PMI GROUP INC - FORM 8-K - EX-99.2 - THE PMI GROUP, INC. SECOND QUARTER 2011 FINANCIAL SUPPLEMENT.

Attached files

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EX-99.1 - THE PMI GROUP, INC. PRESS RELEASE DATED AUGUST 4, 2011. - PMI GROUP INC	dex991.htm
EX-99.3 - THE PMI GROUP, INC. SUPPLEMENTAL PORTFOLIO INFORMATION AS OF JUNE 30, 2011. - PMI GROUP INC	dex993.htm
8-K - FORM 8-K - PMI GROUP INC	d8k.htm

Exhibit 99.2

LOGO

The PMI Group, Inc.

Second Quarter 2011

Financial Supplement

THE PMI GROUP, INC. AND SUBSIDIARIES

FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED JUNE 30, 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 June 30, 2011 and 2010		6

Business Segments Results of Operations - Six Months Ended June 30, 2011 and 2010		7

Business Segments Balance Sheets		8

U.S. Mortgage Insurance Operations Segment Results

U.S. Mortgage Insurance Operations Segment Results of Operations		9

U.S. Mortgage Insurance Operations Segment Balance Sheets		10

U.S. Mortgage Insurance Operations Portfolio Characteristics		11-13

U.S. Mortgage Insurance Operations Default Information		14-15

U.S. Mortgage Insurance Operations Analysis of Loss Reserves		16

CMG Mortgage Insurance Company Statistical Information		17

International Mortgage Insurance Operations Segment Results

International Operations Segment Results of Operations and Balance Sheets		18

PMI Europe Quarterly Financial Information		19

PMI Europe Statistical Information		20

Corporate and Other Segment Results

Corporate and Other Segment Results of Operations and Balance Sheets		21

Page 2

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

FINANCIAL RESULTS AND STATISTICAL INFORMATION FOR THE PERIOD ENDED JUNE 30, 2011

Notes to Financial Results and Statistical Information:

⁽¹⁾

For the quarters and six months ended June 30, 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 820 Fair Value Measurements and Disclosures and the fair value option outlined in FASB ASC Topic 825 Financial Instruments. The Company elected to adopt the fair value option for certain corporate debt on the adoption date.

⁽³⁾

The Company recognized the notional amount of the QBE Note plus accrued interest, net of taxes, through June 30, 2011 and cash payment related to a profit sharing arrangement tied to the performance of the PMI Australia insurance portfolio as gain on sale of discontinued operations for the quarter ended June 30, 2011.

⁽⁴⁾	Due to the net losses in the quarters and six months ended June 30, 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.

⁽⁵⁾	QBE issued a contingent promissory note (the “QBE Note”) in connection with the 2008 sale of PMI Australia to QBE. Due to the waiver of contingencies, the Company recorded the QBE Note as a Note Receivable as of June 30, 2011.

⁽⁶⁾

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”). 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.

⁽⁷⁾	International Operations segment includes PMI Europe and PMI Canada.

⁽⁸⁾

For the quarter and six months ended June 30, 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 and six months ended June 30, 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).

⁽⁹⁾

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

⁽¹⁰⁾

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.

⁽¹¹⁾	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.

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

⁽¹³⁾	The statutory risk-to-capital ratio is for 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.

⁽¹⁴⁾	The minimum policyholders’ position deficit is the deficit below the required minimum policyholders position. The excess minimum policyholders’ position is the surplus above the required minimum policyholders position. The deficit/excess minimum policyholders position is for MIC only.

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

⁽¹⁶⁾

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.

⁽¹⁷⁾	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 June 30,						Six Months Ended June 30,
	2011			2010			2011			2010
	(Unaudited)						(Unaudited)
	*(Dollars and shares in thousands, except per share data)*						*(Dollars and shares in thousands, except per share data)*
Net premiums written	$	124,784		$	141,721		$	249,758		$	293,262

Revenues
Premiums earned	$	125,603		$	147,082		$	245,909		$	300,112
Net gain from credit default swaps		830			462			1,614			2,180
Net investment income		16,837			23,861			33,559			50,549
Equity in losses from unconsolidated subsidiaries ⁽¹⁾		(1,433	)		(3,917	)		(2,732	)		(8,327	)
Net realized investment gains		194			397			113			7,830
Change in fair value of certain debt instruments ⁽²⁾		75,625			(47,687	)		97,281			(88,500	)
Other income		1,778			2,223			3,698			2,228

Total revenues		219,434			122,421			379,442			266,072

Losses and expenses
Losses and loss adjustment expenses		441,186			317,920			682,296			660,209
Amortization of deferred policy acquisition costs		4,467			4,163			8,623			8,039
Other underwriting and operating expenses		25,839			28,032			53,518			61,992
Interest expense		13,577			12,247			27,088			21,770

Total losses and expenses		485,069			362,362			771,525			752,010

Loss from continuing operations before income taxes		(265,635	)		(239,941	)		(392,083	)		(485,938	)
Income tax expense (benefit) from continuing operations		19,651			(89,381	)		20,027			(178,391	)

Loss from continuing operations		(285,286	)		(150,560	)		(412,110	)		(307,547	)
Gain on sale of discontinued operations, net of taxes ⁽³⁾		150,520			—			150,520			—

Net loss	$	(134,766	)	$	(150,560	)	$	(261,590	)	$	(307,547	)

Diluted loss from continuing operations per share	$	(1.76	)	$	(1.11	)	$	(2.55	)	$	(2.81	)
Diluted gain on sale of discontinued operations per share		0.93			—			0.93			—

Diluted net loss per share	$	(0.83	)	$	(1.11	)	$	(1.62	)	$	(2.81	)

Share data:
Basic weighted average common shares outstanding		161,589			135,993			161,452			109,532
Stock options and other dilutive components ⁽⁴⁾		—			—			—			—

Diluted weighted average common shares outstanding ⁽⁴⁾		161,589			135,993			161,452			109,532

Page 4

THE PMI GROUP, INC. AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS


	June 30, 2011			December 31, 2010			June 30, 2010
	(Unaudited)			(Audited)			(Unaudited)
	*(Dollars and shares in thousands, except per share data)*
Assets
Investments:
Fixed income securities	$	2,538,271		$	2,651,206		$	2,185,119
Equity securities:
Common		23,539			30,664			28,877
Preferred		74,516			120,421			163,823
Short term investments		6,813			17,867			1,140

