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Quarterly SFSF update | July 2022

This note provides an update on the AOFM’s Structured Finance Support Fund (SFSF) activities as at 30 June 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 just under $700 million as at 30 June 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 30 June 2022, the book value of the SFSF’s public market investments stood at $560 million representing a reduction of circa $86 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 were approved across 45 individual warehouses from 34 sponsors since the SFSF’s inception.

During the last quarter one sponsor replaced the SFSF with private sector investment, reducing SFSF commitments by $65 million since the end of March. As at 30 June, the SFSF had commitments in five warehouses from as many sponsors, and the approved SFSF limits within these facilities totalled $235 million while the total drawn amount across these facilities stood at circa $109 million.

Of the five remaining warehouses in place as at 30 June, the SFSF’s exit from one was imminent and the AOFM expects the SFSF’s investment in a second to be replaced by the Australian Business Securitisation Fund in the September quarter. The AOFM remains in active discussions with sponsors regarding the potential for replacement of the SFSF in the remaining three 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 30 June 2022, the balance of the Forbearance SPV stood at around $26.3 million across five remaining participating originators.