DBRS Assigns Ratings to Loans and Notes Issued by Churchill Middle Market CLO IV Ltd.

DBRS, Inc. (DBRS) assigned the following ratings to the Class A-R Loans, the Class A-T Loans, the Class B Loans and Notes, the Class C Loans and Notes, and the Class D Loans and Notes (collectively, the Loans and Notes) issued by Churchill Middle Market CLO IV Ltd.:

-- Class A-R Loans rated AA (sf)
-- Class A-T Loans rated AA (sf)
-- Class B Loans and Class B Notes rated A (low) (sf)
-- Class C Loans and Class C Notes rated BBB (low) (sf)
-- Class D Loans and Class D Notes rated BB (low) (sf)

The ratings on the Loans are being assigned pursuant to the Credit Agreement dated as of April 19, 2018, among Churchill Middle Market CLO IV Ltd. as Borrower; Natixis, New York Branch (Natixis) as Administrative Agent; The Bank of New York Mellon Trust Company, National Association (BNYM) as Collateral Agent, Collateral Administrator, Information Agent and Custodian; and the Lenders referred to therein. The ratings on the Notes are being assigned pursuant to the Note Purchase Agreement, dated as of April 19, 2018, among Churchill Middle Market CLO IV Ltd. as Issuer, BNYM as Collateral Agent and Note Agent, and 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 Middle Market CLO IV Ltd. will be collateralized primary by a portfolio of U.S. middle-market corporate loans. Churchill Middle Market CLO IV Ltd. will be managed by Nuveen Alternative Advisors LLC. Additionally, Churchill Asset Management LLC will act as Sub-Advisor for this transaction.

The rating reflects the following:

(1) The Credit Agreement dated April 19, 2018.

(2) The Note Purchase Agreement dated as of April 19, 2018.

(3) The integrity of the transaction structure.

(4) DBRS’s assessment of the portfolio quality.

(5) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.

(6) DBRS’s assessment of the origination, servicing and collateralized loan obligation management capabilities of Nuveen Alternative Advisors LLC 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 dbrs.com under Methodologies.

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.

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