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Salomon - Annual R 96 (Page 18)

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Salomon - Annual R 96
Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Net
customer credit
Notional Percent exposure Percent
Standard & Poor's rating
AAA
$ 46,433,396
27.9%
$513,100
70.2%
AA+
8,641,476
5.2
9,211
1.3
AA
33,482,592
20.1
48,066
6.6
AA-
32,909,504
19.8
14,744
2.0
A+
7,972,440
4.8
67,480
9.2
A
13,664,610
8.2
57,955
7.9
A-
1,984,330
1.2
1,443
.2
BBB+
240,000
.2
0
.0
BBB
1,224,614
.7
732
.1
BBB-
332,775
.2
1,859
.2
Other acceptable counterparties
19,379,142
11.7
16,514
2.3
Counterparties rated below
investment grade
0 .0 0 .0
$166,264,879 100.0% $731,104 100.0%
Swapco's derivatives counterparties represent a wide range of institutions around the world. Significant
concentrations are, geographically, with U.S., British and German counterparties, and, by counterparty type, with
governments and related entities, and with U.S. and foreign financial institutions.
Because Swapco's derivative transactions are all offset with trades between Swapco and SBHC, there are no net
revenues from the derivatives portfolio. The average month-end values of Swapco's customer derivative
receivables and payables were as follow (in thousands of dollars):
Year ended December 31,
1996
1995
Customer derivative receivables
$809,852
$704,570
Customer derivative payables
818,669
598,426
The average final maturity of Swapco's portfolio at December 31, 1996 was 4.7 years. Notional amounts, by
maturity range, were as follow (in thousands of dollars):
Notional Percent
Under one year
$ 27,711,647
16.7%
One to three years
39,734,883
23.9
Three to five years
31,609,136
19.0
Five to ten years
60,239,765
36.2
Over ten years
6,969,448 4.2
$166,264,879 100.0%
17

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