KBRA takes rating actions on 155 ABS structures
Kroll Bond Rating Agency (KBRA) has downgraded 81 aviation asset-backed securities (ABS) and affirmed the ratings for a further 74 securities from 55 transactions.
Of the 155 ratings, 154 were removed from watch status, where they were initially placed on 3 April 2020.
KBRA said that in taking its rating actions it considered the results of its cash flow analysis, as well as the performance of the subject transactions, many of which included “declining cash flows and delinquent or deferred lease payments”.
The agency noted that the “near cessation” in travel has had a substantive impact on securitisation cash flows.
Despite an increase in travel in the regions where aircraft are located, a significant time period may elapse for securitisation cash flows to meaningfully improve or return to pre-crisis performance levels owing to general economic conditions and the status of the health crises surrounding Covid-19.
To illustrate, KBRA said that for the August payments, 22 ABS transactions reported delinquent lease payments, with delinquencies ranging from 24% to 77%.
Another 35 transactions breached debt service coverage ratio triggers causing rapid amortisation events.
The typical trigger point for aviation ABS structures is 1.15x. Certain transactions include a more junior security, which typically receives a non-investment grade rating at closing, KBRA noted.
This security is not covered by a liquidity facility. A total of 26 of the 49 of these junior securities did not receive any cash flow and are experiencing interest deferrals ranging from one to eight months in 2020.
Many of the remaining 23 securities are utilising a junior reserve account to pay interest, of which the majority have less than six months of coverage remaining, the agency said.
However, despite continued cash flow interruption no transactions withdrew funds from available liquidity facilities to maintain timely interest on the more senior securities as of the August payment date.
Previously, two transactions withdrew from the liquidity facilities, which both subsequently have been repaid in full as of, or prior to, the September payment date. These liquidity facilities are generally sized to cover nine months of interest on the class A and B securities in typical aviation ABS structures.
In addition, cash flows for 42 transactions improved month over month and 37 transactions have shown improving cash flows over a rolling three-month period.
The degree to which rent collection declines impacted individual transaction waterfalls was also considered in taking the actions in conjunction with their unique collateral characteristics. For example, lower widebody exposure and a lower weighted average aircraft age were viewed more favourably, since domestic air travel is more likely to return before international travel and younger aircraft are more likely to be leased again rather than retired.
Longer term lease expiries are also viewed positively because finding new lessees is expected to be challenging in the near term. However, while consideration was given to collateral pools with favourable characteristics, such characteristics are generally not sufficient to offset continued liquidity strain in the form of long-term rent collection declines.
The rating actions also accounted for the availability of liquidity facilities, which benefit the senior securities in transactions but are not available to make payments to junior securities.
| KBRA Ratings | ||||
| Servicer | Issuer | Class/Series | From/Prior | To/Current |
| ACG Aircraft Leasing Ireland | MACH 1 Cayman and MACH 1 USA | Series A Notes | A | A |
| Series B Notes | BBB | BBB | ||
| Merlin Aviation Holdings | A Notes | A- | A- | |
| B Notes | BBB- | B- | ||
| C Notes | B- | ccc | ||
| Aergo Capital | METAL 2017-1 | Series A Notes | BBB | BBB |
| Series B Notes | BB | BB | ||
| Series C-1 Notes | B- | CCC | ||
| Series C-2 Notes | CCC | CCC | ||
| Air Lease Corporation | Series AA Notes | AA | AA | |
| Blackbird Capital Aircraft Lease Securitization2016-1 | Series A Notes | A- | A- | |
| Series B Notes | BBB- | BBB- | ||
| Thunderbolt Aircraft Lease | Series A | A- | A- | |
| Series B | BBB- | BBB- | ||
| Series C | B- | B- | ||
| Thunderbolt Aircraft II Lease | Series A Notes | A- | A- | |
| Series B Notes | BBB- | BBB- | ||
| Thunderbolt Aircraft III Lease | Series A Notes | A- | A- | |
| Series B Notes | BBB- | BBB- | ||
| Airborne Capital | Tailwind 2019-1 | Series A Notes | A- | A- |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| Avolon Aerospace Leasing | Sapphire Aviation Finance I | Series A Notes | A- | BBB+ |
| Series B Notes | BBB- | BB+ | ||
| Series C Notes | B- | CCC | ||
| Avolon Aerospace Leasing | Sapphire Aviation Finance II | Series A Notes | A- | BBB+ |
| Series B Notes | BBB- | BB+ | ||
| Series C Notes | B- | CCC | ||
