The PMI Group, Inc. Reports First Quarter 2006 Net Income of $105.3 Million, or $1.09 Per Diluted Share

Results for the first quarter of 2006 include a pre-tax charge of$2.0 million ($1.3 million after tax), or $0.01 per diluted share, forthe reduction and restructuring of field offices in U.S. MortgageInsurance Operations.(1) The Company also incurred pre-tax expenses of$5.0 million ($3.7 million after tax) or $0.04 per diluted share, forstock option expenses and related stock based compensation for theadoption of accounting for share-based payment.

Segment highlights in the first quarter of 2006 include: U.S.Mortgage Insurance Operations -- growth in net premiums written and adecline in primary loans in default and claims paid; InternationalOperations(2) -- net income growth of 13.9%; and Financial Guaranty(3)-- net income growth of 11.6%.

Consolidated Operating Results

Consolidated net premiums written for the first quarter 2006totaled $201.9 million compared to $193.7 million for the same perioda year ago. The increase was due primarily to an increase in averagepremium rates and average insured loan balances in U.S. MortgageInsurance Operations and increased new insurance written in PMIAustralia.

Consolidated premiums earned for the first quarter of 2006 were$206.2 million compared to $199.6 million for the same period a yearago. The increase was due to higher average premium rates, increasedpremiums from modified pool products in the U.S. Mortgage InsuranceOperations and higher premiums earned as a result of higher newinsurance written and higher insurance in force in PMI Australia.

Consolidated other underwriting and operating expenses for thefirst quarter 2006 totaled $53.5 million compared to $45.6 million forthe first quarter of 2005 primarily due to an increase in compensationexpenses in U.S. Mortgage Insurance and Holding Company Operations andincreased expenses in International Operations including profitsharing commissions for the Royal & Sun Alliance portfolio in PMIEurope.

Consolidated losses and loss adjustment expenses for the firstquarter declined to $60.9 million compared to $64.5 million in thefirst quarter of 2005. The decrease was primarily a result of adecrease in the number of primary claims paid, partially offset by ahigher average primary claim size in the first quarter of 2006compared to the first quarter of 2005.

Adoption of SFAS 123R, "Accounting for Share-Based Payment",resulted in a $3.7 million after tax charge for stock options andrelated stock based compensation expenses in our Other Segment for thefirst quarter of 2006.

Consolidated reserve for losses and loss adjustment expensestotaled $369.9 million as of March 31, 2006 compared to $368.8 millionas of December 31, 2005 and $364.8 million as of March 31, 2005. Theincrease for the first quarter of 2006 was primarily due to portfolioseasoning and higher expected primary claim rates on reporteddelinquencies in the U.S. Mortgage Insurance portfolio.

The PMI Group, Inc. First Quarter Results by Segment
----------------------------------------------------------------------
First Quarter Total First Quarter Net
Revenues Income
----------------------------------------------------------------------
(Dollars in
millions,
except per
share data) 2006 2005 % Change 2006 2005 % Change
----------------------------------------------------------------------
U.S. Mortgage
Insurance
Operations $197.9 $194.2 1.9% $70.1 $66.3 5.7%
International
Operations 56.6 49.4 14.6% 28.6 25.1 13.9%
Financial
Guaranty 23.2 20.8 11.5% 21.1 18.9 11.6%
Other(4) 10.1 10.4 n.m. (14.5) (9.1) n.m.
------ ------ ---- ------ ------ ----
Total $287.8 $274.8 4.7% $105.3 $101.2 4.1%
====== ====== ==== ====== ====== ====
Diluted Net
Income Per
Share $1.09 $1.00 9.0%
Book Value
Per Share $37.24 $33.93 9.8%
----------------------------------------------------------------------
May not total due to rounding.
n.m. - Not meaningful

Segment Highlights

U.S. Mortgage Insurance Operations

-- U.S. Mortgage Insurance Operations realized a 5.8% increase in net premiums written for the first quarter of 2006 which grew to $163.5 million as compared to $154.5 million for the first quarter of 2005. The increase was due primarily to an increase in PMI's average premium rates and average insured loan balances in the first quarter of 2006.

-- U.S. Mortgage Insurance Operations total incurred losses for the first quarter 2006 decreased 6.3% to $59.1 million from $63.1 million in the first quarter of 2005 driven primarily by lower paid claims.

-- U.S. Mortgage Insurance Operations closed four field offices in the first quarter of 2006 and incurred a pre-tax restructuring charge of $2.0 million related to facility transition expenses and employee salary and severance costs.

-- Equity in earnings from CMG for the first quarter 2006 increased 9.8% to $4.5 million compared to $4.1 million pre-tax for the first quarter 2005.

International Operations

-- PMI Australia reported net income of $24.1 million for the first quarter of 2006, a 17% increase over net income for the first quarter 2005 of $20.6 million. The increase in net income was due primarily to an increase in premiums earned and unrealized gains on foreign currency put options, partially offset by the weakening of the Australian Dollar and an increase in losses and LAE. In functional currency, PMI Australia's net income increased by 23% from AUD $32.5 million in the first quarter of 2006 to AUD $26.5 million in the first quarter of 2005.

-- PMI Europe reported net income for the quarter of $2.9 million compared to $3.0 million for the same period a year ago. The decrease in the first quarter was due principally to foreign currency exchange fluctuations. In functional currency, net income from PMI Europe for the first quarter of 2006 was EUR 2.5 million compared to EUR 2.3 million for the same period a year ago.

-- PMI's Hong Kong net income for the first quarter 2006 totaled $1.6 million compared to $1.5 million for the same period a year ago.

Financial Guaranty

-- Equity in earnings from FGIC grew for the first quarter of 2006 to $20.3 million (after tax) compared to $18.1 million (after tax) for the same period a year ago. The increase was due to increases in premiums earned and higher investment income.

-- Equity in earnings from RAM Re for the first quarter were $1.2 million (pre-tax) compared to $1.2 million (pre-tax) for the same period a year ago. On April 27th, RAM Re successfully completed its initial public offering. As a result, the Company currently retains a 23.7% strategic ownership interest in RAM Re.

About The PMI Group, Inc.

