Salomon IR 96 2 Q Page 11
Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Notional Percent
Standard and Poor's rating
AAA
$ 48,057,039
32.5%
AA+
4,366,299
3.0
AA
36,896,573
24.9
AA-
14,686,022
9.9
A+
19,139,786
12.9
A
10,440,380
7.1
A-
2,136,719
1.4
BBB+
472,440
.3
BBB
771,291
.5
BBB-
237,000
.2
Other acceptable
counterparties
10,766,206
7.3
Counterparties rated below
investment grade
0
.0
$147,969,755
100.0
%
At June 30, Swapco had Customer derivative receivables
of $646 million. That balance represents the net mark-
to-market amounts owed to Swapco from individual
counterparties under derivative transactions. It includes
cash collateral advanced to or by Swapco under
derivative master netting agreements. At June 30,
Swapco had advanced cash collateral of $70 million to
counterparties and held $138 million of cash collateral
advanced from counterparties. At the same time,
Swapco had advanced securities with a market value of
$100 million and held securities worth $50 million.
Swapco's net customer credit exposure at June 30, that
is, its customer derivative receivables adjusted for the
market value of securities pledged from or to customers,
was $628 million. Net customer credit exposure by
counterparty rating was as follows (dollar amounts in
thousands):
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Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Net customer
credit
exposure Percent
Moody's rating
Aaa
$319,750
50.9%
Aa1
25,157
4.0
Aa2
64,435
10.3
Aa3
61,953
9.9
A1
13,073
2.1
A2
114,295
18.2
A3
11,396
1.8
Baa1
3,073
.5
Baa2
371
.0
Baa3
2,443
.4
Other acceptable counterparties
12,160
1.9
Counterparties rated below
investment grade
0
.0
$628,106
100.0
%
Standard and Poor's rating
AAA
$306,295
48.8%
AA+
56,828
9.1
AA
76,743
12.2
AA-
6,348
1.0
A+
24,471
3.9
A
62,188
9.9
A-
57,297
9.1
BBB+
3,037
.5
BBB
774
.1
BBB-
1,426
.2
Other acceptable counterparties
32,699
5.2
Counterparties rated below
investment grade
0
.0
$628,106
100.0
%
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