NMI HOLDINGS, INC. – 10-Q – Management’s Discussion and Analysis of Financial Condition and Results of Operations – InsuranceNewsNet

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The following analysis should be read in conjunction with our unaudited
condensed consolidated financial statements and the notes thereto included in
this report and our audited financial statements, notes thereto and
"Management's Discussion and Analysis of Financial Condition and Results of
Operations" included in our 2021 10-K, for a more complete understanding of our
financial position and results of operations. In addition, investors should
review the "Cautionary Note Regarding Forward-Looking Statements" above and the
"Risk Factors" detailed in Part II, Item 1A of this report and in Part I, Item
1A of our 2021 10-K, as subsequently updated in other reports we file with the
SEC, for a discussion of those risks and uncertainties that have the potential
to affect our business, financial condition, results of operations, cash flows
or prospects in a material and adverse manner. Our results of operations for
interim periods are not necessarily indicative of results to be expected for a
full fiscal year or for any other period.

Insight

We provide private MI through our primary insurance subsidiary, NMIC. NMIC is
wholly-owned, domiciled in Wisconsin and principally regulated by the Wisconsin
OCI. NMIC is approved as an MI provider by the GSEs and is licensed to write
coverage in all 50 states and D.C. Our subsidiary, NMIS, provides outsourced
loan review services to mortgage loan originators and our subsidiary, Re One,
historically provided reinsurance coverage to NMIC in accordance with certain
statutory risk retention requirements. Such requirements have been repealed and
the reinsurance coverage provided by Re One to NMIC has been commuted. Re One
remains a wholly-owned, licensed insurance subsidiary; however, it does not
currently have active insurance exposures.

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MI protects lenders and investors from default-related losses on a portion of
the unpaid principal balance of a covered mortgage. MI plays a critical role in
the U.S. housing market by mitigating mortgage credit risk and facilitating the
secondary market sale of high loan-to-value (LTV) (i.e., above 80%) residential
loans to the GSEs, who are otherwise restricted by their charters from
purchasing or guaranteeing high-LTV mortgages that are not covered by certain
credit protections. Such credit protection and secondary market sales allow
lenders to increase their capacity for mortgage commitments and expand financing
access to existing and prospective homeowners.

NMIH, a Delaware corporation, was incorporated in May 2011, and we began
start-up operations in 2012 and wrote our first MI policy in 2013. Since
formation, we have sought to establish customer relationships with a broad group
of mortgage lenders and build a diversified, high-quality insured portfolio. As
of September 30, 2022, we had issued master policies with 1,843 customers,
including national and regional mortgage banks, money center banks, credit
unions, community banks, builder-owned mortgage lenders, internet-sourced
lenders and other non-bank lenders. As of September 30, 2022, we had $179.2
billion of primary insurance-in-force (IIF) and $46.3 billion of primary
risk-in-force (RIF).

We believe that our success in acquiring a large and diverse group of lender
customers and growing a portfolio of high-quality IIF traces to our founding
principles, whereby we aim to help qualified individuals achieve their
homeownership goals, ensure that we remain a strong and credible counter-party,
deliver a high-quality customer service experience, establish a differentiated
risk management approach that emphasizes the individual underwriting review or
validation of the vast majority of the loans we insure, utilizing our
proprietary Rate GPS® pricing platform to dynamically evaluate risk and price
our policies, and foster a culture of collaboration and excellence that helps us
attract and retain experienced industry leaders.

Our strategy is to continue to build on our position in the private MI market,
expand our customer base and grow our insured portfolio of high-quality
residential loans by focusing on long-term customer relationships, disciplined
and proactive risk selection and pricing, fair and transparent claim payment
practices, responsive customer service, and financial strength and
profitability.

Our common stock trades on the Nasdaq under the symbol "NMIH." Our headquarters
is located in Emeryville, California. As of September 30, 2022, we had 246
employees. Our corporate website is located at www.nationalmi.com. Our website
and the information contained on or accessible through our website are not
incorporated by reference into this report.

We discuss below our results of operations for the periods presented, as well as
the conditions and trends that have impacted or are expected to impact our
business, including new insurance writings, the composition of our insurance
portfolio and other factors that we expect to impact our results.

Conditions and trends affecting our business

COVID-19 and other developments

On January 30, 2020, the WHO declared the outbreak of COVID-19 a global health
emergency and subsequently characterized the outbreak as a global pandemic on
March 11, 2020. In an effort to stem contagion and control the spread of the
virus, the population at large severely curtailed day-to-day activity and local,
state and federal regulators imposed a broad set of restrictions on personal and
business conduct nationwide. The COVID-19 pandemic, along with the widespread
public and regulatory response, caused a dramatic slowdown in U.S. and global
economic activity.

The global dislocation caused by COVID-19 was unprecedented and the pandemic had
a direct impact on the U.S. housing market, private mortgage insurance industry,
and our business and operating performance for an extended period. More
recently, however, the acute economic impact of COVID-19 has begun to recede.
While the pandemic continues to pose a global risk and affect communities across
the U.S., it is no longer the single dominant driver of our performance that it
had been in earlier periods. COVID-19 is now one of several mosaic factors,
including a range of macroeconomic forces and public policy initiatives that are
influencing our market and business.

Although we are optimistic that the nationwide COVID-19 vaccination effort and
other medical advances will continue to support a normalization of personal and
business activity, the path of the virus remains unknown and subject to risk.
Given this uncertainty, we are not able to fully assess or estimate the impact
the pandemic may have on the mortgage insurance market, our business performance
or our financial position at this time, and it remains possible COVID-19 could
again trigger more severe and adverse outcomes in future periods. It is also
possible that emerging macroeconomic factors, including persistent inflation,
increasing interest rates, flagging consumer confidence and increasing jobless
claims could have a pronounced impact on the housing market, the mortgage
insurance industry and our business in future periods.

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Key Factors Affecting Our Results

New Insurance Purchased (NIW), Insurance in Force and Risk in Force

NIW is the aggregate unpaid principal balance of mortgages underpinning new
policies written during a given period. Our NIW is affected by the overall size
of the mortgage origination market and the volume of high-LTV mortgage
originations. Our NIW is also affected by the percentage of such high-LTV
originations covered by private versus government MI or other alternative credit
enhancement structures and our share of the private MI market. NIW, together
with persistency, drives our IIF. IIF is the aggregate unpaid principal balance
of the mortgages we insure, as reported to us by servicers at a given date, and
represents the sum total of NIW from all prior periods less principal payments
on insured mortgages and policy cancellations (including for prepayment,
nonpayment of premiums, coverage rescission and claim payments). RIF is related
to IIF and represents the aggregate amount of coverage we provide on all
outstanding policies at a given date. RIF is calculated as the sum total of the
coverage percentage of each individual policy in our portfolio applied to the
unpaid principal balance of such insured mortgage. RIF is affected by IIF and
the LTV profile of our insured mortgages, with lower LTV loans generally having
a lower coverage percentage and higher LTV loans having a higher coverage
percentage. Gross RIF represents RIF before consideration of reinsurance. Net
RIF is gross RIF net of ceded reinsurance.

