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United States v. Coscia

United States Court of Appeals, Seventh Circuit

August 7, 2017

United States of America, Plaintiff-Appellee,
Michael Coscia, Defendant-Appellant.

          Argued November 10, 2016

         Appeal from the United States District Court for the Northern District of Illinois, Eastern Division. No. l:14-cr-00551-l - Harry D. Leinenweber, Judge.

          Before Ripple, Manion, and Rovner, Circuit Judges.


         Today most commodities trading takes place on digital markets where the participants utilize computers to execute hyper-fast trading strategies at speeds, and in volumes, that far surpass those common in the past. This case involves allegations of spoofing[1] and commodities fraud in this new trading environment. The Government alleged that Michael Coscia commissioned and utilized a computer program designed to place small and large orders simultaneously on opposite sides of the commodities market in order to create illusory supply and demand and, consequently, to induce artificial market movement. Mr. Coscia was charged with violating the anti-spoofing provision of the Commodity Exchange Act, 7 U.S.C. §§ 6c(a)(5)(C) and 13(a)(2), and with commodities fraud, 18 U.S.C. § 1348(1). He was convicted by a jury and later sentenced to thirty-six months' imprisonment.[2]

         Mr. Coscia now appeals.[3] He submits that the anti-spoofing statute is void for vagueness and, in any event, that the evidence on that count did not support conviction. With respect to the commodities fraud violations, he submits that the Government produced insufficient evidence and that the trial court applied an incorrect materiality standard. Finally, he contends that the district court erred in adjudicating his sentence by adding a fourteen-point loss enhancement.

         We cannot accept these submissions. The anti-spoofing provision provides clear notice and does not allow for arbitrary enforcement. Consequently, it is not unconstitutionally vague. Moreover, Mr. Coscia's spoofing conviction is sup- ported by sufficient evidence. With respect to the commodities fraud violation, there was more than sufficient evidence to support the jury's verdict, and the district court was on solid ground with respect to its instruction to the jury on materiality. Finally, the district court did not err in applying the fourteen-point loss enhancement.




         The charges against Mr. Coscia are based on his use of preprogrammed algorithms to execute commodities trades in high-frequency trading.[4] This sort of trading "is a mechanism for making large volumes of trades in securities and commodities based on trading decisions effected in fractions of a second."[5] Before proceeding with the particular facts of this case, we pause to describe the trading environment in which these actions took place.

         The basic process at the core of high-frequency trading is fairly straightforward: trading firms use computer software to execute, at very high speed, large volumes of trades. A number of legitimate trading strategies can make this practice very profitable. The simplest approaches take advantage of the minor discrepancies in the price of a security or commodity that often emerge across national exchanges. These price discrepancies allow traders to arbitrage between exchanges by buying low on one and selling high on another. Because any such price fluctuations are often very small, significant profit can be made only on a high volume of transactions. Moreover, the discrepancies often last a very short period of time (i.e., fractions of a second); speed in execution is therefore an essential attribute for firms engaged in this business.[6]

         Although high-frequency trading has legal applications, it also has increased market susceptibility to certain forms of criminal conduct. Most notably, it has opened the door to spoofing, which Congress criminalized in 2010 as part of the Dodd-Frank Wall Street Reform and Consumer Protection Act, Pub. L. No. 111-203, 124 Stat. 1376 (2010). The relevant provision proscribes "any trading, practice, or conduct that... is, is of the character of, or is commonly known to the trade as, 'spoofing' (bidding or offering with the intent to cancel the bid or offer before execution)." 7 U.S.C. § 6c(a)(5).[7] For present purposes, a bid is an order to buy and an offer is an order to sell.

         In practice, spoofing, like legitimate high-frequency trading, utilizes extremely fast trading strategies. It differs from legitimate trading, however, in that it can be employed to artificially move the market price of a stock or commodity up and down, instead of taking advantage of natural market events (as in the price arbitrage strategy discussed above). This artificial movement is accomplished in a number of ways, although it is most simply realized by placing large and small orders on opposite sides of the market. The small order is placed at a desired price, which is either above or below the current market price, depending on whether the trader wants to buy or sell. If the trader wants to buy, the price on the small batch will be lower than the market price; if the trader wants to sell, the price on the small batch will be higher. Large orders are then placed on the opposite side of the market at prices designed to shift the market toward the price at which the small order was listed.

