Citigroup (C)

Balances: December 31, 2008—First Mortgages

Note: First mortgage table excludes Canada and Puerto Rico ($2.0 billion) and First Collateral Services ($0.1 billion commercial loans portfolio). Refreshed FICO scores based on updated credit scores obtained from Fair Isaac Corporation. Refreshed LTV ratios are derived from data at origination updated using mainly the S&P/Case-Shiller Home Price Index or the Office of Federal Housing Enterprise Oversight Housing Price Index. Tables exclude $2.6 billion from At Origination balances and $9.9 billion from Refreshed balances for which FICO and LTV data was unavailable. 90+ DPD delinquency rate for the excluded mortgages is 4.69% and 4.06% respectively, vs. 5.66% for total portfolio. Excluding Government insured loans (described below), the 90+DPD delinquency rate for the first mortgage portfolio is 5.13%.

The Company’s first mortgage portfolio includes $3.3 billion of loans with Federal Housing Administration or Veterans Administration guarantees. These portfolios consist of loans originated to low-to-moderate-income borrowers with lower FICO scores and generally have higher LTVs. These loans have high delinquency rates (approximately 35% 90+DPD) but, given the government insurance, the Company has experienced negligible credit losses on these loans. The first mortgage portfolio also includes $2.0 billion of loans with LTVs above 80% which have insurance through private mortgage insurance companies and $4.7 billion of loans subject to Long-Term Standby Commitments¹ with Government Sponsored Enterprises (GSE), for which the Company has limited exposure to credit losses.

In the second mortgage portfolio, the majority of loans are in the higher FICO categories. However, the challenging economic conditions have created a migration towards lower FICO scores and higher LTV ratios. Approximately 43% of that portfolio had refreshed loan-to-value ratios of 90% or more, compared to about 30% at origination.

Balances: December 31, 2008—First Mortgages

Note: First mortgage table excludes Canada and Puerto Rico ($2.0 billion) and First Collateral Services ($0.1 billion commercial loans portfolio). Refreshed FICO scores based on updated credit scores obtained from Fair Isaac Corporation. Refreshed LTV ratios are derived from data at origination updated using mainly the S&P/Case-Shiller Home Price Index or the Office of Federal Housing Enterprise Oversight Housing Price Index. Tables exclude $2.6 billion from At Origination balances and $9.9 billion from Refreshed balances for which FICO and LTV data was unavailable. 90+ DPD delinquency rate for the excluded mortgages is 4.69% and 4.06% respectively, vs. 5.66% for total portfolio. Excluding Government insured loans (described below), the 90+DPD delinquency rate for the first mortgage portfolio is 5.13%.

The Company’s first mortgage portfolio includes $3.3 billion of loans with Federal Housing Administration or Veterans Administration guarantees. These portfolios consist of loans originated to low-to-moderate-income borrowers with lower FICO scores and generally have higher LTVs. These loans have high delinquency rates (approximately 35% 90+DPD) but, given the government insurance, the Company has experienced negligible credit losses on these loans. The first mortgage portfolio also includes $2.0 billion of loans with LTVs above 80% which have insurance through private mortgage insurance companies and $4.7 billion of loans subject to Long-Term Standby Commitments¹ with Government Sponsored Enterprises (GSE), for which the Company has limited exposure to credit losses.

In the second mortgage portfolio, the majority of loans are in the higher FICO categories. However, the challenging economic conditions have created a migration towards lower FICO scores and higher LTV ratios. Approximately 43% of that portfolio had refreshed loan-to-value ratios of 90% or more, compared to about 30% at origination.