The PMI Group, Inc. (NYSE:PMI) headquartered in Walnut Creek,California is an international provider of credit enhancement productsthat promote homeownership and facilitate mortgage transactions in thecapital markets. Through its wholly owned subsidiaries andunconsolidated strategic investments, the Company offers residentialmortgage insurance and credit enhancement products domestically andinternationally as well as financial guaranty insurance andreinsurance. The Company is an advocate of affordable housing andsupports a number of organizations that foster greater access toaffordable housing. The Company's approach to affordable housinglending is to develop products and services that assist responsibleborrowers who may not qualify for mortgage loans under traditionalunderwriting practices.

Cautionary Statement: Statements in this earnings release that arenot historical facts, and that relate to future plans, events orperformance are forward-looking statements within the meaning of thePrivate Securities Litigation Reform Act of 1995. Readers arecautioned that forward-looking statements by their nature involve riskand uncertainty because they relate to events and depend oncircumstances that will occur in the future. Many factors could causeactual results and developments to differ materially from thoseexpressed or implied by these forward-looking statements. Risks anduncertainties that could affect the Company are discussed in our Form10-K for the year ended December 31, 2005 and include changes ineconomic conditions such as interest rates, home values, employmentrates and refinance activity. We undertake no obligation to updateforward-looking statements.

(1) "U.S. Mortgage Insurance Operations" includes the results ofPMI Mortgage Insurance Co. (PMI) and affiliated U.S. reinsurancecompanies and equity in earnings from CMG Mortgage Insurance Company(CMG).

(2) "International Operations" includes the results of PMIAustralia, PMI Europe and the results of operations from the Hong Kongbranch operations.

(3) "Financial Guaranty" includes the results of the FinancialGuaranty Insurance Company, Inc. (FGIC) with which The PMI Group, Inc.has an equity ownership interest of 42.0% and results from the RAMReinsurance Group of Companies (RAM Re).

(4) The "Other" segment primarily consists of the holding company,contract underwriting operations and Select Portfolio Servicing, Inc.(SPS) prior to its disposition on October 4, 2005.

THE PMI GROUP, INC. AND SUBSIDIARIES (the "Company")
FINANCIAL RESULTS AND STATISTICAL INFORMATION
FOR THE PERIOD ENDED MARCH 31, 2006
----------------------------------------------------------------------
Contents
----------------------------------------------------------------------

Consolidated Statements of Operations and Balance Sheets

Business Segments Results of Operations -- Three Months Ended March
31, 2006 and 2005

Business Segments Balance Sheets

U.S. Mortgage Insurance Operations Analysis of Reserve for Losses and
LAE and Financial and Statistical Information

U.S. Mortgage Insurance Operations Financial and Statistical
Information

CMG Mortgage Insurance Company, PMI Australia and PMI Europe Financial
and Statistical Information

Appendix A -- PMI Australia and PMI Europe Quarterly Financial
Information

Appendix B -- Business Segments Results of Operations by Quarter



Please refer to the following when noted:


(1) For quarter ended March 31, 2006, the Company's equity in
earnings from unconsolidated subsidiaries include FGIC
Corporation, CMG Mortgage Insurance Company ("CMG"), RAM
Reinsurance Company, Ltd. ("RAM Re"), other limited partnership
interests and the trust subsidiary that issued the Company's
preferred securities. As of December 31, 2004, the equity
investment in SPS Holding Corp. ("SPS") was reclassified from
investments in unconsolidated subsidiaries to an equity
investment held for sale. Effective January 1, 2005, SPS's equity
earnings are reported in other income. On October 4, 2005, PMI
sold to Credit Suisse First Boston (USA), Inc. ("CSFB") its
equity ownership interest in SPS.

(2) U.S. Mortgage Insurance Operations include the operating results
of PMI Mortgage Insurance Co. ("PMI") and affiliated U.S.
mortgage insurance and reinsurance companies. CMG and its
affiliates are included under the equity method of accounting
in equity in earnings from unconsolidated subsidiaries.

(3) International Operations include PMI Australia, PMI Europe and
the Company's Hong Kong branch's results of operations.

(4) Financial Guaranty represents our equity investments in FGIC
Corporation and RAM Re.

(5) The "Other" segment includes other income and related
operating expenses of PMI Mortgage Services Co.; investment
income, interest expense and corporate expenses of The PMI
Group, Inc.; the results of Commercial Loans Insurance Co. and
WMAC Credit Insurance Corporation and equity in earnings from
SPS and certain limited partnerships.

(6) U.S. Mortgage Insurance Operations include a $1.3 million
charge (after tax), or $0.01 per diluted share, for the
reduction and restructuring of field offices.

(7) The "Other" segment includes a $3.7 million charge (after tax)
for stock option expense and related stock based compensation
expense in the first quarter of 2006.

(8) The expense ratio is the ratio, expressed as a percentage, of
the sum of amortization of deferred policy acquisition costs
and other underwriting and operating expenses to net premiums
written. The loss ratio is the ratio, expressed as a
percentage, of the sum of losses and loss adjustment expenses
to premiums earned.

(9) Pool insurance includes modified pool, GSE pool, old pool and
all other pool insurance products for U.S. Mortgage Insurance
Operations.

(10) Statutory risk-to-capital ratio is for PMI Mortgage Insurance
Co. only.

(11) Effective January 1, 2006, we refined our method of operating
cost allocation between our U.S. Mortgage Insurance
Operations segment and our Other segment. As a result of this
refinement, we allocated approximately $1.5 million of
expenses in the first quarter of 2006 to our Other segment
which previously would have been allocated to our U.S.
Mortgage Insurance Operations segment.

Note: The interim financial and statistical information contained
in this material is unaudited. Certain prior year
information has been reclassified to conform to the current
periods' presentation.


