On Monday, former President Trump and two of his children filed an appeal against New York Attorney General Letitia James’ attempt to have them sit for a deposition.

In their appeal, the Trumps argue that because James wants them to testify, she should bring them before a state grand jury, in which witnesses can receive certain immunities.

The Hill reports:

The appeal is part of the Trump family’s attempt to fight a lower court’s ruling last month that ordered the former president and his two eldest children, Ivanka Trump and Donald Trump Jr., to sit for a deposition amid James’s probe into alleged fraudulent dealings by the Trump Organization.

James and the Manhattan District Attorney’s Office are conducting a separate joint criminal probe into whether Trump lowered property values on his forms for tax agents but raised them to look better for financial lenders.

In the appeal Monday, attorneys for the Trumps wrote that statutory protections would be “eviscerated if the same agency involved in the criminal investigation simply opens up a ‘civil’ investigation into the very same matters,” according to CNN.

Trump’s lawyers late last month filed a notice that they were seeking a review from the state appellate court after Judge Arthur Engoron ordered the former president and his two eldest children to sit for depositions with the attorney general’s office.

Trump has slammed the investigation as nothing other than a political witchhunt.