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

SUPPLEMENTAL PORTFOLIO INFORMATION

As of December 31, 2010

THE PMI GROUP, INC.

Exhibit 99.3

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

st

and

the

60

th

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. 

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.

2

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.

3

INDICATIVE PORTFOLIO PROFITABILITY

PORTFOLIO CATEGORIES

PRIMARY PORTFOLIO CHARACTERISTICS

FOCUS ON PARTICULAR PRIMARY PORTFOLIO SEGMENTS

PRIMARY PORTFOLIO CHARACTERISTICS BY VINTAGE

PRIMARY PORTFOLIO VINTAGE DEVELOPMENT

MODIFIED POOL CHARACTERISTICS BY VINTAGE

5

9

13

18

25

32

34

4

CONTENTS OF PRESENTATION

CAPTIVE REINSURANCE

37

PRIMARY RESERVES PER NOTICE OF DEFAULT

7

INDICATIVE PORTFOLIO PROFITABILITY

5

INDICATIVE PORTFOLIO PROFITABILITY as of December 31, 2010

6

Projected Primary and Pool portfolio performance was forecast over a 10 year period.

Gross primary and pool paid claims include expected benefits as a result of estimated future loan

modification, policy rescission and claim denial activity.

Estimated

future

loan

modifications

and

workouts

reduce

paid

claims

by

approximately

$1.3

billion

(1)

.

Estimated

future

rescissions

and

claim

denials

reduce

paid

claims

by

approximately

$0.9

billion

(1)

.

Other assumptions include:

74%

average

persistency

/

54

bps

average

premium

yield

on

$101

billion

of

primary

insurance

in

force

and $606 million of pool risk in force.

Operating expenses and net investment income are excluded.

Present value calculations utilize a discount rate of 5%.

(1) 

Net

of

re-defaults

for

estimated

future

loan

modifications

and

workouts

and

net

of

reversals

for

estimated

rescissions

and

claim

denials.

(2) 

Includes benefits from estimated future loan modification, workout, rescission and claim denial activity.

($ billions)

Undiscounted

primary

and

pool

paid

claims

+

LAE

(2)

($5.19)

PV

of

primary

and

pool

paid

claims

+

LAE

(2)

($4.49)

PV of expected premiums

$2.00

Net loss reserves for primary and pool

$2.48

PV capitve

reinsurance benefit

$0.63

Indicative Profitability

at 12/31/2010

$0.62

PRIMARY RESERVES PER NOTICE OF DEFAULT

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Primary Reserves per Notice of Default

8

Our U.S. Mortgage Insurance Operations (“PMI”) reports a loan in default when a borrower has

missed two consecutive monthly payments which could be as early as 31 days after the first missed

payment.

Alternate convention counts a loan in default only at sixty days after the first missed payment.

The table compares PMI’s

‘As Reported’

with the ‘>= 60 days’

convention

(1)

.

At December 31, 2010, PMI’s

primary reserves per NOD of $21,646 would have been

$23,955 under the ‘>=60 days’

convention.

Note: NOD is Notice of Default. Due to rounding, the sum of categories may not equal the total.

(1)

Days

delinquent

is

based

on

the

number

of

days

a

borrower

is

delinquent

as

of

the

date

when

the

NOD

is

reported

to

us,

not

as

of

month

end. 

We typically receive NOD reporting from servicers between the 20th

and 25th

of each month.

(2)

Adjusted Primary Reserves + LAE represents an allocation of loss reserves based on the age of a notice of default.

1st Qtr.

2nd Qtr.

3rd Qtr.

4th Qtr.

1st Qtr.

2nd Qtr.

3rd Qtr.

4th Qtr.

NODs

by Days Delinquent

<=59

22,637

22,079

22,670

21,762

18,822

17,916

18,578

18,283

>=60

94,866

104,351

118,591

129,164

128,426

120,515

113,313

109,195

Total:

117,503

126,431

141,261

150,925

147,248

138,431

131,891

127,478

Primary Reserves + LAE ($'s 000s)

2,445,200

$

2,560,400

$

2,694,400

$

2,931,100

$

2,924,400

$

2,896,300

$

2,803,900

$

2,759,400

$

Adjusted

Primary

Reserves

+

LAE

($'s

000s)

(2)

2,240,127

$

2,360,382

$

2,489,028

$

2,733,954

$

2,776,501

$

2,755,520

$

2,657,918

$

2,615,736

$

Reserves Per NOD

As Reported

$20,810

$20,252

$19,074

$19,421

$19,860

$20,922

$21,259

$21,646

>=60 days

$23,614

$22,620

$20,988

$21,167

$21,619

$22,865

$23,456

$23,955

Delinquency Rate

Primary Policies in Force

768,441

745,551

725,029

705,417

683,888

666,204

647,319

629,154

Primary Default Rate

As Reported

15.29%

16.96%

19.48%

21.40%

21.53%

20.78%

20.37%

20.26%

>+ 60 Days

12.35%

14.00%

16.36%

18.31%

18.78%

18.09%

17.50%

17.36%

2009

2010

PORTFOLIO CATEGORIES

9

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10

$24.9 BILLION PRIMARY RISK IN FORCE

AND $0.6 BILLION POOL RISK IN FORCE*

GENERAL PORTFOLIO CATEGORIES

Primary Flow Insurance

$21.9 billion of risk in force.

Primary mortgage insurance offered to lenders on a

loan-by-loan basis.

Primary Structured Insurance

$3.0 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

$0.3

billion

of

remaining

risk

in

force.

(1)

Insurance offered to agency and non-agency MBS issuers

and investors.

Other Pool

$0.3

billion

of

remaining

risk

in

force.

(1)

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.

* At December 31, 2010.

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

(1)

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

11

$24.9 BILLION PRIMARY RISK IN FORCE*

Legacy: Performing

57%

New writings

20%

GENERAL PORTFOLIO CATEGORIES

Legacy

(1)

: Performing

$14.2 billion of risk in force.

Continues to perform through the housing downturn

and generates strong annual revenues.

Legacy

(1)

: Non-performing

$5.6 billion of risk in force.

Key focus of PMI’s

loss mitigation efforts.

PMI’s

Homeownership Preservation Initiatives.

Home Affordable Modification Program (HAMP).

Other loan modification and workout programs.

New writings

(2)

$5.0 billion of risk in force.

High quality business originated under new guidelines and

higher premium rates.

* At December 31, 2010.

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

Legacy:

Non-performing

23%

(1)

Legacy refers to risk in force from 1H 2008 and prior.

