Page 94 - 2018 Comprehensive Annual Financial Report - City of Winston-Salem

As of June 30, 2018, the City was not exposed to credit risk because the swap had a negative fair value. Citigroup Global
Markets Holdings, Inc. has executed and delivered a Guarantor Agreement to the City, which “absolutely” and
“unconditionally” guarantees the payment to the City of any obligation of its wholly owned subsidiary, Citigroup, Inc. At
June 30, 2018, Citigroup Global Markets Holdings, Inc. was rated “Baa1” by Moody’s Investors Service, “BBB+” by Standard
& Poor’s Rating Services, and “A” by Fitch Ratings.
The derivative contract uses the International Swap Dealers Association Master Agreement, which includes standard
termination events, such as failure to pay and bankruptcy. Termination could result in the City being required to make or
being entitled to receive an unanticipated termination payment based upon the market value on the date of termination.
Business-type Activities
Series 2015 Synthetically
A-3, B-3 and C-3 Fiscal Variable Rate
Year Ending June 30 Principal Interest Total
2019 $ 1,095,000 $ 1,276,836 $ 2,371,836
2020 1,140,000 1,235,498 2,375,498
2021 1,190,000 1,185,570 2,375,570
2022 1,240,000 1,136,977 2,376,977
2023 1,295,000 1,086,341 2,381,341
2024-2028 7,370,000 4,596,344 11,966,344
2029-2033 9,115,000 2,951,187 12,066,187
2034-2037 8,830,000 919,835 9,749,835
Total $ 31,275,000 $ 14,388,588 $ 45,663,588

Series 2015
A-3, B-3 and C-3
Changes in Fair Value Change from Actual
for Fiscal Year Ended Fair Value Prior Year Synthetic Rate
June 30, 2016 $ (10,405,010) $ (2,919,127) 4.103%
June 30, 2017 (7,283,487) 3,121,523 4.151
June 30, 2018 (5,333,451) 1,950,036 4.317
The Series 2015 A-3, B-3 and C-3 interest rate swap was an e ective hedge under the Dollar-O set Method in scal year
2017-2018 with an inception to-date variance of 82.28%, so the swap is recorded at fair value on the Statement of Net
Position as a deferred in ow and a noncurrent liability. No investment gains or losses are recorded for mark-to-market
changes for this e ective hedge.

88 2018 AN NUAL R E P O R T