Pmi (PMI) 8-K Results of Operations and Financial Condition

Exhibit 99.2

The PMI Group, Inc.

Fourth Quarter 2009

Financial Supplement

THE PMI GROUP, INC. AND SUBSIDIARIES

FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED DECEMBER 31, 2009

Table of Contents

	Page
Notes to Financial Results and Statistical Information	3
Consolidated Results
Consolidated Statements of Operations	4
Consolidated Balance Sheets	5
Business Segments Results of Operations - Three Months Ended December 31, 2009 and 2008	6
Business Segments Results of Operations - Year Ended December 31, 2009 and 2008	7
Business Segments Balance Sheets	8
U.S. Mortgage Insurance Operations Segment Results
U.S. Mortgage Insurance Operations Segment Results of Operations and Balance Sheets	9
U.S. Mortgage Insurance Operations Portfolio Characteristics	10-12
U.S. Mortgage Insurance Operations Default Information	13
U.S. Mortgage Insurance Operations Analysis of Loss Reserves	14
CMG Mortgage Insurance Company Statistical Information	15
International Mortgage Insurance Operations Segment Results
International Operations Segment Results of Operations and Balance Sheets	16
PMI Europe Quarterly Financial Information	17
PMI Europe Statistical Information	18
Corporate and Other Segment Results
Corporate and Other Segment Results of Operations and Balance Sheets	19

Page 2

THE PMI GROUP, INC. AND SUBSIDIARIES

FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED DECEMBER 31, 2009

Notes to Financial Results and Statistical Information:

(1) Effective January 1, 2008, The PMI Group, Inc. (the “Company”) adopted Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820Fair Value Measurements and Disclosures, previously SFAS No. 157, and the fair value option outlined in FASB ASC Topic 825Financial Instruments, previously SFAS No. 159. The Company elected to adopt the fair value option for certain corporate debt on the adoption date. The Company’s net loss included a $34.0 million and $16.5 million gain for the three months and year ended December 31, 2009, respectively, related to fair value adjustments for these debt instruments.

(2) The Company impaired its investment in Financial Guaranty Insurance Company (“FGIC”) in the first quarter of 2008 and reduced the carrying value of its investment in FGIC to zero. This reduction resulted in an $88.0 million net realized investment loss in the consolidated statement of operations and $15.6 million loss in other comprehensive income in the first quarter of 2008. Effective December 31, 2009, FGIC results are included in the Corporate and Other segment. At September 30, 2008, the carrying value of our investment in RAM Reinsurance Company, Ltd. (“RAM Re”) was $6.5 million. During the fourth quarter of 2008, we recognized equity in losses from RAM Re of $6.5 million which decreased our investment in RAM Re to zero. Due to the Company’s impairment of its investments in FGIC and RAM Re to zero in the first and fourth quarters of 2008, respectively, the Company did not recognize any equity in earnings (losses) from FGIC in 2008 and 2009 and RAM Re in 2009. The Company sold its investment in RAM Re in the fourth quarter of 2009.

(3) Other underwriting and operating expenses in the International segment include severance costs related to the reconfiguration of PMI Europe.

(4) For the three months and year ended December 31, 2009, the Company’s equity in earnings (losses) from unconsolidated subsidiaries include CMG Mortgage Insurance Company, CMG Mortgage Reinsurance Company and CMG Mortgage Assurance Company (collectively, “CMG MI”) and certain limited partnership interests. For the three months and year ended December 31, 2008, the Company’s equity in earnings (losses) from unconsolidated subsidiaries include CMG Mortgage Insurance Company, CMG Mortgage Reinsurance Company and CMG Mortgage Assurance Company (collectively, “CMG MI”), RAM Re and certain limited partnership interests.

(5) Due to the net loss in the quarter ended and year ended December 31, 2009 and 2008, normally dilutive components of shares outstanding such as stock options were not included in fully diluted shares outstanding as their inclusion would have been anti-dilutive.

(6) U.S. Mortgage Insurance Operations segment includes the operating results of PMI Mortgage Insurance Co. and affiliated U.S. mortgage insurance and reinsurance companies (collectively, “PMI”). CMG Mortgage Insurance Company and its affiliates are accounted for under the equity method of accounting and their operating results are in equity in earnings from unconsolidated subsidiaries.

(7) International Operations segment includes PMI Europe, PMI Canada and results from PMI Australia and PMI Asia which are reported as discontinued operations for all periods presented due to their sale in 2008.

(8) Effective December 31, 2009 the Company combined its Corporate and Other and Financial Guaranty segments into Corporate and Other segment for all periods presented. The Corporate and Other segment includes other income and related operating expenses of PMI Mortgage Services Co.’s investment income, change in fair value of certain debt instruments, interest expense, intercompany eliminations and corporate expenses of the Company; the results of PMI Mortgage Assurance Company, formerly Commercial Loan Insurance Co., WMAC Credit Insurance Corporation, equity in earnings (losses) from certain limited partnerships and our equity investments in FGIC and RAM Re. PMI Guaranty Co.’s (“PMI Guaranty”) operating results are reported as discontinued operations for all periods presented. The Company merged PMI Guaranty into its U.S. Mortgage Insurance Operations during the fourth quarter of 2008. See Note 2 above for discussion on impairment of the Company’s investments in RAM Re and FGIC.

(9) The loss ratio is expressed as a ratio of losses and loss adjustment expenses (“LAE”) from continuing operations to premiums earned from continuing operations. The expense ratio is expressed as a ratio of the sum of amortization of deferred policy acquisition costs and other underwriting and operating expenses from continuing operations to net premiums written from continuing operations.

(10) Pool insurance includes modified pool, GSE pool, old pool and all other pool insurance products for U.S. Mortgage Insurance Operations. As of June 30, 2008, we adjusted pool risk in force to appropriately reflect the effect of loan repayments on risk limits. Further beginning March 31, 2009, pool risk in force has been adjusted to reflect reserves established on pool which has the effect of reducing the risk layer.

(11) Loss severity is, for a given period, initial claims paid as a percentage of the total risk in force of loans for which claims were paid. Initial claims paid does not include supplemental and other payments.

(12) PMI’s persistency rate was calculated based upon the percentage of primary insurance in force at the beginning of a 12-month period that remains in force at the end of that period.

(13) The statutory risk-to-capital ratio is for PMI Mortgage Insurance Co. only. As of March 31, 2009, the Company adjusted its statutory risk-to-capital ratio based on recent regulatory clarification to exclude risk in force for which a loss reserve has been established.

(14) The excess minimum policyholders position is the surplus above the required minimum policyholders position. The excess minimum policyholders position is for PMI Mortgage Insurance Co. only.

(15) As of data, such as insurance in force, risk in force, policy in force and loans in default, are the same as the recent period end in the total column.

(16) As of September 30, 2009, the Company reclassified ceded claims paid from pool claims paid to primary claims paid and is now included in ‘Ceded claims, supplemental and other’ for all periods presented. Included in Ceded claims, supplemental and other is $3.3 million and $34.0 million for the years ended December 31, 2009 and 2008, respectively, recovered from captive trust accounts due to the termination of captive agreements. The calculation of average claim size excludes recovered amounts from captive trust accounts.

Note: The interim financial and statistical information contained in this material is unaudited. Certain prior periods’ information has been reclassified to conform to the current periods’ presentation.

The PMI Group, Inc.’s Investor Relations contacts:

Bill Horning	Kosta Karmaniolas, CFA
Vice President, Investor Relations and Corporate Capital Management and Analysis	Director, Investor Relations and Corporate Capital Management and Analysis
(925) 658-6193	(925) 658-6137

