-104-
market value; i.e., the difference in the present value of the
anticipated net cashflows from each of the swap’s legs. FNBC
required as a matter of practice that the buyout price be at
least the midmarket value. FNBC was willing to enter into
buyouts at the midmarket value even if there was not a profit to
FNBC.
Approximately 12 percent of FNBC’s swaps business in March
1993 was buyouts. Approximately 23 percent of FNBC’s swaps
business in June 1993 was buyouts.
G. Swaps Outstanding at Yearend
Without consideration of any swaps booked in the London
branch, FNBC had 1,020 interest rate swaps (without an embedded
feature) outstanding at the end of 1991; 1,290 at the end of
1992; and 1,147 at the end of 1993. Without consideration of any
swaps booked in the London branch, FNBC had 19 commodity swaps
outstanding at the end of 1991; 19 at the end of 1992; and 52 at
the end of 1993.
H. Swaps in Issue
The parties have settled all pleaded issues with respect to
swaps booked through FNBC’s London branch, and no issues have
been raised as to swaps booked through the Tokyo or Sydney
office. The swaps at issue originated at the Chicago trading
desk or were booked through FNBC’s other desks and linked to the
Chicago desk. The disallowed amounts encompass all adjustments
Page: Previous 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 NextLast modified: May 25, 2011