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

The PMI Group, Inc.

Supplemental Portfolio Information

As of June 30, 2009

Exhibit 99.3

The PMI Group, Inc.

2

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

The PMI Group, Inc.

3

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 insurance 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.

The PMI Group, Inc.

4

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

The PMI Group, Inc.

6

2.2%

1.4%

2.8%

7.8%

8.0%

12.2%

15.5%

28.2%

16.3%

5.5%

0%

10%

20%

30%

40%

50%

Prior to 2001

2001

2002

2003

2004

2005

2006

2007

2008

2009

$120.2 Billion Primary IIF

$29.4 Billion Primary RIF

U.S. Portfolio Age Distribution

Average

Rate  (1)

(1)

Average loan fixed annual mortgage interest rate

2.3%

1.3%

2.9%

7.9%

8.6%

12.6%

16.1%

28.2%

15.2%

4.8%

0%

10%

20%

30%

40%

50%

Prior to 2001

2001

2002

2003

2004

2005

2006

2007

2008

2009

6.35%

7.07%

7.02%

6.24%

6.14%

6.04%

6.88%

7.68%

7.76%

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

5.17%

The PMI Group, Inc.

7

Primary Risk in Force by FICO Score

7.8%

6.8%

5.9%

5.9%

33.8%

34.6%

34.7%

33.1%

23.4%

24.1%

24.6%

30.3%

30.7%

31.5%

32.7%

36.1%

1.8%

3.0%

2.5%

2.1%

1.8%

2.2%

5.1%

5.2%

29.9%

30.8%

24.8%

25.1%

25.1%

37.5%

0%

25%

50%

75%

100%

2004

2005

2006

2007

2008

Jun 30, 2009

Less than 575

720 and above

680 -

719

620 -

679

575 -

619

U.S. Portfolio Credit Score Distribution

Excludes unreported FICO scores

The PMI Group, Inc.

8

LTVs between 85.01% and 90%

Primary Risk in Force by Loan to Value

9.2%

9.3%

7.0%

7.1%

37.9%

36.4%

33.7%

31.0%

29.5%

30.3%

6.6%

5.3%

4.6%

3.8%

4.1%

11.9%

14.3%

17.6%

20.6%

8.9%

7.1%

35.0%

37.5%

37.9%

37.4%

35.9%

29.9%

4.1%

21.5%

24.6%

0%

25%

50%

75%

100%

2004

2005

2006

2007

2008

Jun 30, 2009

LTVs above 97%

LTVs between 95.01% and 97%

LTVs between 90.01% and 95%

LTVs of 85% and below

U.S. Portfolio Loan to Value Distribution

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

The PMI Group, Inc.

9

U.S. Portfolio Geographic Distribution

1

Top ten states as determined by primary RIF on June 30, 2009

2

Default rates as of June 30, 2009 and December 31 for 2008 and 2007

10.1%

7.4%

7.7%

5.2%

3.8%

3.4%

3.9%

3.2%

4.7%

3.2%

Florida

10.1%

34.14%

27.79%

10.56%

California

7.7%

30.84%

24.68%

10.92%

Texas

7.4%

9.84%

9.44%

6.03%

Illinois

5.2%

18.86%

14.80%

8.19%

Georgia

4.7%

17.57%

14.62%

9.50%

% of RIF

Jun 2009

YE 2008

YE 2007

New York

3.9%

13.70%

11.27%

6.78%

Ohio

3.8%

14.84%

13.50%

10.83%

Pennsylvania

3.4%

12.27%

10.75%

7.47%

New Jersey

3.2%

18.36%

14.17%

7.53%

Washington

3.2%

11.88%

8.15%

3.58%

% of RIF

Jun 2009

YE 2008

YE 2007

Top Ten States –

Percent

of Primary Risk in Force and Default Rates

Primary

Default

Rates

Primary

Default

Rates

1

2

2

1

The PMI Group, Inc.

10

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%

28.2

23.3

37.6

22.2

6.9

7.7

8.9

8.6

0.4

$35.9

$32.2

$46.1

$22.6

$6.9

$0

$10

$20

$30

$40

$50

$60

2005

2006

2007

2008

1H 2009

18%

15%

10%

16%

43%

42%

31%

50%

24%

21%

24%

26%

13%

19%

20%

49%

30%

1%

3%

2%

3%

2%

32%

5%

0%

25%

50%

75%

100%

2005

2006

2007

2008

1H 2009

12%

10%

6%

8%

42%

41%

30%

50%

27%

24%

27%

31%

18%

24%

11%

49%

39%

1%

2%

2%

5%

2%

35%

6%

0%

25%

50%

75%

100%

2005

2006

2007

2008

1H 2009

The PMI Group, Inc.

11

U.S. Portfolio Primary NIW Characteristics

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. 

Refinances

and

Purchases

as

a

% of Primary NIW

296

11

1,153

3,067

1,588

838

1,605

1,084

$2,672

$1,991

$4,672

$11

$322

7%

6%

10%

1%

0%

$0

$2,000

$4,000

$6,000

2005

2006

2007

2008

1H 2009

0%

5%

10%

15%

14

7,425

11,242

6,691

1,195

3,002

1,397

4,410

$1,211

$14

$12,639

$11,101

$10,427

0%

5%

27%

34%

29%

$0

$4,000

$8,000

$12,000

2005

2006

2007

2008

1H 2009

0%

5%

10%

15%

20%

25%

30%

35%

40%

47%

67%

63%

64%

64%

53%

33%

37%

36%

36%

0%

25%

50%

75%

100%

2005

2006

2007

2008

1H 2009

The PMI Group, Inc.

