | ||||||||||||
Total liabilities | 1,879,665 | 719,489 | 16,449 | 372,297 | 2,987,900 | |||||||||||||
Shareholders’ equity | ||||||||||||||||||
Common stock, additional paid-in capital, treasury stock and retained earnings | 1,026,508 | 885,145 | 224,150 | (169,824 | ) | 1,965,979 | ||||||||||||
Accumulated other comprehensive (loss) income, net of deferred taxes | (8,410 | ) | 292,468 | (5,371 | ) | (4,797 | ) | 273,890 | ||||||||||
Total shareholders’ equity (deficit) | 1,018,098 | 1,177,613 | 218,779 | (174,621 | ) | 2,239,869 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 2,897,763 | $ | 1,897,102 | $ | 235,228 | $ | 197,676 | $ | 5,227,769 | ||||||||
December 31, 2007 (Audited) | ||||||||||||||||||
(Dollars in thousands) | ||||||||||||||||||
Assets | ||||||||||||||||||
Investments - available-for-sale, at fair value: | ||||||||||||||||||
Fixed income securities | $ | 1,531,606 | $ | 1,514,198 | $ | 167,915 | $ | 52,974 | $ | 3,266,693 | ||||||||
Equity securities: | ||||||||||||||||||
Common | 116,005 | 42,689 | — | 1,242 | 159,936 | |||||||||||||
Preferred | 277,165 | — | 22,465 | — | 299,630 | |||||||||||||
Short term investments | 951 | 641 | — | 1,300 | 2,892 | |||||||||||||
Total investments | $ | 1,925,727 | $ | 1,557,528 | $ | 190,380 | $ | 55,516 | $ | 3,729,151 | ||||||||
Cash and cash equivalents | 229,446 | 135,702 | 11,252 | 51,512 | 427,912 | |||||||||||||
Investments in unconsolidated subsidiaries(5) | 131,225 | — | 163,661 | 14,914 | 309,800 | |||||||||||||
Reinsurance recoverable | 35,930 | 987 | — | — | 36,917 | |||||||||||||
Deferred policy acquisition costs | 10,474 | 45,327 | 3,911 | — | 59,712 | |||||||||||||
Property, equipment and software, net of accumulated depreciation and amortization | 75,884 | 6,549 | 187 | 79,142 | 161,762 | |||||||||||||
Other assets | 188,018 | 54,594 | 52,917 | 49,657 | 345,186 | |||||||||||||
Total assets | $ | 2,596,704 | $ | 1,800,687 | $ | 422,308 | $ | 250,741 | $ | 5,070,440 | ||||||||
Liabilities | ||||||||||||||||||
Reserve for losses and loss adjustment expenses | $ | 1,133,080 | $ | 106,869 | $ | 2,650 | $ | — | $ | 1,242,599 | ||||||||
Unearned premiums | 107,200 | 497,309 | 6,709 | 29 | 611,247 | |||||||||||||
Debt | — | — | 50,000 | 446,593 | 496,593 | |||||||||||||
Other liabilities (assets) | 129,246 | 75,416 | 2,892 | (515 | ) | 207,039 | ||||||||||||
Total liabilities | 1,369,526 | 679,594 | 62,251 | 446,107 | 2,557,478 | |||||||||||||
Shareholders’ equity | ||||||||||||||||||
Common stock, additional paid-in capital, treasury stock and retained earnings | 1,173,202 | 866,585 | 348,388 | (190,290 | ) | 2,197,885 | ||||||||||||
Accumulated other comprehensive income (loss), net of deferred taxes | 53,976 | 254,508 | 11,669 | (5,076 | ) | 315,077 | ||||||||||||
Total shareholders’ equity (deficit) | 1,227,178 | 1,121,093 | 360,057 | (195,366 | ) | 2,512,962 | ||||||||||||
Total liabilities and shareholders’ equity | $ | 2,596,704 | $ | 1,800,687 | $ | 422,308 | $ | 250,741 | $ | 5,070,440 | ||||||||
Page 7
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS SEGMENT(1) RESULTS OF OPERATIONS AND BALANCE SHEETS
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total | |||||||||||||||||||
(Dollars in thousands) | ||||||||||||||||||||||||
Income Statement Components - Quarter Ended | ||||||||||||||||||||||||
Revenues | ||||||||||||||||||||||||
Premiums written: | ||||||||||||||||||||||||
Gross premiums written | $ | 262,870 | $ | 258,026 | $ | 266,545 | $ | 236,412 | $ | 240,430 | $ | 1,001,413 | ||||||||||||
Ceded and refunded premiums, net of assumed premiums | (57,872 | ) | (57,773 | ) | (52,147 | ) | (47,232 | ) | (44,514 | ) | (201,666 | ) | ||||||||||||
Net premiums written | 204,998 | 200,253 | 214,398 | 189,180 | 195,916 | 799,747 | ||||||||||||||||||
Change in unearned premiums | 2,826 | 6,001 | (8,859 | ) | 6,205 | (2,157 | ) | 1,190 | ||||||||||||||||
Premiums earned | $ | 207,824 | $ | 206,254 | $ | 205,539 | $ | 195,385 | $ | 193,759 | $ | 800,937 | ||||||||||||
Net investment income | 28,000 | 27,281 | 28,786 | 25,966 | 28,322 | 110,355 | ||||||||||||||||||
Net realized investment gains (losses) | 41,551 | (1,526 | ) | 2,865 | 981 | 2,267 | 4,587 | |||||||||||||||||
Other (loss) income | (76 | ) | (86 | ) | 167 | 17 | (13 | ) | 85 | |||||||||||||||
Total revenues | 277,299 | 231,923 | 237,357 | 222,349 | 224,335 | 915,964 | ||||||||||||||||||
Losses and expenses | ||||||||||||||||||||||||
Losses and loss adjustment expenses | 537,033 | 520,611 | 348,314 | 134,384 | 92,784 | 1,096,093 | ||||||||||||||||||
Amortization of deferred policy acquisition costs | 4,251 | 46,213 | 12,809 | 12,610 | 12,582 | 84,214 | ||||||||||||||||||
Other underwriting and operating expenses | 22,339 | 22,717 | 18,420 | 26,759 | 27,661 | 95,557 | ||||||||||||||||||
Interest expense | 32 | 33 | 36 | 39 | — | 108 | ||||||||||||||||||
Total losses and expenses | 563,655 | 589,574 | 379,579 | 173,792 | 133,027 | 1,275,972 | ||||||||||||||||||
(Loss) income before equity in earnings from unconsolidated subsidiaries and income taxes | (286,356 | ) | (357,651 | ) | (142,222 | ) | 48,557 | 91,308 | $ | (360,008 | ) | |||||||||||||
Equity in earnings from unconsolidated subsidiaries | 2,880 | 3,474 | 4,167 | 4,617 | 4,861 | 17,119 | ||||||||||||||||||
(Loss) income before income taxes | (283,476 | ) | (354,177 | ) | (138,055 | ) | 53,174 | 96,169 | (342,889 | ) | ||||||||||||||
Income tax (benefit) expense | (110,999 | ) | (118,160 | ) | (72,833 | ) | 11,627 | 27,293 | (152,073 | ) | ||||||||||||||
Net (loss) income | $ | (172,477 | ) | $ | (236,017 | ) | $ | (65,222 | ) | $ | 41,547 | $ | 68,876 | $ | (190,816 | ) | ||||||||
Loss ratio(7) | 258.4 | % | 252.4 | % | 169.5 | % | 68.8 | % | 47.9 | % | 136.9 | % | ||||||||||||
Expense ratio(7) | 13.0 | % | 34.4 | % | 14.6 | % | 20.8 | % | 20.5 | % | 22.5 | % | ||||||||||||
Combined ratio | 271.4 | % | 286.8 | % | 184.1 | % | 89.6 | % | 68.4 | % | 159.4 | % | ||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | ||||||||||||||||||||
(Dollars in thousands) | ||||||||||||||||||||||||
Balance Sheet Components - As of Quarter End | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Investments - available-for-sale, at fair value: | ||||||||||||||||||||||||
Fixed income securities | $ | 1,746,902 | $ | 1,531,606 | $ | 1,567,122 | $ | 1,523,285 | $ | 1,540,150 | ||||||||||||||
Equity securities: | ||||||||||||||||||||||||
Common | 14,159 | 116,005 | 135,738 | 141,255 | 129,096 | |||||||||||||||||||
Preferred | 260,646 | 277,165 | 283,051 | 236,403 | 229,948 | |||||||||||||||||||
Short term investments | 951 | 951 | 951 | 947 | 930 | |||||||||||||||||||
Total investments | $ | 2,022,658 | $ | 1,925,727 | $ | 1,986,862 | $ | 1,901,890 | $ | 1,900,124 | ||||||||||||||
Cash and cash equivalents | 285,074 | 229,446 | 91,460 | 165,114 | 262,327 | |||||||||||||||||||
Investments in unconsolidated subsidiaries | 133,664 | 131,225 | 127,206 | 122,072 | 137,041 | |||||||||||||||||||
Reinsurance recoverable | 123,864 | 35,930 | 3,782 | 2,554 | 2,669 | |||||||||||||||||||
Deferred policy acquisition costs | 15,992 | 10,474 | 43,344 | 43,906 | 43,193 | |||||||||||||||||||
