On a second thought, I think that keeping the anchored frame on a separate paragraph could have advantages, since you can manage it separately from the referring text.
However, even reducing the font size to 0.1pt and the leading to 0pt, with no space before or after the paragraph, seems to leave some noticeable space before the referring paragraph:
I wonder if there is some other parameter to look for, to reduce this space to zero.
Paolo