Page 3

THE PMI GROUP, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF OPERATIONS

	Three Months Ended December 31,						Year Ended December 31,
	2009			2008			2009			2008
	(Unaudited)						(Unaudited)			(Audited)
	(Dollars and shares in thousands, except per share data)
Net premiums written	$	156,126		$	177,543		$	678,058		$	768,895
Revenues
Premiums earned	$	170,575		$	184,122		$	716,841		$	786,159
Net gain (loss) from credit default swaps		7,574			(11,714	)		31,581			(11,275	)
Net investment income		29,465			31,552			119,166			138,377
Net realized investment gains (losses)		8,209			(26,348	)		37,471			(48,342	)
Change in fair value of certain debt instruments(1)		34,000			11,647			16,522			123,595
Impairment of unconsolidated subsidiaries(2)		—			—			—			(90,868	)
Other income		—			1,722			2,328			10,141
Total revenues		249,823			190,981			923,909			907,787
Losses and expenses
Losses and loss adjustment expenses		556,189			404,457			1,756,755			1,899,264
Amortization of deferred policy acquisition costs		6,532			4,512			17,781			18,285
Other underwriting and operating expenses(3)		40,869			58,606			155,211			218,583
Interest expense		10,092			11,309			43,013			41,007
Total losses and expenses		613,682			478,884			1,972,760			2,177,139
Loss before equity in losses from unconsolidated subsidiaries and income taxes		(363,859	)		(287,903	)		(1,048,851	)		(1,269,352	)
Equity in losses from unconsolidated subsidiaries(4)		(3,804	)		(5,972	)		(12,019	)		(51,802	)
Loss from continuing operations before income taxes		(367,663	)		(293,875	)		(1,060,870	)		(1,321,154	)
Income tax benefit from continuing operations		(139,480	)		(112,882	)		(406,879	)		(433,966	)
Loss from continuing operations		(228,183	)		(180,993	)		(653,991	)		(887,188	)
Income (loss) from discontinued operations, net of taxes		—			2,148			(5,335	)		(41,320	)
Net loss	$	(228,183	)	$	(178,845	)	$	(659,326	)	$	(928,508	)
Diluted loss from continuing operations per share	$	(2.76	)	$	(2.22	)	$	(7.94	)	$	(10.90	)
Diluted income (loss) from discontinued operations per share		—			0.03			(0.07	)		(0.50	)
Diluted net loss per share	$	(2.76	)	$	(2.19	)	$	(8.01	)	$	(11.40	)
Share data:
Basic weighted average common shares outstanding		82,577			81,661			82,317			81,423
Stock options and other dilutive components(5)		—			—			—			—
Diluted weighted average common shares outstanding(5)		82,577			81,661			82,317			81,423

Page 4

THE PMI GROUP, INC. AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

	December 31, 2009		December 31, 2008
	(Unaudited)		(Audited)
	(Dollars and shares in thousands, except per share data)
Assets
Investments:
Fixed income securities	$	2,355,188	$	1,997,466
Equity securities:
Common		29,090		5,593
Preferred		186,023		216,256
Short term investments		2,232		2,280
Total investments	$	2,572,533	$	2,221,595
Cash and cash equivalents		686,891		1,483,313
Investments in unconsolidated subsidiaries		139,775		150,377
Reinsurance recoverables		703,550		482,678
Deferred policy acquisition costs		41,289		34,791
Property, equipment and software, net of accumulated depreciation and amortization		101,893		125,346
Other assets		392,548		326,299
Total assets	$	4,638,479	$	4,824,399
Liabilities
Reserve for losses and loss adjustment expenses	$	3,250,100	$	2,709,286
Unearned premiums		72,089		111,656
Debt		389,991		481,764
Other liabilities		199,212		243,468
Total liabilities		3,911,392		3,546,174
Shareholders’ equity
Common stock		1,193		1,193
Additional paid-in capital, treasury stock and retained earnings		660,486		1,312,711
Accumulated other comprehensive income (loss), net of deferred taxes		65,408		(35,679	)
Total shareholders’ equity		727,087		1,278,225
Total liabilities and shareholders’ equity	$	4,638,479	$	4,824,399
Basic shares issued and outstanding		82,580		81,688
Book value per share	$	8.80	$	15.65

Page 5

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS RESULTS OF OPERATIONS - THREE MONTHS ENDED DECEMBER 31, 2009 AND 2008

	U.S. Mortgage Insurance Operations(6)			International Operations (7)			Corporate and Other (8)			Consolidated Total
	Three Months Ended December 31, 2009 (Unaudited)
	(Dollars in thousands)
Net premiums written	$	163,424		$	(7,298	)	$	—		$	156,126
Revenues
Premiums earned	$	168,611		$	1,962		$	2		$	170,575
Net gain from credit default swaps		—			7,574			—			7,574
Net investment income		27,553			1,603			309			29,465
Net realized investment gains (losses)		9,004			(795	)		—			8,209
Change in fair value of certain debt instruments(1)		—			—			34,000			34,000
Other (loss) income		(1	)		1			—			—
Total revenues		205,167			10,345			34,311			249,823
Losses and expenses
Losses and loss adjustment expenses		549,423			6,766			—			556,189
Amortization of deferred policy acquisition costs		4,944			1,588			—			6,532
Other underwriting and operating expenses		31,359			2,308			7,202			40,869
Interest expense		11			—			10,081			10,092
Total losses and expenses		585,737			10,662			17,283			613,682
(Loss) income before equity in losses from unconsolidated subsidiaries and income taxes		(380,570	)		(317	)		17,028			(363,859	)
Equity in losses from unconsolidated subsidiaries(4)		(3,669	)		—			(135	)		(3,804	)
(Loss) income from continuing operations before income taxes		(384,239	)		(317	)		16,893			(367,663	)
Income tax (benefit) expense from continuing operations		(142,254	)		2,609			165			(139,480	)
Net (loss) income	$	(241,985	)	$	(2,926	)	$	16,728		$	(228,183	)
Loss ratio(9)		325.9	%
Expense ratio(9)		22.2	%
Combined ratio		348.1	%
	Three Months Ended December 31, 2008 (Unaudited)
	(Dollars in thousands)
Net premiums written	$	175,658		$	1,875		$	10		$	177,543
Revenues
Premiums earned	$	180,919		$	3,192		$	11		$	184,122
Net loss from credit default swaps		—			(11,714	)		—			(11,714	)
Net investment income		28,633			850			2,410			31,893
Net realized investment losses		(25,451	)		(1,237	)		(1	)		(26,689	)
Change in fair value of certain debt instruments(1)		—			—			11,647			11,647
Other income (loss)		6			(23	)		1,739			1,722
Total revenues (expenses)		184,107			(8,932	)		15,806			190,981
Losses and expenses
Losses and loss adjustment expenses		398,010			6,447			—			404,457
Amortization of deferred policy acquisition costs		4,129			383			—			4,512
Other underwriting and operating expenses		52,237			12,216			(5,847	)		58,606
Interest expense		25			—			11,284			11,309
Total losses and expenses		454,401			19,046			5,437			478,884
(Loss) income before equity in earnings (losses) from unconsolidated subsidiaries and income taxes		(270,294	)		(27,978	)		10,369			(287,903	)
Equity in earnings (losses) from unconsolidated subsidiaries(4)		675			—			(6,647	)		(5,972	)
(Loss) income from continuing operations before income taxes		(269,619	)		(27,978	)		3,722			(293,875	)
Income tax (benefit) expense from continuing operations		(95,525	)		2,242			(19,599	)		(112,882	)
(Loss) income from continuing operations		(174,094	)		(30,220	)		23,321			(180,993	)
Income (loss) from discontinued operations, net of taxes		—			3,655			(1,507	)		2,148
Net (loss) income	$	(174,094	)	$	(26,565	)	$	21,814		$	(178,845	)
Loss ratio(9)		220.0	%
Expense ratio(9)		32.1	%
Combined ratio		252.1	%

