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Exhibit A
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IN THE UNITED STATES DISTRICT COURT

FOR THE NORTHERN DISTRICT OF ILLINOIS
EASTERN DIVISION

)
UNITED STATES OF AMERICA, )
)
)
v. ) Case No. 14-cr-0551
)
MICHAEL COSCIA, ) Honorable Harry D. Leinenweber
)

DECLARATION OF MICHAEL COSCIA IN SUPPORT OF

MOTION TO VACATE OR SET ASIDE
JUDGMENT AND SENTENCE UNDER 28 U.S.C. § 2255

I, Michael Coscia, state the following under penalty of perjury:

1. I am the named Defendant and Petitioner herein. I submit this Declaration in

support of my motion to vacate or set aside judgment and sentence under 28. U.S.C. § 2255. I

have personal knowledge of the facts set forth herein.

2. When I initially retained Sullivan and Cromwell as my counsel (“Counsel”), they

informed me that Citadel, a global markets investment firm, was a current client, presumably to

underscore their experience with the industry; however, at that time I was not aware that Citadel

would be a Government witness. Once it became apparent that a representative from Citadel would

be testifying as a witness, Counsel did not address this issue with me again or ask me to waive the

conflict. In addition, Counsel did not disclose this representation to the Court.

3. Prior to trial, Counsel prepared and issued a subpoena to Citadel concerning the

potential impact of spoofing on Citadel’s trades during the period in question. In response, Citadel

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did not produce any documents but confirmed they did not complain to the CME about the specific

gold indictment trade and agreed to let Mr. Twells speak to Counsel on the condition that Counsel

withdraw the remainder of the requests in the subpoena. Counsel allegedly took notes of the

interview of Mr. Twells, as reflected on a billing invoice to me, however, Counsel has not been

able to locate the notes, nor has Counsel disclosed the subjects discussed and conclusions drawn

from that interview. A copy of the subpoena is issued hereto as Exhibit 1.

4. After trial, I learned that ICE, D.E. Shaw and potentially other unidentified

interested parties, were also clients of Counsel. Counsel did not disclose this information to me at

any point before or during trial, nor did they disclose these representations to the Court. 1 A copy

of an email exchange between my current counsel and Counsel confirming Counsel’s

representation of certain individuals and Counsel’s stock interests are annexed hereto as Exhibit

2.

5. On September 28, 2014, before I was indicted, I spoke with my attorney by

telephone, concerning the potential charges that could be brought against me in this action. During

the call, I informed Counsel that I had no knowledge of the then recent spoofing laws. A true and

correct copy of my email with counsel and a memo concerning my lack of knowledge are annexed

hereto as Exhibit 3. In Counsel’s pre-trial disclosure for Adam Warren, they stated he was going

to discuss the anti-Spoofing law’s enactment and that there was no common futures industry

understanding of what conduct qualified as spoofing. Despite my lack of knowledge and without

consulting with me, Counsel did not object to the Government’s motion in limine seeking to

exclude evidence concerning my lack of familiarity with the then recently enacted “spoofing” law.

(Dkt. #52.)

1
On or about September 13, 2017, Steven Peikin, upon accepting employment with the Securities and Exchange
Commission, submitted a Certificate of Divestiture, which represented that he owned 3,375 shares of ICE stock.

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6. Throughout the pretrial proceedings, trial preparation phase, and trial, I brought

facts and issues to my Counsel’s attention that they did not investigate or act upon.

7. On October 29, 2014, I emailed Counsel after listening to a tape between Mr. Gerko

and the CME where he states that he observed a trading pattern similar to mine in the silver market;

however, I rarely traded in silver. In Mr. Gerko’s interview transcript, he said that he sent CME

emails in 2011 concerning silver trades. I asked Counsel to obtain the communications between

Mr. Gerko and CME and any other complaints concerning my trading, and again made such

request on November 13, 2014 and January 14, 2015. Counsel, however, did not request these

documents from CME until approximately one week before trial. I never saw any documents, if

there were any, in response to this request. True and correct copies of my emails to Counsel are

annexed hereto as Exhibit 4.

8. Similarly, I requested that Counsel obtain CME data from January 1, 2010 through

December 31, 2011 for all orders of 50 lots or more that were cancelled in less than one second

from the time they were put into the market. (Ex. 4.) Counsel told me that they would pursue

obtaining this data. A true and correct copy of Counsel’s email is annexed hereto as Exhibit 5.

Counsel, however, did not obtain this data before trial. Despite not having this evidence, Counsel

did not object to the introduction of the Government’s CME exhibits. I obtained this data after

trial and it showed that the CME charts presented at trial were inaccurate and misleading in that

they did not accurately reflect all transactions in the market.

9. On January 23, 2015, I suggested that Counsel try to obtain the algorithm program

logic for D.E. Shaw and Mr. Gerko, as well as for counterparties to the six (6) trades specifically

alleged in the indictment. A true and correct copy of my email to Counsel is annexed hereto as

Exhibit 6. The program logic is essential to understand how the witnesses testifying against me

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actually interacted with my trading; specifically, that there were programs that were designed to

trade with my large orders -- and also that there were programs that were designed to cancel orders

based on the time the order was in the market (like mine), which would have shown that time in

the market was considered by many traders. I also asked for the percentage of my orders that were

executed by programs (automated), then I would find out how many were point and click (manual)

traders. The data obtained after trial showed that 1916 manual traders and 1083 automated traders,

traded with my large orders.

