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

Exhibit 99.2

The PMI Group, Inc.

First Quarter 2011

Financial Supplement

THE PMI GROUP, INC. AND SUBSIDIARIES

FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED MARCH 31, 2011

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 March 31, 2011 and 2010		6
Business Segments Balance Sheets		7
U.S. Mortgage Insurance Operations Segment Results
U.S. Mortgage Insurance Operations Segment Results of Operations		8
U.S. Mortgage Insurance Operations Segment Balance Sheets		9
U.S. Mortgage Insurance Operations Portfolio Characteristics		10-12
U.S. Mortgage Insurance Operations Default Information		13-14
U.S. Mortgage Insurance Operations Analysis of Loss Reserves		15
CMG Mortgage Insurance Company Statistical Information		16
International Mortgage Insurance Operations Segment Results
International Operations Segment Results of Operations and Balance Sheets		17
PMI Europe Quarterly Financial Information		18
PMI Europe Statistical Information		19
Corporate and Other Segment Results
Corporate and Other Segment Results of Operations and Balance Sheets		20

Page 2

THE PMI GROUP, INC. AND SUBSIDIARIES (the “Company”)

FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED MARCH 31, 2011

Notes to Financial Results and Statistical Information:

⁽¹⁾  For the quarters ended March 31, 2011 and 2010, the Company’s equity in (losses) earnings 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.

⁽²⁾  Effective January 1, 2008, The PMI Group, Inc. adopted Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820Fair Value Measurements and Disclosuresand the fair value option outlined in FASB ASC Topic 825Financial Instruments. The Company elected to adopt the fair value option for certain corporate debt on the adoption date.

⁽³⁾  Due to the net losses in the quarters ended March 31, 2011 and 2010, 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.

⁽⁴⁾  U.S. Mortgage Insurance Operations segment includes the operating results of PMI Mortgage Insurance Co. (“MIC”), PMI Mortgage Assurance Co. (“PMAC”), formerly Commercial Loan Insurance Co., and affiliated U.S. mortgage insurance and reinsurance companies (collectively, “PMI”). Effective January 1, 2010, PMAC was merged into the U.S. Mortgage Insurance Operations segment. CMG Mortgage Insurance Company and its affiliates are accounted for under the equity method of accounting and their operating results are reported in equity in (losses) earnings from unconsolidated subsidiaries.

⁽⁵⁾  International Operations segment includes PMI Europe and PMI Canada.

⁽⁶⁾  Effective December 31, 2009, the Company combined its Corporate and Other and Financial Guaranty segments into Corporate and Other segment for all periods presented. For the quarter ended March 31, 2011, the Corporate and Other segment includes other income and related operating expenses of PMI Mortgage Services Co. investment income, change in fair value of certain debt instruments, interest expense, intercompany eliminations and corporate expenses of the Holding Company; equity in earnings (losses) from certain limited partnerships. For the quarter ended March 31, 2010 the Corporate and Other segment includes other income and related operating expenses of PMI Mortgage Services Co. investment income, change in fair value of certain debt instruments, interest expense, intercompany eliminations and corporate expenses of the Holding Company; the results of WMAC, equity in earnings (losses) from certain limited partnerships and our equity investment in FGIC (which the Company sold in July 2010). 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.

⁽⁷⁾  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.

⁽⁸⁾  The Company received proceeds of $285 million upon issuance of the 4.50% Convertible Notes due 2020. The Company contributed the proceeds of $285 million to MIC in the form of a surplus note. On April 30, 2010, MIC issued a surplus note for a face value of $261 million to the Company and on May 5, 2010, MIC issued a second surplus note for a face value of $24 million to the Company, for a total of $285 million.

⁽⁹⁾  Pool insurance includes modified pool, GSE pool, old pool and all other pool insurance products for U.S. Mortgage Insurance Operations. 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.

⁽¹⁰⁾  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.

⁽¹¹⁾  The statutory risk-to-capital ratio is for MIC only. As of March 31, 2009, the Company began adjusting its statutory risk-to-capital ratio based on recent regulatory clarification to exclude delinquent risk in force for which a loss reserve has been established.

⁽¹²⁾  The excess minimum policyholders’ position is the surplus above the required minimum policyholders position. The excess minimum policyholders position is for MIC only.

⁽¹³⁾  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.

⁽¹⁴⁾  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 are amounts recovered from captive trust accounts due to the termination of captive agreements.

⁽¹⁵⁾  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.

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

The PMI Group, Inc.’s Investor and Media Relations Contacts:

Bill Horning	Kosta Karmaniolas, CFA
Vice President, Investor Relations, Public 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 March 31,
	2011			2010
	(Unaudited)
	(Dollars and shares in thousands, except per share data)
Net premiums written	$	124,973		$	151,541
Revenues
Premiums earned	$	120,306		$	153,030
Net gain from credit default swaps		784			1,718
Net investment income		16,722			26,688
Equity in losses from unconsolidated subsidiaries(1)		(1,299	)		(4,410	)
Net realized investment (losses) gains		(81	)		7,433
Change in fair value of certain debt instruments(2)		21,656			(40,813	)
Other income		1,920			5
Total revenues		160,008			143,651
Losses and expenses
Losses and loss adjustment expenses		241,110			342,289
Amortization of deferred policy acquisition costs		4,156			3,876
Other underwriting and operating expenses		27,679			33,960
Interest expense		13,511			9,523
Total losses and expenses		286,456			389,648
Loss before income taxes		(126,448	)		(245,997	)
Income tax expense (benefit)		376			(89,010	)
Net loss	$	(126,824	)	$	(156,987	)
Diluted net loss per share	$	(0.79	)	$	(1.90	)
Share data:
Basic weighted average common shares outstanding		161,313			82,776
Stock options and other dilutive components(3)		—			—
Diluted weighted average common shares outstanding(3)		161,313			82,776

