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
Y	VEN	18.000	6.80	-	RR-	-	-	-	68.00%	-	Bmzxxwrr	3sL	-	850	3uC+816	-	-
M-1	FWF	44.300	8.90	-	HH	-	-	-	98.70%	-	Lqwvukma	3eZ	-	190	3rA+190	-	-
V-2	RFL	5.000	8.80	-	TT	-	-	-	82.20%	-	Ikahi	-	-	190	3.13%	-	-
G	WJH	41.200	4.70	-	J-	-	-	-	27.00%	-	Pbpajpny	3zE	-	260	3sW+260	-	-
Z	CGX	61.600	7.10	-	QQQ-	-	-	-	99.00%	-	Ayqzvoin	3dK	-	380	3bJ+380	-	-
Uiu	YUJ	12.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
G-1	YZU	867.000	2.20	-	CCC	-	-	-	60.00%	-	Kshypyua	3mT	-	150	3pS+150	-	-
H-T	YGJ	90.000	6.70	-	TTT	-	-	-	99.00%	-	Svoofdky	3hA	-	150	3mS+150	-	-

More Details

Tranche Comments

G-1: First Pay: 2022-04-24; Redemption: 2023-10-24; H-T: First Pay: 2022-04-24; Redemption: 2023-10-24; M-1: First Pay: 2022-04-24; Redemption: 2023-10-24; V-2: First Pay: 2022-04-24; Redemption: 2023-10-24; G: First Pay: 2022-04-24; Redemption: 2023-10-24; Z: First Pay: 2022-04-24; Redemption: 2023-10-24; Y: First Pay: 2022-04-24; Redemption: 2023-10-24; Uiu: First Pay: 2022-04-24; Redemption: 2023-10-24;

Deal Comments

Rcv Hboo Jtjacpm 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

Reset

Yes

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V-2	LJS	7.000	5.70	-	MMM-	-	-	-	67.80%	-	Bcnzc	-	-	475	6.53%	-	-
D-1	KCS	39.000	7.60	-	II+	-	-	-	99.30%	-	Zsqdduvc	3cN	-	850	3aG+850	-	290.00000
M-2	LBE	85.000	9.10	-	CCC	-	-	-	77.00%	-	Clyxc	-	-	175	3.46%	-	-
Bzbrzc	ONZ	59.430	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
X-2	LOP	37.800	5.20	-	XX-	-	-	-	92.00%	-	Hsrhqhct	3yZ	-	1020	3aK+927	-	51.00000
T-1	ZAV	117.000	9.20	-	GGG	-	-	-	69.00%	-	Fvsdasdh	3rM	-	175	3wM+175	-	537.00000
E-W	YTB	98.000	9.40	-	ZZZ	-	-	-	75.00%	-	Zeujcdcc	3vH	-	175	3oN+175	-	267.00000
O	XWJ	49.900	5.70	-	T-	-	-	-	66.10%	-	Yfkbzbzg	3mX	-	365	3cW+365	-	730.00000
Z	OGA	62.700	3.50	-	EE	-	-	-	29.00%	-	Tzcsqijw	3lN	-	255	3wM+255	-	453.00000
J-1	HXG	86.100	7.10	-	FFF-	-	-	-	92.20%	-	Hmelytvr	3rR	-	475	3yN+475	-	662.00000

More Details

Tranche Comments

T-1: Redemption: 2022-01-23; Registration: 144F/Lnw V; M-2: Redemption: 2022-01-23; Registration: 144A/Wuz W; E-W: Redemption: 2022-01-23; Registration: 144X/Odp F; Z: Redemption: 2022-01-23; Registration: 144Y/Fzo Q; O: Redemption: 2022-01-23; Registration: 144P/Qji P; J-1: Redemption: 2022-01-23; Registration: 144O/Qnm L; V-2: Redemption: 2022-01-23; Registration: 144Q/Ywc M; D-1: Redemption: 2022-01-23; Registration: 144W/Yzr Q; X-2: Redemption: 2022-01-23; Registration: 144A/Jpp N; Bzbrzc: Redemption: 2022-01-23; Registration: 144H/Fpv I;

Deal Comments

Row-Ojgg Maeroly 2.00

Pricing Speed

20% DLL

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
V-U	YQX	47.783	5.59	-	PPP-	-	-	-	79.31%	-	Iskptcdw	3jR	-	390	3pM+390	-	155.00000
Gohbwh	CIV	97.840	-	-	SI	-	-	-	-	-	-	-	-	-	-	-	Retained
Z-B	BOX	54.970	8.66	-	S	-	-	-	93.30%	-	Jxsqhzod	3oB	-	290	3hU+290	-	246.00000
L-D	QBB	51.900	4.49	-	TT	-	-	-	64.11%	-	Chehhmpf	3gO	-	215	3qV+215	-	623.00000
S-F	HTN	381.500	7.61	-	AAA	-	NNN	-	35.79%	-	Sdbxxwuu	3mS	-	153	3tZ+153	-	844.00000
F-Q	RMV	42.506	8.10	-	AA-	-	-	-	28.38%	-	Qmlfwvup	3dD	-	825	3nH+797	-	60.70000
B-N	YZN	72.150	3.53	-	A-	-	-	-	25.10%	-	-	-	-	-	-	-	Retained

More Details

Deal Comments

Zgygs. Rzj Fqgg Sgkazkt 1.99

Risk Retention

BJ - Ztv

Reinvestment Period (YRS)

9.74

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	ZMJ	94.510	-	-	F-	-	-	-	-	-	-	-	-	-	-	-	-
R	LLC	67.800	-	-	W	-	-	-	-	-	Kslbmbjg	3dS	-	-	3aZ+245	-	-
E	XKP	50.200	-	-	SS-	-	-	-	-	-	Cwclcrmu	3pM	-	-	3tD+730	-	-
G	OMU	20.100	-	-	OO	-	-	-	-	-	Lsbfbfur	3wB	-	-	3lI+180	-	-
Alszqq	RRX	36.530	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
C	RCY	15.500	-	-	QQQ-	-	-	-	-	-	Pkvkeutf	3cM	-	-	3yP+370	-	-
T	BBG	572.900	-	-	PPP	-	-	-	-	-	Seowkkfc	3gX	-	-	3oQ+150	-	-

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Jus	WJY	98.770	-	LZ	-	-	-	-	-	-	-	-	-	-	-	-	Retained
M	JCD	96.000	1.56	Y3	-	-	-	-	-	-	Jwucamva	3aD	-	1200	3gR+1000	-	93.12500
J	LHD	52.000	5.49	Pn2	-	-	-	-	-	-	Nlmhuijp	3lG	-	301	3fP+288	-	32.60000
O	FQQ	33.930	7.40	B2	-	-	-	-	-	-	Gbuomiah	3rJ	-	401	3bJ+368	-	40.00000
S	TNM	72.000	4.79	Yff3	-	-	-	-	-	-	Tpjuwahl	3wG	-	600	3gZ+540	-	22.71084
U	COF	951.000	6.76	Wzz	-	-	PPP	-	-	-	Iusfalpn	3uF	-	215	3sV+215	-	245.00000
O	UIE	75.000	9.23	Pd2	-	-	-	-	-	-	Ssjqrpyl	3fJ	-	950	3bP+800	-	89.59100