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AIG/Goldman Sachs Collateral Call Timeline DATE December 14, 2006 SUMMARY Email thread re 12/06 decision by Goldman to reduce subprime exposure/get closer to home. DESCRIPTION • • 12/14/06 email from Daniel Sparks (GS) re subprime risk meeting: he writes that decision made to reduce subprime risk by selling ABX, selling inventory, marking the CDO warehouse more regularly. 12/14/06 David Viniar (GS) email response: he writes “my basic message was let’s be aggressive distributing things because there will be very good opportunities as the markets goes into what is likely to be even greater distress and we want to be in position to take advantage of them.” PSI. TAB 1 March 23, 2007 May 11, 2007 Timberwolf Offering Circular May 2007 TAB 2 Page 1 Goldman sends marks to Bear Stearns Asset Management (“BSAM”) TAB 3 From 4/07 through 6/07, Goldman was soliciting Basis Yield Alpha Fund (“Master”) (“BYAFM”) to purchase the Timberwolf CDO. In the offering circular, Goldman discloses that “there is no established trading market for the Securities.” This risk warning was typical and included in other Goldman offering circulars. Craig Broderick (GS) email re downward adjustment of marks & adverse impact on clients. TAB 4 Craig Broderick sent an email to several individuals, in which he wrote that Daniel Sparks (GS) and the mortgage group “were in the process of considering making significant downward adjustments to the marks on their mortgage portfolio esp. CDOs and CDO squared” and that “this will potentially have a big P&L impact on us, but also to our clients due to the marks and associated margin calls on repos, derivatives and other products.” He also wrote that Goldman needed to “survey our clients and take a shot at determining the most vulnerable clients, knock on implications, etc.” He noted the significant downward adjustments to the marks were important to senior management, writing “this is getting lots of 30th floor attention right now.” Goldman sends marks to Bear Stearns that reportedly valued securities in the BSAM hedge funds at 50-60 cents on the dollar. June 7, 2007 July 11, 2007 BSAM hedge funds announce NAV decline BSAM hedge funds at revise the 4/07 NAV from minus 6% to minus 19% Telephone call between Andrew Forster (AIGFP) and Alan Frost (AIGFP) Andrew Forster (AIGFP) tells Alan Frost (AIGFP) that (1) he is focusing on CDS and subprime,” (2) “every f---ing … rating agency …[came] out with more downgrades,” (3) “about a month ago I was like, you know suicidal,” (4) “the problem that we’re going to face is that we’re going to have just enormous downgrades on the stuff we got,” (5) AIGFP will “have to mark” its books, and (6) “we’re [unintel] f---ed basically.” TAB 5 at 24-25 TAB 6 July 26, 2007 July 27, 2007 Goldman notifies AIGFP that a margin call on the SSCDS is on the way On 7/26/07, Andrew Davilman (Goldman) emailed Alan Frost (AIGFP), informing him that Goldman would be making a margin call on the CDS it purchased from AIGFP. The next day, Goldman sent AIG an invoice requesting $1.8 billion in collateral. Goldman sends AIGFP a collateral invoice for $1.8 billion with valuations attached. Goldman purchases $100 million of CDS protection on AIG. Attached to this chronology is a listing of each Goldman collateral call on AIGFP, each collateral posting by AIGFP and each purchase of CDS protection on AIG by Goldman. TAB 7 TAB 8 Page 2 $1.8 billion Margin call July 27, 2007 Lester Brafman email to David Lehman (GS) Brafman forwards emails to Lehman re collateral calls and questions about the accuracy of Goldman’s marks in which it is written “the extent of the collateral calls being generated overnight is embarrassing for the firm ($1.9 Bn from AIG-FP alone.) We need to focus on developing a process for ensuring accuracy for all marks, especially those which are being sent to clients and those that are the basis for margining open transactions.” July 27, 2007 July 30, 2007 Goldman internal email Goldman email shows both CIBC and