Skip to main content

Quarterly SFSF Update

12 October 2020

This note provides an update on the AOFM’s Structured Finance Support Fund (SFSF) activities as at 30 September 2020. As at this date, total funds invested or committed by the SFSF were $3.6 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

Public securitisation market conditions improved during the quarter, reducing the need for SFSF support for primary and secondary markets. Market feedback received by the AOFM is that its preparedness to invest SFSF funds to fill gaps across investment grade tranches has reduced the execution risk for issuers of public securitisation transactions.

Cumulative public market investments made since the SFSF’s inception stood at around $1.36 billion as at 30 September, and around $119 million was invested in the quarter, specifically in early July.

The following table summarises the twelve primary market transactions supported by the SFSF in the quarter, with a total volume of just under $7.9 billion. This table excludes one eligible non-ADI sponsored RMBS transaction for which SFSF support was not sought. All but the first two transactions cleared without SFSF investment.

The circa $1.4 billion invested since late March has thus supported 21 transactions totalling around $13.9 billion.

Table 1: Analysis of primary market support

Date

Sponsor

Issue Name

Primary ($)

Secondary ($)

Total ($)

Deal Volume ($)

SFSF Share

02-July-2020

Metro Finance

Metro Finance 2020-1

-

168,545,359

168,545,359

300,000,000

56.18%

09-July-2020

FirstMac

FirstMac 2020-2

-

3,700,000

3,700,000

1,300,000,000

0.28%

15-July-2020

Columbus Capital

Triton SMSF 2020-1

-

-

-

400,000,000

0.00%

22-July-2020

AFG

AFG 2020-1

-

-

-

700,000,000

0.00%

23-July-2020

Resimac

Resimac Bastille 2020-1 NC

-

-

-

1,000,000,000

0.00%

12-August-2020

CNHI Capital

CNHICART Series 2020-1

-

-

-

435,000,000

0.00%

12-August-2020

Pepper

Pepper PRS 27

-

-

-

1,000,000,000

0.00%

03-September-2020

Bluestone

Sapphire XXIV 2020-2

-

-

-

350,000,000

0.00%

03-September-2020

Liberty

Liberty 2020-1 SME

-

-

-

600,000,000

0.00%

04-September-2020

Red Zed

RedZed 2020-2

-

-

-

400,000,000

0.00%

17-September-2020

Mortgage House

Mortgage House 2020-1

-

-

-

400,000,000

0.00%

24-September-2020

Resimac

Resimac Premier 2020-1

-

-

-

1,000,000,000

0.00%

 

 

Totals/Average:

-

172,245,359

172,245,359

7,885,000,000

2.18%

* $53.5 m of the secondary market purchases in the above table were executed in the previous quarter.

Private markets

The AOFM continued to receive expressions of interest for the SFSF to invest in private warehouse facilities throughout the quarter. In addition, the AOFM has made significant progress in assessing the many proposals received since late March. As at 30 September 2020, SFSF commitments of circa $2.1 billion have supported 39 individual warehouses sponsored by 29 eligible lenders (excluding one proposal that was withdrawn by the proponent following approval). In the quarter ending 30 September, 15 individual warehouse investments, sponsored by 12 eligible lenders were approved. The total capacity of warehouses for which support has been committed since the SFSF’s inception is circa $17 billion.

Forbearance SPV

During the course of the September quarter, arrangements were finalised for the establishment of the Forbearance SPV (fSPV) and 63 trusts sponsored by five participating originators were approved for inclusion. The total approved limits for these participants is $95.5 million. The first draw on the fSPV occurred in September.