Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Swapco enters into transactions with counterparties rated
at least Baa3/BBB-/BBB- by Moody's, Standard &
Poor's and Fitch, respectively, or with counterparties that
are not rated by those services. Unrated counterparties at
June 30, 1996 included U.S. banks and insurance
companies, pension funds, asset management funds, and
a number of foreign corporations.
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 June
30, 1996 was 4.2 years. Notional amounts, by maturity
range, were as follow (in thousands of dollars):
Notional Percent
Under one year
$ 31,601,153
21.4%
One to three years
38,102,286
25.7
Three to five years
28,383,113
19.2
Five to ten years
46,133,259
31.2
Over ten years
3,749,944
2.5
$147,969,755
100.0
%
Note 2. Securities purchased under agreements
to resell
At June 30, 1996, resale agreements were outstanding
with three counterparties, all of which are unrelated to
Swapco. The market value of securities collateralizing
resale agreements was $196 million.
20
Salomon Swapco Inc
Notes to Financial Statements
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 June 30, 1996, these amounts included
the following balances (in thousands of dollars):
SBHC
Receivable from affiliates
Intermediation and other fees charged
by Swapco
$5,425
Costs incurred on behalf of affiliates
729
Management and other fees charged
to Swapco
(31)
$6,123
Salomon Other
Brothers Inc affiliates Total
Payable to affiliates
Costs incurred on
Swapco's behalf
$490
$431
$921
Management and
other fees charged
by Swapco
(408)
(408)
Management and
other fees charged
to Swapco
148
40
188
$230
$471
$701
Costs incurred by Salomon Brothers Inc or other
affiliates on behalf of Swapco, and costs incurred by
Swapco on behalf of affiliates, 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 June 30, 1996 (both to third parties and to
SBHC) totaled $2.1 million.
21
