[_] |
Rule 15Ga-1 under the Exchange Act (17 CFR 240.15Ga-1) for the reporting period _________ to __________.
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(Name and telephone number, including area code,
of the person to contact in connection with this filing) |
Elm 2020-4 Trust
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(Exact name of issuing entity as specified in its charter)
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Barry Spatzer – (301) 263-7982
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(Name and telephone number, including area code,
of the person to contact in connection with this filing) |
Date: October 8, 2020
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MidCap Financial Trust
(Originator)
By: MidCap Financial Holdings Trust,
its Principal Trustee By: MidCap FinCo Designated Activity Company,
its Principal Trustee By: /s/ Brian J. Goggin
Name: Brian J. Goggin
Title: Director
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Exhibit Number |
Description
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Exhibit 99.1 |
Report of Independent Accountants on Applying Agreed-Upon Procedures, dated October 8, 2020, of Ernst & Young LLP.
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Elm 2020-4 Trust Series 2020-4 Senior Secured Revolving Floating Rate Senior Advances, Series 2020-4 Senior Secured Fixed Rate Senior Notes and Series 2020-4 Fixed Rate Subordinated Notes Loan Agreed-Upon Procedures Report To: MidCap Financial Trust Elm 2020-4 Trust 8 October 2020 |
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Ernst & Young LLP Tel: +1 212 773 3000
5 Times Square Tel: +1 212 773 6350 New York, NY 10036-6530 ey.com |
Re: |
Elm 2020-4 Trust (the “Issuer”)
Series 2020-4 Senior Secured Revolving Floating Rate Senior Advances (the “Advances”),
Series 2020-4 Senior Secured Fixed Rate Senior Notes and Series 2020-4 Fixed Rate
Subordinated Notes (collectively, the “Notes,” together with the Advances, the “Debt”)
Loan Agreed-Upon Procedures
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Page 2 of 4
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a.
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An electronic data file and the corresponding record layout and decode information, as applicable (the “Preliminary Data File”), that the Originator, on behalf of the Issuer, indicated contains information relating to the Loans as of
15 September 2020 (the “Statistical Calculation Date”),
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b.
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An electronic data file labeled “(key) ELM-4 - Loan List Calculations - 9.15.20 - Updated 10.6.20.xlsx” and the corresponding record layout and decode information, as applicable (the “Data File,” together with the Preliminary Data
File, the “Provided Data Files”), that the Originator, on behalf of the Issuer, indicated contains information relating to the Loans as of the Statistical Calculation Date,
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c.
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Imaged copies of:
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i.
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The credit and security agreement, amended and restated credit and security agreement, utilisation report, or other related documents (collectively and as applicable, the “Agreement”),
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ii.
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The risk rating report or other related documents (collectively and as applicable, the “Risk Rating Report”),
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iii.
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The credit memo or other related documents (collectively and as applicable, the “Credit Memo”) and
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iv.
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The exit fee letter (the “Exit Fee Letter,” together with the Agreement, Risk Rating Report and Credit Memo, the “Source Documents”),
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d.
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Certain schedules and the corresponding record layout and decode information, as applicable (the “Portfolio Balance Schedules”), that the Originator, on behalf of the Issuer, indicated contains information relating to the:
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i.
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Funded balance,
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ii.
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Internal risk rating,
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iii.
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Total commitment and
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iv.
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Total company debt
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e.
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Certain schedules and the corresponding record layout and decode information, as applicable (the “Interest Rate Schedules”), that the Originator, on behalf of the Issuer, indicated contains information relating to the:
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i.
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Facility type,
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ii.
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Floor,
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iii.
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Spread,
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iv.
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Interest type,
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v.
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Index type,
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vi.
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Day count convention and
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vii.
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Current rate
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Page 3 of 4
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f.
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A schedule and the corresponding record layout and decode information, as applicable (the “Public Loan Schedule”), that the Originator, on behalf of the Issuer, indicated contains information relating to the enterprise value /
appraised value for certain Loans (each, a “Public Loan”),
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g.
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Certain schedules and the corresponding record layout and decode information, as applicable (the “Recalculated Characteristic Support File,” together with the Source Documents, Portfolio Balance Schedules, Interest Rate Schedules and
Public Loan Schedule, the “Sources”) that the Originator, on behalf of the Issuer, indicated contain information, assumptions and methodologies relating to certain Compared Characteristics, as indicated on Exhibit 1 to Attachment A, and
the Recalculated Characteristics (both as defined herein),
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h.
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The list of relevant characteristics (the “Compared Characteristics”) on the Provided Data Files, which is shown on Exhibit 1 to Attachment A,
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i.