         For example, consider an unscrupulous trader who wants to buy corn futures at $3.00 per bushel in a market where the current price is $3.05 per bushel. Under the basic laws of supply and demand, this trader can drive the price downward by placing sell orders for large numbers of corn futures on the market at incrementally decreasing prices (e.g., $3.04, then $3.03, etc.), until the market appears to be saturated with individuals wishing to sell, the price decreases, and, ultimately, the desired purchase price is reached. In short, the trader shifts the market downward through the illusion of downward market movement resulting from a surplus of supply. Importantly, the large, market-shifting orders that he places to create this illusion are ones that he never intends to execute; if they were executed, our unscrupulous trader would risk extremely large amounts of money by selling at suboptimal prices. Instead, within milliseconds of achieving the desired downward market effect, he cancels the large orders.

         Once our unscrupulous trader has acquired the commodity or stock at the desired price, he can then sell it at a higher price than that at which he purchased it by operating the same scheme in reverse. Specifically, he will place a small sell order at the desired price and then place large buy orders at increasingly high prices until the market appears flooded with demand, the price rises, and the desired value is hit. Returning to the previous example, if our unscrupulous trader wants to sell his corn futures (recently purchased at $3.00 per bushel) for $3.10 per bushel, he will place large buy orders beginning at the market rate ($3.00), quickly increasing that dollar value (e.g., $3.01, then $3.02, then $3.03, etc.), creating an appearance of exceedingly high demand for corn futures, which raises the price, until the desired price is hit. Again, the large orders will be on the market for incredibly short periods of time (fractions of a second), although they will often occupy a large portion of the market in order to efficiently shift the price.


         On October 1, 2014, a grand jury indicted Mr. Coscia for spoofing and commodities fraud based on his 2011 trading activity. Prior to trial, he moved to dismiss the indictment, arguing that the anti-spoofing provision was unconstitutionally vague. He further argued that he did not commit commodities fraud as a matter of law. The district court rejected both arguments.

         Trial began on October 26, 2015, and lasted seven days. The testimony presented at trial explained that the relevant conduct began in August of 2011, lasted about ten weeks, and followed a very particular pattern. When he wanted to purchase, Mr. Coscia would begin by placing a small order requesting to trade at a price below the current market price. He then would place large-volume orders, known as "quote orders, "[8] on the other side of the market. A small order could be as small as five futures contracts, whereas a large order would represent as many as fifty or more futures contracts. At times, his large orders risked up to $50 million.[9] The large orders were generally placed in increments that quickly approached the price of the small orders.

         Mr. Coscia's specific activity in trading copper futures helps to clarify this dynamic. During one round of trading, Mr. Coscia placed a small sell order at a price of 32755, [10]which was, at that time, higher than the current market price.[11] Large orders were then placed on the opposite side of the market (the buy side) at steadily growing prices, which started at 32740, then increased to 32745, and increased again to 32750.[12] These buy orders created the illusion of market movement, swelling the perceived value of any given futures contract (by fostering the illusion of demand) and allowing Mr. Coscia to sell his current contracts at the desired price of 32755 -a price equilibrium that he created.

         Having sold the five contracts for 32755, Mr. Coscia now needed to buy the contracts at a lower price in order to make a profit. Accordingly, he first placed an order to buy five copper futures contracts for 32750, which was below the price that he had just created.[13] Second, he placed large-volume orders on the opposite side of the market (the sell side), which totaled 184 contracts. These contracts were priced at 32770, and then 32765, which created downward momentum on the price of copper futures by fostering the appearance of abundant supply at incrementally decreasing prices. The desired devaluation of the contracts was almost immediately achieved, allowing Mr. Coscia to buy his small orders at the artificially deflated price of 32750. The large orders were then immediately cancelled.[14] The whole process outlined above took place in approximately two-thirds of a second, and was repeated tens of thousands of times, resulting in over 450, 000 large orders, and earning Mr. Coscia $1.4 million. All told, the trial evidence suggested that this process allowed Mr. Coscia to buy low and sell high in a market artificially distorted by his actions.