Net premiums written and net premiums earned

We set our premium rates on individual policies based on the risk
characteristics of the underlying mortgage loans and borrowers, and in
accordance with our filed rates and applicable rating rules. On June 4, 2018, we
introduced a proprietary risk-based pricing platform, which we refer to as Rate
GPS. Rate GPS considers a broad range of individual variables, including
property type, type of loan product, borrower credit characteristics, and lender
and market factors, and provides us with the ability to set and charge premium
rates commensurate with the underlying risk of each loan that we insure. We
introduced Rate GPS in June 2018 to replace our previous rate card pricing
system. While most of our new business is priced through Rate GPS, we also
continue to offer a rate card pricing option to a limited number of lender
customers who require a rate card for operational reasons. We believe the
introduction and utilization of Rate GPS provides us with a more granular and
analytical approach to evaluating and pricing risk, and that this approach
enhances our ability to continue building a high-quality mortgage insurance
portfolio and delivering attractive risk-adjusted returns.

Premiums are generally fixed for the duration of our coverage of the underlying
loans. Net premiums written are equal to gross premiums written minus ceded
premiums written under our reinsurance arrangements, less premium refunds and
premium write-offs. As a result, net premiums written are generally influenced
by:

•NIW;

• premium rates and combination of premium payment types, which are either unique,
monthly or annual premiums, as described below;

•cancellation rates of our insurance policies, which are impacted by payments or
prepayments on mortgages, refinancings (which are affected by prevailing
mortgage interest rates as compared to interest rates on loans underpinning our
in force policies), levels of claim payments and home prices; and

•assignment of premiums under third-party reinsurance contracts.

Premiums are paid either by the borrower (BPMI) or the lender (LPMI) in a single
payment at origination (single premium), on a monthly installment basis (monthly
premium) or on an annual installment basis (annual premium). Our net premiums
written will differ from our net premiums earned due to policy payment type. For
single premiums, we receive a single premium payment at origination, which is
earned over the estimated life of the policy. Substantially all of our single
premium policies in force as of September 30, 2022 were non-refundable under
most cancellation scenarios. If non-refundable single premium policies are
canceled, we immediately recognize the remaining unearned premium balances as
earned premium revenue. Monthly premiums are recognized in the month billed and
when the coverage is effective. Annual premiums are earned on a straight-line
basis over the year of coverage. Substantially all of our policies provide for
either single or monthly premiums.

The percentage of IIF that remains on our books after any twelve-month period is
defined as our persistency rate. Because our insurance premiums are earned over
the life of a policy, higher persistency rates can have a significant impact on
our net premiums earned and profitability. Generally, faster speeds of mortgage
prepayment lead to lower persistency. Prepayment speeds and the relative mix of
business between single and monthly premium policies also impact our
profitability. Our premium rates include certain assumptions regarding repayment
or prepayment speeds of the mortgages underlying our policies. Because premiums
are paid at origination on single premium policies and our single premium
policies are generally non-refundable on
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cancellation, assuming all other factors remain constant, if single premium
loans are prepaid earlier than expected, our profitability on these loans is
likely to increase and, if loans are repaid slower than expected, our
profitability on these loans is likely to decrease. By contrast, if monthly
premium loans are repaid earlier than anticipated, we do not earn any more
premium with respect to those loans and, unless we replace the repaid monthly
premium loan with a new loan at the same premium rate or higher, our revenue is
likely to decline.

Effect of reinsurance on our results

We utilize third-party reinsurance to actively manage our risk, ensure
compliance with PMIERs, state regulatory and other applicable capital
requirements, and support the growth of our business. We currently have both
quota share and excess-of-loss reinsurance agreements in place, which impact our
results of operations and regulatory capital and PMIERs asset positions. Under a
quota share reinsurance agreement, the reinsurer receives a premium in exchange
for covering an agreed-upon portion of incurred losses. Such a quota share
arrangement reduces premiums written and earned and also reduces RIF, providing
capital relief to the ceding insurance company and reducing incurred claims in
accordance with the terms of the reinsurance agreement. In addition, reinsurers
typically pay ceding commissions as part of quota share transactions, which
offset the ceding company's acquisition and underwriting expenses. Certain quota
share agreements include profit commissions that are earned based on loss
performance and serve to reduce ceded premiums. Under an excess-of-loss
agreement, the ceding insurer is typically responsible for losses up to an
agreed-upon threshold and the reinsurer then provides coverage in excess of such
threshold up to a maximum agreed-upon limit. We expect to continue to evaluate
reinsurance opportunities in the normal course of business.

Excess of loss reinsurance

Insurance-related tickets

NMIC is party to reinsurance agreements with the Oaktown Re Vehicles that
provide it with aggregate excess-of-loss reinsurance coverage on defined
portfolios of mortgage insurance policies. Under each agreement, NMIC retains a
first layer of aggregate loss exposure on covered policies and the respective
Oaktown Re Vehicle then provides second layer loss protection up to a defined
reinsurance coverage amount. NMIC then retains losses in excess of the
respective reinsurance coverage amounts.

The respective reinsurance coverage amounts provided by the Oaktown Re Vehicles
decrease over a ten-year period as the underlying insured mortgages are
amortized or repaid, and/or the mortgage insurance coverage is canceled (except
the coverage provided by Oaktown Re VI Ltd. and Oaktown Re VII Ltd., which
decreases over a 12.5-year period). As the reinsurance coverage decreases, a
prescribed amount of collateral held in trust by the Oaktown Re Vehicles is
distributed to ILN Transaction note-holders as amortization of the outstanding
insurance-linked note principal balances. The outstanding reinsurance coverage
amounts stop amortizing, and the collateral distribution to ILN Transaction
note-holders and amortization of insurance-linked note principal is suspended if
certain credit enhancement or delinquency thresholds, as defined in each
agreement, are triggered (each, a Lock-Out Event). As of September 30, 2022, the
2018 ILN Transaction was deemed to be in Lock Out due to the default experience
of its underlying reference pool and the 2021-2 ILN Transaction was deemed to be
in Lock Out in connection with the initial build of its target credit
enhancement level. As such, the amortization of reinsurance coverage, and
distribution of collateral assets and amortization of insurance-linked notes was
suspended for both ILN Transactions. The amortization of reinsurance coverage,
distribution of collateral assets and amortization of insurance-linked notes
issued in connection with the 2018 and 2021-2 ILN Transactions will remain
suspended for the duration of the Lock-Out Event for each respective ILN
Transaction, and during such period assets will be preserved in the applicable
reinsurance trust account to collateralize the excess-of-loss reinsurance
coverage provided to NMIC. Effective August 31, 2022, a Lock-Out Event for the
2019 ILN Transaction was deemed to have cleared and amortization of the
associated reinsurance coverage, and distribution of collateral assets and
amortization of the associated insurance-linked notes resumed.

