BlackRock European CLO II Designated Activity Company
Payment Date Report As of January 5, 2021
Global Corporate Trust www.usbank.com/cdo
Page 1 of 91 BlackRock European CLO II D.A.C. Table of Contents As of Date: 05-Jan-21 Eoin Conway Payment Date: 15-Jan-21 +353 1 6088149 [email protected]
Electronic Reports Relevant Dates
Issue ID: ...... BLRK1602 Issue Date: 15-Dec-16 Monthly Data File Name: Effective Date: 22-May-17 BLRK1602_20210105_D_3.CSV Test History Standard First Payment Date: 17-Jul-17 BLRK1602_20210105_D_4.CSV Holdings Standard Reinvestment Period End Date: 15-Jan-21 BLRK1602_20210105_D_2.CSV Transaction Details Standard BLRK1602_20210105_D_12.CSV Amortization BLRK1602_20210105_D_13.CSV Cash Account Summary BLRK1602_20210105_D_14.CSV Liability Details Report Name Pages Report Name Pages Summary 3 Current Asset Characteristics - Part III 46 Proceeds Account Summary 4 Defaulted Obligations and Deferring Securities 54 Distribution Summary 5 PIK Balances 55 Distribution Detail (Interest) 6 Discount and Swapped Non-Discount Obligations 56 Distribution Detail (Principal) 9 Collateral Enhancement Obligations and Exchanged Equity Securities57 Distribution Detail (Collateral Enhancement) 12 Participation Information 58 Administrative Expenses Detail 13 Restructured Obligations - Additions 59 Portfolio Profile Test Summary 14 Restructured Obligations - Removals 60 Coverage and Quality Tests 16 Rating Detail - Public 61 Interest Coverage Tests Detail 17 Rating Change History - Public 70 Par Value Tests Detail 18 Rating Change History - Shadow/Private 71 Caa Obligations 19 Counterparty Ratings 72 CCC Obligations 20 Intra-Period Collection Account Detail 73 Coverage Tests History - Part I 21 Hedge Transactions Details I 80 Coverage Tests History - Part II 22 Hedge Transactions Details II 81 Collateral Quality History - Part I 23 Hedge Transactions Details III 82 Collateral Quality History - Part II 24 Stratifications - Countries 83 Coverage Tests History - Part III 25 Stratifications - Obligors (10 Largest) 84 S&P CDO Monitor 26 Stratifications - Industries 85 Aggregate Collateral Balance for Portfolio Profile Tests 27 Ratings Concentration 86 Eligible Investments 28 Risk Retention 87 Assets: Purchased 29 Additional Notices 88 Assets: Sold 30 Counterparties 89 Principal Repayments 31 Liability ISIN 90 Current Asset Characteristics - Part I 32 Disclamer 91 Current Asset Characteristics - Part II 40 Contact Information Issuer: BlackRock European CLO II Designated Activity Company Investment Manager: BlackRock Investment Management (UK) Limited Rated By: Moody's Investors Service/Standard & Poor's Ratings Services
Page 2 of 91 BlackRock European CLO II D.A.C. Summary As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Note Information
Expected Moody's S&P Original Original Current Interest Note Coupon Balance Balance Payment Index Coupon Orig Curr Orig Curr Class A 0.88000 % 244,000,000.00 244,000,000.00 549,000.00 0.0000% 0.88000 % Aaa Aaa AAA AAA Class B 1.50000 % 48,000,000.00 48,000,000.00 183,840.00 0.0000% 1.50000 % A2 A2 AA AA Class C 2.20000 % 23,000,000.00 23,000,000.00 129,260.00 0.0000% 2.20000 % A2 A2 A A Class D 3.10000 % 20,000,000.00 20,000,000.00 158,400.00 0.0000% 3.10000 % Baa2 Baa2 BBB BBB Class E 5.95000 % 25,000,000.00 25,000,000.00 380,250.00 0.0000% 5.95000 % Ba2 Ba2 BB BB Class F 7.50000 % 12,000,000.00 12,000,000.00 230,040.00 0.0000% 7.50000 % B2 B3 B- B- Subordinated Notes N/A 43,800,000.00 43,800,000.00 N/A N/A N/A NR NR NR NR
Totals: 415,800,000.00 415,800,000.00 1,630,790.00
Asset Positions Test Summary Curr Prior Position (1) Count Current Count Prior Test Type Pass Fail N/A Coverage 9 - - Senior Secured Loan 144 334,288,324.41 145 335,026,592.90 Quality 5 1 - Mezzanine Obligation - - - - Portfolio Profile 42 2 - Unsecured Senior Loan - - - - Totals: 56 3 - Second Lien Loan 2 3,500,000.00 2 3,500,000.00 High Yield Bond 16 22,052,000.00 17 23,052,000.00 Warrants - - - - Common Stock - - - - Senior Secured Bond 30 40,590,378.57 30 40,590,378.57 Euro Principal Account (146,593.57) (1,923,587.55) Unused Proceeds Account - - Unfunded Commitments - - - - Totals: 192 400,284,109.41 194 400,245,383.92
U.S. Bank Global Corporate Trust Summary Page 3 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Proceeds Account Summary As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Accounts Summary
Opening Ending Account Balance Deposits Withdrawals Balance Balance (EUR)
EUR BLACKROCK CLO II COLLATERAL ENHANCEMENT - - - - - BLACKROCK CLO II EUR INTEREST ACCOUNT 2,818,926.31 1,183,879.59 - 4,002,805.90 4,002,805.90 BLACKROCK CLO II EUR PRINCIPAL ACCOUNT 14,330,840.41 6,172,917.23 9,859,239.51 10,644,518.13 10,644,518.13 BLACKROCK CLO II EXPENSE RESERVE ACCCOUNT 4,508.61 - - 4,508.61 4,508.61 BLACKROCK CLO II FIRST PERIOD RESERVE - - - - - BLACKROCK CLO II HEDGE TERMINATION ACCOUNT - - - - - BLACKROCK CLO II INTEREST SMOOTHING - - - - - BLACKROCK CLO II PAYMENT ACCOUNT - - - - - BLACKROCK CLO II UNFUNDED REVOLVER RESERVE - - - - - BLACKROCK CLO II UNUSED PROCEEDS ACCOUNT - - - - -
Totals: 17,154,275.33 7,356,796.82 9,859,239.51 14,651,832.64 14,651,832.64 GBP BLACKROCK CLO II GBP CURRENCY AC - Interest - - - - - BLACKROCK CLO II GBP CURRENCY AC - Principal 250.00 - - 250.00 272.53
Totals: 250.00 - - 250.00 272.53 USD BLACKROCK CLO II USD CURRENCY AC - Interest - - - - - BLACKROCK CLO II USD CURRENCY AC - Principal 580.09 - - 580.09 494.18
Totals: 580.09 - - 580.09 494.18
Please Note: All balances are as of the cash settled date.
U.S. Bank Global Corporate Trust Proceeds Account Summary Page 4 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Distribution Summary As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Current Euribor (%): 0.00000 Next Euribor (%): 0.00000 Opening Closing Accrued Repayment Total Original Balance Principal Balance Interest of Deferred Interest Interest Note Face Value % of Orig Bal Payment % of Orig Bal Due Interest Payment Rate
Class A 244,000,000.00 244,000,000.00 0.00 244,000,000.00 549,000.00 0.00 549,000.00 0.8800000000% / XS2010621360 100.00% 100.00%
Class B 48,000,000.00 48,000,000.00 0.00 48,000,000.00 183,840.00 0.00 183,840.00 1.5000000000% / XS2010622681 100.00% 100.00%
Class C 23,000,000.00 23,000,000.00 0.00 23,000,000.00 129,260.00 0.00 129,260.00 2.2000000000% / XS2010622681 100.00% 100.00%
Class D 20,000,000.00 20,000,000.00 0.00 20,000,000.00 158,400.00 0.00 158,400.00 3.1000000000% / XS2010623226 100.00% 100.00%
Class E 25,000,000.00 25,000,000.00 0.00 25,000,000.00 380,250.00 0.00 380,250.00 5.9500000000% / XS2010623903 100.00% 100.00%
Class F 12,000,000.00 12,000,000.00 0.00 12,000,000.00 230,040.00 0.00 230,040.00 7.5000000000% 100.00% 100.00%
Subordinated Notes 43,800,000.00 43,800,000.00 0.00 43,800,000.00 0.00 0.00 1,666,930.24 0.0000000000% 100.00% 100.00%
U.S. Bank Global Corporate Trust Distribution Summary Page 5 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Distribution Detail (Interest) As of Date: 05-Jan-21 Payment Date: 15-Jan-21 Amount Priority Payable To: (EUR)
Total Available Proceeds: 3,997,106.30
(A)(i) Payment of taxes owing by the Issuer 2,872.00 (A)(ii) Payment of the Issuer Profit Amount to be retained by the Issuer 250.00 (B)(1) Payment of accrued and unpaid Trustee Fees and Expenses, up to an amount equal to the Senior Expenses Cap 2,500.00 (B)(2) Payment of Administrative Expenses, up to an amount equal to the Senior Expenses Cap less any amounts paid in (B)(1) 95,292.78 (C) Payment of an amount, at the Collateral Manager’s discretion, to the Expense Reserve Account - (D)(1)(i) Payment of the Senior Collateral Management Fee due and payable on the current Payment Date 158,302.63 (D)(1)(ii) Payment of VAT in respect of the amount in (D)(1)(i) - (D)(1)(iii) Payment to the Principal Account of any amount otherwise payable in (D)(1)(i) which the Collateral Manager has designated for reinvestment - (D)(2)(i) Payment of any Senior Collateral Management Fee previously due and not paid (other than Deferred Senior Collateral Management Amounts) - (D)(2)(ii) Payment of VAT in respect of the amount in (D)(2)(i) - (E)(1)(i) Payment on a pro rata basis of any Scheduled Periodic Hedge Issuer Payments - (E)(1)(ii) Payment on a pro rata basis of any Currency Hedge Issuer Termination Payments - (E)(1)(iii) Payment on a pro rata basis of any Interest Rate Hedge Issuer Termination Payments - (E)(2) Payment on a pro rata basis of any Hedge Replacement Payments - (F) Interest Amounts due and payable on the Class A Notes 549,000.00 (G) Interest Amounts due and payable on the Class B Notes 183,840.00 (H)(i) Redemption of Class A Notes due to a Class A/B Coverage Tests breach - (H)(ii) Redemption of Class B Notes due to a Class A/B Coverage Tests breach - (I) Interest Amounts due and payable on the Class C Notes (including any interest on Deferred Interest) 129,260.00 (J) Deferred Interest on the Class C Notes - (K)(i) Redemption of Class A Notes due to a Class C Coverage Tests breach - (K)(ii) Redemption of Class B Notes due to a Class C Coverage Tests breach - (K)(iii) Redemption of Class C Notes due to a Class C Coverage Tests breach - (L) Interest Amounts due and payable on the Class D Notes (including any interest on Deferred Interest) 158,400.00 (M) Deferred Interest on the Class D Notes - (N)(i) Redemption of Class A Notes due to a Class D Coverage Tests breach - (N)(ii) Redemption of Class B Notes due to a Class D Coverage Tests breach - (N)(iii) Redemption of Class C Notes due to a Class D Coverage Tests breach - (N)(iv) Redemption of Class D Notes due to a Class D Coverage Tests breach - (O) Interest Amounts due and payable on the Class E Notes (including any interest on Deferred Interest) 380,250.00
U.S. Bank Global Corporate Trust Distribution Detail (Interest) Page 6 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Distribution Detail (Interest) As of Date: 05-Jan-21 Payment Date: 15-Jan-21 Amount Priority Payable To: (EUR) (P) Deferred Interest on the Class E Notes - (Q)(i) Redemption of Class A Notes due to a Class E Par Value Test breach - (Q)(ii) Redemption of Class B Notes due to a Class E Par Value Test breach - (Q)(iii) Redemption of Class C Notes due to a Class E Par Value Test breach - (Q)(iv) Redemption of Class D Notes due to a Class E Par Value Test breach - (Q)(v) Redemption of Class E Notes due to a Class E Par Value Test breach - (R) Interest Amounts due and payable on the Class F Notes (including any interest on Deferred Interest) 230,040.00 (S) Deferred Interest on the Class F Notes - (T)(i) Redemption of Class A Notes due to a Class F Par Value Test breach - (T)(ii) Redemption of Class B Notes due to a Class F Par Value Test breach - (T)(iii) Redemption of Class C Notes due to a Class F Par Value Test breach - (T)(iv) Redemption of Class D Notes due to a Class F Par Value Test breach - (T)(v) Redemption of Class E Notes due to a Class F Par Value Test breach - (T)(vi) Redemption of Class F Notes due to a Class F Par Value Test breach - (U)(i) Redemption of Class A Notes due to an Effective Date Rating Event - (U)(ii) Redemption of Class B Notes due to an Effective Date Rating Event - (U)(iii) Redemption of Class C Notes due to an Effective Date Rating Event - (U)(iv) Redemption of Class D Notes due to an Effective Date Rating Event - (U)(v) Redemption of Class E Notes due to an Effective Date Rating Event - (U)(vi) Redemption of Class F Notes due to an Effective Date Rating Event - (V) Payment to the Principal Account due to a Reinvestment Overcollateralisation Test breach - (W)(1)(i) Payment of the Subordinated Collateral Management Fee due and payable on the current Payment Date 369,372.79 (W)(1)(ii) Payment of VAT in respect of the amount in (W)(1)(i) - (W)(1)(iii) Payment to the Principal Account of any amount otherwise payable in (W)(1)(i) which the Collateral Manager has designated for reinvestment - (W)(2)(i) Payment of any Subordinated Collateral Management Fee previously due and unpaid (other than Deferred Subordinated Collateral Management Amounts) - (W)(2)(ii) Payment of VAT in respect of the amount in (W)(2)(i) - (W)(3) Payment of any Deferred Senior Collateral Management Amounts and Deferred Subordinated Collateral Management Amounts - (W)(4) Repayment of any Collateral Manager Advances (including any interest thereon) - (X)(1) Payment of Trustee Fees and Expenses (if any) not paid by reason of the Senior Expenses Cap - (X)(2) Payment of Administrative Expenses (if any) not paid by reason of the Senior Expenses Cap 70,795.86 (X)(3)(i) Payment on a pro rata basis of any Defaulted Currency Hedge Termination Payments - (X)(3)(ii) Payment on a pro rata basis of any Defaulted Interest Rate Hedge Termination Payments - (Y) During the Reinvestment Period, transfer of any Collateral Enhancement Amount to the Collateral Enhancement Account - (Z)(1) If the IRR Threshold has not been reached, any remaining Interest Proceeds to the Subordinated Notes until the Threshold is reached 1,666,930.24
U.S. Bank Global Corporate Trust Distribution Detail (Interest) Page 7 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Distribution Detail (Interest) As of Date: 05-Jan-21 Payment Date: 15-Jan-21 Amount Priority Payable To: (EUR) (Z)(2)(a) Once the IRR Threshold has been reached, 20 per cent. of any remaining Interest Proceeds to the payment of the Incentive Collateral Management Fee - (Z)(2)(b) Payment of VAT in respect of the amount in (Z)(2)(a) - (Z)(2)(c) Any remaining Interest Proceeds to the Subordinated Notes -
Total: 3,997,106.30
U.S. Bank Global Corporate Trust Distribution Detail (Interest) Page 8 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Distribution Detail (Principal) As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Amount Priority Payable To: (EUR)
Total Available Proceeds: 10,644,518.13
(A)(A)(i) Payment of taxes owing by the Issuer - (A)(A)(ii) Payment of the Issuer Profit Amount to be retained by the Issuer - (A)(B)(1) Payment of accrued and unpaid Trustee Fees and Expenses, up to an amount equal to the Senior Expenses Cap - (A)(B)(2) Payment of Administrative Expenses, up to an amount equal to the Senior Expenses Cap less any amounts paid in (A)(B)(1) - (A)(C) Payment of an amount, at the Collateral Manager’s discretion, to the Expense Reserve Account - (A)(D)(1)(i) Payment of the Senior Management Fee due and payable on the current Payment Date - (A)(D)(1)(ii) Payment of VAT in respect of the amount in (A)(D)(1)(i) - (A)(D)(1)(iii) Payment to the Principal Account of any amount otherwise payable in (A)(D)(1)(i) which the Collateral Manager has designated for reinvestment - (A)(D)(2)(i) Payment of any Senior Management Fee previously due and not paid (other than Deferred Senior Collateral Management Amounts) - (A)(D)(2)(ii) Payment of VAT in respect of the amount in (A)(D)(2)(i) - (A)(E)(1)(i) Payment on a pro rata basis of any Scheduled Periodic Hedge Issuer Payments - (A)(E)(1)(ii) Payment on a pro rata basis of any Currency Hedge Issuer Termination Payments - (A)(E)(1)(iii) Payment on a pro rata basis of any Interest Rate Hedge Issuer Termination Payments - (A)(E)(2) Payment on a pro rata basis of any Hedge Replacement Payments - (A)(F) Interest Amounts due and payable on the Class A Notes - (A)(G) Interest Amounts due and payable on the Class B Notes - (A)(H)(i) Redemption of Class A Notes due to a Class A/B Coverage Tests breach - (A)(H)(ii) Redemption of Class B Notes due to a Class A/B Coverage Tests breach - (B) Interest Amounts due and payable on the Class C Notes (including any interest on Deferred Interest), if the Class C Notes are the Controlling Class - (C) Deferred Interest on the Class C Notes, if the Class C Notes are the Controlling Class - (D)(i) Redemption of Class A Notes due to a Class C Coverage Tests breach - (D)(ii) Redemption of Class B Notes due to a Class C Coverage Tests breach - (D)(iii) Redemption of Class C Notes due to a Class C Coverage Tests breach - (E) Interest Amounts due and payable on the Class D Notes (including any interest on Deferred Interest), if the Class D Notes are the Controlling Class - (F) Deferred Interest on the Class D Notes, if the Class D Notes are the Controlling Class - (G)(i) Redemption of Class A Notes due to a Class D Coverage Tests breach - (G)(ii) Redemption of Class B Notes due to a Class D Coverage Tests breach - (G)(iii) Redemption of Class C Notes due to a Class D Coverage Tests breach - (G)(iv) Redemption of Class D Notes due to a Class D Coverage Tests breach - (H) Interest Amounts due and payable on the Class E Notes (including any interest on Deferred Interest), if the Class E Notes are the Controlling Class - (I) Deferred Interest on the Class E Notes, if the Class E Notes are the Controlling Class -
U.S. Bank Global Corporate Trust Distribution Detail (Principal) Page 9 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Distribution Detail (Principal) As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Amount Priority Payable To: (EUR) (J)(i) Redemption of Class A Notes due to a Class E Par Value Test breach - (J)(ii) Redemption of Class B Notes due to a Class E Par Value Test breach - (J)(iii) Redemption of Class C Notes due to a Class E Par Value Test breach - (J)(iv) Redemption of Class D Notes due to a Class E Par Value Test breach - (J)(v) Redemption of Class E Notes due to a Class E Par Value Test breach - (K) Interest Amounts due and payable on the Class F Notes (including any interest on Deferred Interest), if the Class E Notes are the Controlling Class - (L) Deferred Interest on the Class F Notes, if the Class F Notes are the Controlling Class - (M)(i) Redemption of Class A Notes due to a Class F Par Value Test breach - (M)(ii) Redemption of Class B Notes due to a Class F Par Value Test breach - (M)(iii) Redemption of Class C Notes due to a Class F Par Value Test breach - (M)(iv) Redemption of Class D Notes due to a Class F Par Value Test breach - (M)(v) Redemption of Class E Notes due to a Class F Par Value Test breach - (M)(vi) Redemption of Class FNotes due to a Class F Par Value Test breach - (N)(i) Redemption of Class A Notes due to an Effective Date Rating Event - (N)(ii) Redemption of Class B Notes due to an Effective Date Rating Event - (N)(iii) Redemption of Class C Notes due to an Effective Date Rating Event - (N)(iv) Redemption of Class D Notes due to an Effective Date Rating Event - (N)(v) Redemption of Class E Notes due to an Effective Date Rating Event - (N)(vi) Redemption of Class F Notes due to an Effective Date Rating Event - (O)(i) Redemption of Class A Notes up to the Special Redemption Amount (if any) - (O)(ii) Redemption of Class B Notes up to the Special Redemption Amount (if any) - (O)(iii) Redemption of Class C Notes up to the Special Redemption Amount (if any) - (O)(iv) Redemption of Class D Notes up to the Special Redemption Amount (if any) - (O)(v) Redemption of Class E Notes up to the Special Redemption Amount (if any) - (O)(vi) Redemption of Class F Notes up to the Special Redemption Amount (if any) - (P)(1) During the Reinvestment Period, to the purchase of Substitute Collateral Obligations or to the Principal Account 10,644,518.13 (P)(2) After the Reinvestment Period, Unscheduled Principal Proceeds and Sale Proceeds to the purchase of Substitute CDOs or to the Principal Account - (Q)(i) After the Reinvestment Period, redemption of Class A Notes - (Q)(ii) After the Reinvestment Period, redemption of Class B Notes - (Q)(iii) After the Reinvestment Period, redemption of Class C Notes - (Q)(iv) After the Reinvestment Period, redemption of Class D Notes - (Q)(v) After the Reinvestment Period, redemption of Class E Notes - (Q)(vi) After the Reinvestment Period, redemption of Class F Notes - (R)(W)(1)(i) Payment of the Subordinated Management Fee due and payable on the current Payment Date -
U.S. Bank Global Corporate Trust Distribution Detail (Principal) Page 10 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Distribution Detail (Principal) As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Amount Priority Payable To: (EUR) (R)(W)(1)(ii) Payment of VAT in respect of the amount in (R)(W)(1)(i) - (R)(W)(1)(iii) Payment to the Principal Account of any amount otherwise payable in (R)(W)(1)(i) which the Collateral Manager has designated for reinvestment - (R)(W)(2)(i) Payment of any Subordinated Management Fee previously due and unpaid (other than Deferred Subordinated Collateral Management Amounts) - (R)(W)(2)(ii) Payment of VAT in respect of the amount in (R)(W)(2)(i) - (R)(W)(3) Payment of any Deferred Senior Collateral Management Amounts and Deferred Subordinated Collateral Management Amounts - (R)(W)(4) Repayment of any Collateral Manager Advances (including any interest thereon) - (R)(X)(1) Payment of Trustee Fees and Expenses (if any) not paid by reason of the Senior Expenses Cap - (R)(X)(2) Payment of Administrative Expenses (if any) not paid by reason of the Senior Expenses Cap - (R)(X)(3)(i) Payment on a pro rata basis of any Defaulted Currency Hedge Termination Payments - (R)(X)(3)(ii) Payment on a pro rata basis of any Defaulted Interest Rate Hedge Termination Payments - (S)(1) If the IRR Threshold has not been reached, any remaining Principal Proceeds to the Subordinated Notes until the Threshold is reached - (S)(2)(a) Once the IRR Threshold has been reached, 20 per cent. of any remaining Principal Proceeds to the payment of the Incentive Collateral Management Fee - (S)(2)(b) Payment of VAT in respect of the amount in (S)(2)(a) - (S)(2)(c) Any remaining Principal Proceeds to the Subordinated Notes -
Total: 10,644,518.13
U.S. Bank Global Corporate Trust Distribution Detail (Principal) Page 11 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Distribution Detail (Collateral Enhancement) As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Amount Priority Payable To: (EUR)
Total Available Proceeds: -
(A) Payment to the Subordinated Notes until the IRR Threshold has been reached - (B)(1) Once the IRR is reached, 20% of any remaining Collateral Enhancement Obligation Proceeds to the payment of the Incentive Collateral Management Fee - (B)(2) Payment of VAT in respect of the amount in (B)(1) - (B)(3) Any remaining Collateral Enhancement Obligation Proceeds to the Subordinated Notes -
Total: -
U.S. Bank Global Corporate Trust Distribution Detail (Collateral Enhancement) Page 12 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Administrative Expenses Detail As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Current Itemized Administrative Expenses
Name Description Amount Due Amount Paid Account Bank 1,250.00
Calculation Agent 500.00
Cole, Mink, & Fransella PLLC, Washington 69910748 1,561.27
Collateral Administrator 13,601.41
Custodian 1,250.00
ESMA Fee INV-1761 2,250.00
Law Debenture Ireland Invoice TIRE/18/TRR0059 1,845.00
Law Debenture Ireland Invoice TIRE/19/TRR0024 1,845.00
Law Debenture Ireland Invoice TIRE/19/TRR0025 1,845.00
Law Debenture Ireland Invoice TIRE/19/TRR0030 1,845.00
Law Debenture Ireland Invoice TIRE/20/TRR0031 1,845.00
Law Debenture Ireland Invoice TIRE/20/TRR0033 1,845.00
Moody's Investors Service Ltd INV GB20002689 43,709.00
Negative Interest Charge 24,369.00
Paying Agent 1,000.00
Registrar 500.00
S&P Global Ratings Europe Limited inv 10605575 60,500.00
Secure Share Network INV SSN-20943 1,027.96
The Irish Stock Exchange plc, INV23045852 3,000.00
Transfer Agent 500.00
Total: 166,088.64
U.S. Bank Global Corporate Trust Administrative Expenses Detail Page 13 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Portfolio Profile Test Summary As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Test Effective Number Description Date Prior Current Trigger Max / Min Result 1 Aggregate Collateral Principal Amount for Portfolio Profile Tests 402,294,877.18 400,240,761.92 400,284,109.41 - N/A 2 (a) Senior Secured Loans and Senior Secured Bonds 95.68% 93.37% 93.62% 90.00% Minimum Pass 3 (b) Senior Secured Loans 82.85% 83.22% 83.48% 70.00% Minimum Pass 4 (c) Fixed Rate Collateral Debt Obligations 4.72% 8.07% 7.82% 12.50% Maximum Pass 5 (d) Unsecured Loans, Second Lien Loans, Mezzanine Obligations and High Yield Bonds 4.32% 6.63% 6.38% 10.00% Maximum Pass 6 (e)(i) Single Obligor Concentration of Senior Secured Loans and Senior Secured Bonds (Largest Obligor) 1.88% 1.28% 1.28% 3.00% Maximum Pass 7 (e)(ii) Single Obligor Concentration of Senior Secured Loans and Senior Secured Bonds (Fourth Largest 1.74% 1.11% 1.11% 2.50% Maximum Pass Obligor) 8 (f)(i) Single Obligor Concentration of Unsecured Loans, Second Lien Loans, Mezzanine Obligations and High 1.49% 0.87% 0.87% 2.00% Maximum Pass Yield Bonds (Largest Obligor) 9 (f)(ii) Single Obligor Concentration of Unsecured Loans, Second Lien Loans, Mezzanine Obligations and High 0.44% 0.50% 0.50% 1.50% Maximum Pass Yield Bonds (Fourth Largest Obligor) 10 (g)(i) Single Obligor Concentration of Collateral Obligations (Largest Obligor) 1.88% 1.47% 1.47% 3.00% Maximum Pass 11 (g)(ii) Single Obligor Concentration of Collateral Obligations (Fourth Largest Obligor) 1.74% 1.27% 1.27% 2.50% Maximum Pass 12 (h) Participations - - - 10.00% Maximum Pass 13 (i) Current Pay Obligations - 1.81% 1.71% 5.00% Maximum Pass 14 (j) Annual Obligations 0.73% 3.00% 2.75% 5.00% Maximum Pass 15 (k) Revolving Obligations or Delayed Drawdown Obligations - - - 10.00% Maximum Pass 16 (l) Caa Obligations 1.66% 7.76% 7.50% 7.50% Maximum Fail 17 (m) CCC Obligations - 8.33% 8.23% 7.50% Maximum Fail 18 (n) Bridge Loans 1.49% - - 5.00% Maximum Pass 19 (o) Corporate Rescue Loans - - - 5.00% Maximum Pass 20 (p) PIK Securities 2.36% 1.32% 1.22% 5.00% Maximum Pass 21 (q) Cov-Lite loans 6.06% 1.72% 1.71% 30.00% Maximum Pass 22 (r) Unhedged Collateral Debt Obligations - - - 2.50% Maximum Pass 23 (s) Non-Euro Obligations - - - 30.00% Maximum Pass 24 (t)(i) S&P Industry Concentration (Largest Industry) 10.34% 8.37% 8.27% 15.00% Maximum Pass 25 (t)(ii) S&P Industry Concentration (Second Largest Industry) 7.53% 8.07% 8.05% 12.00% Maximum Pass 26 (t)(iii) S&P Industry Concentration (Sixth Largest Industry) 4.22% 6.27% 6.27% 10.00% Maximum Pass 27 (u) Collateral Debt Obligations whose Moody's Rating is derived from an S&P Rating 1.40% 1.17% 1.17% 10.00% Maximum Pass 28 (v) Obligors who are Domiciled in countries rated below "A-" by S&P 7.16% 3.24% 3.24% 10.00% Maximum Pass 29 (w) Obligors who are Domiciled in countries or jurisdictions with a Moody's local currency country risk ceiling - - - 10.00% Maximum Pass between "A1" and "Aa3" 30 (x)(i) Individual Third Party Credit Exposure to Selling Institutions rated "Aaa" or above by Moody's or "AAA" or - - - 10.00% Maximum Pass above by S&P
Portfolio Profile Tests are not applicable until the Effective Date.
