DBRS Morningstar Confirms Rating on the Class A-R Notes Issued by TIAA Churchill Middle Market CLO I Ltd.

DBRS, Inc. (DBRS Morningstar) confirmed the rating of AAA (sf) on the Class A-R Senior Secured Floating-Rate Notes (the Class A-R Notes) issued by TIAA Churchill Middle Market CLO I Ltd. and TIAA Churchill Middle Market CLO I LLC (together, the Co-Issuers) pursuant to the First Supplemental Indenture (the Indenture) dated as of October 22, 2018, among TIAA Churchill Middle Market CLO I Ltd., as Issuer; TIAA Churchill Middle Market CLO I LLC, as Co-Issuer; and The Bank of New York Mellon Trust Company, N.A. (rated AA with a Positive trend by DBRS Morningstar), as Trustee.

The rating on the Class A-R Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture referenced above).

The Class A-R Notes issued by the Co-Issuers are collateralized primarily by a portfolio of U.S. middle-market corporate loans and will be managed by Nuveen Alternatives Advisors LLC. Additionally, Churchill Asset Management LLC will act as Sub-Advisor for this transaction. Both the Collateral Manager and the Sub-Advisor are subsidiaries of Teachers Insurance and Annuity Association of America.

The rating reflects the following:

(1) The First Supplemental Indenture dated as of October 22, 2018;
(2) The integrity of the transaction structure;
(3) DBRS Morningstar’s assessment of the portfolio quality;
(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios; and
(5) DBRS Morningstar’s assessment of the origination, servicing and collateralized loan obligation management capabilities of Nuveen Alternatives Advisors LLC, as Collateral Manager, and Churchill Asset Management LLC, as Sub-Advisor.

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 a facility.

Notes:
The principal methodology is Rating CLOs and CDOs of Large Corporate Credit, which can be found on www.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:

This is the first rating action since the Initial Rating Date.

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: Arthur Krivoruk, Financial Analyst, U.S. Structured Credit, Global Structured Finance
Rating Committee Chair: Jerry van Koolbergen, Managing Director, Head of U.S. Structured Credit
Initial Rating Date: October 5, 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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