NMIC holds optional termination rights under each ILN Transaction, including,
among others, an optional call feature which provides NMIC the discretion to
terminate the transaction on or after a prescribed date, and a clean-up call if
the outstanding reinsurance coverage amount amortizes to 10% or less of the
reinsurance coverage amount at inception or if NMIC reasonably determines that
changes to GSE or rating agency asset requirements would cause a material and
adverse effect on the capital treatment afforded to NMIC under a given
agreement. In addition, there are certain events that trigger mandatory
termination of an agreement, including NMIC's failure to pay premiums or consent
to reductions in a trust account to make principal payments to note-holders,
among others.

Effective March 25, 2022 and April 25, 2022, NMIC exercised its optional
clean-up call to terminate the 2017 and 2020-1 ILN Transactions, respectively.
In connection with the termination of each respective transaction, NMIC's excess
of loss reinsurance agreements with Oaktown Re Ltd. and Oaktown Re IV Ltd. were
commuted and the insurance-linked notes issued by Oaktown Re Ltd. and Oaktown Re
IV Ltd. were redeemed in full with a distribution of remaining collateral
assets.

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The following table presents the date of creation, the production period covered,
current reinsurance coverage amount, first layer current retained aggregate loss
and details of the overcollateralization level under each current ILN
Transaction. The current amounts are presented in September 30, 2022.

                                                        2018 ILN       2019 ILN           2020-2 ILN       2021-1 ILN       2021-2 ILN
($ values in thousands)                               Transaction     

Transaction Transaction Transaction Transaction
Creation date

                                       July 25, 2018   July 

30, 2019 October 29, 2020 April 27, 2021 October 26, 2021
Production covered

                                     1/1/2017 -     

01/06/2018 – 01/04/202001/10/2020 – 01/04/2021

                                                       5/31/2018       

06/30/2019 09/30/2020 (1) 03/31/2021 (2) 09/30/2021 (3)

Current ceded RIF                                    $  900,608     $  

1,010,097 $3,638,732 $7,177,674 $7,129,356

Current first layer retained loss                       122,271          122,412             121,177          163,665          146,204
Current reinsurance coverage                            158,489          218,121             110,623          322,290          363,596
Eligible coverage                                    $  280,760     $    

340,533 $231,800 $485,955 $509,800
Subordinate coverage (4)

                                 31.17   %        33.71  %             6.25  %          6.75  %          7.15  %

PMIERs charge on ceded RIF                                 7.83   %         7.46  %             5.03  %          6.12  %          6.65  %
Overcollateralization (5) (6)                        $  158,489     $    218,121       $      48,614    $      46,392    $      35,765

Delinquency Trigger (7)                                        4.0%            4.0%              4.7  %           5.1  %           5.4  %


(1)   Approximately 1% of the production covered by the 2020-2 ILN Transaction
has coverage reporting dates between July 1, 2019 and March 31, 2020.
(2)  Approximately 1% of the production covered by the 2021-1 ILN Transaction
has coverage reporting dates between July 1, 2019 and September 30, 2020.
(3)  Approximately 2% of the production covered by the 2021-2 ILN Transaction
has coverage reporting dates between July 1, 2019 and March 31, 2021.
(4)   Absent a delinquency trigger, the subordinated coverage is capped at 7.5%,
6.25%, 6.75% and 7.45% for the 2019, 2020-2, 2021-1 and 2021-2 ILN Transactions,
respectively.
(5)  Overcollateralization for each of the 2018 and 2019 ILN Transactions is
equal to their current reinsurance coverage as the PMIERs required asset amount
on RIF ceded under each transaction is currently below its remaining first layer
retained loss.
(6)  May not be replicated based on the rounded figures presented in the table.
(7)  Delinquency triggers for the 2018 and 2019 ILN Transactions are set at a
fixed 4.0% and assessed on a discrete monthly basis; delinquency triggers for
the 2020-2, 2021-1 and 2021-2 ILN Transactions are equal to seventy-five percent
of the subordinated coverage level and assessed on the basis of a three-month
rolling average.

Traditional reinsurance

NMIC is a party to two excess-of-loss reinsurance agreements with broad panels
of third-party reinsurers - the 2022-1 XOL Transaction, effective April 1, 2022,
and the 2022-2 XOL Transaction, effective July 1, 2022 - which we refer to
collectively as the XOL Transactions. Each XOL Transaction provides NMIC with
aggregate excess-of-loss reinsurance coverage on a defined portfolio of mortgage
insurance policies. Under each agreement, NMIC retains a first layer of
aggregate loss exposure on covered policies and the reinsurers then provide
second layer loss protection up to a defined reinsurance coverage amount. The
reinsurance coverage amount of each XOL Transaction is set to approximate the
PMIERs minimum required assets of its reference pool and decreases from the
inception of each respective agreement over a ten-year period in the event the
PMIERs minimum required assets of the pool declines. NMIC retains losses in
excess of the outstanding reinsurance coverage amount.

As of September 30, 2022, NMIC's first layer aggregate retained loss exposure
under the 2022-1 and 2022-2 XOL Transactions, was $133.4 million and $78.9
million, respectively, and the outstanding reinsurance coverage amount provided
under each agreement was $284.0 million and $152.3 million, respectively.

NMIC holds optional termination rights which provide it the discretion to
terminate each XOL Transaction on or after a specified date. NMIC may also elect
to terminate the XOL Transactions at any point if the outstanding reinsurance
coverage amount amortizes to 10% or less of the reinsurance coverage amount
provided at inception, or if it determines that it will no longer be able to
take full PMIERs asset credit for the coverage. Additionally, under the terms of
the treaties, NMIC may selectively terminate its engagement with individual
reinsurers under certain circumstances. Such selective termination rights arise
when, among other reasons, a reinsurer experiences a deterioration in its
capital position below a prescribed threshold, and/or a reinsurer breaches (and
fails to cure) its collateral posting obligation.

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Each of the third party reinsurance providers that is party to the XOL
Transactions has an insurer financial strength rating of A- or better by
Standard & Poor’s Rating Service (S&P), AM Best Company Inc. (AM Best) Where
both.

Quota share reinsurance

NMIC is a party to six quota share reinsurance treaties - the 2016 QSR
Transaction, effective September 1, 2016, the 2018 QSR Transaction, effective
January 1, 2018, the 2020 QSR Transaction, effective April 1, 2020, the 2021 QSR
Transaction, effective January 1, 2021, the 2022 QSR Transaction, effective
October 1, 2021 and the 2022 Seasoned QSR Transaction, effective July 1, 2022 -
which we refer to collectively as the QSR Transactions. Under each of the QSR
Transactions, NMIC cedes a proportional share of its risk on eligible policies
to panels of third-party reinsurance providers. Each of the third-party
reinsurance providers that is party to the QSR Transactions has an insurer
financial strength rating of A- or better by Standard & Poor's Rating Service
(S&P), A.M. Best Company, Inc. (A.M. Best) or both.

