FILED: NEW YORK COUNTY CLERK 03/18/2013

NYSCEF DOC. NO. 128

INDEX NO. 650027/2011 RECEIVED NYSCEF: 03/18/2013

EXHIBIT O

Paolo Pellegrini New York, NY

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UNITED STATES DISTRICT COURT SOUTHERN DISTRICT OF NEW YORK ---------------------------------------x SECURITIES AND EXCHANGE COMMISSION, Plaintiff, vs. FABRICE TOURRE, Defendant. 10-CV-3229(BSJ)(MHD) ---------------------------------------x

VIDEOTAPED DEPOSITION OF PAOLO PELLEGRINI Monday, March 14, 2011 New York, New York

REPORTED BY: Christina Diaz, RPR, CSR, CLR

Alderson Reporting Company 1-800-FOR-DEPO

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March 14, 2011 9:44 a.m.

Videotaped deposition of PAOLO PELLEGRINI, at the offices of The Securities and Exchange Commission, 3 World Financial Center, New York, New York, before Christina Diaz, a Certified and Registered Professional Reporter and Notary Public within and for the State of New York.

Alderson Reporting Company 1-800-FOR-DEPO

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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 BY: BY:

A P P E A R A N C E S

SECURITIES AND EXCHANGE COMMISSION Attorneys for Plaintiff 100 F Street, N.E. Washington, DC 20549 LORIN L. REISNER, ESQ. JEFFREY T. TAO, ESQ. RICHARD E. SIMPSON, ESQ.

ALLEN & OVERY, LLP Attorneys for Defendant Fabrice Tourre 1221 Avenue of the Americas New York, NY 10020 PAMELA ROGERS CHEPIGA, ESQ. ANDREW RHYS DAVIES, ESQ. BRANDON D. O'NEIL, ESQ.

Alderson Reporting Company 1-800-FOR-DEPO

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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 BY:

A P P E A R A N C E S (Continued)

WILLKIE FARR & GALLAGHER, LLP Attorneys for Paolo Pellegrini 787 Seventh Avenue New York, NY 10019-6099 MEI LIN KWAN-GETT, ESQ. RITA D. MITCHELL, ESQ.

ALSO PRESENT: KEVIN MARTH, Videographer STUART MERZER, Paulson & Company

Alderson Reporting Company 1-800-FOR-DEPO

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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 A. A. A. Q.

P. Pellegrini To keep the process going. Did you review the comments of your

counsel on the draft engagement letters before you sent them on to Goldman? A. Q. No, I did not. Do you know why Paulson was asked to

comment on an engagement letter between Goldman Sachs and ACA? A. Q. As a courtesy perhaps. As of February 9, 2007, was it

understood as between Goldman and Paulson and ACA that Paulson's involvement in the transaction would be kept confidential? MS. ROGERS CHEPIGA: Objection.

Paulson's involvement in transactions

where it purchased protection was always meant to be confidential. BY MR. REISNER: Q. So is the answer to my question yes? MS. ROGERS CHEPIGA: Objection.

So the answer to your question is that

it was implicit in the relationship between Paulson and Goldman Sachs that Paulson would not disclose that Goldman Sachs was involved in transactions

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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 A. A.

P. Pellegrini involving Paulson and vice versa. BY MR. REISNER: Q. And so directing your attention to page

10 of the draft ACA engagement letter and the handwritten comment on that page that reads, "Parties should keep PCO involvement confidential," that was consistent with your understanding of the agreement between Goldman, ACA and Paulson as of that time? MS. ROGERS CHEPIGA: Objection.

I would say that I wasn't familiar with

this comment. But in addition to that, I would say that there was no formal requirement. There was an

informal undertaking from the parties that each other's confidentiality would not be violated. BY MR. REISNER: Q. Did Paulson ultimately purchase

protection on tranches of the Abacus 2007-AC1 CDO? MS. ROGERS CHEPIGA: I believe it did. Objection.

BY MR. REISNER: Q. Which tranches of the CDO did Paulson

purchase protection on?

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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 time. Q.

P. Pellegrini Somewhere between 20 million and $22

million, correct? A. Something like that. MR. REISNER: Nothing further at this

Thank you, Mr. Pellegrini. THE WITNESS: Thank you. So we are going to

MS. ROGERS CHEPIGA:

resume tomorrow morning at 9:30 here? MR. REISNER: That's fine. We are resuming

MS. ROGERS CHEPIGA: tomorrow morning here. MR. REISNER:

We are off the record. We are going off the

THE VIDEOGRAPHER: record at 4:59 p.m.

(Proceedings concluded at 4:59 p.m.)

Alderson Reporting Company 1-800-FOR-DEPO

1 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 REPORTED BY: Christina Diaz, RPR, CSR, CLR CONTINUED VIDEOTAPED DEPOSITION OF PAOLO PELLEGRINI Tuesday, March 15, 2011 New York, New York vs. FABRICE TOURRE, Defendant. 10-CV-3229(BSJ)(MHD) ---------------------------------------x UNCERTIFIED ROUGH DRAFT UNITED STATES DISTRICT COURT SOUTHERN DISTRICT OF NEW YORK ---------------------------------------x SECURITIES AND EXCHANGE COMMISSION, Plaintiff,

2 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 UNCERTIFIED ROUGH DRAFT THE VIDEOGRAPHER: Good morning. This is Kevin Marth, the legal videographer representing Alderson Reporting. This is a continuation of the video deposition of Mr. Paolo Pellegrini in the matter of The Securities and Exchange Commission versus Fabrice Tourre. The date is March 15, 2011 and we are going back on the record at 9:40 a.m. EXAMINATION BY MS. ROGERS CHEPIGA: Q. This is a continuation and you are still under oath and it's going to be my opportunity ask you some questions this morning, Mr. Pellegrini. Thank you for coming back today. By way of background, did you attend business school? A. Yes, I did. Q. Where did you attend business school? A. Harvard. Q. When did you graduate from Harvard Business School? A. 1985. Q. Did you have any specialization at

53 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 Q. UNCERTIFIED ROUGH DRAFT A. Yes. This is an e-mail from you dated February 5, 2007 to Laura Schwartz, copied to Fabrice Tourre, David Gerst and Sihan Shu? A. Q. Right. If you could take a moment to read the

text of the e-mail. A. Yes. I have read it. Q. In this e-mail you tell Laura that, "Some of the proposals she had made were either too seasoned or have some characteristics that make them too risky from our perspective"? A. A. Q. Right. "Too seasoned" means that they were And that they were more likely to Q. What does "too seasoned" mean? issued too early. perform better? A. Yes. They were issued at a time when home price appreciation hadn't gone as far and, therefore, they were less likely to have large losses. Q. So if Ms. Schwartz thought you were a long equity investor, you would want seasoned RMBS,