EXHIBIT A - The New York Timesgraphics8.nytimes.com/packages/pdf/business/0408ExA-O.pdf ·...

EXHIBIT A

212-267-6868 www.veritext.com 516-608-2400VERITEXT REPORTING COMPANY

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UNITED STATES DISTRICT COURTFOR THE SOUTHERN DISTRICT OF NEW YORKNo. 09-cv-006869(SAS)(DF)-----------------------------------------xBOARD OF TRUSTEES OF THE AFTRA RETIREMENTFUND, in its capacity as a fiduciary ofthe AFTRA Retirement Fund, individuallyand on behalf of all others similarlysituated, Plaintiff,

- against -

JPMORGAN CHASE BANK, N.A., Defendant.-----------------------------------------x

No. 09-cv-03020(SAS)(DF)-----------------------------------------xBOARD OF TRUSTEES OF THE IMPERIAL COUNTYEMPLOYEES' RETIREMENT SYSTEM, in itscapacity as a fiduciary of the ImperialCounty Employees' Retirement System,individually and on behalf of all otherssimilarly situated, Plaintiff,

- against -

JPMORGAN CHASE BANK, N.A., Defendant.-----------------------------------------x (Caption Continued)

July 23, 2010 9:36 a.m.

VIDEOTAPED DEPOSITION OF SANDRA O'CONNOR

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Page 18

1 O'CONNOR

2 JPMorgan would act as an agent 09:49:29AM

3 on behalf of its Securities Lending 09:49:32AM

4 clients; is that correct? 09:49:34AM

5 A. Correct. 09:49:35AM

6 Q. And it was the custodial bank 09:49:35AM

7 for the vast majority of its Securities 09:49:39AM

8 Lending clients; is that true? 09:49:41AM

9 A. That's true. 09:49:42AM

10 Q. During the 2007-2008 time 09:49:43AM

11 frame, were there any Securities Lending 09:49:45AM

12 clients that did not also utilize JPMorgan 09:49:47AM

13 as a custodial bank? 09:49:49AM

14 A. There were. 09:49:51AM

15 Q. In its role as agent, JPMorgan 09:49:53AM

16 would arrange for the loan of its 09:49:57AM

17 Securities Lending clients' securities to 09:50:00AM

18 other third-party borrowers; is that 09:50:02AM

19 correct? 09:50:04AM


21 Q. And the borrowers would post 09:50:05AM

22 some type of collateral in connection with 09:50:07AM

23 that loan; is that correct? 09:50:09AM


25 Q. If the collateral was cash, 09:50:12AM

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Page 19

1 O'CONNOR

2 then JPMorgan, on behalf of its Sec 09:50:18AM

3 Lending clients, would agree to pay a 09:50:22AM

4 certain rebate to the third-party 09:50:23AM

5 borrower; is that correct? 09:50:25AM

6 A. Yes, that's correct. 09:50:26AM

7 Q. And that rebate is essentially 09:50:29AM

8 money that would be paid on the collateral 09:50:32AM

9 during the term of the loan; is that 09:50:34AM


11 A. Yes. 09:50:36AM

12 Q. And JPMorgan in those 09:50:38AM

13 situations would then invest the cash on 09:50:40AM

14 behalf of the Securities Lending clients? 09:50:42AM


16 Q. And it would act as a fiduciary 09:50:44AM

17 in that role; is that correct? 09:50:46AM


19 Q. And then at the close of the 09:50:48AM

20 loan, the third-party borrowers would be 09:50:50AM

21 entitled to their collateral back; is that 09:50:54AM


23 A. That is. 09:50:57AM

24 Q. Plus the rebate; is that 09:50:58AM


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Page 20

1 O'CONNOR

2 A. Yes. 09:51:00AM

3 Q. And then JPMorgan and its 09:51:00AM

4 Securities Lending clients would split any 09:51:03AM

5 return that had been made on that 09:51:06AM

6 collateral during the term of the loan 09:51:09AM

7 over and above the rebate? 09:51:12AM


9 Q. Now, because the cash 09:51:14AM

10 collateral that JPMorgan was investing 09:51:17AM

11 would have to be returned to the 09:51:20AM

12 third-party borrowers at the close of the 09:51:23AM

13 loan, it was important for the investment 09:51:24AM

14 to be made in safe and liquid investments; 09:51:28AM

15 is that true? 09:51:31AM

16 A. That is true. 09:51:32AM

17 Q. The third-party cash collateral 09:51:32AM

18 is not the kind of money that you would 09:51:37AM

19 want to be taking substantial risks with; 09:51:39AM

20 is that correct? 09:51:41AM

21 A. That's correct. 09:51:42AM

22 Q. Would JPMorgan make any type of 09:51:43AM

23 fee from the securities lending 09:51:48AM

24 transaction other than its split on the 09:51:50AM

25 income of income generated by investment 09:51:52AM

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Page 43

1 O'CONNOR

2 A. Again, I don't know exactly the 10:18:57AM

3 date. But it was probably in 2008, 10:19:00AM

4 mid-2008, and, again, there were rumors of 10:19:06AM

5 many major banking institutions in the 10:19:12AM

6 marketplace providing repo financing. So 10:19:15AM

7 it would not shock me. 10:19:17AM

8 Q. When you first heard that 10:19:19AM

9 rumor, did you take any steps to 10:19:21AM

10 investigate whether or not JPMorgan in 10:19:23AM

11 fact was providing repo financing to Sigma 10:19:25AM

12 Finance? 10:19:29AM

13 A. I don't recall taking any 10:19:29AM

14 steps, no. I did ask the trading desk had 10:19:32AM

15 we had any confirmation of that or had we 10:19:34AM

16 read anything about that. 10:19:37AM

17 Q. And when you say "trading 10:19:39AM

18 desk," is that the Securities Lending 10:19:40AM

19 trading desk? 10:19:42AM

20 A. Yes, Jim Wilson's trading desk. 10:19:42AM

21 Q. And what response did you get 10:19:44AM

22 back from the trading desk? 10:19:46AM

23 A. No, they had just heard the 10:19:47AM

24 rumors as well. 10:19:49AM

25 Q. Other than asking the 10:19:50AM

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Page 44

1 O'CONNOR

2 Securities Lending trading desk, did you 10:19:51AM

3 make any other inquiries or investigation 10:19:54AM

4 to determine whether or not JPMorgan in 10:19:56AM

5 fact was providing repo financing to Sigma 10:19:58AM


7 A. I did not, because the JPMorgan 10:20:02AM

8 component frankly wasn't important to me. 10:20:05AM

9 The conversations that were relevant to me 10:20:10AM

10 with Lisa Shin were the fact that Sigma 10:20:12AM

11 was receiving repo financing, which was 10:20:15AM

12 important during the liquidity time frame 10:20:18AM

13 that we are talking about. 10:20:20AM

14 Q. During the summer of 2008, were 10:20:22AM

15 you aware that any repo financier of Sigma 10:20:25AM

16 Finance took a senior lien or title 10:20:31AM

17 interest in the assets within the Sigma 10:20:34AM

18 Finance portfolio? 10:20:37AM

19 And by "senior," I mean senior 10:20:38AM

20 to the holders of medium-term notes like 10:20:40AM

21 the Sec Lending clients. 10:20:42AM

22 A. I was aware, and, again, I 10:20:44AM

23 don't know the exact timing, but I was 10:20:46AM

24 aware, as repo was being used for the 10:20:48AM

25 short-term financing of Sigma, those 10:20:51AM

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Page 52

1 O'CONNOR

2 business purpose? 10:28:44AM

3 A. Oh, I read them, yes. 10:28:45AM

4 Q. Did Mr. Dimon's public comments 10:28:47AM

5 cause you or the investment desk to take 10:28:54AM

6 any action with respect to the SIV 10:28:57AM

7 holdings of the Securities Lending clients 10:29:00AM

8 at the time? 10:29:03AM

9 A. No, they didn't. 10:29:03AM

10 Q. Mr. Dimon was aware that 10:29:04AM

11 Securities Lending held Sigma medium-term 10:29:23AM

12 notes; is that correct? 10:29:26AM

13 A. Yes, he was aware. 10:29:27AM

14 Q. And there would be updates on a 10:29:29AM

15 periodic basis that would be provided to 10:29:34AM

16 Mr. Dimon about the FMP businesses? 10:29:36AM

17 A. Yes. 10:29:38AM

18 Q. And would you have a role in 10:29:39AM

19 preparing or overseeing the preparation of 10:29:41AM

20 those types of updates? 10:29:43AM

21 A. Of course. 10:29:44AM

22 (O'Connor Exhibit 2 marked for 10:29:58AM

23 identification.) 10:30:00AM

24 Q. You have been handed what we 10:30:05AM

25 have marked as O'Connor 2. Let me know 10:30:07AM

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EXHIBIT B


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UNITED STATES DISTRICT COURTFOR THE SOUTHERN DISTRICT OF NEW YORKNo. 09-cv-006869(SAS)(DF)-----------------------------------xBOARD OF TRUSTEES OF THE AFTRA RETIREMENTFUND, in its capacity as a fiduciary ofthe AFTRA Retirement Fund, individuallyand on behalf of all others similarlysituated, Plaintiff, - against -JPMORGAN CHASE BANK, N.A., Defendant.-----------------------------------xNo. 09-cv-03020(SAS)(DF)-----------------------------------xBOARD OF TRUSTEESOF THE IMPERIAL COUNTYEMPLOYEES' RETIREMENT SYSTEM, in itscapacity as a fiduciary of the ImperialCounty Employees' Retirement System,individually and on behalf of all otherssimilarly situated, Plaintiff, - against -JP MORGAN CHASE BANK, N.A., Defendant.-----------------------------------x(Caption Continued on next page)

June 29, 2010 10:19 a.m. CONFIDENTIAL TRANSCRIPT Videotaped deposition of JAMESWILSON, pursuant to Notice, held at theoffices of Veritext Reporting Company,1250 Broadway, New York, New York, beforeJineen Pavesi, a Registered ProfessionalReporter, Registered Merit Reporter,Certified Realtime Reporter and NotaryPublic of the State of New York.

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Page 15

1 J. WILSON - CONFIDENTIAL

2 Q. You don't know which of the 10:30:00AM

3 series, the 7, 24, or 63? 10:30:01AM

4 A. I do not, that would just be a 10:30:03AM

5 guess. 10:30:04AM

6 Q. Let's focus on the time you 10:30:07AM

7 have been with securities lending; you 10:30:09AM

8 said in 1993 you were still employed by 10:30:10AM

9 Manufacturers Hanover, correct? 10:30:12AM


11 Q. What was your initial role in 10:30:16AM

12 the securities lending group with 10:30:18AM

13 Manufacturers Hanover? 10:30:19AM

14 A. I was the chief investment 10:30:21AM

15 officer. 10:30:22AM

16 Q. So in that role you had 10:30:29AM

17 ultimate responsibility for investing the 10:30:31AM

18 cash collateral that third-party borrowers 10:30:35AM

19 would post? 10:30:37AM


21 Q. Did you also have 10:30:39AM

22 responsibility for non-cash collateral, 10:30:40AM

23 again back in 1993? 10:30:44AM

24 A. Responsibility, no. 10:30:45AM

25 Q. At the time that you retired 10:30:49AM

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Page 16


2 from JPMorgan Chase in 2009, your title 10:30:50AM

3 was also chief investment officer? 10:30:57AM

4 A. Yes. 10:30:59AM

5 I was a managing director at 10:31:00AM

6 that time. 10:31:05AM

7 Q. When did you become managing 10:31:05AM

8 director? 10:31:06AM

9 A. A guess was the late Nineties, 10:31:15AM

10 they called it senior vice-president at 10:31:19AM

11 the time and then senior vice-president 10:31:21AM

12 titles were changed to managing director 10:31:23AM

13 titles. 10:31:26AM

14 Q. What title did you have in 10:31:27AM

15 1993, when you joined securities lending 10:31:30AM

16 group? 10:31:31AM

17 A. Vice-president. 10:31:32AM

18 Q. Between 1993 and your 10:31:40AM

19 retirement, did you remain responsible for 10:31:42AM

20 the investment of cash collateral for 10:31:45AM

21 whatever securities lending program you 10:31:47AM

22 were in at the time? 10:31:49AM

23 A. Yes. 10:31:50AM

24 Q. Did your duties and 10:31:55AM

25 responsibilities as chief investment 10:31:56AM

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Page 25


2 Q. You mentioned the U.S. dollar 10:41:40AM

3 book; can you describe what you mean by 10:41:41AM

4 that. 10:41:43AM

5 A. Well, as you referred to 10:41:45AM

6 earlier, we managed cash collateral as a 10:41:47AM

7 result of the lending of securities 10:41:50AM

8 against cash. 10:41:52AM

9 During the time that I was with 10:41:56AM

10 securities lending, when I first joined 10:41:58AM

11 securities lending at Manufacturers 10:42:01AM

12 Hanover, we had approximately $6-1/2 10:42:02AM

13 billion under management. 10:42:05AM

14 Q. Did you say million or billion? 10:42:06AM

15 A. Billion, $6-1/2 billion; that 10:42:08AM

16 number peaked at 330 odd billion dollars, 10:42:11AM

17 so we would be managing money on behalf of 10:42:19AM

18 both separately managed clients who would 10:42:21AM

19 sign individual guidelines and, in 10:42:25AM

20 addition to that, we ran commingled funds 10:42:28AM

21 and the participants in the commingled 10:42:32AM

22 fund would all sign onto an identical set 10:42:35AM

23 of guidelines that said this is what we're 10:42:38AM

24 allowed to purchase in the commingled fund 10:42:40AM

25 and this is how it is structured and the 10:42:42AM

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Page 72


2 financial MTN or a corporate MTN or some 11:53:00AM

3 other type of MTN? 11:53:04AM

4 MR. HURWITZ: Objection to the 11:53:05AM

5 form. 11:53:06AM

6 A. I was not involved in a 11:53:10AM

7 specific conversation around that issue. 11:53:12AM

8 Q. To your knowledge, are you 11:53:14AM

9 aware of anyone else on the investment 11:53:16AM

10 trading desk that was involved in a 11:53:18AM

11 discussion of that issue? 11:53:20AM

12 MR. HURWITZ: Same objection. 11:53:24AM

13 A. You mean on the specific issue 11:53:25AM

14 of transparency? 11:53:27AM

15 Q. Yes. 11:53:28AM

16 A. Not that I am aware of. 11:53:30AM

17 Q. In June of 2007, securities 11:53:33AM

18 lending investment desk purchased $500 11:53:37AM

19 million worth of Sigma Finance medium term 11:53:41AM

20 notes that were scheduled to mature two 11:53:44AM

21 years later, in June of 2009, is that 11:53:46AM



24 Q. You participated in that 11:53:50AM

25 decision? 11:53:52AM

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Page 212


2 Q. Who is Mr. Collrean? 03:59:49PM

3 A. Similar area; one is probably 03:59:57PM

4 WSS and one is TSS. 04:00:00PM

5 Q. I believe you said earlier WSS 04:00:04PM

6 is world security services? 04:00:07PM

7 A. Worldwide security services and 04:00:08PM

8 the other is treasury and security 04:00:11PM

9 services. 04:00:12PM

10 Q. Securities lending was actually 04:00:14PM

11 within the treasury and security services 04:00:16PM

12 group? 04:00:18PM

13 A. That's correct. 04:00:18PM

14 Q. The second paragraph of 04:00:20PM

15 Mr. McAllister's e-mail identifies the 04:00:21PM

16 weekly mark to market of CashCo and 04:00:27PM

17 ConCas, is that correct? 04:00:31PM

18 A. Yes. 04:00:31PM

19 Q. If you look at the third 04:00:33PM

20 paragraph, paragraph numbered No. 3 of 04:00:34PM

21 this e-mail, looking at the second 04:00:36PM

22 sentence, "PWC," reference to 04:00:40PM

23 PricewaterhouseCoopers, correct? 04:00:44PM

24 A. That's correct. 04:00:45PM

25 Q. "PricewaterhouseCoopers audited 04:00:45PM

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Page 253


2 options that they had available to them. 05:07:48PM

3 Q. Did you know whether or not 05:07:50PM

4 Ms. Shin had information regarding any 05:07:52PM

5 margin calls that repo financiers may be 05:07:56PM

6 making on Sigma Finance in connection with 05:07:59PM

7 their repo facilities? 05:08:01PM

8 A. I was not aware of it, no. 05:08:02PM

9 Q. At any time prior to -- strike 05:08:12PM

10 that. 05:08:15PM

11 Sigma Finance announced its 05:08:15PM

12 intention to file for receivership on 05:08:18PM

13 October 1, 2008, is that correct? 05:08:25PM

14 A. I'm trying to remember whether 05:08:33PM

15 it was September 30th or October 1st; so 05:08:35PM

16 I'm going to say it was one of those two. 05:08:37PM

17 I believe we knew something on 05:08:39PM

18 September 30th, whether it was precisely 05:08:41PM

19 whether they were about to announce or 05:08:46PM

20 whether they made the announcement on 05:08:47PM

21 September 30th, I don't recall. 05:08:48PM

22 Q. I believe the notice of default 05:08:49PM

23 was issued on September 30th and then 05:08:51PM

24 there was an announcement by Sigma Finance 05:08:53PM

25 on October 1st that they would be filing 05:08:56PM

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Page 254


2 for receivership. 05:08:59PM

3 Prior to that point, whether it 05:09:00PM

4 be September 30th or October 1st, had 05:09:02PM

5 Ms. Shin or anyone else at asset 05:09:05PM

6 management ever recommended to sec lending 05:09:06PM

7 that sec lending sell the 2009 Sigma 05:09:08PM

8 Finance MTNs? 05:09:13PM

9 A. No. 05:09:14PM

10 Q. Did you have a personal view 05:09:34PM

11 regarding what sec lending should do with 05:09:35PM

12 respect to the 2009 MTNs in the August, 05:09:37PM

13 September '08 time frame, that being 05:09:41PM

14 whether they should continue to hold the 05:09:46PM

15 securities or whether they should try to 05:09:47PM

16 sell these securities? 05:09:49PM

17 A. My personal view is simply to 05:09:50PM

18 make sure that the analyst is giving me 05:09:52PM

19 all the necessary information so that we 05:09:55PM

20 can make sure that we're sharing with our 05:09:57PM

21 clients as much information as we have at 05:10:00PM

22 that particular time. 05:10:03PM

23 Q. And as long as the -- 05:10:20PM

24 MR. LeVAN: Can you read his 05:10:23PM

25 answer back, please. 05:10:23PM

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Page 266


2 A. Yes, I wrote it. 05:24:24PM

3 Q. It is an e-mail that you sent 05:24:25PM

4 to Mr. Brinton and a variety of other 05:24:27PM

5 people at JPMorgan dated July 2, 2008, 05:24:29PM

6 correct? 05:24:32PM

7 A. Yes. 05:24:32PM

8 Q. The subject line reads Sigma? 05:24:34PM

9 A. Yes. 05:24:36PM

10 Q. And you write "rumor that the 05:24:37PM

11 JPM repo line to Sigma was 12B and was not 05:24:39PM

12 included in the May statistics. Jim." 05:24:43PM

13 Did I read that correctly? 05:24:47PM

14 A. Yes. 05:24:48PM

15 Q. Why did you send this e-mail? 05:24:48PM

16 A. Because I wanted to let the 05:24:50PM

17 desk know that there was a rumor in the 05:24:51PM

18 marketplace and I was passing it on. 05:24:53PM

19 I had no way of confirming I'm 05:24:56PM

20 on the wrong side of the wall. 05:25:03PM

21 Q. Did you view the possibility of 05:25:20PM

22 JPMorgan providing a repo line to Sigma 05:25:22PM

23 Finance as a positive development? 05:25:25PM

24 A. Yes. 05:25:27PM

25 Q. Did you ever discuss with 05:25:31PM

Page 9

EXHIBIT C


Page 1

UNITED STATES DISTRICT COURT

FOR THE SOUTHERN DISTRICT OF NEW YORK

No. 09-cv-006869(SAS)(DF)

