Bank One Corporation - Page 38

                                        -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  Next

Last modified: May 25, 2011