Bank One Corporation - Page 8

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                    C.  RAP/GAAP.......................................108            
               IX.    FNBC’s Calculation of Midmarket Value............108            
                    A.  FNBC’s Devon System............................108            
                         1.  Overview..................................108            
                         2.  Role of FNBC’s Devon System...............109            
                    B.  Accounting for Devon Value.....................109            
                    C.  Early Closing Date.............................111            
               X.     FNBC’s Administrative Costs Adjustment...........112            
                    A.  Overview.......................................112            
                    B.  Calculation of the Adjustment..................114            
                    C.  Preparation for the Adjustment.................116            
                    D.  Expenses Included in the Adjustment............118            
                         1.  Direct and Indirect Budgeted Costs........118            
                         2.  Amounts From Other Areas of FNBC..........119            
               XI.    FNBC’s Credit Adjustment.........................120            
                    A.  Overview.......................................120            
                         1.  Initial and Subsequent Methods............120            
                         2.  First Method..............................121            
                         3.  Second Method.............................121            
                              a.  Methodology..........................121            
                              b.  Effect of Methodology................123            
                    B.  Swaps in Issue for 1993........................124            
                         1.  Identification of Swaps...................124            
                         2.  Duration of Swaps.........................124            
                         3.  Credit Adjustments Claimed................125            
                    C.  Components of the Second Method................127            
                         1.  CEM Amount................................127            
                              a.  Overview.............................127            
                              b.  Hsieh Model..........................128            
                              c.  FNBC’s VEP System....................129            
                                   i.    Evolution of the System.......129            
                                   ii.   Effect of the System..........130            
                                   iii.  System’s Operation............131            
                         2.  Credit Risk Ratings.......................133            
                              a.  System of Risk Classification........133            





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Last modified: May 25, 2011