-----------------------------------xBOARD OF TRUSTEES OF THE AFTRA RETIREMENTFUND, in its capacity as a fiduciary ofthe AFTRA Retirement Fund, individuallyand on behalf of all others similarlysituated, Plaintiff,

- against -

JPMORGAN CHASE BANK, N.A., Defendant.-----------------------------------x

No. 09-cv-03020(SAS)(DF)-----------------------------------xBOARD OF TRUSTEES OF THE IMPERIAL COUNTYEMPLOYEES' RETIREMENT SYSTEM, in itscapacity as a fiduciary of the ImperialCounty Employees' Retirement System,individually and on behalf of all otherssimilarly situated, Plaintiff,

- against -

JPMORGAN CHASE BANK, N.A., Defendant.----------------------------------x (Caption Continued)

June 25, 2010 9:00 a.m.

VIDEOTAPED DEPOSITION OF LISA SHIN

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Page 11

1 L. SHIN

2 Mr. Stancher? 09:06:04AM


4 Q. Asset Management would prepare 09:06:05AM

5 an approved buy list for the Securities 09:06:18AM

6 Lending Group; is that correct? 09:06:20AM

7 A. That is correct. 09:06:22AM

8 Q. And the buy list that Asset 09:06:23AM

9 Management would prepare was the same list 09:06:28AM

10 that Asset Management would prepare for 09:06:30AM

11 its 2a7 or money market funds, except for 09:06:32AM

12 longer maturities; is that correct? 09:06:35AM


14 form. 09:06:39AM

15 A. Sec Lending uses the Asset 09:06:39AM

16 Management research team for their credit 09:06:46AM

17 analysis. You know, there are three 09:06:49AM

18 separate approved lists within the 09:06:53AM

19 short-term approved list for different 09:06:57AM

20 types of strategies. One of them is for 09:06:59AM

21 rated 2a7 funds, which would be the money 09:07:04AM

22 funds. There is one for unrated 2a7 09:07:06AM

23 funds, which would include non-AAA rated 09:07:10AM

24 money funds. Then there was an unrated 09:07:14AM

25 2a7 list which the Sec Lending team used. 09:07:16AM

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Page 31

1 L. SHIN

2 second-to-last sentence of the paragraph 09:29:23AM

3 entitled "Sigma" reads "We know they are 09:29:25AM

4 aggressively using repo to fund 09:29:29AM

5 themselves, but come October I expect them 09:29:31AM

6 to come under more pressure." 09:29:34AM

7 Did I read that correctly? 09:29:36AM

8 A. That's what it says. 09:29:39AM

9 Q. And that was accurate at the 09:29:41AM

10 time that you made the statement, correct? 09:29:43AM

11 A. Based on the information that I 09:29:49AM

12 had, that's what I believed, yes. 09:29:51AM

13 Q. Between July 2007 and March of 09:29:59AM

14 2008, Sigma Finance's use of repo 09:30:04AM

15 financing increased from about $1.4 09:30:10AM

16 billion to $13.6 billion; is that correct? 09:30:12AM

17 A. I don't specifically recall. 09:30:17AM

18 Q. I hand you what we premarked as 09:30:21AM

19 Shin 4. 09:30:24AM

20 (Witness perusing document.) 09:30:28AM

21 A. Okay. 09:31:14AM

22 Q. Shin 4 was an e-mail that you 09:31:14AM

23 sent to Travis Spence dated April 8, 2008; 09:31:16AM



Page 3


Page 32

1 L. SHIN

2 Q. Who is Travis Spence? 09:31:22AM

3 A. He is a money fund salesperson 09:31:25AM

4 in Asia, or head of money fund sales in 09:31:27AM

5 Asia. 09:31:31AM

6 Q. And is he with a specific 09:31:32AM

7 business line or business group within 09:31:35AM

8 JPMorgan? 09:31:36AM

9 A. He is in Asset Management. 09:31:37AM

10 Q. If you look at the first -- the 09:31:38AM

11 paragraph that is actually numbered number 09:31:41AM

12 1, I guess it is the last three sentences, 09:31:43AM

13 I will just read them into the record. 09:31:47AM

14 "Since July 2007, portfolio has 09:31:49AM

15 decreased from $56.7 billion to $40 09:31:52AM

16 billion at the end of March 2008. During 09:31:56AM

17 this period there have been $14 billion of 09:31:59AM

18 asset sales, which includes $4 billion of 09:32:02AM

19 ratio trades. Repo has increased from 09:32:05AM

20 $1.4 billion to $13.6 billion." 09:32:08AM

21 Did I read that correctly? 09:32:14AM

22 A. Yes. 09:32:15AM

23 Q. Those were accurate statements 09:32:15AM

24 at the time that you made them based on 09:32:17AM

25 the information that you had, correct? 09:32:19AM

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Page 39

1 L. SHIN

2 MR. HURWITZ: It doesn't 09:39:07AM

3 specify a time. It is completely 09:39:08AM

4 abstract. So that's the objection. 09:39:11AM

5 MR. LeVAN: Okay. I will stick 09:39:13AM

6 with my question. 09:39:14AM

7 MR. HURWITZ: I stand by the 09:39:20AM

8 objection. 09:39:21AM

9 A. One of the benefits of repo 09:39:23AM

10 financing for the SIVs was that it was an 09:39:26AM

11 alternative form of funding. 09:39:29AM

12 Q. And one of the benefits of that 09:39:31AM

13 was for an SIV to avoid selling its assets 09:39:34AM

14 into a distressed market at low prices, 09:39:37AM



17 form. 09:39:41AM

18 A. Well, it is very possible for a 09:39:42AM

19 structured investment vehicle to enter 09:39:46AM

20 into repo when there aren't distressed 09:39:47AM

21 prices in the market. 09:39:51AM

22 Q. Well, let's talk about the fall 09:39:52AM

23 of 2007 and Sigma Finance in particular. 09:39:54AM

24 One of the benefits of Sigma 09:39:58AM

25 Finance relying on repo financing was to 09:40:01AM

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Page 40

1 L. SHIN

2 avoid selling the assets in its portfolio 09:40:04AM

3 into the market at the time; isn't that 09:40:07AM

4 true? 09:40:09AM

5 A. Entering into repo would allow 09:40:14AM

6 them to maintain or close their 09:40:15AM

7 asset/liability gap. 09:40:23AM

8 Q. You are referring -- are you 09:40:23AM

9 referring to matching the term of the 09:40:25AM

10 assets and liability when you say that? 09:40:28AM

11 A. Well, the asset/liability gap 09:40:31AM

12 would be the difference in the weighted 09:40:34AM

13 average life of the assets and the 09:40:36AM

14 weighted average maturity of the 09:40:38AM

15 liabilities. 09:40:40AM

16 Q. So that was a benefit to Sigma 09:40:42AM

17 Finance for engaging in repo financing in 09:40:47AM

18 the fall of 2007, correct? 09:40:48AM

19 A. To secure funding, yes. 09:40:52AM

20 Q. But engaging in repo financing 09:40:56AM

21 also created a super-senior class above 09:41:10AM

22 the medium-term noteholders; is that 09:41:14AM


24 A. That is correct. 09:41:18AM

25 Q. And in the event of a default, 09:41:19AM

Page 6


Page 248

1 L. SHIN

2 Q. And what did your conversation 03:53:06PM

3 with Mr. Cox -- well, strike that. 03:53:07PM

4 What did you and Mr. Cox 03:53:10PM

5 discuss? 03:53:11PM

6 A. I believe we talked about Sigma 03:53:12PM

7 Finance. 03:53:20PM

8 Q. And what did you and Mr. Cox 03:53:20PM

9 discuss about Sigma Finance? 03:53:23PM

10 A. I mean, I don't recall all of 03:53:27PM

11 the conversation. I do remember Mr. Cox 03:53:29PM

12 being pretty bullish on Sigma. I also 03:53:33PM

13 remember him saying that he thought that 03:53:38PM

14 investors were either dumb or crazy for 03:53:40PM

15 not continuing to roll their paper because 03:53:42PM

16 they had high-quality assets. 03:53:45PM

17 Q. Did Mr. Cox inform you during 03:53:48PM

18 that conversation that JPMorgan was 03:53:51PM

19 considering providing Sigma Finance with 03:53:52PM

20 committed repo? 03:53:54PM

21 A. No, I don't believe we talked 03:53:55PM

22 about that. 03:53:56PM

23 Q. Did you have any conversation 03:53:57PM

24 with Mr. Cox at any time after January of 03:53:59PM

25 2008 about Sigma Finance? 03:54:01PM

Page 7


Page 250

1 L. SHIN

2 "objection." But when you try to mislead 03:55:22PM

3 the witness in the way that you are trying 03:55:25PM

4 to do here, I'm going to call you on it. 03:55:27PM

5 MR. LeVAN: Well, I'm not 03:55:30PM

6 attempting to mislead the witness. I will 03:55:31PM

7 ask the question again. 03:55:33PM

8 Q. During the calendar year 2008 03:55:34PM

9 you had heard rumors that JPMorgan was 03:55:35PM

10 providing a repo line to Sigma Finance, 03:55:37PM


12 MR. HURWITZ: Same objection. 03:55:41PM

13 A. That was a rumor in the market. 03:55:44PM

14 Q. And we went over exhibits 03:55:50PM

15 earlier showing that you knew that a repo 03:55:53PM

16 financier took a senior security interest 03:55:55PM

17 in the assets, senior to the medium-term 03:55:58PM

18 noteholders and capital noteholders, 03:56:00PM


20 A. That is correct. 03:56:08PM

21 What was the date of that 03:56:08PM

22 communication with Todd Nordstrom? 03:56:10PM

23 Q. We can go back and look. 03:56:12PM

24 A. I'm just curious. 03:56:22PM

25 Q. If you want to look at Shin 45. 03:56:44PM

Page 8

EXHIBIT D


Page 1

*** CONFIDENTIAL ***

UNITED STATES DISTRICT COURTFOR THE SOUTHERN DISTRICT OF NEW YORK.No. 09-cv-00686(SAS)(DF)------------------------------------xBOARD OF TRUSTEES OF THE AFTRARETIREMENT FUND, in its capacity as afiduciary of the AFTRA Retirement Fund,individually and on behalf of all others similarlysituated, Plaintiff,

- against -

JPMORGAN CHASE BANK, N.A., Defendant.------------------------------------x

No. 09-cv-03020(SAS)(DF)------------------------------------xBOARD OF TRUSTEES OF THE IMPERIALCOUNTY EMPLOYEES' RETIREMENTSYSTEM, in its capacity as a fiduciary of theImperial County Employees' Retirement System,Individually and on behalf of all others similarlySituated, Plaintiff,

- against -


(Caption Continued)

July 12th, 2010 9:35 a.m.

