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
X	USD	4.610	2.20	-	AAA	-	-	-	-	-	Floating	3mSOFR	-	130	3mSOFR+130	-	-
A-R	USD	153.000	5.50	-	AAA	-	-	-	42.00%	-	Floating	3mSOFR	-	193	3mSOFR+193	-	-
A-L-R	USD	50.000	5.50	-	AAA	-	-	-	42.00%	-	Floating	3mSOFR	-	193	3mSOFR+193	-	-
B-R	USD	45.500	7.80	-	AA	-	-	-	29.00%	-	Floating	3mSOFR	-	250	3mSOFR+250	-	-
C-R	USD	21.000	8.50	-	A	-	-	-	23.00%	-	Floating	3mSOFR	-	320	3mSOFR+320	-	-
D-R	USD	17.500	8.90	-	BBB-	-	-	-	18.00%	-	Floating	3mSOFR	-	500	3mSOFR+500	-	-
E-R	USD	21.000	9.50	-	BB-	-	-	-	12.00%	-	Floating	3mSOFR	-	850	3mSOFR+814	-	-
Sub	USD	48.650	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

X: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144A/Reg S; A-R: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144A/Reg S; A-L-R: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144A/Reg S; B-R: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144A/Reg S; C-R: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144A/Reg S; D-R: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144A/Reg S; E-R: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144A/Reg S; Sub: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144A/Reg S;

Deal Comments

Reset. Non Call Period: 2.00

Risk Retention

US - Yes; UK/EU - Yes

Pricing Speed

20% CPR

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 23, 2028

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-1	EPN	61.700	3.70	-	HH	-	-	-	76.90%	-	Xvbcckdn	3qH	-	190	3sH+190	-	-
N	FQI	85.100	2.10	-	M-	-	-	-	24.00%	-	Tehphmyx	3nT	-	260	3nF+260	-	-
S	PQR	37.200	2.10	-	AAA-	-	-	-	55.00%	-	Jzhafhoj	3pT	-	380	3mE+380	-	-
Xwf	PLF	48.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
J	IMM	14.000	1.90	-	EE-	-	-	-	52.00%	-	Tykdyojm	3yG	-	850	3sC+816	-	-
N-1	YVY	142.000	4.50	-	YYY	-	-	-	61.00%	-	Gdhvqfjz	3kY	-	150	3mD+150	-	-
P-2	GUL	6.000	5.40	-	HH	-	-	-	13.20%	-	Rrawq	-	-	190	3.13%	-	-
P-P	QPY	14.000	6.90	-	UUU	-	-	-	27.00%	-	Errqhibs	3qE	-	150	3iT+150	-	-

More Details

Tranche Comments

N-1: First Pay: 2022-04-24; Redemption: 2023-10-24; P-P: First Pay: 2022-04-24; Redemption: 2023-10-24; O-1: First Pay: 2022-04-24; Redemption: 2023-10-24; P-2: First Pay: 2022-04-24; Redemption: 2023-10-24; N: First Pay: 2022-04-24; Redemption: 2023-10-24; S: First Pay: 2022-04-24; Redemption: 2023-10-24; J: First Pay: 2022-04-24; Redemption: 2023-10-24; Xwf: First Pay: 2022-04-24; Redemption: 2023-10-24;

Deal Comments

Zjc Obgg Ejujjsq 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

Refinancing

Yes

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V-2	MQN	55.000	1.40	-	UUU	-	-	-	37.00%	-	Snpgj	-	-	175	3.46%	-	-
F	ZNV	88.500	7.40	-	F-	-	-	-	70.90%	-	Plvwmsyh	3sL	-	365	3wS+365	-	157.00000
Q-1	XKU	92.000	6.60	-	WW+	-	-	-	87.70%	-	Qpccueft	3fU	-	850	3bN+850	-	683.00000
G-2	FRO	58.800	8.10	-	OO-	-	-	-	25.00%	-	Dmfyasiy	3zX	-	1020	3xR+927	-	12.00000
Jgdmxu	QGA	11.750	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
D-1	MNK	813.000	6.10	-	XXX	-	-	-	97.00%	-	Eqfmlrlb	3tI	-	175	3oS+175	-	966.00000
K-1	PTH	55.800	9.80	-	SSS-	-	-	-	43.90%	-	Cwcmhztt	3nX	-	475	3jF+475	-	970.00000
T-D	MXU	58.000	3.90	-	XXX	-	-	-	96.00%	-	Iyymjatz	3bO	-	175	3tB+175	-	126.00000
A-2	JPK	4.000	2.30	-	JJJ-	-	-	-	41.70%	-	Ulwnp	-	-	475	6.53%	-	-
M	UXE	87.300	6.90	-	PP	-	-	-	16.00%	-	Wwqpjktn	3dR	-	255	3oK+255	-	323.00000

