- 35 -35
strategy, which must be analyzed as a whole". Moreover, Merrill
Lynch pitched and AlliedSignal purchased this package deal as an
"integrated investment strategy" consisting of investments and
swaps. ABN's swaps were part of this deal. AlliedSignal was
fully aware that ABN, with assistance from the venture's
facilitator (i.e., Merrill Lynch) would hedge its risk in the
LIBOR notes. All testimony to the contrary was not credible.
Accordingly, it is appropriate to consider both AlliedSignal's
and ABN's swap transactions.
3. Loss Arising From Debt Issuers' Bankruptcy
Petitioner contends, and the partnership agreement provides,
that ABN bore the risk of "any ASA loss attributable to the
bankruptcy" of the commercial paper, PPN, and LIBOR note issuers.
The commercial paper, which constituted most of ASA's portfolio,
was AAA-rated, short-term, and from multiple issuers. The PPNs
were issued by multiple AA-rated banks and held less than 30
days. The LIBOR notes were issued by multiple AAA-rated banks
and held only 3 months. Indeed, Mr. den Baas testified that ASA
held a "gorgeous portfolio" of assets and was "like a mini-bank"
because it had "its own portfolio" of multiple "stellar" credit
risks. In sum, ABN's "risk" relating to these assets was de
minimis.
C. Expenses
The partnership agreement implied that expenses would be
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