MORGAN STANLEY AIRCRAFT FINANCE
Report to Noteholders
All amounts in US dollars unless otherwise noted
Payment Date 15th of each month
Convention Modified Following Business Day
Current Payment Date 17-Apr-00
Current Calculation Date 11-Apr-00
Previous Payment Date 15-Mar-00
Previous Calculation Date 09-Mar-00
- --------------------------------------------------------------------------------
1. Account Activity Summary between Calculation Dates
Prior Deposits Withdrawals Balance on
Balance Calculation Date
09-Mar-00 11-Apr-00
- ---------------------------------------------------------------------------------------------------------------------------
Expense Account 4,925,410.63 1,329,091.65 (4,607,718.26) 1,646,784.02
Collection Account 11,839,964.39 26,280,531.17 (11,839,964.40) 26,280,531.16
Aircraft Purchase Account - 19,949,268.44 - 19,949,268.44
Liquidity Reserve cash balance 25,000,000.00 13,689,203.00 - 38,689,203.00
- ---------------------------------------------------------------------------------------------------------------------------
Total 41,765,375.02 61,248,094.26 (16,447,682.66) 86,565,786.62
- ---------------------------------------------------------------------------------------------------------------------------
2. Analysis of Expenses Account Activity
- ---------------------------------------------------------------------------------------------------------------------------
Opening Balance on Previous Calculation Date 4,925,410.63
Transfer from Collection Account on previous Payment Date 1,305,625.34
Permitted Aircraft Accrual
Interim Transfer from Collection Account
Interest Income 23,466.31
Balance on current Calculation Date
- Payments on previous payment date (502,951.75)
- Interim payments (4,104,766.51)
- other
- ---------------------------------------------------------------------------------------------------------------------------
Balance on current Calculation Date 1,646,784.02
- ---------------------------------------------------------------------------------------------------------------------------
3. Analysis of Collection Account Activity
- ---------------------------------------------------------------------------------------------------------------------------
Opening Balance on Previous Calculation Date 11,839,964.39
Collections during period
- lease rentals 24,210,126.25
- maintenance reserves 1,913,504.40
- other leasing income 202,268.00
- interest income 224,049.02
- lease rental received in error (269,416.50)
- interim transfer to Expense A/C
Transfers from Aircraft Purchase Account -
Drawings under Credit or Liquidity Enhancement Facilities -
Repayment of Drawings under Credit or Liquidity Enhancement Facilities -
Transfer to Expense Account on previous Payment Date
- Required Expense Amount (1,305,625.34)
- Permitted Aircraft Modifications
Net Swap payments on previous Payment Date (378,805.56)
Aggregate Note Payments on previous Payment Date (10,155,533.50)
Interim Transfer to Expense Account
- ---------------------------------------------------------------------------------------------------------------------------
Balance on current Calculation Date 26,280,531.16
- ---------------------------------------------------------------------------------------------------------------------------
Analysis of Liquidity Reserve Amount
First Collection Account Reserve 30,000,000.00
Cash Held
- Accrued Expenses 1,646,784.02
- Security Deposits 8,689,203.00 10,335,987.02
Morgan Stanley Facility 30,000,000.00
ILFC Facility
- Letter of Credit 20,000,000.00
-Security Deposits 30,404,539.00 50,404,539.00
----------------------
Liquidity Reserve Amount 120,740,526.02
----------------------
Minimum Liquidity Reserve Amount 30,000,000.00
MORGAN STANLEY AIRCRAFT FINANCE
Report to Noteholders
All amounts in US dollars unless otherwise stated
Current Payment Date 17-Apr-00
Current Calculation Date 11-Apr-00
Previous Payment Date 15-Mar-00
Previous Calculation Date 09-Mar-00
- ------------------------------------------------------------------------
Balance in Collection Account 26,280,531.16
Liquidity Reserve Amount 120,740,526.02
-------------------------
Available Collections 147,021,057.18
=========================
3. Analysis of Collection Account Activity (Continued)
- --------------------------------------------------------------------------------
Analysis of Current Payment Date Distributions
(I) Required Expense Amount 1,800,000.00
(II) a) Class A Interest but excluding Step-up 8,390,815.00
b) Swap Payments other than subordinated swap payments 567,656.25
(iii a) Repayment of Primary Eligible Credit Facilities -
b) First Collection Account top-up (Minimum liquidity reserve $30 m) 30,000,000.00
(iv) Class A Minimum principal payment 4,848,950.89
(v) Class B Interest 1,032,142.00
(vi) Class B Minimum principal payment 523,884.60
(vii) Class C Interest 1,014,291.64
(viii) Class C Minimum principal payment -
(ix) Class D Interest 797,500.00
(x) Class D Minimum principal payment -
(xi) a) Secondary Eligible Credit Facilities (ILFC and Morgan Stanley Facilities -
b) Second collection account top-up 90,740,526.02
(xii) Class A Scheduled principal 139,983.59
(xiii) Class B Scheduled principal 49,255.72
(xiv) Class C Scheduled principal 46,807.00
(xv) Class D Scheduled principal -
(xvi) Permitted accruals for Modifications
(xvii) Step-up interest -
(xviii) Beneficial interest -
(xix) Class A Supplemental principal 7,069,244.47
(xx) Class B Supplemental principal -
(xxi) Class D Redemption Price -
(xxii) Class C Redemption Price -
(xxiii) Class B Redemption Price -
(xxiv) Class A Redemption Price -
(xxv) Subordinated Swap payments -
(xxvi) all remaining amounts to holders of Beneficial interests
Total Payments with respect to Payment Date 147,021,057.18
less collection Account Top Ups (iii) (b) and (xi) (b) above 120,740,526.02
-------------------------
26,280,531.16
=========================
MORGAN STANLEY AIRCRAFT FINANCE
Report to Noteholders
All amounts in US dollars unless otherwise stated
Current Payment Date 17-Apr-00
Current Calculation Date 11-Apr-00
Previous Payment Date 15-Mar-00
Previous Calculation Date 09-Mar-00
4. Payments on the Notes by Subclass
- ------------------------------------------------------------------------------------------------------------------------------------
Subclass Subclass Subclass Subclass Total
Floating Rate Notes A-2 A-3 A-4 A-5 Class A
- ------------------------------------------------------------------------------------------------------------------------------------
Applicable LIBOR 6.00375% 6.00375% 6.00375% 6.00375%
Applicable Margin 0.3500% 0.5200% 0.5400% 0.5800%
Applicable Interest Rate 6.35375% 6.52375% 6.54375% 6.58375%
Day Count Act/360 Act/360 Act/360 Act/360
Actual Number of Days 33 33 33 33
Interest Amount Payable 1,308,625.42 3,468,460.42 1,199,687.50 2,414,041.67
Step-up Interest Amount Payable NA NA NA NA
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Total Interest Paid 1,308,625.42 3,468,460.42 1,199,687.50 2,414,041.67 8,390,815.00
- ------------------------------------------------------------------------------------------------------------------------------------
Expected Final Payment Date 15-Sep-05 15-Mar-02 15-Mar-03 15-Jun-08
Excess Amortisation Date 15-Apr-98 15-Mar-02 15-Mar-03 15-Apr-00
- ------------------------------------------------------------------------------------------------------------------------------------
Original Balance 340,000,000.00 580,000,000.00 200,000,000.00 400,000,000.00
Opening Outstanding Principal Balance 224,684,850.47 580,000,000.00 200,000,000.00 400,000,000.00 1,404,684,850.47
- ------------------------------------------------------------------------------------------------------------------------------------
Extended Pool Factors 81.92% 100.00% 100.00% 100.00%
Pool Factors 73.31% 100.00% 100.00% 97.77%
- ------------------------------------------------------------------------------------------------------------------------------------
Extension Amount - - - -
Pool Factor Amount - - - 8,920,000.00
Surplus Amortisation 1,145,082.04 - - 1,993,096.92
- ------------------------------------------------------------------------------------------------------------------------------------
Total Principal Distribution Amount 1,145,082.04 - - 10,913,096.92 12,058,178.95
- ------------------------------------------------------------------------------------------------------------------------------------
Redemption Amount
- - amount allocable to principal
- - amount allocable to premium
- ------------------------------------------------------------------------------------------------------------------------------------
Closing Outstanding Principal Balance 223,539,768.43 580,000,000.00 200,000,000.00 389,086,903.08 1,392,626,671.52
- ------------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------
Subclass Subclass Total
Floating Rate Notes B-1 B-2 Class B
- -----------------------------------------------------------------------------------------------
Applicable LIBOR 6.00375% 6.00375%
Applicable Margin 0.6500% 1.0500%
Applicable Interest Rate 6.65375% 7.05375%
Day Count Act/360 Act/360
Actual Number of Days 33 33
Interest Amount Payable 547,196.69 484,945.31
Step-up Interest Amount Payable NA NA
- -----------------------------------------------------------------------------------------------
Total Interest Paid 547,196.69 484,945.31 1,032,142.00
- -----------------------------------------------------------------------------------------------
Expected Final Payment Date 15-Mar-13 15-Mar-07
Excess Amortisation Date 15-Apr-98 15-Mar-07
- -----------------------------------------------------------------------------------------------
Original Balance 100,000,000.00 75,000,000.00
Opening Outstanding Principal Balance 89,715,098.79 75,000,000.00 164,715,098.79
- -----------------------------------------------------------------------------------------------
Extended Pool Factors 95.75% 100.00%
Pool Factors 91.78% 100.00%
- -----------------------------------------------------------------------------------------------
Extension Amount - -
Pool Factor Amount - -
Surplus Amortisation 573,140.32 -
- -----------------------------------------------------------------------------------------------
Total Principal Distribution Amount 573,140.32 - 573,140.32
- -----------------------------------------------------------------------------------------------
Redemption Amount
- - amount allocable to principal
- - amount allocable to premium
- -----------------------------------------------------------------------------------------------
Closing Outstanding Principal Balance 89,141,958.47 75,000,000.00 164,141,958.47
- -----------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------- ---------------------
Subclass Subclass Total Subclass
Fixed Rate Notes C-1 C-2 Class C D-1
- ----------------------------------------------------------------------------------------------- ---------------------
Applicable Interest Rate 6.90000% 9.60000% 8.70000%
Day count 30 / 360 30 / 360 30 / 360
Number of Days 30 30 30
Interest Amount Payable 574,291.64 440,000.00 797,500.00