Page 4

THE PMI GROUP, INC. AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

	March 31, 2011			December 31, 2010			March 31, 2010
	(Unaudited)			(Audited)			(Unaudited)
	(Dollars and shares in thousands, except per share data)
Assets
Investments:
Fixed income securities	$	2,673,019		$	2,651,206		$	2,092,834
Equity securities:
Common		27,235			30,664			32,128
Preferred		113,492			120,421			172,776
Short term investments		17,559			17,867			1,632
Total investments	$	2,831,305		$	2,820,158		$	2,299,370
Cash and cash equivalents		211,497			267,705			859,131
Investments in unconsolidated subsidiaries		119,230			121,040			135,241
Reinsurance recoverables		439,324			459,671			666,298
Deferred policy acquisition costs		48,115			46,372			42,642
Property, equipment and software, net of accumulated depreciation and amortization		83,234			85,186			97,105
Deferred tax assets		143,847			142,899			229,660
Other assets		214,604			275,956			281,619
Total assets	$	4,091,156		$	4,218,987		$	4,611,066
Liabilities
Reserve for losses and loss adjustment expenses	$	2,886,440		$	2,869,765		$	3,209,746
Reserve for premium refunds		106,535			88,696			83,997
Unearned premiums		69,012			64,298			69,866
Debt		589,859			616,158			424,570
Other liabilities		151,464			164,800			245,460
Total liabilities		3,803,310			3,803,717			4,033,639
Shareholders’ equity
Common stock		1,971			1,971			1,193
Additional paid-in capital, treasury stock and retained earnings		280,803			406,813			504,490
Unrealized (losses) gains on investments, net of deferred taxes		(37,555	)		(28,852	)		37,248
Pension liability adjustment, net of deferred taxes		(11,668	)		(11,668	)		(8,557	)
Effective portion of losses on cash flow hedges, net of deferred taxes		(3,950	)		(4,103	)		(4,455	)
Foreign currency translation gains, net of deferred taxes		58,245			51,109			47,508
Total shareholders’ equity		287,846			415,270			577,427
Total liabilities and shareholders’ equity	$	4,091,156		$	4,218,987		$	4,611,066
Basic shares issued and outstanding		161,541			161,168			83,006
Book value per share	$	1.78		$	2.58		$	6.96

Page 5

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS RESULTS OF OPERATIONS - THREE MONTHS ENDED MARCH 31, 2011 AND 2010

	U.S. Mortgage Insurance Operations (4)			International Operations (5)			Corporate and Other (6)			Consolidated Total
	Three Months Ended March 31, 2011 (Unaudited)
	(Dollars in thousands)
Net premiums written	$	124,148		$	825		$	—		$	124,973
Revenues
Premiums earned	$	119,044		$	1,262		$	—		$	120,306
Net gain from credit default swaps		—			784			—			784
Net investment income		16,060			530			132			16,722
Equity in (losses) earnings from unconsolidated subsidiaries(1)		(1,452	)		—			153			(1,299	)
Net realized investment losses		(74	)		(7	)		—			(81	)
Change in fair value of certain debt instruments(2)		—			—			21,656			21,656
Other income		1,917			3			—			1,920
Total revenues		135,495			2,572			21,941			160,008
Losses and expenses
Losses and loss adjustment expensee		238,994			2,116			—			241,110
Amortization of deferred policy acquisition costs		4,156			—			—			4,156
Other underwriting and operating expenses		25,032			1,430			1,217			27,679
Interest expense		3,223			—			10,288			13,511
Total losses and expenses		271,405			3,546			11,505			286,456
(Loss) income before income taxes		(135,910	)		(974	)		10,436			(126,448	)
Income tax expense		376			—			—			376
Net (loss) income	$	(136,286	)	$	(974	)	$	10,436		$	(126,824	)
Loss ratio(7)		200.8	%
Expense ratio(7)		23.5	%
Combined ratio		224.3	%
	Three Months Ended March 31, 2010 (Unaudited)
	(Dollars in thousands)
Net premiums written	$	150,938		$	603		$	—		$	151,541
Revenues
Premiums earned	$	151,628		$	1,402		$	—		$	153,030
Net gain from credit default swaps		—			1,718			—			1,718
Net investment income		25,033			1,525			130			26,688
Equity in losses from unconsolidated subsidiaries(1)		(4,289	)		—			(121	)		(4,410	)
Net realized investment gains		7,170			263			—			7,433
Change in fair value of certain debt instruments(2)		—			—			(40,813	)		(40,813	)
Other (loss) income		(1	)		6			—			5
Total revenues (expenses)		179,541			4,914			(40,804	)		143,651
Losses and expenses
Losses and loss adjustment expenses		341,537			752			—			342,289
Amortization of deferred policy acquisition costs		3,876			—			—			3,876
Other underwriting and operating expenses		30,090			1,800			2,070			33,960
Interest expense		74			—			9,449			9,523
Total losses and expenses		375,577			2,552			11,519			389,648
(Loss) income before income taxes		(196,036	)		2,362			(52,323	)		(245,997	)
Income tax (benefit) expense		(74,253	)		2,345			(17,102	)		(89,010	)
Net (loss) income	$	(121,783	)	$	17		$	(35,221	)	$	(156,987	)
Loss ratio(7)		225.2	%
Expense ratio(7)		22.5	%
Combined ratio		247.7	%