VIDEOTAPED DEPOSITION OF CLAUDIA TARANTINO

Page 1


Page 32

1 TARANTINO - CONFIDENTIAL

2 interpret those principles? 10:07:07

3 A. To a certain extent, yes. There 10:07:10

4 are rules as well, but they are not as detailed as 10:07:12

5 probably you are used to in the US. 10:07:15

6 Q. And is there a document that 10:07:18

7 JPMorgan prepared that explains how it will comply 10:07:21

8 with these principle-based regulations? 10:07:25

9 A. There is not one document. There 10:07:31

10 are several documents. We have the Code of 10:07:32

11 Conduct, we have the compliance manual and we have 10:07:35

12 a lot of policies and procedures that relate to 10:07:37

13 different angles and different parts of the 10:07:40

14 regulation. 10:07:47

15 Q. And the Code of Conduct is a 10:07:55

16 document that contains restrictions relating to 10:07:56

17 the FSA handbook? 10:08:07

18 A. It -- no. It's broader than that. 10:08:09

19 It's a -- it's a document that is a 10:08:11

20 publicly available document, it's available on 10:08:14

21 JPMorgan external website, that talks about the 10:08:17

22 way we do business and does incorporate a number 10:08:21

23 of principles that are common to all of our 10:08:24

24 regulators around the globe. It's a global 10:08:27

25 document. You can log on on jpmorgan.com and just 10:08:30

Page 2


Page 33


2 look at it yourself. 10:08:36

3 Q. And the compliance manual, is that 10:08:39

4 publicly available? 10:08:41

5 A. No, that's an internal document. 10:08:42

6 Q. What is the compliance manual? 10:08:44

7 A. It's a bit more specific because 10:08:45

8 that is a original document, so it's more 10:08:50

9 pertinent to the original regulatory environment, 10:08:53

10 and it's administered and updated by the 10:08:56

11 compliance department. 10:09:02

12 Q. And what does -- what is the 10:09:04

13 purpose of the compliance manual? 10:09:06

14 A. To educate and state the rules for 10:09:09

15 the business people on the way we expect them to 10:09:13

16 conduct business. 10:09:17

17 Q. Does it contain any restrictions or 10:09:21

18 rules on conflicts of interest? 10:09:26

19 A. I believe it does, yes. 10:09:28

20 Q. On sharing of -- or, actually, does 10:09:32

21 it contain any rules on receipt of material 10:09:34

22 non-public information? 10:09:39

23 A. Yes. 10:09:40

24 Q. Does it contain the Chinese wall 10:09:42

25 policies? 10:09:44

Page 3


Page 34


2 A. Yeah, there is a paragraph on 10:09:45

3 Chinese walls as well. 10:09:46

4 Q. So you testified that your 10:09:55

5 department does not provide advice on compliance 10:09:56

6 with United States regulations, correct? 10:10:02

7 A. Correct, yes. 10:10:05

8 Q. Are you familiar with those 10:10:09

9 regulations? 10:10:10

10 A. I am. I am Series 7 registered. 10:10:11

11 Q. And you're currently registered? 10:10:19

12 A. Yes. 10:10:22

13 Q. Are you a compliance officer? 10:10:47

14 A. I'm sorry? 10:10:52

15 Q. Are you a compliance officer? 10:10:52

16 A. Yes. 10:10:54

17 Q. What is your title? 10:10:56

18 A. Compliance officer. 10:10:58

19 Q. Anything else? 10:10:59

20 A. Managing director. 10:11:01

21 Q. Anything else? 10:11:03

22 A. No. 10:11:05

23 Q. So you're a manager -- a managing 10:11:07

24 director of what? 10:11:08

25 A. I -- I am a managing director in 10:11:10

Page 4


Page 52


2 A. I'm sorry? 10:29:37

3 Q. You testified previously about a 10:29:38

4 Chinese wall policy, correct? 10:29:40

5 A. Mmm mm. 10:29:43

6 Q. What is a Chinese wall? 10:29:43

7 A. It's an artificial wall, let's call 10:29:45

8 it an -- an information barrier that would prevent 10:29:48

9 inside information from being passed to the public 10:29:54

10 side of the bank. 10:29:57

11 Q. So the public side is on one side 10:30:07

12 of the wall. What is on the other side of the 10:30:08

13 wall? 10:30:12

14 A. The private side. 10:30:12

15 Q. Is this informational barrier or 10:30:29

16 Chinese wall also used to prevent conflicts of 10:30:31

17 interest? 10:30:34

18 A. It's one of the requirements, yes, 10:30:35

19 that is supposed to prevent some conflicts of 10:30:38

20 interest. 10:30:43

21 Q. Which ones? 10:30:44

22 A. The ones that would involve taking 10:30:50

23 advantage of information that should be kept on 10:30:53

24 the private side by public siders. 10:30:58

25 Q. So the purpose of the wall is to 10:31:10

Page 5


Page 53


2 prevent insider -- is to prevent the exchange of 10:31:12

3 inside information and prevent some conflicts of 10:31:16

4 interest, correct? 10:31:19

5 A. Yes. 10:31:20

6 Q. Describe for the jury what you mean 10:31:27

7 by "public side"? 10:31:31

8 A. It means employees that have access 10:31:33

9 to information that is publicly available or that 10:31:36

10 is confidential, so not publicly available, but it 10:31:42

11 is not considered material for regulatory 10:31:46

12 purposes. 10:31:51

13 Q. Is Asset Management on the public 10:31:56

14 side? 10:31:59

15 A. I believe they are. 10:31:59

16 Q. Is the securities lending program 10:32:02

17 on the public side? 10:32:03

18 A. The securities lending, sorry? 10:32:04

19 Q. Global Securities Lending? 10:32:07

20 A. I believe they are on the public 10:32:09

21 side, yes. 10:32:10

22 Q. Who is on the private side? 10:32:15

23 A. Investment Banking. 10:32:17

24 Q. When you say "Investment Banking", 10:32:21

25 do you mean the entirety of the Investment Bank? 10:32:23

Page 6


Page 54


2 A. No, I don't. I said 10:32:25

3 "Investment Banking" -- 10:32:26

4 Q. So -- 10:32:27

5 A. -- which is a part of the 10:32:28

6 Investment Bank. 10:32:29

7 Q. Which business unit was responsible 10:32:38

8 for the Sigma repo transactions? 10:32:40

9 A. That was the repo desk, and credit 10:32:45

10 trading was also involved and credit hybrids was 10:32:56

11 involved, I believed, yeah. 10:33:00

12 Q. So three divisions were involved in 10:33:09

13 the Sigma repo transactions? 10:33:10

14 A. Three desks. 10:33:13

15 Q. Three desks. And that was the repo 10:33:14

16 desk, the credit trading desk and the credit 10:33:17

17 hybrids desk? 10:33:20

18 A. Yep. 10:33:22

19 Q. And where do those desks reside in 10:33:22

20 the JPMorgan organizational framework? 10:33:24

21 A. They are part of the 10:33:27

22 Investment Bank. 10:33:28

23 Q. Are they -- just so I understand 10:33:30

24 the terminology, are they part of 10:33:32

25 Investment Banking? 10:33:34

Page 7


Page 55


2 A. No. 10:33:35

3 Q. They are separate and apart from 10:33:37

4 Investment Banking, but part of the 10:33:38

5 Investment Bank? 10:33:40

6 A. Correct. 10:33:40

7 Q. Are those desks on the public or 10:33:41

8 private side? 10:33:43

9 A. Public. 10:33:44

10 Q. The repo desk is on the public 10:33:48

11 side? 10:33:49

12 A. Correct. 10:33:50

13 Q. The credit trading desk is on the 10:33:51

14 public side? 10:33:52

15 A. Correct. 10:33:53

16 Q. And the credit hybrids desk is on 10:33:53

17 the public side. 10:33:56

18 A. That's right. 10:33:57

19 Q. Did any of those three desks obtain 10:34:00

20 inside information in connection with the repo 10:34:04

21 transactions for Sigma? 10:34:08

22 A. I think they did. 10:34:09

23 Q. Were they then -- were those 10:34:14

24 individuals on those desks then taken over the 10:34:15

25 wall? 10:34:18

Page 8


Page 56


2 A. I believe they were. 10:34:18

3 Q. What is -- tell me again, what is 10:34:29

4 Investment Banking? 10:34:32

5 A. It's the part of the 10:34:33

6 Investment Bank that deals with providing advice 10:34:37

7 to clients in relation to projects on the private 10:34:42

8 side. Examples would be mergers and acquisitions, 10:34:47

9 leveraged finance, so the -- the advisory part of 10:34:51

10 JPMorgan. 10:34:57

11 Q. Are you familiar with the 10:35:24

12 regulations of the Office of the Comptroller of 10:35:25

13 the Currency? 10:35:27

14 A. No. 10:35:37

15 Q. Are you familiar with any of the 10:35:50

16 Securities and Exchange Commission regulations on 10:35:52

17 inside information? 10:35:59

18 A. I'm a bit rusty, but I remember 10:36:01

19 looking at them in the past. 10:36:04

20 Q. Are the Securities and Exchange 10:36:13

21 Commissions regulations on insider trading part of 10:36:14

22 your -- let me rephrase this question. 10:36:21

23 Do you have any responsibility, in your 10:36:32

24 role as a compliance officer, for providing advice 10:36:35

25 with respect to the Securities and Exchange 10:36:38

Page 9


Page 58


2 referring to? 10:38:54

3 BY MR. SEIDEL: 23:59:57

4 Q. Any information the public side 10:38:55

5 might have, could the public side communicate that 10:38:57

6 to the private side? 10:38:59

7 A. We do allow communication. We 10:39:06

8 don't allow passing on confidential information, 10:39:08

9 whether it's inside information or not, unless 10:39:11

10 there is a legitimate need to know. 10:39:15

11 Q. So if the public -- if an employee 10:39:18

12 on the public side had public information, that 10:39:20

13 employee could discuss that information with an 10:39:25

14 employee on the private side? 10:39:27

15 A. If it's publicly available 10:39:29

16 information yes, they could. 10:39:30

17 Q. And the same would hold true for 10:39:45

18 information going from the private side to the 10:39:47

19 public side as long as it was publicly known 10:39:49

20 information, correct? 10:39:52

21 A. Correct. 10:39:53

22 Q. Are you involved in the -- are you 10:40:34

23 involved in monitoring compliance with the wall? 10:40:43

24 A. No. 10:40:47

25 Q. Who is involved with that? 10:40:48

Page 10


Page 79


2 violations with respect to the Sigma transactions? 11:17:18

3 A. I'm not -- 11:17:20

4 MR. BONDEROFF: Objection to form. 11:17:22

5 A. I'm not aware of any. 11:17:23

6 BY MR. SEIDEL: 11:17:25

7 Q. If there were, you would have been 11:17:30

8 aware of them, correct? 11:17:31

9 MR. BONDEROFF: Objection to form. 11:17:32

10 A. Not necessarily. 11:17:34

11 BY MR. SEIDEL: 23:59:57

12 Q. Who would be? 11:17:37

13 A. Probably the control room. 11:17:42

14 Q. I'm going to hand you what has been 11:18:06

15 marked as exhibit 2. 11:18:07

16 (Exhibit TARANTINO 2 marked for identification) 11:18:10

17 After you've had a chance to review that 11:18:15

18 document, could you identify it for me? 11:18:16

19 A. No, I wouldn't have seen this 11:18:25

20 document. (Pause.) OK. 11:18:26

21 Q. You testified that you have not 11:25:26

22 seen that document before? 11:25:27

23 A. No. 11:25:28

24 Q. If you would go to the fifth 11:25:39

25 paragraph on page 1 of exhibit 2. 11:25:42

Page 11


Page 85


2 Q. Do you agree with that statement? 11:39:58

3 A. I'm not able to comment on this 11:39:59

4 because I don't know what the Asset Management 11:40:00

5 fiduciary commitment implies. 11:40:04

6 Q. And you don't think that references 11:40:08

7 the prior sentence we just read out in the 11:40:13

8 previous paragraph? 11:40:16

9 A. I would be only speculating and as 11:40:16

10 I said, I have never seen the safeguard policy. 11:40:19

11 If that refers to the same policy, I wouldn't be 11:40:22

12 able to comment. 11:40:23

13 Q. I'm going to hand to you what is 11:40:48

14 being marked as exhibit 3. 11:40:51

15 (Exhibit TARANTINO 3 marked for identification) 11:41:00

16 Can you identify that document? 11:41:02

17 A. "Worldwide Securities Services 11:41:04

18 Policies & Procedures Manual." 11:41:08

19 Q. Have you seen that before? 11:41:10

20 A. No. Do you want me to read the 11:41:13

21 document? 11:41:16

22 Q. You can if you wish. I was going 11:41:17

23 to ask a few focused questions off of it, but... 11:41:19

24 A. OK, I'll read it. (Long pause.) 11:41:22

25 Yes. 11:48:06

Page 12


Page 95


2 Q. Before I ask a question about 12:13:17

3 exhibit 4, how many documents did you review with 12:13:19

4 your counsel on Tuesday? 12:13:21

5 A. I wouldn't know the number. It was 12:13:23

6 a small folder. 12:13:27

7 Q. An inch tall? 12:13:31

8 A. Yeah. 12:13:32

9 Q. Did you review any other documents 12:13:37

10 in connection with your deposition other than the 12:13:38

11 small folder about an inch tall? 12:13:41

12 A. No. 12:13:46

13 Q. Turning to exhibit 4, can you 12:13:46

14 identify that document or can you identify the 12:13:48

15 exhibit for me? 12:13:49

16 A. OK. The exhibit seems to me like a 12:13:50

17 collection, like extracts from different 12:13:53

18 documents, so the first one being the Code of 12:13:54

19 Conduct I mentioned before, which is a publicly 12:13:58

20 available document, you can find it on the 12:14:01

21 Internet. 12:14:03

22 The second document is the e-mail 12:14:06

23 compliance manual for the Investment Bank, Private 12:14:12

24 Bank and Treasury & Security Services. 12:14:15

25 Q. And what Bates number does that 12:14:17

Page 13


Page 96


2 start with? 12:14:19

3 A. 19. 12:14:23

4 Q. 19? 12:14:26

5 A. That's what it says. 12:14:26

6 MR. BONDEROFF: I -- the Bates 12:14:29

7 number is the number in the lower right-hand 12:14:30

8 corner that starts "JPMC". 12:14:32

9 A. Oh, I'm sorry. It starts on 12:14:36

10 page 16. 12:14:37

11 BY MR. SEIDEL:

12 Q. And the next document? 12:14:43

13 A. And the next document is 12:14:46

14 JPMorgan Chase & Co policy on information 12:14:50

15 barriers. 12:14:53

16 Q. On what page does that begin? 12:14:54

17 A. 19. 12:14:58

18 Q. And is that the last document in 12:15:03

19 this exhibit? 12:15:04

20 A. I think so. It looks like it, yes. 12:15:05

21 Q. Have you seen these documents 12:15:09

22 before? 12:15:11

23 A. Yes, I have seen them. 12:15:11

24 Q. Turning to the first document, 12:15:21

25 please identify that one again. 12:15:24

Page 14


Page 97


2 A. It's an extract from the Code of 12:15:27

3 Conduct. 12:15:29

4 Q. This document was dated May of 12:15:30

5 2009, correct? 12:15:32

6 A. Yes. 12:15:34

7 Q. Do you know if it differed 12:15:37

8 materially from the version that governed during 12:15:38

9 2008? 12:15:42

10 A. I wouldn't be able to say for sure 12:15:45

11 without comparing the actual documents, but my -- 12:15:47

12 by my read of it, it doesn't seem to differ 12:15:50

13 materially from previous versions. 12:15:51

14 Q. And turning to the second page of 12:16:01

15 exhibit 4, with the Bates number 382014, the 12:16:03

16 caption says "Inside Information and the Policy on 12:16:09

17 Information Barriers", correct? 12:16:12

18 A. Sorry, where? Where are you 12:16:13

19 looking at? 12:16:14

20 Q. The heading on the second page -- 12:16:15

21 A. Yes. 12:16:18

22 Q. -- of that exhibit. 12:16:19

23 A. Yes. 12:16:20

24 Q. And the information barrier is 12:16:21

25 another way of saying a wall, correct? 12:16:24

Page 15

EXHIBIT E


Page 1

UNITED STATES DISTRICT COURT FOR THE SOUTHERN DISTRICT OF NEW YORK No. 09-cv-006869(SAS)(DF) -----------------------------------------x BOARD OF TRUSTEES OF THE AFTRA RETIREMENT FUND, in its capacity as a fiduciary of the AFTRA Retirement Fund, individually and on behalf of all others similarly situated, Plaintiff, - against - JPMORGAN CHASE BANK, N.A., Defendant. -----------------------------------------x No. 09-cv-03020(SAS)(DF) -----------------------------------------x BOARD OF TRUSTEES OF THE IMPERIAL COUNTY EMPLOYEES' RETIREMENT SYSTEM, in its capacity as a fiduciary of the Imperial County Employees' Retirement System, individually and on behalf of all others similarly situated, Plaintiff, - against - JP MORGAN CHASE BANK, N.A., Defendant.-----------------------------------------x (Caption Continued on next page)

July 21, 2010 9:29 a.m. **C O N F I D E N T I A L** Videotaped deposition of GILLIAN VAN SCHAICK, taken by Plaintiffs, pursuant to Notice, held at the offices of Veritext Reporting Company, 1250 Broadway, New York, New York, before Jineen Pavesi, a Registered Professional Reporter, Registered Merit Reporter, Certified Realtime Reporter and Notary Public of the State of New York.

Page 1


1 VAN SCHAICK - CONFIDENTIAL

2 A. JPMorgan Chase has a virtual 10:15:11AM

3 control room, it is a 14/7 operation. 10:15:13AM

4 So that while there are offices 10:15:15AM

5 in London, New York, California, Asia, it 10:15:17AM

6 is one group. 10:15:23AM

7 Q. How does a transaction get to 10:15:25AM

8 the control room, how does the control 10:15:27AM

9 room get information about either an 10:15:29AM

10 actual or potential transaction that they 10:15:31AM

11 should look at? 10:15:33AM

12 A. I think the primary role of the 10:15:34AM

13 control room, this is my understanding as 10:15:35AM

14 a compliance officer, and I have not 10:15:37AM

15 worked in the investment bank where this 10:15:39AM

16 maps into, my understanding is that the 10:15:42AM

17 primary function of that control room is 10:15:44AM

18 to enter compliance with SEC regulation, 10:15:47AM

19 so SEC regulations having to do with IPOs, 10:15:51AM

20 share issuances and that type of thing, 10:15:55AM

21 that there are very prescribed 10:15:58AM

22 requirements for capital raising and who 10:16:00AM

23 can and cannot be involved in other 10:16:05AM

24 things. 10:16:08AM

25 The way it works for the 10:16:11AM

Page 2


1 VAN SCHAICK - CONFIDENTIAL

2 control room, the training that we provide 10:16:12AM

3 to people is that if you believe that you 10:16:14AM

4 have material and nonpublic information 10:16:16AM

5 that could taint you or that there is a 10:16:20AM

6 problem, you need to escalate and they 10:16:22AM

7 could escalate either to my department, 10:16:23AM

8 and we would get it to the control room if 10:16:25AM

9 necessary, or they could call the control 10:16:27AM

10 room. 10:16:30AM

11 It was not a usual, a frequent 10:16:31AM

12 occurrence, for TSS to have any dealings 10:16:36AM

13 with the control room because of the way 10:16:38AM

14 we are walled off. 10:16:42AM

15 Q. But if there was a Chinese wall 10:16:45AM

16 in place and if it was effective, people 10:16:46AM

17 on one side of the wall may not know what 10:16:50AM

18 people on the other side of the wall are 10:16:53AM

19 actually doing, would you agree with me? 10:16:54AM

20 A. Generally that is the intent; 10:16:56AM

21 the intent is that certain kinds of 10:16:59AM

22 activities be maintained separate. 10:17:02AM

23 Q. I guess my question is, who, if 10:17:05AM

24 anyone, is standing on top of the wall 10:17:08AM

25 looking at both sides of the wall to 10:17:12AM

Page 3

EXHIBIT F


Page 1

UNITED STATES DISTRICT COURTFOR THE SOUTHERN DISTRICT OF NEW YORKNo. 09-cv-006869(SAS)(DF)-----------------------------------xBOARD OF TRUSTEES OF THE AFTRA RETIREMENTFUND, in its capacity as a fiduciary ofthe AFTRA Retirement Fund, individuallyand on behalf of all others similarlysituated, Plaintiff,

- against -



- against -


June 17, 2010 9:21 a.m.