AIG are disputing margin calls and that their mark to market values substantially higher than Goldman’s. Telephone call between Andrew Forster (AIGFP) and John Liebergal (AIGFP) Forster (AIGFP) tells John Liebergal (AIGFP) that (1) Goldman margin call “hit out of the blue and [] a f---ing number that’s well bigger than we ever planned for,” (2) Goldman’s prices were “ridiculous” but that the value “could be anything from 80 to sort of, you know 95,” (3) he would not buy bonds at 90 cents on the dollar “because they could probably go low” and because it would require AIGFP to mark its books. He specifically stated, “we can’t mark any of our positions, and obviously that’s what saves us having this enormous mark to market. If we start buying the physical bonds back then any accountant is going to turn around and say, well, John, you know you traded at 90, you must be able to mark your bonds then.” TAB 9 Page 3 July 31, 2007 Goldman internal emails David Lehman receives email in which it is written Goldman’s “marks are more than twice as bad as the second worst dealer’s, and all their positions are Super Senior.” Also written that AIOI “is very unhappy and even mad at our MTM. According to him… our MTM is more than twice as bad as others” and “that our margin call based on our MTM was totally unaccepted [and] warned that he will strongly protest against us.” August 1, 2007 Tom Athan (AIGFP) email to Andrew Forster (AIGFP) Athan writes in email to Forster that (1) he had a “tough conf call with Goldman,” (2) Goldman was “not budging and are acting irrational,” (3) Goldman “insist[s] on ‘actionable firm bids and offers’ to come up with a ‘mid market quotation,’” (4) he agreed on the call that “we needed to escalate this within AIG FP,” (5) “we need Joe [Cassano] to understand the situation 100% and let him decide how he wants to proceed,” (6) he “played almost every card I had, legal wording, market practice, intent of the language, meaning of the CSA, and also stressed the potential damage to the relationship and GS said that this has gone to the ‘highest levels’ at GS and they feel that the CSA has to work or they cannot do synthetic trades anymore across the firm in these types of instruments,” and (7) GS called this a “test case” many times on the call. TAB 10 August 2, 2007 August 8, 2007 Goldman reduces its margin call from $1.8 billion to $1.2 billion. On 8/2/07 Andrew Forster (AIGFP) emails Joe Cassano (AIGFP) and Pierre Micottis (AIGFP) a revised spreadsheet from Goldman showing a reduction in the margin call from $1.8 billion to $1.2 billion. Forster states in the email that “they [Goldman] realized they needed to use mids not bids” (meaning mid point between bid and ask). Attached is a listing of marks from Merrill and Goldman that shows Goldman marks are lower. For example, Goldman valued the Broderick CDO at 0.85 but Merrill valued it at 0.98. Goldman valued the Dunhill ABS CDO at 0.85 but Merrill valued it at 0.99. Merrill’s estimated values did not represent actual bids or offers. Goldman CDS protection on AIG now $300 million. Emails between Andrew Forster and Alan Frost (AIFP) Frost writes to Forster re GS/AIG collateral dispute that (1) Goldman “can do a lot of things in the market to generate price discovery,” (2) “can influence how a dealer decides to determine mid going forward,” (3) Goldman influencing price discovery is “a very credible threat,” and (4) he has “never seen Andy D. more discouraged and despondent about amicably resolving any debate or conflict between our firms as long as I’ve known him.” Forster responds “I have no idea why you keep going on about amicable. We don’t agree with their marks and are simply saying let’s use a 3rd party and keep it friendly. What do they expect a money – just give them a bunch of cash because they are gs?” TAB 11 August 10, 2007 AIGFP posts $450 million of collateral and the companies execute a sideletter agreement AIG posted $450 million on 8/10/07. Goldman and AIG execute a “side letter agreement” in which it was written that