Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Notional Percent
Standard and Poor's rating
AAA
$45,107,500
34.0%
AA+
3,869,090
2.9
AA
32,095,807
24.2
AA-
13,451,190
10.1
A+
17,313,205
13.0
A
9,144,398
6.9
A-
2,124,054
1.6
BBB+
476,741
.4
BBB
771,091
.6
BBB-
73,000
.1
Other acceptable counterparties 8,267,128
6.2
Counterparties rated below
investment grade
0
.0
$132,693,204
100.0
%
The distribution of Swapco's customer derivative
receivables by counterparty rating was as follows (dollar
amounts in thousands):
Customer
derivative
receivables Percent
Moody's rating
Aaa
$477,515
60.3%
Aa1
24,958
3.1
Aa2
102,230
12.9
Aa3
57,261
7.2
A1
15,126
1.9
A2
92,543
11.7
A3
5,904
.8
Baa1
911
.1
Baa2
602
.1
Baa3
267
.0
Other acceptable counterparties
15,197
1.9
Counterparties rated below
investment grade
0
.0
$792,514
100.0
%
18
Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Customer
derivative
receivables Percent
Standard and Poor's rating
AAA
$457,131
57.7%
AA+
50,782
6.4
AA
123,178
15.5
AA-
1,991
.3
A+
34,657
4.4
A
51,051
6.4
A-
39,540
5.0
BBB+
874
.1
BBB
893
.1
BBB-
13
.0
Other acceptable counterparties
32,404
4.1
Counterparties rated below
investment grade
0
.0
$792,514
100.0
%
The customer derivative receivable balances presented
above represent Swapco's net exposure on a counterparty
basis including cash collateral received from
counterparties. At March 31, 1996, Swapco held
customer collateral in the form of cash, U.S.
Government or AAA-rated corporate securities with a
market value of $139 million. Swapco had advanced
cash or pledged securities worth $184 million. Swapco's
net customer credit exposure at March 31, that is, its
customer derivative receivables adjusted for the market
value of securities pledged from or to customers, was
$775 million.
Swapco enters into transactions with counterparties rated
at least Baa3/BBB-/BBB- by Moody's, Sandard &
Poor's and Fitch, or with counterparties that are not rated
by those services. Unrated counterparties at March 31,
1996 included U.S. banks and insurance companies,
pension funds, asset management funds, and a number of
foreign corporations.
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