GlobeNewswire Inc | Nov 2, 2021 04:01PM EDT

November 02, 2021

EMERYVILLE, Calif., Nov. 02, 2021 (GLOBE NEWSWIRE) -- NMI Holdings, Inc. (Nasdaq: NMIH) today reported net income of $60.2 million, or $0.69 per diluted share, for the third quarter ended September 30, 2021, which compares to $57.5 million, or $0.65 per diluted share, in the second quarter ended June 30, 2021 and $38.2 million, or $0.45 per diluted share, in the third quarter ended September 30, 2020. Adjusted net income for the quarter was $61.8 million, or $0.71 per diluted share, which compares to $58.1 million, or $0.67 per diluted share, in the second quarter ended June 30, 2021 and $40.4 million, or $0.47 per diluted share, in the third quarter ended September 30, 2020. The non-GAAP financial measures adjusted net income, adjusted diluted earnings per share and adjusted return on equity are presented in this release to enhance the comparability of financial results between periods. See "Use of Non-GAAP Financial Measures" and our reconciliation of such measures to their most comparable GAAP measures, below.

Claudia Merkle, CEO of National MI, said, We delivered strong operating performance, significant growth in our high-quality insured portfolio and record financial results in the third quarter. Our credit performance continued to trend in a favorable direction, and we remain optimistic about the broad strength of the economy and resiliency of the housing market. We are an organization that is leading with impact, and believe we are well positioned to continue to support borrowers in need of down payment assistance, drive disciplined growth in our insurance in-force and deliver strong risk-adjusted returns going forward.

Selected third quarter 2021 highlights include:

-- Primary insurance-in-force at quarter end was $143.6 billion, up 5% from $136.6 billion in the second quarter and 37% compared to $104.5 billion in the third quarter of 2020 -- Net premiums earned were $113.6 million, up 2% compared to $110.9 million in the second quarter and 15% compared to $98.8 million in the third quarter of 2020 -- Underwriting and operating expenses were $34.7 million, including $1.3 million of costs incurred in connection with our CEO transition and $0.5 million of capital market transaction costs, compared to $34.7 million in the second quarter and $34.0 million in the third quarter of 2020 -- Insurance claims and claim expenses were $3.2 million, compared to $4.6 million in the second quarter and $15.7 million in the third quarter of 2020 -- Shareholders' equity was $1.5 billion at quarter end, equal to $17.68 per share, up 4% compared to $17.03 per share in the second quarter and 15% compared to $15.42 per share in the third quarter of 2020 -- Annualized return on equity for the quarter was 16.2% and annualized adjusted return on equity was 16.6% -- At quarter-end, total PMIERs available assets were $2.0 billion and net risk-based required assets were $1.4 billion

Quarter Quarter Quarter Change ^ Change ^ Ended Ended Ended (1) (1) 9/30/2021 6/30/2021 9/30/2020 Q/Q Y/YINSURANCE METRICS ($billions)Primary Insurance-in-Force 143.6 136.6 104.5 5 % 37 %New Insurance Written - NIW Monthly premium 16.9 19.4 16.5 (13 ) % 2 % Single premium 1.2 3.3 2.0 (63 ) % (38 ) % Total^ (2) 18.1 22.8 18.5 (21 ) % (2 ) % FINANCIAL HIGHLIGHTS (Unaudited, $millions, except per share amounts) Net Premiums Earned 113.6 110.9 98.8 2 % 15 %Insurance Claims and Claim 3.2 4.6 15.7 (31 ) % (80 ) %ExpensesUnderwriting and Operating 34.7 34.7 34.0 ? % 2 %ExpensesNet Income 60.2 57.5 38.2 5 % 58 %Adjusted Net Income 61.8 58.1 40.4 6 % 53 %Cash and Investments 2,152 2,062 1,884 4 % 14 %Shareholders' Equity 1,516 1,460 1,308 4 % 16 %Book Value per Share 17.68 17.03 15.42 4 % 15 %Loss Ratio 2.8 % 4.2 % 15.9 % Expense Ratio 30.5 % 31.3 % 34.4 %

(1)Percentages may not be replicated based on the rounded figures presented in the table.(2) Total may not foot due to rounding.

Conference Call and Webcast Details

The company will hold a conference call, which will be webcast live today, November 2, 2021, at 2:00 p.m. Pacific Time / 5:00 p.m. Eastern Time. The webcast will be available on the company's website, www.nationalmi.com, in the "Investor Relations" section. The conference call can also be accessed by dialing (888) 734-0328 in the U.S., or (914) 495-8578 internationally, and using Conference ID: 1091419 or by referencing NMI Holdings, Inc.

About NMI Holdings, Inc.

NMI Holdings, Inc. (NASDAQ: NMIH), is the parent company of National Mortgage Insurance Corporation (National MI), a U.S.-based, private mortgage insurance company enabling low down payment borrowers to realize home ownership while protecting lenders and investors against losses related to a borrower's default. To learn more, please visit www.nationalmi.com.

