It’s hard to feel sorry for someone who once headed Rosneft, the Russian state-owned oil-and-gas Goliath, as Sergey Bogdanchikov did from 1998 to 2010.

But Bogdanchikov tells a tale that, if true, is a disturbing one—especially for anybody who might have assumed that entrusting money to the most storied name in Western banking was either wise or safe.