Carlyle Aviation has priced its second asset-backed securitisation (ABS) transaction this year, AASET 2021-1. The $619.661 million deals comprises: $541.224 million, A and A1-rated A notes, with an initial loan-to-value ratio (LTV) of 69%, a weighted average life (WAL) of 5.5 years, with a 2.80% coupon, and 145bps spread to US Treasuries; and $78.437 million Baa2 and BBB-rated B notes, with a 5.5 WAL and 79 LTV, with a 3.54% coupon and 220bps spread.
The notes are secured on a portfolio of 15 aircraft on leases to seven lessees in six countries. Once all of the aircraft have been delivered at the end of December, the weighted average age of the portfolio is 1.3 years with a 9.9 year average remaining lease term, and have a value of $784.4 million.
The notes amortise on a monthly schedule for each individual aircraft. The 14 narrowbody aircraft – which comprise six 737-MAX8, five A320neo, two A321neo and one A220-300 – for the first nine months amortise over 17.4 years (5.75% annually), between 9 months and seven years, aircraft over six years old amortise over 16.7 years (6% annually), and aircraft older than six years amortise over 14.3 years or 7% annually. For years 7 to 11, the aircraft amortise over 12.5 years (8%), down to 11 years for year 13 to maturity (2047). The one widebody aircraft – a 787-8 – amortises over 14.3 years (7%) until year 7 when it drops to 12.5 years (8%) until year 13 when it drops to 11.1 years (9%) to final maturity.
Goldman Sachs is sole structuring agent, global coordinator and joint lead bookrunner. Natixis is the nine-month liquidity facility provider for both the Class A and Class B notes. Citi is the trustee. Canyon Financial Services is the managing agent. Carlyle Aviation is the servicer.
This is a very young aircraft portfolio with a long remaining lease time, which has been reflected in the low pricing achieved on both tranches of notes. Moreover no lessee in the initial portfolio was more than 30 days late on lease payments, had outstanding deferrals or were on power-by-the-hour lease arrangements.