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I do think Magnussen has physical evidence stored somewhere...just not at Appledore. He liked to rattle people by simply recalling everything he has seen/read without reference. Example: Redbeard.
I don't think he could have been as powerful as he was (an entire set of ministers are questioning him!) if he hadn't been able to prove to them he had incriminating data.
What a brilliant character that was.
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I had wondered about hiatus' question too...and I have to assume CAM had some plan in place for if something happened to him.
Because he 1) blackmailed people who he knew were willing and able to kill and 2) didn't really keep himself that secure physically. And he physically assaulted people, albeit not lethally.
But I also wonder why Mycroft and everyone else couldn't have taken him into custody once they got to Appledore.
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I think CAM was such an egomaniac that he thought he could do whatever he wanted. Those are the most dangerous sorts. Being cold-blooded has disadvantages.