Press Release

NMI Holdings, Inc. Reports Second Quarter 2021 Financial Results

Aug 03, 2021

EMERYVILLE, Calif., Aug. 03, 2021 (GLOBE NEWSWIRE) -- NMI Holdings, Inc. (Nasdaq: NMIH) today reported net income of $57.5 million, or $0.65 per diluted share, for the second quarter ended June 30, 2021, which compares to $52.9 million, or $0.61 per diluted share, in the first quarter ended March 31, 2021 and $26.8 million, or $0.36 per diluted share, in the second quarter ended June 30, 2020. Adjusted net income for the quarter was $58.1 million, or $0.67 per diluted share, which compares to $53.4 million, or $0.62 per diluted share, in the first quarter ended March 31, 2021 and $29.7 million, or $0.40 per diluted share, in the second quarter ended June 30, 2020. The non-GAAP financial measures adjusted net income, adjusted diluted earnings per share and adjusted return on equity are presented in this release to enhance the comparability of financial results between periods. See "Use of Non-GAAP Financial Measures" and our reconciliation of such measures to their most comparable GAAP measures, below.

Claudia Merkle, CEO of National MI, said, “We delivered strong operating performance, significant growth in our high-quality insured portfolio and record financial results in the second quarter. Our credit performance continued to trend in a favorable direction, and we remain optimistic about the broad strength of the economic recovery and resiliency of the housing market. We believe we are well positioned to continue to win with customers, drive disciplined growth in our insurance in-force, deliver strong returns and consistently compound book value going forward.”

Selected second quarter 2021 highlights include:

  • Primary insurance-in-force at quarter end was $136.6 billion, up 10% from $123.8 billion in the first quarter and 38% compared to $98.9 billion in the second quarter of 2020

  • Net premiums earned were $110.9 million, up 5% compared to $105.9 million in the first quarter and 12% compared to $98.9 million in the second quarter of 2020

  • Underwriting and operating expenses were $34.7 million, including $1.6 million of capital market transaction costs, compared to $34.1 million in the first quarter and $30.4 million in the second quarter of 2020

  • Insurance claims and claim expenses were $4.6 million, compared to $5.0 million in the first quarter and $34.3 million in the second quarter of 2020

  • Shareholders' equity was $1.5 billion at quarter end, equal to $17.03 per share, up 6% compared to $16.13 per share in the first quarter and 15% compared to $14.82 per share in the second quarter of 2020

  • Annualized return on equity for the quarter was 16.2% and annualized adjusted return on equity was 16.4%

  • At quarter-end, total PMIERs available assets were $1.9 billion and net risk-based required assets were $1.2 billion
 Quarter EndedQuarter EndedQuarter EndedChange (1)Change (1)
 6/30/20213/31/20216/30/2020Q/QY/Y
INSURANCE METRICS ($billions)
Primary Insurance-in-Force$136.6 $123.8 $98.9 10%38%
New Insurance Written - NIW     
Monthly premium19.4 23.8 11.9 (18)%63%
Single premium3.3 2.6 1.2 26%169%
Total (2)22.8 26.4 13.1 (14)%73%
        
FINANCIAL HIGHLIGHTS ($millions, except per share amounts)             
Net Premiums Earned$110.9 $105.9 $98.9 5%12%
Insurance Claims and Claim Expenses4.6 5.0 34.3 (6)%(86)%
Underwriting and Operating Expenses34.7 34.1 30.4 2%14%
Net Income57.5 52.9 26.8 9%114%
Adjusted Net Income58.1 53.4 29.7 9%96%
Cash and Investments2,062 1,947 1,855 6%11%
Shareholders' Equity1,460 1,380 1,257 6%16%
Book Value per Share17.03 16.13 14.82 6%15%
Loss Ratio4.2%4.7%34.7%  
Expense Ratio31.3%32.2%30.7%  
         

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

Conference Call and Webcast Details

The company will hold a conference call, which will be webcast live today, August 3, 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: 5182409 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

