The AOFM has released an update on its SFSF activities as at 30 September 2022. As at this date, cumulative investment commitments made by the SFSF were $3.8 billion, while the total current amount invested stood at just under $560m.
Public Markets
Public securitisation market investments of around $1.36 billion were made between late March 2020 and early July 2020. As at 30 September 2022, the book value of the SFSF’s public market investments stood at $498 million, representing a reduction of around $62 million for the quarter as a result of both amortisation and the exercising of call options by trustees.
Private markets
In private warehouse markets, a cumulative total of circa $2.3 billion in commitments were approved across 45 individual warehouses from 34 sponsors since the SFSF’s inception.
During the last quarter the SFSF exited from three individual warehouses reducing SFSF commitments by around $175 million since the end of June. As at 30 September, the SFSF had commitments in two warehouses from two sponsors, and the approved SFSF limits within these facilities totalled $60 million, while the total drawn amount across these facilities stood at circa $36.5 million.
The AOFM remains in active discussions with sponsors regarding the potential for replacement of the SFSF in the remaining warehouse investments.
Forbearance SPV
On the 31 March 2021, the Forbearance SPV availability period ceased and the Forbearance SPV moved into amortisation in April 2021 as planned. As at 30 September 2022, the balance of the Forbearance SPV stood at around $23.9 million across five remaining participating originators.
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SFSF Investment Reporting >