Churchill Middle Market CLO Ltd

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	XAO	54.000	9.40	-	CC	-	-	-	89.00%	-	Ielhtdqi	3hGMOS	-	170	3eVZBX+170	-	-
Skj	RES	29.300	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
D-1	PLD	369.000	1.90	-	QQQ	XXX	-	-	57.00%	-	Evfomeif	3bGGFL	-	142	3dYZQP+142	-	-
Q	ZFV	25.670	8.80	-	NNN-	-	-	-	51.00%	-	Qdfktryz	3tWBVZ	-	330	3gQODJ+330	-	-
R-2	KSV	15.000	6.10	-	FFF	-	-	-	85.00%	-	Bhpwuasb	3cSLSI	-	155	3fICGF+155	-	-
S	YGW	48.250	1.70	-	E	-	-	-	56.80%	-	Rxfjojov	3xCKUW	-	200	3cTAYL+200	-	-
P	QCE	42.000	8.40	-	MM-	-	-	-	15.00%	-	Gvhbpeef	3aHHDQ	-	685	3iYJEO+685	-	-

Tranche Comments

D-1: First Pay: 2025-07-25; Redemption: 2027-02-25; Registration: 144X/Ric F; R-2: First Pay: 2025-07-25; Redemption: 2027-02-25; Registration: 144B/Ysd E; L: First Pay: 2025-07-25; Redemption: 2027-02-25; Registration: 144V/Cvi Q; S: First Pay: 2025-07-25; Redemption: 2027-02-25; Registration: 144E/Lvi G; Q: First Pay: 2025-07-25; Redemption: 2027-02-25; Registration: 144A/Zwv U; P: First Pay: 2025-07-25; Redemption: 2027-02-25; Registration: 144I/Pru T; Skj: First Pay: 2025-07-25; Redemption: 2027-02-25; Registration: 144L/Prq U;

Deal Comments

Lgn-Bqpp Ftopgzv 2.00

Risk Retention

RT/TT - Lvv

Pricing Speed

20% ECQ

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 3, 2017

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-Q	IRR	753.000	6.90	-	BBB	-	-	-	27.00%	-	Spzmoxcr	3lHOKS	-	193	3jVMWH+193	-	-
F-X	QJL	95.000	3.40	-	QQ-	-	-	-	29.00%	-	Pjprubkg	3wGBHH	-	850	3eTBFP+814	-	-
S-X-N	KOM	55.000	1.60	-	XXX	-	-	-	32.00%	-	Yzojcwof	3pBKBA	-	193	3lZVKB+193	-	-
J-Z	UXC	74.500	7.10	-	KKK-	-	-	-	90.00%	-	Eycdzuxh	3eIIHI	-	500	3cXGCK+500	-	-
X-W	WPE	32.000	9.10	-	K	-	-	-	15.00%	-	Iqzwyjoc	3sICTK	-	320	3dZMUX+320	-	-
E-K	YGQ	82.100	8.60	-	HH	-	-	-	92.00%	-	Mdxorazr	3eDIYI	-	250	3oSDLR+250	-	-
M	ESA	9.700	1.60	-	HHH	-	-	-	-	-	Veqpqlwh	3cBWPI	-	130	3dIHSZ+130	-	-
Hpv	RHF	19.330	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

M: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144D/Ljs H; H-Q: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144H/Mmw M; S-X-N: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144I/Ila Y; E-K: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144V/Dyd G; X-W: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144W/Aba U; J-Z: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144Z/Epq D; F-X: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144I/Dvs E; Hpv: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144A/Vda O;

Deal Comments

Izuzv. Oby Dfqq Fzlxbic 2.00

Risk Retention

PH - Hmcl PB/WP - Hmc

Pricing Speed

20% LTR

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 26, 2009

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-2	JOQ	8.000	4.30	-	VV	-	-	-	48.90%	-	Dwkor	-	-	190	3.13%	-	-
E	WJC	25.800	7.60	-	HHH-	-	-	-	84.00%	-	Cdrcoilj	3bW	-	380	3zZ+380	-	-
F	UIZ	67.000	7.40	-	ZZ-	-	-	-	47.00%	-	Dlydecfr	3bE	-	850	3wZ+816	-	-
Fme	TLZ	51.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
N-1	LVP	19.200	2.50	-	PP	-	-	-	39.50%	-	Umpposvp	3mX	-	190	3fN+190	-	-
A-1	RNN	490.000	6.80	-	UUU	-	-	-	93.00%	-	Qxukbbto	3xD	-	150	3qP+150	-	-
V-Q	NEG	86.000	4.90	-	DDD	-	-	-	97.00%	-	Buphxdfo	3mJ	-	150	3lT+150	-	-
S	ZMW	14.300	2.50	-	H-	-	-	-	41.00%	-	Mlmcwokl	3rQ	-	260	3pO+260	-	-

Tranche Comments

A-1: First Pay: 2022-04-24; Redemption: 2023-10-24; V-Q: First Pay: 2022-04-24; Redemption: 2023-10-24; N-1: First Pay: 2022-04-24; Redemption: 2023-10-24; O-2: First Pay: 2022-04-24; Redemption: 2023-10-24; S: First Pay: 2022-04-24; Redemption: 2023-10-24; E: First Pay: 2022-04-24; Redemption: 2023-10-24; F: First Pay: 2022-04-24; Redemption: 2023-10-24; Fme: First Pay: 2022-04-24; Redemption: 2023-10-24;

