DBRS Morningstar Confirms Ratings on the Class A Loans and Discontinues the Class B Loans, Class B Notes, Class C Loans, and Class C Notes of Churchill MMSL III Levered Investment, LP

DBRS, Inc. (DBRS Morningstar) confirmed the following ratings on the Class A-R Loans and the Class A-T Loans (the Class A Loans) issued by Churchill MMSL III Levered Investment, LP:

-- Class A-R Loans at AA (sf)
-- Class A-T Loans at AA (sf)

In addition, DBRS Morningstar discontinued the following ratings due to repayment:

-- Class B Loans
-- Class B Notes
-- Class C Loans
-- Class C Notes

The ratings confirmation with respect to the Class A Loans and the discontinuation actions on the Class B Loans, Class B Notes, Class C Loans, and Class D Notes are being provided in relation to the execution of the Amendment No. 2 to the Credit Agreement dated December 21, 2021, entered into between Churchill MMSL III Levered Investment, LP as Borrower, acting through its general partner Churchill MMSL III Levered GP Ltd. and the Lenders.

The ratings on the Class A 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) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement).

The Class A Loans are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Churchill MMSL III Levered Investment, LP will be managed by Nuveen Alternative Advisors LLC. Additionally, Churchill Asset Management LLC will act as Sub-Advisor for this transaction. DBRS Morningstar considers the Collateral Manager and the Sub-Advisor to be acceptable with respect to their duties as they relate to collateralized loan obligation (CLO) management.

The above ratings reflect the following primary considerations:

(1) Amendment No. 2 to the Credit Agreement dated as of December 21, 2021.

(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.

(5) DBRS Morningstar’s assessment of the origination, servicing, and collateralized loan obligation management capabilities of Nuveen Alternative Advisors LLC and Churchill Asset Management LLC.

To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial 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.

The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many CLO transactions. The rating is based on additional analysis to expected performance as a result of the global efforts to contain the spread of the coronavirus.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodology is Rating CLOs and CDOs of Large Corporate Credit (February 8, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

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

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