Interest Rate Swap Unwind Program

28 May 2009

Interest Rate Swap Unwind Program

On 20 November 2008, Operational Notice No 15/2008 announced that the AOFM planned to unwind up to $4 billion of interest rate swaps over the remainder of 2008-09. This advice to the market was updated via Operational Notice No 2/2009 of 10 February 2009, which indicated that the AOFM would continue to unwind interest rate swaps beyond the $4 billion volume initially indicated.

Since the commencement of the unwind program on 20 November 2008, 130 swaps have been terminated, with a total notional face value of $15.25 billion. These terminations have generated a net realised value of $1.029 billion in favour of the Commonwealth.

Currently 23 swaps remain in the portfolio, with a total notional face value of $2.725 billion. These remaining swaps will all mature within the next twelve months and thus carry relatively little interest rate risk. Consequently, the AOFM expects to allow these swaps to mature without early termination. It will, however, continue to entertain approaches from counterparties who wish to undertake terminations.

Further information on the lifetime performance of the domestic interest rate swaps will be provided in the AOFM’s 2008-09 Annual Report.

Last updated: 26 March 2014