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Saves are very definitely not factored into WAR calculations. What is factored in, at least on FanGraphs, is leverage. A reliever pitching in a very close game is pitching more important innings than a guy pitching in a blowout. So a great performance in a 2-1 game is worth more than a great performance in a 10-1 game. It's because closers pitch more important innings, and do it well (or they wouldn't have their job) that their WARs tend to be higher.
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