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Information regarding AIG's Multi-Sector CDO Portfolio

Aggregate Portfolio Information as of November, 2007


Sources: AIG internal memo, publicly available deal information
Counterparties Par Mark
Merrill $ 9,920.0 $ 610.0
Bank of Montreal $ 1,600.0 $ 41.0
Calyon $ 4,500.0 $ 343.0
Deutsche Bank $ 600.0 $ -
Goldman Sachs $ 23,000.0 $ 3,000.0
RBS $ 1,350.0 $ -
Societe Generale $ 18,640.0
UBS $ 6,300.0 $ 40.0
Wachovia $ 818.0 $ -
Total $ 66,728.0 $ 4,034.0

Portfolio Details, Based on Publicly Available Information


High Grade CDO Mezzanine CDO
Year of Issuance Insured Par % of Portfolio Year of Issuance Insured Par % of Portfolio
2006 $ 12,585.3 23% 2006 $ 1,985.0 4%
2005 $ 18,006.6 33% 2005 $ 6,851.5 12%
2004 $ 9,551.6 17% 2004 $ 3,957.1 7%
2003 or earlier $ 1,457.3 3% 2003 or earlier $ 690.0 1%
Total: $ 41,600.9 76% Total: $ 13,483.6 24%

High Grade + Mezzanine Insured Par % of Portfolio


2006 $ 14,570.3 26%
2005 $ 24,858.1 45%
2004 $ 13,508.7 25%
2003 or earlier $ 2,147.3 4%
Total Analyzed Portfolio $ 55,084.5 100%
Analyzed Portfolio as % of 11/07 Portfolio: 83%

Implied Portfolio Values


Implied Portfolio Values, as of:
AIG Memo Mark December, 2007 September, 2008 January, 2010
High Grade CDO
2006 $ 10,656.0 $ 12,585.3 $ 5,207.5 $ 3,654.5
2005 $ 14,505.7 $ 15,129.3 $ 7,272.2 $ 4,720.2
2004 $ 8,590.3 $ 9,129.2 $ 4,511.5 $ 2,662.1
2003 or earlier $ 1,396.2 $ 1,457.3 $ 1,457.3 $ 1,457.3
Total $ 35,148.2 $ 38,301.1 $ 18,448.4 $ 12,494.1
Mezzanine CDO Portfolio
2006 $ 1,522.5 $ 667.6 $ 158.3 $ 147.8
2005 $ 5,150.7 $ 3,495.8 $ 913.9 $ 433.2
2004 $ 3,404.4 $ 2,328.0 $ 608.6 $ 288.5
2003 or earlier $ 690.0 $ 690.0 $ 690.0 $ 690.0
Total $ 10,767.6 $ 7,181.4 $ 2,370.9 $ 1,559.5

High Grade + Mezzanine


2006 $ 12,178.5 $ 13,252.9 $ 5,365.8 $ 3,802.4
2005 $ 19,656.4 $ 18,625.1 $ 8,186.1 $ 5,153.4
2004 $ 11,994.6 $ 11,457.2 $ 5,120.1 $ 2,950.5
2003 or earlier $ 2,086.2 $ 2,147.3 $ 2,147.3 $ 2,147.3
Total $ 45,915.8 $ 45,482.5 $ 20,819.3 $ 14,053.6
High Grade + Mezzanine, Value as % of Par: 83% 83% 38% 26%

