Citigroup Q3 2007

Credit Metrics CDO and CLO - realted losses --1.8 bil pretax net writedown (1 bil on asset-backed CDOS, 0.5 bil on super senior tranches of CDOs, 0.3 bil CLOs) --43 bil ABS CDO super senior exposure (25 bil CP, 18 bil super senior tranches of ABS CDOs - 19 bil high grade , 8 bil mezzanine , 0.2 squrared) Leveraged loans --1.352 bil net writedown (0.9 bil debt underwriting, 0.451 bil lending activities) --11.7 bil of sub-prime relaeted exposrues in lending and structuring business as of sep 30, 07, 13 bil Q2, 24 bil beginning of the year. --a. 2.7 bil CDO warehouse, unsold tranches of ABS CDOs 4.2 SIV --citigroup has no contractual obligation to provide liqudiity facilities or guarantees to any of the SIVS, do not own equity positions --SIVs has no diretexposrue to US subprime assets, $70 mil of indirect exposure to subprime assets through CDOs which are AAA rated and carry credit enhancements. --98% SIV's assets are fully funded through theend of 2007 --exposrues 83 bil at September --provides arm's length commercial terms totalling 10 bil of commited liquidity, 7.6 bil of which has been drawn as of Pct 31, 2007 comments --est 8 to 11 bil loss in Q4 related to CDO writedown --