DBRS Morningstar Places Rating on the Class A-R Notes Issued by TIAA Churchill Middle Market CLO I Ltd. Under Review With Developing Implications

DBRS, Inc. (DBRS Morningstar) placed its rating on the Class A-R Senior Secured Floating-Rate Notes (the Class A-R Notes) issued by TIAA Churchill Middle Market CLO I Ltd. and TIAA Churchill Middle Market CLO I LLC (together, the Co-Issuers) Under Review with Developing Implications. The Class A-R Notes were issued pursuant to the First Supplemental Indenture (the Indenture) dated as of October 22, 2018, among TIAA Churchill Middle Market CLO I Ltd. as Issuer; TIAA Churchill Middle Market CLO I LLC as Co-Issuer; and The Bank of New York Mellon Trust Company, N.A. (rated AA (high) with a Stable trend by DBRS Morningstar) as Trustee.

The rating on the Class A-R Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture referenced above).

The Class A-R Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans and are managed by Churchill Asset Management LLC, as assigned by Nuveen Alternatives Advisors LLC. Both Churchill Asset Management LLC and Nuveen Alternatives Advisors LLC are subsidiaries of Teachers Insurance and Annuity Association of America.

CREDIT RATING RATIONALE
The rating action on the Class A-R Notes is a result of the execution of the Second Supplemental Indenture, dated as of June 30, 2023, which amends the benchmark reference rate. DBRS Morningstar’s rating on the Class A-R Notes is being placed Under Review with Developing Implications until its review of the transaction and the Second Supplemental Indenture is complete. The Reinvestment Period ended on October 20, 2022. The Stated Maturity of the Class A-R Notes is October 20, 2030.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the coronavirus,
please see its May 18, 2020, commentary “CLO Risk Exposure to the Coronavirus Disease (COVID-19)”
(https://www.dbrsmorningstar.com/research/361112).

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign
economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023
Update,” published on June 30, 2023 (https://www.dbrsmorningstar.com/research/416703). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse coronavirus pandemic scenarios, which
were first published in April 2020.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/416784 (July 4, 2023).

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodologies applicable to the credit rating are Rating CLOs and CDOs of Large Corporate Credit (February 7, 2023), www.dbrsmorningstar.com/research/409498 and Cash Flow Assumptions for Corporate Credit Securitizations (February 7, 2023), www.dbrsmorningstar.com/research/409499.

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed credit ratings:

Each of the principal asset class methodologies employed in the analysis addressed one or more particular risks or aspects of the credit rating and were factored into the credit rating decision, Specifically, the “Rating CLOs and CDOs of Large Corporate Credit” (February 7, 2023) methodology provides a general overview of the entire rating process and details on asset analysis. The “Cash Flow Assumptions for Corporate Credit Securitizations” (February 7, 2023) methodology outlines the assumptions and analytical approach used in cash flow analysis.

The last credit rating action on this transaction took place on November 4, 2022.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication/.
For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

Lead Analyst: Joseph Priolo, Senior Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, U.S. Structured Credit
Initial Rating Date: October 5, 2018

DBRS, Inc.
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The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Rating CLOs and CDOs of Large Corporate Credit and DBRS Morningstar CLO Asset Model Version 2.2.3.1 (February 7, 2023), www.dbrsmorningstar.com/research/409498

-- Cash Flow Assumptions for Corporate Credit Securitizations (February 7, 2023), www.dbrsmorningstar.com/research/409499

-- Legal Criteria for U.S. Structured Finance (December 7, 2022), https://www.dbrsmorningstar.com/research/407008

-- Operational Risk Assessment for Collateralized Loan Obligation (CLO) and Collateralized Debt Obligation (CDO) Managers of Large Corporate Credits (September 23, 2022), https://www.dbrsmorningstar.com/research/403042

-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023), www.dbrsmorningstar.com/research/415687

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.