Consolidated statements of operations and comprehensive income For the three months ended June 30, For the six months ended June 30,
 2021 2020 2021 2020
Revenues(In Thousands, except for per share data)
Net premiums earned$110,888  $98,944  $216,767  $197,661 
Net investment income9,382  7,070  18,196  15,174 
Net realized investment gains12  711  12  639 
Other revenues483  1,223  984  2,123 
Total revenues120,765  107,948  235,959  215,597 
Expenses       
Insurance claims and claim expenses4,640  34,334  9,602  40,031 
Underwriting and operating expenses34,725  30,370  68,790  62,647 
Service expenses481  1,090  1,072  1,824 
Interest expense7,922  5,941  15,837  8,685 
(Gain) loss from change in fair value of warrant liability(658) 1,236  (453) (4,723)
Total expenses47,110  72,971  94,848  108,464 
        
Income before income taxes73,655  34,977  141,111  107,133 
Income tax expense16,133  8,129  30,697  22,014 
Net income$57,522  $26,848  $110,414  $85,119 
        
Earnings per share       
Basic$0.67  $0.36  $1.29  $1.20 
Diluted$0.65  $0.36  $1.27  $1.11 
        
Weighted average common shares outstanding       
Basic85,647  73,617  85,483  71,090 
Diluted86,819  74,174  86,729  72,407 
        
Loss ratio (1)4.2% 34.7% 4.4% 20.3%
Expense ratio (2)31.3% 30.7% 31.7% 31.7%
Combined ratio (3)35.5% 65.4% 36.2% 51.9%
        
Net income$57,522  $26,848  $110,414  $85,119 
        
Other comprehensive income (loss), net of tax:       
Unrealized gains (losses) in accumulated other comprehensive gain (loss), net of tax expense (benefit) of $4,995 and $8,978 for the three months ended June 30, 2021 and 2020, and $(7,003) and $5,162 for the six months ended June 30, 2021 and 2020, respectively18,790  33,773  (26,343) 19,418 
Reclassification adjustment for realized (gains) losses included in net income, net of tax expense (benefit) of $3 and $149 for the three months ended June 30, 2021 and 2020, and $3 and ($258) for the six months ended June 30, 2021 and 2020, respectively(10) (562) (10) 969 
Other comprehensive income (loss), net of tax18,780  33,211  (26,353) 20,387 
Comprehensive income$76,302  $60,059  $84,061  $105,506 
                

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

Consolidated balance sheetsJune 30, 2021 December 31, 2020
Assets(In Thousands, except for share data)
Fixed maturities, available-for-sale, at fair value (amortized cost of $1,954,187 and $1,730,835 as of June 30, 2021 and December 31, 2020, respectively)$1,994,280  $1,804,286 
Cash and cash equivalents (including restricted cash of $4,159 and $5,555 as of June 30, 2021 and December 31, 2020, respectively)68,080  126,937 
Premiums receivable55,939  49,779 
Accrued investment income11,148  9,862 
Prepaid expenses4,095  3,292 
Deferred policy acquisition costs, net62,137  62,225 
Software and equipment, net31,443  29,665 
Intangible assets and goodwill3,634  3,634 
Prepaid reinsurance premiums3,831  6,190 
Reinsurance recoverable19,726  17,608 
Other assets51,565  53,188 
Total assets$2,305,878  $2,166,666 
    
Liabilities   
Debt$393,949  $393,301 
Unearned premiums142,148  118,817 
Accounts payable and accrued expenses56,803  61,716 
Reserve for insurance claims and claim expenses101,235  90,567 
Reinsurance funds withheld6,904  8,653 
Warrant liability, at fair value3,385  4,409 
Deferred tax liability, net136,273  112,586 
Other liabilities5,276  7,026 
Total liabilities845,973  797,075 
    
Shareholders' equity   
Common stock - class A shares, $0.01 par value; 85,703,487 and 85,163,039 shares issued and outstanding as of June 30, 2021 and December 31, 2020, respectively (250,000,000 shares authorized)857  852 
Additional paid-in capital944,121  937,872 
Accumulated other comprehensive income, net of tax27,503  53,856 
Retained earnings487,424  377,011 
Total shareholders' equity1,459,905  1,369,591 
Total liabilities and shareholders' equity$2,305,878  $2,166,666 
        


