Salomon Swapco Inc
To Our Clients
During the quarter, Swapco received one small
capital injection and, on March 31, paid a dividend
of $40 million. Capital for capital adequacy
purposes, decreased by $13 million to $265
million.
At March 31, and historically, Swapco's credit
exposure was concentrated heavily in highly rated
counterparties. The first graph below
2
Salomon Swapco Inc
To Our Clients
displays net customer credit exposure by Moody's
rating at quarter-end. The second graph shows
rating agency capital as a
Rating Agency Capital as a
Percentage of Net Customer
Exposure
(Moody's Ratings)
0
20
40
60
80
100
120
140
160
3/31/96
6/30/96
9/30/96
12/31/96
3/31/97
Below Aaa Exposure
All Exposure
(Percent)
percentage of Swapco's entire customer exposure
and of its below triple-A exposure.
3
Net Customer Credit Exposure
by Moody's Rating
March 31, 1997
Aaa
44%
Aa
35%
A
18%
Other
3%