- ----------------------------------------------------------------------------------------------- ---------------------
Total Interest Paid 574,291.64 440,000.00 1,014,291.64 797,500.00
- ----------------------------------------------------------------------------------------------- ---------------------
Expected Final Payment Date 15-Mar-13 15-Oct-16 15-Mar-14
Excess Amortisation Date 15-Mar-13 15-Oct-16 15-Mar-10
Original Balance 100,000,000.00 55,000,000.00 110,000,000.00
Opening Outstanding Principal Balance 99,876,807.00 55,000,000.00 154,876,807.00 110,000,000.00
- ----------------------------------------------------------------------------------------------- ---------------------
Extended Pool Factors 100.00% 100.00% 100.00%
expected Pool Factors 99.83% 100.00% 100.00%
- ----------------------------------------------------------------------------------------------- ---------------------
Extended Amount - - -
expected Pool Factor amount 46,807.00 - -
- -----------------------------------------
Surplus Amortisation - -
- ------------------------------
- ----------------------------------------------------------------------------------------------- ---------------------
Total Principal Distribution Amount 46,807.00 - 46,807.00 -
- ----------------------------------------------------------------------------------------------- ---------------------
Redemption Amount - - -
- - amount allocable to principal - - -
- - amount allocable to premium - - -
- ----------------------------------------------------------------------------------------------- ---------------------
Closing Outstanding Principal Balance 99,830,000.00 55,000,000.00 154,830,000.00 110,000,000.00
- ----------------------------------------------------------------------------------------------- ---------------------
MORGAN STANLEY AIRCRAFT FINANCE
Report to Noteholders
Amounts in US Dollars unless otherwise stated
Current Payment Date 17-Apr-00
Current Calculation Date 11-Apr-00
Previous Payment Date 15-Mar-00
Previous Calculation Date 09-Mar-00
- --------------------------------------------------------------------------------
5. Floating Rate Note information for next Interest Accral Period
Start of Interest Accrual Period 17-Apr-00
End of Interest Accrual Period 15-May-99
Reference Date 13-Apr-00
- ------------------------------------------------------------------------------------------------------------------------------------
A-2 A-3 A-4 A-5 B-1 B-2
- ------------------------------------------------------------------------------------------------------------------------------------
Applicable LIBOR 6.13000% 6.13000% 6.13000% 6.13000% 6.13000% 6.13000%
Applicable Margin 0.3500% 0.5200% 0.5400% 0.5800% 0.6500% 1.0500%
Applicable Interest Rate 6.4800% 6.6500% 6.6700% 6.7100% 6.7800% 7.1800%
Actual Pool Factor 65.75% 100.00% 100.00% 97.27% 89.14% 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
Fixed Rate Notes C-1 C-2 D-1
- --------------------------------------------------------------------------------
Actual Pool Factor 99.83% 100.00% 100.00%
- --------------------------------------------------------------------------------
6. Payments per $ 100,000 Inital Outstanding Principal Balance of Notes
- ------------------------------------------------------------------------------------------------------------------------------------
(a) Floating Rate Notes A-2 A-3 A-4 A-5 B-1 B-2
- ------------------------------------------------------------------------------------------------------------------------------------
Opening Outstanding Principal Balance 66,083.78 100,000.00 100,000.00 100,000.00 89,715.10 100,000.00
Total Principal Payments 336.79 - - 2,728.27 573.14 -
Closing Outstanding Principal Balance 65,746.99 100,000.00 100,000.00 97,271.73 89,141.96 100,000.00
Total Interest 384.89 598.01 599.84 603.51 547.20 646.59
Total Premium 0.0000% 0.0000% 0.0000% 0.0000% 0.0000% 0.0000%
- ---------------------------------------------------------------------------------------
(b) Fixed Rate Notes C-1 C-2 D-1
- ---------------------------------------------------------------------------------------
Opening Outstanding Principal Balance 99,876.81 100,000.00 100,000.00
Total Principal Payments 46.81 - -
Closing Outstanding Principal Balance 99,830.00 100,000.00 100,000.00
Total Interest 574.29 800.00 725.00
Total Premium - - -
Morgan Stanley Aircraft Finance
Performance to Date
2000 Base Case
March 15, 2000 - April 15, 2000
All dollar amounts in millions of Dollar amounts expressed as a percentage
US Dollars unless otherwise stated 1998 Base Case Lease Rentals
- ------------------------------------------------------------------------------------- ----------------------------------------
Actual Basecase Variance Actual Base Case Variance
- ------------------------------------------------------------------------------------- ----------------------------------------
CASH COLLECTIONS
[1] Lease Rentals 26.3 26.3 - 100.0% 100.0% 0.0%
[2] - Renegotiated Leases - - 0.0% 0.0% 0.0%
[3] - Rental Resets - - 0.0% 0.0% 0.0%
-------------------------------- ----------------------------------------
[4] Sum of [1]...[3] Contracted Lease Rentals 26.3 26.3 - 100.0% 100.0% 0.0%
[5] Movement in Current
Arrears Balance (1.7) - (1.7) -6.4% 0.0% -6.4%
less Net Stress-related Costs
[6] - Bad debts - - - 0.0%
[7] - Security deposits drawn down - - 0.0%
[8] - Capitalised arrears - - 0.0%
[9] - AOG (0.4) (0.4) -1.5%
[10] - Other Leasing Income (0.0) (0.0) -0.1%
[11] - Repossession 0.0%
-------------------------------- ----------------------------------------
[12] Sum of [6]...[11] sub-total (0.4) (1.2) (0.4) -1.5% -4.5% -1.5%
[13] [4]+[5]+[12] Net Lease Rentals 24.2 25.1 (0.4) 92.1% 95.5% -1.5%
-
[14] Interest Earned 0.2 0.1 0.1 0.9% 0.5% 0.4%
[15] Net Maintenance 1.8 - 1.8 7.0% 0.0% 7.0%
-------------------------------- ----------------------------------------
[16] Sum of [13]...[15] Total Cash Collections 26.3 25.3 1.5 100.0% 96.0% 5.8%
-
- ------------------------------------------------------------------------------------- ----------------------------------------
CASH EXPENSES
Aircraft Operating Expenses
[17] - Insurance (0.2) -0.8%
[18] - Re-leasing and other
overheads (0.1) -0.4%
[19] [17]+[18] subtotal (0.3) (0.2) (0.1) -1.1% -0.8% -0.3%
SG&A Expenses
[20] Aircraft Servicer Fees
- Base Fee (0.2)
- Rent Collected Fee (0.3)
- Rent Contracted Fee (0.2)
- Incentive Fee
-------------------------------- ----------------------------------------
[21] [20] sub-total (0.7) (0.8) 0.1 -2.7% -3.2% 0.5%
[22] Other Servicer Fees (0.8) (0.2) (0.6) -3.1% -0.8% -2.3%
-------------------------------- ----------------------------------------
[23] [21]+[22] subtotal (1.5) (1.1) (0.5) -5.8% -4.0% -1.8%
-------------------------------- ----------------------------------------
[24] [19]+[22] Total Cash Expenses (1.8) (1.262) (0.6) -6.9% -4.8% -2.1%
- ------------------------------------------------------------------------------------- ----------------------------------------
NET CASH COLLECTIONS
[25] [16] Total Cash Collections 26.3 25.3 1.0 100.0% 96.0% 4.0%
[26] [24] Total Cash Expenses (1.8) (1.3) (0.6) -6.9% -4.8% -2.1%
[27] Interest Payments (11.3) (10.6) (0.7) -43.0% -40.4% -2.6%
[28] Swap Payments (0.6) (0.8) 0.2 -1.8% -2.6% 0.8%
[29] Exceptional Item -
-------------------------------- ----------------------------------------
[30] Sum of [25]...[29] TOTAL 12.6 12.6 (0.0) 48.3% 48.3% 0.0%
================================ ========================================
- ------------------------------------------------------------------------------------- ----------------------------------------
[31] PRINCIPAL PAYMENTS
subclass A2 1.1 1.1 - 4.4% 4.4% 0.0%
subclass A3 - - 0.0% 0.0% 0.0%
subclass A4 - - 0.0% 0.0% 0.0%
subclass A5 10.9 10.9 - 41.5% 41.5% 0.0%
subclass B1 0.6 0.6 - 2.2% 2.2% 0.0%
subclass B2 - 0.0% 0.0% 0.0%
subclass C1 0.0 0.0 - 0.2% 0.2% 0.0%
subclass C2
subclass D1 - -
-------------------------------- ----------------------------------------
Total 12.6 12.6 (0.0) 48.3% 48.3% 0.0%
================================ ========================================
- -------------------------------------------------------------------------------------
Debt Balances
subclass A2 223.5 223.5
subclass A3 580.0 580.0
subclass A4 200.0 200.0
subclass A5 389.1 389.1
subclass B1 89.1 89.1
subclass B2 75.0 75.0
subclass C1 99.8 99.8
subclass C2 55.0 55.0
subclass D1 110.0 110.0
------------------
1,821.6 1,821.6
------------------
Morgan Stanley Aircraft Finance
Performance to Date versus 2000 Base Case
March 15, 2000 - April 15, 2000
- -------------------------------------------------------------------------------------------------------------------
Coverage Ratios 2000
--------------- Closing Actua Base Case
- -------------------------------------------------------------------------------------------------------------------
Net Cash Collections 12.6 12.6
Add Back Interest and Swap Payments 11.9 11.4
-----------------------------------
a Net Cash Collections 24.5 24.0
b Swaps 0.6 0.8
c Class A Interest 8.4 7.8
d Class A Minimum 4.8 4.8
e Class B Interest 1.0 1.0
f Class B Minimum 0.5 0.5
g Class C Interest 1.0 1.0
h Class C Minimum - -
I Class D Interest 0.8 0.8
j Class D Minimum - -
k Class A Scheduled 0.1 0.1
l Class B Scheduled 0.0 0.0
m Class C Scheduled 0.0 0.1
n Class D Scheduled -
o Permitted Aircraft Modifications - -
p Class A Supplemental 7.1 7.1
----------------------------
Total 24.5 24.0
- -------------------------------------------------------------------------------------------------------------------
[1] Interest Coverage Ratio
Class A 0.94 0.91
Class B 0.57 0.55
Class C 0.51 0.49
Class D 0.49 0.47
[2] Debt Coverage Ratio
Class A 0.48 0.47
Class B 0.48 0.46
Class C 0.48 0.46
Class D 0.48 0.46
- -------------------------------------------------------------------------------------------------------------------
Loan-to-Value Ratios 2000 Base Case Actual 2000 Base Case
-------------------- 15-Mar-00 15-Apr-00 15-Apr-00
-----------------------------------------------------------
[3] Assumed Portfolio Value 2,000.9 1,994.0 1,994.0
[4] Adjusted Portfolio Value
Liquidity Reserve Amount
Cash 30.0 30.0 30.0
- Accrued Expenses 6.1 1.6 -
- Security Deposits 7.1 8.7 7.1
----------- --------- -----------
subtotal cash 43.2 40.3 37.1
Letters of Credit 82.1 80.4 82.1
Total Liquidity Reserve 125.3 120.7 119.2
----------- --------- -----------
[5] Total Asset Value 2,126.2 2,114.8 2,113.2
Note Balance
Class A 1,404.7 66.1% 1,392.6 65.9% 1,392.6 65.9%
Class B 164.7 73.8% 164.1 73.6% 164.1 73.7%
Class C 154.9 81.1% 154.8 80.9% 154.8 81.0%
Class D 110.0 86.3% 110.0 86.1% 110.0 86.2%
----------- --------- -----------
Total 1,834.3 1,821.6 1,821.6
- -------------------------------------------------------------------------------------------------------------------
[1] Interest Coverage Ratio is equal to Net Cash Collections, before Interest
and swap payments, expressed as a ratio of the swap costs and interest payable
on each subclass of Notes plus the interest and minimum principal payments
payable on each subclass of Notes that rank senior in priority of payment to
the relevant subclass of Notes.
