Quarterly SFSF Update | April 2023
This note provides an update on the AOFM’s Structured Finance Support Fund (SFSF) activities as at 31 March 2023. As at this date, cumulative investment commitments made by the SFSF were $3.8 billion, while total current commitments are just over $400 million.
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 securitisation market investments of around $1.36 billion were made between late March 2020 and early July 2020.
As at 31 March 2023, the book value of the SFSF’s public market investments stood at around $340 million, representing a reduction of circa $48 million for the quarter as a result of both amortisation and the exercising of call options by trustees.
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.
During the last quarter one sponsor replaced the SFSF with private sector investment, reducing SFSF commitments by $10 million since the end of December. As at 31 March, the SFSF holds a commitment in one warehouse with a limit of $50 million.
As the AOFM now holds just one warehouse commitment, it will no longer report on its actual drawn amount nor its current overall investments but will instead report on its total current commitments in its quarterly updates.
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 2023, the balance of the Forbearance SPV stood at around $18.4 million across five remaining participating originators.