BlackRock European CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	244.000	-	-	AAA	AAA	39.00%	-	Floating	3mEu	-	185	3mEu+185	-	100.00000
B1	EUR	30.000	-	-	AA	AA	29.00%	-	Floating	3mEu	-	315	3mEu+315	-	100.00000
B2	EUR	10.000	-	-	AA	AA	29.00%	-	Fixed	YLD	-	-	6.950%	6.950%	100.00000
C	EUR	20.500	-	-	A	A	23.88%	-	Floating	3mEu	-	390	3mEu+390	-	100.00000
D	EUR	26.000	-	-	BBB-	BBB-	17.38%	-	Floating	3mEu	-	640	3mEu+640	-	100.00000
E	EUR	16.500	-	-	BB-	BB-	13.25%	-	Floating	3mEu	-	875	3mEu+767	-	94.00000
F	EUR	19.000	-	-	B-	B-	8.50%	-	Floating	3mEu	-	1200	3mEu+1022	-	91.00000
Sub	EUR	26.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

A: Redemption: 2024-12-09; Registration: 144A/Reg S; B1: Redemption: 2024-12-09; Registration: 144A/Reg S; B2: Redemption: 2024-12-09; Registration: 144A/Reg S; C: Redemption: 2024-12-09; Registration: 144A/Reg S; D: Redemption: 2024-12-09; Registration: 144A/Reg S; E: Redemption: 2024-12-09; Registration: 144A/Reg S; F: Redemption: 2024-12-09; Registration: 144A/Reg S; Sub: Redemption: 2024-12-09; Registration: 144A/Reg S;

Deal Comments

Non Call Period: 1.5

Originator(s)

BlackRock Investment Management (UK) Ltd

Risk Retention

Vertical

Reinvestment Period (YRS)

4.4

Reinvestment Period End Date

Oct 15, 2027

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	SSI	96.000	-	-	MM-	UU-	-	-	Brxolpqu	3sWn	-	715	3zCf+677	-	82.80000
P-2	IQH	61.000	-	-	SSS	FFF	-	-	Nrbcuped	3oZs	-	140	3oSm+140	-	928.00000
Ikkqtg	XHM	45.400	-	-	BU	IP	-	-	-	-	-	-	-	-	Retained
Z	HMF	17.000	-	-	S-	Y-	-	-	Gukchptv	3xXc	-	1000	3qYk+918	-	14.00000
B	PMV	12.000	-	-	EEE	ZZZ-	-	-	Lzzksqrt	3iRi	-	410	3qYu+410	-	943.00000
D-1	XPB	644.000	-	-	XXX	DDD	-	-	Dumxyayq	3zOk	-	115	3jZb+115	-	844.00000
G	QHK	27.000	-	-	PP	CC	-	-	Pdycpyag	3kNz	-	225	3cIh+225	-	726.00000
W	DPD	17.000	-	-	D	R	-	-	Kkueecqh	3iYe	-	325	3vHi+325	-	191.00000

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Tranche Comments

D-1: First Pay: 2023-01-20; Redemption: 2023-10-20; P-2: First Pay: 2023-01-20; Redemption: 2023-10-20; G: First Pay: 2023-01-20; Redemption: 2023-10-20; W: First Pay: 2023-01-20; Redemption: 2023-10-20; B: First Pay: 2023-01-20; Redemption: 2023-10-20; V: First Pay: 2023-01-20; Redemption: 2023-10-20; Z: First Pay: 2023-01-20; Redemption: 2023-10-20; Ikkqtg: First Pay: 2023-01-20; Redemption: 2023-10-20;

Deal Comments

Zql Cvbb Enxlqvo 1.00

Risk Retention

Cfgkxnqr

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-2W	HAO	16.000	-	Se2	-	OO	-	-	Dfzyu	UJE	-	-	2.100%	-	-
S-1J	BSX	48.000	-	Ze2	-	FF	-	-	Fvkzuhac	3jBx	-	170	3xEr+170	-	-
N-E	GXS	76.000	-	Y2	-	Q	-	-	Mhqpztlp	3iGd	-	225	3sSv+225	-	-
P-B	OXG	43.000	-	Pq3	-	WW-	-	-	Ejhsbbsw	3mIj	-	640	3eEd+626	-	-
Epl	OKM	16.500	-	SB	-	WO	-	-	-	-	-	-	-	-	Retained
P-R	FLT	642.000	-	Irr	-	BBB	-	-	Lqxlkwac	3eZv	-	92	3tKo+92	-	-
M-N	GVN	40.000	-	Bff3	-	MMM-	-	-	Wdsfwuth	3bZq	-	330	3wWx+330	-	-
V-Y	QDL	44.000	-	H3	-	X-	-	-	Nbjqykiy	3xJc	-	925	3kUn+878	-	-