Top Deal Managers (or Advisors) Insured Par


TCW $ 10,482.4
ICP $ 5,399.9
Goldman* $ 5,200.0
Vanderbilt $ 4,517.6
Aladdin $ 3,473.0
Maxim $ 3,029.5
Strategos/Cohen $ 1,720.0
Clinton Group $ 1,626.4
Fortis $ 1,559.5
$ 37,008.3
*based on AIG memo, deal amounts unavailable
AIG Deal List 15/01/2010 Confirmed Data Only
counterparties par mark par via memomark via memo
par missing top deal managers with full abacus
merrill $ 12,355.7 $ 3,470.2 $ 9,920.0 $ 610.0 $ (2,435.7) TCW $ 10,482.4 year closed deal type
bank of montreal $ 1,881.5 $ 74.8 $ 1,600.0 $ 41.0 $ (281.5) ICP $ 5,399.9 2007 $ 80.0 0.1% Mezz $ 16,363.3 29%
calyon $ 3,781.0 $ 368.1 $ 4,500.0 $ 343.0 $ 719.0 Vanderbilt $ 4,517.6 2006 $ 15,940.3 28.7% high grade $ 37,256.5 67%
deutsche bank $ 366.0 $ 329.4 $ 600.0 $ - $ 234.0 Goldman $ 110.0 $ 5,200.0 2005 $ 21,947.7 39.5% unknown/other 1,880.00 3%
goldman $ 17,643.6 $ 5,283.3 $ 23,000.0 $ 3,000.0 $ 5,356.5 Aladdin $ 3,473.0 2004 $ 14,328.3 25.8% $ 55,499.8
RBS $ 680.0 $ 680.0 $ 1,350.0 $ - $ 670.0 Maxim $ 3,029.5 2003 $ 1,267.5 2.3%
soc gen $ 13,412.5 $ 4,422.2 $ 18,640.0 $ 5,227.5 Strategos/Cohen
$ 1,720.0 2002 $ 1,936.0 3.5%
UBS $ 4,561.5 $ 24.8 $ 6,300.0 $ 40.0 $ 1,738.5 Clinton Group$ 1,626.4 $ 55,499.8
Wachovia $ 818.0 $ 752.6 $ 818.0 $ - $ - Fortis $ 1,559.5
Total $ 55,499.8 $ 15,405.4 $ 66,728.0 $ 4,034.0 $ 11,228.3 $ 31,918.3 37,008.30
% of memo deals found: 83% abacus par memo par absnet total deal
$ 110.0 $ 5,200.0 $ 4,095.3
AIG 11/07 memo Marks Est. 11/07 W.A collateral
deal class counterparty lead bank # % price threshold
$ of mark par Exposure par est. via: mezz or high
reason
grade
for designation:
deal manager issue date total deal size (via absnet) rating (via fitch)
abacus 2007-18? goldman goldman 0% $ - $ 80.0 fitch cmbs goldman 15/05/2007 $ 146.5
abacus 2004-1 goldman goldman 0% $ - $ 30.0 Irish SE goldman 01/07/2004 $ 195.0
abacus 2004-2 goldman goldman 0% $ - mezz goldman 26/10/2004 $ 1,000.0
abacus 2005-2 goldman goldman 0% $ - mezz goldman 07/07/2005 $ 1,250.0
abacus 2005-3 goldman goldman 0% $ - mezz goldman 28/07/2005 $ 528.0
abacus 2005-CB1 goldman goldman 0% $ - C-Bass 08/12/2005 $ 750.0
abacus 2006-NS1 goldman goldman 0% $ - CMBS North Star Capital
17/08/2006 $ 225.8
adirondack (2005-1) A-1LT soc gen 79.84 80% 8% $ 32.5 $ 267.5 Irish SE high grade s&p report the clinton group 11/05/2005 $ 1,520.0 AA+ rating
adirondack (2005-1) CP soc gen 72.06 72% 8% $ - na high grade low mark the clinton group11/05/2005 $ 1,520.0
adirondack II (2005-2) A-1LT soc gen goldman 82.21 82% 8% $ 26.6 $ 271.9 Irish SE high grade the clinton group15/11/2005 $ 1,545.0
adirondack II (2005-2) CP soc gen goldman 76.84 77% 8% $ 164.8 $ 1,087.0 irish high grade the clinton group15/11/2005 $ 1,545.0
alexander park CDO I A1 soc gen 77.52 78% 8% $ 29.5 $ 203.5 Irish SE mezz princeton advisory
26/02/2004 $ 300.0
altius II A-1 goldman goldman 87.5 88% 4% $ 111.6 $ 1,313.0 CDO-T high grade aladdin capital management
11/10/2005
altius I A-1LT soc gen goldman 82.41 82% 8% $ 33.9 $ 354.0 Irish SE aladdin capital management
11/08/2004 $ 2,000.0
altius I CP soc gen goldman 78.59 79% 8% $ 189.9 $ 1,416.0 Irish SE aladdin capital management
11/08/2004 $ 2,000.0
belle haven ABS CDO (2004-1A)A1ST soc gen 92+ 8% $ 316.5 $ 344.0 Irish SE high grade NIBC 14/12/2004 $ 1,000.0
belle haven ABS CDO (2004-1A)CP soc gen 92+ 8% $ - na high grade NIBC 14/12/2004 $ 1,000.0
bernoulli high grade CDO I a-1a merrill merrill 74.9 75% 8% $ 161.6 $ 945.0 irish high grade absnet babcock & brown 30/03/2006 $ 1,176.0 AA-/A
bernoulli high grade CDO I a-1b merrill merrill 74.17 74% 8% $ 64.2 $ 360.0 irish high grade absnet babcock & brown 30/03/2006 $ 1,176.0