Page 6

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS RESULTS OF OPERATIONS - YEAR ENDED DECEMBER 31, 2009 AND 2008

	U.S. Mortgage Insurance Operations(6)			International Operations (7)			Corporate and Other (8)			Consolidated Total
	Year Ended December 31, 2009 (Unaudited)
	(Dollars in thousands)
Net premiums written	$	685,382		$	(7,328	)	$	4		$	678,058
Revenues
Premiums earned	$	705,940		$	10,880		$	21		$	716,841
Net gain from credit default swaps		—			31,581			—			31,581
Net investment income		110,730			5,074			3,362			119,166
Net realized investment gains (losses)		40,227			(2,737	)		(19	)		37,471
Change in fair value of certain debt instruments(1)		—			—			16,522			16,522
Other (loss) income		(38	)		(13	)		2,379			2,328
Total revenues		856,859			44,785			22,265			923,909
Losses and expenses
Losses and loss adjustment expenses		1,740,691			16,064			—			1,756,755
Amortization of deferred policy acquisition costs		15,238			2,543			—			17,781
Other underwriting and operating expenses		128,097			11,081			16,033			155,211
Interest expense		55			—			42,958			43,013
Total losses and expenses		1,884,081			29,688			58,991			1,972,760
(Loss) income before equity in losses from unconsolidated subsidiaries and income taxes		(1,027,222	)		15,097			(36,726	)		(1,048,851	)
Equity in losses from unconsolidated subsidiaries(4)		(11,452	)		—			(567	)		(12,019	)
(Loss) income from continuing operations before income taxes		(1,038,674	)		15,097			(37,293	)		(1,060,870	)
Income tax benefit from continuing operations		(382,726	)		(2,645	)		(21,508	)		(406,879	)
(Loss) income from continuing operations		(655,948	)		17,742			(15,785	)		(653,991	)
Loss from discontinued operations, net of taxes		—			(5,335	)		—			(5,335	)
Net (loss) income	$	(655,948	)	$	12,407		$	(15,785	)	$	(659,326	)
Loss ratio(9)		246.6	%
Expense ratio(9)		20.9	%
Combined ratio		267.5	%
	Year Ended December 31, 2008 (Audited)
	(Dollars in thousands)
Net premiums written	$	750,627		$	18,233		$	35		$	768,895
Revenues
Premiums earned	$	772,173		$	13,942		$	44		$	786,159
Net loss from credit default swaps		—			(11,275	)		—			(11,275	)
Net investment income		115,219			13,237			10,245			138,701
Net realized investment (losses) gains		(47,600	)		(63	)		(1,003	)		(48,666	)
Change in fair value of certain debt instruments(1)		—			—			123,595			123,595
Impairment of unconsolidated subsidiaries		—			—			(90,868	)		(90,868	)
Other (loss) income		(351	)		5			10,487			10,141
Total revenues		839,441			15,846			52,500			907,787
Losses and expenses
Losses and loss adjustment expenses		1,835,720			63,544			—			1,899,264
Amortization of deferred policy acquisition costs		15,586			2,699			—			18,285
Other underwriting and operating expenses		123,368			39,903			55,312			218,583
Interest expense		139			—			40,868			41,007
Total losses and expenses		1,974,813			106,146			96,180			2,177,139
Loss before equity in earnings (losses) from unconsolidated subsidiaries and income taxes		(1,135,372	)		(90,300	)		(43,680	)		(1,269,352	)
Equity in earnings (losses) from unconsolidated subsidiaries(4)		6,456			—			(58,258	)		(51,802	)
Loss from continuing operations before income taxes		(1,128,916	)		(90,300	)		(101,938	)		(1,321,154	)
Income tax benefit from continuing operations		(419,371	)		(3,264	)		(11,331	)		(433,966	)
Loss from continuing operations		(709,545	)		(87,036	)		(90,607	)		(887,188	)
Loss from discontinued operations, net of taxes		—			(17,200	)		(24,120	)		(41,320	)
Net loss	$	(709,545	)	$	(104,236	)	$	(114,727	)	$	(928,508	)
Loss ratio(9)		237.7	%
Expense ratio(9)		18.5	%
Combined ratio		256.2	%

Page 7

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS BALANCE SHEETS

	U.S. Mortgage Insurance Operations(6)		International Operations (7)		Corporate and Other (8)			Consolidated Total
	December 31, 2009 (Unaudited)
	(Dollars in thousands)
Assets
Investments:
Fixed income securities	$	2,195,750	$	143,599	$	15,839		$	2,355,188
Equity securities:
Common		29,090		—		—			29,090
Preferred		186,023		—		—			186,023
Short term investments		999		23		1,210			2,232
Total investments	$	2,411,862	$	143,622	$	17,049		$	2,572,533
Cash and cash equivalents		567,821		47,353		71,717			686,891
Investments in unconsolidated subsidiaries		124,826		—		14,949			139,775
Reinsurance recoverables		703,550		—		—			703,550
Deferred policy acquisition costs		41,289		—		—			41,289
Property, equipment and software, net of accumulated depreciation and amortization		35,606		27		66,260			101,893
Other assets		320,483		11,755		60,310			392,548
Total assets	$	4,205,437	$	202,757	$	230,285		$	4,638,479
Liabilities
Reserve for losses and loss adjustment expenses	$	3,213,735	$	36,365	$	—			3,250,100
Unearned premiums		61,758		10,328		3			72,089
Debt		—		—		389,991			389,991
Other liabilities (assets)		169,032		38,483		(8,303	)		199,212
Total liabilities		3,444,525		85,176		381,691			3,911,392
Shareholders’ equity (deficit)		760,912		117,581		(151,406	)		727,087
Total liabilities and shareholders’ equity	$	4,205,437	$	202,757	$	230,285		$	4,638,479
	December 31, 2008 (Audited)
	(Dollars in thousands)
Assets
Investments:
Fixed income securities	$	1,722,432	$	139,804	$	135,230		$	1,997,466
Equity securities:						—
Common		5,593		—		—			5,593
Preferred		216,256		—		—			216,256
Short term investments		980		—		1,300			2,280
Total investments	$	1,945,261	$	139,804		136,530		$	2,221,595
Cash and cash equivalents		1,239,490		124,518		119,305			1,483,313
Investments in unconsolidated subsidiaries		135,082		—		15,295			150,377
Reinsurance recoverables		482,678		—		—			482,678
Deferred policy acquisition costs		32,317		2,474		—			34,791
Property, equipment and software, net of accumulated depreciation and amortization		48,365		948		76,033			125,346
Other assets		268,031		14,424		43,844			326,299
Total assets	$	4,151,224	$	282,168	$	391,007		$	4,824,399
Liabilities
Reserve for losses and loss adjustment expenses	$	2,624,504	$	84,782	$	—		$	2,709,286
Unearned premiums		86,187		25,449		20			111,656
Debt		—		—		481,764			481,764
Other liabilities (assets)		190,348		78,436		(25,316	)		243,468
Total liabilities		2,901,039		188,667		456,468			3,546,174
Shareholders’ equity (deficit)		1,250,185		93,501		(65,461	)		1,278,225
Total liabilities and shareholders’ equity	$	4,151,224	$	282,168	$	391,007		$	4,824,399