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The list of relevant characteristics (the “Recalculated Characteristics”) on the Data File, that the Originator, on behalf of the Issuer, instructed us to recalculate using information, assumptions and methodologies on the Data File
and Recalculated Characteristic Support File, as described in Items 4. through 7. in Attachment A,
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j.
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The list of relevant characteristics (the “Provided Characteristics”) on the Provided Data Files, which is shown on Exhibit 2 to Attachment A, on which the Originator, on behalf of the Issuer, instructed us to perform no procedures,
and
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k.
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Instructions, assumptions and methodologies, which are described in Attachment A.
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Page 4 of 4
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a.
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Satisfying any criteria for due diligence published by a nationally recognized statistical rating organization (a “rating agency”) or
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b.
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Making any findings with respect to:
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i.
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Whether the origination of the Loans conformed to, or deviated from, stated underwriting or credit extension guidelines, standards, criteria, or other requirements,
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ii.
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The value of the collateral securing the Loans,
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iii.
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Whether the originator(s) of the Loans complied with federal, state or local laws or regulations or
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iv.
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Any other factor or characteristic of the Loans that would be material to the likelihood that the issuer of the Debt will pay interest and principal in accordance with applicable terms and conditions.
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Attachment A
Page 1 of 2
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1.
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For each Loan on the Preliminary Data File, we compared the Compared Characteristics listed on Exhibit 1 to Attachment A, as shown on the Preliminary Data File, to the corresponding information located on, or to the corresponding
information we recalculated using information located on, the Sources, subject to the instructions, assumptions and methodologies provided by the Originator, on behalf of the Issuer, that are described in the notes to Exhibit 1 to
Attachment A and the succeeding paragraph(s) of this Item.
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2.
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As instructed by the Originator, on behalf of the Issuer, we adjusted the information on the Preliminary Data File to correct all the differences we noted in performing the procedures described in Item 1. and provided a list of such
differences to the Originator. The Preliminary Data File, as adjusted, is hereinafter referred to as the “Updated Preliminary Data File.”
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3.
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For each Loan on the Updated Preliminary Data File and Data File, we compared each Compared Characteristic on Exhibit 1 of Attachment A, all as shown on the Updated Preliminary Data File, to the corresponding information on the Data
File. All such compared information was in agreement.
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4.
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For each Loan on the Data File, using the:
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a.
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Total global commitment to borrower and
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b.
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Proposed Elm 4 Balance,
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Attachment A
Page 2 of 2
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5.
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For each Loan on the Data File, using the:
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a.
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Total company debt, as shown on the Data File,
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b.
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Enterprise value / appraised value, as shown on the Data File,
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c.
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Applicable information, assumptions and methodologies described on the Recalculated Characteristic Support File and
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d.
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Additional instruction(s) provided by the Originator, on behalf of the Issuer, described in the succeeding paragraph(s) of this Item,
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6.
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For each Loan on the Data File, using the:
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a.
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Total global commitment to borrower, as shown on the Data File,
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b.
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Applicable information, assumptions and methodologies described on the Recalculated Characteristic Support File and
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c.
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Additional instruction(s) provided by the Originator, on behalf of the Issuer, described in the succeeding paragraph(s) of this Item,
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7.
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For each Loan on the Data File, using the:
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a.
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Remaining term (months) and
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b.
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Seasoning (months),
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Compared Characteristic
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Preliminary
Data File Field Name
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Source(s)
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Note(s)
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Company name
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Company Name
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Agreement
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i., ii.
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Product type
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Product Type
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Risk Rating Report or Credit Memo
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iii.
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Facility type
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Facilty Type
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Agreement or Interest Rate Schedules
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iv.
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Industry
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Industry
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Risk Rating Report or Credit Memo
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v.
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Funded balance
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MidCap’s Funded Balance
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Portfolio Balance Schedules and recalculation
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vi.
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Closing date
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Closing Date
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Agreement
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vii.
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Current legal maturity date
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Current Legal Maturity Date
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Agreement and recalculation, if applicable
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viii.
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Remaining term (months)
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Remaining Term (months)
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Agreement and recalculation
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ix.
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Seasoning (months)
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Seasoning (months)
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Agreement and recalculation
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x.
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Floor
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Floor
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Interest Rate Schedules
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xi.
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Spread
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Spread
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Interest Rate Schedules
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xii.
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State
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State
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Risk Rating Report, Agreement or Credit Memo
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Internal risk rating
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Internal Risk Rating
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Portfolio Balance Schedules
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xiii.
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Investment stage
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Investment stage: public or private (if private - Series A, B, etc.) - Life Sciences Only
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Risk Rating Report or Credit Memo
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xiv.
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Amortization date
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Amortization Date 1
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Agreement and recalculation, if applicable
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xv.
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Amortization type
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Amort Type
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Agreement
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xvi.