bernoulli high grade CDO I a-1A RBS merrill 0% 0% $ - double count high grade babcock & brown 30/03/2006 $ 1,176.0
BFC Genesee A-1LA soc gen 64.85 65% 8% $ 51.3 $ 189.0 irish mezz TJA knowledge
braddock financial
28/02/2006 $ 301.3
bluegrass ABS CDO II (2004-II) A1TB bank of montreal 99.35 99% 0% $ 1.1 $ 173.0 irish mezz invesco 14/04/2004 $ 391.2
bluegrass ABS CDO II (2004-II) A1TA bank of montreal 98.89 99% 0% $ 0.8 $ 75.0 irish mezz invesco 14/04/2004 $ 391.2
broderick CDO I ltd. A-IV goldman 67.5 68% 4% $ 71.3 $ 250.0 high gradefitch report seneca capital13/12/2005
management $ 1,000.0 AA/AA-
broderick CDO I ltd. A-1XVA goldman 67.5 68% 4% $ 101.1 $ 354.8 high gradefitch report seneca capital13/12/2005
management $ 1,000.0 AA/AA-
camber 3 plc A-1 soc gen 86.5 87% 8% $ 23.2 $ 422.5 irish mezz moody's report
cambridge place 20/04/2005
investment$ 710.0
cascade funding CDO I a1 merrill merrill 91.16 91% 8% $ 2.8 $ 328.0 fitch report high grade Terwin/Winter Group
26/07/2004 $ 402.7
coolidge funding A-1 goldman goldman 96+ 4% $ 263.0 $ 274.0 irish mezz allianz risk transfer
22/06/2005 $ 410.0
davis square I (2003-1) A1B bank of montreal
goldman 99.55 100% 0% $ 0.9 $ 192.5 irish high grade TCW 16/10/2003 $ 995.0
davis square I (2003-1) A1C bank of montreal
goldman 99.55 100% 0% $ 0.9 $ 192.5 irish high grade TCW 16/10/2003 $ 995.0
davis square I (2003-1) A1D bank of montreal
goldman 99.55 100% 0% $ 0.9 $ 192.5 irish high grade TCW 16/10/2003 $ 995.0
Davis Square Funding II A1DMT soc gen goldman 92+ 8% $ 230.0 $ 250.0 irish high grade TCW 06/05/2004 $ 1,225.0
Davis Square Funding II A1AMT wachovia goldman 92+ 8% $ 69.0 $ 75.0 irish high grade TCW 06/05/2004 $ 1,225.0
Davis Square Funding II A-1BMT wachovia goldman 92+ 8% $ 110.4 $ 120.0 irish high grade TCW 06/05/2004 $ 1,225.0
Davis Square Funding II A-1CMT wachovia goldman 92+ 8% $ 69.0 $ 75.0 irish high grade TCW 06/05/2004 $ 1,225.0
Davis Square Funding II A1AMM wachovia goldman 92+ 8% $ 90.2 $ 98.0 irish high grade TCW 06/05/2004 $ 1,225.0
Davis Square Funding II A1B MM wachovia goldman 92+ 8% $ 207.0 $ 225.0 irish high grade TCW 06/05/2004 $ 1,225.0
Davis Square Funding II A1C MM wachovia goldman 92+ 8% $ 207.0 $ 225.0 irish high grade TCW 06/05/2004 $ 1,225.0
davis square funding III A1LT calyon 95 95% 8% $ 337.0 irish high grade TCW 21/10/2004 $ 502.0
davis square funding III CP calyon 95 95% 8% $ - na high grade TCW 21/10/2004 $ 502.0
davis square funding IV A-1LT soc gen goldman 82.5 83% 8% $ 36.8 $ 387.0 irish high grade TCW 06/04/2005 $ 550.1
davis square funding IV CP soc gen goldman 82.5 83% 8% $ - na high grade TCW 06/04/2005 $ 550.1
davis square funding V CP calyon goldman 75 75% 8% $ 295.8 $ 1,740.0 irish high grade TCW 30/09/2005 $ 2,018.0
davis square funding VI A-1LT-a soc gen goldman 67.5 68% 8% $ 67.1 $ 274.0 irish high grade TCW 30/03/2006 $ 2,000.0
davis square funding VI CP soc gen goldman 67.5 68% 8% $ 285.7 $ 1,166.0 irish high grade TCW 30/03/2006 $ 2,000.0
duke 2004-7 1A1 calyon morgan stanley 80 80% 8% $ 45.8 $ 382.0 irish mezz ellington-duke funding
12/08/2004 $ 750.0
duke 2004-7 1A2 goldman morgan stanley 70 70% 4% $ 33.8 $ 129.9 irish mezz low mark ellington-duke funding
12/08/2004 $ 750.0
duke 2004-7 1A2v goldman morgan stanley 70 70% 4% $ 0.0 $ 0.1 irish mezz low mark ellington-duke funding
12/08/2004 $ 750.0
duke funding high grade I A1LT soc gen 88 88% 8% $ 26.4 $ 660.0 irish high grade name ellington-duke funding
27/01/2005 $ 2,508.0
duke funding high grade I CP soc gen 88 88% 8% $ - na high grade name ellington-duke funding
27/01/2005 $ 2,508.0
duke funding viii CDO a1s merrill 85 85% 8% $ 56.8 $ 812.0 irish mezz ellington-duke funding
20/03/2005 $ 1,160.0
duke VI series 3 notesbank of montreal