10. On September 28, 2015, I requested that Counsel obtain all of Mr. Gerko’s (GSA

Capital) trades against my accounts because if he traded with the large orders it would have shown

that traders would still be interested in trading with the large orders when there was an order

imbalance. This information was not obtained until after trial. A true and correct copy of my

email to counsel is annexed hereto as Exhibit 10.

11. On April 18, 2015, I suggested to counsel again to look into who was trading against

the large orders. I also requested that Counsel obtain CME reaction time information concerning

the time it takes my trade orders to get filled after my last quote bid or offers are entered, to show

that these orders get filled very quickly, usually in less than twenty (20) milliseconds, and I left

my quote orders in the market for hundreds of milliseconds, which showed my intent to trade on

those orders. Counsel agreed and advised that they would talk to CME; however, Counsel did not

obtain this information. A true and correct copy of this email exchange is annexed hereto as Exhibit

7.

12. After receiving the complete set of data after trial, that contained the necessary

information to determine who was on the opposite side of every one of my trades, it showed that

over 2200 traders accounting for over 95% of all contracts traded by Mr. Coscia traded with both

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his small and large orders. This included all eighteen (18) of the counterparties to the indictment

trades as well as Mr. Gerko.

13. On June 28, 2015, I confirmed with Counsel that they requested order to trade ratio

data from CME, which would have shown that my fill rank was actually higher than what was

presented by the Government in CME chart 5. CME did not produce this information until after

trial. A true and correct copy of this email exchange is annexed hereto as Exhibit 8.

14. On July 25, 2015, I advised Counsel that there were times that I used my programs

to enter large orders without entering a corresponding small order, which shows that I intended to

trade on large orders. I even provided specific examples of such trades placed around the same

time of the trades at issue in the indictment. I followed up with Counsel on September 21, 2015.

Counsel had all of my trading data that showed this type of trading occurred more than 19,000

times. Counsel did not use this information at trial. True and correct copies of my emails to

counsel are annexed hereto as Exhibit 9.

15. On October 4, 2015, I asked Counsel whether it would be helpful to interview

traders who previously informed the Government that they did not think there was anything illegal

about my trading. I also asked Counsel to investigate and interview each of the counterparty traders

involved in the trades alleged in the indictment, but Counsel told me that there was nothing that

these non-testifying witnesses would say that would be helpful or that we can’t get from the

testifying “victims’” (Ex. 11.) Morgan Stanley was another of Counsel’s clients, who was a

counterparty on three of the indictment trades, and whom Counsel did not, to my knowledge,

interview or request documents from. Further, Counsel failed to interview or investigate Kyle

Bruck of Jump Trading who stated in a 302 that, in his experience, it is not unusual for orders to

be canceled in the futures markets, sometimes within a very short period of time after they were

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placed, and he would not characterize such cancellation of orders before filled as “flashing”; rather

they are simply the cancellation of orders after they were initially placed. True and correct copies

of these emails and documents are annexed hereto as Exhibit 11.

16. On October 22, 2015, I emailed Counsel with examples of where Brent Potter, a

witness at trial, incorrectly characterized my trading activity during his Grand Jury testimony. For

instance, he testified Coscia cancelled orders without regard to market conditions and that tight

bid/ask spreads are better for his program, but the opposite was actually correct. Counsel did not

conduct any cross examination on these issues. A true and correct copy of my email is annexed

hereto as Exhibit 12.

17. On October 22, 2015, the Government emailed Counsel and advised that GSA

Capital, Mr. Gerko’s employer at the time of my trading in question, entered into a settlement

agreement with CME regarding matched order trading. The Government asked Counsel not to use

this evidence during cross examination and Counsel agreed. Further, four (4) days prior I had

emailed counsel with explicit examples of potentially illegal trades made by Mr. Gerko based on

the limited data in our possession; however, counsel did not utilize this information either. In

addition, Counsel did not use evidence of trading violations and fines levied, between 2011 and

2015, against: 1) ICE, for recurring data reporting violations by submitting reports and data

containing errors and omissions, with cumulative inaccuracies totaling in the thousands; 2) D.E.

Shaw, for two position limit fines for carrying positions in excess of those permitted; 3) Citadel,

for a Rule 432 resent execution orders to the exchange that had previously been filled, which in

turn caused an atypical short-term increase in trading volume and impacted price; 4) HTG Capital

[Jennifer Shaw], regarding a position limit fine for carrying positions in excess of those permitted,

and; 6) JBS USA [Roenbaugh], for violating Rule 538 for executing EFRPs that were non-bona

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fide transactions). Counsel, however, did not question any of these witnesses as to their firms’

wrongdoing. True and correct copies of the foregoing email and fine documentation are annexed

hereto as Exhibit 13.