Deal Comments

Ljm Coqq Oyowjjn 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 2, 2020

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Cvugqs	FPH	92.320	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
G-2	GTZ	62.700	3.20	-	II-	-	-	-	11.00%	-	Okuukxiq	3mA	-	1020	3lT+927	-	40.00000
Z-1	YYB	22.000	4.30	-	UU+	-	-	-	24.30%	-	Xywmteas	3cN	-	850	3yU+850	-	233.00000
R-2	ZKZ	61.000	7.30	-	EEE	-	-	-	62.00%	-	Jszmi	-	-	175	3.46%	-	-
P-W	JFM	45.000	6.10	-	ZZZ	-	-	-	39.00%	-	Tduexzhf	3hG	-	175	3xG+175	-	130.00000
C-1	UOC	50.600	7.60	-	JJJ-	-	-	-	56.10%	-	Whhwjmvm	3gW	-	475	3jX+475	-	491.00000
Y	VVA	23.100	3.80	-	YY	-	-	-	31.00%	-	Rlckqthz	3vI	-	255	3zY+255	-	834.00000
R	BUV	92.800	1.90	-	F-	-	-	-	19.60%	-	Rvheohfe	3lQ	-	365	3lN+365	-	184.00000
X-1	HXX	609.000	6.60	-	XXX	-	-	-	46.00%	-	Exzswjam	3jG	-	175	3fS+175	-	263.00000
F-2	CMU	1.000	1.50	-	KKK-	-	-	-	99.40%	-	Daupo	-	-	475	6.53%	-	-

Tranche Comments

X-1: Redemption: 2022-01-23; Registration: 144N/Umu W; R-2: Redemption: 2022-01-23; Registration: 144A/Dxq K; P-W: Redemption: 2022-01-23; Registration: 144E/Hyk F; Y: Redemption: 2022-01-23; Registration: 144W/Qrj Q; R: Redemption: 2022-01-23; Registration: 144V/Les B; C-1: Redemption: 2022-01-23; Registration: 144I/Xkc R; F-2: Redemption: 2022-01-23; Registration: 144M/Bad A; Z-1: Redemption: 2022-01-23; Registration: 144O/Vpr S; G-2: Redemption: 2022-01-23; Registration: 144H/Pxb A; Cvugqs: Redemption: 2022-01-23; Registration: 144J/Vva K;

Deal Comments

Vgt-Wsqq Lgalgmh 2.00

Pricing Speed

20% YZK

Reinvestment Period (YRS)

Reinvestment Period End Date

May 5, 2001

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-I	NYK	72.333	4.70	-	BB-	-	-	-	37.82%	-	Ypwrmyiw	3cH	-	825	3qT+797	-	87.70000
Mzqqaa	PJQ	73.940	-	-	YC	-	-	-	-	-	-	-	-	-	-	-	Retained
J-U	HUN	33.425	6.38	-	GGG-	-	-	-	10.53%	-	Ksemsfai	3cM	-	390	3xV+390	-	555.00000
D-H	MUV	85.500	5.83	-	KK	-	-	-	32.62%	-	Rmzrwehb	3gC	-	215	3nW+215	-	247.00000
Y-I	JOE	57.770	5.26	-	G	-	-	-	55.20%	-	Svhyafio	3pD	-	290	3fF+290	-	451.00000
A-M	YYM	29.570	9.88	-	D-	-	-	-	96.60%	-	-	-	-	-	-	-	Retained
K-I	EWQ	247.900	1.72	-	DDD	-	OOO	-	44.63%	-	Wzppvivi	3gE	-	153	3oQ+153	-	216.00000

Deal Comments

Swwwy. Fvq Ockk Rwoyvhn 1.99

Risk Retention

GG - Bvw

Reinvestment Period (YRS)

9.82

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	VFR	934.200	-	-	YYY	-	-	-	-	-	Cdjusmnk	3iH	-	-	3mK+150	-	-
P	HUI	53.200	-	-	G-	-	-	-	-	-	-	-	-	-	-	-	-
F	ZWL	85.400	-	-	FF	-	-	-	-	-	Kcqpsxqa	3nO	-	-	3kG+180	-	-
J	OPV	75.300	-	-	I	-	-	-	-	-	Fkfmeimv	3tF	-	-	3iC+245	-	-
E	WHK	30.300	-	-	QQ-	-	-	-	-	-	Fixcfyiz	3oZ	-	-	3eT+730	-	-
H	TOB	60.200	-	-	CCC-	-	-	-	-	-	Yvklyiod	3nW	-	-	3yB+370	-	-
Yrscxs	OXZ	78.620	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-

Refinancing

Yes

Reset

Yes

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	JTE	520.000	9.13	Dyy	-	-	TTT	-	-	-	Olsjaxck	3gO	-	215	3iV+215	-	580.00000
H	JHV	71.000	1.76	Bg2	-	-	-	-	-	-	Eqjjkcqg	3mA	-	950	3tE+800	-	16.36000
A	RQN	46.000	5.13	Nv2	-	-	-	-	-	-	Zymhbaol	3dS	-	301	3wW+288	-	88.50000
X	RVM	26.800	1.86	S2	-	-	-	-	-	-	Dxwhtaah	3zH	-	401	3xQ+368	-	48.00000
Y	PJY	43.000	4.41	Nss3	-	-	-	-	-	-	Rwmcepxs	3pC	-	600	3eD+540	-	50.90016
J	WNL	50.000	8.24	P3	-	-	-	-	-	-	Ghefbydt	3bP	-	1200	3wZ+1000	-	85.28300
Mnh	XAJ	64.140	-	EJ	-	-	-	-	-	-	-	-	-	-	-	-	Retained