-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 NextLast modified: May 25, 2011