AIG Risk Exposures

Self exposures
Merrill

class CUSIP
A-1
83743TAA2
A-1
45343PAA3
A-1
45343PAA3
A1
84129VAA9
a1
147276AA7
A-1
863286AA8
A1VB 58936RAN7
A-1
48205YAA5
a1
348667AA4
A-1
498587AA2
a-1
45377TAA4
a-1
37638XAA7
a1 (super senior)
A-1
612180AA7
a-1a
085558AA2
a-1b
085558AC8
A-1
86258PAA0

confirmed
Tranche
par Exposure
$
690.0
$
396.0
$
396.0
$
748.0
$
328.0
$
850.0
$
330.0
$
880.0
$
880.0
$
850.0
$
675.0
$
347.0
$
600.0
$
262.0
$
945.0
$
360.0
$
248.0

current
moody's
S&P rating original par current par
AA
$690.0
$63.0
CCC$396.0
$160.0
CCC$396.0
$160.0
AAA
$748.0 `56
BBB
$328.0
$157.0
$850.0
$508.0
$330.0
$149.0
B$880.0
$667.0
CC
$880.0
$688.0
A+
$850.0
$620.0
CCC$675.0
$382.0
BB$347.0
$210.0
CCC$600.0
$600.0
CC
$262.0
$225.0
BB$945.0
$856.0
BB
$360.0
$89.0
AAA
$248.0
$61.0

current
moody's
moody's rating current dealCollateral type counterparty
Baa1
$358.0 mezz
merrill
Ca
$361.0 mezz
merrill
Ca
$361.0 mezz
merrill
Baa1
$540.0 mezz
merrill
B1
$235.0 high grade
merrill
Ba2
$680.0 high grade
merrill
B3
$407.0 high grade
merrill
Ca
$782.0 high grade
merrill
Caa1
$803.0 high grade
merrill
B2
$761.0 high grade
merrill
Caa3
$650.0 mezz
merrill
Caa2
$352.0 mezz
merrill
Ca
$751.0 mezz
merrill
C
$366.0 mezz
merrill
Ca
$1,138.0 high grade
merrill
B3
high grade
merrill
Caa3
$244.0 mezz
merrill

class
A
A
A-1
A-1
A-1
A-1
A-1
A-1
A-1
A-1a
A-1b
A
A-1

00257QAA0

confirmed
Tranche
par Exposure
$
30.0
$
$
274.0
$
$
100.0
$
1,313.0
$
$
390.0
$
1,275.0
$
1,187.0
$
1,188.0
$
$
80.0

current
moody's
S&P rating original par current par
CCC$30.0
$125.0
CCCBBB+
$274.0
$175.0
BBAAA
$100.0
$0.0
B$1,313.0
$1,027.0
CCCCC
$390.0
$308.0
CC
$1,275.0
$1,167.0
BB+
$1,187.0
$776.0
CC
$1,188.0
$1,188.0
BB+
AA+
$80.0
$80.0

current
moody's
moody's rating current dealCollateral type counterparty
C
$153.0
goldman
not listed
mezz
goldman
Ba3
$285.0 mezz
goldman
not listed
mezz
goldman
Ca
mezz
goldman
B1
$1,199.0 high grade
goldman
not listed
goldman
Ca
$506.0 mezz
goldman
Ca
$1,397.0 mezz
goldman
Ca
$2,301.0 mezz
goldman
C
mezz
goldman
not listed
CMBS
goldman
Ba1
cmbs
goldman

lead bank
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman

issue date
01/07/2004
26/10/2004
22/06/2005
07/07/2005
28/07/2005
10/11/2005
08/12/2005
08/03/2006
02/05/2006
26/07/2006
26/07/2006
17/08/2006
15/05/2007

total deal size
deal manager
$ 1,970.0 goldman
$ 1,000.0 goldman
$ 410.0 allianz risk transfer
$ 1,250.0 goldman
$ 1,826.0 goldman
$ 1,500.0 aladdin capital management
$ 750.0 C-Bass
$ 611.5 aladdin capital management
$ 1,504.0 Investec
$ 2,700.0 TCW
TCW
$ 225.8 North Star Capital
$ 164.0 goldman

