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In the end, S.H.E.I.L.D refused to hand Loki over to the Asgardians. The Allfather and his people behind him were infuriated. Loki was still of the royal family and was to be treated as such. Fury only knew of one facility, with one single cell, that was both well-equipped enough to satisfy the demands of Odin and secure enough to keep Loki from escaping. And it was occupied.