NGM BIOPHARMACEUTICALS, INC.

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NGM Biopharmaceuticals : Investor Day - Presentation

11/19/2020 | 12:03pm EDT

© 2017 Copyright. NMI Holdings Inc.

2020 Virtual Investor Day

  • Welcome to NMI Holdings, Inc. - 2020 Virtual Investor Day
  • Presentation materials will be displayed on screen alongside a video of management through each section of today's discussion
  • Audience members have the opportunity to submit questions at any time through the course of the presentation in the dialogue box located on screen
  • Submissions must include your name and organizational affiliation
  • Questions will be aggregated and addressed during the Q&A session after formal presentations
  • A replay of today's meeting will be available on our website at https://ir.nationalmi.com/events-and-presentations

1

Our Use of Forward-Looking Statements and Non-GAAP Financial Measures

During the course of this 2020 Investor Day discussion, we may make comments about our expectations for the future. Actual results could differ materially from those contained in these forward-looking statements.

Additional information about the factors that could cause actual results or trends to differ materially from those discussed today can be found on page 84 of this deck and on our website, or through our filings with the SEC, which are also on our website.

If, and to the extent, we make forward-looking statements, we do not undertake any obligation to update those statements in the future in light of subsequent developments. Further, no interested party should rely on the fact that the guidance of such statements is current at any time other than the time of this presentation.

Also note that we will refer to certain non-GAAP measures and provide a reconciliation in this presentation to the most comparable measures under GAAP on pages 82 and 83, and on the investor relations section of our website.

2

Agenda

Chairman's Message

Brad Shuster

Executive Chairman &

Chairman of the Board

Building on Our Success

Claudia Merkle

Chief Executive Officer

Customer Development

Norm Fitzgerald

Senior VP &

Chief Sales Officer

Risk Management

Rob Smith

Executive VP &

Chief Risk Officer

Financial Review

Adam Pollitzer

Executive VP &

Chief Financial Officer

Questions & Answers

3

Chairman's Message

Brad Shuster

Executive Chairman and Chairman of the Board

© 2017 Copyright. NMI Holdings Inc.

Themes for Today

  • Significant success to date provides strong foundation
  • Immediate and decisive action in face of COVID crisis
  • Housing market resiliency presents enormous opportunity
  • Well positioned to survive and thrive through COVID and beyond

5

Delivering significant value for shareholders and securing future outperformance across all market cycles

Founding Principles

  • Help qualified borrowers achieve the

Dream of Home Ownership

  • Be a Credible and Durable Counterparty

for our customers and policyholders

  • Deliver a Great Customer Experience

through people and technology

  • Manage Risk to ensure strong performance across all market cycles
  • Create a Winning Culture that allows us to attract and retain the very best talent
  • Generate sustainable Strong Mid-Teens Returns
    for our shareholders

6

Executive Management

Highly experienced senior management team supported by a deep bench of talent

Bradley Shuster

Claudia Merkle

Executive Chairman,

Chief Executive Officer

Chairman of the Board

William Leatherberry

Patrick Mathis

General Counsel

Chief Operating Officer

Adam Pollitzer

Robert Smith

Chief Financial Officer

Chief Risk Officer

Norm Fitzgerald

Chief Sales Officer

7

Significant Success to Date

  • Performance Driven Culture
  • Winning with Customers
  • Building High-Quality Portfolio
  • Strong Financial Results

Award

Winning

Culture

8

Significant Success to Date

  • Performance Driven Culture
  • Winning with Customers
  • Building High-Quality Portfolio
  • Strong Financial Results

Customer Value Proposition

Best-in-class

Consultative

sales team

engagement

Certainty of

Sensible

Coverage

Servicing

Active Customer Relationships

1,167

1,005

761

337

12/31/14 12/31/16 12/31/18 9/30/20

9

Significant Success to Date

  • Performance Driven Culture
  • Winning with Customers
  • High-QualityPortfolio
  • Strong Financial Results

Portfolio Characteristics

Prioritize higher

Rate GPS risk

quality loans

selection

Individual risk

Comprehensive

underwriting

reinsurance

Primary Insurance In-Force

$ billions

$104.5

$68.6

$32.2

$3.4

12/31/14 12/31/16 12/31/18 9/30/20

10

Significant Success to Date

  • Performance Driven Culture
  • Winning with Customers
  • Building High-Quality Portfolio
  • Strong Financial Results

Performance in COVID Stress

Balance sheet

Credit

strength

performance

Significant

Earnings

funding runway

resiliency

Adjusted Net Income & ROE*

$ millions

ROE

ROE

16.1%

21.1%

ROE

$175.5

16.3%

$161.9

ROE

6.3%

$95.2

$29.5

LTM Q3'17 LTM Q3'18

LTM Q3'19 LTM Q3'20

* Adjusted net income and adjusted return on equity are non-GAAP measures. For a reconciliation to the most comparable GAAP measures, refer to the appendix or the company website at www.nationalmi.com.

11

Decisive Action at Outset of

COVID Pandemic

Discipline and strength prior to COVID outbreak provide strong foundation

Seamlessly transitioned to remote engagement

Leveraged digital tools to sustain and enhance customer engagement

Targeted guideline changes to increase underwriting rigor

Immediately increased Rate GPS pricing in recognition of COVID risk

Raised +$1.4 billion in capital and reinsurance markets

Rationalized expenses with launch of TCS partnership

Decisive action at earliest outset of pandemic sets up continued success

12

Housing Market Resiliency

Record purchase demand

Purchase mortgage application index

2017-2019 average

2020

Average = +25.8%

1

4

7

10 13 16 19 22 25 28 31 34 37 40 43

Calendar week

Mortgage Bankers Association; Monthly, not seasonally adjusted

All-time low

mortgage rates

30-year fixed rate mortgage

4.5%

2.8%

8/30/18 3/19/19 10/6/19 4/24/20 11/12/20

St. Louis Federal Reserve Economic Data - 30-Year Fixed Rate Mortgage Average; weekly, not seasonally adjusted

Constrained housing supply

Monthly housing supply

Average = 5.5 mos

3.6 mos

7/1/15

10/15/16

1/30/18

5/17/19

9/1/20

St. Louis Federal Reserve Economic Data - monthly supply of houses, seasonally adjusted

National house

Encouraging credit

Mortgage origination

price appreciation

performance

volume

S&P / Case-Shiller U.S. National Home Price Index

% of GSE loans in forbearance

Purchase mortgage home originations volume

($ billions)

+9.7%

$1,564

$1,496

$1,326

+5.5% YTD

3.4%

$1,234

6/1/18

12/16/18

7/2/19

1/16/20

8/1/20

3/8/20

11/8/20

2018

2019

2020E

2021E

St. Louis Federal Reserve Economic Data - S&P / Case-Shiller U.S. National

Mortgage Bankers Association Forbearance and Call Volume Survey

Fannie Mae Housing Forecast - October 2020, 1-4 Unit Single Family

Home Price Index, monthly, not seasonally adjusted; indexed to 7/1/18

Mortgage Originations

13

Regulatory Environment

  • Broad policy efforts aimed at assisting borrowers and keeping them in their homes
    • CARES Act
    • FHFA / GSE forbearance program and foreclosure moratorium
    • Expansion of loan modification waterfall
  • Frequent and constructive engagement with FHFA and GSEs through pandemic
    • GSE amendments to PMIERs recognize unique nature of forbearance-related defaults
    • FHFA directive to focus GSEs on their core mission and curtail "charter creep"
    • General recognition of the central role MI plays in functioning of housing market
  • FHFA released final Enterprise Regulatory Capital Framework for GSEs on November 18th
    • Significant capital required for full privatization
    • Risk transfer provided by private mortgage insurers even more valuable to privatization goals
    • Uncertainties around timeline to implementation

14

Well-Positioned for the Future

Strong foundation

Customer engagement & pipeline

Comprehensive risk management framework

Highest quality insured portfolio

Resilient housing market fundamentals

Uniquely valuable new business opportunity

15

Built to perform

in all markets

Leading with

technology

Unique approach and credit outperformance

Industry-best portfolio

by any metric

Housing is the

"Bright Spot"

Volume and value of new

production

Building On Our Success

Claudia Merkle

Chief Executive Officer

© 2017 Copyright. NMI Holdings Inc.