Property, equipment and software, net of accumulated depreciation and amortization | 73,832 | 75,884 | 80,170 | 83,293 | 84,448 | |||||||||||||||||||
Other assets | 242,679 | 188,018 | 186,915 | 139,745 | 124,958 | |||||||||||||||||||
Total assets | $ | 2,897,763 | $ | 2,596,704 | $ | 2,519,739 | $ | 2,458,574 | $ | 2,554,760 | ||||||||||||||
Liabilities | ||||||||||||||||||||||||
Reserve for losses and loss adjustment expenses | $ | 1,589,253 | $ | 1,133,080 | $ | 698,238 | $ | 444,594 | $ | 386,036 | ||||||||||||||
Unearned premiums | 104,674 | 107,200 | 112,634 | 103,331 | 108,968 | |||||||||||||||||||
Other liabilities | 185,738 | 129,246 | 205,749 | 265,268 | 347,720 | |||||||||||||||||||
Total liabilities | 1,879,665 | 1,369,526 | 1,016,621 | 813,193 | 842,724 | |||||||||||||||||||
Shareholder’s equity | ||||||||||||||||||||||||
Common stock, additional paid-in capital and retained earnings | 1,026,508 | 1,173,202 | 1,422,818 | 1,564,260 | 1,627,452 | |||||||||||||||||||
Accumulated other comprehensive (loss) income, net of deferred taxes | (8,410 | ) | 53,976 | 80,300 | 81,121 | 84,584 | ||||||||||||||||||
Total shareholder’s equity | 1,018,098 | 1,227,178 | 1,503,118 | 1,645,381 | 1,712,036 | |||||||||||||||||||
Total liabilities and shareholder’s equity | $ | 2,897,763 | $ | 2,596,704 | $ | 2,519,739 | $ | 2,458,574 | $ | 2,554,760 | ||||||||||||||
Page 8
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (1)
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total | |||||||||||||||||||
(Dollars in millions) | ||||||||||||||||||||||||
New Insurance Written | ||||||||||||||||||||||||
Flow insurance written | $ | 5,952 | $ | 8,701 | $ | 11,091 | $ | 10,268 | $ | 7,524 | $ | 37,584 | ||||||||||||
Structured insurance written | 167 | 369 | 3,404 | 1,337 | 3,439 | 8,549 | ||||||||||||||||||
Primary new insurance written | $ | 6,119 | $ | 9,070 | $ | 14,495 | $ | 11,605 | $ | 10,963 | $ | 46,133 | ||||||||||||
Primary new risk written | $ | 1,417 | $ | 2,215 | $ | 3,533 | $ | 2,806 | $ | 2,920 | $ | 11,474 | ||||||||||||
Pool new insurance written(8) | $ | 274 | $ | 968 | $ | 1,953 | $ | 5,270 | $ | 6,188 | $ | 14,379 | ||||||||||||
Pool new risk written(8) | $ | 4 | $ | 14 | $ | 41 | $ | 122 | $ | 178 | $ | 355 | ||||||||||||
Product mix as a % of primary new insurance written: | ||||||||||||||||||||||||
High LTV (above 97% LTV’s) | 15 | % | 21 | % | 31 | % | 35 | % | 36 | % | 32 | % | ||||||||||||
95.01% to 97% LTV’s | 2 | % | 2 | % | 2 | % | 3 | % | 3 | % | 3 | % | ||||||||||||
90.01% to 95% LTV’s | 23 | % | 26 | % | 26 | % | 21 | % | 22 | % | 24 | % | ||||||||||||
85.01% to 90% LTV’s | 44 | % | 40 | % | 30 | % | 31 | % | 27 | % | 31 | % | ||||||||||||
85% and below | 16 | % | 11 | % | 11 | % | 10 | % | 12 | % | 10 | % | ||||||||||||
Less than A quality loans | 4 | % | 8 | % | 12 | % | 10 | % | 9 | % | 10 | % | ||||||||||||
Alt-A loans | 13 | % | 15 | % | 22 | % | 32 | % | 38 | % | 27 | % | ||||||||||||
Interest only loans | 8 | % | 12 | % | 18 | % | 24 | % | 26 | % | 20 | % | ||||||||||||
Payment option ARMS | 0 | % | 1 | % | 2 | % | 3 | % | 3 | % | 3 | % | ||||||||||||
ARMs | 2 | % | 3 | % | 8 | % | 8 | % | 16 | % | 9 | % | ||||||||||||
Monthlies | 98 | % | 98 | % | 86 | % | 98 | % | 95 | % | 94 | % | ||||||||||||
Refinances | 45 | % | 36 | % | 31 | % | 38 | % | 47 | % | 37 | % | ||||||||||||
Structured transactions | 3 | % | 4 | % | 23 | % | 12 | % | 31 | % | 19 | % |
Page 9
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (2)
2008 | 2007 | |||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | ||||||||||||||||
(Dollars in millions, except loan size) | ||||||||||||||||||||
Primary Insurance and Risk in Force | ||||||||||||||||||||
Primary insurance in force | ||||||||||||||||||||
Flow | $ | 103,860 | $ | 102,410 | $ | 98,105 | $ | 91,864 | $ | 87,184 | ||||||||||
Structured transactions | 20,403 | 21,213 | 21,864 | 19,803 | 19,701 | |||||||||||||||
Total | $ | 124,263 | $ | 123,623 | $ | 119,969 | $ | 111,667 | $ | 106,885 | ||||||||||
Primary risk in force | ||||||||||||||||||||
Flow | $ | 26,156 | $ | 25,852 | $ | 24,754 | $ | 23,075 | $ | 21,837 | ||||||||||
Structured transactions | 4,896 | 5,115 | 5,324 | 5,016 | 5,138 | |||||||||||||||
Total | $ | 31,052 | $ | 30,967 | $ | 30,078 | $ | 28,091 | $ | 26,975 | ||||||||||
Pool risk in force(8) | $ | 3,443 | $ | 3,464 | $ | 3,476 | $ | 3,461 | $ | 3,373 | ||||||||||
Primary risk in force - credit score distribution | ||||||||||||||||||||
Flow | ||||||||||||||||||||
620 or above | 93.2 | % | 93.1 | % | 93.1 | % | 93.6 | % | 93.8 | % | ||||||||||
619-575 | 5.3 | % | 5.3 | % | 5.3 | % | 5.0 | % | 4.9 | % | ||||||||||
574 or below | 1.5 | % | 1.6 | % | 1.6 | % | 1.4 | % | 1.3 | % | ||||||||||
Structured transactions | ||||||||||||||||||||
620 or above | 86.2 | % | 86.1 | % | 86.1 | % | 85.4 | % | 85.3 | % | ||||||||||
619-575 | 8.7 | % | 8.8 | % | 8.8 | % | 9.2 | % | 9.2 | % | ||||||||||
574 or below | 5.1 | % | 5.1 | % | 5.1 | % | 5.4 | % | 5.5 | % | ||||||||||
Total | ||||||||||||||||||||
620 or above | 92.1 | % | 91.9 | % | 91.9 | % | 92.1 | % | 92.2 | % | ||||||||||
619-575 | 5.8 | % | 5.9 | % | 5.9 | % | 5.8 | % | 5.7 | % | ||||||||||
574 or below | 2.1 | % | 2.2 | % | 2.2 | % | 2.1 | % | 2.1 | % | ||||||||||
Primary average loan size(in thousands) | ||||||||||||||||||||
Flow | $ | 155.6 | $ | 153.7 | $ | 150.6 | $ | 146.6 | $ | 142.8 | ||||||||||
Structured transactions | $ | 160.8 | $ | 161.7 | $ | 162.0 | $ | 159.6 | $ | 159.2 | ||||||||||
Total | $ | 156.4 | $ | 155.0 | $ | 152.6 | $ | 148.7 | $ | 145.5 | ||||||||||
Loss severity(14) - primary(quarterly) | ||||||||||||||||||||
Flow | 95.7 | % | 95.5 | % | 90.6 | % | 87.9 | % | 88.5 | % | ||||||||||
Structured transactions | 98.9 | % | 94.6 | % | 92.0 | % | 92.5 | % | 90.3 | % | ||||||||||
Total | 96.9 | % | 95.2 | % | 91.1 | % | 89.3 | % | 89.0 | % | ||||||||||
Persistency (15) | ||||||||||||||||||||
Primary persistency rate | 77.6 | % | 75.5 | % | 73.3 | % | 71.7 | % | 70.7 | % | ||||||||||
Risk-to-capital ratio(9) | 11.9 to 1 | 10.8 to 1 | 9.6 to 1 | 8.6 to 1 | 8.3 to 1 |
Page 10
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (3)
3/31/2008 | 12/31/2007 | 3/31/2007 | |||||||||||||||||||
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 | $ | 411 | 1.3 | % | $ | 436 | 1.4 | % | $ | 529 | 2.0 | % | |||||||||
1999 | 300 | 1.0 | % | 312 | 1.0 | % | 355 | 1.3 | % | ||||||||||||
2000 | 137 | 0.4 | % | 144 | 0.5 | % | 173 | 0.6 | % | ||||||||||||
2001 | 509 | 1.6 | % | 539 | 1.7 | % | 650 | 2.4 | % | ||||||||||||
2002 | 1,109 | 3.6 | % | 1,173 | 3.8 | % | 1,425 | 5.3 | % | ||||||||||||
2003 | 2,992 | 9.6 | % | 3,174 | 10.2 | % | 3,818 | 14.2 | % | ||||||||||||
2004 | 3,163 | 10.2 | % | 3,344 | 10.8 | % | 4,159 | 15.4 | % | ||||||||||||
2005 | 4,596 | 14.8 | % | 4,829 | 15.6 | % | 5,851 | 21.7 | % | ||||||||||||
2006 | 5,914 | 19.1 | % | 6,191 | 20.0 | % | 7,132 | 26.4 | % | ||||||||||||
2007 | 10,519 | 33.9 | % | 10,825 | 35.0 | % | 2,883 | 10.7 | % | ||||||||||||
2008 | 1,402 | 4.5 | % | — | 0.0 | % | — | 0.0 | % | ||||||||||||
Total | $ | 31,052 | $ | 30,967 | $ | 26,975 | |||||||||||||||