the parties had not resolved the margin call dispute and that Goldman’s acceptance of the $450 million did not constitute an agreement that the $450 million satisfied the required collateral posting. Goldman CDS protection on AIG now totals $575 million. TAB 12 Page 4 August 16, 2007 Andrew Forster (AIGFP) email to Alan Frost (AIGFP) re Goldman is aggressively marking down assets Alan Frost writes in email to Andrew Forster (Forster on holiday) that (1) the $450 million posting was “to get everyone to chill out,” (2) he will not disturb Joe Cassano, who is also on holiday, (3) “this is not the last margin call we are going to debate,” (4) Andrew Davilman (GS) told him that “marks from Merrill on CDO’s [] are starting to look more like where GS would mark them,” and (5) AIGFP “might start to see some significant margin calls.” Forster responds that “I have heard several rumors now that gs is aggressively marking down asset types that they don’t own so as to cause maximum pain to their competitors. It may be rubbish but it’s the sort of thing gs would do.” TAB 13 September 11, 2007 AIGFP internal emails re collateral calls September 13, 2007 Tom Athan (AIGFP) writes to Andrew Forster (AIGFP) and Adam Budnick (AIGFP) that (1) Goldman is now asking for $1.5 billion, (2) SocGen London asked for $40 million based on an 82.5 bid price from Goldman which Athan disputed, (3) SocGen NY said they “received marks from GS on positions that would result in big collateral calls but SG disputed them with GS.” SocGen disputed marks from Goldman but also that AIGFP is disputing marks of other counterparties asking for collateral. Goldman purchases $700 million of additional CDS protection on AIG Goldman purchases another $700 million of CDS protection on AIG. Total Goldman CDS protection on AIG is now $1,449,000,000. TAB 14 September 20, 2007 Goldman reports 3Q07 results Reported in Goldman 3Q07 earnings release that “significant losses on nonprime loans and securities were more than offset by gains on short mortgage positions.” Viniar says during conference call that shorts were profitable. TAB 15 Page 5 November 1, 2007 November 2, 2007 November 5, 2007 Joe Cassano (AIGFP) email to Elias Habayeb (AIGFP) Goldman increases its margin demand from $1.06 billion to $2.8 billion. Internal AIGFP email TAB 16 TAB 17 TAB 18 Cassano writes that only other collateral call is from SocGen, that it was “spurred by GS calling them,” and AIGFP had not heard from SocGen since disputing the call. Margin call from Goldman to AIGFP increases from $1 billion on 11/1/07 to $2.8 billion on 11/2/07. Goldman asking for $2.8 billion in addition to the $450 million that has already been posted. CDS protection on AIG remains at $1,449,000,000. Pierre Micottis (AIGFP) email to Joe Cassano, Andrew Forster and Elias Habayeb (AIGFP) attaches spreadsheet showing differences between Goldman and AIGFP marks. The attached chart shows that Goldman’s marks were lower than marks estimated by AIGFP utilizing its Binomial Expansion Technique (“BET”) model and marks provided by other dealers. For example, on Duke Funding, Goldman mark was 70, Merrill’s was 85 and BET was 99.81. On the Ischus CDO II, Goldman’s mark was 55; CSFB’s was 90 and BET was 99.92. On Altius II Funding, Goldman’s mark was 87.5; CSFB was 85 and BET was 100. On the Sherwood Funding CDO, Goldman’s mark was 60; Morgan Stanley’s was 90 and BET was 100. Page 6 November 8, 2007 David Lehman (GS) email to Andrew Forster (AIGFP) re valuation methodology. Lehman writes email to Forster asking him to continue constructive dialogue surrounding valuation methodology and that next step should be line-by-line comparison of GS vs AIGFP prices. TAB 19 November 9, 2007 Marks from Merrill Andrew Forster (AIGFP) emails Joe Cassano and Pierre Micottis (AIGFP) a listing of marks received from Merrill that are higher than Goldman’s marks. • Reservoir Funding: Goldman = 80; Merrill = 95. • Jupiter High-Grade: Goldman = 75; Merrill = 95. • Broderick: Goldman = 67.5; Merrill = 95. • Orient Point: Goldman = 60; Merrill = 95. • Southcoast Funding: Goldman = 55; Merrill = 80. TAB 20 November 14, 2007 November 18, 2007 November 23, 2007 Andrew Forster (AIGFP) email to Joe Cassano (AIGFP) re collateral calls. Andrew Forster (AIGFP) email to Joe Cassano (AIGFP) AIGFP posts $1.55 billion, bringing the total amount posted to $2 billion. TAB 21 TAB 22 TAB 23-24 Forster writes that AIGFP received significant collateral calls from SocGen ($1.7B) based on Goldman marks; and Merrill ($610M). Asks if AIGFP should dispute and attempt to reach compromise. Forster writes that average GS price on HG deals is 82.18 and 68.36 on average mezz deal. Merrill is 87 HG and 80.57 mezz. Forster also writes that Goldman and Merrill both made collateral calls on Independence V but that Merrill’s call was based on a mark of 90.81 and Goldman’s call was based on a mark of 67.5. Goldman CDS protection on AIG now totals $1,874,000,000. Page 7 AIG posted an additional $1.55 billion, again with a side letter stating the parties’ continued disagreement about the proper collateral amount. Collateral demand declines to $1.4 billion after the posting. November 27, 2007 November 29, 2007 November 30, 2007 December 4, 2007 AIGFP collateral call analysis showing Goldman’s marks lower than other dealers Joe Cassano forwards to Bill Dooley (AIGFP) his email to Forster in which he wrote that the collateral calls from Goldman and others were being disputed, that parties were seeking resolution and that “no one seems to know how to discern a market valuation price from the current opaque market environment; and no one is particularly excited about the issue being left open.” Attached chart shows collateral calls from Merrill, Bank of Montreal, Calyon, Goldman, SocGen, and UBS. Chart also shows Goldman marks lower than others. • Dunhill: Goldman = 75; Merrill = 95. • Independence V: Goldman = 67.5; Merrill = 90. • Lexington: Goldman = 60; Merrill = 90. • Orient Point: Goldman = 60; Merrill = 95. • South Coast Funding VII: Goldman = 65; Merrill = 90. PwC notes of meeting re Goldman collateral calls with representatives of AIG, AIGFP and PwC Goldman letter to AIGFP. PwC’s Tim Ryan tells AIGFP and AIG executives that the Goldman collateral calls are a major data point and that their impact on the valuation of the SSCDS book needs to be fully understood. Cassano says GS values could impact quarter’s results by $5 billion. AIG CEO Martin Sullivan says that would eliminate the quarter’s profits. Forster told FCIC staff that Sullivan also responded to the $5B estimate by saying he would have a heart attack. Sullivan told FCIC that he does not remember this meeting. AIG requests that Goldman Sachs return collateral or continue with dispute resolution discussion On 11/30/07, Cassano called Michael Sherwood at Goldman and demanded that Goldman return the $1.55 billion of collateral posted on 11/23/07. Cassano told Dooley the demand was based on pricing provided by an independent third party for 70% of the 3500 reference obligations and AIGFP’s valuation for the other 30%. Goldman did not return the collateral. TAB 25 TAB 26 TAB 27 TAB 27 CDS protection reduced by$100,000,000 to $1,774,000,000. Page 8 Goldman letter disputing AIGFP’s 11/30/07 demand for return of collateral. December 5, 2007 December 6, 2007 December 7, 2007 AIG Investor Day Conference AIGFP letter to Goldman AIGFP Letter to Goldman. During an Investor Day Conference attended by AIG executives Martin Sullivan, Joe Cassano, Gary Gorton, Andrew Forster, Steven Bensinger, Bob Lewis, and others, Cassano represented that the estimated unrealized valuation loss on SSCDS book was $1.5B; no disclosure was made that one method used to estimate the loss included a $3.6B negative basis adjustment. Cassano says some counterparties that made margin calls “go away” after AIGFP tells them they disagree with their numbers and that other times “we sit down and we try to find the middle ground.” AIGFP letter to Goldman acknowledging continuing dispute and proposal to discuss dispute. AIGFP