-110-                                         
          from the start of the swap to the first scheduled cashflow, if              
          that was the first period).  The fraction’s numerator was the               
          number of days in the accrual period.  If the next scheduled net            
          cashflow was a cash receipt, then FNBC basically recorded an                
          increase in a receivable and a corresponding entry for realized             
          trading income.  If the next scheduled net cashflow was a cash              
          payment, then FNBC basically recorded an increase in a payable              
          and a corresponding entry to realized trading loss.  FNBC reduced           
          the receivable (or payable) when the scheduled net cashflow was             
          received (or paid).                                                         
               The second piece, described by FNBC as the revaluation,                
          recorded the change in the midmarket value minus the accrual just           
          discussed.  The sum of the two pieces equaled the change in the             
          midmarket value.  At the first valuation date after the start of            
          the swap, the change in midmarket value equaled the midmarket               
          value (i.e., the previous value was zero).  If the change in the            
          midmarket value minus the accrual was an increase, then FNBC                
          recorded an increase in its asset balance for swaps and a                   
          corresponding entry for unrealized trading income.  If the change           
          in the midmarket value minus the accrual was a decrease, then               
          FNBC recorded a decrease in its asset balance for swaps and a               
          corresponding entry for unrealized trading loss.                            
               An effect of this manner of accounting for the midmarket               
          value was that no single account recorded the midmarket value of            
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