AIG 2010 Annual Report Download - page 196

American International Group, Inc., and Subsidiaries
(b) ‘‘High grade’’ refers to transactions in which the underlying collateral credit ratings on a stand-alone basis were predominantly AA or higher at
origination.
(c) ‘‘Mezzanine’’ refers to transactions in which the underlying collateral credit ratings on a stand-alone basis were predominantly A or lower at
origination.
The following table summarizes net notional amounts of the remaining multi-sector CDOs on which AIGFP wrote
protection on the super senior tranche, by settlement alternative and currency:
At December 31,
(in millions) 2010 2009
CDS transactions with cash settlement provisions
U.S. dollar-denominated $ 4,010 $ 4,580
Euro-denominated 1,475 1,720
Total CDS transactions with cash settlement provisions 5,485 6,300
CDS transactions with physical settlement provisions
U.S. dollar-denominated 68 265
Euro-denominated 1,136 1,361
Total CDS transactions with physical settlement provisions 1,204 1,626
Total $ 6,689 $ 7,926
The following table summarizes changes in the fair values of the derivative liability of the Capital Markets super
senior multi-sector CDO credit default swap portfolio:
Years Ended December 31,
(in millions) 2010 2009
Fair value of derivative liability, beginning of year $ 4,418 $ 5,906
Unrealized market valuation (gain) loss (663) 669
Purchases of underlying CDO securities -(234)
Other terminations and realized losses (271) (1,923)
Fair value of derivative liability, end of year $ 3,484 $ 4,418
180 AIG 2010 Form 10-K