         The Government also introduced evidence regarding Mr. Coscia's intent to cancel the large orders prior to their execution. The primary items of evidence in support of this allegation were the two programs that Mr. Coscia had commissioned to facilitate his trading scheme: Flash Trader and Quote Trader. The designer of the programs, Jeremiah Park, testified that Mr. Coscia asked that the programs act "[l]ike a decoy/' which would be "[u]sed to pump [the] market."[15]Park interpreted this direction as a desire to "get a reaction from the other algorithms."[16] In particular, he noted that the large-volume orders were designed specifically to avoid being filled and accordingly would be canceled in three particular circumstances: (1) based on the passage of time (usually measured in milliseconds); (2) the partial filling of the large orders; or (3) complete filling of the small orders.[17]

         A great deal of testimony was presented at trial to support the contention that Mr. Coscia's programs functioned within their intended parameters. For example, John Redman, a director of compliance for Intercontinental Exchange, Inc., [18] testified that Mr. Coscia

would place a small buy or sell order in the market, and then immediately after that, he would place a series of much larger opposite orders in the market, progressively improving price levels toward the previous order that he placed. That small initial order would trade, and then the large order would be canceled and be replaced by a small order, and the large orders in the opposite direction will have previously taken place. [19]

         Redman further testified that Mr. Coscia placed 24, 814 large orders between August and October 2011, although he only traded on 0.5% of those orders.[20] During this same period he placed 6, 782 small orders on the Intercontinental Exchange and approximately 52% of those orders were filled.[21] Mr. Redman additionally explained that this activity made the small orders "100 times" more likely to be filled than the large-volume orders.[22] Mr. Redman made clear that this was highly unusual:

What we normally see is people placing orders of roughly the same size most of the time and, therefore, there aren't two order sizes in use with a different cancellation rate between them. There's just one order size in use and the cancellation rate is, there's just one.[23]

         Finally, Mr. Redman also noted that Mr. Coscia's order-to-fill ratio (i.e., the average size of the order he showed to the market divided by the average size of the orders filled)[24] was approximately 1, 600%, whereas other traders generally presented ratios of between 91% and 264%.[25]

         Other traders testified to the effect of Mr. Coscia's trading on their businesses. For example, Anand Twells of Citadel, LLC, explained that his firm lost $480 in 400 milliseconds as a result of trading with Mr. Coscia.[26] Similarly, Hovannes Der-menchyan of Teza Technologies testified that he "lost $10, 000 over the course of an hour" of trading with Mr. Coscia.[27] Finally, Alexander Gerko of XTX Markets described how his firm "probably lost low hundreds of thousands of dollars" as a result of Mr. Coscia's actions.[28]

         The Government also introduced Mr. Coscia's prior testimony from a deposition taken by the Commodity Futures Trading Commission. In that deposition, Mr. Coscia explained the logic behind his trading as follows:

The logic is I wanted to make a program with two sides. I noticed there was more trading done when one side was larger than the other, and I made a program to make a market as tight as possible with different lopsided markets.
. . . .
I watched the screen, and through watching the screen for years or weeks, I noticed that when there was a larger order and smaller order, a lopsided market, there was more of a tendency for trading to occur.[29]

         When pressed on why he designed the program to cancel when the large orders risked being filled, without placing similar parameters on the small orders, Mr. Coscia simply stated "[t]hat's just how it was programmed. I don't give it much thought beyond that."[30] At trial, Mr. Coscia further testified that, "Obviously, there's less risk there. I thought it was common sense. But I should have given more of an explanation."[31] Ultimately, as explained by his counsel in summation, Mr. Coscia's defense was that he "placed real orders that were exactly that, orders that were tradeable."[32]

         The jury convicted Mr. Coscia on all counts. Mr. Coscia then filed a motion for acquittal. The district court denied the motion in a memorandum opinion and order issued on April 6, 2016. The district court determined that the evidence was sufficient to prove that Mr. Coscia committed commodities fraud and that his deception was material. Moreover, with respect to the spoofing charge, the court held that the statute was not void for vagueness. Finally, the court denied a challenge to the definition of materiality provided in the commodities fraud jury instructions.

         Thereafter, the district court, applying a fourteen-point enhancement for the estimated loss attributable to the illegal actions, sentenced Mr. Coscia to thirty-six months' imprisonment to be followed by two years' supervised release.