Under the terms of the 2016 QSR Transaction, NMIC cedes premiums written related
to 25% of the risk on eligible primary policies written for all periods through
December 31, 2017 and 100% of the risk under our pool agreement with Fannie Mae,
in exchange for reimbursement of ceded claims and claim expenses on covered
policies, a 20% ceding commission, and a profit commission of up to 60% that
varies directly and inversely with ceded claims.

Under the terms of the 2018 QSR Transaction, NMIC cedes premiums earned related
to 25% of the risk on eligible policies written in 2018 and 20% of the risk on
eligible policies written in 2019, in exchange for reimbursement of ceded claims
and claim expenses on covered policies, a 20% ceding commission, and a profit
commission of up to 61% that varies directly and inversely with ceded claims.

Under the terms of the 2020 QSR Transaction, NMIC cedes premiums earned related
to 21% of the risk on eligible policies written from April 1, 2020 through
December 31, 2020, in exchange for reimbursement of ceded claims and claim
expenses on covered policies, a 20% ceding commission, and a profit commission
of up to 50% that varies directly and inversely with ceded claims.

Under the terms of the 2021 QSR Transaction, NMIC cedes premiums earned related
to 22.5% of the risk on eligible policies written in 2021 (subject to an
aggregate risk written limit which was exhausted on October 30, 2021), in
exchange for reimbursement of ceded claims and claim expenses on covered
policies, a 20% ceding commission, and a profit commission of up to 57.5% that
varies directly and inversely with ceded claims.

Under the terms of the 2022 QSR Transaction, NMIC cedes premiums earned related
to 20% of the risk on eligible policies written between October 30, 2021 and
December 31, 2022, in exchange for reimbursement of ceded claims and claims
expenses on covered policies, a 20% ceding commission, and a profit commission
of up to 62% that varies directly and inversely with ceded claims.

In connection with the 2022 QSR Transaction, NMIC entered into an additional
back-to-back quota share agreement that is scheduled to incept on January 1,
2023 (the 2023 QSR Transaction). Under the terms of the 2023 QSR Transactions,
NMIC will cede premiums earned related to 20% of the risk on eligible policies
written in 2023, in exchange for reimbursement of ceded claims and claim
expenses on covered policies, a 20% ceding commission, and a profit commission
of up to 62% that varies directly and inversely with ceded claims.

Under the terms of the 2022 Seasoned QSR Transaction, NMIC cedes premiums earned
related to 95% of the net risk on eligible policies primarily for a seasoned
pool of mortgage insurance policies that had previously been covered under the
now retired 2017 and 2020-1 ILN Transactions, after the consideration of
coverage provided by other QSR Transactions in exchange for reimbursement of
ceded claims and claim expenses on covered policies, a 35% ceding commission,
and a profit commission of up to 55% that varies directly and inversely with
ceded claims.

NMIC may elect to terminate its engagement with individual reinsurers on a
run-off basis (i.e., reinsurers continue providing coverage on all risk ceded
prior to the termination date, with no new cessions going forward) or cut-off
basis (i.e., the reinsurance arrangement is completely terminated with NMIC
recapturing all previously ceded risk) under certain circumstances. Such
selective termination rights arise when, among other reasons, a reinsurer
experiences a deterioration in its capital position below a prescribed threshold
and/or a reinsurer breaches (and fails to cure) its collateral posting
obligations under the relevant agreement.

Effective April 1, 2019, NMIC elected to terminate its engagement with one
reinsurer under the 2016 QSR Transaction on a cut-off basis. In connection with
the termination, NMIC recaptured approximately $500 million of previously ceded
primary RIF and stopped ceding new premiums written with respect to the
recaptured risk. With this termination, ceded premiums written

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under the 2016 QSR Transaction decreased from 25% to 20.5% on eligible policies.
The termination had no effect on the cession of pool risk under the 2016 QSR
Transaction.

See Item 1, "Financial Statements - Notes to Condensed Consolidated Financial
Statements - Note 5, Reinsurance" for further discussion of these third-party
reinsurance arrangements.

Portfolio Data

The following table presents primary and pool NIW and IIF as of the dates and
for the periods indicated. Unless otherwise noted, the tables below do not
include the effects of our third-party reinsurance arrangements described above.

Primary and pool IIF and
NIW                                        As of and for the three months ended                             For the nine months ended
                                                                                                        September 30,         September 30,
                                 September 30, 2022                    September 30, 2021                    2022                 2021
                               IIF                 NIW                IIF                NIW                           NIW
                                                                            (In Millions)
Monthly                   $   158,897          $ 16,676          $  124,767          $ 16,861          $      45,465          $   60,047
Single                         20,276               563              18,851             1,223                  2,550               7,185
Primary                       179,173            17,239             143,618            18,084                 48,015              67,232

Pool                            1,078                 -               1,339                 -                      -                   -
Total                     $   180,251          $ 17,239          $  144,957          $ 18,084          $      48,015          $   67,232



NIW for the three and nine months ended September 30, 2022 was $17.2 billion and
$48.0 billion compared to $18.1 billion and $67.2 billion for the three and nine
months ended September 30, 2021. NIW decreased year-on-year primarily due to a
decline in the size of the total mortgage insurance market.

Total IIF increased 24% at September 30, 2022 compared to September 30, 2021,
primarily due to the NIW generated between such measurement dates, partially
offset by the run-off of in-force policies. Our persistency rate improved to
80.1% at September 30, 2022 from 58.1% at September 30, 2021, reflecting a
slowdown in the pace of refinancing activity during the intervening twelve-month
period driven by an increase in interest and mortgage note rates.

The following table shows the net premiums written and earned for the periods
noted:

Primary and pool premiums written
and earned                              For the three months ended                       For the nine months ended
                                    September 30,         September 30,          September 30,
                                        2022                   2021                  2022               September 30, 2021
                                                                        (In Thousands)
Net premiums written              $      113,546          $   111,931          $      348,037          $          354,388
Net premiums earned                      118,317              113,594                 355,682                     330,361


Net premiums written increased 1% during the three months ended September 30,
2022 compared to the three months ended September 30, 2021 and decreased 2%
during the nine months ended September 30, 2022 compared to the nine months
ended September 30, 2021. The year-on-year development in net premiums written
reflects growth in our monthly IIF and monthly pay policy premium receipts
during the three and nine months ended September 30, 2022, balanced by a
decrease in single premium policy production during the periods.

Net premiums earned during the three and nine months ended September 30, 2022
increased 4% and 8%, respectively, compared to the three and nine months ended
September 30, 2021. The increases in the net premiums earned were primarily due
to the growth of our IIF, partially offset by a decrease in the contribution
from single premium policy cancellations and an increase in total premiums ceded
under our reinsurance transactions.