Non-GAAP Financial Measure Reconciliations    
 For the three months ended For the six months ended
 6/30/2021 3/31/2021 6/30/2020 6/30/2021 6/30/2020
As Reported(In Thousands, except for per share data)    
Revenues         
Net premiums earned$110,888   $105,879  $98,944   $216,767   $197,661  
Net investment income9,382   8,814  7,070   18,196   15,174  
Net realized investment gains12     711   12   639  
Other revenues483   501  1,223   984   2,123  
Total revenues120,765   115,194  107,948   235,959   215,597  
Expenses         
Insurance claims and claim expenses4,640   4,962  34,334   9,602   40,031  
Underwriting and operating expenses34,725   34,065  30,370   68,790   62,647  
Service expenses481   591  1,090   1,072   1,824  
Interest expense7,922   7,915  5,941   15,837   8,685  
(Gain) loss from change in fair value of warrant liability(658)  205  1,236   (453)  (4,723) 
Total expenses47,110   47,738  72,971   94,848   108,464  
          
Income before income taxes73,655   67,456  34,977   141,111   107,133  
Income tax expense16,133   14,565  8,129   30,697 (6) 22,014  
Net income $57,522   $52,891  $26,848   $110,414 (6) $85,119  
          
Adjustments:         
Net realized investment (gains)(12)    (711)  (12)  (639) 
(Gain) loss from change in fair value of warrant liability(658)  205  1,236   (453)  (4,723) 
Capital markets transaction costs1,615   378  2,790   1,993   3,264  
Adjusted income before taxes74,600   68,039  38,292   142,639   105,035  
          
Income tax expense on adjustments337   79  437   416   551  
Adjusted net income$58,130   $53,395  $29,726   $111,526   $82,470  
          
Weighted average diluted shares outstanding86,819   86,487  74,174   86,729   72,407  
          
Diluted EPS (1)$0.65   $0.61  $0.36   $1.27   $1.11  
Adjusted diluted EPS $0.67   $0.62  $0.40   $1.29   $1.14  
          
Return-on-equity 16.2 % 15.4% 9.6 % 15.6 % 15.6 %
Adjusted return-on-equity16.4 % 15.5% 10.7 % 15.8 % 15.1 %
          
Expense ratio (2)31.3 % 32.2% 30.7 % 31.7 % 31.7 %
Adjusted expense ratio (3)29.9 % 31.8% 30.5 % 30.8 % 31.4 %
          
Combined ratio (4)35.5 % 36.9% 65.4 % 36.2 % 51.9 %
Adjusted combined ratio (5)34.0 % 36.5% 65.2 % 35.2 % 51.6 %
                   

(1) Diluted net income for the quarter ended March 31, 2021 and June 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.
(6) May not foot by summing up the quarterly results due to rounding.

Historical Quarterly Data2021 2020
 June 30 March 31 December 31 September 30 June 30 March 31
Revenues(In Thousands, except for per share data)
Net premiums earned$110,888   $105,879  $100,709  $98,802   $98,944  $98,717  
Net investment income9,382   8,814  8,386  8,337   7,070  8,104  
Net realized investment gains (losses)12     295  (4)  711  (72) 
Other revenues483   501  513  648   1,223  900  
Total revenues120,765   115,194  109,903  107,783   107,948  107,649  
Expenses           
Insurance claims and claim expenses4,640   4,962  3,549  15,667   34,334  5,697  
Underwriting and operating expenses34,725   34,065  34,994  33,969   30,370  32,277  
Service expenses481   591  459  557   1,090  734  
Interest expense7,922   7,915  7,906  7,796   5,941  2,744  
(Gain) loss from change in fair value of warrant liability(658)  205  1,379  437   1,236  (5,959) 
Total expenses47,110   47,738  48,287  58,426   72,971  35,493  
            
Income before income taxes73,655   67,456  61,616  49,357   34,977  72,156  
Income tax expense16,133   14,565  13,348  11,178   8,129  13,885  
Net income$57,522   $52,891  $48,268  $38,179   $26,848  $58,271  
            
Earnings per share           
Basic$0.67   $0.62  $0.57  $0.45   $0.36  $0.85  
Diluted$0.65   $0.61  $0.56  $0.45   $0.36  $0.74  
            
