The PMI Group, Inc. Supplemental Portfolio Information As of December 31, 2008 Exhibit 99.2 ***************************** ***************************** ***************************** |
2 The PMI Group, Inc. Definition of Terms 2/28s – refers to loans with interest rates that are fixed for two years and reset to a new interest rate at the end of year two for the remaining term of the loan. ARMs – refers to loans with adjustable interest rates. We consider a loan an ARM if its interest rate may be adjusted prior to the loan’s fifth anniversary. A Quality Loans – we define A quality to include loans with credit scores of 620 and greater. Alt-A Loans – we consider a loan Alt-A if it has a credit score of 620 or greater and the borrower requests and is given the option of providing reduced documentation verifying income, assets, deposit information and/or employment. Captive Reinsurance – refers to agreements in which a portion of risk insured by PMI is reinsured by a captive reinsurance company affiliated with the mortgage originator or investor. Defaults – our primary mortgage insurance master policy defines “default” as the borrower’s failure to pay when due an amount equal to the scheduled monthly mortgage payment under the terms of the mortgage. Generally, the master policies require an insured to notify PMI of a default no later than the last business day of the month following the month in which the borrower becomes three monthly payments in default. For reporting purposes and internal tracking purposes, we do not consider a loan to be in default until the borrower has missed two consecutive payments. Depending upon its scheduled payment date, a loan delinquent for two consecutive monthly payments could be reported to PMI between the 31 and the 60 day after the first missed payment. Flow – generally refers to mortgage insurance offered on a loan-by-loan basis to lenders. GSE Pool – refers to a traditional pool product for mortgage loans sold by PMI’s customers to the GSEs. This product was available from 1997 to 2001. Interest Only Loans – refers to loans that do not reduce principal during the initial deferral period (usually between two and ten years) and therefore do not accumulate equity through loan amortization during the initial deferral period. Approximately 91% of our interest only loans have an initial deferral period of 5 years or greater. The average initial deferral period for loans insured in 2007 was 9 years. Insurance in Force (IIF) – refers to the current principal balance of all outstanding mortgage loans with insurance coverage as of a given date. Less-than-A Quality Loans – we define less-than-A credit quality loans to include loans with credit scores of 619 or below. The majority of our less-than-A-quality loans have credit scores above 575. st th |
3 The PMI Group, Inc. Definition of Terms Modified Pool Insurance – modified pool insurance may be used in addition to primary mortgage insurance or may be placed on loans that do not require primary insurance. Coverage of modified pool products varies. Some products provide first loss protection by covering a percentage of the losses on individual loans held within the pool of insured loans up to a stated aggregate loss limit (“stop loss limit”) for the entire pool. Some modified pool products offer mezzanine-level coverage by providing for claims payments only after a predetermined cumulative claims level, or deductible, is reached. New Insurance Written (NIW) – refers to the original principal balance of all loans that receive new primary mortgage insurance coverage during a given period. New Risk Written (NRW) – refers to the aggregate dollar amount of each insured mortgage loan’s current principal balance multiplied by the insurance coverage percentage specified in the policy for all loans that receive new primary mortgage insurance coverage during a given period. Old Pool – refers to a traditional pool product for mortgage loans sold by PMI’s customers to capital market participants. Payment Option ARMs – generally refers to loans that provide the borrower an option every month to make a payment consisting of principal and interest, interest only, or an amount established by the lender that may be less than the interest owed. Primary Insurance – refers to mortgage insurance placed on a loan-by-loan basis through our “flow” channel and mortgage insurance issued for mortgage-backed securities and portfolio investors through our “structured transactions” channel. Primary information does not include pool or modified pool information. Primary Risk in Force – refers to the aggregate dollar amount of each insured mortgage loan’s current principal balance multiplied by the insurance coverage percentage specified in the policy for insurance policies issued through our “flow” and “structured transactions” channels only. Risk in Force (RIF) – refers to the aggregate dollar amount of each insured mortgage loan’s current principal balance multiplied by the insurance coverage percentage specified in the policy. Structured – generally refers to mortgage insurance offered by PMI that covers large portfolios of mortgage loans and is provided to issuers of mortgage backed securities (“MBS”) and portfolio investors. Traditional Pool – covers the entire loss on a defaulted mortgage loan that exceeds the claim payment under any primary insurance coverage, up to a stated aggregate loss limit, or stop loss, for all of the loans in a pool. PMI is not currently offering traditional pool insurance to its customers. |