Page 8

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS SEGMENT⁽⁶⁾ RESULTS OF OPERATIONS AND BALANCE SHEETS

	2009															2008
Income Statement Components - Quarter Ended	12/31/2009			9/30/2009			6/30/2009			3/31/2009			Total			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	(Dollars in thousands)															(Dollars in thousands)
Revenues
Premiums written:
Gross premiums written	$	217,476		$	224,242		$	232,033		$	245,759		$	919,510		$	243,883		$	249,423		$	251,677		$	262,870		$	1,007,853
Ceded and refunded premiums, net of assumed premiums		(54,052	)		(56,799	)		(61,813	)		(61,464	)		(234,128	)		(68,225	)		(75,515	)		(55,614	)		(57,872	)		(257,226	)
Net premiums written		163,424			167,443			170,220			184,295			685,382			175,658			173,908			196,063			204,998			750,627
Change in unearned premiums		5,187			6,094			7,958			1,319			20,558			5,261			5,887			7,572			2,826			21,546
Premiums earned	$	168,611		$	173,537		$	178,178		$	185,614		$	705,940		$	180,919		$	179,795		$	203,635		$	207,824		$	772,173
Net investment income		27,553			26,478			28,929			27,770			110,730			28,633			29,331			29,255			28,000			115,219
Net realized investment gains (losses)		9,004			11,828			23,663			(4,268	)		40,227			(25,451	)		(50,800	)		(12,900	)		41,551			(47,600	)
Other (loss) income		(1	)		1			12			(50	)		(38	)		6			(190	)		(91	)		(76	)		(351	)
Total revenues		205,167			211,844			230,782			209,066			856,859			184,107			158,136			219,899			277,299			839,441
Losses and expenses
Losses and loss adjustment expenses		549,423			334,593			476,829			379,846			1,740,691			398,010			348,201			552,476			537,033			1,835,720
Amortization of deferred policy acquisition costs		4,944			3,837			3,432			3,025			15,238			4,129			3,387			3,819			4,251			15,586
Other underwriting and operating expenses		31,359			30,437			32,781			33,520			128,097			52,237			24,633			24,159			22,339			123,368
Interest expense		11			12			16			16			55			25			53			29			32			139
Total losses and expenses		585,737			368,879			513,058			416,407			1,884,081			454,401			376,274			580,483			563,655			1,974,813
Loss before equity in (losses) earnings from unconsolidated subsidiaries and income taxes		(380,570	)		(157,035	)		(282,276	)		(207,341	)		(1,027,222	)		(270,294	)		(218,138	)		(360,584	)		(286,356	)		(1,135,372	)
Equity in (losses) earnings from unconsolidated subsidiaries		(3,669	)		(4,268	)		(1,221	)		(2,294	)		(11,452	)		675			(85	)		2,986			2,880			6,456
Loss before income taxes		(384,239	)		(161,303	)		(283,497	)		(209,635	)		(1,038,674	)		(269,619	)		(218,223	)		(357,598	)		(283,476	)		(1,128,916	)
Income tax benefit		(142,254	)		(50,683	)		(107,720	)		(82,069	)		(382,726	)		(95,525	)		(81,108	)		(131,739	)		(110,999	)		(419,371	)
Net loss	$	(241,985	)	$	(110,620	)	$	(175,777	)	$	(127,566	)	$	(655,948	)	$	(174,094	)	$	(137,115	)	$	(225,859	)	$	(172,477	)	$	(709,545	)
Loss ratio(9)		325.9	%		192.8	%		267.6	%		204.6	%		246.6	%		220.0	%		193.7	%		271.3	%		258.4	%		237.7	%
Expense ratio(9)		22.2	%		20.5	%		21.3	%		19.8	%		20.9	%		32.1	%		16.1	%		14.3	%		13.0	%		18.5	%
Combined ratio		348.1	%		213.3	%		288.9	%		224.4	%		267.5	%		252.1	%		209.8	%		285.6	%		271.4	%		256.2	%
Balance Sheet Components - As of Quarter End	12/31/2009			9/30/2009			6/30/2009			3/31/2009						12/31/2008			9/30/2008			6/30/2008			3/31/2008
	(Dollars in thousands)															(Dollars in thousands)
Assets
Investments:
Fixed income securities	$	2,195,750		$	2,441,616		$	2,044,222		$	1,917,378					$	1,722,432		$	1,726,032		$	1,960,626		$	1,746,902
Equity securities:
Common		29,090			21,822			11,679			3,303						5,593			9,883			10,927			14,159
Preferred		186,023			186,733			177,762			158,994						216,256			212,703			243,459			260,646
Short term investments		999			999			996			981						980			980			977			951
Total investments	$	2,411,862		$	2,651,170		$	2,234,659		$	2,080,656					$	1,945,261		$	1,949,598		$	2,215,989		$	2,022,658
Cash and cash equivalents		567,821			698,833			1,075,108			1,058,306						1,239,490			400,086			106,317			285,074
Investments in unconsolidated subsidiaries		124,826			132,025			132,271			134,646						135,082			132,584			135,580			133,664
Reinsurance recoverables		703,550			659,356			602,318			549,369						482,678			392,701			313,549			123,864
Deferred policy acquisition costs		41,289			40,677			38,895			37,034						32,317			28,091			22,532			15,992
Property, equipment and software, net of accumulated depreciation and amortization		35,606			40,567			45,535			51,191						48,365			60,000			70,330			73,832
Other assets		320,483			289,999			352,590			359,573						268,031			298,908			264,577			242,679
Total assets	$	4,205,437		$	4,512,627		$	4,481,376		$	4,270,775					$	4,151,224		$	3,261,968		$	3,128,874		$	2,897,763
Liabilities
Reserve for losses and loss adjustment expenses	$	3,213,735		$	3,138,261		$	3,185,488		$	2,854,797					$	2,624,504		$	2,349,651		$	2,132,632		$	1,589,253
Unearned premiums		61,758			67,286			73,786			86,480						86,187			90,007			96,739			104,674
Other liabilities		169,032			274,786			163,419			203,772						190,348			200,593			115,973			185,738
Total liabilities		3,444,525			3,480,333			3,422,693			3,145,049						2,901,039			2,640,251			2,345,344			1,879,665
Shareholders’ equity		760,912			1,032,294			1,058,683			1,125,726						1,250,185			621,717			783,530			1,018,098
Total liabilities and shareholders’ equity	$	4,205,437		$	4,512,627		$	4,481,376		$	4,270,775					$	4,151,224		$	3,261,968		$	3,128,874		$	2,897,763

Page 9

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (1)

	2009															2008
	12/31/2009			9/30/2009			6/30/2009			3/31/2009			Total			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	(Dollars in millions)															(Dollars in millions)
New Insurance Written
Flow insurance written	$	969		$	1,176		$	2,001		$	4,847		$	8,993		$	5,725		$	6,156		$	4,364		$	5,952		$	22,197
Structured insurance written		—			—			—			1			1			24			67			184			167			442
Primary new insurance written	$	969		$	1,176		$	2,001		$	4,848		$	8,994		$	5,749		$	6,223		$	4,548		$	6,119		$	22,639
Primary new risk written	$	207		$	253		$	426		$	1,034		$	1,920		$	1,322		$	1,413		$	985		$	1,417		$	5,137
Pool new insurance written(10)	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	274		$	274
Pool new risk written(11)	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	4		$	4
Product mix as a % of primary new insurance written:
High LTV (above 97% LTV’s)		0	%		0	%		0	%		0	%		0	%		0	%		0	%		4	%		15	%		5	%
95.01% to 97% LTV’s		0	%		0	%		0	%		1	%		1	%		3	%		4	%		5	%		2	%		3	%
90.01% to 95% LTV’s		27	%		29	%		29	%		30	%		29	%		31	%		26	%		22	%		23	%		26	%
85.01% to 90% LTV’s		56	%		54	%		51	%		48	%		50	%		52	%		55	%		49	%		44	%		50	%
85% and below		17	%		17	%		20	%		21	%		20	%		14	%		15	%		20	%		16	%		16	%
Less than A quality loans		0	%		0	%		0	%		0	%		0	%		0	%		0	%		1	%		4	%		1	%
Alt-A loans		0	%		0	%		0	%		0	%		0	%		0	%		1	%		8	%		13	%		5	%
Interest only loans		0	%		0	%		0	%		0	%		0	%		2	%		5	%		6	%		8	%		5	%
Payment option ARMS		0	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%
ARMs		0	%		0	%		0	%		0	%		0	%		1	%		1	%		2	%		2	%		1	%
Monthlies		87	%		88	%		89	%		89	%		88	%		93	%		92	%		97	%		98	%		95	%
Refinances		24	%		29	%		49	%		54	%		46	%		25	%		22	%		41	%		45	%		33	%
Structured transactions		0	%		0	%		0	%		0	%		0	%		0	%		1	%		4	%		3	%		2	%
Captive reinsurance arrangements
Percentage of flow NIW subject to captive reinsurance arrangements		0.0	%		0.2	%		0.7	%		4.7	%		2.7	%		23.2	%		19.6	%		50.8	%		68.4	%		39.8	%
Percentage of primary NIW subject to captive reinsurance arrangements		0.0	%		0.2	%		0.7	%		4.7	%		2.7	%		23.1	%		19.4	%		48.7	%		66.5	%		39.0	%
Percentage of primary IIF subject to captive reinsurance arrangements		45.9	%		46.5	%		46.9	%		47.5	%		45.9	%		49.0	%		50.0	%		53.0	%		53.0	%		49.0	%
Percentage of primary RIF subject to captive reinsurance arrangements		46.9	%		47.5	%		47.8	%		48.3	%		46.9	%		49.5	%		50.4	%		53.1	%		53.1	%		49.5	%

Page 10

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (2)

	2009												2008
	12/31/2009			9/30/2009			6/30/2009			3/31/2009			12/31/2008			9/30/2008			6/30/2008			3/31/2008
	(Dollars in millions, except loan size)												(Dollars in millions, except loan size)
Primary Insurance and Risk in Force
Primary insurance in force
Flow	$	98,135		$	100,745		$	103,367		$	106,352		$	106,147		$	104,336		$	103,626		$	103,860
Structured transactions		15,559			16,187			16,852			17,545			18,118			18,806			19,525			20,403
Total	$	113,694		$	116,932		$	120,219		$	123,897		$	124,265		$	123,142		$	123,151		$	124,263
Primary risk in force
Flow	$	24,138		$	24,794		$	25,458		$	26,237		$	26,329		$	25,981		$	25,983		$	26,156
Structured transactions		3,656			3,805			3,963			4,129			4,276			4,458			4,650			4,896
Total	$	27,794		$	28,599		$	29,421		$	30,366		$	30,605		$	30,439		$	30,633		$	31,052
Pool risk in force(10)	$	1,073		$	1,292		$	1,579		$	1,853		$	2,722		$	2,762		$	2,812		$	3,443
Primary risk in force - credit score distribution
Flow
620 or above		94.4	%		94.4	%		94.3	%		94.3	%		94.1	%		93.7	%		93.4	%		93.2	%
619-575		4.4	%		4.4	%		4.5	%		4.5	%		4.6	%		4.9	%		5.1	%		5.3	%
574 or below		1.2	%		1.2	%		1.2	%		1.2	%		1.3	%		1.4	%		1.5	%		1.5	%
Structured transactions
620 or above		85.7	%		85.8	%		85.9	%		86.0	%		86.2	%		86.2	%		86.2	%		86.2	%
619-575		9.0	%		9.0	%		8.9	%		8.8	%		8.7	%		8.7	%		8.7	%		8.7	%
574 or below		5.3	%		5.2	%		5.2	%		5.2	%		5.1	%		5.1	%		5.1	%		5.1	%
Total
620 or above		93.3	%		93.2	%		93.1	%		93.1	%		93.0	%		92.6	%		92.4	%		92.1	%
619-575		5.0	%		5.0	%		5.1	%		5.1	%		5.2	%		5.5	%		5.6	%		5.8	%
574 or below		1.7	%		1.8	%		1.8	%		1.8	%		1.8	%		1.9	%		2.0	%		2.1	%
Primary average loan size(in thousands)
Flow	$	161.9		$	161.9		$	161.8		$	161.6		$	160.3		$	158.3		$	157.0		$	155.6
Structured transactions	$	156.9		$	157.5		$	158.1		$	158.9		$	159.4		$	159.9		$	160.3		$	160.8
Total	$	161.2		$	161.3		$	161.2		$	161.2		$	160.2		$	158.6		$	157.5		$	156.4
Loss severity(11) - primary(quarterly)
Flow		94.2	%		94.2	%		75.7	%		83.6	%		87.4	%		100.7	%		98.8	%		95.7	%
Structured transactions		89.1	%		87.9	%		63.9	%		85.9	%		91.9	%		98.9	%		98.2	%		98.9	%
Total		93.0	%		92.7	%		72.2	%		84.3	%		89.0	%		100.0	%		98.6	%		96.9	%
Persistency (12)
Primary persistency rate		84.3	%		83.8	%		82.3	%		82.5	%		82.2	%		81.0	%		79.6	%		77.6	%
Risk-to-capital ratio (13)		22 to 1	(A)		16.9 to 1			19.6 to 1			18.7 to 1			16.6 to 1			14.3 to 1			11.7 to 1			10.5 to 1
Excess minimum policyholders position (MPP)(14)	$	64	(A)	$	307.7		$	185.3		$	246.6		$	423.8		$	505.9		$	611.6		$	905.6