THE PMI GROUP, INC. AND SUBSIDIARIES
----------------------------------------------------------------------
CONSOLIDATED STATEMENTS OF OPERATIONS
----------------------------------------------------------------------

Three Months Ended
March 31,
-----------------------
2006 2005
----------- -----------
(Unaudited) (Unaudited)
(Dollars and shares,
except per share data,
in thousands)

Net premiums written $ 201,904 $ 193,746
=========== ===========

Revenues
Premiums earned $ 206,241 $ 199,567
Net investment income 46,867 43,790
Equity in earnings from
unconsolidated subsidiaries (1) 27,625 25,212
Net realized investment gains 340 721
Other income 6,785 5,535
----------- -----------
Total revenues 287,858 274,825
----------- -----------

Losses and expenses
Losses and loss adjustment
expenses 60,939 64,481
Amortization of deferred
policy acquisition costs 16,987 20,443
Other underwriting expenses
and operating expenses (11) 53,543 45,645
Field office restructuring (6) 1,955 --
Compensation expense related to
stock options and employee
stock purchase plan (7) 5,022 --
Interest expense 8,179 9,553
----------- -----------
Total losses and expenses 146,625 140,122
----------- -----------

Income before income taxes 141,233 134,703
Income taxes 35,885 33,545
----------- -----------

Net income $ 105,348 $ 101,158
=========== ===========

Diluted net income per share $ 1.09 $ 1.00
=========== ===========
----------------------------------------------------------------------
Reconciliation of earnings per
share
Net income $ 105,348 $ 101,158
Plus: Interest expense on
contingently convertible debt,
net of income taxes 1,912 1,912
----------- -----------

Net income adjusted for diluted
earnings per share calculation $ 107,260 $ 103,070
=========== ===========

Share data:
Basic weighted average common
shares outstanding 89,036 93,907
Stock options and other
dilutive components 1,413 1,402
Common stock equivalent shares
related to contingently
convertible debt 8,153 8,153
----------- -----------

Diluted weighted average common
shares outstanding 98,602 103,462
=========== ===========

Share repurchase data:
Common shares repurchased 81 832
=========== ===========
Average price paid per common
share repurchased (including
commissions) $ 43.01 $ 40.04
=========== ===========
----------------------------------------------------------------------
----------------------------------------------------------------------
CONSOLIDATED BALANCE SHEETS
----------------------------------------------------------------------
March December March
31, 2006 31, 2005 31, 2005
----------- ----------- -----------
(Unaudited) (Unaudited)
(Dollars and shares in thousands,
except per share data)
Assets
Cash and investments, at fair
value $3,876,953 $3,789,432 $3,644,481
Investments in unconsolidated
subsidiaries (1) 1,002,707 984,925 919,869
Equity investment held for
sale (1) -- -- 110,373
Related party receivables 2,779 2,864 13,764
Reinsurance receivables,
reinsurance recoverables and
prepaid premiums 20,225 30,338 43,915
Deferred policy acquisition
costs 84,173 86,170 89,578
Other assets 360,673 360,407 339,690
----------- ----------- -----------
Total assets $5,347,510 $5,254,136 $5,161,670
=========== =========== ===========

Liabilities
Reserve for losses and loss
adjustment expenses $ 369,914 $ 368,841 $ 364,782
Unearned premiums 480,460 490,899 474,761
Long-term debt 819,529 819,529 819,529
Other liabilities 350,349 344,077 330,427
----------- ----------- -----------
Total liabilities 2,020,252 2,023,346 1,989,499

Shareholders' equity 3,327,258 3,230,790 3,172,171
----------- ----------- -----------

Total liabilities and
shareholders' equity $5,347,510 $5,254,136 $5,161,670
=========== =========== ===========

Basic shares issued and
outstanding 89,354 88,713 93,492
=========== =========== ===========

Book value per share $ 37.24 $ 36.42 $ 33.93
=========== =========== ===========


THE PMI GROUP, INC. AND SUBSIDIARIES
----------------------------------------------------------------------
BUSINESS SEGMENTS RESULTS OF OPERATIONS
----------------------------------------------------------------------

U.S.
Mortgage Interna-
Insurance tional Financial
Operations Operations Guaranty Consolidated
(2) (3) (4) Other (5) Total
----------- ----------- --------- --------- ------------
Three Months Ended March 31, 2006 (Unaudited)
--------------------------------------------------------
(Dollars in thousands)

Net premiums
written $ 163,474 $ 38,420 $ -- $ 10 $ 201,904
=========== =========== ========= ========= ============

Revenues
Premiums
earned $ 167,538 $ 38,686 $ -- $ 17 $ 206,241
Net
investment
income 25,676 14,785 -- 6,406 46,867
Equity in
earnings
(losses)
from
unconsoli-
dated
subsidiar-
ies (1) 4,492 -- 23,235 (102) 27,625
Net realized
investment
gains
(losses) 237 142 -- (39) 340
Other income
(loss) (23) 3,031 -- 3,777 6,785
----------- ----------- --------- --------- ------------
Total
revenues 197,920 56,644 23,235 10,059 287,858
----------- ----------- --------- --------- ------------

Losses and
expenses
Losses and
loss
adjustment
expenses 59,147 1,792 -- -- 60,939
Amortiza-
tion
of deferred
policy
acquisi-
tion costs 13,442 3,545 -- -- 16,987
Other
underwrit-
ing expenses
and
operating
expenses
(11) 25,911 9,789 -- 17,843 53,543
Field office
restructur-
ing (6) 1,955 -- -- -- 1,955
Compensation
expense
related to
stock
options and
employee
stock
purchase plan
(7) -- -- -- 5,022 5,022
Interest
expense -- -- -- 8,179 8,179
----------- ----------- --------- --------- ------------
Total
losses
and
expenses 100,455 15,126 -- 31,044 146,625
----------- ----------- --------- --------- ------------

Income (loss)
before
income taxes 97,465 41,518 23,235 (20,985) 141,233
Income tax
(benefit) 27,360 12,909 2,137 (6,521) 35,885
----------- ----------- --------- --------- ------------

Net income
(loss) $ 70,105 $ 28,609 $ 21,098 $(14,464) $ 105,348
=========== =========== ========= ========= ============

Expense ratio
(8) 25.3% 34.7%
Loss ratio
(8) 35.3% 4.6%
Combined
ratio 60.6% 39.3%


Three Months Ended March 31, 2005 (Unaudited)
--------------------------------------------------------
(Dollars in thousands)

Net premiums
written $ 154,538 $ 39,185 $ -- $ 23 $ 193,746
=========== =========== ========= ========= ============

