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Quarterly SFSF Update | September 2021

This note provides an update on the AOFM’s Structured Finance Support Fund (SFSF) activities as at 30 September 2021. As at this date, cumulative investment commitments made by the SFSF were $3.8 billion, while the total current investment amount stood at just over $1.3 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

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

Securitisation market conditions were favourable for issuance through the quarter and no requests were received by the AOFM to support public transactions.

As at 30 September 2021, the book value of the SFSF’s public market investments stood at around $825 million, representing a reduction of around $120 million for the quarter as a result of both amortisation and the exercising of call options.

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 inception of the SFSF.

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 $300 million. As at 30 September, the SFSF had commitments in 20 warehouses from 15 sponsors. The approved SFSF limits within these facilities totalled just over $800 million and the total drawn amount across these facilities stood at circa $460 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, the Forbearance SPV availability period ceased and the Forbearance SPV moved into amortisation in April 2021 as planned.

As at 30 September 2021, the balance of the Forbearance SPV stood at circa $36 million across five remaining participating originators.