AIG 2010 Annual Report Download - page 197

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American International Group, Inc., and Subsidiaries
The following table presents, for each multi-sector CDO that is a reference obligation in a CDS written by AIGFP,
the gross and net notional amounts, attachment points and percentage of gross notional amount rated less than
B-/B-3:
(dollars in millions) Gross Percentage of Gross
Notional Net Notional Notional
Amount at Amount at Attachment Amount Rated
December 31, December 31, Point at Attachment Point Less than B-/B-3 at
CDO 2010 2010 Inception(a) at December 31, 2010(a) December 31, 2010
1 $ 954 $ 406 40.00% 57.48% 62.84%
2 677 327 53.00% 51.67% 51.63%
3 973 470 53.00% 51.70% 79.56%
4 1,078 304 76.00% 71.84% 86.58%
5 746 3 10.83% 1.55% 29.59%
6 227 188 39.33% 17.13% 86.20%
7 857 432 12.27% 6.61% 6.15%
8 984 704 25.24% 23.29% 7.80%
9 1,269 1,177 10.00% 7.24% 35.61%
10 2,188 1,475 16.50% 18.75% 3.25%
11 317 175 32.00% 44.78% 83.96%
12 389 389 24.49% 0.00%(b) 75.30%
13 462 389 32.90% 15.90% 98.80%
14 240 185 34.51% 22.69% 97.42%
15 3,157 65 9.72% 19.56% 78.46%
Total $14,518 $6,689
(a) Expressed as a percentage of gross notional amount of the referenced obligations. As a result of participation ratios and partial terminations,
the attachment point may not always be computed by dividing net notional amount by gross notional amount.
(b) AIGFP began making payments on realized losses in excess of the attachment point on this trade in 2010.
In a number of instances, the level of subordination with respect to individual CDOs has increased since
inception relative to the overall size of the CDO. While the super senior tranches are amortizing, subordinate
layers have not been reduced by realized losses to date. Such losses are expected to emerge in the future. At
inception, substantially all of the underlying assets were rated B-/B3 or higher and in most cases at least BBB or
Baa. Thus, the percentage of gross notional amount rated less than B-/B3 represents a deterioration in the credit
quality of the underlying assets.
AIG 2010 Form 10-K 181