Margolese's second-in-command sent Baldry (who masquerades as Leroy) so that he could sell the gun instead of returning it to the rightful owner as Margolese intends.
Jerry figures it out...
" 'Give the gun to Leroy. He'll get it down to Margolese.' Ha-fucking-ha!"
"You see? Do you see?"
"I'm being set up!"
"Nayman hires this prick to take out Leroy, get the gun and pin it all on Jackoff Jerry."
"I had Nayman send you down here, but I didn't know he was looking for a buyer. When I found out he was looking for a buyer, I didn't know who on my team was... still on my team, or even if there was a goddamn team."