4 The PMI Group, Inc. Contents of Presentation Primary Portfolio Characteristics by Vintage Part 3 Focus on Particular Portfolio Segments Part 2 Primary Portfolio Characteristics Part 1 Captive Reinsurance Arrangements Part 5 Modified Pool Portfolio Part 4 |
Primary Portfolio Characteristics |
6 The PMI Group, Inc. 1.9% 0.4% 1.5% 3.1% 8.5% 8.5% 12.8% 16.4% 29.7% 17.3% 0% 10% 20% 30% 40% 50% Prior to 2000 2000 2001 2002 2003 2004 2005 2006 2007 2008 $124.3 Billion Primary IIF $30.6 Billion Primary RIF U.S. Portfolio Age Distribution Average Rate (1) (1) Average PMI fixed annual mortgage interest rate 2.0% 0.4% 1.4% 3.1% 8.4% 9.0% 13.2% 16.9% 29.6% 15.9% 0% 10% 20% 30% 40% 50% Prior to 2000 2000 2001 2002 2003 2004 2005 2006 2007 2008 7.10% 7.02% 6.24% 6.13% 6.03% 6.87% 7.66% 8.64% 7.57% Note: Due to rounding, the sum of percentages may not total 100% 6.36% |
7 The PMI Group, Inc. Primary Risk in Force by FICO Score 8.6% 7.8% 6.8% 5.9% 32.7% 33.8% 34.6% 34.7% 23.3% 23.4% 24.1% 30.5% 30.3% 30.7% 31.5% 32.7% 1.8% 3.3% 3.0% 2.5% 2.2% 2.1% 5.2% 5.9% 30.8% 33.1% 25.1% 24.6% 25.1% 36.1% 0% 25% 50% 75% 100% 2003 2004 2005 2006 2007 2008 Less than 575 720 and above 680 - 719 620 - 679 575 - 619 U.S. Portfolio Credit Score Distribution Excludes unreported FICO scores |
8 The PMI Group, Inc. LTVs between 85.01% and 90% Primary Risk in Force by Loan to Value 9.4% 9.2% 9.3% 7.1% 7.0% 37.5% 37.6% 36.4% 33.7% 31.0% 29.9% 7.4% 6.6% 5.3% 4.6% 4.1% 8.6% 11.9% 14.3% 21.5% 8.9% 37.9% 35.0% 37.4% 35.9% 37.0% 29.5% 3.8% 24.6% 17.6% 0% 25% 50% 75% 100% 2003 2004 2005 2006 2007 2008 LTVs above 97% LTVs between 95.01% and 97% LTVs between 90.01% and 95% LTVs of 85% and below U.S. Portfolio Loan to Value Distribution Note: Due to rounding, the sum of percentages may not total 100% |
9 The PMI Group, Inc. U.S. Portfolio Geographic Distribution 1 Top ten states as determined by primary RIF on December 31, 2008 2 Default rates as of December 31 for 2008, 2007 and 2006 10.3% 7.3% 8.0% 5.2% 3.8% 3.3% 3.9% 3.2% 4.7% 3.1% Florida 10.3% 27.79% 10.56% 3.44% California 8.0% 24.68% 10.92% 3.56% Texas 7.3% 9.44% 6.03% 5.63% Illinois 5.2% 14.80% 8.19% 5.58% Georgia 4.7% 14.62% 9.50% 7.86% % of RIF YE 2008 YE 2007 YE 2006 New York 3.9% 11.27% 6.78% 5.40% Ohio 3.8% 13.50% 10.83% 8.79% Pennsylvania 3.3% 10.75% 7.47% 6.00% New Jersey 3.2% 14.17% 7.53% 4.62% Washington 3.1% 8.15% 3.58% 2.76% % of RIF YE 2008 YE 2007 YE 2006 Top Ten States – Percent of Primary Risk in Force and Default Rates Primary Default Rates Primary Default Rates 2 1 2 1 |
10 The PMI Group, Inc. U.S. Portfolio Primary NIW Characteristics Flow and Structured Primary NIW New Insurance Written by LTV New Risk Written by LTV Note: Due to rounding, the sum of percentages may not total 100% Flow Primary NIW Structured Primary NIW 90.01 – 95% 85.01 – 90% 85 and below Above 97% 95.01%- 97% The increased percentage of above 97% LTV loans in 2007 is due to the reduced availability of alternative mortgage products including piggyback loans and increased activity by the GSEs. With the exception of previously issued commitments, effective March 1, 2008, PMI discontinued insuring loans with LTV ratios above 97%. 90.01 – 95% 85.01 – 90% 85 and below Above 97% 95.01%- 97% 36.3 28.2 23.3 37.6 22.2 4.9 7.7 8.9 8.6 $41.2 $35.9 $32.2 $46.1 $22.6 $0 $10 $20 $30 $40 $50 $60 2004 2005 2006 2007 2008 17% 18% 15% 10% 38% 43% 42% 31% 30% 24% 21% 24% 12% 13% 16% 50% 26% 3% 2% 2% 3% 4% 19% 32% 5% 0% 25% 50% 75% 100% 2004 2005 2006 2007 2008 11% 12% 10% 6% 35% 42% 41% 30% 34% 27% 24% 27% 15% 18% 8% 50% 31% 5% 2% 2% 2% 5% 24% 35% 6% 0% 25% 50% 75% 100% 2004 2005 2006 2007 2008 |
11 The PMI Group, Inc. U.S. Portfolio Primary NIW Characteristics Refinances and Purchases as a % of Primary NIW Less-Than-A Quality Loans - NIW Alt-A Loans – NIW Note: Due to rounding, the sum of percentages may not total 100% Refinances Purchases Less-Than-A Quality Loans - Structured Channel Less-Than-A Quality Loans – Flow Channel Less-Than-A Quality Loans as a percentage of Total Primary NIW Alt-A Loans – Flow Channel Alt-A Loans as a % of Total Primary NIW Alt-A Loan – Structured Channel With the exception of previously issued commitments, effective March 10, 2008, PMI discontinued insuring loans with FICO scores below 620. 67% 63% 64% 64% 68% 33% 37% 36% 36% 32% 0% 25% 50% 75% 100% 2004 2005 2006 2007 2008 3,067 296 1,588 1,153 2,703 1,605 1,084 838 1,780 $4,483 $2,672 $1,991 $322 $4,672 11% 7% 6% 10% 1% $0 $2,000 $4,000 $6,000 2004 2005 2006 2007 2008 0% 5% 10% 15% 1,195 7,304 6,691 7,425 11,242 1,204 4,410 3,002 1,397 $12,639 $1,211 $11,101 $10,427 $8,508 5% 27% 34% 29% 21% $0 $4,000 $8,000 $12,000 2004 2005 2006 2007 2008 0% 5% 10% 15% 20% 25% 30% 35% 40% |