Page 6

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS BALANCE SHEETS

	U.S. Mortgage Insurance Operations(4)		International Operations (5)		Corporate and Other(6)			Consolidated Total
	March 31, 2011 (Unaudited)
	(Dollars in thousands)
Assets
Investments:
Fixed income securities	$	2,527,434	$	143,721	$	1,864		$	2,673,019
Equity securities:
Common		27,235		—		—			27,235
Preferred		113,492		—		—			113,492
Short term investments		17,535		24		—			17,559
Total investments	$	2,685,696	$	143,745	$	1,864		$	2,831,305
Cash and cash equivalents		107,895		32,187		71,415			211,497
Investments in unconsolidated subsidiaries		105,331		—		13,899			119,230
Reinsurance recoverables		439,324		—		—			439,324
Deferred policy acquisition costs		48,115		—		—			48,115
Property, equipment and software, net of accumulated depreciation and amortization		21,749		—		61,485			83,234
Deferred tax assets		62,297		81,550		—			143,847
Other assets (liabilities)		208,476		7,159		(1,031	)		214,604
Total assets	$	3,678,883	$	264,641	$	147,632		$	4,091,156
Liabilities
Reserve for losses and loss adjustment expenses	$	2,860,635	$	25,805	$	—		$	2,886,440
Reserve for premium refunds		106,535		—		—			106,535
Unearned premiums		65,155		3,857		—			69,012
Debt(8)		285,000		—		304,859			589,859
Other liabilities		143,238		6,258		1,968			151,464
Total liabilities		3,460,563		35,920		306,827			3,803,310
Shareholders’ equity (deficit)		218,320		228,721		(159,195	)		287,846
Total liabilities and shareholders’ equity	$	3,678,883	$	264,641	$	147,632		$	4,091,156
	December 31, 2010 (Audited)
	(Dollars in thousands)
Assets
Investments:
Fixed income securities	$	2,503,680	$	145,694	$	1,832		$	2,651,206
Equity securities:
Common		30,664		—		—			30,664
Preferred		120,421		—		—			120,421
Short term investments		17,843		24		—			17,867
Total investments	$	2,672,608	$	145,718	$	1,832		$	2,820,158
Cash and cash equivalents		158,072		28,513		81,120			267,705
Investments in unconsolidated subsidiaries		106,470		—		14,570			121,040
Reinsurance recoverables		459,671		—		—			459,671
Deferred policy acquisition costs		46,372		—		—			46,372
Property, equipment and software, net of accumulated depreciation and amortization		22,769		—		62,417			85,186
Deferred tax assets		61,349		81,550		—			142,899
Other assets		263,019		6,895		6,042			275,956
Total assets	$	3,790,330	$	262,676	$	165,981		$	4,218,987
Liabilities
Reserve for losses and loss adjustment expenses	$	2,846,580	$	23,185	$	—		$	2,869,765
Reserve for premium refunds		88,696		—					88,696
Unearned premiums		60,227		4,071		—			64,298
Debt		285,000		—		331,158			616,158
Other liabilities		154,099		6,920		3,781			164,800
Total liabilities		3,434,602		34,176		334,939			3,803,717
Shareholders’ equity (deficit)		355,728		228,500		(168,958	)		415,270
Total liabilities and shareholders’ equity	$	3,790,330	$	262,676	$	165,981		$	4,218,987

Page 7

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS SEGMENT⁽⁴⁾ RESULTS OF OPERATIONS

	2011			2010
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total
				(Dollars in thousands)
Income Statement Components - Quarter Ended
Revenues
Premiums written:
Direct premiums written, net of refunds	$	151,064		$	168,237		$	168,200		$	173,245		$	184,877		$	694,559
Ceded premiums, net of assumed		(26,916	)		(27,990	)		(30,903	)		(31,856	)		(33,939	)		(124,688	)
Net premiums written		124,148			140,247			137,297			141,389			150,938			569,871
Change in unearned premiums		(5,104	)		(4,142	)		(459	)		4,458			690			547
Premiums earned	$	119,044		$	136,105		$	136,838		$	145,847		$	151,628		$	570,418
Net investment income		16,060			11,961			15,522			21,330			25,033			73,846
Equity in losses from unconsolidated subsidiaries(1)		(1,452	)		(6,375	)		(2,912	)		(3,856	)		(4,289	)		(17,432	)
Net realized investment (losses) gains		(74	)		5,596			82,487			(1	)		7,170			95,252
Other income (loss)		1,917			2,077			2,208			2,225			(1	)		6,509
Total revenues		135,495			149,364			234,143			165,545			179,541			728,593
Losses and expenses
Losses and loss adjustment expenses		238,994			281,381			315,323			318,551			341,537			1,256,792
Amortization of deferred policy acquisition costs		4,156			5,763			4,637			4,163			3,876			18,439
Other underwriting and operating expenses		25,032			25,473			26,363			25,487			30,090			107,413
Interest expense		3,223			3,169			3,193			2,175			74			8,611
Total losses and expenses		271,405			315,786			349,516			350,376			375,577			1,391,255
Loss before income taxes		(135,910	)		(166,422	)		(115,373	)		(184,831	)		(196,036	)		(662,662	)
Income tax expense (benefit)		376			2,625			136,181			(69,195	)		(74,253	)		(4,642	)
Net loss	$	(136,286	)	$	(169,047	)	$	(251,554	)	$	(115,636	)	$	(121,783	)	$	(658,020	)
Loss ratio(7)		200.8	%		206.7	%		230.4	%		218.4	%		225.2	%		220.3	%
Expense ratio(7)		23.5	%		22.3	%		22.6	%		21.0	%		22.5	%		22.1	%
Combined ratio		224.3	%		229.0	%		253.0	%		239.4	%		247.7	%		242.4	%