deal
class CUSIP
Whately CDO I
A-1A 96254FAA5
margate funding I
A1S
vertical ABS CDO 2006-1
A-1
925345AA8
ischus HG (Ischus High Grade Funding
A1S
I)
464267AA1
long hill 2006-1
A-S1VF54266TAA0
long hill 2006-1
A-S2T 54266TAB8

confirmed
Tranche
par Exposure
$
261.0
$
$
56.0
$
1,041.0
$
410.0
$
125.0

current
moody's
S&P rating original par current par
BBB+
$261.0
$132.0
A
CC
$56.0
$56.0
$1,041.0
$976.0
D
$410.0
$235.0
D
$125.0
$125.0

current
moody's
moody's rating current dealCollateral type counterparty
Ba1
$274.0 mezz
UBS
high grade
UBS
C
$516.0 mezz
UBS
withdrawn
$1,142.0 high grade
UBS
withdrawn
$630.0 mezz
UBS
withdrawn
mezz
UBS

lead bank
UBS
UBS
UBS
UBS
UBS
UBS

issue date
09/06/2004
20/12/2004
28/06/2005
06/03/2006
07/03/2006
07/03/2006

total deal size
deal manager
$ 400.0 Babson
Delaware Investment Advisors
$ 798.0 vertical capital
$ 1,205.0 ischus capital management
$ 810.0 Alliance Bernstein
Alliance Bernstein

confirmed
Tranche
par Exposure
$
75.0
$
120.0
$
75.0
$
98.0
$
225.0
$
225.0

current
moody's
S&P rating original par current par
CCC+
$75.0
$0.0
CCC+
$120.0
$0.0
CCC+
$75.0
$0.0
CCC+
$98.0
$0.0
CCC+
$225.0
$0.0
CCC+
$225.0
$0.0

current
moody's
moody's rating current dealCollateral type counterparty
Aa2
high grade
wachovia
Aa2
high grade
wachovia
Aa2
high grade
wachovia
withdrawn
high grade
wachovia
withdrawn
high grade
wachovia
withdrawn
high grade
wachovia

deal
south coast funding IV
independence V
independence V
south coast funding V
cascade funding CDO I
streeterville ABS CDO Ltd
mercury ABS CDO 2004-1
jupiter high grade cdo II
fort sheridan ABS CDO
kleros preferred funding
independence VI
glacier funding CDO III
khaleej II
montauk point CDO
bernoulli high grade CDO I
bernoulli high grade CDO I
Straits Global ABS CDO I

lead bank
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
Merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill

issue date
06/12/2003
25/02/2004
25/02/2004
07/07/2004
26/07/2004
01/10/2004
03/11/2004
29/03/2005
30/03/2005
03/06/2005
30/06/2005
29/07/2005
20/09/2005
28/02/2006
30/03/2006
30/03/2006
28/10/2006

Mark Information
AIG 11/07 memo Marks
%
shared?

total deal size
deal manager
$ 1,000.0 TCW
$ 602.0 Declaration Management & Research
90.0%
$ 602.0 Declaration Management & Research
90.0%
$ 1,147.0 TCW
$ 402.7 Terwin/Winter Group
91.2%
$ 998.0 vanderbilt capital advisors
90.0% SocGen
$ 753.1 chotin asset management? (Irish)
$ 1,004.5 Maxim Advisory
85.7%
$ 1,006.0 vanderbilt capital advisors
86.9%
$ 1,007.0 Strategos/Cohen Bros
86.0% RBS
$ 961.9 declaration management
79.5%
$ 499.2 Terwin/Winter Group
84.7%
751.13 ACA Management
66.8%
$ 401.8 fortis investments
55.0%
$ 1,500.0 babcock & brown
74.9%
babcock & brown
74.2%
$ 440.0 Declaration Management & Research
89.7%