VIDEOTAPED DEPOSITION OF JOHN DONOHUE

Page 1


Page 67

1 DONOHUE

2 Q. Mr. Donohue, are you familiar 10:43:31AM

3 with the concept of an information wall at 10:43:34AM

4 JPMorgan? 10:43:39AM

5 A. I am. A Chinese wall is what 10:43:40AM

6 we would call it, yes. 10:43:43AM

7 Q. And there is a public side of 10:43:45AM

8 the wall and a private side of the wall; 10:43:46AM



11 Q. Which side of the wall was 10:43:49AM

12 Asset -- strike that. 10:43:52AM

13 In 2007 and 2008, what side of 10:43:56AM

14 the wall was Asset Management on? 10:43:58AM


16 form. 10:44:02AM

17 A. We were on the -- I'm not quite 10:44:02AM

18 sure if there were sides of the wall. 10:44:05AM

19 There was just a wall between Asset 10:44:07AM

20 Management and other divisions of JPMorgan 10:44:09AM

21 Chase & Co. 10:44:11AM

22 Q. Were you personally ever taken 10:44:14AM

23 over the wall in connection with any 10:44:21AM

24 specific transaction while you have been 10:44:23AM

25 employed by Asset Management? 10:44:25AM

Page 2


Page 68

1 DONOHUE

2 A. As an employee of Asset 10:44:27AM

3 Management, I have never been taken over 10:44:30AM

4 the wall. 10:44:31AM

5 Q. Do you understand that you have 10:44:31AM

6 been on the side of the wall that's the 10:44:33AM

7 public side? 10:44:38AM

8 A. I understand that I am on the 10:44:39AM

9 side of the wall that is Asset Management 10:44:41AM

10 where we are only dealing with public 10:44:42AM

11 information. 10:44:46AM

12 Q. To your knowledge, is any 10:44:48AM

13 employee of Asset Management on the 10:44:50AM

14 private side or the non-public side of the 10:44:52AM

15 Chinese wall? 10:44:55AM

16 A. To my knowledge, no, there is 10:44:56AM

17 not. 10:44:58AM

18 Q. With respect to Sigma Finance 10:44:58AM

19 in particular, during 2007 and 2008, did 10:45:03AM

20 you have access to any non-public material 10:45:09AM

21 information about Sigma Finance? 10:45:13AM

22 A. I did not. 10:45:14AM

23 Q. To your knowledge, did Ms. Shin 10:45:15AM

24 have access to any non-public material 10:45:21AM

25 information about Sigma Finance in 2007 10:45:24AM

Page 3


Page 69

1 DONOHUE

2 and 2008? 10:45:26AM

3 A. To my knowledge, she did not. 10:45:27AM

4 Q. When is the first time that you 10:45:29AM

5 were involved in any way with anything to 10:45:35AM

6 do with Sigma Finance? 10:45:37AM

7 A. The first time was probably 10:45:38AM

8 when we first approved the credit for 10:45:46AM

9 purchase into our money market funds, 10:45:48AM

10 which would have been after Lisa Shin 10:45:50AM

11 joined us, which would have been probably 10:45:57AM

12 around 2002 -- around 2002, give or take, 10:45:59AM

13 somewhere around there, I don't 10:46:07AM

14 necessarily remember exact dates. 10:46:08AM

15 Q. So prior to 2002 none of the 10:46:10AM

16 Asset Management money market funds had 10:46:12AM

17 previously invested in any security issued 10:46:15AM

18 by Sigma Finance? 10:46:17AM

19 A. Prior to 2002 our money market 10:46:19AM

20 funds never purchased any asset-backed 10:46:22AM

21 securities. 10:46:25AM

22 Q. Which would include Sigma 10:46:28AM


24 A. Sigma would be included in 10:46:30AM

25 that, yes. 10:46:32AM

Page 4


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1 DONOHUE

2 A. I did not. 11:17:30AM

3 Q. During 2007 and 2008 you had 11:17:31AM

4 communications with Ms. Shin that involved 11:18:21AM

5 Sigma Finance; is that correct? 11:18:24AM

6 A. I would imagine, yes. 11:18:26AM

7 Q. Did you have a view -- well, 11:18:28AM

8 strike that. 11:18:32AM

9 What was your view of the 11:18:33AM

10 viability of Sigma Finance as an entity, 11:18:35AM

11 say, in the fall of 2007? 11:18:38AM


13 form. 11:18:42AM

14 A. In the fall of 2007 I felt they 11:18:43AM

15 were exceptionally viable, which is why we 11:18:48AM

16 continued to hold the paper that we owned. 11:18:52AM

17 Q. Did you ever reach a point 11:18:54AM

18 where your opinion of the viability of 11:18:58AM

19 Sigma Finance changed? 11:19:01AM

20 A. Yes, I did, and that would have 11:19:03AM

21 been after the Lehman Brothers default, 11:19:06AM

22 when it became pretty apparent that the 11:19:09AM

23 market was in disarray and that the 11:19:12AM

24 subprime market was probably going away 11:19:20AM

25 and SIVs were probably not a viable 11:19:23AM

Page 5


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1 DONOHUE

2 structure in the long term. 11:19:25AM

3 Q. Lehman failed in about 11:19:29AM

4 September 15th of 2008; is that correct? 11:19:40AM

5 A. That is the exact date, yes. 11:19:42AM

6 Q. Prior to September 15th, 2008, 11:19:43AM

7 did you ever reach the personal conclusion 11:19:48AM

8 that Sigma would most likely not be viable 11:19:50AM

9 as an entity going forward? 11:19:54AM


11 form. 11:19:58AM

12 A. Prior to Lehman I had reached 11:19:58AM

13 the conclusion that over the long term 11:19:59AM

14 SIVs as an instrument type or a security 11:20:02AM

15 type were probably no longer going to be 11:20:05AM

16 in existence. 11:20:08AM

17 I did not know the timing of 11:20:09AM

18 that, but I felt that, and I think the 11:20:11AM

19 market was coming to the conclusion 11:20:14AM

20 leading into the September Lehman failure 11:20:16AM

21 that SIVs were probably a broken model, if 11:20:20AM

22 you would, over the long course. 11:20:25AM

23 Q. When did you first come to that 11:20:28AM

24 realization or conclusion? 11:20:31AM

25 A. I don't think there was any 11:20:34AM

Page 6


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1 DONOHUE

2 it had long-term ratings, which MTNs have 01:28:36PM

3 long-term ratings, not short-term ratings, 01:28:38PM

4 then we could buy down to A-, which still 01:28:41PM

5 equates to right on the cusp of an A1/P1 01:28:47PM

6 short-term equivalent rating. 01:28:51PM

7 Q. Did the mutual funds that you 01:28:52PM

8 had responsibility for that were not 2a7 01:28:54PM

9 funds also have minimum credit 01:28:56PM

10 restrictions or requirements? 01:28:58PM

11 A. Yes. But they were lower than 01:29:00PM

12 the 2a7 funds. So we could buy below -- 01:29:06PM

13 we could buy investment grade, which would 01:29:10PM

14 be right down to BBB- for the short-term 01:29:13PM

15 bond funds and I believe for the enhanced 01:29:17PM

16 cash funds as well. 01:29:19PM

17 Q. Now, you mentioned I believe in 01:29:20PM

18 your earlier testimony I think that Sigma 01:29:22PM

19 MTNs were long-term rated? 01:29:25PM

20 A. Yes, they have a long-term 01:29:26PM

21 rating. 01:29:28PM

22 Q. Is that regardless of how long 01:29:28PM

23 the maturity is on those MTNs? 01:29:29PM

24 A. Yes. So they would issue off 01:29:31PM

25 of a commercial paper shelf or an MTN 01:29:33PM

Page 7


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1 DONOHUE

2 shelf and that shelf has that rating. So 01:29:36PM

3 the MTN shelf was rated AAA. 01:29:38PM

4 Q. And as I understand it, that 01:29:41PM

5 would be the same for both a 397-day 01:29:42PM

6 maturity as well as a three-year maturity? 01:29:45PM

7 A. Correct. 01:29:48PM

8 Q. You can put that down. 01:29:50PM

9 (Donohue Exhibit 4 marked for 01:29:58PM

10 identification.) 01:30:09PM

11 Q. Mr. Donohue, you have been 01:30:11PM

12 handed what we have marked as Donohue 4. 01:30:15PM

13 You are free to review the entire 01:30:19PM

14 document, but I will tell you that once 01:30:20PM

15 again the questions will focus on the 01:30:22PM

16 first page. 01:30:23PM

17 A. Okay. 01:30:24PM

18 (Witness perusing document.) 01:30:26PM

19 MR. HURWITZ: I would suggest 01:30:29PM

20 just looking at the entire document, 01:30:31PM

21 because it is an e-mail string, so the 01:30:32PM

22 discussion on the first page -- you may 01:30:35PM

23 benefit from the context. 01:30:38PM

24 THE WITNESS: Okay. 01:30:40PM

25 (Witness perusing document.) 01:30:40PM

Page 8


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1 DONOHUE

2 might have to go through. Given the fact 03:35:05PM

3 that they were U.K. entities, there was 03:35:07PM

4 bankruptcy law in the U.K. that she or 03:35:09PM

5 someone was going to have to deal with. 03:35:12PM

6 We had never had an SIV default 03:35:14PM

7 in the 30 years before this when money 03:35:17PM

8 market funds -- you know, since money 03:35:20PM

9 market funds have been around. So I think 03:35:22PM

10 her general statement was yeah, there was 03:35:25PM

11 a lot of different outcomes or 03:35:27PM

12 permutations it could take, and it was 03:35:27PM

13 unknown territory because there was no 03:35:30PM

14 precedent for anything like this. 03:35:33PM

15 Q. SIVs hadn't been around for 30 03:35:33PM

16 years? 03:35:36PM

17 A. SIVs have not. Sigma was the 03:35:36PM

18 first and oldest and most established SIV. 03:35:37PM

19 They were the most experienced managers. 03:35:40PM

20 They were ex-Citibank guys. They had been 03:35:43PM

21 around I believe since the early or 03:35:46PM

22 mid-1990s. 03:35:48PM

23 Q. Now, if you turn to Bates 03:35:51PM

24 number 229745 of this exhibit, if you look 03:35:53PM

25 at time 22:23:22, you ask "Does he think 03:36:08PM

Page 9


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1 DONOHUE

2 Who was it, then, that provided 05:02:41PM

3 you with information about Sigma on 05:02:44PM

4 September 30th, 2008? 05:02:46PM

5 MR. HURWITZ: Objection to 05:02:48PM

6 form. Asked and answered. 05:02:49PM

7 A. I have no idea. I don't 05:02:49PM

8 recall. I don't know. This was two years 05:02:52PM

9 ago. 05:02:54PM

10 Q. So when you say the horse's 05:02:54PM

11 mouth or the horse doing the seizing, you 05:02:55PM

12 wrote that at the time but you are saying 05:02:59PM

13 today under oath that you don't know who 05:03:00PM

14 you were referring to at the time? 05:03:03PM

15 A. I am saying that I do not know 05:03:03PM

16 who I'm talking to. And if the seizing 05:03:05PM

17 was done by JPMorgan London repo desk I 05:03:07PM

18 have never spoken to or have any contact 05:03:09PM

19 with anyone on the London repo desk at 05:03:12PM

20 this point in time and I have never to 05:03:15PM

21 this date ever spoken to anyone at 05:03:17PM

22 JPMorgan on the London repo desk in my 05:03:20PM

23 entire career. 05:03:22PM

24 Q. Okay. But JPMorgan's London 05:03:23PM

25 desk could have been seizing and you could 05:03:26PM

Page 10

EXHIBIT G

HIGHLY CONFIDENTIAL

212-267-6868 WWW.veritext.com 516-608-2400VERITEXT NEW YORK REPORTING COMPANY

Page 1

UNITED STATES DISTRICT COURT FOR THE SOUTHERN DISTRICT OF NEW YORK____________________________________

BOARD OF TRUSTEES OF THE AFTRA No. 09-cv-006869(SAS)(DF)RETIREMENT FUND, in its capacity as afiduciary of the AFTRA Retirement Fund,individually and on behalf of all others similarlysituated, Plaintiff,

v.

JPMORGAN CHASE BANK, N.A., Defendant._____________________________________

BOARD OF TRUSTEES OF THE IMPERIAL No. 09-cv-03020(SAS)(DF)COUNTY EMPLOYEES' RETIREMENTSYSTEM, in its capacity as a fiduciary of theImperial County Employees' Retirement System,individually and on behalf of all others similarlysituated,

Plaintiff,

v.

JPMORGAN CHASE BANK, N.A., Defendant._____________________________________THE INVESTMENT COMMITTEE OF THE No. 09-cv-4408(SAS)(DF)MANHATTAN AND BRONX SURFACETRANSIT OPERATING AUTHORITYPENSION PLAN, in its capacity as a fiduciaryof the MaBSTOA Pension Plan, individually andon behalf of all others similarly situated,

Plaintiff,

v.

JPMORGAN CHASE BANK, N.A.. Defendant._______________________________________.