         We begin with Mr. Coscia's contention that the anti-spoof-ing provision is unconstitutionally vague. For the convenience of the reader, we set forth the statutory provision in its entirety:

(5) Disruptive practices
It shall be unlawful for any person to engage in any trading, practice, or conduct on or subject to the rules of a registered entity that-
. . .
(C) is, is of the character of, or is commonly known to the trade as, "spoofing" (bidding or offering with the intent to cancel the bid or offer before execution).

7 U.S.C. § 6c(a)(5). The Fifth Amendment's guarantee that "[n]o person shall ... be deprived of life, liberty, or property, without due process of law" forbids vague criminal laws. U.S. Const, amend. V.; Johnson v. United States, 135 S.Ct. 2551, 2556 (2015). This constitutional proscription gives rise to the general rule that "prohibits the government from imposing sanctions under a criminal law so vague that it fails to give ordinary people fair notice of the conduct it punishes, or so stand-ardless that it invites arbitrary enforcement." Welch v. United States, 136 S.Ct. 1257, 1262 (2016) (internal quotation marks omitted). We review a challenge to a statute's constitutionality, including vagueness challenges, de novo. See United States v. Leach, 639 F.3d 769, 772 (7th Cir. 2011).


         Mr. Coscia first submits that the statute gives inadequate notice of the proscribed conduct. He submits that Congress did not intend the parenthetical included in the statute to define spoofing.[33] Mr. Coscia contends that, by "placing 'spoofing' in quotation marks and referring to a 'commonly known' definition in the trade, Congress clearly signaled its (mistaken) belief that the definition of 'spoofing' had been established in the industry as a term of art."[34] In support of this argument, he further submits that this statutory structure mirrors the "wash sale" provision of the Commodity Exchange Act[35] and that this "parallel approach in statutory structure strongly suggests that Congress intended for the 'spoofing' definition, like the 'wash sale' definition, to be established by sources outside the statutory text."[36] We cannot accept this argument; it overlooks that the anti-spoofing pro- vision, unlike the wash sale provision, contains a parenthetical definition, rendering any reference to an industry definition irrelevant.[37]

         Relying on Chickasaw Nation v. United States, 534 U.S. 84 (2001), Mr. Coscia next submits that the "use of parentheses emphasizes the fact that that which is within is meant simply to be illustrative, " id. at 89. The provision at issue in Chickasaw Nation, a portion of the Indian Gaming Regulatory Act, Pub. L. No. 100-497, 102 Stat. 2467 (1988), referred to "[t]he provisions of Title 26 (including sections 1441, 3402(q), 6041, and 60501, and chapter 35 of such title)." 25 U.S.C. § 2719(d)(1) (emphasis added). The anti-spoofing statute, on the other hand, reads:

It shall be unlawful for any person to engage in any trading, practice, or conduct on or subject to the rules of a registered entity that-
. . . .
(C) is, is of the character of, or is commonly known to the trade as, "spoofing" (bidding or offering with the intent to cancel the bid or offer before execution).

7 U.S.C. § 6c(a)(5). Comparing the statutes, it is clear that, in the Indian Gaming Regulatory Act, the use of the word "including" rendered the parenthetical illustrative. The anti-spoofing provision, however, has no such language and is thus meaningfully different. The Supreme Court has read parenthetical language like the language before us today as definitional instead of illustrative. See, e.g., Lopez v. Gonzales, 549 U.S. 47, 52-53 (2006).[38] In any event, this argument does little to aid Mr. Coscia because, here, the charged conduct clearly falls within the ambit of the statute regardless whether the parenthetical is an example or a definition.

         In the same vein, Mr. Coscia contends that the lack of a Commodity Futures Trading Commission regulation defining the contours of spoofing adds to his lack of notice. Nonetheless, the Supreme Court has explained that "the touchstone [of a fair warning inquiry] is whether the statute, either standing alone or as construed, made it reasonably clear at the relevant time that the defendant's conduct was criminal." United States v. Lanier, 520 U.S. 259, 267 (1997). Consequently, because the statute clearly defines "spoofing" in the parenthetical, Mr. Coscia had adequate notice of the prohibited conduct.