Page 8

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS SEGMENT⁽⁴⁾ BALANCE SHEETS

	3/31/2011		12/31/2010		9/30/2010		6/30/2010		3/31/2010
					(Dollars in thousands)
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income securities	$	2,527,434	$	2,503,680	$	1,943,073	$	2,055,974	$	1,940,169
Equity securities:
Common		27,235		30,664		26,562		28,877		31,840
Preferred		113,492		120,421		126,276		163,823		172,776
Short term investments		17,535		17,843		438		1,117		1,610
Total investments	$	2,685,696	$	2,672,608	$	2,096,349	$	2,249,791	$	2,146,395
Cash and cash equivalents		107,895		158,072		947,281		879,292		772,382
Investments in unconsolidated subsidiaries		105,331		106,470		117,545		117,858		120,391
Reinsurance recoverables		439,324		459,671		522,116		613,646		666,298
Deferred policy acquisition costs		48,115		46,372		46,115		44,519		42,642
Property, equipment and software, net of accumulated depreciation and amortization		21,749		22,769		25,891		28,775		31,829
Deferred tax assets		62,297		61,349		95,137		223,552		157,466
Other assets		208,476		263,019		353,087		342,700		270,521
Total assets	$	3,678,883	$	3,790,330	$	4,203,521	$	4,500,133	$	4,207,924
Liabilities
Reserve for losses and loss adjustment expenses	$	2,860,635	$	2,846,580	$	2,894,198	$	2,993,198	$	3,171,564
Reserve for premium refunds		106,535		88,696		88,314		86,566		83,997
Unearned premiums		65,155		60,227		56,327		56,150		60,816
Debt(8)		285,000		285,000		285,000		285,000		—
Other liabilities		143,238		154,099		266,189		195,522		223,909
Total liabilities		3,460,563		3,434,602		3,590,028		3,616,436		3,540,286
Shareholders’ equity		218,320		355,728		613,493		883,697		667,638
Total liabilities and shareholders’ equity	$	3,678,883	$	3,790,330	$	4,203,521	$	4,500,133	$	4,207,924

Page 9

THE PMI GROUP, INC. AND SUBSIDIARIES

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

	2011			2010
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total
				(Dollars in millions)
New Insurance Written
Flow insurance written	$	1,471		$	2,214		$	2,004		$	1,567		$	964		$	6,749
Primary new risk written	$	352		$	514		$	468		$	374		$	214		$	1,570
Product mix as a % of primary new insurance written:
High LTV (above 97% LTV’s)		0	%		0	%		0	%		0	%		0	%		0	%
95.01% to 97% LTV’s		0	%		0	%		0	%		0	%		0	%		0	%
90.01% to 95% LTV’s		36	%		33	%		30	%		29	%		26	%		30	%
85.01% to 90% LTV’s		47	%		47	%		52	%		54	%		55	%		51	%
85% and below		17	%		20	%		18	%		17	%		19	%		19	%
Less than A quality loans		0	%		0	%		0	%		0	%		0	%		0	%
Alt-A loans		0	%		0	%		0	%		0	%		0	%		0	%
Interest only loans		0	%		0	%		0	%		0	%		0	%		0	%
Payment option ARMS		0	%		0	%		0	%		0	%		0	%		0	%
ARMs		0	%		0	%		0	%		0	%		0	%		0	%
Monthlies		65	%		67	%		72	%		79	%		84	%		73	%
Refinances		36	%		47	%		37	%		20	%		33	%		36	%
Structured transactions		0	%		0	%		0	%		0	%		0	%		0	%
Captive reinsurance arrangements
Percentage of flow NIW subject to captive reinsurance arrangements		0.0	%		0.0	%		0.0	%		0.0	%		0.0	%		0.0	%
Percentage of primary NIW subject to captive reinsurance arrangements		0.0	%		0.0	%		0.0	%		0.0	%		0.0	%		0.0	%
Percentage of primary IIF subject to captive reinsurance arrangements		39.4	%		40.4	%		44.1	%		44.8	%		45.6	%		40.4	%
Percentage of primary RIF subject to captive reinsurance arrangements		40.3	%		41.3	%		45.2	%		45.8	%		46.6	%		41.3	%

Page 10

THE PMI GROUP, INC. AND SUBSIDIARIES

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

	2011			2010
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total(13)
				(Dollars in millions, except loan size)
Primary Insurance and Risk-in-Force
Primary insurance in force
Flow	$	87,084		$	88,928		$	91,219		$	93,453		$	95,539		$	88,928
Structured transactions		12,251			12,782			13,345			14,118			14,731			12,782
Total	$	99,335		$	101,710		$	104,564		$	107,571		$	110,270		$	101,710
Primary risk-in-force
Flow	$	21,423		$	21,864		$	22,444		$	22,999		$	23,510		$	21,864
Structured transactions		2,869			2,992			3,124			3,305			3,447			2,992
Total	$	24,292		$	24,856		$	25,568		$	26,304		$	26,957		$	24,856
Pool risk-in-force(9)	$	591		$	606		$	624		$	828		$	884		$	606
Primary risk-in-force - credit score distribution
Total
620 or above		93.5	%		93.5	%		93.4	%		93.4	%		93.3	%		93.5	%
619-575		4.8	%		4.8	%		4.9	%		4.9	%		5.0	%		4.8	%
574 or below		1.7	%		1.7	%		1.7	%		1.7	%		1.7	%		1.7	%
Primary average loan size(in thousands)
Flow	$	162.8		$	162.4		$	162.3		$	162.0		$	161.6		$	162.4
Structured transactions	$	156.6		$	156.5		$	156.7		$	158.3		$	158.7		$	156.5
Total	$	162.0		$	161.7		$	161.5		$	161.5		$	161.2		$	161.7
Persistency(10)
Primary persistency rate		83.5	%		83.5	%		84.7	%		85.6	%		84.9	%		83.5	%
Risk-to-capital ratio(11)		24.4 to 1	(A)		19.9 to 1			17.2 to 1			15.8 to 1			26.6 to 1			19.9 to 1
Minimum policyholders’ position(12) excess (deficit)	$	39.2	(A)	$	184.3		$	332.1		$	415.5		$	(57.4	)	$	184.3

(A) Preliminary.

