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Salomon - IR 96 3 Q (Page 11)

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Salomon - IR 96 3 Q
Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Notional Percent
Standard and Poor's rating
AAA
$ 47,711,714
29.6%
AA+
5,658,047
3.5
AA
39,683,930
24.6
AA-
17,160,569
10.7
A+
20,462,296
12.7
A
12,288,642
7.6
A-
2,549,576
1.6
BBB+
469,590
.3
BBB
721,401
.4
BBB-
315,272
.2
Other acceptable
counterparties
14,171,699
8.8
Counterparties rated below
investment grade
0
.0
$161,192,736
100.0%
At September 30, Swapco had Customer derivative
receivables of $744 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
September 30, Swapco had advanced cash collateral of
$237 million to counterparties and held $83 million of
cash collateral advanced from counterparties. At the
same time, Swapco had advanced securities with a
market value of $147 million and held securities worth
$32 million. Swapco's net customer credit exposure at
September 30, that is, its customer derivative receivables
adjusted for the market value of securities pledged from
or to customers, was $724 million. Net customer credit
exposure by counterparty rating was as follows (dollar
amounts in thousands):
18
Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Net customer
credit
exposure Percent
Moody's rating
Aaa
$391,057
54.0%
Aa1
26,956
3.7
Aa2
67,558
9.4
Aa3
57,398
8.0
A1
24,100
3.3
A2
126,860
17.5
A3
12,065
1.7
Baa1
3,088
.4
Baa2
217
.0
Baa3
1,469
.2
Other acceptable counterparties
13,267
1.8
Counterparties rated below
investment grade
0
.0
$724,035
100.0%
Standard and Poor's rating
AAA
$366,878
50.7%
AA+
30,380
4.2
AA
102,456
14.2
AA-
7,721
1.1
A+
42,976
5.9
A
65,772
9.1
A-
65,754
9.1
BBB+
3,020
.4
BBB
773
.1
BBB-
1,042
.1
Other acceptable counterparties
37,263
5.1
Counterparties rated below
investment grade
0
.0
$724,035
100.0%
19

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