Bank One Corporation - Page 212

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          was different than the rate that the dealer had negotiated on the           
          interdealer swap.                                                           
                    5.  Decline in Interdealer Spreads                                
               For interdealer spreads as of December 20, 1993, the                   
          following table shows (in basis points) the bid, ask, and                   
          midmarket rates, and the bid-to-mid spreads for nine common swap            
          maturities:                                                                 
          Maturity    Bid     Ask      Midmarket  Bid-to-Mid Spread                   
          2-year     13.000  15.666     14.333         1.333                          
          3-year     22.333  25.000     23.666         1.333                          
          4-year     24.333  27.000     25.666         1.333                          
          5-year     20.000  23.000     21.500         1.500                          
          6-year     26.666  29.666     28.166         1.500                          
          7-year     39.666  43.000     41.333         1.667                          
          8-year     32.000  34.666     33.333         1.333                          
          9-year     32.333  35.000     33.666         1.333                          
          10-year     32.333  35.000     33.366         1.333                         
               By 1993, the swap bid-ask spreads had narrowed from earlier            
          years because in part of competition.  Average bid-ask spreads              
          for fixed-for-floating interest rate swaps with 2-, 5-, and                 
          10-year tenors narrowed from 4 to 4.5 basis points in July 1991             
          to 2.5 to 3 basis points in July 1993.                                      
          III.  Valuing Swaps                                                         
               A.  Relevant Valuation Standards                                       
               The three relevant valuation standards are fair market                 
          value, market value, and fair value.                                        









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