Goldman Sachs last week bought $6.2 billion of mortgage bonds from the AIG rescue. It held onto much of that to distribute later to clients at higher prices, regulatory data on trading volumes show.

"That's a pretty strong message that Goldman is sending about not being in a hunkered down mode," said Steven Delaney, an analyst at San Francisco-based JMP Securities LLC who covers real estate investment trusts that invest in mortgages.

The offering followed a Jan. 19 sale by the central bank to Credit Suisse Group AG, which said it immediately resold a "significant" portion of $7 billion of bonds. AIG bought some of the securities from the Zurich-based bank, said people with knowledge of the transactions, who declined to be identified as the buying is private.

AIG's holdings of residential mortgage-backed securities surged 64 percent to $32.6 billion in the first nine months of 2011, according to regulatory filings. Chief Executive Officer Robert Benmosche has increased the holdings as he seeks to boost annual pre-tax investment income by as much as $700 million.

The insurer has participated in the Fed auctions and found other sources of the securities, such as banking institutions looking to reduce risk-weighted assets, Benmosche said today at a conference in New York sponsored by Bank of America Corp. The Fed last year rejected AIG's bid for the entire pool, called Maiden Lane II, before beginning to auction off the assets.

"We got some really good high quality mortgages, higher quality, I should say, than Maiden Lane II," Benmosche said. "A lot of people think the lion's share of Maiden Lane II is still owned by AIG after the auctions. That is not the case."

Mark Herr, a spokesman for New York-based AIG, declined to comment on this year's purchases.

Ellington Buys

Ellington Financial LLC, which is run by hedge-fund manager Michael Vranos' Ellington Financial Management LLC, said it bought bonds sold in each of the two Fed auctions.

Trading in non-agency mortgage bonds averaged $15.6 billion per week in the first six periods of this year, compared with $6.6 billion in the final 20 weeks of 2011, according to data reported to regulators and compiled by Empirasign Strategies LLC, a New York-based provider of information on securitization trading.