EX-99.1 2 d60512dex991.htm EX-99.1 EX-99.1

Exhibit 99.1

Gage Park LLC

Report to:

Gage Park LLC

29 October 2020

 

 

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Ernst & Young LLP

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New York, NY 10036-6530

   

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Report of Independent Accountants

on Applying Agreed-Upon Procedures

Gage Park LLC

c/o Puglisi & Associates

850 Library Avenue, Suite 204

Newark, New Castle County

Delaware 19711

Re: Gage Park LLC

We have performed the procedures enumerated in Attachment A, which were agreed to by the addressee of this report and Security Benefit Life Insurance Company (“SBLIC” and, together, the “Specified Parties”), solely to assist the Specified Parties in evaluating the accuracy of certain information with respect to Gage Park LLC’s (the “Issuer”) portfolio of senior secured loans, senior secured bonds, senior unsecured notes, mezzanine loans and second lien loans (the “Collateral Obligations”) on an electronic data file and related decodes prepared by Alter Domus (US) LLC (the “Servicer”) pursuant to an indenture to be entered into between the Issuer and U.S. Bank National Association (the “Trustee”), a draft copy of which we received from SBLIC dated 22 October 2020 (the “Draft Indenture”) and a final copy of which to be dated as of the Issuer’s planned closing date of 10 November 2020 (the “Closing Date”). This agreed-upon procedures engagement was conducted in accordance with attestation standards established by the American Institute of Certified Public Accountants. The sufficiency of the procedures is solely the responsibility of the Specified Parties. Consequently, we make no representation regarding the sufficiency of the procedures described in Attachment A, either for the purpose for which this report has been requested or for any other purpose.

Capitalized terms used but not defined herein shall have the meanings ascribed to them in the Draft Indenture.

The procedures performed and our associated findings are included in Attachment A.

For the purpose of the procedures described in this report, the Servicer, on behalf of the Issuer, provided us with the following information:

 

a.

An electronic data file labeled as “Gage Park_vADv8” and related decodes (the “Data File”) that contains information on the Collateral Obligations as of 28 October 2020 (the “Pricing Cut-off Date”),

 

b.

A copy of the Draft Indenture,

 

c.

Copies of certain Collateral Obligations’ preliminary or final credit agreements and amendments or supplements thereto (each, a “Credit Agreement”),

 

d.

Copies of certain Collateral Obligations’ private rating letters from KBRA, which contained corresponding KBRA Credit Assessments (each, a “KBRA Rating Document”) and

 

e.

Copies of certain Collateral Obligations’ rate set notices (each, a “Rate Set Notice”).

For the purpose of the procedures described in this report, SBLIC, on behalf of the Issuer, provided us with instructions, assumptions and methodologies (the “Assumptions”), which are shown on the attached Exhibit 1 to Attachment A.

The information provided by the Servicer and SBLIC, each on behalf of the Issuer, are collectively referred to herein as the “Source Documents”.

 

A member firm of Ernst & Young Global Limited

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The procedures in Attachment A were limited to comparing certain information that is further described in Attachment A. We performed no procedures on any other information on the Pricing Date Data File (as defined on Attachment A). The Issuer is responsible for the information contained in the Pricing Date Data File (as defined on Attachment A), Source Documents, Exhibit 1 to Attachment A and the determination of the instructions, assumptions and methodologies that are described herein. We were not requested to perform, and we have not performed, any further procedures than those listed in Attachment A with respect to the preparation or verification of any of the information set forth on the Pricing Date Data File (as defined on Attachment A). We have not verified and we make no representations as to the accuracy, completeness or reasonableness of the Source Documents, or any other information obtained or provided to us. We make no representations and express no opinion or conclusion as to: (a) the existence of the Collateral Obligations, (b) questions of legal or tax interpretation, (c) the sufficiency of the requirements of the Draft Indenture, (d) the accuracy, completeness or reasonableness of the assumptions and methodologies set forth in the Draft Indenture, (e) the accuracy, completeness or reasonableness of the information provided to us by the Servicer, on behalf of the Issuer, (f) the accuracy, completeness or reasonableness of the information provided to us by SBLIC, on behalf of the Issuer, (g) the accuracy of the information obtained from third party data, news and analytics vendors (the “Data Vendors”), (h) the accuracy of the information obtained from S&P Global Inc. or their website (“S&P”), (i) the accuracy of the information obtained from Moody’s Investors Service, Inc. or their website (“Moody’s”), (j) the accuracy of the information obtained from Fitch Ratings, Inc. or their website (“Fitch”) or (k) the accuracy of the information obtained from Kroll Bond Rating Agency, LLC or their website (“KBRA”). This report does not constitute a legal determination as to the Issuer’s compliance with the Draft Indenture’s specified requirements. We undertake no responsibility to update this report for events and circumstances occurring after the date hereof.

We were not engaged to, and did not, conduct an examination to express an opinion or a review to express a conclusion in accordance with attestation standards established by the American Institute of Certified Public Accountants, on any of the items referred to herein. Accordingly, we do not express such an opinion or conclusion. Had we performed additional procedures, other matters might have come to our attention that would have been reported to you.

This agreed-upon procedures engagement was not conducted for the purpose of:

 

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.

 

A member firm of Ernst & Young Global Limited

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This report is intended solely for the use of the Specified Parties and is not intended to be, and should not be, used by anyone other than these Specified Parties. It is not intended to be, and should not be, used by any other person or entity, including investors and credit rating agencies, who are not identified in this report as Specified Parties.

