Check the appropriate box to indicate the filing obligation to which this form is intended to satisfy:
[_] | Rule 15Ga-1 under the Exchange Act (17 CFR 240.15Ga-1) for the reporting period _________ to __________. |
Date of Report (Date of earliest event reported): ___________ Commission File Number of securitizer: ___________ Central Index Key Number of securitizer: ___________ Indicate by check mark whether the securitizer has no activity to report for the initial period pursuant to Rule 15Ga-1(c)(1): [_] Indicate by check mark whether the securitizer has no activity to report for the quarterly period pursuant to Rule 15Ga-1(c)(2)(i): [_] Indicate by check mark whether the securitizer has no activity to report for the annual period pursuant to Rule 15Ga-1(c)(2)(ii): [_] |
|
[X] | Rule 15Ga-2 under the Exchange Act (17 CFR 240.15Ga-2). |
Central Index Key Number of depositor: ___________ Central Index Key Number of issuing entity (if applicable): ___________ Central Index Key Number of underwriter (if applicable): 0001492299 |
PART I: REPRESENTATION AND WARRANTY INFORMATION
N/A
PART II: FINDINGS AND CONCLUSIONS OF THIRD-PARTY DUE DILIGENCE REPORTS
Item 2.02 Findings and Conclusions of a Third Party Due Diligence Report Obtained by the Issuer
Attached as Exhibit 99.1 hereto is an agreed-upon procedures report, dated November 5, 2015, of Ernst & Young LLP, obtained by Mitsubishi UFJ Securities (USA), Inc., which report sets forth the findings and conclusions, as applicable, of Ernst & Young LLP with respect to certain agreed-upon procedures performed by Ernst & Young LLP.
Pursuant to the requirements of the Securities Exchange Act of 1934, the reporting entity has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Date: November 5, 2015 |
Mitsubishi UFJ Securities (USA), Inc. (Underwriter) |
By: /s/ William Mansfield Name: William Mansfield Title: Managing Director |
Exhibit 99.1 Agreed-upon procedures report, dated November 5, 2015, of Ernst & Young LLP.
|
a. |
Electronic data files and related decodes that contain information on the Collateral Obligations as of 2 November 2015 (the “Pricing Cut-off Date”), certain information of which we printed and attached as Exhibit 1 to Attachment A,
|
|
b. | A copy of the Draft Offering Circular, | |
c. |
Copies of certain Collateral Obligations’ preliminary or final credit agreements, amendments or supplements thereto (each, a “Credit Agreement”),
|
|
d. |
Copies of emails or other documents and correspondence from agent banks which contained information on certain Collateral Obligations (each, an “Agent Confirmation”),
|
|
e. | Copies of certain Collateral Obligations’ rate set notices (each, a “Rate Set Notice”) and | |
f. | Instructions, assumptions and methodologies (the “Assumptions”), which we summarized on the attached Exhibit 2 of Attachment A. |
|
a. |
Satisfying any criteria for due diligence published by a nationally recognized statistical rating organization or
|
||
b. | Making any findings with respect to: | ||
i. |
Whether the origination of the Collateral Obligations conformed to, or deviated from, stated underwriting or credit extension guidelines, standards, criteria, or other requirements,
|
||
ii. | The value of the collateral securing the Collateral Obligations, | ||
iii. |
Whether the originator of the Collateral Obligations complied with federal, state or local laws or regulations or
|
||
iv. | Any other factor or characteristic of the Collateral Obligations that would be material to the likelihood that the issuer of the asset-backed security will pay interest and principal in accordance with applicable terms and conditions. |
|
|
1.
|
We obtained from the Collateral Manager, on behalf of the Issuer, electronic data files and related decodes containing information on the Collateral Obligations as of the Pricing Cut-off Date. We compared the Characteristics and Derived Characteristics indicated below, as shown on these electronic data files, to the corresponding information on the Source Documents, Data Sources and Additional Data Sources (as defined herein) as indicated below and the Collateral Manager adjusted the information on these electronic data files to correct for differences we noted in performing the procedures described below, subject to any qualifications and exceptions stated in the Assumptions on Exhibit 2 to Attachment A. The electronic data files, as so adjusted, are herein referred to as the “Pricing Date Data Files.”
|
|
2.