Page 11

THE PMI GROUP, INC. AND SUBSIDIARIES

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

	3/31/2011						12/31/2010						3/31/2010
	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)
Policy Year As a Percentage of Primary Risk-in-Force (RIF)
Prior to 2000	$	300			1.2	%	$	331			1.3	%	$	403			1.5	%
2000		77			0.3	%		81			0.3	%		97			0.4	%
2001		263			1.1	%		281			1.1	%		336			1.2	%
2002		589			2.4	%		621			2.5	%		732			2.7	%
2003		1,626			6.7	%		1,713			6.9	%		2,019			7.5	%
2004		1,895			7.8	%		1,970			7.9	%		2,236			8.3	%
2005		2,808			11.6	%		2,902			11.7	%		3,326			12.3	%
2006		3,466			14.3	%		3,603			14.5	%		4,174			15.5	%
2007		6,415			26.4	%		6,652			26.8	%		7,567			28.1	%
2008		3,470			14.3	%		3,586			14.4	%		4,064			15.1	%
2009		1,565			6.5	%		1,615			6.5	%		1,791			6.6	%
2010		1,468			6.0	%		1,501			6.1	%		212			0.8	%
2011		350			1.4	%		—			0.0	%		—			0.0	%
Total	$	24,292					$	24,856					$	26,957
	3/31/2011						12/31/2010						3/31/2010
	% 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 3/31/11 RIF)
Florida		9.5	%		40.3	%		9.6	%		40.6	%		10.1	%		41.6	%
Texas		8.1	%		10.2	%		8.0	%		11.5	%		7.6	%		12.4	%
California		7.4	%		28.1	%		7.4	%		29.5	%		7.6	%		36.5	%
Illinois		5.2	%		24.0	%		5.2	%		24.6	%		5.2	%		25.7	%
Georgia		4.6	%		19.2	%		4.6	%		20.6	%		4.7	%		23.2	%
New York		4.1	%		20.5	%		4.1	%		20.4	%		4.0	%		19.5	%
Ohio		4.0	%		16.4	%		4.0	%		17.2	%		3.9	%		17.7	%
Pennsylvania		3.5	%		15.1	%		3.5	%		15.8	%		3.4	%		15.3	%
New Jersey		3.4	%		25.7	%		3.3	%		25.4	%		3.3	%		25.2	%
Washington		3.3	%		17.8	%		3.3	%		17.8	%		3.2	%		17.2	%

	2011			2010
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010
As a Percentage of Primary Risk-in-Force - loan to value ratios
High LTV (above 97% LTV’s)		19.3	%		19.5	%		19.9	%		20.2	%		20.4	%
95.01% to 97% LTV’s		3.9	%		4.0	%		4.0	%		4.0	%		4.0	%
90.01% to 95% LTV’s		31.4	%		31.1	%		30.8	%		30.6	%		30.5	%
85.01% to 90% LTV’s		38.5	%		38.5	%		38.4	%		38.2	%		38.1	%
85% and below		6.9	%		6.9	%		6.9	%		7.0	%		7.0	%
As a Percentage of Primary Risk-in-Force:
Less-than-A quality (FICO scores below 620)		6.5	%		6.5	%		6.6	%		6.7	%		6.7	%
Less-than-A quality (FICO scores below 575)(A)		1.7	%		1.7	%		1.7	%		1.7	%		1.7	%
Alt-A Loans:
With FICO scores of 660 and above		13.0	%		13.3	%		13.7	%		14.2	%		14.6	%
With FICO scores below 660 and above 619		2.0	%		2.0	%		2.0	%		2.1	%		2.2	%
Total Alt-A Loans		15.0	%		15.3	%		15.7	%		16.3	%		16.8	%
ARMs(B)		7.8	%		8.0	%		8.3	%		8.7	%		9.1	%
Interest Only(C)		9.6	%		9.8	%		10.1	%		10.5	%		10.8	%
Payment Option ARMs		2.5	%		2.6	%		2.7	%		2.8	%		3.0	%

(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 0.1% of RIF is subject to initial payment adjustment in 2011.

(C) Approximately 50.0% of interest only loans written in 2010 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 (1)

	2011			2010
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total (13)
				(Dollars in millions, except claim size)
Primary delinquent roll forward
Beginning delinquent inventory		127,478			131,891			138,431			147,248			150,925			150,925
Plus: New notices		24,754			28,664			29,715			28,597			34,268			121,244
Less: Cures		(25,540	)		(24,236	)		(25,998	)		(28,008	)		(29,565	)		(107,807	)
Less: Claims paid (A)		(5,866	)		(7,614	)		(9,079	)		(8,284	)		(6,892	)		(31,869	)
Less: Rescissions		(1,078	)		(1,227	)		(1,178	)		(1,122	)		(1,488	)		(5,015	)
Ending delinquent inventory		119,748			127,478			131,891			138,431			147,248			127,478
Claims paid
Primary claims paid - flow	$	181.4		$	255.7		$	335.6		$	311.3		$	226.2		$	1,128.8
Primary claims paid - structured transactions		49.5			66.1			68.8			62.2			74.2			271.3
Ceded claims, supplemental and other(14)		(57.8	)		(90.6	)		(140.9	)		(98.6	)		(64.0	)		(394.1	)
Total primary claims paid		173.1			231.2			263.5			274.9			236.4			1,006.0
Total pool and other (B)		16.6			18.6			45.2			156.9			21.4			242.1
Total claims paid		189.7			249.8			308.7			431.8			257.8			1,248.1
Loss adjustment expenses		14.9			16.8			14.0			12.5			13.2			56.5
Total claims paid including loss adjustment expenses	$	204.6		$	266.6		$	322.7		$	444.3		$	271.0		$	1,304.6
Average primary claim size(in thousands)	$	29.5		$	30.6		$	30.2		$	33.2		$	34.3		$	32.0
Average primary claim size - gross of ceded captive recoveries and excluding claim denials(in thousands)	$	52.2		$	55.4		$	52.1		$	51.4		$	50.3		$	52.2
Loss severity(15) - primary(quarterly)
Flow		56.7	%		72.6	%		85.9	%		87.7	%		85.4	%		82.8	%
Structured transactions		69.6	%		94.9	%		84.3	%		74.2	%		60.0	%		75.6	%
Total		59.0	%		76.3	%		85.6	%		85.1	%		77.4	%		81.3	%
Loss severity excluding claim denials(15) - primary(quarterly)
Flow		105.5	%		107.3	%		106.6	%		106.4	%		106.0	%		106.6	%
Structured transactions		105.0	%		104.9	%		105.7	%		105.7	%		106.5	%		105.7	%
Total		105.4	%		106.8	%		106.5	%		106.3	%		106.1	%		106.4	%
Delinquent risk-in-force rescinded per quarter	$	77.3		$	93.2		$	85.3		$	78.7		$	109.2		$	366.4
Claim denials per quarter - delinquent risk-in-force	$	192.8		$	179.0		$	123.5		$	108.7		$	149.2		$	560.4

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

(B) The quarter ended June 30, 2010 includes discounted accelerated claim payments associated with the restructuring of certain modified pool contracts.