Weighted average common shares outstanding           
Basic85,647   85,317  84,956  84,805   73,617  68,563  
Diluted86,819   86,487  86,250  85,599   74,174  70,401  
            
Other data           
Loss Ratio(1)4.2 % 4.7% 3.5% 15.9 % 34.7% 5.8 %
Expense Ratio(2)31.3 % 32.2% 34.7% 34.4 % 30.7% 32.7 %
Combined ratio (3)35.5 % 36.9% 38.3% 50.2 % 65.4% 38.5 %
                     

(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
 June 30, 2021 March 31, 2021 December 31, 2020 September 30, 2020 June 30, 2020 March 31, 2020
 ($ Values In Millions, except as noted below)
New insurance written$22,751  $26,397  $19,782  $18,499  $13,124  $11,297 
New risk written5,650  6,531  4,868  4,577  3,260  2,897 
Insurance in force (IIF) (1)136,598  123,777  111,252  104,494  98,905  98,494 
Risk in force (1)34,366  31,206  28,164  26,568  25,238  25,192 
Policies in force (count) (1)471,794  436,652  399,429  381,899  372,934  376,852 
Average loan size ($ value in thousands) (1)$290  $283  $279  $274  $265  $261 
Coverage percentage (2)25.2% 25.2% 25.3% 25.4% 25.5% 25.6%
Loans in default (count) (1)8,764  11,090  12,209  13,765  10,816  1,449 
Default rate (1)1.86% 2.54% 3.06% 3.60% 2.90% 0.38%
Risk in force on defaulted loans (1)$625  $785  $874  $1,008  $799  $84 
Net premium yield (3)0.34% 0.36% 0.37% 0.39% 0.40% 0.41%
Earnings from cancellations$7.0  $9.9  $11.7  $12.6  $15.5  $8.6 
Annual persistency (4)53.9% 51.9% 55.9% 60.0% 64.1% 71.7%
Quarterly run-off (5)8.0% 12.5% 12.5% 13.1% 12.9% 8.0%
                  

(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
 June 30, 2021 March 31, 2021 December 31, 2020 September 30, 2020 June 30, 2020 March 31, 2020
 (In Millions)
Monthly$19,422  $23,764  $17,789  $16,516  $11,885  $10,461 
Single3,329  2,633  1,993  1,983  1,239  836 
Primary$22,751  $26,397  $19,782  $18,499  $13,124  $11,297 


Primary and pool IIFAs of
 June 30, 2021 March 31, 2021 December 31, 2020 September 30, 2020 June 30, 2020 March 31, 2020
 (In Millions)
Monthly$117,629  $106,920  $95,336  $88,584  $82,848  $81,347 
Single18,969  16,857  15,916  15,910  16,057  17,147 
Primary136,598  123,777  111,252  104,494  98,905  98,494 
            
Pool1,460  1,642  1,855  2,115  2,340  2,487 
Total$138,058  $125,419  $113,107  $106,609  $101,245  $100,981 
                        

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

 For the three months ended
 June 30, 2021 March 31, 2021 December 31, 2020 September 30, 2020 June 30, 2020 March 31, 2020
 (In Thousands)
The QSR Transactions           
Ceded risk-in-force$7,113,707  $6,330,409  $5,543,969  $5,159,061  $4,563,676  $4,843,715 
Ceded premiums earned(27,537) (25,747) (24,161) (24,517) (23,210) (23,011)
Ceded claims and claim expenses1,194  1,180  601  3,200  8,669  1,532 
Ceding commission earned5,961  5,162  4,787  4,798  4,428  4,513 
Profit commission14,391  13,380  13,184  11,034  5,271  12,413 
            
The ILN Transactions           
Ceded premiums$(10,169) $(9,397) $(9,422) $(6,268) $(3,267) $(3,872)
                        


Primary NIW by FICOFor the three months ended For the six months ended
 June 30, 2021 March 31, 2021 June 30, 2020 June 30, 2021June 30, 2020
 ($ In Millions)
>= 760$11,390  $12,914  $8,052  $24,304 $14,342 
740-7594,246  5,312  1,866  9,558 3,481 
720-7393,152  3,963  1,607  7,115 3,186 
700-7191,798  2,358  959  4,156 1,997 
680-6991,292  1,360  514  2,652 1,079 
<=679873  490  126  1,363 336 
Total$22,751  $26,397  $13,124  $49,148 $24,421 
Weighted average FICO754  755   762  755 760 
             


