Private mortgage insurance has been a longstanding feature of the U.S. mortgage finance system for high loan-to-value (LTV) conventional lending. In exchange for a premium, the mortgage insurer reimburses the lender or investor for a contractually specified share of losses following a covered credit event, reducing realized loss severity on insured loans.

U.S. Mortgage Insurers commissioned Milliman to calculate the historical benefit of private mortgage insurance (PMI) to Fannie Mae and Freddie Mac. This benefit is measured as the reduction in realized credit losses for owner-occupied, first-lien single-family mortgages, using combined Fannie Mae and Freddie Mac single-family loan performance data covering more than 90 million loans originated from 2000 through 2025. Milliman calculated unpaid-principal-balance-weighted credit-event rates and gross and net loss outcomes across original LTV cohorts and PMI coverage levels within the high-LTV population (defined as an LTV greater than 80%).

The datasets contain loan-level origination characteristics, PMI coverage information, and realized loss outcomes spanning multiple credit cycles, including the 2005 to 2009 origination vintages that experienced the most severe modern mortgage credit stress. The datasets provide a transparent, large-sample basis for measuring realized credit losses across original LTV cohorts and across PMI coverage levels. The information aligns with the LTV bucket structure used in current discussions of standardized capital treatment for residential mortgages.

Key findings:

• Realized credit losses increase with original LTV across the analyzed cohorts.
• PMI reduced net realized loss severity on insured high-LTV loans to below the gross loss severity observed in the 60% to 80% LTV benchmark cohort.
• Observed PMI claim realization remained high during the crisis-vintage stress period, with paid claims of 97% of contractual coverage.
• Net severity outcomes within the greater-than-80% LTV population decrease as the level of PMI coverage increases.

This report was commissioned by U.S. Mortgage Insurers.