Goldman

deal
abacus 2004-1
abacus 2004-2
coolidge funding
abacus 2005-2
abacus 2005-3
altius II
abacus 2005-CB1
fortius I funding
hout bay 2006-1
west coast funding I
west coast funding I
abacus 2006-NS1
abacus 2007-18

CUSIP
002550AA9
216444AA7
00256LAA2
02149WAA5
34958CAA2
442451AA8
952186AA2
952186AB0

Mark Information
AIG 11/07 memo Marks
%
shared?
0.0%
0.0%
0.0%
0.0%
87.5%
0.0%

62.5%
67.5%
0.0%
0.0%

UBS
Mark Information
AIG 11/07 memo Marks
%
shared?
100.0%
100.0% SocGen
98.9%
100.0%
100.0%
100.0%

Wachovia

deal
Davis Square Funding II
Davis Square Funding II
Davis Square Funding II
Davis Square Funding II
Davis Square Funding II
Davis Square Funding II

class CUSIP
A1AMT 23910PAF2
A-1BMT23910PAG0
A-1CMT23910PAH8
A1AMM23910PAK1
A1B MM23910PAL9
A1C MM23910PAM7

lead bank
Wachovia
Wachovia
Wachovia
Wachovia
Wachovia
Wachovia

issue date
total deal size
deal manager
06/05/2004
TCW
06/05/2004
TCW
06/05/2004
TCW
06/05/2004
TCW
06/05/2004
TCW
06/05/2004
TCW

Mark Information
AIG 11/07 memo Marks
%
shared?

Deutsche Bank

deal
palisades

class
A1A

confirmed
Tranche
current
moody's
current
moody's
CUSIP
par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date
total deal size
deal manager
696399AA2 $
366.0 AA
$366.0
$260.0 Caa1
$1,142.0 mezz
deutsche bank Deutsche Bank 15/07/2004 $ 629.8 western asset management

Mark Information
AIG 11/07 memo Marks
%
shared?

Large Cross Exposures
Merrill -> Goldman

deal
class CUSIP
huntington CDO
A-1B 446279AC5
glacier funding CDO II (2004-2A)A1NV 37638VAG8
glacier funding CDO II (2004-2A)A1VA (A-1V)
37638VAA1
reservoir funding CDO Ltd.
A1NV 76112CAB4
reservoir funding CDO Ltd.
A1VA (A-1-V)
76112CAA6
mercury ABS CDO 2004-1
A1VA 58936RAA5
mercury ABS CDO 2004-1
A1NV 58936RAB3
dunhill ABS CDO
A1NV 26545QAQ2
dunhill ABS CDO
A1VA 26545QAA7
huntington CDO
A-1A 446279AA9
huntington CDO
A-1B 446279AC5
south coast funding VII
A-1ANV83743YAS2
south coast funding VII
A-1B 83743YAB9
jupiter high grade CDO III
A-1NV 48206AAG3
jupiter high grade CDO III
A-1VA 48206AAA6?
lexington capital funding
A-1ANV52902TAC0
lexington capital funding
A-III
Orient Point CDO
A-INVB 68619MAQ4
Orient Point CDO
A-1NVA68619MAL5
Orient Point CDO
A-1V 68619MAJ0
broderick CDO I ltd.
A-IV
112021AA8
broderick CDO I ltd.
A-1NVA112021AB6
south coast funding VIII
A-1NV 83743LAC5
south coast funding VIII
A-1V 83743LAA9
kleros preferred funding II
A-1NV 498588AC6
kleros preferred funding II
A-1V 498588AA0

confirmed
Tranche
par Exposure
$
0.3
$
324.0
$
0.1
$
374.0
$
0.1
$
0.1
$
299.0
$
327.0
$
0.3
$
461.0
$
0.3
$
773.0
$
0.3
$
1,299.8
$
250.0
$
199.0
$
$
650.0
$
647.0
$
0.3
$
0.3
$
354.0
$
344.0
$
0.3
$
869.0
$
0.3