(2)

New writings refers to risk in force originated in 2H 2008, 2009 and 2010.

12

NEW WRITINGS*

New writings

$5.0 billion of risk in force from $27.7 billion of new insurance written in 2H 2008, 2009 and 2010.

High

quality

business

originated

under

new

guidelines

and

higher

premium

rates.

* At December 31, 2010.

(1)

Condominium includes Townhouses and Cooperatives.

New writings characteristics as percentage of risk in force:

Loan Type

100% Fixed Rate

Documentation

100% Full Documentation

Property Type

84% Single Family

15%

Condominium

(1)

Occupancy

96% Owner Occupied

3% Second Home

Average FICO of 745

94% FICO 680 and above

74% FICO 720 and above

Average Loan to Value of 90%

98% at 95% LTV and below

61% at 90% LTV and below

Average loan size of $215,500

PRIMARY PORTFOLIO CHARACTERISTICS

13

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U.S. PORTFOLIO AGE DISTRIBUTION

14

$24.9 BILLION PRIMARY RIF

(1)

Average loan fixed annual mortgage interest rate.

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

$101.7 BILLION PRIMARY IIF

15

PRIMARY RISK IN FORCE BY FICO SCORE

Less than 575

720 and above

680 -

719

620 -

679

575 -

619

U.S. PORTFOLIO CREDIT SCORE DISTRIBUTION

16

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

PRIMARY

RISK

IN

FORCE

BY

LOAN

TO

VALUE

(1)

LTVs

between 85.01%

and 90%

LTVs

above

97%

LTVs

between 95.01%

and 97%

LTVs

between 90.01% and

95%

LTVs

of 85% and

below

(1)

At origination.

U.S. PORTFOLIO LOAN TO VALUE DISTRIBUTION

U.S. PORTFOLIO GEOGRAPHIC DISTRIBUTION

17

(1)

Top ten states as determined by primary RIF on December 31, 2010.

(2)

Default rates as of December 31, 2010, June 30, 2010 and December 31, 2009.

9.6%

8.0%

7.4%

5.2%

4.0%

3.5%

4.1%

3.3%

4.6%

3.3%

Florida

9.6%

40.57%

40.75%

41.14%

Texas

8.0%

11.45%

11.88%

12.97%

California

7.4%

29.48%

33.82%

36.68%

Illinois

5.2%

24.63%

24.92%

24.96%

Georgia

4.6%

20.59%

22.19%

23.15%

% of RIF

(1)

Dec 2010

Jun 2010

Dec 2009

New York

4.1%

20.39%

19.55%

18.50%

Ohio

4.0%

17.20%

17.03%

18.04%

Pennsylvania

3.5%

15.80%

15.05%

15.46%

New Jersey

3.3%

25.35%

24.88%

24.06%

Washington

3.3%

17.76%

17.12%

16.50%

% of RIF

(1)

Dec 2010

Jun 2010

Dec 2009

TOP TEN STATES –

PERCENT OF PRIMARY RISK IN FORCE AND DEFAULT RATES

Primary Default Rates

(2)

Primary Default Rates

(2)

18

FOCUS ON PARTICULAR PRIMARY PORTFOLIO SEGMENTS

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RATE ADJUSTMENTS                    

BY CREDIT QUALITY

RATE ADJUSTMENTS OF         

HYBRID LOANS AND OTHER ARMS

RATE ADJUSTMENTS IN

DISTRESSED GEOGRAPHIC

REGIONS

Other ARMs

3/27s

Less than A Quality

Prime

Alt-A

Note: 2/28s resets in 2010 and 2011 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%

2010

2011

2012

TOTAL INTEREST RATE ADJUSTMENTS AS A PERCENTAGE OF PRIMARY RISK IN FORCE:

0.48%

0.06%

0.00%

U.S. PORTFOLIO INTEREST RATE ADJUSTMENTS

Note:

Primary

risk

in

force

subject

to

a

an

interest

rate

adjustment

in

2010

was

$119.3

million

and

in

2011,

as

of

December

31,

2010,

is

$14.1

million.

FICO SCORES

(2)

720 and above 

45.2%

3.3%

680-719

25.7%

1.9%

620-679

26.0%

1.9%

575-619

2.3%

0.2%

Less than 575

0.6%

0.0%

LOAN TO VALUE

Above 97.00%

12.0%

0.9%

95.01% to 97.00%

2.1%

0.2%

90.01% to 95.00%

20.0%

1.5%

85.01% to 90.00%

53.0%

3.9%

85.00% and below

12.9%

0.9%

20

(1)

Condominium includes Townhouses and Cooperatives.

(2)

Excludes unreported FICO scores.

% of 

CA RIF

CA

%

of

Total RIF

CA

%

of

Total RIF

% of 

CA RIF

CALIFORNIA AT DECEMBER 31, 2010

$1.8 BILLION OF TOTAL RISK IN FORCE

7.4% OF PMI’S PRIMARY RISK IN FORCE

$289,573 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 –

1.3%

Los Angeles-Long Beach-Glendale –

1.5%

LOAN TYPE

Fixed Rate

81.9%

6.0%

ARM

18.1%

1.3%

PROPERTY TYPE

(1)

Single Family

80.7%

5.9%

Condominium

16.0%

1.2%

Multi-Family and other

3.3%

0.2%

OCCUPANCY

Primary Residence

94.2%

6.9%

Second Home

2.6%

0.2%

Non-owner occupied

3.2%

0.2%

ALT-A

25.8%

1.9%

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

(1)

Condominium includes Townhouses and Cooperatives.

(2)

Excludes unreported FICO scores.

LOAN TYPE

Fixed Rate

85.4%

8.2%

ARM

14.6%

1.4%

PROPERTY TYPE

(1)

Single Family

72.6%

7.0%

Condominium

25.4%

2.4%

Multi-Family and other

2.0%

0.2%

OCCUPANCY

Primary Residence

80.9%

7.8%

Second Home

11.3%

1.1%

Non-owner occupied

7.8%

0.7%

ALT-A

31.4%

3.0%

FLORIDA AT DECEMBER 31, 2010

21

% of 

FL RIF

FL % of

Total RIF

% of 

FL RIF

FL % of

Total RIF

$2.4 BILLION OF TOTAL RISK IN FORCE

9.6% OF PMI’S PRIMARY RISK IN FORCE

$172,229 AVERAGE LOAN SIZE

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

Tampa-St.