12

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% and 0.1% are

subject to adjustment in 2010 and 2011, respectively.

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.

$6,024

$3,802

$1,907

$261

$5,889

$4,081

$2,238

$11,913

$7,883

$4,145

$20

$295

33%

24%

9%

1%

0%

$0

$4,000

$8,000

$12,000

2005

2006

2007

2008

1H 2009

0%

5%

10%

15%

20%

25%

30%

35%

40%

1,173

13

0

3,235

8,296

3,507

2,386

1,025

2,329

$1,184

$13

$9,321

$5,836

$5,621

0%

5%

20%

18%

16%

$0

$2,000

$4,000

$6,000

$8,000

$10,000

2005

2006

2007

2008

1H 2009

0%

5%

10%

15%

20%

25%

2,617

1,252

2,799

0%

0%

8%

8%

3%

$0

$1,000

$2,000

$3,000

2005

2006

2007

2008

1H 2009

0%

5%

10%

Focus on Particular

Portfolio Segments

The PMI Group, Inc.

14

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 June 30, 2009

2009

2010

2011

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

1.0%

0.6%

0.1%

0.01%

0.46%

0.33%

0.06%

0.36%

0.13%

0.14%

0.17%

0.0%

0.3%

0.5%

0.8%

1.0%

2009

2010

2011

0.39%

0.22%

0.06%

0.57%

0.41%

0.0%

0.3%

0.5%

0.8%

1.0%

2009

2010

2011

0.46%

0.36%

0.05%

0.11%

0.08%

0.19%

0.08%

0.07%

0.16%

0.0%

0.3%

0.5%

0.8%

1.0%

2009

2010

2011

`

The PMI Group, Inc.

15

California

at June 30, 2009

1 Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

% of 

CA RIF

% of

Total RIF

% of

Total RIF

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

% of 

CA RIF

$2.3 Billion of Total Risk in Force

7.7% of PMI’s

Primary

Risk

in

Force

$298,369 Average Loan Size

MSA Distribution of Total Primary RIF

Oakland-Fremont-Hayward,

CA

–

0.4%

San

Diego-Carlsbad-San

Marcos

–

0.6%

Sacramento--Arden-Arcade—Roseville

–

0.7%

Riverside-San

Bernardino-Ontario

–

1.5%

Los

Angeles-Long

Beach-Glendale

–

1.6%

FICO

Scores

720 and above 

39.8%

3.1%

680-719

28.1%

2.2%

620-679

28.9%

2.2%

575-619

2.4%

0.2%

Less than 575

0.6%

0.0%

Loan to Value

Above 97.00%

12.5%

1.0%

95.01% to 97.00%

1.9%

0.2%

90.01% to 95.00%

20.8%

1.6%

85.01% to 90.00%

51.4%

4.0%

85.00% and below

13.3%

1.0%

Loan Type

Fixed Rate

75.0%

5.8%

ARM

25.0%

1.9%

Property

Type

Single Family

81.0%

6.3%

Condominium

15.3%

1.2%

Multi-Family and other

3.7%

0.3%

Occupancy

Primary Residence

92.8%

7.2%

Second Home

2.7%

0.2%

Non-owner occupied

4.6%

0.4%

Alt-A

33.1%

2.5%

The PMI Group, Inc.

16

Florida

at June 30, 2009

1 Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

% of 

FL RIF

% of

Total RIF

% of 

FL RIF

% of

Total RIF

$3.0 Billion of Total Risk in Force

10.1% of PMI’s

Primary

Risk

in Force

$177,354 Average Loan Size

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

FICO

Scores

720 and above 

35.8%

3.6%

680-719

27.8%

2.8%

620-679

30.8%

3.1%

575-619

4.1%

0.4%

Less than 575

1.2%

0.1%

Loan to Value

Above 97.00%

20.1%

2.0%

95.01% to 97.00%

2.6%

0.3%

90.01% to 95.00%

29.8%

3.0%

85.01% to 90.00%

40.8%

4.1%

85.00% and below

6.7%

0.7%

Loan Type

Fixed Rate

83.8%

8.5%

ARM

16.2%

1.6%

Property

Type

Single Family

71.7%

7.3%

Condominium

26.3%

2.7%

Multi-Family and other

2.0%

0.2%

Occupancy

Primary Residence

78.6%

8.0%

Second Home

12.4%

1.3%

Non-owner occupied

9.0%

0.9%

Alt-A

36.8%

3.5%

Tampa-St.

Petersburg-Clearwater,

FL–

1.4%

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%

The PMI Group, Inc.

17

Auto

States

(Michigan,

Ohio,

Illinois,

Indiana)

at

June

30,

2009

1 Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

% of

Total RIF

$3.9 Billion of Total Risk in Force

13.4% of PMI’s

Primary

Risk

in

Force

$136,031 Average Loan Size

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

Loan Type

Fixed Rate

90.7%       12.1%

ARM

9.3%

1.2%

Property

Type

Single Family

82.3%       11.0%

Condominium

13.9%

1.9%

Multi-Family and other

3.8%

0.5%

Occupancy

Primary Residence

93.0%       12.5%

Second Home

1.4%

0.2%

Non-owner occupied

5.6%

0.8%

Alt-A

13.1%

1.6%

% of  Auto

States RIF

% of  Auto

States RIF

% of

Total RIF

FICO

Scores

720 and above 

35.2%

4.7%

680-719

23.5%

3.2%

620-679

31.7%        4.2%

575-619

6.2%

0.8%

Less than 575

2.9%

0.4%

Loan to Value

Above  97.00%

19.5%

2.6%

95.01% to 97.00%

5.1%

0.7%

90.01% to 95.00%

32.2%

4.3%

85.01% to 90.00%

35.9%

4.8%

85.00% and below

7.2%

1.0%

Cleveland-Elyria-Mentor,

OH

-

0.9%

Chicago

–

Naperville

–

Joliet,

IL

-

4.0%

Columbus, OH -

0.8%

Cincinnati-Middletown,

OH-KY-IN-0.7%

Warren-Troy-Farmington

Hills,

MI

-

0.8%

MSA Distribution of Total Primary RIF

The PMI Group, Inc.

