Madoff: All SEC Did Before 2006 a 'Waste of Time'

He calls current SEC Chairwoman Mary Schapiro "a dear friend," adding that she "probably thinks, 'I wish I never knew this guy.'" Prior to her appointment to head the SEC this year, Schapiro headed the Financial Industry Regulatory Authority (FINRA), which she had joined in 1996 when it was still known as NASD. The self-regulatory organization oversaw parts of Madoff's business.

A FINRA spokesman declined to comment.

The Inspector General found no improper influence in the SEC's handling of the Madoff case, and in a statement to CNBC, Kotz says he found no evidence to corroborate a close relationship between Madoff and Schapiro. A report last month by FINRA also reported no evidence of improper influence, focusing instead on jurisdictional issues.

CNBC.com Bernie Madoff

Madoff also claims he knew Arthur Levitt, who served as SEC chairman in the Clinton administration, "very well," an assertion that Levitt disputes in his interview with Kotz. Levitt says he met Madoff "on an infrequent basis" as SEC chairman, perhaps "once a year." Levitt also denies the SEC would "go easy on anybody," especially high-level industry figures. On the contrary, he says investigators "salivated" at the prospect.

Still, investigators express concern about Madoff's stature. In a 2006 e-mail, compliance examiner Peter Lamore worries about inquiries getting back to Madoff. "He is very well connected, especially to the NASD," Lamore writes.

• Read: Peter Lamore's Email

The documents shed little light on who else might have known about Madoff's scam. Madoff insists the trading business overseen by his sons was legitimate, and says he was not concerned about his Chief Financial Officer, Frank DiPascali, giving testimony in a 2006 investigation, because, "he didn't know anything was wrong either." DiPascali has since pleaded guilty to multiple criminal charges and agreed to cooperate with authorities, but a judge has refused to release him on bail, expressing skepticism about what information DiPascali can offer.

Madoff says executives at feeder fund Fairfield Greenwich "aren't rocket scientists," although other documents suggest the fund company allowed Madoff to manage its investors money with few questions asked. The firm, which lost some $7 billion in the scam, has denied wrongdoing and said it, too, was a victim.

• List of Exhibits From SEC in Madoff's Ponzi Scheme

When the Madoff scheme finally collapsed in December, 2008, it devastated investors, including pension funds and charities. It also dashed investor confidence in the midst of a financial crisis. In the interview, Madoff acknowledges his role. "I got myself in a terrible situation, it's a nightmare," he says. "The thing I feel worst about besides the people losing money is that I set the industry back."

SEC staffers who missed the scam appear equally crushed. In an e-mail December 14, three days after the scam became public, Peter Lamore, the compliance examiner, notes, "It's been a tough couple of days for me. Although I gave the exam and follow-up investigation 110 percent, we just didn't uncover it. I think we were very close—probably only 1 or 2 phone calls away from blowing it open—but we didn't (woulda, coulda, shoulda—my best portfolio)."

• Read: Inspector General's Report

Madoff says Lamore and his team spent too much time going over e-mails to catch the scam, but Lamore has a different theory.

"He was an excellent liar," Lamore writes. "Very convincing...very, very aggravating."