UT (Tax & Chancery) UT-2022-000134 UT-2022-000135 UT-2022-000137 - [2025] UKUT 00214 (TCC)

Mr Creaturo had extensive experience having worked in fixed income trading for various global banks from the late 1980s to 2019, working for Lehman Brothers International, followed by Barclays Capital from 1997 and BNP Paribas in 2004 where he oversaw their core EGB trading, and then Nomura International in 2007 (until 2019). He became more involved in trading BTPs during the Eurozone debt crisis as Italy experienced a significant spike in volatility during that time. As Head of the EGB Desk at Nomura, he had to manage the overall credit risk with a strong focus on Italian government debt.

Whilst all three Traders submitted we should prefer the evidence of Mr Kasapis, Mr Jaffey put forward the most direct challenges to Mr Creaturo’s expertise and credibility.

Mr Jaffey submitted that the majority of Mr Creaturo’s experience of trading EGBs derived from roles that he held with institutions that were principally primary dealers (in particular at Nomura, BNP Paribas, Barclays and Lehman Brothers); and that the vast majority of his trading was in Core EGBs not Peripheral EGBs. Whilst the Tribunal recognises that the majority of Mr Creaturo’s experience in EGBs was in Core EGBs, Barclays Capital and Nomura (where he had worked during the Relevant Period) had not been primary dealers in EGBs when he joined them and we are satisfied that Mr Creaturo was well-placed to give opinions on trader behaviour across the EGB market, including in relation to the trading of BTPs and Futures.

Mr Jaffey’s further challenges mainly related to Mr Creaturo’s opinions in respect of the trading activity of the Traders and his opinions on the explanations they put forward of their Trading Strategies. Mr Jaffey criticised Mr Creaturo for failing to provide an explanation for the Lone Large Orders (which Mr Creaturo said were outliers) or the Traders amending the Large Orders after the Small Order filled, and submitted that his analysis did not address the significance of the Overlapping Small Orders (where Mr Creaturo accepted that it was a possibility that they were relevant) or the small orders where there was no large order on the opposite side of the book. Mr Creaturo had explained his opinions on the Trading Strategies (as we address separately in the context of our assessment of the plausibility of them); the Tribunal does not consider that he was required to seek to explain every aspect of the Traders’ activity.

The broader challenge made was that Mr Creaturo had asserted opinions without reasoning, eg denying that mean reversion could be a meaningful concept in the context of the Desk’s activities in relation to the Information Discovery Strategy. We do not consider that this is a fair challenge – Mr Creaturo’s opinions were clearly expressed and sufficiently reasoned, and were expressly based on his own relevant experience. It is correct that he had adopted a different approach to setting out his opinions on matters relating to market liquidity and market impact than Mr Kasapis. We address the latter’s approach below. However, this was not a weakness in Mr Creaturo’s evidence.

Overall, the Tribunal concluded that Mr Creaturo’s evidence was well-informed and persuasive.