Citigroup (C)

First Mortgages: December 31, 2007

Note: $150 billion portfolio excludes Canada & Puerto Rico, First Collateral Services, deferred fees/costs and loans held for sale, and includes Smith Barney ($0.8 billion) and loans sold with recourse. Excluding Government insured loans, 90+DPD for the First mortgage portfolio is 1.99%.

As of December 31, 2007, approximately 47% of the first mortgage portfolio was originated through the correspondent channel. Given that loans originated through correspondents had exhibited higher 90+DPD delinquency rates than retail originated mortgages, the Company took several measures to reduce its exposure. The Company terminated business with a number of correspondent sellers in 2007 and tightened credit policy in several critical areas. It also significantly cut back on origination of stated- and no-income documentation loans, lowered maximum LTVs associated with housing markets experiencing significant price declines and raised minimum FICO requirements across several mortgage programs.

Second Mortgages: December 31, 2007

For second mortgages, approximately 59% of the loans were originated through third-party channels. As these mortgages have demonstrated a higher incidence of delinquencies, the Company has lowered the volume of origination through third-party channels. During the fourth quarter of 2007, the Company exited the second mortgage correspondent business and reduced the number of brokers with whom it does business, maintaining relationships with only those brokers who have produced strong, high-quality and profitable volume. The shift in origination mix, along with tightened underwriting criteria, has resulted in loans originated in the fourth quarter having higher FICO scores and lower LTVs, on average, than those originated a year ago.

Second Mortgages: $63 billion December 31, 2007

Note: Second mortgage 90+DPD rate calculated by OTS methodology.

Second Mortgages: $63 billion December 31, 2007

Note: Second mortgage 90+DPD rate calculated by OTS methodology.

The Company has made numerous policy and process changes during 2007 to mitigate losses. For example, the Company no longer offers mortgage loans for investment properties or three- to four-family homes. In addition, the Company has tightened its overall LTV standards, especially in areas where housing prices have depreciated severely. Overall, the Company continues to tighten credit requirements through higher FICOs, lower LTVs, increased documentation and verifications.