AIG 2009 Annual Report Download - page 149

American International Group, Inc., and Subsidiaries
Corporate Debt/CLOs
The corporate arbitrage portfolio consists principally of CDS written on portfolios of corporate obligations that
were generally rated investment grade at the inception of the CDS. These CDS transactions require cash settlement.
This portfolio also includes CDS with a net notional amount of $1.4 billion written on the senior part of the capital
structure of CLOs, which require physical settlement.
The following table summarizes gross transaction notional amount of CDS transactions written on portfolios of
corporate obligations, percentage of the total referenced portfolios, and ratings by industry sector, in addition to the
subordinations below the super senior risk layer, AIGFP’s net notional amounts and fair value of derivative liability:
Gross
At December 31, 2009 Transaction Ratings
(in millions) Notional Percent
Industry Sector Amount of Total AAA Aa A Baa Ba <Ba NR
United States
Industrial $ 10,572 33.8% 0.0% 0.1% 5.6% 15.4% 3.3% 6.9% 2.5%
Financial 3,263 10.4% 0.0% 0.2% 3.7% 3.0% 0.1% 2.2% 1.2%
Utilities 845 2.7% 0.0% 0.0% 0.2% 1.9% 0.0% 0.1% 0.5%
Other 178 0.6% 0.0% 0.0% 0.1% 0.1% 0.1% 0.0% 0.3%
Total United States 14,858 47.5% 0.0% 0.3% 9.6% 20.4% 3.5% 9.2% 4.5%
Non-United States
Industrial 12,831 41.0% 0.0% 0.9% 7.1% 13.9% 3.5% 2.4% 13.2%
Financial 1,548 5.0% 0.0% 0.4% 2.7% 1.3% 0.0% 0.2% 0.4%
Government 1,109 3.5% 0.0% 0.2% 1.5% 1.4% 0.3% 0.0% 0.1%
Utilities 736 2.4% 0.0% 0.0% 0.7% 0.7% 0.0% 0.0% 1.0%
Other 189 0.6% 0.0% 0.0% 0.1% 0.0% 0.1% 0.1% 0.3%
Total Non-United States 16,413 52.5% 0.0% 1.5% 12.1% 17.3% 3.9% 2.7% 15.0%
Total gross transaction notional amount 31,271 100.0% 0.0% 1.8% 21.7% 37.7% 7.4% 11.9% 19.5%
Subordination 9,195
Net Notional Amount $ 22,076
Fair Value of Derivative Liability $ 309
141 AIG 2009 Form 10-K