U.S. Bank Global Corporate Trust Portfolio Profile Test Summary Page 14 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Portfolio Profile Test Summary As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Test Effective Number Description Date Prior Current Trigger Max / Min Result 31 (x)(ii) Individual Third Party Credit Exposure to Selling Institutions rated "Aa1" or above by Moody's or "AA+" or - - - 10.00% Maximum Pass above by S&P 32 (x)(iii) Individual Third Party Credit Exposure to Selling Institutions rated "Aa2" or above by Moody's or "AA" or - - - 10.00% Maximum Pass above by S&P 33 (x)(iv) Individual Third Party Credit Exposure to Selling Institutions rated "Aa3" or above by Moody's or "AA-" or - - - 10.00% Maximum Pass above by S&P 34 (x)(v) Individual Third Party Credit Exposure to Selling Institutions rated "A1" or above by Moody's or "A+" or - - - 5.00% Maximum Pass above by S&P 35 (x)(vi) Individual Third Party Credit Exposure to Selling Institutions rated "A2" and "P1" or above by Moody's or - - - 5.00% Maximum Pass "A" or above by S&P 36 (x)(vii) Individual Third Party Credit Exposure to Selling Institutions rated "A2" or below by Moody's or "A-" or - - - 0.00% Maximum Pass below by S&P 37 (x)(viii) Aggregate Third Party Credit Exposure to Selling Institutions rated "Aaa" or above by Moody's or "AAA" - - - 10.00% Maximum Pass by S&P 38 (x)(ix) Aggregate Third Party Credit Exposure to Selling Institutions rated "Aa1" or above by Moody's or "AA+" or - - - 10.00% Maximum Pass above by S&P 39 (x)(x) Aggregate Third Party Credit Exposure to Selling Institutions rated "Aa2" or above by Moody's or "AA" or - - - 10.00% Maximum Pass above by S&P 40 (x)(xi) Aggregate Third Party Credit Exposure to Selling Institutions rated "Aa3" or above by Moody's or "AA-" or - - - 10.00% Maximum Pass above by S&P 41 (x)(xii) Aggregate Third Party Credit Exposure to Selling Institutions rated "A1" or above by Moody's - - - 10.00% Maximum Pass 42 (x)(xiii) Aggregate Third Party Credit Exposure to Selling Institutions rated "A+" or above by S&P - - - 5.00% Maximum Pass 43 (x)(xiv) Aggregate Third Party Credit Exposure to Selling Institutions rated "A2" and "P1" or above by Moody's or - - - 5.00% Maximum Pass "A" or above by S&P 44 (x)(xv) Aggregate Third Party Credit Exposure to Selling Institutions rated "A2" or below by Moody's or "A-" or - - - 0.00% Maximum Pass below by S&P 45 (y) Collateral Obligations issued by Obligors with total current indebtedness of equal to or greather than EUR - - - 10.00% Maximum Pass 150,000,000 but less than EUR 250,000,000
Portfolio Profile Tests are not applicable until the Effective Date.
U.S. Bank Global Corporate Trust Portfolio Profile Test Summary Page 15 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Coverage and Quality Tests As of Date: 05-Jan-21 Payment Date: 15-Jan-21 Coverage Tests
Test Effective Number Description Date Prior Current Trigger Max / Min Result 1 Class A/B Par Value Test 137.92% 136.71% 136.78% 127.99% Minimum Pass 2 Class C Par Value Test 127.85% 126.73% 126.80% 119.48% Minimum Pass 3 Class D Par Value Test 120.22% 119.16% 119.23% 113.40% Minimum Pass 4 Class E Par Value Test 111.87% 110.89% 110.95% 106.61% Minimum Pass 5 Class F Par Value Test 108.26% 107.31% 107.37% 103.53% Minimum Pass 6 Reinvestment Overcollateralisation Test 108.26% 107.31% 107.37% 103.53% Minimum Pass 7 Class A/B Interest Coverage Test 459.78% 512.41% 501.17% 120.00% Minimum Pass 8 Class C Interest Coverage Test 391.41% 435.58% 426.03% 110.00% Minimum Pass 9 Class D Interest Coverage Test 327.84% 367.97% 359.90% 105.00% Minimum Pass
Collateral Quality Tests
Test Effective Number Description Date Prior Current Trigger Max / Min Result 1 Moody's Minimum Weighted Average Recovery Rate Test 44.3% 44.2% 44.3% 43.50% Minimum Pass 2 Moody's Maximum Weighted Average Rating Factor Test 2,599 3,267 3,254 2,944 Maximum Fail 3 Moody's Minimum Diversity Test 47 59 59 56 Minimum Pass 4 Weighted Average Life Test 5.74 4.87 4.86 5.28 Maximum Pass 5 Minimum Weighted Average Spread Test 4.09% 3.63% 3.62% 3.47% Minimum Pass 6 S&P CDO Monitor Test - 0.6154 0.6140 0.6891 Maximum Pass
Additional Information
Test Effective Number Description Date Prior Current Trigger Max / Min Result 1 Non-Adjusted Minimum Weighted Average Spread (Exc EURIBOR 3.73% 3.74% 3.74% N/A N/A N/A Floor Adjustment and Excess Amounts) 2 Non-Adjusted Minimum Weighted Average Spread (Exc Aggregate 4.10% 3.79% 3.78% N/A N/A N/A Excess Funded Spread) 3 Weighted Average Fixed Coupon 4.88% 3.34% 3.30% N/A N/A N/A
Interest Coverage Tests are not applicable until the 2nd distribution date.
U.S. Bank Global Corporate Trust Coverage and Quality Tests Page 16 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Interest Coverage Tests Detail As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Calculation Ratio Minimum Result
Class A/B Interest Coverage Test A / (B+C) 501.17% 120.00% Pass Class C Interest Coverage Test A / (B+C+D) 426.03% 110.00% Pass Class D Interest Coverage Test A / (B+C+D+E) 359.90% 105.00% Pass Received: Balance standing to the credit of the Interest Account 4,002,805.90 4,002,805.90 Projected: Scheduled Interest Payments 0.00 Scheduled Commitment Fees 0.00 Projected Reinvestment Income on Collateral Obligations 0.00 Projected Reinvestment Income on Cash Accounts 0.00 0.00 Minus: (A) Any taxes owed, and the Issuer Profit Amount 3,122.00 (B) Accrued and unpaid Trustee Fees and Expenses 2,500.00 (C) Accrued and unpaid Administrative Expenses 166,088.64 (D) Payment into the Expense Reserve Account 0.00 (E)(1) Senior Management Fees 158,302.63 (E)(2) Previously due and unpaid Senior Management Fees 0.00 (F) Scheduled Periodic Hedge Issuer Payments and Hedge Issuer Termination 0.00 Payments 330,013.27 Minus: Amounts payable into the Interest Smoothing Account 0.00 Interest in respect of a PIK Security that has been deferred 0.00 0.00 Plus: Amounts payable from the Expenses Reserve Account/First Period Reserve 0.00 Account/Interest Smoothing Account Scheduled Periodic Hedge Counterparty Payments 0.00 0.00 Interest Coverage Amount: 3,672,792.63 (A) Notes: Interest payment due on the Class A Notes 549,000.00 (B) Interest payment due on the Class B Notes 183,840.00 (C) Interest payment due on the Class C Notes 129,260.00 (D) Interest payment due on the Class D Notes 158,400.00 (E)
U.S. Bank Global Corporate Trust Interest Coverage Tests Detail Page 17 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Par Value Tests Detail As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Calculation Ratio Minimum Result Class A/B Par Value Test A / (B+C) 136.78% 127.99% Pass Class C Par Value Test A / (B+C+D) 126.80% 119.48% Pass Class D Par Value Test A / (B+C+D+E) 119.23% 113.40% Pass Class E Par Value Test A / (B+C+D+E+F) 110.95% 106.61% Pass Class F Par Value Test A / (B+C+D+E+F+G) 107.37% 103.53% Pass Reinvestment Overcollateralisation Test A / (B+C+D+E+F+G) 107.37% 103.53% Pass
Collateral: Aggregate Principal Balance of Collateral Debt Obligations 400,430,702.98 400,430,702.98 Minus: Principal Balance of Defaulted Obligations 0.00 Principal Balance of Deferring Securities 0.00 Principal Balance of Discount Obligations 0.00 0.00 Plus: Calculation Amount of Defaulted Obligations 0.00 Calculation Amount of Deferring Securities 0.00 Calculation Amount of Discount Obligations 0.00 0.00 Plus: Balance standing to the credit of the Principal Account (146,593.57) Balance standing to the credit of the Unused Proceeds Account 0.00 Unpaid accrued interest purchased with Principal Proceeds 57,741.05 (88,852.52) Minus: Excess CCC/Caa Adjustment Amount (931,906.60) (931,906.60) Adjusted Collateral Principal Amount: 399,409,943.86 (A) Notes: Principal Amount Outstanding of the Class A Notes 244,000,000.00 (B) Principal Amount Outstanding of the Class B Notes 48,000,000.00 (C) Principal Amount Outstanding of the Class C Notes 23,000,000.00 (D) Principal Amount Outstanding of the Class D Notes 20,000,000.00 (E) Principal Amount Outstanding of the Class E Notes 25,000,000.00 (F) Principal Amount Outstanding of the Class F Notes 12,000,000.00 (G)
U.S. Bank Global Corporate Trust Par Value Tests Detail Page 18 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Caa Obligations As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Seniority Moody's Rating Principal Balance (Euro Equivalent)Market Value **** **** **** **** **** 3,164,228.65 - **** **** **** **** **** 2,500,000.00 - **** **** **** **** **** 3,400,000.00 - LX137858 Alison Bidco S.A.R.L. Alstom (Arvos) T/L B2 Senior Secured Loan Caa1 3,334,009.35 81.0500000000 XS1577952440 Altice Financing S.A. Altice 4 3/4 01/15/28 High Yield Bond Caa1 1,000,000.00 96.9200900000 XS1513765922 Codere Finance 2 Luxembourg CDRSMSA 6 3/4 11/01/21 Senior Secured Bond Caa3 2,000,000.00 64.8133300000 LX174007 Imagina Media Audiovisual S.L.Imagina 2nd Lien T/L (Invictus SecondMedia) Lien Loan Caa3 1,500,000.00 75.0420000000 LX176184 NEP Europe Finco B.V. NEP Europe T/L Senior Secured Loan Caa1 1,967,368.30 94.8750000000 XS1713466149 Novafives SAS NVFVES Float 06/15/25 Senior Secured Bond Caa2 1,000,000.00 86.9854200000 LX182958 Piolin Bidco, S.A.U. Piolin Bidco T/L B1 Senior Secured Loan Caa1 1,000,000.00 92.1500000000 LX169932 Sapphire Bidco B.V Sapphire 2nd Lien T/L (TMF Group)Second Lien Loan Caa2 2,000,000.00 96.2500000000 LX171110 Silk Bidco AS Silk Bidco T/L B (Hurtigruten) Senior Secured Loan Caa1 4,000,000.00 86.9130000000 LX180927 Vue International Bidco p.l.c. Vue Cinemas 6/19 T/L B Senior Secured Loan Caa1 2,175,489.63 85.5000000000 XS2138140798 Altice France S.A YPSO FINANCE 4% 2/15/2028High Yield Bond Caa1 1,000,000.00 89.5140000000
Header Indenture Reference Description Number Percent (a) Collateral Principal Amount 400,284,109.41 (b) Excess Limit 7.50% (c) Excess Threshold (a) x (b) 30,021,308.21 (d) Aggregate Principal Balance of Caa Obligations 30,041,095.93
(e) Total Caa Excess above Threshold 19,787.72
Totals: 14
U.S. Bank Global Corporate Trust Caa Obligations Page 19 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. CCC Obligations As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Seniority S&P Rating Principal Balance (Euro Equivalent)Market Value **** **** **** **** **** 2,500,000.00 - **** **** **** **** **** 3,400,000.00 - LX137858 Alison Bidco S.A.R.L. Alstom (Arvos) T/L B2 Senior Secured Loan CCC+ 3,334,009.35 81.05 XS1513765922 Codere Finance 2 Luxembourg CDRSMSA 6 3/4 11/01/21Senior Secured Bond CCC 2,000,000.00 64.81 LX171876 GTT Communications, Inc. GTT Communications EMEASenior T/LSecured Loan CCC 3,164,228.65 89.98 LX174007 Imagina Media Audiovisual S.L.Imagina 2nd Lien T/L (InvictusSecond Media)Lien Loan CCC+ 1,500,000.00 75.04 LX172316 Imagina Media Audiovisual S.L.Imagina Media (Invictus)Senior T/L B Secured Loan CCC+ 2,250,764.11 89.00 LX174519 Imagina Media Audiovisual S.L.Imagina Media (Invictus)Senior T/L B2 Secured Loan CCC+ 1,349,235.89 89.00 LX181236 Pax Midco Spain, S.L.U. Pax Midco Spain T/L Senior Secured Loan CCC+ 2,600,000.00 88.29 LX182958 Piolin Bidco, S.A.U. Piolin Bidco T/L B1 Senior Secured Loan CCC+ 1,000,000.00 92.15 LX174704 Promotora de Informaciones SAPrisa (PRISA) T/L 2 (6/18) Senior Secured Loan CCC- 3,661,809.27 92.29 LX171110 Silk Bidco AS Silk Bidco T/L B (Hurtigruten)Senior Secured Loan CCC+ 4,000,000.00 86.91 LX180927 Vue International Bidco p.l.c. Vue Cinemas 6/19 T/L SeniorB Secured Loan CCC+ 2,175,489.63 85.50
Header Indenture Reference Description Number Percent (a) Collateral Principal Amount 400,284,109.41 (b) Excess Limit 7.50% (c) Excess Threshold (a) x (b) 30,021,308.21 (d) Aggregate Principal Balance of CCC Obligations 32,935,536.90
(e) Total CCC Excess above Threshold 2,914,228.69
Totals: 13
U.S. Bank Global Corporate Trust CCC Obligations Page 20 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Coverage Tests History - Part I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Class A/B Par Value Test Class C Par Value Test Class D Par Value Test
Period Minimum Actual Spread Result Period Minimum Actual Spread Result Period Minimum Actual Spread Result 05-Jan-21 127.99% 136.78% 8.79% Pass 05-Jan-21 119.48% 126.80% 7.32% Pass 05-Jan-21 113.40% 119.23% 5.83% Pass 21-Dec-20 127.99% 136.71% 8.72% Pass 21-Dec-20 119.48% 126.73% 7.25% Pass 21-Dec-20 113.40% 119.16% 5.76% Pass 20-Nov-20 127.99% 136.32% 8.33% Pass 20-Nov-20 119.48% 126.37% 6.89% Pass 20-Nov-20 113.40% 118.82% 5.42% Pass 02-Oct-20 127.99% 135.89% 7.90% Pass 02-Oct-20 119.48% 125.97% 6.49% Pass 02-Oct-20 113.40% 118.45% 5.05% Pass 21-Sep-20 127.99% 136.15% 8.16% Pass 21-Sep-20 119.48% 126.21% 6.73% Pass 21-Sep-20 113.40% 118.67% 5.27% Pass 20-Aug-20 127.99% 136.08% 8.09% Pass 20-Aug-20 119.48% 126.14% 6.66% Pass 20-Aug-20 113.40% 118.61% 5.21% Pass 03-Jul-20 127.99% 136.26% 8.27% Pass 03-Jul-20 119.48% 126.31% 6.83% Pass 03-Jul-20 113.40% 118.77% 5.37% Pass 22-Jun-20 127.99% 136.15% 8.16% Pass 22-Jun-20 119.48% 126.21% 6.73% Pass 22-Jun-20 113.40% 118.67% 5.27% Pass 20-May-20 127.99% 136.59% 8.60% Pass 20-May-20 119.48% 126.61% 7.13% Pass 20-May-20 113.40% 119.05% 5.65% Pass 01-Apr-20 127.99% 137.65% 9.66% Pass 01-Apr-20 119.48% 127.60% 8.12% Pass 01-Apr-20 113.40% 119.98% 6.58% Pass 20-Mar-20 127.99% 137.78% 9.79% Pass 20-Mar-20 119.48% 127.72% 8.24% Pass 20-Mar-20 113.40% 120.10% 6.70% Pass
200% 300% 200%
180% 270% 180%
160% 240% 160%
140% 210% 140%
120% 180% 120%
100% 150% 100%
80% 120% 80%
60% 90% 60%
40% 60% 40%
20% 30% 20% 0% 0% 0% 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21
Actual Minimum Actual Minimum Actual Minimum
U.S. Bank Global Corporate Trust Coverage Tests History - Part I Page 21 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Coverage Tests History - Part II As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Class E Par Value Test Class F Par Value Test
Period Minimum Actual Spread Result Period Minimum Actual Spread Result 05-Jan-21 106.61% 110.95% 4.34% Pass 05-Jan-21 103.53% 107.37% 3.84% Pass 21-Dec-20 106.61% 110.89% 4.28% Pass 21-Dec-20 103.53% 107.31% 3.78% Pass 20-Nov-20 106.61% 110.57% 3.96% Pass 20-Nov-20 103.53% 107.00% 3.47% Pass 02-Oct-20 106.61% 110.22% 3.61% Pass 02-Oct-20 103.53% 106.67% 3.14% Pass 21-Sep-20 106.61% 110.43% 3.82% Pass 21-Sep-20 103.53% 106.87% 3.34% Pass 20-Aug-20 106.61% 110.37% 3.76% Pass 20-Aug-20 103.53% 106.81% 3.28% Pass 03-Jul-20 106.61% 110.52% 3.91% Pass 03-Jul-20 103.53% 106.96% 3.43% Pass 22-Jun-20 106.61% 110.43% 3.82% Pass 22-Jun-20 103.53% 106.87% 3.34% Pass 20-May-20 106.61% 110.79% 4.18% Pass 20-May-20 103.53% 107.21% 3.68% Pass 01-Apr-20 106.61% 111.65% 5.04% Pass 01-Apr-20 103.53% 108.05% 4.52% Pass 20-Mar-20 106.61% 111.76% 5.15% Pass 20-Mar-20 103.53% 108.15% 4.62% Pass
200% 200%
180% 180%
160% 160%
140% 140%
120% 120%
100% 100%
80% 80%
60% 60%
40% 40%
20% 20%
0% 0% 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21
Actual Minimum Actual Minimum
U.S. Bank Global Corporate Trust Coverage Tests History - Part II Page 22 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Collateral Quality History - Part I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's Minimum Diversity Test Moody's Maximum Weighted Average Rating Factor Test Moody's Minimum Weighted Average Recovery Rate Test
Period Minimum Actual Spread Result Period Maximum Actual Spread Result Period Minimum Actual Spread Result 05-Jan-21 56 59 3 Pass 05-Jan-21 2,944 3,254 (310) Fail 05-Jan-21 43.50% 44.3% 0.8% Pass 21-Dec-20 56 59 3 Pass 21-Dec-20 2,944 3,267 (323) Fail 21-Dec-20 43.50% 44.2% 0.7% Pass 20-Nov-20 56 59 3 Pass 20-Nov-20 2,944 3,290 (346) Fail 20-Nov-20 43.50% 44.2% 0.7% Pass 02-Oct-20 56 59 3 Pass 02-Oct-20 2,944 3,234 (290) Fail 02-Oct-20 43.50% 44.3% 0.8% Pass 21-Sep-20 56 60 4 Pass 21-Sep-20 2,944 3,234 (290) Fail 21-Sep-20 43.50% 44.4% 0.9% Pass 20-Aug-20 56 60 4 Pass 20-Aug-20 2,944 3,234 (290) Fail 20-Aug-20 43.50% 44.3% 0.8% Pass 03-Jul-20 56 61 5 Pass 03-Jul-20 2,944 3,323 (379) Fail 03-Jul-20 43.50% 44.3% 0.8% Pass 22-Jun-20 56 61 5 Pass 22-Jun-20 2,944 3,343 (399) Fail 22-Jun-20 43.50% 44.3% 0.8% Pass 20-May-20 56 60 4 Pass 20-May-20 2,944 3,291 (347) Fail 20-May-20 43.50% 44.6% 1.1% Pass 01-Apr-20 56 60 4 Pass 01-Apr-20 3,064 3,132 (68) Fail 01-Apr-20 43.50% 45.1% 1.6% Pass 20-Mar-20 54 61 7 Pass 20-Mar-20 3,073 2,959 114 Pass 20-Mar-20 43.50% 45.1% 1.6% Pass
80 3,400 100.0% 3,300 67 85.7% 3,200
3,100 71.4% 53 3,000 57.1% 40 2,900
2,800 42.9% 27 2,700 28.6% 2,600 13 14.3% 2,500
0 2,400 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21 0.0% 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21
Actual Minimum Actual Maximum Actual Minimum
U.S. Bank Global Corporate Trust Collateral Quality History - Part I Page 23 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Collateral Quality History - Part II As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Minimum Weighted Average Spread Test Weighted Average Life Test
Period Minimum Actual Spread Result Period Maximum Actual Spread Result 05-Jan-21 3.47% 3.62% 0.15% Pass 05-Jan-21 5.28 4.86 0.42 Pass 21-Dec-20 3.47% 3.63% 0.16% Pass 21-Dec-20 5.32 4.87 0.45 Pass 20-Nov-20 3.47% 3.67% 0.20% Pass 20-Nov-20 5.40 4.78 0.62 Pass 02-Oct-20 3.47% 3.60% 0.13% Pass 02-Oct-20 5.54 4.85 0.69 Pass 21-Sep-20 3.47% 3.60% 0.13% Pass 21-Sep-20 5.57 4.87 0.70 Pass 20-Aug-20 3.47% 3.60% 0.13% Pass 20-Aug-20 5.65 4.94 0.71 Pass 03-Jul-20 3.47% 3.61% 0.14% Pass 03-Jul-20 5.79 4.91 0.88 Pass 22-Jun-20 3.47% 3.59% 0.12% Pass 22-Jun-20 5.82 4.90 0.92 Pass 20-May-20 3.44% 3.59% 0.15% Pass 20-May-20 5.91 4.98 0.93 Pass 01-Apr-20 3.55% 3.67% 0.12% Pass 01-Apr-20 6.04 5.03 1.01 Pass 20-Mar-20 3.60% 3.72% 0.12% Pass 20-Mar-20 6.07 5.05 1.02 Pass
6% 10
9 5% 8
7 4% 6
3% 5
4 2% 3
2 1% 1
0% 0 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21
Actual Minimum Actual Maximum