3/31/2008 | 12/31/2007 | 3/31/2007 | |||||||||||||||||||
% 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 3/31/08 RIF) | |||||||||||||||||||||
Florida | 10.8 | % | 14.0 | % | 10.8 | % | 10.6 | % | 10.8 | % | 4.0 | % | |||||||||
California | 8.4 | % | 14.0 | % | 8.1 | % | 10.9 | % | 7.0 | % | 4.3 | % | |||||||||
Texas | 7.2 | % | 6.2 | % | 7.2 | % | 6.0 | % | 7.2 | % | 5.1 | % | |||||||||
Illinois | 5.0 | % | 9.0 | % | 5.0 | % | 8.2 | % | 5.2 | % | 5.5 | % | |||||||||
Georgia | 4.6 | % | 10.0 | % | 4.7 | % | 9.5 | % | 4.7 | % | 7.2 | % | |||||||||
Ohio | 3.8 | % | 10.7 | % | 3.8 | % | 10.8 | % | 4.2 | % | 8.5 | % | |||||||||
New York | 3.6 | % | 7.1 | % | 3.6 | % | 6.8 | % | 3.7 | % | 5.3 | % | |||||||||
Pennsylvania | 3.3 | % | 7.5 | % | 3.3 | % | 7.5 | % | 3.6 | % | 5.7 | % | |||||||||
Washington | 3.1 | % | 4.2 | % | 3.1 | % | 3.6 | % | 2.9 | % | 2.7 | % | |||||||||
New Jersey | 3.0 | % | 8.8 | % | 3.0 | % | 7.5 | % | 3.0 | % | 4.7 | % | |||||||||
2008 | 2007 | ||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | |||||||||||||||||
As a Percentage of Primary Risk in Force - loan to value ratios | |||||||||||||||||||||
High LTV (above 97% LTV’s) | 24.4 | % | 24.6 | % | 23.9 | % | 22.4 | % | 20.3 | % | |||||||||||
95.01% to 97% LTV’s | 3.8 | % | 3.8 | % | 4.0 | % | 4.3 | % | 4.5 | % | |||||||||||
90.01% to 95% LTV’s | 29.4 | % | 29.5 | % | 29.3 | % | 29.4 | % | 30.1 | % | |||||||||||
85.01% to 90% LTV’s | 35.3 | % | 35.0 | % | 34.9 | % | 35.7 | % | 36.5 | % | |||||||||||
85% and below | 7.1 | % | 7.1 | % | 7.9 | % | 8.2 | % | 8.6 | % | |||||||||||
As a Percentage of Primary Risk in Force: | |||||||||||||||||||||
Less-than-A quality (FICO scores below 620) | 7.9 | % | 8.1 | % | 8.1 | % | 7.9 | % | 7.8 | % | |||||||||||
Less-than-A quality (FICO scores below 575)(A) | 2.1 | % | 2.2 | % | 2.2 | % | 2.1 | % | 2.1 | % | |||||||||||
Alt-A Loans: | |||||||||||||||||||||
With FICO scores of 660 and above | 19.4 | % | 19.6 | % | 20.0 | % | 19.3 | % | 18.3 | % | |||||||||||
With FICO scores below 660 and above 619 | 3.0 | % | 3.2 | % | 3.4 | % | 3.7 | % | 3.8 | % | |||||||||||
Total Alt-A Loans | 22.4 | % | 22.8 | % | 23.4 | % | 23.0 | % | 22.1 | % | |||||||||||
ARMs(B) | 12.1 | % | 12.8 | % | 14.1 | % | 16.0 | % | 17.7 | % | |||||||||||
Interest Only(C) | 14.0 | % | 14.2 | % | 14.2 | % | 13.6 | % | 12.1 | % | |||||||||||
Payment Option ARMs | 3.7 | % | 3.8 | % | 3.9 | % | 4.2 | % | 4.3 | % |
(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 3.0% and 1.1% of RIF are subject to initial payment adjustment in 2008 and 2009, respectively. |
(C) | Approximately 97.8% and 96.2% of interest only loans written in 2007 and the first three months of 2008, respectively, have an initial deferral period of 5 years or greater. |
Page 11
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS DEFAULT INFORMATION
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total(13) | |||||||||||||||||||
(Dollars in millions, except claim size) | ||||||||||||||||||||||||
Primary loans, defaults and default rates | ||||||||||||||||||||||||
Primary policies in force | 794,323 | 797,419 | 786,301 | 750,835 | 734,431 | 797,419 | ||||||||||||||||||
Primary loans in default | 69,718 | 63,197 | 50,742 | 42,349 | 39,206 | 63,197 | ||||||||||||||||||
Primary default rate | 8.78 | % | 7.93 | % | 6.45 | % | 5.64 | % | 5.34 | % | 7.93 | % | ||||||||||||
Flow only default rate | 7.57 | % | 6.74 | % | 5.38 | % | 4.70 | % | 4.54 | % | 6.74 | % | ||||||||||||
Structured transactions only default rate | 15.14 | % | 13.92 | % | 11.65 | % | 10.37 | % | 9.29 | % | 13.92 | % | ||||||||||||
Pool default rate | 9.20 | % | 7.76 | % | 6.18 | % | 5.17 | % | 4.82 | % | 7.76 | % | ||||||||||||
Primary default rates by loan type | ||||||||||||||||||||||||
Alt-A loans | 17.47 | % | 13.86 | % | 9.92 | % | 7.32 | % | 6.06 | % | 13.86 | % | ||||||||||||
Less than A quality loans | 20.74 | % | 20.21 | % | 17.27 | % | 16.83 | % | 16.94 | % | 20.21 | % | ||||||||||||
Above 97s | 10.18 | % | 9.11 | % | 6.98 | % | 6.02 | % | 5.74 | % | 9.11 | % | ||||||||||||
ARMs (excluding 2/28 Hybrid ARMs) | 19.03 | % | 15.48 | % | 11.74 | % | 9.72 | % | 8.43 | % | 15.48 | % | ||||||||||||
2/28 Hybrid ARMs | 42.95 | % | 38.62 | % | 31.00 | % | 22.06 | % | 18.08 | % | 38.62 | % | ||||||||||||
Payment option ARMs | 19.59 | % | 14.46 | % | 9.28 | % | 6.32 | % | 4.34 | % | 14.46 | % | ||||||||||||
Interest Only | 15.04 | % | 10.98 | % | 7.11 | % | 5.02 | % | 4.15 | % | 10.98 | % | ||||||||||||
Claims paid(in millions) | ||||||||||||||||||||||||
Primary claims paid - flow | $ | 93.0 | $ | 71.0 | $ | 57.7 | $ | 46.7 | $ | 46.9 | $ | 222.3 | ||||||||||||
Primary claims paid - structured transactions | 59.9 | 34.7 | 29.4 | 21.6 | 18.4 | 104.1 | ||||||||||||||||||
Supplemental and other | 1.8 | 3.5 | 0.6 | (0.5 | ) | (0.4 | ) | 3.2 | ||||||||||||||||
Total primary claims paid | 154.7 | 109.2 | 87.7 | 67.8 | 64.9 | 329.6 | ||||||||||||||||||
Total pool and other | 7.9 | 5.3 | 4.9 | 4.5 | 4.4 | 19.1 | ||||||||||||||||||
Total claims paid | 162.6 | 114.5 | 92.6 | 72.3 | 69.3 | 348.7 | ||||||||||||||||||
Loss adjustment expenses | 6.2 | 3.4 | 3.3 | 3.4 | 3.5 | 13.6 | ||||||||||||||||||
Total claims paid including loss adjustment expenses | $ | 168.8 | $ | 117.9 | $ | 95.9 | $ | 75.7 | $ | 72.8 | $ | 362.3 | ||||||||||||
Number of primary claims paid | 3,722 | 2,889 | 2,675 | 2,336 | 2,362 | 10,262 | ||||||||||||||||||
Average primary claim size(in thousands) | $ | 41.6 | $ | 37.8 | $ | 32.8 | $ | 29.0 | $ | 27.5 | $ | 32.1 | ||||||||||||
Captive reinsurance arrangements(quarter-to-date) | ||||||||||||||||||||||||
Percentage of flow NIW subject to captive reinsurance arrangements | 68.4 | % | 74.3 | % | 64.2 | % | 60.9 | % | 49.2 | % | 62.7 | % | ||||||||||||
Percentage of primary NIW subject to captive reinsurance arrangements | 66.5 | % | 71.3 | % | 49.1 | % | 53.9 | % | 34.0 | % | 51.1 | % | ||||||||||||
Percentage of primary IIF subject to captive reinsurance arrangements | 53.0 | % | 52.2 | % | 50.2 | % | 50.3 | % | 51.0 | % | 52.2 | % | ||||||||||||
Percentage of primary RIF subject to captive reinsurance arrangements | 53.1 | % | 52.3 | % | 50.2 | % | 50.2 | % | 50.8 | % | 52.3 | % |
Page 12
THE PMI GROUP, INC. AND SUBSIDIARIES
U.S. MORTGAGE INSURANCE OPERATIONS ANALYSIS OF LOSS RESERVES
Loss Reserve Analysis
2008 | 2007 | |||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | ||||||||||||||||
(Dollars in millions) | ||||||||||||||||||||
Beginning reserves for losses and LAE at January 1, | $ | 1,133.1 | $ | 366.2 | $ | 366.2 | $ | 366.2 | $ | 366.2 | ||||||||||
Reinsurance recoverables | (35.9 | ) | (2.9 | ) | (2.9 | ) | (2.9 | ) | (2.9 | ) | ||||||||||
Net balance at January 1, | 1,097.2 | 363.3 | 363.3 | 363.3 | 363.3 | |||||||||||||||
Loss and LAE incurred (principally with respect to defaults occuring in ): | ||||||||||||||||||||
Current year | 363.2 | 894.4 | 419.6 | 181.5 | 80.1 | |||||||||||||||
Prior years | 173.8 | 201.7 | 155.9 | 45.7 | 12.7 | |||||||||||||||
Total incurred | 537.0 | 1,096.1 | 575.5 | 227.2 | 92.8 | |||||||||||||||
Loss and LAE payments (principally with respect to defaults occuring in ): | ||||||||||||||||||||
