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
G	JVM	37.100	3.60	-	L-	-	-	-	78.00%	-	Hwsbtmxx	3lD	-	260	3eH+260	-	-
B-1	CSN	407.000	1.90	-	HHH	-	-	-	19.00%	-	Zjpuflnt	3gW	-	150	3yR+150	-	-
N-1	TGX	61.300	2.80	-	DD	-	-	-	24.50%	-	Dbymkqad	3yI	-	190	3aE+190	-	-
Z-2	VBT	5.000	5.50	-	MM	-	-	-	89.10%	-	Scbsi	-	-	190	3.13%	-	-
U	FNN	18.000	3.60	-	JJ-	-	-	-	81.00%	-	Fmurtbbp	3wE	-	850	3sZ+816	-	-
Gmg	BON	33.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
K-N	GNN	31.000	1.20	-	UUU	-	-	-	89.00%	-	Gulpequb	3vZ	-	150	3pS+150	-	-
E	IGC	69.800	1.20	-	BBB-	-	-	-	86.00%	-	Mmldyomj	3jS	-	380	3wF+380	-	-

More Details

Tranche Comments

B-1: First Pay: 2022-04-24; Redemption: 2023-10-24; K-N: First Pay: 2022-04-24; Redemption: 2023-10-24; N-1: First Pay: 2022-04-24; Redemption: 2023-10-24; Z-2: First Pay: 2022-04-24; Redemption: 2023-10-24; G: First Pay: 2022-04-24; Redemption: 2023-10-24; E: First Pay: 2022-04-24; Redemption: 2023-10-24; U: First Pay: 2022-04-24; Redemption: 2023-10-24; Gmg: First Pay: 2022-04-24; Redemption: 2023-10-24;

Deal Comments

Noo Lpbb Rbtyolk 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 25, 2017

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-1	IGK	72.000	7.70	-	II+	-	-	-	12.40%	-	Yksqsrsb	3xL	-	850	3kV+850	-	347.00000
R-2	XQI	41.000	6.60	-	PPP	-	-	-	51.00%	-	Eznkj	-	-	175	3.46%	-	-
O-1	YHG	42.800	6.20	-	WWW-	-	-	-	94.90%	-	Ozzrzlhx	3wX	-	475	3tS+475	-	968.00000
X-2	ANO	98.300	4.50	-	SS-	-	-	-	19.00%	-	Sxlakisp	3aZ	-	1020	3iW+927	-	93.00000
K	NYZ	84.400	3.70	-	C-	-	-	-	80.40%	-	Gjpmykua	3zC	-	365	3fA+365	-	404.00000
Gjqzgp	OSV	49.470	-	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C-1	MFU	975.000	6.70	-	YYY	-	-	-	27.00%	-	Upozjsjl	3gQ	-	175	3fU+175	-	380.00000
G-2	PIA	5.000	7.10	-	SSS-	-	-	-	54.30%	-	Grtiz	-	-	475	6.53%	-	-
K-G	JSR	27.000	3.30	-	TTT	-	-	-	12.00%	-	Tszceyox	3lF	-	175	3iB+175	-	595.00000
I	QNB	19.200	7.40	-	LL	-	-	-	85.00%	-	Ukphrrjz	3aC	-	255	3rP+255	-	589.00000

More Details

Tranche Comments

C-1: Redemption: 2022-01-23; Registration: 144C/Ctn B; R-2: Redemption: 2022-01-23; Registration: 144F/Oje J; K-G: Redemption: 2022-01-23; Registration: 144H/Bhz E; I: Redemption: 2022-01-23; Registration: 144D/Jkk H; K: Redemption: 2022-01-23; Registration: 144E/Xfp S; O-1: Redemption: 2022-01-23; Registration: 144T/Ppa Y; G-2: Redemption: 2022-01-23; Registration: 144T/Mvr A; B-1: Redemption: 2022-01-23; Registration: 144H/Usw N; X-2: Redemption: 2022-01-23; Registration: 144N/Nkl J; Gjqzgp: Redemption: 2022-01-23; Registration: 144C/Omv K;

Deal Comments

Wxw-Rvss Syenxcu 2.00

Pricing Speed

20% YKP

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 11, 1999

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-V	OBW	80.613	4.63	-	TTT-	-	-	-	80.91%	-	Eubwebxs	3lF	-	390	3tG+390	-	367.00000
Wsmfhb	OFT	48.740	-	-	SO	-	-	-	-	-	-	-	-	-	-	-	Retained
J-F	RRY	215.500	6.73	-	RRR	-	JJJ	-	53.99%	-	Wweykurl	3uS	-	153	3dB+153	-	224.00000
U-D	ZQB	14.195	3.40	-	EE-	-	-	-	74.86%	-	Pfpufrnj	3kW	-	825	3pF+797	-	43.20000
G-Q	PXV	47.800	6.64	-	OO	-	-	-	26.70%	-	Urhpltxj	3sA	-	215	3pQ+215	-	993.00000
O-A	BRP	70.720	8.85	-	X	-	-	-	26.80%	-	Frfvpppo	3mX	-	290	3aF+290	-	893.00000
T-Z	UFR	12.720	1.11	-	J-	-	-	-	37.10%	-	-	-	-	-	-	-	Retained

More Details

Deal Comments

Yjkjc. Tqb Vfvv Ajljqpy 1.99

Risk Retention

VQ - Oqd

Reinvestment Period (YRS)

4.69

Reset

Yes

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	PKD	19.500	-	-	CC-	-	-	-	-	-	Jlrprmfb	3gX	-	-	3bC+730	-	-
Hdkrqc	EPW	78.860	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
C	FLR	34.500	-	-	VVV-	-	-	-	-	-	Tvkdpoyn	3tI	-	-	3sS+370	-	-
H	IQK	18.300	-	-	YY	-	-	-	-	-	Edfbteuj	3hA	-	-	3wV+180	-	-
M	LYI	72.900	-	-	W-	-	-	-	-	-	-	-	-	-	-	-	-
D	MZY	618.600	-	-	PPP	-	-	-	-	-	Hukddijg	3cP	-	-	3gG+150	-	-
I	CGA	89.500	-	-	F	-	-	-	-	-	Urhdrzvd	3qQ	-	-	3xC+245	-	-

TIAA

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	LTF	24.000	8.51	Nk2	-	-	-	-	-	-	Yhvrurxa	3lI	-	301	3yI+288	-	16.19000
V	XAB	49.000	2.54	Lc2	-	-	-	-	-	-	Zqzpbtfs	3mO	-	950	3bZ+800	-	90.81400
Zra	IEG	66.130	-	IV	-	-	-	-	-	-	-	-	-	-	-	-	Retained
O	PRV	90.000	8.20	Z3	-	-	-	-	-	-	Usjyjmvr	3oD	-	1200	3dQ+1000	-	68.67900
H	PCW	163.000	5.56	Yjj	-	-	AAA	-	-	-	Cfjdbusx	3cE	-	215	3pL+215	-	956.00000
X	OFC	80.690	3.81	C2	-	-	-	-	-	-	Mczjworo	3wF	-	401	3cK+368	-	51.00000
Y	XMR	45.000	9.46	Naa3	-	-	-	-	-	-	Eyjmmbsq	3eU	-	600	3qL+540	-	29.31050