18. On November 2, 2015, before trial started that day, I emailed Counsel and advised

that Dermenchyan’s testimony -- that he saw my trading pattern repeat “4,000 times” in one day

“over the course of six hours”, and described this activity as “deviat[ing] in a very large way” from

normal market conditions -- was incorrect. (Tr. 651.) ICE witness Redman, however, testified that

he saw 382 instances for me and 82 for all other participants on the same date. Counsel heard

conflicting statements, but failed to challenge the testimony of Dermenchyan or Redman. True

and correct copies of my email to Counsel and trading activity are annexed hereto as Exhibit 14.

19. At trial, Counsel failed to cross examine the Citadel witness concerning the

indictment trades, i.e. that they traded on both the buy side and sell side. These trades were

executed by two different Citadel algorithms; thus, the trades should not have been viewed in

isolation, as a pair, but as separate trades, and therefore no loss could have been proven with the

data given. A true and correct copy of Defendant’s Exhibit 402, which shows this trade, is annexed

hereto as Exhibit 15.

20. At trial, Counsel failed cross examine Mr.. Redman who testified that he examined

my trading on “a particular date when a lot of money was lost”—September 27, 2011—and

determined that I sustained a loss resulting from the execution of my large orders. (Tr. 303-04.)2

Mr. Redman testified that “[d]uring the early part of the day, a fairly large number of Mr. Coscia’s

large buy orders were actually executed in part or in whole. So he built a position during the course

of the day and the market price then fell, moved against him.” Id. My losses on that date, however,

2
In Redman’s 302 Report, he stated that the loss was the result of one of my large orders trading.

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resulted from almost entirely the execution of my small orders. Counsel had my trading

information in its possession before trial. A copy of my trading is annexed hereto as Exhibit 16.

Counsel failed to challenge Mr. Redman’s testimony on a critical issue – whether I lost money

when a large order traded and, relatedly, whether I intended them to trade.

21. Prior to trial, the Government disclosed a 302 for John Philip Redman, mentioning

two “spoofers”. Specifically, Mr. Redman stated that “[t]he system quickly identified two entities

who were entering trades into the Brent market that fit the criteria for spoofing. One entity was 3

RED TRADING. Despite the Government’s argument that I was the only market participant

spoofing, Counsel failed to cross-examine Mr. Redman on 3 RED TRADING, the other market

participant who fit the same criteria used to review my trading activity. A true and correct copy of

Mr. Redman’s 302 is annexed hereto as Exhibit 17.

22. At trial, counsel failed to cross examine Mr. Redman concerning how he

purportedly created the ICE charts and the data and alert tools utilized therein. After trial, however,

Alan Jukes, an ICE employee, released a White Paper where he purported to have used an alert

tool to create visualizations (i.e., the ICE Charts and audit trail data) while monitoring my trading.

t This gives me reason to doubt Mr. Redman created the ICE charts, yet my counsel never asked

him any questions that would have elicited that information. A copy of the White Paper is annexed

hereto as Exhibit 18. Counsel would likely have learned that Alan Jukes, an ICE employee

developed the alert tool and created the ICE charts, not Mr. Redman. 3

23. At trial, the Government acknowledged that while they were preparing the

redacted indictment for trial, they noticed a “scrivener’s error” in Paragraph 9 where the words

3
Jukes’ name was not unfamiliar to Counsel; it appeared frequently in the discovery materials,
including on an audit trail file. See ICEUSA-COSCIA 000045.

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“bid” and “offer” are transposed. It says, “price higher than the prevailing offer…”, but it

purportedly should have been, “price higher than the prevailing bid or orders to sell…” (Trial Tr.

1411:10-17.) Prior to trial, the Government routinely cited this language, including in its

opposition to my Motion to Dismiss the indictment. (Dkt. #31, p. 5.) Near the conclusion of trial,

however, my Counsel agreed to allow the Government to change the charges that had been found

by the grand jury, without ever consulting me. (Trial Tr. 1411:18-20.)

24. On September 24, 2015, Counsel issued a subpoena to CME requesting data from

only ten other market participants, even though the Government’s CME Chart 5 compared me to

every trader in the world on the CME. Counsel advised that they were trying to limit the request

to make the production more manageable for CME. Similarly, Counsel had issued a subpoena to

CME for data and narrowed the scope of production to avoid being “overly burdensome”. A true

and correct copy of Counsel’s email is annexed hereto as Exhibit 19.

25. I was told by Counsel it was important sto testify to clarify my CFTC testimony

that was read into trial. While the Court told me before I testified that it was up to me, I felt like

Counsel had already made that decision for me. Further, in preparation for my testimony Counsel

met with me twice for a total of approximately 3 hours and only 20 minutes of which were devoted

to preparing me for cross examination. During my preparation for cross examination, despite

advising that I needed to testify to clarify my CFTC testimony, Counsel did not discuss that I

would be cross examined to show that my intended testimony about my earnings which would

contradict my previous CFTC testimony, could be used to attack my testimony given at trial. Had

my Counsel informed me of the risks and conducted a meaningful practice cross- examination

session with me – as if they were the prosecutors, and they both had been federal prosecutors –

and if they had cross-examined me about every potential conflict between my prior testimony and

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