(A) Preliminary

Page 11

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS PORTFOLIO CHARACTERISTICS (3)

					12/31/2009					9/30/2009					12/31/2008
Policy Year As a Percentage of Primary Risk in Force (RIF)					Primary Risk in Force			Percent of Total		Primary Risk in Force			Percent of Total		Primary Risk in Force			Percent of Total
					(In millions)					(In millions)					(In millions)
Prior to 2000					$	502		1.8	%	$	531		1.9	%	$	609		2.0	%
2000						105		0.4	%		109		0.4	%		122		0.4	%
2001						359		1.3	%		377		1.3	%		438		1.4	%
2002						773		2.8	%		820		2.9	%		956		3.1	%
2003						2,119		7.6	%		2,221		7.8	%		2,577		8.4	%
2004						2,321		8.4	%		2,417		8.4	%		2,755		9.0	%
2005						3,448		12.4	%		3,582		12.5	%		4,029		13.2	%
2006						4,374		15.7	%		4,559		15.9	%		5,175		16.9	%
2007						7,787		28.0	%		8,019		28.0	%		9,068		29.6	%
2008						4,183		15.0	%		4,318		15.1	%		4,876		16.0	%
2009						1,823		6.6	%		1,646		5.8	%		—		0.0	%
Total					$	27,794				$	28,599				$	30,605
					12/31/2009					9/30/2009					12/31/2008
					% of Primary RIF			Primary Default Rate		% of Primary RIF			Primary Default Rate		% of Primary RIF			Primary Default Rate
Top 10 States as a Percentage of Primary Risk in Force, (Ranking based on 12/31/09 RIF)
Florida						10.1	%	41.1	%		10.1	%	38.2	%		10.3	%	27.8	%
California						7.7	%	36.7	%		7.7	%	34.3	%		8.0	%	24.7	%
Texas						7.5	%	13.0	%		7.4	%	11.7	%		7.3	%	9.4	%
Illinois						5.2	%	25.0	%		5.2	%	22.1	%		5.2	%	14.8	%
Georgia						4.7	%	23.2	%		4.7	%	20.7	%		4.7	%	14.6	%
New York						4.0	%	18.5	%		4.0	%	16.2	%		3.9	%	11.3	%
Ohio						3.9	%	18.0	%		3.8	%	16.7	%		3.8	%	13.5	%
Pennsylvania						3.4	%	15.5	%		3.4	%	14.0	%		3.3	%	10.8	%
New Jersey						3.3	%	24.1	%		3.2	%	21.6	%		3.2	%	14.2	%
Washington						3.2	%	16.5	%		3.2	%	14.4	%		3.1	%	8.1	%
	2009									2008
	12/31/2009		9/30/2009		6/30/2009			3/31/2009		12/31/2008			9/30/2008		6/30/2008			3/31/2008
As a Percentage of Primary Risk in Force - loan to value ratios
High LTV (above 97% LTV’s)	20.4	%	20.5	%		20.6	%	20.8	%		21.5	%	22.6	%		24.0	%	24.4	%
95.01% to 97% LTV’s	4.0	%	4.1	%		4.1	%	4.1	%		4.1	%	4.0	%		3.9	%	3.8	%
90.01% to 95% LTV’s	30.5	%	30.4	%		30.3	%	30.2	%		29.9	%	29.4	%		29.3	%	29.4	%
85.01% to 90% LTV’s	38.1	%	38.0	%		37.9	%	37.8	%		37.5	%	36.9	%		35.7	%	35.3	%
85% and below	7.0	%	7.0	%		7.1	%	7.1	%		7.0	%	7.1	%		7.1	%	7.1	%
As a Percentage of Primary Risk in Force:
Less-than-A quality (FICO scores below 620)	6.8	%	6.8	%		6.8	%	6.9	%		7.1	%	7.4	%		7.7	%	7.9	%
Less-than-A quality (FICO scores below 575)(A)	1.7	%	1.8	%		1.8	%	1.8	%		1.8	%	1.9	%		2.0	%	2.1	%
Alt-A Loans:
With FICO scores of 660 and above	14.8	%	15.0	%		15.3	%	15.7	%		16.3	%	17.4	%		19.0	%	19.4	%
With FICO scores below 660 and above 619	2.2	%	2.3	%		2.3	%	2.3	%		2.5	%	2.6	%		2.9	%	3.0	%
Total Alt-A Loans	17.0	%	17.3	%		17.6	%	18.0	%		18.8	%	20.0	%		21.9	%	22.4	%
ARMs(B)	9.3	%	9.5	%		9.7	%	9.9	%		10.3	%	11.0	%		11.6	%	12.1	%
Interest Only(C)	10.9	%	11.0	%		11.1	%	11.3	%		11.8	%	12.5	%		13.8	%	14.0	%
Payment Option ARMs	3.1	%	3.1	%		3.2	%	3.3	%		3.4	%	3.6	%		3.7	%	3.7	%

(A) Less-than-A quality loans with FICO scores below 575 is a subset of PMI’s less-than-A quality loan portfolio.

(B) Approximately 0.9% and 0.6% of RIF are subject to initial payment adjustment in 2009 and 2010, respectively.

(C) Approximately 95.2% and 95.5% of interest only loans written in 2008 and 2009, respectively, have an initial deferral period of 5 years or greater.