Revenues
Premiums
earned $ 164,112 $ 35,435 $ -- $ 20 $ 199,567
Net
investment
income 25,579 13,756 -- 4,455 43,790
Equity in
earnings
from
unconsoli-
dated
subsidiar-
ies (1) 4,074 -- 20,846 292 25,212
Net realized
investment
gains
(losses) 420 340 -- (39) 721
Other income
(loss) 4 (113) -- 5,644 5,535
----------- ----------- --------- --------- ------------
Total
revenues 194,189 49,418 20,846 10,372 274,825
----------- ----------- --------- --------- ------------

Losses and
expenses
Losses and
loss
adjustment
expenses 63,118 1,363 -- -- 64,481
Amortization
of deferred
policy
acquisition
costs 16,026 4,417 -- -- 20,443
Other
underwrit-
ing and
operating
expenses 23,553 7,006 -- 15,086 45,645
Interest
expense 1 -- -- 9,552 9,553
----------- ----------- --------- --------- ------------
Total
losses
and
expenses 102,698 12,786 -- 24,638 140,122
----------- ----------- --------- --------- ------------

Income (loss)
before
income taxes 91,491 36,632 20,846 (14,266) 134,703
Income tax
(benefit) 25,149 11,485 1,956 (5,045) 33,545
----------- ----------- --------- --------- ------------

Net income
(loss) $ 66,342 $ 25,147 $ 18,890 $ (9,221) $ 101,158
=========== =========== ========= ========= ============

Expense ratio
(8) 25.6% 29.1%
Loss ratio
(8) 38.5% 3.8%
Combined
ratio 64.1% 32.9%



THE PMI GROUP, INC. AND SUBSIDIARIES
----------------------------------------------------------------------
BUSINESS SEGMENTS BALANCE SHEETS
----------------------------------------------------------------------

U.S. Mortgage International
Insurance Operations (3)
Operations (2)
-----------------------------------
March 31, 2006 (unaudited)
-----------------------------------
(Dollars in thousands)
Assets
Cash and investments, at fair
value $2,203,435 $1,094,316
Investments in unconsolidated
subsidiaries (1) 133,218 --
Related party receivables 2,183 --
Reinsurance receivables,
recoverables and prepaid
premiums 14,986 5,239
Deferred policy acquisition
costs 46,987 37,186
Other assets 206,435 30,560
----------------- ---------------
Total assets $2,607,244 $1,167,301
================= ===============

Liabilities
Reserve for losses and loss
adjustment expenses $ 346,437 $ 23,476
Unearned premiums 156,993 323,431
Long-term debt -- --
Other liabilities 282,510 79,565
----------------- ---------------
Total liabilities 785,940 426,472

Shareholders' equity 1,821,304 740,829
----------------- ---------------

Total liabilities and
shareholders' equity $2,607,244 $1,167,301
================= ===============


December 31, 2005
-----------------------------------
(Dollars in thousands)
Assets
Cash and investments, at fair
value $2,108,853 $1,093,505
Investments in unconsolidated
subsidiaries (1) 129,600 --
Related party receivables 2,700 --
Reinsurance receivables,
recoverables and prepaid
premiums 24,576 5,762
Deferred policy acquisition costs 48,310 37,860
Other assets 207,436 25,260
----------------- ---------------
Total assets $2,521,475 $1,162,387
================= ===============

Liabilities
Reserve for losses and loss
adjustment expenses $ 345,536 $ 23,302
Unearned premiums 162,368 328,489
Long-term debt -- --
Other liabilities 248,343 79,610
----------------- ---------------
Total liabilities 756,247 431,401

Shareholders' equity 1,765,228 730,986
----------------- ---------------

Total liabilities and
shareholders' equity $2,521,475 $1,162,387
================= ===============


March 31, 2005 (unaudited)
-----------------------------------
(Dollars in thousands)
Assets
Cash and investments, at fair
value $2,212,968 $1,025,957
Investments in unconsolidated
subsidiaries (1) 115,309 --
Equity investment held for sale
(1) -- --
Related party receivables 966 --
Reinsurance receivables,
recoverables and prepaid
premiums 23,044 20,871
Deferred policy acquisition costs 50,999 38,579
Other assets 199,813 27,334
----------------- ---------------
Total assets $2,603,099 $1,112,741
================= ===============

Liabilities
Reserve for losses and loss
adjustment expenses $ 338,477 $ 26,302
Unearned premiums 146,816 327,904
Long-term debt -- --
Other liabilities 247,917 63,408
----------------- ---------------
Total liabilities 733,210 417,614

Shareholders' equity 1,869,889 695,127
----------------- ---------------

Total liabilities and
shareholders' equity $2,603,099 $1,112,741
================= ===============


Consoli-
Financial Other (5) dated
Guaranty (4) Total
--------------------------------------
March 31, 2006 (unaudited)
--------------------------------------
(Dollars in thousands)
Assets
Cash and investments, at
fair value $ -- $ 579,202 $3,876,953
Investments in
unconsolidated
subsidiaries (1) 850,686 18,803 1,002,707
Related party receivables -- 596 2,779
Reinsurance receivables,
recoverables and prepaid
premiums -- -- 20,225
Deferred policy acquisition
costs -- -- 84,173
Other assets -- 123,678 360,673
------------ ----------- -----------
Total assets $ 850,686 $ 722,279 $5,347,510
============ =========== ===========

Liabilities
Reserve for losses and loss
adjustment expenses $ -- $ 1 $ 369,914
Unearned premiums -- 36 480,460
Long-term debt -- 819,529 819,529
Other liabilities 21,148 (32,874) 350,349
------------ ----------- -----------
Total liabilities 21,148 786,692 2,020,252

Shareholders' equity 829,538 (64,413) 3,327,258
------------ ----------- -----------

Total liabilities and
shareholders' equity $ 850,686 $ 722,279 $5,347,510
============ =========== ===========


December 31, 2005
--------------------------------------
(Dollars in thousands)
Assets
Cash and investments,
at fair value $ -- $ 587,074 $3,789,432
Investments in
unconsolidated
subsidiaries (1) 836,752 18,573 984,925
Related party receivables -- 164 2,864
Reinsurance receivables,
recoverables and prepaid
premiums -- -- 30,338
Deferred policy acquisition
costs -- -- 86,170
Other assets -- 127,711 360,407
------------ ----------- -----------
Total assets $ 836,752 $ 733,522 $5,254,136
============ =========== ===========

