Citigroup (C)

Balances: December 31, 2008—Second Mortgages

Note: 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 $0.7 billion from At Origination balances and $0.1 billion from Refreshed balances for which FICO and LTV data was unavailable. 90+ DPD delinquency rate for the excluded mortgages is 1.72% and 2.10% respectively, vs. 2.39% for total portfolio.

The second mortgage portfolio includes $2.9 billion of insured loans with LTVs above 90% and $2.6 billion of loans subject to Long-Term Standby Commitments with GSE, for which the Company has limited exposure to credit losses.

The following tables provide delinquency statistics for loans 90 or more days past due (90+DPD) in both the first and second mortgage portfolios. Loans with FICO scores of less than 620 exhibit significantly higher delinquencies than in any other FICO band, particularly on a refreshed basis. This difference is most noticeable for loans with refreshed FICOs of less than 620 and LTVs of at least 90%: first mortgages had a 90+DPD of 25.4%, while second mortgages were at 24.5%.

Balances: December 31, 2008—Second Mortgages

Note: 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 $0.7 billion from At Origination balances and $0.1 billion from Refreshed balances for which FICO and LTV data was unavailable. 90+ DPD delinquency rate for the excluded mortgages is 1.72% and 2.10% respectively, vs. 2.39% for total portfolio.

The second mortgage portfolio includes $2.9 billion of insured loans with LTVs above 90% and $2.6 billion of loans subject to Long-Term Standby Commitments with GSE, for which the Company has limited exposure to credit losses.

The following tables provide delinquency statistics for loans 90 or more days past due (90+DPD) in both the first and second mortgage portfolios. Loans with FICO scores of less than 620 exhibit significantly higher delinquencies than in any other FICO band, particularly on a refreshed basis. This difference is most noticeable for loans with refreshed FICOs of less than 620 and LTVs of at least 90%: first mortgages had a 90+DPD of 25.4%, while second mortgages were at 24.5%.