Cautionary Note Regarding Forward-Looking Statements

Certain statements contained in this press release or any other written or oral statements made by or on behalf of the Company in connection therewith may constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended (the "Securities Act"), Section 21E of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), and the U.S. Private Securities Litigation Reform Act of 1995 (the "PSLRA"). The PSLRA provides a "safe harbor" for any forward-looking statements. All statements other than statements of historical fact included in or incorporated by reference in this release are forward-looking statements, including any statements about our expectations, outlook, beliefs, plans, predictions, forecasts, objectives, assumptions or future events or performance. These statements are often, but not always, made through the use of words or phrases such as "anticipate," "believe," "can," "could," "may," "predict," "assume," "potential," "should," "will," "estimate," "plan," "project," "continuing," "ongoing," "expect," "intend" and similar words or phrases. All forward-looking statements are only predictions and involve estimates, known and unknown risks, assumptions and uncertainties that may turn out to be inaccurate and could cause actual results to differ materially from those expressed in them. Many risks and uncertainties are inherent in our industry and markets. Others are more specific to our business and operations. Important factors that could cause actual events or results to differ materially from those indicated in such statements include, but are not limited to: uncertainty relating to the COVID-19 pandemic and the measures taken by governmental authorities and other third parties to combat it, including their impact on the global economy, the U.S. housing, real estate, housing finance and mortgage insurance markets, and the Companys business, operations and personnel; changes in the business practices of Fannie Mae and Freddie Mac (collectively, the "GSEs"), including decisions that have the impact of decreasing or discontinuing the use of mortgage insurance as credit enhancement generally, or with first time homebuyers or on very high loan-to-value mortgages; our ability to remain an eligible mortgage insurer under the private mortgage insurer eligibility requirements ("PMIERs") and other requirements imposed by the GSEs, which they may change at any time; retention of our existing certificates of authority in each state and the District of Columbia ("D.C.") and our ability to remain a mortgage insurer in good standing in each state and D.C.; our future profitability, liquidity and capital resources; actions of existing competitors, including other private mortgage insurers and government mortgage insurers, such as the Federal Housing Administration, U.S. Department of Agriculture's Rural Housing Service and the U.S. Department of Veterans Affairs, and potential market entry by new competitors or consolidation of existing competitors; developments in the worlds financial and capital markets and our access to such markets, including reinsurance; adoption of new or changes to existing laws, rules and regulations that impact our business or financial condition directly or the mortgage insurance industry generally or their enforcement and implementation by regulators, including the implementation of the final rules defining and/or concerning "Qualified Mortgage" and "Qualified Residential Mortgage"; U.S, federal tax reform and other potential changes in tax law and their impact on us and our operations; legislative or regulatory changes to the GSEs' role in the secondary mortgage market or other changes that could affect the residential mortgage industry generally or mortgage insurance industry in particular; potential future lawsuits, investigations or inquiries or resolution of current lawsuits or inquiries; changes in general economic, market and political conditions and policies, interest rates, inflation and investment results or other conditions that affect the housing market or the markets for home mortgages or mortgage insurance; our ability to successfully execute and implement our capital plans, including our ability to access the capital, credit and reinsurance markets and to enter into, and receive approval of, reinsurance arrangements on terms and conditions that are acceptable to us, the GSEs and our regulators; our ability to implement our business strategy, including our ability to write mortgage insurance on high quality low-down payment residential mortgage loans, implement successfully and on a timely basis, complex infrastructure, systems, procedures, and internal controls to support our business and regulatory and reporting requirements of the insurance industry; our ability to attract and retain a diverse customer base, including the largest mortgage originators; failure of risk management or pricing or investment strategies; decrease in the length of time our insurance policies are in force; emergence of unexpected claim and coverage issues, including claims exceeding our reserves or amounts we had expected to experience; potential adverse impacts arising from natural disasters, including, with respect to affected areas, a decline in new business, adverse effects on home prices, and an increase in notices of default on insured mortgages; the inability of our counterparties, including third party reinsurers, to meet their obligations to us; failure to maintain, improve and continue to develop necessary information technology systems or the failure of technology providers to perform; and, our ability to recruit, train and retain key personnel. These risks and uncertainties also include, but are not limited to, those set forth under the heading "Risk Factors" detailed in Item 1A of Part I of our Annual Report on Form 10-K for the year ended December 31, 2020, as subsequently updated through other reports we file with the SEC. All subsequent written and oral forward-looking statements attributable to the Company or persons acting on its behalf are expressly qualified in their entirety by these cautionary statements. We caution you not to place undue reliance on any forward-looking statement, which speaks only as of the date on which it is made, and we undertake no obligation to publicly update or revise any forward-looking statement to reflect new information, future events or circumstances that occur after the date on which the statement is made or to reflect the occurrence of unanticipated events except as required by law.

Use of Non-GAAP Financial Measures

We believe the use of the non-GAAP measures of adjusted income before tax, adjusted net income, adjusted diluted EPS, adjusted return-on-equity, adjusted expense ratio and adjusted combined ratio enhances the comparability of our fundamental financial performance between periods, and provides relevant information to investors. These non-GAAP financial measures align with the way the company's business performance is evaluated by management. These measures are not prepared in accordance with GAAP and should not be viewed as alternatives to GAAP measures of performance. These measures have been presented to increase transparency and enhance the comparability of our fundamental operating trends across periods. Other companies may calculate these measures differently; their measures may not be comparable to those we calculate and present.

