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 12/31/2009<br />
1998 Swap Agreements<br />
Goldman Sachs Capital Markets, L.P. 10/4/2000 $ 100 11/15/2025 2008C2-C3 4.7600% Bond rate Deferred Inflow (11,282,436) $ (18,877,108)<br />
Investment Income (1,842,189)<br />
Societe Generale, New York Branch 10/4/2000 100 11/15/2025 2008C2-C3 4.7190% Bond rate Deferred Inflow (11,887,494) (17,824,998)<br />
Investment Income (1,814,739)<br />
Lehman Brothers Special<br />
Financing, Inc. 10/4/2000 100 11/15/2005 2008C1 4.7600% Bond rate Investment Income 13,852,974 -<br />
1999 Swap Agreements<br />
Goldman Sachs Capital Markets, L.P. 10/4/2001 100 11/1/2022 (1) 5.6179% SIFMA Deferred Inflow (5,163,491) (23,725,401)<br />
Investment Income (2,072,676)<br />
Merrill Lynch Capital Services, Inc. 10/4/2001 50 11/1/2022 (1) 5.5529% SIFMA Deferred Inflow (2,563,985) (11,562,043)<br />
Investment Income (1,013,419)<br />
RFPC, LTD. 10/4/2001 50 11/1/2022 (1) 5.6229% SIFMA Deferred Inflow (3,621,213) (11,885,828)<br />
2002 Swap Agreements<br />
Goldman Sachs Capital Markets, L.P. 4/15/2002 100 11/1/2022 (1) SIFMA 76.33% LIBOR Investment Income (6,447,206) (180,789)<br />
RFPC, LTD. 4/15/2002 100 11/1/2022 (1) SIFMA 76.00% LIBOR Investment Income (6,418,448) (302,124)<br />
2005 Swap Agreements<br />
Royal Bank <strong>of</strong> Canada 11/15/2006 55.917 11/15/2025 2006A 3.6560% 70% LIBOR Investment Income (6,655,803) (4,652,820)<br />
JP Morgan Chase Bank, N.A. 11/15/2006 55.917 11/15/2025 2006A 3.6874% 70% LIBOR Investment Income (6,680,152) (4,825,654)<br />
Jackson Financial Products, LLC 11/15/2006 111.834 11/15/2025 2006A 3.6560% 70% LIBOR Investment Income (13,311,606) (9,305,639)<br />
Piper Jaffray Financial Products, Inc. 11/15/2006 55.917 11/15/2025 2006A 3.6560% 70% LIBOR Investment Income (6,655,803) (4,652,820)<br />
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