Pool premiums written and earned for the three and nine months ended
September 30, 2022 and 2021, were $0.3 million and $0.9 million, and
$0.4 million and $1.3 million, respectively, before giving effect to the 2016
QSR Transaction, under which all of our written and earned pool premiums are
ceded. A portion of our ceded pool premiums written and earned are recouped
through profit commission.

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Wallet statistics

Unless otherwise noted, the portfolio statistics tables presented below do not
include the effects of our third-party reinsurance arrangements described above.
The table below highlights trends in our primary portfolio as of the dates and
for the periods indicated.

Primary portfolio trends                                                    

From and for the three months ended

                                               September 30,                                                      December 31,        September 30,
                                                   2022             June 30, 2022          March 31, 2022             2021                2021
                                                                          ($ Values In Millions, except as noted below)
New insurance written                          $   17,239          $      

16,611 $14,165 $18,342 $18,084
Percentage of monthly premium

                          97  %                  94  %                   92  %               93  %               93  %
Percentage of single premium                            3  %                   6  %                    8  %                7  %                7  %
New risk written                               $    4,616          $       4,386          $        3,721          $    4,786          $    4,640
Insurance-in-force (1)                         $  179,173          $    

168,639 $158,877 $152,343 $143,618
Percentage of monthly premium

                          89  %                  88  %                   88  %               87  %               87  %
Percentage of single premium                           11  %                  12  %                   12  %               13  %               13  %
Risk-in-force (1)                              $   46,259          $      

43,260 $40,522 $38,661 $36,253
Policies in force (number) (1)

                     580,525                551,543                 526,976             512,316             490,714

Average amount of loans (value in thousands of dollars) (1) $309 $

$306 301 $297 $293
Coverage percentage (2)

                              25.8  %                25.7  %                 25.5  %             25.4  %             25.2  %
Loans in default (count) (1)                        4,096                  4,271                   5,238               6,227               7,670
Default rate (1)                                     0.71  %                0.77  %                 0.99  %             1.22  %             1.56  %
Risk-in-force on defaulted loans (1)           $      284          $         295          $          362          $      435          $      546
Net premium yield (3)                                0.27  %                0.30  %                 0.30  %             0.31  %             0.32  %
Earnings from cancellations                    $      1.8          $         2.2          $          2.9          $      5.1          $      7.7
Annual persistency (4)                               80.1  %                76.0  %                 71.5  %             63.8  %             58.1  %
Quarterly run-off (5)                                 4.0  %                 4.3  %                  5.0  %              6.7  %              8.1  %


(1)  Reported as of the end of the period.
(2)  Calculated as end of period 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.

The table below presents a summary of the evolution of the total primary ITC for the
dates and periods indicated.

                                              As of and for the three months           As of and for the nine months
Primary IIF                                                ended                                   ended
                                             September 30,       September 30,       September 30,       September 30,
                                                 2022                2021                2022                2021
                                                                           (In Millions)
IIF, beginning of period                     $  168,639          $  136,598          $  152,343          $  111,252
NIW                                              17,239              18,084              48,015              67,232
Cancellations, principal repayments and
other reductions                                 (6,705)            (11,064)            (21,185)            (34,866)
IIF, end of period                           $  179,173          $  143,618          $  179,173          $  143,618


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We consider a "book" to be a collective pool of policies insured during a
particular period, normally a calendar year. In general, the majority of
underwriting profit, calculated as earned premium revenue minus claims and
underwriting and operating expenses, generated by a particular book year emerges
in the years immediately following origination. This pattern generally occurs
because relatively few of the claims that a book will ultimately experience
typically occur in the first few years following origination, when premium
revenue is highest, while subsequent years are affected by declining premium
revenues, as the number of insured loans decreases (primarily due to loan
prepayments), and by increasing losses.

The table below presents a summary of our primary IIF and RIF by book year as of
the dates indicated.

Primary IIF and RIF           As of September 30, 2022                 As of September 30, 2021
                                  IIF                 RIF                  IIF                 RIF
                                                        (In Millions)
September 30, 2022      $       46,695             $ 12,385      $            -             $      -
2021                            74,507               19,025              64,885               16,274
2020                            36,869                9,386              47,196               11,848
2019                             9,621                2,527              14,502                3,800
2018                             3,755                  965               5,675                1,446
2017 and before                  7,726                1,971              11,360                2,885

Total                   $      179,173             $ 46,259      $      143,618             $ 36,253


We utilize certain risk principles that form the basis of how we underwrite and
originate NIW. We have established prudential underwriting standards and
loan-level eligibility matrices which prescribe the maximum LTV, minimum
borrower FICO score, maximum borrower DTI ratio, maximum loan size, property
type, loan type, loan term and occupancy status of loans that we will insure and
memorialized these standards and eligibility matrices in our Underwriting
Guideline Manual that is publicly available on our website. Our underwriting
standards and eligibility criteria are designed to limit the layering of risk in
a single insurance policy. "Layered risk" refers to the accumulation of
borrower, loan and property risk. For example, we have higher credit score and
lower maximum allowed LTV requirements for investor-owned properties, compared
to owner-occupied properties. We monitor the concentrations of various risk
attributes in our insurance portfolio, which may change over time, in part, as a
result of regional conditions or public policy shifts.

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The tables below present our primary NIW by FICO, LTV and purchase/refinance mix
for the periods indicated. We calculate the LTV of a loan as the percentage of
the original loan amount to the original purchase value of the property securing
the loan.

Primary NIW by FICO                               For the three months ended                    For the nine months ended
                                              September 30,          September 30,         September 30,          September 30,
                                                  2022                   2021                   2022                  2021
                                                                               (In Millions)
>= 760                                      $        6,815          $      8,073          $      21,177          $     32,377
740-759                                              3,663                 3,254                  8,951                12,812
720-739                                              2,751                 2,563                  6,744                 9,678
700-719                                              2,245                 2,099                  5,534                 6,255
680-699                                              1,477                 1,487                  3,998                 4,139
<=679                                                  288                   608                  1,611                 1,971
Total                                       $       17,239          $     18,084          $      48,015          $     67,232
Weighted average FICO                                  748                   749                    749                   753


Primary NIW by LTV                                    For the three months ended                             For the nine months ended
                                            September 30, 2022          September 30, 2021         September 30, 2022         September 30, 2021
                                                                                       (In Millions)
95.01% and above                           $           1,610           $          1,957           $          4,553           $          6,585
90.01% to 95.00%                                       9,398                      8,344                     24,706                     29,336
85.01% to 90.00%                                       4,505                      4,961                     13,145                     19,071
85.00% and below                                       1,726                      2,822                      5,611                     12,240
Total                                      $          17,239           $         18,084           $         48,015           $         67,232
Weighted average LTV                                    92.6   %                   91.8   %                   92.3   %                   91.3   %


Primary NIW by purchase/refinance mix           For the three months ended                    For the nine months ended
                                            September 30,          

September 30, September 30, September 30,

                                                2022                   2021                   2022                  2021
                                                                             (In Millions)
Purchase                                  $       16,944          $     16,400          $      46,545          $     53,220
Refinance                                            295                 1,684                  1,470                14,012
Total                                     $       17,239          $     18,084          $      48,015          $     67,232



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The tables below show our total primary IIF and RIF by FICO and LTV, and
Total Primary FRR by loan type on the dates indicated.