         Mr. Coscia also makes a broader notice argument. He contends, in effect, that the absence of any guidance external to the statutory language-no legislative history, no recognized industry definition, no Commodity Futures Trading Commission rule-leaves a person of ordinary intelligence to speculate about the definition Congress intended when it placed "spoofing" in quotation marks.[39] In support of this argument, Mr. Coscia relies on Upton v. S.E.C., 75 F.3d 92 (2d Cir. 1996). In that case, the defendant had technically complied with the requirements of a rule, but the SEC took the position that his actions nevertheless violated the spirit and purpose of the rule. Prior to the issuance of an interpretive memorandum explaining that position, "[t]he Commission was aware that brokerage firms were evading the substance of Rule 15c3-3(e)." Id. at 98. Nonetheless, "[a]part from issuing one consent order carrying 'little, if any, precedential weight/ the Commission took no steps to advise the public that it believed the practice was questionable until August 23, 1989, after Upton had already stopped the practice." Id. (internal citation omitted). Accordingly, "[b]ecause there was substantial uncertainty in the Commission's interpretation of Rule 15c3-3(e), " the court held that "Upton was not on reasonable notice that [his] conduct might violate the Rule." Id.

         The present situation is wholly different from the one in Upton. Here, Congress enacted the anti-spoofing provision specifically to stop spoofing-a term it defined in the statute. Accordingly, any agency inaction-the issue presented by Upton-is irrelevant; Congress provided the necessary definition and, in doing so, put the trading community on notice. Lanier, 520 U.S. at 267 (explaining that "the touchstone is whether the statute, either standing alone or as construed, made it reasonably clear at the relevant time that the defendant's conduct was criminal").

         For the same reason, the arguments about a lack of industry definition or legislative history are irrelevant. The statute "standing alone" clearly proscribes the conduct; the term "spoofing" is defined in the statute. Id.[40]


         Mr. Coscia next contends that, even if the statute gives adequate notice, the parenthetical definition encourages arbitrary enforcement. He specifically notes that high-frequency traders cancel 98% of orders before execution and that there are simply no "tangible parameters to distinguish [Mr.] Coscia's purported intent from that of the other traders."[41]

         This argument does not help Mr. Coscia. The Supreme Court has made clear that "[a] plaintiff who engages in some conduct that is clearly proscribed cannot complain of the vagueness of the law as applied to the conduct of others." Holder v. Humanitarian Law Project, 561 U.S. 1, 18-19 (2010) (alteration in original); see also United States v. Morris, 821 F.3d 877, 879 (7th Cir. 2016) ("Vagueness challenges to statutes that do not involve First Amendment interests are examined in light of the facts of the case at hand."). Rather, the defendant must prove that his prosecution arose from arbitrary enforcement. As explained by the Second Circuit, this inquiry "involve[s] determining whether the conduct at issue falls so squarely in the core of what is prohibited by the law that there is no substantial concern about arbitrary enforcement because no reasonable enforcing officer could doubt the law's application in the circumstances." Farrell v. Burke, 449 F.3d 470, 494 (2d Cir. 2006).

         Mr. Coscia cannot claim that an impermissibly vague statute has resulted in arbitrary enforcement because his conduct falls well within the provision's prohibited conduct: he commissioned a program designed to pump or deflate the market through the use of large orders that were specifically designed to be cancelled if they ever risked actually being filled. His program would cancel the large orders (1) after the passage of time, (2) if the small orders were filled, or (3) if a single large order was filled. Read together, these parameters clearly indicate an intent to cancel, which was further supported by his actual trading record. Accordingly, because Mr. Coscia's behavior clearly falls within the confines of the conduct prohibited by the statute, he cannot challenge any allegedly arbitrary enforcement that could hypothetically be suffered by a theoretical legitimate trader.[42]

         Moreover, even if Mr. Coscia could challenge the statute, we do not believe that it permits arbitrary enforcement. When we examine the possibility of a statute's being enforced arbitrarily, we focus on whether the statute "impermissibly delegates to law enforcement the authority to arrest and prosecute on 'an ad hoc and subjective basis.'" Bell v. Keating, 697 F.3d 445, 462 (7th Cir. 2012). In undertaking this inquiry, we have noted that, "[w]hen the government must prove intent and knowledge, these requirements ... do much to destroy any force in the argument that application of the [statute] would be so unfair that it must be held invalid[.]" United States v. Calimlim, 538 F.3d 706, 711 (7th Cir. 2008) (second, third, and fourth alterations in original) (internal citations omitted). We also have underscored "that a statute is not vague simply because it requires law enforcement to exercise some degree of judgment." Bell, 697 F.3d at 462.

