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Salomon - IR 96 3 Q (Page 12)

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Salomon - IR 96 3 Q
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
September 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
September 30, 1996 was 4.2 years. Notional amounts, by
maturity range, were as follow (in thousands of dollars):
Notional Percent
Under one year
$ 35,554,911
22.1%
One to three years
38,835,394
24.1
Three to five years
31,287,236
19.4
Five to ten years
51,300,699
31.8
Over ten years
4,214,496
2.6
$161,192,736
100.0%
Note 2. Securities purchased under agreements
to resell
At September 30, 1996, resale agreements were
outstanding with one counterparty, which is unrelated to
Swapco. The market value of securities collateralizing
resale agreements was $72 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 September 30, 1996, these amounts
included the following balances (in thousands of dollars):
20
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
$7,711
Costs incurred on behalf of affiliates
329
Management and other fees charged
to Swapco
(31)
$8,009
Salomon Other
Brothers Inc affiliates Total
Payable to affiliates
Costs incurred on
Swapco's behalf
$431
$431
Management and
other fees charged
by Swapco
(356)
(356)
Management and
other fees charged
to Swapco
155
38
193
$230
$ 38
$268
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-
and nine-month periods ended September 30, 1996 (both
to third parties and to SBHC) totaled $2.3 and $5.2
million, respectively. Interest payments made during the
comparable periods in 1995 were $1.4 and $4.4 million.
Tax payments made to SBHC during the three- and nine-
month periods ended September 30, 1996 totaled $4.9
million and $18.4 million, respectively. Tax payments
made during the comparable periods in 1995 were $4.0
and $9.1 million.
21

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