Total investments	$	2,643,139		$	2,820,158		$	2,378,959
Cash and cash equivalents		259,302			267,705			1,021,841
Investments in unconsolidated subsidiaries		119,853			121,040			132,670
Reinsurance recoverables		391,974			459,671			613,646
Deferred policy acquisition costs		49,557			46,372			44,519
Property, equipment and software, net of accumulated depreciation and amortization		81,368			85,186			93,050
Deferred tax assets		44,804			142,899			282,768
Note receivable ⁽⁵⁾		206,569			—			—
Other assets		217,904			275,956			365,656

Total assets	$	4,014,470		$	4,218,987		$	4,933,109

Liabilities
Reserve for losses and loss adjustment expenses	$	2,994,795		$	2,869,765		$	3,026,376
Reserve for premium refunds		110,785			88,696			86,566
Unearned premiums		68,113			64,298			63,508
Debt		522,128			616,158			588,043
Other liabilities		128,142			164,800			214,326

Total liabilities		3,823,963			3,803,717			3,978,819
Shareholders’ equity
Common stock		1,971			1,971			1,971
Additional paid-in capital, treasury stock and retained earnings		147,023			406,813			873,039
Unrealized losses on investments, net of deferred taxes		(5,064	)		(28,852	)		52,197
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		(3,797	)		(4,103	)		(4,355	)
Foreign currency translation gains, net of deferred taxes		62,042			51,109			39,995

Total shareholders’ equity		190,507			415,270			954,290

Total liabilities and shareholders’ equity	$	4,014,470		$	4,218,987		$	4,933,109

Basic shares issued and outstanding		161,648			161,168			160,776

Book value per share	$	1.18		$	2.58		$	5.94

Page 5

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS RESULTS OF OPERATIONS - THREE MONTHS ENDED JUNE 30, 2011 AND 2010


	U.S. Mortgage Insurance Operations ⁽⁶⁾			International Operations⁽⁷⁾			Corporate and Other⁽⁸⁾			Consolidated Total
	Three Months Ended June 30, 2011 (Unaudited)
	*(Dollars in thousands)*
Net premiums written	$	125,983		$	(1,199	)	$	—		$	124,784

Revenues
Premiums earned	$	125,516		$	87		$	—		$	125,603
Net gain from credit default swaps		—			830			—			830
Net investment income		15,995			727			115			16,837
Equity in losses from unconsolidated subsidiaries ⁽¹⁾		(1,343	)		—			(90	)		(1,433	)
Net realized investment gains (losses)		1,051			(856	)		(1	)		194
Change in fair value of certain debt instruments ⁽²⁾		—			—			75,625			75,625
Other income (loss)		1,782			(3	)		(1	)		1,778

Total revenues		143,001			785			75,648			219,434

Losses and expenses
Losses and loss adjustment expenses		429,635			11,551			—			441,186
Amortization of deferred policy acquisition costs		4,467			—			—			4,467
Other underwriting and operating expenses		23,785			1,018			1,036			25,839
Interest expense		3,213			—			10,364			13,577

Total losses and expenses		461,100			12,569			11,400			485,069

(Loss) income from continuing operations before income taxes		(318,099	)		(11,784	)		64,248			(265,635	)
Income tax expense (benefit) from continuing operations		20,272			262			(883	)		19,651

(Loss) income from continuing operations		(338,371	)		(12,046	)		65,131			(285,286	)
Gain on sale of discontinued operations, net of taxes⁽³⁾		—			150,520			—			150,520

Net (loss) income	$	(338,371	)	$	138,474		$	65,131		$	(134,766	)

Loss ratio ⁽⁹⁾		342.3	%
Expense ratio⁽⁹⁾		22.4	%
Combined ratio		364.7	%

	Three Months Ended June 30, 2010 (Unaudited)
	*(Dollars in thousands)*
Net premiums written	$	141,389		$	332		$	—		$	141,721

Revenues
Premiums earned	$	145,847		$	1,235		$	—		$	147,082
Net gain from credit default swaps		—			462			—			462
Net investment income		21,330			2,400			131			23,861
Equity in losses from unconsolidated subsidiaries ⁽¹⁾		(3,856	)		—			(61	)		(3,917	)
Net realized investment (losses) gains		(1	)		122			276			397
Change in fair value of certain debt instruments ⁽²⁾		—			—			(47,687	)		(47,687	)
Other income (loss)		2,226			(3	)		—			2,223

Total revenues (expenses)		165,546			4,216			(47,341	)		122,421

Losses and expenses
Losses and loss adjustment expenses		318,551			(631	)		—			317,920
Amortization of deferred policy acquisition costs		4,163			—			—			4,163
Other underwriting and operating expenses		25,487			1,269			1,276			28,032
Interest expense		2,175			—			10,072			12,247

Total losses and expenses		350,376			638			11,348			362,362

(Loss) income before income taxes		(184,830	)		3,578			(58,689	)		(239,941	)
Income tax benefit		(69,195	)		(1,045	)		(19,141	)		(89,381	)

Net (loss) income	$	(115,635	)	$	4,623		$	(39,548	)	$	(150,560	)

Loss ratio ⁽⁹⁾		218.4	%
Expense ratio⁽⁹⁾		21.0	%
Combined ratio		239.4	%

Page 6

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS RESULTS OF OPERATIONS - SIX MONTHS ENDED JUNE 30, 2011 AND 2010


	U.S. Mortgage Insurance Operations ⁽⁶⁾			International Operations⁽⁷⁾			Corporate and Other⁽⁸⁾			Consolidated Total
	Six Months Ended June 30, 2011 (Unaudited)
	*(Dollars in thousands)*
Net premiums written	$	250,131		$	(373	)	$	—		$	249,758

Revenues
Premiums earned	$	244,560		$	1,349		$	—		$	245,909
Net gain from credit default swaps		—			1,614			—			1,614
Net investment income		32,055			1,257			247			33,559
Equity in (losses) earnings from unconsolidated subsidiaries ⁽¹⁾		(2,795	)		—			63			(2,732	)
Net realized investment gains (losses)		977			(863	)		(1	)		113
Change in fair value of certain debt instruments ⁽²⁾		—			—			97,281			97,281
Other income (loss)		3,699			—			(1	)		3,698

Total revenues		278,496			3,357			97,589			379,442

Losses and expenses
Losses and loss adjustment expenses		668,629			13,667			—			682,296
Amortization of deferred policy acquisition costs		8,623			—			—			8,623
Other underwriting and operating expenses		48,817			2,448			2,253			53,518
Interest expense		6,436			—			20,652			27,088

Total losses and expenses		732,505			16,115			22,905			771,525

(Loss) income from continuing operations before income taxes		(454,009	)		(12,758	)		74,684			(392,083	)
Income tax expense (benefit) from continuing operations		20,648			262			(883	)		20,027

(Loss) income from continuing operations		(474,657	)		(13,020	)		75,567			(412,110	)
Gain on sale of discontinued operations, net of taxes ⁽³⁾		—			150,520			—			150,520

