DBRS Morningstar Confirms Ratings on the Loans and Notes Issued by Churchill Middle Market CLO IV, Ltd.

DBRS, Inc. (DBRS Morningstar) confirmed the following ratings of the Class A-R Loans, the Class A-T Loans, the Class B Loans, the Class B Notes, the Class C Loans, the Class C Notes, the Class D Loans and the Class D Notes (collectively, the Loans and Notes) issued by Churchill Middle Market CLO IV, Ltd. (Churchill):

-- Class A-R Loans rated AA (sf)
-- Class A-T Loans rated AA (sf)
-- Class B Loans rated A (sf)
-- Class B Notes rated A (sf)
-- Class C Loans rated BBB (sf)
-- Class C Notes rated BBB (sf)
-- Class D Loans rated BB (sf)
-- Class D Notes rated BB (sf)

The ratings on the Loans are being confirmed pursuant to the execution of the First Amendment to Credit Agreement (the Amendment), dated as of October 16, 2019 (the Amendment Date), which modifies and amends the Credit Agreement dated as of April 19, 2018, among Churchill as Borrower; Natixis, New York Branch as Administrative Agent; The Bank of New York Mellon Trust Company, N.A. (BNYM; rated AA with a Positive trend by DBRS Morningstar) as Collateral Agent, Collateral Administrator, Information Agent and Custodian; and the Lenders referred to therein.

The ratings on the Notes are being confirmed pursuant to the Note Purchase Agreement dated as of April 19, 2018, among Churchill as Issuer, BNYM as Collateral Agent and Note Agent as well as the Purchasers referred to therein.

The ratings on the Class A-R Loans and Class A-T Loans address the timely payment of interest (excluding any Capped Amounts and the additional 2% of interest payable at the Post-Default Rate, as defined in the Credit Agreement referred to above) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement referred to above). The ratings on the Class B Loans and Notes, Class C Loans and Notes and Class D Loans and Notes address the ultimate payment of interest (excluding the additional 2% of interest payable at the Post-Default Rate, as defined in the Credit Agreement and the Note Purchase Agreement referred to above) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement and the Note Purchase Agreement referred to above).

The Loans and Notes issued by Churchill will be collateralized primary by a portfolio of U.S. middle-market corporate loans. The Churchill portfolio will be managed by Nuveen Alternative Advisors LLC (the Collateral Manager). Additionally, Churchill Asset Management LLC will act as Sub-Advisor to the Collateral Manager for this transaction. DBRS Morningstar considers Nuveen Alternative Advisors LLC to be an acceptable collateralized loan obligation (CLO) manager.

The above rating actions reflect the following primary considerations:

(1) The Credit Agreement dated April 19, 2018, as amended and modified by the First Amendment to Credit Agreement, dated as of October 16, 2019.
(2) The Note Purchase Agreement dated as of April 19, 2018.
(3) The integrity of the transaction structure.
(4) DBRS Morningstar’s assessment of the portfolio quality.
(5) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.
(6) DBRS Morningstar’s assessment of the origination, servicing and collateralized loan obligation management capabilities of Nuveen Alternative Advisors LLC and Churchill Asset Management LLC as Sub-Advisor. DBRS Morningstar considers the Collateral Manager to be an acceptable collateralized loan obligation servicer.

To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio, not rated by DBRS Morningstar. Credit estimates are not ratings; rather they represent a model-driven default probability for each obligor that is used in assigning a rating to the facility.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating CLOs and CDOs of Large Corporate Credit, which can be found on dbrs.com under Methodologies & Criteria.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

This rating is endorsed by DBRS Ratings Limited for use in the European Union. The following additional regulatory disclosures apply to endorsed ratings:

The last rating action on this transaction took place on April 24, 2019, when DBRS Morningstar conducted its annual surveillance of this transaction.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Lead Analyst: Quan Yoon, Assistant Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, U.S. Structured Credit
Initial Rating Date: April 24, 2018

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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