Ratings

	Preliminary rating*
Nightingale Finance Ltd. counterparty credit rating	AAA/A-1+
European CP program	A-1+
European MTN program	AAA
U.S. CP program	A-1+
U.S. MTN program	AAA
Capital note program	BBB
*The ratings are preliminary as of March 15, 2007 and subject to change at any time. Final ratings are expected to be assigned on the closing date subject to a satisfactory review of the transaction documents and legal opinions. Standard & Poor's ratings on the European and U.S. CP and MTN note programs address timely payment of interest and principal. Standard & Poor's ratings on the capital note program address ultimate payment of principal and base coupon.

Transaction Profile
Expected closing date	March 2007
Arranger	Banque AIG
Issuer (Jersey)	Nightingale Finance Ltd.
Co-issuer (Delaware)	Nightingale Finance LLC
Portfolio	Assets of different asset classes, ratings, tenors, and currencies in accordance with predetermined guidelines.
Investment manager	AIG-FP Capital Management Ltd.
Custodian	Bank of New York, NY
Security trustee	Bank of New York, NY
Administrator	QSR Management Ltd.
Derivative counterparties	Entities rated at least 'BBB-'

Preliminary ratings have been assigned to the senior European and U.S. CP and MTN programs of Nightingale Finance Ltd. (Nightingale) and its wholly owned subsidiary Nightingale Finance LLC (Nightingale USA), as well as to Nightingale's capital note program.

Nightingale was incorporated on Nov. 1, 2006 in Jersey as an SIV (structured investment vehicle). It will issue CP and MTNs directly in the European markets, as well as capital notes. Nightingale USA, its Delaware subsidiary, was organized on Nov. 3, 2006 for the sole purpose of co-issuing and selling CP and MTNs in the U.S. market with Nightingale, both being jointly and severally liable under those obligations. The subsidiary will not receive the proceeds of the U.S. CP and U.S. MTN issuance, and will not have any assets other than its capital contribution from Nightingale. Instead, its parent, Nightingale, will use the proceeds of the issuance of the notes to purchase a portfolio of securities following predetermined portfolio guidelines (see "Portfolio Composition"). Both Nightingale and Nightingale USA are expected to comply with Standard & Poor's bankruptcy-remoteness criteria.

Nightingale will be the first SIV sponsored by Banque AIG. Certain aspects of treasury execution and operational and technological support will be provided by QSR Management Ltd., a subsidiary of Bank of New York, NY and a specialist provider of such services.

Nightingale will use the proceeds of the issuance of the CP and MTNs (the senior notes) and the capital notes to purchase a portfolio of assets (see chart). The portfolio must be managed within strict guidelines agreed with Standard & Poor's and outlined in the SIV's operating procedures.

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Standard & Poor's preliminary ratings are based on those guidelines, and include:

• Appropriate portfolio credit quality;
• Appropriate portfolio diversification limits;
• Asset and liability maturity limitations;
• Adequate market risk limitations;
• Adequate leverage and capital adequacy requirements;
• Adequate liquidity requirements; and
• Triggers and guidelines for different modes of operations.

Each of these guidelines is outlined in more detail in this report.

In addition, Standard & Poor's preliminary ratings are based on an operational review of AIG-FP Capital Management Ltd., the investment manager, and a detailed review of the SIV's structure and supporting documentation.

To hedge its exposure to interest rate and foreign exchange rate risk, Nightingale will enter into derivative transactions with various counterparties, which must be rated at least 'BBB-'. Further guidelines in relation to derivative contracts must be complied with (see "Portfolio Composition").

To meet its liquidity requirements, Nightingale will, among other things, enter into liquidity arrangements with various counterparties most of which are rated 'A-1+' by Standard & Poor's. To a limited extent, liquidity may be provided by counterparties rated 'A-1' (see "Liquidity").

Nightingale has contracted Bank of New York to act as security trustee. If an enforcement event occurs, the security trustee will realize its charge over the asset portfolio, and manage and liquidate the portfolio to repay the SIV's secured liabilities in accordance with predetermined guidelines (see "Enforcement").

It is expected that at closing Nightingale will have purchased an initial portfolio of approximately $3 billion of assets of various types, currencies, and tenors. It is expected that approximately 82% of these assets will consist of 'AAA' rated ABS.

Nightingale will acquire assets with a view to generally holding them until maturity. All securities must be rated at least 'BBB-' at the time of purchase.

Subject to further satisfactory review by Standard & Poor's, and confirmation that the ratings on the senior note programs and the capital note program will not be adversely affected, Nightingale may also enter into repurchase and securities lending agreements, transact in CDSs, and issue credit-linked notes.

Diversification requirements that must be observed in relation to the portfolio are:

• Credit quality limits;
• Sector and asset class limits;
• Currency limitations;
• Individual obligor limits;
• Geographic concentration limits; and
• Maturity constraints.

Derivative counterparties are also subject to these requirements with the exemption of the sector and asset class limits.

The table below shows the portfolio's minimum requirements for credit quality.