         The text of the anti-spoofing provision requires that an individual place orders with "the intent to cancel the bid or offer before execution." 7 U.S.C. § 6c(a)(5)(C). This phrase imposes clear restrictions on whom a prosecutor can charge with spoofing; prosecutors can charge only a person whom they believe a jury will find possessed the requisite specific intent to cancel orders at the time they were placed. Criminal prosecution is thus limited to the pool of traders who exhibit the requisite criminal intent. This provision certainly does not "vest[] virtually complete discretion in the hands of the police." Gresham v. Peterson, 225 F.3d 899, 907 (7th Cir. 2000) (internal quotation marks omitted).

         Importantly, the anti-spoofing statute's intent requirement renders spoofing meaningfully different from legal trades such as "stop-loss orders" ("an order to sell a security once it reaches a certain price")[43] or "fill-or-kill orders" ("an order that must be executed in full immediately, or the entire order is cancelled")[44] because those orders are designed to be executed upon the arrival of certain subsequent events. Spoofing, on the other hand, requires, an intent to cancel the order at the time it was placed.[45] The fundamental difference is that legal trades are cancelled only following a condition subsequent to placing the order, whereas orders placed in a spoofing scheme are never intended to be filled at all.

         At bottom, Mr. Coscia's vagueness challenge fails. The statute clearly defines the term spoofing, providing sufficient notice. Moreover, Mr. Coscia's actions fall well within the core of the anti-spoofing provision's prohibited conduct, precluding any claim that he was subject to arbitrary enforcement. Furthermore, even if his behavior were not well within the core of the anti-spoofing provision's prohibited conduct, the statute's intent requirement clearly suggests that the statute does not allow for ad hoc or subjective prosecution.


         Having determined that the anti-spoofing provision is not void for vagueness, we next address Mr. Coscia's contention that the evidence of record does not support his spoofing conviction. "In reviewing a challenge to the sufficiency of the evidence, we view all the evidence and draw all reasonable inferences in the light most favorable to the prosecution and uphold the verdict if any rational trier of fact could have found the essential elements of the crime beyond a reasonable doubt." United States v. Khattab, 536 F.3d 765, 769 (7th Cir. 2008) (internal quotation marks omitted). "[We] will not ... weigh the evidence or second-guess the jury's credibility determinations." United States v. Stevens, 453 F.3d 963, 965 (7th Cir. 2006) (citation omitted). Recognizing that "it is usually difficult or impossible to provide direct evidence of a defendant's mental state, " we allow for criminal intent to be proven through circumstantial evidence. United States v. Morris, 576 F.3d 661, 674 (7th Cir. 2009).

         As we have noted earlier, a conviction for spoofing requires that the prosecution prove beyond a reasonable doubt that Mr. Coscia knowingly entered bids or offers with the present intent to cancel the bid or offer prior to execution. Mr. Coscia's trading history clearly indicates that he cancelled the vast majority of his large orders. Accordingly, the only issue is whether a rational trier of fact could have found that Mr. Coscia possessed an intent to cancel the large orders at the time he placed them.

         A review of the trial evidence reveals the following. First, Mr. Coscia's cancellations represented 96% of all Brent futures cancellations on the Intercontinental Exchange during the two-month period in which he employed his software.[46]Second, on the Chicago Mercantile Exchange, 35.61% of his small orders were filled, whereas only 0.08% of his large orders were filled.[47] Similarly, only 0.5% of his large orders were filled on the Intercontinental Exchange.[48] Third, the designer of the programs, Jeremiah Park, testified that the programs were designed to avoid large orders being filled.[49] Fourth, Park further testified that the "quote orders" were "[u]sed to pump [the] market, " suggesting that they were designed to inflate prices through illusory orders.[50] Fifth, according to one study, only 0.57% of Coscia's large orders were on the market for more than one second, whereas 65% of large orders entered by other high-frequency traders were open for more than a second.[51] Finally, Mathew Evans, the senior vice president of NERA Economic Consulting, testified that Coscia's order-to-trade ratio was 1, 592%, whereas the order-to-trade ratio for other market participants ranged from 91% to 264%.[52]As explained at trial, these figures "mean[] that ...

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