Adjusted income before tax is defined as GAAP income before tax, excluding the pre-tax effects of the gain or loss related to the change in fair value of our warrant liability, periodic costs incurred in connection with capital markets transactions, net realized gains or losses from our investment portfolio, and other infrequent, unusual or non-operating items in the periods in which such items are incurred.

Adjusted net income is defined as GAAP net income, excluding the after-tax effects of the gain or loss related to the change in fair value of our warrant liability, periodic costs incurred in connection with capital markets transactions, net realized gains or losses from our investment portfolio, and other infrequent, unusual or non-operating items in the periods in which such items are incurred. Adjustments to components of pre-tax income are tax effected using the applicable federal statutory tax rate for the respective periods.

Adjusted diluted EPS is defined as adjusted net income divided by adjusted weighted average diluted shares outstanding. Adjusted weighted average diluted shares outstanding is defined as weighted average diluted shares outstanding, adjusted for changes in the dilutive effect of non-vested shares that would otherwise have occurred had GAAP net income been calculated in accordance with adjusted net income. There will be no adjustment to weighted average diluted shares outstanding in the periods that non-vested shares are anti-dilutive under GAAP.

Adjusted return on equity is calculated by dividing adjusted net income on an annualized basis by the average shareholders' equity for the period.

Adjusted expense ratio is defined as GAAP underwriting and operating expenses, excluding the pre-tax effects of periodic costs incurred in connection with capital markets transactions, divided by net premiums earned.

Adjusted combined ratio is defined as the total of GAAP underwriting and operating expenses, excluding the pre-tax effects of periodic costs incurred in connection with capital markets transactions and insurance claims and claims expenses, divided by net premiums earned.

Although adjusted income before tax, adjusted net income, adjusted diluted EPS, adjusted return-on-equity, adjusted expense ratio and adjusted combined ratio exclude certain items that have occurred in the past and are expected to occur in the future, the excluded items: (1) are not viewed as part of the operating performance of our primary activities; or (2) are impacted by market, economic or regulatory factors and are not necessarily indicative of operating trends, or both. These adjustments, and the reasons for their treatment, are described below.

(1)Change in fair value of warrant liability. Outstanding warrants at the end of each reporting period are revalued, and any change in fair value is reported in the statement of operations in the period in which the change occurred. The change in fair value of our warrant liability can vary significantly across periods and is influenced principally by equity market and general economic factors that do not impact or reflect our current period operating results. We believe trends in our operating performance can be more clearly identified by excluding fluctuations related to the change in fair value of our warrant liability.

(2)Capital markets transaction costs. Capital markets transaction costs result from activities that are undertaken to improve our debt profile or enhance our capital position through activities such as debt refinancing and capital markets reinsurance transactions that may vary in their size and timing due to factors such as market opportunities, tax and capital profile, and overall market cycles.

(3)Net realized investment gains and losses. The recognition of the net realized investment gains or losses can vary significantly across periods as the timing is highly discretionary and is influenced by factors such as market opportunities, tax and capital profile, and overall market cycles that do not reflect our current period operating results.

(4)Other infrequent, unusual or non-operating items. Items that are the result of unforeseen or uncommon events, and are not expected to recur with frequency in the future. Identification and exclusion of these items provides clarity about the impact special or rare occurrences may have on our current financial performance. Infrequent, unusual or non-operating adjustments for the three and nine months ended September 30, 2021, include severance, restricted stock modification and other expenses incurred in connection with the CEO transition we announced on September 9, 2021. Past adjustments under this category include the effects of the release of the valuation allowance recorded against our net federal and certain state net deferred tax assets in 2016 and the re-measurement of our net deferred tax assets in connection with tax reform in 2017. We believe such items are infrequent or non-recurring in nature, and are not indicative of the performance of, or ongoing trends in, our primary operating activities or business.

Investor ContactJohn M. SwensonVice President, Investor Relations and Treasuryjohn.swenson@nationalmi.com(510) 788-8417

Consolidated statements of For the three monthsoperations and ended For the nine months endedcomprehensive income September 30, September 30,(unaudited) 2021 2020 2021 2020Revenues (In Thousands, except for per share data)Net premiums earned $ 113,594 $ 98,802 $ 330,361 $ 296,463 Net investment income 9,831 8,337 28,027 23,511 Net realized investment 3 (4 ) 15 635 gains (losses)Other revenues 613 648 1,597 2,771 Total revenues 124,041 107,783 360,000 323,380 Expenses Insurance claims and claim 3,204 15,667 12,806 55,698 expensesUnderwriting and operating 34,669 33,969 103,460 96,616 expensesService expenses 787 557 1,859 2,381 Interest expense 7,930 7,796 23,767 16,481 (Gain) loss from change infair value of warrant ? 437 (454 ) (4,286 )liabilityTotal expenses 46,590 58,426 141,438 166,890 Income before income taxes 77,451 49,357 218,562 156,490 Income tax expense 17,258 11,178 47,956 33,192 Net income $ 60,193 $ 38,179 $ 170,606 $ 123,298 Earnings per share Basic $ 0.70 $ 0.45 $ 1.99 $ 1.63 Diluted $ 0.69 $ 0.45 $ 1.96 $ 1.55 Weighted average common shares outstandingBasic 85,721 84,805 85,563 75,695 Diluted 86,880 85,599 86,794 76,867 Loss ratio ^(1) 2.8 % 15.9 % 3.9 % 18.8 %Expense ratio ^(2) 30.5 % 34.4 % 31.3 % 32.6 %Combined ratio ^(3) 33.3 % 50.2 % 35.2 % 51.4 % Net income $ 60,193 $ 38,179 $ 170,606 $ 123,298 Other comprehensive income (loss), net of tax:Unrealized (losses) gainsin accumulated othercomprehensive gain (loss),net of tax (benefit)expense of $(2,165) and$2,494 for the three (8,144 ) 9,381 (34,487 ) 28,799 months ended September 30,2021 and 2020, and $(9,168) and $7,655 for thenine months endedSeptember 30, 2021 and2020, respectivelyReclassificationadjustment for realized(gains) losses included innet income, net of taxexpense (benefit) of $1and ($1) for the three (2 ) 3 (12 ) 972 months ended September 30,2021 and 2020, and $3 and($258) for the nine monthsended September 30, 2021and 2020, respectivelyOther comprehensive income (8,146 ) 9,384 (34,499 ) 29,771 (loss), net of taxComprehensive income $ 52,047 $ 47,563 $ 136,107 $ 153,069