|
For each Collateral Obligation listed on Exhibit 1 to Attachment A, we compared the following characteristics (the “Characteristics”), as shown on Exhibit 1 to Attachment A and indicated by the letter A, with the corresponding information we obtained or derived on or after the Pricing Cut-off Date using certain Assumptions on Exhibit 2 to Attachment A and the following data sources (each, a “Data Source”), as applicable: (a) Data Vendor, (b) Moody’s, (c) Credit Agreements, (d) Rate Set Notices and (e) Agent Confirmations. Where more than one Data Source is listed for a Characteristic, the Collateral Manager, on behalf of the Issuer, instructed us to note agreement if the value on the Pricing Date Data Files for the Characteristic agreed with the corresponding information on at least one of the Data Sources that are listed for such Characteristic. We performed no procedures to reconcile any differences that may exist between various Data Sources for any of the Characteristics.
|
Characteristics | Data Sources | ||
Issuer | Data Vendor, Moody's | ||
(labeled as "Issuer") | |||
Country of Domicile | Data Vendor, Moody's | ||
(labeled as "Domicile") | |||
Coupon/Spread | Data Vendor, Rate Set Notice, Agent | ||
(labeled as "Spread") | Confirmations | ||
Stated Maturity | Data Vendor, Credit Agreements | ||
(labeled as "Maturity") |
|
3.
|
For each Collateral Obligation listed on Exhibit 1 to Attachment A, we compared the following characteristics (the “Derived Characteristic”), as shown on Exhibit 1 to Attachment A and indicated by the letter B, with the corresponding information we obtained or derived on or after the Pricing Cut-off Date using the Draft Offering Circular, certain Assumptions on Exhibit 2 to Attachment A, information on the Pricing Date Data File and the following data sources (each, an “Additional Data Source”), as applicable: (a) Data Vendor, (b) Moody’s or (c) S&P. We performed no procedures to reconcile any differences that may exist between various Additional Data Sources for any of the Derived Characteristics.
|
Derived Characteristics
|
Additional Data Sources
|
Moody’s Default Probability Rating
(labeled as “Moody’s Default Probability
Rating”)
|
Data Vendor, Moody’s
|
S&P Rating
(labeled as “S&P Rating”)
|
Data Vendor, S&P
|
Issuer
|
Maturity
|
Domicile
|
Moody's Default Probability Rating
|
S&P Rating
|
Spread
|
Access Information
|
10/17/2021
|
US
|
B3
|
B
|
5.0000%
|
AgroFresh
|
7/31/2021
|
US
|
B2
|
B+
|
4.7500%
|
Albertson's
|
8/25/2021
|
US
|
B1
|
B+
|
4.5000%
|
AlixPartners
|
7/23/2022
|
US
|
B2
|
B+
|
3.5000%
|
Alliant Insurance
|
8/14/2022
|
US
|
B3
|
B
|
3.5000%
|
ALM Media
|
7/29/2020
|
US
|
B3
|
B
|
4.5000%
|
Alvogen Pharma
|
4/2/2022
|
US
|
B3
|
B
|
5.0000%
|
American Airlines
|
6/27/2020
|
US
|
Ba3
|
BB-
|
2.5000%
|
American Rock Salt
|
5/20/2021
|
US
|
B2
|
B
|
3.7500%
|
Amneal Pharma
|
11/1/2019
|
US
|
B1
|
BB-
|
3.5000%
|
AmWINS
|
9/6/2019
|
US
|
B2
|
B
|
4.2500%
|
Arizona Chemical
|
6/11/2021
|
US
|
B1
|
B
|
3.5000%
|
Ascend Learning
|
7/31/2019
|
US
|
B3
|
B
|
4.5000%
|
AssuredPartners
|
10/19/2022
|
US
|
B3
|
B
|
4.7500%
|
Asurion
|
7/6/2020
|
US
|
B2
|
B
|
3.5000%
|
At Home Holdings III, INC
|
6/3/2022
|
US
|
B2
|
B-
|
4.0000%
|
Authentic Brands
|
5/27/2021
|
US
|
B2
|
B
|
4.5000%
|
Axalta (fka DuPont Coatings)
|
2/1/2020
|
Netherlands
|
B1
|
BB-
|
2.7500%
|
Avago Technologies
|
5/6/2021
|
Cayman Islands
|
Ba1
|
BB+
|
3.0000%
|
B&G Foods
|
10/22/2022
|
US
|
B1
|
BB-
|
3.0000%
|
Blackboard
|
10/4/2018
|
US
|
B2
|
B
|
3.7500%
|
BMC Software
|
9/10/2020
|
US
|
B3
|
B
|
4.0000%
|
Boulder Brands
|
7/9/2020
|
US
|
B2
|
B
|
3.5000%
|
Bright Horizons
|
1/30/2020
|
US
|
B1
|
BB-
|
2.7500%
|
Builders FirstSource
|
7/28/2022
|
US
|
B3
|
B+
|
5.0000%
|
Cablevision Altice
|
10/1/2022
|
US
|
B1
|
B+
|
4.0000%
|
Calpine Corp.