Net (loss) income	$	(474,657	)	$	137,500		$	75,567		$	(261,590	)

Loss ratio ⁽⁹⁾		273.4	%
Expense ratio⁽⁹⁾		23.0	%
Combined ratio		296.4	%

	Six Months Ended June 30, 2010 (Unaudited)
	*(Dollars in thousands)*
Net premiums written	$	292,327		$	935		$	—		$	293,262

Revenues
Premiums earned	$	297,475		$	2,637		$	—		$	300,112
Net gain from credit default swaps		—			2,180			—			2,180
Net investment income		46,363			3,925			261			50,549
Equity in losses from unconsolidated subsidiaries ⁽¹⁾		(8,145	)		—			(182	)		(8,327	)
Net realized investment gains		7,169			385			276			7,830
Change in fair value of certain debt instruments ⁽²⁾		—			—			(88,500	)		(88,500	)
Other income		2,225			3			—			2,228

Total revenues (expenses)		345,087			9,130			(88,145	)		266,072

Losses and expenses
Losses and loss adjustment expenses		660,088			121			—			660,209
Amortization of deferred policy acquisition costs		8,039			—			—			8,039
Other underwriting and operating expenses		55,577			3,069			3,346			61,992
Interest expense		2,249			—			19,521			21,770

Total losses and expenses		725,953			3,190			22,867			752,010

(Loss) income before income taxes		(380,866	)		5,940			(111,012	)		(485,938	)
Income tax (benefit) expense		(143,448	)		1,300			(36,243	)		(178,391	)

Net (loss) income	$	(237,418	)	$	4,640		$	(74,769	)	$	(307,547	)

Loss ratio ⁽⁹⁾		221.9	%
Expense ratio⁽⁹⁾		21.8	%
Combined ratio		243.7	%

Page 7

THE PMI GROUP, INC. AND SUBSIDIARIES

BUSINESS SEGMENTS BALANCE SHEETS


	U.S. Mortgage Insurance Operations ⁽⁶⁾		International Operations⁽⁷⁾		Corporate and Other⁽⁸⁾			Consolidated Total
	June 30, 2011 (Unaudited)
	*(Dollars in thousands)*
Assets
Investments:
Fixed income securities	$	2,446,040	$	90,356	$	1,875		$	2,538,271
Equity securities:
Common		23,539		—		—			23,539
Preferred		74,516		—		—			74,516
Short term investments		6,789		24		—			6,813

Total investments	$	2,550,884	$	90,380	$	1,875		$	2,643,139
Cash and cash equivalents		152,124		36,253		70,925			259,302
Investments in unconsolidated subsidiaries		106,037		—		13,816			119,853
Reinsurance recoverables		391,974		—		—			391,974
Deferred policy acquisition costs		49,557		—		—			49,557
Property, equipment and software, net of accumulated depreciation and amortization		20,778		—		60,590			81,368
Deferred tax assets		44,804		—		—			44,804
Note receivable ⁽⁵⁾		—		—		206,569			206,569
Other assets (liabilities)		242,342		1,485		(25,923	)		217,904

Total assets	$	3,558,500	$	128,118	$	327,852		$	4,014,470

Liabilities
Reserve for losses and loss adjustment expenses	$	2,960,472	$	34,323	$	—		$	2,994,795
Reserve for premium refunds		110,785		—		—			110,785
Unearned premiums		65,464		2,649		—			68,113
Debt⁽¹⁰⁾		285,000		—		237,128			522,128
Other liabilities		124,158		1,129		2,855			128,142

Total liabilities		3,545,879		38,101		239,983			3,823,963

Shareholders’ equity		12,621		90,017		87,869			190,507

Total liabilities and shareholders’ equity	$	3,558,500	$	128,118	$	327,852		$	4,014,470


	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⁽¹⁰⁾		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 8

THE PMI GROUP, INC. AND SUBSIDIARIES

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


	2011									2010
	6/30/2011			3/31/2011			Total			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total
	*(Dollars in thousands)*									*(Dollars in thousands)*
Income Statement Components - Quarter Ended
Revenues
Premiums written:
Direct premiums written, net of refunds	$	150,603		$	151,064		$	301,667		$	168,237		$	168,200		$	173,245		$	184,877		$	694,559
Ceded premiums, net of assumed		(24,620	)		(26,916	)		(51,536	)		(27,990	)		(30,903	)		(31,856	)		(33,939	)		(124,688	)

Net premiums written		125,983			124,148			250,131			140,247			137,297			141,389			150,938			569,871
Change in unearned premiums		(467	)		(5,104	)		(5,571	)		(4,142	)		(459	)		4,458			690			547

Premiums earned	$	125,516		$	119,044		$	244,560		$	136,105		$	136,838		$	145,847		$	151,628		$	570,418
Net investment income		15,995			16,060			32,055			11,961			15,522			21,330			25,033			73,846
Equity in losses from unconsolidated subsidiaries ⁽¹⁾		(1,343	)		(1,452	)		(2,795	)		(6,375	)		(2,912	)		(3,856	)		(4,289	)		(17,432	)
Net realized investment gains (losses)		1,051			(74	)		977			5,596			82,487			(1	)		7,170			95,252
Other income		1,782			1,917			3,699			2,077			2,208			2,226			(1	)		6,510

Total revenues		143,001			135,495			278,496			149,364			234,143			165,546			179,541			728,594

Losses and expenses
Losses and loss adjustment expenses		429,635			238,994			668,629			281,381			315,323			318,551			341,537			1,256,792
Amortization of deferred policy acquisition costs		4,467			4,156			8,623			5,763			4,637			4,163			3,876			18,439
Other underwriting and operating expenses		23,785			25,032			48,817			25,473			26,363			25,487			30,090			107,413
Interest expense		3,213			3,223			6,436			3,169			3,193			2,175			74			8,611

Total losses and expenses		461,100			271,405			732,505			315,786			349,516			350,376			375,577			1,391,255

Loss before income taxes		(318,099	)		(135,910	)		(454,009	)		(166,422	)		(115,373	)		(184,830	)		(196,036	)		(662,661	)
Income tax expense (benefit)		20,272			376			20,648			2,625			136,181			(69,195	)		(74,253	)		(4,642	)

Net loss	$	(338,371	)	$	(136,286	)	$	(474,657	)	$	(169,047	)	$	(251,554	)	$	(115,635	)	$	(121,783	)	$	(658,019	)

