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from the credit risk, credit spread risk, event risk, and
liquidity risk inherent in the partnerships’ investments. ABN
did not assume any more than de minimis risk with regard to the
partnerships’ investments. See ASA Investerings Pship. v.
Commissioner, 201 F.3d at 514-515. First, the partnerships’ PPNs
and CDs posed little or no risk of loss because they were issued
by banks with high credit ratings and they were held for less
than a month. Saba I, slip. op. at 30-33, 61-62. Second, as
discussed above, the private placement discounts attributable to
the PPNs and CDs were embedded in the value of the LIBOR notes
and were wholly absorbed by Brunswick. Finally, Merrill Lynch
arranged swaps for Brunswick and ABN to hedge against interest
rate risk. Saba I, slip. op. at 51-53, 75-77. The parties
stipulated that ABN entered into hedge transactions outside the
partnerships that substantially reduced its risk to fluctuations
in the value of the LIBOR notes. See stipulations Nos. 314-320,
505-517.
Based on the foregoing, we conclude that there are no
meaningful differences between the partnerships in the instant
cases and the partnership under review in ASA Investerings Pship.
v. Commissioner, supra. Although the record does not include an
explicit fee agreement between Brunswick and ABN, or a precise
accounting of the fees and expenses that Brunswick incurred in
carrying out its tax avoidance plan, we further conclude that
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