AIGFP's credit derivatives fell into three groups by reference asset. The first group referenced bundles of corporate bonds and loans, the second was bought by banks to reduce their regulatory capital, and the third referenced multi-sector CDOs. At their peak in 2007, the three groups had a combined notional amount of USD 527 billion1.

AIGFP traded on the strength of its parent AIG's AAA rating and guarantee. As a result, its collateral terms included rating triggers tied to AIG's own rating, and AIG's downgrades increased the collateral calls2.

Notes

  1. Report of the Congressional Oversight Panel, p. 14 (PDF p. 22) and p. 23 (PDF p. 31). AIGFP was created in 1987, and the 2007 total of the three groups was USD 527 billion. ↩

  2. Report of the Financial Crisis Inquiry Commission, pp. 140–141 (PDF pp. 169–170). The report covers the use of AIG's guarantee and the conditions for posting collateral. ↩