Loss ratio ⁽⁹⁾		342.3	%		200.8	%		273.4	%		206.7	%		230.4	%		218.4	%		225.2	%		220.3	%
Expense ratio⁽⁹⁾		22.4	%		23.5	%		23.0	%		22.3	%		22.6	%		21.0	%		22.5	%		22.1	%
Combined ratio		364.7	%		224.3	%		296.4	%		229.0	%		253.0	%		239.4	%		247.7	%		242.4	%

Page 9

THE PMI GROUP, INC. AND SUBSIDIARIES

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


	6/30/2011		3/31/2011		12/31/2010		9/30/2010		6/30/2010		3/31/2010
	*(Dollars in thousands)*				*(Dollars in thousands)*
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income securities	$	2,446,040	$	2,527,434	$	2,503,680	$	1,943,073	$	2,055,974	$	1,940,169
Equity securities:
Common		23,539		27,235		30,664		26,562		28,877		31,840
Preferred		74,516		113,492		120,421		126,276		163,823		172,776
Short term investments		6,789		17,535		17,843		438		1,117		1,610

Total investments	$	2,550,884	$	2,685,696	$	2,672,608	$	2,096,349	$	2,249,791	$	2,146,395
Cash and cash equivalents		152,124		107,895		158,072		947,281		879,292		772,382
Investments in unconsolidated subsidiaries		106,037		105,331		106,470		117,545		117,858		120,391
Reinsurance recoverables		391,974		439,324		459,671		522,116		613,646		666,298
Deferred policy acquisition costs		49,557		48,115		46,372		46,115		44,519		42,642
Property, equipment and software, net of accumulated depreciation and amortization		20,778		21,749		22,769		25,891		28,775		31,829
Deferred tax assets		44,804		62,297		61,349		95,137		223,552		157,466
Other assets		242,342		208,476		263,019		353,087		342,700		270,521

Total assets	$	3,558,500	$	3,678,883	$	3,790,330	$	4,203,521	$	4,500,133	$	4,207,924

Liabilities
Reserve for losses and loss adjustment expenses	$	2,960,472	$	2,860,635	$	2,846,580	$	2,894,198	$	2,993,198	$	3,171,564
Reserve for premium refunds		110,785		106,535		88,696		88,314		86,566		83,997
Unearned premiums		65,464		65,155		60,227		56,327		56,150		60,816
Debt ⁽¹⁰⁾		285,000		285,000		285,000		285,000		285,000		—
Other liabilities		124,158		143,238		154,099		266,189		195,522		223,909

Total liabilities		3,545,879		3,460,563		3,434,602		3,590,028		3,616,436		3,540,286

Shareholders’ equity		12,621		218,320		355,728		613,493		883,697		667,638

Total liabilities and shareholders’ equity	$	3,558,500	$	3,678,883	$	3,790,330	$	4,203,521	$	4,500,133	$	4,207,924

Page 10

THE PMI GROUP, INC. AND SUBSIDIARIES

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


	2011									2010
	6/30/2011			3/31/2011			Total			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total
	*(Dollars in millions)*									*(Dollars in millions)*
New Insurance Written
Flow insurance written	$	1,426		$	1,471		$	2,897		$	2,214		$	2,004		$	1,567		$	964		$	6,749
Primary new risk written	$	359		$	352		$	711		$	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	%		0	%		0	%
95.01% to 97% LTV’s		1	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%
90.01% to 95% LTV’s		43	%		36	%		40	%		33	%		30	%		29	%		26	%		30	%
85.01% to 90% LTV’s		43	%		47	%		45	%		47	%		52	%		54	%		55	%		51	%
85% and below		13	%		17	%		15	%		20	%		18	%		17	%		19	%		19	%
Less than A quality loans		0	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%
Alt-A loans		0	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%
Interest only loans		0	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%
Payment option ARMS		0	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%
ARMs		0	%		0	%		0	%		0	%		0	%		0	%		0	%		0	%
Monthlies		73	%		65	%		69	%		67	%		72	%		79	%		84	%		73	%
Refinances		17	%		36	%		27	%		47	%		37	%		20	%		33	%		36	%
Structured transactions		0	%		0	%		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	%		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	%		0.0	%		0.0	%
Percentage of primary IIF subject to captive reinsurance arrangements		38.0	%		39.4	%		38.0	%		40.4	%		44.1	%		44.8	%		45.6	%		40.4	%
Percentage of primary RIF subject to captive reinsurance arrangements		38.8	%		40.3	%		38.8	%		41.3	%		45.2	%		45.8	%		46.6	%		41.3	%

Page 11

THE PMI GROUP, INC. AND SUBSIDIARIES

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


	2011									2010
	6/30/2011			3/31/2011			Total ⁽¹⁵⁾			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total ⁽¹⁵⁾
	*(Dollars in millions, except loan size)*									*(Dollars in millions, except loan size)*
Primary Insurance and Risk-in-Force
Primary insurance in force
Flow	$	85,120		$	87,084		$	85,120		$	88,928		$	91,219		$	93,453		$	95,539		$	88,928
Structured transactions		11,802			12,251			11,802			12,782			13,345			14,118			14,731			12,782

Total	$	96,922		$	99,335		$	96,922		$	101,710		$	104,564		$	107,571		$	110,270		$	101,710

Primary risk-in-force
Flow	$	20,972		$	21,423		$	20,972		$	21,864		$	22,444		$	22,999		$	23,510		$	21,864
Structured transactions		2,772			2,869			2,772			2,992			3,124			3,305			3,447			2,992

Total	$	23,744		$	24,292		$	23,744		$	24,856		$	25,568		$	26,304		$	26,957		$	24,856

Pool risk-in-force ⁽¹¹⁾	$	575		$	591		$	575		$	606		$	624		$	828		$	884		$	606
Primary risk-in-force - credit score distribution
Total
620 or above		93.5	%		93.5	%		93.5	%		93.5	%		93.4	%		93.4	%		93.3	%		93.5	%
619-575		4.8	%		4.8	%		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	%		1.7	%		1.7	%
Primary average loan size (in thousands)
Flow	$	163.3		$	162.8		$	163.3		$	162.4		$	162.3		$	162.0		$	161.6		$	162.4
Structured transactions	$	156.1		$	156.6		$	156.1		$	156.5		$	156.7		$	158.3		$	158.7		$	156.5
Total	$	162.4		$	162.0		$	162.4		$	161.7		$	161.5		$	161.5		$	161.2		$	161.7
Persistency⁽¹²⁾
Primary persistency rate		83.5	%		83.5	%		83.5	%		83.5	%		84.7	%		85.6	%		84.9	%		83.5	%
Risk-to-capital ratio⁽¹³⁾		58.1 to 1	(A)		24.4 to 1			58.1 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 ⁽¹⁴⁾(deficit) excess	$	(320.3	) (A)	$	39.2		$	(320.3	) (A)	$	184.3		$	332.1		$	415.5		$	(57.4	)	$	184.3

(A)	Preliminary.