Primary IIF by FICO                                  As of
                              September 30, 2022                September 30, 2021
                                             ($ Values In Millions)
>= 760                  $          87,152        48  %    $          73,080        51  %
740-759                            31,770        18                  24,676        17
720-739                            25,089        14                  19,898        14
700-719                            17,852        10                  13,206         9
680-699                            12,185         7                   8,678         6
<=679                               5,125         3                   4,080         3
Total                   $         179,173       100  %    $         143,618       100  %


Primary RIF by FICO                                                               As of
                                                       September 30, 2022                      September 30, 2021
                                                                         ($ Values In Millions)
>= 760                                          $   22,125                  48  %       $   18,200                  51  %
740-759                                              8,298                  18               6,280                  17
720-739                                              6,574                  14               5,086                  14
700-719                                              4,747                  10               3,432                   9
680-699                                              3,223                   7               2,243                   6
<=679                                                1,292                   3               1,012                   3
Total                                           $   46,259                 100  %       $   36,253                 100  %


Primary IIF by LTV                                As of
                           September 30, 2022                September 30, 2021
                                          ($ Values In Millions)
95.01% and above     $          17,269        10  %    $          13,179         9  %
90.01% to 95.00%                84,396        47                  63,828        45
85.01% to 90.00%                53,456        30                  44,451        31
85.00% and below                24,052        13                  22,160        15
Total                $         179,173       100  %    $         143,618       100  %


Primary RIF by LTV                                        As of
                               September 30, 2022                        September 30, 2021
                                                  ($ Values In Millions)
95.01% and above     $          5,308                 12  %    $          3,932                 11  %
90.01% to 95.00%               24,921                 54                 18,810                 52
85.01% to 90.00%               13,167                 28                 10,902                 30
85.00% and below                2,863                  6                  2,609                  7
Total                $         46,259                100  %    $         36,253                100  %


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Primary RIF by Loan Type                              As of
                                   September 30, 2022            September 30, 2021

Fixed                                                  99  %                   99  %
Adjustable rate mortgages:
Less than five years                                    -                       -
Five years and longer                                   1                       1
Total                                                 100  %                  100  %


The table below presents selected primary portfolio statistics, by book year, as
of September 30, 2022.
                                                                                                                    As of September 30, 2022
                   Original              Remaining           % Remaining of                                                                                                                             Incurred Loss
                  Insurance            Insurance in             Original                                              Number of Policies in         Number of Loans                                    Ratio (Inception        Cumulative Default       Current Default
Book Year          Written                 Force                Insurance             Policies Ever in Force                  Force                   in Default             # of Claims Paid            to Date) (1)               Rate (2)               Rate (3)
                                                                                                                                ($ Values In Millions)
2013           $         162          $          5                       3  %                    655                                 38                       1                       1                           1.0  %                   0.3  %                2.6  %
2014                   3,451                   222                       6  %                 14,786                              1,374                      30                      50                           4.0  %                   0.5  %                2.2  %
2015                  12,422                 1,332                      11  %                 52,548                              7,363                     147                     125                           2.8  %                   0.5  %                2.0  %
2016                  21,187                 2,911                      14  %                 83,626                             15,009                     315                     141                           2.5  %                   0.5  %                2.1  %
2017                  21,582                 3,256                      15  %                 85,897                             17,140                     526                     115                           3.4  %                   0.7  %                3.1  %
2018                  27,295                 3,755                      14  %                104,043                             19,145                     648                     103                           5.5  %                   0.7  %                3.4  %
2019                  45,141                 9,621                      21  %                148,423                             40,171                     673                      27                           6.6  %                   0.5  %                1.7  %
2020                  62,702                36,869                      59  %                186,174                            118,938                     625                       3                           3.9  %                   0.3  %                0.5  %
2021                  85,574                74,507                      87  %                257,972                            231,306                   1,027                       1                           5.3  %                   0.4  %                0.4  %
2022                  48,015                46,695                      97  %                132,911                            130,041                     104                       -                           4.9  %                   0.1  %                0.1  %
Total          $     327,531          $    179,173                                         1,067,035                            580,525                   4,096                     566


(1)  Calculated as total 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.

Geographic Dispersion

The following table shows the distribution by state of our primary RIF as of the
dates indicated. The distribution of our primary RIF as of September 30, 2022 is
not necessarily representative of the geographic distribution we expect in the
future.

Top 10 primary RIF by state                            As of
                                    September 30, 2022            September 30, 2021
California                                            10.7  %                 10.2  %
Texas                                                  8.7                     9.9
Florida                                                8.2                     8.6
Virginia                                               4.2                     4.9
Georgia                                                4.1                     3.7
Illinois                                               4.0                     3.7
Washington                                             3.9                     3.5
Colorado                                               3.5                     4.0
Maryland                                               3.4                     3.8
Pennsylvania                                           3.4                     3.2

Total                                                 54.1  %                 55.5  %



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Insurance claims and claim costs

Insurance claims and claim expenses incurred represent estimated future payments
on newly defaulted insured loans and any change in our claim estimates for
previously existing defaults. Claims incurred are generally affected by a
variety of factors, including the macroeconomic environment, national and
regional unemployment trends, changes in housing values, borrower risk
characteristics, LTV ratios and other loan level risk attributes, the size and
type of loans insured, the percentage of coverage on insured loans, and the
level of reinsurance coverage maintained against insured exposures.

Reserves for claims and claim expenses are established for mortgage loans that
are in default. A loan is considered to be in default as of the payment date at
which a borrower has missed the preceding two or more consecutive monthly
payments. We establish reserves for loans that have been reported to us in
default by servicers, referred to as case reserves, and additional loans that we
estimate (based on actuarial review and other factors) to be in default that
have not yet been reported to us by servicers, referred to as IBNR. We also
establish reserves for claim expenses, which represent the estimated cost of the
claim administration process, including legal and other fees and other general
expenses of administering the claim settlement process. Reserves are not
established for future claims on insured loans which are not currently reported
or which we estimate are not currently in default.