current
moody's
S&P rating original par current par
BB
AA
$324.0
$106.0
AA
$0.1
$0.1
$374.0
$274.0
$0.1
$0.1
$0.1
$0.1
$299.0
$135.0
B+
$327.0
$125.0
B+
$0.3
$0.3
AA
$461.0
$336.0
BB
BB
$773.0
$380.0
BB
$0.3
$0.3
B+
B+
CCC$199.0
$129.0
CCCCC
$650.0
$630.0
CC
$647.0
$627.0
CC
$0.3
$0.3
CC
$0.0
$0.0
CC
$354.0
$328.0
CC
$344.0
$243.0
CC
$0.3
$0.3
BB$869.0
$725.0
BB$0.3
$0.3

current
moody's
moody's rating current dealCollateral type counterparty
Baa1
mezz
goldman
B1
$276.0 mezz
goldman
B1
mezz
goldman
Caa1
$406.0 high grade
goldman
Caa1
high grade
goldman
B3
high grade
goldman
B3
high grade
goldman
Ba2
$301.0 mezz
goldman
Ba2
mezz
goldman
Baa1
$589.0 mezz
goldman
Baa1
mezz
goldman
Ca
$743.0 mezz
goldman
Ca
mezz
goldman
Caa2
$1,785.0 high grade
goldman
high grade
goldman
Ca
$387.0 mezz
goldman
mezz
goldman
Ca
$1,469.0 high grade
goldman
Ca
high grade
goldman
Ca
high grade
goldman
Caa2
high grade
goldman
Caa2
$933.0 high grade
goldman
C
$411.0 mezz
goldman
C
mezz
goldman
Caa3
$854.0 high grade
goldman
Caa3
high grade
goldman

confirmed
Tranche
par Exposure
$
352.0
$
352.0
$
352.0
$
400.0
$
945.0
$
354.0
$
1,416.0
$
387.0
$
950.0
$
422.0
$
267.0
$
1,070.0
$
266.0
$
1,064.0
$
271.0
$
1,087.7
$
274.0
$
1,166.0

current
moody's
S&P rating original par current par
AAA
$352.0
$310.0
AAA
$352.0
$310.0
AAA
$352.0
$310.0
$400.0
$346.0
$945.0
$818.0
BBB
$354.0
$198.0
BBB
$1,416.0
$0.0
CCC
$387.0
$321.0
CCC
$950.0
$0.0
CCC$422.0
$299.0
BB+
$267.0
$126.0
BB+
$1,070.0
$0.0
BBB
$266.0
$135.0
BBB
$1,064.0
$0.0
A$271.0
$154.0
A$1,087.7
$0.0
BB$274.0
$268.0
BB$1,166.0
$0.0

current
moody's
moody's rating current dealCollateral type counterparty
A1
high grade
soc gen
A1
high grade
soc gen
A1
high grade
soc gen
Ba3
$1,308.0 high grade
soc gen
Ba3
high grade
soc gen
B2
$1,520.0 mezz
soc gen
withdrawn
mezz
soc gen
Caa2
$1,273.0 high grade
soc gen
withdrawn
high grade
soc gen
Caa2
$505.0 mezz
soc gen
B2
$1,103.0 mezz
soc gen
withdrawn
mezz
soc gen
Caa1
$1,170.0 high grade
soc gen
withdrawn
high grade
soc gen
B1
$1,309.0 mezz
soc gen
withdrawn
mezz
soc gen
C
$1,965.0 high grade
soc gen
withdrawn
high grade
soc gen

lead bank
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill
merrill

issue date
29/03/2005
12/10/2004
12/10/2004
29/10/2004
29/10/2004
03/11/2004
03/11/2004
16/12/2004
16/12/2004
29/03/2005
29/03/2005
25/05/2005
25/05/2005
10/08/2005
10/08/2005
25/10/2005
25/10/2005
25/10/2005
25/10/2005
25/10/2005
13/12/2005
13/12/2005
25/01/2006
25/01/2006
01/10/2006
01/10/2006