Petersburg-Clearwater,

FL–

1.4%

MSA Distribution of Total Primary RIF

Jacksonville, FL–

0.7%

Fort

Lauderdale-Deerfield

Beach,

FL–

1.0%

Miami-Miami

Beach-Kendall,

FL–

1.5%

Orlando-Kissimmee,

FL–

1.4%

FICO SCORES

(2)

720 and above 

36.4%

3.5%

680-719

26.9%

2.6%

620-679

30.7%

3.0%

575-619

4.2%

0.4%

Less than 575

1.3%

0.1%

LOAN TO VALUE

Above 97.00%

20.0%

1.9%

95.01% to 97.00%

2.8%

0.3%

90.01% to 95.00%

29.6%

2.8%

85.01% to 90.00%

41.0%

3.9%

85.00% and below

6.6%

0.6%

FICO SCORES

(2)

720 and above 

39.5%

1.0%

680-719

25.6%

0.6%

620-679

28.8%

0.7%

575-619

3.9%

0.1%

Less than 575

1.0%

0.0%

LOAN TO VALUE

Above  97.00%

26.0%

0.6%

95.01% to 97.00%

2.7%

0.1%

90.01% to 95.00%

23.9%

0.6%

85.01% to 90.00%

40.2%

1.0%

85.00% and below

7.1%

0.2%

LOAN TYPE

Fixed Rate

91.2%         2.2%

ARM

8.8%

0.2%

PROPERTY TYPE

(1)

Single Family

85.4%         2.1%

Condominium

11.5%

0.3%

Multi-Family and other

3.1%

0.1%

OCCUPANCY

Primary Residence

87.4%         2.1%

Second Home

7.8%

0.2%

Non-owner occupied

4.8%

0.1%

ALT-A

18.3%

0.4%

ARIZONA AT DECEMBER 31, 2010

22

% of            AZ

AZ RIF

%

of

Total RIF

AZ

%

of

Total RIF

$0.6 BILLION OF TOTAL RISK IN FORCE

2.4% OF PMI’S PRIMARY RISK IN FORCE

$183,312 AVERAGE LOAN SIZE

Lake Havasu City-Kingman, AZ-0.1%

Prescott, AZ –

0.1%

Yuma, AZ-0.1%

Tucson, AZ-0.4%

Phoenix-Mesa, AZ –

1.7%

MSA Distribution of Total Primary RIF

(1)

Condominium includes Townhouses and Cooperatives.

(2)

Excludes unreported FICO scores.

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

% of           

AZ RIF

FICO SCORES

(2)

720 and above 

41.4%

0.6%

680-719

26.8%

0.4%

620-679

28.3%

0.4%

575-619

2.5%

0.0%

Less than 575

0.4%

0.0%

LOAN TO VALUE

Above  97.00%

17.5%

0.3%

95.01% to 97.00%

1.6%

0.0%

90.01% to 95.00%

27.2%

0.4%

85.01% to 90.00%

46.2%

0.7%

85.00% and below

7.5%

0.1%

LOAN TYPE

Fixed Rate

84.2%         1.2%

ARM

15.8%

0.2%

PROPERTY

TYPE

(1)

Single Family

79.2%         1.2%

Condominium

19.0%

0.3%

Multi-Family and other

1.7%

0.0%

OCCUPANCY

Primary Residence

83.6%         1.2%

Second Home

11.8%

0.2%

Non-owner occupied

4.6%

0.1%

ALT-A

26.0%

0.4%

NEVADA AT DECEMBER 31, 2010

23

% of           

NV RIF

NV

%

of

Total RIF

$0.4 BILLION OF TOTAL RISK IN FORCE

1.5% OF PMI’S PRIMARY RISK IN FORCE

$224,755 AVERAGE LOAN SIZE

(1)

Condominium includes Townhouses and Cooperatives.

(2)

Excludes unreported FICO scores.

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

Las Vegas-Paradise, NV-1.2%

Reno-Sparks, NV-0.2%

Carson City, NV-0.01%

MSA Distribution of Total Primary RIF

% of           

NV RIF

NV

% of         

Total RIF

ALT-A AT DECEMBER 31, 2010

24

% of 

Alt-A RIF

Alt-A % of

Total RIF

Alt-A % of

Total RIF

$3.8 BILLION OF TOTAL RISK IN FORCE

15.3% OF PMI’S PRIMARY RISK IN FORCE

$203,304 AVERAGE LOAN SIZE

GUIDELINE CHANGES

% of 

Alt-A RIF

With the exception of previously issued

commitments, effective June 1, 2008, PMI no

longer insures Alt-A

LOAN TYPE

Fixed Rate

78.4%       12.0%

ARM

21.6%

3.3%

PROPERTY TYPE

(1)

Single Family

77.8%        11.9%

Condominium

15.0%

2.3%

Multi-Family and other

7.2%

1.1%

OCCUPANCY

Primary Residence

82.4%       12.6%

Second Home

6.4%

1.0%

Non-owner occupied

11.1%

1.7%

FICO SCORES

(2)

720 and above 

37.8%

5.8%

680-719

35.2%

5.4%

620-679

27.0%

4.1%

575-619

0.0%

0.0%

Less than 575

0.0%

0.0%

LOAN TO VALUE

Above 97.00%

12.3%

1.9%

95.01% to 97.00%

0.2%

0.0%

90.01% to 95.00%

27.5%

4.2%

85.01% to 90.00%

50.5%

7.7%

85.00% and below

9.5%

1.5%

State Distribution of Alt-A RIF

0.00% to 1.00%

1.00% to 2.00%

2.00% to 5.00%

5.00% to 10.00%

>10.00%

(1)

Condominium includes Townhouses and Cooperatives.

(2)

Excludes unreported FICO scores.

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

25

PRIMARY PORTFOLIO CHARACTERISTICS BY VINTAGE

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

RISK CHARACTERISTICS: TOTAL PRIMARY PORTFOLIO

$3,365

$343

$422

$2,427

$1,652

$2,386

$1,827

$3,793

$4,851

$1,205

$24,856

$10,094

$6,992

$5,976

$22,862

43.4%

20.8%

18.7%

40.6%

29.5%

40.4%

26.3%

40.9%

52.7%

35.2%

20.3%

10.8%

20.2%

27.5%

41.8%

Total

720 and

above

680 -

719

620 -

679

575 -

619

Less

than 575

Fixed

Rate

ARMs

2/28s

Interest

Only

LTV>97

Alt-A

Calif.

Florida

Auto

States

RISK CHARACTERISTICS

Risk in Force (dollars in millions).

Default Rate (as measured by policies).

CREDIT SCORE

LOAN TYPE

TOTAL PRIMARY RISK IN FORCE AS OF DECEMBER 31, 2010

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.