Liabilities
Reserve for losses and loss
adjustment expenses $ -- $ 3 $ 368,841
Unearned premiums -- 42 490,899
Long-term debt -- 819,529 819,529
Other liabilities 19,204 (3,080) 344,077
------------ ----------- -----------
Total liabilities 19,204 816,494 2,023,346

Shareholders' equity 817,548 (82,972) 3,230,790
------------ ----------- -----------

Total liabilities and
shareholders' equity $ 836,752 $ 733,522 $5,254,136
============ =========== ===========


March 31, 2005 (unaudited)
--------------------------------------
(Dollars in thousands)
Assets
Cash and investments,
at fair value $ -- $ 405,555 $3,644,480
Investments in
unconsolidated
subsidiaries (1) 781,952 22,608 919,869
Equity investment held
for sale (1) -- 110,373 110,373
Related party receivables -- 12,798 13,764
Reinsurance receivables,
recoverables and prepaid
premiums -- -- 43,915
Deferred policy acquisition
costs -- -- 89,578
Other assets -- 112,544 339,691
------------ ----------- -----------
Total assets $ 781,952 $ 663,878 $5,161,670
============ =========== ===========

Liabilities
Reserve for losses and loss
adjustment expenses $ -- $ 3 $ 364,782
Unearned premiums -- 41 474,761
Long-term debt -- 819,529 819,529
Other liabilities 14,187 4,915 330,427
------------ ----------- -----------
Total liabilities 14,187 824,488 1,989,499

Shareholders' equity 767,765 (160,610) 3,172,171
------------ ----------- -----------

Total liabilities and
shareholders' equity $ 781,952 $ 663,878 $5,161,670
============ =========== ===========


THE PMI GROUP, INC. AND SUBSIDIARIES

----------------------------------------------------------------------
U.S. MORTGAGE INSURANCE OPERATIONS (2) ANALYSIS OF RESERVE FOR LOSSES
AND LAE
----------------------------------------------------------------------

March 31, 2006 December 31, 2005 March 31, 2005
----------------- ------------------ -------------------
Reserve Reserve Reserve
for for for
Loans in Losses Loans in Losses Loans in Losses
Default and LAE Default and LAE Default and LAE
-------- --------- -------- --------- --------- ---------
(Dollars in thousands)
Primary
insurance 37,784 $308,843 42,702 $307,066 35,716 $303,792
Pool
insurance 19,069 37,594 20,379 38,470 16,992 34,685
-------- --------- -------- --------- --------- ---------
Total 56,853 $346,437 63,081 $345,536 52,708 $338,477
======== ========= ======== ========= ========= =========

Reconciliation of Reserve for Losses and LAE
----------------------------------------------

December
March 31, 31, Reserve
2006 2005 Change
--------- --------- ---------
(Dollars in thousands)
Gross reserve for losses and LAE:
Primary insurance $308,843 $307,066 $ 1,777
Pool insurance 37,594 38,470 (876)
--------- --------- ---------
Total gross reserve for losses and
LAE 346,437 345,536 901

Ceded reserve for losses:
Primary insurance (2,213) (2,422) 209
Pool insurance (71) (55) (16)
--------- --------- ---------
Total ceded reserve for losses (2,284) (2,477) 193
--------- --------- ---------

Net reserve for losses and LAE $344,153 $343,059 $ 1,094
========= ========= =========


----------------------------------------------------------------------
U.S. MORTGAGE INSURANCE OPERATIONS (2) FINANCIAL AND STATISTICAL
INFORMATION
----------------------------------------------------------------------

Three Months Ended
March 31,
-------------------
2006 2005
--------- ---------

Flow insurance written (in millions) $ 5,040 $ 6,303
Structured insurance written (in millions) 3,047 1,865
--------- ---------
Primary new insurance written (in millions) $ 8,087 $ 8,168
========= =========

Primary new risk written (in millions) $ 2,148 $ 2,069

Pool new insurance written (in millions) (9) $ 4,726 $ 1,306

Pool new risk written (in millions) (9) $ 104 $ 41

Product mix as a % of new insurance written:
Above 97% LTV's 13% 13%
90.01% to 95% LTV's 21% 24%
85.01% to 90% LTV's 46% 38%
90.01% to 95% LTV's with greater than or equal
to 30% coverage 18% 20%
85.01% to 90% LTV's with greater than or equal
to 25% coverage 41% 33%
ARMs 39% 33%
Monthlies 97% 98%
Refinances 39% 37%


Premiums written (in thousands):
Gross premiums written $208,135 $201,129
Ceded premiums, net of assumed premiums (41,654) (43,287)
Refunded premiums (3,007) (3,304)
--------- ---------
Net premiums written 163,474 154,538
Change in unearned premiums 4,064 9,574
--------- ---------
Net premiums earned $167,538 $164,112
========= =========


THE PMI GROUP, INC. AND SUBSIDIARIES
----------------------------------------------------------------------
U.S. MORTGAGE INSURANCE OPERATIONS (2) FINANCIAL AND STATISTICAL
INFORMATION
----------------------------------------------------------------------

3/31/2006 12/31/2005 9/30/2005
---------- ----------- ----------

Primary insurance in force
(in millions)
Flow $85,685 $86,991 $88,433
Structured transactions 15,826 14,099 12,788
---------- ----------- ----------
Total $101,511 $101,090 $101,221
========== =========== ==========

Primary risk in force (in millions)
Flow $21,102 $21,388 $21,745
Structured transactions 4,147 3,583 3,167
---------- ----------- ----------
Total $25,249 $24,971 $24,912
========== =========== ==========

Pool risk in force (in millions) (9) $2,666 $2,589 $2,530

Primary risk in force - credit score
distribution
Flow 620 or above 93.2% 93.0% 92.7%
619-575 5.4% 5.5% 5.7%
574 or below 1.4% 1.5% 1.6%

Structured
transactions 620 or above 79.2% 76.9% 73.9%
619-575 13.2% 14.5% 16.0%
574 or below 7.6% 8.6% 10.1%

Total 620 or above 90.9% 90.7% 90.3%
619-575 6.6% 6.8% 7.0%
574 or below 2.5% 2.5% 2.7%

