-124-
quarters that FNBC amortized into income over 10 quarters. As to
the second point, for example, FNBC had a swap with an individual
amortization period of 56 quarters that FNBC amortized into
income over 10 quarters.
B. Swaps in Issue for 1993
1. Identification of Swaps
For purposes of its 1993 credit adjustment calculations,
FNBC treated 488 swaps as commencing in 1993. These swaps are
identified as follows:
Number Outstanding Number Treated As
Category At Yearend 1993 Commencing in 1993
IRSWs 1,147 387
CYSWs unknown 67
COMSs 52 18
COMBs unknown 16
488
2. Duration of Swaps
The 488 FNBC swaps had specific durations as follows:
Duration in Duration in Duration in
Months Number Months Number Months Number
1 17 26 8 54 2
2 3 27 3 57 2
3 8 28 2 59 3
4 3 29 6 60 36 or 37
5 3 30 5 61 1
6 11 31 2 63 2
7 3 32 3 65 1
8 4 33 3 70 4
9 11 35 7 72 1
10 3 36 53 or 54 78 1
11 1 37 3 79 2
12 78 38 3 83 2
13 1 39 1 84 16
15 1 42 5 85 1
17 1 43 1 89 1
18 9 45 5 90 1
19 3 46 1 119 2
20 9 47 1 120 4
21 6 48 16 124 2
22 6 49 1 168 2
23 7 51 1 173 1
24 81 52 1 Total 488
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