[2] Debt Service Ratio is equal to Net Cash Collections before interest and
swap payments, expressed as a ratio of the interest and minimum and scheduled
principal payments payable on each subclass of Notes plus the interest and
minimum and scheduled principal payments payable on each subclass of Notes that
ranks equally with or senior to the relevant subclass of Notes in the priority
of payments.
[3] Assumed Portfolio Value represents the Inital Appraised Value of each
aircraft in the Portfolio multipled by the Depreciation Factor at Calculation
date divided by the Depreciation Factor at Closing date.
[4] Adjusted Portfolio Value represents the Base Value of each aircraft in the
Portfolio as detemined by the most recent Appraisal multipled by the
Depreciation Factor at Calculation date divided by the Depreciation Factor at
Closing date.
The lower of the Assumed Portfolio Value or 105% of the Adjusted Portfolio
Value is used to calculate the principal repayment amounts to Noteholders
[5] Total Asset Value is equal to Total Portfolio Value plus Liquidity
Reserve Amount minus Lessee Security Deposits.
MORGAN STANLEY AIRCRAFT FINANCE
Cash Analysis of Financial Condition and Results of Operations
Three Month Period from December 1999 to February 2000
Page 1 of 19
CONTENTS
I Background and General Information
II Comparison of Actual Cash Flows versus the 1998 Base Case
for the First Quarter 2000
III Other Financial Data
IV Recent Developments
Appendices
Page 2 of 19
I Background and General Information
Morgan Stanley Aircraft Finance ("MSAF"), a Delaware business trust, is a
special purpose vehicle which owns aircraft subject to operating leases. Under
the terms of its Indenture MSAF may acquire additional aircraft and sell
aircraft from the fleet. Any acquisition of additional aircraft will be subject
to certain confirmations with respect to the Notes from rating agencies and
compliance with certain operating covenants of MSAF set out in the Indenture.
Initial Portfolio
On March 3, 1998, MSAF issued $1,050 million of Notes in connection with its
acquisition of 33 aircraft plus an engine with a total appraised value at
September 30, 1997 of $1,115.5 million from International Lease Finance
Corporation ("ILFC"). All but one of the 33 aircraft was acquired by MSAF.
New Issuance
On March 15, 2000, MSAF refinanced the A-1 subclass Notes of $400 million as
part of a total issuance of $1,310 million of New Notes in five subclasses (A-3,
A-4, A-5, B-2 and C-2). In addition to the refinancing of the A-1 subclass,
these Notes were issued in association with MSAF's acquisition of 29 aircraft
with a total appraised value of $1,047.8 million as of November 30, 1999 from a
subsidiary of Morgan Stanley Dean Witter & Co. ("MSDW"). MSAF acquired all but
one of the 29 aircraft on March 15, 2000. The remaining aircraft, a B737-300, is
subject to a financing that will terminate before April 30, 2000 and is
scheduled to deliver to MSAF at this time. MSDW acquired two aircraft from an
affiliate of GE Capital Corporation on March 19, 1999 and 27 aircraft from ILFC
on August 6, 1999.
Combined Fleet
As a result, the overall size of the combined aircraft fleet is now 61 aircraft
plus an engine with a total appraised value of $2,000.9 million as of November
30, 1999. As of April 1, 2000, MSAF had 61 lease contracts in effect with 42
lessees based in 25 countries and one aircraft was off-lease as shown in
Appendix A attached.
The discussion and analysis that follows in Section II is based on the results
of MSAF and its subsidiaries as a single entity (collectively the "MSAF Group")
for the reporting periods from December 1999 to February 2000. This relates to
the Initial Portfolio and the 1998 Basecase against which the actual performance
is compared. This period was prior to the New Issuance and the aircraft
acquisition on March 15, 2000 and therefore relates to the Initial Portfolio of
32 aircraft only. The discussion and analysis in Section IV - "Recent
Developments" relates to the combined fleet of 61 aircraft plus an engine.
MSAF Group's cash receipts and disbursements are determined, in part, by the
overall economic condition of the operating leasing market. The operating
leasing market, in turn, is affected by various cyclical factors. These include
the level and volatility of interest rates, the availability of credit, fuel
costs and both general and regional economic conditions affecting lessee
operations and trading. Other factors to consider are
Page 3 of 19
manufacturer production levels, passenger demand, retirement and obsolescence of
aircraft models, manufacturers exiting or entering the market or ceasing to
produce aircraft types or re-introduction into service of aircraft previously in
storage. In addition, state regulations and air traffic control infrastructure
constraints, such as limitations on the number of landing slots, can also impact
the operating leasing market.
MSAF Group's ability to compete against other lessors is determined, in part, by
the composition of its fleet in terms of mix, relative age and popularity of
aircraft type. In addition, operating restrictions imposed by the Indenture, and
the ability of other lessors, who may possess substantially greater financial
resources, to offer leases on more favorable terms than MSAF Group, may also
impact MSAF Group's ability to compete against other lessors.
For the purposes of this report, the "First Quarter 2000", referred to in
Section II - "Comparison of Actual Cash Flows versus the 1998 Base Case for the
First Quarter 2000" shall comprise information from the monthly cash reports
dated December 15, 1999 through to February 15, 2000. The financial data in
these reports includes cash receipts from November 9, 1999 (first day of the
Collection Period for the December 1999 Report) up to February 9, 2000 (last day
of the Collection Period for the February 2000 Report). It also includes
payments made by MSAF Group between November 16, 1999 and up to February 15,
2000 (the Note Payment Date for the February 2000 Report).
Page 4 of 19
II Comparison of Actual Cash Flows versus the 1998 Base Case
for the First Quarter 2000
The February 20, 1998 Offering Memorandum (the "Offering Memorandum") and the
November 4, 1998 Prospectus (the "Prospectus") for the Notes contain assumptions
in respect of MSAF Group's future cash flows and cash expenses (the "1998 Base
Case"). For the purpose of this report, "Net Cash Collections" is defined as
Total Cash Collections less Total Cash Expenses, Interest Payments and Swap
Payments. A discussion of the quarterly Cash Collections, Cash Expenses,
Interest Payments and Principal Payments is given below and should be read in
conjunction with the analysis in Appendix B.
CASH COLLECTIONS
"Total Cash Collections" include Net Lease Rentals (Contracted Lease Rentals
less Net Stress-related Costs), Movement in Current Arrears Balance, Interest
Earned and Net Maintenance.
Total Cash Collections Actual Basecase Variance
$ M $ M $ M
Lease Rentals 32.0 32.0 -
- Renegotiated Leases (0.3) - (0.3)
- Rental Resets (0.6) - (0.6)
---------- ------------ -----------------
Contracted Lease Rentals 31.1 32.0 (0.9)
Movement in Current Arrears Balance (0.3) - (0.3)
Net Stress Related Costs (3.1) (1.4) (1.7)
---------- ------------ -----------------
Net Lease Rentals 27.7 30.6 (2.9)
Interest Earned 0.5 0.4 0.1
Net Maintenance (4.1) - (4.1)
---------- ------------ -----------------
Total Cash Collections 24.1 31.0 (6.9)
---------- ------------ -----------------
In the First Quarter 2000, MSAF Group generated approximately $24.1 million in
Total Cash Collections, $6.9 million less than assumed in the 1998 Base Case.