UBS 99.2 99% 0% $ - na mezz ellington-duke funding
22/03/2004 $ 930.0
dunhill ABS CDO A1NV goldman 75 75% 4% $ 62.0 $ 295.4 fitch report mezz vanderbilt capital
16/12/2004
advisors $ 518.0
dunhill ABS CDO A1VA goldman 75 75% 4% $ 0.0 $ 0.2 fitch report mezz vanderbilt capital
16/12/2004
advisors $ 518.0
fortius I funding A-1 goldman 96+ 4% $ 374.4 $ 390.0 irish mezz aladdin capital management
08/03/2006 $ 611.5
fort sheridan CDO a1 merrill 86.89 87% 8% $ 45.0 $ 880.0 fitch report high grade vanderbilt capital
30/03/2005
advisors $ 1,006.0
fort sheridan CDO a1 merrill 86.23 86% 8% $ - double? high grade vanderbilt capital
30/03/2005
advisors $ 1,006.0
G Street finance A-1LT soc gen goldman 79.9 80% 8% $ 32.2 $ 266.0 irish high grade wharton asset management
01/11/2005 $ 1,501.0
G Street finance CP soc gen goldman 72.49 72% 8% $ 207.6 $ 1,064.0 irish high grade wharton asset management
01/11/2005 $ 1,501.0
glacier funding CDO II (2004-2A) A1NV goldman merrill 96+ 4% $ 311.9 $ 324.9 irish mezz Terwin/Winter Group
12/10/2004 $ 485.0
glacier funding CDO II (2004-2A) A1VA goldman merrill 96+ 4% $ 0.1 $ 0.1 irish mezz Terwin/Winter Group
12/10/2004 $ 485.0
glacier funding CDO III a-1 merrill 84.74 85% 8% $ 25.2 $ 347.5 irish mezz Terwin/Winter Group
29/07/2005 $ 499.2
hout bay 2006-1 A-1 goldman 96+ 4% $ 1,224.0 $ 1,275.0 irish high grade Investec 02/05/2006 $ 1,504.0
huntington CDO A-1A goldman 80 80% 4% $ 73.9 $ 461.8 irish mezz western asset management
29/03/2005 $ 751.3
huntington CDO A-1B goldman 80 80% 4% $ 0.0 $ 0.3 irish mezz western asset management
29/03/2005 $ 751.3
independence V a1 merrill merrill 90 90% 8% $ 7.9 $ 396.0 irish mezz Declaration Management
25/02/2004& Research
$ 602.0
independence V A1 goldman merrill 67.5 68% 4% $ - double count mezz Declaration Management
25/02/2004& Research
$ 602.0
independence VI a-1 merrill merrill 79.54 80% 8% $ 84.1 $ 675.0 irish mezz declaration management
30/06/2005 $ 961.9
ischus HG A1S UBS UBS 100 100% 0% $ - $ 1,041.5 irish high grade ischus capital management
06/03/2006 $ 1,205.0
ischus II A-1A goldman Credit Suisse 55 55% 4% $ 87.7 $ 214.0 irish mezz ischus capital management
27/07/2005 $ 403.0
ischus II A-1B goldman Credit Suisse 55 55% 4% $ 20.5 $ 50.0 irish mezz ischus capital management
27/07/2005 $ 403.0
jupiter high grade cdo II a1 merrill 85.67 86% 8% $ 55.7 $ 880.0 fitch report high grade Maxim Advisory29/03/2005 $ 1,004.5
jupiter high grade CDO III A-1NV goldman merrill 75 75% 4% $ 272.9 $ 1,299.8 irish high grade Maxim Advisory10/08/2005 $ 2,010.6
jupiter high grade CDO III A-1VA goldman merrill 75 75% 4% $ 52.5 $ 250.0 irish high grade Maxim Advisory10/08/2005 $ 2,010.6
jupiter high grade CDO III A-1VB RBS merrill 0% 0% $ 400.0 $ 400.0 irish high grade Maxim Advisory10/08/2005 $ 2,010.6
khaleej II a1 merrill merrill 66.8 67% 8% $ 151.2 $ 600.0 irish mezz ACA Management 20/09/2005 751.13
kleros preferred funding a-1 merrill 86 86% 8% $ 51.0 $ 850.0 irish high grade Strategos/Cohen 03/06/2005
Bros $ 1,007.0
kleros preferred funding A-1 RBS 0% 0% $ - double count high grade Strategos/Cohen 03/06/2005
Bros $ 1,007.0
kleros preferred funding II A-1NV goldman merrill 82.5 83% 4% $ 117.4 $ 869.8 irish high grade Strategos/Cohen 01/10/2006
Bros $ 1,000.0
kleros preferred funding II A-1V goldman merrill 82.5 83% 4% $ 0.0 $ 0.3 irish high grade Strategos/Cohen 01/10/2006
Bros $ 1,000.0
laguna ABS CDO A1ST soc gen UBS 92+ 8% $ 387.9 $ 421.6 irish high grade pimco 28/10/2004 $ 1,302.6
laguna ABS CDO CP soc gen UBS 92+ 8% $ - na high grade pimco 28/10/2004 $ 1,302.6
lakeside CDO II A1 merrill 92+ 8% $ 1,076.4 $ 1,170.0 fitch high grade vanderbilt capital
31/03/2004
advisors $ 1,479.9 AA/AA-
lakeside CDO II A1 soc gen 92+ 8% $ - double count high grade vanderbilt capital
