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value may be derived by comparing the difference in the values of
the fixed-rate and floating-rate bonds. Whereas Duffie qualifies
his position as to value by stating that adjustments may have to
be made to the difference in the values of the two bonds, e.g.,
to reflect credit risk, we reflect his qualifications by viewing
the two bonds as described above.
We view each of FNBC’s swaps as a swap between the two
actual counterparties, one of which is FNBC, and we determine the
fair market value of each swap as if its legs were bonds which
were bought and sold by hypothetical persons. We believe that
this manner of valuation is most consistent with the requirement
of section 475(a) and (c)(2)(D) that the property considered sold
as of the last business day is the “contract” rather than the
rights or liabilities of only one of the parties to that
contract. We also believe that this manner of valuation is most
consistent with the well-established willing buyer/willing seller
test, which considers the “willing seller” of FNBC’s swaps to be
a hypothetical seller rather than FNBC itself. See Estate of
Curry v. United States, 706 F.2d at 1428; Estate of Bright v.
United States, 658 F.2d at 1005. This manner of valuation also
equates the valuation of swaps with the valuation of stocks and
bonds, the more common types of financial instruments which come
before this Court for valuation, in that we value the actual
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