DBRS Confirms, Upgrades Ratings on Loans and Notes Issued by Churchill Middle Market CLO IV, Ltd.

DBRS, Inc. (DBRS) confirmed its ratings on the Class A-R Loans and Class A-T Loans issued by Churchill Middle Market CLO IV Ltd. (Churchill) at AA (sf). DBRS also upgraded its ratings on the Class B Loans and Notes, the Class C Loans and Notes and the Class D Loans and Notes (collectively, the Loans and Notes) as follows:

-- Class B Loans and Class B Notes upgraded to A (sf) from A (low) (sf)
-- Class C Loans and Class C Notes upgraded to BBB (sf) from BBB (low) (sf)
-- Class D Loans and Class D Notes upgraded to BB (sf) from BB (low) (sf)

The ratings on the Loans are assigned pursuant to the Credit Agreement dated as of April 19, 2018, among Churchill as Borrower; Natixis, New York Branch (Natixis) as Administrative Agent; The Bank of New York Mellon Trust Company, N.A. (BNYM; rated AA with a Positive trend by DBRS) as Collateral Agent, Collateral Administrator, Information Agent and Custodian; and the Lenders referred to therein. The ratings on the Notes are assigned pursuant to the Note Purchase Agreement dated as of April 19, 2018, among Churchill as Issuer, BNYM as Collateral Agent and Note Agent as well as the Purchasers referred to therein.

The ratings on the Class A-R Loans and Class A-T 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 and Notes, Class C Loans and Notes and Class D Loans and Notes address the ultimate payment of interest (excluding the additional 2% of interest payable at the Post-Default Rate, as defined in the Credit Agreement and the Note Purchase Agreement referred to above) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement and the Note Purchase Agreement referred to above).

The Loans and Notes issued by Churchill will be collateralized primary by a portfolio of U.S. middle-market corporate loans. Churchill will be managed by Nuveen Alternative Advisors, LLC (Nuveen). Additionally, Churchill Asset Management LLC will act as Sub-Advisor for this transaction. DBRS considers Nuveen and Churchill Asset Management LLC to be acceptable collateralized loan obligation managers.

To assess portfolio credit quality, DBRS provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio that is 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 dbrs.com under Methodologies & Criteria.

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.

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 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: Quan Yoon, Assistant Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, Head of U.S. Structured Credit
Initial Rating Date: April 24, 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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