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Interest type
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Interest type (Fixed / floating)
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Interest Rate Schedules
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xvii.
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Index type
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Index type
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Interest Rate Schedules or Agreement
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xviii.
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Day count convention
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Day count convention (30/360 or actual/365)
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Interest Rate Schedules
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xix.
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Payment frequency
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Payment frequency
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Agreement
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Compared Characteristic |
Preliminary
Data File Field Name
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Source(s)
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Note(s)
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Current rate
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Current Rate
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Interest Rate Schedules
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xx.
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Exit fees
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Exit Fees
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Exit Fee Letter, Agreement, Recalculated Characteristic Support File and recalculation
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xxi.
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Enterprise value / appraised value
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Enterprise Value / Appraised Value
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(a) Risk Rating Report or
(b) Public Loan Schedule, Recalculated Characteristic Support File and recalculation
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xxii.
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Total commitment
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MidCap’s Total Commitment
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Portfolio Balance Schedules and recalculation
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xxiii.
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Total company debt
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Total Company Debt through MidCap lien position
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Portfolio Balance Schedules, Recalculated Characteristic Support File and recalculation
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xxiv.
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i.
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For identification purposes.
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ii.
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For the purpose of comparing the company name Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to ignore differences due to abbreviations, truncations or spelling errors.
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iii.
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For the purpose of comparing the product type Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to note agreement if the product type value, as shown on the Preliminary Data File, agreed with
the corresponding product type value, as shown in the Risk Rating Report or Credit Memo, as applicable, in accordance with the decode table that is shown below:
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Preliminary Data File Value
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Source Value
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Life Sciences
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Medical Devices & Equipment, Research Tools, Specialty Pharma, BioPharma, Biotech, Healthcare IT or Medical Diagnostics
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Technology
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Technology – Hardware, Technology – Software, Medical Equipment and Device Manufacturing or Underlying Technology
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iv.
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For the purpose of comparing the facility type Compared Characteristic for each applicable Loan to the Interest Rate Schedules, the Originator, on behalf of the Issuer, instructed us to use the facility description, as shown on the
Interest Rate Schedules.
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v.
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For the purpose of comparing the industry Compared Characteristic for each Loan (except for Loan Number 4), the Originator, on behalf of the Issuer, instructed us to use the Risk Rating Report as the Source.
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vi.
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For the purpose of comparing the funded balance Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to recalculate the funded balance as the sum of each Current GL Principal Balance for such
Loan, all as shown on the Portfolio Balance Schedules.
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vii.
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For the purpose of comparing the closing date Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to note agreement if the closing date, as shown on the Preliminary Data File, agreed to at
least one closing date, as shown in the Agreement. We performed no procedures to reconcile any differences that may exist relating to the information shown in the Agreement.
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viii.
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For the purpose of comparing the current legal maturity date Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to note agreement if the current legal maturity date, as shown on the
Preliminary Data File, agreed to at least one current legal maturity date, as shown in the Agreement, subject to the additional instruction(s) described in the succeeding paragraph(s) of this note. We performed no procedures to reconcile
any differences that may exist relating to the information shown in the Agreement.
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ix.
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For the purpose of comparing the remaining term (months) Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to recalculate the remaining term (months) by:
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a.
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Calculating the number of days between the:
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(1)
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Statistical Calculation Date and
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(2)
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Current legal maturity date, as shown in the Agreement (in accordance with any other applicable note(s)),
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b.
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Dividing the result obtained above by 365,
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c.
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Multiplying the result obtained above by 12 and
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d.
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Rounding the result obtained above to the nearest integer.
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x.
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For the purpose of comparing the seasoning (months) Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to recalculate the seasoning (months) by:
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a.
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Calculating the number of days between the:
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(1)
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Closing date, as shown in the Agreement (in accordance with any other applicable note(s)), and
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(2)
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Statistical Calculation Date,
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b.
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Dividing the result obtained above by 365,
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c.
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Multiplying the result obtained above by 12 and
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d.
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Rounding the result obtained above to the nearest integer.
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xi.
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For the purpose of comparing the floor Compared Characteristic for each Loan (except for the Fixed Rate Loans (as defined in the succeeding paragraph(s) of this note)), the Originator, on behalf of the Issuer, instructed us to use the
LIBOR/PRIME Floor, as shown on the Interest Rate Schedules, rounded to the fourth decimal place (XX.XX%).
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xii.
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For the purpose of comparing the spread Compared Characteristic for each Loan (except for the Fixed Rate Loans), the Originator, on behalf of the Issuer, instructed us to use the Accrual Spread Rate (wavg), as shown on the Interest
Rate Schedules.
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xiii.
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For the purpose of comparing the internal risk rating Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to use the Risk Rating, as shown on the Portfolio Balance Schedules.