31/03/2004
advisors $ 1,479.9
lexington capital funding A-1ANV goldman merrill 60 60% 4% $ 71.9 $ 199.8 irish mezz Maxim Advisory25/10/2005 $ 520.9
lexington capital funding A-III goldman merrill 60 60% 4% $ - na mezz Maxim Advisory25/10/2005 $ 520.9
long hill 2006-1 A-S1VF UBS UBS 100 100% 0% $ - $ 410.0 irish mezz Alliance Bernstein
07/03/2006 $ 810.0
long hill 2006-1 A-S2T UBS UBS 100 100% 0% $ - $ 125.0 irish mezz Alliance Bernstein
07/03/2006 $ 810.0
margate funding I A1S soc gen 92+ 8% $ 740.6 $ 805.0 irish high grade Delaware Investment
20/12/2004
Advisors
$ 1,000.0
margate funding I A1S UBS 100 100% 0% $ - double count high grade Delaware Investment
20/12/2004
Advisors
$ 1,000.0
mercury ABS CDO 2004-1 A1VB merrill 92+ 8% $ 203.5 $ 221.2 fitch report high grade chotin asset management?
03/11/2004 (Irish)
$ 753.1 AA-/A+
mercury ABS CDO 2004-1 A1VA goldman 90 90% 4% $ 0.0 $ 0.1 fitch report high grade chotin asset management?
03/11/2004 (Irish)
$ 753.1
mercury ABS CDO 2004-1 A1NV goldman 90 90% 4% $ 12.1 $ 201.0 fitch high grade chotin asset management?
03/11/2004 (Irish)
$ 753.1
MKP CDO III A1 goldman RBS 93.75 94% 4% $ 6.1 $ 272.0 irish mezz MKP Capital 07/04/2004 $ 384.0
MKP CDO IV A1 RBS RBS 0% 0% $ 280.0 $ 280.0 irish mezz MKP Capital 09/03/2005 $ 414.0
MKP CDO IV A1 soc gen RBS 68.88 69% 8% $ - double count mezz MKP Capital 09/03/2005 $ 414.0
MKP CDO V A1 soc gen RBS 59.37 59% 8% $ 158.7 $ 486.5 irish mezz MKP Capital 08/12/2005 $ 702.0
monroe harbor CDO 2005-1 A-1A calyon bear 90 90% 8% $ 19.4 $ 970.0 irish high grade vanderbilt capital
15/08/2005
advisors $ 1,502.0
monroe harbor CDO 2005-1 A-1B calyon bear 90 90% 8% $ 7.0 $ 352.0 irish high grade vanderbilt capital
15/08/2005
advisors $ 1,502.0
montauk point a-1 merrill 55 55% 8% $ 96.9 $ 262.0 irish mezz fortis investments
28/02/2006 $ 401.8
neptune 2004-1 AII A merrill bear 90 90% 8% $ - company websitemezz chotin asset management
27/01/2005 $ 387.5
neptune 2004-1 A1LA soc gen bear 75 75% 8% $ - na mezz chotin asset management
27/01/2005 $ 387.5
neptune CDO II a-1 merrill Credit Suisse 80 80% 8% $ 23.8 $ 198.0 irish mezz Fund America management
26/07/2005 $corp 301.0
Orchid II A-1 goldman 65 65% 4% $ 63.2 $ 204.0 irish mezz ST Asset Management
19/04/2005
(via orchid
$ III-300.8
irish)
orient point A-INVB goldman merrill 60 60% 4% $ 234.0 $ 650.0 irish high grade fortis investments
25/10/2005 $ 1,505.8
orient point A-1NVA goldman merrill 60 60% 4% $ 233.0 $ 647.3 irish high grade fortis investments
25/10/2005 $ 1,505.8
orient point A-1V goldman merrill 60 60% 4% $ 0.1 $ 0.3 irish high grade fortis investments
25/10/2005 $ 1,505.8
palisades A1A deutsche bank 91+ 10% $ 329.4 $ 366.0 irish mezz western asset management
15/07/2004 $ 600.0
putnam 2002-1 A-1mT-A bank of montreal 93.35 93% 0% $ 23.4 $ 352.0 irish high grade putnam 20/12/2002 $ 1,120.0
putnam 2002-1 A-1MT-B bank of montreal 93.35 93% 0% $ 23.4 $ 352.0 irish high grade putnam 20/12/2002 $ 1,120.0
putnam 2002-1 A-1MT-C bank of montreal 93.35 93% 0% $ 23.4 $ 352.0 irish high grade putnam 20/12/2002 $ 1,120.0
putnam 2002-1 A1lt-E soc gen 92+ 8% $ 323.8 $ 352.0 irish - class MM-E?
high grade putnam 20/12/2002 $ 1,120.0
putnam 2002-1 A-1LT-J soc gen 92+ 8% $ 161.9 $ 176.0 irish - Class MM-D?
high grade putnam 20/12/2002 $ 1,120.0
putnam 2002-1 A-1LT-D soc gen 92+ 8% $ 323.8 $ 352.0 irish - class MM-J?
high grade putnam 20/12/2002 $ 1,120.0
reservoir funding CDO Ltd. A1NV goldman 80 80% 4% $ 52.4 $ 327.3 fitch report high grade MBIA Capital management
29/10/2004 $ 502.8 AA
reservoir funding CDO Ltd. A1VA goldman 80 80% 4% $ - double? high grade MBIA Capital management
29/10/2004 $ 502.8 AA