Page 13

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS DEFAULT INFORMATION (2)

	2011					2010
	3/31/2011					12/31/2010					9/30/2010					6/30/2010					3/31/2010
						(Dollars in millions)
Primary loans, defaults and default rates
Primary policies in force		613,251					629,154					647,319					666,204					683,888
Loans in default by payment status:
2 - 3 payments in default		22,608		19	%		28,077		22	%		28,922		22	%		28,835		21	%		30,922		21	%
4 - 11 payments in default		35,357		29	%		38,909		31	%		42,592		32	%		50,246		36	%		59,669		41	%
12 payments or more in default		61,783		52	%		60,492		47	%		60,377		46	%		59,350		43	%		56,657		38	%
Primary loans in default		119,748		100	%		127,478		100	%		131,891		100	%		138,431		100	%		147,248		100	%
Reserves for losses and LAE by payment status (A):
2 - 3 payments in default	$	123.9				$	160.0				$	153.9				$	156.6				$	156.0
4 - 11 payments in default		589.1					662.5					761.6					875.5					972.3
12 payments or more in default		1,977.2					1,848.2					1,800.1					1,777.7					1,712.1
Primary loans in default	$	2,690.2				$	2,670.7				$	2,715.6				$	2,809.8				$	2,840.4
Primary default rate		19.53	%				20.26	%				20.37	%				20.78	%				21.53	%
Flow only default rate		18.39	%				19.05	%				19.21	%				19.66	%				20.41	%
Structured transactions only default rate		27.28	%				28.38	%				28.08	%				28.03	%				28.64	%
Pool default rate		14.41	%				15.60	%				15.40	%				15.20	%				16.46	%
Primary default rates by loan type (B)
Alt-A loans		39.61	%				40.41	%				41.27	%				42.41	%				43.85	%
Less than A quality loans		35.05	%				37.62	%				37.38	%				37.56	%				38.86	%
Above 97s		24.85	%				26.28	%				26.32	%				26.87	%				28.07	%
ARMs (excluding 2/28 Hybrid ARMs)		41.17	%				41.83	%				41.65	%				41.97	%				42.33	%
2/28 Hybrid ARMs		51.22	%				52.73	%				53.50	%				50.14	%				51.32	%
Payment option ARMs		53.22	%				53.06	%				52.60	%				53.24	%				53.71	%
Interest Only		40.10	%				40.94	%				41.97	%				42.78	%				44.30	%
Primary reserves for losses and LAE by loan type (A) (B)
Alt-A loans	$	846.4				$	872.7				$	909.1				$	978.3				$	1,007.5
Less than A quality loans		272.2					281.8					282.0					287.6					296.7
Above 97s		652.5					645.5					661.1					685.6					698.0
ARMs (excluding 2/28 Hybrid ARMs)		377.1					388.2					401.3					426.5					444.6
2/28 Hybrid ARMs		103.7					118.2					120.7					124.1					127.8
Payment option ARMs		181.8					184.7					192.3					209.1					221.4
Interest Only		493.0					494.4					524.2					562.2					574.2

(A) While the Company does not establish loss reserves based on payment status or loan type, the loss reserve amounts set out above have been allocated based on total delinquencies and on the number of delinquencies associated with each payment status and risk characteristic, respectively.

(B) Loan types are not mutually exclusive as certain loans may be included in one or more of the above loan categories.

Page 14

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS ANALYSIS OF LOSS RESERVES

	3/31/2011			2010
				12/31/2010			9/30/2010			6/30/2010			3/31/2010
				(Dollars in millions)
Loss Reserve Analysis
Beginning reserves for losses and LAE,	$	2,846.6		$	2,894.2		$	2,993.2		$	3,171.6		$	3,138.3
Reinsurance recoverables		(459.7	)		(522.1	)		(613.6	)		(666.3	)		(703.6	)
Net balance at beginning of the period		2,386.9			2,372.1			2,379.6			2,505.3			2,434.7
Loss and LAE incurred (principally with respect to defaults occurring in):
Current year		177.4			242.2			192.5			201.3			291.0
Prior years		61.6			39.2			122.8			117.3			50.5
Total incurred		239.0			281.4			315.3			318.6			341.5
Loss and LAE payments (principally with respect to defaults occurring in):
Current year		—			(26.5	)		(10.7	)		1.0			(3.3	)
Prior years		(204.6	)		(240.1	)		(312.1	)		(445.3	)		(267.6	)
Total payments		(204.6	)		(266.6	)		(322.8	)		(444.3	)		(270.9	)
Net ending balance		2,421.3			2,386.9			2,372.1			2,379.6			2,505.3
Reinsurance recoverables(A)		439.3			459.7			522.1			613.6			666.3
Ending reserves for losses and LAE	$	2,860.6		$	2,846.6		$	2,894.2		$	2,993.2		$	3,171.6