| BBAM Aviation Services | Horizon Aircraft Finance I | Series A Notes | A- | A- |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| Horizon Aircraft Finance II | Series A Notes | A- | A- | |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| Horizon Aircraft Finance III | Series A Notes | A- | A- | |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| BOC Aviation (Ireland) | Silver Aircraft Lease Investment | Series A Notes | A- | BBB+ |
| Series B Notes | BBB- | BB+ | ||
| Series C Notes | B- | CCC | ||
| Carlyle Aviation Management | AASET 2017-1 Trust (Apollo Aviation) | Class A Notes | A- | A- |
| Class B Notes | BBB- | BBB- | ||
| Class C Notes | B- | B- | ||
| AASET 2018-1 Trust (Apollo Aviation) | Class A Notes | A- | BBB+ | |
| Class B Notes | BBB- | BB+ | ||
| Class C Notes | B- | CCC | ||
| AASET 2018-2 Trust (Apollo Aviation) | Class A Notes | A- | BBB+ | |
| Class B Notes | BBB- | BB+ | ||
| Class C Notes | B- | CCC | ||
| AASET 2018-3 Note Issuer Designated Activity Company | Class A Notes | A- | BBB+ | |
| Class B Notes | BBB- | BB+ | ||
| Class C Notes | B- | CCC | ||
| Carlyle Aviation Management | AASET 2019-1 Trust | Class A Notes | A- | BBB+ |
| Class B Notes | BBB- | BB+ | ||
| Class C Notes | B- | CCC | ||
| AASET 2019-2 Trust | Class A Notes | A- | A- | |
| Class B Notes | BBB- | BBB- | ||
| Class C Notes | B- | CCC | ||
| AASET 2020-1 Trust | A | A- | A- | |
| B | BBB- | BBB- | ||
| C | B- | CCC | ||
| Harbour Aircraft Investments, Series 2017 | Series A Loans | A- | A- | |
| Series B Loans | BBB- | BBB- | ||
| Series C Loans | B- | CCC | ||
| Castlelake Aviation Holdings (Ireland) | Castlelake Aircraft Securitization Trust 2016-1 | Class A Loans | A- | A- |
| Class B Loans | BBB- | BBB- | ||
| Class C Loans | B- | CCC | ||
| Castlelake Aircraft Structured Trust 2017-1 | Class A Loans | A- | BBB+ | |
| Class B Loans | BBB- | BB+ | ||
| Class C Loans | B- | CCC | ||
| Castlelake Aircraft Structured Trust 2018-1 | Class A Notes | A- | BBB+ | |
| Class B Notes | BBB- | BB+ | ||
| Class C Notes | B- | CCC | ||
| Castlelake Aircraft Structured Trust 2019-1 | Class A Notes | A- | BBB+ | |
| Class B Notes | BBB- | BB+ | ||
| Class C Notes | B- | CCC | ||
| DAE | Falcon Aerospace | A Loans | A- | A- |
| B Loans | BBB- | BBB- | ||
| C Loans | B- | B- | ||
| Falcon 2019-1 Aerospace | Series A Notes | A- | BBB+ | |
| Series B Notes | BBB- | BB+ | ||
| Series C Notes | B- | B- | ||
| Kestrel Aircraft Funding | Series A Notes | A- | BBB+ | |
| Series B Notes | BBB- | BB+ | ||
| DVB Bank | DCAL Aviation Finance | Series A-1 | A- | BBB+ |
| Series B-1 | BBB- | BB+ | ||
| Series C-1 | B- | CCC | ||
| KDAC Aviation Finance (Cayman) | Series A Notes | A- | BBB+ | |
| Series B Notes | BBB- | BB+ | ||
| Series C Notes | B- | CCC | ||
| Lunar Aircraft 2020-1 | Series A Notes | A- | A- | |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| Elix Aviation Capital | Prop 2017-1 | A Loans | BBB+ | BBB |
| B Loans | BB+ | BB | ||
| C Loans | CCC | CCC | ||
| GE Capital Aviation Services | Fan Engine Securitization Series 2013-1 | A | A- | A- |
| Labrador Aviation Finance | Series A Notes | A- | BBB+ | |
| Series B Notes | BBB- | BB+ | ||
| START | Series A Notes | A- | A- | |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| GE Capital Aviation Services | START II | Series A Notes | A- | A- |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | B- | ||
| Goshawk Management (Ireland) | S-JETS 2017-1 | Series A Notes | A- | BBB+ |
| Series B Notes | BBB- | BB+ | ||
| Series C Notes | B- | CCC | ||
| Pioneer Aircraft Finance | Series A Notes | A- | BBB+ | |
| Series B Notes | BBB- | BB+ | ||
| Series C Notes | B- | CCC | ||
| Merx Aviation Servicing | MAPS 2018-1 | Series A Notes | A- | A- |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| MAPS 2019-1 | Series A Notes | A- | A- | |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| Seraph Aviation Management | Raptor Aircraft Finance I | Series A Notes | A- | BBB+ |
| Series B Notes | BB+ | BB+ | ||
| Series C Notes | B- | CCC | ||
| Stratos Aircraft Management | JOL Air | Class A Notes | A- | A- |
| Class B Notes | BBB- | BBB- | ||
| Class C Notes | NR | NR | ||
| Total Engine Asset Management | Sunbird Engine Finance | Series A Notes | A- | A- |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| Vx Freighter Investment Management | Vx Cargo 2018-1 | Class A Loans | A | A |
| Class B Loans | BBB | BBB | ||
| Class C Loans | BB | BB | ||
| Willis Lease Finance | Willis Engine Structured Trust III | Series A | A | A |
| Series B | BBB | BBB | ||
| Willis Engine Structured Trust IV | Series A | A | A | |
| Series B | BBB | BBB | ||
| Willis Engine Structured Trust V | Series A Notes | A | A | |
| Series B Notes | BBB | BBB | ||
| Series C Notes | BB | B- | ||
| Wings Capital Partners | WAVE 2017-1 | Series A Notes | A- | A- |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| WAVE 2019-1 | Series A Notes | A- | A- | |
| Series B Notes | BBB- | BBB- | ||
| Series C Notes | B- | CCC | ||
| World Star Aviation | Sprite 2017-1 | Series A Notes | A | A- |
| Series B Notes | BBB | BBB- | ||
| Series C Notes | BB- | B- | ||
| Zephyrus Aviation Capital | Zephyrus Capital Aviation Partners 2018-1 | |||
| Loans | A | A- | ||