Minimum Requirement For Credit Quality
Rating	Minimum portfolio percentage
'AAA'	40
At least 'AA' to 'AAA'	50
At least 'A' to 'AAA'	80
At least 'BBB' to 'AAA'	95
At least 'BB-' to 'AAA'	100

A breach of these limits will increase the capital requirement for the purpose of determining capital adequacy.

Nightingale's risk management policy is to minimize exposure to market risk by using swaps, options, and forward-rate agreements across various interest rate and currency bases, by converting each asset and liability to floating interest rates. The resultant market-risk neutrality is tested for both interest rate and currency exposures.

The following interest- and currency-rate risk tests are conducted and monitored daily:

• The effect on the portfolio value of a 1.0 bp up-and-down parallel shift in the yield curve may not exceed 0.2 bps of the adjusted market value of capital notes.
• The effect on the portfolio value of 1.0 bp up-and-down shift to individual tenor points on the yield curve may not exceed 0.2 bps of the adjusted market value of capital notes.
• A 100 bps change in the value of all currencies in the portfolio to each of the currencies, in which capital notes are denominated, without regard to whether the changes are positive or negative, may not cause the change in portfolio value to exceed 2 bps of the adjusted market value of capital.

Failure to cure these tests immediately will trigger a restricted operations operating mode. Failure to cure these tests within five business days will put the vehicle into the restricted funding operating mode.

To capture the effects of convexity, a 100 bps parallel up-and-down shift in the yield curve and a 100 bps up-and-down shift to individual tenor points on the yield curve will be carried out. Both shifts cannot cause the change in portfolio value to exceed 20 bps of the adjusted market value of capital notes.

To capture the effects of "optionality," the above currency test is repeated for a 10% change in the value of all currencies against each currency in which capital notes are denominated. The resulting change in portfolio value is compared with a limit of 20 bps of the adjusted market value of capital notes.

When considering the rating on the senior notes, Standard & Poor's main concern was the potential impact on the senior notes of Nightingale entering restricted funding at any stage from the first day of the transaction. Standard & Poor's analyzed the ability of Nightingale to sell assets and repay its senior liabilities as they come due while maintaining a AAA/A-1+ rating until maturity. Each week, the adequacy of Nightingale's capital to meet all of its senior obligations in full on a timely basis will be calculated by running a proprietary risk model and the results will be reported weekly to Standard & Poor's.

The capital model is a cash flow-based simulation model. Moving forward in monthly time steps, the simulation models an orderly liquidation of the portfolio to repay liabilities as they fall due. The model takes into account:

• Credit rating migration and default;
• Credit spread migration and asset pricing (needed to capture the price risk associated with an early liquidation of the assets);
• Correlation for rating migration and asset spreads;
• Recovery rates following an event of default; and
• Market risk variables (interest and foreign exchange rates).

The model requires input data of:

• Portfolio details (trade details for all assets, liabilities, and hedges to allow the generation of cash flows and the modeling of exposure to the underlying obligors);
• Market risk factors (current market data for each relevant interest-rate curve, volatilities, and foreign exchange rates);
• Asset prices (asset prices will be obtained weekly using predominantly dealer quotes); and
• Cash account balances in each of the relevant currencies.

By running multiple runs, the simulation is able to analyze a liquidation of the investment portfolio under a range of market risk, credit spread, and rating migration scenarios. The results of each of the runs are aggregated to produce a distribution of outcomes to allow assessment of capital adequacy under stressed conditions. The results are then compared to the loss frequency limits agreed with Standard & Poor's.

The loss frequency limits agreed are the restricted operations capital model test and the restricted funding capital model test. The former represents a cushion above the restricted funding capital model test. Breach of the restricted operations capital model test acts as an early warning to the SIV's manager and will trigger the restricted operations operating mode.

Nightingale's various modes of operation, other than normal operations, are mainly triggered by capital- or ratings-related events. The purpose of these modes is to effect levels of portfolio discipline until either normal operations have been restored or the final senior creditor has been repaid.

The various modes of operation are restricted operations, restricted funding, and enforcement.

Priority of payments in enforcement are:

• First, payment of amounts due to the security trustee;
• Second, pari passu in payment of amounts due to senior noteholders, liquidity providers, and derivative counterparties;
• Third, pari passu in payment of amounts due to mezzanine noteholders, if any;
• Fourth, pari passu in payment of all other secured liabilities (other than capital notes and management incentive fees);
• Fifth, payment of capital notes in accordance with predetermined guidelines (other than additional margin); and
• Sixth, pari passu in payment of management incentive fees and residual distributions to capital notes.

If there is a conflict between the interests of the holders of senior obligations and the interests of the holders of junior obligations, the trustee will act first in the interests of the holders of senior obligations.

In enforcement, the trustee can redeem all senior notes in whole prior to maturity at their principal amount outstanding (or the amount as specified in the pricing supplement), plus accrued interest to the date of redemption provided that the SIV is not insolvent.