National MI:

Building on Our Success

Culture

Customers

Innovation

Talented and

Building

Technology and

Durable

Committed People

Thought Leadership

Relationships

Built for Sustained Outperformance Across All Market Cycles

Comprehensive

Highest Quality,

Credit Risk

Strong Balance Sheet

Best Performing

Management

and Resilient Earnings

Insured Portfolio

Framework

Risk Management

Portfolio

Financials

17

Performance Driven Culture

  • Corporate culture - a key differentiator
  • 261 engaged, motivated employees
  • Team driven and collaborative

Award

Winning

Culture

People

Profit

Customer

Community

Collaboration

Focused

Committed

Support

Trust

Accountable

Responsive

Philanthropy

Diversity

Deliver

Excellence

Homeownership

Core values embedded in our decision making and business day-to-day

18

Winning with Customers

The National MI Advantage

  • Best-in-classsales force
  • Unique customer value proposition - Certainty and Service
  • Rate GPS leadership
  • Differentiation through consultative selling
  • Embracing technology at forefront of digital mortgage evolution
  • Consistent engagement on distanced basis through COVID pandemic

Growing Our Customer Base

Active Customers

1,167

1,076

968

855

9/30/17

9/30/18

9/30/19

9/30/20

19

Highest-Quality, Best Performing Insured Portfolio

Credit Risk Standards &

Rigorous Underwriting Process

  • Highest quality by FICO, LTV and DTI
  • Minimal layered risk concentration
  • Risk-basedpricing - Rate GPS
  • >85% underwritten or validated
  • Lender diversification
  • Geographic diversification
  • No aggressive product types

Highest Quality & Best Performing

In-Force Portfolio

Primary Insurance In-Force

$ billions, at quarter end

$104

$90

$64

$43

$28

$11

3Q'15 3Q'16 3Q'17 3Q'18 3Q'19 3Q'20

20

Comprehensive Credit Risk

Management Framework

National MI has an industry-leadingcredit risk management

approach, built on three-foundationalpillars

Individual Risk

Granular

Comprehensive

Pricing Engine

Reinsurance

Underwriting

Rate GPSSM

Program

…and has delivered best-in-classcredit performance

since its formation

21

Best-in-Class Credit Performance

Peak Reported COVID Default Rates1

NMI vs. Rest of Mortgage Insurance Industry

6.35%

6.52%

Rest of industry: 6%

5.98%

5.14%

5.19%

3.78%

NMIH

ACGL

ESNT

GNW

MTG

RDN

  1. Default rates as reported by each individual company in SEC filings, earnings releases, financial supplements or press releases. Periods may not align and underlying definitions and calculations of default rate may not be uniform across companies

22

Delivering Financial Success

Q1'20 LTM

Q3'20

NIW

$49.5 billion

$18.5 billion

IIF

$98.5 billion

$104.5 billion

Revenue

$405.3 million

$107.8 million

Adjusted net income*

$196.7 million

$40.4 million

Adjusted return on equity*

22.8%

12.6%

Book value

$1.0 billion

$1.3 billion

Book value per share

$14.15

$15.42

Loss ratio

4.2%

15.9%

  • Adjusted pre-taxincome and adjusted return on equity are non-GAAPmeasures. For a reconciliation to the most comparable GAAP measures, refer to the investor relations section of the company's website at www.nationalmi.com

23

Well-Positioned to Outperform

Through the COVID Pandemic

Our success to date provides the

foundation for our future performance

Performance-

Proven Credit Risk

Driven Team

Management Framework

Strong Customer

Strong Financial

Engagement & Pipeline

Foundation

Resilient Housing Market

Highest Quality

and Record Private

In-Force Portfolio

MI Opportunity

24

Record Private Mortgage

Insurance Market

Skyrocketing demand for

homeownership

Record low interest rates

Greater need for down

Expanding private MI

payment support

penetration rates

Total Private Mortgage Insurance NIW

Increasing mortgage origination volume

  • Record private mortgage insurance NIW opportunity

~$575

$ billions

$131

$267 $269

$215

$176 $168

$384

$291

2012 2013 2014 2015 2016 2017 2018 2019 2020E

Source: Inside Mortgage Finance

25

Attractive Opportunity for

Responsible, Profitable Growth

Opportunity to Responsibly Scale NIW Volume and Build Embedded Value

Primary NIW volume

$54.9bn

$ billions

$40.2bn

$27.2bn

$20.0bn

9/30/17 LTM

9/30/18 LTM

9/30/19 LTM

9/30/20 LTM

26

National MI:

Building on Our Success

Culture

Customers

Innovation

Talented and

Building

Technology and

Durable

Committed People

Thought Leadership

Relationships

Built for Sustained Outperformance Across All Market Cycles

Comprehensive

Highest Quality,

Credit Risk

Strong Balance Sheet

Best Performing

Management

and Resilient Earnings

Insured Portfolio

Framework

Risk Management

Portfolio

Financials

27

Sales and Customer Development

Norm Fitzgerald

Senior Vice President and Chief Sales Officer

© 2017 Copyright. NMI Holdings Inc.

Sales and Customer Development

    • Significant success to date
  • Digital transformation driving account engagement and salesforce efficiency
    • Heightened engagement amidst COVID and record volume
      • Strategy and tactics focused on a large opportunity

29

Significant Success to Date

Growing customer base

Driving significant

Industry leading growth in

and access to the market

NIW growth

high-quality insurance in-force

Active customers

New insurance written

Primary insurance in-force

1,167

$ billions

$ billions

$104.5

$54.9

1,076

$89.7

968

$40.2

$68.6

855

$27.2

$48.5

$20.0

9/30/17

9/30/18

9/30/19

9/30/20

9/30/17

9/30/18

9/30/19

9/30/20

12/31/17

12/31/18

9/30/19

9/30/20

LTM

LTM

LTM

LTM

30

Customer Development

Winning New Customers

Strong customer engagement

and activation pipeline

  • Nearly 1,200 active customer relationships
  • Current accounts represent ~80% of total mortgage insurance industry NIW
  • 58 new account activations since COVID outbreak - 421 new account activations since 2017 - represents +$70bn of NIW opportunity
  • Track record of growing wallet share within accounts steadily over time
  • Large opportunity remains to both grow wallet share and activate new accounts

Active customer development

1,167

1,076

968

855

731

522

9/30/15 9/30/16 9/30/17 9/30/18 9/30/19 9/30/20

31

Why We Win

People and Value Proposition

Certainty of Coverage

  • Standing behind our commitments
  • "Iron Clad" rescission relief

Sensible Servicing

  • Sensible Servicing® - customer-centric claims management process

Consultative Engagement

  • Feedback loop - sharing best practices and insights from upfront underwrite
  • Focus on digital mortgage roadmap and

Rate GPS

Value-added Programs

  • Educational programs for lenders
  • Webinars, roundtables and onsite events, access to industry experts