river north 2005-1 A1 goldman JP morgan 70 70% 4% $ 50.3 $ 193.5 irish mezz Deerfield Capital19/01/2005
Management$ 300.0
saturn ventures 2005-1 A-1 goldman citigroup 80 80% 4% $ 42.9 $ 268.0 irish mezz metropolitan west09/06/2005
asset management
$ 400.1
sherwood funding ABS CDO A1 soc gen JP morgan 92+ 8% $ 303.6 $ 330.0 company websitemezz church tavern advisors
26/10/2004 $ 550.0
sherwood funding CDO II A-1 goldman morgan stanley 60 60% 4% $ 116.1 $ 322.5 irish mezz church tavern advisors
15/12/2005 $ 476.0
sierra madre A1A soc gen goldman 63.65 64% 8% $ 113.4 $ 400.0 irish high grade western asset management
29/07/2004 $ 1,497.0
sierra madre CP soc gen goldman 86.82 87% 8% $ 49.0 $ 945.0 irish high grade western asset management
29/07/2004 $ 1,497.0
south coast IV A1 merrill merrill 92+ 8% $ 634.8 $ 690.0 irish mezz TCW 06/12/2003 $ 1,000.0
south coast IV A1 soc gen merrill 92+ 8% $ - double count mezz TCW 06/12/2003 $ 1,000.0
south coast V A1 merrill merrill 92+ 8% $ 688.2 $ 748.0 irish mezz TCW 07/07/2004 $ 1,147.0
south coast VII A-1ANV goldman merrill 65 65% 4% $ 239.9 $ 773.8 irish mezz TCW 25/05/2005 $ 1,177.3
south coast VII A-1B goldman merrill 65 65% 4% $ 0.1 $ 0.3 irish mezz TCW 25/05/2005 $ 1,177.3
south coast VIII A-1NV goldman merrill 55 55% 4% $ 141.3 $ 344.8 irish mezz TCW 25/01/2006 $ 506.5
south coast VIII A-1V goldman merrill 55 55% 4% $ 0.1 $ 0.3 irish mezz TCW 25/01/2006 $ 506.5
Straits Global ABS CDO I A1 merrill merrill 89.67 90% 8% $ 5.8 $ 248.0 irish mezz Declaration Management
28/10/2006& Research
streeterville ABS CDO Ltd a1 merrill 89.97 90% 8% $ 17.3 $ 850.0 fitch high grade vanderbilt capital
01/10/2004
advisors $ 998.0 AA+/AA
streeterville ABS CDO Ltd A1 soc gen 92+ 8% $ - double count high grade vanderbilt capital
01/10/2004
advisors $ 998.0
Toro ABS CDO I A merrill merrill 89.98 90% 8% $ 18.1 $ 895.0 irish high grade Merrill Lynch Investment
15/07/2005
Managers
$ 1,011.1
summit RMBS CDO I Ltd A-1S UBS 99.2 99% 0% $ 2.1 $ 268.0 irish mezz Summit Investment16/02/2005
Partners$ 403.5
TABS 2005-4 A soc gen morgan stanley 59.36 59% 8% $ 86.2 $ 264.0 irish mezz low mark Tricadia 26/01/2006 $ 402.0
triaxx prime 2006-1 A1 UBS ICP securities and CIBC
99.08 99% 0% $ 22.1 $ 2,400.0 irish high grade TJA knowledge
ICP 07/09/2006 $ 2,667.0
triaxx prime 2006-2 A-1B1 goldman ICP Securities 92.5 93% 4% $ 52.5 $ 1,500.0 irish high grade TJA knowledge
ICP 14/12/2006 $ 5,000.0
triaxx prime 2006-2 A-1B2 goldman ICP Securities 92.5 93% 4% $ 52.5 $ 1,500.0 irish high grade TJA knowledge
ICP 14/12/2006 $ 5,000.0
vertical ABS CDO 2006-1 A-1 UBS UBS 98.91 99% 0% $ 0.6 $ 56.0 irish mezz vertical capital 28/06/2005 $ 462.5
west coast funding I A-1A goldman goldman 62.5 63% 4% $ 398.0 $ 1,188.0 irish mezz low mark TCW 26/07/2006 $ 2,700.0
west coast funding I A-1B goldman goldman 67.5 68% 4% $ 338.6 $ 1,188.0 irish mezz low mark TCW 26/07/2006 $ 2,700.0
Whately CDO I A1A UBS 100 100% 0% $ - $ 261.0 irish mezz Babson 09/06/2004 $ 400.0
witherspoon CDO funding (2004-1A)
A1 soc gen 84.54 85% 8% $ 19.2 $ 258.0 irish high grade princeton advisory
15/12/2004 $ 1,005.0
witherspoon CDO funding (2004-1A)
A1 soc gen 86 86% 8% $ - na high grade princeton advisory
15/12/2004 $ 1,005.0
Total $ 15,405.4 $ 55,499.8 $ 148,825.4
ABX Information
change in ABX tranche pricing between late 2007 (time of AIG memo) and 9/08 (time of AIG bailout)
AA/A reflects collateral composition of "high grade" deals; BBB reflects value of "mezz" deals
most of AIG deals are from 2004-2006-1Q so these two ABX indexes match these deals most closely
change in ABX tranche price could act as proxy for change in "Mark" of 'high grade" and "mezz" deals - deal marks, where available, could be adjusted down by similar %

