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Salomon - IR 98 1 Q (Page 11)

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Salomon - IR 98 1 Q
Salomon Swapco Inc
Notes to Financial Statements
Note 2. Derivatives portfolio (continued)
customer credit exposure, presented above, is further
adjusted for the market value of securities collateral
advanced to or by Swapco.
The average final maturity of Swapco's portfolio at
March 31, 1998 was 4.9 years. Notional amounts, by
maturity range, were as follow (in thousands of dollars):
Notional Percent
Under one year
$ 42,832,808
16.6%
One to three years
60,632,533
23.6
Three to five years
51,588,795
20.1
Five to ten years
86,847,768
33.8
Over ten years
15,395,438
5.9
$257,297,342
100.0%
Note 3. Hedge swaps
Hedge swaps, which Swapco uses to protect itself from
market risk associated with investment securities which it
owns, are not regarded as part of the company's
derivatives portfolio and, accordingly, are not included in
the data in Note 2 above. Like all other Swapco/SBHC
derivative transactions, however, hedge swaps are subject
to the Swapco/SBHC bilateral security agreement under
which Swapco is over-collateralized at all times.
Summary data related to these hedge swap transactions is
as follows (in thousands of dollars):
March 31 notional amount
$ 44,324
Average month-end notional amount
44,131
March 31 market value
58
Average month-end market value (in
favor of SBHC)
(363)
Profit/(loss) incurred on hedge swaps,
quarter ended March 31
(441)
18
Salomon Swapco Inc
Notes to Financial Statements
Note 4. Collateral
Swapco exchanges collateral under bilateral security
agreements with a significant number of its customers as
well as with SBHC. Acceptable collateral includes cash,
U.S. and certain other Government securities as well as
certain triple-A rated corporate securities. Detail of
collateral amounts exchanged at March 31, including
securities at their market value, is as follows (in
thousands of dollars):
Collateral advanced by Swapco
to counterparties
$601,745
Collateral advanced by counterparties
to Swapco
252,431
Collateral advanced by SBHC to Swapco
725,041
Note 5. Securities purchased under agreements
to resell
At March 31, 1998, resale agreements were outstanding
with three counterparties, all of which are unrelated to
Swapco. The market value of securities collateralizing
resale agreements was $300 million.
Note 6. 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 March 31, 1998, these amounts
included the following balances (in thousands of dollars):
SBHC
Receivable from affiliates
Loan receivable
$10,000
Costs incurred on behalf of affiliates
156
$10,156
19

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