FY2016 CCDOA Financial Report as of 6302016.pdf - page 119

CLARK COUNTY DEPARTMENT OF AVIATION
CLARK COUNTY, NEVADA
Notes to Financial Statements
For the Fiscal Years Ended June 30, 2016 and 2015
106
Credit Risk
Interest Rate Swap
Exposure
Swap#
Description
Counterparty
Moody's
S&P
Moody's
S&P Fitch
(000)
02 Basis Swap
Citigroup Financial Products Inc.
Baa2
BBB
Baa1 BBB+ A
-
$
04 Basis Swap
Citigroup Financial Products Inc.
Baa2
BBB
Baa1 BBB+ A
1,612
08A Floating-to-Fixed
Citigroup Financial Products Inc.
Baa2
BBB
Baa1 BBB+ A
-
08B Floating-to-Fixed
JPMorgan Chase Bank, N.A.
Baa1
BBB+
Aa3
A+ AA-
-
08C Floating-to-Fixed
UBS AG
Baa1
BBB+
A1
A A
-
09A Floating-to-Fixed
Citigroup Financial Products Inc.
Baa2
BBB
Baa1 BBB+ A
-
09B Floating-to-Fixed
JPMorgan Chase Bank, N.A.
Baa1
BBB+
Aa3
A+ AA-
-
09C Floating-to-Fixed
UBS AG
Baa1
BBB+
A1
A A
-
Remaining portions of swaps after April 6, 2010 terminations
15 Fixed-to-Fixed
Citigroup Financial Products Inc.
Baa2
BBB
Baa1 BBB+ A
1,796
16 Fixed-to-Fixed
Citigroup Financial Products Inc.
Baa2
BBB
Baa1 BBB+ A
2,414
18 Fixed-to-Fixed
Citigroup Financial Products Inc.
Baa1
BBB+
Baa1 BBB+ A
28,913
34,735
$
Counterparty Threshold Ratings
Counterparty Ratings
As of June 30, 2016, the counterparty to Swap #18 was required to post collateral pursuant to
the terms of the ISDA CSA agreement. The credit rating of this counterparty declined to the
rating threshold as defined in the ISDA CSA agreement so the counterparty therefore was
required to post collateral. On August 11, 2016, the counterparty posted $39.9 million of cash
as collateral with the custodian. See Note 17, "Subsequent Events," for further details.
Interest Rate Risk
Swaps #02 and #04 are subject to interest rate risk should the relationship between the LIBOR rate and
the SIFMA rate converge. If economic conditions change such that these rates converge, the
expected cash flows of the swaps and expected cost savings may not be realized.
Swaps #08A, #08B, and #08C and swaps #09A, #09B, and #09C are subject to interest rate risk should
the relationship between the 10-year CMS rate (Constant Maturity Swap rate) and the LIBOR rate
converge. If economic conditions change such that these rates converge, the expected cash flows of
the swaps and expected cost savings may not be realized.
The investment components of swaps #15, #16, and #18 are not subject to interest rate risk, since there
is no variable rate component.
Foreign Currency Risk
None of the Department’s interest rate swaps are subject to foreign currency risk.
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