FY2016 CCDOA Financial Report as of 6302016.pdf - page 118

CLARK COUNTY DEPARTMENT OF AVIATION
CLARK COUNTY, NEVADA
Notes to Financial Statements
For the Fiscal Years Ended June 30, 2016 and 2015
105
Investment Derivative Instruments - Terms, Notional Amounts, and Fair Values
As of June 30, 2016
Outstanding
Fair
Interest Rate Swap Associated Variable Rate Bonds
Effective Notional
County
County
Value Maturity
Swap#
Description
or Amended Swaps
Date
(000)
Pays
Receives
(000)
Date
02 Basis Swap
N/A
8/23/2001
78,940
$
SIFMA Swap Index - 0.41%
72.5% of USD LIBOR - 0.410%
(1,458)
$
7/1/2036
04 Basis Swap
N/A
7/1/2003
102,596
SIFMA Swap Index
68.0% of USD LIBOR + 0.435%
1,612
7/1/2025
08A Floating-to-Fixed 2008C
3/19/2008
151,200
4.0000% to 7/2015, 3.0000% to maturity 82.0% of 10 year CMS - 0.936% (33,762)
7/1/2040
08B Floating-to-Fixed 2008C
3/19/2008
31,975
4.0000% to 7/2015, 3.0000% to maturity 82.0% of 10 year CMS - 0.936% (7,140)
7/1/2040
08C Floating-to-Fixed 2008C
3/19/2008
31,975
4.0000% to 7/2015, 3.0000% to maturity 82.0% of 10 year CMS - 0.936% (7,140)
7/1/2040
09A Floating-to-Fixed 2008 D-1
3/19/2008
41,330
5.0000% to 7/2015, 1.2100% to maturity 82.0% of 10 year CMS - 1.031% (1,680)
7/1/2036
09B Floating-to-Fixed 2008 D-1
3/19/2008
8,795
5.0000% to 7/2015, 1.2100% to maturity 82.0% of 10 year CMS - 1.031%
(358)
7/1/2036
09C Floating-to-Fixed 2008 D-1
3/19/2008
8,795
5.0000% to 7/2015, 1.2100% to maturity 82.0% of 10 year CMS - 1.031%
(358)
7/1/2036
Remaining portions of swaps after April 6, 2010 terminations
15 Fixed-to-Fixed
swap #03 (amended and restated)
4/6/2010
40,508
1.0200% until 7/1/2010
1.4700% starting at 7/1/2010
1,796
7/1/2022
16 Fixed-to-Fixed
swap #05 (amended and restated)
4/6/2010
50,325
1.3700% until 7/1/2010
0.6000% starting at 7/1/2010
2,414
7/1/2025
18 Fixed-to-Fixed
swap #13 (amended and restated)
4/6/2010
150,000
2.4930% until 7/1/2017
1.5940% starting at 7/1/2017
28,913
7/1/2040
696,439
$
(17,161)
$
Investment Derivative Instruments - Terms, Notional Amounts, and Mark-to-Market Values
As of June 30, 2015
Outstanding
Mark-to-Market
Interest Rate Swap Associated Variable Rate Bonds
Effective Notional
County
County
Value
Maturity
Swap#
Description
or Amended Swaps
Date
(000)
Pays
Receives
(000)
Date
02 Basis Swap
N/A
8/23/2001
79,366
$
SIFMA Swap Index - 0.41%
72.5% of USD LIBOR - 0.410%
(2,037)
$
7/1/2036
04 Basis Swap
N/A
7/1/2003
111,518
SIFMA Swap Index
68.0% of USD LIBOR + 0.435%
1,939
7/1/2025
08A Floating-to-Fixed 2008C
3/19/2008
151,200
4.0000% to 7/2015, 3.0000% to maturity 82.0% of 10 year CMS - 0.936%
(18,726)
7/1/2040
08B Floating-to-Fixed 2008C
3/19/2008
31,975
4.0000% to 7/2015, 3.0000% to maturity 82.0% of 10 year CMS - 0.936%
(3,960)
7/1/2040
08C Floating-to-Fixed 2008C
3/19/2008
31,975
4.0000% to 7/2015, 3.0000% to maturity 82.0% of 10 year CMS - 0.936%
(3,960)
7/1/2040
09A Floating-to-Fixed 2008 D-1
3/19/2008
41,330
5.0000% to 7/2015, 1.2100% to maturity 82.0% of 10 year CMS - 1.031%
2,654
7/1/2036
09B Floating-to-Fixed 2008 D-1
3/19/2008
8,795
5.0000% to 7/2015, 1.2100% to maturity 82.0% of 10 year CMS - 1.031%
565
7/1/2036
09C Floating-to-Fixed 2008 D-1
3/19/2008
8,795
5.0000% to 7/2015, 1.2100% to maturity 82.0% of 10 year CMS - 1.031%
565
7/1/2036
Remaining portions of swaps after April 6, 2010 terminations
15 Fixed-to-Fixed
swap #03 (amended and restated)
4/6/2010
45,582
1.0200% until 7/1/2010
1.4700% starting at 7/1/2010
2,364
7/1/2022
16 Fixed-to-Fixed
swap #05 (amended and restated)
4/6/2010
50,450
1.3700% until 7/1/2010
0.6000% starting at 7/1/2010
2,572
7/1/2025
18 Fixed-to-Fixed
swap #13 (amended and restated)
4/6/2010
150,000
2.4930% until 7/1/2017
1.5940% starting at 7/1/2017
30,058
7/1/2040
710,986
$
12,034
$
Credit Risk
The Department is exposed to credit risk on the seven interest rate swaps with positive fair
values totaling $34.7 million. The Department is not exposed to credit risk on the remaining
interest rate swaps with negative fair values. Should forward interest rates change such that
the fair values of those swaps become positive, the Department would then be exposed to
credit risk in the amount of those derivatives’ fair values. As described earlier, a CSA is in place
to provide collateral to protect the value of the swap under specific circumstances. The
counterparty credit ratings for the Department’s investment derivative swaps at June 30, 2016,
are included in the table below.
1...,108,109,110,111,112,113,114,115,116,117 119,120,121,122,123,124,125,126,127,128,...169
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