This difference is due to a combination of the factors set out below (the
numbers in brackets refer to the line item number shown in Appendix B).
[2] Renegotiated Leases
Renegotiated Leases refers to the loss in rental revenue caused by a lessee
negotiating a reduction in the lease rental. Typically, this can be a
permanent reduction over the remaining lease term in exchange for other
contractual concessions. In the First Quarter 2000, the amount of revenue
loss attributed to Renegotiated Leases was $0.3 million and relates to
three renegotiated leases. The loss is primarily due to a 14% reduction
from the 1998 Base Case rental on a B767-300ER on lease to Air Pacific. The
new rental was reset at the then prevailing market rate for B767-300ERs in
exchange for a lease extension.
Page 5 of 19
[3] Rental Resets
Rental Resets is a measure of the loss in rental revenue when new lease
rates are lower than those assumed in the 1998 Base Case. In the First
Quarter 2000, no new leases were written, however, lost revenue
attributable to lease resets in previous quarters amounted to $0.6 million.
See Section IV - "Recent Developments" for a discussion of current
re-leasing events.
[4] Contracted Lease Rentals
Contracted Lease Rentals represents the current contracted lease rental
rollout which equates to the 1998 Base Case Lease Rentals less adjustments
for Renegotiated Leases and Rental Resets. For the First Quarter 2000,
Contracted Lease Rentals were $31.1 million, $0.9 million less than assumed
in the 1998 Base Case. The difference is due to losses from renegotiated
leases and rental resets as discussed above.
[5] Movement in Current Arrears Balance
Current Arrears is the total contracted lease rentals outstanding from
current lessees at a given date and excludes any amounts classified as Bad
Debts. The current arrears balance at the start of the First Quarter 2000
was $3.1 million versus $3.4 million at the end of the First Quarter 2000,
an increase in arrears of $0.3 million.
Aircraft Type Country Current Arrears Current Arrears Movement in
11/15/99 2/15/00 Current Arrears
$ M $M $M
A310-300 Brazil 0.6 0.4 0.2
A321-100 Turkey 0.6 0.9 (0.3)
B737-300 Brazil 1.0 1.6 (0.6)
B737-400 Mexico 0.5* 0.5
A310-300 Oman 0.1 0.1
A320-200 Canada 0.2 (0.2)
A320-200 Ireland 0.3 0.3 0.0
------------- ------------------------------
Total 3.1 3.4 (0.3)
------------- ------------------------------
* Re-classified as Bad Debts during the First Quarter 2000.
As at November 15, 1999, six lessees were in arrears, owing $3.1 million,
against which MSAF Group held security deposits of $2.9 million. One of the
six lessees TAESA, based in Mexico, defaulted in the First Quarter 2000 and
the aircraft was repossessed. Rental arrears amounting to $0.5 million
associated with this lessee at the time of the repossession were deemed
irrecoverable and re-classified from Current Arrears to Bad Debts. See the
discussion on Bad Debts below.
At February 15, 2000, five lessees in arrears owed $3.4 million, against
which MSAF Group held security deposits of $2.2 million. See Section IV -
"Recent Developments" for information on the current level of arrears as of
April 1, 2000.
Page 6 of 19
Net Stress-related Costs
Net Stress-related Costs is a combination of all the factors which can
cause actual lease rentals received to differ from the Contracted Lease
Rentals. The 1998 Base Case assumed net stress-related costs equal to 4.5%
of the 1998 Base Case Lease Rentals.
Net Stress Related Costs Actual Basecase Variance
$ M $ M $ M
Bad Debts (0.5)
Security Deposits Drawndown 0.5
Capitalised Arrears -
AOG (4.2)
Other Leasing Income 1.0
Repossession Costs 0.1
-------------- -------------- --------------
Net Stress Related Costs (3.1) (1.4) (1.7)
-------------- -------------- --------------
For the First Quarter 2000, net stress-related costs amounted to $3.1
million (9.7% of 1998 Base Case Lease Rentals) compared to $1.4 million
assumed in the 1998 Base Case, a variance of $1.7 million that is due to
the following six factors described in items [6] to [11] below.
[6] Bad Debts and [7] Security Deposits Drawn Down
Bad Debts are rental arrears owed by lessees who have defaulted and which
are deemed irrecoverable. These arrears are partially offset by the draw
down of security deposits held and amounts subsequently recovered from the
defaulted lessee.
Aircraft Type Lessee Country Bad Debts Bad Debts Security Total
Rental Recovered Deposits Drawn
$M $M $M
$M
B737-400 TAESA Mexico (0.5) 0.0 0.5 0.0
------------ ----------- ---------------- --------
Total (0.5) 0.0 0.5 0.0
------------ ----------- ---------------- --------
In the First Quarter 2000, $0.5 million was written off in respect of lease
rentals due from a former lessee, TAESA, against which MSAF Group drew down
security deposits totalling $0.5 million. See Section IV - "Recent
Developments" for information on the current level of Bad Debts as of April
1, 2000.
[8] Capitalized Arrears
Capitalized arrears refer to current arrears that have been capitalized and
restructured into a note payable. No arrears were capitalized in the First
Quarter 2000.
Page 7 of 19
[9] Aircraft on Ground ("AOG")
AOG is defined as the Base Case lease rental lost when an aircraft is
off-lease and non-revenue earning.
AOG Analysis for First Quarter 2000
Lost
Aircraft Type Old Lessee New Lessee Rental
$M
1 B747-300 VARIG Air Atlanta Icelandic 2.4
2 A310-300 Oman Air Region Air 0.7
3 A310-300 Oman Air Region Air 0.6
4 B737-400 TAESA LOI 0.5
----
Total 4.2
----
The impact of AOG downtime amounted to $4.2 million during the First
Quarter 2000. This was in respect of four aircraft; one B747-300
previously on lease to VARIG and terminated early, two A310-300s
previously on lease to Oman Air and terminated as scheduled and one
B737-400 previously on lease to TAESA and terminated early. See Section
IV - "Recent Developments" below for information on the current level
of AOG costs as of April 1, 2000.
[10] Other Leasing Income
Other leasing income consists of miscellaneous income received in
connection with a lease other than contracted rentals, maintenance
receipts and security deposits, such as early termination payments or
default interest. In the First Quarter 2000, other leasing income
amounted to $1.0 million.
[11] Repossession Costs
Repossession costs consist of legal and aircraft technical costs incurred
as a result of repossessing an aircraft. In the First Quarter 2000,
repossession costs amounted to $0.1 million, which consists of
consultancy fees incurred during the repossession of the B747-300
previously on lease to VARIG.
[13] Net Lease Rentals
Net Lease Rentals is Contracted Lease Rentals less the movement in
Current Arrears Balance and Net Stress-related Costs. In the First
Quarter 2000, net lease rentals amounted to $27.7 million, $2.9 million
less than assumed in the 1998 Base Case. The variance was attributable to
the combined effect of lower contracted lease rentals, the increase in
current arrears and net stress-related costs discussed above.
[14] Interest Earned
Interest earned relates to interest received on cash balances held in the
Collection and Expense Accounts. Cash held in the Collection Account in
the First Quarter 2000 consisted of the cash liquidity reserve amount of
$25.0 million plus the intra-month cash balances for all the rentals and
maintenance payments collected prior to the monthly payment date. The
Expense Account contains cash set aside to pay for
Page 8 of 19
expenses which are expected to be payable over the next three months.
The average mutual funds 30-day effective rate for the period was
5.73%, slightly less than the 5.75% assumed in the 1998 Base Case. In
the First Quarter 2000, interest earned amounted to $0.5 million, $0.1
million more than assumed in the 1998 Base Case. The difference is due
primarily to interest earned on the intra-month cash balances in the
Collection Account and Expense Account, albeit at a slightly lower
than assumed interest rate. The 1998 Base Case made no assumption as
to interest earned on these balances.
[15] Net Maintenance
Net maintenance refers to maintenance reserve revenue received less any
maintenance reimbursements paid to lessees. In the First Quarter 2000,
actual maintenance reserve revenue received amounted to $2.8 million and
maintenance expenditure amounted to $6.9 million, generating negative net
maintenance revenue of $4.1 million. Maintenance expenditure included
costs incurred in the overhaul of a B757-200ER repossessed from Guyana
Airways ($4.0 million), the reimbursement from the airframe reserves of
$0.5 million in respect of a B767-300ER in accordance with a lease
restructuring and the reimbursement from the engine reserves in respect of
a B737-400, previously on lease to TAESA ($1.4 million). The 1998 Base
Case makes no assumptions for net maintenance as it assumes that, over
time, maintenance revenue will equal maintenance expenditure. However, it
is unlikely that in any particular Note Payment Period, maintenance
revenue will exactly equal maintenance expenditure.
CASH EXPENSES
"Total Cash Expenses" include Aircraft Operating Expenses and Selling, General
and Administrative ("SG&A") Expenses. In the First Quarter 2000, total cash
expenses were $1.9 million, $1.4 million lower than the 1998 Base Case, which
assumed total cash expenses of $3.3 million.
Total Cash Expenses Actual Basecase Variance
$ M $ M $ M
Aircraft Operating Expenses (0.3) (1.1) 0.8
SG&A Expenses (1.6) (2.2) 0.6
----------- ------------- ------------
Total Cash Expenses (1.9) (3.3) 1.4
----------- ------------- ------------
The difference is due to a combination of lower Aircraft Operating Expenses and
SG&A Expenses as discussed below.
