Willis Lease Finance Corporation’s latest WEST asset backed securitisation (ABS) transaction, the $336.7 million Willis Engine Structured Trust VI (WEST VI) comprises three series of notes: $278.6 million A notes, rated A by KBRA with an initial loan-to-value (LTV) ratio of 72%, $38.7 million BBB-rated B notes with an LTV of 82%, and $19.4 million BB-rated C notes with an LTV of 87%.
The notes will be secured by a portfolio of 29 aircraft engines and one airframe valued at $387 million, which has a weighted average remaining lease term of approximately 5.0 years excluding the three off-lease assets, or 4.4 years, excluding the off-lease assets, leases with a Letter of Intent (LOI) but not executed, and signed leases that have not been delivered. The one airframe, a A319-100, is leased to easyJet with a 2006 manufacture date and lease end dates in 2022. As of March 31, 2021, one of the initial lessees (representing one engine) in the portfolio were subject to a deferral agreement and were more than 30 days past due on basic rent payments.
BofA Securities and MUFG are the structuring agents. Bank of America is the liquidity facility provider. Willis Lease remains as servicer. Alton Aviation is the named maintenance provider.
New structural features in this ABS deal include a collections test and a minimum number of assets test. An enhanced feature is the Debt-Service Coverage Ratio (DSCR) test, where the DSCR is calculated off a three-month lookback window of cash flows compared to other aviation ABS transactions that use a six-month window. The three-month calculation will both trigger and cure the DSCR test earlier than a six-month window, according to the KBRA pre-sale report. WEST VI will also feature a reserve account of $1 million, which will be used to cover shortfalls in interest and principal for the Series C Notes. In the event that the amount on deposit is less than $1 million the Series C Reserve Account will be replenished in the waterfall.