Customer Value Proposition

Best-in-Class

Consultative

Sales Team

Engagement

Certainty of

Sensible

Coverage

Servicing

32

Digital Mortgage Transformation

  • Customers and borrowers becoming more digital
  • Technology disrupts customer "habit" and legacy relationships - huge benefit to NMI as newest entrant
  • Technology driving efficiency and flexibility for NMI and our customers
  • Through technology leadership, NMI can target and serve a broader opportunity set (Top 600 Lenders)

Seamless

NMI

Integration

Electronic

Customer

Engagement

33

  • Technology leadership shortens cycle from Master Policy to NIW
  • Broad connectivity with third-party loan origination systems
  • Leading with Rate GPS
  • Virtual meetings, training, webinars
  • Sophisticated communication tools and leveraging of social media
  • Digital account and relationship management

Heightened Engagement Amidst COVID and Record Origination Volumes

  • COVID has forced rapid transition to digital tools and virtual engagement
  • NMI leveraging technology to expand customer outreach, stay current and connected in a "no-contact" way
  • Being creative to enhance relevance and support customer productivity - critically important when customers are swamped by volume
  • 58 new account activations since COVID speak to quality of our team and NMI engagement model

34

Strategy and Tactics

Focused on a Large Opportunity

  • Top 600 lenders in the country represent ~92% of ~$575 market opportunity
  • Significant penetration and active relationships with many leading lenders
  • Also a sizeable opportunity remaining to continue adding new accounts and building wallet share with existing lenders

Top 600 Lenders ~$529 billion NIW opportunity

395 active relationships

(~$460bn NIW)

124

No master policy

81

Master policy

205 potential accounts

($69bn NIW opportunity)

35

Sustaining Our Positive Momentum

Top 600 Focus

New Account

Activation

NMI Technology

Leadership

Maintain Service

Excellence

  • Know your customer - Win, Grow, Maintain
  • Continue to leverage our success in client acquisition
  • Lead with technology to drive salesforce efficiency and enhanced engagement
  • Consultative engagement and value- added orientation

| 36

36

Risk Management

Rob Smith

Executive Vice President & Chief Risk Officer

© 2017 Copyright. NMI Holdings Inc.

Prioritizing Risk Management

  • Enterprise Risk Management Focus
  • "Three Pillars" of NMI's Credit Risk
    Management Framework
  • Resiliency Through COVID Stress

38

Deploying a robust risk management program to secure performance across all market cycles

Enterprise Risk Management Framework

Strong Origination and Oversight Environment

Strong Borrower

Credit Profile

National MI has established the industry-

leading risk management framework

Board & management

Defined risk appetite &

risk committees dictate

portfolio concentration

policy

limits

Regulatory Guardrails on

Formal underwriting

Real-time portfolio

Origination Quality

monitoring & stress

PMIERs Capital

Standards

guidelines

testing

Comprehensive privacy

Regulatory & Rating

Lender approval &

protection & data

Agency Oversight

monitoring

39

security program

Prioritizing Risk Management

  • Enterprise Risk Management Focus
  • "Three Pillars" of NMI's Credit Risk
    Management Framework
  • Resiliency Through COVID Stress

40

Deploying a robust risk management program to secure performance across all market cycles

Credit Risk Management Framework

  • Three Foundational Pillars

National MI takes an "all seasons" approach to risk - developed and deploy our comprehensive credit risk management framework well before the onset of COVID

Individual risk

Rate GPS

Comprehensive

underwriting

Granular Pricing System

reinsurance program

Losses occur at a loan level

All buyers, lenders and

Broad reinsurance

- credit risk management

homes are different -

program spanning

requires loan-level

these differences impact

traditional quota share

knowledge

loan performance

and capital markets ILN

issuance

NMI individually

Rate GPS considers a

underwrites or validates

broad range of risk

Enhances return profile

>85% of loans we insure

variables- far beyond

and mitigates impact of

FICO and LTV

credit volatilityunder

Rest of industry relies on

stress scenarios

portfolio QC reviews

Prioritizes high-quality

loansfrom high-quality

lenders

41

Underwriting Matters

Non-Delegated

Delegated Assurance Review

% YTD Q3'20 NIW

Non-Delegated

33%

NMI underwrites loan before close

Delegated with Independent Validation

  • NMI innovation

58%

Underwriting is delegated to lender NMI performs post-close validation

Total Underwritten / Validated

91%

Traditional Delegated Underwriting

Traditional Delegated

9%

Underwriting is delegated to lender

NMI performs post-close QC review

42

Individual Risk Underwriting Advantage

  • Capture and assess full loan file
  • Increased knowledge of individual loan characteristics and emerging risk trends
  • Opportunity for corrective action before underwriting defects become defaults
  • Embeds positive selection bias in client selection and delegated flow
  • Supports sensible servicing approach and customer feedback loop

Best-in-class credit performance

Improved data capture and cycle awareness

Superior customer engagement

Cost efficient structure

43

Rate GPS Is a Powerful Credit Risk Management Tool

  • Considers broad range of variables with proven impact on credit performance
  • Dynamically considers relationship between multiple risk variables
  • Prioritizes and attracts higher quality loans from high quality lenders
  • Utilize to tactically shape insured portfolio
    - with immediate impact
  • Allows for quick changes to address risks that may emerge in future
  • Leverages NMI's individual risk underwriting approach

9M'20 NIW risk concentration

97% LTV

11%

12% Rest of MI

8%

9%

9%

sector:

4%

10%

NMIH ACGL MTG RDN ESNT GNW

<680 FICO

6%

4%

4%

5%

Rest of MI

3%

sector:

1%

4%

NMIH RDN MTG

ACGL ESNT

GNW

>45% DTI

11%

7%

Not disclosed

NMIH MTG ACGL RDN ESNT GNW

Source: Public company SEC filings, earnings releases and financial supplements

44

National MI has the Highest Quality Insured Portfolio in the MI Industry

Credit Risk Standards &

Rigorous Underwriting Process

Highest Quality

In-Force Portfolio - $26.6bn RIF

  • No pre-financial crisis exposure
  • High quality by FICO, LTV and DTI
  • Minimal layered risk concentration
  • 100% fully documented loan files
  • No aggressive product types
  • Geographic diversification
  • ~85% underwritten or validated
  • Risk-basedpricing - Rate GPS

1 Represents 95.01% and above, as reported by NMIH and peers

Note: Data as of 9/30/20 as disclosed in SEC filings and/or quarterly financial supplements

Primary RIF by FICO

Weighted average

FICO = 754

>760 51%

740-759 16%

720-739 14%

700-719 10%

680-699 6%

<6793%

Primary RIF by LTV

Weighted average

LTV = 93%

<85% 6%

85-90% 32%

90-95% 53%

>95% 9%

MI industry comparison: <680 FICO RIF concentration

10% 10%

8% 8%

6%8%

3%

NMIH ESNT ACGL RDN GNW MTG

MI industry comparison: 97% LTV1 RIF concentration

18%

15%

14%15%

13%

11%

9%

NMIH MTG ACGL RDN ESNT GNW

45

National MI - Comprehensive Reinsurance Program

Reinsurance "Tower" Illustration

Comprehensive reinsurance coverage

on nearly all risk ever written

NMI "back on risk" when losses exceed

2008 Financial Crisis-like levels

~20%

quota share

(proportional)

National MI utilizes reinsurance as both:

Source of efficient funding for its PMIERs,

Standard & Poor's and state regulatory

capital needs; and

Risk management tool to limit the

potential volatility of its credit portfolio

across market cycles

National MI has secured reinsurance coverage

from both traditional reinsurers and capital

markets investors

reinsurance

ILNs 1.0 - 5.0

2016, 2018 and 2020 QSRs

"Excess-of-loss" reinsurance

NMI retains exposure up to attachment

point (deductible)1

2017, 2018, 2019 and 2020 ILNs

National MI intends to be active in both

markets on a consistent basis going forward

- we view the traditional and ILN markets as

complimentary

(1) Attachment points may vary for each ILN transaction and National MI's retained exposure for each transaction is considered individually

46

Reinsurance - Protects Against

Loss in Stress Scenarios

  • Evaluated a number of scenarios to test ultimate claims exposure in a severe stress environment
  • NMI's best-in-class reinsurance program provides significant loss mitigation, substantially reducing expected net claim rates
  • Best-in-classcredit quality and comprehensive reinsurance position NMI to continue to thrive through COVID stress

Stress Scenario 1

COVID-19

Related

Claims

2.1%

Rate

1.7%

Gross Claims Rate

Net Claims Rate

Through 2023

Through 2023

Stress Scenario 2

3.8%

2.3%

Gross Claims Rate

Net Claims Rate

Through 2023

Through 2023

Stress Scenario 3

6.7%

2.5%

Gross Claims Rate

Net Claims Rate

Through 2023

Through 2023

47

Reinsurance - Provides Regulatory Capital Buffer in Stress Scenarios

Quota share reinsurance

  • Three treaties covering ~20% of our risk in-force
  • Quota share coverage also known as
    "proportional coverage" because the reinsurer assumes a proportional amount of loss exposure (on a first dollar basis)

Insurance-linked notes

  • ILN coverage in place on nearly all risk ever written
  • Structures are deliberately overcollateralized upfront and amount of excess funding grows upon a lock-out event
  • Quota share treaties effectively "accordion" up to absorb any amount of increased regulatory capital need (regardless of delinquency level)
  • $361 million aggregate overcollateralization across all five Oaktown Re

Insurance-Linked Notes - Coverage Details

As of September 30th

ILN 1

ILN 2

ILN 3

ILN 4

ILN 51

Covered RIF

$2.3 billion

$2.7 billion

$3.4 billion

$6.1 billion

$6.1 billion

Eligible coverage2

$161.8 million

$281.8 million

$354.9 million

$491.6 million

$363.5 million

Subordinate coverage3

7.11%

10.43%

10.57%

8.00%

6.00%

PMIERs charge on covered RIF

5.93%

7.48%

7.79%

6.13%

5.33%

"Overcollateralization"

$26.9 million

$79.6 million

$93.3 million

$120.4 million

$40.6 million

Delinquency trigger

4.0%

4.0%

4.0%

6.0%

4.5%

  1. ILN 5 completed on 10/29/20
  2. Eligible coverage represents the current reinsurance coverage including current first layer retained loss
  3. Subordinate coverage is the ratio of eligible coverage to covered RIF

48

Prioritizing Risk Management

  • Enterprise Risk Management Focus
  • "Three Pillars" of NMI's Credit Risk
    Management Framework
  • Resiliency Through COVID Stress

49

Deploying a robust risk management program to secure performance across all market cycles

Comparison to 2008 Financial Crisis

Housing market is in a fundamentally better position at outset of the COVID-crisis than in the lead up to the financial crisis

  • Balanced home prices driven by real market fundamentals - no risk of a deflating "bubble"
  • High-qualityborrower base accessing plain vanilla loan products - drives sustainability of homeownership
  • Tight underwriting standards - requiring fully-documented income and asset positions
  • Well-developed(and expanding) toolkit to provide borrower relief - proven value of forbearance and other programs
  • No moral hazard issues - paves way for immediate and widespread assistance for homeowners and others
  • PMIERs fundamentally different framework - contemplates and requires funding of "perpetual" lifetime stress

50

Mortgage Insurance Market

Risk Profile

Pre-crisis

Current

% RIF

MI group1

NMI

>97% LTV2

27%

9%

<680 FICO3

39%

4%

<620 FICO4

10%

0%

Average FICO5

713

754

ARM & I/O6

22%

2%

Cash out refi7

17%

0%

  1. Average of MGIC and Radian as of 12/31/07 (include both bulk and flow RIF)
  2. 95.01%+ primary RIF distribution by LTV for Radian; 97-100% total original LTV for MGIC; 95.01% and above for NMI
  3. <=619 and 620-679 primary RIF distribution by FICO for Radian; <575, 575-619, and 620-679 original FICO for MGIC; <=679 primary RIF by FICO for NMI
  4. <=619 primary RIF distribution by FICO for Radian; <575 and 575-619 original FICO for MGIC
  5. Average current credit score for entire mortgage market entering 2007 per BlackKnight Financial COVID-19 Special Briefing
  6. ARM and Interest Only/Negative Amortization for Radian; Includes ARM, Option ARM, ARM I/O, and FRM I/O for MGIC; NMIH has essentially no interest only loans and all ARM have a reset period >5years
  7. Cashout loan purpose for Radian; Refi Equity loan purpose for MGIC

Source: Radian 2017 Investor Day (11/6/17) and MGIC Q4'07 Portfolio Supplement

Rapid Response - Underwriting & Pricing

Immediate and decisive action to protect credit

performance from the outset of the COVID pandemic

Underwriting Underwriting

GuidelinesProcess

Premium Rates

Tightening of the credit

Increased rigor around

Immediate increase

box to limit incremental

employment

to account for

exposure to higher risk

verification and income

unprecedented macro

loans

continuance

stress and reduce

determination

exposure to certain risk

cohorts

51

Rapid Response - Underwriting & Pricing

Immediate and decisive underwriting and pricing actions have had a dramatic and positive impact

NIW risk mix

NIW risk mix

PMIERs require asset charge

<680 FICO

5.8%

1.9%

5.4%

5.4%

1.0%

0.7%

Q1'20

Q2'20

Q3'20

Q1'20

Q2'20

Q3'20

NIW risk mix

>45% DTI

10.3%

7.0%

4.9%

NIW risk mix

97% LTV

6.4%

4.2%

3.2%

Q1'20

Q2'20

Q3'20

Q1'20

Q2'20

Q3'20

52

Rapid Response - Reinsurance Coverage

Immediate and decisive action to secure additional credit

protection and funding runway in the capital and reinsurance markets

2020

ILN 4.0

ILN 5.0

Quota Share

Oaktown Re IV

Oaktown Re V

Treaty

21% proportional

$322mm excess-of-loss

$242mm excess-of-loss

coverage for policies

coverage for policies

coverage for policies

originated from

originated from

primarily originated from

4/1/20-12/31/20

7/1/19-3/31/20

4/1/20-9/30/20

First quota share treaty

First "regular way" ILN

Most favorable terms and

secured in the MI market

issuance in the MI market

risk protection of all ILNs

post-COVID

post-COVID

issued post-COVID

53

Rapid Response - Policy Stimulus

Immediate and overwhelming policy response to the COVID pandemic - driving social

and economic outcomes, and resiliency in the housing market

Federal Reserve

  • Treasury Department

Fed Funds rate - near zero

(for extended period)

Supporting functioning

financial markets

Encouraging free flow

of credit

Direct small business and

corporate support

Congress & the

FHFA &

White House

GSEs

$2.3 trillion CARES Act to

National forbearance

provide aid, relief and

program and foreclosure

economic security

moratorium

Additional assistance

Modification waterfall -

may still come

new payment deferral

PMIERs bulletins

(recognizing unique needs)