Aircraft Operating Expenses include all operational costs related to the leasing
of an aircraft including costs of insurance, re-leasing and other overhead
costs. In the First Quarter 2000, Aircraft Operating Expenses amounted to $0.3
million compared to $1.1 million per the 1998 Base Case, which assumes these
costs to be 3.5% of the 1998 Base Case Lease Rentals.
Page 9 of 19
[17] Insurance
No insurance costs were incurred in the First Quarter 2000.
[18] Re-leasing and other overhead costs
Re-leasing and other overhead costs consist of miscellaneous re-delivery
and leasing costs associated with re-leasing events. In the First Quarter
2000 these costs amounted to $0.3 million.
SG&A Expenses relate to fees paid to the Aircraft Servicer and to other service
providers. In the First Quarter 2000, SG&A Expenses were $1.6 million or $0.6
million lower than assumed in the 1998 Base Case. The variance is explained
below.
[20] Aircraft Servicer Fees
The Aircraft Servicer Fees are defined as amounts paid to the Aircraft
Servicer, ILFC, in accordance with the terms of the Servicing Agreement.
In the First Quarter 2000, the total Aircraft Servicer fee paid was $1.1
million, $0.3 million lower than assumed in the 1998 Base Case,
reflecting lower actual rentals achieved relative to 1998 Base Case Lease
Rentals.
Aircraft Servicer Fees consist of:
$M
Base Fee 0.5
Rent Collected Fee 0.3
Rent Contracted Fee 0.3
Incentive Fee 1998/99* 0.0
---
Total Servicer Fee 1.1
*For financial year ended November 30, 1999
The Base Fee is a fixed amount per month per aircraft and changes only
as aircraft are acquired or sold. The Rent Contracted Fee is equal to 1%
of all rentals contracted. The Rent Collected Fee is equal to 1% of all
rentals received. The Incentive fee is 10% of all cash flow received
above a targeted amount set at the beginning of each financial year. No
incentive fee was paid to ILFC for the financial year ended November
1999.
[22] Other Servicer Fees
Other Servicer Fees relate to fees and expenses paid to other service
providers including the Administrative Agent, Financial Advisor, legal
advisors, accountants and Independent Trustees. In the First Quarter
2000, Other Servicer Fees amounted to $0.5 million as compared to an
assumed expense of $0.8 million in the 1998 Base Case, a positive
variance of $0.3 million. The variance is due primarily to lower than
expected Administrative Agent fees and other overhead costs. The
Administrative Agent fee is equal to 1.5% of rentals collected and
declined in line with the reduced rentals actually received.
Page 10 of 19
[27 Interest Payments and [28] Swap Payments
In the First Quarter 2000, interest payments to Noteholders amounted to
$15.6 million. This is $0.1 million higher than the 1998 Base Case,
which assumed interest costs for the First Quarter 2000 to be $15.5
million. While the total debt balance outstanding during the quarter was
lower than expected in the 1998 Base Case, interest payments rose due to
an increase in the Libor rate at year-end in 1999. The average Libor
rate for the First Quarter 2000 was 5.88% versus an assumed Libor rate
of 5.75%. The higher interest costs were offset by a reduction in the
amount of swap payments. MSAF paid $0.5 million in swap costs, $0.3
million less than assumed in the 1998 Base Case.
[29] Exceptional Item
Exceptional items refer to cash flows that occur infrequently and are
outside the normal business activities of MSAF. There were no
exceptional cash flows in the First Quarter 2000.
[31] Principal Payments
In the First Quarter 2000, total principal payments to Noteholders
amounted to $6.1 million, $5.3 million less than assumed in the 1998
Base Case, reflecting the lower Net Cash Collections available during
this period, mainly as a result of the lower than expected lease
revenue performance, partially offset by lower expenses.
Page 11 of 19
III Other Financial Data
An analysis of MSAF's Performance to Date as of February 15, 2000
versus the 1998 Base Case and details of interest and debt coverage
ratios and Loan-to-Value ratios (LTVs) as of February 15, 2000 are
shown in Appendix C.
Cash
Cash held at February 15, 2000 was $31.1 million. This includes $25.0
million that represents the cash portion of the Liquidity Reserve
Amount at that time. This is a source of liquidity for, among other
things, maintenance obligations, security deposit return obligations,
and cash operating expenses and contingent liabilities. The remainder
of $6.1 million represents accrued expenses held in the Expense Account
in respect of future maintenance obligations ($5.8 million) and other
costs ($0.3 million).
In addition to the $31.1 million cash balance held at February 15,
2000, the Liquidity Reserve Amount also contained credit and liquidity
facilities provided by MSDW and ILFC aggregating to $39.0 million.
Neither of these facilities was drawn upon in the First Quarter 2000.
Aircraft Values
Under the terms of the Notes, MSAF Group is required to obtain new
appraisals of the Base Value of each aircraft from a minimum of three
independent appraisers each year. The annual appraisal must be
delivered to the Trustee no later than October 31 of each year. The
annual appraisal for 1999 was as of June 30, 1999. In connection with
the Note Issuance on March 15, 2000, an additional appraisal as of
November 30, 1999 was delivered. Details of the most recent appraisal
are shown in Appendix A. The next appraisal is due to deliver to the
Trustee no later than October 31, 2000.
A-D Note Balance
As of February 15, 2000, the aggregate amount of Class A-D Notes
outstanding was $929.5 million, approximately $7.3 million lower than
assumed in the 1998 Base Case due to higher than assumed principal
repayments with respect to the Class A-2 Notes.
Page 12 of 19
IV Recent Developments
March 15, 2000 - Securitisation of 29 aircraft
On March 15, 2000, MSAF issued additional subclasses of Notes,
amounting to $1,310 million, in association with the refinancing of the
subclass A-1 Note of $400 million and the acquisition, from a
subsidiary of MSDW, of a portfolio of 29 commercial aircraft with an
appraised value of $1,047.8 million as of November 30, 1999. All but
one of the 29 aircraft was delivered on March 15, 2000. The remaining
aircraft, a B737-300 on lease to Lithuanian Airlines, is subject to a
financing that will terminate before April 30, 2000. The following
discussion refers to the enlarged portfolio of 62 aircraft assets,
which was owned by MSAF as of April 1, 2000.
Re-marketing Task for Portfolio of 62 Aircraft Assets
As of April 1, 2000, one aircraft from a portfolio of 62 aircraft
assets was off-lease. The aircraft, a B737-400 previously on lease to
TAESA is currently the subject of a non-binding letter of intent.
Summary
# Aircraft
# Aircraft subject to Lease Agreements 61
# Aircraft off-lease 1
--------
Total aircraft 62
--------
# Aircraft scheduled to expire before Dec 31, 2000 2
# Aircraft scheduled to expire in the year to Dec 31, 2001 12
--------
Equals Total Near-term re-marketing task 15
--------
Of which LOI signed (1)
--------
Equals Near-term re-marketing task 14
Page 13 of 19
Five-Year Re-marketing Task: # Aircraft
Year ending 2000 2001 2002 2003 2004
A300 1
A310 2
A320 1 1 3
A321 1 1
A330 1
A340 1
B737 1 7* 1 6** 3
B757 2 1
MD82 1
MD83 1 1
F70 1 2
B747 1 1
B767 1 1 1 1
F50 2
Engine 1
---------- ------- ----------- -------- -------------
Total 2 12 7 19 8
---------- ------- ----------- -------- -------------
* Includes one aircraft on which a lease termination option was
recently exercised.
**Includes one aircraft currently subject to a
non-binding letter of intent
Five-Year Re-marketing Task: By Appraised Value*
Year ending 2000 2001 2002 2003 2004
A300 2.55%
A310 2.25%
A320 1.52% 1.61% 4.59%
A321 1.94% 1.98%
A330 4.00%
A340 4.58%
B737 1.27% 7.96% 1.26% 7.22% 3.84%
B757 3.93% 1.48%
MD82 0.89%
MD83 0.95% 0.99%
F70 0.68% 1.45%
B747 4.86% 2.45%
B767 1.47% 2.85% 2.66% 3.01%
F50 0.62%
Engine 0.28%
---------- --------- ---------- --------- -------
Total 2.74% 18.36% 14.28% 28.02% 11.74%
---------- --------- ---------- --------- -------
*Appraised Value as at November, 1999
As of April 1, 2000 48 leases, representing 75.14% of the appraised
value at November 30, 1999 are scheduled to expire before December 31,
2004. The average remaining term to lease expiry date, weighted by
appraised value at November 30, 1999 is 41 months at April 1, 2000.
Near-term re-marketing task
Two leases, representing 2.74% of the appraised value at November 30,
1999 are scheduled to expire before December 31, 2000. Both aircraft, a
B767-200ER and a B737-300, are likely to stay with their current
operators and the Servicer is currently negotiating extended lease
terms.
Page 14 of 19
Aircraft on Ground (AOG)
As of April 1, 2000, there are two aircraft on the ground. One of the
two aircraft is subject to a signed lease agreement. The second
aircraft is the subject of a non-binding letter of intent.
Two A310-300 aircraft, previously on lease to Oman Air, have been AOG
and undergoing overhaul work since December 1999, the scheduled expiry
date of the previous leases. In February 2000, a three-year lease was
executed for each aircraft with Region Air, a Singapore-based operator.
On April 1, 2000, one of the A310's was successfully delivered to the
new lessee, as scheduled. The other aircraft is scheduled to deliver on
April 22, 2000, as soon as engine overhauls have been completed.
One B737-400 aircraft was repossessed from TAESA in December 1999 and
is currently the subject of a non-binding letter of intent.