Page 12

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS DEFAULT INFORMATION

	2009															2008
	12/31/2009			9/30/2009			6/30/2009			3/31/2009			Total (15)			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total (15)
	(Dollars in millions, except claim size)															(Dollars in millions, except claim size)
Primary loans, defaults and default rates
Primary policies in force		705,417			725,029			745,551			768,441			705,417			775,841			776,544			781,867			794,323			775,841
Primary loans in default		150,925			141,261			126,431			117,503			150,925			109,580			93,670			80,895			69,718			109,580
Primary default rate		21.40	%		19.48	%		16.96	%		15.29	%		21.40	%		14.12	%		12.06	%		10.35	%		8.78	%		14.12	%
Flow only default rate		20.18	%		18.26	%		15.81	%		14.14	%		20.18	%		13.00	%		10.93	%		9.26	%		7.57	%		13.00	%
Structured transactions only default rate		28.80	%		26.87	%		23.83	%		22.16	%		28.80	%		20.70	%		18.41	%		16.25	%		15.14	%		20.70	%
Pool default rate		22.30	%		20.86	%		19.46	%		17.69	%		22.30	%		15.54	%		12.74	%		10.76	%		9.20	%		15.54	%
Primary default rates by loan type
Alt-A loans		43.92	%		41.28	%		37.52	%		34.79	%		43.92	%		30.56	%		25.79	%		21.67	%		17.47	%		30.56	%
Less than A quality loans		40.78	%		37.96	%		33.61	%		30.94	%		40.78	%		30.81	%		27.25	%		23.27	%		20.74	%		30.81	%
Above 97s		28.71	%		26.03	%		22.36	%		19.85	%		28.71	%		18.28	%		15.23	%		12.39	%		10.18	%		18.28	%
ARMs (excluding 2/28 Hybrid ARMs)		42.96	%		40.50	%		37.32	%		35.09	%		42.96	%		32.00	%		27.40	%		23.41	%		19.03	%		32.00	%
2/28 Hybrid ARMs		54.29	%		52.87	%		50.41	%		49.95	%		54.29	%		48.46	%		47.38	%		45.38	%		42.95	%		48.46	%
Payment option ARMs		53.09	%		50.75	%		47.01	%		43.78	%		53.09	%		38.87	%		32.60	%		26.72	%		19.59	%		38.87	%
Interest Only		43.82	%		40.78	%		36.49	%		33.41	%		43.82	%		28.62	%		23.53	%		19.25	%		15.04	%		28.62	%
Primary Delinquent Roll Forward
Beginning delinquent inventory		141,261			126,431			117,503			109,580			109,580			93,670			80,895			69,718			63,197			63,197
Plus: New notices		37,937			41,466			38,129			43,491			161,023			47,268			42,055			38,733			35,645			163,701
Less: Cures		(20,769	)		(20,264	)		(22,104	)		(28,915	)		(92,052	)		(24,021	)		(22,294	)		(22,150	)		(24,891	)		(93,356	)
Less: Paids (A)		(6,026	)		(4,299	)		(5,010	)		(4,613	)		(19,948	)		(5,044	)		(4,371	)		(4,329	)		(3,722	)		(17,466	)
Less: Rescissions		(1,478	)		(2,073	)		(2,087	)		(2,040	)		(7,678	)		(2,293	)		(2,615	)		(1,077	)		(511	)		(6,496	)
Ending delinquent inventory		150,925			141,261			126,431			117,503			150,925			109,580			93,670			80,895			69,718			109,580
Claims paid
Primary claims paid - flow	$	204.6		$	144.6		$	129.8		$	136.7		$	615.7		$	143.7		$	130.1		$	117.2		$	93.0		$	484.0
Primary claims paid - structured transactions		61.9			43.7			47.3			65.3			218.2			79.7			76.9			71.8			59.9			288.3
Ceded claims, supplemental and other(16)		(56.2	)		(29.8	)		(21.8	)		(21.3	)		(129.1	)		(18.1	)		(29.4	)		(0.2	)		0.7			(47.0	)
Total primary claims paid		210.3			158.5			155.3			180.7			704.8			205.3			177.6			188.8			153.6			725.3
Total pool and other		293.5			268.8			31.0			25.9			619.2			19.2			22.5			3.9			9.0			54.6
Total claims paid		503.8			427.3			186.3			206.6			1,324.0			224.5			200.1			192.7			162.6			779.9
Loss adjustment expenses		14.3			11.6			12.8			9.6			48.3			11.6			10.2			6.1			6.2			34.1
Total claims paid including loss adjustment expenses	$	518.1		$	438.9		$	199.1		$	216.2		$	1,372.3		$	236.1		$	210.3		$	198.8		$	168.8		$	814.0
Average primary claim size(in thousands)	$	35.4		$	36.9		$	31.0		$	39.2		$	35.5		$	42.3		$	46.5		$	43.6		$	41.3		$	43.5

(A) Claims paid are net of claim reversals and reinstatements

Page 13

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS ANALYSIS OF LOSS RESERVES

Loss Reserve Analysis	2009												2008
	12/31/2009			9/30/2009			6/30/2009			3/31/2009			12/31/2008			9/30/2008			6/30/2008			3/31/2008
	(Dollars in millions)												(Dollars in millions)
Beginning reserves for losses and LAE,	$	3,138.3		$	3,185.5		$	2,854.8		$	2,624.5		$	2,349.7		$	2,132.6		$	1,589.3		$	1,133.1
Reinsurance recoverables		(659.4	)		(602.3	)		(549.4	)		(482.7	)		(392.7	)		(313.5	)		(123.9	)		(35.9	)
Net balance at beginning of the period		2,478.9			2,583.2			2,305.4			2,141.8			1,957.0			1,819.1			1,465.4			1,097.2
Loss and LAE incurred (principally with respect to defaults occuring in):
Current year		432.8			375.2			374.1			370.6			473.8			393.5			480.4			363.2
Prior years		116.6			(40.6	)		102.7			9.2			(45.8	)		(45.3	)		72.1			173.8
Total incurred		549.4			334.6			476.8			379.8			428.0			348.2			552.5			537.0
Loss and LAE payments (principally with respect to defaults occuring in):
Current year		(180.9	)		(121.2	)		(4.3	)		(2.6	)		(72.7	)		(22.7	)		(5.4	)		(0.1	)
Prior years		(337.3	)		(317.7	)		(194.7	)		(213.6	)		(170.5	)		(187.6	)		(193.4	)		(168.7	)
Total payments		(518.2	)		(438.9	)		(199.0	)		(216.2	)		(243.2	)		(210.3	)		(198.8	)		(168.8	)
Net ending balance		2,510.1			2,478.9			2,583.2			2,305.4			2,141.8			1,957.0			1,819.1			1,465.4
Reinsurance recoverables(A)		703.6			659.4			602.3			549.4			482.7			392.7			313.5			123.9
Ending reserves for losses and LAE	$	3,213.7		$	3,138.3		$	3,185.5		$	2,854.8		$	2,624.5		$	2,349.7		$	2,132.6		$	1,589.3
Loss Reserves by Book Year				12/31/2009			9/30/2009			6/30/2009			3/31/2009			12/31/2008			12/31/2007			12/31/2006
				(Dollars in thousands)												(Dollars in thousands)
2002 and prior				$	135,572		$	127,098		$	117,670		$	128,501		$	137,136		$	117,987		$	103,053
2003					144,066			131,432			115,439			115,725			118,672			87,713			65,107
2004					194,421			210,726			192,493			172,624			166,420			119,017			76,606
2005					450,343			499,670			534,897			437,354			406,224			238,077			83,339
2006					850,322			847,254			1,008,011			872,408			774,871			345,918			38,077
2007					1,214,096			1,137,081			1,067,259			1,007,037			928,065			224,368			—
2008					220,657			182,536			148,482			120,973			93,116			—			—
2009					4,258			2,464			1,237			175			—			—			—
Total Loss Reserves				$	3,213,735		$	3,138,261		$	3,185,488		$	2,854,797		$	2,624,504		$	1,133,080		$	366,182

	12/31/2009			9/30/2009			6/30/2009			3/31/2009			12/31/2008
	Loans in Default	Reserve for Losses and LAE		Loans in Default	Reserve for Losses and LAE		Loans in Default	Reserve for Losses and LAE		Loans in Default	Reserve for Losses and LAE		Loans in Default	Reserve for Losses and LAE
	(Dollars in millions)
Primary insurance	150,925	$	2,931.1	141,261	$	2,694.4	126,431	$	2,560.4	117,503	$	2,445.2	109,580	$	2,340.0
Pool insurance (11)	51,104		261.8	52,158		421.2	57,121		602.3	53,807		386.7	50,770		261.6
Surety(B)	—		20.8	—		22.7	—		22.8	—		22.9	—		22.9
Total	202,029	$	3,213.7	193,419	$	3,138.3	183,552	$	3,185.5	171,310	$	2,854.8	160,350	$	2,624.5

(A) Reinsurance recoverables includes captive reinsurance agreements and other reinsurance recoverables.

(B) Reserve for losses and LAE relates to loss reserves on PMI Guaranty’s surety business with FGIC which was commuted and merged into the Company’s U.S. Mortgage Insurance Operations in the fourth quarter of 2008.

