Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Swapco's minimum required capital increases with the
level of unsecured receivables from counterparties with
lower credit ratings. Receivables from counterparties
whose ratings have fallen below Baa3/BBB- subsequent
to initiation of Swapco's transactions, and receivables
from counterparties that are not rated and not yet
approved by the rating agencies, are included as part of
Swapco's minimum required capital.
The average final maturity of Swapco's portfolio at
March 31, 1996 was 4.3 years. Notional amounts, by
maturity range, were as follow (in thousands of dollars):
Notional Percent
Under one year
$ 25,830,233
19.5%
One to three years
35,222,055
26.5
Three to five years
27,313,262
20.6
Five to ten years
41,260,014
31.1
Over ten years
3,067,640
2.3
$132,693,204
100.0
%
Note 2. Securities purchased under agreements
to resell
At March 31, 1996, resale agreements were outstanding
with three counterparties, all of which are unrelated to
Swapco. The market value of securities collateralizing
resale agreements was $226 million.
Note 3. Receivables from and payables to
affiliates
Amounts receivable from and payable to affiliated
companies are netted, by company, and shown as assets
or liabilities. At March 31, 1996, these amounts
included the following balances (in thousands of
dollars):
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Salomon Swapco Inc
Notes to Financial Statements
Note 3. Receivables from and payables to
affiliates (continued)
SBHC
Receivable from affiliates
Intermediation and other fees charged
by Swapco
$8,457
Management and other fees charged
to Swapco
(35)
$8,422
Salomon Other
Brothers Inc affiliates Total
Payable to affiliates
Costs incurred on
Swapco's behalf
$495
$424
$919
Management and
other fees charged
by Swapco
(398)
(398)
Management and
other fees charged
to Swapco
141
45
186
$238
$469
$707
Costs incurred by Salomon Brothers Inc or other
affiliates on behalf of Swapco are reimbursed monthly.
Fee amounts are payable at least quarterly. Swapco has
arranged a committed revolving credit facility with
SBHC under which it may borrow up to $150 million
(and for which Swapco pays a negotiated commitment
fee). Unsecured loans from SBHC bear interest at
market rates. Interest payments made during the three
months ended March 31, 1996 (both to third parties and
to SBHC) totalled $723 thousand.
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