Page 12

THE PMI GROUP, INC. AND SUBSIDIARIES

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


	6/30/2011						12/31/2010						6/30/2010
	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	$	281			1.2	%	$	331			1.3	%	$	385			1.5	%
2000		73			0.3	%		81			0.3	%		92			0.4	%
2001		246			1.0	%		281			1.1	%		319			1.2	%
2002		549			2.3	%		621			2.5	%		697			2.7	%
2003		1,526			6.4	%		1,713			6.9	%		1,921			7.3	%
2004		1,821			7.7	%		1,970			7.9	%		2,149			8.2	%
2005		2,712			11.4	%		2,902			11.7	%		3,196			12.1	%
2006		3,334			14.0	%		3,603			14.5	%		3,980			15.1	%
2007		6,182			26.0	%		6,652			26.8	%		7,300			27.8	%
2008		3,356			14.1	%		3,586			14.4	%		3,934			15.0	%
2009		1,518			6.4	%		1,615			6.5	%		1,754			6.6	%
2010		1,446			6.2	%		1,501			6.1	%		577			2.1	%
2011		700			3.0	%		—			0.0	%		—			0.0	%

Total	$	23,744					$	24,856					$	26,304


	6/30/2011						12/31/2010						6/30/2010
	% 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 6/30/11 RIF)
Florida		9.4	%		40.0	%		9.6	%		40.6	%		9.9	%		40.8	%
Texas		8.2	%		10.1	%		8.0	%		11.5	%		7.7	%		11.9	%
California		7.4	%		26.6	%		7.4	%		29.5	%		7.6	%		33.8	%
Illinois		5.2	%		23.8	%		5.2	%		24.6	%		5.2	%		24.9	%
Georgia		4.6	%		19.2	%		4.6	%		20.6	%		4.7	%		22.2	%
New York		4.1	%		20.2	%		4.1	%		20.4	%		4.0	%		19.6	%
Ohio		4.0	%		16.5	%		4.0	%		17.2	%		3.9	%		17.0	%
Pennsylvania		3.5	%		15.3	%		3.5	%		15.8	%		3.4	%		15.1	%
New Jersey		3.4	%		26.3	%		3.3	%		25.4	%		3.3	%		24.9	%
Washington		3.3	%		18.4	%		3.3	%		17.8	%		3.3	%		17.1	%



	2011						2010
	6/30/2011			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)		19.0	%		19.3	%		19.5	%		19.9	%		20.2	%		20.4	%
95.01% to 97% LTV’s		3.9	%		3.9	%		4.0	%		4.0	%		4.0	%		4.0	%
90.01% to 95% LTV’s		31.8	%		31.4	%		31.1	%		30.8	%		30.6	%		30.5	%
85.01% to 90% LTV’s		38.4	%		38.5	%		38.5	%		38.4	%		38.2	%		38.1	%
85% and below		6.9	%		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)		6.4	%		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	%		1.7	%
Alt-A Loans:
With FICO scores of 660 and above		12.8	%		13.0	%		13.3	%		13.7	%		14.2	%		14.6	%
With FICO scores below 660 and above 619		1.9	%		2.0	%		2.0	%		2.0	%		2.1	%		2.2	%

Total Alt-A Loans		14.7	%		15.0	%		15.3	%		15.7	%		16.3	%		16.8	%
ARMs ^(B)		7.6	%		7.8	%		8.0	%		8.3	%		8.7	%		9.1	%
Interest Only ^(C)		9.4	%		9.6	%		9.8	%		10.1	%		10.5	%		10.8	%
Payment Option ARMs		2.3	%		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 13

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS DEFAULT INFORMATION (1)


	2011									2010
	6/30/2011			3/31/2011			Total ⁽¹⁵⁾			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total ⁽¹⁵⁾
	*(Dollars in millions, except claim size)*									*(Dollars in millions, except claim size)*
Primary delinquent roll forward
Beginning delinquent inventory		119,748			127,478			127,478			131,891			138,431			147,248			150,925			150,925
Plus: New notices		22,796			24,754			47,550			28,664			29,715			28,597			34,268			121,244
Less: Cures		(19,593	)		(25,540	)		(45,133	)		(24,236	)		(25,998	)		(28,008	)		(29,565	)		(107,807	)
Less: Claims paid (A)		(6,320	)		(5,866	)		(12,186	)		(7,614	)		(9,079	)		(8,284	)		(6,892	)		(31,869	)
Less: Rescissions		(889	)		(1,078	)		(1,967	)		(1,227	)		(1,178	)		(1,122	)		(1,488	)		(5,015	)

Ending delinquent inventory		115,742			119,748			115,742			127,478			131,891			138,431			147,248			127,478
Claims paid
Primary claims paid - flow	$	283.3		$	181.4		$	464.7		$	255.7		$	335.6		$	311.3		$	226.2		$	1,128.8
Primary claims paid - structured transactions		53.9			49.5			103.4			66.1			68.8			62.2			74.2			271.3
Ceded claims, supplemental and other ⁽¹⁶⁾		(87.1	)		(57.8	)		(144.9	)		(90.6	)		(140.9	)		(98.6	)		(64.0	)		(394.1	)

Total primary claims paid		250.1			173.1			423.2			231.2			263.5			274.9			236.4			1,006.0
Total pool and other (B)		17.6			16.6			34.2			18.6			45.2			156.9			21.4			242.1

Total claims paid		267.7			189.7			457.4			249.8			308.7			431.8			257.8			1,248.1
Loss adjustment expenses		14.7			14.9			29.6			16.8			14.0			12.5			13.2			56.5

Total claims paid including loss adjustment expenses	$	282.4		$	204.6		$	487.0		$	266.6		$	322.7		$	444.3		$	271.0		$	1,304.6
Average primary claim size (in thousands)	$	40.5		$	29.5		$	35.2		$	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)	$	54.6		$	52.2		$	53.6		$	55.4		$	52.1		$	51.4		$	50.3		$	52.2
Loss severity ⁽¹⁷⁾ - primary (quarterly)
Flow		83.1	%		56.7	%		70.3	%		72.6	%		85.9	%		87.7	%		85.4	%		82.8	%
Structured transactions		89.3	%		69.6	%		78.7	%		94.9	%		84.3	%		74.2	%		60.0	%		75.6	%
Total		84.0	%		59.0	%		71.7	%		76.3	%		85.6	%		85.1	%		77.4	%		81.3	%
Loss severity excluding claim denials ⁽¹⁷⁾ - primary (quarterly)
Flow		103.8	%		105.5	%		104.4	%		107.3	%		106.6	%		106.4	%		106.0	%		106.6	%
Structured transactions		105.2	%		105.0	%		105.1	%		104.9	%		105.7	%		105.7	%		106.5	%		105.7	%
Total		104.0	%		105.4	%		104.5	%		106.8	%		106.5	%		106.3	%		106.1	%		106.4	%
Delinquent risk-in-force rescinded per quarter	$	65.5		$	77.3		$	142.8		$	93.2		$	85.3		$	78.7		$	109.2		$	366.4
Claim denials per quarter - delinquent risk-in-force	$	153.3		$	192.8		$	346.1		$	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 14