12 The PMI Group, Inc. Interest Only Loans - NIW Payment Option ARMs - NIW U.S. Portfolio Primary NIW Characteristics Payment Option ARMS – Flow Channel Total Payment Option ARMs as a percentage of Total Primary NIW Interest Only – Structured Channel Interest Only – Flow Channel Total Interest Only Loans as a percentage of Total Primary NIW ARMs - NIW ARM amounts Primary NIW – Flow Channel ARM amounts Primary NIW – Structured Channel ARMs as a percentage of Total Primary NIW Approximately 1.0% of Total Primary RIF is subject to rate adjustment in 2009. Approximately 0.6% is subject to adjustment in 2010. Approximately 98% of interest only loans written in 2007 have an initial deferral period of 5 years or greater and 85% have an initial deferral period of 7 years or greater. For 2006 NIW, initial deferral periods of 5 and 7 years or greater were 89% and 62%, respectively. $6,992 $6,024 $3,802 $1,907 $3,262 $5,889 $4,081 $2,238 $4,145 $295 $7,883 $11,913 $10,254 1% 9% 24% 33% 25% $0 $4,000 $8,000 $12,000 2004 2005 2006 2007 2008 0% 5% 10% 15% 20% 25% 30% 35% 40% 1,173 3,235 8,296 3,507 2,386 1,025 2,329 $1,184 $9,321 $5,836 $5,621 5% 20% 18% 16% $0 $2,000 $4,000 $6,000 $8,000 $10,000 2005 2006 2007 2008 0% 5% 10% 15% 20% 25% 2,617 1,252 2,799 0% 8% 8% 3% $0 $1,000 $2,000 $3,000 2005 2006 2007 1H 2008 0% 5% 10% |
Focus on Particular Portfolio Segments |
14 The PMI Group, Inc. U.S. Portfolio Interest Rate Adjustments Rate Adjustments by Credit Quality Rate Adjustments of Hybrid Loans and Other ARMs Rate Adjustments in Distressed Geographic Regions Other ARMs 3/27s Prime Alt-A Less than A Quality Note: 2/28s resets in 2009 and 2010 are 0.01% and 0.00%, respectively California All Other Florida Auto States Note: Auto states include Michigan, Ohio, Illinois and Indiana 0.01% 0.01% Note: Percentages are of total Primary RIF at December 31, 2008 2009 2010 2011 Total interest rate adjustments as a percentage of primary risk in force: 1.0% 0.6% 0.1% 0.01% 0.47% 0.33% 0.06% 0.39% 0.12% 0.14% 0.17% 0.0% 0.3% 0.5% 0.8% 1.0% 2009 2010 2011 0.42% 0.22% 0.07% 0.58% 0.41% 0.0% 0.3% 0.5% 0.8% 1.0% 2009 2010 2011 0.48% 0.36% 0.05% 0.10% 0.08% 0.19% 0.08% 0.07% 0.17% 0.0% 0.3% 0.5% 0.8% 1.0% 2009 2010 2011 ` |
15 The PMI Group, Inc. California at December 31, 2008 1 Condominium includes Townhouses and Cooperatives 2 Excludes unreported FICO scores % of CA RIF % of Total RIF % of CA RIF % of Total RIF $2.4 Billion of Total Risk in Force 8.0% of PMI’s Primary Risk in Force $302,198 Average Loan Size Note: Due to rounding, the sum of percentages may not total 100% FICO Scores 720 and above 38.4% 3.1% 680-719 28.9% 2.3% 620-679 29.5% 2.4% 575-619 2.4% 0.2% Less than 575 0.6% 0.0% Loan to Value Above 97.00% 12.8% 1.0% 95.01% to 97.00% 1.9% 0.1% 90.01% to 95.00% 21.3% 1.7% 85.01% to 90.00% 50.8% 4.0% 85.00% and below 13.3% 1.1% Loan Type Fixed Rate 73.8% 5.9% ARM 26.2% 2.1% Property Type Single Family 81.4% 6.5% Condominium 14.8% 1.2% Multi-Family and other 3.8% 0.3% Occupancy Primary Residence 92.3% 7.4% Second Home 2.7% 0.2% Non-owner occupied 5.0% 0.4% Alt-A 35.4% 2.7% MSA Distribution of Total Primary RIF Oakland-Fremont-Hayward, CA – 0.5% San Diego-Carlsbad-San Marcos – 0.6% Sacramento--Arden-Arcade—Roseville – 0.7% Riverside-San Bernardino-Ontario – 1.6% Los Angeles-Long Beach-Glendale – 1.6% 2 1 |
16 The PMI Group, Inc. Florida at December 31, 2008 1 Condominium includes Townhouses and Cooperatives 2 Excludes unreported FICO scores % of FL RIF % of Total RIF % of FL RIF % of Total RIF $3.1 Billion of Total Risk in Force 10.3% of PMI’s Primary Risk in Force $178,709 Average Loan Size Note: Due to rounding, the sum of percentages may not total 100% Map and MSA data have not yet been updated FICO Scores 720 and above 35.3% 3.6% 680-719 28.0% 2.9% 620-679 31.1% 3.2% 575-619 4.1% 0.4% Less than 575 1.2% 0.1% Loan to Value Above 97.00% 20.4% 2.1% 95.01% to 97.00% 2.5% 0.3% 90.01% to 95.00% 29.9% 3.1% 85.01% to 90.00% 40.5% 4.1% 85.00% and below 6.7% 0.7% MSA Distribution of Total Primary RIF Jacksonville, FL – 0.7% Fort Lauderdale-Deerfield Beach, FL – 1.1% Miami-Miami Beach-Kendall, FL – 1.5% Orlando-Kissimmee, FL – 1.6% Tampa-St. Petersburg-Clearwater, FL – 1.4% Loan Type Fixed Rate 83.6% 8.6% ARM 16.4% 1.7% Property Type Single Family 71.5% 7.3% Condominium 26.4% 2.7% Multi-Family and other 2.1% 0.2% Occupancy Primary Residence 78.1% 8.0% Second Home 12.4% 1.3% Non-owner occupied 9.4% 1.0% Alt-A 38.2% 3.7% 2 1 |
17 The PMI Group, Inc. Loan Type Fixed Rate 90.0% 12.1% ARM 10.0% 1.3% Property Type Single Family 82.2% 11.1% Condominium 13.7% 1.8% Multi-Family and other 4.0% 0.5% Occupancy Primary Residence 92.6% 12.5% Second Home 1.4% 0.2% Non-owner occupied 6.0% 0.8% Alt-A 13.9% 1.7% Auto States (Michigan, Ohio, Illinois, Indiana) at December 31, 2008 1 Condominium includes Townhouses and Cooperatives 2 Excludes unreported FICO scores % of Auto States RIF % of Total RIF % of Auto States RIF % of Total RIF $4.1 Billion of Total Risk in Force 13.5% of PMI’s Primary Risk in Force $135,475 Average Loan Size MSA Distribution of Total Primary RIF Note: Due to rounding, the sum of percentages may not total 100% FICO Scores 720 and above 34.1% 4.6% 680-719 23.6% 3.2% 620-679 32.5% 4.4% 575-619 6.3% 0.8% Less than 575 2.9% 0.4% Loan to Value Above 97.00% 20.2% 2.7% 95.01% to 97.00% 5.2% 0.7% 90.01% to 95.00% 31.9% 4.3% 85.01% to 90.00% 35.4% 4.8% 85.00% and below 7.4% 1.0% Cleveland-Elyria-Mentor, OH -0.9% Chicago – Naperville –Joliet, IL -4.0% Columbus, OH -0.8% Indianapolis–Carmel, IN -0.7% Warren-Troy-Farmington Hills, MI-0.9% 2 1 |