demands return of $1,562,720,000. TAB 27 TAB 27 TAB 28 Page 9 December 14, 2007 Andrew Forster (AIGFP) letter to Neil Wright (GS) requesting return of collateral Forster writes in letter that “given the significant amount of collateral in dispute that is held by Goldman, we expect either that you now return to us the amount of collateral that we have called for, or that you continue next week to engage actively and constructively with us in discussions toward resolving the dispute” and that “it would not be appropriate to delay the discussion at this stage.” TAB 29 December 21, 2007 December 31, 2007 January 2, 2008 January 7, 2008 Cassano email to Sherwood requesting return of collateral Status of Collateral Postings Goldman Sachs increased its margin call from $1.6 billion to $2.1 billion. Cassano writes in the email that Goldman’s exposure calculations (that Cassano received the previous night) were too high (marks too low), requests Goldman to return collateral but states that discussions will have to wait because of Christmas and New Year’s holiday. A schedule produced by AIG listed the following collateral postings as of 12/31/07. Goldman represents 89.4% of posted collateral while it represents about $21 billion or 27% of the $78 billion SSCDS book. Goldman increases margin call to $2.1 billion. CDS protection on AIG remains at $1,774,000,000. Internal AIGFP email stating that SocGen did not make a margin call based on Goldman marks after discussions with AIGFP. Tom Athan emailed Cassano, Forster and others stating that SocGen did not make a collateral call on 11/13/07 based on Goldman’s marks after he told them AIGFP would dispute it. TAB 30 TAB 31 TAB 32 TAB 33 $32 million to Bank of Montreal $4 million to BGI $56 million to Barclays $81 million to CIBC $2 million to Deutsche $2.429 million to Goldman Sachs Int’l • $19 million to Societe Generale TOTAL: $2.718 million • • • • • • Page 10 January 16, 2008 February 6, 2008 March 3, 2008 March 17, 2008 AIGFP again requested that Goldman Sachs return collateral posted to date. On 1/16/08, Cassano sent a follow-up email to Goldman CFO David Viniar and Sherwood in which he again wrote that Goldman’s exposure calculations were too high and asked for Goldman to return $1.1 billion of the collateral previously posted by AIG. Enclosed chart shows AIGFP valuing several securities at par. Goldman witnesses including David Lehman and Andrew Davilman, told FCIC staff that AIGFP’s valuing securities at par was not credible. Cassano email to Habayeb and others Cassano writes that $442M collateral call from SocGen is close to $589M AIGFP estimate using BET model. Goldman’s CDS protection on AIG now $2.1 billion. Goldman increases margin call from $2.5 billion to $4.2 billion. On 3/3/08, Goldman’s collateral demand increased from $2.5 billion to $4.2 billion. Goldman’s CDS protection on AIG remains at $2.1 billion. Goldman increases margin call from $4.2 billion to $4.8 billion. By 3/17/08, Goldman increased its demand to $4.8 billion.; CDS protection on AIG remains at $2.1 billion. TAB 34 TAB 35 TAB 36 TAB 37 Page 11 March 17, 2008 April 24, 2008 May 16, 2008 May 28, 2008 AIG posts $1 billion of additional collateral. AIG posted $1.0 billion of additional collateral on 3/17/08 which brought the total amount to $3.0 billion. Side letter executed Side letter executed Collateral posted by AIGFP totals $4.9 billion of collateral. Side letter executed to increase credit support posting to $4.912 billion. Goldman’s CDS protection on AIG now $3.2 billion. TAB 38 TAB 27 TAB 27 TAB 27 Goldman and AIG executed side letter to increase AIG’s posting to $4.737 billion. The parties reserve all rights to dispute the collateral calls. Goldman’s CDS protection on AIG now $2.8 billion. Side letter signed by AIGFP to increase collateral posting to $4.785 billion. The parties reserve all rights to dispute the collateral calls. Goldman’s CDS protection on AIG now $3.0 billion. Page 12 June 18, 2008 June 26, 2008 Collateral posted by AIGFP totals $5.4 billion. AIGFP and