AIG 2009 Annual Report Download - page 171

American International Group, Inc., and Subsidiaries
The following table presents the amortized cost of AIG’s RMBS investments, other than those of AIGFP, by year of
vintage and credit rating:
Year of Vintage
At December 31, 2009
(in millions) Prior 2005 2006 2007 2008 2009 Total
Rating:
Total RMBS
AAA $ 9,484 $2,779 $1,543 $1,809 $3,310 $1,578 $20,503
AA 895 310 157 81 - 104 1,547
A 410 518 167 247 64 17 1,423
BBB 431 616 233 148 - - 1,428
Below investment grade 558 851 3,098 2,697 - - 7,204
Non-rated - - 8 - 44 16 68
Total RMBS* $11,778 $5,074 $5,206 $4,982 $3,418 $1,715 $32,173
Alt-A RMBS
AAA $ 1,015 $ 439 $ 88 $ 164 $ - $ - $ 1,706
AA 207 28 28 33 - - 296
A 20 105 11 111 - - 247
BBB 70 58 - 14 - - 142
Below investment grade 204 250 1,357 1,169 - - 2,980
Non-rated ------ -
Total Alt-A $ 1,516 $ 880 $1,484 $1,491 $ - $ - $ 5,371
Subprime RMBS
AAA $ 460 $ 112 $ 73 $ 32 $ - $ - $ 677
AA 61 57 22 10 - - 150
A 92 79 14 5 - - 190
BBB 120 38 1 - - - 159
Below investment grade 124 214 70 15 - - 423
Non-rated ------ -
Total Subprime $ 857 $ 500 $ 180 $ 62 $ - $ - $ 1,599
Prime non-agency
AAA $ 3,634 $ 578 $ 383 $ 298 $ - $ 298 $ 5,191
AA 599 219 106 38 - 56 1,018
A 267 266 134 131 64 17 879
BBB 136 509 177 134 - - 956
Below investment grade 207 368 1,452 1,319 - - 3,346
Non-rated - - 8 - 44 16 68
Total prime non-agency $ 4,843 $1,940 $2,260 $1,920 $ 108 $ 387 $11,458
*The weighted average expected life is 7 years.
AIG’s underwriting practices for investing in RMBS, other asset-backed securities and CDOs take into
consideration the quality of the originator, the manager, the servicer, security credit ratings, underlying characteristics
of the mortgages, borrower characteristics, and the level of credit enhancement in the transaction. AIG’s strategy is
typically to invest in securities rated AA or better at the time of the investment.
163 AIG 2009 Form 10-K