26

TOTAL

PORTFOLIO CHARACTERISTICS –

PRIMARY RIF AS OF DECEMBER 31, 2010

(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 that the insurance was issued.

All $ in Millions, except for Average Loan Size

CREDIT  SCORE

(1)

LOAN TYPE

Total

Less than 575

575 - 619

620 - 679

680 - 719

720 and above

Fixed Rate

ARM

2/28s

Total Portfolio

$24,856.3

$421.8

$1,204.5

$6,992.0

$5,976.1

$10,094.2

$22,861.9

$1,651.9

$342.5

Default Rate

20.3%

43.4%

35.2%

27.5%

20.2%

10.8%

18.7%

41.8%

52.7%

2010 Vintage

$1,499.7

$0.1

$0.0

$0.8

$247.5

$1,250.6

$1,498.6

$1.1

$0.0

Default Rate

0.1%

0.0%

0.0%

0.0%

0.2%

0.0%

0.1%

0.0%

0.0%

2009 Vintage

$1,615.3

$0.2

$0.2

$60.7

$288.8

$1,262.7

$1,611.3

$4.0

$0.0

Default Rate

1.6%

0.0%

0.0%

8.9%

2.9%

1.0%

1.6%

7.7%

0.0%

2008 Vintage

$3,585.8

$4.6

$43.3

$666.0

$948.7

$1,919.4

$3,541.0

$44.8

$0.0

Default Rate

13.2%

48.8%

35.6%

23.1%

14.9%

7.9%

13.1%

25.0%

0.0%

2007 Vintage

$6,652.2

$164.5

$451.9

$2,105.1

$1,684.6

$2,228.4

$6,220.2

$399.2

$32.9

Default Rate

29.4%

50.5%

40.8%

33.1%

28.5%

19.9%

28.6%

40.5%

59.4%

2006 Vintage

$3,602.7

$48.1

$163.1

$1,298.3

$931.4

$1,143.0

$2,960.4

$467.9

$174.4

Default Rate

29.4%

46.6%

38.5%

34.2%

29.7%

20.8%

25.9%

52.6%

56.6%

2005 Vintage

$2,902.2

$40.2

$133.5

$1,075.1

$739.2

$891.8

$2,369.3

$425.1

$107.8

Default Rate

23.8%

42.7%

34.3%

28.5%

23.9%

15.3%

20.0%

46.8%

51.8%

2004 Vintage and Prior

$4,998.4

$164.1

$412.5

$1,786.1

$1,135.8

$1,398.3

$4,661.3

$309.8

$27.3

Default Rate

17.1%

37.0%

29.7%

20.7%

14.1%

8.5%

16.2%

31.1%

39.2%

SPECIFIC PORTFOLIO CHARACTERISTICS

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg Loan Size

Avg LTV

(2)

Avg FICO

Total Portfolio

$2,426.8

$4,851.2

$3,793.1

$1,827.0

$2,385.6

$3,365.2

$161,661

93%

698

Default Rate

40.9%

26.3%

40.4%

29.5%

40.6%

20.8%

2010 Vintage

$0.0

$0.0

$0.0

$109.4

$17.3

$180.4

$219,732

90%

758

Default Rate

0.0%

0.0%

0.0%

0.1%

0.3%

0.0%

2009 Vintage

$2.5

$0.0

$2.1

$52.7

$31.8

$191.7

$209,935

90%

750

Default Rate

6.1%

0.0%

66.7%

1.0%

2.8%

1.7%

2008 Vintage

$195.3

$217.4

$177.8

$365.5

$187.2

$441.4

$200,849

91%

721

Default Rate

23.9%

22.7%

33.8%

16.6%

29.2%

14.1%

2007 Vintage

$1,205.7

$2,293.4

$1,543.3

$609.1

$741.3

$752.7

$184,193

94%

686

Default Rate

43.3%

31.0%

44.1%

43.4%

52.0%

28.3%

2006 Vintage

$612.6

$966.0

$1,092.0

$274.0

$543.4

$484.6

$168,694

93%

691

Default Rate

42.8%

26.2%

45.3%

53.2%

56.3%

26.7%

2005 Vintage

$343.6

$571.7

$577.4

$222.5

$426.5

$446.4

$152,031

92%

692

Default Rate

41.3%

22.9%

40.6%

44.3%

44.4%

22.8%

2004 Vintage and Prior

$67.1

$802.6

$400.5

$193.9

$438.1

$867.9

$107,610

93%

683

Default Rate

32.2%

19.2%

25.0%

15.3%

23.3%

20.5%

$20,610

$5,343

$5,959

$9,256

$21,864

$916

$3,978

$2,996

$1,507

$2,072

$1,254

$1,925

$248

$0

$2,959

42.2%

26.2%

19.5%

10.5%

19.1%

34.8%

40.9%

26.5%

41.0%

27.6%

40.4%

18.0%

19.4%

46.4%

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

CREDIT SCORE

LOAN TYPE

RISK CHARACTERISTICS

RISK CHARACTERISTICS: FLOW

28

TOTAL

Primary Flow Portfolio:

PMI’s primary flow book represents 88% of primary risk in force and is primarily owner occupied, fixed rate

loans with FICO scores greater than 620.

Approximately 94% of flow risk in force is within conforming loan limits.

Approximately 41% of flow risk in force is in captive reinsurance agreements.

FLOW RISK IN FORCE AS OF DECEMBER 31, 2010

Risk in Force (dollars in millions).

Default Rate (as measured by policies).

PORTFOLIO CHARACTERISTICS –

FLOW RIF AS OF DECEMBER 31, 2010

29

All $ in Millions, except for Average Loan Size

CREDIT  SCORE

(1)

LOAN TYPE

Total

Less than 575

575 - 619

620 - 679

680 - 719

720 and above

Fixed Rate

ARM

2/28s

CREDIT  SCORE

(1)

CREDIT  SCORE

(1)

CREDIT  SCORE

(1)

CREDIT  SCORE

(1)

CREDIT  SCORE

(1)