U.S. Bank Global Corporate Trust Collateral Quality History - Part II Page 24 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Coverage Tests History - Part III As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Class A/B Interest Coverage Test Class C Interest Coverage Test Class D Interest Coverage Test
Period Minimum Actual Spread Result Period Minimum Actual Spread Result Period Minimum Actual Spread Result 05-Jan-21 120.00% 501.17% N/A Pass 05-Jan-21 110.00% 426.03% 316.03% Pass 05-Jan-21 105.00% 359.90% 254.90% Pass 21-Dec-20 120.00% 512.41% N/A Pass 21-Dec-20 110.00% 435.58% 325.58% Pass 21-Dec-20 105.00% 367.97% 262.97% Pass 20-Nov-20 120.00% 501.02% N/A Pass 20-Nov-20 110.00% 425.90% 315.90% Pass 20-Nov-20 105.00% 359.79% 254.79% Pass 02-Oct-20 120.00% 476.91% N/A Pass 02-Oct-20 110.00% 405.40% 295.40% Pass 02-Oct-20 105.00% 342.48% 237.48% Pass 21-Sep-20 120.00% 461.82% N/A Pass 21-Sep-20 110.00% 392.58% 282.58% Pass 21-Sep-20 105.00% 331.64% 226.64% Pass 20-Aug-20 120.00% 439.94% N/A Pass 20-Aug-20 110.00% 373.98% 263.98% Pass 20-Aug-20 105.00% 315.93% 210.93% Pass 03-Jul-20 120.00% 434.89% N/A Pass 03-Jul-20 110.00% 369.58% 259.58% Pass 03-Jul-20 105.00% 312.10% 207.10% Pass 22-Jun-20 120.00% 439.98% N/A Pass 22-Jun-20 110.00% 373.90% 263.90% Pass 22-Jun-20 105.00% 315.76% 210.76% Pass 20-May-20 120.00% 422.51% N/A Pass 20-May-20 110.00% 359.06% 249.06% Pass 20-May-20 105.00% 303.22% 198.22% Pass 01-Apr-20 120.00% 482.40% N/A Pass 01-Apr-20 110.00% 409.95% 299.95% Pass 01-Apr-20 105.00% 346.20% 241.20% Pass 20-Mar-20 120.00% 488.75% N/A Pass 20-Mar-20 110.00% 415.35% 305.35% Pass 20-Mar-20 105.00% 350.76% 245.76% Pass
600% 500% 500%
540% 450% 450%
480% 400% 400%
420% 350% 350%
360% 300% 300%
300% 250% 250%
240% 200% 200%
180% 150% 150%
120% 100% 100%
60% 50% 50%
0% 0% 0% 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21 20-Mar-2001-Apr-2020-May-2022-Jun-2003-Jul-2020-Aug-2021-Sep-2002-Oct-2020-Nov-2021-Dec-2005-Jan-21
Actual Minimum Actual Minimum Actual Minimum
U.S. Bank Global Corporate Trust Coverage Tests History - Part III Page 25 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. S&P CDO Monitor As of Date: 05-Jan-21 Payment Date: 15-Jan-21 Portfolio Statistics
Description Value
Expected Portfolio Default Rate (EPDR) 0.291047 Default Rate Deviation (DRD) 0.093216 Obligor Diversity Measure (ODM) 137.812741 Industry Diversity Measure (IDM) 19.684292 Regional Diversity Measure (RDM) 1.422798 Weighted Average Life (WAL) 4.820203
Test Result
Description Value
Monitor Threshold Value 0.689057 Monitor Test Value 0.613965 Monitor Cushion 0.075092 Test Result (1 = PASS, 0 = FAIL) 1
U.S. Bank Global Corporate Trust S&P CDO Monitor Page 26 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Aggregate Collateral Balance for Portfolio Profile Tests As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Indenture Reference Description Number (a) Aggregate Principal Balance of Collateral Debt 400,430,702.98 Obligations (Excluding Defaulted Obligations) Plus (b) Balances standing to the credit of Principal Account (146,593.57) (c) Balances standing to the credit of Unused Proceeds 0.00 Account (d) Eligible Investments representing Principal Proceeds 0.00
Aggregate Collateral Balance 400,284,109.41
U.S. Bank Global Corporate Trust Aggregate Collateral Balance for Portfolio Profile Tests Page 27 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Eligible Investments As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Annual Interest Rate Principal Balance Maturity Date
Totals: -
U.S. Bank Global Corporate Trust Eligible Investments Page 28 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Assets: Purchased As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Affiliate Maturity Trade Settlement Par Purchase Principal Accrued Total Amount ISIN/LoanX ID Issuer Facility Date Date Amount Price Proceeds Interest Seller Date
- - - - - Subtotal: 0 - - - -
Totals: 0
U.S. Bank Global Corporate Trust Assets: Purchased Page 29 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Assets: Sold As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Transaction Trade Settlement Par Sale Principal Accrued Total Affiliated Maturity Date ISIN/LoanX ID Issuer Facility Motivation Date Date Amount Price Proceeds Interest Amount Purchaser
- 100.000 - - - Subtotal: 0 - - - -
Total: 0
U.S. Bank Global Corporate Trust Assets: Sold Page 30 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Principal Repayments As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Facility Trade Settlement Par Maturity Security I.D. Issuer/Obligor Name Date Date Amount Price Principal Date EK0893678 Casino Guichard 4.498% 3/2024Casino Guichard 4.498% 3/2024 23-Dec-20 23-Dec-20 1,000,000.00 101.34 1,013,360.80 07-Mar-24 LX172439 Coty T/L B (EUR) Coty T/L B (EUR) 30-Dec-20 30-Dec-20 7,500.00 100.00 7,500.00 07-Apr-25 LX188869 Carnival T/L B (EUR) Carnival T/L B (EUR) 30-Dec-20 30-Dec-20 5,000.00 100.00 5,000.00 30-Jun-25 LX137858 Alstom (Arvos) T/L B2 Alstom (Arvos) T/L B2 31-Dec-20 31-Dec-20 10,270.90 100.00 10,270.90 30-Aug-21 LX151195 Solera T/L B (03/16) Solera T/L B (03/16) 31-Dec-20 31-Dec-20 6,636.23 100.00 6,636.23 03-Mar-23 LX152755 Allnex T/L B1 (EUR) New Allnex T/L B1 (EUR) New 31-Dec-20 31-Dec-20 4,764.09 100.00 4,764.09 13-Sep-23 LX160895 IQVIA (IMS Health) T/L B1 New IQVIA (IMS Health) T/L B1 New 31-Dec-20 31-Dec-20 7,946.01 100.00 7,946.01 07-Mar-24 LX167195 Diversey (Diamond) Term Loan Diversey (Diamond) Term Loan 31-Dec-20 31-Dec-20 6,281.65 100.00 6,281.65 06-Sep-24 LX168604 Avantor Funding EUR T/L Avantor Funding EUR T/L 31-Dec-20 31-Dec-20 3,802.71 100.00 3,802.71 21-Nov-24 LX168604 Avantor Funding EUR T/L Avantor Funding EUR T/L 31-Dec-20 31-Dec-20 137,613.18 100.00 137,613.18 21-Nov-24 LX169511 Excelitas New T/L Excelitas New T/L 31-Dec-20 31-Dec-20 6,250.00 100.00 6,250.00 02-Dec-24 LX169690 Gates Global B2 T/L Gates Global B2 T/L 31-Dec-20 31-Dec-20 4,975.00 100.00 4,975.00 01-Apr-24 LX171054 Euro Garages T/L B1 New EG Group T/L B1 (EUR) 31-Dec-20 31-Dec-20 9,945.96 100.00 9,945.96 07-Feb-25 LX171876 GTT Communications EMEA T/LGTT Communications EMEA T/L 31-Dec-20 31-Dec-20 8,113.41 100.00 8,113.41 31-May-25 LX172376 Chemours EUR T/L B2 Chemours EUR T/L B2 31-Dec-20 31-Dec-20 8,907.50 100.00 8,907.50 03-Apr-25 LX173675 ION Trading Technologies T/L (05/18)ION Trading Technologies T/L (05/18) 31-Dec-20 31-Dec-20 11,748.62 100.00 11,748.62 21-Nov-24 LX173978 Solenis T/L (06/18) Solenis EURO T/L (06/18) 31-Dec-20 31-Dec-20 8,788.07 100.00 8,788.07 26-Jun-25 LX174342 Boxer Parent Company T/L Boxer Parent Company EUR T/L 31-Dec-20 31-Dec-20 5,000.00 100.00 5,000.00 02-Oct-25 LX174704 Prisa T/L 2 (6/18) Prisa T/L 2 (6/18) 31-Dec-20 31-Dec-20 429,641.08 100.00 429,641.08 31-Mar-25 LX176184 NEP Europe T/L NEP Europe T/L 31-Dec-20 31-Dec-20 5,018.80 100.00 5,018.80 20-Oct-25 LX176624 McAfee T/L B New McAfee T/L B New 31-Dec-20 31-Dec-20 8,715.93 100.00 8,715.93 30-Sep-24 LX183013 Helios Software T/L (Ion Corporate)Helios Software T/L (Ion Corporate) 31-Dec-20 31-Dec-20 10,050.38 100.00 10,050.38 24-Oct-25 LX185073 Castle US (Cision US) T/L B (1/20)Castle (EUR) US (Cision US) T/L B (1/20) (EUR) 31-Dec-20 31-Dec-20 3,750.00 100.00 3,750.00 29-Jan-27 LX185557 Gardner Denver T/L (EUR) (2/20)Gardner Denver T/L (EUR) (2/20) 31-Dec-20 31-Dec-20 3,712.03 100.00 3,712.03 01-Mar-27 LX185686 Informatica T/L (2/20) (EUR) Informatica T/L (2/20) (EUR) 31-Dec-20 31-Dec-20 4,250.00 100.00 4,250.00 25-Feb-27 LX189445 Veritas New EUR T/L B1 Veritas New EUR T/L B-2020 31-Dec-20 31-Dec-20 4,875.00 100.00 4,875.00 01-Sep-25
Totals: 26 1,723,556.55 1,736,917.35 - 1,736,917.35
U.S. Bank Global Corporate Trust Principal Repayments Page 31 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S&P Principal Recovery Recovery Market ISIN/LoanX ID Issuer Facility Balance Floor Spread Coupon PIK Rate Seniority Rate Rate Value Maturity Date
XS2111947318 United Group BV ADRBID FLOAT 02/15/26 973,000.00 0.00% 3.25 3.25 - Senior Secured Bond 35.00 41.00 97.614 16-Feb-26 CORP XS1843437200 United Group BV ADRBID Float 05/15/25 1,650,000.00 0.00% 4.13 4.13 - Senior Secured Bond 35.00 41.00 99.869 15-May-25 Corp LX185629 Aenova Holding GMBH Aenova 2/20 2,081,250.00 - 5.00 5.00 - Senior Secured Loan 45.00 40.00 100.357 06-Mar-25 LX185330 Aernnova Aerospace Aernnova Aerospace T/L 2,228,571.43 - 3.00 3.00 - Senior Secured Loan 45.00 30.00 91.979 26-Feb-27 S.A.U. B LX185331 Aernnova Aerospace Aernnova Aerospace T/L 571,428.57 - 3.00 3.00 - Senior Secured Loan 45.00 30.00 91.979 26-Feb-27 S.A.U. B2 LX178841 Ahlsell AB (publ) Ahlsell AB T/L B 2,000,000.00 - 4.00 4.00 - Senior Secured Loan 50.00 45.00 100.139 16-Feb-26 LX184902 AI Convoy (Luxembourg) AI Convoy (Luxembourg) 1,000,000.00 - 3.75 3.75 - Senior Secured Loan 50.00 35.00 99.769 18-Jan-27 S.a.r.l. EUR T/L B LX173638 AI Sirona (Luxembourg) AI Sirona T/L B (Zentiva) 3,000,000.00 - 4.00 4.00 - Senior Secured Loan 50.00 40.00 99.604 29-Sep-25 Acquisition LX176168 AL Alpine AT Bidco GmbH AL Alpine AT Bidco (GE 2,000,000.00 - 3.25 3.25 - Senior Secured Loan 45.00 35.00 96.708 31-Oct-25 Distributed Power) T/L LX184479 All3Media Intermediate ALL3 Media 11/19 (EUR) 1,000,000.00 - 3.50 3.50 - Senior Secured Loan 45.00 35.00 98.938 15-May-26 Limited T/L Facility C LX152755 Allnex SARL Allnex T/L B1 (EUR) New 1,819,302.76 - 3.25 3.25 - Senior Secured Loan 45.00 35.00 99.393 13-Sep-23 LX171119 Alloheim Senioren- Alloheim T/L B 2,500,000.00 - 3.50 3.50 - Senior Secured Loan 50.00 30.00 98.857 26-Feb-25 Residenzen SE LX175941 Alpha AB Bidco B.V. Alpha AB Bidco T/L 3,500,000.00 - 3.75 3.75 - Senior Secured Loan 45.00 40.00 98.393 30-Jul-25 (Megadyne)(Ammeraal Beltech) LX137858 Alison Bidco S.A.R.L. Alstom (Arvos) T/L B2 3,334,009.35 1.00% 4.50 5.50 - Senior Secured Loan 45.00 30.00 81.050 30-Aug-21 XS1577952440 Altice Financing S.A. Altice 4 3/4 01/15/28 1,000,000.00 N/A - 4.75 - High Yield Bond 15.00 2.00 96.920 15-Jan-28 LX168957 Altice Financing S.A. Altice Financing T/L B 4,387,327.38 - 2.75 2.75 - Senior Secured Loan 45.00 40.00 97.725 30-Jan-26 (EUR) LX182838 Antigua Bidco Limited Antigua Bidco Limited 2,000,000.00 - 5.00 5.00 - Senior Secured Loan 45.00 30.00 100.375 07-Aug-26 (Atnahs 9/19 Cov-Lite) TLB XS1533918824 Arrow Global Finance Plc ARWLN Float 04/01/25 2,540,000.00 0.00% 2.88 2.88 - Senior Secured Bond 35.00 35.00 97.194 01-Apr-25 Corp XS1645722262 Atlantia SPA Atlantia 1.875% 7/13/27 1,000,000.00 N/A - 1.88 - High Yield Bond 25.00 45.00 98.555 13-Jul-27 XS1327504087 Autostrade Per L'Italia ATLIM 1 3/4 06/26/26 CO 1,000,000.00 N/A - 1.75 - High Yield Bond 25.00 45.00 99.258 26-Jun-26 XS1688199949 Autostrade Per L'Italia ATLIM 1 7/8 09/26/29 2,000,000.00 N/A - 1.88 - High Yield Bond 25.00 45.00 99.065 26-Sep-29 LX174821 Auris Luxembourg III Sarl Auris Luxembourg III T/L B 2,200,000.00 - 4.00 4.00 - Senior Secured Loan 45.00 35.00 96.958 27-Feb-26 LX168604 Avantor Funding, Inc. Avantor Funding EUR T/L 1,227,991.05 - 2.50 2.50 - Senior Secured Loan 60.00 40.00 100.203 21-Nov-24 LX183311 Avast Holding BV Avast Software 10/19 1,971,459.15 - 2.25 2.25 - Senior Secured Loan 45.00 45.00 100.100 29-Sep-23 (Eur)
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part I Page 32 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S&P Principal Recovery Recovery Market ISIN/LoanX ID Issuer Facility Balance Floor Spread Coupon PIK Rate Seniority Rate Rate Value Maturity Date
LX185359 Azelis Finance S.A. Azelis Incremental B3 2,100,000.00 - 3.25 3.25 - Senior Secured Loan 50.00 35.00 98.875 07-Nov-25 LX185438 Banijay Group SAS Banijay T/L (EUR) 1,500,000.00 - 3.75 3.75 - Senior Secured Loan 50.00 35.00 99.511 01-Mar-25 LX190863 Barentz International B.V. Barentz International B.V. 1,500,000.00 - 4.00 4.00 - Senior Secured Loan 45.00 35.00 100.100 26-Nov-27 LX181408 BBD Bidco Limited BBD Bidco T/L 2,000,000.00 - 3.25 3.25 - Senior Secured Loan 50.00 35.00 98.611 13-Nov-26 LX181129 Befesa Befesa TL B Add On 1,000,000.00 - 2.00 2.00 - Senior Secured Loan 45.00 60.00 99.438 09-Jul-26 LX186140 Boels Topholding B.V. Boels Rental 6/20 3,000,000.00 - 4.00 4.00 - Senior Secured Loan 45.00 40.00 100.038 06-Feb-27 LX182811 Boluda Corporacion Boluda Towage T/L B1 2,000,000.00 - 3.50 3.50 - Senior Secured Loan 45.00 30.00 99.575 30-Jul-26 Maritima S.L. LX174342 Boxer Parent Company, Boxer Parent Company 1,960,000.00 - 4.75 4.75 - Senior Secured Loan 50.00 45.00 100.148 02-Oct-25 Inc. EUR T/L LX189634 BVI Medical Inc BVI Medical (Beaver- 2,000,000.00 - 3.50 3.50 - Senior Secured Loan 45.00 30.00 98.500 02-Mar-26 Visitec/Physiol) Incremental T/L B (8/20) LX164386 CAB CAB (Bio Group) T/L B 1,500,000.00 - 3.75 3.75 - Senior Secured Loan 45.00 30.00 99.438 24-Apr-26 (07/19) LX189508 CAB CAB (Biogroup-LCD) T/L 1,000,000.00 - 4.75 4.75 - Senior Secured Loan 45.00 30.00 100.054 25-Apr-26 (10/20) LX188583 CAB CAB T/L B (Biogroup- 1,500,000.00 - 4.25 4.25 - Senior Secured Loan 45.00 30.00 99.679 24-Apr-26 LCD) (6/20) LX190666 Cambrex Corporation Cambrex Corporation T/L 3,481,249.94 - 4.75 4.75 - Senior Secured Loan 45.00 30.00 99.542 04-Dec-26 B (EUR) (12/20) LX188869 Carnival PLC Carnival T/L B (EUR) 1,990,000.00 - 7.50 7.50 - Senior Secured Loan 60.00 70.00 102.109 30-Jun-25 LX183661 Casino Guichard Casino T/L B 3,000,000.00 - 5.50 5.50 - Senior Secured Loan 50.00 62.50 99.450 31-Jan-24 Perrachon SA LX185073 Castle US Holding Castle US (Cision US) T/L 1,488,750.00 - 3.75 3.75 - Senior Secured Loan 50.00 30.00 99.094 29-Jan-27 Corporation B (1/20) (EUR) XS1317305198 Carnival PLC CCL 1 7/8 11/7/2022 1,000,000.00 N/A - 1.88 - High Yield Bond 25.00 40.00 94.114 07-Nov-22 LX173383 CD&R Firefly Bidco CD&R Firely Bidco T/L B2 2,000,000.00 - 3.25 3.25 - Senior Secured Loan 50.00 45.00 99.156 23-Jun-25 Limited (Motor Fuel Group) XS1513765922 Codere Finance 2 CDRSM 6 3/4 11/01/21 2,000,000.00 N/A - 4.50 - Senior Secured Bond 35.00 27.00 64.813 01-Nov-23 Luxembourg SA LX162213 Cegid Group SA Cegid Group SA (Project 2,543,818.32 - 3.00 3.00 - Senior Secured Loan 45.00 40.00 99.125 16-Sep-23 Claudius) T/L B5 LX191527 Cerebro Bidco GMBH Cerebro Bidco T/L B2 732,285.72 - 4.25 4.25 - Senior Secured Loan 45.00 30.00 99.844 15-Dec-27 (Invent Farma) LX179210 Ceva Sante Animale Ceva Sante New Term 3,900,000.00 - 4.50 4.50 - Senior Secured Loan 45.00 35.00 100.286 13-Apr-26 Loan LX172376 Chemours Company, The Chemours EUR T/L B2 3,465,017.38 0.50% 2.00 2.50 - Senior Secured Loan 60.00 70.00 98.729 03-Apr-25 LX185360 Cheplapharm Arzneimittel Cheplapharm Euro T/L B4 2,000,000.00 - 3.50 3.50 - Senior Secured Loan 45.00 30.00 99.163 14-Jul-25 GmbH
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part I Page 33 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S&P Principal Recovery Recovery Market ISIN/LoanX ID Issuer Facility Balance Floor Spread Coupon PIK Rate Seniority Rate Rate Value Maturity Date
XS2033245023 Cirsa Finance Cirsa Finance Intl Floating 900,000.00 0.00% 3.63 3.63 - Senior Secured Bond 35.00 30.00 84.813 30-Sep-25 International 9/30/25 LX179101 Clarios Global LP Clarios Global T/L B EUR 3,867,007.67 - 3.75 3.75 - Senior Secured Loan 50.00 30.00 99.466 30-Apr-26 XS2241097687 Centurion Bidco S.p.A. CNTRNB 5 7/8 09/30/26 934,000.00 N/A - 5.88 - Senior Secured Bond 35.00 35.00 103.256 30-Sep-26 LX185698 Columbus Finance B.V. Columbus Finance 2,500,000.00 - 3.75 3.75 - Senior Secured Loan 45.00 40.00 86.281 05-Mar-27 (Scenic) T/L B LX172439 Coty Inc. Coty T/L B (EUR) 2,827,767.82 - 2.50 2.50 - Senior Secured Loan 50.00 50.00 93.896 07-Apr-25 LX169716 CTC AcquiCo GmbH CTC AcquiCo (CeramTec) 4,000,000.00 - 2.50 2.50 - Senior Secured Loan 50.00 30.00 96.927 07-Mar-25 T/L B1 LX189028 Dedalus Finance GmbH Dedalus 7/20 Cov-Lite 2,000,000.00 - 4.50 4.50 - Senior Secured Loan 45.00 35.00 100.167 04-May-27 LX164119 Diaverum Holding SARL Diaverum Term Loan B 2,000,000.00 - 3.25 3.25 - Senior Secured Loan 45.00 30.00 98.659 04-Jul-24 LX167195 Diamond (BC) B.V. Diversey (Diamond) Term 2,437,278.45 - 3.25 3.25 - Senior Secured Loan 60.00 35.00 98.458 06-Sep-24 Loan DE000A2YPAK1 Demire Real Estate AG DMREGR 1 7/8 10/15/24 1,800,000.00 N/A - 1.88 - High Yield Bond 30.00 62.50 97.416 15-Oct-24 XS2015218584 Diocle SPA / Doc Generici DOCGEN Float 06/30/26 1,037,700.00 0.00% 3.88 3.88 - Senior Secured Bond 35.00 30.00 100.018 30-Jun-26 LX184200 HOMEVI Domus VI/Home VI 10/19 4,000,000.00 - 3.00 3.00 - Senior Secured Loan 40.00 28.50 98.216 30-Oct-26 LX161739 Dorna Sports S.L. Dorna Sport (Tinagen) T/L 1,913,126.87 - 3.25 3.25 - Senior Secured Loan 45.00 40.00 98.583 03-May-24 NEW B2 XS1699848914 Dufry One BV Dufry One BV 10/31/2024 1,000,000.00 N/A - 2.50 - High Yield Bond 30.00 30.00 95.728 15-Oct-24 LX171054 EG Group Limited EG Group T/L B1 (EUR) 3,877,955.78 - 4.00 4.00 - Senior Secured Loan 45.00 45.00 97.795 07-Feb-25 XS1992087996 EG GLOBAL FINANCE EGBLFN 4 38 02/07/25 500,000.00 N/A - 4.38 - Senior Secured Bond 35.00 45.00 98.398 07-Feb-25 PLC CORP LX182609 Eircom Finco S.a r.l. Eircom Facilty B 2,000,000.00 - 2.75 2.75 - Senior Secured Loan 45.00 35.00 99.759 15-May-26 LX180839 Elsan SAS Elsan New T/L B3 (Vedici) 3,900,000.00 - 3.00 3.00 - Senior Secured Loan 45.00 30.00 99.804 30-Oct-24 XS2229090589 Encore Capital Group Inc Encore Capital 4.875% 983,000.00 N/A - 4.88 - Senior Secured Bond 25.00 37.00 103.834 15-Oct-25 10/15/25 XS2271247178 Encore Capital Group Inc Encore Capital Group 2,306,000.00 0.00% 4.25 4.25 - Senior Secured Bond 25.00 37.00 100.610 15-Jan-28 Floating Rate Notes LX169939 EUNetworks EUNetworks Term Loan B 2,000,000.00 - 3.25 3.25 - Senior Secured Loan 45.00 35.00 98.292 09-Jan-25 (Stonepeak Spear) LX169397 Euskaltel Euskaltel T/L B4 2,500,000.00 - 2.75 2.75 - Senior Secured Loan 45.00 45.00 99.650 27-Nov-24 LX175202 Evergood 4 ApS Evergood (Nets) TL B2 1,000,000.00 - 3.75 3.75 - Senior Secured Loan 50.00 35.00 99.779 06-Feb-25 New LX169511 Excelitas Technologies Excelitas New T/L 2,425,000.00 - 3.50 3.50 - Senior Secured Loan 50.00 35.00 99.250 02-Dec-24 Corp. LX153737 Foncia Groupe SAS Foncia T/L B-3 1,955,533.44 - 3.25 3.25 - Senior Secured Loan 45.00 40.00 99.083 07-Sep-23 LX185229 Froneri International Ltd Froneri Lux FinCo T/L 2,500,000.00 - 2.63 2.63 - Senior Secured Loan 45.00 35.00 98.602 29-Jan-27
