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Quarterly SFSF update | April 2022

This note provides an update on the AOFM’s Structured Finance Support Fund (SFSF) activities as at 31 March 2022. As at this date, cumulative investment commitments made by the SFSF were $3.8 billion, while the total current amount invested stood at just under $1.0 billion.

There are three main work streams for the provision of SFSF support: (1) public (primary and secondary) markets; (2) private (warehouse) markets; and (3) forbearance (the establishment of arrangements to assist small lenders to provide forbearance for borrowers experiencing Covid-19 related hardship).

Public Markets

Public securitisation market investments of around $1.36 billion were made between late March 2020 and early July 2020.

No requests were received by the AOFM to support public transactions during the last quarter.

As at 31 March 2022, the book value of the SFSF’s public market investments stood at $646 million, representing a reduction of around $65 million for the quarter as a result of both amortisation and the exercising of call options by trustees.

Private markets

In private warehouse markets, a cumulative total of circa $2.3 billion in commitments have been approved across 45 individual warehouses from 34 sponsors since the SFSF’s inception.

The delegate did not approve new SFSF investment in any private warehouse facilities during the last quarter, nor were any limit increases approved during the period.

During the last quarter several sponsors replaced the SFSF with private sector investment, reducing SFSF commitments by around $193 million since the end of December. As at 31 March, the SFSF had commitments in six warehouses from as many sponsors, and the approved SFSF limits within these facilities totalled $300 million, while the total drawn amount across these facilities stood at circa $161 million..

The AOFM remains in active discussions with sponsors regarding the potential for replacement of the SFSF in warehouse investments.

Forbearance SPV

On the 31st March 2021, the Forbearance SPV availability period ceased and the Forbearance SPV moved into amortisation in April 2021 as planned.

As at 31 March 2022, the balance of the Forbearance SPV stood at around $29 million across five remaining participating originators.