Primary average loan size
(in thousands)
Flow $135.6 $134.5 $133.3
Structured transactions $150.7 $145.4 $139.5
Total $137.8 $136.0 $134.1

Loss severity - primary (quarterly)
Flow 84.9% 85.9% 84.0%
Structured transactions 91.2% 94.3% 89.6%
Total 86.5% 87.7% 85.2%

Persistency
Primary persistency rate 63.1% 61.9% 61.2%

Primary loans, defaults and default
rates
Primary policies in force 736,908 743,533 754,934

Primary loans in default 37,784 42,702 38,146

Primary default rate 5.13% 5.74% 5.05%
Structured transactions only default
rate 8.59% 9.85% 10.09%
Pool default rate 6.17% 6.84% 6.34%

Claims paid (year-to-date in
millions)
Primary claims paid - flow $37.3 $165.8 $126.6
Primary claims paid - structured
transactions 13.5 49.1 36.8
---------- ----------- ----------
Total primary claims paid 50.8 214.9 163.4
Total pool and other 4.3 20.1 15.0
---------- ----------- ----------
Total claims paid $55.1 $235.0 $178.4
========== =========== ==========


Number of primary claims paid (year-
to-date) 2,058 9,262 7,124

Average primary claim size (year-to-
date in thousands) $24.7 $23.2 $22.9

Captive reinsurance arrangements
(year-to-date)
Percentage of flow NIW subject to
captive reinsurance arrangements 70.8% 69.0% 68.0%
Percentage of primary NIW subject to
captive reinsurance arrangements 44.8% 54.7% 55.7%
Percentage of primary IIF subject to
captive reinsurance arrangements 53.2% 53.4% 53.2%
Percentage of primary RIF subject to
captive reinsurance arrangements 53.9% 54.4% 54.4%

Alt-A primary insurance in force
(in millions)
With FICO scores of 660 and above $14,754 $13,689 $12,548
With FICO scores below 660 and above
619 2,785 2,566 2,329
---------- ----------- ----------
Total Alt-A primary insurance in
force $17,539 $16,255 $14,877
========== =========== ==========

Risk-to-capital ratio (10) 8.1 to 1 8.2 to 1 8.0 to 1



6/30/2005 3/31/2005 12/31/2004
---------- ---------- -----------

Primary insurance in force
(in millions)
Flow $89,965 $91,399 $93,263
Structured transactions 13,469 12,598 12,058
---------- ---------- -----------
Total $103,434 $103,997 $105,321
========== ========== ===========

Primary risk in force (in millions)
Flow $22,067 $22,346 $22,733
Structured transactions 3,296 2,966 2,772
---------- ---------- -----------
Total $25,363 $25,312 $25,505
========== ========== ===========

Pool risk in force (in millions) (9) $2,445 $2,417 $2,408

Primary risk in force - credit score
distribution
Flow 620 or above 92.4% 92.1% 92.0%
619-575 5.9% 6.1% 6.2%
574 or below 1.7% 1.8% 1.8%

Structured
transactions 620 or above 71.7% 66.9% 65.9%
619-575 17.4% 20.2% 21.1%
574 or below 10.9% 12.9% 13.0%

Total 620 or above 89.7% 89.2% 89.1%
619-575 7.4% 7.7% 7.9%
574 or below 2.9% 3.1% 3.0%

Primary average loan size
(in thousands)
Flow $132.2 $131.5 $131.3
Structured transactions $139.8 $134.1 $129.8
Total $133.2 $131.8 $131.1

Loss severity - primary (quarterly)
Flow 83.8% 85.6% 84.9%
Structured transactions 87.7% 90.9% 84.6%
Total 84.6% 86.8% 84.8%

Persistency
Primary persistency rate 62.0% 60.8% 60.9%

Primary loans, defaults and default
rates
Primary policies in force 776,721 788,847 803,236

Primary loans in default 35,030 35,716 39,054

Primary default rate 4.51% 4.53% 4.86%
Structured transactions only default
rate 8.54% 8.17% 9.19%
Pool default rate 5.65% 5.65% 5.50%

Claims paid (year-to-date in
millions)
Primary claims paid - flow $87.8 $41.7 $141.3
Primary claims paid - structured
transactions 25.4 13.8 51.9
---------- ---------- -----------
Total primary claims paid 113.2 55.5 193.2
Total pool and other 9.6 4.7 17.7
---------- ---------- -----------
Total claims paid $122.8 $60.2 $210.9
========== ========== ===========


Number of primary claims paid (year-
to-date) 4,934 2,413 8,335

Average primary claim size (year-to-
date in thousands) $22.9 $23.0 $23.2

Captive reinsurance arrangements
(year-to-date)
Percentage of flow NIW subject to
captive reinsurance arrangements 65.0% 60.4% 62.8%
Percentage of primary NIW subject to
captive reinsurance arrangements 50.7% 47.1% 55.7%
Percentage of primary IIF subject to
captive reinsurance arrangements 52.1% 52.4% 52.0%
Percentage of primary RIF subject to
captive reinsurance arrangements 53.4% 53.9% 53.6%

Alt-A primary insurance in force
(in millions)
With FICO scores of 660 and above $11,800 $10,892 $10,250
With FICO scores below 660 and above
619 2,326 2,136 2,029
---------- ---------- -----------
Total Alt-A primary insurance in
force $14,126 $13,028 $12,279
========== ========== ===========

Risk-to-capital ratio (10) 8.3 to 1 8.1 to 1 8.2 to 1



THE PMI GROUP, INC. AND SUBSIDIARIES
----------------------------------------------------------------------
CMG MORTGAGE INSURANCE COMPANY FINANCIAL AND STATISTICAL INFORMATION
----------------------------------------------------------------------

December
March 31, 31, March 31,
2006 2005 2005
----------- --------- ---------
Primary new insurance written (year-
to-date in millions) $ 891 $ 5,388 $ 1,071

