-125-
3. Credit Adjustments Claimed
For 1993, FNBC calculated per-swap credit adjustments with
respect to 418 of the 488 swaps. The amount of the credit
adjustment calculated by type of swap was as follows:
Category Number Credit Adjustment
IRSW 387 $718,978
CYSW 67 100,884
COMS 18 7,782
COMB 16 154,351
Total 488 981,995
In 1993, FNBC decreased its swap values reported for 1993 by
credit adjustments totaling $981,995. Of the 488 swaps, (1) 9
were a risk class 1 and had a credit adjustment totaling $6,764;
of these, 8 were interest rate swaps, with a combined credit
carveout of $6,235; (2) 179 were a risk class 2 and had a credit
adjustment totaling $257,654; of these, 135 were interest rate
swaps, with a combined credit adjustment of $102,311; (3) 26 were
currency swaps with a combined credit adjustment of $11,197; (4)
9 were combination swaps with a combined credit adjustment of
$141,527; (5) 8 were commodity swaps with a combined credit
adjustment of $1,498; and (6) 1 was a swaption with a credit
adjustment of $1,121.
As to the total credit adjustment of $981,995: (1) $93,203
arose from transactions that were not in existence on
Page: Previous 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 NextLast modified: May 25, 2011