THE PMI GROUP, INC. AND SUBSIDIARIES

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


	2011										2010
	6/30/2011					3/31/2011					12/31/2010					9/30/2010					6/30/2010					3/31/2010
	*(Dollars in millions)*										*(Dollars in millions)*
Primary loans, defaults and default rates
Primary policies in force		596,920					613,251					629,154					647,319					666,204					683,888
Loans in default by payment status:
2 - 3 payments in default		22,223		19	%		22,608		19	%		28,077		22	%		28,922		22	%		28,835		21	%		30,922		21	%
4 - 11 payments in default		30,505		26	%		35,357		29	%		38,909		31	%		42,592		32	%		50,246		36	%		59,669		41	%
12 payments or more in default		63,014		55	%		61,783		52	%		60,492		47	%		60,377		46	%		59,350		43	%		56,657		38	%

Primary loans in default		115,742		100	%		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	$	133.7				$	123.9				$	160.0				$	153.9				$	156.6				$	156.0
4 - 11 payments in default		574.6					589.1					662.5					761.6					875.5					972.3
12 payments or more in default		2,087.3					1,977.2					1,848.2					1,800.1					1,777.7					1,712.1

Primary loans in default	$	2,795.6				$	2,690.2				$	2,670.7				$	2,715.6				$	2,809.8				$	2,840.4
Primary default rate		19.39	%				19.53	%				20.26	%				20.37	%				20.78	%				21.53	%
Flow only default rate		18.34	%				18.39	%				19.05	%				19.21	%				19.66	%				20.41	%
Structured transactions only default rate		26.61	%				27.28	%				28.38	%				28.08	%				28.03	%				28.64	%
Pool default rate		14.28	%				14.41	%				15.60	%				15.40	%				15.20	%				16.46	%
Primary default rates by loan type (B)
Alt-A loans		38.81	%				39.61	%				40.41	%				41.27	%				42.41	%				43.85	%
Less than A quality loans		35.38	%				35.05	%				37.62	%				37.38	%				37.56	%				38.86	%
Above 97s		24.86	%				24.85	%				26.28	%				26.32	%				26.87	%				28.07	%
ARMs (excluding 2/28 Hybrid ARMs)		40.88	%				41.17	%				41.83	%				41.65	%				41.97	%				42.33	%
2/28 Hybrid ARMs		50.83	%				51.22	%				52.73	%				53.50	%				50.14	%				51.32	%
Payment option ARMs		53.82	%				53.22	%				53.06	%				52.60	%				53.24	%				53.71	%
Interest Only		39.04	%				40.10	%				40.94	%				41.97	%				42.78	%				44.30	%
Primary reserves for losses and LAE by loan type (A) (B)
Alt-A loans	$	876.4				$	846.4				$	872.7				$	909.1				$	978.3				$	1,007.5
Less than A quality loans		278.4					272.2					281.8					282.0					287.6					296.7
Above 97s		683.8					652.5					645.5					661.1					685.6					698.0
ARMs (excluding 2/28 Hybrid ARMs)		390.7					377.1					388.2					401.3					426.5					444.6
2/28 Hybrid ARMs		99.2					103.7					118.2					120.7					124.1					127.8
Payment option ARMs		177.0					181.8					184.7					192.3					209.1					221.4
Interest Only		512.7					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 15

THE PMI GROUP, INC. AND SUBSIDIARIES

U.S. MORTGAGE INSURANCE OPERATIONS ANALYSIS OF LOSS RESERVES


	2011						2010
	6/30/2011			3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010
	*(Dollars in millions)*						*(Dollars in millions)*
Loss Reserve Analysis
Beginning reserves for losses and LAE,	$	2,860.6		$	2,846.6		$	2,894.2		$	2,993.2		$	3,171.6		$	3,138.3
Reinsurance recoverables		(439.3	)		(459.7	)		(522.1	)		(613.6	)		(666.3	)		(703.6	)

Net balance at beginning of the period		2,421.3			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		187.0			177.4			242.2			192.5			201.3			291.0
Prior years		242.6			61.6			39.2			122.8			117.3			50.5

Total incurred		429.6			239.0			281.4			315.3			318.6			341.5
Loss and LAE payments (principally with respect to defaults occurring in):
Current year		(1.2	)		—			(26.5	)		(10.7	)		1.0			(3.3	)
Prior years		(281.2	)		(204.6	)		(240.1	)		(312.1	)		(445.3	)		(267.6	)

Total payments		(282.4	)		(204.6	)		(266.6	)		(322.8	)		(444.3	)		(270.9	)
Net ending balance		2,568.5			2,421.3			2,386.9			2,372.1			2,379.6			2,505.3
Reinsurance recoverables ^(A)		392.0			439.3			459.7			522.1			613.6			666.3

Ending reserves for losses and LAE	$	2,960.5		$	2,860.6		$	2,846.6		$	2,894.2		$	2,993.2		$	3,171.6


	6/30/2011				3/31/2011				12/31/2010				9/30/2010				6/30/2010
	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		10,533	$	128,406		10,847	$	124,930		11,782	$	126,099		12,131	$	138,897		13,641	$	149,231
2003		10,399		149,481		10,679		141,816		11,478		141,230		12,034		143,230		12,965		147,265
2004		12,523		240,073		12,805		228,319		13,470		219,518		13,742		212,702		13,971		205,279
2005		17,630		431,928		17,973		411,419		18,853		404,035		19,153		395,825		19,898		402,871
2006		27,550		665,155		28,707		644,469		31,210		667,350		32,417		673,665		33,984		700,143
2007		39,860		1,057,455		41,873		1,029,884		45,311		1,032,115		47,350		1,069,087		50,169		1,120,839
2008		9,680		271,353		9,968		265,413		10,321		245,205		10,477		251,548		10,961		259,454
2009		677		15,639		630		13,767		620		10,705		547		9,118		474		8,059
2010		49		947		34		615		22		323		10		126		8		57
2011		4		35		1		3		—		—		—		—		—		—

Total Loss Reserves		128,905	$	2,960,472		133,517	$	2,860,635		143,067	$	2,846,580		147,861	$	2,894,198		156,071	$	2,993,198


	6/30/2011				3/31/2011				12/31/2010				9/30/2010				6/30/2010
	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		115,742	$	2,795.6		119,748	$	2,690.2		127,478	$	2,670.7		131,891	$	2,715.6		138,431	$	2,809.8
Pool insurance ^{(11) (B)}		13,163		144.4		13,769		149.9		15,589		155.4		15,970		158.1		17,640		162.6
Surety ^(C)		—		20.5		—		20.5		—		20.5		—		20.5		—		20.8

Total		128,905	$	2,960.5		133,517	$	2,860.6		143,067	$	2,846.6		147,861	$	2,894.2		156,071	$	2,993.2

(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.