54

Forbearance Programs -

Significant Positive for the Market

Housing security is more

Borrower reliance on GSE forbearance

important than ever

programs declining as recovery takes hold

Providing borrowers (who are

MBA, weekly servicer forbearance and call volume summary,

facing challenges through no

% of GSE loans estimated to be in forbearance

fault of their own) an

opportunity to stay in their

homes is the right policy

Jun. 7th = 6.4%

Peak COVID utilization

Forbearance and foreclosure

moratoriums offer a "bridge" to

a better environment in the

future

Nov. 8th = 3.4%

Well-defined (and expanded)

Lowest since April 5th

set of modification alternatives

eases the transition back to

performing status

All efforts to keep borrowers in

their homes are favorable for

3/8/20

5/8/20

7/8/20

9/7/20

11/8/20

National MI credit performance

55

Forbearance Programs Significant

Positive for the Market

Fannie Mae Forbearance Outcomes

Entered forbearance since March and exited by July

Never Missed Payment

Missed Payments (62%)

(38%)

Resolution method

Exit/cancel

Prepay

Prepay (PIF)

Reinstate

Payment

Payment

Flex Mod*

Liquidation

(PIF)

Plan

Deferal

Options*

Temporary

Hardship

Temporary

hardship

Borrower

Temporary

unresolved;

hardship

resolved.

hardship is

Forbearance

hardship

new income

resolved.

Borrower

permanent.

was not

Could be

resolved.

is lower

Borrower

can

Liquidation

needed /

loan

Primarily

Borrower

than

has

manage

options

Typical circumstances

temporary

refinance

property

can resume

previous

adequate

slightly

include

hardship

or property

sale

prior

income. A

reserves to

higher

Short-Sale,

shorter than

sale

payment,

lower

catch up

monthly

Deed-in Lieu

expected

but not

payment is

missed

payment

or

more.

deemed

payments.

for a finite

Foreclosure

necessary

period.

To-date share of

COVID forbearance

30.5%

7.1%

8.5%

30.9%

1.7%

20.5%

0.6%

0.3%

exits

Source: Fannie Mae Single-Family Credit Risk Transfer Update October 20,2020.

* Modifications and other liquidations may result in losses to CRT investors/reinsurers.

56

Strong Credit Performance

Through COVID Stress

Strategic focus on high-quality

Peak Reported COVID Default Rates

risk paying off in face of COVID

NMI vs. Rest of Mortgage Insurance Industry

stress

Encouraging default experience

6.35%

6.52%

and forbearance utilization thus

Rest of industry: 6%

5.98%

far

Nearly all defaults relate to

5.14%

5.19%

COVID crisis:

Borrowers directly benefiting

from forbearance and other

assistance programs

3.78%

Paired with strong national

house price appreciation

Currently expected to drive

significant benefit in our

NMIH

ACGL

ESNT

GNW

MTG

RDN

ultimate claim experience

(1) Default rates as reported by each individual company in SEC filings, earnings releases, financial supplements or press releases. Periods may not align and underlying definitions and calculations of default rate may not be

uniform across companies

57

Encouraging Credit Trends

in In-Force Portfolio

Encouraging credit trends

Credit strength through COVID-19 -

eight months into pandemic

National MI default activity by month

Defaults peaked at low

Default population

Default rate

absolute level (particularly

when considered against

14,175

14,236

magnitude of COVID stress)

13,765

13,108

Forbearance program and

3.8%

3.8%

3.6%

10,816

expanded modification

waterfall are working - easing

2.9%

3.4%

the transition for borrowers

Performance quickly improving

with rising number of cures by

COVID-impacted borrowers

Population of borrowers who

1,610

2,265

1,449

have missed one payment, but

0.4%

0.4%

0.6%

not progressed to default

declining even more

3/31/20

4/30/20

5/31/20 6/30/20

7/31/20 8/31/20

9/30/20 10/31/20

dramatically

58

Housing Market Resiliency - Nationwide House Price Appreciation

National Association of Realtors,

Quarterly Metropolitan Median Area Price Report - November 2020

  • Median single-family home prices grew year-over-year in all 181 metropolitan statistical
    areas tracked by NAR
  • 65% of metros - 117 areas out of
    181 - had double-digit price growth year-on-year
  • At end of the third quarter, housing inventory totals were equivalent to 2.7 months at the current sales pace

House price appreciation accelerating

nationwide in nearly every market

NAR, median sales price of existing single-family homes,

Q3'20 vs. Q3'19 price change by region

13.7% 13.3%

11.4% 11.1%

8.2%

West

Northeast

Southwest

Midwest

Las Vegas -

Henderson

- Paradise

59

Home Prices are a Key Driver of Mortgage Credit Performance

House Prices Impact Both the Frequencyand Severityof

National MI's Ultimate Claim Experience

HPA: Frequency Impact

Probability of Default

-50%

-25%

0%

25%

50%

75%

100%

125%

150%

Home Equity

Foote, Christopher L., Kristopher Gerard, and Paul S. Willen, "Negative Equity and

Foreclosure: Theory and Evidence," Journal of Urban Economics 64, 2008, pp. 234-345

HPA: Severity Impact

Illustrative claims severity1

67.8%

38.2%

8.7%

-10% HPA

0% HPA

+10% HPA

Scenario 1

Scenario 2

Scenario 3

Original LTV

95%

95%

95%

Original principal balance

285,000

285,000

285,000

Original property value

300,000

300,000

300,000

Loan balance at default

265,982

265,982

254,601

As of default date

Cumulative HPA

-10.0%

0.0%

10.0%

Current property value

270,000

300,000

330,000

Property sale net proceeds

243,000

270,000

297,000

Claim scenario

Delinquent interest & other

39,011

39,011

39,011

Total claim amount

304,993

304,993

304,993

Coverage

30.0%

30.0%

30.0%

Claim amount1

61,993

34,993

7,993

Claim severity1

67.75%

38.24%

8.74%

1 Assumes settlement under the third-party sale option

60

Case Study: Early 2000s

(Dotcom Recession)

  • National unemployment spiked by 66% (at peak) in the early 2000s following the burst of the late- 1990s tech bubble and emergence of accounting scandals at Enron, WorldCom and other large firms
  • Despite the significant increase in unemployment and a broad national recession, housing demand grew and house prices continued to rise (substantially) from 2000-2003 - aided by a significant drop in mortgage rates (8% in 2000 to 5% in 2003)
  • Mortgage credit performance was strong through the entirety of this period - actually improving through the recession

National unemployment rate

6.3% (Jun-03)

6.2%

+66%

4.3%

3.8% (Apr-00)

1/1/99

2/23/00

4/16/01

6/8/02

7/31/03

  • St. Louis Federal Reserve Economic Data - unemployment rate, monthly data; seasonally adjusted

S&P/Case-Shiller National

House Price Index

143.7 (Jun-03)

145

+30%

100

110.6 (Apr-00)

1/1/99

2/23/00

4/16/01

6/8/02

7/31/03

  • St. Louis Federal Reserve Economic Data - S&P / Case-Shiller U.S. National Home Price Index, monthly, not seasonally adjusted; indexed to 1/1/99

Single-family residential

mortgage delinquency rate

1.97% (Apr-00)

2.0%

-12%

1.7%

1.74% (Jul-03)

1/1/99

2/23/00

4/16/01

6/8/02

7/31/03

  • St. Louis Federal Reserve Economic Data - delinquency rate on single family residential mortgages (all commercial banks); seasonally adjusted

61

Perspective on Ultimate COVID-Related Loss Exposure

Highest quality insured

portfolio

Nationwide house price appreciation provides equity buffer to potential losses

Forbearance programs and foreclosure moratoriums extending "cure runway"

Comprehensive reinsurance

program absorbs loss

  • High-qualityportfolio and encouraging credit trends thus far - modest level of default experience and rising cure activity
  • Forbearance, foreclosure and other assistance programs providing significant time for borrowers to find their footing and shallow runway for them to resume timely payment
  • Resiliency of the housing market and accelerating house price appreciation nationwide provide a dramatic buffer from both frequency and severity of loss
  • Our ultimate loss exposure is driven by foreclosure activity
    - claims are paid when title is taken, not upon a default
  • Altogether, we expect COVID to be far more of a default event than a claims event for National MI

62

Financial Review

Adam Pollitzer

Executive Vice President & Chief Financial Officer

© 2017 Copyright. NMI Holdings Inc.