/s/ Ernst & Young LLP

29 October 2020

 

A member firm of Ernst & Young Global Limited

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Attachment A

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Background

For the purpose of the procedures described in this Attachment A, the Draft Indenture relates to Issuer’s Class A Senior Secured Notes (the “Class A Notes”), Class A-R Senior Secured Notes (the “Class A-R Notes”), Class B Senior Secured Notes (the “Class B Notes”), Class C Secured Deferrable Notes (the “Class C Notes”), Class D Secured Deferrable Notes (the “Class D Notes”), Class E Secured Deferrable Notes (the “Class E Notes”) and Class F Secured Deferrable Notes (the “Class F Notes” and, collectively with the Class A Notes, the Class A-R Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes, the “Secured Notes”) and Subordinated Notes (the “Subordinated Notes”, and together with the Secured Notes, the “Notes”).

SBLIC, on behalf of the Issuer, indicated that the Collateral Obligations on the Pricing Date Data File (as defined herein) represent the Collateral Obligations that the Issuer is expected to own or acquire by the Closing Date. Furthermore, SBLIC, on behalf of the Issuer, indicated that the Collateral Obligations ultimately owned or acquired on the Closing Date may not include all the Collateral Obligations listed on the Pricing Date Data File (as defined herein) and may include other Collateral Obligations acquired after the Pricing Cut-off Date (as defined herein). The procedures we performed were limited to comparing certain information on the Collateral Obligations on the Pricing Date Data File (as defined herein).

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Attachment A

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Procedures we performed and our associated findings

The procedures we performed and our associated findings were as follows:

 

1.

We obtained from the Servicer, on behalf of the Issuer, the Data File 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 the Data File, to the corresponding information on the Source Documents, Data Sources (as defined herein) and Additional Data Sources (as defined herein) as indicated below and the Servicer adjusted the information on the Data File to correct for differences we noted in performing the procedures described below, subject to any qualifications and exceptions stated in the Assumptions on Exhibit 1 to Attachment A. The Data File, as so adjusted, is herein referred to as the “Pricing Date Data File.”

2. For each Collateral Obligation included in the Pricing Date Data File, we compared the following characteristics (the “Characteristics”) listed in the table below and as shown on the Pricing Date Data File with the corresponding information we obtained or derived on or after the Pricing Cut-off Date using certain Assumptions on Exhibit 1 to Attachment A and the following data sources (each, a “Data Source”), as applicable: (a) Data Vendors, (b) Credit Agreements, (c) Rate Set Notices and (d) Moody’s. Where more than one Data Source is listed for a Characteristic, the Issuer instructed us to note agreement if the value on the Pricing Date Data File 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
(labeled as “Issuer” on the Pricing Date Data File)

    Data Vendors, Moody’s, Credit Agreements

Coupon/Spread
(labeled as “Stated Spread/ Rate” for the funded commitment portion, if any, of Collateral Obligations and “Unfunded Coupon” for the unfunded commitment portion of Collateral Obligations, as applicable on the Pricing Date Data File)

    Data Vendors, Moody’s, Credit Agreements, Rate Set Notices

Stated Maturity
(labeled as “Maturity” on the Pricing Date Data File)

    Data Vendors, Credit Agreements

All Characteristics were in agreement. In performing this procedure, we were instructed by the Issuer to ignore differences that appeared to be due to abbreviation, truncation or punctuation or differences that are within (i) +/- 0.01% or less or (ii) +/- 30 days or less.

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Attachment A

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3.

For each Collateral Obligation included in the Pricing Date Data File, we compared the following characteristics (the “Derived Characteristics”) listed in the table below and as shown on the Pricing Date Data File, with the corresponding information we obtained or derived on or after the Pricing Cut-off Date using the Draft Indenture, certain Assumptions on Exhibit 1 to Attachment A, information on the Pricing Date Data File and the following data sources (each, an “Additional Data Source”), as applicable: (a) Moody’s, (b) S&P, (c) Fitch and (d) KBRA Rating Documents. Where more than one Additional Data Source is listed for a Derived Characteristic, the Issuer instructed us to note agreement if the value on the Pricing Date Data File for the Derived Characteristic agreed with the corresponding information on at least one of the Additional Data Sources that are listed for such Derived Characteristic. 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 CFR Derived Rating” on the Pricing Date Data File)

    Moody’s

S&P Rating
(labeled as “S&P ICR” on the Pricing Date Data File)

    S&P

Fitch Rating
(labeled as “Fitch Derived Rating” on the Pricing Date Data File)

    Fitch, Moody’s, S&P

KBRA Rating
(labeled as “KBRA Derived” on the Pricing Date Data File)

    Fitch, Moody’s, S&P, KBRA Rating Documents

All Derived Characteristics were in agreement.

We performed no other procedures on any other information on the Pricing Date Data File.

Exhibit 1 to Attachment A

Assumptions

(refer to Items 1., 2. and 3.)

 

1.

For the purpose of comparing the “Issuer” Characteristic, SBLIC, on behalf of the Issuer, instructed us to use either the obligor, the parent company of the obligor or a co-borrower with the obligor.

 

2.

For the purpose of deriving the “S&P Rating” Derived Characteristic, SBLIC, on behalf of the Issuer, indicated that if the issuer credit rating is not available, the issuer credit rating of a parent is to be used instead.

 

3.

For the purpose of deriving the “Fitch Rating” Derived Characteristic, SBLIC, on behalf of the Issuer, indicated that if the issuer default rating is not available, the issuer default rating of a parent is to be used instead.