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part I Page 34 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S&P Principal Recovery Recovery Market ISIN/LoanX ID Issuer Facility Balance Floor Spread Coupon PIK Rate Seniority Rate Rate Value Maturity Date
LX165624 Fugue Finance BV Fugue Finance T/L (Nord 2,000,000.00 - 3.25 3.25 - Senior Secured Loan 50.00 40.00 98.602 30-Aug-24 Anglia) XS2028892045 Galaxy Bidco Ltd Galaxy DGGLN FLoat 1,000,000.00 0.00% 5.00 5.00 - Senior Secured Bond 35.00 35.00 100.375 31-Jul-26 07/31/26 C LX169951 Gamesys Group Plc Gamesys Group T/L EUR 2,000,000.00 - 3.25 3.25 - Senior Secured Loan 45.00 45.00 99.438 05-Dec-24 XS2208645882 Gamma Technologies, GAMMA BIDCO SPA 1,100,000.00 0.00% 6.00 6.00 - Senior Secured Bond 35.00 35.00 100.395 15-Jul-25 LLC LX185557 Gardner Denver, Inc. Gardner Denver T/L 1,473,674.03 - 2.00 2.00 - Senior Secured Loan 45.00 30.00 99.250 01-Mar-27 (EUR) (2/20) LX169690 Gates Global LLC Gates Global B2 T/L 1,925,325.00 - 3.00 3.00 - Senior Secured Loan 50.00 35.00 98.917 01-Apr-24 LX177507 Generale De Sante Generale De Sante T/L 1,168,517.40 - 3.00 3.00 - Senior Secured Loan 45.00 40.00 99.979 22-Oct-24 B3A LX177478 Generale De Sante Generale De Sante T/L 2,131,482.60 - 3.00 3.00 - Senior Secured Loan 45.00 40.00 99.979 22-Oct-24 B3B LX186040 Genesis Specialist Care Genesis Care Finance T/L 1,500,000.00 - 4.75 4.75 - Senior Secured Loan 45.00 30.00 100.438 14-May-27 Finance UK Limited B4 (Genesis Specialist Care) LX176262 Genesis Specialist Care Genesis Specialist Care 1,650,000.00 - 3.50 3.50 - Senior Secured Loan 45.00 30.00 97.600 30-Oct-25 Finance UK Limited Finance T/L XS2250153769 Garfunkelux Holdco 3 SA GFKLDE 6 3/4 11/01/25 458,000.00 N/A - 6.75 - Senior Secured Bond 35.00 28.50 100.051 01-Nov-25 XS2250154494 Garfunkelux Holdco 3 SA GFKLDE Float 5/1/2026 4,000,000.00 0.00% 6.25 6.25 - Senior Secured Bond 35.00 28.50 100.163 01-May-26 LX185085 Global University Systems Global University Systems 2,000,000.00 - 3.50 3.50 - Senior Secured Loan 45.00 35.00 98.479 29-Jan-27 B.V. T/L B (Markermeer) (1/20) LX183734 Grifols Worldwide Grifols Worldwide 1,994,962.22 - 2.25 2.25 - Senior Secured Loan 50.00 50.00 99.938 15-Nov-27 Operations Limited Operations T/L B1 LX191106 Groupe Inovie Groupe Inovie T/L (EUR) 2,000,000.00 - 3.75 3.75 - Senior Secured Loan 45.00 40.00 99.875 08-Dec-27 LX171876 GTT Communications, GTT Communications 3,164,228.65 - 3.25 3.25 - Senior Secured Loan 45.00 30.00 89.975 31-May-25 Inc. EMEA T/L XS1888268064 Guala Closures SpA Guala Closures Floating 687,000.00 0.00% 3.50 3.50 - Senior Secured Bond 35.00 27.00 99.965 15-Apr-24 4/15/24 LX182631 GVC Holdings PLC GVC Holdings Term Loan 2,000,000.00 - 2.50 2.50 - Senior Secured Loan 45.00 45.00 99.721 29-Mar-24 B New (Facility B3) LX183013 Helios Software Holdings, Helios Software T/L (Ion 3,959,848.86 - 4.25 4.25 - Senior Secured Loan 45.00 27.00 100.000 24-Oct-25 Inc. Corporate) LX188437 Hestia Holding Hestia Holding T/L B 1,600,000.00 - 4.00 4.00 - Senior Secured Loan 50.00 40.00 100.161 18-Jun-27 (Financiere CEP) LX176277 I Logic Technologies Bidco I Logic Technologies 1,876,067.42 1.00% 2.75 3.75 - Senior Secured Loan 40.00 45.00 99.875 21-Dec-24 Ltd (Dealogic) T/L LX174007 Imagina Media Imagina 2nd Lien T/L 1,500,000.00 - 7.50 7.50 - Second Lien Loan 15.00 2.00 75.042 26-Dec-25 Audiovisual S.L. (Invictus Media) LX172316 Imagina Media Imagina Media (Invictus) 2,250,764.11 - 4.75 4.75 - Senior Secured Loan 50.00 55.00 89.000 26-Jun-25 Audiovisual S.L. T/L B
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part I Page 35 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S&P Principal Recovery Recovery Market ISIN/LoanX ID Issuer Facility Balance Floor Spread Coupon PIK Rate Seniority Rate Rate Value Maturity Date
LX174519 Imagina Media Imagina Media (Invictus) 1,349,235.89 - 4.75 4.75 - Senior Secured Loan 50.00 55.00 89.000 26-Jun-25 Audiovisual S.L. T/L B2 LX169196 Ineos Finance PLC Ineos Finance PLC T/L B 1,994,858.61 0.50% 2.00 2.50 - Senior Secured Loan 50.00 55.00 98.635 01-Apr-24 2024 LX185686 Informatica LLC Informatica T/L (2/20) 1,687,250.00 - 3.25 3.25 - Senior Secured Loan 50.00 45.00 99.146 25-Feb-27 (EUR) LX183759 Inspired Finco Holdings Inspired Finco/Inspired 2,500,000.00 - 3.25 3.25 - Senior Secured Loan 45.00 35.00 98.625 28-May-26 Ltd Education 11/19 XS2052216111 Intrum Justitia Intrum 3 15/9/2027 Corp 1,000,000.00 N/A - 3.00 - High Yield Bond 30.00 23.50 96.287 15-Sep-27 LX173675 ION Trading Technologies ION Trading Technologies 3,881,124.73 1.00% 3.25 4.25 - Senior Secured Loan 45.00 45.00 99.903 21-Nov-24 S.a.R.L T/L (05/18) XS2262839603 IPD 3 BV IPD 3 B.V. 1,158,000.00 0.00% 5.50 5.50 - Senior Secured Bond 35.00 30.00 100.638 01-Dec-25 LX160895 IQVIA Inc. IQVIA (IMS Health) T/L B1 3,051,268.50 - 2.00 2.00 - Senior Secured Loan 50.00 55.00 99.547 07-Mar-24 New LX183937 Irel AcquiCo GmBH Irel AcquiCo T/L (11/19) 3,700,000.00 - 3.50 3.50 - Senior Secured Loan 45.00 45.00 99.683 29-May-26 XS2010033269 Kapla Holding Kapla holding Floating 686,000.00 0.00% 3.25 3.25 - Senior Secured Bond 35.00 35.00 98.026 15-Dec-26 12/15/26 LX188898 Knowlton Development Knowlton Development 2,660,000.33 - 5.00 5.00 - Senior Secured Loan 45.00 40.00 99.925 22-Dec-25 Corporation Inc. Corp T/L B (06/20) LX171690 Kraton Polymers LLC Kraton Polymers T/L B 342,490.85 0.75% 2.00 2.75 - Senior Secured Loan 60.00 70.00 98.875 07-Mar-25 (EUR) LX165185 KIWI VFS SUB II S.A.R.L. Kuoni Group/VFS Global 2,000,000.00 - 3.25 3.25 - Senior Secured Loan 45.00 30.00 95.839 29-Jul-24 (VFS) T/L B2 LX180858 LABL, Inc. LABL T/L EUR (Multi 1,888,889.00 - 5.00 5.00 - Senior Secured Loan 50.00 35.00 100.094 01-Jul-26 Color) XS2059777594 Cirsa Finance LHMCFI 7 1/4 10/02/25 1,233,000.00 N/A - 7.25 - Senior Secured Bond 35.00 2.00 91.298 02-Oct-25 International Cor XS1974797950 Lincoln Financing Sarl Lincoln Float 04/01/24 3,360,000.00 0.00% 3.88 3.88 - Senior Secured Bond 35.00 41.00 99.939 01-Apr-24 Corp LX157496 Logoplaste Group Sarl Logoplaste T/L France 1,433,333.32 - 3.50 3.50 - Senior Secured Loan 45.00 27.00 99.000 04-Oct-23 LX157497 Logoplaste Group Sarl Logoplaste T/L 1,433,333.35 - 3.50 3.50 - Senior Secured Loan 45.00 27.00 99.000 04-Oct-23 Luxembourg LX153526 Logoplaste Group Sarl Logoplaste T/L 1,433,333.35 - 3.50 3.50 - Senior Secured Loan 45.00 27.00 99.000 04-Oct-23 Netherlands LX189018 Lorca Finco PLC Lorca Finco Rolled T/L B1 4,500,000.00 - 4.25 4.25 - Senior Secured Loan 45.00 30.00 100.148 17-Sep-27 (MasMovil) XS1885543691 Louvre Bidco SAS LOUVRE BIDCO SAS 419,428.57 0.00% 5.38 5.38 - Senior Secured Bond 35.00 27.00 101.159 30-Sep-24 Floating 9/30/24 LX181201 LSF10 EDILIANS LSF10 Edilians T/L 1,400,000.00 - 4.25 4.25 - Senior Secured Loan 45.00 50.00 99.417 10-Oct-25 INVESTMENTS S.A.R.L. (Imerys Roofing/Impala/Edilians) LX185688 LSF10 Wolverine LSF10 Wolverine T/L C1 3,050,000.00 - 3.75 3.75 - Senior Secured Loan 45.00 40.00 99.439 30-Sep-26 Investments S.C.A. (Stark Group)
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part I Page 36 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S&P Principal Recovery Recovery Market ISIN/LoanX ID Issuer Facility Balance Floor Spread Coupon PIK Rate Seniority Rate Rate Value Maturity Date
LX183051 LSF10 XL Bidco SCA LSF10 XL T/L B3 (Xella) 2,999,999.98 - 4.00 4.00 - Senior Secured Loan 45.00 35.00 99.102 12-Oct-26 LX186084 MA FinanceCo., LLC MA FinanceCo T/L B1 993,750.00 - 4.50 4.50 - Senior Secured Loan 45.00 40.00 100.375 05-Jun-25 (EUR) (Micro Focus) LX162912 MA FinanceCo., LLC MA FinanceCo T/L B3 2,191,884.88 - 3.00 3.00 - Senior Secured Loan 45.00 40.00 98.425 21-Jun-24 (EUR) LX181920 Marnix SAS Marnix (Webhelp) T/L B 2,000,000.00 - 3.25 3.25 - Senior Secured Loan 45.00 35.00 99.438 19-Nov-26 XS1681774888 Masaria Investments SAU MASAIN FLOAT 09/15/24 2,061,000.00 0.00% 5.25 5.25 - Senior Secured Bond 25.00 30.00 92.226 15-Sep-24 CORP LX176624 McAfee, LLC McAfee T/L B New 3,407,929.24 - 3.50 3.50 - Senior Secured Loan 45.00 30.00 100.125 30-Sep-24 LX191194 Mermaid Bidco Inc Mermaid Bidco T/L 3,000,000.00 - 4.25 4.25 - Senior Secured Loan 45.00 40.00 99.417 10-Dec-27 LX176184 NEP Europe Finco B.V. NEP Europe T/L 1,967,368.30 - 3.50 3.50 - Senior Secured Loan 45.00 50.00 94.875 20-Oct-25 LX190452 Neuraxpharm Holdco Neuraxpharm T/L (10/20) 1,267,714.29 - 4.25 4.25 - Senior Secured Loan 45.00 30.00 99.844 15-Dec-27 SARL (Invent Farma) LX189563 NewCo I B.V. NewCo I (UPC 1,000,000.00 - 3.50 3.50 - Senior Secured Loan 45.00 45.00 100.212 31-Jan-29 Financing/Sunrise) T/L B1 LX174594 Nielsen Finance LLC Nielsen T/L New B2 1,489,302.18 - 2.50 2.50 - Senior Secured Loan 60.00 70.00 99.625 04-Oct-23 XS1713466149 Novafives SAS NVFVES Float 06/15/25 1,000,000.00 0.00% 4.50 4.50 - Senior Secured Bond 25.00 23.50 86.985 15-Jun-25 LX168948 Oberthur Technologies Oberthur T/L New 3,000,000.00 - 3.75 3.75 - Senior Secured Loan 45.00 40.00 98.528 10-Jan-24 Group S.A.S. LX172053 Odyssey Investissement Odyssey Investissement 2,500,000.00 - 3.25 3.25 - Senior Secured Loan 45.00 27.00 99.857 25-Apr-25 SASU T/L B (Circet Groupe) LX168813 Oxea Finance LLC Oxea T/L New 3,000,000.00 - 3.75 3.75 - Senior Secured Loan 45.00 40.00 98.696 14-Oct-24 LX181236 Pax Midco Spain, S.L.U. Pax Midco Spain T/L 2,600,000.00 - 4.75 4.75 - Senior Secured Loan 45.00 40.00 88.292 01-Jul-26 LX171259 Peer Holding III B.V. Peer Holding III T/L B 4,000,000.00 - 3.25 3.25 - Senior Secured Loan 45.00 28.50 98.591 07-Mar-25 LX161954 Pfleiderer AG Pfleiderer T/L B 4,000,000.00 - 5.00 5.00 - Senior Secured Loan 45.00 40.00 98.400 01-Aug-24 LX182958 Piolin Bidco, S.A.U. Piolin Bidco T/L B1 1,000,000.00 - 3.75 3.75 - Senior Secured Loan 45.00 35.00 92.150 16-Sep-26 LX174704 Promotora de Prisa T/L 2 (6/18) 3,661,809.27 - 4.50 4.50 1.00 Senior Secured Loan 50.00 39.00 92.286 31-Mar-25 Informaciones SA (PRISA) LX169954 Rain Carbon Rain Carbon T/L B 3,500,000.00 - 3.00 3.00 - Senior Secured Loan 60.00 65.00 96.075 16-Jan-25 XS2066721965 Recordati Recordati 2,500,000.00 0.00% 3.88 3.88 - Senior Secured Bond 25.00 23.50 99.645 30-Oct-25 XS1819574929 Rolls-Royce Plc ROLLS 1 5/8 05/09/28 1,000,000.00 N/A - 1.63 - High Yield Bond 30.00 40.00 75.250 09-May-28 XS2244322082 Rolls-Royce Plc Rolls-Royce PLC 752,000.00 N/A - 4.63 - High Yield Bond 30.00 40.00 108.032 16-Feb-26 LX169932 Sapphire Bidco B.V Sapphire 2nd Lien T/L 2,000,000.00 - 6.88 6.88 - Second Lien Loan 15.00 2.00 96.250 04-May-26 (TMF Group) LX169930 Sapphire Bidco B.V Sapphire Refi T/L B (TMF 1,500,000.00 - 3.25 3.25 - Senior Secured Loan 50.00 35.00 97.602 05-May-25 Group) XS1454980159 Schumann SpA SCHMAN 7 07/31/23 756,250.00 N/A - 7.00 - Senior Secured Bond 35.00 35.00 101.201 31-Jul-23
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part I Page 37 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S&P Principal Recovery Recovery Market ISIN/LoanX ID Issuer Facility Balance Floor Spread Coupon PIK Rate Seniority Rate Rate Value Maturity Date
LX185662 Sector Alarm Holding AS Sector Alarm Holding T/L 2,000,000.00 - 3.00 3.00 - Senior Secured Loan 45.00 40.00 99.288 12-Jun-26 B1 LX162008 SFR Group S.A. SFR Group (Numericable / 1,984,575.83 - 3.00 3.00 - Senior Secured Loan 45.00 40.00 98.146 31-Jul-25 YPSO / Altice) T/L B11 LX169001 SFR Group S.A. SFR Group (Numericable / 2,882,810.48 - 3.00 3.00 - Senior Secured Loan 45.00 40.00 98.227 02-Feb-26 YPSO / Altice) T/L B12 (EUR) LX171809 Sigma Holdco BV Sigma Holdco T/L B1 2,000,000.00 - 3.50 3.50 - Senior Secured Loan 45.00 28.50 98.606 02-Jul-25 (Flora Food) LX171110 Silk Bidco AS Silk Bidco T/L B 4,000,000.00 - 4.00 4.00 - Senior Secured Loan 45.00 35.00 86.913 24-Feb-25 (Hurtigruten) XS1757821688 Summit Properties LTD SMPTLN 2 01/31/25 Corp 1,500,000.00 N/A - 2.00 - High Yield Bond 30.00 62.50 98.230 31-Jan-25 LX166814 SOCO 2 Socotec Facility B1 2,000,000.00 - 3.75 3.75 - Senior Secured Loan 45.00 27.00 99.025 29-Jul-24 XS2275101967 Sofima Holding S.p.A. SOFHLD 3.45897% 1,950,000.00 0.00% 4.00 4.00 - Senior Secured Bond 35.00 35.00 101.500 15-Jan-28 01/15/2028 XS1684385161 SoftBank Group Corp. Softbank 9/30/25 3,000,000.00 N/A - 3.13 - High Yield Bond 30.00 10.00 102.204 19-Sep-25 LX173978 Solenis Holdings LLC Solenis EURO T/L (06/18) 3,406,843.49 0.50% 4.25 4.75 - Senior Secured Loan 45.00 30.00 100.167 26-Jun-25 LX151195 Solera, LLC Solera T/L B (03/16) 2,528,405.47 - 3.25 3.25 - Senior Secured Loan 60.00 60.00 99.556 03-Mar-23 LX186002 Specialty Chemicals Specialty Chemicals T/L 1,900,000.00 - 4.50 4.50 - Senior Secured Loan 45.00 60.00 100.250 15-Mar-27 International B.V. (Polynt-Reichhold) LX185579 Speedster Bidco GmbH Speedster Bidco T/L 2/20 3,500,000.00 - 3.25 3.25 - Senior Secured Loan 50.00 40.00 98.458 31-Mar-27 LX190367 Sportradar Capital S.a.r.l. Sportradar Capital T/L B 1,500,000.00 - 4.25 4.25 - Senior Secured Loan 45.00 35.00 99.917 22-Nov-27 (10/20) LX183230 Springer Nature Springer Nature 5,130,777.13 0.50% 3.25 3.75 - Senior Secured Loan 45.00 45.00 99.898 14-Aug-24 Deutschland GmbH Deutschland GMBH T/L B15 LX185475 Nidda Healthcare Holding Stada / Nidda Add TL F 3,500,000.00 - 3.50 3.50 - Senior Secured Loan 50.00 35.00 99.109 21-Aug-26 EUR LX185784 Stage Entertainment B.V. Stage Entertainment T/L B 3,400,000.00 - 3.25 3.25 - Senior Secured Loan 45.00 45.00 88.667 02-Jun-26 (2/20) LX174019 Flutter Entertainment PLC Stars Group Holdings T/L 1,611,047.20 - 3.75 3.75 - Senior Secured Loan 45.00 55.00 100.208 10-Jul-25 (Amaya) (EUR) XS2110768525 Stena International S.A. STENA 3 3/4 02/01/25 510,000.00 N/A - 3.75 - Senior Secured Bond 45.00 55.00 97.039 01-Feb-25 CORP LX190079 Stiphout Finance BV Stiphout Finance BV 1,401,143.64 - 3.75 3.75 - Senior Secured Loan 45.00 30.00 99.641 27-Oct-25 (Vistra) T/L New LX183336 Summer (BC) Lux Summer (BC) Holdco T/L 3,000,000.00 - 4.75 4.75 - Senior Secured Loan 50.00 45.00 99.667 04-Dec-26 Consolidator S.C.A (Kantar) LX191037 Synlab Bondco PLC Synlab Bondco Plc 6/19 1,500,000.00 - 3.75 3.75 - Senior Secured Loan 45.00 28.50 99.788 01-Jul-27 XS1814546013 Tele Columbus AG & Co TCGR 3 7/8 05/02/25 751,000.00 N/A - 3.88 - Senior Secured Bond 35.00 37.00 100.309 02-May-25 KG 0 LX174457 Tele Columbus GmbH Tele columbus T/L A2 2,248,335.10 - 3.00 3.00 - Senior Secured Loan 45.00 35.00 98.813 15-Oct-24
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part I Page 38 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S&P Principal Recovery Recovery Market ISIN/LoanX ID Issuer Facility Balance Floor Spread Coupon PIK Rate Seniority Rate Rate Value Maturity Date
LX185374 Telenet International Telenet 1/20 AQ T/L 1,000,000.00 - 2.25 2.25 - Senior Secured Loan 45.00 40.00 99.229 30-Apr-29 Finance S.A.R.L FR0013183571 Tereos Finance Groupe I Tereos 4 1/8 06/16/23 1,500,000.00 N/A - 4.13 - High Yield Bond 30.00 27.00 98.173 16-Jun-23 Corp LX174529 Terveys-ja hoivapalvelut Terveys (Mehlainen) 1st 2,000,000.00 - 3.75 3.75 - Senior Secured Loan 50.00 35.00 99.863 11-Aug-25 suomi yhtyma oy Lien T/L XS1439749281 Teva Pharm FNC NL II Teva 1 1/8 10/15/2024 1,500,000.00 N/A - 1.13 - High Yield Bond 30.00 35.00 93.250 15-Oct-24 XS1439749364 Teva Pharm FNC NL II Teva Pharm FNC 1.625% 2,000,000.00 N/A - 1.63 - High Yield Bond 30.00 35.00 88.594 15-Oct-28 10/15/28 LX169660 IWH UK FINCO Theramex Teva IWH 11/17 3,000,000.00 - 4.00 4.00 - Senior Secured Loan 45.00 30.00 93.563 31-Jan-25 (Theramex) TLB LX184460 THG Operations Holdings THG Operations T/L B 3,500,000.00 - 4.50 4.50 - Senior Secured Loan 45.00 40.00 100.229 11-Dec-26 Ltd (Hut Group) LX166774 Thom Europe Thom Europe T/L B 2,500,000.00 - 4.25 4.25 - Senior Secured Loan 45.00 45.00 95.906 07-Aug-24 XS2111947748 United Group BV United Group BV 02/15/28 1,107,000.00 N/A - 3.63 - Senior Secured Bond 35.00 41.00 97.969 15-Feb-28 LX189558 UPC Broadband Holding UPC Financing/Sunrise 1,000,000.00 - 3.50 3.50 - Senior Secured Loan 45.00 45.00 100.212 31-Jan-29 B.V. T/L B2 LX189037 Verisure Holding AB Verisure T/L B (7/20) 2,750,000.00 - 4.00 4.00 - Senior Secured Loan 50.00 45.00 100.228 20-Jul-26 LX189445 Veritas US Inc. Veritas New EUR T/L B- 1,945,125.00 1.00% 5.50 6.50 - Senior Secured Loan 50.00 50.00 100.214 01-Sep-25 2020 XS2199597613 Vertical Midco GMBH Vertical Midco Floating 1,149,000.00 0.00% 4.75 4.75 - Senior Secured Bond 45.00 50.00 101.487 15-Jul-27 7/15/2027 LX183233 Virgin Media SFA Finance Virgin Media SFA Finance 1,500,000.00 - 2.50 2.50 - Senior Secured Loan 45.00 45.00 99.636 31-Jan-29 Limited T/L O LX189822 VMED O2 UK Holdco 4 VMED O2 UK Holdco T/L 1,157,894.00 - 3.25 3.25 - Senior Secured Loan 45.00 45.00 100.177 31-Jan-29 Ltd (EUR) (Virgin Media) LX180927 Vue International Bidco Vue Cinemas 6/19 T/L B 2,175,489.63 - 4.75 4.75 - Senior Secured Loan 50.00 35.00 85.500 03-Jul-26 p.l.c. DE000A254QC5 WEPA Hygieneprodukte WEPA Hygieneprodukte 881,000.00 0.00% 2.88 2.88 - Senior Secured Bond 25.00 23.50 100.230 15-Dec-26 GMBH GMB LX182816 WITTUR GmbH Wittur T/L New 3,000,000.00 - 4.50 4.50 - Senior Secured Loan 50.00 40.00 99.194 02-Oct-26 XS2138140798 Altice France S.A YPSO FINANCE 4% 1,000,000.00 N/A - 4.00 - High Yield Bond 15.00 2.00 89.514 15-Feb-28 2/15/2028 LX173851 Zephyr Bidco Limited Zephyr Bidco T/L B 4,000,000.00 - 3.50 3.50 - Senior Secured Loan 50.00 45.00 98.958 23-Jul-25 LX183461 Ziggo Secured Finance Ziggo (Vodafone) TLH 3,000,000.00 - 3.00 3.00 - Senior Secured Loan 45.00 45.00 99.648 31-Jan-29 B.V.