|
5/26/2022
|
US
|
B1
|
B+
|
2.7500%
|
Cannery Casinos
|
10/2/2018
|
US
|
Caa2
|
CCC+
|
4.7500%
|
Carestream
|
6/7/2019
|
US
|
B2
|
B
|
4.0000%
|
CBS Outdoor
|
2/1/2021
|
US
|
Ba3
|
BB-
|
2.2500%
|
Cengage
|
3/31/2020
|
US
|
B2
|
B
|
6.0000%
|
Charter Operating
|
1/30/2023
|
US
|
Ba2
|
BB
|
2.7500%
|
CHI Overhead Doors
|
7/30/2022
|
US
|
B3
|
B
|
3.7500%
|
Chrysler
|
12/31/2018
|
US
|
B1
|
BB-
|
2.5000%
|
Cirque du Soleil
|
6/25/2022
|
US
|
B2
|
B
|
4.0000%
|
Community Health
|
1/27/2021
|
US
|
B1
|
B+
|
3.0000%
|
Communication Sales & Leasing
|
10/16/2022
|
US
|
B2
|
B+
|
4.0000%
|
Compass Diversified
|
6/4/2021
|
US
|
Ba3
|
BB-
|
3.2500%
|
Coty
|
10/22/2022
|
US
|
Ba1
|
BB+
|
3.0000%
|
Creative Artists Agency
|
12/10/2021
|
US
|
B2
|
B+
|
4.5000%
|
CSGov
|
11/2/2022
|
US
|
Ba2
|
BB+
|
3.0000%
|
CSM Bakery
|
7/3/2020
|
US
|
B2
|
B
|
4.0000%
|
Dell Inc.
|
4/29/2020
|
US
|
Ba1
|
BB+
|
3.2500%
|
EagleView Technology
|
7/15/2022
|
US
|
B3
|
B
|
4.2500%
|
Emerging Market Comm.
|
6/29/2021
|
US
|
B2
|
B
|
5.7500%
|
Endo Pharmaceuticals
|
9/26/2022
|
Luxembourg
|
Ba3
|
B+
|
3.0000%
|
eResearch
|
5/7/2022
|
US
|
B2
|
B
|
4.5000%
|
Federal Mogul
|
4/15/2018
|
US
|
B2
|
B-
|
3.0000%
|
A
|
A
|
A
|
B
|
B
|
A
|
Issuer
|
Maturity
|
Domicile
|
Moody's Default Probability Rating
|
S&P Rating
|
Spread
|
Filtration Group
|
11/22/2020
|
US
|
B2
|
B
|
3.2500%
|
First Data
|
6/25/2022
|
US
|
B2
|
B+
|
3.7500%
|
First Eagle
|
11/2/2022
|
US
|
Ba1
|
BB+
|
4.0000%
|
Galleria
|
10/22/2022
|
US
|
Ba1
|
BB+
|
3.0000%
|
Gardner Denver
|
7/30/2020
|
US
|
B2
|
B
|
3.2500%
|
Gates Global
|
7/5/2021
|
US
|
B3
|
B+
|
3.2500%
|
Global Cash Access
|
12/18/2020
|
US
|
B2
|
B
|
5.2500%
|
GTT Communications
|
10/22/2022
|
US
|
B2
|
B+
|
5.2500%
|
HD Supply
|
8/7/2021
|
US
|
B2
|
B+
|
2.7500%
|
HealthPort
|
12/1/2021
|
US
|
B2
|
B
|
4.2500%
|
Hertz
|
3/11/2018
|
US
|
B1
|
B+
|
2.2500%
|
Hill-Rom
|
9/8/2022
|
US
|
Ba2
|
BB+
|
2.7500%
|
Hilton Worldwide
|
10/26/2020
|
US
|
Ba3
|
BB
|
2.5000%
|
Hostess Brands
|
7/30/2022
|
US
|
B2
