Update on the Unwind of Interest Rate Swaps

10 February 2009

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.

Last updated: 26 March 2014