18 The PMI Group, Inc. Loan Type Fixed Rate 87.9% 2.5% ARM 12.1% 0.3% Property Type Single Family 85.2% 2.4% Condominium 11.6% 0.3% Multi-Family and other 3.2% 0.1% Occupancy Primary Residence 83.9% 2.4% Second Home 8.7% 0.2% Non-owner occupied 7.4% 0.2% Alt-A 26.8% 0.7% Arizona at December 31, 2008 1 Condominium includes Townhouses and Cooperatives 2 Excludes unreported FICO scores % of % of AZ RIF Total RIF % of AZ RIF % of Total RIF FICO Scores 720 and above 36.7% 1.0% 680-719 26.8% 0.8% 620-679 30.3% 0.9% 575-619 3.9% 0.1% Less than 575 1.0% 0.0% Loan to Value Above 97.00% 28.0% 0.8% 95.01% to 97.00% 2.4% 0.1% 90.01% to 95.00% 24.9% 0.7% 85.01% to 90.00% 37.8% 1.1% 85.00% and below 6.9% 0.2% $0.9 Billion of Total Risk in Force 2.8% of PMI’s Primary Risk in Force $190,949 Average Loan Size Note: Due to rounding, the sum of percentages may not total 100% Lake Havasu City-Kingman, AZ-0.1% Yuma, AZ – 0.1% Prescott, AZ-0.1% Tucson, AZ-0.4% Phoenix-Mesa, AZ – 2.1% MSA Distribution of Total Primary RIF 2 1 |
19 The PMI Group, Inc. Loan Type Fixed Rate 80.0% 1.4% ARM 20.0% 0.3% Property Type Single Family 79.1% 1.4% Condominium 19.2% 0.3% Multi-Family and other 1.7% 0.0% Occupancy Primary Residence 80.9% 1.4% Second Home 12.9% 0.2% Non-owner occupied 6.2% 0.1% Alt-A 34.8% 0.6% Nevada at December 31, 2008 1 Condominium includes Townhouses and Cooperatives 2 Excludes unreported FICO scores % of % of NV RIF Total RIF % of NV RIF % of Total RIF FICO Scores 720 and above 39.0% 0.7% 680-719 27.7% 0.5% 620-679 29.2% 0.5% 575-619 2.9% 0.0% Less than 575 0.5% 0.0% Loan to Value Above 97.00% 19.8% 0.3% 95.01% to 97.00% 1.5% 0.0% 90.01% to 95.00% 27.8% 0.5% 85.01% to 90.00% 43.6% 0.7% 85.00% and below 7.3% 0.1% $0.5 Billion of Total Risk in Force 1.7% of PMI’s Primary Risk in Force $236,691 Average Loan Size Note: Due to rounding, the sum of percentages may not total 100% Las Vegas-Paradise, NV-1.4% Reno-Sparks, NV-0.2% Carson City, NV-0.01% MSA Distribution of Total Primary RIF 2 1 |
20 The PMI Group, Inc. Notes 2/28 Hybrid ARMS at December 31, 2008 1Condominium includes Townhouses and Cooperatives 2 Excludes unreported FICO scores FICO Scores 720 and above 12.2% 0.3% 680-719 22.6% 0.5% 620-679 50.9% 1.2% 575-619 9.0% 0.2% Less than 575 5.3% 0.1% Loan to Value Above 97.00% 9.7% 0.2% 95.01% to 97.00% 0.1% 0.0% 90.01% to 95.00% 21.5% 0.5% 85.01% to 90.00% 36.2% 0.8% 85.00% and below 32.5% 0.7% % of 2/28 RIF % of Total RIF % of Total RIF % of 2/28 RIF $0.7 Billion of Total Risk in Force 2.3% of PMI’s Primary Risk in Force $184,412 Average Loan Size All of the 2/28 Hybrid ARMs that PMI has insured are past their rate reset date. 2/28 hybrid ARMs monthly reported notices of default peaked in August 2007. Property Type Single Family 80.3% 1.8% Condominium 7.1% 0.2% Multi-Family and other 12.6% 0.3% Occupancy Primary Residence 77.2% 1.7% Second Home 2.2% 0.1% Non-owner occupied 20.6% 0.5% Alt-A 52.4% 1.0% Note: Due to rounding, the sum of percentages may not total 100% 0% - 1% 1.01% - 2% 2.01% - 5% >10.00% 5.01% - 10% State Distribution of 2/28 RIF 2 1 |
21 The PMI Group, Inc. California 29.4% 0.7% Florida 10.1% 0.2% Michigan 5.2% 0.1% Illinois 5.1% 0.1% New York 4.7% 0.1% Ohio 3.6% 0.1% Texas 3.5% 0.1% Arizona 3.3% 0.1% New Jersey 2.5% 0.1% Pennsylvania 2.4% 0.1% 2/28 Hybrid ARMS at December 31, 2008 1 Top ten states as determined by Primary RIF on December 31, 2008 % Total 2/28 RIF % Total RIF Top States¹ MSA Distribution of CA Bulk 2/28 RIF Santa Ana-Anaheim-Irvine –8.0% Sacramento--Arden-Arcade—Roseville –6.8% Riverside-San Bernardino-Ontario –19.7% Los Angeles-Long Beach-Glendale –23.1% Oakland-Fremont-Hayward, CA – 7.0% |
22 The PMI Group, Inc. Greater Than 97% LTV at December 31, 2008 1 Condominium includes Townhouses and Cooperatives 2 Excludes unreported FICO scores FICO Scores 720 and above 27.2% 5.9% 680-719 21.9% 4.7% 620-679 38.1% 8.2% 575-619 8.7% 1.9% Less than 575 2.8% 0.6% % of >97 RIF % of Total RIF % of >97 RIF % of Total RIF Loan Type Fixed Rate 94.8% 20.4% ARM 5.2% 1.1% Property Type Single Family 85.7% 18.4% Condominium 12.7% 2.7% Multi-Family and other 1.6% 0.4% Occupancy Primary Residence 94.9% 20.4% Second Home 1.3% 0.3% Non-owner occupied 3.9% 0.8% Alt-A 13.8% 2.6% $6.6 Billion of Total Risk in Force 21.5% of PMI’s Primary Risk in Force $148,168 Average Loan Size With the exception of previously issued commitments, effective March 1, 2008, PMI no longer insures loans with LTV ratios above 97% Guideline Changes Note: Due to rounding, the sum of percentages may not total 100% State Distribution of > 97% LTV RIF 0.00% to 1.00% 1.00% to 2.00% 2.00% to 5.00% 5.00% to 10.00% >10.00% 2 1 |
23 The PMI Group, Inc. Top States Florida 9.7% 2.1% Texas 9.7% 2.1% Georgia 5.5% 1.2% Illinois 4.9% 1.0% California 4.7% 1.0% Arizona 3.7% 0.8% Virginia 3.7% 0.8% Washington 3.5% 0.7% Maryland 3.4% 0.7% North Carolina 3.1% 0.7% Greater Than 97% LTV at December 31, 2008 1 Top ten states as determined by Primary RIF on December 31, 2008 % Total > 97% RIF % Total RIF MSA Distribution of CA > 97% LTV RIF Bakersfield, CA -6.5% San Diego-Carlsbad-San Marcos –8.5% Sacramento--Arden-Arcade—Roseville –11.3% Riverside-San Bernardino-Ontario – 22.7% Los Angeles-Long Beach-Glendale –14.4% MSA Distribution of TX > 97% LTV RIF Dallas – Plano -Irving, TX-20.1% Houston – Sugar Land - Baytown, TX-30.9% Round Rock, TX-6.8% San Antonio, TX-6.9% Fort Worth – Arlington, TX-10.8% Tampa-St. Petersburg-Clearwater, FL-14.6% MSA Distribution of FL > 97% LTV RIF Fort Lauderdale-Deerfield Beach, FL-9.9% Miami-Miami Beach-Kendall, FL-17.0% Orlando-Kissimmee, FL-17.0% Jacksonville, FL-9.3% 1 |