Mark Information
AIG 11/07 memo Marks
total deal size
deal manager
%
shared?
western asset management
80.0% Merrill
$ 485.0 Terwin/Winter Group
Terwin/Winter Group
$ 502.8 MBIA Capital management
80.0%
MBIA Capital management
80.0%
chotin asset management? (Irish) 90.0%
chotin asset management? (Irish) 90.0%
$ 518.0 vanderbilt capital advisors
75.0%
vanderbilt capital advisors
75.0%
$ 705.0 western asset management
80.0%
western asset management
80.0%
$ 1,177.3 TCW
65.0%
TCW
65.0%
$ 2,010.6 Maxim Advisory
75.0%
Maxim Advisory
75.0%
$ 520.9 Maxim Advisory
60.0%
Maxim Advisory
60.0%
$ 1,505.8 fortis investments
60.0%
fortis investments
60.0%
fortis investments
60.0%
$ 1,000.0 seneca capital management
67.5%
seneca capital management
67.5%
$ 506.5 TCW
55.0%
TCW
55.0%
$ 1,000.0 Strategos/Cohen Bros
82.5%
Strategos/Cohen Bros
82.5%

Goldman -> SocGen

deal
putnam 2002-1
putnam 2002-1
putnam 2002-1
sierra madre
sierra madre
altius I
altius I
davis square funding IV
davis square funding IV
camber 3 plc
adirondack (2005-1)
adirondack (2005-1)
G Street finance
G Street finance
adirondack II (2005-2)
adirondack II (2005-2)
davis square funding VI
davis square funding VI

class CUSIP
A1lt-E (A-1MM-e)
746869AE6
A-1LT-J746869AW6
(A-1MM-j)
A-1LT-D746869AD8
(A-1MM-d)
A1A (A-1LT-a)
82639RAB3
CP (A-1LT-b)
82639RAA5
A-1LT 02149RAB4
CP
na
A-1LT 23910TAB3
CP
23910TAA5
A-1
131899AB2
A-1LT 007019AA0
CP
007019AB8?
A-1LT-a36293XAB3
CP
36293XAE7
A-1LT 007022AA4
CP
007022AB2?
A-1LT-a23910VAB8
CP

lead bank
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman
goldman

issue date
20/12/2002
20/12/2002
20/12/2002
29/07/2004
29/07/2004
11/08/2004
11/08/2004
06/04/2005
06/04/2005
20/04/2005
11/05/2005
11/05/2005
01/11/2005
01/11/2005
15/11/2005
15/11/2005
30/03/2006
30/03/2006

total deal size
deal manager
putnam
putnam
putnam
$ 1,497.0 western asset management
western asset management
$ 2,000.0 aladdin capital management
aladdin capital management
$ 2,441.0 TCW
TCW
$ 660.0 cambridge place investment
$ 2,530.0 the clinton group
the clinton group
$ 1,501.0 wharton asset management
wharton asset management
$ 1,545.0 the clinton group
the clinton group
$ 2,000.0 TCW
TCW

Mark Information
AIG 11/07 memo Marks
%
shared?

63.7%
86.8%
82.4%
78.6%
82.5%
82.5%
86.5%
79.8%
72.1%
79.9%
72.5%
82.2%
76.8%
67.5%
67.5%

Sinks
X -> SocGen

SocGen buys from 8 other banks besides its preferred source, Goldman

deal
class CUSIP
south coast funding IV
A-1
alexander park CDO I
A1
014684AA2
lakeside CDO II
A1
Davis Square Funding II
A1DMT 23910PAJ4
streeterville ABS CDO Ltd
A1
sherwood funding ABS CDO
A1
82437RAA9
laguna ABS CDO
A1ST 507161AA5
laguna ABS CDO
CP
belle haven ABS CDO (2004-1A)
A1ST 078446AA9
belle haven ABS CDO (2004-1A)
CP
na
witherspoon CDO funding (2004-1A)
A1 (A-1 97741PAA2
LT-a)
witherspoon CDO funding (2004-1A)
A1 (A-1LT-b)
97741PAL8
margate funding I
A1S
56659NAA3
duke funding high grade I
A1LT-a 26441EAA9
duke funding high grade I
CP
neptune 2004-1
A-1LA 640699AA2
MKP CBO IV
A1
MKP CBO V
A-1
55312WAA4
TABS 2005-4
A
87337UAA2
BFC Genesee
A-1LA 05539MAA8