|
B
|
3.5000%
|
Ineos
|
12/15/2020
|
US
|
B1
|
B+
|
2.7500%
|
Intelsat Jackson Holdings
|
6/30/2019
|
Luxembourg
|
B3
|
B
|
2.7500%
|
IPC Systems
|
8/6/2021
|
US
|
B3
|
B
|
4.5000%
|
Jackson Hewitt
|
7/28/2020
|
US
|
B2
|
B
|
7.0000%
|
Kenan Advantage
|
7/29/2022
|
US
|
B1
|
B+
|
3.0000%
|
Kenan Advantage
|
1/31/2017
|
US
|
B1
|
B+
|
3.0000%
|
Key Safety
|
8/30/2021
|
US
|
B1
|
B+
|
3.7500%
|
Language Line
|
7/2/2021
|
US
|
B2
|
B
|
5.5000%
|
Level 3
|
5/31/2022
|
US
|
Ba3
|
BB-
|
2.7500%
|
Lightower
|
4/13/2020
|
US
|
B2
|
B
|
3.2500%
|
Linxens
|
10/16/2022
|
France
|
B2
|
B
|
4.0000%
|
Mallinckrodt Pharma
|
3/19/2021
|
Luxembourg
|
Ba3
|
BB-
|
2.5000%
|
Media General
|
7/31/2020
|
US
|
B1
|
B+
|
3.0000%
|
Micro Focus
|
11/20/2021
|
UK
|
B1
|
BB-
|
4.2500%
|
Mitel Networks
|
4/29/2022
|
Canada
|
B2
|
B
|
4.5000%
|
6/15/2018
|
US
|
B3
|
B-
|
4.5000%
|
|
Neiman Marcus
|
10/25/2020
|
US
|
B3
|
B
|
3.2500%
|
Numericable
|
5/21/2020
|
US
|
B1
|
B+
|
3.7500%
|
Numericable
|
5/21/2020
|
US
|
B1
|
B+
|
3.7500%
|
Numericable
|
7/28/2022
|
US
|
B1
|
B+
|
3.2500%
|
Numericable
|
1/22/2023
|
US
|
B1
|
B+
|
4.0000%
|
OCI Beaumont
|
8/20/2019
|
US
|
B1
|
B+
|
5.5000%
|
On Assignment
|
6/2/2022
|
US
|
Ba2
|
BB
|
3.0000%
|
OXEA
|
1/15/2020
|
Luxembourg
|
B3
|
B+
|
3.2500%
|
Penton Media
|
10/3/2019
|
US
|
B3
|
B
|
4.0000%
|
Post Holdings
|
6/2/2021
|
US
|
B2
|
B
|
3.0000%
|
Protection One
|
6/22/2021
|
US
|
B2
|
B
|
4.0000%
|
Quanex Building Products
|
10/12/2022
|
US
|
B1
|
BB-
|
5.2500%
|
Quincy (TV)
|
10/22/2022
|
US
|
B2
|
B+
|
4.5000%
|
Red Lobster
|
7/28/2021
|
US
|
B3
|
B-
|
5.2500%
|
RentPath
|
12/17/2021
|
US
|
B3
|
B
|
5.2500%
|
Royalty Pharma
|
11/9/2020
|
US
|
Baa3
|
BBB-
|
2.7500%
|
SBA Communications
|
6/8/2022
|
US
|
B1
|
BB-
|
2.5000%
|
Science Applications (SAIC)
|
5/4/2022
|
US
|
Ba3
|
BB
|
3.0000%
|
A
|
A
|
A
|
B
|
B
|
A
|
Issuer
|
Maturity
|
Domicile
|
Moody's Default Probability Rating
|
S&P Rating
|
Spread
|
Scientific Games
|
10/1/2021
|
US
|
B2
|
B+
|
5.0000%
|
SeaWorld Parks & Ent.
