Press Release

NMI Holdings, Inc. Reports First Quarter 2021 Financial Results
May 04, 2021

EMERYVILLE, Calif., May 04, 2021 (GLOBE NEWSWIRE) -- NMI Holdings, Inc. (Nasdaq: NMIH) today reported net income of $52.9 million, or $0.61 per diluted share, for the first quarter ended March 31, 2021, which compares to $48.3 million, or $0.56 per diluted share, in the fourth quarter ended December 31, 2020 and $58.3 million, or $0.74 per diluted share, in the first quarter ended March 31, 2020. Adjusted net income for the quarter was $53.4 million, or $0.62 per diluted share, which compares to $50.8 million, or $0.59 per diluted share, in the fourth quarter ended December 31, 2020 and $52.7 million, or $0.75 per diluted share, in the first quarter ended March 31, 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 achieved record NIW volume, significant growth in our insured portfolio and strong financial performance in the first quarter. We helped more borrowers than ever before gain access to housing and continued to differentiate with our lender customers. Our credit performance remained favorable and we are increasingly optimistic as the stress of the COVID pandemic has begun to recede, the outlook for the economy has improved sharply and the housing market continues to strengthen.”

Selected first quarter 2021 highlights include:

  • New insurance written was $26.4 billion, up 33% compared to $19.8 billion in the fourth quarter and 134% compared to $11.3 billion in the first quarter of 2020

  • Primary insurance-in-force at quarter end was $123.8 billion, up 11% from $111.3 billion at the end of the fourth quarter and 26% compared to the first quarter of 2020

  • Net premiums earned were $105.9 million, up 5% compared to $100.7 million in the fourth quarter and 7% compared to $98.7 million in the first quarter of 2020

  • Underwriting and operating expenses were $34.1 million, including $378 thousand of capital market transaction costs, compared to $35.0 million in the fourth quarter and $32.3 million in the first quarter of 2020

  • Insurance claims and claim expenses were $5.0 million, compared to $3.5 million in the fourth quarter and $5.7 million in the first quarter of 2020

  • At quarter-end, cash and investments were $1.9 billion and shareholders’ equity was $1.4 billion, equal to $16.13 per share

  • Annualized return on equity for the quarter was 15.4% and annualized adjusted return on equity was 15.5%

  • At quarter-end, the company reported total PMIERs available assets of $1.8 billion and net risk-based required assets of $1.3 billion

Concurrent with the release of first quarter earnings, the company has filed a Form 8-K that includes selected operating statistics for the month ended April 30, 2021. Investors may access the Form 8-K on the company’s website, www.nationalmi.com, in the “Investor Relations” section.

  Quarter
Ended
Quarter
Ended
Quarter
Ended
Change (1)Change (1)
  3/31/202112/31/20203/31/2020Q/QY/Y
INSURANCE METRICS ($billions)
Primary Insurance-in-Force$123.8 $111.3 $98.5 11%26%
New Insurance Written - NIW     
 Monthly premium23.8 17.8 10.5 34%127%
 Single premium2.6 2.0 0.8 32%215%
 Total26.4 19.8 11.3 33%134%
      
FINANCIAL HIGHLIGHTS ($millions, except per share amounts)
Net Premiums Earned$105.9 $100.7 $98.7 5%7%
Insurance Claims and Claim Expenses5.0 3.5 5.7 40%(13)%
Underwriting and Operating Expenses34.1 35.0 32.3 (3)%6%
Net Income52.9 48.3 58.3 10%(9)%
Adjusted Net Income53.4 50.8 52.7 5%1%
Cash and Investments 1,947  1,931  1,180 1%65%
Shareholders' Equity1,380 1,370 975 1%42%
Book Value per Share 16.13  16.08  14.15 %14%
Loss Ratio4.7%3.5%5.8%  
Expense Ratio32.2%34.7%32.7%  

(1) Percentages may not be replicated based on the rounded figures presented in the table.