Page 14

THE PMI GROUP, INC. AND SUBSIDIARIES

CMG MORTGAGE INSURANCE COMPANY STATISTICAL INFORMATION

	2009															2008
	12/31/2009			9/30/2009			6/30/2009			3/31/2009			Total(15)			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total(15)
	(Dollars in millions, except claims paid and claim size)															(Dollars in millions, except claims paid and claim size)
Primary new insurance written	$	321		$	489		$	1,052		$	1,630		$	3,492		$	1,148		$	1,466		$	1,877		$	1,353		$	5,844
Primary insurance in force	$	21,952		$	22,315		$	22,645		$	22,665		$	21,952		$	22,015		$	21,446		$	20,627		$	19,530		$	22,015
Primary risk in force	$	5,350		$	5,444		$	5,533		$	5,569		$	5,350		$	5,465		$	5,334		$	5,137		$	4,871		$	5,465
Policies in force		136,519			139,073			141,448			142,541			136,519			140,128			137,979			134,451			129,032			140,128
Primary loans in default		7,315			6,479			5,550			4,480			7,315			3,565			2,795			2,157			1,832			3,565
Primary default rate		5.36	%		4.66	%		3.92	%		3.14	%		5.36	%		2.54	%		2.03	%		1.60	%		1.42	%		2.54	%
Persistency		83.9	%		83.9	%		84.1	%		84.7	%		83.9	%		85.4	%		84.1	%		82.6	%		81.6	%		85.4	%
Primary claims paid(in thousands)	$	16,036		$	15,159		$	12,857		$	10,703		$	54,755		$	8,432		$	5,929		$	6,051		$	4,033		$	24,445
Number of primary claims paid		384			345			294			235			1,258			232			169			173			118			692
Average primary claim size(in thousands)	$	41.8		$	43.9		$	43.7		$	45.5		$	43.5		$	36.3		$	35.1		$	35.0		$	34.2		$	35.3

Page 15

THE PMI GROUP, INC. AND SUBSIDIARIES

INTERNATIONAL OPERATIONS SEGMENT⁽⁷⁾ RESULTS OF OPERATIONS AND BALANCE SHEETS

	2009															2008
Income Statement Components - Quarter Ended	12/31/2009			9/30/2009			6/30/2009			3/31/2009			Total			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	(U.S. dollars in thousands)															(U.S. dollars in thousands)
Net premiums written	$	(7,298	)	$	(80	)	$	(496	)	$	546		$	(7,328	)	$	1,875		$	2,577		$	6,093		$	7,688		$	18,233
Revenues
Premiums earned	$	1,962		$	3,031		$	3,415		$	2,472		$	10,880		$	3,192		$	3,776		$	3,769		$	3,205		$	13,942
Net gains (losses) from credit default swaps		7,574			9,248			7,003			7,756			31,581			(11,714	)		(9,911	)		9,550			800			(11,275	)
Net investment income (loss)		1,603			(849	)		(540	)		4,860			5,074			850			3,858			3,762			4,767			13,237
Net realized investment (losses) gains		(795	)		94			(271	)		(1,765	)		(2,737	)		(1,237	)		1,885			(480	)		(231	)		(63	)
Other income (loss)		1			7			14			(35	)		(13	)		(23	)		(23	)		23			28			5
Total revenues (expenses)		10,345			11,531			9,621			13,288			44,785			(8,932	)		(415	)		16,624			8,569			15,846
Losses and expenses
Losses and loss adjustment expenses		6,766			2,185			4,012			3,101			16,064			6,447			34,488			3,589			19,020			63,544
Amortization of deferred policy acquisition costs		1,588			314			321			320			2,543			383			1,568			403			345			2,699
Other underwriting and operating expenses(3)		2,308			2,073			3,909			2,791			11,081			12,216			13,048			7,658			6,981			39,903
Total losses and expenses		10,662			4,572			8,242			6,212			29,688			19,046			49,104			11,650			26,346			106,146
(Loss) income from continuing operations before income taxes		(317	)		6,959			1,379			7,076			15,097			(27,978	)		(49,519	)		4,974			(17,777	)		(90,300	)
Income tax expense (benefit) from continuing operations		2,609			(20,431	)		14,831			346			(2,645	)		2,242			(3,510	)		340			(2,336	)		(3,264	)
(Loss) income from continuing operations		(2,926	)		27,390			(13,452	)		6,730			17,742			(30,220	)		(46,009	)		4,634			(15,441	)		(87,036	)
Income (loss) from discontinued operations, net of taxes		—			—			—			—			—			1,914			(51	)		26,469			33,217			61,549
(Loss) gain on sale from discontinued operations, net of taxes		—			(5,312	)		7			(30	)		(5,335	)		1,741			(80,490	)		—			—			(78,749	)
Net (loss) income	$	(2,926	)	$	22,078		$	(13,445	)	$	6,700		$	12,407		$	(26,565	)	$	(126,550	)	$	31,103		$	17,776		$	(104,236	)

Loss ratio, expense ratio and combined ratio for the International Operations segement are not meaningful due to the sale of PMI Australia and PMI Asia, which were classified as discontinued operations.

Balance Sheet Components - As of Quarter End	12/31/2009		9/30/2009		6/30/2009			3/31/2009		12/31/2008		9/30/2008		6/30/2008		3/31/2008
	(U.S. dollars in thousands)									(U.S. dollars in thousands)
Assets
Investments:
Fixed income and equity securities	$	143,622	$	145,628	$	124,312		$	97,521	$	139,804	$	158,171	$	285,814	$	288,047
Cash and cash equivalents		47,353		75,941		103,065			134,011		124,518		164,276		64,566		61,732
Reinsurance recoverables		—		—		—			—		—		953		1,066		1,068
Deferred policy acquisition costs		—		1,589		1,823			2,027		2,474		2,945		4,965		5,006
Property, equipment and software, net of accumulated depreciation and amortization		27		38		52			688		948		1,709		1,901		2,065
Other assets (liabilities)		11,755		12,405		(4,298	)		10,620		14,424		18,596		15,815		16,837
Assets - discontinued operations - held for sale		—		—		—			—		—		1,324,795		1,618,497		1,522,347
Total assets	$	202,757	$	235,601	$	224,954		$	244,867	$	282,168	$	1,671,445	$	1,992,624	$	1,897,102
Liabilities
Reserve for losses and loss adjustment expenses	$	36,365	$	36,766	$	49,884		$	61,065	$	84,782	$	90,856	$	62,664	$	60,736
Unearned premiums		10,328		19,797		21,946			24,522		25,449		27,296		31,660		29,378
Other liabilities		38,483		58,908		64,217			64,623		78,436		63,124		48,915		52,694
Liabilities - discontinued operations - held for sale		—		—		—			—		—		543,830		615,441		576,681
Total liabilities		85,176		115,471		136,047			150,210		188,667		725,106		758,680		719,489
Shareholders’ equity		117,581		120,130		88,907			94,657		93,501		946,339		1,233,944		1,177,613
Total liabilities and shareholders’ equity	$	202,757	$	235,601	$	224,954		$	244,867	$	282,168	$	1,671,445	$	1,992,624	$	1,897,102

Page 16

THE PMI GROUP, INC. AND SUBSIDIARIES

PMI EUROPE QUARTERLY FINANCIAL INFORMATION

	2009															2008
Income Statement Components - Quarter Ended	12/31/2009			9/30/2009			6/30/2009			3/31/2009			Total			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	(U.S. dollars in thousands, unless otherwise noted)															(U.S. dollars in thousands, unless otherwise noted)
Net premiums written	$	(7,268	)	$	(80	)	$	(496	)	$	546		$	(7,298	)	$	1,875		$	2,577		$	6,093		$	5,368		$	15,913
Revenues
Premiums earned	$	1,765		$	2,904		$	3,262		$	2,373		$	10,304		$	3,051		$	3,598		$	3,660		$	3,156		$	13,465
Net gains (losses) from credit default swaps		7,574			9,248			7,003			7,756			31,581			(11,714	)		(9,911	)		9,550			800			(11,275	)
Net investment income (loss)		1,359			(758	)		(375	)		4,673			4,899			282			3,221			2,971			3,972			10,446
Net realized investment (losses) gains		(560	)		100			66			(1,314	)		(1,708	)		(4,377	)		874			(480	)		(231	)		(4,214	)
Total revenues (expenses)		10,138			11,494			9,956			13,488			45,076			(12,758	)		(2,218	)		15,701			7,697			8,422
Losses and expenses
Losses and loss adjustment expenses		5,429			1,950			3,814			2,943			14,136			6,288			34,386			3,589			18,975			63,238
Amortization of deferred policy acquisition costs		1,409			279			283			298			2,269			311			1,565			401			345			2,622
Other underwriting and operating expenses(3)		2,069			1,836			3,685			2,436			10,026			6,069			9,813			5,587			4,633			26,102
Total losses and expenses		8,907			4,065			7,782			5,677			26,431			12,668			45,764			9,577			23,953			91,962
Income (loss) before income taxes		1,231			7,429			2,174			7,811			18,645			(25,426	)		(47,982	)		6,124			(16,256	)		(83,540	)
Income tax expense (benefit)		2,608			(20,430	)		16,284			346			(1,192	)		2,255			(3,510	)		340			(2,336	)		(3,251	)
Net (loss) income	$	(1,377	)	$	27,859		$	(14,110	)	$	7,465		$	19,837		$	(27,681	)	$	(44,472	)	$	5,784		$	(13,920	)	$	(80,289	)
Net (loss) income(Euros in thousands)	€	(1,295	)	€	20,494		€	(10,693	)	€	5,715		€	14,221		€	(20,011	)	€	(29,410	)	€	3,704		€	(8,857	)	€	(54,574	)
Loss ratio, expense ratio and combined ratio for PMI Europe are not meaningful.
Balance Sheet Components - As of Quarter End	12/31/2009			9/30/2009			6/30/2009			3/31/2009						12/31/2008			9/30/2008			6/30/2008			3/31/2008
	(U.S. dollars in thousands)															(U.S. dollars in thousands)
Assets
Investments:
Fixed income securities	$	129,355		$	131,439		$	110,107		$	96,586					$	136,856		$	145,746		$	220,099		$	222,364
Cash and cash equivalents		42,695			70,751			100,102			117,336						107,420			109,440			58,256			53,765
Reinsurance recoverables		—			—			—			—						—			954			1,066			1,068
Deferred policy acquisition costs		—			1,412			1,627			1,811						2,228			2,580			4,581			4,623
Property, equipment and software, net of accumulated depreciation and amortization		27			38			52			688						948			1,165			1,269			1,372
Other assets (liabilities)		11,269			11,763			(8,462	)		10,581						14,332			18,279			15,287			15,837
Total assets	$	183,346		$	215,403		$	203,426		$	227,002					$	261,784		$	278,164		$	300,558		$	299,029
Liabilities
Reserve for losses and loss adjustment expenses	$	35,957		$	35,874		$	49,281		$	60,637					$	84,503		$	90,715		$	62,620		$	60,692
Unearned premiums		9,234			18,497		��	20,629			23,167						23,948			25,417			29,521			27,140
Other liabilities		36,820			58,584			61,981			64,220						76,814			61,269			47,284			50,432
Total liabilities		82,011			112,955			131,891			148,024						185,265			177,401			139,425			138,264
Shareholders’ equity		101,335			102,448			71,535			78,978						76,519			100,763			161,133			160,765
Total liabilities and shareholders’ equity	$	183,346		$	215,403		$	203,426		$	227,002					$	261,784		$	278,164		$	300,558		$	299,029

