DBRS Morningstar Assigns Ratings to Class A-R2, Class A-T2, and Class B Loans; Confirms Ratings on Class A-R and Class A-T Loans of Churchill MMSL III Levered Investment, LP

DBRS, Inc. (DBRS Morningstar) assigned the following ratings to the Class A-R2 Loans, Class A-T2 Loans, and Class B Loans issued by Churchill MMSL III Levered Investment, LP:

-- Class A-R2 Loans at AA (sf)
-- Class A-T2 Loans at AA (sf)
-- Class B Loans at A (low) (sf)

In addition, DBRS Morningstar confirmed the following ratings on the Class A-R Loans and the Class A-T Loans:

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

The rating confirmations with respect to the Class A-R Loans and the Class A-T Loans and the rating assignments with respect to the Class A-R2 Loans, Class A-T2 Loans (together with the Class A-R Loans and Class A-T Loans, the Class A Loans), and Class B Loans (together with the Class A Loans, the Loans) are being provided in relation to the execution of the Amendment No. 3 to the Credit Agreement dated as of September 16, 2022, entered into among Churchill MMSL III Levered Investment, LP, as Borrower, acting through its general partner, Churchill MMSL III Levered GP Ltd., as General Partner; the Lenders party thereto; Natixis, New York Branch, as the Administrative Agent; U.S. Bank Trust Company, National Association (as successor in interest to U.S. Bank National Association), as the Collateral Agent, Collateral Administrator, and Information Agent; and U.S. Bank National Association, as the Custodian and Document Custodian, which amends the Credit Agreement dated as of December 4, 2020 (as amended by that certain Amendment No. 1 and Waiver, dated as of May 6, 2021; that certain Amendment No. 2 to the Credit Agreement dated as of December 21, 2021; and the Amendment No. 3 to the Credit Agreement, dated as of September 16, 2022) (the Credit Agreement).

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 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 address the ultimate payment of interest (excluding 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 Loans are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Churchill MMSL III Levered Investment, LP is managed by Nuveen Alternatives Advisors LLC. Additionally, Churchill Asset Management LLC acts 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. 3 to the Credit Agreement dated as of September 16, 2022.
(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 CLO management capabilities of Nuveen Alternatives 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 ratings to a facility.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the Coronavirus Disease (COVID-19) pandemic, please see its May 18, 2020, commentary “CLO Risk Exposure to the Coronavirus Disease (COVID-19)” at https://www.dbrsmorningstar.com/research/361112.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929 (May 17, 2022).

Notes:
The methodologies are Rating CLOs and CDOs of Large Corporate Credit (January 26, 2022) and Cash Flow Assumptions for Corporate Credit Securitizations (January 26, 2022), 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.

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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