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xiv.
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For the purpose of comparing the investment stage Compared Characteristic for each Loan (except for the Public Loans and Loan Number 27) the Originator, on behalf of the Issuer, instructed us to use the Risk Rating Report as the
Source.
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xv.
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For the purpose of comparing the amortization date Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to:
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a.
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Use the earliest amortization date, as shown in the Agreement, if the Agreement contained more than one amortization date, and
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b.
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Recalculate the amortization date using the information, assumption and methodologies described in the Agreement, if the amortization date was not specifically stated in the Agreement,
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a.
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Assume the “Interest Only Extension” has not occurred, as described in the Agreement, for Loan Number 17 and
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b.
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Assume the “Initial IO Extension Condition” has occurred, as described in the Agreement, for Loan Number 19.
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xvi.
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For the purpose of comparing the amortization type Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to:
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a.
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Note agreement with an amortization type value of “N/A,” as shown on the Preliminary Data File, if such Loan has a 100% balloon payment, which we determined using the information, assumption and methodologies described in the
Agreement, and
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b.
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Note agreement with an amortization type value of “Straight Line,” as shown on the Preliminary Data File, if such Loan does not have a 100% balloon payment, which we determined using the information, assumption and methodologies
described in the Agreement.
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xvii.
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For the purpose of comparing the interest type Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to note agreement if the interest type value, as shown on the Preliminary Data File, agreed
with the corresponding Interest Rate Type Desc, as shown on the Interest Rate Schedules, and in accordance with the decode table shown below:
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Preliminary Data File Value
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Source Value
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Fixed
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Fixed Rate Loan
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Floating
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LIBOR Rate Loan or Prime Rate Loan
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xviii.
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For the purpose of comparing the index type Compared Characteristic for each Loan (except for the Fixed Rate Loans and Loan Number 20), the Originator, on behalf of the Issuer, instructed us to use the Rate Index Code, as shown on the
Interest Rate Schedules.
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xix.
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For the purpose of comparing the day count convention Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to use the Year Basis Description, as shown on the Interest Rate Schedules.
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xx.
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For the purpose of comparing the current rate Compared Characteristic for each Loan (except for the Fixed Rate Loans), the Originator, on behalf of the Issuer, instructed us to use the Accruing Rate (wavg), as shown on the Interest
Rate Schedules.
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xxi.
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For the purpose of comparing the exit fees Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to:
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a.
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Recalculate the exit fees using information on the Exit Fee Letter and Agreement, subject to the applicable information, assumptions and methodologies described on the Recalculated Characteristic Support File, and
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b.
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Ignore differences of +/- $1.00 or less.
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xxii.
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For the purpose of comparing the enterprise value / appraised value Compared Characteristic for each Loan (except for the Public Loans), the Originator, on behalf of the Issuer, instructed us to use the Risk Rating Report as the
Source, subject to the instruction(s) described in the succeeding paragraph(s) of this note.
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xxiii.
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For the purpose of comparing the total commitment Compared Characteristic for each Loan (except for Loan Numbers 12 and 20), the Originator, on behalf of the Issuer, instructed us to recalculate the total commitment as the sum of each
Total Commitment for such Loan, all as shown on the Portfolio Balance Schedules.
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xxiv.
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For the purpose of comparing the total company debt Compared Characteristic for each Loan, the Originator, on behalf of the Issuer, instructed us to:
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a.
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Recalculate the total company debt using information on the Portfolio Balance Schedules, subject to the applicable information, assumptions and methodologies described on the Recalculated Characteristic Support File, and
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b.
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Ignore differences of +/- $1.00 or less.
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Provided Characteristics
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Total Global Commitment to Borrower
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Global Funded Balance
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% of MidCap’s Funded Balance
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MidCap’s Commitment Available to Borrower
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Original Legal Maturity Date
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Credit Action Date
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Participation (Y/N)
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Exit Fee (%)
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Lien Position
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MidCap’s Undrawn Commitment (Available to Borrower)
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LTM EBITDA
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Total other debt (junior to MidCap’s lien position)
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Bi-Lateral or club deal
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City
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Remaining IO number of periods
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Debt Pari Passu to MidCap’s Loan (but excluding MidCap’s Global Loan)
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Total Debt (including MidCap’s Loan)
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Amortization Date 2
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Amortization Date 3
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Amortization Date 4
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Amortization Date 5
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Balloon amount at maturity (assuming full-drawn commitment)
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Cash Yield
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Administrative Agent
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Remaining Amort number of periods (incl. balloon)
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In IO Period?
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Debt Senior to MidCap’s Loan
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In Portfolio?
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Provided Characteristics
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Balloon %
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Proposed Elm 4 Balance
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I/O since last Credit Action Date
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