confirmed
Tranche
par Exposure
$
$
203.0
$
$
250.0
$
$
357.0
$
421.0
$
632.0
$
344.0
$
516.0
$
258.0
$
602.0
$
805.0
$
660.0
$
1,540.0
$
264.0
$
$
486.0
$
264.0
$
189.0

current
moody's
current
moody's
S&P rating original par current par moody's rating current dealCollateral type counterparty
mezz
soc gen
AA
$203.0
$104.0 B3
$200.0 mezz
soc gen
high grade
soc gen
CCC+
$250.0
$0.0 Aa2
$946.0 high grade
soc gen
high grade
soc gen
$357.0
$266.0 Caa1
$482.0 mezz
soc gen
$421.0
$364.0 B3
$1,128.0 high grade
soc gen
$632.0
$546.0 withdrawn
high grade
soc gen
CCC$344.0
$241.0 Caa2
$747.0 high grade
soc gen
CCC$516.0
$0.0 withdrawn
high grade
soc gen
BB
$258.0
$177.0 Caa1
$719.0 high grade
soc gen
BB
$602.0
$412.0 Caa1
high grade
soc gen
A
$805.0
$694.0 Ba2
$898.0 high grade
soc gen
B
$660.0
$590.0 Caa2
$2,281.0 high grade
soc gen
B
$1,540.0
$1,377.0 withdrawn
high grade
soc gen
BBB$264.0
$180.0 B3
$316.0 mezz
soc gen
AAA
mezz
soc gen
CC
$486.0
$388.0 C
$602.0 mezz
soc gen
CC
$264.0
$230.0 Ca
$372.0 mezz
soc gen
CC
$189.0
$170.0 C
$280.0 mezz
soc gen

X -> Goldman

total deal size
deal manager
TCW
$ 300.0 princeton advisory
vanderbilt capital advisors
$ 1,225.0 TCW
vanderbilt capital advisors
$ 550.0 church tavern advisors
$ 1,302.6 pimco
pimco
$ 1,516.0 NIBC
NIBC
$ 1,005.0 princeton advisory
princeton advisory
$ 1,007.0 Delaware Investment Advisors
$ 2,508.0 ellington-duke funding
ellington-duke funding
chotin asset management
MKP Capital
$ 702.0 MKP Capital
$ 402.0 Tricadia
$ 301.3 braddock financial

Merrill
Merrill

84.5%
86.0%
UBS
88.0%
88.0%
75.0%
68.9%
59.4%
59.4%
64.9%

Goldman buys from 6 other banks besides its preferred sources, Merrill and itself

deal
class CUSIP
duke 2004-7 (duke funding VII) 1A2
264403AJ5
duke 2004-7 (duke funding VII) 1A2v 264403AK2
river north 2005-1 (River North CDO)
A-1
768277AA3
Orchid II (Orchid Structured Finance
A-1 CDO
68571UAA7
II
saturn ventures 2005-1
A-1
80410RAA4
ischus CDO II
A-1A 46426RAA7
ischus CDO II
A-1B 46426RAB5
sherwood funding CDO II
A-1
82437XAA6
triaxx prime 2006-2
A-1B1 896008AB5
triaxx prime 2006-2
A-1B2 896008AC3

confirmed
Tranche
par Exposure
$
129.0
$
0.1
$
193.0
$
204.0
$
268.0
$
241.0
$
50.0
$
322.5
$
1,499.0
$
1,500.0