Primary NIW by LTVFor the three months ended  For the six months ended
 June 30, 2021 March 31, 2021 June 30, 2020 June 30, 2021June 30, 2020
 (In Millions)
95.01% and above$2,177  $2,451  $547  $4,628 $1,268 
90.01% to 95.00%9,941  11,051  5,385  20,992 10,394 
85.01% to 90.00%6,262  7,848  5,067  14,110 9,149 
85.00% and below4,371  5,047  2,125  9,418 3,610 
Total$22,751  $26,397  $13,124  $49,148 $24,421 
Weighted average LTV91.3% 91.0% 90.7% 91.1%91.0%
              


Primary NIW by purchase/refinance mixFor the three months ended For the six months ended
 June 30, 2021 March 31, 2021 June 30, 2020 June 30, 2021June 30, 2020
 (In Millions)
Purchase$18,911  $17,909  $7,776  $36,820 $15,767 
Refinance3,840  8,488  5,348  12,328 8,654 
Total$22,751  $26,397  $13,124  $49,148 $24,421 
                   

The table below presents a summary of our primary IIF and RIF by book year as of June 30, 2021.

Primary IIF and RIFAs of June 30, 2021
 IIF RIF
 (In Millions)
June 30, 2021$48,314  $11,986 
202051,100  12,792 
201917,279  4,527 
20186,745  1,719 
20175,687  1,424 
2016 and before7,473  1,918 
Total$136,598  $34,366 
        

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
 June 30, 2021 March 31, 2021 June 30, 2020
 (In Millions)
>= 760$70,583  $63,919  $48,898 
740-75923,175  20,537  15,764 
720-73918,857  17,167  13,882 
700-71912,230  11,536  10,228 
680-6997,927  7,329  6,657 
<=6793,826  3,289  3,476 
Total$136,598  $123,777  $98,905 


Primary RIF by FICOAs of
 June 30, 2021 March 31, 2021 June 30, 2020
 (In Millions)
>= 760$17,531  $15,920  $12,433 
740-7595,873  5,214  4,031 
720-7394,798  4,378  3,585 
700-7193,161  2,981  2,625 
680-6992,047  1,896  1,706 
<=679956  817  858 
Total$34,366  $31,206  $25,238 


Primary IIF by LTVAs of
 June 30, 2021 March 31, 2021 June 30, 2020
 (In Millions)
95.01% and above$12,026  $10,616  $8,453 
90.01% to 95.00%60,358  54,832  45,862 
85.01% to 90.00%43,064  40,057  32,603 
85.00% and below21,150  18,272  11,987 
Total$136,598  $123,777  $98,905 


Primary RIF by LTVAs of
 June 30, 2021 March 31, 2021 June 30, 2020
 (In Millions)
95.01% and above$3,552  $3,106  $2,387 
90.01% to 95.00%17,774  16,139  13,463 
85.01% to 90.00%10,555  9,818  7,985 
85.00% and below2,485  2,143  1,403 
Total$34,366  $31,206  $25,238 


Primary RIF by Loan TypeAs of
 June 30, 2021 March 31, 2021 June 30, 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
 June 30, 2021 March 31, 2021 June 30, 2020
 (In Millions)
IIF, beginning of period$123,777  $111,252  $98,494 
NIW22,751  26,397  13,124 
Cancellations, principal repayments and other reductions(9,930) (13,872) (12,713)
IIF, end of period$136,598  $123,777  $98,905 
            

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
 June 30, 2021 March 31, 2021 June 30, 2020
California10.3% 10.8% 11.3%
Texas9.8  9.5  8.1 
Florida8.3  7.9  6.2 
Virginia5.0  5.0  5.4 
Colorado4.1  4.1  3.8 
Maryland3.9  3.8  3.5 
Illinois3.8  3.7  4.0 
Washington3.6  3.5  3.4 
Georgia3.5  3.3  2.8 
Pennsylvania3.2  3.3  3.6 
Total55.5% 54.9% 52.1%
         

The table below presents selected primary portfolio statistics, by book year, as of June 30, 2021.