Total Portfolio

$21,863.6

$247.5

$916.1

$5,959.1

$5,342.5

$9,255.7

$20,609.7

$1,253.9

n/a

Default Rate

19.1%

46.4%

34.8%

26.2%

19.5%

10.5%

18.0%

42.2%

n/a

2010 Vintage

$1,499.7

$0.1

$0.0

$0.8

$247.5

$1,250.6

$1,498.6

$1.1

n/a

Default Rate

0.1%

0.0%

0.0%

0.0%

0.2%

0.0%

0.1%

0.0%

n/a

2009 Vintage

$1,615.2

$0.2

$0.2

$60.6

$288.8

$1,262.7

$1,611.2

$4.0

n/a

Default Rate

1.6%

0.0%

0.0%

8.9%

2.9%

1.0%

1.6%

7.7%

n/a

2008 Vintage

$3,535.7

$3.8

$41.0

$651.7

$935.6

$1,899.9

$3,496.1

$39.6

n/a

Default Rate

13.1%

44.8%

35.2%

22.9%

14.9%

7.9%

13.0%

25.6%

n/a

2007 Vintage

$5,526.0

$114.0

$363.4

$1,814.0

$1,431.1

$1,785.7

$5,278.0

$247.9

n/a

Default Rate

30.0%

56.6%

41.6%

33.2%

29.5%

21.2%

29.4%

49.3%

n/a

2006 Vintage

$2,716.9

$20.2

$112.4

$927.5

$729.0

$909.0

$2,350.4

$366.5

n/a

Default Rate

27.6%

48.7%

36.3%

31.2%

28.7%

20.7%

25.1%

54.9%

n/a

2005 Vintage

$2,503.4

$17.8

$95.8

$889.4

$652.2

$825.7

$2,163.5

$339.8

n/a

Default Rate

22.1%

42.4%

31.7%

26.0%

22.9%

15.2%

19.7%

44.8%

n/a

2004 Vintage and Prior

$4,466.8

$91.3

$303.2

$1,615.1

$1,058.3

$1,322.2

$4,211.8

$254.9

n/a

Default Rate

16.4%

38.0%

29.3%

20.5%

14.1%

8.6%

15.9%

28.3%

n/a

SPECIFIC PORTFOLIO CHARACTERISTICS

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg Loan Size

Avg LTV

(2)

Avg FICO

Total Portfolio

$1,925.1

$3,978.1

$2,995.8

$1,507.4

$2,071.5

$2,958.6

$162,424

93%

702

Default Rate

40.9%

26.5%

41.0%

27.6%

40.4%

19.4%

2010 Vintage

$0.0

n/a

n/a

$109.4

$17.3

$180.4

$219,732

90%

758

Default Rate

0.0%

n/a

n/a

0.1%

0.3%

0.0%

2009 Vintage

$2.5

$0.0

$2.1

$52.7

$31.8

$191.7

$209,937

90%

750

Default Rate

6.1%

0.0%

66.7%

1.0%

2.8%

1.7%

2008 Vintage

$194.5

$199.4

$176.4

$364.2

$185.6

$437.0

$200,957

91%

721

Default Rate

23.9%

22.8%

34.2%

16.6%

28.9%

13.8%

2007 Vintage

$1,045.8

$1,935.7

$1,339.0

$515.6

$611.1

$630.8

$185,261

94%

688

Default Rate

44.6%

31.6%

45.1%

45.0%

55.0%

27.8%

2006 Vintage

$384.1

$733.8

$696.6

$158.2

$439.3

$355.6

$168,073

93%

695

Default Rate

44.4%

26.0%

48.3%

54.2%

55.9%

24.0%

2005 Vintage

$239.2

$510.4

$448.7

$143.4

$395.9

$373.3

$150,674

93%

696

Default Rate

37.1%

21.7%

39.4%

42.5%

43.7%

21.3%

2004 Vintage and Prior

$59.1

$598.7

$333.0

$163.8

$390.5

$789.9

$107,677

93%

688

Default Rate

29.8%

19.2%

25.0%

14.6%

23.4%

19.8%

(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 that the insurance was issued.

RISK CHARACTERISTICS: STRUCTURED TRANSACTIONS

30

Primary Structured Portfolio:

PMI’s primary structured book represents approximately 12% of total primary risk in force.

Highest defaults are reported in the 2/28 hybrid ARMs product, in which:

All of the 2/28 hybrid ARM risk in force has passed the interest rate reset date.

Monthly reporting of notices of default began to decline in August 2007.

STRUCTURED TRANSACTIONS RISK IN FORCE AS OF DECEMBER 31, 2010

$2,252

$634

$1,033

$839

$2,992

$289

$873

$797

$320

$314

$398

$502

$174

$343

$407

34.5%

25.5%

15.0%

28.4%

36.3%

52.7%

41.2%

25.3%

38.6%

40.0%

41.8%

23.7%

30.5%

39.8%

41.0%

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

LOAN TYPE

RISK CHARACTERISTICS

TOTAL

PORTFOLIO CHARACTERISTICS –

STRUCTURED RIF AT DECEMBER 31, 2010

31

(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 that the insurance was issued.

All $ in Millions, except for Average Loan Size

CREDIT  SCORE

(1)

LOAN TYPE

Total

Less than 575

575 - 619

620 - 679

680 - 719

720 and above

Fixed Rate

ARM

2/28s

CREDIT  SCORE

(1)

CREDIT  SCORE

(1)

CREDIT  SCORE

(1)

CREDIT  SCORE

(1)

CREDIT  SCORE

(1)

Total Portfolio

$2,992.8

$174.3

$288.5

$1,032.9

$633.5

$838.5

$2,252.2

$398.0

$342.5

Default Rate

28.4%

39.8%

36.3%

34.5%

25.5%

15.0%

23.7%

41.0%

52.7%

2010 Vintage

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

Default Rate

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

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

$50.1

$0.8

$2.3

$14.3

$13.1

$19.6

$44.9

$5.2

$0.0

Default Rate

18.4%

60.6%

40.2%

27.9%

16.6%

6.3%

18.2%

21.6%

0.0%

2007 Vintage

$1,126.3

$50.5

$88.5

$291.1

$253.5

$442.7

$942.1

$151.2

$32.9

Default Rate

27.0%

42.0%

38.6%

32.7%

23.7%

14.4%

24.6%

34.8%

59.4%

2006 Vintage

$885.8

$27.9

$50.7

$370.9

$202.4

$234.0

$610.0

$101.4

$174.4

Default Rate

35.5%

44.9%

43.5%

42.8%

33.6%

21.6%

29.3%

46.8%

56.6%

2005 Vintage

$398.8

$22.3

$37.6

$185.7

$87.0

$66.1

$205.7

$85.3

$107.8

Default Rate

35.8%

42.9%

41.7%

43.0%

33.6%

16.4%

24.0%

55.0%

51.8%

2004 Vintage and Prior

$531.7

$72.8

$109.3

$171.0

$77.6

$76.1

$449.4

$54.9

$27.3

Default Rate

21.7%

35.8%

30.7%

22.6%

14.2%

7.1%

18.8%

41.0%

39.2%

SPECIFIC PORTFOLIO CHARACTERISTICS

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg Loan Size

Avg LTV

(2)