Conference Call and Webcast Details
   
The company will hold a conference call, which will be webcast live today, May 4, 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: 1887668 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 Company’s 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 world’s financial and capital markets and our access to such markets, including reinsurance; adoption of new or changes to existing laws 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 timing and eventual implementation of the final rules concerning "Qualified Mortgage" and “Qualified Residential Mortgage” definitions and the expiration of the “QM Patch” under the Dodd-Frank Act Ability to Repay/Qualified Mortgage rule; 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; 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 discrete, non-recurring and 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 discrete, non-recurring and 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) Infrequent or unusual non-operating items. Items that are the result of unforeseen or uncommon events, which occur separately from operating earnings and are not expected to recur 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. 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 non-recurring in nature, are not part of our primary operating activities and do not reflect our current period operating results.

Investor Contact
John M. Swenson
Vice President, Investor Relations and Treasury
john.swenson@nationalmi.com
(510) 788-8417

Press Contact
Mary McGarity
Strategic Vantage Mortgage Public Relations
(203) 513-2721
MaryMcGarity@StrategicVantage.com


Consolidated statements of operations and comprehensive income For the three months ended March 31,
 2021 2020
  
Revenues(In Thousands, except for per share data)
Net premiums earned$105,879  $98,717 
Net investment income8,814  8,104 
Net realized investment losses  (72)
Other revenues501  900 
Total revenues115,194  107,649 
Expenses   
Insurance claims and claim expenses4,962  5,697 
Underwriting and operating expenses34,065  32,277 
Service expenses591  734 
Interest expense7,915  2,744 
Loss (gain) from change in fair value of warrant liability205  (5,959)
Total expenses47,738  35,493 
    
Income before income taxes67,456  72,156 
Income tax expense14,565  13,885 
Net income$52,891  $58,271 
    
Earnings per share   
Basic$0.62  $0.85 
Diluted$0.61  $0.74 
    
Weighted average common shares outstanding   
Basic85,317  68,563 
Diluted86,487  70,401 
    
Loss ratio(1)4.7% 5.8%
Expense ratio(2)32.2% 32.7%
Combined ratio36.9% 38.5%
    
Net income$52,891  $58,271 
    
Other comprehensive loss, net of tax:   
Unrealized losses in accumulated other comprehensive loss, net of tax benefit of $11,997 and $3,424 for the quarters ended March 31, 2021 and 2020, respectively(45,133) (12,881)
Reclassification adjustment for realized losses included in net income, net of tax benefit of $15 for the quarter ended March 31, 2020  57 
Other comprehensive loss, net of tax(45,133) (12,824)
Comprehensive income$7,758  $45,447 

(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.


Consolidated balance sheetsMarch 31, 2021 December 31, 2020
  
Assets(In Thousands, except for share data)
Fixed maturities, available-for-sale, at fair value (amortized cost of $1,815,190 and
$1,730,835 as of March 31, 2021 and December 31, 2020, respectively)
$1,831,511  $1,804,286 
Cash and cash equivalents (including restricted cash of $4,868 and $5,555 as of
March 31, 2021 and December 31, 2020, respectively)
115,517  126,937 
Premiums receivable52,206  49,779 
Accrued investment income10,495  9,862 
Prepaid expenses4,999  3,292 
Deferred policy acquisition costs, net62,294  62,225 
Software and equipment, net31,298  29,665 
Intangible assets and goodwill3,634  3,634 
Prepaid reinsurance premiums4,842  6,190 
Reinsurance recoverable18,686  17,608 
Other assets52,349  53,188 
Total assets$2,187,831  $2,166,666 
    
Liabilities   
Debt$393,622  $393,301 
Unearned premiums127,407  118,817 
Accounts payable and accrued expenses57,139  61,716 
Reserve for insurance claims and claim expenses96,103  90,567 
Reinsurance funds withheld7,569  8,653 
Warrant liability, at fair value4,239  4,409 
Deferred tax liability, net115,150  112,586 
Other liabilities6,294  7,026 
Total liabilities807,523  797,075 
    