Goldman agree to use third party prices to calculate collateral amount; AIGFP increases amount posted by $484.6 million AIGFP and GSI agreed to a calculation methodology that references third party prices to partially bridge the difference between the parties' calculated exposures. This will result in an increase in the amount to be posted by AIGFP by approximately $484.6 million. Side letter sent to GSI for execution; comments expected on Monday. June 30. Goldman CDS protection on AIG declines to $2.6 billion. Side letter executed to increase collateral posting to $5,427.9 million, with the increase of approximately $516 million associated with five ABACUS CDS transactions. All rights were reserved to dispute the related collateral calls. TAB 27 TAB 27 June 30, 2008 July 2, 2008 Status of Collateral Calls and Postings AIGFP increases amount posted to $5.912 billion A schedule produced by AIG listed the following collateral calls and postings as of 6/30/08. Side letter executed to increase credit support posting to $5.912 billion. All rights were reserved to dispute the related collateral calls. Collateral Calls on CDS Written by AIGFP on Multi-Sector CDOs $Millions 6/30/2008 Select Counterparty Call Posted Banco Santander Bank of America $165 $161 Bank of Montreal $295 $298 BGI $6 $6 Barclays $608 $450 Calyon $425 $425 CIBC $273 $273 Coral (DZ Bank) $287 $287 Deutshe $51 $2 Goldman Sachs Cap M $64 $38 Goldman Sachs Int'l $7,493 $5,913 HSBC $95 $95 Merrill Lynch Int'l $1,875 $1,875 Rabobank $71 $46 RFC Royal Bank of Scotland $499 $435 Societe Generale $1,937 $1,937 Static Res UBS $1,565 $931 Wachovia $71 $69 Totals $15,780 $13,241 Goldman represents 48% of collateral called while it represented about $21 billion or 27% of the $78 billion SSCDS book as of 12/31/07. TAB 31 Page 13 TAB 27 July 18, 2008 AIGFP agrees to increase amount posted to $6.207 billion. Side letter executed to increase credit support posting to $6.207 billion, with an increase of approximately $294.9 million agreed to with respect to the Orkney transaction. All rights reserved to dispute the related collateral calls. TAB 27 July 31, 2008 August 15, 2008 Status of Collateral Calls and Postings A schedule produced by AIG listed the following collateral calls and postings as of 7/31/08. Collateral Calls on CDS Written by on Multi-Sector CDOs $Millions 7/31/2008 Select Counterparty Call Banco Santander $125 Bank of America $183 Bank of Montreal $405 BGI $6 Barclays $997 Calyon $1,261 CIBC $304 Coral (DZ Bank) $306 Deutshe $388 Goldman Sachs Cap M $94 Goldman Sachs Int'l $8,254 HSBC $183 Merrill Lynch Int'l $2,234 Rabobank $319 RFC Royal Bank of Scotland $435 Societe Generale $2,271 Static Res UBS $1,485 Wachovia $71 Totals $19,321 AIGFP Posted $263 $244 $6 $817 $734 $224 $306 $450 -$7 $6,217 $21 $2,127 $184 August 20, 2008 AIGFP agrees to increase amount posted to $6.447 billion. AIGFP and GSI agreed to increase credit support posting to approximately $6.447 billion, with an increase of approximately $239.7 million agreed to with respect to five ABACUS transactions. Goldman’s CDS protection on AIG now $3 billion. AIG agreed to increase amount posted to $6.445 billion. Side letter executed to increase credit support posting to $6.445 billion, with an increase of approximately $237.6 million. TAB 27 TAB 27 $242 $1,977 $510 $61 $14,376 Goldman represents 43% of collateral called while it represented about $21 billion or 27% of the $78 billion SSCDS book as of 12/31/07. TAB 31 Page 14 August 28, 2008 AIGFP agrees to increase amount posted to $6.8 billion. Side letter executed to increase credit support posting to $6.807 billion. August 31, 2008 Status of Collateral Calls and Postings Status of Collateral Calls and Postings A schedule produced by AIG listed the following collateral calls and postings as of 8/31/08. A schedule produced by AIG listed the following collateral calls and postings as of 9/12/08. Collateral Calls on CDS Written by AIGFP on Multi-Sector CDOs $Millions 8/31/2008 Select Counterparty Call Posted Banco Santander $125 Bank of America $218 $289 Bank of Montreal $400 $236 BGI $6 $6 Barclays $997 $1,013 Calyon $1,231 $1,144 CIBC $357 $273 Coral (DZ Bank) $300 $300 Deutshe $668 $70 Goldman Sachs Cap M $94 Goldman Sachs Int'l $8,675 $6,818 HSBC $173 $101 Merrill Lynch Int'l $2,206 $2,133 Rabobank $301 $184 RFC Royal Bank of Scotland $435 $419 Societe Generale $4,271 $3,981 Static Res UBS $1,707 $508 Wachovia $77 $70 Totals $22,241 $17,545 Goldman represents 39% of collateral called while it represented about $21 billion or 27% of the $78 billion SSCDS book as of 12/31/07. TAB 27 September 12, 2008 TAB 31 Collateral Calls on CDS Written by AIGFP on Multi-Sector CDOs $Millions 9/12/2008 Select Counterparty Call Posted Banco Santander $137 Bank of America $222 $288 Bank of Montreal $455 $280 BGI $30 $9 Barclays $1,308 $1,344 Calyon $1,231 $1,139 CIBC $361 $267 Coral (DZ Bank) $290 $290 Deutshe $936 -$12 Fort Dearborne Goldman Sachs Cap M $94 Goldman Sachs Int'l $8,979 $7,596 HSBC $173 $98 Merrill Lynch Int'l $2,278 $2,133 Rabobank $301 $184 RFC Royal Bank of Scotland $435 $485 Societe Generale $4,280 $4,008 Static Res UBS $1,831 $756 Wachovia $100 $57 Totals $23,441 $18,922 Goldman represents 39% of collateral called while it represents about $21 billion or 27% of the $78 billion SSCDS book as of 12/31/07. Goldman CDS protection on AIG declines to $2.7 billion. TAB 31 Page 15 September 15, 2008 AIG Downgrade and Status of Collateral Calls and Postings AIG is downgraded and collateral calls increase from $23.4 billion on 9/12/08 to $32.0 billion on 9/15/08. A schedule produced by AIG listed the following collateral calls and postings as of 9/15/08. Goldman’s demand increased from $9 billion on 9/12/08 to $10.1 billion on 9/15/08. Collateral Calls on CDS Written by AIGFP on Multi-Sector CDOs $Millions 9/15/2008 Select Counterparty Call Posted Banco Santander $258 Bank of America $224 $287 Bank of Montreal $455 $291 BGI $30 $9 Barclays $1,308 $1,633 Calyon $1,231 $1,139 CIBC $361 $267 Coral (DZ Bank) $548 $290 Deutshe $1,684 -$12 Fort Dearborne Goldman Sachs Cap M $94 Goldman Sachs Int'l $10,072 $7,596 HSBC $273 $98 Merrill Lynch Int'l $2,658 $2,133 Rabobank $421 $184 RFC Royal Bank of Scotland $538 $526 Societe Generale $9,833 $4,320 Static Res UBS $1,832 $755 Wachovia $193 $57 Totals $32,013 $19,573 TAB 31 September 16, 2008 FRBNY announces $85 billion loan to AIG. AIG posts another $3 billion of collateral. A schedule produced by AIG listed the following collateral calls and postings as of 9/16/08. None of the additional $3 billion went to Goldman. TAB 31 Collateral Calls on CDS Written by AIGFP on Multi-Sector CDOs $Millions 9/16/2008 Select Counterparty Call Posted Banco Santander $258 Bank of America $222 $342 Bank of Montreal $455 $320 BGI $30 $9 Barclays $1,417 $1,660 Calyon $1,231 $1,139 CIBC $382 $300 Coral (DZ Bank) $1,033 $290 Deutshe $1,684 $1,341 Fort Dearborne $167 Goldman Sachs Cap M $94 Goldman Sachs Int'l $10,065 $7,596 HSBC $273 $98 Merrill Lynch Int'l $3,170 $2,134 Rabobank $775 $184 RFC $242 Royal Bank of Scotland $538 $543 Societe Generale $9,818 $5,582 Static Res UBS $1,832 $831 Wachovia $193 $76 Totals $33,879 $22,445 4837-6169-9846, v. 1 September 18, 2008 November 6, 2008 November 24, 2008 AIGFP agrees to increase amount posted to Goldman $8.8 billion. Amount of collateral posted to Goldman increases to $10.7 billion. Maiden Lane III is created Side letter executed to increase credit support posting to $8.801 billion, with an increase of approximately $1,205 billion. Goldman demanding $1.8 billion in addition to $10.7 billion of collateral posted. Total CDS protection on AIG is $2.3 billion. TAB 27 Maiden Lane III pays Goldman $5.6 billion to terminate most of the SSCDS contracts between AIGFP and Goldman. Tab 39, documents provided by Goldman, show funds paid to GS by AIG and MLIII, and funds paid to GS counterparties. Twelve SSCDS are not part of MLIII and Goldman has $3.5 billion of collateral on these SSCDS. TAB 39 Page 16
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