AIG 2009 Annual Report Download - page 139

American International Group, Inc., and Subsidiaries
The following table presents changes in the net notional amount of the AIGFP super senior credit default swap
portfolio, including credit default swaps written on mezzanine tranches of certain regulatory capital relief
transactions:
Net Notional Effect of Amortization/ Net Notional
For the Year Amount Foreign Reclassification, Amount
Ended December 31, 2009 December 31, Exchange net of December 31,
(in millions) 2008(a) Terminations Maturities Rates(b) Replenishments(c)(d) 2009(a)
Regulatory Capital:
Corporate loans $ 125,628 $ (43,826) $ (6,024) $ 1,594 $ (22,362) $ 55,010
Prime residential mortgages 107,246 (13,065) - 2,579 (3,484) 93,276
Other 1,575 (1,464) - 121 1,528 1,760
Total 234,449 (58,355) (6,024) 4,294 (24,318) 150,046
Arbitrage:
Multi-sector CDOs(e)(f) 12,556 (3,537) - 88 (1,181) 7,926
Corporate debt/CLOs(g) 50,495 (9,462) (18,613) 11 (355) 22,076
Total 63,051 (12,999) (18,613) 99 (1,536) 30,002
Mezzanine tranches(h) 4,701 (604) (50) 133 (702) 3,478
Total $ 302,201 $ (71,958) $ (24,687) $ 4,526 $ (26,556) $ 183,526
(a) Net notional amounts presented are net of all structural subordination below the covered tranches.
(b) Relates to the weakening of the U.S. dollar, primarily against the Euro and the British Pound.
(c) During 2009, AIGFP reclassified one regulatory capital CDS transaction from Regulatory Capital — Corporate loans to Regulatory Capital —
Other, given the understanding that the counterparty no longer receives regulatory capital benefits.
(d) During 2009, AIGFP reclassified two mezzanine trades having net notional amounts of $462 million and $240 million, respectively, into Regulatory
Capital — Corporate loans and Regulatory Capital — Other, respectively, after determining that the trades were not stand-alone but rather part of
the related regulatory capital trades. The effect on unrealized market valuation gain (loss) was not significant.
(e) Includes $6.3 billion and $9.7 billion in net notional amount of credit default swaps written with cash settlement provisions at December 31, 2009
and 2008, respectively.
(f) During the fourth quarter of 2008, AIGFP terminated the majority of the CDS transactions written on multi-sector CDOs in connection with the ML
III transaction.
(g) Includes $1.4 billion and $1.5 billion in net notional amount of credit default swaps written on the super senior tranches of CLOs as of
December 31, 2009 and 2008, respectively.
(h) Net of offsetting purchased CDS of $1.5 billion and $2.0 billion in net notional amount at December 31, 2009 and 2008, respectively.
The following table presents summary statistics for AIGFP’s super senior credit default swaps at December 31, 2009
and totals for December 31, 2009 and 2008:
Regulatory Capital Portfolio Arbitrage Portfolio Total
Multi- Multi-
Prime Corporate Sector Sector
Corporate Residential Debt/ CDOs w/ CDOs w/ No December 31, December 31,
Category Loans Mortgages Other Subtotal CLOs Subprime Subprime Subtotal 2009 2008
Gross Transaction
Notional Amount (in
millions) $ 78,635 $ 116,316 $ 2,084 $ 197,035 $ 31,271 $ 7,526 $ 10,383 $ 49,180 $ 246,215 $ 390,100
Net Notional Amount (in
millions) $ 55,010 $ 93,276 $ 1,760 $ 150,046 $ 22,076 $ 3,787 $ 4,139 $ 30,002 $ 180,048 $ 297,500
Number of Transactions 16 18 1 35 20 10 6 36 71 109
Weighted Average
Subordination (%) 22.76% 13.23% 15.52% 17.06% 23.06% 38.56% 21.59% 25.12% 18.67% 16.90%
Weighted Average
Number of loans/
Transaction 1,609 97,738 2,153 58,363 115 149 119
Weighted Average
Expected Maturity
(Years) 0.59 1.78 5.78 1.35 4.16 5.49 5.52
131 AIG 2009 Form 10-K