Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Notional Percent
Standard and Poor's rating
AAA
$ 51,610,885
23.6%
AA+
14,774,394
6.8
AA
36,805,060
16.8
AA-
46,908,440
21.5
A+
13,236,301
6.0
A
25,485,564
11.7
A-
1,016,732
.5
BBB+
1,733,402
.8
BBB
1,263,413
.6
BBB-
386,718
.2
Other acceptable
counterparties
25,245,136
11.5
Counterparties rated below
investment grade
0
.0
$218,466,045
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
$547,630
59.8%
Aa1
120,535
13.2
Aa2
13,199
1.4
Aa3
147,420
16.1
A1
10,108
1.1
A2
55,740
6.1
A3
3,593
.4
Baa1
5,705
.6
Baa2
8,927
1.0
Other acceptable counterparties
2,565
.3
Counterparties rated below
investment grade
0
.0
$915,422
100.0%
16
Salomon Swapco Inc
Notes to Financial Statements
Note 1. Derivatives portfolio (continued)
Net customer
credit
exposure Percent
Standard and Poor's rating
AAA
$556,952
60.9%
AA+
30,218
3.3
AA
103,730
11.3
AA-
21,346
2.3
A+
42,745
4.7
A
71,126
7.8
BBB+
2,999
.3
BBB
825
.1
BBB-
14,632
1.6
Other acceptable counterparties
70,849
7.7
Counterparties rated below
investment grade
0
.0
$915,422
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 September 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.
17