Page 1

HIGHLY CONFIDENTIAL


Page 2

1 *** THIS ENTIRE TRANSCRIPT IS DESIGNATED

2 HIGHLY CONFIDENTIAL ***

3 Thursday, June 10, 2010

4

5 VIDEOTAPED DEPOSITION OF MR. TIMOTHY PAUL GLASGOW

6 At: 10.13 A.M.

7

8 Taken at:

9 Paul, Weiss, Rifkind, Wharton & Garrison LLP Adler Castle

10 10 Noble Street, EC2V 7JU London, England

11

12 Reported by: MRS. TRISH BRADY

13

14

15

16

17

18

19

20

21

22

23

24

25

Page 2

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Page 40

1 that. 11:03:09:19

2 The request made by whomever to bring 11:03:12:01

3 you over the wall was ultimately approved, is that 11:03:15:09

4 correct? 11:03:17:28

5 A. Yes. 11:03:23:12

6 Q. So you came over to the private 11:03:25:16

7 side of the informational wall? 11:03:27:06

8 A. In respect of those transactions, 11:03:35:12

9 yes. 11:03:36:27

10 Q. And in respect to those 11:03:38:09

11 transactions, you received certain non-public 11:03:40:04

12 material information to enable you to perform your 11:03:44:15

13 function, is that correct? 11:03:47:07

14 MR. HURWITZ: Objection to the form. 11:03:49:21

15 A. Can you rephrase the question? 11:03:55:21

16 BY MR. LEVAN: 11:03:57:21

17 Q. Sure. Presumably there was a 11:03:58:27

18 reason that you were being brought over from the 11:04:00:27

19 public side to the private side in connection with 11:04:03:03

20 the Clove Hitch transactions, correct? 11:04:05:06

21 A. To work on the transactions, it was 11:04:26:12

22 a JPMorgan internal requirement that I went over 11:04:28:18

23 the wall. 11:04:33:03

24 Q. One of the reasons that you were 11:04:34:21

25 brought over the wall was because you would be 11:04:36:10

Page 3

HIGHLY CONFIDENTIAL


Page 41

1 receiving information about the counterparty to 11:04:40:15

2 the Clove Hitch transactions that was not in the 11:04:45:15

3 public domain, isn't that correct? 11:04:48:03

4 A. It was a JPMorgan requirement, an 11:04:52:06

5 internal requirement, that to work on those 11:04:54:03

6 transactions I went over the wall. 11:04:56:09

7 Q. I understand that, sir. I'm asking 11:04:58:06

8 a different question. My question is: in that 11:04:59:18

9 process of you coming over the wall and working on 11:05:02:00

10 the transaction, you received information about 11:05:05:03

11 the counterparty to the Clove Hitch transactions 11:05:09:25

12 that was not in the public domain, isn't that 11:05:12:27

13 correct? 11:05:15:28


15 A. I don't think it's up to me to 11:05:33:10

16 speculate what is and isn't in the public domain. 11:05:34:27

17 BY MR. LEVAN: 11:05:37:21

18 Q. Would there be any reason for you 11:05:38:22

19 to be brought over the wall if you were only 11:05:40:06

20 receiving public information? 11:05:42:12

21 A. If JPMorgan policy said that 11:05:47:09

22 I needed to be over the wall in order to work on 11:05:49:28

23 that transaction, then that's what I would do. 11:05:52:15

24 Q. While you -- you, in fact, worked 11:05:55:28

25 on the Clove Hitch transactions, correct? 11:05:57:16

Page 4

HIGHLY CONFIDENTIAL


Page 241

1 Sigma. 18:23:00:18

2 Q. At the time that you sent language 18:23:02:09

3 to Sigma, did you include an attached spreadsheet? 18:23:03:22

4 A. I believe so. I don't -- I 18:23:28:10

5 don't -- I don't recall. 18:23:34:28

6 Q. Did JPMorgan -- well, strike that. 18:23:35:28

7 You said you sent language to 18:23:42:06

8 Sigma Finance and you don't believe that 18:23:45:06

9 Sigma Finance then sent the notice to dealers, is 18:23:47:12

10 that correct? 18:23:50:12


12 A. What I said was that I don't 18:24:00:06

13 believe, based on my memory of events, that Sigma 18:24:02:10

14 exercised their right to run a BWIC. I can't 18:24:07:18

15 remember the last word I used, but a BWIC -- BWIC 18:24:13:21

16 process. That's what I said. 18:24:19:07

17 BY MR. LEVAN: 18:24:24:04

18 Q. Did JPMorgan thereafter employ a 18:24:24:16

19 BWIC process in connection with any of the 18:24:26:18

20 collateral that Sigma Finance had posted in 18:24:30:28

21 connection with Clove Hitch 2? 18:24:34:00

22 A. As part of the valuation process, 18:24:42:21

23 following the event of default notice served in 18:24:47:07

24 respect of Clove Hitch 2, JPMorgan ran a BWIC. 18:24:50:24

25 Q. Did you participate or have any 18:24:56:03

Page 5

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Page 242

1 involvement in that BWIC process? 18:24:58:04

2 A. I believe I wrote the e-mail 18:25:05:19

3 outlining the rules and the details of the BWIC 18:25:08:24

4 which would be similar to, you know, what you see, 18:25:12:22

5 what you've shown me with -- you know, but it 18:25:17:27

6 would be coming from JPMorgan rather than from 18:25:23:00

7 Gordian Knot. 18:25:25:13

8 So there was -- I wrote an e-mail that 18:25:26:19

9 outlined the rules of that particular BWIC and 18:25:31:15

10 from memory, I was the one who sent that out to 18:25:36:24

11 the relevant dealers that I was -- that I was -- 18:25:40:13

12 details of which I was supplied with. 18:25:44:21

13 Q. Did you -- 18:25:48:00

14 A. That was for Clove Hitch 2. 18:25:48:07

15 I believe for Clove Hitch 3 that 18:25:49:27

16 I provided an e-mail form for the credit hybrids 18:25:51:19

17 department to use if they so wished. 18:25:58:00

18 Q. Sticking with Clove Hitch 2. The 18:26:00:24

19 e-mail that you drafted as part of the BWIC 18:26:02:27

20 process, did you attach a spreadsheet to that 18:26:07:03

21 e-mail prior to sending it to dealers? 18:26:10:16

22 A. I believe so. That's how the 18:26:17:00

23 process would run; you are invited to provide 18:26:18:25

24 quotes in respect of all or some of the securities 18:26:24:10

25 in the attached spreadsheet. Based on what I see 18:26:29:09

Page 6

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Page 243

1 here, I have no reason to suspect that it was 18:26:31:25

2 anything other than a similar format. 18:26:34:00

3 Q. Did you prepare the spreadsheet 18:26:37:04

4 that went along with your e-mail? 18:26:38:25

5 A. No. 18:26:40:12

6 Q. Who -- who prepared that 18:26:41:03

7 spreadsheet? 18:26:42:15

8 A. From memory, I received that from 18:26:48:21

9 Charles Gunn. That would suggest that, you know, 18:26:50:00

10 based on my memory he would have -- you know, him 18:26:54:15

11 and Juan, who had joint responsibility for the 18:26:59:04

12 daily valuation process, would have maintained 18:27:03:15

13 that spreadsheet. 18:27:07:12

14 Q. Were all of the -- were all of the 18:27:08:24

15 securities that Sigma Finance had posted in 18:27:11:19

16 connection with the Clove Hitch 2 transaction 18:27:14:15

17 included in the attachment that went with your 18:27:18:25

18 e-mail to the dealers? 18:27:22:00

19 A. That is my understanding of what 18:27:29:00

20 was going on. I don't -- I can't verify that all 18:27:30:00

21 the securities were in there. 18:27:34:15

22 Q. Did you play any role in the BWIC 18:27:36:27

23 process subsequent to sending out the e-mail with 18:27:41:12

24 the attached spreadsheet to the dealers? 18:27:47:22

25 A. As far as I remember, only in that 18:27:53:19

Page 7

HIGHLY CONFIDENTIAL


Page 244

1 despite the instructions in the e-mail some people 18:27:57:18

2 replied to me rather than to Juan and Charlie and 18:28:01:01

3 Stuart Wain may have been involved as well. 18:28:05:22

4 So I -- from memory, I received some 18:28:07:07

5 replies which I forwarded on to the relevant 18:28:11:03

6 contacts. 18:28:14:24

7 Q. Did you do anything in response to 18:28:15:09

8 those replies other than forward them to Mr. Gunn 18:28:16:24

9 or one of his associates, or colleagues I should 18:28:22:06

10 say? 18:28:24:28

11 A. Based on my memory, no. 18:28:29:12

12 Q. The -- if you look at the second 18:28:32:00

13 page of Glasgow 20, there are five dealers 18:28:33:12

14 identified as approved dealers, that being: 18:28:40:24

15 Morgan Stanley, Barclays Bank, Deutsche Bank, 18:28:44:03

16 Credit Suisse and Lehman Brothers. Do you see 18:28:48:12

17 that? 18:28:51:15

18 A. I do, yes. 18:28:52:25

19 Q. Who decided which dealers would be 18:28:58:10

20 approved dealers for purposes of the auction? 18:29:00:15

21 A. It's in the contract. 18:29:03:15

22 Q. It's within the Clove Hitch 2 18:29:05:04

23 contract? 18:29:06:24

24 A. These dealers are within the 18:29:08:24

25 Clove Hitch 2 contract. I don't know if -- 18:29:10:06

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HIGHLY CONFIDENTIAL


Page 245

1 I believe there were equivalent dealers in 18:29:14:24

2 Clove Hitch 3. I'm not sure if they're the same 18:29:17:16

3 ones. 18:29:19:21

4 Q. And then other than preparing 18:29:20:00

5 similar language and forwarding that language on 18:29:23:00

6 to the -- to the credit hybrids desk, did you play 18:29:26:18

7 any other role in the BWIC process in connection 18:29:30:22

8 with Clove Hitch 3? 18:29:34:00

9 A. I don't believe so. They may have 18:29:42:12

10 asked me follow-up questions. I -- my memory of 18:29:43:18

11 that is not clear. 18:29:47:15

12 Q. Did you also seek bids on behalf of 18:29:59:15

13 Petunia in connection with the Petunia 18:30:06:15

14 transaction? 18:30:09:22

15 A. I believe so. 18:30:16:16

16 Q. And did you ultimately send out the 18:30:17:21

17 e-mail to dealers in connection with the Petunia 18:30:20:12

18 transaction? 18:30:23:16

19 A. I believe I did. 18:30:30:13

20 Q. Did the e-mail that you sent in 18:30:32:22

21 connection with the Petunia transaction also 18:30:34:09

22 include a spreadsheet that identified certain 18:30:37:01

23 securities for which JPMorgan was seeking a bid? 18:30:41:18

24 A. I have no reason to believe that it 18:30:57:18

25 wouldn't have followed the same format whereby you 18:30:59:00

Page 9

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Page 246

1 outline to the dealers that you're asking for 18:31:01:13

2 quotes, the -- what the rules of the auction are 18:31:06:28

3 in terms of the turn around time, et cetera, and 18:31:11:12

4 also the securities on which you're inviting bids 18:31:14:28

5 for. 18:31:19:18

6 Q. Do you know whether the credit 18:31:24:01

7 hybrids desk also sent or also engaged in a BWIC 18:31:25:12

8 process in connection with Clove Hitch 3? 18:31:31:18

9 A. My memory is that again, 18:31:39:27

10 Gordian Knot or Sigma did not exercise their 18:31:43:07

11 contractual right to run a BWIC. I know that 18:31:46:18

12 I prepared a BWIC e-mail for credit hybrids. I 18:31:51:21

13 don't know whether they used that or not. 18:31:57:15

14 Q. Do you know whether they sought 18:32:01:00

15 bids on any of the securities posted in connection 18:32:02:19

16 with Clove Hitch 3 regardless of whether they used 18:32:07:09

17 your language in seeking those bids? 18:32:10:19

18 A. I -- I don't remember how they 18:32:21:03

19 obtained the valuations because I wasn't involved 18:32:22:18

20 in that process directly. 18:32:25:22

21 Q. Once the bids came back with 18:32:29:06

22 respect to Clove Hitch 2, am I correct in 18:32:30:28

23 understanding that those bid prices were used to 18:32:35:18

24 help calculate the value of the securities that 18:32:39:19

25 Gordian Knot had provided in accordance with 18:32:44:09

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Page 257

1 A. I -- I believe so based on -- yeah, 18:49:57:00

2 based on what I have seen, yeah -- 18:49:59:16

3 Q. Was that -- I'm sorry, I didn't 18:50:03:18

4 mean to interrupt you. 18:50:03:27

5 A. From what I've seen and what I can 18:50:04:25

6 remember, I believe so. 18:50:06:16

7 Q. Was that set up at your request or 18:50:07:27

8 was that something that the JPMorgan decided to 18:50:09:27

9 implement for you? 18:50:12:19

10 A. It's been like that for eight and a 18:50:13:27

11 half years. 18:50:15:18

12 Q. It's been that way since you 18:50:17:10

13 started with JPMorgan? 18:50:18:22

14 A. Yeah. 18:50:19:21

15 Q. Prior to the filing of this 18:50:21:06

16 specific lawsuit, were you ever -- bless you -- 18:50:24:28

17 were you ever aware that the securities lending 18:50:28:18

18 program within JPMorgan Treasury and Securities 18:50:38:00

19 Services held investments in Sigma medium term 18:50:41:09

20 notes? 18:50:50:12

21 A. Sorry, can you repeat the question? 18:50:53:13

22 Q. Sure. When did you find out about 18:50:55:03

23 the filing of this lawsuit? 18:50:58:10

24 A. I don't remember. 18:51:04:06

25 Q. Was it within calendar year 2010? 18:51:05:06

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Page 258

1 A. I think it was earlier than that, 18:51:22:19

2 but I would be speculating. 18:51:23:19

3 Q. From whom did you find out that the 18:51:25:21

4 lawsuit had been filed? 18:51:28:09

5 A. I believe the initial communication 18:51:39:24

6 would have come from Roger Barbour. 18:51:41:15

7 Q. Do you know how long the case had 18:51:47:03

8 been proceeding by the time Mr. Barbour informed 18:51:48:24

9 you of the -- of the case? 18:51:52:25

10 A. No, I don't remember the detail of 18:52:00:13

11 the communication. 18:52:02:00

12 Q. Prior to that conversation -- 18:52:04:18

13 strike that. 18:52:06:07

14 Was it a conversation with Mr. Barbour? 18:52:07:27

15 A. I believe it was an e-mail. 18:52:10:03

16 Q. Prior to receiving an e-mail from 18:52:12:04

17 Mr. Barbour about this case at any point in time 18:52:14:00

18 before that, were you aware of the fact that 18:52:19:24

19 JPMorgan securities lending program, within 18:52:23:28

20 JPMorgan Treasury and Securities Services, held 18:52:27:21

21 investments in medium term notes issued by 18:52:33:01

22 Sigma Finance? 18:52:36:06

23 A. I don't recall being aware of that. 18:52:39:19

24 Q. Prior to receipt of Mr. Barbour's 18:52:42:18

25 e-mail, any time prior to that, were you aware of 18:52:46:22

Page 12

HIGHLY CONFIDENTIAL


Page 259

1 the fact that money market funds managed by 18:52:50:03

2 JPMorgan Asset Management had invested in medium 18:52:55:15

3 term notes issued by Sigma Finance? 18:52:59:25

4 A. I don't recall being aware of that. 18:53:02:18

5 MR. LEVAN: I reserve my rights as to 18:53:38:03

6 Mr. Glasgow's designation as a 30(b)(6) designee 18:53:41:16

7 on Topics 1 and 3, the second 30(b)(6) notice. 18:53:45:19

8 But otherwise, I have no further questions for 18:53:48:18

9 Mr. Glasgow. 18:53:50:21

10 MR. HURWITZ: I have no questions. 18:53:51:25

11 VIDEOGRAPHER: OK. This concludes the 18:53:53:16

12 deposition of Paul Glasgow. The total number of 18:53:55:03

13 tapes used is four. We are going off the record. 18:53:59:01

14 The time is 6.54 p.m. 18:54:01:00

15 18:54:02:00

16 (Whereupon the deposition concluded at 6.54 p.m.) 18:54:03:22

17

18

19

20

21

22

23

24

25

Page 13

EXHIBIT H

EXHIBIT I

In The Matter Of: BOARD OF TRUSTEES OF THE AFTRA RETIREMENT FUND,

et al v. JPMORGAN CHASE BANK, N.A.

___________________________________________________

Miller, Geoffrey P. ‐ 06/02/2010June 2, 2010

___________________________________________________

Page 1

MILLER, GEOFFREY P. - 6/2/2010

1-800-325-3376 www.merrillcorp.com/lawMerrill Corporation - New York

Page 142

1 GEOFFREY P. MILLER

212:00:29 one thing I looked at that I -- I took account

312:00:31 of.

412:00:32 He also made an effort, which I

512:00:34 found to be very unconvincing, to show that

612:00:41 there were significant differences in the -- in

712:00:45 the portfolios of these class members and to tie

812:00:49 this into what he called modern portfolio

912:00:52 theory.

1012:00:52 I wasn't really sure why he called

1112:00:54 it modern portfolio theory because it's been

1212:00:56 around since the 1950s, and whether he was

1312:01:00 trying to distinguish modern portfolio theory

1412:01:02 from something else, but be that as it may.

1512:01:05 He -- he -- his -- his -- his

1612:01:06 empirical analysis didn't actually look at the

1712:01:09 portfolios of any class members. What he looked

1812:01:14 at was the performance of their investments that

1912:01:16 were being managed by JPMorgan Chase, which is

2012:01:19 not their portfolios, it's just what JPMorgan

2112:01:24 Chase did.

2212:01:25 And to find that there were

2312:01:26 difference in these portfolios is hardly

2412:01:29 surprising. Those portfolios were picked by

2512:01:32 different portfolio managers at JPMorgan, so, of

Page 2


Page 1

UNITED STATES DISTRICT COURTFOR THE SOUTHERN DISTRICT OF NEW YORK

Consolidated Case No. 09-cv-006869(SAS)(DF)- - - - - - - - - - - - - - - - - - - - -x

BOARD OF TRUSTEES OF THE AFTRA RETIREMENTFUND, in its capacity as a fiduciary ofthe AFTRA Retirement Fund, individuallyand on behalf of all other similarlysituated,

Plaintiff,

-against-

JPMORGAN CHASE BANK, N.A.,

Defendant.

- - - - - - - - - - - - - - - - - - - - -x

November 18, 2010 9:59 a.m.

Videotaped Deposition of

DANIEL NIGRO, taken by attorneys for Defendant,

pursuant to notice, held at the offices of Paul

Weiss Rifkind Wharton & Garrison, LLP, 1285

Avenue of the Americas, New York, New York,

before Helen Mitchell, a Shorthand Reporter and

Notary Public.

Page 3


Page 93

1 Nigro

2 as are money market funds, yes. 11:45:44

3 Q Okay. And money market funds, you 11:45:47

4 say, are widely regarded in the financial 11:45:48

5 industry as one of the most conservative, liquid 11:45:50

6 and safe investments available; is that right? 11:45:53

7 A Yes. 11:45:55

8 Q And you would agree with me that 11:45:56

9 sometimes even money market funds, 2a-7 money 11:45:57

10 market funds, incur losses; right? 11:46:02

11 A Yes. 11:46:07

12 Q In fact, in late September 2008, 11:46:08

13 around the time that Sigma went into 11:46:12

14 receivership, some money market funds incurred 11:46:15

15 losses; right? 11:46:18

16 MR. BECKWORTH: Objection. 11:46:19

17 A I don't recall specifically when 11:46:26

18 the timing was of any particular losses by money 11:46:27

19 market funds. 11:46:31

20 Q Do you recall that after the 11:46:32

21 Lehman bankruptcy, within a few days, a number 11:46:34

22 of money market funds broke the buck? 11:46:37

23 A I am aware that there was a money 11:46:39

24 market fund that broke the buck. 11:46:41

25 Q And that was -- that was in the 11:46:43

Page 4


Page 94

1 Nigro

2 wake of the Lehman bankruptcy; do you recall 11:46:45

3 that? 11:46:47

4 A I'm sorry, what do you mean by "in 11:46:48

5 the wake of"? 11:46:49

6 Q Within a couple of weeks. 11:46:51

7 A Yes. 11:46:54

8 Q And you recall that there were 11:46:55

9 other money market funds that would have broken 11:46:57

10 the buck if the government hadn't agreed to 11:47:03

11 insure certain money market deposits; right? 11:47:05


13 A I don't recall specifically how 11:47:13

14 many funds and the government's involvement at 11:47:13

15 this particular point in time. 11:47:18

16 Q I'm not asking how many funds, but 11:47:19

17 you do recall in general that there were money 11:47:21

18 funds that were at risk of breaking the buck, 11:47:22

19 and did not break the buck because the 11:47:26

20 government stepped in; right? 11:47:28

21 A Yes. 11:47:30

22 Q Okay. 11:47:30

23 And so we're clear, breaking the 11:47:31

24 buck essentially means incurring a loss; right? 11:47:39

25 A Incurring a loss, yes. 11:47:43

Page 5


Page 360

1 Nigro

2 say, "If you were conservative enough, what 17:59:12

3 would you have done?" And you say, "In 17:59:15

4 retrospect, I probably should have found another 17:59:17

5 line of business four years ago." 17:59:21

6 You said that; right? 17:59:22

7 A I did. 17:59:23

8 Q So when you were asked about the 17:59:26

9 losses that you and your company had incurred 17:59:27

10 for your investors, your response was there were 17:59:32

11 just so many risks, you couldn't avoid them all, 17:59:35

12 "I was conservative, but I wasn't conservative 17:59:37

13 enough"; right? 17:59:44

14 MR. BECKWORTH: Objection, asked 17:59:46

15 and answered. 17:59:46

16 Q That's what you said? 17:59:47

17 A At that time in 2008, yes. 17:59:48

18 Q What were the risks that you 17:59:49

19 couldn't avoid? 17:59:52

20 A The risks that I couldn't avoid? 18:00:01

21 There was a wholesale downturn in 18:00:10

22 housing prices, among other things. 18:00:12

23 Q Well, but I thought you've told us 18:00:16

24 that you foresaw that wholesale downturn in 18:00:18

25 housing prices in the first half of 2007; right? 18:00:20

Page 6


Page 361

1 Nigro

2 A I foresaw parts of it, elements of 18:00:24

3 it. 18:00:26

4 Q And then -- 18:00:27

5 A And I thought I was being 18:00:28

6 conservative, I just wasn't conservative enough. 18:00:29

7 Q Okay, but one of the -- so you 18:00:31

8 tell -- one risk you're saying you couldn't 18:00:33

9 avoid was the wholesale downturn in housing 18:00:35

10 prices, which you say you foresaw some of in the 18:00:37

11 first half of 2007. 18:00:40

12 A That is correct. 18:00:42

13 Q And yet you continued to market 18:00:42

14 CDOs, close to $2 billion worth, after that 18:00:45

15 time; is that right? 18:00:49

16 A After -- 18:00:50


18 A I'm sorry, after -- 18:00:51

19 Q After you foresaw a wholesale 18:00:52

20 decline in the housing crisis -- in the housing 18:00:54

21 market? That's what you told us. 18:00:57


23 A I said that I saw a decline in the 18:00:59

24 housing market months later, in 2008. In May of 18:01:02

25 2008 I said that I didn't see as much of the 18:01:08

Page 7


Page 362

1 Nigro

2 risks and losses and downturn. 18:01:14

3 Q Right. My question is, when -- 18:01:16

4 what were the risks that you told NPR you 18:01:20

5 couldn't avoid? 18:01:25

6 A By that time, across all RMBS 18:01:38

7 sectors, losses were coming in at many multiples 18:01:41

8 of the original projections. And in fact, today 18:01:46

9 across all sectors losses are coming in at five 18:01:49

10 to seven times what were originally projected. 18:01:54

11 That's why it was not a subprime crisis, it 18:01:56

12 never has been a subprime crisis, and those 18:01:59

13 losses extend into the prime sector. 18:02:02

14 Q When you say "today," I just want 18:02:06

15 to be clear, you're talking about today, 18:02:08

16 November 2010? 18:02:09

17 A Yeah. 18:02:10

18 Q And is it your testimony that the 18:02:13

19 extent of losses in the housing sector was a 18:02:16

20 risk that you could not avoid? 18:02:18

21 A Yes. 18:02:20

22 Q Are there other -- were there 18:02:22

23 other risks that you were referring to when you 18:02:23

24 said there were so many risks you couldn't avoid 18:02:27

25 them all? 18:02:29

Page 8


Page 363

1 Nigro

2 A There are many risks inherent in 18:02:38

3 the securities that we bought. And in fact, we 18:02:41

4 identify characteristics that were more risky. 18:02:45

5 What we didn't know is how they interacted, and 18:02:49

6 it was the interaction of what we termed layered 18:02:52

7 risk combined with a wholesale downturn in 18:02:55

8 housing, combined with a full-blown great 18:02:58

9 recession that ended up being the worst downturn 18:03:01

10 since the Great Depression, and we did not 18:03:09

11 foresee. 18:03:13

12 Q You did not foresee that it would 18:03:14

13 be the worst downturn since the Great 18:03:15

14 Depression; right? 18:03:17

15 A I did not. 18:03:19

16 Q Now, is it true in hindsight, in 18:03:20

17 May 2008 the credit crisis was much worse than 18:03:23

18 you had foreseen; is that true? 18:03:27

19 A That is true. 18:03:29

20 Q And the credit crisis got even 18:03:30

21 worse over the next four to five months; right? 18:03:32

22 A I'm sorry, over what four to five 18:03:36

23 months? 18:03:37

24 Q Between May 2008 and the end of 18:03:38

25 September 2008, the credit crisis got even 18:03:40

Page 9


Page 364

1 Nigro

2 worse; right? 18:03:42

3 A Yes. 18:03:43

4 Q And so the losses on your CDOs, 18:03:44

5 and everybody else's CDOs, multiplied; right? 18:03:49

6 A Um-hum. 18:03:53

7 Q Is that a yes? 18:03:54

8 A Yes. 18:03:55

9 Q So when you said you weren't 18:04:03

10 conservative enough, that was -- you were 18:04:04

11 saying, "In hindsight, I wasn't as conservative 18:04:06

12 as I should have been"? 18:04:10


14 Q Right? 18:04:14

15 A I refused to invest in some of the 18:04:19

16 riskiest mortgages, I never bought an option pay 18:04:23

17 ARM mortgage, among other things. I knew I was 18:04:26

18 conservative. I was more conservative than 18:04:29

19 other people, I just wasn't conservative enough 18:04:33

20 not to lose money. And I was managing an 18:04:39

21 account that was designed to take higher risks 18:04:42

22 than a 2a-7 fund. 18:04:44

23 Q Well -- 18:04:46

24 A I wasn't conservative enough. 18:04:48

25 Q And when you said you disclosed 18:04:52

Page 10


- against -



- against -


December 9, 2010 9:10 a.m.