AOG Analysis April 1, 2000
Aircraft Type Old Lessee New Lessee Status Expected
Re-lease Date
A310-300 Oman Air Region Air Subject to Lease April 22, 2000
B737-400 TAESA TBA* Subject to LOI TBA
*To be announced.
Lessee Difficulties
Current and Restructured Arrears
As of April 1, 2000, four lessees were in arrears. The four aircraft on
lease to these lessees represented 5.4% of the portfolio by appraised
value at November 30, 1999. The total amount of rental payments and
maintenance reserves that was in arrears with respect to these four
lessees was $3.3 million. MSAF holds security deposits of $1.9 million
against these arrears. This amount represents 1.42% of annual
contracted lease rental payments. The weighted average number of days
past due of such arrears was 77 days. In addition to current arrears,
in January 2000, one lessee of two A320-200 aircraft agreed to
restructure rental and maintenance arrears amounting to $1.3 million.
These arrears are scheduled to be repaid in June 2000.
Page 15 of 19
Regional Analysis of Current Arrears
The categorization of countries into geographical regions, Developed
Markets, Emerging Markets and Other is determined using Morgan Stanley
Capital International, Inc. ("MSCI") designations. A regional analysis
of current arrears as of April 1, 2000 is shown below.
% # # # Current Security
Region Appraised Countries Aircraft Lessees Arrears Deposit
Value $m $m
Developed Europe 0 0 0 0.0 0.0
North America 0 0 0 0.0 0.0
Emerging Europe and Middle 2.0% 1 1 1 1.8 0.7
East
Asia 0 0 0 0.0 0.0
Latin America 2.4% 1 2 2 1.4 0.7
Other Other 1.0% 1 1 1 0.1 0.5
---------- --------- --------- --------- ---------
Total Arrears 5.4% 3 4 4 3.3 1.9
---------- --------- --------- --------- ---------
Europe and Middle East (Emerging)
MSAF Group currently leases 6.7% of the portfolio by appraised value at
November 30, 1999 in the Europe and Middle East (Emerging) region. One
of the four lessees in arrears is based in this region. As of April 1,
2000, Air Alfa owed rental and maintenance arrears of $1.8 million,
against which MSAF Group holds a security deposit of $0.7 million. The
Servicer has instituted legal steps in Turkey to draw down upon the
guarantee and repossess the aircraft from Air Alfa. This aircraft, an
A321-100, represented 2.0% of the portfolio by appraised value at
November 30, 1999.
Latin America (Emerging)
MSAF Group currently leases 7.4% of the portfolio in Latin America
(5.0% in Mexico and 2.4% in Brazil) by appraised value at November 30,
1999. Two of the four lessees currently in arrears are based in Latin
America.
In March 1999, MSAF reached an agreement with VASP to defer $0.5
million of arrears owed at that time. Repayment of the arrears plus
interest was scheduled to begin in August 1999 and end in January 2000.
On February 10, 2000, VASP made a payment of $1.3 million to MSAF Group
in full settlement of their deferred and current arrears up to January
31, 2000. Since then, they have made one month's rental payment and are
in arrears by $0.5 million as of April 1, 2000. This aircraft is a
B737-300 and represented 1.0% of the portfolio by appraised value at
November 30, 1999.
In August 1999, MSAF agreed to restructure the arrears of the second
Brazilian lessee, Passaredo. The total rental payments, maintenance
reserves and default interest owed amounted to $3.7 million. The
restructured amounts were capitalized as a note payable and added to
the lessee's Conditional Sale Agreement loan balance, with an extension
to the term of the loan. In conjunction with this restructuring, the
obligations under this lease were transferred to a new Brazilian
Page 16 of 19
entity, B.R.A Transportes Aereos, which replaced Passaredo as lessee.
As of April 1, 2000, $0.9 million of current arrears under the new
agreement, which represents approximately 96 days of rental, were due
and unpaid. No rental has been received since January 2000. Since April
1, 2000, the Servicer has advised us that they are in the process of
repossessing this aircraft. This aircraft is an A310-300 and
represented 1.4% of the portfolio by appraised value at November 30,
1999.
Other
MSAF Group currently leases 15.6% of the portfolio by appraised value
at November 30, 1999 in the Other region. One of the four lessees
currently in arrears is based in the Other region. At April 1, 2000,
maintenance reserves owed by Icelandair were less than $0.1 million.
This aircraft is a B737-300 and represented 1.0% of the portfolio by
appraised value at November 30, 1999.
Asia (Emerging)
MSAF Group currently leases 16.5% of the portfolio by appraised value
at November 30, 1999 in the Asia (Emerging) region. As of April 1,
2000, none of these lessees were in arrears.
Pacific (Developed)
MSAF Group currently leases 10.0% of the portfolio by appraised value
at November 30, 1999 in the Pacific (Developed) region. As of April 1,
2000, none of these lessees were in arrears.
Europe (Developed)
MSAF Group currently leases 27.4% of the portfolio by appraised value
at November 30, 1999 in the Europe (Developed) region. In January 2000,
one lessee of two aircraft, based in this region agreed to restructure
its maintenance reserves and part of its rental obligations for the
period from August 1998 to February 2000. Repayment of the rental
arrears plus interest is scheduled to be made over a five-week period
beginning on June 16, 2000. Repayment of the maintenance reserves plus
interest is scheduled to be made in three monthly installments
beginning on June 1, 2000. We hold security deposits of $1.0 million
against the deferred arrears. These aircraft, both A320-200s,
represented 3.1% of the portfolio by appraised value at November 30,
1999.
North America (Developed)
MSAF Group currently leases 15.4% of the portfolio by appraised value
at November 30, 1999 in the North America (Developed) region. As of
April 1, 2000, none of these lessees were in arrears. On February 2,
2000, Canadian Airlines announced a debt restructuring and moratorium
plan. The plan resulted in the suspension of payments of about $135
million to lenders and aircraft lessors, including MSAF. In March 2000,
the lease was restructured by slightly reducing the lease rate
effective from February 2000 and the term was extended by four years to
May 2010. The security of $0.3 million was used to fund the February
Page 17 of 19
rental. In March 2000, the lessee resumed rental payments and also made
part payment toward refunding the security deposit balance. At the same
time, the lease was assigned to a subsidiary of Air Canada, Air Canada
Capital Limited. This aircraft, an A320-200, represented 1.5% of the
portfolio by appraised value at November 30, 1999.
Bad Debts
In addition to the current arrears of $3.3 million and restructured
arrears of $1.3 million, as of April 1, 2000, $3.8 million of rental
and maintenance payments due to MSAF remain unpaid from four of its
former lessees. This is net of total amounts recovered under repayment
plans of $1.8 million and security deposits drawn down of $2.9 million.
One Brazilian lessee owes $3.3 million of the total $3.8 million
outstanding. Three of the four aircraft have since been re-leased to
other carriers and the fourth aircraft is off-lease but subject to a
non-binding letter of intent.
Analysis of Bad Debts Balance as of April 1, 2000
Repossession Date Aircraft Former Country Bad Debts Bad Debts Security Total
Type Lessee Total Recovered Deposits
$M $M $M $M
October 1998 B757-200 Transaero Russia (1.0) 0.2 0.6 (0.2)
March 1999 A321-100 Onur Air Turkey (2.1) 1.2 0.7 (0.2)
July 1999 B747-300 VARIG Brazil (4.8) 0.4 1.1 (3.3)
December 1999 B737-400 TAESA Mexico (0.6) 0.5 (0.1)
------------ ----------- -------- ---------
Total (8.5) 1.8 2.9 (3.8)
------------ ----------- -------- ---------
A former Brazilian lessee, VARIG, negotiated an early termination of
its lease of a B747-300 aircraft in July 1999. The lease was scheduled
to expire in April 2003. The total amount of rental payments and
maintenance reserves due under this lease to July 1999, the date of the
termination agreement, was $4.8 million against which we drew down a
security deposit of $1.1 million. Under the terms of the termination
agreement, VARIG is scheduled to repay $10.8 million over eight years
to offset arrears of $4.8 million and approximately $6.0 million for
maintenance and downtime costs. Provided no default has occurred by
October 2005 under this note payable, the total remaining payments will
be reduced by approximately $1.1 million on a pro-rata basis between
October 2005 and October 2007, the scheduled final payment date under
the note. The aircraft was recently delivered to its new lessee and
operation is scheduled to commence on April 6, 2000. This aircraft
represents approximately 2.5% of the portfolio by appraised value at
November 30, 1999.
A former Mexican lessee, TAESA, defaulted on its obligations under its
lease of a B737-400 aircraft and the aircraft was repossessed in
December 1999. The lease was scheduled to expire in May 2001. The total
amount of rental payments and maintenance reserves due under the lease
at the date of the repossession was $0.6 million. This amount was
offset by a security deposit of $0.5 million. In February 2000, TAESA
was declared bankrupt with debts of over $400 million. The aircraft is
currently the subject of a non-binding letter of intent with a
Page 18 of 19
Dubai-based carrier. This aircraft represents approximately 1.1% of the
portfolio by appraised value at November 30, 1999.
Early Termination Option to be Exercised
Braathens, a lessee based in Norway, recently notified the Servicer
that it intends to exercise the early termination option in its lease.
The aircraft, a B737-500, is subject to a lease that commenced in April
1998 and was scheduled to expire in April 2003. The lease will now
terminate in April 2001. A termination fee of one month's rental is
payable to MSAF. This aircraft, a B737-500, represented 1.0% of the
portfolio by appraised value at November 30, 1999.
