“Examining the Outlook for Lending”

1. CREMidyear 2009 Meetings “Examining the Outlook for Lending” Ralph W. Rose Citigroup

2. Keys to Restarting the Real Estate Debt Capital Markets • Clean up the System • Restore Ratings Credibility • Bolster Securitized Products Structure • Simplify and Create Transparent Products • Address Regulatory and Accounting Uncertainty • Restore Demand

3. Seller Asset Pool PPIF Cash flow Waterfall Loans & Saving Associations FDIC Guaranteed Debt Loan 1 Loan 2 Principal US Banks Losses Tsy Equity Investor Equity Credit Unions Banks evaluate eligible asset pools • FDIC will • oversee initial • due diligence • Third party valuation • to determine appropriate • leverage Auction held to receive competitive bids from the private investors Participant bank has option to accept/ reject bid PPIP- Legacy Loans Program • The equity portion will be shared proportionately by Private Investor and US Treasury. The debt portion will be raised by issuing FDIC guaranteed debt (max D/E = 6:1). • Cum losses above (100-Market Value) will be first allocated pro-rata to the equity tranche and then to the debt portion. • Principal Prepayments are allocated pro-rata (based on original leverage structure) • Interest is used to pay Gfee, any admin fee and the debt coupon. Remaining shared between the equity investors. • Equity ROI: • Asset Pool Yield ~ 8%; FDIC Debt yield ~ 5%; Other fee ~ 1%; Leverage = 6:1 • Equity ROI = ((8% - 6%)*Leverage + 8%) = 20%

4. PPIP- Legacy Securities Program Seller Asset Pool PPIF Cash flow Waterfall TALF Insurance Companies MBS 1 MBS 2 Tsy Loan Principal US Banks Losses Tsy Equity FM Equity (from Pvt. Investors) Mutual Funds • Fund Managers will raise equity capital from private investors and receive matching Tsy equity funding. Tsy also provides loan amount of up to 50% (max 100%) of funds total equity. Additional TALF funding may be available. • Any writedowns above (100-Market Value) will be first allocated pro-rata to the equity tranche, then to the Tsy loan and then to the TALF funding. • Fund cashflows are used to pay Tsy Fee, management fee etc; Interest on Tsy and TALF loan. Remaining shared between the equity investors. Principal Prepayments are allocate pro-rata (based on original leverage structure). • Equity ROI: • MBS Yield ~ 20%; Tsy Loan rate ~ 4%; Other fee ~ 1%; Leverage = 1:1 (assuming no TALF) • Equity ROI = ((20% - 5%)*Leverage + 20%) = 35% FM raises at least $500M • Tsy matches • equal investments • FM can take 50% • to 100% of equity • in Tsy loan • and/orTALF Funding FM Managers control the Process of asset selection, pricing and liquidation Proceeds received by a Fund will be divided between Tsy & Private Investors based on equity contributions

5. PPIF & TALF Size Relative to the ABS Market Source: Citi. As of January 22, 2009. Agency estimated losses relate to the underlying collateral, not the actual securities. • PPIF and TALF combined up to $2 trillion scope represents a significant portion of the ABS universe.