S&P takes rating action on ABS deals | News | Airfinance Journal

S&P takes rating action on ABS deals

S&P Global Ratings has lowered its rating for 54 aircraft and engine asset-backed securitisations (ABSs), while affirming the status of six more.

S&P said the rating actions primarily reflected the notes' “insufficient credit enhancement” at their respective current trading levels, based on its assumptions.

The agency further said that the transactions' credit quality had declined due to health and safety fears related to Covid-19.

Other considerations in the rating actions include a “high” overall loan to value (LTV) ratio, the “declining” credit quality of the lessees and falling lease collection and debt servicing coverage ratios.

In addition, S+P highlighted what it considered the higher exposure to widebody or older aircraft relative to peers, which are subject to comparatively higher stresses in its rating runs due to the current perceived challenges for such aircraft.

It noted that a “significant portion” of collateral either off lease now or coming off lease in the next six to 12 months.
S&P also said it was informed by feedback from lessors regarding plans for off-lease aircraft.

For notes that are now rated CCC, the agency considered the fact that their LTVs were close to or in excess of 100% and continued deferral of interest on the subordinated note was likely to increase the LTV further.

“We believe that the notes may require favourable business, financial, or economic conditions to resume interest payments under the current environment,” it stated.

There were also structural considerations, including the availability of a third-party provided liquidity facility for most transactions, which S&P said typically cover nine months' interest on the senior notes.

At the time of review, none of the transactions had drawn upon this facility. The transactions also have a maintenance reserve account to cover for any refurbishments in the coming months, it observed.

Castlelake Aircraft Securitization Trust 2016-1 A loans have been kept at A, while the B loans have been maintained at BBB and the C loans at BB.

Castlelake Aircraft Structured Trust 2017-1 A loans were lowered from A to BBB, the B loans from BBB to BB and the C loans from BB to B.

DCAL Aviation Finance A-1 has been lowered from BBB+ to BB-, the B-1 component from BB+ to B- and the C-1 from B+ to CCC.

Falcon Aerospace A tranche has been lowered from A to A-, the B tranche from BBB to BBB- and the C tranche has been maintained at BB.

FAN Engine Securitization A tranche has been lowered from BB+ to B+.

Harbour Aircraft Investments A loans have been lowered from BBB+ to BB+, the B loans from BB+ to BB- and the C loans from B- to CCC.

JOL Air 2019-1 A tranche has been lowered from A to BBB+ and the B loans from BBB to BB+.

KDAC Aviation Finance A tranche has been lowered from A to BBB, B tranche from BBB to BB, and the C tranche from BB- to B+.

Labrador Aviation Finance A tranche has been lowered from A to BBB+ and the B tranche from BBB- to BB+.

MAPS 2018-1 A tranche has been lowered from A to BBB+, the B tranche from BBB to BB+ and the C tranche from BB to B+.

MAPS 2019-1 tranche A has been lowered from A to BBB+, the B tranche from BBB to BB+ and the C tranche from BB to B+.

Merlin Aviation Holdings tranche A has been lowered from A- to BBB+, tranche B from BBB- to BB+ and the C tranche was affirmed at B+.

Raptor Aircraft Finance tranche A has been lowered from A- to BB+, the B tranche from BBB- to B+ and the C tranche from B+ to CCC

Shenton Aircraft Investment I 2015-1A was lowered from A to BBB+ and 2015-1B from BBB to BB+.
S-JETS 2017-1 A tranche was lowered from A to BBB, tranche B from BBB to BB and the C tranche from BB to B.

Other rating actions include lowering START’s A tranche from A to BBB+, the B tranche from BBB to BB+ and C tranche from BB to B+.
WAVE 2017-1 tranche A has been lowered from A to BBB, tranche B from BBB to BB, and tranche C from BB to B.
WAVE 2019-1 tranche A has been lowered from A to BBB+, tranche B from BBB to BB+ and the C tranche from BB to B.

Transaction SnapshotWAVE 2019-1 | ABS | 10-19 | $678m | 23xA/c

Financial Close:
10/10/2019
SPV:
WAVE 2019-1 LLC, WAVE 2019-1 Limited
Value:
$678.00m USD
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