-93-
The Los Alamos team spent the most time for the software
project on developing strong foundations for pricing plain
vanilla swaps, which were the bulk of instruments traded in the
market. The Commissioner believed that strong foundations for
building models in these instruments had to be established first
before models could be built for the more complicated nongeneric
products.
After having spent more than 3 years and at least $2.6
million on the Los Alamos Project, the Commissioner suspended the
project in late 1997 primarily because of budgetary constraints.
There were internal concerns about computer spending during this
time and a particular concern about additional funding for the
project because any product that was developed would require
subsequent budgeting for costs connected to Los Alamos’s need to
fine-tune the product.
VI. FNBC’s Swaps Business
A. Overview
FNBC began dealing in interest rate and currency swaps in
1983 and began dealing in commodity swaps in 1989. To date, FNBC
has traded in at least 17 currency markets, including U.S.
dollars, Canadian dollars, Australian dollars, deutschmarks,
sterling, yen, Swiss francs, ECU’s, and pesetas. FNBC is an
innovator of interest rate products and is a leading provider in
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