current
moody's
S&P rating original par current par
CCC$129.0
$90.0
CCCA
$193.0
$145.0
A
BBB$268.0
$64.0
CC
$241.0
$151.0
CC
$50.0
$35.0
CC
BB
$1,499.0
$728.0
BB
$1,500.0
$1,500.0

confirmed
Tranche
par Exposure
$
352.0
$
352.0
$
352.0
$
192.0
$
192.0
$
192.0
$
655.0
$
173.0
$
75.0

current
moody's
S&P rating original par current par
AAA
$352.0
$310.0
AAA
$352.0
$310.0
AAA
$352.0
$310.0
BB+
$192.0
$153.0
BB+
$192.0
$153.0
BB+
$192.0
$153.0
CC
$655.0
$487.0
BB
$248.0
$137.0
BB

X -> Bank of Montreal

current
moody's
moody's rating current dealCollateral type counterparty
Caa2
mezz
goldman
Caa2
mezz
goldman
Caa3
$253.0 mezz
goldman
B2
$74.0 mezz
goldman
B3
$197.0 mezz
goldman
Ca
$328.0 mezz
goldman
Ca
mezz
goldman
mezz
goldman
Caa2
$3,835.0 high grade
goldman
Caa2
high grade
goldman

lead bank issue date
morgan stanley 12/08/2004
morgan stanley 12/08/2004
JP morgan
19/01/2005
Lehman
19/04/2005
citigroup
09/06/2005
Credit Suisse 27/07/2005
Credit Suisse 27/07/2005
morgan stanley 15/12/2005
ICP Securities 14/12/2006
ICP Securities 14/12/2006

Mark Information
AIG 11/07 memo Marks
total deal size
deal manager
%
shared?
ellington-duke funding
70.0%
ellington-duke funding
70.0%
$ 300.0 Deerfield Capital Management
70.0%
$ 300.8 ST Asset Management (via orchid III65.0%
irish)
$ 400.1 metropolitan west asset management
80.0%
$ 403.0 ischus capital management
55.0%
ischus capital management
55.0%
$ 476.0 church tavern advisors
60.0%
$ 5,000.0 ICP
92.5%
ICP
92.5%

Bank of Montreal buys from Goldman, Deutsche Bank, and UBS

deal
class CUSIP
putnam 2002-1
A-1MT-a746869AA4
putnam 2002-1
A-1MT-b746869AB2
putnam 2002-1
A-1MT-c746869AC0
davis square I (2003-1)
A1B
239104AE2
davis square I (2003-1)
A1C
239104AH5
davis square I (2003-1)
A1D
239104AL6
duke VI
series 3 264407AA5?
notes (A1S)
bluegrass ABS CDO II (2004-II) A1TB 09622WAF5
bluegrass ABS CDO II (2004-II) A1TA 09622WAE8

X -> Calyon

deal
davis square funding III
davis square funding III
davis square funding V
duke 2004-7 (duke funding VII)
monroe harbor CDO 2005-1
monroe harbor CDO 2005-1

lead bank issue date
merrill
06/12/2003
Banc One
26/02/2004
Bear
31/03/2004
Wachovia
06/05/2004
merrill
01/10/2004
JP morgan
26/10/2004
UBS
28/10/2004
UBS
28/10/2004
UBS
14/12/2004
UBS
14/12/2004
Wachovia
15/12/2004
Wachovia
15/12/2004
UBS
20/12/2004
Wachovia
27/01/2005
Wachovia
27/01/2005
bear
27/01/2005
RBS
09/03/2005
RBS
08/12/2005
morgan stanley 26/01/2006
Bear
28/02/2006

