DBRS Assigns Provisional Rating to Class A-R Notes to be Issued by TIAA Churchill Middle Market CLO I Ltd. and TIAA Churchill Middle Market CLO I LLC

DBRS, Inc. (DBRS) assigned a provisional rating of AAA (sf) to the Class A-R Senior Secured Floating Rate Notes (the Class A-R Notes) to be issued by TIAA Churchill Middle Market CLO I Ltd. and TIAA Churchill Middle Market CLO I LLC (together, the Co-Issuers) pursuant to the Indenture to be dated 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, National Association (rated AA with a Stable trend by DBRS), as Trustee.

The provisional 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 Notes contemplated to be issued by the Co-Issuers will be 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 provisional rating reflects the following:

(1) The draft Indenture to be dated as of October [22], 2018;
(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; and
(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 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 for this rating action. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.