Shareholders' equity   
Common stock - class A shares, $0.01 par value; 85,599,908 and 85,163,039 shares
issued and outstanding as of March 31, 2021 and December 31, 2020, respectively
(250,000,000 shares authorized)
856  852 
Additional paid-in capital940,827  937,872 
Accumulated other comprehensive income, net of tax8,723  53,856 
Retained earnings429,902  377,011 
Total shareholders' equity1,380,308  1,369,591 
Total liabilities and shareholders' equity$2,187,831  $2,166,666 


Non-GAAP Financial Measure Reconciliations
 Quarter ended Quarter ended Quarter ended
 3/31/2021 12/31/2020 3/31/2020
As Reported(In Thousands, except for per share data)
Revenues     
Net premiums earned$105,879  $100,709  $98,717 
Net investment income8,814  8,386  8,104 
Net realized investment gains (losses)  295  (72)
Other revenues501  513  900 
Total revenues115,194  109,903  107,649 
Expenses     
Insurance claims and claim expenses4,962  3,549  5,697 
Underwriting and operating expenses34,065  34,994  32,277 
Service expenses591  459  734 
Interest expense7,915  7,906  2,744 
Loss (gain) from change in fair value of warrant liability205  1,379  (5,959)
Total expenses47,738  48,287  35,493 
      
Income before income taxes67,456  61,616  72,156 
Income tax expense14,565  13,348  13,885 
Net income $52,891  $48,268  $58,271 
      
Adjustments:     
Net realized investment (gains) losses  (295) 72 
Loss (gain) from change in fair value of warrant liability205  1,379  (5,959)
Capital markets transaction costs378  1,719  474 
Adjusted income before taxes68,039  64,419  66,743 
      
Income tax expense on adjustments79  299  115 
Adjusted net income$53,395  $50,772  $52,743 
      
Weighted average diluted shares outstanding86,487  86,250  70,401 
      
Diluted EPS (1)$0.61  $0.56  $0.74 
Adjusted diluted EPS $0.62  $0.59  $0.75 
      
Return-on-equity 15.4% 14.4% 24.5%
Adjusted return-on-equity15.5% 15.2% 22.1%
      
      
Expense ratio (2)32.2% 34.7% 32.7%
Adjusted expense ratio (3)31.8% 33.0% 32.2%
      
Combined ratio (4)36.9% 38.3% 38.5%
Adjusted combined ratio (5)36.5% 36.6% 38.0%

(1) Diluted net income for the quarter ended March 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) 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 insurance claims and claims expense by net premiums earned.


Historical Quarterly Data2021 2020 2019
 March 31 December 31 September 30 June 30 March 31 December 31
  
Revenues(In Thousands, except for per share data)
Net premiums earned$105,879  $100,709  $98,802  $98,944  $98,717  $95,517 
Net investment income8,814  8,386  8,337  7,070  8,104  7,962 
Net realized investment gains (losses)  295  (4) 711  (72) 264 
Other revenues501  513  648  1,223  900  1,154 
Total revenues115,194  109,903  107,783  107,948  107,649  104,897 
Expenses           
Insurance claims and claim expenses4,962  3,549  15,667  34,334  5,697  4,269 
Underwriting and operating expenses34,065  34,994  33,969  30,370  32,277  31,296 
Service expenses591  459  557  1,090  734  937 
Interest expense7,915  7,906  7,796  5,941  2,744  2,974 
Loss (gain) from change in fair value of warrant liability205  1,379  437  1,236  (5,959) 2,632 
Total expenses47,738  48,287  58,426  72,971  35,493  42,108 
            
Income before income taxes67,456  61,616  49,357  34,977  72,156  62,789 
Income tax expense14,565  13,348  11,178  8,129  13,885  12,594 
Net income$52,891  $48,268  $38,179  $26,848  $58,271  $50,195 
            
Earnings per share           
Basic$0.62  $0.57  $0.45  $0.36  $0.85  $0.74 
Diluted$0.61  $0.56  $0.45  $0.36  $0.74  $0.71 
            
Weighted average common shares outstanding           
Basic85,317  84,956  84,805  73,617  68,563  68,140 
Diluted86,487  86,250  85,599  74,174  70,401  70,276 
            
Other data           
Loss Ratio(1)4.7% 3.5% 15.9% 34.7% 5.8% 4.5%
Expense Ratio(2)32.2% 34.7% 34.4% 30.7% 32.7% 32.8%
Combined ratio (3)36.9% 38.3% 50.2% 65.4% 38.5% 37.2%

(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.