|
5/13/2020
|
US
|
B1
|
BB-
|
2.2500%
|
Service King
|
8/18/2021
|
US
|
B2
|
B
|
3.5000%
|
Service King
|
8/18/2021
|
US
|
B2
|
B
|
3.5000%
|
Sinclair TV
|
7/30/2021
|
US
|
Ba3
|
BB-
|
2.7500%
|
Sitel Worldwide
|
9/20/2021
|
US
|
B3
|
B
|
5.5000%
|
Six Flags
|
6/29/2022
|
US
|
B1
|
BB
|
2.7500%
|
Southcross Energy Partners LP
|
8/4/2021
|
US
|
B2
|
B-
|
4.2500%
|
SS&C Technologies
|
6/29/2022
|
US
|
B1
|
BB
|
3.2500%
|
SS&C Technologies
|
6/29/2022
|
US
|
B1
|
BB
|
3.2500%
|
Southwire
|
2/10/2021
|
US
|
Ba2
|
BB
|
2.2500%
|
SRS Distribution
|
8/24/2022
|
US
|
B2
|
B
|
4.2500%
|
Summit Materials
|
7/18/2022
|
US
|
B3
|
B+
|
3.2500%
|
Tank Holdings
|
3/16/2022
|
US
|
B2
|
B
|
4.2500%
|
Technicolor
|
7/10/2020
|
France
|
B1
|
B+
|
4.0000%
|
Tribune Company
|
12/27/2020
|
US
|
Ba3
|
BB-
|
3.0000%
|
Tronox
|
3/19/2020
|
US
|
B1
|
BB-
|
3.2500%
|
Univar
|
6/25/2022
|
US
|
B2
|
B+
|
3.2500%
|
US Foodservice
|
3/31/2019
|
US
|
B3
|
B
|
3.5000%
|
US LBM
|
8/19/2022
|
US
|
B3
|
B+
|
5.2500%
|
Utility Services
|
10/18/2019
|
US
|
B3
|
B
|
5.7500%
|
Valeant
|
4/2/2022
|
Canada
|
Ba3
|
B+
|
3.2500%
|
Walter Investment
|
12/16/2020
|
US
|
B2
|
B+
|
3.7500%
|
Waste Industries
|
2/23/2020
|
US
|
B1
|
BB-
|
3.2500%
|
Weather Channel
|
2/11/2020
|
US
|
B2
|
B
|
5.0000%
|
West Corp.
|
6/30/2018
|
US
|
B1
|
BB-
|
2.5000%
|
Wheelabrator
|
12/17/2021
|
US
|
Ba2
|
BB-
|
4.0000%
|
Wheelabrator
|
12/17/2021
|
US
|
Ba2
|
BB-
|
4.0000%
|
WR Grace
|
2/3/2021
|
US
|
Ba2
|
BB+
|
2.0000%
|
XPO Logistics
|
10/28/2021
|
US
|
B1
|
B
|
4.5000%
|
Zebra Technologies
|
10/27/2021
|
US
|
Ba3
|
BB-
|
4.0000%
|
A
|
A
|
A
|
B
|
B
|
A
|
|
1.
|
For the purpose of comparing the Characteristic "Issuer," the Collateral Manager, on behalf of the Issuer, instructed us to use either the obligor, the parent company of the obligor or the co-borrower of the obligor.
|
|
2.
3.
|
For the purpose of comparing the Characteristic “Stated Maturity,” the Collateral Manager, on behalf of the Issuer, indicated the Collateral Obligation identified as “LINXENS” on the Pricing Date Data File, has not been extended.
For the purpose of deriving the S&P Rating Derived Characteristic, the Collateral Administrator, on behalf of the Issuer, indicated that if the S&P issuer credit rating is not available, the S&P issuer credit rating of the parent company or guarantor of such issuer is to be used instead.
|
9'1:EF.*JUGUY>6"]-;O\3SJW&&)FKT8
MH\@T7]G34+QW6ZU"VM6'3RAYI_7&*Z"P_9ML8(HQ/J%[-(K99E;9N]L<\5Z%
M:1A'X;_QW%6*_5/#GPE\*>$?AQKWB]E;4+B?X@Z<)
M]-AMF5I3' AD22:1FA\S=!YFP6KDH5W/& >\?"O]JWX>_&KQ=-H?A?QGX5US
M5H8+BZ^P6>JPR7Q@@N?LTEQ]GR)?(\TJJS!3&Y8%6*M&S^=?\%//CMJW[/W[
M-2:MH_V1;J[U:&U>6X:4+!&L4UP7_=LI./('RG
QO?$^FW6CW>I:W
M):&%+66,R7(,4D?V>;$,+,6N$EQ' 2YV"1CY#_P3;_:IM?!.M_'#Q)XZ\:V^
MMS--I<[RMJ(7^U9C#>B)K.VENUP9X+9%B2/3[3S3"45IC!)%9I^V'_P4=B^.
M7PBTN+P[X7U70[&37[6ZT_6-6U6*SMS/!