Current year | (0.1 | ) | (43.6 | ) | (12.3 | ) | (1.0 | ) | (0.1 | ) | ||||||||||
Prior years | (168.7 | ) | (318.6 | ) | (232.1 | ) | (147.5 | ) | (72.7 | ) | ||||||||||
Total payments | (168.8 | ) | (362.2 | ) | (244.4 | ) | (148.5 | ) | (72.8 | ) | ||||||||||
Net ending balance | 1,465.4 | 1,097.2 | 694.4 | 442.0 | 383.3 | |||||||||||||||
Reinsurance recoverables | 123.9 | 35.9 | 3.8 | 2.6 | 2.7 | |||||||||||||||
Ending reserves for losses and LAE | $ | 1,589.3 | $ | 1,133.1 | $ | 698.2 | $ | 444.6 | $ | 386.0 | ||||||||||
Loss Reserves by Book Year
3/31/2008 | 12/31/2007 | 12/31/2006 | 12/31/2005 | |||||||||
(Dollars in thousands) | ||||||||||||
2002 and prior | $ | 134,477 | $ | 117,987 | $ | 103,053 | $ | 149,157 | ||||
2003 | 95,622 | 87,713 | 65,107 | 80,443 | ||||||||
2004 | 133,461 | 119,017 | 76,606 | 80,865 | ||||||||
2005 | 298,904 | 238,077 | 83,339 | 35,071 | ||||||||
2006 | 462,662 | 345,918 | 38,077 | — | ||||||||
2007 | 461,633 | 224,368 | — | — | ||||||||
2008 | 2,494 | — | — | — | ||||||||
Total Loss Reserves | $ | 1,589,253 | $ | 1,133,080 | $ | 366,182 | $ | 345,536 | ||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | |||||||||||||||||||||
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 | 69,718 | $ | 1,498.9 | 63,197 | $ | 1,054.3 | 50,742 | $ | 651.2 | 42,349 | $ | 402.8 | 39,206 | $ | 348.7 | ||||||||||
Pool insurance(8) | 33,536 | 90.4 | 29,143 | 78.8 | 23,789 | 47.0 | 20,238 | 41.8 | 18,500 | 37.3 | |||||||||||||||
Total | 103,254 | $ | 1,589.3 | 92,340 | $ | 1,133.1 | 74,531 | $ | 698.2 | 62,587 | $ | 444.6 | 57,706 | $ | 386.0 | ||||||||||
Page 13
THE PMI GROUP, INC. AND SUBSIDIARIES
CMG MORTGAGE INSURANCE COMPANY STATISTICAL INFORMATION
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total(12) | |||||||||||||||||||
(Dollars in millions, except claims paid and claim size) | ||||||||||||||||||||||||
Primary new insurance written | $ | 1,353 | $ | 1,389 | $ | 1,621 | $ | 1,566 | $ | 1,053 | $ | 5,629 | ||||||||||||
Primary insurance in force | $ | 19,530 | $ | 18,942 | $ | 18,265 | $ | 17,415 | $ | 16,670 | $ | 18,942 | ||||||||||||
Primary risk in force | $ | 4,871 | $ | 4,721 | $ | 4,532 | $ | 4,292 | $ | 4,085 | $ | 4,721 | ||||||||||||
Policies in force | 129,032 | 126,342 | 123,164 | 118,933 | 115,224 | 126,342 | ||||||||||||||||||
Primary loans in default | 1,832 | 1,796 | 1,516 | 1,259 | 1,130 | 1,796 | ||||||||||||||||||
Primary default rate | 1.42 | % | 1.42 | % | 1.23 | % | 1.06 | % | 0.98 | % | 1.42 | % | ||||||||||||
Persistency | 81.6 | % | 81.6 | % | 80.7 | % | 79.2 | % | 78.5 | % | 81.6 | % | ||||||||||||
Primary claims paid(in thousands) | $ | 4,033 | $ | 3,726 | $ | 3,235 | $ | 2,392 | $ | 2,131 | $ | 11,484 | ||||||||||||
Number of primary claims paid | 118 | 112 | 116 | 83 | 75 | 386 | ||||||||||||||||||
Average primary claim size (in thousands) | $ | 34.2 | $ | 33.3 | $ | 27.9 | $ | 28.8 | $ | 28.4 | $ | 29.8 |
Page 14
THE PMI GROUP, INC. AND SUBSIDIARIES
INTERNATIONAL OPERATIONS SEGMENT(2) RESULTS OF OPERATIONS AND BALANCE SHEETS
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total | |||||||||||||||||||
(U.S. dollars in thousands) | ||||||||||||||||||||||||
Income Statement Components - Quarter Ended | ||||||||||||||||||||||||
Net premiums written | $ | 50,285 | $ | 62,817 | $ | 62,109 | $ | 65,376 | $ | 43,382 | $ | 233,684 | ||||||||||||
Revenues | ||||||||||||||||||||||||
Premiums earned | $ | 53,717 | $ | 52,940 | $ | 50,839 | $ | 46,384 | $ | 42,382 | $ | 192,545 | ||||||||||||
Net income (loss) from credit default swaps | 800 | $ | (9,483 | ) | $ | (8,371 | ) | $ | 1,579 | $ | 1,828 | $ | (14,447 | ) | ||||||||||
Net investment income | 26,872 | 23,905 | 22,366 | 20,581 | 19,164 | 86,016 | ||||||||||||||||||
Net realized investment gains (losses) | 9,470 | 183 | (231 | ) | 53 | 37 | 42 | |||||||||||||||||
Other (loss) income | (82 | ) | 476 | 577 | (614 | ) | 389 | 828 | ||||||||||||||||
Total revenues | 90,777 | 68,021 | 65,180 | 67,983 | 63,800 | 264,984 | ||||||||||||||||||
Losses and expenses | ||||||||||||||||||||||||
Losses and loss adjustment expenses | 39,675 | 51,420 | 24,530 | 11,776 | 16,536 | 104,262 | ||||||||||||||||||
Amortization of deferred policy acquisition costs | 5,334 | 6,882 | 4,939 | 4,131 | 3,761 | 19,713 | ||||||||||||||||||
Other underwriting and operating expenses | 16,862 | 14,505 | 14,740 | 12,657 | 10,573 | 52,475 | ||||||||||||||||||
Interest expense | — | — | — | — | 6 | 6 | ||||||||||||||||||
Total losses and expenses | 61,871 | 72,807 | 44,209 | 28,564 | 30,876 | 176,456 | ||||||||||||||||||
Income (loss) before income taxes | 28,906 | (4,786 | ) | 20,971 | 39,419 | 32,924 | 88,528 | |||||||||||||||||
Income tax expense | 11,130 | 5,326 | 7,092 | 11,322 | 9,798 | 33,538 | ||||||||||||||||||
Net income (loss) | $ | 17,776 | $ | (10,112 | ) | $ | 13,879 | $ | 28,097 | $ | 23,126 | $ | 54,990 | |||||||||||
Loss ratio(7) | 73.9 | % | 97.1 | % | 48.3 | % | 25.4 | % | 39.0 | % | 54.1 | % | ||||||||||||
Expense ratio(7) | 44.1 | % | 34.0 | % | 31.7 | % | 25.7 | % | 33.0 | % | 30.9 | % | ||||||||||||
Combined ratio | 118.0 | % | 131.1 | % | 80.0 | % | 51.1 | % | 72.0 | % | 85.0 | % | ||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | ||||||||||||||||||||
(U.S. dollars in thousands) | ||||||||||||||||||||||||
Balance Sheet Components - As of Quarter End | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Investments - available-for-sale, at fair value: | ||||||||||||||||||||||||
Fixed income securities | $ | 1,661,018 | $ | 1,514,198 | $ | 1,522,699 | $ | 1,318,542 | $ | 1,219,205 | ||||||||||||||
Equity securities: common | 1,867 | 42,689 | 44,650 | 42,026 | 37,417 | |||||||||||||||||||
Short term investments | 643 | 641 | 1,413 | 2,052 | 3,570 | |||||||||||||||||||
Total investments | $ | 1,663,528 | $ | 1,557,528 | $ | 1,568,762 | $ | 1,362,620 | $ | 1,260,192 | ||||||||||||||
Cash and cash equivalents | 122,802 | 135,702 | 112,847 | 216,869 | 138,444 | |||||||||||||||||||
Reinsurance recoverable | 1,068 | 987 | 956 | 916 | 904 | |||||||||||||||||||
Deferred policy acquisition costs | 46,359 | 45,327 | 47,541 | 45,960 | 43,397 | |||||||||||||||||||
Property, equipment and software, net of accumulated depreciation and amortization | 6,879 | 6,549 | 6,400 | 5,508 | 4,149 | |||||||||||||||||||
Other assets | 56,466 | 54,594 | 48,833 | 41,695 | 57,237 | |||||||||||||||||||
Total assets | $ | 1,897,102 | $ | 1,800,687 | $ | 1,785,339 | $ | 1,673,568 | $ | 1,504,323 | ||||||||||||||
Liabilities | ||||||||||||||||||||||||
Reserve for losses and loss adjustment expenses | $ | 135,016 | $ | 106,869 | $ | 72,148 | $ | 62,357 | $ | 56,984 | ||||||||||||||
Unearned premiums | 515,431 | 497,309 | 493,486 | 461,464 | 422,733 | |||||||||||||||||||
Other liabilities | 69,042 | 75,416 | 65,947 | 62,844 | 69,810 | |||||||||||||||||||
Total liabilities | 719,489 | 679,594 | 631,581 | 586,665 | 549,527 | |||||||||||||||||||
Shareholder’s equity | ||||||||||||||||||||||||
Common stock, additional paid-in capital and retained earnings | 885,145 | 866,585 | 876,693 | 862,812 | 760,243 | |||||||||||||||||||