Nightingale will fund the purchase of the assets by issuing senior liabilities that generally have a shorter time to maturity than the assets. This mismatch is maintained to optimize funding costs. Any mismatch could create a refinancing problem if the SIV is unable to roll over existing liabilities. Standard & Poor's must be satisfied that there is sufficient liquidity available when liabilities are coming due. This risk is managed by limiting the peak amount of funding required in any one-week and three-week rolling-day period over the next year. The cash outflows are calculated daily, on a forward rolling, cumulative basis for each one-week and three-week test period (the "liquidity tests").

It is expected that Nightingale will have liquidity resources available to it in several forms, including: multicurrency committed bank lines; call deposits and putable assets with 'A-1+' and (subject to certain limitations) 'A-1' rated financial institutions; and specific liquidity-eligible assets. Liquidity-eligible assets may be highly rated government, supranational, financial institution, corporate, or ABS assets. These assets are discounted so that their liquidity contribution conservatively reflects their potential value, should they have to be sold at short notice to meet a cash requirement. Each day, Nightingale must test its liquidity resources against its maximum cumulative outflow limits. Any breach may change the operating state of Nightingale.

Standard & Poor's rated the probability of loss to the capital notes by considering the effects of the restricted funding and enforcement triggers (see "Operating States").

If Nightingale enters into restricted funding, the manager will liquidate assets to repay liabilities as they fall due. Payments of the base coupon and the principal to capital noteholders will defer in restricted funding, while any additional coupon amounts are not cumulative. Accordingly, if the SIV fails to earn sufficient profit amounts during any period, the unpaid additional coupon will not be deferred and may not be paid in subsequent interest periods.

Once the SIV enters into enforcement, the security trustee—or an appointed person acting on its behalf—will wind down the portfolio and repay first all senior liabilities as they come due and second the subordinated liabilities (see "Enforcement"). When the proceeds of asset sales are lower than the respective asset book values, losses are crystallized. As the capital notes are subordinated to the senior notes, it is very likely that in restricted funding or enforcement the capital notes will suffer a loss.

Standard & Poor's is comfortable that Nightingale is capable of generating profits and a capital cushion that results in a very low probability of loss outside of restricted funding and enforcement. Therefore, the probability of loss for the capital notes, and consequently the rating on these notes, can be measured as the probability of entering into restricted funding or enforcement.

Standard & Poor's has requested that AIG-FP Capital Management, as investment manager, must test different portfolios to determine the level of spread widening (adjusted for credit deterioration consistent with a 'BBB' scenario) that the SIV can withstand without triggering restricted funding or enforcement. This is tested through a simulation model.

Standard & Poor's expects AIG-FP Capital Management to follow the portfolio and capital adequacy guidelines as outlined above and stated in the operating procedures.

The investment manager is part of a group of companies managed by AIG Financial Products Corp., which is a wholly owned subsidiary of American International Group Inc. The cash investment-grade portfolio of AIG Financial Products consists of more than $50 billion of credit securities and ABS, including investment-grade corporate public and private placements, bank senior and subordinated debt, ABS, bridge finance, and other structured investments. At the time of launch of Nightingale, AIG Financial Products will have successfully completed 12 private CDO transactions with a total notional of more than $16 billion.

Standard & Poor's has met the personnel involved in these activities and is satisfied that their capabilities are appropriate for the roles AIG-FP Capital Management performs in Nightingale's management.

Management of the treasury and day-to-day operations of Nightingale have been outsourced to QSR Management. QSR Management already provides similar services for four other SIVs and Standard & Poor's is confident that it will be able to meet its obligations to Nightingale as defined in Nightingale's operating manual.

It is expected that as of the closing date Nightingale will comply with Standard & Poor's bankruptcy-remoteness criteria, and will be restricted in its activities to those necessary to effect a structured transaction. These restrictions are necessary to reduce the SIV's risk of insolvency due to claims created by activities unrelated to the securitized assets and the issuance of the rated securities. Nightingale is also subject to certain requirements regarding debt limitation, separateness, and security interests over assets.

Ogier Corporate Services has been contracted to provide a range of administrative services to Nightingale.

When analyzing the operational risk of Nightingale, AIG-FP Capital Management and QSR Management will follow the documented procedures agreed with Standard & Poor's in relation to their provision of investment management, funding management, hedge management, and capital adequacy reporting. Standard & Poor's has closely examined these services and capabilities and will review them on an ongoing basis.

Reports will be provided weekly to Standard & Poor's to ensure that Nightingale adheres to its operating procedures and limit structure, its daily compliance with the various tests, its portfolio composition, and its status. PricewaterhouseCooperswill carry out an annual audit, the results of which will also be provided to Standard & Poor's.

• "Global Methodology For Rating Capital Notes In SIV Structures " (published on Feb. 11, 2005).
• "Structured Investment Vehicle Criteria: New Developments " (published on Sept. 4, 2003).
• "Structured Investment Vehicle Criteria " (published on March 13, 2002).

All criteria and related articles are available on RatingsDirect, the real-time Web-based source for Standard & Poor's credit ratings, research, and risk analysis, at www.ratingsdirect.com. The criteria can also be found on Standard & Poor's Web site at www.standardandpoors.com.