18

Loan Type

Fixed Rate

88.8%         2.5%

ARM

11.2%

0.3%

Property

Type

Single Family

85.0%         2.3%

Condominium

11.9%

0.3%

Multi-Family and other

3.2%

0.1%

Occupancy

Primary Residence

84.5%         2.3%

Second Home

8.6%

0.2%

Non-owner occupied

6.9%

0.2%

Alt-A

25.1%

0.7%

Arizona

at

June 30, 2009

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 

37.5%

1.0%

680-719

26.6%

0.7%

620-679

29.9%

0.8%

575-619

3.8%

0.1%

Less than 575

1.0%

0.0%

Loan to Value

Above  97.00%

27.5%

0.8%

95.01% to 97.00%

2.5%

0.1%

90.01% to 95.00%

24.5%

0.7%

85.01% to 90.00%

38.5%

1.1%

85.00% and below

7.0%

0.2%

$0.8 Billion of Total Risk in Force

2.8% of PMI’s

Primary

Risk

in Force

$189,720 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 –

2.0%

MSA Distribution of Total Primary RIF

The PMI Group, Inc.

19

Loan Type

Fixed Rate

80.9%         1.3%

ARM

19.1%

0.3%

Property

Type

Single Family

79.0%         1.3%

Condominium

19.2%

0.3%

Multi-Family and other

1.8%

0.0%

Occupancy

Primary Residence

81.6%         1.4%

Second Home

12.9%

0.2%

Non-owner occupied

5.5%

0.1%

Alt-A

32.4%

0.5%

Nevada

at

June 30, 2009

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 

39.7%

0.7%

680-719

27.5%

0.5%

620-679

28.8%

0.5%

575-619

2.9%

0.0%

Less than 575

0.5%

0.0%

Loan to Value

Above  97.00%

19.0%

0.3%

95.01% to 97.00%

1.5%

0.0%

90.01% to 95.00%

27.6%

0.5%

85.01% to 90.00%

44.5%

0.7%

85.00% and below

7.4%

0.1%

$0.5 Billion of Total Risk in Force

1.7% of PMI’s

Primary

Risk

in Force

$233,469 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-0.00%

MSA Distribution of Total Primary RIF

The PMI Group, Inc.

20

Notes

2/28 Hybrid ARMS

at June 30, 2009

1Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

FICO

Scores

720 and above 

12.2%

0.2%

680-719

22.4%

0.4%

620-679

50.9%        1.0%

575-619

8.9%

0.2%

Less than 575

5.5%

0.1%

Loan to Value

Above 97.00%

9.4%

0.2%

95.01% to 97.00%

0.1%

0.0%

90.01%  to 95.00%

20.9%

0.4%

85.01% to 90.00%

35.7%

0.7%

85.00% and below

33.9%

0.7%

% of 

2/28 RIF

% of

Total RIF

% of

Total RIF

% of 

2/28 RIF

$0.6 Billion of Total Risk in Force

2.0% of PMI’s

Primary

Risk

in Force

$181,307 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

79.8%         1.6%

Condominium

7.3%

0.1%

Multi-Family and other

12.8%

0.3%

Occupancy

Primary Residence

78.1%         1.5%

Second Home

2.0%

0.0%

Non-owner occupied

19.9%

0.4%

Alt-A

52.6%

0.9%

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

The PMI Group, Inc.

21

California

28.2%

0.6%

Florida

10.6%

0.2%

Illinois

5.2%

0.1%

Michigan

5.1%

0.1%

New York

5.1%

0.1%

Texas

3.6%

0.1%

Ohio

3.5%

0.1%

Arizona

3.0%

0.1%

New Jersey

2.7%

0.1%

Pennsylvania

2.5%

0.0%

2/28 Hybrid ARMS

at June 30, 2009

1

Top ten states as determined by Primary RIF on June 30, 2009

% Total    

2/28 RIF

% Total

RIF

Top States¹

MSA Distribution of CA Bulk 2/28 RIF

Santa Ana-Anaheim-Irvine –7.8%

San

Diego

–

Carlsbad

–

San

Marcos,

CA

–6.5%

Riverside-San Bernardino-Ontario –19.8%

Los Angeles-Long Beach-Glendale –24.5%

Oakland-Fremont-Hayward,

CA–

6.9%

The PMI Group, Inc.

22

Greater

Than

97%

LTV

at

June

30,

2009

1 Condominium includes Townhouses and Cooperatives

2 Excludes unreported FICO scores

FICO

Scores

720 and above 

26.8%

5.5%

680-719

21.8%

4.5%

620-679

38.5%

7.9%

575-619

8.8%

1.8%

Less than 575

2.8%

0.6%

% of 

>97 RIF

% of

Total RIF

% of 

>97 RIF

% of

Total RIF

Loan Type

Fixed Rate

94.9%       19.5%

ARM

5.1%

1.1%

Property

Type

Single Family

85.6%       17.6%

Condominium

12.9%

2.7%

Multi-Family and other

1.5%

0.3%

Occupancy

Primary Residence

95.2%       19.6%

Second Home

1.2%

0.2%

Non-owner occupied

3.6%

0.8%

Alt-A

12.7%

2.3%

$6.1 Billion of Total Risk in Force

20.6% of PMI’s

Primary Risk in Force

$146,809 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

The PMI Group, Inc.

