Smith has extensive experience in implementing alternative structured financial products, including interest rate swaps, swaptions and rate-locks, and was the first to execute a structure such as the non-integrated swaption on a debt service reserve fund and the Index Floater structure and the Constant Maturity Swap
The other swap, a constant maturity swap
(basis swap) executed in 2008, is not tied to any debt instrument and will remain outstanding with counterparty Fifth-Third Bank (rated 'A-').
Memorial recently entered into forward constant maturity swap
agreements with Morgan Stanley and Citibank.
While 100% of this exposure is hedged with a standard LIBOR-based swap and constant maturity swap
, the district is now increasingly vulnerable to the inherent risks of derivative securities and auction-rate products.
CHP has approximately $832 million in swap contracts with $582 million in fixed payor swaps and $250 million in constant maturity swaps