Pmi (PMI) 8-K The Pmi Group, Inc. Reports

The PMI Group, Inc.

Supplemental Portfolio Information

As of December 31, 2008

Exhibit  99.2

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*****************************

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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.