| Quarter-end date | Dec 31 2008 | Mar 31 2009 | Jun 30 2009 | Sep 30 2009 | Dec 31 2009 | Mar 31 2010 | Jun 30 2010 | Sep 30 2010 |
|---|---|---|---|---|---|---|---|---|
| Outstanding Principal Balance of Senior Loan and Equity Contribution | ||||||||
| FRBNY senior loan | ||||||||
| Principal balance (including accrued and capitalized interest) as of quarter end | 24,384 | 24,168 | 22,614 | 19,855 | 18,500 | 17,324 | 16,294 | 15,138 |
| Accrued and capitalized interest during quarter | 45 | 87 | 82 | 66 | 60 | 54 | 54 | 52 |
| Repayment during quarter | - | (304) | (1,636) | (2,825) | (1,415) | (1,229) | (1,083) | (1,208) |
| Memo: AIG equity contribution | ||||||||
| Principal balance (including accrued and capitalized interest) as of quarter end | 5,022 | 5,065 | 5,108 | 5,151 | 5,193 | 5,235 | 5,278 | 5,322 |
| Accrued and capitalized interest during quarter | 22 | 43 | 43 | 43 | 42 | 41 | 43 | 44 |
| Repayment during quarter | - | - | - | - | - | - | - | - |
| Summary of Portfolio Composition, Cash and Cash Equivalents, and Other Assets and Liabilities, Fair Value | ||||||||
| High-grade ABS CDO | 18,770 | 13,565 | 14,491 | 16,001 | 15,400 | 15,437 | 15,500 | 15,382 |
| Mezzanine ABS CDO | 3,104 | 1,832 | 1, 882 | 2,099 | 1,989 | 2,098 | 1,997 | 2,068 |
| Commercial real estate CDO | 4,791 | 3,761 | 4,186 | 4,572 | 4,694 | 5,517 | 5,564 | 5,589 |
| RMBS, CMBS, & Other | - | - | 225 | 246 | 256 | 269 | 266 | 288 |
| Cash and cash equivalents | 408 | 1,508 | 1,645 | 547 | 428 | 354 | 390 | 362 |
| Other assets | - | 73 | 59 | 38 | 30 | 28 | 32 | 34 |
| Other liabilities | - | (5) | (4) | (3) | (3) | (5) | (3) | (3) |
| Net assets | 27,073 | 20,733 | 22,485 | 23,500 | 22,794 | 23,699 | 23,747 | 23,719 |
| Securities Distribution by Rating | ||||||||
| AAA | 18.1 | 16.3 | 16.9 | 2.1 | 1.7 | 1.5 | 0.9 | 0.1 |
| AA+ to AA- | 27.0 | 5.0 | 0.8 | 0.8 | 0.8 | 0.8 | 0.7 | 0.7 |
| A+ to A- | 9.0 | 3.6 | 3.3 | 17.7 | 19.1 | 0.1 | 0.1 | 0.1 |
| BBB+ to BBB- | 12.6 | 3.3 | 3.3 | 2.2 | 0.6 | 0.7 | 0.2 | 0.1 |
| BB+ and lower | 33.2 | 71.7 | 75.5 | 76.9 | 77.5 | 96.6 | 98.0 | 98.9 |
| Not Rated | - | - | 0.3 | 0.3 | 0.3 | 0.2 | - | - |
| Total | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 |
| Data Description | Definition |
|---|---|
| FRBNY senior loan | Loan from the FRBNY to Maiden Lane III LLC |
| Principal balance (including accrued and capitalized interest) as of quarter end | Total amount of the loan outstanding, including accrued and capitalized interest, in millions of dollars |
| Accrued and capitalized interest during quarter | Interest on the loan that was accrued and added to the balance of the loan, in millions of dollars |
| Repayment during quarter | Repayment from proceeds of the portfolio, in millions of dollars |
| Memo: AIG equity contribution | As part of the asset purchase agreement, AIG purchased a $5 billion equity contribution, which is subordinated to the senior loan extended by the FRBNY |
| Summary of Portfolio Composition, Cash and Cash Equivalents, and Other Assets and Liabilities, Fair Value | |
| High-Grade ABS CDO | High-grade asset-backed security collateralized debt obligations (ABS CDO), in millions of dollars |
| Mezzanine ABS CDO | Mezzanine asset-backed collateralized debt obligations (ABS CDO), in millions of dollars |
| Commercial real estate CDO | Commercial real estate-backed collateralized debt obligations (CDO), in millions of dollars |
| RMBS, CMBS, & Other | Residential mortgage-backed securities (RMBS), commercial mortgage backed securities (CMBS), and other securities, in millions of dollars |
| Cash and cash equivalents | Holdings of cash or other comparable, short-term, highly liquid assets, in millions of dollars |
| Other assets | Includes interest and principal receivable and other receivables, in millions of dollars |
| Other liabilities | Includes accrued expenses, in millions of dollars |
| Securities Portfolio Distribution by Credit Rating | Based on fair value, and the lowest of all ratings for each security, in percent |