AIG 2011 Annual Report Download - page 163

The following table presents AIG’s RMBS investments by credit rating:
December 31, 2011 December 31, 2010
Gross Gross Percent of Gross Gross Percent of
Amortized Unrealized Unrealized Fair Amortized Amortized Unrealized Unrealized Fair Amortized
(in millions) Cost Gains Losses Value Cost Cost Gains Losses Value Cost
Rating:
Total RMBS
AAA $ 18,502 $ 990 $ (56) $19,436 53% $ 12,077 $ 474 $ (187) $12,364 58%
AA 1,043 51 (115) 979 3 1,382 43 (240) 1,185 7
A426 8 (25) 409 1 612 3 (108) 507 3
BBB 859 9 (95) 773 3 535 5 (113) 427 3
Below investment grade(b) 13,942 329 (1,272) 12,999 40 6,035 175 (904) 5,306 29
Non-rated 8--8-20 - (1) 19 -
Total RMBS(a) $ 34,780 $ 1,387 $ (1,563) $34,604 100% $ 20,661 $ 700 $ (1,553) $19,808 100%
Agency RMBS – AAA $ 15,382 $ 978 $ (3) $16,357 100% $ 10,139 $ 451 $ (60) $10,530 100%
Alt-A RMBS
AAA $ 128 $ 2 $ (4) $ 126 2% $ 415 $ - $ (29) $ 386 12%
AA 405 34 (25) 414 6 550 28 (76) 502 15
A162 2 (3) 161 3 175 2 (16) 161 5
BBB 278 2 (29) 251 4 198 1 (48) 151 6
Below investment grade(b) 5,310 96 (550) 4,856 85 2,185 50 (288) 1,947 62
Non-rated ----------
Total Alt-A $ 6,283 $ 136 $ (611) $ 5,808 100% $ 3,523 $ 81 $ (457) $ 3,147 100%
Subprime RMBS
AAA $ 109 $ - $ (4) $ 105 6% $ 344 $ - $ (51) $ 293 27%
AA 144 10 (27) 127 8 236 14 (44) 206 19
A19 - (1) 18 1 105 - (29) 76 8
BBB 253 1 (33) 221 14 76 - (23) 53 6
Below investment grade(b) 1,267 27 (309) 985 71 498 21 (175) 344 40
Non-rated ----------
Total Subprime $ 1,792 $ 38 $ (374) $ 1,456 100% $ 1,259 $ 35 $ (322) $ 972 100%
Prime non-agency
AAA $ 2,884 $ 11 $ (45) $ 2,850 26% $ 1,178 $ 22 $ (46) $ 1,154 23%
AA 472 7 (50) 429 4 571 - (109) 462 11
A202 3 (16) 189 2 276 2 (52) 226 5
BBB 309 6 (28) 287 3 238 4 (35) 207 5
Below investment grade(b) 7,027 155 (351) 6,831 65 2,941 87 (312) 2,716 56
Non-rated 8--8-20 - (1) 19 -
Total prime non-agency $ 10,902 $ 182 $ (490) $10,594 100% $ 5,224 $ 115 $ (555) $ 4,784 100%
Total Other Housing Related $ 421 $ 53 $ (85) $ 389 100% $ 516 $ 18 $ (159) $ 375 100%
(a) The weighted average expected life is 6 years at both December 31, 2011 and December 31, 2010.
(b) Commencing in the second quarter of 2011, AIG purchased certain RMBS securities that had experienced deterioration in credit quality since
their origination. See Note 7 to the Consolidated Financial Statements, Investments – Net Realized Capital Gains and Losses ǁ Purchased
Credit Impaired (PCI) Securities, for additional discussion.
AIG’s underwriting practices for investing in RMBS, other asset-backed securities and CDOs take into
consideration the quality of the originator, the manager, the servicer, security credit ratings, underlying
characteristics of the mortgages, borrower characteristics, and the level of credit enhancement in the transaction.
AIG 2011 Form 10-K 149