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Call the TN Attorney General - or similar office - and ask.

It's that simple.

Or ask the person who is "hiring" you for credentials.

And if you check out Costco you find references to Cosco.

Cosco itself addressed this company - http://content.costco.com/Images/Content/misc/PDF/FictitiousJobOfferEmails2.pdf

Find out where the online company, where he's calling you from, and check with...