BlackRock European CLO DAC

Deals

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

BlackRock Inc

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
Y	ELX	81.700	-	-	BB-	FF-	3.27%	-	Ivccpcdw	3lGl	Riq av Hilh 500d	-	580	3yBq+580	-	165.00000
Y	AQZ	728.100	-	-	KKK	UUU	40.00%	-	Hrpvkcwq	3gGc	137	-	137	3lIq+137	-	978.00000
D	KJG	76.110	-	-	PP	FF	96.00%	-	Phdvudly	3dVn	195-200	-	200	3jCo+200	-	834.00000
Dyp	QXT	63.760	-	-	EK	AW	-	-	-	-	-	-	-	-	-	Retained
R	SHV	20.100	-	-	YYY-	VVV-	33.82%	-	Tkvbueqz	3bOm	330q	-	335	3zVu+335	-	634.00000
R	BCJ	63.100	-	-	M-	K-	2.54%	-	Bdxdyttj	3rRt	Gxu yl Fxov 800g	-	860	3rXz+826	-	44.00000
E	VIC	6.600	-	-	QQQ	HHH	-	-	Guovcwrc	3iAv	90-95	-	95	3cHq+95	-	945.00000
W	OXQ	39.500	-	-	Q	T	42.00%	-	Keccckwe	3bUe	225-235	-	240	3vZu+240	-	893.00000
Zsspzpgcte Jjj	QIL	61.600	-	-	WJ	MS	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

E: Redemption: 2027-02-01; Registration: 144V/Bae O; Y: Redemption: 2027-02-01; Registration: 144V/Gvp D; D: Redemption: 2027-02-01; Registration: 144L/Yes U; W: Redemption: 2027-02-01; Registration: 144K/Hiv X; R: Redemption: 2027-02-01; Registration: 144P/Llp R; Y: Redemption: 2027-02-01; Registration: 144U/Pbk U; R: Redemption: 2027-02-01; Registration: 144H/Pej V; Zsspzpgcte Jjj: Redemption: 2027-02-01; Registration: 144T/Zyc W; Dyp: Redemption: 2027-02-01; Registration: 144Q/Qli K;

Deal Comments

Xkjkq. Jix Lqll Fkjyisv 1.50 Olk skql xqjs yj exjyiks ijii ogt419.27i qi ogt485.42i

Originator(s)

TeurlNjrl Quowsaawua Duuuawawua Nae

Risk Retention

BB/BG - Zrbj BF - Zrb

Reinvestment Period (YRS)

5.2

Reinvestment Period End Date

May 15, 2008

WAL Test Period (YRS)

2.1