Quarterly SFSF Update | June 2021
This note provides an update on the AOFM’s Structured Finance Support Fund (SFSF) activities as at 30 June 2021. As at this date, cumulative investment commitments made by the SFSF were $3.8 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 securitisation market conditions were reasonably stable through the quarter. No requests for support were received by the AOFM in public transactions during the quarter.
As a result of both amortisation and the exercising of call options, the book value of the SFSF’s public market investments stood at around $946 million as at 30 June 2021, down from a cumulative investment of around $1.36 billion undertaken between late March 2020 and early July 2020.
The delegate did not approve SFSF investment in any new private warehouse facilities during the last quarter. Two limit increases were approved by the delegate during the period, in return for improved commercial terms. In all, a cumulative total of circa $2.3 billion in commitments have been approved across 45 individual warehouses from 34 sponsors.
During the last quarter there has been a considerable increase in the number of sponsors replacing the AOFM’s positions with private sector commitments. As at 30 June, the SFSF had been fully replaced by other investors in ten warehouses across eight sponsors and partially replaced in a further three warehouses from as many sponsors. At this time, the SFSF had active investments in 26 warehouses across 21 sponsors. The approved SFSF limits within these facilities totalled just under $1.1 billion and the total drawn amount across these facilities stood at circa $770 million.
The AOFM remains in active discussions with sponsors regarding the replacement of the SFSF in warehouse investments.
On the 31st March, the Forbearance SPV availability period ceased and the Forbearance SPV moved into amortisation in April 2021 as planned.
During the last quarter, one participating originator repaid all amounts owing and exited the scheme.
As at 30 June 2021, the balance of the Forbearance SPV stood at circa $39 million across all remaining participating originators.