-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)
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