Totals: 192 400,430,702.98
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part I Page 39 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part II As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Country Moody's Industry Classification S&P Industry Classification XS2111947318 ADRBID FLOAT 02/15/26 CORP ADRBID FLOAT 02/15/26 CORP Netherlands Media: Broadcasting & Subscription Media XS1843437200 ADRBID Float 05/15/25 Corp ADRBID Float 05/15/25 Corp Netherlands Media: Broadcasting & Subscription Media LX185629 Aenova 2/20 Aenova 2/20 Germany Healthcare & Pharmaceuticals Pharmaceuticals LX185330 Aernnova Aerospace T/L B Aernnova Aerospace T/L B Spain Aerospace & Defense Aerospace & Defense LX185331 Aernnova Aerospace T/L B2 Aernnova Aerospace T/L B2 Spain Aerospace & Defense Aerospace & Defense LX178841 Ahlsell AB T/L B Ahlsell AB T/L B Sweden Construction & Building Trading Companies & Distributors LX184902 AI Convoy (Luxembourg) EUR T/L B AI Convoy (Luxembourg) EUR T/L B United Kingdom Aerospace & Defense Aerospace & Defense LX173638 AI Sirona T/L B (Zentiva) AI Sirona T/L B (Zentiva) Luxembourg Healthcare & Pharmaceuticals Pharmaceuticals LX176168 AL Alpine AT Bidco (GE Distributed AL Alpine AT Bidco (GE Distributed Austria Capital Equipment Electrical Equipment Power) T/L Power) T/L LX184479 ALL3 Media 11/19 (EUR) T/L Facility ALL3 Media 11/19 (EUR) T/L Facility United Kingdom Media: Diversified & Production Media C C LX152755 Allnex T/L B1 (EUR) New Allnex T/L B1 (EUR) New Luxembourg Chemicals, Plastics, & Rubber Chemicals LX171119 Alloheim T/L B Alloheim T/L B Germany Healthcare & Pharmaceuticals Health Care Providers & Services LX175941 Alpha AB Bidco T/L (Megadyne) Alpha AB Bidco T/L (Megadyne) Netherlands Capital Equipment Machinery (Ammeraal Beltech) (Ammeraal Beltech) LX137858 Alstom (Arvos) T/L B2 Alstom (Arvos) T/L B2 Germany Capital Equipment Machinery XS1577952440 Altice 4 3/4 01/15/28 Altice 4 3/4 01/15/28 Luxembourg Telecommunications Diversified Telecommunication Services LX168957 Altice Financing T/L B (EUR) Altice Financing T/L B (EUR) Luxembourg Telecommunications Diversified Telecommunication Services LX182838 Antigua Bidco Limited (Atnahs 9/19 Antigua Bidco Limited (Atnahs 9/19 United Kingdom Healthcare & Pharmaceuticals Pharmaceuticals Cov-Lite) TLB Cov-Lite) TLB XS1533918824 ARWLN Float 04/01/25 Corp ARWLN Float 04/01/25 Corp United Kingdom Banking, Finance, Insurance & Real Estate Diversified Financial Services XS1645722262 Atlantia 1.875% 7/13/27 Atlantia 1.875% 7/13/27 Italy Transportation: Cargo Transportation Infrastructure XS1327504087 ATLIM 1 3/4 06/26/26 CO ATLIM 1 3/4 06/26/26 CO Italy Transportation: Cargo Road & Rail XS1688199949 ATLIM 1 7/8 09/26/29 ATLIM 1 7/8 09/26/29 Italy Transportation: Cargo Road & Rail LX174821 Auris Luxembourg III T/L B Auris Luxembourg III T/L B Germany Healthcare & Pharmaceuticals Health Care Providers & Services LX168604 Avantor Funding EUR T/L Avantor Funding EUR T/L United States Wholesale Life Sciences Tools & Services LX183311 Avast Software 10/19 (Eur) Avast Software 10/19 (Eur) Netherlands High Tech Industries Software LX185359 Azelis Incremental B3 Azelis Incremental B3 Luxembourg Chemicals, Plastics, & Rubber Chemicals LX185438 Banijay T/L (EUR) Banijay T/L (EUR) France Media: Diversified & Production Media LX190863 Barentz International B.V. Barentz International B.V. Netherlands Chemicals, Plastics, & Rubber Chemicals LX181408 BBD Bidco T/L BBD Bidco T/L United Kingdom Automotive Automobiles LX181129 Befesa TL B Add On Befesa TL B Add On Luxembourg Metals & Mining Commercial Services & Supplies LX186140 Boels Rental 6/20 Boels Rental 6/20 Netherlands Capital Equipment Machinery LX182811 Boluda Towage T/L B1 Boluda Towage T/L B1 Spain Transportation: Cargo Transportation Infrastructure LX174342 Boxer Parent Company EUR T/L Boxer Parent Company EUR T/L United States High Tech Industries Software
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part II Page 40 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part II As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Country Moody's Industry Classification S&P Industry Classification LX189634 BVI Medical (Beaver-Visitec/Physiol) BVI Medical (Beaver-Visitec/Physiol) United States Healthcare & Pharmaceuticals Health Care Equipment & Supplies Incremental T/L B (8/20) Incremental T/L B (8/20) LX164386 CAB (Bio Group) T/L B (07/19) CAB (Bio Group) T/L B (07/19) France Healthcare & Pharmaceuticals Health Care Providers & Services LX189508 CAB (Biogroup-LCD) T/L (10/20) CAB (Biogroup-LCD) T/L (10/20) France Healthcare & Pharmaceuticals Health Care Providers & Services LX188583 CAB T/L B (Biogroup-LCD) (6/20) CAB T/L B (Biogroup-LCD) (6/20) France Healthcare & Pharmaceuticals Health Care Providers & Services LX190666 Cambrex Corporation T/L B (EUR) Cambrex Corporation T/L B (EUR) United States Healthcare & Pharmaceuticals Life Sciences Tools & Services (12/20) (12/20) LX188869 Carnival T/L B (EUR) Carnival T/L B (EUR) United States Hotel, Gaming & Leisure Hotels, Restaurants & Leisure LX183661 Casino T/L B Casino T/L B France Beverage, Food & Tobacco Food & Staples Retailing LX185073 Castle US (Cision US) T/L B (1/20) Castle US (Cision US) T/L B (1/20) United States High Tech Industries Software (EUR) (EUR) XS1317305198 CCL 1 7/8 11/7/2022 CCL 1 7/8 11/7/2022 United States Hotel, Gaming & Leisure Hotels, Restaurants & Leisure LX173383 CD&R Firely Bidco T/L B2 (Motor Fuel CD&R Firely Bidco T/L B2 (Motor Fuel United Kingdom Retail Specialty Retail Group) Group) XS1513765922 CDRSM 6 3/4 11/01/21 CDRSM 6 3/4 11/01/21 Luxembourg Hotel, Gaming & Leisure Hotels, Restaurants & Leisure LX162213 Cegid Group SA (Project Claudius) Cegid Group SA (Project Claudius) France High Tech Industries Software T/L B5 T/L B5 LX191527 Cerebro Bidco T/L B2 (Invent Farma) Cerebro Bidco T/L B2 (Invent Farma) Germany Healthcare & Pharmaceuticals Pharmaceuticals LX179210 Ceva Sante New Term Loan Ceva Sante New Term Loan France Healthcare & Pharmaceuticals Pharmaceuticals LX172376 Chemours EUR T/L B2 Chemours EUR T/L B2 United States Chemicals, Plastics, & Rubber Chemicals LX185360 Cheplapharm Euro T/L B4 Cheplapharm Euro T/L B4 Germany Healthcare & Pharmaceuticals Pharmaceuticals XS2033245023 Cirsa Finance Intl Floating 9/30/25 Cirsa Finance Intl Floating 9/30/25 Luxembourg Hotel, Gaming & Leisure Hotels, Restaurants & Leisure LX179101 Clarios Global T/L B EUR Clarios Global T/L B EUR United States Automotive Auto Components XS2241097687 CNTRNB 5 7/8 09/30/26 CNTRNB 5 7/8 09/30/26 Italy High Tech Industries IT Services LX185698 Columbus Finance (Scenic) T/L B Columbus Finance (Scenic) T/L B Netherlands Hotel, Gaming & Leisure Hotels, Restaurants & Leisure LX172439 Coty T/L B (EUR) Coty T/L B (EUR) United States Consumer goods: Non-durable Personal Products LX169716 CTC AcquiCo (CeramTec) T/L B1 CTC AcquiCo (CeramTec) T/L B1 Germany Healthcare & Pharmaceuticals Health Care Equipment & Supplies LX189028 Dedalus 7/20 Cov-Lite Dedalus 7/20 Cov-Lite Germany High Tech Industries Software LX164119 Diaverum Term Loan B Diaverum Term Loan B Sweden Healthcare & Pharmaceuticals Health Care Providers & Services LX167195 Diversey (Diamond) Term Loan Diversey (Diamond) Term Loan United States Chemicals, Plastics, & Rubber Commercial Services & Supplies DE000A2YPAK1 DMREGR 1 7/8 10/15/24 DMREGR 1 7/8 10/15/24 Germany Banking, Finance, Insurance & Real Estate Real Estate Management & Development XS2015218584 DOCGEN Float 06/30/26 DOCGEN Float 06/30/26 Italy Healthcare & Pharmaceuticals Pharmaceuticals LX184200 Domus VI/Home VI 10/19 Domus VI/Home VI 10/19 France Healthcare & Pharmaceuticals Health Care Providers & Services LX161739 Dorna Sport (Tinagen) T/L NEW B2 Dorna Sport (Tinagen) T/L NEW B2 Spain Hotel, Gaming & Leisure Hotels, Restaurants & Leisure XS1699848914 Dufry One BV 10/31/2024 Dufry One BV 10/31/2024 Switzerland Retail Specialty Retail LX171054 EG Group T/L B1 (EUR) EG Group T/L B1 (EUR) United Kingdom Retail Specialty Retail XS1992087996 EGBLFN 4 38 02/07/25 CORP EGBLFN 4 38 02/07/25 CORP United Kingdom Retail Specialty Retail
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part II Page 41 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part II As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Country Moody's Industry Classification S&P Industry Classification LX182609 Eircom Facilty B Eircom Facilty B Ireland Telecommunications Diversified Telecommunication Services LX180839 Elsan New T/L B3 (Vedici) Elsan New T/L B3 (Vedici) France Healthcare & Pharmaceuticals Health Care Providers & Services XS2229090589 Encore Capital 4.875% 10/15/25 Encore Capital 4.875% 10/15/25 United States Banking, Finance, Insurance & Real Estate Consumer Finance XS2271247178 Encore Capital Group Floating Rate Encore Capital Group Floating Rate United States Banking, Finance, Insurance & Real Estate Consumer Finance Notes Notes LX169939 EUNetworks Term Loan B (Stonepeak EUNetworks Term Loan B (Stonepeak United Kingdom Telecommunications Diversified Telecommunication Services Spear) Spear) LX169397 Euskaltel T/L B4 Euskaltel T/L B4 Spain Telecommunications Diversified Telecommunication Services LX175202 Evergood (Nets) TL B2 New Evergood (Nets) TL B2 New Denmark Banking, Finance, Insurance & Real Estate Diversified Financial Services LX169511 Excelitas New T/L Excelitas New T/L United States High Tech Industries Electrical Equipment LX153737 Foncia T/L B-3 Foncia T/L B-3 France Banking, Finance, Insurance & Real Estate Real Estate Management & Development LX185229 Froneri Lux FinCo T/L Froneri Lux FinCo T/L United Kingdom Beverage, Food & Tobacco Food Products LX165624 Fugue Finance T/L (Nord Anglia) Fugue Finance T/L (Nord Anglia) Netherlands Services: Consumer Diversified Consumer Services XS2028892045 Galaxy DGGLN FLoat 07/31/26 C Galaxy DGGLN FLoat 07/31/26 C United Kingdom Banking, Finance, Insurance & Real Estate Insurance LX169951 Gamesys Group T/L EUR Gamesys Group T/L EUR United Kingdom Hotel, Gaming & Leisure Hotels, Restaurants & Leisure XS2208645882 GAMMA BIDCO SPA GAMMA BIDCO SPA Italy Hotel, Gaming & Leisure Hotels, Restaurants & Leisure LX185557 Gardner Denver T/L (EUR) (2/20) Gardner Denver T/L (EUR) (2/20) United States Capital Equipment Machinery LX169690 Gates Global B2 T/L Gates Global B2 T/L United States Capital Equipment Machinery LX177507 Generale De Sante T/L B3A Generale De Sante T/L B3A France Healthcare & Pharmaceuticals Health Care Providers & Services LX177478 Generale De Sante T/L B3B Generale De Sante T/L B3B France Healthcare & Pharmaceuticals Health Care Providers & Services LX186040 Genesis Care Finance T/L B4 Genesis Care Finance T/L B4 Australia Healthcare & Pharmaceuticals Health Care Providers & Services (Genesis Specialist Care) (Genesis Specialist Care) LX176262 Genesis Specialist Care Finance T/L Genesis Specialist Care Finance T/L Australia Healthcare & Pharmaceuticals Health Care Providers & Services XS2250153769 GFKLDE 6 3/4 11/01/25 GFKLDE 6 3/4 11/01/25 Luxembourg Banking, Finance, Insurance & Real Estate Diversified Financial Services XS2250154494 GFKLDE Float 5/1/2026 GFKLDE Float 5/1/2026 Luxembourg Banking, Finance, Insurance & Real Estate Diversified Financial Services LX185085 Global University Systems T/L B Global University Systems T/L B Netherlands Services: Consumer Diversified Consumer Services (Markermeer) (1/20) (Markermeer) (1/20) LX183734 Grifols Worldwide Operations T/L B1 Grifols Worldwide Operations T/L B1 Spain Healthcare & Pharmaceuticals Biotechnology LX191106 Groupe Inovie T/L (EUR) Groupe Inovie T/L (EUR) France Healthcare & Pharmaceuticals Health Care Providers & Services LX171876 GTT Communications EMEA T/L GTT Communications EMEA T/L United States Telecommunications Diversified Telecommunication Services XS1888268064 Guala Closures Floating 4/15/24 Guala Closures Floating 4/15/24 Italy Containers, Packaging & Glass Containers & Packaging LX182631 GVC Holdings Term Loan B New GVC Holdings Term Loan B New United Kingdom Hotel, Gaming & Leisure Hotels, Restaurants & Leisure (Facility B3) (Facility B3) LX183013 Helios Software T/L (Ion Corporate) Helios Software T/L (Ion Corporate) Ireland High Tech Industries Software LX188437 Hestia Holding T/L B (Financiere CEP) Hestia Holding T/L B (Financiere CEP) France Banking, Finance, Insurance & Real Estate Diversified Financial Services LX176277 I Logic Technologies (Dealogic) T/L I Logic Technologies (Dealogic) T/L United States High Tech Industries Software LX174007 Imagina 2nd Lien T/L (Invictus Media) Imagina 2nd Lien T/L (Invictus Media) Spain Media: Broadcasting & Subscription Media
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part II Page 42 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part II As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Country Moody's Industry Classification S&P Industry Classification LX172316 Imagina Media (Invictus) T/L B Imagina Media (Invictus) T/L B Spain Media: Broadcasting & Subscription Media LX174519 Imagina Media (Invictus) T/L B2 Imagina Media (Invictus) T/L B2 Spain Media: Broadcasting & Subscription Media LX169196 Ineos Finance PLC T/L B 2024 Ineos Finance PLC T/L B 2024 United Kingdom Chemicals, Plastics, & Rubber Chemicals LX185686 Informatica T/L (2/20) (EUR) Informatica T/L (2/20) (EUR) United States High Tech Industries Software LX183759 Inspired Finco/Inspired Education Inspired Finco/Inspired Education United Kingdom Services: Consumer Diversified Consumer Services 11/19 11/19 XS2052216111 Intrum 3 15/9/2027 Corp Intrum 3 15/9/2027 Corp Sweden Banking, Finance, Insurance & Real Estate Commercial Services & Supplies LX173675 ION Trading Technologies T/L (05/18) ION Trading Technologies T/L (05/18) Luxembourg High Tech Industries IT Services XS2262839603 IPD 3 B.V. IPD 3 B.V. Netherlands High Tech Industries Software LX160895 IQVIA (IMS Health) T/L B1 New IQVIA (IMS Health) T/L B1 New United States Services: Business Life Sciences Tools & Services LX183937 Irel AcquiCo T/L (11/19) Irel AcquiCo T/L (11/19) Germany Containers, Packaging & Glass Containers & Packaging XS2010033269 Kapla holding Floating 12/15/26 Kapla holding Floating 12/15/26 France Capital Equipment Machinery LX188898 Knowlton Development Corp T/L B Knowlton Development Corp T/L B United States Consumer goods: Non-durable Personal Products (06/20) (06/20) LX171690 Kraton Polymers T/L B (EUR) Kraton Polymers T/L B (EUR) United States Chemicals, Plastics, & Rubber Chemicals LX165185 Kuoni Group/VFS Global T/L B2 Kuoni Group/VFS Global T/L B2 Switzerland Services: Business Professional Services LX180858 LABL T/L EUR (Multi Color) LABL T/L EUR (Multi Color) United States Containers, Packaging & Glass Containers & Packaging XS2059777594 LHMCFI 7 1/4 10/02/25 Cor LHMCFI 7 1/4 10/02/25 Cor Luxembourg Hotel, Gaming & Leisure Hotels, Restaurants & Leisure XS1974797950 Lincoln Float 04/01/24 Corp Lincoln Float 04/01/24 Corp Netherlands Banking, Finance, Insurance & Real Estate Capital Markets LX157496 Logoplaste T/L France Logoplaste T/L France Luxembourg Containers, Packaging & Glass Containers & Packaging LX157497 Logoplaste T/L Luxembourg Logoplaste T/L Luxembourg Luxembourg Containers, Packaging & Glass Containers & Packaging LX153526 Logoplaste T/L Netherlands Logoplaste T/L Netherlands Luxembourg Containers, Packaging & Glass Containers & Packaging LX189018 Lorca Finco Rolled T/L B1 (MasMovil) Lorca Finco Rolled T/L B1 (MasMovil) Spain Telecommunications Diversified Telecommunication Services XS1885543691 LOUVRE BIDCO SAS Floating LOUVRE BIDCO SAS Floating France Banking, Finance, Insurance & Real Estate Diversified Financial Services 9/30/24 9/30/24 LX181201 LSF10 Edilians T/L (Imerys LSF10 Edilians T/L (Imerys France Construction & Building Construction Materials Roofing/Impala/Edilians) Roofing/Impala/Edilians) LX185688 LSF10 Wolverine T/L C1 (Stark LSF10 Wolverine T/L C1 (Stark Denmark Retail Specialty Retail Group) Group) LX183051 LSF10 XL T/L B3 (Xella) LSF10 XL T/L B3 (Xella) Luxembourg Construction & Building Building Products LX186084 MA FinanceCo T/L B1 (EUR) (Micro MA FinanceCo T/L B1 (EUR) (Micro United Kingdom High Tech Industries Software Focus) Focus) LX162912 MA FinanceCo T/L B3 (EUR) MA FinanceCo T/L B3 (EUR) United Kingdom High Tech Industries Software LX181920 Marnix (Webhelp) T/L B Marnix (Webhelp) T/L B France Services: Business Commercial Services & Supplies XS1681774888 MASAIN FLOAT 09/15/24 CORP MASAIN FLOAT 09/15/24 CORP Spain Retail Specialty Retail LX176624 McAfee T/L B New McAfee T/L B New United States High Tech Industries Software LX191194 Mermaid Bidco T/L Mermaid Bidco T/L United States High Tech Industries Software LX176184 NEP Europe T/L NEP Europe T/L United States Media: Broadcasting & Subscription Media
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part II Page 43 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part II As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Country Moody's Industry Classification S&P Industry Classification LX190452 Neuraxpharm T/L (10/20) (Invent Neuraxpharm T/L (10/20) (Invent Germany Healthcare & Pharmaceuticals Pharmaceuticals Farma) Farma) LX189563 NewCo I (UPC Financing/Sunrise) T/L NewCo I (UPC Financing/Sunrise) T/L Netherlands Telecommunications Diversified Telecommunication Services B1 B1 LX174594 Nielsen T/L New B2 Nielsen T/L New B2 United States Services: Business Professional Services XS1713466149 NVFVES Float 06/15/25 NVFVES Float 06/15/25 France Capital Equipment Machinery LX168948 Oberthur T/L New Oberthur T/L New France High Tech Industries Electrical Equipment LX172053 Odyssey Investissement T/L B (Circet Odyssey Investissement T/L B (Circet France Services: Business Commercial Services & Supplies Groupe) Groupe) LX168813 Oxea T/L New Oxea T/L New Germany Chemicals, Plastics, & Rubber Chemicals LX181236 Pax Midco Spain T/L Pax Midco Spain T/L Spain Retail Specialty Retail LX171259 Peer Holding III T/L B Peer Holding III T/L B Netherlands Retail Specialty Retail LX161954 Pfleiderer T/L B Pfleiderer T/L B Germany Forest Products & Paper Paper & Forest Products LX182958 Piolin Bidco T/L B1 Piolin Bidco T/L B1 Spain Hotel, Gaming & Leisure Hotels, Restaurants & Leisure LX174704 Prisa T/L 2 (6/18) Prisa T/L 2 (6/18) Spain Media: Advertising, Printing & Publishing Media LX169954 Rain Carbon T/L B Rain Carbon T/L B Germany Chemicals, Plastics, & Rubber Chemicals XS2066721965 Recordati Recordati Italy Healthcare & Pharmaceuticals Pharmaceuticals XS1819574929 ROLLS 1 5/8 05/09/28 ROLLS 1 5/8 05/09/28 United Kingdom Aerospace & Defense Automobiles XS2244322082 Rolls-Royce PLC Rolls-Royce PLC United Kingdom Aerospace & Defense Automobiles LX169932 Sapphire 2nd Lien T/L (TMF Group) Sapphire 2nd Lien T/L (TMF Group) Netherlands Services: Business Professional Services LX169930 Sapphire Refi T/L B (TMF Group) Sapphire Refi T/L B (TMF Group) Netherlands Services: Business Professional Services XS1454980159 SCHMAN 7 07/31/23 SCHMAN 7 07/31/23 Italy Hotel, Gaming & Leisure Hotels, Restaurants & Leisure LX185662 Sector Alarm Holding T/L B1 Sector Alarm Holding T/L B1 Norway Services: Business Commercial Services & Supplies LX162008 SFR Group (Numericable / YPSO / SFR Group (Numericable / YPSO / France Telecommunications Diversified Telecommunication Services Altice) T/L B11 Altice) T/L B11 LX169001 SFR Group (Numericable / YPSO / SFR Group (Numericable / YPSO / France Telecommunications Diversified Telecommunication Services Altice) T/L B12 (EUR) Altice) T/L B12 (EUR) LX171809 Sigma Holdco T/L B1 (Flora Food) Sigma Holdco T/L B1 (Flora Food) United Kingdom Beverage, Food & Tobacco Food Products LX171110 Silk Bidco T/L B (Hurtigruten) Silk Bidco T/L B (Hurtigruten) Norway Transportation: Consumer Hotels, Restaurants & Leisure XS1757821688 SMPTLN 2 01/31/25 Corp SMPTLN 2 01/31/25 Corp Germany Banking, Finance, Insurance & Real Estate Real Estate Management & Development LX166814 Socotec Facility B1 Socotec Facility B1 France Services: Business Professional Services XS2275101967 SOFHLD 3.45897% 01/15/2028 SOFHLD 3.45897% 01/15/2028 Italy Capital Equipment Machinery XS1684385161 Softbank 9/30/25 Softbank 9/30/25 Japan Telecommunications Wireless Telecommunication Services LX173978 Solenis EURO T/L (06/18) Solenis EURO T/L (06/18) United States Chemicals, Plastics, & Rubber Chemicals LX151195 Solera T/L B (03/16) Solera T/L B (03/16) United States Services: Business IT Services LX186002 Specialty Chemicals T/L (Polynt- Specialty Chemicals T/L (Polynt- Netherlands Chemicals, Plastics, & Rubber Chemicals Reichhold) Reichhold) LX185579 Speedster Bidco T/L 2/20 Speedster Bidco T/L 2/20 Denmark Media: Advertising, Printing & Publishing Media