Delivering Financial Success

Standout Success to Date

Balance Sheet Strength and Earnings Resiliency through COVID

Significant Long-term

Opportunity Remains Intact

64

Financial "Sweet Spot"

High-Growth,High-Returns,

Low Volatility

Navigating Through Stress

Delivering Resilient

Financial Performance

Long-Term Opportunity

Positioning to Achieve Strong

Mid-Teen Returns

Summary Financial Snapshot

Q1'20 LTM

Q3'20

NIW

$49.5 billion

$18.5 billion

IIF

$98.5 billion

$104.5 billion

Revenue

$405.3 million

$107.8 million

Adjusted net income*

$196.7 million

$40.4 million

Adjusted return on equity*

22.8%

12.6%

Book value

$1.0 billion

$1.3 billion

Book value per share

$14.15

$15.42

Loss ratio

4.2%

15.9%

* Adjusted net income and adjusted return on equity are non-GAAP measures. For a reconciliation to the most comparable GAAP measures, refer to the appendix or the company website at www.nationalmi.com

65

COVID-19 Financial Impact

  • COVID is impacting our financial performance - introducing certain direct and derivative "costs"

Impact clears

Credit performance

post-COVID?

Driving increase in forbearance-related default experience

GAAP claims expense elevated compared what we otherwise would have incurred

Record low interest rates / mortgage note rates

  • Persistency - acceleration in portfolio turnover impacts premium revenue
  • Investment yield - declining new money rates average down portfolio yield
  • Operating expenses - portfolio turnover drives accelerated DAC recognition

Capital needs / costs

  • Capital needs increased immediately to support record NIW production
  • Cost of capital (debt, ILN and quota share reinsurance) increased
  • Leverage profile evolved with increased equity funding contribution
  • ILN lockout introduces "negative carry" on higher trust balances

  • While some of these "costs" will stay with us going forward, many will begin to clear quickly and allow performance to more fully rebound

66

Continued Performance in the

Face of COVID Stress

Pre-COVID

COVID stress

Post-COVID

Growth, Profitability

Capital Strength,

Positioning

and Returns

Earnings Resiliency

for Success

Strong

Returns

23.3%

22.1%

23.7%

ROE

21.2%

$53mm

$53mm

12.6%

21.2%

$50mm

10.7%

$39mm

$41mm

$40mm

$30mm

Q1'19

Q2'19

Q3'19

Q4'19

Q1'20

Q2'20

Q3'20

Post-COVID

Adjusted Net Income & ROE

Note: "Post-COVID" markers are not a forecast - for illustrative purposes only. Adjusted net income and adjusted return on equity are non-GAAP measures. For a reconciliation to the most comparable GAAP measures, refer to the appendix or the company website at www.nationalmi.com.

67

Effectively Navigating through COVID Stress

New Business

In-force Portfolio

Fully-deployed credit risk framework

Record volume and value

pre-COVID

Driving IIF growth despite heightened

Reinsurance largely ring-fences tail

refinancing activity

exposure

Positioning National MI for financial outperformance post-COVID

Capital and reinsurance activity

COVID driving lasting change in

provide funding and risk protection

operating needs and expense footprint

Conservative investment and

Continued focus on efficiency and long-

reserving posture

term value from TCS engagement

Balance Sheet

Expenses

68

Building Significant Incremental

Embedded Value

Responsibly Scaling New Business Production and Building Embedded Value

Primary NIW, $ billions

$54.9bnPricing

+10% nominal rate increase

$40.2bn

Credit quality

10bps layered risk concentration*

$27.2bn

$20.0bn

Capital

5.35% PMIERs charge*

"Stickiness"

3.16% average note rate*

9/30/17 LTM

9/30/18 LTM

9/30/19 LTM

9/30/20 LTM

* NIW production from 4/1/20-10/31/20

69

Strong Balance Sheet

  • Strong liquidity and capital position
  • Comprehensive reinsurance program
    protects balance sheet
  • Conservative investment portfolio in
    substantial gain position
  • Capital efforts provide significant
    capacity to pursue new business growth

Capital Structure

$millions

$1,701

$393

$1,076

$849

$146

$1,308

$147

$930

$701

12/31/2018

12/31/2019

9/30/2020

GAAP

Equity

Debt

17%

14%

23%

leverage

$ millions

12/31/18

12/31/19

PF 9/30/201

Available assets

$734

$1,016

$1,672

Required assets

511

773

791

PMIERs excess

$223

$243

$881

PMIERs sufficiency

144%

131%

211%

1 Pro Forma for ILN of $242 million aggregate principal amount of 10-year mortgage insurance-linked notes issued by Oaktown Re V Ltd. on October 29th providing an estimated $200mm of PMIERs credit.

70

Funding Capacity and Risk Protection - Capital and Reinsurance Activity

  • Raised ~$1.4 billion across six capital markets and reinsurance transactions
  • Secured reinsurance protection on nearly all risk ever written - ring-fencingpre-COVID exposure
  • Dramatically expanded our funding runway - 211% PMIERs sufficiency at 9/30/201
  • Proven durability of our preferred funding markets
  • Seeing a rapid normalization of structures, terms and price in the capital and reinsurance markets
  • Meaningfully compressed our
    ILN "cycle time"

2020 activity

Revolving credit facility - refinanced and upsized

$230 million common equity

$400 million high yield notes

$322 million ILN 4.0 (Oaktown Re IV)

$242 million ILN 5.0 (Oaktown Re V)

2020 quota share reinsurance (21% cession)

2021 expectations

Quota share renewal

ILNs 6.0 & 7.0

1 Pro Forma for ILN of $242 million aggregate principal amount of 10-year mortgage insurance-linked notes issued by Oaktown Re V Ltd. on October 29th providing an estimated $200mm of PMIERs credit.

71

High Quality Investment Portfolio

  • Cash and invested assets = $1.9 billion at 9/30/20
    • $1.7 billion actively managed fixed income portfolio and $194 million cash/equivalents
    • $64.8 million aggregate unrealized gain
  • Investment strategy prioritizes capital preservation alongside income generation
    • 100% fixed income portfolio
    • 100% investment grade holdings - average A+ across portfolio
    • Highly diversified by issuer, sector and asset type
      - largest single issuer concentration = 1.6%
    • Highly liquid - all level 1 & 2 assets
    • Weighted average duration = 4.53 years
  • Limited exposure to individual issuers, sectors or asset classes in COVID-19 risk categories1

Portfolio by asset class

Cash & cash

U.S. treasury

2%

equivalents

10%

ABS

7%

Municipal debt

17%

Corporate debt

63%

Portfolio ratings at fair value

  1. AAA
    18%14%

AA

23%

A

44%

1 Potential COVID-19 risk categories include airline and aircraft ABS, retail and REIT, oil & energy, consumer credit ABS and rental car ABS; NMI has no gaming, lodging, auto & related, metals & mining, CLO, CMBS or RMBS holdings. Note: Amounts presented on charts may not foot due to rounding.