Accumulated other comprehensive income, net of deferred taxes | 292,468 | 254,508 | 277,065 | 224,091 | 194,553 | |||||||||||||||||||
Total shareholder’s equity | 1,177,613 | 1,121,093 | 1,153,758 | 1,086,903 | 954,796 | |||||||||||||||||||
Total liabilities and shareholder’s equity | $ | 1,897,102 | $ | 1,800,687 | $ | 1,785,339 | $ | 1,673,568 | $ | 1,504,323 | ||||||||||||||
Page 15
THE PMI GROUP, INC. AND SUBSIDIARIES
PMI AUSTRALIA QUARTERLY FINANCIAL INFORMATION
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total | |||||||||||||||||||
(U.S. dollars in thousands, unless otherwise noted) | ||||||||||||||||||||||||
Income Statement Components - Quarter Ended | ||||||||||||||||||||||||
Revenues | ||||||||||||||||||||||||
Premiums written | ||||||||||||||||||||||||
Gross premiums written | $ | 42,236 | $ | 59,041 | $ | 56,816 | $ | 60,572 | $ | 39,525 | $ | 215,954 | ||||||||||||
Ceded and refunded premiums | (2,722 | ) | (1,525 | ) | (1,596 | ) | (1,461 | ) | (1,291 | ) | (5,873 | ) | ||||||||||||
Net premiums written | 39,514 | 57,516 | 55,220 | 59,111 | 38,234 | 210,081 | ||||||||||||||||||
Change in unearned premiums | 7,761 | (11,103 | ) | (10,996 | ) | (19,006 | ) | (1,870 | ) | (42,975 | ) | |||||||||||||
Premiums earned | 47,275 | 46,413 | 44,224 | 40,105 | 36,364 | 167,106 | ||||||||||||||||||
Net investment income | 21,409 | 20,325 | 18,779 | 17,251 | 16,146 | 72,501 | ||||||||||||||||||
Net realized investment gains (losses) | 9,654 | 160 | 36 | 68 | (75 | ) | 189 | |||||||||||||||||
Other (loss) income | (111 | ) | 574 | 487 | (599 | ) | 488 | 950 | ||||||||||||||||
Total revenues | 78,227 | 67,472 | 63,526 | 56,825 | 52,923 | 240,746 | ||||||||||||||||||
Losses and expenses | ||||||||||||||||||||||||
Losses and loss adjustment expenses | 20,634 | 29,350 | 21,849 | 10,144 | 16,157 | 77,500 | ||||||||||||||||||
Amortization of deferred policy acquisition costs | 4,773 | 4,054 | 4,424 | 3,655 | 3,363 | 15,496 | ||||||||||||||||||
Other underwriting and operating expenses | 9,289 | 8,223 | 9,235 | 8,212 | 7,460 | 33,130 | ||||||||||||||||||
Interest expense | — | — | — | — | 6 | 6 | ||||||||||||||||||
Total losses and expenses | 34,696 | 41,627 | 35,508 | 22,011 | 26,986 | 126,132 | ||||||||||||||||||
Income before income taxes | 43,531 | 25,845 | 28,018 | 34,814 | 25,937 | 114,614 | ||||||||||||||||||
Income tax expense | 13,041 | 8,030 | 8,304 | 10,385 | 7,890 | 34,609 | ||||||||||||||||||
Net income | $ | 30,490 | $ | 17,815 | $ | 19,714 | $ | 24,429 | $ | 18,047 | $ | 80,005 | ||||||||||||
Net income (AUS $ in thousands) | $ | 33,601 | $ | 19,867 | $ | 23,225 | $ | 29,320 | $ | 22,953 | $ | 95,365 | ||||||||||||
Loss Ratio(7) | 43.6 | % | 63.2 | % | 49.4 | % | 25.2 | % | 44.4 | % | 46.4 | % | ||||||||||||
Expense Ratio(7) | 35.6 | % | 21.3 | % | 24.7 | % | 20.1 | % | 28.3 | % | 23.1 | % | ||||||||||||
Combined Ratio | 79.2 | % | 84.5 | % | 74.1 | % | 45.3 | % | 72.7 | % | 69.5 | % | ||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | ||||||||||||||||||||
(U.S. dollars in thousands) | ||||||||||||||||||||||||
Balance Sheet Components - As of Quarter End | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Investments - available-for-sale, at fair value: | ||||||||||||||||||||||||
Fixed income securities | $ | 1,302,855 | $ | 1,182,179 | $ | 1,194,701 | $ | 1,064,267 | $ | 966,509 | ||||||||||||||
Equity securities | 1,863 | 42,685 | 44,646 | 42,022 | 37,413 | |||||||||||||||||||
Total investments | $ | 1,304,718 | $ | 1,224,864 | $ | 1,239,347 | $ | 1,106,289 | $ | 1,003,922 | ||||||||||||||
Cash and cash equivalents | 55,968 | 69,824 | 45,737 | 100,268 | 108,573 | |||||||||||||||||||
Deferred policy acquisition costs | 38,844 | 38,958 | 39,961 | 39,495 | 37,790 | |||||||||||||||||||
Property, equipment and software, net of accumulated depreciation and amortization | 4,699 | 4,325 | 4,141 | 3,725 | 2,653 | |||||||||||||||||||
Other assets | 37,417 | 40,787 | 37,829 | 32,493 | 40,884 | |||||||||||||||||||
Total assets | $ | 1,441,646 | $ | 1,378,758 | $ | 1,367,015 | $ | 1,282,270 | $ | 1,193,822 | ||||||||||||||
Liabilities | ||||||||||||||||||||||||
Reserve for losses and loss adjustment expenses | $ | 74,050 | $ | 65,060 | $ | 51,284 | $ | 44,023 | $ | 39,167 | ||||||||||||||
Unearned premiums | 464,575 | 452,743 | 448,166 | 417,721 | 379,252 | |||||||||||||||||||
Other liabilities | 13,133 | 27,159 | 24,857 | 32,385 | 39,844 | |||||||||||||||||||
Total liabilities | 551,758 | 544,962 | 524,307 | 494,129 | 458,263 | |||||||||||||||||||
Shareholder’s equity | ||||||||||||||||||||||||
Common stock, additional paid-in capital and retained earnings | 676,633 | 645,359 | 627,544 | 607,829 | 583,401 | |||||||||||||||||||
Accumulated other comprehensive income, net of deferred taxes | 213,255 | 188,437 | 215,164 | 180,312 | 152,158 | |||||||||||||||||||
Total shareholder’s equity | 889,888 | 833,796 | 842,708 | 788,141 | 735,559 | |||||||||||||||||||
Total liabilities and shareholder’s equity | $ | 1,441,646 | $ | 1,378,758 | $ | 1,367,015 | $ | 1,282,270 | $ | 1,193,822 | ||||||||||||||
Page 16
THE PMI GROUP, INC. AND SUBSIDIARIES
PMI AUSTRALIA STATISTICAL INFORMATION
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total(12) | |||||||||||||||||||
(U.S. dollars in millions, except loan size, claims paid and claim size) | ||||||||||||||||||||||||
New insurance written | ||||||||||||||||||||||||
Flow insurance written | $ | 4,654 | $ | 6,357 | $ | 6,142 | $ | 5,959 | $ | 4,300 | $ | 22,758 | ||||||||||||
RMBS insurance written | 408 | 1,714 | 3,594 | 6,151 | 3,284 | 14,743 | ||||||||||||||||||
New insurance written | $ | 5,062 | $ | 8,071 | $ | 9,736 | $ | 12,110 | $ | 7,584 | $ | 37,501 | ||||||||||||
Insurance in force | ||||||||||||||||||||||||
Flow | $ | 115,740 | $ | 109,943 | $ | 112,150 | $ | 107,229 | $ | 98,630 | $ | 109,943 | ||||||||||||
RMBS | 66,962 | 65,586 | 70,647 | 65,632 | 58,068 | 65,586 | ||||||||||||||||||
Total | $ | 182,702 | $ | 175,529 | $ | 182,797 | $ | 172,861 | $ | 156,698 | $ | 175,529 | ||||||||||||
Risk in force | ||||||||||||||||||||||||
Flow | $ | 101,151 | $ | 96,040 | $ | 97,858 | $ | 92,830 | $ | 85,349 | $ | 96,040 | ||||||||||||
RMBS | 66,738 | 65,364 | 70,424 | 65,405 | 57,858 | 65,364 | ||||||||||||||||||
Total | $ | 167,889 | $ | 161,404 | $ | 168,282 | $ | 158,235 | $ | 143,207 | $ | 161,404 | ||||||||||||
Average loan size(U.S. $ in thousands) | ||||||||||||||||||||||||
Flow | $ | 181.4 | $ | 172.3 | $ | 170.7 | $ | 161.5 | $ | 150.7 | $ | 172.3 | ||||||||||||
RMBS | $ | 165.0 | $ | 158.5 | $ | 158.4 | $ | 149.5 | $ | 139.4 | $ | 158.5 | ||||||||||||
Total | $ | 175.0 | $ | 166.9 | $ | 165.7 | $ | 156.7 | $ | 146.3 | $ | 166.9 | ||||||||||||
Loss severity (quarterly) | ||||||||||||||||||||||||
Flow | 22.2 | % | 21.7 | % | 22.4 | % | 21.4 | % | 22.1 | % | 22.0 | % | ||||||||||||
RMBS | 28.3 | % | 18.9 | % | 20.7 | % | 16.6 | % | 16.6 | % | 19.0 | % | ||||||||||||
Total | 22.6 | % | 21.6 | % | 22.2 | % | 20.8 | % | 21.7 | % | 21.7 | % | ||||||||||||
Primary loans, defaults and default rates | ||||||||||||||||||||||||
Policies in force - Flow | 638,159 | 638,135 | 656,969 | 664,099 | 654,296 | 638,135 | ||||||||||||||||||