(1)Loss ratio is calculated by dividing insurance claims and claim expenses by net premiums earned.(2)Expense ratio is calculated by dividing other underwriting and operating expenses by net premiums earned.(3)Combined ratio may not foot due to rounding

Consolidated balance sheets (unaudited) September 30, December 31, 2021 2020Assets (In Thousands, except for share data)Fixed maturities, available-for-sale, at fairvalue (amortized cost of $2,024,639 and $ 2,054,419 $ 1,804,286 $1,730,835 as of September 30, 2021 andDecember 31, 2020, respectively)Cash and cash equivalents (includingrestricted cash of $3,572 and $5,555 as of 97,260 126,937 September 30, 2021 and December 31, 2020,respectively)Premiums receivable 58,499 49,779 Accrued investment income 12,114 9,862 Prepaid expenses 4,409 3,292 Deferred policy acquisition costs, net 61,362 62,225 Software and equipment, net 32,066 29,665 Intangible assets and goodwill 3,634 3,634 Prepaid reinsurance premiums 2,969 6,190 Reinsurance recoverable 20,420 17,608 Other assets 51,162 53,188 Total assets $ 2,398,314 $ 2,166,666 Liabilities Debt $ 394,282 $ 393,301 Unearned premiums 139,624 118,817 Accounts payable and accrued expenses 78,657 61,716 Reserve for insurance claims and claim 104,604 90,567 expensesReinsurance funds withheld 6,280 8,653 Warrant liability, at fair value 3,010 4,409 Deferred tax liability, net 151,364 112,586 Other liabilities 4,267 7,026 Total liabilities 882,088 797,075 Shareholders' equity Common stock - class A shares, $0.01 parvalue; 85,743,638 and 85,163,039 shares issuedand outstanding as of September 30, 2021 and 857 852 December 31, 2020, respectively (250,000,000shares authorized)Additional paid-in capital 948,395 937,872 Accumulated other comprehensive income, net of 19,357 53,856 taxRetained earnings 547,617 377,011 Total shareholders' equity 1,516,226 1,369,591 Total liabilities and shareholders' equity $ 2,398,314 $ 2,166,666

Non-GAAP Financial Measure Reconciliations (unaudited) For the three months ended For the nine months ended 9/30/2021 6/30/2021 9/30/2020 9/30/2021 9/30/2020As Reported (In Thousands, except for per share data) Revenues Net premiums $ 113,594 $ 110,888 $ 98,802 $ 330,361 $ 296,463 earnedNet investment 9,831 9,382 8,337 28,027 23,511 incomeNet realizedinvestment gains 3 12 (4 ) 15 635 (losses)Other revenues 613 483 648 1,597 2,771 Total revenues 124,041 120,765 107,783 360,000 323,380 Expenses Insurance claimsand claim 3,204 4,640 15,667 12,806 55,698 expensesUnderwriting andoperating 34,669 34,725 33,969 103,460 96,616 expensesService expenses 787 481 557 1,859 2,381 Interest expense 7,930 7,922 7,796 23,767 16,481 (Gain) loss fromchange in fair ? (658 ) 437 (454 ) (4,286 ) value of warrantliabilityTotal expenses 46,590 47,110 58,426 141,438 166,890 Income before 77,451 73,655 49,357 218,562 156,490 income taxesIncome tax 17,258 16,133 11,178 47,956 33,192 expenseNet income $ 60,193 $ 57,522 $ 38,179 $ 170,606 $ 123,298 Adjustments: Net realizedinvestment (3 ) (12 ) 4 (15 ) (635 ) (gains) losses(Gain) loss fromchange in fair ? (658 ) 437 (454 ) (4,286 ) value of warrantliabilityCapital marketstransaction 481 1,615 2,254 2,474 5,518 costsOtherinfrequent,unusual or 1,289 ? ? 1,289 ? non-operatingitems ^(6)Adjusted income 79,218 74,600 52,052 221,856 157,087 before taxes Income taxexpense on 139 337 474 555 1,025 adjustments ^(7)Adjusted net $ 61,821 $ 58,130 $ 40,400 $ 173,345 $ 122,870 income Weighted averagediluted shares 86,880 86,819 85,599 86,794 76,867 outstanding Diluted EPS ^(1) $ 0.69 $ 0.65 $ 0.45 $ 1.96 $ 1.55 Adjusted diluted $ 0.71 $ 0.67 $ 0.47 $ 2.00 $ 1.60 EPS Return-on-equity 16.2 % 16.2 % 11.9 % 15.8 % 14.7 %Adjusted 16.6 % 16.4 % 12.6 % 16.0 % 14.6 %return-on-equity Expense ratio ^ 30.5 % 31.3 % 34.4 % 31.3 % 32.6 %(2)Adjusted expense 29.0 % 29.9 % 32.1 % 30.2 % 31.6 %ratio ^(3) Combined ratio ^ 33.3 % 35.5 % 50.2 % 35.2 % 51.4 %(4)Adjustedcombined ratio ^ 31.8 % 34.0 % 48.0 % 34.1 % 50.4 %(5)

