City and County of Denver Municipal Airport System ANNUAL ...
City and County of Denver Municipal Airport System ANNUAL ...
City and County of Denver Municipal Airport System ANNUAL ...
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<strong>City</strong> <strong>and</strong> <strong>County</strong> <strong>of</strong> <strong>Denver</strong><br />
<strong>Municipal</strong> <strong>Airport</strong> <strong>System</strong><br />
NOTES TO FINANCIAL STATEMENTS<br />
December 31, 2010 <strong>and</strong> 2009<br />
Notional Bond/Swap Payable Variable<br />
Effective Amount Termination Associated Swap Receivable Changes in Fair Value<br />
Fair Value<br />
Counterparty Date (in millions) Date Debt Series Rate Swap Rate Classification Amount 12/31/2010<br />
2006B Swap Agreements<br />
Royal Bank <strong>of</strong> Canada 11/15/2006 55.917 11/15/2025 2006A SIFMA 4.0855% Investment Income (1,119,443) 6,342,900<br />
JP Morgan Chase Bank, N.A. 11/15/2006 55.917 11/15/2025 2006A SIFMA 4.0855% Investment Income (1,119,443) 6,342,900<br />
Jackson Financial Products, LLC 11/15/2006 111.834 11/15/2025 2006A SIFMA 4.0855% Investment Income (2,238,886) 12,685,800<br />
Piper Jaffray Financial Products, Inc. 11/15/2006 55.917 11/15/2025 2006A SIFMA 4.0855% Investment Income (1,119,443) 6,342,900<br />
2007A Swap Agreements<br />
JP Morgan Chase Bank, N.A. 5/1/2010 150 11/1/2022 * n/a<br />
76.165% 1M<br />
LIBOR<br />
65.55% 10 YR<br />
LIBOR Investment Income 5,881,139 -<br />
Royal Bank <strong>of</strong> Canada 5/1/2010 50 11/1/2022 * n/a<br />
76.165% 1M<br />
LIBOR<br />
65.55% 10 YR<br />
LIBOR Investment Income 1,962,713 -<br />
2008A Swap Agreement<br />
Royal Bank <strong>of</strong> Canada 12/18/2008 120.23 11/15/2025 2007F-G(2) 4.0085% 70% LIBOR Investment Income 4,224,019 (17,914,761)<br />
2008B Swap Agreement<br />
Loop Financial Products I LLC 1/8/2009 100 11/15/2025 2008C1(2) 4.7600%<br />
70% LIBOR +<br />
0.1% Investment Income 3,969,393 (21,504,121)<br />
2009A Swap Agreement<br />
Loop Financial Products I LLC 1/12/2010 50 11/15/2022 (1) 5.6229% SIFMA Deferred Outflow 1,813,815 (12,724,891)<br />
Investment income 10,911,076<br />
Total $ (175,833,913)<br />
* Swap agreement terminated or replaced during 2010.<br />
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