FY2016 CCDOA Financial Report as of 6302016.pdf - page 115

CLARK COUNTY DEPARTMENT OF AVIATION
CLARK COUNTY, NEVADA
Notes to Financial Statements
For the Fiscal Years Ended June 30, 2016 and 2015
102
Terms, Notional Amounts, and Fair and Mark-to-Market Values
The terms, notional amounts, and fair values (2016) and mark-to-market values (FY 2015) of the
Department’s hedging derivatives at June 30, 2016 and 2015 are included in the tables below.
The notional amounts of the swap agreements match the principal portions of the associated
debt and contain reductions in the notional amounts that are expected to follow the
reductions in principal of the associated debt, except as discussed in the section on rollover
risk.
Hedging Derivative Instruments - Terms, Notional Amounts, and Fair Values
As of June 30, 2016
Outstanding
Notional
Fair
Interest Rate Swap
Associated
Effective Amount
County
County
Value
Maturity
Swap#
Description
Variable Rate Bonds
Date
(000)
Pays
Receives
(000)
Date
07A Floating-to-Fixed 2008 A-2, 2011 B-1
7/1/2008
148,350
$
4.3057% to 7/2017, 0.2500% to maturity 64.7% of USD LIBOR + 0.280%
(4,700)
$
7/1/2022
07B Floating-to-Fixed 2008 B-2, 2011 B-2
7/1/2008
148,375
4.3057% to 7/2017, 0.2500% to maturity 64.7% of USD LIBOR + 0.280%
(4,701)
7/1/2022
10B Floating-to-Fixed 2008 D-2A, 2008 D-2B
3/19/2008
29,935
4.0030% to 7/2015, 2.2700% to maturity 62.0% of USD LIBOR + 0.280%
(4,414)
7/1/2040
10C Floating-to-Fixed 2008 D-2A, 2008 D-2B
3/19/2008
29,935
4.0030% to 7/2015, 2.2700% to maturity 62.0% of USD LIBOR + 0.280%
(4,415)
7/1/2040
12A Floating-to-Fixed 2008 D-2A, 2008 D-2B, 2008C, 2008 D-3, 2010 F-2 PFC
7/1/2009
200,000
5.6260% to 7/2017, 0.2500% to maturity 64.7% of USD LIBOR + 0.280%
884
7/1/2026
14A Floating-to-Fixed 2008 D-3, 2015 B
7/1/2011
73,025
3.8860%
64.4% of USD LIBOR + 0.280%
(21,702)
7/1/2030
14B Floating-to-Fixed 2008 C, 2008 D-2A, 2008 D-2B, 2008A GO, 2010 F-2 PFC 7/1/2011
145,150
3.8810%
64.4% of USD LIBOR + 0.280%
(51,438)
7/1/2037
774,770
$
(90,486)
$
Hedging Derivative Instruments - Terms, Notional Amounts, and Mark-to-Market Values
As of June 30, 2015
Outstanding
Notional
Mark-to-Market
Interest Rate Swap
Associated
Effective
Amount
County
County
Value
Maturity
Swap#
Description
Variable Rate Bonds
Date
(000)
Pays
Receives
(000)
Date
07A Floating-to-Fixed 2008 A-2, 2011 B-1
7/1/2008
150,000
$
4.3057% to 7/2017, 0.2500% to maturity 64.7% of USD LIBOR + 0.280%
(3,825)
$
7/1/2022
07B Floating-to-Fixed 2008 B-2, 2011 B-2
7/1/2008
150,000
4.3057% to 7/2017, 0.2500% to maturity 64.7% of USD LIBOR + 0.280%
(3,823)
7/1/2022
10B Floating-to-Fixed 2008 D-2A, 2008 D-2B
3/19/2008
29,935
4.0030% to 7/2015, 2.2700% to maturity 62.0% of USD LIBOR + 0.280%
(1,442)
7/1/2040
10C Floating-to-Fixed 2008 D-2A, 2008 D-2B
3/19/2008
29,935
4.0030% to 7/2015, 2.2700% to maturity 62.0% of USD LIBOR + 0.280%
(1,442)
7/1/2040
12A Floating-to-Fixed 2008 D-2A, 2008 D-2B, 2008C, 2008 D-3, 2010 F-2 PFC
7/1/2009
200,000
5.6260% to 7/2017, 0.2500% to maturity 64.7% of USD LIBOR + 0.280%
2,651
7/1/2026
14A Floating-to-Fixed 2008 D-3, 2013 C-1
7/1/2011
73,025
3.8860%
64.4% of USD LIBOR + 0.280%
(17,082)
7/1/2030
14B Floating-to-Fixed 2008 C, 2008 D-2A, 2008 D-2B, 2008A GO, 2010 F-2 PFC 7/1/2011
145,150
3.8810%
64.4% of USD LIBOR + 0.280%
(40,284)
7/1/2037
778,045
$
(65,247)
$
Due to an overall increase in variable rates, one of the Department’s hedging derivatives had
a positive fair value and a positive market-to-market value as of June 30, 2016 and 2015,
respectively. The fair values and market-to-market values are estimated using the
methodologies discussed above under Subnote (a), "Interest Rate Swaps."
Associated Debt Cash Flows
The net cash flows for the Department’s hedging derivative instruments for the year ended
June 30, 2016, are provided in the table below.
1...,105,106,107,108,109,110,111,112,113,114 116,117,118,119,120,121,122,123,124,125,...169
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