Salomon Swapco Inc
To Our Clients
undoubtedly the Black-Scholes options pricing
model of which he was the co-originator. The
most important (at least in these pages) was
certainly his creation, in 1993, of Salomon
Swapco Inc, the first credit-enhanced
termination-structure derivative products
company.
In addition to the four independent directors,
Swapco's board includes managers of Salomon's
major derivatives trading departments. Simon
Bowden is responsible for European Fixed
Income Client Derivatives Trading based in
London. Koichi Kawamura heads Yen Fixed
Income Client Derivatives trading in Tokyo.
Richard Stuckey heads Emerging Market
Derivatives and I head US Fixed Income Client
Derivatives Trading.
We believe that the Swapco board, as a whole,
provides us with an exceptional pool not only of
derivatives expertise but of business experience
and judgment. The board members are all
committed to maintaining Swapco's credit
strength, and, thus, its usefulness to our
counterparties.
Lastly, regarding Swapco's level of business
during the quarter, we continued to experience
good growth, reflecting high levels of client
activity. As you will see in Note 1 on page 17 of
this report, Swapco's outstanding notional
balance reached the $200 billion mark this
quarter. Notional grew $28.5 billion since
March 31, a rate in excess of $2 billion per week
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Salomon Swapco Inc
To Our Clients
- and significantly in excess of our expectations!
Deal count increased 11%, to 3,514 outstanding
trades at June 30. We also added 12 new signed
counterparties, giving us exactly 300 at quarter-
end.
At June 30, Swapco paid a dividend of $10
million, representing the Company's earnings for
the quarter.
We are, obviously, delighted by Swapco's
success and by its acceptance in the market
place. If you would like further information
about the Company, or about the products we
offer, please contact any of the representatives
listed on page 25 of this report or visit our
website at www.salomon.com/Swapco.
Yours very truly,
John G. Macfarlane III
Chairman of the Board
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