FY2016 CCDOA Financial Report as of 6302016.pdf - page 109

CLARK COUNTY DEPARTMENT OF AVIATION
CLARK COUNTY, NEVADA
Notes to Financial Statements
For the Fiscal Years Ended June 30, 2016 and 2015
96
Interest Rate Swap Analysis
As of June 30, 2016 and 2015
Initial
Notional
Interest Rate Swap
Associated Variable Rate Bonds
County
County
Effective Maturity
Amount
June 30, 2016 June 30, 2015
Swap#
Description
or Amended Swaps
Pays
Receives
Date
Date
(000)
Counterparty
Moody's S&P Fitch
(000)
(000)
02
Basis Swap
N/A
SIFMA Swap Index - 0.41%
72.5% of USD LIBOR - 0.410%
8/23/2001 7/1/2036
185,855
$
Citigroup Financial Products Inc.
Baa1 BBB+ A
78,940
$
79,366
$
03 * Floating-to-Fixed
N/A
5.4900% to 7/2010, 3.0000% to maturity
69.0% of USD LIBOR + 0.350%
4/4/2005 7/1/2022
259,900
Citigroup Financial Products Inc.
Baa1 BBB+ A
-
-
04
Basis Swap
N/A
SIFMA Swap Index
68.0% of USD LIBOR + 0.435%
7/1/2003 7/1/2025
200,000
Citigroup Financial Products Inc.
Baa1 BBB+ A
102,596
111,518
05 * Floating-to-Fixed
N/A
4.9700% to 7/2010, 3.0000% to maturity
62.6% of USD LIBOR + 0.330%
3/19/2008 7/1/2025
60,175
Citigroup Financial Products Inc.
Baa1 BBB+ A
-
-
07A ‡ Floating-to-Fixed
2008 A-2, 2011 B-1
4.3057% to 7/2017, 0.2500% to maturity
64.7% of USD LIBOR + 0.280%
7/1/2008 7/1/2022
150,000
JPMorgan Chase Bank, N.A.
Aa3
A+ AA-
148,350
150,000
07B ‡ Floating-to-Fixed
2008 B-2, 2011 B-2
4.3057% to 7/2017, 0.2500% to maturity
64.7% of USD LIBOR + 0.280%
7/1/2008 7/1/2022
150,000
UBS AG
A1
A A
148,375
150,000
08A Floating-to-Fixed
2008C
4.0000% to 7/2015, 3.0000% to maturity
82.0% of 10 year CMS - 0.936%
3/19/2008 7/1/2040
151,200
Citigroup Financial Products Inc.
Baa1 BBB+ A
151,200
151,200
08B Floating-to-Fixed
2008C
4.0000% to 7/2015, 3.0000% to maturity
82.0% of 10 year CMS - 0.936%
3/19/2008 7/1/2040
31,975
JPMorgan Chase Bank, N.A.
Aa3
A+ AA-
31,975
31,975
08C Floating-to-Fixed
2008C
4.0000% to 7/2015, 3.0000% to maturity
82.0% of 10 year CMS - 0.936%
3/19/2008 7/1/2040
31,975
UBS AG
A1
A A
31,975
31,975
09A Floating-to-Fixed
2008 D-1
5.0000% to 7/2015, 1.2100% to maturity
82.0% of 10 year CMS - 1.031%
3/19/2008 7/1/2036
41,330
Citigroup Financial Products Inc.
Baa1 BBB+ A
41,330
41,330
09B Floating-to-Fixed
2008 D-1
5.0000% to 7/2015, 1.2100% to maturity
82.0% of 10 year CMS - 1.031%
3/19/2008 7/1/2036
8,795
JPMorgan Chase Bank, N.A.
Aa3
A+ AA-
8,795
8,795
09C Floating-to-Fixed
2008 D-1
5.0000% to 7/2015, 1.2100% to maturity
82.0% of 10 year CMS - 1.031%
3/19/2008 7/1/2036
8,795
UBS AG
A1
A A
8,795
8,795
10B Floating-to-Fixed
2008 D-2A, 2008 D-2B
4.0030% to 7/2015, 2.2700% to maturity
62.0% of USD LIBOR + 0.280%
3/19/2008 7/1/2040
29,935
JPMorgan Chase Bank, N.A.