Primary portfolio trendsAs of and for the three months ended
 March 31,
2021
 December 31,
2020
 September 30,
2020
 June 30, 2020 March 31,
2020
 December 31,
2019
 ($ Values In Millions, except as noted below)
New insurance written$26,397  $19,782  $18,499  $13,124  $11,297  $11,949 
New risk written6,531  4,868  4,577  3,260  2,897  3,082 
Insurance in force (IIF) (1)123,777  111,252  104,494  98,905  98,494  94,754 
Risk in force (1)31,206  28,164  26,568  25,238  25,192  24,173 
Policies in force (count) (1)436,652  399,429  381,899  372,934  376,852  366,039 
Average loan size ($ value in thousands) (1)$283  $279  $274  $265  $261  $259 
Coverage percentage (2)25.2% 25.3% 25.4% 25.5% 25.6% 25.5%
Loans in default (count) (1)11,090  12,209  13,765  10,816  1,449  1,448 
Default rate (1)2.54% 3.06% 3.60% 2.90% 0.38% 0.40%
Risk in force on defaulted loans (1)$785  $874  $1,008  $799  $84  $84 
Net premium yield (3)0.36% 0.37% 0.39% 0.40% 0.41% 0.41%
Earnings from cancellations$9.9  $11.7  $12.6  $15.5  $8.6  $8.0 
Annual persistency (4)51.9% 55.9% 60.0% 64.1% 71.7% 76.8%
Quarterly run-off (5)12.5% 12.5% 13.1% 12.9% 8.0% 7.7%

(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 NIWThree months ended
 March 31, 2021 December 31,
2020
 September 30,
2020
 June 30, 2020 March 31, 2020 December 31,
2019
 (In Millions)
Monthly$23,764  $17,789  $16,516  $11,885  $10,461  $11,085 
Single2,633  1,993  1,983  1,239  836  864 
Primary$26,397  $19,782  $18,499  $13,124  $11,297  $11,949 


Primary and pool IIFAs of
 March 31, 2021 December 31,
2020
 September 30,
2020
 June 30, 2020 March 31, 2020 December 31,
2019
 (In Millions)
Monthly$106,920  $95,336  $88,584  $82,848  $81,347  $77,097 
Single16,857  15,916  15,910  16,057  17,147  17,657 
Primary123,777  111,252  104,494  98,905  98,494  94,754 
            
Pool1,642  1,855  2,115  2,340  2,487  2,570 
Total$125,419  $113,107  $106,609  $101,245  $100,981  $97,324 


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 and 2020-2 ILN Transaction, and collectively, the ILN Transactions) for the periods indicated.

 For the three months ended
 March 31,
2021
 December 31,
2020
 September 30,
2020
 June 30, 2020 March 31,
2020
 December 31,
2019
 (In Thousands)
The QSR Transactions           
Ceded risk-in-force$6,330,409   $5,543,969   $5,159,061   $4,563,676   $4,843,715   $5,137,249  
Ceded premiums earned(25,747)  (24,161)  (24,517)  (23,210)  (23,011)  (23,673) 
Ceded claims and claim expenses1,180   601   3,200   8,669   1,532   1,030  
Ceding commission earned5,162   4,787   4,798   4,428   4,513   4,691  
Profit commission13,380   13,184   11,034   5,271   12,413   13,314  
            
The ILN Transactions           
Ceded premiums$(9,397)  $(9,422)  $(6,268)  $(3,267)  $(3,872)  $(4,263) 


The tables below present our total primary NIW by FICO, loan-to-value (LTV) ratio, and purchase/refinance mix for the periods indicated.

