AIG 2011 Annual Report Download - page 164
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Investments in CMBS
The following table presents the amortized cost, gross unrealized gains (losses) and fair value of AIG’s CMBS
investments:
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
CMBS (traditional) $6,879 $307 $(853) $ 6,333 81% $6,428 $204 $ (919) $ 5,713 88%
ReRemic/CRE CDO 345 26 (110) 261 4 508 23 (219) 312 7
Agency 1,154 137 (1) 1,290 14 297 13 (1) 309 4
Other 71 - (9) 62 1 87 - (10) 77 1
Total $8,449 $470 $(973) $ 7,946 100% $7,320 $240 $(1,149) $ 6,411 100%
The following table presents AIG’s CMBS investments by year of vintage:
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
Year:
2011 $1,296 $133 $ (6) $ 1,423 15% $- $- $ -$ - -%
2010 279 21 (2) 298 3 86 - - 86 1
2009 41 1 - 42 1 42 1 - 43 1
2008 217 1 (7) 211 3 217 8 (1) 224 3
2007 2,296 124 (477) 1,943 27 2,205 118 (484) 1,839 30
2006 and prior 4,320 190 (481) 4,029 51 4,770 113 (664) 4,219 65
Total $8,449 $470 $(973) $ 7,946 100% $7,320 $240 $(1,149) $ 6,411 100%
The following table presents AIG’s CMBS 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:
AAA $3,431 $274 $ (12) $ 3,693 40% $2,358 $ 90 $ (16) $ 2,432 32%
AA 735 20 (21) 734 9 772 9 (58) 723 11
A986 18 (56) 948 12 899 15 (74) 840 12
BBB 932 8 (122) 818 11 1,348 11 (359) 1,000 18
Below investment grade 2,353 149 (762) 1,740 28 1,943 115 (642) 1,416 27
Non-rated 12 1 - 13 - -----
Total $8,449 $470 $(973) $ 7,946 100% $7,320 $240 $(1,149) $ 6,411 100%
150 AIG 2011 Form 10-K