 As of June 30, 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  $8  5% 655  56  2  1  0.3% 0.5% 3.6%
20143,451  357  10% 14,786  2,159  77  48  4.2% 0.8% 3.6%
201512,422  2,186  18% 52,548  11,723  419  114  3.2% 1.0% 3.6%
201621,187  4,922  23% 83,626  23,999  965  126  2.9% 1.3% 4.0%
201721,582  5,687  26% 85,897  28,150  1,539  88  4.5% 1.9% 5.5%
201827,295  6,745  25% 104,043  32,452  2,039  69  8.5% 2.0% 6.3%
201945,141  17,279  38% 148,423  67,015  2,505  13  13.5% 1.7% 3.7%
202062,702  51,100  81% 186,174  157,288  1,171  1  7.5% 0.6% 0.7%
202149,148  48,314  98% 150,923  148,952  47    0.5% % %
Total$243,090  $136,598    827,075  471,794  8,764  460       
                            

(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  For the six months ended
 June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020
 (In Thousands)
Beginning balance$96,103  $29,479  $90,567  $23,752 
Less reinsurance recoverables (1)(18,686) (6,193) (17,608) (4,939)
Beginning balance, net of reinsurance recoverables77,417  23,286  72,959  18,813 
        
Add claims incurred:       
Claims and claim expenses incurred:       
Current year (2)5,069  34,958  15,626  42,516 
Prior years (3)(429) (624) (6,024) (2,485)
Total claims and claim expenses incurred4,640  34,334  9,602  40,031 
        
Less claims paid:       
Claims and claim expenses paid:       
Current year (2)  39  12  39 
Prior years (3)548  1,985  1,040  3,209 
Total claims and claim expenses paid548  2,024  1,052  3,248 
        
Reserve at end of period, net of reinsurance recoverables81,509  55,596  81,509  55,596 
Add reinsurance recoverables (1)19,726  14,307  19,726  14,307 
Ending balance$101,235  $69,903  $101,235  $69,903 
                

(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 $9.8 million attributed to net case reserves and $5.6 million attributed to net IBNR reserves for the six months ended June 30, 2021 and $34.7 million attributed to net case reserves and $7.1 million attributed to net IBNR reserves for the six months ended June 30, 2020.
(3) Related to insured loans with defaults occurring in prior years, which have been continuously in default before the start of the current year. Amounts are presented net of reinsurance and included $1.1 million attributed to net case reserves and $5.0 million attributed to net IBNR reserves for the six months ended June 30, 2021 and $1.1 million attributed to net case reserves and $1.3 million attributed to net IBNR reserves for the six months ended June 30, 2020.

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

 For the three months ended  For the six months ended
 June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020
Beginning default inventory11,090  1,449  12,209  1,448 
Plus: new defaults1,095  9,770  2,862  10,282 
Less: cures(3,402) (353) (6,270) (828)
Less: claims paid(19) (49) (35) (83)
Less: claims denied  (1) (2) (3)
Ending default inventory8,764  10,816  8,764  10,816 
            

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 For the six months ended
 June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020
 (In Thousands)
Number of claims paid (1)19  49  35  83 
Total amount paid for claims$702  $2,578  $1,308  $4,081 
Average amount paid per claim$37  $53  $37  $49 
Severity(2)66% 89% 64% 87%
            

(1) Count includes three and four claims settled without payment during the three and six months ended June 30, 2021, respectively, and one and two claims settled without payment during the three and six months ended 2020, respectively.
(2) Severity represents the total amount of claims paid including claim expenses divided by the related RIF on the loan at the time the claim is perfected, and is calculated including claims settled without payment.

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

Average reserve per default:As of June 30, 2021 As of June 30, 2020
 (In Thousands)
Case (1)$10.6  $5.6 
IBNR (1)(2)1.0  0.9 
Total$11.6  $6.5 
        

(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
 June 30, 2021 March 31, 2021 June 30, 2020
 (In Thousands)
Available Assets$1,886,993  $1,809,589  $1,656,426 
Risk-Based Required Assets1,170,854  1,261,015  1,047,619