-11- VIII. Applicable Valuation Date........................214 IX. Proper Hypothetical Market.......................215 X. FNBC Implemented Its Mark-to-Market Method Inconsistently With Section 475..................219 A. Overview.......................................219 B. Midmarket Values...............................220 C. Adjustments in General.........................221 D. Credit Adjustment..............................223 1. Need for a Credit Adjustment..............223 2. One-Month Lag in Reporting Swaps..........226 3. Credit Ratings of Both Counterparties.....227 4. Midmarket Values Reflected AA Counterparties............................230 5. Credit Enhancements.......................231 6. Netting...................................232 7. Static or Dynamic Procedure...............233 8. Confidence Levels.........................235 9. Mirror and Partially Offsetting Swaps.....236 10. Per-Swap Adjustments......................236 E. Administrative Costs...........................237 1. Overview..................................237 2. Incremental Costs.........................238 3. Use of Own Costs..........................239 F. Other..........................................239 XI. Respondent’s Method of Accounting................240 XII. Conclusion.......................................242 XIII. Postscript–-Weight Given to Expert Testimony.....244 A. Role of the Experts............................244 B. Court’s Impression of the Experts..............246 Appendix A...................................................249 Appendix B...................................................254Page: Previous 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 Next
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