23

Top

States

Florida

9.9%

2.0%

Texas

9.7%

2.0%

Georgia

5.6%

1.1%

Illinois

4.8%

1.0%

California

4.7%

1.0%

Arizona

3.7%

0.8%

Virginia

3.6%

0.7%

Washington

3.5%

0.7%

Maryland

3.5%

0.7%

Ohio

3.1%

0.6%

Greater

Than

97%

LTV

at

June

30,

2009

1

Top ten states as determined by Primary RIF on June 30, 2009

% Total  

> 97% RIF

% Total

RIF

MSA Distribution of CA > 97% LTV RIF

Bakersfield, CA -6.8%

San Diego-Carlsbad-San Marcos –8.8%

Sacramento--Arden-Arcade—Roseville –11.5%

Riverside-San

Bernardino-Ontario

–

22.3%

Los Angeles-Long Beach-Glendale –13.8%

MSA Distribution of FL > 97% LTV RIF

Fort Lauderdale-Deerfield Beach, FL-9.7%

Miami-Miami Beach-Kendall, FL-16.8%

Orlando-Kissimmee, FL-16.9%

Jacksonville, FL-9.5%

Tampa-St. Petersburg-Clearwater, FL-14.8%

Houston –

Sugar Land -

Baytown, TX-31.4%

MSA Distribution of TX > 97% LTV RIF

Dallas –

Plano -Irving, TX-20.0%

Austin –

Round Rock, TX-6.8%

San Antonio, TX-7.1%

Fort Worth –

Arlington, TX-10.5%

1

The PMI Group, Inc.

24

Alt-A

at June 30, 2009

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%       13.2%

ARM

24.6%

4.3%

Property

Type

1

Single Family

77.7%       13.6%

Condominium

15.3%

2.7%

Multi-Family and other

7.0%

1.2%

Occupancy

Primary Residence

80.0%       14.0%

Second Home

7.2%

1.3%

Non-owner occupied

12.8%

2.3%

$5.2 Billion of Total Risk in Force

17.6% of PMI’s

Primary

Risk in Force

$210,548 Average Loan Size

Guideline Changes

% of 

Alt-A RIF

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

FICO

Scores

2

720 and above 

37.8%

6.6%

680-719

35.3%

6.2%

620-679

26.9%

4.7%

575-619

0.0%

0.0%

Less than 575

0.0%

0.0%

Loan to Value

Above 97.00%

13.0%

2.3%

95.01% to 97.00%

0.2%

0.0%

90.01% to 95.00%

26.8%

4.7%

85.01% to 90.00%

50.1%

8.8%

85.00% and below

9.9%

1.7%

With the exception of previously issued

commitments, effective June 1, 2008,

PMI no longer insures Alt-A

0.00% to 1.00%

1.00% to 2.00%

2.00% to 5.00%

5.00% to 10.00%

>10.00%

State Distribution of Alt-A RIF

The PMI Group, Inc.

25

Top States

1

Florida

20.0%

3.5%

California

14.1%

2.5%

New York

5.2%

0.9%

Illinois

4.9%

0.9%

Texas

4.5%

0.8%

New Jersey

4.4%

0.8%

Arizona

3.7%

0.7%

Maryland

3.3%

0.6%

Georgia

3.0%

0.5%

Virginia

3.0%

0.5%

Alt-A

at

June

30,

2009

% Total

Alt-A RIF

% Total

RIF

1

Top ten states as determined by Primary RIF on June 30, 2009

MSA Distribution of CA Alt-A RIF

Santa Ana-Anaheim-Irvine –5.6%

San Diego-Carlsbad-San Marcos –8.3%

Sacramento--Arden-Arcade—Roseville –8.6%

Riverside-San Bernardino-Ontario –21.0%

Los Angeles-Long Beach-Glendale –22.6%

Tampa-St. Petersburg-Clearwater, FL-12.8%

MSA Distribution of FL Alt-A RIF

West Palm Beach-Boca Raton, FL-7.7%

Fort Lauderdale-Deerfield Beach, FL-11.3%

Miami-Miami Beach-Kendall, FL-14.7%

Orlando-Kissimmee, FL-19.4%

Primary Portfolio Characteristics

by Vintage

27

The PMI Group, Inc.

$29.4 Billion Primary Risk in Force

and $1.6 Billion Pool Risk in Force*

Primary Flow

82%

Domestic

Mortgage

Insurance

Primary

Structured

13%

Domestic MI

57%

Modified   

Pool

4%

General Portfolio Categories

Primary Flow Insurance

$25.5 billion of risk in force 

Primary mortgage insurance offered to lenders

on a loan-by-loan basis

Primary Structured Insurance

$4.0 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

$1.2 billion of risk in force 

Insurance offered to agency and non-agency MBS

issuers and investors

Other Pool

$0.4 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

1%

* At June 30, 2009

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

The PMI Group, Inc.

28

$26,553

$7,296

$8,803

$11,041

$29,421

$1,486

$6,061

$5,169

$2,279

$2,977

$2,286

$3,273

$520

$582

$3,940

37.3%

22.4%

16.3%

8.7%

17.0%

30.8%

50.4%

36.5%

22.4%

37.5%

30.8%

34.1%

15.1%

17.4%

40.4%

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 June 30, 2009

The PMI Group, Inc.

29

Primary Portfolio Characteristics

Primary RIF as of June 30, 2009

1

Excludes unreported FICO scores

2

At origination

Note:

Categories

are

not

mutually

exclusive

except

for

Credit

Score

and

Loan

Type.