24 The PMI Group, Inc. Alt-A at December 31, 2008 1 Condominium includes Townhouses and Cooperatives 2 Excludes unreported FICO scores % of Alt-A RIF % of Total RIF % of Total RIF Loan Type Fixed Rate 75.4% 14.1% ARM 24.6% 4.6% Property Type Single Family 77.9% 14.6% Condominium 15.1% 2.8% Multi-Family and other 7.0% 1.3% Occupancy Primary Residence 79.4% 14.9% Second Home 7.2% 1.4% Non-owner occupied 13.4% 2.5% $5.7 Billion of Total Risk in Force 18.8% of PMI’s Primary Risk in Force $212,799 Average Loan Size Guideline Changes % of Alt-A RIF Note: Due to rounding, the sum of percentages may not total 100% FICO Scores 720 and above 37.7% 7.1% 680-719 35.2% 6.6% 620-679 27.1% 5.1% 575-619 0.0% 0.0% Less than 575 0.0% 0.0% Loan to Value Above 97.00% 13.8% 2.6% 95.01% to 97.00% 0.1% 0.0% 90.01% to 95.00% 26.7% 5.0% 85.01% to 90.00% 49.6% 9.3% 85.00% and below 9.8% 1.8% With the exception of previously issued commitments, effective June 1, 2008, PMI no longer insures Alt-A State Distribution of Alt-A RIF 0.00% to 1.00% 1.00% to 2.00% 2.00% to 5.00% 5.00% to 10.00% >10.00% 2 1 |
25 The PMI Group, Inc. Top States Florida 19.7% 3.7% California 14.6% 2.7% New York 5.0% 0.9% Illinois 4.9% 0.9% Texas 4.5% 0.9% New Jersey 4.3% 0.8% Arizona 3.8% 0.7% Maryland 3.2% 0.6% Virginia 3.1% 0.6% Nevada 3.0% 0.6% Alt-A at December 31, 2008 % Total Alt-A RIF % Total RIF Tampa-St. Petersburg-Clearwater, FL-12.6% MSA Distribution of FL Alt-A RIF West Palm Beach-Boca Raton, FL-7.6% Fort Lauderdale-Deerfield Beach, FL-11.2% Miami-Miami Beach-Kendall, FL-14.6% Orlando-Kissimmee, FL-19.3% 1 Top ten states as determined by Primary RIF on December 31, 2008 MSA Distribution of CA Alt-A RIF Santa Ana-Anaheim-Irvine –5.8% San Diego-Carlsbad-San Marcos –8.1% Sacramento--Arden-Arcade—Roseville –8.7% Riverside-San Bernardino-Ontario –21.3% Los Angeles-Long Beach-Glendale –22.4% 1 |
Primary Portfolio Characteristics by Vintage |
27 The PMI Group, Inc. $30.6 Billion Primary Risk in Force and $2.7 Billion Pool Risk in Force* Primary Flow 79% Domestic Mortgage Insurance Primary Structured 13% Domestic MI 57% Modified Pool 7% General Portfolio Categories Primary Flow Insurance $26.3 billion of risk in force Primary mortgage insurance offered to lenders on a loan-by-loan basis Primary Structured Insurance $4.3 billion of risk in force Credit enhancement solutions offered across the credit spectrum to agency and non-agency MBS issuers as well as portfolio investors Modified Pool Risk in Force $2.2 billion of risk in force Insurance offered to agency and non-agency MBS issuers and investors Other Pool $0.5 billion of risk in force Prior to 2002, PMI offered certain pool insurance products, referred to principally as GSE or Old Pool, to lenders, the GSEs and non-agency market Other Pool 2% * At December 31, 2008 Note: Due to rounding, the sum of percentages may not total 100% |
28 The PMI Group, Inc. $27,454 $7,675 $9,436 $11,047 $30,605 $1,595 $6,583 $5,740 $2,440 $3,138 $2,458 $3,605 $564 $693 $4,121 32.0% 18.6% 12.8% 6.6% 14.1% 27.7% 48.5% 28.6% 18.3% 30.6% 24.7% 27.8% 12.3% 15.1% 38.2% Total 720 and above 680 - 719 620 - 679 575 - 619 Less than 575 Fixed Rate ARMs 2/28s Interest Only LTV>97 Alt-A Calif. Florida Auto States Risk Characteristics Risk Characteristics: Total Primary Portfolio Risk in Force (dollars in millions) Default Rate (as measured by policies) Credit Score Total Loan Type Total Primary Portfolio: PMI’s total primary book is primarily driven by the flow channel Loans are primarily fixed rate and owner occupied with FICO scores greater than 620 Certain geographies and select products have exhibited heightened levels of defaults Total Primary Risk in Force as of December 31, 2008 |
29 The PMI Group, Inc. Primary Portfolio Characteristics Primary RIF as of December 31, 2008 1 Excludes unreported FICO scores 2 At origination Note: - Interest rate adjustments as a percentage of Total Risk in Force are approximately 1.0% and 0.6% in 2009 and 2010, respectively. - Categories are not mutually exclusive except for Credit Score and Loan Type All $ in Millions, except for Average Loan Size Specific Portfolio Characteristics Interest Only LTV > 97% Alt-A California Florida Auto States Avg Loan Size Avg LTV2 Avg FICO Total Credit Score* Loan Type Less than 575 575 - 619 720 and above ARM Fixed Rate 620 - 679 680 - 719 Total 2/28s Total Portfolio $30,604.9 $564.0 $1,594.6 $9,436.4 $7,674.5 $11,046.8 $27,453.5 $2,457.9 $693.4 Default Rate 14.1% 38.2% 27.7% 18.6% 12.8% 6.6% 12.3% 32.0% 48.5% 2008 Vintage $4,875.8 $9.1 $55.8 $861.0 $1,245.6 $2,699.2 $4,816.7 $59.0 $0.0 Default Rate 3.9% 42.7% 21.0% 8.2% 4.2% 1.6% 3.8% 10.1% n/a 2007 Vintage $9,067.9 $228.6 $593.9 $2,784.5 $2,329.0 $3,106.5 $8,398.2 $613.0 $56.7 Default Rate 18.3% 40.5% 29.5% 21.3% 16.9% 10.1% 17.5% 28.4% 42.7% 2006 Vintage $5,175.1 $64.4 $217.4 $1,819.2 $1,357.9 $1,689.7 $4,109.5 $726.2 $339.4 Default Rate 21.2% 44.1% 32.7% 26.3% 21.4% 12.2% 17.0% 41.8% 56.0% 2005 Vintage $4,029.4 $51.8 $178.8 $1,462.4 $1,034.8 $1,271.2 $3,159.8 $617.6 $252.0 Default Rate 16.0% 39.8% 29.3% 20.4% 15.2% 8.2% 12.0% 35.8% 43.3% 2004 Vintage and Prior $7,456.6 $210.2 $548.6 $2,509.2 $1,707.2 $2,280.2 $6,969.3 $442.1 $45.2 Default Rate 11.1% 34.5% 24.8% 14.4% 8.2% 4.2% 10.3% 24.9% 39.6% Total Portfolio $3,605.3 $6,583.1 $5,740.0 $2,440.1 $3,137.5 $4,121.4 $160,168 93% 693 Default Rate 28.6% 18.3% 30.6% 24.7% 27.8% 15.1% 2008 Vintage $258.8 $280.3 $244.1 $467.3 $235.7 $607.4 $209,081 91% 723 Default Rate 8.5% 10.7% 17.1% 7.2% 14.0% 4.0% 2007 Vintage $1,745.2 $3,122.0 $2,377.1 $888.0 $1,001.8 $996.2 $189,277 94% 686 Default Rate 29.7% 20.9% 32.2% 31.4% 35.4% 17.6% 2006 Vintage $967.0 $1,353.1 $1,704.5 $468.6 $778.2 $668.5 $174,828 93% 692 Default Rate 32.8% 19.0% 36.9% 47.7% 42.2% 20.4% 2005 Vintage $545.6 $764.2 $872.4 $349.1 $560.5 $596.0 $158,422 92% 693 Default Rate 28.6% 16.6% 30.8% 33.5% 29.8% 16.3% 2004 Vintage and Prior $88.8 $1,063.5 $542.0 $267.2 $561.3 $1,253.4 $113,332 92% 687 Default Rate 21.8% 14.5% 17.1% 8.6% 12.7% 14.6% 1 |
30 The PMI Group, Inc. $3,547 $0 $344 $2,768 $1,880 $2,711 $1,920 $4,489 $5,388 $1,222 $26,329 $9,848 $7,968 $6,755 $24,449 40.8% 13.3% 12.0% 27.5% 22.4% 30.0% 18.3% 28.2% 27.1% 13.0% 6.4% 12.1% 17.1% 32.8% Total 720 and above 680 - 719 620 - 679 575 - 619 Less than 575 Fixed Rate ARMs 2/28s Interest Only LTV>97 Alt-A Calif. Florida Auto States Flow Risk in Force as of December 31, 2008 Risk Characteristics: Flow Risk in Force (dollars in millions) Default Rate (as measured by policies) Credit Score Total Loan Type Risk Characteristics Primary Flow Portfolio: PMI’s primary flow book represents 85% of primary insurance and is primarily owner occupied, fixed rate loans with FICO scores greater than 620 Approximately 93% of flow risk in force is within conforming loan limits Approximately 57% of flow risk in force is in captive reinsurance agreements |
31 The PMI Group, Inc. Flow Portfolio Characteristics Flow RIF as of December 31, 2008 All $ in Millions, except for Average Loan Size 1 Excludes unreported FICO scores 2 At origination Note: Categories are not mutually exclusive except for Credit Score and Loan Type Interest Only LTV > 97% Alt-A California Florida Auto States Avg Loan Size Avg LTV2 Avg FICO Credit Score¹ Loan Type Less than 575 575 - 619 720 and above ARM Fixed Rate 620 - 679 680 - 719 Total 2/28s Total Portfolio $26,329.2 $344.4 $1,221.6 $7,968.4 $6,755.0 $9,848.2 $24,449.3 $1,879.9 $0.0 Default Rate 13.0% 40.8% 27.1% 17.1% 12.1% 6.4% 12.0% 32.8% n/a 2008 Vintage $4,812.3 $8.1 $52.8 $843.1 $1,229.0 $2,674.3 $4,759.2 $53.1 $0.0 Default Rate 3.9% 44.0% 21.3% 8.2% 4.2% 1.6% 3.8% 11.3% n/a 2007 Vintage $7,563.2 $164.3 $481.2 $2,398.5 $1,987.1 $2,506.8 $7,179.6 $383.6 $0.0 Default Rate 19.1% 48.1% 31.5% 21.7% 18.0% 11.0% 18.5% 36.7% n/a 2006 Vintage $3,842.7 $26.9 $147.4 $1,263.9 $1,043.5 $1,334.4 $3,260.9 $581.8 $0.0 Default Rate 18.4% 45.0% 29.9% 22.0% 19.2% 11.5% 15.7% 43.8% n/a 2005 Vintage $3,410.1 $23.4 $126.1 $1,172.2 $893.2 $1,165.0 $2,922.2 $487.9 $0.0 Default Rate 14.0% 41.0% 26.9% 17.7% 13.9% 7.8% 11.6% 35.2% n/a 2004 Vintage and Prior $6,700.9 $121.6 $414.1 $2,290.8 $1,602.2 $2,167.7 $6,327.4 $373.5 $0.0 Default Rate 10.4% 33.0% 23.2% 14.1% 8.0% 4.2% 9.9% 21.3% n/a Total Portfolio $2,768.1 $5,388.2 $4,489.2 $1,919.7 $2,711.1 $3,547.4 $160,295 93% 697 Default Rate 28.2% 18.3% 30.0% 22.4% 27.5% 13.3% 2008 Vintage $257.3 $258.2 $242.2 $466.0 $233.8 $601.8 $209,267 91% 723 Default Rate 8.6% 10.9% 17.4% 7.2% 13.8% 3.9% 2007 Vintage $1,504.1 $2,635.0 $2,074.5 $766.2 $839.8 $834.1 $191,275 94% 689 Default Rate 30.9% 21.9% 32.9% 33.1% 38.6% 17.4% 2006 Vintage $586.8 $1,013.5 $1,078.5 $258.6 $616.7 $474.9 $174,212 93% 696 Default Rate 32.7% 18.6% 37.2% 43.3% 40.8% 15.7% 2005 Vintage $341.8 $678.0 $639.6 $200.8 $516.9 $486.6 $156,015 93% 697 Default Rate 26.2% 15.1% 29.7% 32.2% 29.0% 13.8% 2004 Vintage and Prior $78.0 $803.4 $454.3 $228.1 $503.9 $1,150.1 $114,147 93% 691 Default Rate 19.9% 13.4% 16.2% 7.7% 12.4% 13.5% 1 |
32 The PMI Group, Inc. Risk Characteristics: Structured Transactions $220 $837 $1,195 $693 $574 $3,004 $426 $521 $1,251 $373 $4,276 $1,199 $1,468 $920 $578 48.5% 34.9% 30.4% 25.2% 14.9% 29.6% 34.9% 32.4% 18.1% 30.1% 29.5% 20.7% 8.7% 18.1% 26.7% Total 720 and above 680 - 719 620 - 679 575 - 619 Less than 575 Fixed Rate ARMs 2/28s Interest Only LTV>97 Alt-A Calif. Florida Auto States ` Risk in Force (dollars in millions) Default Rate (as measured by policies) Credit Score Total Loan Type Risk Characteristics Primary Structured Portfolio: PMI’s primary structured book represents approximately 15% of total primary insurance Highest defaults are reported in the 2/28 hybrid ARMs product, in which: All of the 2/28 hybrid ARM risk in force has passed the interest rate reset date Monthly reporting of notices of default began to decline in August 2007 Structured Transactions Risk in Force as of December 31, 2008 |