Policies in force - RMBS | 405,823 | 413,718 | 445,912 | 439,106 | 416,678 | 413,718 | ||||||||||||||||||
Policies in force - Total | 1,043,982 | 1,051,853 | 1,102,881 | 1,103,205 | 1,070,974 | 1,051,853 | ||||||||||||||||||
Loans in default - Flow | 2,525 | 2,139 | 2,426 | 2,712 | 2,642 | 2,139 | ||||||||||||||||||
Loans in default - RMBS | 753 | 527 | 493 | 444 | 421 | 527 | ||||||||||||||||||
Loans in default - Total | 3,278 | 2,666 | 2,919 | 3,156 | 3,063 | 2,666 | ||||||||||||||||||
Default rate - Flow | 0.40 | % | 0.34 | % | 0.37 | % | 0.41 | % | 0.40 | % | 0.34 | % | ||||||||||||
Default rate - RMBS | 0.19 | % | 0.13 | % | 0.11 | % | 0.10 | % | 0.10 | % | 0.13 | % | ||||||||||||
Default rate - Total | 0.31 | % | 0.25 | % | 0.26 | % | 0.29 | % | 0.29 | % | 0.25 | % | ||||||||||||
Net claims paid(U.S. $ in thousands) | ||||||||||||||||||||||||
Net claims paid - Flow | $ | 13,247 | $ | 14,125 | $ | 14,629 | $ | 6,530 | $ | 7,923 | $ | 43,207 | ||||||||||||
Net claims paid - RMBS | 1,171 | 777 | 2,167 | 787 | 466 | 4,197 | ||||||||||||||||||
Net claims paid - Total | $ | 14,418 | $ | 14,902 | $ | 16,796 | $ | 7,317 | $ | 8,389 | $ | 47,404 | ||||||||||||
Number of claims paid - Flow | 189 | 208 | 222 | 117 | 115 | 662 | ||||||||||||||||||
Number of claims paid - RMBS | 12 | 14 | 25 | 13 | 11 | 63 | ||||||||||||||||||
Number of claims paid - Total | 201 | 222 | 247 | 130 | 126 | 725 | ||||||||||||||||||
Average claim size- Flow(U.S. $ in thousands) | $ | 70.1 | $ | 67.9 | $ | 65.9 | $ | 55.8 | $ | 68.9 | $ | 65.3 | ||||||||||||
Average claim size- RMBS | $ | 97.6 | $ | 55.5 | $ | 86.7 | $ | 60.5 | $ | 42.4 | $ | 66.6 | ||||||||||||
Average claim size- Total | $ | 71.7 | $ | 67.1 | $ | 68.0 | $ | 56.3 | $ | 66.6 | $ | 65.4 |
Page 17
THE PMI GROUP, INC. AND SUBSIDIARIES
PMI EUROPE QUARTERLY FINANCIAL INFORMATION
2008 | 2007 | |||||||||||||||||||||||
Income Statement Components - Quarter Ended | 3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total | ||||||||||||||||||
(U.S. dollars in thousands, unless otherwise noted) | ||||||||||||||||||||||||
Net premiums written | $ | 5,368 | $ | 2,802 | $ | 4,420 | $ | 3,497 | $ | 3,404 | $ | 14,123 | ||||||||||||
Revenues | ||||||||||||||||||||||||
Premiums earned | $ | 3,156 | $ | 3,704 | $ | 3,644 | $ | 3,519 | $ | 3,579 | $ | 14,446 | ||||||||||||
Income (loss) from credit default swaps: | ||||||||||||||||||||||||
Realized gains from credit default swaps | 3,408 | (1,087 | ) | 176 | 1,579 | 1,828 | 2,496 | |||||||||||||||||
Unrealized losses from credit default swaps | (2,608 | ) | (8,396 | ) | (8,547 | ) | — | — | (16,943 | ) | ||||||||||||||
Net income (loss) from credit default swaps | 800 | (9,483 | ) | (8,371 | ) | 1,579 | 1,828 | (14,447 | ) | |||||||||||||||
Net investment income | 3,972 | 1,919 | 2,080 | 2,225 | 2,408 | 8,632 | ||||||||||||||||||
Net realized investment (losses) gains | (231 | ) | 6 | (267 | ) | (15 | ) | 112 | (164 | ) | ||||||||||||||
Other loss | — | — | (8 | ) | (26 | ) | (100 | ) | (134 | ) | ||||||||||||||
Total revenues | 7,697 | (3,854 | ) | (2,922 | ) | 7,282 | 7,827 | 8,333 | ||||||||||||||||
Losses and expenses | ||||||||||||||||||||||||
Losses and loss adjustment expenses | 18,975 | 22,111 | 2,719 | 1,611 | 364 | 26,805 | ||||||||||||||||||
Amortization of deferred policy acquisition costs | 345 | 2,617 | 341 | 284 | 227 | 3,469 | ||||||||||||||||||
Other underwriting and operating expenses | 4,633 | 4,283 | 3,880 | 3,108 | 2,769 | 14,040 | ||||||||||||||||||
Total losses and expenses | 23,953 | 29,011 | 6,940 | 5,003 | 3,360 | 44,314 | ||||||||||||||||||
(Loss) income before income taxes | (16,256 | ) | (32,865 | ) | (9,862 | ) | 2,279 | 4,467 | (35,981 | ) | ||||||||||||||
Income tax (benefit) expense | (2,336 | ) | (3,281 | ) | (1,417 | ) | 624 | 1,488 | (2,586 | ) | ||||||||||||||
Net (loss) income | $ | (13,920 | ) | $ | (29,584 | ) | $ | (8,445 | ) | $ | 1,655 | $ | 2,979 | $ | (33,395 | ) | ||||||||
Net (loss) income(Euros in thousands) | (€8,857 | ) | (€21,715 | ) | (€6,144 | ) | € | 1,227 | € | 2,272 | (€24,360 | ) | ||||||||||||
Loss Ratio(7) | 601.2 | % | 596.9 | % | 74.6 | % | 45.8 | % | 10.2 | % | 185.6 | % | ||||||||||||
Expense Ratio(7) | 92.7 | % | 246.3 | % | 95.5 | % | 97.0 | % | 88.0 | % | 124.0 | % | ||||||||||||
Combined Ratio | 693.9 | % | 843.2 | % | 170.1 | % | 142.8 | % | 98.2 | % | 309.6 | % | ||||||||||||
Balance Sheet Components - As of Quarter End | 3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | |||||||||||||||||||
(U.S. dollars in thousands) | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Investments - available-for-sale, at fair value: | ||||||||||||||||||||||||
Fixed income securities | $ | 222,364 | $ | 200,825 | $ | 203,992 | $ | 197,165 | $ | 198,445 | ||||||||||||||
Cash and cash equivalents | 53,765 | 53,335 | 47,715 | 36,316 | 23,662 | |||||||||||||||||||
Reinsurance recoverable | 1,068 | 987 | 956 | 916 | 904 | |||||||||||||||||||
Deferred policy acquisition costs | 4,623 | 3,921 | 5,346 | 4,366 | 3,821 | |||||||||||||||||||
Property, equipment and software, net of accumulated depreciation and amortization | 1,372 | 1,323 | 1,317 | 1,293 | 1,344 | |||||||||||||||||||
Other assets | 15,837 | 11,780 | 10,103 | 9,327 | 14,809 | |||||||||||||||||||
Total assets | $ | 299,029 | $ | 272,171 | $ | 269,429 | $ | 249,383 | $ | 242,985 | ||||||||||||||
Liabilities | ||||||||||||||||||||||||
Reserve for losses and loss adjustment expenses | $ | 60,692 | $ | 41,579 | $ | 20,634 | $ | 18,083 | $ | 17,587 | ||||||||||||||
Unearned premiums | 27,140 | 22,983 | 23,347 | 21,390 | 21,117 | |||||||||||||||||||
Other liabilities | 50,432 | 45,534 | 36,772 | 24,154 | 26,697 | |||||||||||||||||||
Total liabilities | 138,264 | 110,096 | 80,753 | 63,627 | 65,401 | |||||||||||||||||||
Shareholder’s equity | ||||||||||||||||||||||||
Common stock, additional paid-in capital and retained earnings | 93,421 | 107,341 | 136,926 | 145,371 | 135,715 | |||||||||||||||||||
Accumulated other comprehensive income, net of deferred taxes | 67,344 | 54,734 | 51,750 | 40,385 | 41,869 | |||||||||||||||||||
Total shareholder’s equity | 160,765 | 162,075 | 188,676 | 185,756 | 177,584 | |||||||||||||||||||
Total liabilities and shareholder’s equity | $ | 299,029 | $ | 272,171 | $ | 269,429 | $ | 249,383 | $ | 242,985 | ||||||||||||||
Page 18
THE PMI GROUP, INC. AND SUBSIDIARIES
PMI ASIA QUARTERLY FINANCIAL INFORMATION
2008 | 2007 | |||||||||||||||||||||||
Income Statement Components - Quarter Ended | 3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total | ||||||||||||||||||
(U.S. dollars in thousands, unless otherwise noted) | ||||||||||||||||||||||||
Reinsurance premiums written | $ | 3,083 | $ | 2,499 | $ | 2,470 | $ | 2,768 | $ | 1,743 | $ | 9,480 | ||||||||||||
Revenues | ||||||||||||||||||||||||
Premiums earned | $ | 3,237 | $ | 2,823 | $ | 2,971 | $ | 2,760 | $ | 2,439 | $ | 10,993 | ||||||||||||
Net investment income and other | 744 | 740 | 720 | 606 | 610 | 2,676 | ||||||||||||||||||
Total revenues | 3,981 | 3,563 | 3,691 | 3,366 | 3,049 | 13,669 | ||||||||||||||||||
Losses and expenses | ||||||||||||||||||||||||
