Quarterly SFSF Update | 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

* $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$2.1 billion have supported 39 individual warehouses sponsored by 29 eligible lenders (excluding one proposal that was withdrawn by the proponent following approval).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.