Q: How Involved Was Gary Gorton With The AIGFP MultiSector CDS Business?

  • Alan Frost - FCIC Interview (mp3) - Involved
  • Andrew Forster - FCIC Interview (mp3) - Involved
  • Gary Gorton - FCIC Interview (mp3) - Not Involved 2002-2006
  • Gene Parks - FCIC Interview (mp3) - Not Involved 
  • Joe Cassano - FCIC Interview (mp3) - Involved
  • AIGFP Memos- 2005 - from Frost and Gorton
  • 2005 1207 - AIG Memo from William Shirley to Kevin McGinn regarding Credit Risk Committee and  Broderick CDO - 11p
    • CREDIT RISK COMMITTEE STANDARD APPROVAL FORM
    • EXECUTIVE SUMMARY - Prepared by Alan Frost and Gary Gorton
      • The obligation to perform under this transaction will be conditioned upon the occurrence ofa Credit Event that will be limited solely to a Failure to Pay in respect of the Class A-1 Notes.  p4
  • The first line of approval for new deals in the multi-sector portfolio at AIGFP came from those individuals who originated the deals, particularly Alan Frost and Gary Gorton, in Wilton, Connecticut.
  • That team would negotiate the terms of the deals and would also obtain information from the counterparties concerning the reference obligations underlying each CDO upon which AIGFP was to write protection.
  • That information was then analyzed using AIGFP’s proprietary in-house model which had been created by Gary Gorton, a former professor at the Wharton School of Business at the University of Pennsylvania (the “Gorton Model”). 

2010 0710 - TESTIMONY OF ANDREW FORSTER BEFORE THE FINANCIAL CRISIS INQUIRY COMMISSION (FCIC) - 4p

  • (p33)
    • MR. GORTON: No. I mean, I basically, you know, from roughly 2002 or 2003 to the end, I didn’t really work on this anymore.  
  • (p53) 
    • MR. GORTON:  And there –- there are descriptions of, you know, what the model does, basically. And I didn’t write all of them. Sometimes there was somebody I was working with who wrote part of  it.
      MS. HEYL: So as far the CDO modeling, when would you have written a memo about that?
      MR. GORTON: I don’t think -- I’m not sure I ever wrote a memo about CDO modeling.  
  • (p58-59)
    • MS. NOONAN: So, let’s step back a little bit. If you  developed the model for CDOs around 2002, 2003, ....What was your involvement after building the model when the deals came in?
    • MR. GORTON: I typically wasn’t really involved. 
      • And there would be all this discussion about it, and there’d be this intense focus  on transactions that looked like there’d been a little deterioration, and, so I would go to that. But, you know, by this time, you know, Adam Frost -- Al Frost and Adam Budnick -- Adam Budnick had been hired at some point -- and they worked on this.  They -- you know, I didn’t really -- they didn’t need me.
      • So I didn’t have any input on it. 

2010 0511- FCIC- Gary Gorton Interview - 173p