FY2016 CCDOA Financial Report as of 6302016.pdf - page 112

CLARK COUNTY DEPARTMENT OF AVIATION
CLARK COUNTY, NEVADA
Notes to Financial Statements
For the Fiscal Years Ended June 30, 2016 and 2015
99
Interest Rate Swap Changes in Mark-to-Market Value
For the Twelve Months Ended June 30, 2015
Increase (Decrease) Increase (Decrease) Net Change in
Outstanding Derivative Instrument Mark-to-Market
in Deferred
in Deferred
Mark-to-Market
Swap#
Description
Notional (000)
Classification
Value (000)
Inflows (000)
Outflows (000)
Value (000)
Hedging derivative instruments
03 * Floating-to-Fixed Interest Rate Swap
-
$
-
$
-
$
-
$
-
$
05 * Floating-to-Fixed Interest Rate Swap
-
-
-
-
-
07A ‡ Floating-to-Fixed Interest Rate Swap
150,000
Non-current liability
(3,825)
-
(909)
909
07B ‡ Floating-to-Fixed Interest Rate Swap
150,000
Non-current liability
(3,823)
-
(909)
909
10A * Floating-to-Fixed Interest Rate Swap
-
-
-
-
-
10B Floating-to-Fixed Interest Rate Swap
29,935
Non-current liability
(1,442)
-
723
(723)
10C Floating-to-Fixed Interest Rate Swap
29,935
Non-current liability
(1,442)
-
723
(723)
11 * Floating-to-Fixed Interest Rate Swap
-
-
-
-
-
12A Floating-to-Fixed Interest Rate Swap
200,000
Non-current asset
2,651
2,651
(2,147)
4,798
13 * Forward Floating-to-Fixed Interest Rate Swap
-
-
-
-
-
14A ** § Floating-to-Fixed Interest Rate Swap
73,025
Non-current liability
(17,082)
-
1,500
(1,500)
14B ** § Floating-to-Fixed Interest Rate Swap
145,150
Non-current liability
(40,284)
-
5,213
(5,213)
Total hedging derivative activities
778,045
(65,247)
2,651
4,194
(1,543)
Deferrals
Gain (Loss) on
Included in
Investment derivative instruments
Investment (000)
Gain (Loss) (000)
02 Basis Rate Swap
79,366
Non-current liability
(2,037)
1,543
-
$
1,543
04 Basis Rate Swap
111,518
Non-current asset
1,939
930
-
930
08A Floating-to-Fixed Interest Rate Swap
151,200
Non-current liability
(18,726)
(4,496)
-
(4,496)
08B Floating-to-Fixed Interest Rate Swap
31,975
Non-current liability
(3,960)
(951)
-
(951)
08C Floating-to-Fixed Interest Rate Swap
31,975
Non-current liability
(3,960)
(951)
-
(951)
09A Floating-to-Fixed Interest Rate Swap
41,330
Non-current asset
2,654
(193)
-
(193)
09B Floating-to-Fixed Interest Rate Swap
8,795
Non-current asset
565
(41)
-
(41)
09C Floating-to-Fixed Interest Rate Swap
8,795
Non-current asset
565
(41)
-
(41)
*Remaining portions of swaps after April 6, 2010 terminations
15 Fixed-to-Fixed Swap (formerly Swap #03)
45,582
Non-current asset
2,364
(630)
-
(630)
16 Fixed-to-Fixed Swap (formerly Swap #05)
50,450
Non-current asset
2,572
(230)
-
(230)
17 § Fixed-to-Fixed Swap (formerly Swap #10A)
-
-
-
-
-
18 Fixed-to-Fixed Swap (formerly Swap #13)
150,000
Non-current asset
30,058
6,234
-
6,234
Total investment derivative activities
710,986
12,034
1,174
-
1,174
Total
1,489,031
$
(53,213)
$
(369)
$
* On April 6, 2010, the Department terminated the "on market" (at-market coupon) portion of its floating-to-fixed swaps #03, #05, #10A, #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, #10A, and #13 were amended and restated, and the new terms of the swap agreements are presented in the table above as
swaps #15, #16, #17, 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 the Notes are deemed to mature in perpetuity, the 2008A General Obligation Bonds mature 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, the Department fully terminated swaps #06, #12B, and #17, and partially terminated swap #14B. The investment components of swaps #14A and #14B
were then re-associated with variable rate bonds, thereby resulting in the full hedging of these swaps. GASB 53 required any deferred inflow or outflow of resources related
to a hedged derivative instrument be recognized as a gain or loss upon termination.
Mark-to-Market Values and Classifications
Changes in Mark-to-Market Value
as of June 30, 2015
for the Fiscal Year Ended June 30, 2015
1...,102,103,104,105,106,107,108,109,110,111 113,114,115,116,117,118,119,120,121,122,...169
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