AIG 2014 Annual Report Download - page 132
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ITEM 7 / INVESTMENTS
115
The following table presents our RMBS available for sale investments by credit rating:
Fair Value at Fair Value at
December 31, December 31,
(in millions) 2014 2013
Rating:
Total RMBS
AAA $ 14,699 $ 14,833
AA 418 477
A 546 598
BBB 911 1,051
Below investment grade(a) 20,937 19,163
Non-rated 926
Total RMBS(b) $ 37,520 $ 36,148
Agency RMBS
AAA $ 12,405 $ 12,210
AA 56
Total Agency $ 12,410 $ 12,216
Alt-A RMBS
AAA $ 7$32
AA 33 54
A 85 114
BBB 317 381
Below investment grade(a) 12,559 10,350
Total Alt-A $ 13,001 $ 10,931
Subprime RMBS
AAA $ 18 $27
AA 117 117
A 252 233
BBB 207 248
Below investment grade(a) 1,829 1,761
Total Subprime $ 2,423 $ 2,386
Prime non-agency
AAA $ 2,076 $ 2,462
AA 253 288
A 205 248
BBB 351 383
Below investment grade(a) 6,169 6,651
Non-rated 926
Total prime non-agency $ 9,063 $ 10,058
Total Other housing related $ 623 $ 557
(a) Includes certain RMBS that had experienced deterioration in credit quality since their origination. See Note 6, Investments – Purchased Credit Impaired
(PCI) Securities to the Consolidated Financial Statements for additional discussion.
(b) The weighted average expected life was six years at December 31, 2014 and seven years at December 31, 2013.
Our underwriting practices for investing in RMBS, other asset-backed securities and CDOs take into consideration the quality
of the originator, the manager, the servicer, security credit ratings, underlying characteristics of the mortgages, borrower
characteristics, and the level of credit enhancement in the transaction.