The only deductible closing costs are those for interest, certain mortgage points, and deductible real estate taxes.

Other settlement fees and closing costs for buying the property become additions to your basis in the property and part of your depreciation deduction, including:

In general, you can deduct PMI premiums in the year paid.  However, if you prepay PMI premiums for more than 1 year in advance, for each year of coverage you can deduct only the part of the PMI payment that will apply to that year. A deduction for PMI premiums is reported on line 9 of Schedule E (Form 1040) (PDF), Supplemental Income and Loss.