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part II Page 44 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part II As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Country Moody's Industry Classification S&P Industry Classification LX190367 Sportradar Capital T/L B (10/20) Sportradar Capital T/L B (10/20) Luxembourg Media: Diversified & Production Media LX183230 Springer Nature Deutschland GMBH Springer Nature Deutschland GMBH Germany Media: Advertising, Printing & Publishing Media T/L B15 T/L B15 LX185475 Stada / Nidda Add TL F EUR Stada / Nidda Add TL F EUR Germany Healthcare & Pharmaceuticals Pharmaceuticals LX185784 Stage Entertainment T/L B (2/20) Stage Entertainment T/L B (2/20) Netherlands Media: Diversified & Production Entertainment LX174019 Stars Group Holdings T/L (Amaya) Stars Group Holdings T/L (Amaya) Canada Hotel, Gaming & Leisure Hotels, Restaurants & Leisure (EUR) (EUR) XS2110768525 STENA 3 3/4 02/01/25 CORP STENA 3 3/4 02/01/25 CORP Sweden Transportation: Cargo Transportation Infrastructure LX190079 Stiphout Finance BV (Vistra) T/L New Stiphout Finance BV (Vistra) T/L New Netherlands Services: Business Professional Services LX183336 Summer (BC) Holdco T/L (Kantar) Summer (BC) Holdco T/L (Kantar) United Kingdom Services: Business Commercial Services & Supplies LX191037 Synlab Bondco Plc 6/19 Synlab Bondco Plc 6/19 United Kingdom Healthcare & Pharmaceuticals Health Care Providers & Services XS1814546013 TCGR 3 7/8 05/02/25 TCGR 3 7/8 05/02/25 Germany Telecommunications Media LX174457 Tele columbus T/L A2 Tele columbus T/L A2 Germany Telecommunications Media LX185374 Telenet 1/20 AQ T/L Telenet 1/20 AQ T/L Netherlands Media: Broadcasting & Subscription Diversified Telecommunication Services FR0013183571 Tereos 4 1/8 06/16/23 Corp Tereos 4 1/8 06/16/23 Corp France Beverage, Food & Tobacco Food Products LX174529 Terveys (Mehlainen) 1st Lien T/L Terveys (Mehlainen) 1st Lien T/L Finland Healthcare & Pharmaceuticals Health Care Providers & Services XS1439749281 Teva 1 1/8 10/15/2024 Teva 1 1/8 10/15/2024 Netherlands Healthcare & Pharmaceuticals Pharmaceuticals XS1439749364 Teva Pharm FNC 1.625% 10/15/28 Teva Pharm FNC 1.625% 10/15/28 Netherlands Healthcare & Pharmaceuticals Pharmaceuticals LX169660 Theramex Teva IWH 11/17 TLB Theramex Teva IWH 11/17 TLB United Kingdom Healthcare & Pharmaceuticals Pharmaceuticals LX184460 THG Operations T/L B (Hut Group) THG Operations T/L B (Hut Group) United Kingdom Retail Specialty Retail LX166774 Thom Europe T/L B Thom Europe T/L B France Retail Specialty Retail XS2111947748 United Group BV 02/15/28 United Group BV 02/15/28 Netherlands Media: Broadcasting & Subscription Media LX189558 UPC Financing/Sunrise T/L B2 UPC Financing/Sunrise T/L B2 Netherlands Telecommunications Diversified Telecommunication Services LX189037 Verisure T/L B (7/20) Verisure T/L B (7/20) Sweden Services: Business Diversified Consumer Services LX189445 Veritas New EUR T/L B-2020 Veritas New EUR T/L B-2020 United States High Tech Industries Diversified Financial Services XS2199597613 Vertical Midco Floating 7/15/2027 Vertical Midco Floating 7/15/2027 Germany Capital Equipment Machinery LX183233 Virgin Media SFA Finance T/L O Virgin Media SFA Finance T/L O United Kingdom Telecommunications Diversified Telecommunication Services LX189822 VMED O2 UK Holdco T/L (EUR) VMED O2 UK Holdco T/L (EUR) United Kingdom Telecommunications Diversified Telecommunication Services (Virgin Media) (Virgin Media) LX180927 Vue Cinemas 6/19 T/L B Vue Cinemas 6/19 T/L B United Kingdom Media: Diversified & Production Entertainment DE000A254QC5 WEPA Hygieneprodukte GMB WEPA Hygieneprodukte GMB Germany Forest Products & Paper Paper & Forest Products LX182816 Wittur T/L New Wittur T/L New Germany Capital Equipment Machinery XS2138140798 YPSO FINANCE 4% 2/15/2028 YPSO FINANCE 4% 2/15/2028 Luxembourg Telecommunications Diversified Telecommunication Services LX173851 Zephyr Bidco T/L B Zephyr Bidco T/L B United Kingdom High Tech Industries Software LX183461 Ziggo (Vodafone) TLH Ziggo (Vodafone) TLH Netherlands Media: Broadcasting & Subscription Media
Totals: 192
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part II Page 45 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part III As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Delayed Market Value Annual Fixed Rate Current Pay Cov-Lite Revolving Drawdown Determined ISIN/LoanX ID Issuer Facility Obligation Obligation Bridge Loan Corporate RescueObligation Loan Loan Obligation Obligation PIK Security by IM LX185629 Aenova Holding GMBH Aenova 2/20 ------LX185330 Aernnova Aerospace Aernnova Aerospace T/L B ------S.A.U. LX185331 Aernnova Aerospace Aernnova Aerospace T/L ------S.A.U. B2 LX178841 Ahlsell AB (publ) Ahlsell AB T/L B ------LX184902 AI Convoy (Luxembourg) AI Convoy (Luxembourg) ------S.a.r.l. EUR T/L B LX173638 AI Sirona (Luxembourg) AI Sirona T/L B (Zentiva) ------Acquisition LX176168 AL Alpine AT Bidco GmbH AL Alpine AT Bidco (GE ------Distributed Power) T/L LX137858 Alison Bidco S.A.R.L. Alstom (Arvos) T/L B2 ------LX184479 All3Media Intermediate ALL3 Media 11/19 (EUR) ------Limited T/L Facility C LX152755 Allnex SARL Allnex T/L B1 (EUR) New ------LX171119 Alloheim Senioren- Alloheim T/L B ------Residenzen SE LX175941 Alpha AB Bidco B.V. Alpha AB Bidco T/L ------(Megadyne)(Ammeraal Beltech) LX168957 Altice Financing S.A. Altice Financing T/L B ------(EUR) XS1577952440 Altice Financing S.A. Altice 4 3/4 01/15/28 - Yes ------XS2138140798 Altice France S.A YPSO FINANCE 4% - Yes ------2/15/2028 LX182838 Antigua Bidco Limited Antigua Bidco Limited ------(Atnahs 9/19 Cov-Lite) TLB XS1533918824 Arrow Global Finance Plc ARWLN Float 04/01/25 ------Corp XS1645722262 Atlantia SPA Atlantia 1.875% 7/13/27 Yes Yes ------LX174821 Auris Luxembourg III Sarl Auris Luxembourg III T/L B ------XS1688199949 Autostrade Per L'Italia ATLIM 1 7/8 09/26/29 Yes Yes ------XS1327504087 Autostrade Per L'Italia ATLIM 1 3/4 06/26/26 CO Yes Yes ------LX168604 Avantor Funding, Inc. Avantor Funding EUR T/L ------LX183311 Avast Holding BV Avast Software 10/19 (Eur) ------LX185359 Azelis Finance S.A. Azelis Incremental B3 ------LX185438 Banijay Group SAS Banijay T/L (EUR) ------LX190863 Barentz International B.V. Barentz International B.V. ------
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part III Page 46 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part III As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Delayed Market Value Annual Fixed Rate Current Pay Cov-Lite Revolving Drawdown Determined ISIN/LoanX ID Issuer Facility Obligation Obligation Bridge Loan Corporate RescueObligation Loan Loan Obligation Obligation PIK Security by IM LX181408 BBD Bidco Limited BBD Bidco T/L ------LX181129 Befesa Befesa TL B Add On ------LX186140 Boels Topholding B.V. Boels Rental 6/20 ------LX182811 Boluda Corporacion Boluda Towage T/L B1 ------Maritima S.L. LX174342 Boxer Parent Company, Boxer Parent Company ------Inc. EUR T/L LX189634 BVI Medical Inc BVI Medical (Beaver------Visitec/Physiol) Incremental T/L B (8/20) LX189508 CAB CAB (Biogroup-LCD) T/L ------(10/20) LX188583 CAB CAB T/L B (Biogroup-LCD) ------(6/20) LX164386 CAB CAB (Bio Group) T/L B ------(07/19) LX190666 Cambrex Corporation Cambrex Corporation T/L B ------(EUR) (12/20) XS1317305198 Carnival PLC CCL 1 7/8 11/7/2022 Yes Yes ------LX188869 Carnival PLC Carnival T/L B (EUR) ------LX183661 Casino Guichard PerrachonCasino T/L B ------SA LX185073 Castle US Holding Castle US (Cision US) T/L ------Corporation B (1/20) (EUR) LX173383 CD&R Firefly Bidco Limited CD&R Firely Bidco T/L B2 ------(Motor Fuel Group) LX162213 Cegid Group SA Cegid Group SA (Project ------Claudius) T/L B5 XS2241097687 Centurion Bidco S.p.A. CNTRNB 5 7/8 09/30/26 - Yes ------LX191527 Cerebro Bidco GMBH Cerebro Bidco T/L B2 ------(Invent Farma) LX179210 Ceva Sante Animale Ceva Sante New Term ------Loan LX172376 Chemours Company, The Chemours EUR T/L B2 ------LX185360 Cheplapharm Arzneimittel Cheplapharm Euro T/L B4 ------GmbH XS2033245023 Cirsa Finance International Cirsa Finance Intl Floating ------9/30/25 XS2059777594 Cirsa Finance International LHMCFI 7 1/4 10/02/25 Cor - Yes ------Yes - LX179101 Clarios Global LP Clarios Global T/L B EUR ------
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part III Page 47 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part III As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Delayed Market Value Annual Fixed Rate Current Pay Cov-Lite Revolving Drawdown Determined ISIN/LoanX ID Issuer Facility Obligation Obligation Bridge Loan Corporate RescueObligation Loan Loan Obligation Obligation PIK Security by IM XS1513765922 Codere Finance 2 CDRSM 6 3/4 11/01/21 - Yes ------Luxembourg SA LX185698 Columbus Finance B.V. Columbus Finance (Scenic) ------T/L B LX172439 Coty Inc. Coty T/L B (EUR) ------LX169716 CTC AcquiCo GmbH CTC AcquiCo (CeramTec) ------T/L B1 LX189028 Dedalus Finance GmbH Dedalus 7/20 Cov-Lite ------DE000A2YPAK1 Demire Real Estate AG DMREGR 1 7/8 10/15/24 - Yes ------LX167195 Diamond (BC) B.V. Diversey (Diamond) Term ------Loan LX164119 Diaverum Holding SARL Diaverum Term Loan B ------XS2015218584 Diocle SPA / Doc Generici DOCGEN Float 06/30/26 ------LX161739 Dorna Sports S.L. Dorna Sport (Tinagen) T/L ------NEW B2 XS1699848914 Dufry One BV Dufry One BV 10/31/2024 - Yes ------XS1992087996 EG GLOBAL FINANCE EGBLFN 4 38 02/07/25 - Yes ------PLC CORP LX171054 EG Group Limited EG Group T/L B1 (EUR) ------LX182609 Eircom Finco S.a r.l. Eircom Facilty B ------LX180839 Elsan SAS Elsan New T/L B3 (Vedici) ------XS2271247178 Encore Capital Group Inc Encore Capital Group ------Floating Rate Notes XS2229090589 Encore Capital Group Inc Encore Capital 4.875% - Yes ------10/15/25 LX169939 EUNetworks EUNetworks Term Loan B ------(Stonepeak Spear) LX169397 Euskaltel Euskaltel T/L B4 ------LX175202 Evergood 4 ApS Evergood (Nets) TL B2 ------New LX169511 Excelitas Technologies Excelitas New T/L ------Corp. LX174019 Flutter Entertainment PLC Stars Group Holdings T/L ------(Amaya) (EUR) LX153737 Foncia Groupe SAS Foncia T/L B-3 ------LX185229 Froneri International Ltd Froneri Lux FinCo T/L ------LX165624 Fugue Finance BV Fugue Finance T/L (Nord ------Anglia) XS2028892045 Galaxy Bidco Ltd Galaxy DGGLN FLoat ------07/31/26 C
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part III Page 48 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part III As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Delayed Market Value Annual Fixed Rate Current Pay Cov-Lite Revolving Drawdown Determined ISIN/LoanX ID Issuer Facility Obligation Obligation Bridge Loan Corporate RescueObligation Loan Loan Obligation Obligation PIK Security by IM LX169951 Gamesys Group Plc Gamesys Group T/L EUR ------XS2208645882 Gamma Technologies, LLC GAMMA BIDCO SPA ------LX185557 Gardner Denver, Inc. Gardner Denver T/L (EUR) ------(2/20) XS2250154494 Garfunkelux Holdco 3 SA GFKLDE Float 5/1/2026 ------XS2250153769 Garfunkelux Holdco 3 SA GFKLDE 6 3/4 11/01/25 - Yes ------LX169690 Gates Global LLC Gates Global B2 T/L ------LX177478 Generale De Sante Generale De Sante T/L B3B ------LX177507 Generale De Sante Generale De Sante T/L B3A ------LX176262 Genesis Specialist Care Genesis Specialist Care ------Finance UK Limited Finance T/L LX186040 Genesis Specialist Care Genesis Care Finance T/L ------Finance UK Limited B4 (Genesis Specialist Care) LX185085 Global University Systems Global University Systems ------B.V. T/L B (Markermeer) (1/20) LX183734 Grifols Worldwide Grifols Worldwide ------Operations Limited Operations T/L B1 LX191106 Groupe Inovie Groupe Inovie T/L (EUR) ------LX171876 GTT Communications, Inc. GTT Communications - - - - Yes - - - - - EMEA T/L XS1888268064 Guala Closures SpA Guala Closures Floating ------4/15/24 LX182631 GVC Holdings PLC GVC Holdings Term Loan B ------New (Facility B3) LX183013 Helios Software Holdings, Helios Software T/L (Ion ------Inc. Corporate) LX188437 Hestia Holding Hestia Holding T/L B ------(Financiere CEP) LX184200 HOMEVI Domus VI/Home VI 10/19 ------LX176277 I Logic Technologies Bidco I Logic Technologies ------Ltd (Dealogic) T/L LX174007 Imagina Media Audiovisual Imagina 2nd Lien T/L ------S.L. (Invictus Media) LX174519 Imagina Media Audiovisual Imagina Media (Invictus) ------S.L. T/L B2 LX172316 Imagina Media Audiovisual Imagina Media (Invictus) ------S.L. T/L B LX169196 Ineos Finance PLC Ineos Finance PLC T/L B - - - - - Yes - - - - 2024
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part III Page 49 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part III As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Delayed Market Value Annual Fixed Rate Current Pay Cov-Lite Revolving Drawdown Determined ISIN/LoanX ID Issuer Facility Obligation Obligation Bridge Loan Corporate RescueObligation Loan Loan Obligation Obligation PIK Security by IM LX185686 Informatica LLC Informatica T/L (2/20) ------(EUR) LX183759 Inspired Finco Holdings Ltd Inspired Finco/Inspired ------Education 11/19 XS2052216111 Intrum Justitia Intrum 3 15/9/2027 Corp - Yes ------LX173675 ION Trading Technologies ION Trading Technologies ------S.a.R.L T/L (05/18) XS2262839603 IPD 3 BV IPD 3 B.V. ------LX160895 IQVIA Inc. IQVIA (IMS Health) T/L B1 ------New LX183937 Irel AcquiCo GmBH Irel AcquiCo T/L (11/19) ------LX169660 IWH UK FINCO Theramex Teva IWH 11/17 ------(Theramex) TLB XS2010033269 Kapla Holding Kapla holding Floating ------12/15/26 LX165185 KIWI VFS SUB II S.A.R.L. Kuoni Group/VFS Global ------(VFS) T/L B2 LX188898 Knowlton Development Knowlton Development ------Corporation Inc. Corp T/L B (06/20) LX171690 Kraton Polymers LLC Kraton Polymers T/L B ------(EUR) LX180858 LABL, Inc. LABL T/L EUR (Multi Color) ------XS1974797950 Lincoln Financing Sarl Lincoln Float 04/01/24 Corp ------LX157496 Logoplaste Group Sarl Logoplaste T/L France ------LX157497 Logoplaste Group Sarl Logoplaste T/L Luxembourg ------LX153526 Logoplaste Group Sarl Logoplaste T/L Netherlands ------LX189018 Lorca Finco PLC Lorca Finco Rolled T/L B1 ------(MasMovil) XS1885543691 Louvre Bidco SAS LOUVRE BIDCO SAS ------Floating 9/30/24 LX181201 LSF10 EDILIANS LSF10 Edilians T/L (Imerys ------INVESTMENTS S.A.R.L. Roofing/Impala/Edilians) LX185688 LSF10 Wolverine LSF10 Wolverine T/L C1 ------Investments S.C.A. (Stark Group) LX183051 LSF10 XL Bidco SCA LSF10 XL T/L B3 (Xella) ------LX162912 MA FinanceCo., LLC MA FinanceCo T/L B3 ------(EUR) LX186084 MA FinanceCo., LLC MA FinanceCo T/L B1 ------(EUR) (Micro Focus) LX181920 Marnix SAS Marnix (Webhelp) T/L B ------
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part III Page 50 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part III As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Delayed Market Value Annual Fixed Rate Current Pay Cov-Lite Revolving Drawdown Determined ISIN/LoanX ID Issuer Facility Obligation Obligation Bridge Loan Corporate RescueObligation Loan Loan Obligation Obligation PIK Security by IM XS1681774888 Masaria Investments SAU MASAIN FLOAT 09/15/24 ------CORP LX176624 McAfee, LLC McAfee T/L B New ------LX191194 Mermaid Bidco Inc Mermaid Bidco T/L ------LX176184 NEP Europe Finco B.V. NEP Europe T/L ------LX190452 Neuraxpharm Holdco SARLNeuraxpharm T/L (10/20) ------(Invent Farma) LX189563 NewCo I B.V. NewCo I (UPC ------Financing/Sunrise) T/L B1 LX185475 Nidda Healthcare Holding Stada / Nidda Add TL F ------EUR LX174594 Nielsen Finance LLC Nielsen T/L New B2 ------XS1713466149 Novafives SAS NVFVES Float 06/15/25 ------LX168948 Oberthur Technologies Oberthur T/L New ------Group S.A.S. LX172053 Odyssey Investissement Odyssey Investissement ------SASU T/L B (Circet Groupe) LX168813 Oxea Finance LLC Oxea T/L New ------LX181236 Pax Midco Spain, S.L.U. Pax Midco Spain T/L ------LX171259 Peer Holding III B.V. Peer Holding III T/L B ------LX161954 Pfleiderer AG Pfleiderer T/L B ------LX182958 Piolin Bidco, S.A.U. Piolin Bidco T/L B1 ------LX174704 Promotora de Prisa T/L 2 (6/18) - - - - Yes - - - - - Informaciones SA (PRISA) LX169954 Rain Carbon Rain Carbon T/L B ------XS2066721965 Recordati Recordati ------XS2244322082 Rolls-Royce Plc Rolls-Royce PLC - Yes ------XS1819574929 Rolls-Royce Plc ROLLS 1 5/8 05/09/28 Yes Yes ------LX169930 Sapphire Bidco B.V Sapphire Refi T/L B (TMF ------Group) LX169932 Sapphire Bidco B.V Sapphire 2nd Lien T/L ------(TMF Group) XS1454980159 Schumann SpA SCHMAN 7 07/31/23 - Yes ------LX185662 Sector Alarm Holding AS Sector Alarm Holding T/L ------B1 LX162008 SFR Group S.A. SFR Group (Numericable / - - - - - Yes - - - - YPSO / Altice) T/L B11
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part III Page 51 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part III As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Delayed Market Value Annual Fixed Rate Current Pay Cov-Lite Revolving Drawdown Determined ISIN/LoanX ID Issuer Facility Obligation Obligation Bridge Loan Corporate RescueObligation Loan Loan Obligation Obligation PIK Security by IM LX169001 SFR Group S.A. SFR Group (Numericable / - - - - - Yes - - - - YPSO / Altice) T/L B12 (EUR) LX171809 Sigma Holdco BV Sigma Holdco T/L B1 (Flora ------Food) LX171110 Silk Bidco AS Silk Bidco T/L B ------(Hurtigruten) LX166814 SOCO 2 Socotec Facility B1 ------XS2275101967 Sofima Holding S.p.A. SOFHLD 3.45897% ------01/15/2028 XS1684385161 SoftBank Group Corp. Softbank 9/30/25 - Yes ------LX173978 Solenis Holdings LLC Solenis EURO T/L (06/18) ------LX151195 Solera, LLC Solera T/L B (03/16) ------LX186002 Specialty Chemicals Specialty Chemicals T/L ------International B.V. (Polynt-Reichhold) LX185579 Speedster Bidco GmbH Speedster Bidco T/L 2/20 ------LX190367 Sportradar Capital S.a.r.l. Sportradar Capital T/L B ------(10/20) LX183230 Springer Nature Springer Nature ------Deutschland GmbH Deutschland GMBH T/L B15 LX185784 Stage Entertainment B.V. Stage Entertainment T/L B ------(2/20) XS2110768525 Stena International S.A. STENA 3 3/4 02/01/25 - Yes ------CORP LX190079 Stiphout Finance BV Stiphout Finance BV ------(Vistra) T/L New LX183336 Summer (BC) Lux Summer (BC) Holdco T/L ------Consolidator S.C.A (Kantar) XS1757821688 Summit Properties LTD SMPTLN 2 01/31/25 Corp - Yes ------LX191037 Synlab Bondco PLC Synlab Bondco Plc 6/19 ------XS1814546013 Tele Columbus AG & Co TCGR 3 7/8 05/02/25 - Yes ------KG 0 LX174457 Tele Columbus GmbH Tele columbus T/L A2 ------LX185374 Telenet International Telenet 1/20 AQ T/L ------Finance S.A.R.L FR0013183571 Tereos Finance Groupe I Tereos 4 1/8 06/16/23 Corp Yes Yes ------LX174529 Terveys-ja hoivapalvelut Terveys (Mehlainen) 1st ------suomi yhtyma oy Lien T/L XS1439749281 Teva Pharm FNC NL II Teva 1 1/8 10/15/2024 Yes Yes ------
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part III Page 52 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Current Asset Characteristics - Part III As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Delayed Market Value Annual Fixed Rate Current Pay Cov-Lite Revolving Drawdown Determined ISIN/LoanX ID Issuer Facility Obligation Obligation Bridge Loan Corporate RescueObligation Loan Loan Obligation Obligation PIK Security by IM XS1439749364 Teva Pharm FNC NL II Teva Pharm FNC 1.625% Yes Yes ------10/15/28 LX184460 THG Operations Holdings THG Operations T/L B (Hut ------Ltd Group) LX166774 Thom Europe Thom Europe T/L B ------XS2111947318 United Group BV ADRBID FLOAT 02/15/26 ------CORP XS2111947748 United Group BV United Group BV 02/15/28 - Yes ------XS1843437200 United Group BV ADRBID Float 05/15/25 ------Corp LX189558 UPC Broadband Holding UPC Financing/Sunrise T/L ------B.V. B2 LX189037 Verisure Holding AB Verisure T/L B (7/20) ------LX189445 Veritas US Inc. Veritas New EUR T/L B------2020 XS2199597613 Vertical Midco GMBH Vertical Midco Floating ------7/15/2027 LX183233 Virgin Media SFA Finance Virgin Media SFA Finance ------Limited T/L O LX189822 VMED O2 UK Holdco 4 Ltd VMED O2 UK Holdco T/L ------(EUR) (Virgin Media) LX180927 Vue International Bidco Vue Cinemas 6/19 T/L B ------p.l.c. DE000A254QC5 WEPA Hygieneprodukte WEPA Hygieneprodukte ------GMBH GMB LX182816 WITTUR GmbH Wittur T/L New ------LX173851 Zephyr Bidco Limited Zephyr Bidco T/L B ------LX183461 Ziggo Secured Finance Ziggo (Vodafone) TLH ------B.V.