(1)Diluted net income for the quarter ended September 30, 2020, excludes the impact of the warrant fair value change as it was anti-dilutive. For all other periods presented, diluted net income equals reported net income as the impact of the warrant fair value change was dilutive.(2)Expense ratio is calculated by dividing underwriting and operating expenses by net premiums earned.(3)Adjusted expense ratio is calculated by dividing adjusted underwriting and operating expense (underwriting and operating expenses excluding costs related to capital markets reinsurance transactions and infrequent or unusual non-operating items) by net premiums earned.(4)Combined ratio is calculated by dividing the total of underwriting and operating expenses and insurance claims and claims expense by net premiums earned.(5)Adjusted combined ratio is calculated by dividing the total of adjusted underwriting and operating expenses (underwriting and operating expenses excluding costs related to capital market reinsurance transaction and infrequent or unusual non-operating items) and insurance claims and claims expense by net premiums earned.(6)Represents severance, restricted stock modification and other expenses incurred in connection with the CEO transition announced on September 9, 2021.(7)Marginal tax impact of non-GAAP adjustments is calculated based on our statutory U.S. federal corporate income tax rate of 21%, except for those items that are not eligible for an income tax deduction. Such non-deductible items include gains or losses from the change in the fair value of our warrant liability and certain costs incurred in connection with the CEO transition, which are limited under Section 162(m) of the Internal Revenue Code.

HistoricalQuarterly 2021 2020Data September June 30 March 31 December 31 September 30 June 30 30Revenues (In Thousands, except for per share data)Net premiums $ 113,594 $ 110,888 $ 105,879 $ 100,709 $ 98,802 $ 98,944 earnedNetinvestment 9,831 9,382 8,814 8,386 8,337 7,070 incomeNet realizedinvestment 3 12 ? 295 (4 ) 711 gains(losses)Other 613 483 501 513 648 1,223 revenuesTotal 124,041 120,765 115,194 109,903 107,783 107,948 revenuesExpenses Insuranceclaims and 3,204 4,640 4,962 3,549 15,667 34,334 claimexpensesUnderwritingand 34,669 34,725 34,065 34,994 33,969 30,370 operatingexpensesService 787 481 591 459 557 1,090 expensesInterest 7,930 7,922 7,915 7,906 7,796 5,941 expense(Gain ) lossfrom changein fair ? (658 ) 205 1,379 437 1,236 value ofwarrantliabilityTotal 46,590 47,110 47,738 48,287 58,426 72,971 expenses Incomebefore 77,451 73,655 67,456 61,616 49,357 34,977 income taxesIncome tax 17,258 16,133 14,565 13,348 11,178 8,129 expenseNet income $ 60,193 $ 57,522 $ 52,891 $ 48,268 $ 38,179 $ 26,848 Earnings per shareBasic $ 0.70 $ 0.67 $ 0.62 $ 0.57 $ 0.45 $ 0.36 Diluted $ 0.69 $ 0.65 $ 0.61 $ 0.56 $ 0.45 $ 0.36 Weightedaveragecommon sharesoutstandingBasic 85,721 85,647 85,317 84,956 84,805 73,617 Diluted 86,880 86,819 86,487 86,250 85,599 74,174 Other data Loss Ratio^ 2.8 % 4.2 % 4.7 % 3.5 % 15.9 % 34.7 %(1)Expense 30.5 % 31.3 % 32.2 % 34.7 % 34.4 % 30.7 %Ratio^(2)Combined 33.3 % 35.5 % 36.9 % 38.3 % 50.2 % 65.4 %ratio ^(3)

(1)Loss ratio is calculated by dividing insurance claims and claim expenses by net premiums earned.(2)Expense ratio is calculated by dividing underwriting and operating expenses by net premiums earned.(3)Combined ratio may not foot due to rounding.

Portfolio Statistics

The table below highlights trends in our primary portfolio as of the date and for the periods indicated.