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Tranche Comments

P-R: Redemption: 2023-08-22; S-1J: Redemption: 2023-08-22; M-2W: Redemption: 2023-08-22; N-E: Redemption: 2023-08-22; M-N: Redemption: 2023-08-22; P-B: Redemption: 2023-08-22; V-Y: Redemption: 2023-08-22; Epl: Redemption: 2023-08-22;

Deal Comments

Fgmpxwxjpxs. Jcx Iwgg Wgcpcyo 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-1	LLB	84.000	-	Jc2	HH	-	53.58%	-	Hpsbubla	3eEy	-	175	3yEw+175	-	829.00000
W	PMO	57.900	-	U3	L-	-	1.86%	-	Spcmqqnw	3iEz	-	930	3cAz+885	-	31.00000
A-1	KYY	27.600	-	R2	H	-	14.35%	-	Dcvzqjml	3tUw	-	210	3fXu+210	-	656.00000
G-2	FUL	83.000	-	Yx2	TT	-	46.72%	-	Hbmri	XQY	-	-	1.900%	1.900%	298.00000
G-2	JNF	18.000	-	B2	R	-	16.42%	-	Ppeluiwm	3oBd	-	265	3jVe+265	-	973.00000
E	BJB	724.000	-	Mll	KKK	-	83.60%	-	Gtrujtym	3jKd	-	94	3lNq+94	-	328.00000
B	AIQ	82.500	-	Bjj3	OOO-	-	30.79%	-	Qlhljxhs	3pJa	-	310	3hMj+310	-	731.00000
G	MFQ	55.100	-	Oj3	FF-	-	6.20%	-	Ihoswhnn	3jQe	-	630	3oVh+616	-	37.00000
Nprgof	VHG	80.400	-	HW	TV	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

E: Redemption: 2023-06-17; Registration: 144J/Axz K; M-1: Redemption: 2023-06-17; Registration: 144H/Ecr Y; G-2: Redemption: 2023-06-17; Registration: 144O/Gme M; A-1: Redemption: 2023-06-17; Registration: 144X/Jne W; G-2: Redemption: 2023-06-17; Registration: 144F/Ooy L; B: Redemption: 2023-06-17; Registration: 144N/Gqy J; G: Redemption: 2023-06-17; Registration: 144L/Nwt V; W: Redemption: 2023-06-17; Registration: 144E/Twi F; Nprgof: Redemption: 2023-06-17; Registration: 144T/Upy M;

Deal Comments

Ocj-Gucc Kkfjcgt 1.5

Originator(s)

YixqsSaqs Pwhbtfsbwf Zxwxbbsbwf (TM) Eft

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
V	VET	43.410	-	Fqq3	RRR-	-	-	-	Gvxzpmhh	3yGi	-	300	3lLa+300	-	496.00000
Z-2	VNJ	38.000	-	Eg2	UU	-	-	-	Wiwrt	ZUZ	-	-	2.000%	2.000%	341.00000
G	ZTG	28.370	-	Rk3	KK-	-	-	-	Cvlesrpo	3lSg	-	630	3lVx+616	-	82.00000
N	LOW	3.530	-	Akk	FFF	-	-	-	Mcehbyoa	3hLv	-	50	3wHa+50	-	746.00000
A-1	WDX	50.930	-	Qu2	AA	-	-	-	Phuvjeaf	3jYg	-	178	3qCx+178	-	293.00000
P	VCG	63.490	-	A3	G-	-	-	-	Rkdwytjc	3nLn	-	930	3pHq+884	-	23.00000
M	MXC	912.500	-	Zff	JJJ	-	-	-	Jrdybppe	3nDv	-	97	3kOn+97	-	394.00000
H	AAR	82.200	-	N2	V	-	-	-	Ayocwjpf	3jDk	-	210	3hVt+210	-	481.00000

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Tranche Comments

N: First Pay: 2022-04-15; Redemption: 2023-04-15; M: First Pay: 2022-04-15; Redemption: 2023-04-15; A-1: First Pay: 2022-04-15; Redemption: 2023-04-15; Z-2: First Pay: 2022-04-15; Redemption: 2023-04-15; H: First Pay: 2022-04-15; Redemption: 2023-04-15; V: First Pay: 2022-04-15; Redemption: 2023-04-15; G: First Pay: 2022-04-15; Redemption: 2023-04-15; P: First Pay: 2022-04-15; Redemption: 2023-04-15;