Aa3
A+ AA-
29,935
29,935
10C Floating-to-Fixed
2008 D-2A, 2008 D-2B
4.0030% to 7/2015, 2.2700% to maturity
62.0% of USD LIBOR + 0.280%
3/19/2008 7/1/2040
29,935
UBS AG
A1
A A
29,935
29,935
12A Floating-to-Fixed
2008 D-2A, 2008 D-2B, 2008C, 2008 D-3, 2010 F-2 PFC
5.6260% to 7/2017, 0.2500% to maturity
64.7% of USD LIBOR + 0.280%
7/1/2009 7/1/2026
200,000
Citigroup Financial Products Inc.
Baa1 BBB+ A
200,000
200,000
13 * Floating-to-Fixed
N/A
6.0000% to 7/2017, 1.9130% to maturity
61.9% of USD LIBOR + 0.270%
7/1/2010 7/1/2040
150,000
Citigroup Financial Products Inc.
Baa1 BBB+ A
-
-
14A Floating-to-Fixed
2008 D-3, 2015 B
3.8860%
64.4% of USD LIBOR + 0.280%
7/1/2011 7/1/2030
73,025
UBS AG
A1
A A
73,025
73,025
14B ** Floating-to-Fixed
2008 C, 2008 D-2A, 2008 D-2B, 2008A GO, 2010 F-2 PFC
3.8810%
64.4% of USD LIBOR + 0.280%
7/1/2011 7/1/2037
145,150
Citibank, N.A., New York
A1
A A+
145,150
145,150
Remaining portions of swaps after April 6, 2010 terminations
15
Fixed-to-Fixed
swap #03 (amended and restated)
1.0200% until 7/1/2010
1.4700% starting at 7/1/2010
4/6/2010 7/1/2022
N/A Citigroup Financial Products Inc.
Baa1 BBB+ A
40,508
45,582
16
Fixed-to-Fixed
swap #05 (amended and restated)
1.3700% until 7/1/2010
0.6000% starting at 7/1/2010
4/6/2010 7/1/2025
N/A Citigroup Financial Products Inc.
Baa1 BBB+ A
50,325
50,450
18
Fixed-to-Fixed
swap #13 (amended and restated)
2.4930% until 7/1/2017
1.5940% starting at 7/1/2017
4/6/2010 7/1/2040
N/A Citigroup Financial Products Inc.
Baa1 BBB+ A
150,000
150,000
Total
1,908,045
$
1,471,209
$
1,489,031
$
Source: The PFM Group
* On April 6, 2010, the Department terminated the "on market" (at-market coupon)portion of its floating-to-fixed swaps #03, #05, #11, and #13. To fund the terminations, the Department fully terminated the "off-market" (step-coupon) portion of swap #11 and partially terminated $162.2 million of $229.9 million notional of the "off-market"
portion of swap #03. The agreements related to swaps #03, #05, and #13 were amended and restated, and the new terms of the swap agreements are presented in the table above as swaps #15, #16, and #18, respectively.
‡ On August 3, 2011, the Department refunded the outstanding principal of its Series 2008 A-1 and B-1 Bonds with the Series 2011 B-1 and B-2 Bonds, respectively. Upon refunding, swap #07B was re-associated with the cash flows of the $100 million of outstanding principal of the Series 2011 B-1 Bonds, and swap #07A was re-associated
with the cash flows of the $100 million of outstanding principal of the Series 2011 B-2 Bonds. On November 19, 2013, to better match the principal amortizations, swap #07A was re-associated with the Series 2011 B-1 Bonds, and swap #07B was re-associated with the Series 2011 B-2 Bonds.
** On July 1, 2011, forward swaps #14A and #14B, both with a trade date of April 17, 2007, became effective as scheduled. $4.48 million of the entire notional amount of swap #14A, $73.025 million, was associated with the 2008A General Obligation Bonds, with the excess notional balance classified as an investment derivative.
The entire notional amount of swap #14B, $201.975 million, was associated both with the principal of the 2008A General Obligation Bonds remaining after the association of swap #14A and with the 2013 C-1 and 2013 C-2 Notes. Although these Notes are deemed to mature in perpetuity, the 2008A General Obligation Bond matures
on July 1, 2027, a date in advance of the maturities of swaps #14A and #14B, which occur on July 1, 2030 and July 1, 2037, respectively. Therefore, those portions of swaps #14A and #14B associated with these excess maturities had been classified as investment derivatives. On November 19, 2013, these swaps were re-associated
with variable rate bonds following the termination of swaps noted below. These swaps are fully hedged derivatives.
Outstanding Notional
Counterparty Ratings
1...,99,100,101,102,103,104,105,106,107,108 110,111,112,113,114,115,116,117,118,119,...169
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