Page 19 of 19
APPENDIX A
Portfolio Details
Morgan Stanley Aircraft Finance April 1, 2000
All dollar amounts in millions of US dollars unless otherwise stated
30-Nov-99
Country of Aircraft Engine Serial Date of Appraised % of % of
Region (1) Current Lessee Current Lessee Type ConfigurationNumber Manufacture Value Total Region
---------- -------------- -------------- ---- ------------------- ----------- ------ ----- ------
1 Europe France Air Liberte MD-83 JT8D-219 49822 Dec-88 19.1 1.0%
2 (Developed) France l'Aeropostale B737-300QC CFM 56-3C1 23788 May-87 19.2 1.0%
3 Ireland Aer Lingus A330-300 CF6-80E1 54 Apr-94 80.0 4.0%
4 Ireland TransAer A320-200 V2500-A1 414 May-93 30.6 1.5%
5 Ireland TransAer A320-200 V2500-A1 428 4-May-94 32.1 1.6%
6 Netherlands KLM engine CF6-80C2B6F 704279 Jun-95 5.5 0.3%
7 Netherlands KLM Cityhopper F50 PW100-125B 20232 1-Oct-91 6.3 0.3%
8 Netherlands KLM Cityhopper F50 PW100-125B 20233 1-Oct-91 6.2 0.3%
9 Netherlands Transavia B737-300 CFM 56-3C1 27635 May-95 27.3 1.4%
10 Norway Braathens B737-500 CFM 56-3B1 25165 Apr-93 19.7 1.0%
11 Norway Braathens B737-500 CFM56-3C-1 26304 15-Sep-94 21.2 1.1%
12 Spain Air Europa B737-400 CFM56-3-C1 24707 1-Jun-91 24.7 1.2%
13 UK Air 2000 B767-300ER CF6-80C2B6F 26256 Apr-93 63.8 3.2%
14 UK Air 2000 B757-200ER RB211-535-E4 23767 1-Apr-87 29.7 1.5%
15 UK Britannia B767-200ER CF6-80A 23807 Aug-87 29.5 1.5%
16 UK Britannia B757-200ER RB211-535-E4-326266 13-Jan-93 41.2 2.1%
17 UK Flying Colours A320-200 V2500-A1 393 Feb-93 30.4 1.5%
18 UK Flying Colours B757-200ER RB211-535-E4-324367 Feb-89 31.7 1.6%
19 UK Monarch Airlines A320-200 CFM56-5A3 446 28-Oct-93 30.5 1.5%
Sub-total - 27.4%
-
20 North America Canada Air Canada A320-200 CFM56-5A3 279 Feb-92 29.9 1.5%
21 (Developed) Canada Canada 3000 A320-200 CFM56-5A3 397 24-Mar-93 30.8 1.5%
22 USA Alaska Airlines B737-400 CFM 56-3C1 25104 May-93 26.6 1.3%
23 USA Alaska Airlines B737-400 CFM 56-3C1 25105 27-Jul-93 26.6 1.3%
24 USA Continental B737-300 CFM56-3-B1 26309 5-Dec-94 26.3 1.3%
Airlines
25 USA National Airlines B757-200ER RB211-535-E4 24260 Dec-88 33.5 1.7%
26 USA Southwest Airlines B737-300 CFM56-3-B1 23255 26-Jun-85 14.4 0.7%
27 USA Southwest Airlines B737-300 CFM56-3-B1 23256 11-Jul-85 15.3 0.8%
28 USA TWA B757-200ER PW 2037 28160 22-Jul-96 47.8 2.4%
29 USA TWA MD-83 JT8D-219 49824 Mar-89 20.4 1.0%
30 USA TWA MD-82 JT8D-217C 49825 Mar-89 17.8 0.9%
31 USA TWA MD-83 JT8D-219 49657 1-Apr-88 19.6 1.0%
Sub-total - 15.4%
32 Pacific Hong Kong Cathay Pacific B747-400 RB211-252H2/1924955 25-Sep-91 97.4 4.9%
33 (Developed) New Zealand Air New Zealand B767-300ER CF6-80C-2B6 24875 14-Jun-91 57.0 2.8%
34 Singapore Region Air A310-300 JT9D-7R4E1 409 Nov-85 22.3 1.1%
35 Singapore Region Air A310-300 JT9D-7R4E1 410 Nov-85 22.7 1.1%
Sub-total - 10.0%
36 Europe Greece Olympic Airways B737-400 CFM 56-3C1 25371 Jan-92 25.1 1.3%
37 and Middle East Hungary Malev F-70 TAY 11564 Dec-95 13.7 0.7%
MK620-15
38 (Emerging) Hungary Malev F-70 TAY 11565 Feb-96 14.3 0.7%
MK620-15
39 Hungary Malev F-70 TAY 11569 Mar-96 14.7 0.7%
MK620-15
40 Turkey Air Alfa A321-100 V2530-A5 597 May-96 39.7 2.0%
41 Turkey Pegasus B737-400 CFM56-3C1 26279 Jun-92 25.7 1.3%
Sub-total 6.7%
42 Asia China China Hainan B737-300 CFM 56-3C1 26295 Dec-93 25.5 1.3%
43 (Emerging) South Korea Asiana B767-300ER CF6-80C2B6F 24798 Oct-90 53.1 2.7%
44 South Korea Asiana B737-400 CFM56-3C1 26291 9-Aug-93 27.6 1.4%
45 South Korea Asiana B737-400 CFM56-3C-1 26308 31-Oct-94 27.9 1.4%
46 South Korea Asiana B767-300ER CF6-80C2-B6F 25132 24-Feb-92 60.1 3.0%
47 Taiwan China Airlines A300-600R PW 4158 555 Mar-90 46.3 2.3%
48 Taiwan China Airlines A300-600R PW 4158 625 31-Mar-92 51.1 2.6%
49 Taiwan F.E.A.T. B757-200ER PW 2037 25044 28-May-91 37.5 1.9%
Sub-total 16.5%
50 Latin America Brazil B.R.A. A310-300 JT9D-7R4E1 437 Nov-86 27.6 1.4%
51 (Emerging) Brazil VASP B737-300 CFM 56-3B2 24299 Nov-88 19.8 1.0%
52 Mexico Aeromexico B757-200ER PW 2037 26272 Mar-94 41.4 2.1%
53 Mexico Aeromexico MD-83 JT8D-219 53050 1-May-90 19.7 1.0%
54 Mexico Mexicana B757-200ER PW 2040 24965 24-Mar-92 39.1 2.0%
Sub-total 7.4%
55 Other Fiji Air Pacific B767-300ER CF6-80C2B4 26260 Sep-94 66.6 3.3%
56 Iceland Icelandair B737-300F CFM 56-3B2 23811 Oct-87 19.8 1.0%
57 Iceland Air Atlanta B747-300B CF6-80C2 24106 Apr-88 49.0 2.5%
58 Lithuania Lithuanian B737-300 CFM56-3B2 24449 1-Apr-90 21.7 1.1%
59 Macau Air Macau A321-100 V2530-A5 557 4-Dec-95 38.9 1.9%
60 Malta Air Malta B737-300 CFM 56-3B2 25161 Feb-92 24.6 1.2%
61 Mauritius Air Mauritius A340-300 CFM56-5C3G 94 31-Mar-95 91.6 4.6%
Sub-total 15.6%
62 Off-lease (2) B737-400 CFM 56-3B2 24234 Oct-88 21.9 1.1% 1.1%
--------------------------
Total 2,001 100.0% 100.0%
==========================
Number of Countries = 25
Number of Lessees =42
Number of aircraft subject to Lease =61
Number of aircraft off-lease =1
Number of Aircraft = 61
Number of Engines =1
- ----------------------------
(1) Regions are defined according to MSCI designations
(2) Currently AOG but subject to a Letter of Intent
APPENDIX B
MORGAN STANLEY AIRCRAFT FINANCE
Comparison of Actual Cash Flows
versus the 1998 Base Case
for the First Quarter 2000
All dollar amounts in Dollar amounts expressed
millions of US dollars as a percentage
unless otherwise stated 1998 Base Case Lease Rentals
- ---------------------------------------------------------------------------------------- -----------------------------------------
Actual Basecase Variance Actual Base Case Variance
- ---------------------------------------------------------------------------------------- -----------------------------------------
CASH COLLECTIONS
[1] Lease Rentals 32.0 32.0 - 100.0% 100.0% 0.0%
[2] - Renegotiated Leases (0.3) - (0.3) -0.9% 0.0% -0.9%
[3] - Rental Resets (0.6) - (0.6) -1.9% 0.0% -1.9%
[4] S [1]..[3] Contracted Lease Rentals 31.1 32.0 (0.9) 97.2% 100.0% -2.8%
[5] Movement in Current Arrears Balance (0.3) - (0.3) -0.9% -0.9%
less Net Stress-related Costs
[6] - Bad debts (0.5) -1.7%
[7] - Security deposits drawn down 0.5 1.5%
[8] - Capitalised arrears - 0.0%
[9] - AOG (4.2) -13.2%
[10] - Other Leasing Income 1.0 3.1%
[11] - Repossession 0.1 0.3%
[12] S [6].[11] sub-total (3.1) (1.4) (1.7) -9.7% -4.5% -5.2%
[13] [4]+[5]+[12]Net Lease Rentals 27.7 30.6 (2.9) 86.6% 95.5% -8.9%
-
[14] Interest Earned 0.5 0.4 0.1 1.6% 1.1% 0.5%
[15] Net Maintenance (4.1) - (4.1) -12.8% 0.0% -12.8%
[16] S [13][15] Total Cash Collections 24.1 31.0 (6.9) 75.4% 96.6% -21.2%
-
CASH EXPENSES
Aircraft Operating Expenses
[17] - Insurance -
[18] - Re-leasing and other overheads (0.3) (1.1) 0.8 -0.8% -3.5% 2.5%
[19] [17]+[18] subtotal (0.3) (1.1) 0.8 -0.8% -3.5% 2.7%
SG&A Expenses
[20] Aircraft Servicer Fees
- Base Fee (0.5)
- Rent Collected Fee (0.3)
- Rent Contracted Fee (0.3)
- Incentive Fee -
[21] [20] sub-total (1.1) (1.4) 0.3 -3.4% -4.3% 0.8%
[22] Other Servicer Fees (0.5) (0.8) 0.3 -1.5% -2.5% 1.0%
[23] [21]+[22] subtotal (1.6) (2.2) 0.6 -4.9% -6.8% 1.9%
[24] [19]+[23] Total Cash Expenses (1.9) (3.3) 1.4 -5.7% -10.3% 4.6%
NET CASH COLLECTIONS
