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
N-A	YTB	46.000	4.80	-	K	-	-	-	71.00%	-	Ipesebom	3qLNST	-	320	3yMZAZ+320	-	-
M-Y	JUM	14.000	2.90	-	UU-	-	-	-	15.00%	-	Gfhlplzr	3tKYLX	-	850	3jWVJY+814	-	-
E-H	XUF	614.000	9.70	-	BBB	-	-	-	43.00%	-	Tsrjhybo	3jWSPW	-	193	3hCHTK+193	-	-
X	BLI	4.950	4.50	-	LLL	-	-	-	-	-	Zyrxofdg	3iKQGY	-	130	3uQCUT+130	-	-
D-I	PUV	23.500	4.90	-	BBB-	-	-	-	32.00%	-	Srxcuubp	3cWEPL	-	500	3oIAUQ+500	-	-
Dtn	TJN	12.870	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Q-U-W	HPA	25.000	4.40	-	WWW	-	-	-	24.00%	-	Zzzeksyf	3wLPWX	-	193	3eXVCZ+193	-	-
W-B	CKI	23.500	5.90	-	WW	-	-	-	94.00%	-	Hqodtdkw	3tKZEL	-	250	3mWDYD+250	-	-

Tranche Comments

X: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144X/Adu Q; E-H: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144D/Nwc Q; Q-U-W: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144B/Iks J; W-B: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144H/Org R; N-A: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144E/Yem N; D-I: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144Y/Ldd O; M-Y: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144F/Zpt P; Dtn: First Pay: 2024-07-23; Redemption: 2026-04-23; Registration: 144T/Mzm K;

Deal Comments

Epcpb. Yza Nkbb Ipakzvf 2.00

Risk Retention

AT - Dqol AI/DA - Dqo

Pricing Speed

20% SER

Reinvestment Period (YRS)

Reinvestment Period End Date

May 3, 2005

Reset

Yes

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-Y	ZXR	86.000	2.70	-	VVV	-	-	-	15.00%	-	Xfschbvh	3tX	-	150	3pE+150	-	-
M-1	BIX	46.200	9.40	-	UU	-	-	-	51.70%	-	Vkceiyie	3nJ	-	190	3bV+190	-	-
Y	ABA	15.000	5.70	-	HH-	-	-	-	89.00%	-	Zblkyvdb	3jQ	-	850	3cU+816	-	-
S-2	EWN	8.000	7.20	-	MM	-	-	-	48.90%	-	Hofqr	-	-	190	3.13%	-	-
M-1	WOQ	580.000	6.70	-	EEE	-	-	-	80.00%	-	Bdsektkx	3uX	-	150	3xR+150	-	-
Y	QAI	10.800	2.80	-	VVV-	-	-	-	27.00%	-	Mdqbdqoa	3zL	-	380	3fG+380	-	-
L	ITE	57.200	7.90	-	Y-	-	-	-	78.00%	-	Zhrltoaa	3tN	-	260	3pU+260	-	-
Iau	EIJ	80.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

M-1: First Pay: 2022-04-24; Redemption: 2023-10-24; M-Y: First Pay: 2022-04-24; Redemption: 2023-10-24; M-1: First Pay: 2022-04-24; Redemption: 2023-10-24; S-2: First Pay: 2022-04-24; Redemption: 2023-10-24; L: First Pay: 2022-04-24; Redemption: 2023-10-24; Y: First Pay: 2022-04-24; Redemption: 2023-10-24; Y: First Pay: 2022-04-24; Redemption: 2023-10-24; Iau: First Pay: 2022-04-24; Redemption: 2023-10-24;

Deal Comments

Vzp Jhqq Ehlhzan 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 27, 2001

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-2	EAH	13.000	1.70	-	RRR	-	-	-	78.00%	-	Pekwe	-	-	175	3.46%	-	-
D	TSW	16.900	2.30	-	CC	-	-	-	62.00%	-	Zuhkzttj	3fA	-	255	3zV+255	-	923.00000
M	WBV	81.500	9.50	-	H-	-	-	-	72.80%	-	Hcdwxjry	3zC	-	365	3fZ+365	-	260.00000
D-2	ESI	57.600	8.20	-	ZZ-	-	-	-	46.00%	-	Zuezllne	3gP	-	1020	3gB+927	-	31.00000
U-Q	XMV	41.000	8.40	-	TTT	-	-	-	57.00%	-	Xyoveboo	3mL	-	175	3pA+175	-	905.00000
D-1	QBX	303.000	4.70	-	KKK	-	-	-	19.00%	-	Owuexamy	3vV	-	175	3gF+175	-	544.00000
X-1	YRW	50.200	1.10	-	III-	-	-	-	88.30%	-	Jbpmcsaz	3xE	-	475	3lD+475	-	622.00000
Qpkudh	RUF	94.110	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
M-1	MTO	32.000	1.30	-	FF+	-	-	-	91.20%	-	Bfpcybhb	3oR	-	850	3rH+850	-	278.00000
H-2	CBX	9.000	2.10	-	KKK-	-	-	-	34.90%	-	Tysro	-	-	475	6.53%	-	-

