Citigroup Inc.

DelinquenciesThe tables below provide delinquency statistics for loans 90 or more dayspast due (90+DPD) as a percentage of outstandings in each of the FICO/LTVcombinations, in both the first and second mortgage portfolios, at December31, 2010. For example, loans with FICO > 660 and LTV < 80% at originationhave a 90+DPD rate of 3.6%.As evidenced by the tables below, loans with FICO scores of less than620 continue to exhibit significantly higher delinquencies than in anyother FICO band. Similarly, loans with LTVs greater than 100% havehigher delinquencies than LTVs of less than or equal to 100%. While thedollar balances of 90+DPD loans have declined for both first and secondmortgages, the delinquency rates have declined for first mortgages, andincreased for second mortgages, from those reflected in refreshed statistics atSeptember 30, 2010.Delinquencies: 90+DPD Rates—First MortgagesAT ORIGINATION FICO ≥ 660 620 ≤ FICO < 660 FICO < 620LTV < 80% 3.6% 9.1% 10.9%80% < LTV < 100% 6.9% 11.4% 14.5%LTV > 100% NM NM NMREFRESHED FICO ≥ 660 620 ≤ FICO < 660 FICO < 620LTV ≤ 80% 0.2% 3.3% 13.5%80% < LTV < 100% 0.5% 6.3% 18.3%LTV > 100% 1.2% 10.7% 23.5%Note: NM—Not meaningful. 90+DPD are based on balances referenced in the tables above.Delinquencies: 90+DPD Rates—Second MortgagesAT ORIGINATION FICO ≥ 660 620 ≤ FICO < 660 FICO < 620LTV < 80% 1.7% 4.4% 6.4%80% < LTV < 100% 3.5% 5.7% 7.7%LTV > 100% NM NM NMREFRESHED FICO ≥ 660 620 ≤ FICO < 660 FICO < 620LTV ≤ 80% 0.1% 1.8% 9.7%80% < LTV < 100% 0.2% 1.9% 11.2%LTV > 100% 0.3% 3.3% 16.3%Note: NM—Not meaningful. 90+DPD are based on balances referenced in the tables above.Origination Channel, Geographic Distribution and Origination VintageThe following tables detail Citi’s first and second mortgage portfolios byorigination channels, geographic distribution and origination vintage.By Origination ChannelCiti’s U.S. Consumer mortgage portfolio has been originated from three mainchannels: retail, broker and correspondent.• Retail: loans originated through a direct relationship with the borrower.• Broker: loans originated through a mortgage broker, where Citiunderwrites the loan directly with the borrower.• Correspondent: loans originated and funded by a third party, where Citipurchases the closed loans after the correspondent has funded the loan.This channel includes loans acquired in large bulk purchases from othermortgage originators primarily in 2006 and 2007. Such bulk purchaseswere discontinued in 2007.First Mortgages: December 31, 2010As of December 31, 2010, approximately 51% of the first mortgage portfoliowas originated through third-party channels. Given that loans originatedthrough correspondents have historically exhibited higher 90+DPDdelinquency rates than retail originated mortgages, Citi terminated businesswith a number of correspondent sellers in 2007 and 2008. During 2008, Citialso severed relationships with a number of brokers, maintaining only thosewho have produced strong, high-quality and profitable volume. 90+DPDdelinquency amounts and amount of loans with FICO scores of less than 620have generally improved, with loan amounts with LTV over 100% remainingstable during the latter half of 2010.CHANNEL($ in billions)First LienMortgagesChannel% Total90+DPD % *FICO < 620 *LTV > 100%Retail $43.6 49.0% 4.8% $12.7 $9.0Broker $14.8 16.7% 5.4% $2.5 $5.3Correspondent $30.6 34.3% 9.0% $9.6 $12.7* Refreshed FICO and LTV.Note: First mortgage table excludes Canada and Puerto Rico, deferred fees/costs, loans recorded at fairvalue, loans guaranteed by U.S. government agencies and loans subject to LTSCs.96