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Quarterly SFSF Update | January 2023

This note provides an update on the AOFM’s Structured Finance Support Fund (SFSF) activities as at 31 December 2022. The SFSF was established in March 2020 to ensure continued access to funding markets impacted by the economic effects of the COVID-19 pandemic.

Cumulative investment commitments made by the SFSF were $3.8 billion, while the total current amount invested stood at around $457 million as at 31 December 2022.

There were 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.

As at 31 December 2022, the book value of the SFSF’s public market investments stood at just under $388 million, representing a reduction of circa $110 million for the quarter as a result of both amortisation and the exercising of call options.

Private markets

In private warehouse markets, a total of circa $2.3 billion in commitments were approved across 45 individual warehouses from 34 sponsors.

As at 31 December 2022, the SFSF had commitments in two warehouses from as many sponsors, and the approved SFSF limits within these facilities totalled $60 million, while the total drawn amount across these facilities stood at $47.6 million. 

The AOFM remains in active discussions with sponsors regarding the potential for replacement of the SFSF in the remaining two 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 December 2022, the balance of the Forbearance SPV stood at $21.9 million across five remaining participating originators.