(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 16

THE PMI GROUP, INC. AND SUBSIDIARIES

CMG MORTGAGE INSURANCE COMPANY STATISTICAL INFORMATION


	2011									2010
	6/30/2011			3/31/2011			Total ⁽¹⁵⁾			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total ⁽¹⁵⁾
	*(Dollars in millions, except claims paid and claim size)*												*(Dollars in millions, except claims paid and claim size)*
Primary new insurance written	$	481		$	584		$	1,065		$	794		$	669		$	530		$	304		$	2,297
Primary insurance in force	$	20,264		$	20,523		$	20,264		$	20,785		$	21,092		$	21,351		$	21,578		$	20,785
Primary risk-in-force	$	4,957		$	5,012		$	4,957		$	5,073		$	5,153		$	5,217		$	5,263		$	5,073
Policies in force		124,369			126,224			124,369			128,129			130,217			132,225			133,886			128,129
Primary loans in default		6,623			7,073			6,623			7,533			7,367			7,282			7,168			7,533
Primary default rate		5.33	%		5.60	%		5.33	%		5.88	%		5.66	%		5.51	%		5.35	%		5.88	%
Persistency		83.1	%		83.2	%		83.1	%		84.2	%		86.3	%		87.0	%		85.6	%		84.2	%
Primary claims paid (in thousands)	$	33,364		$	29,425		$	62,789		$	32,030		$	40,161		$	28,299		$	20,463		$	120,953
Number of primary claims paid		703			599			1,302			630			849			586			470			2,535
Average primary claim size (in thousands)	$	47.5		$	49.1		$	48.2		$	50.8		$	47.3		$	48.3		$	43.5		$	47.7

Page 17

THE PMI GROUP, INC. AND SUBSIDIARIES

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


	2011									2010
	6/30/2011			3/31/2011			Total			12/31/2010			9/30/2010			6/30/2010			3/31/2010		Total
	*(U.S. dollars in thousands)*									*(U.S. dollars in thousands)*
Income Statement Components - Quarter Ended
Revenues
Premiums earned	$	87		$	1,262		$	1,349		$	3,072		$	1,245		$	1,235		$	1,402	$	6,954
Net gains from credit default swaps		830			784			1,614			3,859			2,249			462			1,718		8,288
Net investment income (loss)		727			530			1,257			1,867			(2,032	)		2,400			1,525		3,760
Net realized investment (losses) gains		(856	)		(7	)		(863	)		(60	)		664			122			263		989
Other (loss) income		(3	)		3			—			—			1			(3	)		6		4

Total revenues		785			2,572			3,357			8,738			2,127			4,216			4,914		19,995

Losses and expenses
Losses and loss adjustment expenses		11,551			2,116			13,667			(914	)		(2,287	)		(631	)		752		(3,080	)
Other underwriting and operating expenses		1,018			1,430			2,448			1,037			1,126			1,269			1,800		5,232

Total losses and expenses		12,569			3,546			16,115			123			(1,161	)		638			2,552		2,152

(Loss) income from continuing operations before income taxes		(11,784	)		(974	)		(12,758	)		8,615			3,288			3,578			2,362		17,843
Income tax expense (benefit) from continuing operations		262			—			262			—			641			(1,045	)		2,345		1,941

(Loss) income from continuing operations		(12,046	)		(974	)		(13,020	)		8,615			2,647			4,623			17		15,902
Gain on sale of discontinued operations, net of taxes⁽³⁾		150,520			—			150,520			—			—			—			—		—

Net income (loss)	$	138,474		$	(974	)	$	137,500		$	8,615		$	2,647		$	4,623		$	17	$	15,902


	6/30/2011		3/31/2011		12/31/2010		9/30/2010		6/30/2010		3/31/2010
	*(U.S. dollars in thousands)*				*(U.S. dollars in thousands)*
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income and equity securities	$	90,380	$	143,745	$	145,718	$	117,717	$	127,262	$	150,633
Cash and cash equivalents		36,253		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		1,485		7,159		6,895		7,108		13,480		9,602

Total assets	$	128,118	$	264,641	$	262,676	$	203,087	$	194,046	$	199,078

Liabilities
Reserve for losses and loss adjustment expenses	$	34,323	$	25,805	$	23,185	$	32,654	$	33,178	$	38,182
Unearned premiums		2,649		3,857		4,071		7,163		7,358		9,050
Other liabilities		1,129		6,258		6,920		13,934		14,584		32,438

Total liabilities		38,101		35,920		34,176		53,751		55,120		79,670

Shareholders’ equity		90,017		228,721		228,500		149,336		138,926		119,408

Total liabilities and shareholders’ equity	$	128,118	$	264,641	$	262,676	$	203,087	$	194,046	$	199,078

Page 18

THE PMI GROUP, INC. AND SUBSIDIARIES

PMI EUROPE QUARTERLY FINANCIAL INFORMATION


	2011									2010
	6/30/2011			3/31/2011			Total			12/31/2010			9/30/2010			6/30/2010			3/31/2010		Total
	*(U.S. dollars in thousands, unless otherwise noted)*									*(U.S. dollars in thousands, unless otherwise noted)*
Income Statement Components - Quarter Ended
Net premiums written	$	(1,199	)	$	826		$	(373	)	$	105		$	312		$	347		$	603	$	1,367

Revenues
Premiums earned	$	41		$	1,142		$	1,183		$	2,852		$	1,019		$	1,082		$	1,270	$	6,223
Net gains from credit default swaps		830			784			1,614			3,859			2,249			462			1,718		8,288
Net investment income (loss)		686			463			1,149			1,795			(2,103	)		2,322			1,428		3,442
Net realized investment (losses) gains		(927	)		(7	)		(934	)		302			664			(25	)		415		1,356