Reserves are established by estimating the number of loans in default that will
result in a claim payment, which is referred to as claim frequency, and the
amount of the claim payment expected to be paid on each such loan in default,
which is referred to as claim severity. Claim frequency and severity estimates
are established based on historical observed experience regarding certain loan
factors, such as age of the default, cure rates, size of the loan and estimated
change in property value. Reserves are released the month in which a loan in
default is brought current by the borrower, which is referred to as a cure.
Adjustments to reserve estimates are reflected in the period in which the
adjustment is made. Reserves are also ceded to reinsurers under the QSR
Transactions and ILN Transactions, as applicable under each treaty. We have not
yet ceded any reserves under the ILN Transactions as incurred claims and claim
expenses on each respective reference pool remain within our retained coverage
layer of each transaction. Our pool insurance agreement with Fannie Mae contains
a claim deductible through which Fannie Mae absorbs specified losses before we
are obligated to pay any claims. We have not established any claims or claim
expense reserves for pool exposure to date.

The actual claims we incur as our portfolio matures are difficult to predict and
depend on the specific characteristics of our current in-force book (including
the credit score and DTI of the borrower, the LTV ratio of the mortgage and
geographic concentrations, among others), as well as the risk profile of new
business we write in the future. In addition, claims experience will be affected
by macroeconomic factors such as housing prices, interest rates, unemployment
rates and other events, such as natural disasters or global pandemics, and any
federal, state or local governmental response thereto.

Our reserve setting process considers the beneficial impact of forbearance,
foreclosure moratorium and other assistance programs available to defaulted
borrowers. We generally observe that forbearance programs are an effective tool
to bridge dislocated borrowers from a time of acute stress to a future date when
they can resume timely payment of their mortgage obligations. The effectiveness
of forbearance programs is enhanced by the availability of various repayment and
loan modification options which allow borrowers to amortize or, in certain
instances, outright defer payments otherwise due during the forbearance period
over an extended length of time.

In response to the COVID-19 pandemic, politicians, regulators, lenders, loan
servicers and others have offered extraordinary assistance to dislocated
borrowers through, among other programs, the forbearance, foreclosure moratorium
and other assistance programs codified under the Coronavirus Aid, Relief, and
Economic Security Act (CARES Act). The FHFA and GSEs have offered further
assistance by introducing new repayment and loan modification options to assist
borrowers with their transition out of forbearance programs and default status.
We generally observe that forbearance, repayment and modification, and other
assistance programs aid affected borrowers and drive higher cure rates on
defaults than would otherwise be expected on similarly situated loans that did
not benefit from broad-based assistance programs.

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

                                                For the three months ended                  For the nine months ended
                                            September 30,         September 30,         September 30,         September 30,
                                                 2022                 2021                  2022                  2021
                                                                            (In Thousands)
Beginning balance                          $      98,462          $  

101,235 $103,551 $90,567
Less reinsurance receivables (1)

                (19,588)            (19,726)                (20,320)            (17,608)
Beginning balance, net of reinsurance
recoverables                                      78,874              81,509                  83,231              72,959

Add claims incurred:
Claims and claim (benefits) expenses
incurred:
Current year (2)                                   9,348               3,649                  28,135              19,275
Prior years (3)                                  (12,737)               (445)                (35,179)             (6,469)
Total claims and claim (benefits) expenses
incurred                                          (3,389)              3,204                  (7,044)             12,806

Less claims paid:
Claims and claim expenses paid:
Current year (2)                                      47                   3                      73                  15
Prior years (3)                                      249                 526                     925               1,566

Total claims and claim expenses paid                 296                 529                     998               1,581

Reserve at end of period, net of
reinsurance recoverables                          75,189              84,184                  75,189              84,184
Add reinsurance recoverables (1)                  19,755              20,420                  19,755              20,420
Ending balance                             $      94,944          $  104,604          $       94,944          $  104,604


(1)  Related to ceded losses recoverable under the QSR Transactions. See Item 1,
"Financial Statements - Notes to Condensed Consolidated Financial Statements -
Note 5, Reinsurance" for additional information.
(2) Related to insured loans with their most recent defaults occurring in the
current year. For example, if a loan 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
$23.3 million attributed to net case reserves and $4.2 million attributed to net
IBNR reserves for the nine months ended September 30, 2022 and $14.0 million
attributed to net case reserves and $4.8 million attributed to net IBNR reserves
for the nine months ended September 30, 2021.
(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 $29.2 million attributed to net case
reserves and $4.7 million attributed to net IBNR reserves for the nine months
ended September 30, 2022 and $1.8 million attributed to net case reserves and
$5.0 million attributed to net IBNR reserves for the nine months ended
September 30, 2021.

The "claims incurred" section of the table above shows claims and claim
(benefits) expenses incurred on defaults occurring in current and prior years,
including IBNR reserves and is presented net of reinsurance. We may increase or
decrease our claim estimates and reserves as we learn additional information
about individual defaulted loans, and continue to observe and analyze loss
development trends in our portfolio. Gross reserves of $58.9 million related to
prior year defaults remained as of September 30, 2022.

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The following table provides a reconciliation of the beginning and ending count
of loans in default:

                                                        For the three months ended                                       For the nine months ended
                                           September 30, 2022                 September 30, 2021           September 30, 2022                 September 30, 2021
Beginning default inventory                       4,271                              8,764                        6,227                             12,209
Plus: new defaults                                1,354                              1,624                        3,586                              4,486
Less: cures                                      (1,511)                            (2,694)                      (5,654)                            (8,964)
Less: claims paid                                   (16)                               (24)                         (59)                               (59)
Less: rescission and claims denied                   (2)                                 -                           (4)                                (2)

Ending default inventory                          4,096                              7,670                        4,096                              7,670


Ending default inventory declined from September 30, 2021 to September 30, 2022
as borrowers initially impacted by the COVID-19 pandemic continued to cure their
delinquencies, and fewer new defaults emerged as the acute economic stress of
the pandemic crisis continued to recede. While our default population declined
from September 30, 2021 to September 30, 2022, our default inventory remains
elevated compared to historical experience due to the continued challenges
certain borrowers are facing related to the COVID-19 pandemic and their decision
to access the forbearance program for federally backed loans codified under the
CARES Act or similar programs made available by private lenders. As of
September 30, 2022, 2,145 of our 4,096 defaulted loans were in a COVID-19
related forbearance program.

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

                                                  For the three months ended                          For the nine months ended
                                                                                                                         September 30,
                                         September 30, 2022         September 30, 2021         September 30, 2022             2021
                                                                               ($ In Thousands)
Number of claims paid (1)                            16                         24                          59                    59
Total amount paid for claims            $           376            $           674            $          1,249           $     1,982
Average amount paid per claim           $            24            $            28            $             21           $        34
Severity (2)                                         55    %                    55    %                     46   %                60  %


(1)  Count includes three and 19 claims settled without payment during the three
and nine months ended September 30, 2022, respectively, and six and ten claims
settled without payment during the three and nine months ended September 30,
2021, 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.

