Bank One Corporation - Page 143

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          She concluded that FNBC’s mark-to-market method was not actually            
          a mark-to-market method.                                                    
               We agree with O’Brien’s conclusion that FNBC’s                         
          mark-to-market method was not in fact a mark-to-market method.              
          We conclude that FNBC’s mark-to-market method was inconsistent              
          with the fair market value requirement of section 475.                      
               B.  Midmarket Values                                                   
               Section 475(a)(2) generally mandates that FNBC value each              
          swap that it “held at the close of any taxable year * * * as if             
          such security [swap] were sold for its fair market value on the             
          last business day of such taxable year”.  FNBC’s midmarket method           
          failed this requirement.  FNBC’s midmarket method did not                   
          ascertain midmarket values for all of the swaps which FNBC held             
          at the end of each of its taxable years, as if those swaps had              
          been sold at their fair market value as of the last business day            
          of the appropriate years.  The midmarket values which FNBC                  
          computed as of its early closing dates were not last business day           
          values.  Such an early valuation date is inconsistent with                  
          section 475, especially when one considers that the values of at            
          least some of FNBC’s swaps changed significantly from the early             
          closing date to the date of the last business day.  As Sziklay              
          noted, and we agree, the valuation date required by section 475             
          is December 31 for calendar year taxpayers such as FNBC, and an             








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