72

Loss Reserve Snapshot

  • Carry reserves based on individual assessment of each defaulted loan
  • Utilize econometric model that considers borrower and loan risk attributes, as well as key macro factors
  • Aimed to establish conservative reserves given unprecedented nature of COVID stress
    • Assume national decline in house prices through 2021
    • Have not released reserves held on COVID-related cures (as yet)
    • Have not accounted for positive impact of forbearance for pre- COVID defaults (~50% accessed)

COVID stress driving growth in default

population and increased reserving need

Gross claims and claims expense reserves

(for primary insurance)

$87.2 million

$69.9 million

$29.5 million

$23.8 million

12/31/19 3/31/20 6/30/20 9/30/20

73

Post-COVID Loss Perspective

Opportunity for continued credit strength over long-term

Highest quality new business

Highest quality

new business

Q1'20 NIW

Q3'20 NIW

Nationwide HPA

equitizing risk

NAR, median price of existing single-family home

ever originated

10.3%

4.9%

6.4%

Q3'20 vs. Q3'19

14% 13% 11% 11%

Most rigorous underwriting environment ever seen

1.9% 0.7%

3.2%

Accelerating HPA quickly equitizing exposure on new policies

Turnover is reducing average age of in-force policies

New borrowers demonstrating performance through stress

<680 FICO >45% DTI

97% LTV

Turnover reducing age

of in-force portfolio

Weighted average age of IIF, months

19.8 mos

18.9 mos

18.9 mos

12/31/18 12/31/19 9/30/20

74

West

Northeast Southwest Midwest

Strong performance

on post-COVID policies

Forbearance utilization and default rate, NIW on or after 4/1/20

+108,000

276

New policies

Default count

Focus on Efficiency and Expense Management

  • Smallest headcount and expense base in industry (by wide margin)
  • TCS (Tata Consultancy) IT partnership provides long-term expense benefits
  • COVID changing the way we operate and positively impacting expense outlook
  • Increased recognition of DAC expenses given portfolio turnover

Number of employees1

1,400

980

724

383

261

NA

NMIH ESNT MTG ACGL

RDN GNW

NMI adjusted expense ratio3

73%

32%

LTM operating expenses2$300

($ millions)

$246

$216

$193

$159

$125

NMIH ESNT MTG GNW RDN ACGL

1 Employee count as of most recent available reporting period; NMIH as of 9/30/20; ESNT as of 9/30/20; MTG and RDN as of 12/31/19 (MTG excludes "on call" employees, RDN includes all employees - MI only employee base not disclosed); ACGL represents Mortgage Segment employees as of 2/21/18 per 2017 10K. 2 NMIH presented on adjusted basis; ESNT and MTG total company as reported; RDN MI segment as reported - including RDN's allocation of corporate items; ACGL and GNW MI segment as reported - excluding corporate allocation . 3 Presented on an adjusted basis which is a non-GAAP measure. For a reconciliation of non-GAAP measures to the most comparable GAAP measures are available in the addendix, and on the company's website at www.nationlmi.com.

75

Post-COVID Opportunity -

Rebounding Performance and Returns

"Decomposition" of Adjusted Return on Equity

2019

3Q'20

Long-term outlook

Underwriting contribution

Net premiums earned

$345.0mm

$98.8mm

Adjusted combined ratio

39.6%

48.0%

40.0-50.0%

Underwriting leverage (NPE / equity)

0.42x

0.31x

0.35-0.40x

Pre-tax underwriting RoE contribution

25.5%

16.0%

17.5-25.0%

Asset contribution

Net investment income

$30.9mm

$8.3mm

Net investment yield

3.0%

2.2%

1.5-2.0%

Asset leverage (invested assets / equity)

1.26x

1.18x

1.20-1.30x

Pre-tax investment RoE contribution

3.8%

2.6%

2.0-2.5%

Financing cost

Interest expense

$12.1mm

$7.8mm

Cost of debt (all in GAAP)

8.1%

7.8%

7.8%

Financial leverage (debt / equity)

18.2%

31.2%

15.0-20.0%

Pre-tax financing RoE impact

-1.5%

-2.4%

-1.0-1.5%

Adjusted pre-tax return on equity

27.9%

16.2%

+20.0%

Effective tax rate

19.8%

22.4%

23.0%

Adjusted return on equity

22.4%

12.6%

+15.0%

Note: Long-term outlook for illustration purposes; does not represent a forecast. Adjusted combined ratio, pre-tax return on equity and return on equity are non-GAAP measures. For a reconciliation to the most comparable GAAP measures, refer to the appendix or the company website at www.nationalmi.com.

76

Delivering Financial Success

Standout Success to Date

Balance Sheet Strength and Earnings Resiliency through COVID

Significant Long-term

Opportunity Remains Intact

77

Financial "Sweet Spot"

High-Growth,High-Returns,

Low Volatility

Navigating Through Stress

Delivering Resilient

Financial Performance

Long-Term Opportunity

Positioning to Achieve Strong

Mid-Teen Returns

Concluding Remarks

Delivering significant value for shareholders and securing future

outperformance across all market cycles

Significant

Immediate

Housing

Well

success to

and decisive

market

positioned to

date provides

action in face

resiliency

survive and

strong

of the COVID

presents

thrive through

foundation

crisis

enormous

COVID and

opportunity

beyond

78

Questions & Answers

© 2017 Copyright. NMI Holdings Inc.

Appendix

© 2017 Copyright. NMI Holdings Inc.

Insured Portfolio Snapshot

$104.5 billion In-Force Portfolio

Current Portfolio Composition

Weighted Average Composition

9/30/20 IIF

FICO

754

LTV

91.6%

DTI

34.9%

% of

In-Focus Risk Segments

9/30/20 RIF

95.01-97.0% LTV

8.7%

620-659 FICO

1.1%

>45% DTI

8.9%

ARMS with Reset < 5 years

0.0%

Cash-Out Refinance

0.0%

Second Home

2.8%

Investor-Owned Home

0.2%

Portfolio Metrics by Vintage as of 9/30/20

Policies

Current

WA

WA

WA

ever in

policies in

FICO

original

current

# loans in

# claims

Delinquency

Vintage

force

force

score1

LTV1

LTV1

default

paid

rate2

2013

655

82

752

91.3%

59.3%

4

1

4.88%

2014

14,786

3,172

746

92.5%

61.9%

139

48

4.38%

2015

52,548

17,706

752

92.5%

65.8%

674

108

3.81%

2016

83,626

36,731

756

92.6%

69.8%

1,609

116

4.38%

2017

85,897

44,498

746

93.0%

75.6%

2,584

79

5.81%

2018

104,043

52,967

742

93.2%

81.1%

3,246

49

6.13%

2019

148,423

105,991

751

92.7%

86.2%

4,327

4

4.08%

2020

125,639

120,752

761

91.8%

89.8%

1,182

0

0.98%

Total

615,617

381,899

754

92.4%

83.9%

13,765

405

3.60%

  1. Weighted average shown on a RIF basis and Current LTV includes amortization and assumed home price appreciation per Corelogic
  2. Ratio of loans in default to current policies in force

81

Use of Non-GAAP Financial Measures

We believe the use of the non-GAAP measures of adjusted operating expense, adjusted expense ratio, adjusted combined ratio, adjusted pre-tax income, adjusted net income, adjusted pre-taxreturn-on- equity, adjusted effective tax rate and adjusted return-on-equity 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 operating expense is defined as GAAP operating expense, excluding the periodic costs recorded to GAAP operating expense incurred in connection with capital markets transactions and discrete, non- recurring and non-operating items in the periods in which such items are incurred.