abx price movements ABX tranche change: from time of CBS memo to AIG bailout
via JPM abs CDO weekly 5/23/08 via JPM abs CDO weekly 5/23/08 via markit 12/07 to 9/08 9/08 to 1/10 12/07 to 1/10
abx 06-1 price11/07 price 12/20/07 price 9/18/08 price 1/15/10 points % points % points %
AAA 93.5 88.78 82.56 4.72 5% 6.22 7% 10.94 12%
AA 85.29 52.29 35 33.00 39% 17.29 33% 50.29 59%
A 62.25 18.01 10.63 44.24 71% 7.38 41% 51.62 83%
BBB 34.54 9.03 4.28 25.51 74% 4.75 53% 30.26 88%

ABX tranche change


abx 06-2 price11/07 price 12/20/07 price 9/18/08 price 1/15/10 points %
AAA 86.58 63.79 46.94 22.79 26% 16.85 26% 39.64 46%
AA 62.63 18.62 10.82 44.01 70% 7.8 42% 51.81 83%
A 40 7.36 4.71 32.64 82% 2.65 36% 35.29 88%
BBB 20.63 4.8 4.94 15.83 77% -0.14 -3% 15.69 76%

abx 07-1 price11/07 price 9/18/08 price 1/15/10 points %


AAA 75.5 47.82 34.72 27.68 37% 13.1 27% 40.78 54%
AA 46.13 10.18 3.73 35.95 78% 6.45 63% 42.4 92%
A 26.25 6.32 3.34 19.93 76% 2.98 47% 22.91 87%
BBB 19.54 4.96 3.36 14.58 75% 1.6 32% 16.18 83%
calculation of ABX implied price for CDOs
bucket by collateral type
list by vintage
2006 high grade 2006 mezzanine
insured par 12,585.30 insured par $ 1,985.0 notes:
av. CBS mark 11/07 84.64 av. CBS mark 11/07 71.70 1. High grade deals were run as a mix of AA and A tranches. Mezz deals were run as BBB. The actual mix of a deal could obviously vary from this.
av. ABX mark 12/07 72.6% av. ABX mark 12/07 31.6% 2. I filled in the missing CP tranches on several deals (as indicated below), using an assumed Sr. class %age for similar vintage and collateral deals
av CBS mark, excl. UBS 82.08 av ABX mark 9/18/08 7.4% 3. If the CBS memo indicated that the mark was above the threshold, I typically used the threshold level (ie 92% for an 8% threshold) as the mark. This may have distorted the 2005 high grade CBS mark downwards
av ABX mark 9/18/08 33% av. ABX mark 1/15/10 7.6% 4. Generally, the sr. class size (and subordination levels) are consistent within vintage and collateral type, which acts as a check on the analysis.
av. ABX mark 1/15/10 22% 5. The dates for the marks can be easily changed, to better reflect the maiden lane pricing. Unfortunately, I don't have any earlier than 12/20/07 currently.
6. The marks after the CBS memo plummeted. This suggests that many of the marks moved at a similar rate. If so, this would have produced very large collateral calls on AIG before the company was downgraded.
2005 high grade 2005 mezzanine 7. Average marks are straight averages, not weighted averages (currently)
insured par 18,006.63 insured par $ 6,851.5
av. CBS mark 11/07 80.73 av. CBS mark 11/07 75.4
av. ABX mark 12/07 84.9% av. ABX mark 12/07 51.5%
av ABX mark 9/18/08 41.2% av ABX mark 9/18/08 13.5%
av. ABX mark 1/15/10 26.7% av. ABX mark 1/15/10 6.4%
mark variances
2004 high grade 2004 mezzanine 1. Certain variances may be due to early in vintage closings. I have run alternative pricing for some using an earlier ABX index and the pricing is much closer to the banks in the CBS memo
insured par 9,551.60 insured par $ 3,957.1 2. UBS marks are consistently at or close to par, regardless of collateral type or quality. Obviously, UBS was not treating its marks the same as other banks
av. CBS mark 11/07 89.79 av. CBS mark 11/07 86.7 3. Within a vintage and asset type, such as 2005 mezz, goldman's marks had a wide range from 96$ to 55% with little visible difference between deals
av. ABX mark 12/07 97% av. ABX mark 12/07 58.9% 4. The triaxx deals were run just using the vintage appropriate AAA tranche, based on the underlying collateral
av ABX mark 9/18/08 49% av ABX mark 9/18/08 15.4%
av. ABX mark 1/15/10 29% av. ABX mark 1/15/10 7.3%

