KBRA takes rating actions on 155 ABS structures | News | Airfinance Journal

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
  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
    Series B BBB BBB
  Willis Engine Structured Trust IV Series A A
    Series B BBB BBB 
  Willis Engine Structured Trust V Series A Notes 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- 
    Series B Notes BBB BBB-
    Series C Notes BB- B-
Zephyrus Aviation Capital  Zephyrus Capital Aviation Partners 2018-1      
Loans A A-

Transaction SnapshotRaptor 2019-1 | ABS | 10-19 | $726m | 19xA/c

Financial Close:
30/10/2019
SPV:
Raptor Aircraft Finance I Limited, Raptor Aircraft Finance I LLC
Value:
$726.00m USD
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