Totals: 192
U.S. Bank Global Corporate Trust Current Asset Characteristics - Part III Page 53 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Defaulted Obligations and Deferring Securities As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S&P Moody's S&P Recovery Recovery Market Value Collateral Collateral Calculation ISIN/LoanX ID Issuer Facility Date of Event No. of Days Principal Balance Rate Rate Value Value Amount
Totals: - - -
U.S. Bank Global Corporate Trust Defaulted Obligations and Deferring Securities Page 54 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. PIK Balances As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Principal ISIN/LoanX ID Issuer Facility Asset Type Maturity Date Margin PIK Rate Currency Par Amount Balance PIK to Date (EUR) XS2059777594 Cirsa Finance InternationalLHMCFI 7 1/4 10/02/25 CorSenior Secured Bond 02-Oct-25 7.25 7.25 EUR 1,282,320.00 1,233,000.00 49,320.00 LX174704 Promotora de InformacionesPrisa S AT/L (PRISA) 2 (6/18) Senior Secured Loan 31-Mar-25 4.50 1.00 EUR 1,154,058.00 1,154,058.00 10,742.13 LX174704 Promotora de InformacionesPrisa S AT/L (PRISA) 2 (6/18) Senior Secured Loan 31-Mar-25 4.50 1.00 EUR 2,507,751.27 2,507,751.27 23,342.49
Totals: 3 4,944,129.27 4,894,809.27
U.S. Bank Global Corporate Trust PIK Balances Page 55 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Discount and Swapped Non-Discount Obligations As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Purchase Date Principal Balance Purchase Price Calculation Amount % of ACB Swapped Non-Discount Obligation XS2033245023 Cirsa Finance International Cirsa Finance Intl 09-Apr-20 300,000.00 69.25 Floating 9/30/25 XS2033245023 Cirsa Finance International Cirsa Finance Intl 15-Apr-20 300,000.00 78.50 Floating 9/30/25 XS2033245023 Cirsa Finance International Cirsa Finance Intl 15-Apr-20 300,000.00 79.00 Floating 9/30/25 XS1713466149 Novafives SAS NVFVES Float 14-Sep-20 200,000.00 74.00 06/15/25 XS1713466149 Novafives SAS NVFVES Float 14-Sep-20 300,000.00 74.00 06/15/25 XS1713466149 Novafives SAS NVFVES Float 17-Sep-20 200,000.00 77.00 06/15/25 XS1713466149 Novafives SAS NVFVES Float 21-Sep-20 300,000.00 76.25 06/15/25
Totals: 7 1,900,000.00 - - %
U.S. Bank Global Corporate Trust Discount and Swapped Non-Discount Obligations Page 56 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Collateral Enhancement Obligations and Exchanged Equity Securities As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Seniority Number of Units Principal Balance
Totals: -
U.S. Bank Global Corporate Trust Collateral Enhancement Obligations and Exchanged Equity Securities Page 57 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Participation Information As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Counterparty Ratings ISIN/LoanX ID Issuer Facility Selling Institution Moody's S&P Principal Balance
Totals: - -
U.S. Bank Global Corporate Trust Participation Information Page 58 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Restructured Obligations - Additions As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Seniority Restructuring Date Par Amount Maturity Date
LX174704 Promotora de Prisa T/L 2 (6/18) Senior Secured Loan 31-Dec-20 287,152.65 31-Mar-25 Informaciones SA (PRISA) LX174704 Promotora de Prisa T/L 2 (6/18) Senior Secured Loan 31-Dec-20 2,622,529.00 31-Mar-25 Informaciones SA (PRISA) LX174704 Promotora de Prisa T/L 2 (6/18) Senior Secured Loan 31-Dec-20 3,280.82 31-Mar-25 Informaciones SA (PRISA) LX174704 Promotora de Prisa T/L 2 (6/18) Senior Secured Loan 31-Dec-20 19,575.00 31-Mar-25 Informaciones SA (PRISA) LX174704 Promotora de Prisa T/L 2 (6/18) Senior Secured Loan 31-Dec-20 1,045.97 31-Mar-25 Informaciones SA (PRISA) LX174704 Promotora de Prisa T/L 2 (6/18) Senior Secured Loan 31-Dec-20 1,656.26 31-Mar-25 Informaciones SA (PRISA) LX174704 Promotora de Prisa T/L 2 (6/18) Senior Secured Loan 31-Dec-20 978.36 31-Mar-25 Informaciones SA (PRISA) LX174704 Promotora de Prisa T/L 2 (6/18) Senior Secured Loan 31-Dec-20 1,549.21 31-Mar-25 Informaciones SA (PRISA)
Totals: 8
U.S. Bank Global Corporate Trust Restructured Obligations - Additions Page 59 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Restructured Obligations - Removals As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Seniority Restructuring Date Par Amount Maturity Date
LX174705 Promotora de Prisa T/L 3 (6/18) Senior Secured Loan 31-Dec-20 287,152.65 31-Dec-22 Informaciones SA (PRISA) LX174705 Promotora de Prisa T/L 3 (6/18) Senior Secured Loan 31-Dec-20 2,622,529.00 31-Dec-22 Informaciones SA (PRISA) LX174705 Promotora de Prisa T/L 3 (6/18) Senior Secured Loan 31-Dec-20 3,280.82 31-Dec-22 Informaciones SA (PRISA) LX174705 Promotora de Prisa T/L 3 (6/18) Senior Secured Loan 31-Dec-20 19,575.00 31-Dec-22 Informaciones SA (PRISA) LX174705 Promotora de Prisa T/L 3 (6/18) Senior Secured Loan 31-Dec-20 1,045.97 31-Dec-22 Informaciones SA (PRISA) LX174705 Promotora de Prisa T/L 3 (6/18) Senior Secured Loan 31-Dec-20 1,656.26 31-Dec-22 Informaciones SA (PRISA) LX174705 Promotora de Prisa T/L 3 (6/18) Senior Secured Loan 31-Dec-20 978.36 31-Dec-22 Informaciones SA (PRISA) LX174705 Promotora de Prisa T/L 3 (6/18) Senior Secured Loan 31-Dec-20 1,549.21 31-Dec-22 Informaciones SA (PRISA)
Total: 8
U.S. Bank Global Corporate Trust Restructured Obligations - Removals Page 60 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Detail - Public As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's Default Probability Rating Moody's Rating S&P Rating ISIN/LoanX ID Issuer Facility Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status XS2111947318 United Group BV ADRBID FLOAT B2 B2 B2 B2 B2 B2 B B B 02/15/26 CORP XS1843437200 United Group BV ADRBID Float Aaa B2 B2 B2 B2 B2 B B B 05/15/25 Corp LX185629 Aenova Holding Aenova 2/20 B3 B3 B3 B3 B3 B3 B- B- B- GMBH LX185330 Aernnova Aerospace Aernnova Aerospace B1 B3 B3 B1 B3 B3 B+ B B S.A.U. T/L B LX185331 Aernnova Aerospace Aernnova Aerospace B1 B3 B3 B1 B3 B3 B+ B B S.A.U. T/L B2 LX178841 Ahlsell AB (publ) Ahlsell AB T/L B B2 B2 B2 B1 B1 B1 B B B LX184902 AI Convoy AI Convoy B2 B2 B2 B1 B1 B1 B B B (Luxembourg) S.a.r.l. (Luxembourg) EUR LX173638 AI Sirona AI Sirona T/L B B3 B3 B3 B2 B2 B2 B B B (Luxembourg) (Zentiva) Acquisition LX176168 AL Alpine AT Bidco AL Alpine AT Bidco B3 B3 B3 B2 B3 B3 B B- B- GmbH (GE Distributed LX184479 All3Media ALL3 Media 11/19 B2 B2 B2 B2 B2 B2 B B B Intermediate Limited (EUR) T/L Facility C LX152755 Allnex SARL Allnex T/L B1 (EUR) B1 B2 B2 B2 B2 B2 B B B New LX175941 Alpha AB Bidco B.V. Alpha AB Bidco T/L B3 B3 B3 B2 B3 B3 B B- B- (Megadyne) LX137858 Alison Bidco Alstom (Arvos) T/L B3 Caa1 Caa1 CW- B2 Caa1 Caa1 CW- B CCC+ CCC+ CW- S.A.R.L. B2 XS1577952440 Altice Financing S.A. Altice 4 3/4 01/15/28 B1 B2 B2 B3 Caa1 Caa1 B+ B B LX168957 Altice Financing S.A. Altice Financing T/L B1 B2 B2 B1 B2 B2 B+ B B B (EUR) LX182838 Antigua Bidco Antigua Bidco B2 B2 B2 B2 B2 B2 B- B- B- Limited Limited (Atnahs 9/19 XS1533918824 Arrow Global ARWLN Float Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 BB- BB- BB- Finance Plc 04/01/25 Corp XS1645722262 Atlantia SPA Atlantia 1.875% Ba2 Ba2 Ba2 Ba3 Ba3 Ba3 B+ BB- BB- 7/13/27 XS1327504087 Autostrade Per ATLIM 1 3/4 Ba2 Ba2 Ba2 Ba3 Ba3 Ba3 B+ BB- BB- L'Italia 06/26/26 CO XS1688199949 Autostrade Per ATLIM 1 7/8 Ba2 Ba2 Ba2 Ba2 Ba3 Ba3 B+ BB- BB- L'Italia 09/26/29 LX174821 Auris Luxembourg III Auris Luxembourg III B2 B3 B3 B2 B3 B3 B+ B- B- Sarl T/L B
Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications E - Credit Estimate CW+ - Credit Watch with positive implications S - Shadow Rated DEF - In Default * Ratings are presented having taken the Credit Watch notching implications, identified above, into account.
U.S. Bank Global Corporate Trust Rating Detail - Public Page 61 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Detail - Public As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's Default Probability Rating Moody's Rating S&P Rating ISIN/LoanX ID Issuer Facility Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status LX168604 Avantor Funding, Avantor Funding B3 B1 B1 B2 Ba2 Ba2 B BB- BB- Inc. EUR T/L LX183311 Avast Holding BV Avast Software Ba2 Ba2 Ba2 Ba2 Ba2 Ba2 BB BB+ BB+ 10/19 (Eur) LX185359 Azelis Finance S.A. Azelis Incremental B3 B3 B3 B2 B2 B2 B B B B3 LX185438 Banijay Group SAS Banijay T/L (EUR) B2 B2 B2 B1 B1 B1 B B B LX190863 Barentz International Barentz International B2 B2 B2 B2 B2 B2 B B B B.V. B.V. LX181408 BBD Bidco Limited BBD Bidco T/L B3 B3 B3 B2 B2 B2 B- B- B- LX181129 Befesa Befesa TL B Add On Ba2 Ba2 Ba2 Ba2 Ba2 Ba2 BB BB BB LX186140 Boels Topholding Boels Rental 6/20 B1 B1 B1 B1 B1 B1 BB- BB- BB- B.V. LX182811 Boluda Corporacion Boluda Towage T/L B1 B1 B1 B1 B1 B1 BB- BB- BB- Maritima S.L. B1 LX174342 Boxer Parent Boxer Parent B3 B3 B3 B2 B2 B2 B B- B- Company, Inc. Company EUR T/L LX189634 BVI Medical Inc BVI Medical B3 B3 B3 B3 B3 B3 B B B (Beaver- LX164386 CAB CAB (Bio Group) T/L B2 B2 - S B2 B2 - S B B- - P B (07/19) LX189508 CAB CAB (Biogroup-LCD) B2 B2 B2 B2 B2 B2 B- B- B- T/L (10/20) LX188583 CAB CAB T/L B B2 B2 B2 B2 B2 B2 B- B- B- (Biogroup-LCD) LX190666 Cambrex Cambrex B2 B2 B2 B2 B2 B2 B B B Corporation Corporation T/L B LX188869 Carnival PLC Carnival T/L B (EUR) Ba1 B1 B1 Baa3 Ba2 Ba2 B+ B B LX183661 Casino Guichard Casino T/L B B2 B3 B3 B1 B2 B2 B B B Perrachon SA LX185073 Castle US Holding Castle US (Cision B3 B3 B3 B2 B2 B2 B- B- B- Corporation US) T/L B (1/20) XS1317305198 Carnival PLC CCL 1 7/8 11/7/2022 B1 B1 B1 B2 B2 B2 B+ B B LX173383 CD&R Firefly Bidco CD&R Firely Bidco B2 B2 B2 B1 B1 B1 B B B Limited T/L B2 (Motor Fuel XS1513765922 Codere Finance 2 CDRSM 6 3/4 B3 Caa3 Caa3 B3 Caa3 Caa3 B- CCC CCC Luxembourg SA 11/01/21 LX191527 Cerebro Bidco Cerebro Bidco T/L B3 B3 B3 B3 B3 B3 B B B GMBH B2 (Invent Farma)
Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications E - Credit Estimate CW+ - Credit Watch with positive implications S - Shadow Rated DEF - In Default * Ratings are presented having taken the Credit Watch notching implications, identified above, into account.
U.S. Bank Global Corporate Trust Rating Detail - Public Page 62 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Detail - Public As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's Default Probability Rating Moody's Rating S&P Rating ISIN/LoanX ID Issuer Facility Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status LX179210 Ceva Sante Animale Ceva Sante New B3 B3 B3 B3 B3 B3 B+ B B Term Loan LX172376 Chemours Chemours EUR T/L Ba2 Ba3 Ba3 Baa3 Ba1 Ba1 BB B+ B+ Company, The B2 LX185360 Cheplapharm Cheplapharm Euro B2 B2 B2 B2 B2 B2 B B B Arzneimittel GmbH T/L B4 XS2033245023 Cirsa Finance Cirsa Finance Intl B3 B3 B3 B3 B3 B3 B- B- B- International Floating 9/30/25 LX179101 Clarios Global LP Clarios Global T/L B B1 B2 B2 Ba3 B1 B1 B+ B B EUR XS2241097687 Centurion Bidco CNTRNB 5 7/8 B2 B2 B2 B2 B2 B2 B B B S.p.A. 09/30/26 LX172439 Coty Inc. Coty T/L B (EUR) Ba3 Caa1 Caa1 Ba3 B3 B3 B+ B- B- LX169716 CTC AcquiCo GmbH CTC AcquiCo B3 B3 B3 B2 B2 B2 B B B (CeramTec) T/L B1 LX189028 Dedalus Finance Dedalus 7/20 Cov- B3 B3 B3 B3 B3 B3 B B B GmbH Lite LX164119 Diaverum Holding Diaverum Term Loan B3 B3 B3 B2 B3 B3 B B- B- SARL B LX167195 Diamond (BC) B.V. Diversey (Diamond) B3 B3 B3 B1 B1 B1 B- B- B- Term Loan DE000A2YPAK1 Demire Real Estate DMREGR 1 7/8 Ba2 Ba2 Ba2 Ba2 Ba2 Ba2 BB BB BB AG 10/15/24 XS2015218584 Diocle SPA / Doc DOCGEN Float B2 B2 B2 B2 B2 B2 B B B Generici 06/30/26 LX184200 HOMEVI Domus VI/Home VI B1 B1 B1 B2 B2 B2 B B B 10/19 XS1699848914 Dufry One BV Dufry One BV B1 B1 B1 B1 B1 B1 B+ B B CW- 10/31/2024 LX171054 EG Group Limited EG Group T/L B1 B2 B3 B3 B2 B3 B3 B B- B- (EUR) XS1992087996 EG GLOBAL EGBLFN 4 38 B2 B3 B3 B2 B3 B3 B- B- B- FINANCE PLC 02/07/25 CORP LX182609 Eircom Finco S.a r.l. Eircom Facilty B B1 B1 B1 B1 B1 B1 B+ B+ B+ LX180839 Elsan SAS Elsan New T/L B3 B1 B1 B1 B1 B1 B1 B+ B+ B+ (Vedici) XS2229090589 Encore Capital Encore Capital Caa3 Ba2 Ba2 Caa3 Ba3 Ba3 CCC- B+ B+ Group Inc 4.875% 10/15/25 XS2271247178 Encore Capital Encore Capital Ba2 Ba2 Ba2 Ba3 Ba3 Ba3 B+ B+ B+ Group Inc Group Floating Rate
Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications E - Credit Estimate CW+ - Credit Watch with positive implications S - Shadow Rated DEF - In Default * Ratings are presented having taken the Credit Watch notching implications, identified above, into account.
U.S. Bank Global Corporate Trust Rating Detail - Public Page 63 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Detail - Public As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's Default Probability Rating Moody's Rating S&P Rating ISIN/LoanX ID Issuer Facility Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status LX169939 EUNetworks EUNetworks Term B2 B2 B2 B2 B2 B2 B B B Loan B (Stonepeak LX169397 Euskaltel Euskaltel T/L B4 B1 B1 B1 B1 B1 B1 BB- BB- BB- LX175202 Evergood 4 ApS Evergood (Nets) TL B2 B1 B1 CW+ B1 Ba3 Ba3 CW+ B B B CW+ B2 New LX169511 Excelitas Excelitas New T/L B3 B3 B3 B2 B2 B2 B- B- B- Technologies Corp. LX153737 Foncia Groupe SAS Foncia T/L B-3 B2 B2 B2 B2 B2 B2 B B B LX185229 Froneri International Froneri Lux FinCo B1 B1 B1 B1 B1 B1 B+ B+ B+ Ltd T/L LX165624 Fugue Finance BV Fugue Finance T/L B2 B2 B2 B1 B1 B1 B B- B- (Nord Anglia) XS2028892045 Galaxy Bidco Ltd Galaxy DGGLN B2 B2 B2 B2 B2 B2 B B B FLoat 07/31/26 C LX169951 Gamesys Group Plc Gamesys Group T/L B1 Ba3 Ba3 B1 Ba3 Ba3 B+ B+ B+ EUR XS2208645882 Gamma GAMMA BIDCO B1 B1 B1 Ba3 B1 B1 B B B Technologies, LLC SPA LX185557 Gardner Denver, Inc. Gardner Denver T/L Ba2 Ba2 Ba2 Ba2 Ba2 Ba2 BB+ BB+ BB+ (EUR) (2/20) LX169690 Gates Global LLC Gates Global B2 T/L B3 B2 B2 B2 B1 B1 B+ B+ B+ LX177507 Generale De Sante Generale De Sante Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 BB- BB- BB- T/L B3A LX177478 Generale De Sante Generale De Sante Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 BB- BB- BB- T/L B3B LX186040 Genesis Specialist Genesis Care B1 B1 B1 B1 B1 B1 B B B Care Finance UK Finance T/L B4 Limited LX176262 Genesis Specialist Genesis Specialist B1 B1 B1 B1 B1 B1 B+ B B Care Finance UK Care Finance T/L Limited XS2250153769 Garfunkelux Holdco GFKLDE 6 3/4 B2 B2 B2 B3 B2 B2 B+ B+ B+ 3 SA 11/01/25 XS2250154494 Garfunkelux Holdco GFKLDE Float B2 B2 B2 B3 B2 B2 B+ B+ B+ 3 SA 5/1/2026 LX185085 Global University Global University B2 B2 B2 B2 B2 B2 B B- B- Systems B.V. Systems T/L B LX183734 Grifols Worldwide Grifols Worldwide Ba3 Ba3 Ba3 Ba2 Ba2 Ba2 BB BB BB Operations Limited Operations T/L B1
Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications E - Credit Estimate CW+ - Credit Watch with positive implications S - Shadow Rated DEF - In Default * Ratings are presented having taken the Credit Watch notching implications, identified above, into account.