Adjusted operating expense ratio is defined as GAAP operating expense, excluding the periodic costs recorded to GAAP operating expense incurred in connection with capital markets transactions and discrete, non-recurring and non-operating items in the periods in which such items are incurred divided by net premiums earned during such periods.

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.

Adjusted pre-taxincome is defined as GAAP income before tax, excluding the 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 pre-tax return-on-equity is calculated by dividing adjusted pre-tax income on an annualized basis by the average shareholders' equity for the period.

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

Adjusted effective tax rate is calculated by diving GAAP income tax expense adjusted for the tax-effects of net realized gains or losses from our investment portfolio, periodic costs incurred in connection with capital market transaction and discrete, non-recurring and non-operating items in the periods in which such items are incurred, using the applicable federal statutory tax rate for the respective periods by adjusted pre-tax income for the period.

Although adjusted operating expense, adjusted expense ratio, adjusted combined ratio, adjusted pre-tax income, adjusted net income, adjusted pre-taxreturn-on-equity, adjusted effective tax rate and adjusted return-on-equity 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

82

Financial Highlights and

Non-GAAP Reconciliation

Non-GAAP reconciliation

Second

Fourth

Second

Second

First Quarter

Quarter

Third Quarter

Quarter

First Quarter

Quarter

Third Quarter

Fourth Quarter

First Quarter

Quarter

Third Quarter

($ in thousands, except per share values)

3/31/2018

6/30/2018

9/30/2018

12/31/2018

3/31/2019

6/30/2019

9/30/2019

12/31/2019

3/31/2020

6/30/2020

9/30/2020

As Reported:

Revenues

Net premiums earned

$

54,914

$

61,615

$

65,407

$

69,261

$

73,868

$

83,249

$

92,381

$

95,517

$

98,717

$

98,944

$

98,802

Net Investment Income

4,574

5,735

6,277

6,952

7,383

7,629

7,882

7,962

8,104

7,070

8,337

Net realized investment gains (losses)

-

59

(8)

6

(187)

(113)

81

264

(72)

711

(4)

Other revenues

64

44

85

40

42

415

1,244

1,154

900

1,223

648

Total revenues

$

59,552

$

67,453

$

71,761

$

76,259

$

81,106

$

91,180

$

101,588

$

104,897

$

107,649

$

107,948

$

107,783

Expenses

Insurance claims and claims expenses

$

1,569

$

643

$

1,099

$

2,141

$

2,743

$

2,923

$

2,572

$

4,269

$

5,697

$

34,334

$

15,667

Underwriting and operating expenses

28,346

28,958

30,323

29,339

30,800

32,190

32,335

31,296

32,277

30,370

33,969

Service expenses

107

62

56

45

49

353

909

937

734

1,090

557

Interest expense

3,419

5,560

2,972

3,028

3,061

3,071

2,979

2,974

2,744

5,941

7,796

Loss (Gain) from change in fair value of warrant liability

$

(420)

$

(109)

$

5,464

$

(3,538)

$

5,479

$

1,685

$

(1,139)

$

2,632

$

(5,959)

$

1,236

$

437

Total expenses

$

33,021

$

35,114

$

39,914

$

31,015

$

42,132

$

40,222

$

37,656

$

42,108

$

35,493

$

72,971

$

58,426

Income before income taxes

$

26,531

$

32,339

$

31,847

$

45,244

$

38,974

$

50,958

$

63,932

$

62,789

$

72,156

$

34,977

$

49,357

Income tax expense (benefit)

4,176

7,098

7,036

9,724

6,075

11,858

14,169

12,594

13,885

8,129

11,178

Net income

$

22,355

$

25,241

$

24,811

$

35,520

$

32,899

$

39,100

$

49,763

$

50,195

$

58,271

$

26,848

$

38,179

Adjustments:

Loss (Gain) from change in fair value of warrant liability

$

(420)

$

(109)

$

5,464

$

(3,538)

$

5,479

$

1,685

$

(1,139)

$

2,632

$

(5,959)

$

1,236

$

437

Capital markets transaction costs

-

2,921

1,871

102

-

664

1,689

-

474

2,790

2,254

Net realized investment (gains) losses

-

(59)

8

(6)

187

113

(81)

(264)

72

(711)

4

Adjusted Income before income taxes

$

26,111

$

35,092

$

39,190

$

41,802

$

44,640

$

53,420

$

64,401

$

65,157

$

66,743

$

38,292

$

52,052

Income tax expense (benefit) on adjustments

$

(88)

$

578

$

395

$

20

$

39

$

163

$

338

$

(55)

$

115

$

437

$

474

Deferred tax (expense) benefit adjustments

-

-

-

-

-

-

-

-

Adjusted Net income

$

22,023

$

27,416

$

31,759

$

32,058

$

38,526

$

41,399

$

49,894

$

52,618

$

52,743

$

29,726

$

40,400

Weighted average diluted shares outstanding

65,697

68,616

68,844

69,013

68,996

69,590

70,137

70,276

70,401

74,174

85,599

Dilutive effect of non-vested shares and warrants

-

-

-

-

-

Weighted average diluted shares outstanding - Adjusted

65,697

68,616

68,844

69,013

68,996

69,590

70,137

70,276

70,401

74,174

85,599

Diluted EPS - Reported

$

0.34

$

0.37

$

0.36

$

0.46

$

0.48

$

0.56

$

0.69

$

0.71

$

0.74

$

0.36

$

0.45

Diluted EPS - Adjusted

$

0.34

$

0.40

$

0.46

$

0.46

$

0.56

$

0.59

$

0.71

$

0.75

$

0.75

$

0.40

$

0.47

Shareholders' equity

$

601,944

$

629,642

$

660,493

$

701,500

$

751,881

$

812,379

$

873,487

$

930,420

$

974,890

$

1,257,037

$

1,307,556

Return on equity - Reported

16.1%

16.4%

15.4%

20.9%

18.1%

20.0%

23.6%

22.3%

24.5%

9.6%

11.9%

Return on equity - Adjusted

15.9%

17.8%

19.7%

18.8%

21.2%

21.2%

23.7%

23.3%

22.1%

10.7%

12.6%

Expense ratio - Reported

51.6%

47.0%

46.4%

42.4%

41.7%

38.7%

35.0%

32.8%

32.7%

30.7%

34.4%

Expense ratio - Adjusted

51.6%

45.9%

43.5%

42.2%

41.7%

37.9%

33.2%

32.8%

32.2%

30.5%

32.1%

Loss ratio - Reported and Adjusted

2.9%

1.0%

1.7%

3.1%

3.7%

3.5%

2.8%

4.5%

5.8%

34.7%

15.9%

Combined ratio - Reported

#

54.5%

48.0%

48.0%

45.5%

45.4%

42.2%

37.8%

37.2%

38.5%

65.4%

50.2%

Combined ratio - Adjusted

#

54.5%

46.9%

45.2%

45.3%

45.4%

41.4%

36.0%

37.2%

38.0%

65.2%

48.0%

83

Cautionary Note Regarding

Forward-Looking Statements

Certain statements contained in this presentation 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 coronavirus ("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 any action by the Consumer Financial Protection Bureau to address the planned 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, 2019 and in Part II, Item 1A of our Quarterly Reports on Form 10-Q for the quarters ended June 30, 2020 and September 30, 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.

84

Disclaimer

NGM Biopharmaceuticals Inc. published this content on 19 November 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 19 November 2020 17:02:05 UTC


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