[25] [16] Total Cash Collections 24.1 31.0 (6.9) 75.4% 96.6% -21.2%
[26] [24] Total Cash Expenses (1.9) (3.3) 1.4 -5.7% -10.3% 4.6%
[27] Interest Payments (15.6) (15.5) (0.1) -49.1% -48.5% -0.6%
[28] Swap Payments (0.5) (0.8) 0.3 -1.6% -2.4% 0.8%
[29] Exceptional Items - - 0.0% 0.0% 0.0%
[30] S [25][29] TOTAL 6.1 11.4 (5.3) 19.0% 35.4% -16.4%
============================================================================
[31] PRINCIPAL PAYMENTS
subclass A1 - -
subclass A2 5.0 10.3 (5.3) 15.7% 32.1% -16.5%
subclass B1 1.0 1.0 - 3.1% 3.1% 0.0%
subclass C1 0.1 0.1 0.0 0.2% 0.2% 0.0%
subclass D1 - -
---------------------------------------------------------------------------
Total 6.1 11.4 (5.3) 19.0% 35.4% -16.4%
==========================================================================
APPENDIX C
MORGAN STANLEY AIRCRAFT FINANCE
Performance to Date versus
1998 Basce Case
Mar 3, 1998 - February 15, 2000
Dollar amounts
All dollar amounts in millions of US dollars expressed as a percentage
unless otherwise stated 1998 Base Case Lease Rentals
- ------------------------------------------------------------------------------------------------ ----------------------------------
Actual Basecase Variance Actual Base Case Variance
- ------------------------------------------------------------------------------------------------------------------------------------
CASH COLLECTIONS
[1] Lease Rentals 252.9 252.9 - Actual Base Case 0.0%
[2] - Renegotiated Leases (1.6) - (1.6) -0.7% 0.0% -0.7%
[3] - Rental Resets (2.5) - (2.7) -1.0% 0.0% -1.0%
[4] S [1]...[3] Contracted Lease Rentals 248.8 252.9 (4.3) 98.4% 100.0% -1.7%
[5] Movement in Current Arrears Balance (3.4) - (3.4) -1.3% -1.3%
less Net Stress-related Costs
[6] - Bad debts (6.2) - -2.4%
[7] - Security deposits drawn down 4.5 1.8%
[8] - Capitalised arrears (3.5) -1.4%
[9] - AOG (9.9) -3.9%
[10] - Other Leasing Income 3.8 1.5%
[11] - Repossession (2.2) -1.0%
[12] S [6]....[11] sub-total (13.1) (11.4) (2.1) -5.4% -4.5% -0.9%
[13] [4]+[5]+[12] Net Lease Rentals 231.9 241.6 (9.6) 91.7% 95.5% -3.8%
-
[14] Interest Earned 4.3 2.7 1.6 1.7% 1.1% 0.6%
[15] Net Maintenance 5.7 - 5.5 2.3% 0.0% 2.3%
[16] S [13]...[15]Total Cash Collections 242.0 244.3 (2.3) 95.7% 96.6% -0.9%
-
CASH EXPENSES
Aircraft Operating Expenses
[17] - Insurance (0.7) -0.3%
[18] - Re-leasing and other overheads (1.1) -0.4%
[19] [17]+[18] subtotal (1.8) (8.9) 7.1 -0.7% -3.5% 2.8%
SG&A Expenses
[20] Aircraft Servicer Fees
- Base Fee (4.1)
- Rent Collected Fee (2.3)
- Rent Contracted Fee (2.4)
- Incentive Fee (0.5)
[21] [20] sub-total (9.3) (11.0) 1.7 -3.7% -4.4% 0.7%
[22] Other Servicer Fees (5.2) (6.3) 1.1 -2.1% -2.5% 0.4%
[23] [21]+[22] subtotal (14.5) (17.4) 2.8 -5.8% -6.9% 1.1%
[24] [19]+[23]Total Cash Expenses (16.3) (26.2) 9.9 -6.5% -10.4% 3.9%
NET CASH COLLECTIONS
[25] [16] Total Cash Collections 242.0 244.3 (2.3) 95.7% 96.6% -0.9%
[26] [24] Total Cash Expenses (16.3) (26.2) 9.9 -6.5% -10.4% 3.9%
[27] Interest Payments (119.8) (124.9) 5.1 -47.4% -49.4% 2.0%
[28] Swap Payments (12.4) (7.0) (5.4) -4.9% -2.8% -2.1%
[29] Exceptional Item 27.1 27.1 - 10.7% 10.7% 0.0%
[30] S [25...[29]TOTAL 120.6 113.3 7.3 47.6% 44.7% 2.9%
[31] PRINCIPAL PAYMENTS
subclass A1 - -
subclass A2 110.5 103.2 7.3 43.7% 40.8% 2.9%
subclass B1 10.0 10.0 (0.0) 3.9% 3.9% 0.0%
subclass C1 0.1 0.1 (0.0) 0.0% 0.0% 0.0%
subclass D1 - -
Total 120.6 113.3 7.3 47.6% 44.7% 2.9%
Debt Balances
subclass A1 400.0 400.0
subclass A2 229.5 236.8
subclass B1 90.0 90.0
subclass C1 99.9 99.9
subclass D1 110.0 110.0
---------------------
929.4 936.7
Coverage Ratios 1998
Actual Base Case
- -----------------------------------------------------------------------------------------------------------
Net Cash Collections 120.6 113.2
Add Back Interest and Swap Payments 132.2 132.0
Add Back Permitted Accruals 1.6
a Net Cash Collections 254.4 245.2
b Swaps 12.4 7.0
c Class A Interest 76.2 80.9
d Class A Minimum 15.2 22.2
e Class B Interest 11.4 11.9
f Class B Minimum 10.0 10.0
g Class C Interest 13.5 13.5
h Class C Minimum 0.0 0.0
I Class D Interest 18.7 18.7
j Class D Minimum - -
k Class A Scheduled - -
l Class B Scheduled - -
m Class C Scheduled 0.1 0.1
n Class D Scheduled - 0.0 -
o Permitted Aircraft Modifications 1.6 -
p Class A Supplemental 95.3 81.0
Total 254.4 245.2
[1] Interest Coverage Ratio
Class A 2.87 2.79
Class B 2.21 2.01
Class C 1.83 1.69
Class D 1.62 1.49
[2] Debt Coverage Ratio
Class A 1.62 1.49
Class B 1.62 1.49
Class C 1.62 1.49
Class D 1.62 1.49
Loan-to-Value Ratios 1998 Base Case Actual 1998 Base Case
03-Mar-98 15-Feb-00 15-Feb-00
--------- --------- ---------
[3] Assumed Portfolio Value 1,115,510,000 1,004,954,911
[4] Adjusted Portfolio Value 952,467,605
Liquidity Reserve Amount
Of which - Cash 25,000,000 25,000,000 25,000,000
- Accrued Expenses 6,089,203 0
- Letters of Credit held 40,000,000 39,638,351 39,638,351
---------- ---------- ----------
Subtotal 65,000,000 70,727,554 64,638,351
Less Lessee Security Deposits (20,000,000) (19,038,351) (19,038,351)
Subtotal 45,000,000 51,689,203 45,600,000
[5] Total Asset Value 1,160,510,000 1,004,156,807 1,050,554,911
Note Balances as at February 15, 2000
-------------------------------------
Class A 740,000,000 63.8% 629,515,610 62.7% 636,816,388 60.6%
Class B 100,000,000 72.4% 90,043,960 71.7% 90,043,960 69.2%
Class C 100,000,000 81.0% 99,910,000 81.6% 99,914,956 78.7%
Class D 110,000,000 90.5% 110,000,000 92.6% 110,000,000 89.2%
----------- ----------- -----------
Total 1,050,000,000 929,469,570 936,775,304
*1998 Base Case Cash Collections and Cash Expenses have been adjusted for
non-delivery of an aircraft.
[1] Interest Coverage Ratio is equal to Net Cash Collections(excl. interest and
swap payments) expressed as a ratio of the interest payable on each
subclass of Notes plus the interest and minimum principal payments payable
on each subclass of Notes that rank senior in priority of payment to the
relevant subclass of Notes.
[2] Debt Service Ratio is equal to Net Cash Collections (excl. interest and
swap payments) expressed as a ratio of the interest and minimum and
scheduled principal payments payable on each subclass of Notes plus the
interest and minimum and scheduled principal payments payable on each
subclass of Notes that ranks equally with or senior to the relevant
subclass of Notes in the priority of payments.
[3] Assumed Portfolio Value represents the Inital Appraised Value of each
aircraft in the Portfolio multipled by the Depreciation Factor at
Calculation date divided by the Depreciation Factor at Closing date.
[4] Adjusted Portfolio Value represents the Base Value of each aircraft in the
Portfolio as detemined by the most recent Appraisal multipled by the
Depreciation Factor at Calculation date divided by the Depreciation Factor
at Closing date. The lower of the Assumed Portfolio Value or 105% of the
Adjusted Portfolio Value is used to calculate the principal repayment
amounts to Noteholders
[5] Total Asset Value is equal to Total Assumed Portfolio Value plus Liquidity
Reserve Amount minus Lessee Security Deposits.