AIG 2010 Annual Report Download - page 195

American International Group, Inc., and Subsidiaries
(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 Capital Markets’ super senior tranche. The
percentage rated represents the percentage of net notional amount where there exists a rated tranche immediately junior to Capital Markets’
super senior tranche.
The following table presents the Capital Markets Regulatory Capital CDS transactions in the Prime residential
mortgage portfolio summarized by geographic location:
Weighted Average Ratings of
Net Current Realized Maturity (Years) Junior Tranches(d)
Notional Average Losses through
Amount Percent Attachment December 31, To First To Number of Percent Average
At December 31, 2010 (in millions) of Total Point(a) 2010(b) Call(c) Maturity Transactions Rated Rating
Country:
Denmark $24,330 76.96% 10.52% 0.10% 4.52 28.74 2 100% AAA
France 1,102 3.49 24.13% 0.06% 0.97 27.97 1 100 AAA
Germany 2,158 6.82 31.49% 0.92% 1.12 38.68 5 100 AAA
Sweden 4,023 12.73 21.08% 0.00% 0.09 29.09 1 100 AAA
Total $31,613 100.00% 14.31% 0.19% 3.47 29.61 9 100% 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, 2010
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 the Capital Markets super senior credit default swaps as of December 31, 2010 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, 2010 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 $ 3,093 $ 1,609 $ 1,484 $ 578
High grade with no sub-prime collateral 7,187 4,511 2,676 1,050
Total high grade(b) 10,280 6,120 4,160 1,628
Mezzanine with sub-prime collateral 2,589 857 1,732 1,287
Mezzanine with no sub-prime collateral 1,649 852 797 569
Total mezzanine(c) 4,238 1,709 2,529 1,856
Total $ 14,518 $ 7,829 $ 6,689 $ 3,484
(a) Total outstanding principal amount of securities held by a CDO.
AIG 2010 Form 10-K 179