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first assigning a base value of $36,758,918 to all 4 of the Fuji
and Norinchukin LIBOR notes and adding to that amount the
$1,500,000 private placement discount and the $535,000 amount
that first appeared in Pepe's notes dated July 13, 1990. Pepe's
notes dated August 17, 1990, identify the $535,000 amount as a
"fee". Pepe rounded the resulting figure of $38,793,918 up to
$38,794,000 and multiplied that figure by the ratio of the total
NPA of the retained Norinchukin LIBOR note ($25,765,000) to the
NPA of all the LIBOR notes ($102,970,000). Pursuant to these
computations, Pepe valued the Norinchukin LIBOR note that Saba
retained at $9,707,000 and the 3 LIBOR notes that Saba
distributed to Brunswick at $29,087,000.
Sodbury transferred the $24,016,789 that it received from
Saba to ABN to be applied as a credit against its loan account.
H. Brunswick's Sale of 3 LIBOR Notes
In August 1990, concurrent with Saba's distribution of the 3
LIBOR notes to Brunswick, Merrill Lynch was making arrangements
for Brunswick to sell the LIBOR notes. On August 14, 1990, a
representative of the Bank of Tokyo, Ltd. (BOT) prepared a
memorandum seeking approval from BOT's head office to purchase
the 3 LIBOR notes from Brunswick in connection with a structured
transaction to be arranged by Merrill Lynch. On August 24, 1990,
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