Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Notional Percent
Standard and Poor's rating
AAA
$ 46,662,113
27.1%
AA+
10,050,432
5.9
AA
34,360,717
20.0
AA-
36,246,049
21.0
A+
5,900,772
3.4
A
17,737,792
10.3
A-
1,948,139
1.2
BBB+
232,500
.1
BBB
1,207,391
.7
BBB-
231,950
.1
Other acceptable
counterparties
17,583,652
10.2
Counterparties rated below
investment grade
199,500
.0
$172,361,007
100.0%
The distribution of Swapco's net customer credit
exposure by counterparty rating was as follows (dollar
amounts in thousands):
Net customer
credit
exposure Percent
Moody's rating
Aaa
$254,110
43.6%
Aa1
57,969
10.0
Aa2
21,661
3.7
Aa3
126,519
21.7
A1
12,055
2.1
A2
73,983
12.7
A3
16,319
2.8
Baa1
16,157
2.8
Other acceptable counterparties
3,637
.6
Counterparties rated below
investment grade
0
.0
$582,410
100.0%
18
Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Net customer
credit
exposure Percent
Standard and Poor's rating
AAA
$261,715
45.0%
AA+
74,743
12.8
AA
71,056
12.2
AA-
28,873
5.0
A+
43,310
7.4
A
66,781
11.5
A-
14,499
2.5
BBB+
4,721
.8
BBB
671
.1
BBB-
1,252
.2
Other acceptable counterparties
14,789
2.5
Counterparties rated below
investment grade
0
.0
$582,410
100.0%
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 above, is further
adjusted for the market value of securities collateral
advanced to or by Swapco.
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 March 31, 1997
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.
19
