AIG 2009 Annual Report Download - page 142

American International Group, Inc., and Subsidiaries
the counterparty is no longer using the transaction to obtain regulatory capital relief as discussed above and (2) for
transactions where the counterparty has failed to terminate the transaction early as expected and no longer has any
rights to terminate early in the future. Although AIGFP believes the value of contractual fees receivable on these
transactions through maturity exceeds the economic benefits of any potential payments to the counterparties, the
counterparties’ early termination rights, and AIGFP’s expectation that such rights will be exercised, preclude the
recognition of a derivative asset for these transactions.
The following table presents, for each of the regulatory capital CDS transactions in the corporate loan portfolio, the
gross transaction notional amount, net notional amount, attachment points, inception to date realized losses and
percent non-investment grade:
Realized Percent
Gross Transaction Net Notional Attachment Losses Non-investment
(dollars in millions) Notional Amount at Amount at Attachment Point at through Grade at
December 31, December 31, Point at December 31, December 31, December 31,
CDS 2009 2009 Inception(a) 2009(a) 2009(b) 2009(c)
1 $ 702 $ 600 10.03% 14.56% 0.52% 20.83%
2 11,390 5,083 44.00% 55.38% 0.00% 9.41%
3 2,159 1,904 10.00% 11.77% 0.16% 21.92%
4 8,500 7,538 11.00% 11.32% 0.00% 10.08%
5 468 210 18.00% 55.13% 0.00% 70.60%
6 10,904 9,665 10.80% 11.36% 0.00% 5.38%
7 6,717 5,236 11.30% 22.04% 0.19% 30.38%
8 5,402 4,776 11.00% 11.58% 0.09% 12.30%
9 4,414 3,782 13.26% 14.31% 0.00% 72.86%
10 9,995 3,060 12.00% 12.05% 0.00% 6.56%
11 2,394 1,998 15.85% 16.55% 0.00% 9.73%
12(d) 3,830 3,059 14.50% 20.15% 0.00% 76.34%
13 1,408 915 14.00% 28.26% 0.16% 36.34%
14 955 611 14.00% 28.26% 0.16% 36.34%
15 1,994 1,600 14.00% 28.26% 0.16% 36.34%
16 7,403 4,973 17.00% 32.82% 0.05% 16.27%
Total $ 78,635 $ 55,010
(a) Expressed as a percentage of gross transaction notional amount of the referenced obligations. As a result of participation ratios and replenishment
rights, the attachment point may not always be computed by dividing net notional amount by gross transaction notional amount.
(b) Represents realized losses incurred by the transaction (defaulted amounts less amounts recovered) from inception through December 31, 2009
expressed as a percentage of the initial gross transaction notional amount.
(c) Represents non-investment grade obligations in the underlying pools of corporate loans expressed as a percentage of gross transaction notional
amount.
(d) Terminated effective February 17, 2010.
AIG 2009 Form 10-K 134