I thought I'd finished it.
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El Jefe's fortress was a palace near a village in Japan that El Jefe took over and turned into his base of operations. Here he began constructing a 1000 foot tall giant statue of himself. It appears in Turning Japanese of Sly Cooper: Thieves in Time.
History
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El Jefe was hired by Cyrille Le Paradox to time travel to 1603 AD in order to steal Rioichi Cooper's cane.