AIG 2010 Annual Report Download - page 198

American International Group, Inc., and Subsidiaries
The following table summarizes the gross transaction notional amount, percentage of the total CDO collateral
pools and ratings and vintage breakdown of collateral securities in the multi-sector CDOs, by asset-backed
securities (ABS) category:
At December 31, 2010
(in millions)
Gross
Transaction Ratings Vintage
ABS Notional Percent
Category Amount of Total AAA AA A BBB BB <BB NR 2008 2007 2006 2005+P
RMBS Prime $ 1,516 10.44% 0.40% 0.01% 0.10% 0.01% 0.07% 9.85% 0.00% 0.44% 5.96% 3.13% 0.91%
RMBS Alt-A 2,470 17.01% 0.12% 0.08% 0.21% 0.22% 0.03% 16.35% 0.00% 0.53% 4.96% 6.69% 4.83%
RMBS Subprime 2,867 19.75% 0.48% 0.68% 0.38% 0.54% 0.63% 17.04% 0.00% 0.00% 1.06% 1.77% 16.92%
CMBS 3,134 21.59% 0.72% 1.75% 1.92% 2.66% 2.13% 12.27% 0.14% 0.11% 1.98% 9.43% 10.07%
CDO 1,604 11.05% 0.08% 0.59% 0.89% 1.10% 1.16% 7.08% 0.15% 0.00% 0.68% 2.02% 8.35%
Other 2,927 20.16% 4.68% 4.40% 5.28% 3.25% 1.33% 1.08% 0.14% 0.60% 1.17% 5.66% 12.73%
Total $14,518 100.00% 6.48% 7.51% 8.78% 7.78% 5.35% 63.67% 0.43% 1.68% 15.81% 28.70% 53.81%
Corporate Debt/CLOs
The corporate arbitrage portfolio consists principally of CDS written on portfolios of corporate obligations that
were generally rated investment grade at the inception of the CDS. These CDS transactions require cash
settlement. This portfolio also includes CDS with a net notional amount of $1.3 billion written on the senior part
of the capital structure of CLOs, which require physical settlement.
The following table summarizes gross transaction notional amount of CDS transactions written on portfolios of
corporate obligations, percentage of the total referenced portfolios, and ratings by industry sector, in addition to
the subordinations below the super senior risk layer, AIGFP’s net notional amounts and fair value of derivative
liability:
Gross
Transaction Ratings
At December 31, 2010 Notional Percent
(in millions) Amount of Total Aa A Baa Ba <Ba NR
Industry Sector
United States
Industrial $ 6,017 33.0% 0.1% 3.4% 16.3% 4.0% 6.7% 2.5%
Financial 1,591 8.7% 0.1% 2.9% 3.0% 0.1% 1.7% 0.9%
Utilities 459 2.5% 0.0% 0.1% 2.1% 0.0% 0.2% 0.1%
Other 92 0.5% 0.0% 0.1% 0.1% 0.0% 0.0% 0.3%
Total United States 8,159 44.7% 0.2% 6.5% 21.5% 4.1% 8.6% 3.8%
Non-United States
Industrial 8,101 44.5% 0.2% 5.0% 10.9% 4.7% 4.9% 18.8%
Financial 870 4.8% 0.2% 1.9% 1.4% 0.1% 0.4% 0.8%
Government 557 3.1% 0.0% 1.0% 1.5% 0.2% 0.0% 0.4%
Utilities 329 1.8% 0.0% 0.1% 0.6% 0.0% 0.3% 0.8%
Other 201 1.1% 0.0% 0.7% 0.0% 0.0% 0.0% 0.4%
Total Non-United States 10,058 55.3% 0.4% 8.7% 14.4% 5.0% 5.6% 21.2%
Total gross transaction notional amount 18,217 100.0% 0.6% 15.2% 35.9% 9.1% 14.2% 25.0%
Subordination 5,948
Net Notional Amount $ 12,269
Fair Value of Derivative Liability $ 171
182 AIG 2010 Form 10-K