Mark Information
AIG 11/07 memo Marks
%
shared?
Merrill
77.5%
Merrill

current
moody's
moody's rating current dealCollateral type counterparty lead bank
A1
$1,779.0 high grade
bank of montrealgoldman
A1
high grade
bank of montrealgoldman
A1
high grade
bank of montrealgoldman
Caa1
$823.0 high grade
bank of montrealgoldman
Caa1
high grade
bank of montrealgoldman
Caa1
high grade
bank of montrealgoldman
Caa2
$789.0 mezz
bank of montrealUBS
B3
$273.0 mezz
bank of montrealDB
mezz
bank of montrealDB

issue date
20/12/2002
20/12/2002
20/12/2002
16/10/2003
16/10/2003
16/10/2003
22/03/2004
14/04/2004
14/04/2004

total deal size
deal manager
$ 2,192.0 putnam
putnam
putnam
$ 995.0 TCW
TCW
TCW
$ 930.0 ellington-duke funding
$ 404.0 invesco
invesco

Mark Information
AIG 11/07 memo Marks
%
shared?
93.4%
93.4%
93.4%
99.6%
99.6%
99.6%
99.2%
99.4%
98.9%

total deal size
deal manager
$ 502.0 TCW
TCW
$ 2,018.0 TCW
$ 750.0 ellington-duke funding
$ 1,502.0 vanderbilt capital advisors
vanderbilt capital advisors

Mark Information
AIG 11/07 memo Marks
%
shared?
95.0%
95.0%
75.0%
80.0%
90.0%
90.0%

Calyon buys from Goldman, Bear, and Morgan Stanley

class CUSIP
A1LT-a 23910RAB7
CP
23910RAA9
CP
1A1
264403AA4
A-1A 610891AA1
A-1B 610891AB9

confirmed
Tranche
par Exposure
$
337.0
$
1,000.0
$
1,740.0
$
382.0
$
970.0
$
352.0

current
moody's
S&P rating original par current par
$337.0
$269.0
$1,000.0
$0.0
BB$1,740.0
$0.0
CCC$382.0
$263.0
CC
$970.0
$907.0
CC
$352.0
$329.0

current
moody's
moody's rating current dealCollateral type counterparty
B2
high grade
calyon
withdrawn
$1,237.0 high grade
calyon
withdrawn
$3,842.0 high grade
calyon
Caa2
$602.0 mezz
calyon
Caa3
$1,417.0 high grade
calyon
Caa3
high grade
calyon

lead bank issue date
goldman
21/10/2004
goldman
21/10/2004
goldman
30/09/2005
morgan stanley 12/08/2004
bear
15/08/2005
bear
15/08/2005

All Other Deals
deal
neptune 2004-1
neptune CDO II
bernoulli high grade CDO I
triaxx prime 2006-1

class CUSIP
A-1LA
A-1
64069RAA2
a-1A
A1
896005AA3

confirmed
Tranche
par Exposure
$
$
198.0
$
$
2,400.0

current
moody's
current
moody's
S&P rating original par current par moody's rating current dealCollateral type counterparty
mezz
merrill
CCC
$198.0
$141.0 Ca
$245.0 mezz
merrill
high grade
RBS
B+
$2,400.0
$1,804.0 Caa3
$2,068.0 high grade
UBS

lead bank issue date
bear
27/01/2005
Credit Suisse 26/07/2005
merrill
30/03/2006
ICP securities and
07/09/2006
CIBC

Mark Information
AIG 11/07 memo Marks
total deal size
deal manager
%
shared?
$ 404.5 chotin asset management
90.0% SocGen
$ 301.0 Fund America management corp 80.0%
babcock & brown
0.0% Merrill
$ 2,667.0 ICP
99.1%

Unknown Structurer
deal
summit RMBS CDO I Ltd
duke funding VIII
fort sheridan CDO

class
A-1S
a1s
a1

confirmed
Tranche
CUSIP
par Exposure
866244AA4 $
268.0
$
812.0
$
-

current
moody's
current
moody's
S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank
AA+
mezz
UBS
BBBnot listed
mezz
merrill
high grade
merrill

issue date
total deal size
deal manager
16/02/2005 $ 415.0 Summit Investment Partners
20/03/2005 $ 1,160.0 ellington-duke funding
30/03/2005
vanderbilt capital advisors

Mark Information
AIG 11/07 memo Marks
%
shared?
99.2%
85.0%
86.2%

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