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Notes to Chapter 10 591

69. Data supplied by AIG. The CDO—RFC CDO III Ltd.—was 93% subprime and 7% RMBS Home
Equity, according to the AIG credit committee. A review by FCIC staff showed that the remaining 7%
designated as RMBS Home Equity included subprime collateral.
70. AIG, “Residential Mortgage Presentation (Financial Figures are as of June 30, 2007),” August 9,
2007, p. 28.
71. Park, interview.
72. Joseph Cassano, interview by FCIC, June 25, 2010.
73. Park, interview.
74. Dow Kim, interview by FCIC, September 9, 2010.
75. Stanley O’Neal, interview by FCIC, September 16, 2010.
76. Kim, interview.
77. FCIC staff estimates based on analysis of Moody’s CDO EMS database.
78. Complaint, Coöperatieve Centrale Raiffeisen=Boerenleenbank v. Merrill Lynch, No. 601832/09
(N.Y.S. June 12, 2009), paragraph 147.
79. Kim, interview.
80. FCIC analysis based on Moody’s CDO EMS database.
81. Presentation to Merrill Lynch and Co. Board of Directors, “Leveraged Finance and
Mortgage/CDO Review,” October 21, 2007, p. 35.
82. Chau, interview.
83. FCIC staff analysis of Moody’s CDO EMS database.
84. FCIC staff estimates based on Moody’s CDO EMS database. Data supplied by Merrill Lynch. Rele-
vant information not provided for Robeco High Grade CDO I.
85. FCIC staff analysis of Moody’s CDO EMS database.
86. Data supplied by Merrill Lynch.
87. FCIC staff analysis of Moody’s CDO EMS database. The total value of Baa tranches issued by
CDOs in the FCIC database was $684 million in 2003 and $3.9 billion in 2007; Aa tranches, $1.4 billion
in 2003 and $8.3 billion in 2007; A tranches, $522 million in 2003 and $4.3 billion in 2007.
88. FCIC staff telephone discussion with SEC staff, September 1, 2010.
89. FCIC staff analysis of Moody’s CDO EMS database.
90. Chau, interview; for number of the CDOs he managed, FCIC staff analysis of Moody’s Enhanced
CDO Monitoring Database.
91. Super Senior Credit Transactions Principal Collateral Provisions, December 7, 2007, produced by
AIG.
92. Presentation to the Merrill Lynch Board, “Leveraged Finance and Mortgage/CDO Review,” p. 23;
Jeff Kronthal, former head of Merrill Lynch’s Global Credit, Real Estate and Structured Products, inter-
view by FCIC, September 14, 2010.
93. Al Yoon, “Merrill’s Own Subprime Warnings Unheeded,” Reuters, October 30, 2007.
94. SEC, “Risk Management Reviews of Consolidated Supervised Entities,” internal memo to Erik Si-
rri and others, February 2, 2007, p. 3.
95. Ibid., p. 1.
96. Yoon, “Merrill’s Own Subprime Warnings Unheeded.”
97. Kim, interview.
98. Senate Permanent Subcommittee on Investigations, Fishtail, Bacchus, Sundance, and Slapshot:
Four Enron Transactions Funded and Facilitated by U.S. Financial Institutions, 107th Cong., 2nd sess., Jan-
uary 2, 2003, S-Prt 107–82, pp. 36, 37.
99. “Interagency Statement on Sound Practices” (Notice of final interagency statement), January 5,
2007 (see n. 4, above).
100. Office of the Comptroller of the Currency, Treasury; Office of Thrift Supervision, Treasury;
Board of Governors of the Federal Reserve System; Federal Deposit Insurance Corporation; and Securi-
ties and Exchange Commission, “Interagency Statement on Sound Practices Concerning Complex Struc-
tured Finance Activities” (Notice of interagency statement with request for public comments),May 13,
2004.
101. Ibid., pp. 7–8.