33 The PMI Group, Inc. Structured Portfolio Characteristics Structured RIF as of December 31, 2008 All $ in Millions, except for Average Loan Size 1 Excludes unreported FICO scores 2 At origination Note: - All of the 2/28 Hybrid ARMs that PMI has insured are past their rate reset date. - 2/28 hybrid ARMs monthly reported notices of default peaked in late 2007. - Categories are not mutually exclusive except for Credit Score and Loan Type Interest Only LTV > 97% Alt-A California Florida Auto States Avg Loan Size Avg LTV2 Avg FICO Credit Score¹ Loan Type Less than 575 575 - 619 720 and above ARM Fixed Rate 620 - 679 680 - 719 Total 2/28s Total Portfolio $4,275.6 $219.6 $373.0 $1,468.0 $919.5 $1,198.6 $3,004.2 $578.0 $693.4 Default Rate 20.7% 34.9% 29.5% 26.7% 18.1% 8.7% 14.9% 30.4% 48.5% 2008 Vintage $63.5 $1.0 $3.0 $17.9 $16.6 $24.9 $57.5 $5.9 $0.0 Default Rate 5.4% 36.6% 18.0% 8.7% 2.6% 1.0% 5.5% 2.7% n/a 2007 Vintage $1,504.7 $64.2 $112.7 $386.1 $341.9 $599.7 $1,218.6 $229.4 $56.7 Default Rate 15.3% 28.8% 24.5% 19.4% 11.8% 6.0% 12.4% 23.3% 42.7% 2006 Vintage $1,332.4 $37.5 $70.0 $555.3 $314.3 $355.2 $848.6 $144.4 $339.4 Default Rate 30.3% 43.4% 38.8% 37.9% 29.4% 15.1% 22.1% 36.6% 56.0% 2005 Vintage $619.3 $28.4 $52.7 $290.3 $141.6 $106.3 $237.6 $129.7 $252.0 Default Rate 28.7% 38.6% 36.1% 34.5% 25.6% 12.5% 16.1% 37.9% 43.3% 2004 Vintage and Prior $755.7 $88.5 $134.5 $218.5 $105.0 $112.5 $641.9 $68.7 $45.2 Default Rate 16.5% 36.3% 29.3% 17.9% 10.3% 4.2% 13.2% 40.9% 39.6% Total Portfolio $837.2 $1,194.9 $1,250.8 $520.5 $426.4 $573.9 $159,432 92% 670 Default Rate 30.1% 18.1% 32.4% 34.9% 29.6% 25.2% 2008 Vintage $1.4 $22.1 $1.8 $1.3 $1.9 $5.6 $200,307 93% 698 Default Rate 2.6% 8.4% 1.8% 3.4% 23.6% 8.1% 2007 Vintage $241.1 $487.0 $302.7 $121.8 $162.0 $162.0 $181,355 94% 677 Default Rate 22.9% 16.7% 28.0% 22.9% 22.6% 18.2% 2006 Vintage $380.1 $339.6 $625.9 $210.0 $161.5 $193.5 $176,806 92% 680 Default Rate 33.0% 20.6% 36.4% 54.4% 47.3% 32.1% 2005 Vintage $203.8 $86.2 $232.8 $148.3 $43.6 $109.4 $174,030 89% 668 Default Rate 34.1% 31.2% 34.1% 35.9% 39.1% 27.1% 2004 Vintage and Prior $10.8 $260.1 $87.6 $39.0 $57.4 $103.3 $107,315 91% 648 Default Rate 33.6% 16.9% 20.8% 14.5% 14.8% 24.4% 1 |
34 The PMI Group, Inc. Modified Pool Portfolio Characteristics All $ in Millions Modified Pool: Data shown in this exhibit is an aggregation of unique pools into book years Risk reduction features of modified pool, which may include deductibles and stop loss limits, mitigate risk of loss from loans insured Modified Pool with Deductibles Modified Pool without Deductibles All $ in Millions 2004 and Prior 2005 2006 2007 2008 Original Insured Balance $35,500 $13,234 $18,913 $9,056 $0 Insurance in Force $7,797 $6,856 $13,231 $7,716 $0 Original Stop Loss Amount $1,315 $367 $635 $273 $0 Original Deductible Amount $266 $78 $135 $81 $0 Original Risk in Force $1,049 $289 $501 $192 $0 Losses Applicable to Deductible $101 $34 $35 $3 $0 PMI's Claims Paid to Date $0 $0 $0 $0 $0 Deductible Balance $164 $44 $99 $78 $0 2004 and Prior 2005 2006 2007 2008 Original Insured Balance $16,375 $2,577 $8,442 $0 $0 Insurance in Force $2,402 $1,411 $4,610 $0 $0 Original Stop Loss Amount $483 $54 $317 $0 $0 PMI's Claims Paid to Date $37 $10 $21 $0 $0 Stop Loss Balance (Remaining RIF) $447 $44 $296 $0 $0 Modified Pool as of December 31, 2008 |
35 The PMI Group, Inc. Modified Pool Portfolio Characteristics Modified Pool IIF as of December 31, 2008 1 Excludes unreported FICO scores 2 Excludes Balloon, Buy Down, and Other 3 At origination Note: Categories are not mutually exclusive except for Credit Score and Loan Type All $ in Millions, except for Average Loan Size Specific Portfolio Characteristics Specific Portfolio Characteristics Credit Score¹ Loan Type² Credit Score¹ Loan Type² Total Total Fixed Rate ARM 2/28s Fixed Rate ARM 2/28s Deductible Non Deductible Less than 575 575 - 619 620 - 679 680 - 719 720 and above Less than 575 575 - 619 620 - 679 680 - 719 720 and above Interest Only LTV > 97% Alt-A California Florida Auto States Avg Loan Size Avg LTV³ Avg FICO Interest Only LTV > 97% Alt-A California Florida Auto States Avg Loan Size Avg LTV³ Avg FICO Total Portfolio $35,601 $537 $1,222 $11,279 $10,680 $11,872 $33,291 $2,143 $2 2008 Vintage $0 $0 $0 $0 $0 $0 $0 $0 $0 2007 Vintage $7,716 $136 $315 $2,704 $2,600 $1,960 $7,240 $475 $0 2006 Vintage $13,231 $67 $150 $5,029 $4,442 $3,543 $13,055 $175 $2 2005 Vintage $6,856 $6 $56 $1,669 $2,173 $2,951 $5,593 $1,261 $1 2004 Vintage and Prior $7,797 $328 $701 $1,876 $1,465 $3,419 $7,403 $232 $0 Total Portfolio $11,521 $879 $22,493 $5,901 $3,742 $3,627 $169,406 78 694 2008 Vintage $0 $0 $0 $0 $0 $0 n/a n/a n/a 2007 Vintage $3,290 $725 $5,078 $1,494 $766 $704 $204,150 82 686 2006 Vintage $4,932 $50 $9,563 $2,163 $1,592 $1,243 $187,982 79 693 2005 Vintage $2,564 $38 $4,758 $1,243 $889 $641 $175,262 79 709 2004 Vintage and Prior $736 $66 $3,093 $1,001 $495 $1,039 $124,063 75 691 Total Portfolio $8,423 $373 $845 $3,120 $1,992 $1,888 $5,272 $3,078 $19 2008 Vintage $0 $0 $0 $0 $0 $0 $0 $0 $0 2007 Vintage $0 $0 $0 $0 $0 $0 $0 $0 $0 2006 Vintage $4,610 $362 $801 $2,023 $920 $504 $1,741 $2,850 $19 2005 Vintage $1,411 $0 $5 $289 $416 $685 $1,389 $22 $0 2004 Vintage and Prior $2,402 $11 $39 $807 $656 $699 $2,141 $206 $0 Total Portfolio $1,141 $1,712 $3,136 $1,341 $759 $946 $151,942 86 673 2008 Vintage $0 $0 $0 $0 $0 $0 n/a n/a n/a 2007 Vintage $0 $0 $0 $0 $0 $0 n/a n/a n/a 2006 Vintage $327 $1,642 $365 $541 $470 $732 $157,363 93 650 2005 Vintage $651 $1 $1,002 $304 $108 $60 $196,631 76 718 2004 Vintage and Prior $162 $69 $1,769 $496 $181 $153 $126,654 78 694 |
Captive Reinsurance |