Losses and loss adjustment expenses (reversals) | 21 | (41 | ) | (38 | ) | 21 | 15 | (43 | ) | |||||||||||||||
Amortization of deferred policy acquisition costs | 216 | 211 | 174 | 192 | 171 | 748 | ||||||||||||||||||
Other underwriting and operating expenses | 592 | 385 | 288 | 335 | 233 | 1,241 | ||||||||||||||||||
Total losses and expenses | 829 | 555 | 424 | 548 | 419 | 1,946 | ||||||||||||||||||
Income before income taxes | 3,152 | 3,008 | 3,267 | 2,818 | 2,630 | 11,723 | ||||||||||||||||||
Income tax expense | 425 | 152 | 355 | 491 | 460 | 1,458 | ||||||||||||||||||
Net income | $ | 2,727 | $ | 2,856 | $ | 2,912 | $ | 2,327 | $ | 2,170 | $ | 10,265 | ||||||||||||
Net income(HK$ in thousands) | $ | 21,254 | $ | 22,210 | $ | 22,728 | $ | 18,189 | $ | 16,938 | $ | 80,065 | ||||||||||||
Loss Ratio(7) | 0.6 | % | (1.5 | )% | (1.3 | )% | 0.8 | % | 0.6 | % | (0.4 | )% | ||||||||||||
Expense Ratio(7) | 26.2 | % | 23.8 | % | 18.7 | % | 19.0 | % | 23.2 | % | 21.0 | % | ||||||||||||
Combined Ratio | 26.8 | % | 22.3 | % | 17.4 | % | 19.8 | % | 23.8 | % | 20.6 | % | ||||||||||||
Balance Sheet Components - As of Quarter End | 3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | |||||||||||||||||||
(U.S. dollars in thousands) | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Investments - available-for-sale, at fair value: | ||||||||||||||||||||||||
Fixed income securities | $ | 70,120 | $ | 66,366 | $ | 64,195 | $ | 57,114 | $ | 54,255 | ||||||||||||||
Short term investments | 643 | 641 | 1,413 | 2,052 | 3,570 | |||||||||||||||||||
Total investments | $ | 70,763 | $ | 67,007 | $ | 65,608 | $ | 59,166 | $ | 57,825 | ||||||||||||||
Cash and cash equivalents | 5,102 | 3,580 | 3,274 | 9,748 | 6,209 | |||||||||||||||||||
Deferred policy acquisition costs | 2,509 | 2,448 | 2,234 | 2,099 | 1,786 | |||||||||||||||||||
Property, equipment and software, net of accumulated depreciation and amortization | 115 | 129 | 159 | 167 | 152 | |||||||||||||||||||
Other assets | 2,212 | 1,633 | (462 | ) | (383 | ) | 1,544 | |||||||||||||||||
Total assets | $ | 80,701 | $ | 74,797 | $ | 70,813 | $ | 70,797 | $ | 67,516 | ||||||||||||||
Liabilities | ||||||||||||||||||||||||
Reserve for losses and loss adjustment expenses | $ | 230 | $ | 230 | $ | 230 | $ | 251 | $ | 230 | ||||||||||||||
Unearned premiums | 21,478 | 21,583 | 21,973 | 22,353 | 22,364 | |||||||||||||||||||
Other liabilities | 3,215 | 1,605 | 1,654 | 5,155 | 3,173 | |||||||||||||||||||
Total liabilities | 24,923 | 23,418 | 23,857 | 27,759 | 25,767 | |||||||||||||||||||
Shareholder’s equity | ||||||||||||||||||||||||
Common stock, additional paid-in capital and retained earnings | 52,045 | 49,318 | 46,462 | 43,549 | 41,222 | |||||||||||||||||||
Accumulated other comprehensive income (loss), net of deferred taxes | 3,733 | 2,061 | 494 | (511 | ) | 527 | ||||||||||||||||||
Total shareholder’s equity | 55,778 | 51,379 | 46,956 | 43,038 | 41,749 | |||||||||||||||||||
Total liabilities and shareholder’s equity | $ | 80,701 | $ | 74,797 | $ | 70,813 | $ | 70,797 | $ | 67,516 | ||||||||||||||
Page 19
THE PMI GROUP, INC. AND SUBSIDIARIES
PMI EUROPE STATISTICAL INFORMATION
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total (12) | |||||||||||||||||||
(U.S. dollars in millions, except claims paid) | ||||||||||||||||||||||||
New insurance written | $ | 95 | $ | 236 | $ | 132 | $ | 141 | $ | 136 | $ | 645 | ||||||||||||
New credit default swaps written | $ | — | $ | 12,067 | $ | 1,919 | $ | — | $ | — | $ | 13,986 | ||||||||||||
New reinsurance written | $ | 1,934 | $ | 617 | $ | 1,402 | $ | 1,778 | $ | 504 | $ | 4,301 | ||||||||||||
Insurance in force | $ | 63,103 | $ | 62,929 | $ | 51,707 | $ | 48,120 | $ | 48,121 | $ | 62,929 | ||||||||||||
Risk in force | $ | 9,628 | $ | 9,420 | $ | 5,711 | $ | 3,813 | $ | 3,824 | $ | 9,420 | ||||||||||||
Claims paid including credit default swaps(in thousands) | $ | 3,562 | $ | 2,898 | $ | 3,207 | $ | 2,577 | $ | 1,547 | $ | 10,229 | ||||||||||||
PMI ASIA STATISTICAL INFORMATION | ||||||||||||||||||||||||
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total(12) | |||||||||||||||||||
(U.S. dollars in millions, except claims paid and average claim size) | ||||||||||||||||||||||||
New reinsurance written | $ | 307 | $ | 256 | $ | 220 | $ | 212 | $ | 167 | $ | 855 | ||||||||||||
Insurance in force | $ | 2,804 | $ | 2,724 | $ | 2,663 | $ | 2,596 | $ | 2,526 | $ | 2,724 | ||||||||||||
Risk in force | $ | 310 | $ | 310 | $ | 314 | $ | 309 | $ | 306 | $ | 310 | ||||||||||||
Policies in force | 11,901 | 11,773 | 11,530 | 11,437 | 11,189 | 11,773 | ||||||||||||||||||
Loans in default | 13 | 14 | 14 | 16 | 16 | 14 | ||||||||||||||||||
Default rate | 0.11 | % | 0.12 | % | 0.12 | % | 0.14 | % | 0.14 | % | 0.12 | % | ||||||||||||
Claims paid(in thousands) | $ | — | $ | 24 | $ | — | $ | — | $ | 9 | $ | 33 | ||||||||||||
Number of claims paid | — | 1 | — | — | 1 | 2 | ||||||||||||||||||
Average claim size(in thousands) | $ | — | $ | 24 | $ | — | $ | — | $ | 9 | $ | 17 |
Page 20
THE PMI GROUP, INC. AND SUBSIDIARIES
FINANCIAL GUARANTY SEGMENT(3) RESULTS OF OPERATIONS AND BALANCE SHEETS
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total | |||||||||||||||||||
(Dollars in thousands) | ||||||||||||||||||||||||
Income Statement Components - Quarter Ended | ||||||||||||||||||||||||
Net premiums written | $ | 34 | $ | 396 | $ | 202 | $ | 1,414 | $ | 4,741 | $ | 6,753 | ||||||||||||
Revenues | ||||||||||||||||||||||||
Premiums earned | $ | 412 | $ | 436 | $ | 438 | $ | 552 | $ | 207 | $ | 1,633 | ||||||||||||
Net investment income | 2,230 | 2,250 | 2,321 | 2,314 | 2,321 | 9,206 | ||||||||||||||||||
Net realized investment gains (losses) | — | 3 | (354 | ) | — | — | (351 | ) | ||||||||||||||||
Impairment of unconsolidated subsidiary(16) | (87,981 | ) | (38,499 | ) | — | — | — | (38,499 | ) | |||||||||||||||
Total revenues | (85,339 | ) | (35,810 | ) | 2,405 | 2,866 | 2,528 | (28,011 | ) | |||||||||||||||
Losses and expenses | ||||||||||||||||||||||||
Losses and loss adjustment expenses | 3,086 | 2,649 | — | — | — | 2,649 | ||||||||||||||||||
Amortization of deferred policy acquisition costs | 311 | 313 | 274 | 269 | 102 | 958 | ||||||||||||||||||
Other underwriting and operating expenses | 1,436 | 1,112 | 507 | 432 | 454 | 2,505 | ||||||||||||||||||
Interest expense(11) | 731 | 731 | 731 | 732 | 731 | 2,925 | ||||||||||||||||||
Total losses and expenses | 5,564 | 4,805 | 1,512 | 1,433 | 1,287 | 9,037 | ||||||||||||||||||
(Loss) income before equity in (losses) earnings from unconsolidated subsidiaries and income taxes | (90,903 | ) | (40,615 | ) | 893 | 1,433 | 1,241 | (37,048 | ) | |||||||||||||||
Equity in (losses) earnings from unconsolidated subsidiaries: | ||||||||||||||||||||||||
Equity in (losses) earnings excluding gains and losses on credit derivative contracts | (836 | ) | (320,082 | ) | 29,542 | 35,302 | 31,577 | (223,661 | ) | |||||||||||||||
Net realized and unrealized (losses) gains on credit derivative contracts | (35,400 | ) | (474,555 | ) | (56,283 | ) | (4,460 | ) | 126 | (535,172 | ) | |||||||||||||