Primaryportfolio As of and for the three months endedtrends September June 30, March 31, December September June 30, 30, 2021 2021 2021 31, 2020 30, 2020 2020 ($ Values In Millions, except as noted below)New insurance $ 18,084 $ 22,751 $ 26,397 $ 19,782 $ 18,499 $ 13,124 writtenNew risk $ 4,640 5,650 6,531 4,868 4,577 3,260 writtenInsurance inforce (IIF) ^ 143,618 136,598 123,777 111,252 104,494 98,905 (1)Risk in force $ 36,253 34,366 31,206 28,164 26,568 25,238 ^ (1)Policies inforce (count) 490,714 471,794 436,652 399,429 381,899 372,934 ^ (1)Average loansize ($ value $ 293 $ 290 $ 283 $ 279 $ 274 $ 265 in thousands)^(1)Coveragepercentage ^ 25.2 % 25.2 % 25.2 % 25.3 % 25.4 % 25.5 %(2)Loans indefault 7,670 8,764 11,090 12,209 13,765 10,816 (count) ^(1)Default rate 1.56 % 1.86 % 2.54 % 3.06 % 3.60 % 2.90 %^(1)Risk in forceon defaulted $ 546 $ 625 $ 785 $ 874 $ 1,008 $ 799 loans ^(1)Net premium 0.32 % 0.34 % 0.36 % 0.37 % 0.39 % 0.40 %yield ^(3)Earnings from $ 7.7 $ 7.0 $ 9.9 $ 11.7 $ 12.6 $ 15.5 cancellationsAnnualpersistency^ 58.1 % 53.9 % 51.9 % 55.9 % 60.0 % 64.1 %(4)Quarterly 8.1 % 8.0 % 12.5 % 12.5 % 13.1 % 12.9 %run-off^ (5)

(1)Reported as of the end of the period.(2)Calculated as end of period risk-in-force (RIF) divided by end of period IIF.(3)Calculated as net premiums earned, divided by average primary IIF for the period, annualized.(4)Defined as the percentage of IIF that remains on our books after a given twelve-month period.(5)Defined as the percentage of IIF that is no longer on our books after a given three month period.

New Insurance Written (NIW), Insurance in Force (IIF) and Premiums

The tables below present primary NIW and primary and pool IIF, as of the dates and for the periods indicated.

Primary Three months endedNIW September June 30, March 31, December September June 30, 30, 2021 2021 2021 31, 2020 30, 2020 2020 (In Millions)Monthly $ 16,861 $ 19,422 $ 23,764 $ 17,789 $ 16,516 $ 11,885 Single 1,223 3,329 2,633 1,993 1,983 1,239 Primary $ 18,084 $ 22,751 $ 26,397 $ 19,782 $ 18,499 $ 13,124

Primaryand As ofpoolIIF September June 30, March 31, December 31, September June 30, 30, 2021 2021 2021 2020 30, 2020 2020 (In Millions)Monthly $ 124,767 $ 117,629 $ 106,920 $ 95,336 $ 88,584 $ 82,848 Single 18,851 18,969 16,857 15,916 15,910 16,057 Primary 143,618 136,598 123,777 111,252 104,494 98,905 Pool 1,339 1,460 1,642 1,855 2,115 2,340 Total $ 144,957 $ 138,058 $ 125,419 $ 113,107 $ 106,609 $ 101,245

The following table presents the amounts related to the company's quota-share reinsurance transactions (the 2016 QSR Transaction, 2018 QSR Transaction, 2020 QSR Transaction and 2021 QSR Transaction, and collectively, the QSR Transactions), and Insurance-Linked Note transactions (the 2017 ILN Transaction, 2018 ILN Transaction, 2019 ILN Transaction, 2020-1 ILN Transaction, 2020-2 ILN Transaction and 2021 -1 ILN Transaction and collectively, the ILN Transactions) for the periods indicated.

For the three months ended September 30, June 30, 2021 March 31, December 31, September 30, June 30, 2020 2021 2021 2020 2020 (In Thousands)The QSR Transactions Ceded risk-in-force $ 7,610,870 $ 7,113,707 $ 6,330,409 $ 5,543,969 $ 5,159,061 $ 4,563,676 Ceded premiums earned (28,366 ) (27,537 ) (25,747 ) (24,161 ) (24,517 ) (23,210 ) Ceded claims and claim 840 1,194 1,180 601 3,200 8,669 expensesCeding commission earned 6,142 5,961 5,162 4,787 4,798 4,428 Profit commission 15,191 14,391 13,380 13,184 11,034 5,271 The ILN Transactions Ceded premiums $ (10,390 ) $ (10,169 ) $ (9,397 ) $ (9,422 ) $ (6,268 ) $ (3,267 )

Primary For the nine monthsNIW by For the three months ended ended FICO September June 30, September September September 30, 2021 30, 30, 30, 2021 2020 2021 2020 ($ In Millions)>= 760 $ 8,073 $ 11,390 $ 11,600 $ 32,377 $ 25,942 740-759 3,254 4,246 2,575 12,812 6,056 720-739 2,563 3,152 2,187 9,678 5,373 700-719 2,099 1,798 1,217 6,255 3,214 680-699 1,487 1,292 793 4,139 1,872 <=679 608 873 127 1,971 463 Total $ 18,084 $ 22,751 $ 18,499 $ 67,232 $ 42,920 Weightedaverage 749 754 764 753 761 FICO

