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578 Notes to Chapter 8

83. Gene Park, interview by FCIC, May 18, 2010.
84. Craig Broderick, testimony before the FCIC, Hearing on the Role of Derivatives in the Financial
Crisis, day 1, session 3: Goldman Sachs Group, Inc. and Derivatives, June 30, 2010, transcript, pp. 289–
90.
85. Moody’s, “CDOs with Short-Term Tranches”; AIG, “Information Pertaining to the Multi-sector
CDS Portfolio,” provided to the FCIC.
86. Park, interview.
87. AIG, CDS notional balances at year-end, 2000 through 2010 Q1.
88. Alan Frost, interview by FCIC, May 11, 2010.
89. AIG Financial Products Corp. Deferred Compensation Plan, March 18, 2005, p. 2.
90. Joseph Cassano, email to All Users, re: 2007 Special Compensation Plan, December 17, 2007.
91. Joseph Cassano compensation history, provided by AIG to the FCIC.
92. AIG, Form 8-K, filed May 1, 2005.
93. “Fact Sheet on AIGFP,” provided by Hank Greenberg, p. 4.
94. AIG, CDS notional balances at year-end.
95. Gene Park, email to Joseph Cassano, re: “CDO of ABS Approach Going Forward—Message to the
Dealer Community,” February 28, 2006.
96. Henry M. Paulson Jr., testimony before the FCIC, Hearing on the Shadow Banking System, day 2,
session 1: Perspective on the Shadow Banking System, May 6, 2010, transcript, p. 22.
97. Henry M. Paulson Jr., written testimony for the FCIC, Hearing on the Shadow Banking System,
day 2, session 1: Perspective on the Shadow Banking System, May 6, 2010, p. 2.
98. Goldman Sachs, 2005 and 2006 10-K (appendix 5a to Goldman’s March 8, 2010, letter to the
FCIC).
99. Appendix 5c to Goldman’s March 8, 2010, letter to the FCIC.
100. Goldman’s March 8, 2010, letter to the FCIC, p. 28 (subprime securities).
101. “Protection Bought by GS,” spreadsheet provided by Goldman Sachs to the FCIC. Specifically,
IKB purchased $30 million of Class A notes, $40 million of Class B notes, and $30 million of Class C
notes on June 9, 2004. TCW purchased $50 million of Class A notes in January 2005, and Wachovia pur-
chased $45 million of Class A notes in March 2005. See ibid., Exhibit 1.
102. FCIC staff calculations based on data provided by Goldman Sachs.
103. “Protection Bought by GS,” spreadsheet.
104. FCIC calculations based on data provided by Goldman Sachs.
105. FCIC staff analysis based on data provided by Goldman Sachs.
106. Sparks, interview.
107. Of course, in theory the net impact on the financial system is not greater, because there is a win-
ner for every loser in the derivatives market.
108. Sparks, interview.
109. From Goldman Sachs data provided to the FCIC in a handout titled “Amplification” and quoted
at the FCIC’s Hearing on the Role of Derivatives in the Financial Crisis, day 1, session 3: Goldman Sachs
Group, Inc. and Derivatives, June 30, 2010.
110. FCIC staff analysis based on data provided by Goldman Sachs.
111. Lloyd Blankfein, chairman of the board and chief executive officer, Goldman Sachs Group, inter-
view by FCIC, June 16, 2010; Sparks, interview.
112. Gary Cohn, testimony before the FCIC, Hearing on the Role of Derivatives in the Financial Cri-
sis, day 1, session 3: Goldman Sachs Group, Inc. and Derivatives, June 30, 2010, transcript, p. 351.
113. Parkinson, interview.
114. Michael Greenberger, before the FCIC, Hearing on the Role of Derivatives in the Financial Cri-
sis, day 1, session 1: Overview of Derivatives, June 30, 2010; oral testimony, transcript, p. 109; written tes-
timony, p. 16.
115. Moody’s Investors Service, “Summary of Key Provisions for Cash CDOs as of January 2000–
2010.”
116. Gary Witt, written testimony for the FCIC, Hearing on Credibility of Credit Ratings, the Invest-
ment Decisions Made Based on Those Ratings, and the Financial Crisis, day 1, session 1: The Ratings
Process, June 2, 2010, pp. 12, 15.