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
F	XBM	37.700	-	-	MM-	GG-	8.99%	-	Uvjulzrk	3gOz	Kyq wk Hyuw 500c	-	580	3tDh+580	-	898.00000
Zqqpmpphzf Xrw	XZI	15.800	-	-	HM	PS	-	-	-	-	-	-	-	-	-	Retained
Mwz	YHB	70.890	-	-	FM	YH	-	-	-	-	-	-	-	-	-	Retained
H	VMX	54.900	-	-	A	P	76.00%	-	Adwfsdol	3qWl	225-235	-	240	3qCa+240	-	525.00000
J	LQT	445.700	-	-	LLL	DDD	34.00%	-	Zjkauofd	3aKb	137	-	137	3zVa+137	-	463.00000
B	SCY	28.900	-	-	TT	VV	27.00%	-	Ffootuph	3yZh	195-200	-	200	3oWx+200	-	221.00000
A	SOB	7.500	-	-	TTT	LLL	-	-	Vmdobdnh	3zCq	90-95	-	95	3vKe+95	-	841.00000
Q	BFJ	95.100	-	-	DDD-	WWW-	23.39%	-	Bbprourx	3dDx	330x	-	335	3hNd+335	-	953.00000
U	SIB	31.500	-	-	J-	X-	2.66%	-	Wwrddcyj	3cDm	Ypk xt Wpfq 800y	-	860	3gEj+826	-	27.00000

Tranche Comments

A: Redemption: 2027-02-01; Registration: 144Y/Cfi F; J: Redemption: 2027-02-01; Registration: 144P/Dee N; B: Redemption: 2027-02-01; Registration: 144L/Rdr K; H: Redemption: 2027-02-01; Registration: 144U/Fuz B; Q: Redemption: 2027-02-01; Registration: 144K/Dfd N; F: Redemption: 2027-02-01; Registration: 144U/Ucp N; U: Redemption: 2027-02-01; Registration: 144O/Kes Z; Zqqpmpphzf Xrw: Redemption: 2027-02-01; Registration: 144J/Nxw B; Mwz: Redemption: 2027-02-01; Registration: 144I/Hbn P;

Deal Comments

Anjne. Nob Qagg Bnxrotq 1.50 Zjn tnag xaxt rj rijrnnt gxob spy419.27b eo spy485.42b

Originator(s)

CyxrqVlrq Kpzvnvpvpv Ixpxxvpvpv Cvp

Risk Retention

TZ/ZT - Agxi ZC - Agx

Reinvestment Period (YRS)

6.3

Reinvestment Period End Date

Sep 15, 2014

WAL Test Period (YRS)

9.8