AIG 2009 Annual Report Download - page 148

American International Group, Inc., and Subsidiaries
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, attachment points and percentage of gross notional amount rated less than B-/B-3:
(dollars in millions) Gross Percentage of Gross
Notional Net Notional Notional
Amount at Amount at Attachment Amount Rated
December 31, December 31, Point Attachment Point Less than B-/B-3 at
CDO 2009 2009 at Inception*at December 31, 2009*December 31, 2009
1 $ 1,124 $ 455 40.00% 59.49% 55.10%
2 693 326 53.00% 52.91% 35.27%
3 988 470 53.00% 52.41% 70.47%
4 1,262 242 76.00% 80.86% 71.45%
5 933 3 10.83% 9.88% 26.08%
6 291 193 39.33% 33.81% 92.97%
7 1,087 552 12.27% 6.04% 6.46%
8 1,126 809 25.24% 22.96% 8.48%
9 1,425 1,319 10.00% 7.42% 26.83%
10 536 273 33.00% 49.02% 76.67%
11 2,511 1,720 16.50% 18.75% 3.21%
12 400 219 32.00% 45.30% 77.33%
13 694 481 24.49% 30.78% 72.23%
14 575 409 32.90% 28.89% 93.67%
15 286 193 34.51% 32.36% 93.90%
16 3,978 262 9.72% 14.15% 57.53%
Total $ 17,909 $ 7,926
* Expressed as a percentage of gross notional amount.
In a number of instances, the level of subordination with respect to individual CDOs has increased since inception
relative to the overall size of the CDO. While the super senior tranches are amortizing, subordinate layers have not
been reduced by realized losses to date. Such losses are expected to emerge in the future. At inception, substantially
all of the underlying assets were rated B-/B3 or higher and in most cases at least BBB or Baa. Thus, the percentage of
gross notional amount rated less than B-/B3 represents deterioration in the credit quality of the underlying assets.
The following table summarizes the gross transaction notional amount, percentage of the total CDO collateral pools,
and ratings and vintage breakdown of collateral securities in the multi-sector CDOs, by asset-backed securities (ABS)
category:
At December 31, 2009
(in millions)
Gross
Transaction Ratings Vintage
ABS Notional Percent
Category Amount of Total AAA AA A BBB BB <BB NR 2008 2007 2006 2005+P
RMBS PRIME $ 2,260 12.62% 0.46% 0.56% 0.71% 1.47% 3.23% 6.19% 0.00% 0.39% 7.21% 3.52% 1.50%
RMBS ALT-A 2,971 16.59% 0.12% 0.12% 0.31% 1.09% 1.00% 13.95% 0.00% 0.66% 4.66% 6.06% 5.21%
RMBS SUBPRIME 3,955 22.08% 0.70% 1.00% 0.52% 0.80% 1.07% 17.99% 0.00% 0.00% 1.10% 1.92% 19.06%
CMBS 3,349 18.70% 1.21% 1.61% 2.16% 3.59% 2.58% 7.43% 0.12% 0.09% 1.68% 8.10% 8.83%
CDO 1,829 10.21% 0.12% 0.95% 0.86% 1.00% 0.92% 6.25% 0.11% 0.00% 0.64% 1.71% 7.86%
OTHER 3,545 19.80% 5.44% 4.85% 5.09% 3.09% 0.58% 0.63% 0.12% 0.61% 1.07% 5.11% 13.01%
Total $ 17,909 100.00% 8.05% 9.09% 9.65% 11.04% 9.38% 52.44% 0.35% 1.75% 16.36% 26.42% 55.47%
AIG 2009 Form 10-K 140