	3/31/2011				12/31/2010				9/30/2010				6/30/2010				3/31/2010
	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 thousands)
Loss Reserves by Book Year
2002 and prior		10,847	$	124,930		11,782	$	126,099		12,131	$	138,897		13,641	$	149,231		15,988	$	132,395
2003		10,679		141,816		11,478		141,230		12,034		143,230		12,965		147,265		13,905		146,363
2004		12,805		228,319		13,470		219,518		13,742		212,702		13,971		205,279		15,666		205,582
2005		17,973		411,419		18,853		404,035		19,153		395,825		19,898		402,871		24,097		456,884
2006		28,707		644,469		31,210		667,350		32,417		673,665		33,984		700,143		36,480		792,373
2007		41,873		1,029,884		45,311		1,032,115		47,350		1,069,087		50,169		1,120,839		54,572		1,176,306
2008		9,968		265,413		10,321		245,205		10,477		251,548		10,961		259,454		11,463		255,307
2009		630		13,767		620		10,705		547		9,118		474		8,059		413		6,354
2010		34		615		22		323		10		126		8		57		—		—
2011		1		3		—		—		—		—		—		—		—		—
Total Loss Reserves		133,517	$	2,860,635		143,067	$	2,846,580		147,861	$	2,894,198		156,071	$	2,993,198		172,584	$	3,171,564
	3/31/2011				12/31/2010				9/30/2010				6/30/2010				3/31/2010
	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		119,748	$	2,690.2		127,478	$	2,670.7		131,891	$	2,715.6		138,431	$	2,809.8		147,248	$	2,840.4
Pool insurance (9) (B)		13,769		149.9		15,589		155.4		15,970		158.1		17,640		162.6		25,336		310.4
Surety(C)		—		20.5		—		20.5		—		20.5		—		20.8		—		20.8
Total		133,517	$	2,860.6		143,067	$	2,846.6		147,861	$	2,894.2		156,071	$	2,993.2		172,584	$	3,171.6

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

(B) Pool insurance as of September 30, 2010 excludes 55 contracts resulting in the termination of $183.7 million risk-in-force in the third quarter of 2010. Pool insurance as of June 30, 2010 excludes 12 contracts resulting in the termination of $72.7 million risk-in-force in the second quarter of 2010. Pool insurance as of March 31, 2010 excludes 32 contracts representing 26,103 delinquencies associated with restructurings resulting in the termination of $212.9 million risk-in-force in the first quarter of 2010.

(C) 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 15

THE PMI GROUP, INC. AND SUBSIDIARIES

CMG MORTGAGE INSURANCE COMPANY STATISTICAL INFORMATION

	2011			2010
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total (13)
				(Dollars in millions, except claims paid and claim size)
Primary new insurance written	$	584		$	794		$	669		$	530		$	304		$	2,297
Primary insurance in force	$	20,523		$	20,785		$	21,092		$	21,351		$	21,578		$	20,785
Primary risk-in-force	$	5,012		$	5,073		$	5,153		$	5,217		$	5,263		$	5,073
Policies in force		126,224			128,129			130,217			132,225			133,886			128,129
Primary loans in default		7,073			7,533			7,367			7,282			7,168			7,533
Primary default rate		5.60	%		5.88	%		5.66	%		5.51	%		5.35	%		5.88	%
Persistency		83.2	%		84.2	%		86.3	%		87.0	%		85.6	%		84.2	%
Primary claims paid(in thousands)	$	29,425		$	32,030		$	40,161		$	28,299		$	20,463		$	120,953
Number of primary claims paid		599			630			849			586			470			2,535
Average primary claim size(in thousands)	$	49.1		$	50.8		$	47.3		$	48.3		$	43.5		$	47.7

Page 16

THE PMI GROUP, INC. AND SUBSIDIARIES

INTERNATIONAL OPERATIONS SEGMENT⁽⁵⁾ RESULTS OF OPERATIONS AND BALANCE SHEETS

	2011			2010
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010		Total
				(U.S. dollars in thousands)
Income Statement Components - Quarter Ended
Revenues
Premiums earned	$	1,262		$	3,072		$	1,245		$	1,235		$	1,402	$	6,954
Net gains from credit default swaps		784			3,859			2,249			462			1,718		8,288
Net investment income (loss)		530			1,867			(2,032	)		2,400			1,525		3,760
Net realized investment (losses) gains		(7	)		(60	)		664			122			263		989
Other income (loss)		3			—			1			(3	)		6		4
Total revenues		2,572			8,738			2,127			4,216			4,914		19,995
Losses and expenses
Losses and loss adjustment expenses		2,116			(914	)		(2,287	)		(631	)		752		(3,080	)
Amortization of deferred policy acquisition costs		—			—			—			—			—		—
Other underwriting and operating expenses		1,430			1,037			1,126			1,269			1,800		5,232
Total losses and expenses		3,546			123			(1,161	)		638			2,552		2,152
(Loss) income before income taxes		(974	)		8,615			3,288			3,578			2,362		17,843
Income tax expense (benefit)		—			—			641			(1,045	)		2,345		1,941
Net (loss) income	$	(974	)	$	8,615		$	2,647		$	4,623		$	17	$	15,902
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010
				(U.S. dollars in thousands)
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income and equity securities	$	143,745		$	145,718		$	117,717		$	127,262		$	150,633
Cash and cash equivalents		32,187			28,513			71,208			46,588			35,793
Property, equipment and software, net of accumulated depreciation and amortization		—			—			3			6			16
Deferred tax assets		81,550			81,550			7,051			6,710			3,034
Other assets		7,159			6,895			7,108			13,480			9,602
Total assets	$	264,641		$	262,676		$	203,087		$	194,046		$	199,078
Liabilities
Reserve for losses and loss adjustment expenses	$	25,805		$	23,185		$	32,654		$	33,178		$	38,182
Unearned premiums		3,857			4,071			7,163			7,358			9,050
Other liabilities		6,258			6,920			13,934			14,584			32,438
Total liabilities		35,920			34,176			53,751			55,120			79,670
Shareholders’ equity		228,721			228,500			149,336			138,926			119,408
Total liabilities and shareholders’ equity	$	264,641		$	262,676		$	203,087		$	194,046		$	199,078

