AIG 2012 Annual Report Download - page 211

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The following table presents key inputs used in the BET model, and the potential increase (decrease) to the
fair value of the derivative liability by ABS category at December 31, 2012 corresponding to changes in these
key inputs:
Bond prices 41 points Increase of 5 points $ (152) $ (2) $ (10) $ (72) $ (44) $ (15) $ (9)
Decrease of 5 points 146 2 9 62 45 14 14
Weighted Increase of 1 year 15 1 – 11 2 – 1
average life 5.75 years Decrease of 1 year (23) (1) – (18) (3) (1) –
Recovery rates 17% Increase of 10% (13) – (2) (8) (1) (1) (1)
Decrease of 10% 15 – 2 9 3 1 –
Diversity score(a) 14 Increase of 5 (4)
Decrease of 5 11
Discount curve(b) N/A Increase of 100bps 10
(a) The diversity score is an input at the CDO level. A calculation of sensitivity to this input by type of security is not possible.
(b) The discount curve is an input at the CDO level. A calculation of sensitivity to this input by type of security is not possible. Furthermore, for
this input it is not possible to disclose a weighted average input as a discount curve consists of a series of data points.
These results are calculated by stressing a particular assumption independently of changes in any other assumption.
No assurance can be given that the actual levels of the key inputs will not exceed, perhaps significantly, the ranges
assumed by us for purposes of the above analysis. No assumption should be made that results calculated from the
use of other changes in these key inputs can be interpolated or extrapolated from the results set forth above.
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AIG 2012 Form 10-K194
Increase (Decrease) to Fair Value of Derivative Liability
Average
Inputs Used at Entire RMBS RMBS RMBS
(dollars in millions) December 31, 2012 Change Portfolio Prime Alt-A Subprime CMBS CDOs Other
ITEM 7 / CRITICAL ACCOUNTING ESTIMATES