Primary NIW by FICOFor the three months ended 
 March 31, 2021 December 31, 2020 March 31, 2020 
  
 ($ In Millions)
>= 760$12,914  $11,495  $6,290  
740-7595,312  3,387  1,615  
720-7393,963  2,447  1,579  
700-7192,358  1,430  1,038  
680-6991,360  820  565  
<=679490  203  210  
Total$26,397  $19,782  $11,297  
Weighted average FICO755  761   757  


Primary NIW by LTVFor the three months ended
 March 31, 2021 December 31, 2020 March 31, 2020
  
 (In Millions)
95.01% and above$2,451  $1,877  $721 
90.01% to 95.00%11,051  7,839  5,009 
85.01% to 90.00%7,848  6,239  4,082 
85.00% and below5,047  3,827  1,485 
Total$26,397  $19,782  $11,297 
Weighted average LTV91.0% 90.9% 91.3%


Primary NIW by purchase/refinance mixFor the three months ended
 March 31, 2021 December 31, 2020 March 31, 2020
  
 (In Millions)
Purchase$17,909  $13,085  $7,991 
Refinance8,488  6,697  3,306 
Total$26,397  $19,782  $11,297 


The table below presents a summary of our primary IIF and RIF by book year as of March 31, 2021.

Primary IIF and RIFAs of March 31, 2021
 IIF RIF
  
 (In Millions)
March 31, 2021$26,296  $6,508 
202053,650  13,397 
201920,402  5,342 
20188,074  2,057 
20176,700  1,678 
2016 and before8,655  2,224 
Total$123,777  $31,206 


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 FICOAs of
 March 31, 2021 December 31, 2020 March 31, 2020
  
 (In Millions)
>= 760$63,919  $58,368  $47,340 
740-75920,537  17,442  16,060 
720-73917,167  15,091  14,002 
700-71911,536  10,442  10,518 
680-6997,329  6,777  6,879 
<=6793,289  3,132  3,695 
Total$123,777  $111,252  $98,494 


Primary RIF by FICOAs of
 March 31, 2021 December 31, 2020 March 31, 2020
  
 (In Millions)
>= 760$15,920  $14,634  $12,076 
740-7595,214  4,449  4,121 
720-7394,378  3,868  3,626 
700-7192,981  2,692  2,696 
680-6991,896  1,748  1,760 
<=679817  773  913 
Total$31,206  $28,164  $25,192 


Primary IIF by LTVAs of
 March 31, 2021 December 31, 2020 March 31, 2020
  
 (In Millions)
95.01% and above$10,616  $9,129  $8,838 
90.01% to 95.00%54,832  49,898  46,318 
85.01% to 90.00%40,057  36,972  31,729 
85.00% and below18,272  15,253  11,609 
Total$123,777  $111,252  $98,494 


Primary RIF by LTVAs of
 March 31, 2021 December 31, 2020 March 31, 2020
  
 (In Millions)
95.01% and above$3,106  $2,637  $2,478 
90.01% to 95.00%16,139  14,673  13,587 
85.01% to 90.00%9,818  9,067  7,767 
85.00% and below2,143  1,787  1,360 
Total$31,206  $28,164  $25,192 


Primary RIF by Loan TypeAs of
 March 31, 2021 December 31, 2020 March 31, 2020
      
Fixed99% 99% 98%
Adjustable rate mortgages     
Less than five years     
Five years and longer1  1  2 
Total100% 100% 100%


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

Primary IIFFor the three months ended
 March 31, 2021 December 31, 2020 March 31, 2020
  
 (In Millions)
IIF, beginning of period$111,252   $104,494   $94,754  
NIW26,397   19,782   11,297  
Cancellations, principal repayments and other reductions(13,872)  (13,024)  (7,557) 
IIF, end of period$123,777   $111,252   $98,494  


Geographic Dispersion

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

Top 10 primary RIF by stateAs of
 March 31, 2021 December 31, 2020 March 31, 2020
California10.8% 11.2% 11.5%
Texas9.5  8.8  8.2 
Florida7.9  7.3  5.9 
Virginia5.0  5.1  5.3 
Colorado4.1  4.1  3.6 
Maryland3.8  3.7  3.4 
Illinois3.7  3.8  3.8 
Washington3.5  3.5  3.3 
Georgia3.3  3.2  2.7 
Pennsylvania3.3  3.4  3.7 
Total54.9% 54.1% 51.4%


The table below presents selected primary portfolio statistics, by book year, as of March 31, 2021.