Vintage

refers

to

the

year

the

insurance

was

issued.

2/28s

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 LTV

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

$29,421.4

$519.6

$1,486.1

$8,802.7

$7,296.5

$11,041.3

$26,553.3

$2,286.2

$581.8

Default Rate

17.0%

40.4%

30.8%

22.4%

16.3%

8.7%

15.1%

37.3%

50.4%

2009 Vintage

$1,421.0

$0.2

$0.3

$68.7

$265.1

$1,085.0

$1,416.9

$4.1

$0.0

Default Rate

0.3%

0.0%

0.0%

1.9%

0.4%

0.2%

0.3%

4.2%

0.0%

2008 Vintage

$4,461.4

$6.1

$51.7

$810.5

$1,157.6

$2,430.7

$4,406.7

$54.7

$0.0

Default Rate

7.3%

45.6%

28.3%

14.4%

8.0%

3.6%

7.2%

19.7%

0.0%

2007 Vintage

$8,296.6

$206.3

$551.0

$2,573.1

$2,126.8

$2,816.7

$7,679.1

$569.0

$48.4

Default Rate

23.9%

44.6%

34.7%

27.3%

23.1%

14.9%

23.0%

34.5%

51.0%

2006 Vintage

$4,745.2

$60.6

$203.3

$1,679.0

$1,247.0

$1,531.6

$3,780.8

$675.9

$288.5

Default Rate

26.0%

45.7%

35.4%

30.9%

26.5%

17.1%

21.5%

49.7%

59.6%

2005 Vintage

$3,719.8

$48.2

$167.0

$1,357.7

$956.4

$1,162.6

$2,937.0

$575.0

$207.8

Default Rate

19.0%

39.7%

30.9%

23.4%

18.9%

11.0%

15.0%

41.0%

42.2%

2004 Vintage and Prior

$6,777.4

$198.2

$512.8

$2,313.6

$1,543.6

$2,014.7

$6,332.9

$407.5

$37.1

Default Rate

12.9%

35.8%

26.2%

16.4%

9.9%

5.4%

12.0%

26.9%

39.6%

Total Portfolio

$3,273.5

$6,060.9

$5,169.2

$2,279.0

$2,977.3

$3,940.2

$161,248

93%

695

Default Rate

36.5%

22.4%

37.5%

30.8%

34.1%

17.4%

2009 Vintage

$3.0

$0.0

$3.0

$40.5

$29.7

$165.0

$217,876

90%

748

Default Rate

5.3%

0.0%

13.3%

0.1%

0.6%

0.4%

2008 Vintage

$241.1

$263.4

$227.8

$441.9

$222.5

$548.3

$206,117

91%

722

Default Rate

15.7%

16.5%

28.2%

12.4%

21.0%

7.6%

2007 Vintage

$1,562.9

$2,858.1

$2,087.3

$803.4

$924.9

$914.2

$187,554

94%

686

Default Rate

39.2%

26.1%

41.1%

41.9%

44.3%

22.5%

2006 Vintage

$878.0

$1,240.8

$1,551.3

$424.7

$735.2

$611.0

$173,799

93%

692

Default Rate

40.4%

22.9%

43.9%

57.2%

51.0%

23.8%

2005 Vintage

$504.8

$707.5

$798.8

$318.3

$534.2

$551.5

$157,354

92%

693

Default Rate

33.7%

19.4%

35.7%

39.0%

36.4%

18.2%

2004 Vintage and Prior

$83.7

$991.2

$501.1

$250.3

$530.9

$1,150.3

$111,967

92%

686

Default Rate

27.0%

16.7%

20.9%

11.9%

15.9%

16.2%

2

1

The PMI Group, Inc.

30

$3,413

$0

$312

$2,509

$1,735

$2,572

$1,811

$4,035

$4,943

$1,134

$25,458

$9,932

$7,450

$6,451

$23,723

43.3%

15.8%

14.7%

33.9%

29.0%

37.5%

22.4%

36.4%

30.2%

15.8%

8.4%

15.6%

21.0%

38.6%

Total

720 and

above

680 -

719

620 -

679

575 -

619

Less

than 575

Fixed

Rate

ARMs

2/28s

Interest

Only

LTV>97

Alt-A

Calif.

Florida

Auto

States

Flow Risk in Force as of June 30, 2009

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

The PMI Group, Inc.

31

Flow Portfolio Characteristics

Flow RIF as of June 30, 2009

All $  in Millions, except for Average Loan Size

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg Loan Size

Avg LTV

Avg FICO

Credit Score

Loan Type

Less than 575

575 -

619

720 and above

ARM

Fixed Rate

620 -

679

680 -

719

Total

2/28s

1

Excludes unreported FICO scores

2

At origination

Note:

Categories

are

not

mutually

exclusive

except

for

Credit

Score

and

Loan

Type.

Vintage

refers

to

the

year

the

insurance

was

issued.

