Salomon Swapco Inc
To Our Clients
Company's ability to make all payments when
due remains triple-A. The probability of an early
termination, however, will be further reduced by
the credit strength of our parent. After the
merger, we expect that Swapco's indirect parent,
Salomon Smith Barney Holdings Inc., will be
rated single-A by Moody's and Standard &
Poor's.
The combination in no way diminishes the
commitment of the combined firm to Swapco.
We recognize that a significant segment of our
customer base requires a derivatives
counterparty with the highest possible credit
quality; Swapco meets that need.
Swapco's portfolio growth continued,
uninterrupted, during the third quarter.
Outstanding notional increased $17.6 billion, to
$218.5 billion at September 30. We believe that
Swapco is now the largest derivatives product
company by that measure. Outstanding deals
grew 8.1 percent over the quarter, to 3,800. We
also added another 13 signed master swap
agreements, bringing our customer base to 313
counterparties.
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Salomon Swapco Inc
To Our Clients
While the book continues to grow, our capital
requirements have become quite stable. Swapco
paid a dividend of $11 million at the end of the
third quarter and has required no capital
contributions since the first quarter. This
remains true as this is written, in spite of the
significant market volatility that we have
experienced during the last week in October.
If you have questions about the Travelers
merger, or about Swapco, we hope you will
contact any of the representatives listed on page
24 of this interim report.
Yours very truly,
John G. Macfarlane III
Chairman of the Board
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