Avg FICO

Total Portfolio

$501.6

$873.1

$797.3

$319.6

$314.1

$406.6

$156,544

92%

668

Default Rate

41.2%

25.3%

38.6%

40.0%

41.8%

30.5%

2010 Vintage

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

Default Rate

n/a

n/a

n/a

n/a

n/a

n/a

2009 Vintage

n/a

n/a

n/a

n/a

n/a

n/a

$188,461

89%

716

Default Rate

n/a

n/a

n/a

n/a

n/a

n/a

2008 Vintage

$0.8

$18.1

$1.5

$1.3

$1.6

$4.5

$195,938

93%

697

Default Rate

23.8%

21.8%

8.9%

18.5%

48.3%

31.2%

2007 Vintage

$159.9

$357.7

$204.2

$93.5

$130.3

$121.9

$179,924

94%

677

Default Rate

34.7%

28.4%

37.9%

36.0%

40.9%

30.5%

2006 Vintage

$228.5

$232.1

$395.4

$115.8

$104.1

$129.1

$170,795

91%

678

Default Rate

39.7%

27.1%

40.8%

51.4%

58.3%

34.1%

2005 Vintage

$104.4

$61.3

$128.7

$79.0

$30.6

$73.1

$161,522

89%

665

Default Rate

55.0%

36.0%

45.4%

48.8%

53.5%

29.8%

2004 Vintage and Prior

$8.0

$203.9

$67.5

$30.1

$47.5

$78.1

$107,131

91%

644

Default Rate

50.3%

19.0%

25.0%

19.6%

22.5%

26.9%

32

PRIMARY PORTFOLIO VINTAGE DEVELOPMENT

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

PRIMARY PORTFOLIO VINTAGE DEVELOPMENT

33

NOTICE OF DEFAULT RECEIVED BY VINTAGE

Note: Vintage refers to the origination year.

1

2

3

4

5

6

New

notices

of

default

have

declined

from

their

peaks

for

2005,

2006

and

2007

vintages.

The 2008 and 2009 vintages are exhibiting fewer new notices of default than previous vintages.

2007

2006

2008

2005

2009

34

MODIFIED POOL CHARACTERISTICS BY VINTAGE

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

MODIFIED POOL PORTFOLIO CHARACTERISTICS AT DECEMBER 31, 2010

35

(1)

PMI’s claims paid to date relates to the modified pool contracts in force as of December 31, 2010 and therefore excludes any payments made as part of restructurings.

(2)

Established loss reserves for non-performing (i.e. delinquent) modified pool loans, which represents PMI’s estimate of losses for those loans at December 31, 2010.

(3)

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

All $ in Millions

Modified Pool:

Data shown in this exhibit is an aggregation of unique pools by book years.

Remaining risk in force³

for modified pool was approximately $348 million at December 31, 2010.

Modified Pool with Deductibles remaining risk in force³

was approximately $85 million.

Modified Pool without Deductibles remaining risk in force³

was approximately $263 million.

All $ in Millions

2004 and Prior 

2005 

2006 

2007 

2008 / 2009

Insurance in Force

$3,064

$179

$104

$1,011

n/a

Stop Loss Amount

$121

$24

$12

$44

n/a

Losses Applicable to Deductible

$24

$10

$2

$9

n/a

Deductible Balance

$33

$1

$0

$12

n/a

PMI's Claims Paid to Date

(1)

$0

$1

$1

$0

n/a

Reserves for Losses

(2)

$11

$7

$2

$3

n/a

Remaining Risk In Force

(3)

$54

$4

$7

$20

n/a

2004 and Prior 

2005 

2006 

2007

2008 / 2009

Insurance in Force

$1,313

$578

$3,341

n/a

n/a

Stop Loss Amount

$208

$25

$305

n/a

n/a

PMI's Claims Paid to Date

(1)

$34

$8

$81

n/a

n/a

Reserves for Losses

(2)

$21

$11

$53

n/a

n/a

Remaining Risk In Force

(3)

$86

$6

$171

n/a

n/a

MODIFIED POOL PORTFOLIO CHARACTERISTICS AT DECEMBER 31, 2010

36

(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 deductibles in 2008 or 2009 and did not insure any modified pool contracts without deductibles in 2007, 2008 or 2009. 

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

All $  in Millions, except for Average Loan Size

Modified Pool Portfolio Insurance in Force

DEDUCTIBLE

Total

Less than 575

575 -

619

620 -

679

680 -

719

720 and above

Fixed Rate

ARM

2/28s

Total Portfolio

$4,359

$176

$355

$1,162

$879

$1,786

$3,889

$469

$0

2007 Vintage

$1,011

$109

$237

$424

$172

$69

$636

$376

$0

2006 Vintage

$104

$34

$37

$29

$4

$0

$104

$0

$0

2005 Vintage

$179

$0

$0

$62

$46

$72

$111

$68

$0

2004 Vintage and Prior

$3,064

$33

$80

$647

$657

$1,646

$3,039

$25

$0

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg

Loan Size

Avg

LTV

(3)

Avg

FICO

Total Portfolio

$99

$555

$1,415

$602

$278

$584

$132,329

74

704

2007 Vintage

$0

$541

$0

$103

$82

$130

$172,530

95

639

2006 Vintage

$0

$13

$0

$5

$9

$14

$139,702

82

595

2005 Vintage

$0

$0

$146

$33

$21

$15

$181,592

77

706

2004 Vintage and Prior

$99

$1

$1,269

$461

$166

$425

$120,896

69

723

Avg

LTV

(2)

NON DEDUCTIBLE

Total

Less than 575

575 -

619

620 -

679

680 -

719

720 and above

Fixed Rate

ARM

2/28s

Total Portfolio

$5,232

$285

$645

$2,005

$1,196

$942

$3,014

$2,213

$0

2006 Vintage

$3,341

$282

$628

$1,493

$647

$290

$1,203

$2,138

$0

2005 Vintage

$578

$0

$4

$142

$181

$239

$573

$5

$0

2004 Vintage and Prior

$1,313

$2

$14

$370

$368

$414

$1,237

$70

$0

Interest Only

LTV > 97%

Alt-A

California

Florida

Auto States

Avg

Loan Size

Avg

LTV

(3)

Avg

FICO

Total Portfolio

$293

$1,243

$1,552

$809

$464

$665

$148,962

87

667

2006 Vintage

$100

$1,240

$139

$369

$341

$559

$150,487

94

647

2005 Vintage

$64

$0

$450

$150

$27

$25

$188,548

74

713

2004 Vintage and Prior

$128

$3

$964

$289

$95

$81

$133,207

76

702

SPECIFIC PORTFOLIO CHARACTERISTICS

CREDIT SCORES

(1)

LOAN TYPE

(2)

SPECIFIC PORTFOLIO CHARACTERISTICS

CREDIT SCORES

(1)

LOAN TYPE

(2)

37

CAPTIVE REINSURANCE

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

*

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 $724 million as of December 31, 2010.

