-105- on all swaps which were on the books of FNBC’s Chicago office at each yearend and all adjustments used to reduce FNBC’s swaps income. With respect to all of FNBC’s swaps which it designated as interest rate swaps, 95 percent of them were plain vanilla U.S. dollar denominated interest rate swaps with standardized terms. The remaining 5 percent were mainly exotic swaps that included: (1) Amortizing or accreting swaps; (2) constant maturing swaps (i.e., an interest rate swap in which the floating rate is tied to a long-term constant maturity Treasury bond yield); (3) basis swaps; and (4) forward-start swaps (interest rate swaps that specify a future start date). The remaining 5 percent also included Canadian dollar denominated interest rate swaps, all of which, during the relevant years, were plain vanilla. During 1993, FNBC generally entered into fewer than 10 Canadian dollar denominated interest rate swaps a week. During 1990 and 1991, the counterparties to FNBC’s interest rate financial derivative products were from the following categories: 1990 1991 Bank dealers 33% 32% Bank end users 16 21 Corporate end users 30 26 FCC, FNBC and its branches, its affiliates, and its own subsidiaries 21 22 100 100 (rounded)Page: Previous 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 Next
Last modified: May 25, 2011