PrimaryNIW by For the three months ended For the nine months endedLTV September 30, June 30, 2021 September 30, September 30, September 30, 2021 2020 2021 2020 (In Millions)95.01%and $ 1,957 $ 2,177 $ 587 $ 6,585 $ 1,855 above90.01%to 8,344 9,941 7,767 29,336 18,161 95.00%85.01%to 4,961 6,262 6,968 19,071 16,117 90.00%85.00%and 2,822 4,371 3,177 12,240 6,787 belowTotal $ 18,084 $ 22,751 $ 18,499 $ 67,232 $ 42,920 Weightedaverage 91.8 % 91.3 % 90.7 % 91.3 % 90.8 %LTV

PrimaryNIW by For the nine monthspurchase/ For the three months ended endedrefinancemix September June 30, September September September 30, 2021 30, 30, 30, 2021 2020 2021 2020 (In Millions)Purchase $ 16,400 $ 18,911 $ 12,764 $ 53,220 $ 28,531 Refinance 1,684 3,840 5,735 14,012 14,389 Total $ 18,084 $ 22,751 $ 18,499 $ 67,232 $ 42,920

The table below presents a summary of our primary IIF and RIF by book year as of September30, 2021.

Primary IIF and RIF As of September 30, 2021 IIF RIF (In Millions)September 30, 2021 $ 64,885 $ 16,274 2020 47,196 11,848 2019 14,502 3,800 2018 5,675 1,446 2017 4,845 1,213 2016 and before 6,515 1,672 Total $ 143,618 $ 36,253

The tables below present our total primary IIF and RIF by FICO and LTV and total primary RIF by loan type as of the dates indicated.

Primary IIF by FICO As of September 30, 2021 June 30, 2021 September 30, 2020 (In Millions)>= 760 $ 73,080 $ 70,583 $ 53,742 740-759 24,676 23,175 16,193 720-739 19,898 18,857 14,352 700-719 13,206 12,230 10,235 680-699 8,678 7,927 6,713 <=679 4,080 3,826 3,259 Total $ 143,618 $ 136,598 $ 104,494

Primary RIF by FICO As of September 30, 2021 June 30, 2021 September 30, 2020 (In Millions)>= 760 $ 18,200 $ 17,531 $ 13,563 740-759 6,280 5,873 4,141 720-739 5,086 4,798 3,694 700-719 3,432 3,161 2,635 680-699 2,243 2,047 1,730 <=679 1,012 956 805 Total $ 36,253 $ 34,366 $ 26,568

Primary IIF by LTV As of September 30, 2021 June 30, 2021 September 30, 2020 (In Millions)95.01% and above $ 13,179 $ 12,026 $ 8,130 90.01% to 95.00% 63,828 60,358 47,828 85.01% to 90.00% 44,451 43,064 35,224 85.00% and below 22,160 21,150 13,312 Total $ 143,618 $ 136,598 $ 104,494

Primary RIF by LTV As of September 30, 2021 June 30, 2021 September 30, 2020 (In Millions)95.01% and above $ 3,932 $ 3,552 $ 2,310 90.01% to 95.00% 18,810 17,774 14,056 85.01% to 90.00% 10,902 10,555 8,642 85.00% and below 2,609 2,485 1,560 Total $ 36,253 $ 34,366 $ 26,568

Primary RIF by Loan Type As of September 30, 2021 June 30, September 30, 2020 2021 Fixed 99 % 99 % 99 %Adjustable rate mortgagesLess than five years ? ? ? Five years and longer 1 1 1 Total 100 % 100 % 100 %

The table below presents a summary of the change in total primary IIF during the periods indicated.

Primary IIF For the three months ended September 30, June 30, 2021 September 30, 2021 2020 (In Millions)IIF, beginning of period $ 136,598 $ 123,777 $ 98,905 NIW 18,084 22,751 18,499 Cancellations, principalrepayments and other (11,064 ) (9,930 ) (12,910 ) reductionsIIF, end of period $ 143,618 $ 136,598 $ 104,494

Geographic Dispersion

The following table shows the distribution by state of our primary RIF as of the periods indicated.

Top 10 primary RIF by As ofstate September 30, June 30, September 30, 2021 2021 2020California 10.2 % 10.3 % 11.3 %Texas 9.9 9.8 8.3 Florida 8.6 8.3 6.7 Virginia 4.9 5.0 5.4 Colorado 4.0 4.1 4.0 Maryland 3.8 3.9 3.6 Illinois 3.7 3.8 4.0 Georgia 3.7 3.5 3.0 Washington 3.5 3.6 3.5 Pennsylvania 3.2 3.2 3.5 Total 55.5 % 55.5 % 53.3 %

The table below presents selected primary portfolio statistics, by book year, as of September30, 2021.

As of September 30, 2021 Remaining % Number of Number Incurred CurrentBook Original Insurance Remaining Policies Policies of # of Loss Ratio Cumulative defaultyear Insurance in of Ever in in Loans Claims (Inception Default rate ^ Written Force Original Force Force in Paid to Date) ^ Rate ^(2) (3) Insurance Default (1) ($ Values in Millions) 2013 $ 162 $ 7 4 % 655 52 3 1 0.5 % 0.6 % 5.8 %2014 3,451 310 9 % 14,786 1,898 68 49 4.2 % 0.8 % 3.6 %2015 12,422 1,923 15 % 52,548 10,427 366 115 3.3 % 0.9 % 3.5 %2016 21,187 4,275 20 % 83,626 21,244 797 128 2.9 % 1.1 % 3.8 %2017 21,582 4,845 22 % 85,897 24,478 1,286 93 4.5 % 1.6 % 5.3 %2018 27,295 5,675 21 % 104,043 27,844 1,723 81 8.6 % 1.7 % 6.2 %2019 45,141 14,502 32 % 148,423 57,685 2,038 16 12.7 % 1.4 % 3.5 %2020 62,702 47,196 75 % 186,174 147,395 1,170 1 6.7 % 0.6 % 0.8 %2021 67,232 64,885 97 % 205,291 199,691 219 ? 1.2 % 0.1 % 0.1 %Total $ 261,174 $ 143,618 881,443 490,714 7,670 484