Specific Portfolio Characteristics

Total Portfolio

$25,458.2

$312.3

$1,134.1

$7,449.6

$6,450.9

$9,932.3

$23,723.2

$1,735.1

$0.0

Default Rate

15.8%

43.3%

30.2%

21.0%

15.6%

8.4%

14.7%

38.6%

n/a

2009 Vintage

$1,420.8

$0.2

$0.3

$68.7

$265.1

$1,085.0

$1,416.7

$4.1

$0.0

Default Rate

0.3%

0.0%

0.0%

1.9%

0.4%

0.2%

0.3%

4.2%

n/a

2008 Vintage

$4,399.9

$5.2

$48.8

$793.1

$1,141.3

$2,406.9

$4,351.0

$48.9

$0.0

Default Rate

7.2%

46.2%

28.0%

14.3%

8.1%

3.6%

7.1%

20.6%

n/a

2007 Vintage

$6,882.6

$145.4

$443.0

$2,208.1

$1,806.3

$2,257.1

$6,533.7

$348.9

$0.0

Default Rate

24.8%

53.0%

37.2%

27.8%

24.4%

16.1%

24.2%

45.0%

n/a

2006 Vintage

$3,531.6

$25.6

$138.6

$1,175.9

$961.9

$1,205.6

$2,991.8

$539.8

$0.0

Default Rate

23.3%

47.2%

32.6%

26.7%

24.4%

16.4%

20.2%

52.2%

n/a

2005 Vintage

$3,160.0

$22.1

$118.4

$1,096.1

$829.5

$1,065.9

$2,707.8

$452.3

$0.0

Default Rate

17.4%

42.7%

28.9%

21.2%

17.9%

10.8%

14.8%

40.6%

n/a

2004 Vintage and Prior

$6,063.2

$113.8

$384.9

$2,107.6

$1,446.7

$1,911.9

$5,722.2

$341.1

$0.0

Default Rate

12.2%

33.9%

24.4%

16.0%

9.8%

5.4%

11.6%

23.6%

n/a

Total Portfolio

$2,509.1

$4,942.5

$4,035.1

$1,810.5

$2,572.4

$3,413.3

$161,772

93%

699

Default Rate

36.4%

22.4%

37.5%

29.0%

33.9%

15.8%

2009 Vintage

$3.0

$0.0

$3.0

$40.5

$29.7

$165.0

$217,884

90%

748

Default Rate

5.3%

0.0%

13.3%

0.1%

0.6%

0.4%

2008 Vintage

$239.7

$241.8

$226.0

$440.6

$220.6

$542.9

$206,278

91%

722

Default Rate

15.8%

16.6%

28.6%

12.4%

20.9%

7.4%

2007 Vintage

$1,337.9

$2,398.1

$1,807.5

$687.7

$767.9

$760.9

$189,295

94%

689

Default Rate

40.2%

27.2%

41.7%

44.4%

48.0%

22.3%

2006 Vintage

$537.6

$929.2

$988.5

$240.5

$585.0

$436.3

$173,268

93%

696

Default Rate

40.6%

22.3%

45.2%

54.5%

49.7%

19.8%

2005 Vintage

$317.3

$629.6

$590.1

$187.1

$493.4

$453.9

$154,982

93%

697

Default Rate

33.1%

18.3%

35.7%

39.8%

35.9%

16.4%

2004 Vintage and Prior

$73.6

$743.7

$420.2

$214.2

$475.9

$1,054.3

$112,828

93%

690

Default Rate

25.5%

15.3%

20.5%

11.1%

15.6%

15.3%

2

1

The PMI Group, Inc.

32

Risk Characteristics: Structured Transactions

$207

$764

$1,119

$582

$527

$2,830

$405

$469

$1,134

$352

$3,963

$1,109

$1,353

$846

$551

50.4%

36.9%

34.8%

27.3%

18.3%

35.8%

39.4%

37.7%

22.2%

36.8%

32.2%

23.8%

12.0%

21.8%

30.3%

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 June 30, 2009

The PMI Group, Inc.

33

Structured Portfolio Characteristics

Structured RIF as of June 30, 2009

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

and

monthly

reported

notices

of

default

for

this

product

peaked

in

late

2007

Categories are not mutually exclusive except for Credit Score and Loan Type. Vintage refers to the year the insurance was issued.

