AIG 2008 Annual Report Download - page 144

(d) “Mezzanine” refers to transactions in which the underlying collateral credit ratings on a stand-alone basis
were predominantly A or lower at origination.
The net notional amounts of the multi-sector CDOs on which AIGFP wrote protection on the super
senior tranche, by settlement alternative, were as follows:
December 31, 2008 December 31, 2007
(In millions)
CDS transactions with cash settlement provisions
US dollar denominated ................................... $ 7,947 $10,544
Euro denominated ....................................... 1,780 2,075
Total CDS transactions with cash settlement provisions............ 9,727 12,619
CDS transactions with physical settlement provisions
US dollar denominated ................................... 766 63,040
Euro denominated ....................................... 2,063 2,546
Total CDS transactions with physical settlement provisions ......... 2,829 65,586
Total ................................................... $12,556 $78,205
The following table presents, for each multi-sector CDO that is a reference obligation in a CDS written
by AIGFP, the gross and net notional amounts at December 31, 2008, attachment points at inception and at
December 31, 2008 and percentage of gross notional amount rated less than B-/B3 at December 31, 2008:
CDO
Gross Notional
Amount at
December 31, 2008
Net Notional
Amount at
December 31, 2008
Attachment Point
at Inception*
Attachment Point
at December 31, 2008*
Percentage of Gross
Notional Amount Rated
Less than B-/B3 at
December 31, 2008
1 $ 1,680 $ 1,440 12.00% 14.28% 15.88%
2 665 396 27.00% 40.45% 20.20%
3 1,064 814 20.00% 23.49% 18.96%
4 1,328 531 40.00% 60.02% 42.68%
5 463 238 36.00% 48.55% 42.37%
6 698 327 53.00% 53.19% 2.86%
7 1,000 470 53.00% 53.00% 0.00%
8 1,412 360 76.00% 74.50% 39.33%
9 1,130 4 10.83% 11.29% 6.89%
10 403 221 39.33% 45.30% 65.11%
11 1,268 1,103 12.27% 10.24% 5.04%
12 1,348 960 25.24% 27.86% 6.54%
13 1,490 1,350 10.00% 9.42% 8.76%
14 575 302 33.00% 47.48% 54.63%
15 623 265 33.25% 37.36% 60.94%
16 2,570 1,780 16.50% 17.84% 0.00%
17 495 277 32.00% 44.08% 43.08%
18 682 529 24.49% 22.46% 68.89%
19 779 469 32.90% 39.75% 81.03%
20 393 224 34.51% 43.09% 78.07%
21 4,970 496 9.72% 10.31% 0.00%
Total $25,036 $12,556
* Expressed as a percentage of gross notional amount.
138 AIG 2008 Form 10-K
American International Group, Inc., and Subsidiaries