17

THE PMI GROUP, INC. AND SUBSIDIARIES

PMI EUROPE QUARTERLY FINANCIAL INFORMATION

	2011			2010
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010		Total
				(U.S. dollars in thousands, unless otherwise noted)
Income Statement Components - Quarter Ended
Net premiums written	$	826		$	105		$	312		$	347		$	603	$	1,367
Revenues
Premiums earned	$	1,142		$	2,852		$	1,019		$	1,082		$	1,270	$	6,223
Net gains from credit default swaps		784			3,859			2,249			462			1,718		8,288
Net investment income (loss)		463			1,795			(2,103	)		2,322			1,428		3,442
Net realized investment (losses) gains		(7	)		302			664			(25	)		415		1,356
Total revenues		2,382			8,808			1,829			3,841			4,831		19,309
Losses and expenses
Losses and loss adjustment expenses		1,007			(1,410	)		(2,556	)		(731	)		439		(4,258	)
Amortization of deferred policy acquisition costs		—			—			—			—			—		—
Other underwriting and operating expenses		1,210			842			1,066			1,003			1,538		4,449
Total losses and expenses		2,217			(568	)		(1,490	)		272			1,977		191
Income before income taxes		165			9,376			3,319			3,569			2,854		19,118
Income tax expense (benefit)		—			—			642			(1,045	)		2,345		1,942
Net income	$	165		$	9,376		$	2,677		$	4,614		$	509	$	17,176
Net income(Euros in thousands)	€	120		€	7,020		€	2,069		€	3,490		€	368	€	12,947

Loss ratio, expense ratio and combined ratio for PMI Europe are not meaningful.

	3/31/2011		12/31/2010		9/30/2010		6/30/2010		3/31/2010
			(U.S. dollars in thousands)
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income securities	$	127,011	$	128,134	$	100,282	$	110,100	$	132,829
Cash and cash equivalents		31,097		27,766		70,362		45,472		34,569
Property, equipment and software, net of accumulated depreciation and amortization		—		—		3		6		16
Other assets		13,049		12,109		12,104		18,273		10,775
Total assets	$	171,157	$	168,009	$	182,751	$	173,851	$	178,189
Liabilities
Reserve for losses and loss adjustment expenses	$	23,033	$	21,050	$	30,902	$	31,268	$	36,120
Unearned premiums		3,585		3,688		6,575		6,568		8,052
Other liabilities		5,871		6,504		13,572		14,393		32,130
Total liabilities		32,489		31,242		51,049		52,229		76,302
Shareholders’ equity		138,668		136,767		131,702		121,622		101,887
Total liabilities and shareholders’ equity	$	171,157	$	168,009	$	182,751	$	173,851	$	178,189

Page 18

THE PMI GROUP, INC. AND SUBSIDIARIES

PMI EUROPE STATISTICAL INFORMATION

	2011		2010
	3/31/2011		12/31/2010		9/30/2010		6/30/2010		3/31/2010		Total(13)
			(U.S. dollars in millions, except claims paid)
Insurance in force	$	5,069	$	5,110	$	8,544	$	8,534	$	9,350	$	5,110
Risk in force	$	669	$	674	$	1,999	$	1,889	$	2,092	$	674
Claims paid including credit default swaps(A)(in thousands)	$	725	$	11,646	$	1,859	$	2,441	$	2,474	$	18,420

(A) In the fourth quarter of 2010, approximately $10.5 million of the claims paid were from certain contract commutations.

Page 19

THE PMI GROUP, INC. AND SUBSIDIARIES

CORPORATE AND OTHER SEGMENT⁽⁶⁾ RESULTS OF OPERATIONS AND BALANCE SHEETS

	2011			2010
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total
				(Dollars in thousands)
Income Statement Components - Quarter Ended
Net premiums written	$	—		$	—		$	—		$	—		$	—		$	—
Revenues
Premiums earned	$	—		$	—		$	—		$	—		$	—		$	—
Net investment income		132			138			147			131			130			546
Equity in earnings (losses) from unconsolidated subsidiaries		153			5,514			(147	)		(61	)		(121	)		5,185
Net realized investment (losses) gains		—			(1	)		—			276			—			275
Change in fair value of certain debt instruments(2)		21,656			(19,908	)		(5,125	)		(47,687	)		(40,813	)		(113,533	)
Other income		—			56			—			—			—			56
Total revenues (expenses)		21,941			(14,201	)		(5,125	)		(47,341	)		(40,804	)		(107,471	)
Losses and expenses
Other underwriting and operating expenses		1,217			(555	)		4,256			1,276			2,070			7,047
Interest expense		10,288			10,300			10,200			10,072			9,449			40,021
Total losses and expenses		11,505			9,745			14,456			11,348			11,519			47,068
Income (loss) before income taxes		10,436			(23,946	)		(19,581	)		(58,689	)		(52,323	)		(154,539	)
Income tax expense (benefit)		—			—			12,615			(19,141	)		(17,102	)		(23,628	)
Net income (loss)	$	10,436		$	(23,946	)	$	(32,196	)	$	(39,548	)	$	(35,221	)	$	(130,911	)
	3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010
				(Dollars in thousands)
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income securities	$	1,864		$	1,832		$	1,960		$	1,906		$	2,054
Equity securities: common		—			—			—			—			288
Total investments	$	1,864		$	1,832		$	1,960		$	1,906		$	2,342
Cash and cash equivalents		71,415			81,120			80,451			95,961			50,956
Investments in unconsolidated subsidiaries		13,899			14,570			14,519			14,812			14,850
Property, equipment and software, net of accumulated depreciation and amortization		61,485			62,417			63,282			64,269			65,260
Deferred tax assets		—			—			39,812			52,506			69,159
Other (liabilities) assets		(1,031	)		6,042			6,488			9,476			1,497
Total assets	$	147,632		$	165,981		$	206,512		$	238,930		$	204,064
Liabilities
Debt	$	304,859		$	331,158		$	303,453		$	303,043		$	424,570
Other liabilities (assets)		1,968			3,781			4,024			4,220			(10,887	)
Total liabilities		306,827			334,939			307,477			307,263			413,683
Shareholders’ deficit		(159,195	)		(168,958	)		(100,965	)		(68,333	)		(209,619	)
Total liabilities and shareholders’ deficit	$	147,632		$	165,981		$	206,512		$	238,930		$	204,064

Page 20