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Maiden Lane III First Cut for Naked Capitalism

Maiden Lane III First Cut for Naked Capitalism

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Published by octothorpe2294
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As first published - sawn-off sample

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Published by: octothorpe2294 on Jan 28, 2010
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05/22/2010

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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
CounterpartiesParMark
Merrill9,920.0$ 610.0$Bank of Montreal1,600.0$ 41.0$Calyon4,500.0$ 343.0$Deutsche Bank600.0$ -$Goldman Sachs23,000.0$ 3,000.0$RBS1,350.0$ -$Societe Generale18,640.0$ ?UBS6,300.0$ 40.0$Wachovia818.0$ -$
Total66,728.0$ 4,034.0$
Portfolio Details, Based on Publicly Available Information
High Grade CDOMezzanine CDOYear of IssuanceInsured Par% of PortfolioYear of IssuanceInsured Par% of Portfolio
200612,585.3$ 23%20061,985.0$ 4%200518,006.6$ 33%20056,851.5$ 12%20049,551.6$ 17%20043,957.1$ 7%2003 or earlier1,457.3$ 3%2003 or earlier690.0$ 1%Total:41,600.9$ 76%Total:13,483.6$ 24%
High Grade + MezzanineInsured Par% of Portfolio
200614,570.3$ 26%200524,858.1$ 45%200413,508.7$ 25%2003 or earlier2,147.3$ 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 MarkDecember, 2007September, 2008January, 2010High Grade CDO2006
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 Portfolio2006
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 + Mezzanine2006
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
TCW10,482.4$ICP5,399.9$Goldman*5,200.0$Vanderbilt4,517.6$Aladdin3,473.0$Maxim3,029.5$Strategos/Cohen1,720.0$Clinton Group1,626.4$Fortis1,559.5$
37,008.3$
*based on AIG memo, deal amounts unavailable

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