At December 31, 2010, approximately 40.8% of flow risk in force was covered by captive reinsurance agreements, including:

Based on current expectations of defaults, PMI forecasts the following approximate reductions to total incurred losses as a result of captive

reinsurance agreements in 2010 and 2011:

PMI’S CAPTIVE REINSURANCE AGREEMENTS

FLOW RISK IN FORCE COVERED BY CAPTIVES

~ 46% of prime

~ 45% of Alt-A

~ 52% of less-than-A quality

~ 50% of LTVs >97%*

38

*

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

BENEFIT FROM CAPTIVE REINSURANCE AGREEMENTS

(Dollars in Millions)

Actual

Projected

$66

$94

$137

$350

$491

$34

2007

2008

2009

2010

2011

2012

PMI’S CAPTIVE REINSURANCE AGREEMENTS

39

Note: Due to rounding, the totals may not equal the sum of each category.

Note: For the combined captive trust arrangements, the weighted average entry point is 4.05% and the weighted average exit point

is 11.71%.

Original RIF has been recalculated for the impact of rescissions.

The cumulative captive benefit on this page is for excess-of-loss (XOL) captive reinsurance agreements only.

Original

Progression to

Book Year

RIF

Attachment Point

2004 & Prior Total

$12,018

0 - 50%

$373

$155.9

5,912

50 - 75%

672

196.1

2,044

75 - 99%

432

98.3

7,069

Attached

974

290.7

$27,043

$2,450

$741.0

$65.6

$6.8

2005 Total

$24

0 - 50%

$7

$0.3

32

50 - 75%

19

1.0

8

75 - 99%

0

0.0

4,502

Attached

1,650

575.7

$4,566

$1,676

$577.0

$284.8

$179.8

2006 Total

$4

0 - 50%

$2

$0.1

27

50 - 75%

7

0.4

22

75 - 99%

14

1.1

3,266

Attached

1,567

619.9

$3,319

$1,589

$621.6

$273.1

$191.0

2007 Total

$35

0 - 50%

$12

$0.1

0

50 - 75%

7

0.4

9

75 - 99%

0

0.0

4,818

Attached

3,025

789.8

$4,862

$3,045

$790.3

$317.6

$140.5

2008 Total

$167

0 - 50%

$43

$0.8

212

50 - 75%

143

6.3

98

75 - 99%

139

8.2

1,259

Attached

938

95.6

$1,736

$1,263

$110.9

$32.9

$0.5

Cumulative Captive Benefit (MM)

$974.0

$518.5

Total Captive Trust Balances (MM)

$724.3

Paid Loss

Captive

RIF

Incurred Losses

Benefit

Cumulative

December 31, 2010

Incurred Loss

Cumulative

Captive

Benefit

Current

Ever to Date

$645

$183.1

$802

$184.9

605

165.0

640

161.1

336

70.0

534

82.4

1,251

308.4

1,154

259.0

$2,838

$726.5

$59.6

$4.4

$3,129

$687.4

$44.1

$2.8

$8

$0.3

$32

$1.0

21

0.8

0

0.0

4

0.4

22

2.4

1,916

525.4

2,037

456.8

$1,949

$526.9

$242.5

$125.6

$2,091

$460.1

$212.4

$74.6

$2

$0.1

$19

$0.8

15

0.7

4

0.2

12

0.9

11

0.9

1,892

558.6

2,052

488.6

$1,921

$560.3

$246.1

$124.1

$2,087

$490.5

$235.3

$56.7

$22

$0.6

$24

$0.5

0

0.0

0

0.0

7

0.4

8

0.5

3,653

756.1

3,911

667.8

$3,681

$757.1

$327.1

$41.8

$3,943

$668.8

$318.2

$0.0

$123

$2.3

$245

$4.7

167

6.8

366

13.1

79

3.8

8

0.4

1,038

89.0

874

66.8

$1,408

$101.9

$30.0

$0.0

$1,493

$85.0

$23.8

$0.0

$905.3

$295.9

$833.8

$134.2

$900.2

$940.7

Ever to Date

Incurred Losses

Paid Loss

RIF

Incurred Loss

Captive

Current

Current

RIF

Cumulative

Cumulative

Cumulative

Cumulative

June 30, 2010

December 31, 2009

Benefit

Benefit

Incurred Loss

Paid  Loss

Captive

Captive

Incurred Losses

Ever to Date

Benefit

Captive

Benefit

PMI MORTGAGE INSURANCE CO.

CAPTIVE REINSURANCE AGREEMENTS ATTACHMENT ANALYSIS

(Dollars in millions)

FORWARD-LOOKING STATEMENT

40

CAUTIONARY

STATEMENT:

Statements

in

this

portfolio

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

forward-looking

statements

include

our

estimate

of

the

embedded

profitability

of

our

U.S.

Mortgage

Insurance

portfolio

as

of

December

31,

2010

and

our

estimates

with

respect

to

the

future

benefits

of

captive

reinsurance.

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

a

variety

of

factors

that

are

outside

our

control

and

difficult

to

predict.

Among

other

factors

affecting

future

losses

and

that

could

cause

losses

to

increase

more

rapidly

or

to

higher

levels

than

expected

are

the

following:

Future

national

and

regional

economic

conditions,

including

continued

slow

economic

recovery

from

the

most

recent

recession

or

the

potential

of

the

U.S.

economy

to

reenter

a

recessionary

period,

unemployment

rates,

interest

rates,

borrower

access

to

credit

and

home

prices. 

Negative economic changes in geographic regions where our insurance in force is more concentrated;

The

level

of

new

delinquencies,

the

cure

and

claim

rates

of

delinquencies

(including

the

level

of

future

modifications

of

delinquent

loans)

and

the

claim severity within MIC’s mortgage insurance portfolio.

The levels of future loan modifications, rescissions and claim denials and future reversals of rescissions and claim denials.

The timing of future claims paid.