Primary insurance in force (in
millions) $ 15,476 $ 15,495 $ 14,213

Primary risk in force (in millions) $ 3,686 $ 3,666 $ 3,286

Insured primary loans 110,879 111,472 105,928

Persistency 72.3% 72.0% 69.1%

Primary loans in default 992 907 713

Primary default rate (year-to-date) 0.89% 0.81% 0.67%

Primary claims paid (year-to-date in
thousands) $ 1,200 $ 4,827 $ 892

Number of primary claims paid (year-
to-date) 55 222 41

Average primary claim size (year-to-
date in thousands) $ 21.8 $ 21.7 $ 21.8

----------------------------------------------------------------------
PMI AUSTRALIA FINANCIAL AND STATISTICAL INFORMATION
----------------------------------------------------------------------

December
March 31, 31, March 31,
2006 2005 2005
----------- --------- ---------
Net premiums written (year-to-date in
thousands) $ 34,640 $151,882 $ 32,388

Premiums earned (year-to-date in
thousands) $ 32,267 $123,781 $ 29,399

Flow insurance written (year-to-date
in millions) $ 4,152 $ 18,321 $ 3,922
RMBS insurance written (year-to-date
in millions) 5,291 10,671 3,816
----------- --------- ---------
New insurance written (year-to-date in
millions) $ 9,443 $ 28,992 $ 7,738
=========== ========= =========

Insurance in force (in millions) $ 123,050 $119,915 $117,439

Risk in force (in millions) $ 112,199 $108,751 $106,724

Policies in force 1,026,260 981,732 955,922

Loans in default 1,520 1,264 959

Default rate 0.15% 0.13% 0.10%

Claims paid (year-to-date in
thousands) $ 1,224 $ 3,261 $ 305

Number of claims paid (year-to-date) 31 93 18

Average claim size (year-to-date in
thousands) $ 39.5 $ 35.1 $ 16.9

---------------------------------------------------------------------
PMI EUROPE FINANCIAL AND STATISTICAL INFORMATION
----------------------------------------------------------------------

December
March 31, 31, March 31,
2006 2005 2005
----------- --------- ---------
Net premiums written (year-to-date in
thousands) $ 2,754 $ 8,921 $ 1,547

Premiums earned (year-to-date in
thousands) $ 3,888 $ 17,507 $ 4,353

New insurance written (year-to-date in
millions) $ 32 $ 33 $ -

New credit default swaps written
(year-to-date in millions) $ 629 $ 514 $ -

New reinsurance written (year-to-date
in millions) $ 627 $ 6,215 $ -

Insurance in force (in millions) $ 39,254 $ 38,443 $ 31,365

Risk in force (in millions) $ 2,760 $ 2,776 $ 2,405

Claims paid including credit default
swaps (year-to-date in thousands) $ 644 $ 2,761 $ 825



THE PMI GROUP, INC. AND SUBSIDIARIES
----------------------------------------------------------------------
APPENDIX A - QUARTERLY FINANCIAL INFORMATION
----------------------------------------------------------------------

---------------------------------------------------------------------
PMI AUSTRALIA QUARTERLY FINANCIAL INFORMATION
---------------------------------------------------------------------

-------------------------------
2006
-------------------------------
1st Quarter
-------------------------------
(Australian $ in thousands,
unless otherwise noted)

Income Statement Components - Quarter
Ended

Premiums earned $ 43,644
Net investment income $ 16,876
Change in fair value of foreign
currency put options $ 1,855
Total expenses $ 15,789
Net income $ 32,546

Net income (U.S. $ in thousands) $ 24,054

Balance Sheet Components

Assets

Cash and investments, at fair value $1,219,179
Total assets $1,302,982

Liabilities and Shareholder's Equity

Reserve for losses and LAE $ 11,489
Unearned premiums $ 419,207
Shareholder's equity $ 822,918


------------------------------------------------
2005
------------------------------------------------
4th 3rd 2nd 1st
Quarter Quarter Quarter Quarter
------------- ----------- ----------- ----------
(Australian $ in thousands, unless
otherwise noted)

Income Statement
Components - Quarter
Ended

Premiums earned $ 43,959 $ 41,815 $ 38,929 $ 37,840
Net investment
income $ 16,257 $ 15,854 $ 14,966 $ 14,705
Change in fair
value of
foreign currency
put options $ (24) $ (232) $ (422) $ (1,338)
Total expenses $ 17,226 $ 13,632 $ 15,104 $ 13,788
Net income $ 31,906 $ 31,079 $ 26,725 $ 26,487
Net income (U.S.
$ in thousands) $ 23,728 $ 23,623 $ 20,541 $ 20,584

Balance Sheet
Components

Assets

Cash and
investments,
at fair value $1,197,016 $1,147,390 $1,090,399 $1,037,704
Total assets $1,275,573 $1,225,683 $1,188,574 $1,132,961

Liabilities and
Shareholder's
Equity

Reserve for losses
and LAE $ 11,573 $ 11,156 $ 12,541 $ 12,549
Unearned premiums $ 415,885 $ 406,661 $ 395,113 $ 382,781
Shareholder's
equity $ 793,045 $ 757,372 $ 730,113 $ 689,927



----------------------------------------------------------------------
PMI EUROPE QUARTERLY FINANCIAL INFORMATION
----------------------------------------------------------------------

-------------------------------
2006
-------------------------------
1st Quarter
-------------------------------

Income Statement Components - Quarter
Ended

Premiums earned EUR 3,232
Net investment income EUR 1,915
Change in fair value of foreign
currency put options EUR (43)
Total expenses EUR 2,692
Net income EUR 2,451

Net income (U.S. $ in thousands) $ 2,949
Pre-tax net income (in thousands)

Balance Sheet Components

Assets

Cash and investments, at fair value EUR 182,304
Total assets EUR 192,990

Liabilities and Shareholder's Equity

Reserve for losses and LAE EUR 12,581
Unearned premiums EUR 19,077
Shareholder's equity EUR 132,900


--------------------------------------------------------
2005
--------------------------------------------------------
4th 3rd 2nd 1st
Quarter Quarter Quarter Quarter
--------------------------------------------------------

(Euro EUR in thousands, unless otherwise noted)

Income
Statement
Components -
Quarter
Ended

Premiums
earned EUR 3,721 EUR 3,749 EUR 3,298 EUR 3,321

Net
investment
income EUR 1,730 EUR 2,188 EUR 1,951 EUR 2,002

Change in
fair value
of foreign
currency
put
options EUR 55 EUR (3) EUR 342 EUR (33)

