AIG 2009 Annual Report Download - page 146

American International Group, Inc., and Subsidiaries
The following table presents AIGFP’s Regulatory Capital — Prime residential mortgage portfolio summarized by
geographic location:
Weighted
Average Ratings of
At December 31, 2009 Net Current Realized Maturity (Years) Junior Tranches(d)
Notional Average Losses through
Amount Percent Attachment December 31, To First To Number of Percent Average
(in millions) of Total Point(a) 2009(b) Call(c) Maturity Transactions Rated Rating
Country:
Denmark $35,609 38.18% 9.57% 0.03% 4.12 29.77 3 100.00% AAA
France 25,976 27.85 8.96 0.02 1.20 30.21 5 100.00 AAA
Germany 5,666 6.07 26.91 0.40 0.98 41.63 7 81.01 AAA
Netherlands 19,462 20.86 18.22 - 0.05 4.92 2 93.78 AAA
Sweden 6,563 7.04 13.34 - 0.09 30.09 1 100.00 AAA
Total $93,276 100.00% 13.23% 1.80 23.77 18 97.55% AAA
(a) Expressed as a percentage of gross transaction notional amount of the referenced obligations.
(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) Where no call right remains, the weighted average expected maturity is used.
(d) Represents the weighted average ratings, when available, of the tranches immediately junior to AIGFP’s super senior tranche. The percentage rated
represents the percentage of net notional amount where there exists a rated tranche immediately junior to AIGFP’s super senior tranche.
Arbitrage Portfolio
A portion of AIGFP’s super senior credit default swaps as of December 31, 2009 are arbitrage-motivated
transactions written on multi-sector CDOs or designated pools of investment grade senior unsecured corporate debt
or CLOs.
Multi-Sector CDOs
The following table summarizes gross transaction notional amount of the multi-sector CDOs on which AIGFP wrote
protection on the super senior tranche, subordination below the super senior risk layer, net notional amount and fair
value of derivative liability by underlying collateral type:
At December 31, 2009 Gross Subordination
Transaction Below the Net Fair Value of
Notional Super Senior Notional Derivative
(in millions) Amount(a) Risk Layer Amount Liability
High grade with sub-prime collateral $ 3,620 $ 2,056 $ 1,564 $ 657
High grade with no sub-prime collateral 8,703 5,360 3,343 1,373
Total high grade(b) 12,323 7,416 4,907 2,030
Mezzanine with sub-prime collateral 3,906 1,683 2,223 1,779
Mezzanine with no sub-prime collateral 1,680 884 796 609
Total mezzanine(c) 5,586 2,567 3,019 2,388
Total $ 17,909 $ 9,983 $ 7,926 $ 4,418
(a) Total outstanding principal amount of securities held by a CDO.
(b) ‘‘High grade’’ refers to transactions in which the underlying collateral credit ratings on a stand-alone basis were predominantly AA or higher at
origination.
(c) ‘‘Mezzanine’’ refers to transactions in which the underlying collateral credit ratings on a stand-alone basis were predominantly A or lower at
origination.
AIG 2009 Form 10-K 138