Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Notional Percent
Standard and Poor's rating
AAA
$ 47,452,454
23.6%
AA+
10,842,397
5.4
AA
34,648,987
17.3
AA-
41,436,607
20.6
A+
7,774,275
3.9
A
30,404,370
15.1
A-
1,122,752
.6
BBB+
1,718,500
.9
BBB
1,308,122
.6
BBB-
233,183
.1
Other acceptable
counterparties
23,910,917
11.9
Counterparties rated below
investment grade
0
.0
$200,852,564
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
$425,991
59.0%
Aa1
68,712
9.5
Aa2
1,064
.1
Aa3
136,300
18.9
A1
12,818
1.8
A2
60,145
8.3
A3
8,303
1.1
Baa1
4,855
.7
Baa3
1,279
.2
Other acceptable counterparties
2,917
.4
Counterparties rated below
investment grade
0
.0
$722,384
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
$440,264
61.0%
AA+
38,804
5.4
AA
56,062
7.8
AA-
19,022
2.6
A+
31,223
4.3
A
62,997
8.7
A-
4,445
.6
BBB+
3,622
.5
BBB
2,068
.3
BBB-
3,198
.4
Other acceptable counterparties
60,679
8.4
Counterparties rated below
investment grade
0
.0
$722,384
100.0%
Customer derivative receivables, as presented on the
Statement of Financial Condition, represent the 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, respectively, or with counterparties that are
not rated by those services. Unrated counterparties at
June 30, 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