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg

Loan Size

Avg

LTV

Avg

FICO

Credit Score

Loan Type

Less than 575

575 -

619

720 and above

ARM

Fixed Rate

620 -

679

680 -

719

Total

2/28s

Specific Portfolio Characteristics

Total Portfolio

$3,963.2

$207.3

$352.0

$1,353.0

$845.6

$1,108.9

$2,830.2

$551.2

$581.8

Default Rate

23.8%

36.9%

32.2%

30.3%

21.8%

12.0%

18.3%

34.8%

50.4%

2009 Vintage

$0.1

$0.0

$0.0

$0.1

$0.0

$0.0

$0.1

$0.0

$0.0

Default Rate

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

2008 Vintage

$61.5

$0.9

$2.9

$17.5

$16.3

$23.8

$55.7

$5.8

$0.0

Default Rate

10.2%

43.6%

31.0%

15.9%

7.0%

2.9%

10.0%

14.3%

0.0%

2007 Vintage

$1,414.0

$60.9

$108.0

$365.0

$320.5

$559.6

$1,145.4

$220.1

$48.4

Default Rate

20.1%

32.5%

28.5%

25.3%

17.0%

9.9%

17.0%

28.4%

51.0%

2006 Vintage

$1,213.7

$35.0

$64.6

$503.0

$285.0

$326.0

$789.1

$136.1

$288.5

Default Rate

34.8%

44.5%

41.7%

42.3%

34.2%

20.3%

26.9%

42.9%

59.6%

2005 Vintage

$559.8

$26.1

$48.6

$261.5

$126.9

$96.7

$229.2

$122.8

$207.8

Default Rate

29.4%

36.8%

36.9%

35.1%

27.0%

13.2%

17.5%

42.4%

42.2%

2004 Vintage and Prior

$714.2

$84.4

$127.9

$206.0

$96.9

$102.7

$610.7

$66.4

$37.1

Default Rate

17.8%

38.2%

31.1%

19.6%

11.4%

5.2%

14.8%

40.5%

39.6%

Total Portfolio

$764.4

$1,118.5

$1,134.1

$468.5

$405.0

$526.9

$158,107

92%

670

Default Rate

36.8%

22.2%

37.7%

39.4%

35.8%

27.3%

2009 Vintage

$0.0

$0.0

$0.0

$0.0

$0.0

$0.0

$174,636

88%

718

Default Rate

0.0%

0.0%

0.0%

0.0%

0.0%

0.0%

2008 Vintage

$1.3

$21.6

$1.8

$1.3

$1.9

$5.4

$198,865

93%

697

Default Rate

5.6%

15.6%

3.6%

17.2%

27.1%

17.2%

2007 Vintage

$225.0

$460.0

$279.9

$115.7

$157.0

$153.3

$180,806

94%

677

Default Rate

33.8%

21.8%

37.9%

29.5%

29.8%

23.3%

2006 Vintage

$340.4

$311.5

$562.8

$184.1

$150.2

$174.7

$175,509

92%

680

Default Rate

40.1%

25.4%

41.9%

61.5%

55.9%

34.2%

2005 Vintage

$187.5

$77.9

$208.8

$131.2

$40.8

$97.6

$172,984

89%

668

Default Rate

35.2%

30.6%

35.8%

37.3%

42.5%

26.1%

2004 Vintage and Prior

$10.1

$247.5

$80.9

$36.0

$55.0

$95.9

$105,921

91%

647

Default Rate

36.6%

19.9%

22.6%

16.8%

18.2%

25.1%

2

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 by book years

Modified Pool with Deductibles

Modified Pool without Deductibles

All $ in Millions

Modified Pool as of June 30, 2009

1

Established loss reserves for non-performing (i.e. delinquent) modified pool loans, which represents PMI’s estimate of losses for those loans at June 30, 2009.

2

Remaining risk in force excludes non-performing risk exposures, for which loss reserves have been established. 

2004 and Prior

2005

2006

2007

2008

2009

Insurance in Force

$2,262

$1,322

$4,334

n/a

n/a

n/a

Stop Loss Amount

$483

$54

$317

n/a

n/a

n/a

PMI's

Claims Paid to Date

$42

$19

$38

n/a

n/a

n/a

Reserves for Losses

1

$40

$22

$32

n/a

n/a

n/a

Remaining Risk In Force

2

$260

$13

$247

n/a

n/a

n/a

2004 and Prior

2005

2006

2007

2008

2009

Insurance in Force

$5,899

$6,396

$12,602

$7,370

n/a

n/a

Stop Loss Amount

$1,315

$367

$635

$273

n/a

n/a

Losses Applicable to Deductible

$114

$65

$69

$7

n/a

n/a

Deductible Balance

$72

$17

$74

$73

n/a

n/a

PMI's

Claims Paid to Date

$3

$5

$10

$0

n/a

n/a

Reserves for Losses

1

$33

$152

$247

$38

n/a

n/a

Remaining Risk In Force

2

$122

$128

$242

$153

n/a

n/a

The PMI Group, Inc.

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg

Loan Size

Avg

LTV

Avg

FICO

35

Modified Pool Portfolio Characteristics

Modified Pool IIF as of June 30, 2009

1

Excludes

unreported

FICO

scores

2

Excludes

Balloon,

Buy

Down,

and

Other

3

At

origination

Note:  PMI did not insure any modified pool contracts with deductible in 2008 or 2009 and did not insure any modified pool contracts without deductible in 2007, 2008 or 2009 

Categories are not mutually exclusive except for Credit Score and Loan Type. Vintage refers to the year the insurance was issued.

All $  in Millions, except for Average Loan Size

Specific Portfolio Characteristics

Specific Portfolio Characteristics

Credit Score

Loan Type

Credit Score

Loan Type

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

LTV

Avg

FICO

Total Portfolio

$32,267

$329

$818

$10,200

$9,924

$10,990

$30,386

$1,867

$2

2007 Vintage

$7,370

$130

$301

$2,581

$2,484

$1,873

$6,912

$457

$0

2006 Vintage

$12,602

$64

$144

$4,811

$4,226

$3,357

$12,432

$168

$2

2005 Vintage

$6,396

$5

$54

$1,589

$2,022

$2,724

$5,301

$1,093

$1

2004 Vintage and Prior

$5,899

$130

$320

$1,218

$1,192

$3,036

$5,742

$148

$0

Total Portfolio

$10,915

$804

$20,916

$5,529

$3,493

$3,234

$173,681

78

699

2007 Vintage

$3,140

$697

$4,855

$1,437

$739

$674

$203,973

82

686

2006 Vintage

$4,680

$48

$9,097

$2,068

$1,532

$1,191

$187,439

79

693

2005 Vintage

$2,399

$36

$4,449

$1,147

$844

$605

$173,310

79

708

2004 Vintage and Prior

$697

$24

$2,515

$877

$378

$764

$129,610

72

710

Total Portfolio

$7,918

$356

$801

$2,935

$1,874

$1,757

$4,957

$2,892

$16

2006 Vintage

$4,334

$345

$759

$1,897

$867

$466

$1,641

$2,677

$16

2005 Vintage

$1,322

$0

$5

$273

$391

$637

$1,301

$20

$0

2004 Vintage and Prior

$2,262

$11

$37

$765

$617

$654

$2,015

$195

$0

Total Portfolio

$1,061

$1,608

$2,946

$1,274

$723

$898

$150,389

86

673

2006 Vintage

$306

$1,540

$341

$512

$450

$695

$156,337

93

650

2005 Vintage

$604

$1

$939

$290

$100

$57

$195,187

76

718

2004 Vintage and Prior

$152

$67

$1,666

$472

$172

$146

$124,599

78

693

Captive Reinsurance

The PMI Group, Inc.