DEPOSITION OF FIACHRA O'DRISCOLL

Page 11

1 O'DRISCOLL

2 Q. Fair enough. What happened was 02:20:27PM

3 there was a huge credit crisis in the 02:20:28PM

4 United States beginning in the summer of 02:20:30PM

5 2007; is that right? 02:20:32PM

6 MR. SEIDEL: Objection. 02:20:33PM

7 A. And elsewhere too, yes, but 02:20:34PM

8 yes. 02:20:36PM

9 Q. In the United States and in 02:20:36PM

10 other countries? 02:20:37PM

11 A. Yes. 02:20:38PM

12 Q. Including the U.K.? 02:20:38PM


14 A. Including the U.K. 02:20:42PM

15 Q. And you at Credit Suisse didn't 02:20:44PM

16 predict when this credit crisis would hit, 02:20:47PM

17 you didn't predict it in advance, did you? 02:20:51PM


19 A. "You at Credit Suisse" meaning 02:20:53PM

20 me at Credit Suisse or meaning you's guys 02:20:55PM

21 or ya'all's as my Texas friends would say 02:20:59PM

22 here? 02:21:01PM

23 Q. Right now let's focus on you 02:21:01PM

24 because you are the witness here. 02:21:03PM

25 In the beginning, the first 02:21:07PM

Page 12


Page 1

UNITED STATES DISTRICT COURTFOR THE SOUTHERN DISTRICT OF NEW YORK

Consolidated Case No. 09-cv-006869(SAS)(DF)- - - - - - - - - - - - - - - - - - - - -x

BOARD OF TRUSTEES OF THE AFTRA RETIREMENTFUND, in its capacity as a fiduciary ofthe AFTRA Retirement Fund, individuallyand on behalf of all others similarlysituated,

Plaintiff,

-against-

JPMORGAN CHASE BANK, N.A.,

Defendant.

- - - - - - - - - - - - - - - - - - - - -x

December 3, 2010 9:06 a.m.

Videotaped Deposition of

BERNARD S. BLACK, taken by Defendant,

pursuant to notice, held at the offices

of Paul Weiss Rifkind Wharton & Garrison,

LLP, 1285 Avenue of the Americas, New

York, New York, before Helen Mitchell, a

Shorthand Reporter and Notary Public.

Page 13


Page 171

1 BLACK

2 more ratio trades. But could they stay sort of 14:17:12

3 just on this side of the cliff and persuade 14:17:15

4 enough MTN holders to ratio trade to keep them 14:17:17

5 on the good side of -- of what I call the cliff, 14:17:19

6 or the repo lenders declaring a default? Yes, 14:17:23

7 that's a possible soft landing. 14:17:28

8 I don't have a sense of how 14:17:30

9 probable it was. I think it would have been 14:17:32

10 difficult to achieve because it relies on so 14:17:36

11 many things, but it's certainly a possible soft 14:17:38

12 landing, and I think that I did not describe to 14:17:42

13 my current satisfaction the -- how would you 14:17:47

14 come to a soft landing if you could. 14:17:51

15 Q Now, of course, after Lehman's 14:17:57

16 bankruptcy this mid-September of 2008, asset 14:17:59

17 prices of the assets Sigma held dropped 14:18:02

18 significantly; isn't that right? 14:18:06

19 A Yes. 14:18:07

20 Q And that was the precipitating 14:18:09

21 factor that made it impossible for Sigma to keep 14:18:10

22 going and trying to reach a soft landing of the 14:18:15

23 kind you described? 14:18:19

24 MR. LeVAN: Objection. 14:18:23

25 A I might frame it the following 14:18:23

Page 14


Page 172

1 BLACK

2 way: That Sigma was close to running out of 14:18:26

3 borrowing room, close to the repo cliff, and 14:18:32

4 Lehman pushed them off the edge. 14:18:35

5 Q And the time period you're talking 14:18:38

6 about is that time period in -- in September, 14:18:40

7 Lehman going under around September 15th? 14:18:43

8 A Right. So the second half of 14:18:46

9 September the Lehman bankruptcy caused further 14:18:47

10 deterioration in asset prices, caused further 14:18:52

11 deterioration in liquidity, led to, you know, 14:18:55

12 sustained margin calls from the repo lenders, 14:18:59

13 and Sigma just ran out of time and -- and room. 14:19:01

14 Without Lehman, if asset prices 14:19:06

15 stayed stable, or moved slowly in whatever 14:19:08

16 direction, can I imagine the scenario in which 14:19:11

17 Sigma has enough time to conduct enough ratio 14:19:15

18 trades, and persuades enough counterparties to 14:19:21

19 conduct enough ratio trades to survive? Yes, I 14:19:23

20 can. 14:19:28

21 Q Other than that opinion, any other 14:19:29

22 opinion about the case? Because I'm trying to 14:19:30

23 follow your division between opinions about the 14:19:34

24 case versus reactions to the defendant's 14:19:35

25 rebuttal reports. 14:19:39

Page 15

EXHIBIT J

EXHIBIT K


Page 1


- against -



- against -


December 7, 2010 9:32 a.m.

