AIG 2009 Annual Report Download - page 143

American International Group, Inc., and Subsidiaries
The following table presents, for each of the regulatory capital CDS transactions — prime residential mortgage
portfolio, the gross transaction notional amount, net notional amount, attachment points, and inception to date
realized losses:
(dollars in millions) Gross Transaction Net Notional Realized Losses
Notional Amount at Amount at Attachment Point Attachment Point at through
CDS December 31, 2009 December 31, 2009 at Inception(a) December 31, 2009(a) December 31, 2009(b)
1 $ 523 $ 298 17.01% 42.13% 2.40%
2 337 187 18.48% 44.25% 1.78%
3 302 202 16.81% 33.11% 1.26%
4 1,353 1,209 10.00% 10.60% 0.00%
5(c) 2,067 1,533 10.70% 25.85% 0.05%
6 424 331 13.19% 21.76% 0.36%
7(d) 5,785 5,285 7.95% 8.83% 0.03%
8(d) 1,941 1,562 7.95% 19.43% 0.05%
9(d) 5,510 5,060 8.00% 8.30% 0.03%
10(c) 31,039 18,253 18.25% 18.55% 0.00%
11(d) 6,560 6,055 7.85% 7.86% 0.01%
12 11,554 10,690 7.50% 7.47% 0.03%
13(d) 8,697 8,014 7.95% 7.95% 0.01%
14 2,556 2,039 12.40% 20.20% 0.00%
15 24,360 22,128 9.20% 9.16% 0.04%
16(c) 4,181 2,791 11.50% 17.73% 0.00%
17 7,574 6,563 11.50% 13.34% 0.00%
18 1,553 1,076 14.57% 30.66% 0.00%
Total $116,316 $93,276
(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) Terminated effective February 17, 2010.
(d) Delinquency information is not provided to AIGFP for the underlying pools of residential mortgages of these transactions. However, information
with respect to principal amount outstanding, defaults, recoveries, remaining term, property use, geography, interest rates, and ratings of the
underlying junior tranches are provided to AIGFP for such referenced pools.
All of the regulatory capital CDS transactions directly or indirectly reference tranched pools of large numbers of
whole loans that were originated by the financial institution (or its affiliates) receiving the credit protection, rather
than structured securities containing loans originated by other third parties. In the vast majority of transactions, the
loans are intended to be retained by the originating financial institution and in all cases the originating financial
institution is the purchaser of the CDS, either directly or through an intermediary.
As further discussed below, AIGFP receives information monthly or quarterly regarding the performance and
credit quality of the underlying referenced assets. AIGFP also obtains other information, such as ratings of the
tranches below the super senior risk layer. The nature of the information provided or otherwise available to AIGFP
with respect to the underlying assets in each regulatory capital CDS transaction is not consistent across all
transactions. Furthermore, in a majority of corporate loan transactions and all of the residential mortgage
transactions, the pools are blind, meaning that the identities of the obligors are not disclosed to AIGFP. In addition,
although AIGFP receives periodic reports on the underlying asset pools, virtually all of the regulatory capital CDS
transactions contain confidentiality restrictions that preclude AIGFP’s public disclosure of information relating to the
underlying referenced assets. The originating financial institutions, calculation agents or trustees (each a Report
Provider) provide periodic reports on all underlying referenced assets as described below, including for those within
the blind pools. While much of this information received by AIGFP cannot be aggregated in a comparable way for
135 AIG 2009 Form 10-K