Salomon Swapco Inc
Notes to Financial Statements
Note 2. Derivatives portfolio (continued)
Swapco's minimum required capital increases with the
level of unsecured receivables from counterparties with
lower credit ratings. Receivables from counterparties
whose ratings have fallen below Baa3/BBB- subsequent
to initiation of Swapco's transactions, and receivables
from counterparties that are not rated and not yet
approved by the rating agencies, are included as part of
Swapco's minimum required capital.
The distribution of Swapco's notional book at March 31,
1998 by counterparty credit rating follows (dollar
amounts in thousands).
Notional Percent
Moody's rating
Aaa
$ 57,879,117
22.5%
Aa1
22,175,139
8.6
Aa2
57,090,042
22.2
Aa3
67,143,584
26.1
A1
23,066,551
8.9
A2
8,111,055
3.2
A3
9,431,786
3.8
Baa1
1,353,804
.5
Baa2
256,000
.1
Baa3
1,434,000
.5
Other acceptable
counterparties
9,356,264
3.6
$257,297,342
100.0%
Standard and Poor's rating
AAA
$ 65,707,375
25.5%
AA+
21,235,965
8.3
AA
45,037,558
17.5
AA-
55,178,393
21.5
A+
12,176,624
4.7
A
14,746,443
5.7
A-
4,165,569
1.6
BBB+
10,461,417
4.1
BBB
2,176,517
.9
BBB-
389,575
.1
Other acceptable
counterparties
26,021,906
10.1
$257,297,342
100.0%
16
Salomon Swapco Inc
Notes to Financial Statements
Note 2. Derivatives portfolio (continued)
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
$ 667,136
60.6%
Aa1
105,090
9.6
Aa2
62,452
5.7
Aa3
101,474
9.2
A1
65,242
5.9
A2
60,372
5.5
A3
3,734
.3
Baa1
6,206
.6
Baa2
8,101
.7
Baa3
609
.1
Other acceptable
counterparties
20,085
1.8
$1,100,501
100.0%
Standard and Poor's rating
AAA
$ 689,326
62.6%
AA+
60,299
5.5
AA
90,063
8.2
AA-
54,465
4.9
A+
77,687
7.1
A
91,350
8.3
A-
6,396
.6
BBB+
2,311
.2
BBB
1,851
.2
BBB-
14,307
1.3
Other acceptable
counterparties
12,446
1.1
$1,100,501
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
17