Tranche Comments

D-1: Redemption: 2022-01-23; Registration: 144Z/Ajn A; K-2: Redemption: 2022-01-23; Registration: 144D/Bxa V; U-Q: Redemption: 2022-01-23; Registration: 144X/Nmb Z; D: Redemption: 2022-01-23; Registration: 144H/Rfd D; M: Redemption: 2022-01-23; Registration: 144W/Jwb X; X-1: Redemption: 2022-01-23; Registration: 144A/Hww E; H-2: Redemption: 2022-01-23; Registration: 144X/Azf P; M-1: Redemption: 2022-01-23; Registration: 144A/Qhb J; D-2: Redemption: 2022-01-23; Registration: 144C/Aph Q; Qpkudh: Redemption: 2022-01-23; Registration: 144H/Ipy F;

Deal Comments

Ugj-Daaa Ceuygmo 2.00

Pricing Speed

20% AZV

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 23, 2020

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T-R	PUV	95.819	7.10	-	EE-	-	-	-	35.66%	-	Vxzvlixg	3nX	-	825	3tO+797	-	45.20000
D-K	ULA	25.282	2.12	-	UUU-	-	-	-	82.68%	-	Ajswaktu	3iG	-	390	3xK+390	-	565.00000
Z-W	LQG	57.900	8.59	-	P-	-	-	-	92.90%	-	-	-	-	-	-	-	Retained
O-Q	MUY	567.200	4.59	-	OOO	-	DDD	-	67.66%	-	Thkycbsc	3hI	-	153	3fZ+153	-	128.00000
W-R	KCC	33.890	5.17	-	S	-	-	-	77.60%	-	Glklhsxo	3wC	-	290	3wH+290	-	862.00000
Bdmwfz	HMU	45.960	-	-	ZL	-	-	-	-	-	-	-	-	-	-	-	Retained
Y-A	IAG	17.900	2.21	-	UU	-	-	-	81.42%	-	Ulxvkprn	3gB	-	215	3iJ+215	-	181.00000

Deal Comments

Wzqzx. Nqb Cfnn Fzxyqnp 1.99

Risk Retention

TG - Zdg

Reinvestment Period (YRS)

6.21

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	WEH	12.400	-	-	DDD-	-	-	-	-	-	Euwdxtew	3pX	-	-	3dL+370	-	-
I	HNO	13.900	-	-	BB	-	-	-	-	-	Hsvrblhf	3oU	-	-	3jC+180	-	-
R	YIT	77.200	-	-	UU-	-	-	-	-	-	Nvukbxxd	3bC	-	-	3tT+730	-	-
Ibnkpt	CYD	33.230	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
X	IXI	929.600	-	-	UUU	-	-	-	-	-	Cysazblr	3bM	-	-	3jZ+150	-	-
G	HEP	60.900	-	-	Y	-	-	-	-	-	Mvyhxhoy	3jI	-	-	3mV+245	-	-
H	GIX	75.540	-	-	B-	-	-	-	-	-	-	-	-	-	-	-	-

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	ZFI	75.000	5.42	Yrr3	-	-	-	-	-	-	Ukkladuz	3tZ	-	600	3jK+540	-	78.25090
I	ZRC	31.000	4.32	Mu2	-	-	-	-	-	-	Kkxlmset	3wI	-	950	3wY+800	-	92.94700
S	QXN	54.500	2.97	T2	-	-	-	-	-	-	Juryycvr	3kM	-	401	3eC+368	-	29.00000
M	AVK	58.000	6.11	X3	-	-	-	-	-	-	Autzctzl	3rJ	-	1200	3lJ+1000	-	75.92600
O	APL	120.000	5.44	Kpp	-	-	HHH	-	-	-	Npcsprrc	3jF	-	215	3mD+215	-	549.00000
Umx	PGB	95.600	-	SC	-	-	-	-	-	-	-	-	-	-	-	-	Retained
J	LOH	96.000	9.61	Ii2	-	-	-	-	-	-	Szorptuz	3pJ	-	301	3pS+288	-	74.51000