10 February 2009
Update on the Unwind of Interest Rate Swaps
Operational Notice No 15/2008 of 20 November 2008 indicated that the AOFM would unwind up to $4 billion of interest rate swaps over the remainder of 2008-09. Since then, 30 swaps have been unwound, with a total notional principal value of $3.75 billion. This includes 12 swaps that were unwound in response to adjustments to credit ratings or other credit related events. The unwound swaps had a net realised value of $269 million in favour of the Commonwealth.
Over coming months, the AOFM will continue to unwind swaps, beyond the $4 billion target, to reduce further the volume of swaps in its portfolio. Swap unwinds will be conducted both at the AOFM's initiative and in response to proposals from counterparties.