 As of March 31, 2021
Book yearOriginal
Insurance Written
 Remaining
Insurance in
Force
 %
Remaining
of Original Insurance
 Policies
Ever in
Force
 Number of
Policies in
Force
 Number
of Loans
in Default
 # of
Claims
Paid
 Incurred
Loss Ratio
(Inception
to Date)
(1)
 Cumulative
Default Rate
(2)
 Current
default rate
(3)
 ($ Values in Millions)  
2013$162  $10  6% 655  66  2  1  0.4% 0.5% 3.0%
20143,451  414  12% 14,786  2,452  114  48  4.2% 1.1% 4.6%
201512,422  2,529  20% 52,548  13,334  541  113  3.2% 1.2% 4.1%
201621,187  5,702  27% 83,626  27,332  1,256  122  2.8% 1.6% 4.6%
201721,582  6,700  31% 85,897  32,499  1,972  84  4.4% 2.4% 6.1%
201827,295  8,074  30% 104,043  38,090  2,679  64  8.5% 2.6% 7.0%
201945,141  20,402  45% 148,423  77,278  3,276  9  14.1% 2.2% 4.2%
202062,702  53,650  86% 186,174  163,626  1,247    8.3% 0.7% 0.8%
202126,397  26,296  100% 82,232  81,975  3    % % %
Total$220,339  $123,777    758,384  436,652  11,090  441       

(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.


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
 March 31, 2021 March 31, 2020
  
 (In Thousands)
Beginning balance$90,567  $23,752 
Less reinsurance recoverables (1)(17,608) (4,939)
Beginning balance, net of reinsurance recoverables72,959  18,813 
    
Add claims incurred:   
Claims and claim expenses incurred:   
Current year (2)10,557  7,558 
Prior years (3)(5,595) (1,861)
Total claims and claim expenses incurred4,962  5,697 
    
Less claims paid:   
Claims and claim expenses paid:   
Current year (2)12   
Prior years (3)492  1,224 
Total claims and claim expenses paid504  1,224 
    
Reserve at end of period, net of reinsurance recoverables77,417  23,286 
Add reinsurance recoverables (1)18,686  6,193 
Ending balance$96,103  $29,479 

(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 $5.3 million attributed to net case reserves and $5.3 million attributed to net IBNR reserves for the three months ended March 31, 2021 and $6.0 million attributed to net case reserves and $1.6 million attributed to net IBNR reserves for the three months ended March 31, 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 $0.6 million attributed to net case reserves and $5.0 million attributed to net IBNR reserves for the three months ended March 31, 2021 and $0.6 million attributed to net case reserves and $1.3 million attributed to net IBNR reserves for the three months ended March 31, 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 ended
 March 31, 2021 March 31, 2020
Beginning default inventory12,209  1,448 
Plus: new defaults1,767  512 
Less: cures(2,868) (475)
Less: claims paid(16) (34)
Less: claims denied(2) (2)
Ending default inventory11,090  1,449 


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 ended
 March 31, 2021 March 31, 2020
  
 (In Thousands)
Number of claims paid (1)16  34 
Total amount paid for claims$606  $1,503 
Average amount paid per claim$38  $44 
Severity(2)61% 83%

(1) Count includes one claim settled without payment for the three months ended March 31, 2021 and 2020.
(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 default:As of March 31, 2021 As of March 31, 2020
  
 (In Thousands)
Case (1)$7.9  $18.6 
IBNR (1)(2)0.8  1.7 
Total$8.7  $21.3 

(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
 March 31, 2021 December 31, 2020 March 31, 2020
  
 (In Thousands)
Available Assets$1,809,589  $1,750,668  $1,069,695 
Risk-Based Required Assets1,261,015  984,372  912,321