Future

levels

of

new

insurance

written

(and

the

profitability

of

such

business),

which

will

impact

future

premiums

written

and

earned

and

future

losses.

In

the

absence

of

additional

capital

or

capital

relief,

higher

than

expected

losses

or

an

acceleration

of

expected

losses

would

likely

cause

PMI to be out of compliance with applicable regulatory requirements in 2011.

In

sixteen

states,

so

long

as

a

mortgage

insurer

does

not

meet

a

required

minimum

policyholders’

position

or

exceeds

a

maximum

permitted

risk-to-

capital

ratio

(generally

25

to

1),

it

may

be

prohibited

from

writing

new

business.

Several

of

these

states

require

a

mortgage

insurer

to

immediately

cease

writing

new

business

if

it

exceeds

the

applicable

state

capital

requirement.

In

other

states,

including

Arizona,

MIC’s

state

of

domicile,

the

applicable

regulator

has

discretion

as

to

whether

the

mortgage

insurer

may

continue

to

write

new

business.

On

January

13,

2011,

we

submitted

a

waiver

request

to

the

Arizona

Department

of

Insurance

(the

“Department”).

There

can

be

no

assurance

that

the

Department

will

approve

MIC’s

waiver

request

and

exercise

its

discretion

to

permit

MIC

to

continue

writing

new

business

in

the

event

MIC

fails

to

maintain

Arizona’s

minimum

policyholders’

position.

In

the

event

MIC

does

not

meet

Arizona’s

minimum

policyholders’

position

and

the

Department

declines

to

issue

it

a waiver, MIC shall be required to cease writing new business in

all states.

Even

if

Arizona

were

to

permit

MIC

to

continue

writing

new

business,

other

states

could

require

MIC

to

cease

new

business

writings

if

it

fails

to

maintain

the

other

state’s

applicable

capital

adequacy

requirements.

Thirteen

states

in

addition

to

Arizona

permit

the

insurance

regulator

to

exercise

its

discretion

to

as

to

whether

the

mortgage

insurer

may

continue

to

write

new

business

if

it

fails

to

meet

the

state’s

capital

requirement. 

MIC

has

waivers

from

California

and

Missouri,

and

plans

to

request

waivers

from

the

additional

states

whose

regulators

may

exercise

discretion

in

the

event

MIC’s

capital

position

approaches

the

regulatory

thresholds.

There

is

no

assurance

that

MIC

will

be

able

to

obtain

additional

waivers.

FORWARD-LOOKING STATEMENT

In the event that we are unable to write new mortgage insurance in a limited number of states for the reasons discussed above, we

have a plan to enable us to write new mortgage insurance in those states out of an existing subsidiary, PMI Mortgage Assurance

Co.  There can be no assurance that we will be able to effectuate this plan.

The risk that our underwriting policies may not anticipate all risks and/or the magnitude of potential loss;

The performance of our insured portfolio of higher risk loans, such as Alternative-A (“Alt-A”) and less than-A quality loans, and adjustable

rate and interest-only loans, which have resulted in increased losses in prior periods and are expected to result in further losses;

The aging of our mortgage insurance portfolio and changes in severity or frequency of losses associated with our mortgage insurance

policies;

The possibility that we may not estimate accurately the likelihood, magnitude and timing of losses in connection with establishing loss

reserves;

The risk that we overestimate the number of loans that ultimately cure, which management factors in when establishing loss reserve

estimates, and which could result in loss reserves that are insufficient to cover our losses on existing delinquent loans;

The

heightened

litigation

risk

relating

to

rescissions

and

claim

denials

and,

in

the

event

that

we

are

unsuccessful

in

defending

our

rescissions

or

claim

denials,

the

need

to

establish

loss

reserves

for,

and

reassume

risk

on,

delinquent

rescinded

loans;

Our expectation that, because our loss reserves are not intended

to be an estimate of total future losses, our ultimate actual losses will be

higher than, and could substantially exceed, our loss reserve estimates;

Further reduction in, or prolonged period of depressed levels of, home mortgage originations due to reduced liquidity in the lending

market, tighter underwriting standards and the decrease in housing demand in the U.S.;

The concentration of our business among a relatively small number of large customers;

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,

including

potential

GSE

reforms

Congress

may

adopt

in

2011

and

the

amount

of

loan

level

delivery

fees

assessed

by

the

GSEs

on

loans

they

purchase,

which

result

on

higher

lending

costs;

The

uncertainty

surrounding

Fannie

Mae

and/or

Freddie

Mac’s

(collectively,

the

“GSEs”)

adoption

of

revised

mortgage

insurer

eligibility

requirements

and

the

risk

that

the

GSEs

determine

that

we

are

no

longer

an

eligible

provider

of

mortgage

insurance;

Changes to the current housing finance system as a result of regulatory or legislative action, including the possibility that private mortgage

insurance is no longer required for GSE-eligible loans or that the use for our products and services is severely limited;

Effect of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) on the financial services industry in

general, and on our mortgage insurance business in particular, including whether and to what extent loans with mortgage insurance are

considered “qualified residential mortgages”

for purposes of the Dodd-Frank Act risk-retention, securitization provisions;

41

FORWARD-LOOKING STATEMENT

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

and MIC;

Further

downgrades

or

other

ratings

actions

with

respect

to

our

credit

ratings

or

insurer

financial

strength

ratings

assigned

by

the

major

rating agencies;

The

potential

future

impairment

of

the

value

of

equity

or

other

securities

held

in

our

investment

portfolios

as

a

result

of

continued

volatility

in

the capital markets;

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;

The risk that we may not be able to realize all of our deferred tax assets and may be required to record a full valuation allowance or

increase the current partial valuation allowance against our remaining net deferred tax assets;

Our ability to return to a period of sustained profitability, which would allow us to reverse all or a portion of the valuation allowance that

was established against our net deferred tax asset;

The risk that the value of the contingent note we received in connection with the sale of PMI Australia is reduced and, therefore, reduces or

eliminates the commitments of the lenders under our credit facility and requires us to repay amounts borrowed under the credit facility; and

Potential additional losses in our European operations and the potential that we must make additional capital contributions to those

operations, and/or CMG Mortgage Insurance Company, pursuant to capital support agreements.

Other risks and uncertainties are discussed in our SEC filings, including in Item

1A of our Quarterly Reports on Form 10-Q for the quarters

ended March 31, 2010, June 30, 2010 and September 30, 2010, and our Annual Report on Form 10-K for the year ended December

31,

2009.  We undertake no obligation to update forward-looking statements.

42