DBRS Assigns Provisional Rating to Class A Notes Issued by TIAA Churchill Middle Market CLO II Ltd. and TIAA Churchill Middle Market CLO II LLC

DBRS, Inc. (DBRS) assigned the following provisional rating to the Class A Senior Secured Floating Rate Notes (the Class A Notes) issued by TIAA Churchill Middle Market CLO II Ltd. and TIAA Churchill Middle Market CLO II LLC pursuant to the Indenture dated as of December [6], 2017, among TIAA Churchill Middle Market CLO II Ltd., as Issuer; TIAA Churchill Middle Market CLO II LLC, as Co-Issuer; and The Bank of New York Mellon Trust Company, National Association, as Trustee:

-- Class A Notes at AAA (sf)

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

The Notes issued by TIAA Churchill Middle Market CLO II Ltd. will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. TIAA Churchill Middle Market CLO I, Ltd. and TIAA Churchill Middle Market CLO II LLC will be managed by Nuveen Alternatives Advisors LLC. Additionally, Churchill Asset Management LLC will act as Sub-Advisor for this transaction.

The provisional rating reflects the following:

(1) The draft Indenture dated December [6], 2017.
(2) The integrity of the transaction structure.
(3) DBRS’s assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.
(5) DBRS’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 provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio, not rated by DBRS. 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 related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

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

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