AIG 2010 Annual Report Download - page 150
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American International Group, Inc., and Subsidiaries
Investments in Commercial Mortgage-Backed Securities (CMBS)
The following table presents the amortized cost, gross unrealized gains (losses) and fair value of AIG’s CMBS
investments:
December 31, 2010 December 31, 2009
Gross Gross Percent of Gross Gross Percent of
Amortized Unrealized Unrealized Fair Amortized Amortized Unrealized Unrealized Fair Amortized
(in millions) Cost Gains Losses Value Cost Cost Gains Losses Value Cost
CMBS (traditional) $ 6,428 $ 204 $ (919) $5,713 88% $ 16,599 $ 161 $ (4,925) $11,835 89%
ReRemic/CRE CDO 508 23 (219) 312 7 932 20 (578) 374 5
Agency 297 13 (1) 309 4 200 8 (3) 205 1
Other 87 - (10) 77 1 986 6 (117) 875 5
Total $ 7,320 $ 240 $ (1,149) $6,411 100% $ 18,717 $ 195 $ (5,623) $13,289 100%
The following table presents AIG’s CMBS investments by credit rating:
December 31, 2010 December 31, 2009
Gross Gross Percent of Gross Gross Percent of
Amortized Unrealized Unrealized Fair Amortized Amortized Unrealized Unrealized Fair Amortized
(in millions) Cost Gains Losses Value Cost Cost Gains Losses Value Cost
Rating:
AAA $ 2,416 $ 88 $ (21) $2,483 33% $ 8,579 $ 127 $ (997) $ 7,709 45%
AA 772 7 (94) 685 11 2,265 2 (839) 1,428 12
A1,061 18 (100) 979 14 1,967 13 (832) 1,148 11
BBB 1,140 12 (302) 850 16 2,188 15 (1,009) 1,194 12
Below investment grade 1,931 115 (632) 1,414 26 3,155 38 (1,844) 1,349 17
Non-rated -----563 - (102) 461 3
Total $ 7,320 $ 240 $ (1,149) $6,411 100% $ 18,717 $ 195 $ (5,623) $13,289 100%
The following table presents AIG’s CMBS investments by year of vintage:
December 31, 2010 December 31, 2009
Gross Gross Percent of Gross Gross Percent of
Amortized Unrealized Unrealized Fair Amortized Amortized Unrealized Unrealized Fair Amortized
(in millions) Cost Gains Losses Value Cost Cost Gains Losses Value Cost
Year:
2010 $ 86 $ - $ - $ 86 1% $-$ -$ -$- -%
2009 42 1 - 43 1 35 - (1) 34 -
2008 217 8 (1) 224 3 263 - (70) 193 1
2007 2,205 118 (484) 1,839 30 4,968 42 (2,134) 2,876 27
2006 1,158 48 (247) 959 16 2,842 19 (1,250) 1,611 15
2005 and prior 3,612 65 (417) 3,260 49 10,609 134 (2,168) 8,575 57
Total $ 7,320 $ 240 $ (1,149) $6,411 100% $18,717 $ 195 $ (5,623) $13,289 100%
134 AIG 2010 Form 10-K