Total revenues		630			2,382			3,012			8,808			1,829			3,841			4,831		19,309

Losses and expenses
Losses and loss adjustment expenses		12,109			1,007			13,116			(1,410	)		(2,556	)		(731	)		439		(4,258	)
Other underwriting and operating expenses		955			1,210			2,165			842			1,066			1,003			1,538		4,449

Total losses and expenses		13,064			2,217			15,281			(568	)		(1,490	)		272			1,977		191

(Loss) income before income taxes		(12,434	)		165			(12,269	)		9,376			3,319			3,569			2,854		19,118
Income tax expense (benefit)		262			—			262			—			642			(1,045	)		2,345		1,942

Net (loss) income	$	(12,696	)	$	165		$	(12,531	)	$	9,376		$	2,677		$	4,614		$	509	$	17,176

Net (loss) income (Euros in thousands)	€	(9,039	)	€	120		€	(8,919	)	€	7,020		€	2,069		€	3,490		€	368	€	12,947

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


	6/30/2011		3/31/2011		12/31/2010		9/30/2010		6/30/2010		3/31/2010
	*(U.S. dollars in thousands)*				*(U.S. dollars in thousands)*
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income securities	$	79,258	$	127,011	$	128,134	$	100,282	$	110,100	$	132,829
Cash and cash equivalents		35,540		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		7,592		13,049		12,109		12,104		18,273		10,775

Total assets	$	122,390	$	171,157	$	168,009	$	182,751	$	173,851	$	178,189

Liabilities
Reserve for losses and loss adjustment expenses	$	32,715	$	23,033	$	21,050	$	30,902	$	31,268	$	36,120
Unearned premiums		2,422		3,585		3,688		6,575		6,568		8,052
Other liabilities		1,046		5,871		6,504		13,572		14,393		32,130

Total liabilities		36,183		32,489		31,242		51,049		52,229		76,302

Shareholders’ equity (A)		86,207		138,668		136,767		131,702		121,622		101,887

Total liabilities and shareholders’ equity	$	122,390	$	171,157	$	168,009	$	182,751	$	173,851	$	178,189

(A)	During the second quarter of 2011, PMI Europe repatriated approximately $43 million in capital to MIC.

Page 19

THE PMI GROUP, INC. AND SUBSIDIARIES

PMI EUROPE STATISTICAL INFORMATION


	2011						2010
	6/30/2011		3/31/2011		Total ⁽¹⁵⁾		12/31/2010		9/30/2010		6/30/2010		3/31/2010		Total ⁽¹⁵⁾
	*(U.S. dollars in millions, except claims paid)*						*(U.S. dollars in millions, except claims paid)*
Insurance in force	$	3,773	$	5,069	$	3,773	$	5,110	$	8,544	$	8,534	$	9,350	$	5,110
Risk-in-force	$	539	$	669	$	539	$	674	$	1,999	$	1,889	$	2,092	$	674
Claims paid including credit default swaps (A) (in thousands)	$	623	$	725	$	1,348	$	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 20

THE PMI GROUP, INC. AND SUBSIDIARIES

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


	2011								2010
	6/30/2011			3/31/2011		Total			12/31/2010			9/30/2010			6/30/2010			3/31/2010			Total
	*(Dollars in thousands)*								*(Dollars in thousands)*
Income Statement Components - Quarter Ended
Revenues
Net investment income	$	115		$	132	$	247		$	138		$	147		$	131		$	130		$	546
Equity in (losses) earnings from unconsolidated subsidiaries		(90	)		153		63			5,514			(147	)		(61	)		(121	)		5,185
Net realized investment (losses) gains		(1	)		—		(1	)		(1	)		—			276			—			275
Change in fair value of certain debt instruments ⁽²⁾		75,625			21,656		97,281			(19,908	)		(5,125	)		(47,687	)		(40,813	)		(113,533	)
Other (loss) income		(1	)		—		(1	)		56			—			—			—			56

Total revenues (expenses)		75,648			21,941		97,589			(14,201	)		(5,125	)		(47,341	)		(40,804	)		(107,471	)

Losses and expenses
Other underwriting and operating expenses		1,036			1,217		2,253			(555	)		4,256			1,276			2,070			7,047
Interest expense		10,364			10,288		20,652			10,300			10,200			10,072			9,449			40,021

Total losses and expenses		11,400			11,505		22,905			9,745			14,456			11,348			11,519			47,068

Income (loss) before income taxes		64,248			10,436		74,684			(23,946	)		(19,581	)		(58,689	)		(52,323	)		(154,539	)
Income tax (benefit) expense		(883	)		—		(883	)		—			12,615			(19,141	)		(17,102	)		(23,628	)

Net income (loss)	$	65,131		$	10,436	$	75,567		$	(23,946	)	$	(32,196	)	$	(39,548	)	$	(35,221	)	$	(130,911	)


	6/30/2011			3/31/2011			12/31/2010			9/30/2010			6/30/2010			3/31/2010
	*(Dollars in thousands)*						*(Dollars in thousands)*
Balance Sheet Components - As of Quarter End
Assets
Investments:
Fixed income securities	$	1,875		$	1,864		$	1,832		$	1,960		$	1,906		$	2,054
Equity securities: common		—			—			—			—			—			288

Total investments	$	1,875		$	1,864		$	1,832		$	1,960		$	1,906		$	2,342
Cash and cash equivalents		70,925			71,415			81,120			80,451			95,961			50,956
Investments in unconsolidated subsidiaries		13,816			13,899			14,570			14,519			14,812			14,850
Property, equipment and software, net of accumulated depreciation and amortization		60,590			61,485			62,417			63,282			64,269			65,260
Deferred tax assets		—			—			—			39,812			52,506			69,159
Note receivable ⁽⁵⁾		206,569			—			—			—			—			—
Other (liabilities) assets		(25,923	)		(1,031	)		6,042			6,488			9,476			1,497

Total assets	$	327,852		$	147,632		$	165,981		$	206,512		$	238,930		$	204,064

Liabilities
Debt		237,128		$	304,859		$	331,158		$	303,453		$	303,043		$	424,570
Other liabilities (assets)		2,855			1,968			3,781			4,024			4,220			(10,887	)

Total liabilities		239,983			306,827			334,939			307,477			307,263			413,683

Shareholders’ equity (deficit)		87,869			(159,195	)		(168,958	)		(100,965	)		(68,333	)		(209,619	)

Total liabilities and shareholders’ equity (deficit)	$	327,852		$	147,632		$	165,981		$	206,512		$	238,930		$	204,064

Page 21

PMI GROUP INC - FORM 8-K - EX-99.2 - THE PMI GROUP, INC. SECOND QUARTER 2011 FINANCIAL SUPPLEMENT. - August 4, 2011

Attached files

PMI GROUP INC Reports