Bank One Corporation - Page 255

                                        -95-                                          
          Government securities, municipal bonds, high yield debt, and                
          asset-backed securities.                                                    
               The Chicago office booked (i.e., held and risk-managed) all            
          swaps the notional principal amounts of which were denominated in           
          U.S. or Canadian dollars.  Swaps booked in Chicago but                      
          originating outside of FNBC’s Chicago office (e.g., at the London           
          office32) were known as “linked deals”.  Linked deals are a type            
          of internal contract that transfers the external exposure on a              
          swap, as well as the responsibility for cashflows and market                
          risk, from one FNBC trading office to another.  In order to book            
          in Chicago a deal originating in another office (e.g., London),             
          FNBC entered into a mirror swap with the origination office to              
          transfer the swap from the origination office to Chicago.                   
          Carveouts for linked deals were claimed at the linked office;               
          i.e., the office that held and risk-managed the swap.                       
               C.  Swaps Operations Personnel                                         
                    1.  Overview                                                      
               During the relevant years, FNBC’s swap operation was divided           
          into a front office and a back office.  The front office                    
          consisted of (1) traders, (2) marketers, (3) financial engineers            
          who designed new instruments and structured transactions, and               
          (4) the support staff for the first three categories of                     


          32 The London office specialized in the trading of European                 
          and Asian currencies.                                                       




Page:  Previous  85  86  87  88  89  90  91  92  93  94  95  96  97  98  99  100  101  102  103  104  Next

Last modified: May 25, 2011