We paid 16 and 59 claims during the three and nine months ended September 30,
2022, respectively, and 24 and 59 claims during the three and nine months ended
September 30, 2021, respectively. The number of claims paid was modest relative
to the size of our insured portfolio and number of defaulted loans we reported
in each period, primarily due to the forbearance program and foreclosure
moratorium implemented by the GSEs in response to the COVID-19 pandemic and
codified under the CARES Act. Such forbearance and foreclosure programs have
extended, and may ultimately interrupt, the timeline over which loans would
otherwise progress through the default cycle to a paid claim. Our claims paid
experience for the three and nine months ended September 30, 2022 and 2021,
further benefited from broad national house price appreciation. An increase in
the value of the homes collateralizing the mortgages we insure provides
defaulted borrowers with alternative paths and incentives to cure their loan
prior to the development of a claim.

Our claims severity for the three and nine months ended September 30, 2022 was
55% and 46%, respectively, compared to 55% and 60% for the three and nine months
ended September 30, 2021, respectively. Claims severity for the three and nine
months ended September 30, 2022 and 2021 remained low compared to historical
industry experience, primarily because of the same broad national house price
appreciation that our claims paid benefit from. An increase in the value of the
homes collateralizing the mortgages we insure provides additional equity support
to our risk exposure and raises the prospect of a third-party sale of a
foreclosed property, which can mitigate the severity of our settled claims.

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The following table provides detail on our average reserve per default, before
giving effect to reserves ceded under the QSR Transactions, as of the dates
indicated:

Average reserve per default:      As of September 30, 2022      As of September 30, 2021
                                                      (In Thousands)
Case (1)                         $                   21.5      $                   12.6
IBNR (1)(2)                                           1.7                           1.0
Total                            $                   23.2      $                   13.6


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

Average reserve per default increased from September 30, 2021 to September 30,
2022 primarily due to the "aging" of early COVID-related defaults. While we have
generally established lower reserves for defaults that we consider to be
connected to the COVID-19 pandemic given our expectation that forbearance,
repayment and modification, and other assistance programs will aid affected
borrowers and drive higher cure rates on such defaults than we would otherwise
expect to experience on similarly situated loans that did not benefit from
broad-based assistance programs, we have increased such reserves over time as
individual defaults remain outstanding or "age." The increased average reserve
per default at September 30, 2022 also reflects an incrementally conservative
set of assumptions about future macroeconomic and housing market conditions
compared to those assumed at September 30, 2021.

While the default average reserve has increased from September 30, 2021 at
September 30, 2022our overall gross reserve position declined over the
interim period due to the significant decline in our total default rate
inventory.

GSE supervision

As an approved insurer, NMIC is subject to ongoing compliance with the PMIERs
established by each of the GSEs (italicized terms have the same meaning that
such terms have in the PMIERs, as described below). The PMIERs establish
operational, business, remedial and financial requirements applicable to
approved insurers. The PMIERs financial requirements prescribe a risk-based
methodology whereby the amount of assets required to be held against each
insured loan is determined based on certain loan-level risk characteristics,
such as FICO, vintage (year of origination), performing vs. non-performing
(i.e., current vs. delinquent), LTV ratio and other risk features. In general,
higher quality loans carry lower asset charges.

Under the PMIERs, approved insurers must maintain available assets that equal or
exceed minimum required assets, which is an amount equal to the greater of (i)
$400 million or (ii) a total risk-based required asset amount. The risk-based
required asset amount is a function of the risk profile of an approved insurer's
RIF, assessed on a loan-by-loan basis and considered against certain risk-based
factors derived from tables set out in the PMIERs, which is then adjusted on an
aggregate basis for reinsurance transactions approved by the GSEs, such as with
respect to our ILN Transactions and QSR Transactions. The aggregate gross
risk-based required asset amount for performing, primary insurance is subject to
a floor of 5.6% of performing primary adjusted RIF, and the risk-based required
asset amount for pool insurance considers both factors in the PMIERs tables and
the net remaining stop loss for each pool insurance policy.

By April 15th of each year, NMIC must certify it met all PMIERs requirements as
of December 31st of the prior year. We certified to the GSEs by April 15, 2022
that NMIC was in full compliance with the PMIERs as of December 31, 2021. NMIC
also has an ongoing obligation to immediately notify the GSEs in writing upon
discovery of a failure to meet one or more of the PMIERs requirements. We
continuously monitor NMIC's compliance with the PMIERs.

The following table provides a comparison of the PMIERs available assets and
risk-based required asset amount as reported by NMIC as of the dates indicated:

                                                  As of
                               September 30, 2022       September 30, 2021
                                              (In Thousands)
Available assets              $         2,275,487      $         1,992,964
Risk-based required assets              1,172,581                1,365,656



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Available assets were $2.3 billion at September 30, 2022, compared to $2.0
billion at September 30, 2021. The $283 million increase in available assets
between the dates presented was primarily driven by NMIC's positive cash flow
from operations during the intervening period, partially offset by the payment
of an ordinary course dividend by NMIC to NMIH in April 2022 and the
extraordinary dividend paid from Re One to NMIH following the termination and
commutation of the reinsurance agreement between NMIC and Re One in December
2021.

The decrease in the amount of assets required according to the risk between the dates presented
was primarily due to an increase in ceded risk under our
reinsurance agreements, partially offset by the growth of our gross FRR and
overall amount of assets required based on gross risk.

Competition

The MI industry is highly competitive and currently consists of six private
mortgage insurers, including NMIC, as well as government MIs such as the FHA,
USDA or VA. Private MI companies compete based on service, customer
relationships, underwriting and other factors, including price, credit risk
tolerance and IT capabilities. We expect the private MI market to remain
competitive, with pressure for industry participants to maintain or grow their
market share.

The private MI industry overall competes more broadly with government MIs who
significantly increased their share in the MI market following the 2008
Financial Crisis. Although there has been broad policy consensus toward the need
for increasing private capital participation and decreasing government exposure
to credit risk in the U.S. housing finance system, it remains difficult to
predict whether the combined market share of government MIs will recede to
pre-2008 levels. A range of factors influence a lender's and borrower's decision
to choose private over government MI, including among others, premium rates and
other charges, loan eligibility requirements, the cancelability of private
coverage, loan size limits and the relative ease of use of private MI products
compared to government MI alternatives.

LIBOR Transition

On March 5, 2021, ICE Benchmark Administration Limited (IBA), the administrator
for LIBOR, confirmed it would permanently cease the publication of overnight,
one-month, three-month, six-month and twelve-month USD LIBOR settings in their
current form after June 30, 2023. The U.K. Financial Conduct Authority, the
regulator of IBA, announced on the same day that it intends to stop requiring
panel banks to continue to submit to LIBOR and all USD LIBOR settings in their
current form will either cease to be provided by any administrator or no longer
be representative after June 30, 2023. We have exposure to USD LIBOR-based
financial instruments, such as LIBOR-based securities held in our investment
portfolio and certain ILN Transactions that require LIBOR-based payments. We are
in the process of reviewing our LIBOR-based contracts and transitioning, as
necessary and applicable, to a set of alternative reference rates. We will
continue to monitor, assess and plan for the phase out of LIBOR; however, we do
not expect the impact of such transition to be material to our operations or
financial results.


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