Find Docs

Salomon - Annual R 96 (Page 17)

Wodocs >> Sports : Snowboard, Skiing >> Salomon Annual R 96 Page 17
Salomon - Annual R 96
Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio
Swapco's derivatives portfolio at December 31, 1996 included transactions with an aggregate notional principal
amount of $166.3 billion. Each of those transactions is matched with an offsetting trade with SBHC, producing a
total notional portfolio of $332.5 billion.
In addition, at December 31, Swapco had guaranteed options written by Salomon affiliates with an aggregate
notional amount of $58 million. For these transactions, Swapco has accepted a contingent liability only. Swapco
will be called upon to perform only in the event of a default on the part of the Salomon entity which wrote the
option. The current market value of all guaranteed options, plus a margin to protect against changes in value, is
included as part of Swapco's minimum required capital.
Swapco enters into transactions with counterparties rated at least Baa3/BBB-/BBB- by Moody's, Standard & Poor's
and Fitch, or with counterparties that are not rated by those services. Unrated counterparties at December 31, 1996
included U.S. banks and insurance companies, pension funds, asset management funds, and a number of foreign
corporations. Many unrated counterparties have been "approved" by the rating agencies, meaning that, although
they are not rated, their credit quality is deemed to be at least investment grade for purposes of evaluating
Swapco's capital adequacy.
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 distribution of Swapco's book at December 31, 1996 by counterparty credit rating follows (dollar amounts in
thousands). Customer derivative receivables, as presented on the Statement of Financial Condition, represent net
mark-to-market amounts owed to Swapco by individual counterparties under derivative transactions. Those
balances include cash collateral advanced to or by Swapco under derivative master netting agreements. Net
customer credit exposure, presented below, is further adjusted for the market value of securities collateral advanced
to or by Swapco.
Net
customer credit
Notional Percent exposure Percent
Moody's rating
Aaa
$ 51,399,531
30.9%
$541,547
74.1%
Aa1
9,679,589
5.8
16,851
2.3
Aa2
33,028,266
19.9
2,402
.3
Aa3
40,436,661
24.3
63,037
8.6
A1
12,340,283
7.4
41,739
5.7
A2
5,718,118
3.4
55,496
7.6
A3
3,002,792
1.8
2,508
.4
Baa1
2,587,738
1.6
1,630
.2
Baa2
132,500
.1
0
.0
Baa3
1,256,000
.8
960
.1
Other acceptable counterparties
6,683,401
4.0
4,934
.7
Counterparties rated below
investment grade
0 .0 0 .0
$166,264,879 100.0% $731,104 100.0%
16

<< Previous       1 .. 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24       Next >>



Other Documents:
1997 Triumph Trident 750, 2010 Kreidler Supermoto125 DD, 2009 Hyosung Aquila GV 250 EFI, 1982 Honda CX 500 Turbo, 2010 Can-Am DS 250, BSAL 0912, FITCH, IR 96 1 Q, IR 96 2 Q, IR 96 3 Q, IR 97 1 Q, IR 97 2 Q, IR 97 3 Q, IR 98 1 Q, MOODYS, ACCESSORIES, CLOTHING, GOGGLES 04, LENSES, MX GEAR ORDER FORM, consumer sweepstakes, vegas official rules, vtb fwd, vtm wc 12 24, AC power cord IEC, phase thermal pad mv, bja sa, bjs fwa u, erm sa, erm sb, ers 00a, ers sa, ers sb, sva sb, svm sb, vta sb, BWB SX, PFC SX, bjd sa, bsb sa hsa u, bwb sx u, erb 00a, erb 00b, erb fwb, erb hwa, erb hwb, erb sb, erb sz, erd sa, ert 00a, ert 00b, ert fwa, ert fwb, ert hwa, ert hwb,


WODocs | |
All rights reserved. wodocs.comę 2009
WODocs


New Docs

Documents Category:
Arts (Design, Movies, Music, Radio, Television)
Automotive (Cars, Marine, Motorcycle, ATV, Snowmobiles)
Business (Biotechnology and Pharmaceuticals, Chemicals, Construction and Maintenance, Materials, Real Estate, Services)
Electronics (Computers, Motion Control, Power Supply)
Games (Board, Family, Party, Card, Construction, RC Toys)
Health (Animalm, Beauty, Healthcare, Medicine, Pharmacy, Surgery, Weight Loss)
Home (Accessories, Cooking, Decor and Design, Electrical, Family, Pets)
News (Newspapers, Sports, Television)
Recreation (Collecting, Hiking, Scouting, Survival, Travel)
Reference (Education, Libraries and Archives, Museums)
Science (Agriculture, Astronomy, Biology, Chemistry)
Shopping (Antiques and Collectibles, Clothing, Flowers, Food, Home and Garden)
Sports (Bicycle, Snowboard, Skiing, Other)