(1)Calculated astotal claims incurred (paid and reserved) divided by cumulative premiums earned, net of reinsurance.(2)Calculated as the sum of the number of claims paid ever to date and number of loans in default divided by policies ever in force.(3)Calculated as the number of loans in default divided by number of policies in force.

The following table provides a reconciliation of the beginning and ending reserve balances for primary insurance claims and claim expenses:

For the three months ended For the nine months ended September 30, September 30, September 30, September 30, 2021 2020 2021 2020 (In Thousands)Beginning $ 101,235 $ 69,903 $ 90,567 $ 23,752 balanceLessreinsurance (19,726 ) (14,307 ) (17,608 ) (4,939 ) recoverables^(1)Beginningbalance, netof 81,509 55,596 72,959 18,813 reinsurancerecoverables Add claims incurred:Claims andclaim expensesincurred:Current year 3,649 18,682 19,275 61,198 ^(2)Prior years^ (445 ) (3,015 ) (6,469 ) (5,500 ) (3)Total claimsand claim 3,204 15,667 12,806 55,698 expensesincurred Less claims paid:Claims andclaim expensespaid:Current year 3 113 15 152 ^(2)Prior years 526 1,100 1,566 4,309 ^(3)Total claimsand claim 529 1,213 1,581 4,461 expensespaid Reserve atend ofperiod, net 84,184 70,050 84,184 70,050 ofreinsurancerecoverablesAddreinsurance 20,420 17,180 20,420 17,180 recoverables^(1)Ending $ 104,604 $ 87,230 $ 104,604 $ 87,230 balance

(1)Related to ceded losses recoverable under the QSR Transactions.(2)Related to insured loans with their most recent defaults occurring in the current year. For example, if a loan had defaulted in a prior year and subsequently cured and later re-defaulted in the current year, the default would be included in the current year. Amounts are presented net of reinsurance and included $14.0million attributed to net case reserves and $4.8million attributed to net IBNR reserves for the nine months ended September 30, 2021 and $55.4million attributed to net case reserves and $4.8million attributed to net IBNR reserves for the nine months ended September 30, 2020.(3)Related to insured loans with defaults occurring in prior years, which have been continuously in default before the start of the current year. Amounts are presented net of reinsurance and included $1.8million attributed to net case reserves and $5.0million attributed to net IBNR reserves for the nine months ended September 30, 2021 and $4.0million attributed to net case reserves and $1.3million attributed to net IBNR reserves for the nine months ended September 30, 2020.

The following table provides a reconciliation of the beginning and ending count of loans in default for the periods indicated.

For the three months For the nine months ended ended September September September September 30, 30, 30, 30, 2021 2020 2021 2020Beginning default 8,764 10,816 12,209 1,448 inventoryPlus: new defaults 1,624 6,588 4,486 16,870 Less: cures (2,694 ) (3,598 ) (8,964 ) (4,426 ) Less: claims paid (24 ) (40 ) (59 ) (123 ) Less: claims denied ? (1 ) (2 ) (4 ) Ending default inventory 7,670 13,765 7,670 13,765

The following table provides details of our claims paid, before giving effect to claims ceded under the QSR Transactions, for the periods indicated.

For the three months For the nine months ended ended September September September September 30, 30, 30, 30, 2021 2020 2021 2020 (In Thousands)Number of claims paid ^ 24 40 59 123 (1)Total amount paid for $ 674 $ 1,540 $ 1,982 $ 5,621 claimsAverage amount paid per $ 28 $ 39 $ 34 $ 46 claimSeverity^(2) 55 % 67 % 60 % 80 %

(1)Count includes six and ten claims settled without payment during the three and nine months ended September30, 2021, respectively, and six and eight claims settled without payment during the three and nine months ended 2020, respectively.(2)Severity represents the total amount of claims paid including claim expenses divided by the related RIF on the loan at the time the claim is perfected, and is calculated including claims settled without payment.

The following table shows our average reserve per default, before giving effect to reserves ceded under the QSR Transactions, as of the periods indicated.

Average reserve per As of September 30, As of September 30, 2020default: 2021 (In Thousands)Case ^(1) $ 12.6 $ 5.8 IBNR ^(1)(2) 1.0 0.5 Total $ 13.6 $ 6.3

(1)Defined as the gross reserve per insured loan in default.(2)Amount includes claims adjustment expenses.

The following table provides a comparison of the PMIERs financial requirements as reported by NMIC as of the dates indicated.

As of September 30, June 30, 2021 September 30, 2021 2020 (In Thousands)Available Assets $ 1,992,964 $ 1,886,993 $ 1,671,990 Risk-Based Required 1,365,656 1,170,854 990,678 Assets