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commodity derivatives including commodities such as oil, zinc,
copper, and natural gas.
On the basis of notional principal amounts outstanding, FNBC
was the 16th largest swaps dealer in the world in 1993. On a
consolidated basis, the notional principal amounts of FNBC’s
outstanding swaps at the end of 1990, 1991, 1992, and 1993
totaled $59.4 billion, $78.8 billion, $84.5 billion, and $114.9
billion, respectively. For all of FNBC’s worldwide interest rate
derivative business, its return on equity for global derivative
products in 1992 and 1993 was 30 percent and 33.9 percent,
respectively.
During the relevant years, FNBC entered primarily into
interest rate swaps. As of July 31, 1993, approximately 95
percent of the total number of deals in FNBC’s portfolio were
plain vanilla swaps and options.
B. Trading Desks
During the relevant years, FNBC had swap trading desks in
Chicago, London, Tokyo, and Sydney. The swap traders at the
Chicago trading desk handled primarily interest rate swaps
denominated in U.S. or Canadian dollars and, to a lesser extent,
currency swaps, commodity swaps, and combination swaps. The
Chicago office also traded many products other than swaps
including, but not limited to, interest rate guarantees, FRAs,
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