FY2016 CCDOA Financial Report as of 6302016.pdf - page 69

CLARK COUNTY DEPARTMENT OF AVIATION
CLARK COUNTY, NEVADA
Notes to Financial Statements
For the Fiscal Years Ended June 30, 2016 and 2015
56
Fair Value of Combined Investments and Derivative Instruments
as of June 30, 2016
Quoted Prices in
Significant
Active Markets for Significant Other
Unobservable
Identical Assets Observable Inputs
Inputs
Fair Value
(Level 1)
(Level 2)
(Level 3)
Investment Type
(000)
(000)
(000)
(000)
Debt Securities with Clark County Investment Pool
U.S. Treasuries
223,304
$
223,304
$
-
$
-
$
U.S. Agencies
228,512
11,426
217,086
-
Corporate Obligations
116,535
-
116,535
-
Money Market Funds
1,953
1,953
-
-
Commercial Paper
16,276
-
16,276
-
Negotiable CD
7,812
-
7,812
-
NV Local Government Invest Pool
5,208
5,208
-
-
Collateralized Mortgage Obligations
3,906
-
3,906
-
Asset Backed Securities
19,531
-
19,531
-
Repurchase Agreements
27,994
-
27,994
-
Subtotal
651,031
241,891
409,140
-
Debt Securities held by Trustee
U.S. Treasuries
67,174
11,605
-
55,569
Federal Farm Credit Bank Discount
26,482
26,482
-
-
Federal Farm Credit Bank Non-Callables
17,003
-
17,003
-
Federal Home Loan Bank Discounts
24,970
24,970
-
-
Federal Home Loan Bank Non-Callables
30,517
-
30,517
-
Federal Home Loan Mortgage Corporation Callables
9,011
-
9,011
-
Federal Home Loan Mortgage Corporation Non-Callabl
8,005
-
8,005
-
Federal National Mortgage Association Non-Callables
34,083
-
34,083
-
Money Market Funds
247,496
247,496
-
-
FSA Collateralized Investment Agreement *
14,868
-
-
14,868
Subtotal
479,609
310,553
98,619
70,437
Debt Securities Derivative Instruments
Derivative Instruments - Assets
35,619
-
35,619
-
Derivative Instruments - Liability
(143,266)
-
(143,266)
-
Subtotal
(107,647)
-
(107,647)
-
Total
1,022,993
$
552,444
$
400,112
$
70,437
$
* Fully collateralized guaranteed investment contracts and forward delivery agreements related to bond proceeds.
Fair Value Measurements
Securities classified at Level 1 of the fair value hierarchy are valued using prices quoted in active
markets for those securities or offer same-day liquidity at a price of par. Securities classified at Level 2
of the fair value hierarchy are generally valued using a matrix pricing technique. Matrix pricing is the
process of estimating the market price of a bond based on the quoted prices of more frequently
traded comparable bonds. Collateralized investment agreements are classified at Level 3 and are
valued at cost because the agreements are not traded and the liquidation values pursuant to the
agreements are at cost. State and Local Government Series are also classified at Level 3, as these
securities are purchased from the U.S. Department of Treasury through a subscription process and are
not traded on the open market but can be redeemed through the Bureau of Fiscal Service by a
redemption request.
1...,59,60,61,62,63,64,65,66,67,68 70,71,72,73,74,75,76,77,78,79,...169
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