37 The PMI Group, Inc. $130 $245 $491 $34 2007 2008 2009 2010 Captive reinsurers are wholly-owned, bankruptcy remote subsidiaries of originators that provide mezzanine level reinsurance for loans for which PMI has provided primary mortgage insurance coverage. PMI is the named beneficiary on captive trust balances totaling approximately $860 million as of December 31, 2008. At December 31, 2008, approximately 57.3% of flow risk in force was covered by captive reinsurance agreements, including: Based on current expectations of defaults, PMI forecasts approximately the following reductions to total incurred losses as a result of captive reinsurance agreements in 2009 and 2010: Benefit from Captive Reinsurance Agreements PMI’s Captive Reinsurance Agreements (Dollars in Millions) Flow Risk in Force Covered by Captives ~ 55% of LTVs >97%* ~ 61% of less-than-A quality ~ 49% of Alt-A ~ 59% of prime * Captive coverage for LTVs greater than 97% may overlap with other listed categories Actual Projected |
38 The PMI Group, Inc. PMI’s Captive Reinsurance Agreements PMI Mortgage Insurance Co. Captive Reinsurance Agreements Analysis (Dollars in Millions) Note: For the combined captive trust arrangements, the weighted average entry point is 4.10% and the weighted average exit point is 12.15%. The cumulative captive benefit on this page is for excess-of-loss (XOL) captive reinsurance agreements only. Note: Due to rounding, the totals may not equal the sum of each category Progression Original to Attachment RIF Point 2004 and Prior Book Years $14,124 0 - 50% $1,307 $187.3 $1,973 $227.6 7,519 50 - 75% 1,102 171.1 1,125 158.1 4,343 75-99% 1,043 141.3 1,065 117.1 1,612 Attached 394 79.9 187 62.5 $27,598 $3,845 $579.7 $10.9 $1.2 $4,350 $565.3 $8.5 $0.6 2005 Book Year $91 0 - 50% $37 $0.7 $75 $1.8 443 50 - 75% 234 12.6 290 11.0 281 75-99% 16 1.3 542 34.6 3,784 Attached 2,126 295.0 1,761 200.8 $4,600 $2,413 $309.7 $128.6 $6.6 $2,668 $248.2 $82.0 $0.0 2006 Book Year $68 0 - 50% $41 $0.9 $53 $0.5 0 50 - 75% 5 0.2 1 0.0 60 75-99% 0 0.0 277 12.6 3,264 Attached 2,375 326.5 2,434 248.1 $3,392 $2,421 $327.5 $158.0 $2.4 $2,765 $261.2 $115.9 $0.0 2007 Book Year $96 0 - 50% $32 $0.3 $99 $1.1 89 50 - 75% 45 1.5 220 5.9 161 75-99% 224 10.1 240 8.4 4,835 Attached 4,256 397.8 4,605 285.1 $5,181 $4,557 $409.7 $187.4 $0.0 $5,163 $300.5 $97.6 $0.0 Cumulative Captive Benefit $484.9 $10.1 $304.1 $0.8 Total Captive Trust Balances $860.1 $787.8 RIF Losses Benefit Benefit Current Date Incurred Captive Paid Loss Ever to Captive Incurred Loss Captive Incurred Loss June 30, 2008 December 31, 2008 Cumulative Benefit Captive Benefit Current RIF Date Incurred Losses Paid Loss Ever to Cumulative Cumulative Cumulative $3,368 $273.0 1,159 130.4 249 55.4 187 49.9 $4,963 $508.8 $5.4 $0.3 $769 $19.4 496 21.8 1,371 72.9 324 26.4 $2,959 $140.6 $9.4 $0.0 $380 $6.0 542 18.5 1,442 57.6 720 42.3 $3,083 $124.4 $16.8 $0.0 $4,086 $53.1 559 13.4 132 3.1 3 0.2 $4,780 $69.8 $0.4 $0.0 $32.1 $0.3 $703.0 Ever to Losses Date Incurred RIF Current Cumulative Cumulative Benefit Incurred Loss Paid Loss Captive Captive Benefit December 31, 2007 |
39 The PMI Group, Inc. Forward-Looking Statement Cautionary Statement: Statements in this supplement 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. Such statements include our expectations with respect to reductions to incurred losses provided by captive reinsurance arrangements. 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: • Potential significant future losses as a result of changes in economic and market conditions; • our expectation that, as a result of continued losses, we will need to raise significant additional capital and that such additional capital may be necessary in 2009; • the risk that pending discussions with lenders to amend financial covenants and events of default under our credit facility are not completed timely or satisfactorily; • the risk that we may be unable to maintain minimum regulatory risk-to-capital and policyholders surplus requirements; • the limitations we have placed on new business writings and the concentration of our business among a relatively small number of large customers; • the potential that our actual losses may substantially exceed our loss reserve estimates; • the aging of our mortgage insurance portfolio and changes in severity or frequency of losses associated with our mortgage insurance policies; • the performance of our insured portfolio of higher risk loans, which have resulted in increased losses in 2007 and 2008 and are expected to result in further losses; • the risk that Fannie Mae and/or Freddie Mac (the “GSEs”) determine that we are no longer an eligible provider of mortgage insurance, and potential changes in the charters or business practices of the GSEs, the largest purchasers of mortgages; • further downgrades or other ratings actions with respect to our credit ratings or insurer financial strength ratings assigned by the major rating agencies; and • our need to reevaluate the premium deficiencies in our mortgage insurance business on a quarterly basis. Other risk and uncertainties are discussed in our SEC filings, including in Item 1A of our Annual Report Form 10-K for the year ended December 31, 2008, filed March 16, 2009. We undertake no obligation to update forward-looking statements. |