Bank One Corporation - Page 37

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          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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Last modified: May 25, 2011