Page 17

THE PMI GROUP, INC. AND SUBSIDIARIES

PMI EUROPE STATISTICAL INFORMATION

	2009										2008
	12/31/2009		9/30/2009		6/30/2009		3/31/2009		Total (15)		12/31/2008		9/30/2008		6/30/2008		3/31/2008		Total (15)
	(U.S. dollars in millions, except claims paid)										(U.S. dollars in millions, except claims paid)
New insurance written	$	—	$	—	$	—	$	—	$	—	$	172	$	90	$	129	$	95	$	486
New reinsurance written	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	3,627	$	1,934	$	5,561
Insurance in force	$	14,071	$	36,289	$	39,196	$	41,552	$	14,071	$	46,290	$	55,143	$	62,422	$	63,103	$	46,290
Risk in force	$	4,876	$	5,252	$	6,812	$	6,611	$	4,876	$	7,367	$	7,972	$	9,182	$	9,628	$	7,367
Claims paid including credit default swaps(in thousands)	$	4,023	$	18,675	$	19,676	$	23,570	$	65,944	$	11,988	$	2,461	$	3,593	$	3,562	$	21,604

Page 18

THE PMI GROUP, INC. AND SUBSIDIARIES

CORPORATE AND OTHER SEGMENT⁽⁸⁾ RESULTS OF OPERATIONS AND BALANCE SHEETS

	2009															2008
Income Statement Components - Quarter Ended	12/31/2009			9/30/2009			6/30/2009			3/31/2009			Total			12/31/2008			9/30/2008			6/30/2008			3/31/2008			Total
	(Dollars in thousands)															(Dollars in thousands)
Net premiums written	$	—		$	(1	)	$	—		$	5		$	4		$	10		$	12		$	5		$	8		$	35
Revenues
Premiums earned	$	2		$	4		$	7		$	8		$	21		$	11		$	10		$	11		$	12		$	44
Net investment income		309			351			727			1,975			3,362			2,410			3,136			2,757			1,942			10,245
Net realized investment losses		—			(1	)		—			(18	)		(19	)		(1	)		(988	)		(3	)		(11	)		(1,003	)
Change in fair value of certain debt instruments(1)		34,000			3,125			(39,079	)		18,476			16,522			11,647			66,283			16,957			28,708			123,595
Impairment of unconsolidated subsidiaries(2)		—			—			—			—			—			—			(2,887	)		—			(87,981	)		(90,868	)
Other income		—			5			105			2,269			2,379			1,739			2,186			3,319			3,243			10,487
Total revenues (expenses)		34,311			3,484			(38,240	)		22,710			22,265			15,806			67,740			23,041			(54,087	)		52,500
Losses and expenses
Other underwriting and operating expenses (income)		7,202			2,059			3,062			3,710			16,033			(5,847	)		21,731			21,145			18,283			55,312
Interest expense		10,081			9,326			11,715			11,836			42,958			11,284			11,370			9,883			8,331			40,868
Total losses and expenses		17,283			11,385			14,777			15,546			58,991			5,437			33,101			31,028			26,614			96,180
Income (loss) before equity in (losses) earnings from unconsolidated subsidiaries and income taxes		17,028			(7,901	)		(53,017	)		7,164			(36,726	)		10,369			34,639			(7,987	)		(80,701	)		(43,680	)
Equity in (losses) earnings from unconsolidated subsidiaries		(135	)		(109	)		(171	)		(152	)		(567	)		(6,647	)		9,188			(24,442	)		(36,357	)		(58,258	)
Income (loss) before income taxes		16,893			(8,010	)		(53,188	)		7,012			(37,293	)		3,722			43,827			(32,429	)		(117,058	)		(101,938	)
Income tax expense (benefit)		165			(3,320	)		(19,790	)		1,437			(21,508	)		(19,599	)		10,012			(2,684	)		940			(11,331	)
Income (loss) from continuing operations	$	16,728		$	(4,690	)	$	(33,398	)	$	5,575		$	(15,785	)	$	23,321		$	33,815		$	(29,745	)	$	(117,998	)	$	(90,607	)
(Loss) income from discontinued operations, net of taxes		—			—			—			—			—			(1,507	)		437			(21,785	)		(1,265	)		(24,120	)
Net income (loss)	$	16,728		$	(4,690	)	$	(33,398	)	$	5,575		$	(15,785	)	$	21,814		$	34,252		$	(51,530	)	$	(119,263	)	$	(114,727	)
Balance Sheet Components - As of Quarter End	12/31/2009			9/30/2009			6/30/2009			3/31/2009						12/31/2008			9/30/2008			6/30/2008			3/31/2008
	(Dollars in thousands)															(Dollars in thousands)
Assets
Investments:
Fixed income securities	$	15,839		$	16,053		$	15,606		$	117,718					$	135,230		$	134,839		$	167,687		$	215,513
Equity securities: common		—			—			—			—						—			—			21,084			22,344
Short term investments		1,210			1,210			1,300			1,300						1,300			1,300			1,300			1,300
Total investments	$	17,049		$	17,263		$	16,906		$	119,018					$	136,530		$	136,139		$	190,071		$	239,157
Cash and cash equivalents		71,717			69,491			86,798			135,952						119,305			148,879			254,055			47,633
Investments in unconsolidated subsidiaries		14,949			14,999			15,064			15,170						15,295			21,813			15,646			41,491
Deferred policy acquisition costs		—			—			—			—						—			—			—			3,600
Property, equipment and software, net of accumulated depreciation and amortization		66,260			73,146			73,827			74,927						76,033			77,136			78,204			78,801
Other assets		60,310			12,891			44,282			32,365						43,844			43,133			61,683			16,144
Total assets	$	230,285		$	187,790		$	236,877		$	377,432					$	391,007		$	427,100		$	599,659		$	426,826
Liabilities
Reserve for losses and loss adjustment expenses	$	—		$	—		$	—		$	—					$	—		$	22,900		$	7,241		$	(878	)
Unearned premiums		3			5			9			16						20			21			838			6,357
Debt		389,991			417,757			427,116			457,054						481,764			532,177			604,694			414,378
Other assets		(8,303	)		(60,656	)		(22,651	)		(22,268	)					(25,316	)		(12,820	)		(4,225	)		(37,189	)
Total liabilities		381,691			357,106			404,474			434,802						456,468			542,278			608,548			382,668
Shareholders’ (deficit) equity		(151,406	)		(169,316	)		(167,597	)		(57,370	)					(65,461	)		(115,178	)		(8,889	)		44,158
Total liabilities and shareholders’ deficit / equity	$	230,285		$	187,790		$	236,877		$	377,432					$	391,007		$	427,100		$	599,659		$	426,826

Page 19