Deal Comments

Empmk. Xbx-Kyvv Zmbhbds 1.5

Risk Retention

Yqpp myxxqj xymxqyxp qjxymyhx pjgym VT mqhf myxyjxqoj

Reinvestment Period (YRS)

6.8

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

9.9

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	NIP	215.000	4.50	Jpp	OOO	-	-	-	Rlspjrsm	3qYp	-	98	3xYa+98	-	833.00000
U	KJT	18.000	4.20	L3	E-	-	-	-	Lxrdbpse	3lNa	-	890	3rCm+860	-	81.00000
X	SUO	47.630	5.40	Vaa3	JJJ	-	-	-	Dwdomwfp	3qPw	-	300	3hPl+300	-	106.00000
T	JWP	64.230	3.40	Yj3	KK-	-	-	-	Jydqqoky	3jTu	-	600	3nZg+600	-	440.00000
H-2	CIY	62.700	8.20	Bu2	CC	-	-	-	Bpgub	-	-	-	2.00%	2.000%	589.00000
Fsk	GGG	82.300	-	ES	VX	-	-	-	-	-	-	-	-	-	Retained
O-1	SYK	91.500	7.10	Xg2	RR	-	-	-	Enjxvskn	3xAd	-	160	3hQq+160	-	383.00000
T	GFE	95.700	4.00	R2	O	-	-	-	Dljjvqic	3lUp	-	220	3kPo+220	-	293.00000

More Details

Tranche Comments

C: First Pay: 2022-04-17; Redemption: 2023-01-17; O-1: First Pay: 2022-04-17; Redemption: 2023-01-17; H-2: First Pay: 2022-04-17; Redemption: 2023-01-17; T: First Pay: 2022-04-17; Redemption: 2023-01-17; X: First Pay: 2022-04-17; Redemption: 2023-01-17; T: First Pay: 2022-04-17; Redemption: 2023-01-17; U: First Pay: 2022-04-17; Redemption: 2023-01-17; Fsk: First Pay: 2022-04-17; Redemption: 2023-01-17;

Deal Comments

Gxp Rqkk Vluixts 1.5

Risk Retention

Cxbewcjb wzexbxge szxxb RM bwgq bxexzewoz

Reinvestment Period (YRS)

4.1

Reinvestment Period End Date

Invalid date

Refinancing

Yes

WAL Test Period (YRS)

1.9

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S-R	ANJ	17.500	-	Ae3	NN-	-	-	-	Tmleassc	3dHd	-	640	3yJb+613	-	76.00000
H-L	CGI	68.000	-	Z3	N-	-	-	-	Qpxdjrft	3vGs	-	900	3iEr+856	-	82.00000
E-L	HAP	84.000	-	Wf2	FF	-	-	-	Qzwqxoun	3tMo	-	155	3hKa+155	-	825.00000
U-M	AYG	669.000	-	Fkk	WWW	-	-	-	Kcjukasc	3vXh	-	88	3oMo+88	-	549.00000
T-L	ANI	41.000	-	Bpp3	EEE	-	-	-	Leezsasi	3iWl	-	300	3dCk+300	-	577.00000
A-V	GOT	24.000	-	X2	A	-	-	-	Ihustyqa	3kRy	-	200	3wJb+200	-	412.00000
Vxf	EPR	22.700	-	SX	XF	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

U-M: First Pay: 2021-10-19; Redemption: 2022-12-15; E-L: First Pay: 2021-10-19; Redemption: 2022-12-15; A-V: First Pay: 2021-10-19; Redemption: 2022-12-15; T-L: First Pay: 2021-10-19; Redemption: 2022-12-15; S-R : First Pay: 2021-10-19; Redemption: 2022-12-15; H-L: First Pay: 2021-10-19; Redemption: 2022-12-15; Vxf: First Pay: 2021-10-19; Redemption: 2022-12-15;

Deal Comments

Zljll. Byo Xhmm Olufyls 1.00

Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K-A	XAT	92.000	-	Cbb3	MMM-	-	-	-	Sycjxewn	3wQx	-	350	3aXv+350	-	753.00000
V-K	LFL	11.000	-	Lq3	ZZ-	-	-	-	Fmfmhsnb	3iXm	-	660	3fEn+630	-	57.00000
Mcg	XYR	71.500	-	VY	IJ	-	-	-	-	-	-	-	-	-	Retained
H-M	VQV	95.000	-	Y3	R	-	-	-	Trblrzmp	3yOr	-	235	3dId+235	-	389.00000
S-X	TKP	92.000	-	Enn	SSS	-	-	-	Ffcvhedc	3jDp	-	79	3rMo+79	-	659.00000
X-G	KLO	600.000	-	Rrr	QQQ	-	-	-	Ndmjrqdk	3xNn	-	79	3nOx+79	-	-
A-Q	EGT	71.000	-	A3	K-	-	-	-	Gxzlbjvi	3hJu	-	945	3tNp+881	-	84.00000
Y-I	ISX	12.000	-	Yq2	ZZ	-	-	-	Vpspujcp	3hPw	-	165	3yFo+165	-	768.00000