DEPOSITION OF CHARLES GRICE

Page 1


Page 42

1 C. GRICE

2 Q. Many banks engage in repo 10:08:15AM

3 financing as a lender? 10:08:17AM

4 A. Yes. 10:08:18AM

5 Q. And many banks, indeed many 10:08:19AM

6 financial institutions, also engage in 10:08:21AM

7 repo lending as borrowers, right? 10:08:23AM

8 A. I think we need to be a little 10:08:25AM

9 careful on timing, but generally yes. 10:08:27AM

10 Things changed in the late somewhat -- but 10:08:29AM

11 generally yes. 10:08:33AM

12 Q. For purposes of our discussion, 10:08:34AM

13 unless I say otherwise, let's assume we 10:08:36AM

14 are talking about 2007-2008. Is that 10:08:38AM

15 okay? 10:08:42AM

16 A. Okay. 10:08:42AM

17 Q. A repo is akin to a secured 10:08:42AM

18 loan except that the lender takes title to 10:08:53AM

19 the assets; is that right? 10:08:59AM

20 MR. LeVAN: Objection. 10:09:00AM

21 A. I'm sorry, say it again, 10:09:02AM

22 please. 10:09:04AM

23 Q. Sure. Would you agree with me 10:09:04AM

24 that a repo in an economic manner is akin 10:09:06AM

25 to a secured loan? 10:09:10AM

Page 2


Page 43

1 C. GRICE

2 MR. LeVAN: Objection. 10:09:11AM

3 A. Yeah, with the actual title 10:09:12AM

4 transferring, but yes. 10:09:14AM

5 Q. Let me come back to your 10:09:19AM

6 opinion that JPMorgan engaged in a 10:09:21AM

7 conflict of interest by providing repo 10:09:25AM

8 financing to Sigma. 10:09:27AM

9 First of all, is it important 10:09:29AM

10 to your opinion that JPMorgan earned fees 10:09:30AM

11 in connection with those transactions? 10:09:34AM

12 A. No, I don't think so. 10:09:46AM

13 Q. So your opinion would be the 10:09:48AM

14 same if JPMorgan had not charged fees for 10:09:50AM

15 the repo transactions; is that right? 10:09:54AM


17 Q. Now, suppose -- I just want to 10:09:56AM

18 test your opinion here. 10:10:00AM

19 Let's assume, as is the case, 10:10:02AM

20 that JPMorgan held Sigma medium-term notes 10:10:04AM

21 in a fiduciary account, okay? 10:10:07AM

22 A. Okay. 10:10:09AM

23 Q. Now, could JPMorgan properly, 10:10:09AM

24 that is in accordance with OCC conflict of 10:10:16AM

25 interest rules, make an unsecured loan to 10:10:19AM

Page 3


Page 60

1 C. GRICE

2 manner possible with respect to fiduciary 10:26:43AM

3 clients. 10:26:45AM

4 Q. Did the guidance or the exam 10:26:46AM

5 procedures or the rules anticipate repo 10:26:48AM

6 transactions of the kind that JPMorgan and 10:26:51AM

7 Sigma entered into here? 10:26:54AM

8 A. It is hard to interview the 10:26:57AM

9 rules and ask them. It wasn't explicitly 10:26:59AM

10 anticipated. 10:27:02AM

11 Q. In fact, there is nothing in 10:27:02AM

12 the rules that says that a bank that has a 10:27:04AM

13 company's securities in a fiduciary 10:27:11AM

14 account is not permitted to engage in repo 10:27:13AM

15 financing with the issuer of those 10:27:15AM

16 securities; isn't that right? 10:27:18AM

17 A. That's not specifically 10:27:19AM

18 enumerated as a prohibited activity. 10:27:20AM

19 Q. Okay. Now, would it be -- let 10:27:23AM

20 me change the hypothetical slightly. 10:27:31AM

21 I want you to suppose that 10:27:34AM

22 instead of medium-term notes, what was 10:27:36AM

23 held in the securities lending accounts 10:27:39AM

24 were capital notes which were subordinated 10:27:41AM

25 to the medium-term notes. Are you with me 10:27:44AM

Page 4


Page 163

1 C. GRICE

2 to also be that one would not expect to 12:36:29PM

3 see a lot of public disclosure of this for 12:36:31PM

4 litigation reasons. It would invite 12:36:34PM

5 litigation by disgruntled fiduciary 12:36:36PM

6 customers who now have an official notice 12:36:39PM

7 that they have been damaged by their bank. 12:36:41PM

8 So these are done delicately. 12:36:43PM

9 There are a variety of private as well as 12:36:45PM

10 public enforcement actions that the OCC 12:36:47PM

11 and Fed and FDIC can employ. 12:36:49PM

12 Q. My question to you is, are you 12:36:51PM

13 aware of any enforcement actions taken by 12:36:53PM

14 any federal banking regulator against any 12:36:55PM

15 bank, whether public or private, because 12:36:58PM

16 the bank had a relationship as a lender or 12:37:03PM

17 derivatives counterparty or otherwise with 12:37:07PM

18 a company because the company's securities 12:37:10PM

19 were also held in a fiduciary account? 12:37:13PM

20 A. No, not to my knowledge. 12:37:16PM

21 Q. Now, JPMorgan is examined 12:37:19PM

22 regularly by bank regulators, right? 12:37:24PM

23 A. Continuously. 12:37:26PM

24 Q. There are people from the OCC 12:37:27PM

25 there 365 days a year, or at least every 12:37:30PM

Page 5


Page 204

1 C. GRICE

2 don't tell you how to do the assessment of 02:09:42PM

3 risk. 02:09:44PM

4 Q. And in fact the OCC handbook on 02:09:44PM

5 conflicts specifically contemplates 02:09:47PM

6 instances in which a bank will have a 02:09:50PM

7 customer relationship of one kind or 02:09:53PM

8 another with an issuer while at the same 02:09:55PM

9 time holding the issuer's securities in a 02:09:57PM

10 fiduciary account, do you agree with that? 02:09:59PM

11 A. Yes. 02:10:01PM

12 Q. And the OCC handbook on 02:10:01PM

13 conflicts specifically contemplates 02:10:04PM

14 instances in which a bank will have a loan 02:10:06PM

15 out to a company while at the same time 02:10:09PM

16 holding the company's securities in a 02:10:12PM

17 fiduciary account, right? 02:10:15PM

18 MR. LeVAN: Objection. 02:10:16PM

19 A. You are asking me if I 02:10:16PM

20 recognize? Yes. 02:10:18PM

21 MR. HURWITZ: Can we take a 02:10:20PM

22 two-minute break. 02:10:21PM

23 MR. LeVAN: Sure. 02:10:23PM

24 THE VIDEOGRAPHER: We are going 02:10:24PM

25 off the record. The time is 2:10. 02:10:25PM

Page 6


Page 221

1 C. GRICE

2 comment on flying blind. Having no 02:37:55PM

3 process and no procedure is not superior. 02:37:57PM

4 Q. Would you agree with me that 02:38:10PM

5 that particular issue, the issue of having 02:38:12PM

6 a commercial relationship with an issuer 02:38:15PM

7 where the issuer's securities are held in 02:38:17PM

8 a fiduciary account, is not specifically 02:38:20PM

9 addressed anywhere in the Comptroller's 02:38:22PM

10 Handbook on conflicts of interest? 02:38:24PM

11 A. I would agree. 02:38:25PM

12 Q. I want to be sure I can skip 02:38:27PM

13 over a bunch of documents and not kill an 02:38:57PM

14 excessive number of trees. Is there 02:39:00PM

15 anything in any of the OCC's handbooks 02:39:04PM

16 that you can point to that says that there 02:39:08PM

17 is a conflict concern that arises when a 02:39:14PM

18 bank has a commercial relationship with an 02:39:16PM

19 issuer and at the same time holds the 02:39:19PM

20 issuer's securities in a fiduciary 02:39:21PM

21 account? 02:39:23PM

22 A. No. 02:39:24PM

23 Q. And is there anything that you 02:39:37PM

24 can point to in any of the OCC's handbooks 02:39:38PM

25 that says a bank should be constantly 02:39:41PM

Page 7


Page 227

1 C. GRICE

2 implication of that statement that if 02:45:48PM

3 there is a loan that's not being paid off 02:45:50PM

4 by the security it is okay to hold that 02:45:52PM

5 security in a trust account? 02:45:54PM


7 A. You will have to do that again, 02:45:57PM

8 please, I'm sorry. 02:45:59PM

9 Q. Sure. 02:46:00PM

10 This sentence we are looking at 02:46:00PM

11 now in paragraph 7 on page 22 says one of 02:46:03PM

12 the things the examiner is supposed to do 02:46:06PM

13 is determine whether the issuer used the 02:46:07PM

14 proceeds of any purchased security held as 02:46:10PM

15 a trust asset to pay off any loan by the 02:46:12PM

16 commercial department. Do you see that? 02:46:15PM

17 A. Yes. 02:46:16PM

18 Q. That sentence, again, says 02:46:17PM

19 nothing about purchasing a security to be 02:46:22PM

20 held in a trust account where the issuer 02:46:25PM

21 has a bank loan from the bank, right? 02:46:29PM

22 A. That's right. 02:46:32PM

23 Q. And isn't the implication -- 02:46:32PM

24 well, strike that. 02:46:35PM

25 If it were always prohibited to 02:46:41PM

Page 8


Page 246

1 C. GRICE

2 Q. So it goes from page 6 to page 03:09:32PM

3 29 in very tiny type, single-spaced, 03:09:34PM

4 hard-to-read text, right? 03:09:37PM


6 A. Yes. They are conserving 03:09:40PM

7 trees. 03:09:44PM

8 Q. And would you agree with me 03:09:45PM

9 that this -- nowhere in those many pages 03:09:48PM

10 and many words is there a discussion of 03:09:52PM

11 conflicts arising from a bank having a 03:09:54PM

12 commercial relationship with an issuer and 03:09:58PM

13 at the same time holding the issuer's 03:10:00PM

14 securities in a fiduciary account? 03:10:02PM

15 A. Yes. And I guess I would -- 03:10:04PM

16 obviously one explanation is the scale of 03:10:08PM

17 the banks or the complexity of the 03:10:11PM

18 organizations. But yes, it is not 03:10:12PM

19 enumerated here. 03:10:14PM

20 Q. And that's true, by the way, 03:10:15PM

21 even in section E.2 beginning on page 9 03:10:17PM

22 which deals with securities-related 03:10:22PM

23 activities, right? 03:10:25PM

24 A. Yes. 03:10:25PM

25 Q. Now, many banks operate 03:10:47PM

Page 9


Page 256

1 C. GRICE

2 A. I know the examiner comments so 03:20:04PM

3 far, because we haven't been to the exit 03:20:07PM

4 meeting yet to hear the full presentation, 03:20:09PM

5 has to do with this inadequate risk 03:20:11PM

6 assessment methodology. So I expect the 03:20:13PM

7 examples they will pull out will be very 03:20:15PM

8 specific and very detailed. 03:20:18PM

9 Q. And sitting here today, you 03:20:21PM

10 don't know what those examples are? 03:20:22PM

11 A. I don't know. 03:20:24PM

12 Q. Do you agree with -- do you 03:20:24PM

13 agree that national banks that have 03:20:27PM

14 securities lending or asset management 03:20:30PM

15 businesses regularly engage in commercial 03:20:32PM

16 lending transactions with issuers of 03:20:35PM

17 securities that are held in fiduciary 03:20:38PM

18 accounts? 03:20:40PM


20 A. "Regularly" meaning not 03:20:42PM

21 infrequently? 03:20:45PM

22 Q. Yes. 03:20:45PM

23 A. Yes. 03:20:46PM

24 Q. Yes, you agree? 03:20:46PM

25 A. Yes. I could come up with many 03:20:48PM

Page 10


Page 268

1 C. GRICE

2 right? 03:33:06PM

3 A. Yeah. There was a process for 03:33:07PM

4 posing the question. 03:33:10PM

5 Q. And you agree with me, do you 03:33:12PM

6 not, that JPMorgan as a fiduciary for its 03:33:14PM

7 securities lending clients is not 03:33:20PM

8 obligated to use material nonpublic 03:33:21PM

9 information to trade on for the benefit of 03:33:25PM

10 those clients? 03:33:28PM


12 A. Of course. 03:33:29PM

13 Q. So if JPMorgan as an 03:33:30PM

14 institution on the private side has access 03:33:34PM

15 to material -- strike that. 03:33:36PM

16 If someone within JPMorgan has 03:33:38PM

17 access to material nonpublic information 03:33:40PM

18 about Sigma, JPMorgan is not permitted and 03:33:42PM

19 certainly not required to use that 03:33:45PM

20 material nonpublic information to trade on 03:33:47PM

21 for the benefit of its fiduciary clients, 03:33:49PM

22 right? 03:33:51PM


24 A. Yes. 03:33:52PM

25 Q. Are you aware of any evidence 03:33:53PM

Page 11


Page 269

1 C. GRICE

2 in this case that material nonpublic 03:34:02PM

3 information about Sigma was transmitted 03:34:05PM

4 over the wall, that is in violation of the 03:34:10PM

5 wall policies, to personnel responsible 03:34:12PM

6 for managing the plaintiffs' investment 03:34:16PM

7 accounts? 03:34:19PM

8 A. Well, I know that Shin and 03:34:23PM

9 Wilson have information. I don't know the 03:34:24PM

10 quality of the information. I don't know 03:34:26PM

11 the source. But I know the information 03:34:27PM

12 ends up on that side of the wall. It is 03:34:30PM

13 unclear how or if it is transmitted 03:34:33PM

14 illegally or improperly. 03:34:36PM

15 Q. Let me just be clear here. 03:34:37PM

16 Let's take Wilson as an example. If 03:34:41PM

17 Wilson hears a market rumor that JPMorgan 03:34:43PM

18 is a lender to Sigma, that's not a breach 03:34:45PM

19 of the wall, right? 03:34:50PM

20 A. Right. 03:34:51PM

21 Q. And, likewise, if Shin hears a 03:34:51PM

22 market rumor that JPMorgan is a repo 03:34:57PM

23 lender to Sigma, that's not a breach of 03:34:59PM

24 the wall either, right? 03:35:01PM

25 A. If it is a market rumor, yes, 03:35:02PM

Page 12


Page 270

1 C. GRICE

2 and the source is not her colleague. 03:35:05PM

3 Q. Apart from the testimony about 03:35:07PM

4 market rumors -- strike that. 03:35:09PM

5 Are you aware of any evidence 03:35:11PM

6 in this case that any nonpublic 03:35:13PM

7 information about Sigma was transmitted to 03:35:18PM

8 the personnel responsible for investing 03:35:23PM

9 the securities lending collateral other 03:35:26PM

10 than people hearing market rumors? 03:35:32PM


12 A. No. 03:35:35PM

13 Q. Would you also agree with me 03:35:35PM

14 that public information about what 03:35:40PM

15 investments JPMorgan Asset Management held 03:35:45PM

16 can properly be on the private side of the 03:35:49PM

17 wall? 03:35:52PM

18 A. Say that again. 03:35:54PM

19 Q. Sure. JPMorgan Asset 03:35:55PM

20 Management, as we've said, manages a bunch 03:35:58PM

21 of investment funds, right? 03:36:02PM

22 A. Uh-huh. 03:36:04PM

23 Q. And those investment funds 03:36:05PM

24 periodically record what they hold, right? 03:36:07PM

25 A. Yes. 03:36:09PM

Page 13


Page 271

1 C. GRICE

2 Q. And those reports are public 03:36:09PM

3 documents, you can get them on the web or 03:36:11PM

4 other places, right? 03:36:13PM

5 A. Yes. 03:36:14PM

6 Q. And there is also other public 03:36:14PM

7 information that comes out from time to 03:36:15PM

8 time about what Asset Management funds, 03:36:17PM

9 such as those managed by JPMorgan hold, 03:36:19PM

10 right? 03:36:22PM

11 A. Yes. 03:36:22PM

12 Q. Chinese wall policies don't 03:36:22PM

13 prevent people on the private side of 03:36:28PM

14 JPMorgan from having access to that kind 03:36:31PM

15 of public information about the holdings 03:36:34PM

16 of the Asset Management side, correct? 03:36:36PM

17 A. That's right. 03:36:38PM

18 Q. Did you read -- strike that. 03:36:50PM

19 There is something called a 03:36:59PM

20 wall straddler, there is a concept of wall 03:37:00PM

21 straddler in this area, right? 03:37:03PM

22 A. Yes. 03:37:06PM

23 Q. And the wall straddler is 03:37:06PM

24 somebody whose position in the institution 03:37:06PM

25 is such that he or she is above the wall, 03:37:10PM

Page 14


Page 291

1 C. GRICE

2 Maybe I misunderstood some fact in the 03:54:01PM

3 record. 03:54:04PM

4 Q. Just to be clear, there is no 03:54:04PM

5 duty for the private side of JPMorgan to 03:54:07PM

6 be disclosing nonpublic information about 03:54:09PM

7 Sigma to the public side of JPMorgan to 03:54:10PM

8 help the public side make investments, 03:54:13PM

9 right? 03:54:15PM


11 A. We said that before. Of course 03:54:16PM

12 not. 03:54:17PM

13 Q. Why is this any more awkward 03:54:18PM

14 and delicate than any instance in which 03:54:21PM

15 the commercial side of JPMorgan has 03:54:25PM

16 material nonpublic information about a 03:54:27PM

17 commercial side customer that cannot be 03:54:29PM

18 shared with a public side investment 03:54:32PM

19 analyst or credit analyst or research 03:54:37PM

20 analyst? 03:54:39PM

21 A. It is not in kind. There is no 03:54:43PM

22 difference in kind, if I understand your 03:54:46PM

23 question. 03:54:50PM

24 Q. I mean, it is frequently the 03:54:53PM

25 case that an investment analyst on the 03:54:55PM

Page 15

EXHIBIT L


Page 1

UNITED STATES DISTRICT COURTFOR THE SOUTHERN DISTRICT OF NEW YORK.No. 09-cv-00686(SAS)(DF)------------------------------------xBOARD OF TRUSTEES OF THE AFTRARETIREMENT FUND, in its capacity as afiduciary of the AFTRA Retirement Fund,individually and on behalf of all others similarlysituated, Plaintiff,

- against -


No. 09-cv-03020(SAS)(DF)------------------------------------xBOARD OF TRUSTEES OF THE IMPERIALCOUNTY EMPLOYEES' RETIREMENTSYSTEM, in its capacity as a fiduciary of theImperial County Employees' Retirement System,Individually and on behalf of all others similarlySituated, Plaintiff,

- against -


(Caption Continued)

July 12th, 2010 9:26 a.m.