Total
expenses EUR 3,824 EUR 3,244 EUR 3,168 EUR 2,031

Net income EUR 1,362 EUR 2,276 EUR 1,828 EUR 2,326

Net income
(U.S. $
in
thousands) $1,615 $2,774 $2,330 $3,049
Pre-tax
net
income
(in
thousands)

Balance Sheet
Components

Assets

Cash and
invest-
ments,
at fair
value EUR 182,559 EUR 182,682 EUR 179,698 EUR 172,707

Total
assets EUR 192,107 EUR 192,431 EUR 188,840 EUR 182,857

Liabilities
and
Share-
holder's
Equity

Reserve for
losses
and LAE EUR 12,508 EUR 13,019 EUR 13,395 EUR 12,807
Unearned
premiums EUR 20,020 EUR 20,808 EUR 22,589 EUR 24,719

Share-
holder's
equity EUR 133,818 EUR 133,352 EUR 131,452 EUR 125,395



THE PMI GROUP, INC. AND SUBSIDIARIES
----------------------------------------------------------------------
APPENDIX B- BUSINESS SEGMENTS RESULTS OF OPERATIONS BY QUARTER
----------------------------------------------------------------------

2006 2005
--------- ---------------------------------------
1st 4th 3rd 2nd 1st
Quarter Quarter Quarter Quarter Quarter
--------- --------- --------- --------- ---------
(Dollars in thousands)

U.S. Mortgage Insurance Operations (2)
----------------------------------------------------------------------

Net premiums written $163,474 $201,160 $158,866 $152,564 $154,538
========= ========= ========= ========= =========

Revenues
Premiums earned $167,538 $166,778 $166,052 $168,248 $164,112
Net investment
income 25,676 26,168 25,046 27,546 25,579
Equity in earnings
from
unconsolidated
subsidiaries (1) 4,492 4,583 5,217 4,937 4,074
Net realized
investment gains 237 378 2,597 1,167 420
Other income
(loss) (23) (3) 3 (5) 4
--------- --------- --------- --------- ---------
Total revenues 197,920 197,904 198,915 201,893 194,189
--------- --------- --------- --------- ---------

Losses and expenses
Losses and loss
adjustment
expenses 59,147 63,159 61,667 65,496 63,118
Amortization of
deferred policy
acquisition costs 13,442 14,113 14,478 15,030 16,026
Other underwriting
expenses and
operating
expenses (11) 25,911 29,057 25,260 25,278 23,553
Field office
restructuring (6) 1,955 - - - -
Interest expense - 1 3 - 1
--------- --------- --------- --------- ---------
Total losses and
expenses 100,455 106,330 101,408 105,804 102,698
--------- --------- --------- --------- ---------

Income before income
taxes 97,465 91,574 97,507 96,089 91,491
Income taxes 27,360 21,696 27,977 26,400 25,149
--------- --------- --------- --------- ---------
- - - - -
Net income $70,105 $69,878 $69,530 $69,689 $66,342
========= ========= ========= ========= =========

International Operations (3)
----------------------------------------------------------------------

Net premiums written $38,420 $44,913 $47,197 $47,185 $39,185
========= ========= ========= ========= =========

Revenues
Premiums earned $38,686 $39,781 $38,979 $38,141 $35,435
Net investment
income 14,785 14,499 14,844 14,058 13,756
Net realized
investment gains
(losses) 142 (221) (27) (18) 340
Other income
(loss) 3,031 778 1,287 873 (113)
--------- --------- --------- --------- ---------
Total revenues 56,644 54,837 55,083 53,054 49,418
--------- --------- --------- --------- ---------

Losses and expenses
Losses and loss
adjustment
expenses 1,792 1,601 (365) 1,739 1,363
Amortization of
deferred policy
acquisition costs 3,545 3,274 3,269 3,779 4,417
Other underwriting
and operating
expenses 9,789 12,663 11,648 10,539 7,006
Interest expense - 9 - - -
--------- --------- --------- --------- ---------
Total losses and
expenses 15,126 17,547 14,552 16,057 12,786
--------- --------- --------- --------- ---------

Income before income
taxes 41,518 37,290 40,531 36,997 36,632
Income taxes 12,909 10,251 12,514 11,747 11,485
--------- --------- --------- --------- ---------

Net income $28,609 $27,039 $28,017 $25,250 $25,147
========= ========= ========= ========= =========

Financial Guaranty (4)
----------------------------------------------------------------------

Equity in earnings
from unconsolidated
subsidiaries (1) $23,235 $21,453 $13,691 $23,761 $20,846
Income taxes 2,137 2,208 1,135 2,254 1,956
--------- --------- --------- --------- ---------

Net income $21,098 $19,245 $12,556 $21,507 $18,890
========= ========= ========= ========= =========

Other (5)
----------------------------------------------------------------------

Net premiums written $10 $27 $19 $13 $23
========= ========= ========= ========= =========

Revenues
Premiums earned $17 $18 $19 $19 $20
Net investment
income 6,406 4,832 4,537 4,143 4,455
Equity in earnings
(losses) from
unconsolidated
subsidiaries (1) (102) (165) (388) (416) 292
Net realized
investment gains
(losses) (39) (4) (2,897) 354 (39)
Other income 3,777 4,283 2,649 5,383 5,644
--------- --------- --------- --------- ---------
Total revenues 10,059 8,964 3,920 9,483 10,372
--------- --------- --------- --------- ---------

Losses and expenses
Other underwriting
expenses and
operating
expenses (11) 17,843 17,354 17,607 18,600 15,086
Compensation
expense related to
stock options and
employee stock
purchase plan (7) 5,022 - - - -
Interest expense 8,179 4,644 8,455 8,472 9,552
--------- --------- --------- --------- ---------
Total losses and
expenses 31,044 21,998 26,062 27,072 24,638
--------- --------- --------- --------- ---------

Loss before income
tax benefits (20,985) (13,034) (22,142) (17,589) (14,266)
Income tax benefits (6,521) (4,587) (7,750) (5,728) (5,045)
--------- --------- --------- --------- ---------

Net loss $(14,464) $(8,447) $(14,392) $(11,861) $(9,221)
========= ========= ========= ========= =========