Equity in (losses) earnings from unconsolidated subsidiaries | (36,236 | ) | (794,637 | ) | (26,741 | ) | 30,842 | 31,703 | (758,833 | ) | ||||||||||||||
(Loss) income before income taxes | (127,139 | ) | (835,252 | ) | (25,848 | ) | 32,275 | 32,944 | (795,881 | ) | ||||||||||||||
Income tax (benefit) expense | (2,901 | ) | (69,096 | ) | (1,456 | ) | 3,261 | 3,080 | (64,211 | ) | ||||||||||||||
Net (loss) income | $ | (124,238 | ) | $ | (766,156 | ) | $ | (24,392 | ) | $ | 29,014 | $ | 29,864 | $ | (731,670 | ) | ||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | ||||||||||||||||||||
(Dollars in thousands) | ||||||||||||||||||||||||
Balance Sheet Components - As of Quarter End | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Investments - available-for-sale, at fair value: | ||||||||||||||||||||||||
Fixed income securities | $ | 163,534 | $ | 167,915 | $ | 167,276 | $ | 165,422 | $ | 133,461 | ||||||||||||||
Equity securities: preferred | 21,102 | 22,465 | 26,880 | 25,131 | 24,459 | |||||||||||||||||||
Total investments | $ | 184,636 | $ | 190,380 | $ | 194,156 | $ | 190,553 | $ | 157,920 | ||||||||||||||
Cash and cash equivalents | 7,419 | 11,252 | 11,610 | 15,414 | 56,260 | |||||||||||||||||||
Investments in unconsolidated subsidiaries | 25,998 | 163,661 | 984,417 | 996,431 | 977,523 | |||||||||||||||||||
Deferred policy acquisition costs | 3,600 | 3,911 | 3,902 | 3,312 | 2,182 | |||||||||||||||||||
Property, equipment and software, net of accumulated depreciation and amortization | 174 | 187 | 131 | 132 | 133 | |||||||||||||||||||
Other assets | 13,401 | 52,917 | 3,838 | 4,282 | 5,282 | |||||||||||||||||||
Total assets | $ | 235,228 | $ | 422,308 | $ | 1,198,054 | $ | 1,210,124 | $ | 1,199,300 | ||||||||||||||
Liabilities | ||||||||||||||||||||||||
Reserve for losses and loss adjustment expenses | $ | 5,200 | $ | 2,650 | $ | — | $ | — | $ | — | ||||||||||||||
Unearned premiums | 6,331 | 6,709 | 6,748 | 6,984 | 6,123 | |||||||||||||||||||
Long-term debt | 50,000 | 50,000 | 50,000 | 50,000 | 50,000 | |||||||||||||||||||
Other liabilities | (45,082 | ) | 2,892 | 37,766 | 40,817 | 45,745 | ||||||||||||||||||
Total liabilities | 16,449 | 62,251 | 94,514 | 97,801 | 101,868 | |||||||||||||||||||
Shareholder’s equity | ||||||||||||||||||||||||
Common stock, additional paid-in capital and retained earnings | 224,150 | 348,388 | 1,105,295 | 1,114,767 | 1,097,493 | |||||||||||||||||||
Accumulated other comprehensive (loss) income, net of deferred taxes | (5,371 | ) | 11,669 | (1,755 | ) | (2,444 | ) | (61 | ) | |||||||||||||||
Total shareholder’s equity | 218,779 | 360,057 | 1,103,540 | 1,112,323 | 1,097,432 | |||||||||||||||||||
Total liabilities and shareholder’s equity | $ | 235,228 | $ | 422,308 | $ | 1,198,054 | $ | 1,210,124 | $ | 1,199,300 | ||||||||||||||
Page 21
THE PMI GROUP, INC. AND SUBSIDIARIES
CORPORATE AND OTHER SEGMENT(4) RESULTS OF OPERATIONS AND BALANCE SHEETS
2008 | 2007 | |||||||||||||||||||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | Total | |||||||||||||||||||
(Dollars in thousands) | ||||||||||||||||||||||||
Income Statement Components - Quarter Ended | ||||||||||||||||||||||||
Net premiums written | $ | 8 | $ | 19 | $ | 14 | $ | 7 | $ | 12 | $ | 52 | ||||||||||||
Revenues | ||||||||||||||||||||||||
Premiums earned | $ | 12 | $ | 10 | $ | 18 | $ | 16 | $ | 13 | $ | 57 | ||||||||||||
Net investment income | 1,211 | 1,400 | 1,935 | 2,258 | 2,832 | 8,425 | ||||||||||||||||||
Net realized investment (losses) gains | (11 | ) | 12,669 | (1,886 | ) | (620 | ) | (726 | ) | 9,437 | ||||||||||||||
Change in fair value of certain debt instruments(17) | 28,708 | — | — | — | — | — | ||||||||||||||||||
Other income | 3,243 | 3,270 | 4,563 | 4,769 | 1,706 | 14,308 | ||||||||||||||||||
Total revenues | 33,163 | 17,349 | 4,630 | 6,423 | 3,825 | 32,227 | ||||||||||||||||||
Losses and expenses | ||||||||||||||||||||||||
Losses and loss adjustment expenses | — | — | — | — | — | — | ||||||||||||||||||
Other underwriting and operating expenses(6) | 18,283 | 18,400 | 16,918 | 19,925 | 24,013 | 79,256 | ||||||||||||||||||
Interest expense | 7,600 | 7,619 | 7,591 | 7,627 | 7,522 | 30,359 | ||||||||||||||||||
Total losses and expenses | 25,883 | 26,019 | 24,509 | 27,552 | 31,535 | 109,615 | ||||||||||||||||||
Income (loss) before equity in (losses) earnings from unconsolidated subsidiaries and income taxes | 7,280 | (8,670 | ) | (19,879 | ) | (21,129 | ) | (27,710 | ) | (77,388 | ) | |||||||||||||
Equity in (losses) earnings from unconsolidated subsidiaries | (121 | ) | 8 | (28 | ) | 289 | (55 | ) | 214 | |||||||||||||||
Income (loss) before income taxes | 7,159 | (8,662 | ) | (19,907 | ) | (20,840 | ) | (27,765 | ) | (77,174 | ) | |||||||||||||
Income tax expense (benefit) | 2,184 | (6,528 | ) | (8,869 | ) | (6,015 | ) | (7,932 | ) | (29,344 | ) | |||||||||||||
Net income (loss) | $ | 4,975 | $ | (2,134 | ) | $ | (11,038 | ) | $ | (14,825 | ) | $ | (19,833 | ) | $ | (47,830 | ) | |||||||
3/31/2008 | 12/31/2007 | 9/30/2007 | 6/30/2007 | 3/31/2007 | ||||||||||||||||||||
(Dollars in thousands) | ||||||||||||||||||||||||
Balance Sheet Components - As of Quarter End | ||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||
Investments - available-for-sale, at fair value: | ||||||||||||||||||||||||
Fixed income securities | $ | 51,979 | $ | 52,974 | $ | 53,088 | $ | 53,120 | $ | 53,849 | ||||||||||||||
Equity securities: common | 1,242 | 1,242 | 1,275 | 3,477 | 4,250 | |||||||||||||||||||
Short term investments | 1,300 | 1,300 | 1,301 | 1,300 | 1,300 | |||||||||||||||||||
Total investments | $ | 54,521 | $ | 55,516 | $ | 55,664 | $ | 57,897 | $ | 59,399 | ||||||||||||||
Cash and cash equivalents | 40,214 | 51,512 | 45,335 | 163,700 | 100,574 | |||||||||||||||||||
Investments in unconsolidated subsidiaries | 15,493 | 14,914 | 15,158 | 15,224 | 15,200 | |||||||||||||||||||
Property, equipment and software, net of accumulated depreciation and amortization | 78,627 | 79,142 | 79,594 | 80,807 | 81,867 | |||||||||||||||||||
Other assets | 8,821 | 49,657 | 39,901 | 42,165 | 14,222 | |||||||||||||||||||
Total assets | $ | 197,676 | $ | 250,741 | $ | 235,652 | $ | 359,793 | $ | 271,262 | ||||||||||||||
Liabilities | ||||||||||||||||||||||||
Unearned premiums | $ | 26 | $ | 29 | $ | 21 | $ | 25 | $ | 33 | ||||||||||||||
Debt | 364,378 | 446,593 | 446,593 | 446,593 | 446,593 | |||||||||||||||||||
Other (assets) | 7,893 | (515 | ) | (16,256 | ) | (2,423 | ) | (76,061 | ) | |||||||||||||||
Total liabilities | 372,297 | 446,107 | 430,358 | 444,195 | 370,565 | |||||||||||||||||||
Shareholder’s equity | ||||||||||||||||||||||||
Common stock, additional paid-in capital, treasury stock and retained earnings | (169,824 | ) | (190,290 | ) | (191,753 | ) | (65,912 | ) | (92,503 | ) | ||||||||||||||
Accumulated other comprehensive loss, net of deferred taxes | (4,797 | ) | (5,076 | ) | (2,953 | ) | (18,490 | ) | (6,800 | ) | ||||||||||||||
Total shareholder’s deficit | (174,621 | ) | (195,366 | ) | (194,706 | ) | (84,402 | ) | (99,303 | ) | ||||||||||||||
Total liabilities and shareholder’s equity (deficit) | $ | 197,676 | $ | 250,741 | $ | 235,652 | $ | 359,793 | $ | 271,262 | ||||||||||||||
Page 22