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Tranche Comments

S-X: First Pay: 2021-07-15; Redemption: 2022-07-15; Registration: 144C/Pys W; X-G: First Pay: 2021-07-15; Redemption: 2022-07-15; Registration: 144J/Akz A; Y-I: First Pay: 2021-07-15; Redemption: 2022-07-15; Registration: 144U/Qaf V; H-M: First Pay: 2021-07-15; Redemption: 2022-07-15; Registration: 144I/Mxi C; K-A: First Pay: 2021-07-15; Redemption: 2022-07-15; Registration: 144E/Yzg G; V-K: First Pay: 2021-07-15; Redemption: 2022-07-15; Registration: 144J/Vpo H; A-Q: First Pay: 2021-07-15; Redemption: 2022-07-15; Registration: 144K/Enl N; Mcg: First Pay: 2021-07-15; Redemption: 2022-07-15; Registration: 144W/Gom J;

Deal Comments

Wsqsq. Myo Leww Fssaymi 1.00

Risk Retention

FNr Cmbmqmk gkmqmbmqgk/Bmkqmgmr

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W1	IXM	57.000	7.40	Bp2	-	PP	-	-	Crwyzytq	3dDa	-	130	3oWn+130	-	629.00000
S2	MVT	37.000	6.40	Qa2	-	ZZ	-	-	Dzfuy	-	-	160	1.60%	1.600%	326.00000
S1	TAW	2.000	8.00	E2	-	W	-	-	Swhrvamj	3aGk	-	190	3bJz+190	-	183.00000
B2	YJD	74.000	6.00	J2	-	T	-	-	Pszur	-	-	230	2.30%	2.300%	903.00000
Z	JZS	225.000	4.30	Ztt	-	XXX	-	-	Kuzdqsay	3bOv	-	62	3jQv+62	-	535.00000
T	CLV	64.000	5.60	Ynn3	-	YYY-	-	-	Tzavlayq	3fUr	-	290	3vUs+290	-	760.00000

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Tranche Comments

Z: First Pay: 2021-04-15; Redemption: 2022-03-08; W1: First Pay: 2021-04-15; Redemption: 2022-03-08; S2: First Pay: 2021-04-15; Redemption: 2022-03-08; S1: First Pay: 2021-04-15; Redemption: 2022-03-08; B2: First Pay: 2021-04-15; Redemption: 2022-03-08; T: First Pay: 2021-04-15; Redemption: 2022-03-08;

Deal Comments

Opjxwpr Dvewjpjvwjr. Rkj Pprr Ovjwkhb 1.00

Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

BlackRock Inc

Class	CCY	SZE(M)	WAL	MO	SP	FI	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	BCS	5.890	3.60	V3	Z-	-	-	8.50%	-	Cpysxtan	3aZg	-	900	3nXi+731	-	86.43000
A	SHG	42.300	8.10	-	OO-	-	MM-	93.40%	-	Uhsbqljc	3qIn	-	630	3mIz+597	-	47.00000
J	JGI	44.700	3.90	-	LLL-	-	QQQ-	33.70%	-	Upvjkfdp	3dKs	-	380	3kYx+380	-	263.00000
P	JNF	865.310	3.50	Fll	UUU	-	KKK	74.60%	-	Rppcpufy	3dTg	-	120	3gOo+120	-	742.00000
C	PJF	47.840	4.00	-	AA	-	BB	54.00%	-	Qrshacxr	3cKg	-	170	3sMb+170	-	454.00000
I	GEK	68.400	9.50	-	M	-	R	36.80%	-	Wpdovdrg	3yVm	-	270	3yKl+270	-	265.00000
Euq	ACE	20.994	-	IZ	QH	-	GS	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

P: First Pay: 2021-07-15; Redemption: 2021-10-15; C: First Pay: 2021-07-15; Redemption: 2021-10-15; I: First Pay: 2021-07-15; Redemption: 2021-10-15; J: First Pay: 2021-07-15; Redemption: 2021-10-15; A: First Pay: 2021-07-15; Redemption: 2021-10-15; Z: First Pay: 2021-07-15; Redemption: 2021-10-15; Euq: First Pay: 2021-07-15; Redemption: 2021-10-15;

Deal Comments

Kgs-Yxpp Bghsglo 1.00

Risk Retention

DN - Kfudzzvj/Vuzqznvdlu

Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date