37

$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 $898 million as of June 30, 2009.

At June 30, 2009, approximately 55.0% 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

~ 56% of prime

~ 50% of Alt-A

~ 61% of less-than-A quality

~ 56% of LTVs >97%*

*

Captive coverage for LTVs greater than 97% may overlap with other listed categories

Actual

Projected

The PMI Group, Inc.

38

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

$1,973

$227.6

1,125

158.1

1,065

117.1

187

62.5

$4,350

$565.3

$8.5

$0.6

$75

$1.8

290

11.0

542

34.6

1,761

200.8

$2,668

$248.2

$82.0

$0.0

$53

$0.5

1

0.0

277

12.6

2,434

248.1

$2,765

$261.2

$115.9

$0.0

$99

$1.1

220

5.9

240

8.4

4,605

285.1

$5,163

$300.5

$97.6

$0.0

$304.1

$0.8

$787.8

RIF

Current

June 30, 2008

Cumulative

Cumulative

Benefit

Benefit

Incurred Loss

Paid  Loss

Captive

Captive

Incurred Losses

Ever to Date

$1,307

$187.3

1,102

171.1

1,043

141.3

394

79.9

$3,845

$579.7

$10.9

$1.2

$37

$0.7

234

12.6

16

1.3

2,126

295.0

$2,413

$309.7

$128.6

$6.6

$41

$0.9

5

0.2

0

0.0

2,375

326.5

$2,421

$327.5

$158.0

$2.4

$32

$0.3

45

1.5

224

10.1

4,256

397.8

$4,557

$409.7

$187.4

$0.0

$484.9

$10.1

$860.1

Current

RIF

Ever to Date

Incurred Losses

Paid  Loss

Incurred Loss

Captive

December 31, 2008

Cumulative

Cumulative

Benefit

Captive

Benefit

Original

Progression to

Book Year

RIF

Attachment Point

2004 & Prior Total

$13,253

0 - 50%

$1,055

$190.1

5,969

50 - 75%

809

154.4

2,907

75-99%

624

88.5

5,039

Attached

959

185.8

$27,169

$3,446

$618.8

$19.8

$1.7

2005 Total

$55

0 - 50%

$34

$0.8

8

50 - 75%

4

0.3

65

75-99%

34

2.6

4,456

Attached

2,175

371.9

$4,584

$2,248

$375.6

$174.5

$36.6

2006 Total

$38

0 - 50%

$25

$0.5

26

50 - 75%

16

0.8

1

75-99%

0

0.0

3,296

Attached

2,203

396.1

$3,361

$2,244

$397.4

$198.0

$14.1

2007 Total

$36

0 - 50%

$28

$0.4

0

50 - 75%

0

0.0

9

75-99%

8

0.4

4,971

Attached

4,188

511.9

$5,017

$4,224

$512.7

$255.6

$0.0

Cumulative Captive Benefit (MM)

$647.9

$52.5

Total Captive Trust Balances (MM)

$898.0

Cumulative

June 30, 2009

Incurred Loss

Cumulative

Paid Loss

Captive

RIF

Incurred Losses

Benefit

Captive

Benefit

Current

Ever to Date

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, such as a deepening of the

current economic recession; decreases in housing demand, mortgage originations or housing values; a further reduction in

the liquidity in the capital markets or further contraction of credit markets; further increases in unemployment rates;

changes

in

interest

rates

or

consumer

confidence;

and/or

changes

in

credit

spreads;

•

our expectation that, as a result of continued losses, we will need to raise significant additional capital and/or achieve

significant statutory capital relief  in 2009;

•

the risk that we may be unable to maintain minimum regulatory risk-to-capital and policyholders surplus requirements and,

in that event, that we must cease writing new business in some or all states;

•

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 future impairment of the value of certain securities held in our investment portfolios as a result of the

significant volatility in the capital markets;

•

the potential that our actual losses may substantially exceed our current loss reserve estimates or that our underwriting

policies may not anticipate all risks and/or the magnitude of potential loss;

•

heightened regulatory and litigation risks faced by the financial services industry, the mortgage insurance industry and

PMI;

•

the potential litigation risk associated with our increased rescission activity and, in the event that we are unsuccessful in

defending our rescission decisions, the need to establish loss reserves for, and reassume risk on, delinquent rescinded

loans;

•

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, such as Alternative-A (“Alt-A”) and less than-A loans, and

adjustable rate and interest-only loans, which have resulted in increased losses in 2007 and 2008 and are expected to

result in further losses;

40

The PMI Group, Inc.

Forward-Looking Statement

•

the risk that Fannie Mae and/or Freddie Mac (collectively, the “GSEs”) determine that we are no longer an eligible

provider of mortgage insurance;

•

changes in persistency rates of our mortgage insurance policies caused by, among other things, changes in

refinancing activity and home values

;

•

the risk that we are not able to timely satisfy certain obligations under our credit facility and an event of default

occurs;

•

further downgrades or other ratings actions with respect to our credit ratings or insurer financial strength ratings

assigned by the major rating agencies;

•

heightened

competition

from

the

Federal

Housing

Administration

and

the

Veterans’

Administration

or

other

private

mortgage insurers;

•

potential changes in the charters or business practices of the GSEs, the largest purchasers of mortgages;

•

volatility in our earnings caused by changes in the fair value of our derivative contracts and our need to reevaluate

the premium deficiencies in our mortgage insurance business on a

quarterly basis; and

•

potential additional losses in our European operations as a result of deteriorating economic conditions and the

potential that we must make additional capital contributions to those operations pursuant to a capital support

agreement.