total HG par 40,143.53 total mezz par $ 12,793.6

total ABX marked par $ 52,937.1 total marked par plus 2002-03 deals $ 55,084.5
% of total AIG portfolio 79.3% 82.6% 17.3%

ABX Implied Fair Market Value


2006 high grade 2006 mezz
CBS mark 11/07 $ 10,656.0 CBS mark 11/07 1,522.53
ABX mark 12/07 $ 12,585.3 ABX mark 12/07 667.64
ABX mark 9/08 $ 5,207.5 ABX mark 9/08 158.33
ABX mark 1/10 $ 3,654.5 ABX mark 1/10 147.85

2005 high grade 2005 mezz


CBS mark 11/07 $ 14,505.7 CBS mark 11/07 5,150.67
ABX mark 12/07 $ 15,129.3 ABX mark 12/07 3,495.80
ABX mark 9/08 $ 7,272.184 ABX mark 9/08 913.93
ABX mark 1/10 $ 4,720.195 ABX mark 1/10 433.18

2004 high grade 2004 mezz


CBS mark 11/07 $ 8,590.266 CBS mark 11/07 3,404.36
ABX mark 12/07 $ 9,129.194 ABX mark 12/07 2,327.97
ABX mark 9/08 $ 4,511.463 ABX mark 9/08 608.61
ABX mark 1/10 $ 2,662.072 ABX mark 1/10 288.47

2002-03 deals
CBS mark 11/07 $ 2,086.217
ABX mark 12/07 $ 2,147.324
ABX mark 9/08 $ 2,147.324
ABX mark 1/10 $ 2,147.324

total HG FMV as % of par (incl. 02-03 deals) total Mezz FMV as % of par
CBS mark 11/07 85% CBS mark 11/07 79%
ABX mark 12/07 92% ABX mark 12/07 51%
ABX mark 9/08 45% ABX mark 9/08 13%
ABX mark 1/10 31% ABX mark 1/10 7%

total implied FMV % of par iextrapolating marked portfolio to total portfolio (marked portfolio/%of total portfolio)
CBS mark 11/07 $ 45,915.763 86.7% $ 57,877.47 86.7%
ABX mark 12/07 $ 45,482.550 85.9% $ 57,331.40 85.9%
ABX mark 9/08 $ 20,819.318 39.3% $ 26,243.04 39.3%
ABX mark 1/10 $ 14,053.601 26.5% $ 17,714.76 26.5%
notes: 14/01/2010
General:
1 Abacus deal info very incomplete and inconsistent. AIG memo indicates $5.2 bn of abacus exposure;
public data indicates total deal size of referenced deals as $4.1 bn
2 As of 1/14, deal info available on about 83% of deals. 6 deals have missing info on the non-listed CP
classes. Based on the average CP class size in other deals (typically over $1 bn), these 6 missing
classes, if completed, could bring completed deal amounts to over 90%
3 List gives full credit to amount of class indicated in AIG memo. It is possible AIG did not insure the
full class
4 Based on offering document information, in several instances, the bank for the deal is different from
the counterparties on AIG's list. This indicates that the counterparty bought the bonds on the open
market. Note the Soc Gen deals - where Goldman was often the banker. goldman often "bought"
deals from other banks.
5 The spreadsheet note "double count" indicates that the full class size is being allocated to one
counterparty. Iin reality, it was sold to a number of counterparties. I can't determine how this would
have been allocated.
6 AIG memo does not mention amount of Soc Gen collateral call as of 11/07
7 Collateral calls indicated by AIG are generally less than the amounts indicated by the marks on the
memo; may indicate that the numbers were being negotiated by the parties
8 Deal managers: TCW, ICP, Vanderbilt and Goldman were the biggest users of AIG insurance. TCW's
amount is 2x next largest manager
9 Class and deal par amounts are based on origination values. Some amortization of principal may
have occurred

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