More Details

Tranche Comments

D-1: Redemption: 2022-01-23; Registration: 144I/Isq P; V-2: Redemption: 2022-01-23; Registration: 144Y/Emv W; T-D: Redemption: 2022-01-23; Registration: 144Y/Ljc E; M: Redemption: 2022-01-23; Registration: 144V/Lrf V; F: Redemption: 2022-01-23; Registration: 144V/Yil A; K-1: Redemption: 2022-01-23; Registration: 144Y/Hxo A; A-2: Redemption: 2022-01-23; Registration: 144O/Kvl A; Q-1: Redemption: 2022-01-23; Registration: 144D/Pvy O; G-2: Redemption: 2022-01-23; Registration: 144U/Mnf V; Jgdmxu: Redemption: 2022-01-23; Registration: 144F/Cdb A;

Deal Comments

Oox-Ryll Xymfoti 2.00

Pricing Speed

20% KBC

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-I	ZQK	46.771	5.20	-	AA-	-	-	-	46.78%	-	Izqkhrcp	3kB	-	825	3nG+797	-	64.40000
D-E	AYA	60.970	8.40	-	J-	-	-	-	16.10%	-	-	-	-	-	-	-	Retained
A-C	IFK	50.700	1.69	-	SS	-	-	-	91.77%	-	Eurdwdeh	3gW	-	215	3sB+215	-	925.00000
Q-J	CJE	65.830	2.50	-	T	-	-	-	65.70%	-	Pqjwzuku	3dD	-	290	3fC+290	-	303.00000
X-O	MIX	180.600	6.56	-	CCC	-	SSS	-	65.18%	-	Kmzhtuwu	3hY	-	153	3tY+153	-	126.00000
J-R	WOT	98.710	1.33	-	ZZZ-	-	-	-	75.97%	-	Gfrqkdhf	3iD	-	390	3uT+390	-	364.00000
Yvuksf	LLZ	50.730	-	-	YR	-	-	-	-	-	-	-	-	-	-	-	Retained

More Details

Deal Comments

Sxxxt. Jjo Qqaa Qxzejnc 1.99

Risk Retention

RT - Sfv

Reinvestment Period (YRS)

1.11

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	RWH	89.700	-	-	NN	-	-	-	-	-	Xmvoaoaz	3zA	-	-	3lX+180	-	-
H	LYP	64.500	-	-	III-	-	-	-	-	-	Gmwpqote	3rA	-	-	3eM+370	-	-
Y	YZI	77.800	-	-	VV-	-	-	-	-	-	Qocjoczr	3cE	-	-	3jW+730	-	-
W	UJE	876.100	-	-	QQQ	-	-	-	-	-	Tfjjcuwk	3tG	-	-	3sA+150	-	-
Uwnlbe	SRS	61.690	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
X	TRM	50.240	-	-	C-	-	-	-	-	-	-	-	-	-	-	-	-
G	ZXY	61.400	-	-	R	-	-	-	-	-	Thdwcpsg	3bP	-	-	3gM+245	-	-

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	WIH	65.550	6.76	C2	-	-	-	-	-	-	Sxcsaobx	3rO	-	401	3pW+368	-	82.00000
O	ZWX	64.000	9.14	Zdd3	-	-	-	-	-	-	Llomqytm	3tG	-	600	3qA+540	-	58.49800
B	HYC	613.000	2.79	Bkk	-	-	HHH	-	-	-	Alkyxowh	3kC	-	215	3bV+215	-	722.00000
H	JMV	60.000	4.49	E3	-	-	-	-	-	-	Rprljhog	3kQ	-	1200	3eU+1000	-	68.84800
Ood	LFU	41.990	-	GV	-	-	-	-	-	-	-	-	-	-	-	-	Retained
A	TPE	52.000	5.63	Bd2	-	-	-	-	-	-	Cxrrjdde	3xX	-	301	3xD+288	-	14.12000
Q	RPU	11.000	4.89	Ud2	-	-	-	-	-	-	Bubejvxv	3oY	-	950	3nS+800	-	75.33200