VIDEOTAPED DEPOSITION OF MR. ANTHONY COX

Page 1


Page 29

1 Q. And have you been on the private side for 09:59:21

2 the entirety of the last ten years you have been involved 09:59:23

3 with this group? 09:59:25

4 A. Yes, I have. 09:59:26

5 Q. Do you have any individuals who report to you 09:59:27

6 either directly or indirectly who are on the public side of 09:59:31

7 the wall? 09:59:35

8 A. No. 09:59:36

9 Q. What is your understanding of the purpose of 09:59:49

10 the wall? 09:59:51

11 MR HURWITZ: You can give him your best 10:00:00

12 understanding. 10:00:02

13 THE WITNESS: My understanding of the wall is to 10:00:03

14 ensure, as I am in the private side, that information that 10:00:04

15 I may come into contact with, as a result of discussions 10:00:09

16 with clients around their financing needs, do not go into 10:00:14

17 the public domain and are only disclosed to other 10:00:21

18 public siders-- 10:00:25

19 (The court reporter interjects) 10:00:30

20 Sorry, and information that may come into my 10:00:30

21 possession, when I am on the private side, is only disclosed 10:00:33

22 to public siders when that information is in the public 10:00:37

23 domain. 10:00:42

24 Q. Are there any restrictions of you sharing 10:00:44

25 private information with other individuals who are also on

Page 2


Page 30

1 the private side of the wall? 10:00:50

2 MR HURWITZ: Objection to the form. 10:00:53

3 You mean anyone else within the entire 10:00:59

4 institution? Is that the question? 10:01:01

5 BY MR LeVAN: 10:01:02

6 Q. Yes. Can you share any of your -- any 10:01:03

7 information that you obtain from clients, are you allowed to 10:01:05

8 share that, as you understand it, with other individuals who 10:01:08

9 are on the private side of the information? 10:01:11

10 THE WITNESS: It clearly needs to be done on a 10:01:15

11 needs to know basis. We have obviously certain obligations 10:01:17

12 to disclose that information to our regulators and you would 10:01:23

13 do that through a normal discussion of a particular issue 10:01:28

14 with your regulators. 10:01:34

15 Similarly, within your own management chain, there 10:01:35

16 is the ability to disclose information within that 10:01:39

17 management chain on a needs to know, certainly a risk 10:01:43

18 organization, like many other organizations, has a hierarchy 10:01:49

19 of approval authorities within it and in the day-to-day 10:01:54

20 business of getting transactions approved or even discussing 10:01:59

21 what may be difficult issues, one would need to reveal parts 10:02:04

22 of that information, at least up through one's existing 10:02:11

23 management chain. 10:02:15

24 Q. Are you aware of anyone within the Investment 10:02:19

25 Bank that straddled the wall or that was on, kind of, above

Page 3


Page 44

1 Q. Did you reveal any information whatsoever to 10:24:39

2 Miss. Shin regarding Sigma Finance? 10:24:41

3 A. I discussed information in general. 10:24:44

4 The purpose of the conversation was Miss. Shin was an 10:24:45

5 analyst, I was known within the firm as being knowledgeable 10:24:48

6 of the SIV sector and Miss. Shin wanted to talk about 10:24:54

7 the sector and really, as an analyst, highlight some of the 10:25:00

8 things that she was thinking about. It was almost a kind of 10:25:07

9 conversation around: I would like to talk about things that 10:25:12

10 concern me, is my understanding correct of areas...? And I, 10:25:15

11 in part of the preparation for that discussion with her, 10:25:19

12 said that all I would be able to talk about is what is in 10:25:22

13 the public domain. 10:25:26

14 Q. Did any of Miss. Shin's questions relate or 10:25:29

15 involve Sigma Finance as opposed to the SIV sector in 10:25:32

16 general? 10:25:36

17 A. It was a conversation on both the SIV sector 10:25:36

18 and Sigma. 10:25:38

19 Q. At the time that you had the conversation 10:25:40

20 with Miss. Shin, was there any repo facility in place 10:25:41

21 between the Investment Bank and Sigma Finance? 10:25:46

22 A. No, there was not. 10:25:48

23 Q. Were there discussions between the Investment 10:25:51

24 Bank and Sigma Finance regarding repo facilities? 10:25:53

25 A. They had been on and off since July or August

Page 4


Page 54

1 needed to grow the amount of committed liquidity that they 10:39:32

2 had and Sigma was finding difficulty in getting more bank 10:39:36

3 loan, committed bank loan facilities, so it was exploring 10:39:43

4 extending the amount of committed liquidity that it had by 10:39:48

5 committed repo. 10:39:53

6 Q. Do you know the year that the committed repo 10:39:54

7 line was first put in place between the Investment Bank and 10:39:56

8 Sigma Finance? 10:39:58

9 A. I believe it would've been a one year prior 10:39:58

10 to its contractual maturity date. 10:40:01

11 Q. So in -- 10:40:04

12 A. Around October 2006. 10:40:05

13 Q. Prior to October of 2006 had the Investment 10:40:09

14 Bank provided any repo financing to Sigma Finance? 10:40:13

15 A. No. 10:40:16

16 MR HURWITZ: Tad, it has been about an hour and a 10:40:33

17 quarter. When you come to a convenient stopping point, if 10:40:35

18 we can take a short break. 10:40:38

19 BY MR LeVAN: 10:40:41

20 Q. Sure. Let me ask one more question and then 10:40:42

21 we can take a break. 10:40:44

22 You mentioned that the Investment Bank was also 10:40:45

23 providing financing to other SIVs in the 2007 timeframe, is 10:40:48

24 that correct? 10:40:53

25 THE WITNESS: That is correct.

Page 5


Page 55

1 Q. What were the names of the other SIVs that 10:40:54

2 the Investment Bank was providing some type of financing 10:40:57

3 for? 10:41:01

4 A. I believe we looked at -- we were financing a 10:41:05

5 vehicle or had a committed loan facility -- sorry. 10:41:05

6 We had a committed loan facility to a vehicle 10:41:09

7 called K2 and one or two of the CitiBank vehicles. But 10:41:14

8 these are facilities that are commitments to lend at a 10:41:20

9 future date. They were not drawn. 10:41:26

10 So they were really backstop facilities to be used 10:41:30

11 when the primary source of financing for these entities is 10:41:35

12 unavailable to them. And Sigma was relatively unique in 10:41:39

13 terms of the extent of its Medium Term Note issuance 10:41:45

14 programs. Most of the other SIVs relied much more heavily 10:41:54

15 upon the commercial paper. But the main financing source 10:41:59

16 for these vehicles was commercial paper. 10:42:03

17 Q. During the calendar year 2007 did Sigma 10:42:08

18 Finance draw on either the repo line or the committed 10:42:11

19 liquidity facility issued by the Investment Bank? 10:42:13

20 A. No, they did not. 10:42:17

21 Q. Okay. Why don't we take a break? 10:42:18

22 THE VIDEOGRAPHER: We are going to go off 10:42:21

23 the record. The time is 10.42. 10:42:22

24 (A short break) 10:42:29

25 THE VIDEOGRAPHER: Back on the record, the time is

Page 6


Page 56

1 10.53. 10:53:50

2 MR LeVAN: Mr. Cox, we have talked about 10:53:54

3 the committed repo line, the committed liquidity facilities 10:53:56

4 and the derivative lines. Other than those three types of 10:54:03

5 facilities, did JPMorgan Investment Bank provide any 10:54:07

6 additional financing to Sigma Finance during the 2007 10:54:11

7 timeframe? 10:54:15

8 A. No, we would have had one other facility that 10:54:17

9 would enable an inventory of commercial paper to be 10:54:21

10 maintained. 10:54:25

11 Q. What type of facility was that? 10:54:26

12 A. That was an overnight facility where we could 10:54:28

13 hold commercial paper that had been issued but had not yet 10:54:32

14 sold. So part of our normal market making and distribution 10:54:36

15 activities. 10:54:41

16 Q. What was the size of that facility with 10:54:42

17 respect to Sigma Finance in 2007? 10:54:44

18 A. I don't recall its size. 10:54:47

19 Q. Was it in the millions or the billions? 10:54:50

20 A. It would've been millions. 10:54:52

21 Q. Do you know if it was more than 100 million? 10:54:54

22 A. I don't. 10:54:56

23 Q. Were there any uncommitted lines or 10:54:58

24 uncommitted facilities, in addition to anything that we have 10:55:00

25 discussed, between the Investment Bank and Sigma Finance

Page 7


Page 81

1 of Sigma paper. It was the largest vehicle of its type and 11:30:38

2 it had over 50 billion of assets at that particular time. 11:30:43

3 So it would've been unheard of that asset management firms, 11:30:46

4 that operated money market funds, were not invested in 11:30:51

5 Sigma. 11:30:56

6 It was the very first structured investment 11:30:57

7 vehicle; it was the largest structured investment vehicle; 11:30:59

8 these were very prominent investors and companies in that 11:31:03

9 particular sector, that Sigma was, and in my opinion it had 11:31:08

10 the best reputation in the market for what it did. 11:31:12

11 Q. When you had heard that JPMorgan Asset 11:31:16

12 Management was a large buyer of Sigma paper, didn't you ask 11:31:17

13 whether or not there should be a firm wide position on this 11:31:23

14 issue? 11:31:27

15 A. At the point in getting involved in Sigma, 11:31:30

16 I was not concerned about that. I think there are 11:31:37

17 transcripts on emails that said where I raised that concern. 11:31:41

18 And that came from a particular meeting that I had 11:31:45

19 with the two principals of Sigma, where Sigma threatened 11:31:48

20 that by myself not renewing that facility, I was going to 11:31:53

21 have a very large adverse impact on other parts of the firm. 11:31:59

22 They also raised the issue of where I was going to 11:32:04

23 have a very large impact on the marketplace. This goes back 11:32:07

24 to my comment around the arrogance of the two individuals. 11:32:09

25 They were very concerned with a theory called

Page 8


Page 82

1 "break the buck", that they were systematically important, 11:32:14

2 they should be supported and that by not doing so, I was 11:32:19

3 going impact and imperil various other parts of the market. 11:32:26

4 So the point around my comment, in terms of 11:32:30

5 raising that, was to make my seniors aware of the nature of 11:32:32

6 that conversation. We actually -- I did not agree with 11:32:38

7 Sigma in terms of their concern and where they saw 11:32:41

8 themselves, in terms of their position in the marketplace. 11:32:48

9 Although there was an awful lot of concern at that 11:32:50

10 particular time of the unwinding of the total SIV sector, as 11:32:53

11 to whether that would be systematically important, which was 11:32:59

12 why the US Government launched a program to look at 11:33:01

13 something called M-LEC. 11:33:06

14 Q. The M-LEC facility was never formed, correct? 11:33:12

15 A. Correct. 11:33:15

16 Q. At the time that you raised this issue to 11:33:19

17 your seniors, this issue being that you had heard asset 11:33:22

18 management was a large buyer of Sigma paper, did you get any 11:33:24

19 response back from your seniors? 11:33:28

20 MR HURWITZ: Objection to the form, misstates 11:33:30

21 the witness's testimony. You can answer. 11:33:32

22 THE WITNESS: That was not the objection -- 11:33:36

23 the issue that I raised. What I raised was the comments 11:33:37

24 that Sigma had made that, by JPMorgan withdrawing, repo 11:33:40

25 financing -- committed repo financing from Sigma, that that

Page 9


Page 90

1 how it would respond to the current market conditions. 11:52:09

2 Q. Sigma Finance -- well, it was publicly -- 11:52:16

3 strike that. 11:52:21

4 Sigma Finance went into receivership eventually, 11:52:22

5 correct? 11:52:24

6 A. Correct. 11:52:24

7 Q. Do you recall the date that that took place? 11:52:26

8 A. Not exactly. 11:52:28

9 Q. If I told you that event of defaults -- that 11:52:31

10 JPMorgan provided event of defaults on September 30th, 2008, 11:52:35

11 and then it was publicly announced on October 1st of 2008 11:52:38

12 that Sigma would be filing for receivership, would you have 11:52:42

13 any reason to disagree with that? 11:52:47

14 A. No. 11:52:48

15 Q. Prior to Sigma filing for receivership, did 11:52:49

16 Sigma Finance ever change its business model along the ways 11:52:54

17 that you were discussing? 11:52:57

18 A. Never. Sigma, I think, as we were looking at 11:53:00

19 the final transaction, were certainly contemplating that it 11:53:05

20 had to do things significantly differently and was beginning 11:53:11

21 to put plans in place to effect that change. So I would say 11:53:14

22 that my discussions with Sigma and internally really 11:53:22

23 revolved around an early part, prior to the first 11:53:26

24 transaction, where Sigma was not accepting that anything was 11:53:29

25 changing in the marketplace at all, in terms of its ability

Page 10

CONFIDENTIAL


Page 106

1 and the ability to turn themselves into something else. 12:17:47

2 It really wasn't until the beginning of 2008 that 12:17:50

3 Sigma had materially shrunk its balance sheet. But at the 12:17:53

4 same time then they had also built up a significant track 12:17:57

5 record, in terms of how they were managing their liquidity, 12:18:00

6 and they were beginning to explain that to us in more 12:18:04

7 detail. 12:18:08

8 Q. Wasn't Clove Hitch 1 structured such that 12:18:10

9 the Investment Bank would not lose money regardless of 12:18:13

10 whether Sigma Finance was able to continue in operations or 12:18:18

11 not? 12:18:22

12 A. It was structured in a way to protect 12:18:23

13 JPMorgan, should Sigma go into bankruptcy. 12:18:28

14 Q. And wasn't there also the benefit that, in 12:18:34

15 the event that there was a bankruptcy or in the event that 12:18:35

16 there was a fire sale, if you will, of Sigma's assets, that 12:18:40

17 JPMorgan would be first in line to have those assets? 12:18:45

18 MR HURWITZ: Objection to the form. 12:18:49

19 THE WITNESS: No. I am happy to -- it was not a 12:18:50

20 concept of being first in line. I think in one of my 12:18:52

21 earlier e-mails I explained this and I think I have covered 12:18:57

22 it earlier, but I will go through it and mention it again. 12:19:02

23 The nature of the original committed repo was that12:19:06

24 JPMorgan was in the overall collateral pool of the vehicle. 12:19:10

25 The nature of the repo financing that Sigma put in

Page 11

CONFIDENTIAL


Page 107

1 place in Clove Hitch 1 and what it was doing with other 12:19:20

2 banks as well, and it had built up a track record with those12:19:23

3 other banks, and it had also fully disclosed that to the 12:19:26

4 rating agencies, so -- was that the assets that we would 12:19:29

5 finance were a defined set of assets under a standard repo 12:19:34

6 piece of documentation and when any client defaults under a 12:19:41

7 standard set of repo documentation, the financing entity has12:19:48

8 control over those assets, sells those assets or marks those12:19:52

9 assets to market at the point that it takes those and they 12:19:57

10 are the property of the financing bank. 12:20:01

11 So it was a standard financing transaction. What 12:20:04

12 was important to me at that particular time was that Sigma 12:20:09

13 had entered into similar transactions with other banks and 12:20:13

14 that it had fully disclosed that it was doing that and it 12:20:18

15 had suitable discussions with the rating agencies around how12:20:24

16 it was substituting repo financing for commercial papers. 12:20:28

17 BY MR LeVAN: 12:20:33

18 Q. JPMorgan, though, in agreeing to enter into 12:20:35

19 Clove Hitch 1, participated in deciding which assets would 12:20:37

20 be part of that repo transaction, correct? 12:20:41

21 A. That is correct, but that is no different 12:20:44

22 from any of the other repo financing that Sigma would've 12:20:47

23 done; that each of the banks involved in repo would have 12:20:52

24 looked at parts of its portfolio and decided which assets it12:20:55

25 wanted to finance. We were slightly more interested in bank

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1 paper, other financing entities were more interested in 12:21:04

2 asset back paper. 12:21:09

3 Q. Did Sigma Finance buy JPMorgan paper? 12:21:12

4 A. Yes, they did. 12:21:16

5 Q. Do you know how much JPMorgan paper Sigma 12:21:18

6 Finance held in 2007? 12:21:22

7 A. No, I don't. 12:21:23

8 Q. What about in 2008? 12:21:25

9 A. No. 12:21:27

10 Q. Were any of the assets that were part of 12:21:30

11 Clove Hitch 1 or 2 JPMorgan bank paper? 12:21:32

12 A. I don't recall. There are particular limits 12:21:36

13 on what the bank can finance of its own paper. 12:21:43

14 Q. At the time that Clove Hitch 1 was entered 12:22:20

15 into, isn't it true that you believed there was a good 12:22:22

16 chance that Sigma would file for receivership? 12:22:27

17 A. No. 12:22:32

18 Q. That is not true? 12:22:33

19 A. It is -- it was one path of action. I mean, 12:22:34

20 clearly, there were items outside of their control that they12:22:39

21 may have filed for receivership. But equally there was a 12:22:46

22 reasonable chance that they may not have. It very much 12:22:48

23 depended on how rapidly the principals could sell assets and12:22:54

24 how much other repo financing they could bring in from other12:22:59

25 banks.

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EXHIBIT N

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UNITED STATES DISTRICT COURT FOR THE SOUTHERN DISTRICT OF NEW YORK____________________________________

BOARD OF TRUSTEES OF THE AFTRA No. 09-cv-00686(SAS)(DF)RETIREMENT FUND, in its capacity as aFiduciary of the AFTRA Retirement Fund,Individually and on behalf of all others similarlySituated, Plaintiff,

v.

JPMORGAN CHASE BANK, N.A., Defendant._____________________________________

BOARD OF TRUSTEES OF THE IMPERIAL No. 09-cv-03020(SAS)(DF)COUNTY EMPLOYEES' RETIREMENTSYSTEM, in its capacity as a fiduciary of theImperial County Employees' Retirement System,Individually and on behalf of all others similarlySituated,

Plaintiff,

v.

JPMORGAN CHASE BANK, N.A., Defendant._____________________________________THE INVESTMENT COMMITTEE OF THE No. 09-cv-4408(SAS)(DF)MANHATTAN AND BRONX SURFACETRANSIT OPERATING AUTHORITYPENSION PLAN, in its capacity as a fiduciaryOf the MaBSTOA Pension Plan, individually andOn behalf of all others similarly situated,

Plaintiff,

v.

JPMORGAN CHASE BANK, N.A.

Defendant.

Page 1

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Page 2

1 *** THIS ENTIRE TRANSCRIPT IS DESIGNATED

2 HIGHLY CONFIDENTIAL ***

3 Friday, June 11, 2010

4

5 VIDEOTAPED DEPOSITION OF MR. GUY AMERICA

6 At: 09.26 A.M.

7

8 Taken at:

9 Paul, Weiss, Rifkind, Wharton & Garrison LLP Adler Castle

10 10 Noble Street, EC2V 7JU London, England

11

12 Reported by: MRS. TRISH BRADY

13

14

15

16

17

18

19

20

21

22

23

24

25

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1 been ill for a while and so he now reports to me 10:00:01:12

2 directly. 10:00:08:12

3 Q. So during the time that Mr. Adams 10:00:08:18

4 was active in employment, he was Mr. Glasgow's 10:00:10:06

5 direct report? 10:00:14:27

6 A. He was Mr. Glasgow's boss. 10:00:16:24

7 Q. Supervisor, sure, OK. 10:00:18:21

8 I guess that's one and the same thing. 10:00:19:28

9 Are you familiar with the concept of an 10:00:25:06

10 informational wall at JPMorgan? 10:00:35:13

11 A. Are you referring to a Chinese 10:00:38:22

12 wall? 10:00:40:00

13 Q. Yeah, between the public side and 10:00:40:06

14 the private side? 10:00:42:09

15 A. Absolutely. 10:00:43:00

16 Q. Could you describe generally what 10:00:43:19

17 you understand the informational wall to be? 10:00:44:24

18 A. I think there are a number of 10:00:48:06

19 informational walls. Broadly speaking, you have 10:00:49:13

20 public side of the -- of the business and the 10:00:52:06

21 private side of the business. Any trading area 10:00:55:28

22 would be located -- the trading area that I'm 10:00:58:18

23 looking after is located on the public side of 10:01:00:06

24 the -- of the wall, but I think there are -- even 10:01:03:01

25 when the public side there are -- there are areas 10:01:08:15

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1 that are not exchanging information. 10:01:11:12

2 So I would expect there to be -- 10:01:14:22

3 for example, we -- we wouldn't -- if you were a 10:01:16:12

4 market making business you wouldn't -- you 10:01:26:21

5 wouldn't exchange data with a -- exchange 10:01:30:07

6 confidential data with a proprietary trading 10:01:35:19

7 business for example. So... 10:01:38:00

8 Q. Since you have been with the -- the 10:01:42:25

9 credit trading group -- 10:01:43:22

10 A. Yeah. 10:01:45:18

11 Q. -- which I believe we said started 10:01:45:24

12 in around 2000, is that right? 10:01:47:15

13 A. Yeah. It might have been late '99, 10:01:50:06

14 but it's that sort of area. 10:01:51:06

15 Q. OK. Since that time, have you -- 10:01:54:06

16 have you always been -- well, strike that -- has 10:01:55:07

17 credit trading group always been on the public 10:01:57:15

18 side of the informational wall? 10:01:59:24

19 A. Yes, that part of the business, 10:02:02:07

20 yes. 10:02:03:24

21 Q. Is there a process in place for -- 10:02:04:24

22 within JPMorgan for bringing a public side 10:02:07:00

23 employee over the wall to the private side for 10:02:11:21

24 specific transactions? 10:02:14:22

25 A. Yes. 10:02:16:09

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1 keen to have an upfront fee is the fact -- and I 11:28:30:01

2 remember discussing that -- is the fact that we 11:28:33:24

3 didn't want to have to run the full risk of this 11:28:36:00

4 transaction and then Sigma turning around and 11:28:38:24

5 getting alternative financing somewhere else as in 11:28:42:04

6 call the transaction away from us. 11:28:43:18

7 And that incentive is less if the 11:28:49:12

8 running spread is lower and more of the fee is in 11:28:54:10

9 the -- is in the up front part of the fee of the 11:28:57:27

10 transaction. 11:29:02:27

11 MR. HURWITZ: Part of the transaction. 11:29:03:21

12 A. Yeah, upfront part of the fee and, 11:29:05:12

13 you know, that -- that -- that already suggests 11:29:07:16

14 that, you know, we were certainly expecting them 11:29:10:03

15 to be able to concede to finance themselves. 11:29:12:18

16 BY MR. LEVAN: 11:29:27:15

17 Q. When did you first find out about 11:29:27:21

18 this lawsuit being filed? 11:29:30:10

19 A. I don't recall. It was probably -- 11:29:36:06

20 I don't know. 11:29:40:21

21 Q. Do you recall from whom you found 11:29:43:15

22 out? 11:29:44:22

23 A. I recall that the -- the -- I have 11:29:50:09

24 discussed the potential of this with 11:29:52:22

25 Roger Barbour. I don't know if he was the first 11:29:57:06

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1 one that told me or not, but I recall discussing 11:30:00:04

2 it with him earlier. 11:30:02:18

3 Q. Do you know how long the suit had 11:30:05:15

4 been on file before you had this first 11:30:07:00

5 conversation with Mr. Barbour? 11:30:09:12

6 A. I don't know. 11:30:11:13

7 Q. Prior to this conversation with 11:30:13:04

8 Mr. Barbour, at any time prior to that, were you 11:30:15:06

9 personally aware of the fact that the JPMorgan 11:30:18:28

10 securities lending program, which was a part of 11:30:23:09

11 the Treasury & Security Services Business Group 11:30:26:01

12 had -- was holding investments in medium term 11:30:30:15

13 notes issued by Sigma Finance? 11:30:34:00

14 A. No, I don't recall being aware of 11:30:35:24

15 that. It's not -- it's not an area I -- I 11:30:37:00

16 normally discussed. 11:30:41:00

17 Q. Prior to this initial conversation 11:30:45:01

18 with Mr. Barbour, were you personally aware that 11:30:46:06

19 JPMorgan Asset Management, as investment manager 11:30:49:24

20 of certain money market funds, had invested in 11:30:54:09

21 medium term notes issued by Sigma Finance? 11:30:58:06

22 A. No, I wasn't. I wasn't aware of 11:31:03:15

23 that. 11:31:04:25

24 Q. Did the -- did the deal team for 11:31:05:01

25 Clove Hitch 1 ever discuss whether other business 11:31:06:07

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1 lines or business units within JPMorgan were 11:31:10:12

2 holding securities issued by Sigma? 11:31:14:24

3 A. I don't recall. I mean -- but to 11:31:26:03

4 be -- to be frank it was -- Sigma was a very 11:31:27:25

5 prolific issuer, so I don't know what people's 11:31:31:24

6 assumption would have been, but... 11:31:36:09

7 Q. To your knowledge, did any member 11:31:40:22

8 of the deal team attempt to identify whether other 11:31:41:25

9 business units or business lines within JPMorgan 11:31:45:24

10 were currently holding any securities issued by 11:31:49:12

11 Sigma Finance? 11:31:51:24

12 A. I don't know, but referring to one 11:31:53:25

13 of the questions you asked me earlier, there is 11:31:57:09

14 reference to conflicts. Someone like myself 11:32:00:13

15 wouldn't have had to be the person to verify that. 11:32:06:15

16 Maybe it would have been someone like 11:32:09:06

17 that -- 11:32:10:12

18 Q. I'm sorry, I didn't mean -- 11:32:11:24

19 A. -- the person running the 11:32:12:19

20 transaction, the person talking to the client 11:32:13:22

21 would be the person doing that rather than the 11:32:16:21

22 person taking the risk. 11:32:18:06

23 Q. I understand, I think. You 11:32:20:07

24 didn't -- you didn't do that, right? 11:32:22:00

25 A. Yeah. 11:32:23:18

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1 A. I did not mean to say "Petunia". 16:23:03:00

2 Q. You're doing the same thing I am; 16:23:04:03

3 long day. 16:23:04:03

4 A. So apologies. 16:23:04:21

5 Q. That's OK. 16:23:06:18

6 A. Clove Hitch we -- we had a number 16:23:07:19

7 of assets that -- that we were holding because 16:23:08:13

8 there was no bid in the auction and obviously at 16:23:11:06

9 each stage we -- we could decide to hold off 16:23:16:21

10 another day or sell them that day. 16:23:20:10

11 The market developments as -- as you may 16:23:24:15

12 recall, at the end of '08 and at the beginning of 16:23:26:27

13 '09, meant that we continued to lose a lot of 16:23:31:09

14 money on that until I think the end of the first 16:23:36:03

15 quarter of '09 or maybe a bit later. 16:23:43:21

16 As you may recall, there was a great 16:23:46:24

17 fear with respect to a number of financial 16:23:49:03

18 institutions globally and in the United States as 16:23:51:24

19 to their -- as to the viability, which was the 16:23:54:21

20 reason why a lot of those securities were 16:23:58:19

21 declining in value. So our -- our initial 16:24:00:27

22 decision to hold on to those securities, or to the 16:24:02:12

23 extent there was a decision, in some cases -- in a 16:24:06:01

24 lot of the cases we didn't have a choice -- 16:24:08:18

25 Q. Right. 16:24:12:10

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1 A. -- turned out to be the wrong one 16:24:12:18

2 from a day-to-day perspective, you know, all the 16:24:14:15

3 way until I guess the first quarter or the second 16:24:16:13

4 quarter of -- of last year. 16:24:18:21

5 Q. Did any of the assets that JPMorgan 16:24:24:25

6 did not immediately sell shortly after the -- the 16:24:28:06

7 default, did any of those appreciate in value 16:24:34:09

8 between the date of the default and the time that 16:24:37:09

9 JPMorgan ultimately sold those securities? 16:24:41:03

10 A. Some of them would. Some of them 16:24:44:10

11 would have depreciated a lot and, again, I -- 16:24:46:06

12 I very much see them as separate decisions and in 16:24:49:12

13 fact a daily decision, you know: Is this being 16:24:53:15

14 sold now or not? Can it be sold in the first 16:24:55:21

15 place? 16:24:58:00

16 So the Petunia transaction was finished 16:24:58:03

17 on 30 September at the close out. After that, we 16:25:00:21

18 were the involuntary holder of -- of a large port 16:25:04:24

19 folio and we needed to make decisions on that on 16:25:08:19

20 a -- on a daily basis, you know, that was -- that 16:25:11:27

21 led to gains and losses and as I indicated 16:25:22:21

22 previously losses for an extended period of time. 16:25:24:21

23 MR. LEVAN: Mr. America, I thank you for 16:25:46:00

24 your time and for your patience. 16:25:47:12

25 I have no further questions. 16:25:49:15

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