U.S. Bank Global Corporate Trust Rating Detail - Public Page 64 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Detail - Public As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's Default Probability Rating Moody's Rating S&P Rating ISIN/LoanX ID Issuer Facility Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status LX191106 Groupe Inovie Groupe Inovie T/L B2 B2 B2 B2 B2 B2 B B B (EUR) LX171876 GTT GTT - - Caa3 - - Caa3 CCC+ CCC- CCC Communications, Communications Inc. XS1888268064 Guala Closures SpA Guala Closures B1 B1 B1 B1 B1 B1 B+ B+ B+ Floating 4/15/24 LX182631 GVC Holdings PLC GVC Holdings Term Ba2 Ba2 Ba2 Ba2 Ba2 Ba2 BB BB BB Loan B New (Facility LX183013 Helios Software Helios Software T/L B2 B2 B2 B2 B2 B2 B B B Holdings, Inc. (Ion Corporate) LX188437 Hestia Holding Hestia Holding T/L B B2 B2 B2 B1 B1 B1 B B B (Financiere CEP) LX176277 I Logic Technologies I Logic Technologies B3 B2 B2 B3 B3 B3 B B B Bidco Ltd (Dealogic) T/L LX174007 Imagina Media Imagina 2nd Lien B1 Caa1 Caa1 B3 Caa3 Caa3 BB- CCC+ CCC+ Audiovisual S.L. T/L (Invictus Media) LX172316 Imagina Media Imagina Media B1 Caa1 Caa1 Ba3 B3 B3 B+ CCC+ CCC+ Audiovisual S.L. (Invictus) T/L B LX174519 Imagina Media Imagina Media B1 Caa1 Caa1 Ba3 B3 B3 B+ CCC+ CCC+ Audiovisual S.L. (Invictus) T/L B2 LX169196 Ineos Finance PLC Ineos Finance PLC Ba2 Ba3 Ba3 Ba1 Ba2 Ba2 BB BB- BB- CW- T/L B 2024 LX185686 Informatica LLC Informatica T/L B2 B2 B2 B1 B1 B1 B- B- B- (2/20) (EUR) LX183759 Inspired Finco Inspired B2 B2 B2 B2 B2 B2 B B B Holdings Ltd Finco/Inspired XS2052216111 Intrum Justitia Intrum 3 15/9/2027 Ba2 Ba2 Ba2 Ba2 Ba2 Ba2 BB BB BB Corp LX173675 ION Trading ION Trading B2 B3 B3 B2 B3 B3 B B B Technologies Technologies T/L S.a.R.L XS2262839603 IPD 3 BV IPD 3 B.V. B3 B3 B3 B3 B3 B3 B- B- B- LX160895 IQVIA Inc. IQVIA (IMS Health) Ba2 Ba2 Ba2 Ba1 Ba1 Ba1 BB+ BB+ BB+ T/L B1 New LX183937 Irel AcquiCo GmBH Irel AcquiCo T/L B2 B2 B2 B2 B2 B2 B+ B+ B+ (11/19) XS2010033269 Kapla Holding Kapla holding B1 B2 B2 B1 B2 B2 B+ B B Floating 12/15/26
Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications E - Credit Estimate CW+ - Credit Watch with positive implications S - Shadow Rated DEF - In Default * Ratings are presented having taken the Credit Watch notching implications, identified above, into account.
U.S. Bank Global Corporate Trust Rating Detail - Public Page 65 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Detail - Public As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's Default Probability Rating Moody's Rating S&P Rating ISIN/LoanX ID Issuer Facility Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status LX188898 Knowlton Knowlton B2 B2 B2 B2 B2 B2 B B- B- Development Development Corp Corporation Inc. LX171690 Kraton Polymers Kraton Polymers T/L B1 B1 B1 Ba3 Ba2 Ba2 B+ B+ B+ LLC B (EUR) LX165185 KIWI VFS SUB II Kuoni Group/VFS B2 B3 B3 B1 B3 B3 B B- B- S.A.R.L.(VFS) Global T/L B2 LX180858 LABL, Inc. LABL T/L EUR (Multi B3 B3 B3 B2 B2 B2 B B B Color) XS2059777594 Cirsa Finance LHMCFI 7 1/4 B1 B3 B3 Ba3 B2 B2 B B- B- International 10/02/25 Cor XS1974797950 Lincoln Financing Lincoln Float - - B2 B1 B1 B1 BB+ BB+ BB+ Sarl 04/01/24 Corp LX189018 Lorca Finco PLC Lorca Finco Rolled B1 B1 B1 B1 B1 B1 B+ B+ B+ T/L B1 (MasMovil) XS1885543691 Louvre Bidco SAS LOUVRE BIDCO B2 B2 B2 B2 B2 B2 BB- B+ B+ SAS Floating LX181201 LSF10 EDILIANS LSF10 Edilians T/L B1 B2 B2 B1 B2 B2 B B B INVESTMENTS (Imerys S.A.R.L. LX185688 LSF10 Wolverine LSF10 Wolverine B2 B2 B2 B2 B2 B2 B B B Investments S.C.A. T/L C1 (Stark Group) LX183051 LSF10 XL Bidco LSF10 XL T/L B3 B2 B3 B3 B2 B3 B3 B+ B+ B+ SCA (Xella) LX186084 MA FinanceCo., LLC MA FinanceCo T/L B1 B1 B1 B1 B1 B1 BB- BB- BB- B1 (EUR) (Micro LX162912 MA FinanceCo., LLC MA FinanceCo T/L B1 B1 B1 B1 B1 B1 BB- BB- BB- B3 (EUR) LX181920 Marnix SAS Marnix (Webhelp) B2 B2 B2 B2 B2 B2 B B B T/L B XS1681774888 Masaria Investments MASAIN FLOAT B2 B2 B2 B2 B3 B3 B B B SAU 09/15/24 CORP LX176624 McAfee, LLC McAfee T/L B New B2 B1 B1 B2 B1 B1 B BB- BB- LX191194 Mermaid Bidco Inc Mermaid Bidco T/L B2 B2 B2 B2 B2 B2 B- B- B- LX176184 NEP Europe Finco NEP Europe T/L B3 Caa1 Caa1 B2 Caa1 Caa1 B B- B- B.V. LX190452 Neuraxpharm Neuraxpharm T/L B3 B3 B3 B3 B3 B3 B B B Holdco SARL (10/20) (Invent LX189563 NewCo I B.V. NewCo I (UPC B1 B1 B1 B1 B1 B1 BB- BB- BB- Financing/Sunrise)
Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications E - Credit Estimate CW+ - Credit Watch with positive implications S - Shadow Rated DEF - In Default * Ratings are presented having taken the Credit Watch notching implications, identified above, into account.
U.S. Bank Global Corporate Trust Rating Detail - Public Page 66 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Detail - Public As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's Default Probability Rating Moody's Rating S&P Rating ISIN/LoanX ID Issuer Facility Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status LX174594 Nielsen Finance LLC Nielsen T/L New B2 Ba3 Ba3 Ba3 Ba1 Ba1 Ba1 BB+ BB- BB- CW- XS1713466149 Novafives SAS NVFVES Float Caa1 Caa1 Caa1 Caa2 Caa2 Caa2 B- B- B- 06/15/25 LX168948 Oberthur Oberthur T/L New B2 B3 B3 B2 B3 B3 B- B- B- Technologies Group S.A.S. LX168813 Oxea Finance LLC Oxea T/L New B3 B3 B3 B3 B3 B3 B B- B- LX181236 Pax Midco Spain, Pax Midco Spain T/L B1 B3 B3 B1 B3 B3 B CCC+ CCC+ S.L.U. LX171259 Peer Holding III B.V. Peer Holding III T/L B1 B1 B1 B1 B1 B1 B+ B+ B+ B LX161954 Pfleiderer AG Pfleiderer T/L B Ba3 B1 B1 B1 B1 B1 B+ B+ B+ LX182958 Piolin Bidco, S.A.U. Piolin Bidco T/L B1 B2 Caa1 Caa1 Caa1 Caa1 Caa1 CCC+ CCC+ CCC+ LX174704 Promotora de Prisa T/L 2 (6/18) Caa2 Caa1 Caa1 B1 B3 B3 B CCC- CCC- Informaciones SA (PRISA) LX169954 Rain Carbon Rain Carbon T/L B B1 B2 B2 Ba3 Ba3 Ba3 B+ B+ B+ XS2066721965 Recordati Recordati B2 B2 B2 B3 B3 B3 B B B XS1819574929 Rolls-Royce Plc ROLLS 1 5/8 Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 B+ B+ B+ CW- 05/09/28 XS2244322082 Rolls-Royce Plc Rolls-Royce PLC Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 BB- B+ B+ CW- LX169932 Sapphire Bidco B.V Sapphire 2nd Lien B3 B3 B3 Caa2 Caa2 Caa2 B B- B- T/L (TMF Group) LX169930 Sapphire Bidco B.V Sapphire Refi T/L B B3 B3 B3 B2 B2 B2 B B- B- (TMF Group) XS1454980159 Schumann SpA SCHMAN 7 07/31/23 B1 B1 B1 B1 B1 B1 B+ B B LX185662 Sector Alarm Sector Alarm B1 B1 B1 Ba3 B1 B1 B B B Holding AS Holding T/L B1 LX162008 SFR Group S.A. SFR Group B2 B2 B2 B2 B2 B2 B B B (Numericable / LX169001 SFR Group S.A. SFR Group B1 B2 B2 B1 B2 B2 B+ B B (Numericable / LX171809 Sigma Holdco BV Sigma Holdco T/L B1 B2 B2 B1 B2 B2 B+ B+ B+ B1 (Flora Food) LX171110 Silk Bidco AS Silk Bidco T/L B B2 Caa1 Caa1 B2 Caa1 Caa1 B- CCC+ CCC+ (Hurtigruten) XS1757821688 Summit Properties SMPTLN 2 01/31/25 Ba1 Ba1 Ba1 Ba1 Ba1 Ba1 BB+ BB+ BB+ LTD Corp LX166814 SOCO 2 Socotec Facility B1 B2 B3 B3 B2 B3 B3 B B B
Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications E - Credit Estimate CW+ - Credit Watch with positive implications S - Shadow Rated DEF - In Default * Ratings are presented having taken the Credit Watch notching implications, identified above, into account.
U.S. Bank Global Corporate Trust Rating Detail - Public Page 67 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Detail - Public As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's Default Probability Rating Moody's Rating S&P Rating ISIN/LoanX ID Issuer Facility Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status XS2275101967 Sofima Holding SOFHLD 3.45897% B2 B2 B2 B2 B2 B2 B B B S.p.A. 01/15/2028 XS1684385161 SoftBank Group Softbank 9/30/25 B1 Ba3 Ba3 B1 Ba3 Ba3 BB+ BB+ BB+ Corp. LX173978 Solenis Holdings Solenis EURO T/L B3 B3 B3 B3 B3 B3 B- B- B- LLC (06/18) LX151195 Solera, LLC Solera T/L B (03/16) B2 B2 B2 Ba3 Ba3 Ba3 B- B- B- LX186002 Specialty Chemicals Specialty Chemicals B1 B1 B1 B1 B1 B1 B+ B+ B+ International B.V. T/L (Polynt- LX185579 Speedster Bidco Speedster Bidco T/L B3 B3 B3 B2 B2 B2 B- B- B- GmbH 2/20 LX190367 Sportradar Capital Sportradar Capital B2 B2 B2 B2 B2 B2 B B B S.a.r.l. T/L B (10/20) LX183230 Springer Nature Springer Nature B2 B2 B2 B2 B2 B2 B+ B+ B+ Deutschland GmbH Deutschland GMBH LX185475 Nidda Healthcare Stada / Nidda Add B3 B3 B3 B2 B2 B2 B B B Holding TL F EUR LX174019 Flutter Stars Group B2 Ba1 Ba1 B1 Ba1 Ba1 B+ BB+ BB+ Entertainment PLC Holdings T/L XS2110768525 Stena International STENA 3 3/4 B1 B2 B2 Ba3 B1 B1 B+ B+ B+ S.A. 02/01/25 CORP LX190079 Stiphout Finance BV Stiphout Finance BV B2 B2 B2 B2 B2 B2 B B B (Vistra) T/L New LX183336 Summer (BC) Lux Summer (BC) B2 B2 B2 B1 B1 B1 B B B Consolidator S.C.A Holdco T/L (Kantar) LX191037 Synlab Bondco PLC Synlab Bondco Plc B2 B2 B2 B2 B2 B2 B+ B+ B+ 6/19 XS1814546013 Tele Columbus AG & TCGR 3 7/8 B2 B3 B2 CW+ B2 B3 B2 CW+ B B- B- Co KG 0 05/02/25 LX174457 Tele Columbus Tele columbus T/L B2 B3 B2 CW+ B2 B3 B2 CW+ B B- B- GmbH A2 LX185374 Telenet International Telenet 1/20 AQ T/L Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 BB- BB- BB- Finance S.A.R.L FR0013183571 Tereos Finance Tereos 4 1/8 B3 B3 B3 B3 B3 B3 B+ B+ B+ Groupe I 06/16/23 Corp LX174529 Terveys-ja Terveys (Mehlainen) B3 B3 B3 B2 B2 B2 B B B hoivapalvelut suomi 1st Lien T/L yhtyma oy XS1439749281 Teva Pharm FNC NL Teva 1 1/8 Ba2 Ba2 Ba2 Ba2 Ba2 Ba2 BB- BB- BB- II 10/15/2024
Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications E - Credit Estimate CW+ - Credit Watch with positive implications S - Shadow Rated DEF - In Default * Ratings are presented having taken the Credit Watch notching implications, identified above, into account.
U.S. Bank Global Corporate Trust Rating Detail - Public Page 68 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Detail - Public As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's Default Probability Rating Moody's Rating S&P Rating ISIN/LoanX ID Issuer Facility Acquisition Previous Current Status Acquisition Previous Current Status Acquisition Previous Current Status XS1439749364 Teva Pharm FNC NL Teva Pharm FNC Ba2 Ba2 Ba2 Ba2 Ba2 Ba2 BB- BB- BB- II 1.625% 10/15/28 LX169660 IWH UK FINCO Theramex Teva IWH B2 B3 B3 B2 B3 B3 B B B (Theramex) 11/17 TLB LX184460 THG Operations THG Operations T/L B1 B1 B1 B1 B1 B1 B- B B Holdings Ltd B (Hut Group) LX166774 Thom Europe Thom Europe T/L B B2 B3 B3 B2 B3 B3 B B B XS2111947748 United Group BV United Group BV B2 B2 B2 B2 B2 B2 B B B 02/15/28 LX189558 UPC Broadband UPC B1 B1 B1 B1 B1 B1 BB- BB- BB- Holding B.V. Financing/Sunrise LX189037 Verisure Holding AB Verisure T/L B (7/20) B2 B2 B2 B1 B1 B1 B B B LX189445 Veritas US Inc. Veritas New EUR B3 B3 B3 B2 B2 B2 B- B- B- T/L B-2020 XS2199597613 Vertical Midco Vertical Midco B2 B2 B2 B1 B1 B1 B- B- B- GMBH Floating 7/15/2027 LX183233 Virgin Media SFA Virgin Media SFA Ba3 Ba3 Ba3 Ba3 Ba3 Ba3 BB- BB- BB- Finance Limited Finance T/L O LX189822 VMED O2 UK VMED O2 UK B2 Ba3 Ba3 Ba3 Ba3 Ba3 BB- BB- BB- Holdco 4 Ltd Holdco T/L (EUR) LX180927 Vue International Vue Cinemas 6/19 B3 Caa2 Caa2 B2 Caa1 Caa1 B- CCC+ CCC+ Bidco p.l.c. T/L B DE000A254QC5 WEPA WEPA Ba3 Ba3 Ba3 B1 B1 B1 BB- BB- BB- Hygieneprodukte Hygieneprodukte GMBH LX182816 WITTUR GmbH Wittur T/L New B3 B3 B3 B2 B2 B2 B- B- B- XS2138140798 Altice France S.A YPSO FINANCE B2 B2 B2 Caa1 Caa1 Caa1 B B B 4% 2/15/2028 LX173851 Zephyr Bidco Zephyr Bidco T/L B B3 B3 B3 B2 B2 B2 B B- B- Limited LX183461 Ziggo Secured Ziggo (Vodafone) B1 B1 B1 B1 B1 B1 B+ B+ B+ Finance B.V. TLH
Totals: 183
Asset Status Legend: N - Notched / Implied Rating CW- - Credit Watch with negative implications E - Credit Estimate CW+ - Credit Watch with positive implications S - Shadow Rated DEF - In Default * Ratings are presented having taken the Credit Watch notching implications, identified above, into account.
U.S. Bank Global Corporate Trust Rating Detail - Public Page 69 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Change History - Public As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S & P ISIN/LoanX ID Issuer Facility Prior Curr Date Action Prior Curr Date Action LX174457 Tele Columbus Tele columbus T/L A2 B3 B3 23-Dec-20 CW+ GmbH XS1814546013 Tele Columbus AG & TCGR 3 7/8 05/02/25 B3 B3 23-Dec-20 CW+ Co KG 0
Totals: 2
U.S. Bank Global Corporate Trust Rating Change History - Public Page 70 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Rating Change History - Shadow/Private As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S & P ISIN/LoanX ID Issuer Facility Prior Prior Date Curr Curr Date Prior Prior Date Curr Curr Date
Totals:
U.S. Bank Global Corporate Trust Rating Change History - Shadow/Private Page 71 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Counterparty Ratings As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Moody's S&P Nbr Counterparty Counterparty Role Short-term Min Result Long-term Min Result Short-term Min Result Long-term Min Result
1 Bank of America N.A. Asset Swap Counterparty P-1 P-1 PASS Aa2 A2 PASS A-1 A-1 PASS A+ A PASS 2 BlackRock Investment Management (UK) LimitedCollateral Manager - NP N/A - NR N/A - NR N/A - NR N/A 3 Elavon Financial Services DAC Account Bank P-1 P-1 PASS A1 A3 PASS A-1+ A-1 PASS AA- A PASS 4 Elavon Financial Services DAC Custodian P-1 P-1 PASS A1 A3 PASS A-1+ A-1 PASS AA- A PASS 5 Elavon Financial Services DAC Paying Agent P-1 P-3 PASS A1 Baa3 PASS A-1+ NR N/A AA- NR PASS 6 Elavon Financial Services DAC Registrar P-1 NP N/A A1 NR PASS A-1+ NR N/A AA- NR PASS 7 Elavon Financial Services DAC Transfer Agent P-1 NP N/A A1 NR PASS A-1+ NR N/A AA- NR PASS 8 JP Morgan Securities Ltd Asset Swap Counterparty P-1 NP N/A Aa3 NR PASS A-1 A-1 PASS A+ A PASS 9 Matheson Listing Agent - NP N/A - NR N/A - NR N/A - NR N/A 10 U.S. Bank Global Corporate Trust Limited Calculation Agent - NP N/A - NR N/A - NR N/A - NR N/A 11 U.S. Bank Global Corporate Trust Limited Collateral Administrator - NP N/A - NR N/A - NR N/A - NR N/A 12 U.S. Bank Global Corporate Trust Limited Information Agent - P-1 N/A - A2 N/A - NR N/A - NR N/A 13 U.S. Bank Trustees Limited Trustee - N/A - NR N/A - NR N/A - NR N/A
Totals: 13
U.S. Bank Global Corporate Trust Counterparty Ratings Page 72 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Intra-Period Collection Account Detail As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Interest Principal
Current Current Prior Amounts Ending Prior Amounts Ending Total ISIN/LoanX ID Facility Balance Received Balance Balance Received Balance Collected
XS2111947318 ADRBID FLOAT 02/15/26 CORP 7,883.97 - 7,883.97 - - - 7,883.97 XS1843437200 ADRBID Float 05/15/25 Corp 16,969.01 - 16,969.01 - - - 16,969.01 LX185629 Aenova 2/20 ------LX185330 Aernnova Aerospace T/L B 10,983.67 - 10,983.67 - - - 10,983.67 LX185331 Aernnova Aerospace T/L B2 2,785.71 - 2,785.71 - - - 2,785.71 LX178841 Ahlsell AB T/L B - 21,416.67 21,416.67 - - - 21,416.67 LX184902 AI Convoy (Luxembourg) EUR T/L B ------LX173638 AI Sirona T/L B (Zentiva) 21,000.00 10,000.00 31,000.00 - - - 31,000.00 LX176168 AL Alpine AT Bidco (GE Distributed Power) T/L 32,319.44 - 32,319.44 - - - 32,319.44 LX184479 ALL3 Media 11/19 (EUR) T/L Facility C 17,986.11 - 17,986.11 - - - 17,986.11 LX152755 Allnex T/L B1 (EUR) New 15,479.23 13.33 15,492.56 - 4,764.09 4,764.09 20,256.65 LX171119 Alloheim T/L B ------LX137858 Alstom (Arvos) T/L B2 48,027.58 48.64 48,076.22 - 10,270.90 10,270.90 58,347.12 XS1577952440 Altice 4 3/4 01/15/28 ------LX168957 Altice Financing T/L B (EUR) 30,912.63 - 30,912.63 11,307.54 - 11,307.54 42,220.17 LX175941 Ammega Group BV - 19,166.66 19,166.66 - - - 19,166.66 XS2195511006 AMS 6% 30/06/2025 30,827.50 - 30,827.50 - - - 30,827.50 LX182838 Antigua Bidco Limited (Atnahs 9/19 Cov-Lite) TLB 26,111.11 - 26,111.11 - - - 26,111.11 LX181236 Areas SA 62,779.16 - 62,779.16 - - - 62,779.16 XS1533918824 ARWLN Float 04/01/25 Corp - 18,661.94 18,661.94 - - - 18,661.94 XS1645722262 Atlantia 1.875% 7/13/27 ------XS1327504087 ATLIM 1 3/4 06/26/26 CO ------XS1688199949 ATLIM 1 7/8 09/26/29 ------LX174821 Auris Luxembourg III T/L B 51,888.89 - 51,888.89 - - - 51,888.89 LX168604 Avantor Funding EUR T/L 5,800.96 2,948.03 8,748.99 - 141,415.89 141,415.89 150,164.88 LX183311 Avast T/L ------LX185359 Azelis Incremental B3 ------LX185438 Banijay T/L (EUR) - 14,687.50 14,687.50 - - - 14,687.50 LX190863 Barentz International B.V. - 3,166.67 3,166.67 - - - 3,166.67 LX181408 BBD Bidco T/L 7,812.47 - 7,812.47 - - - 7,812.47 LX181129 Befesa TL B ------
U.S. Bank Global Corporate Trust Intra-Period Collection Account Detail Page 73 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Intra-Period Collection Account Detail As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Interest Principal
Current Current Prior Amounts Ending Prior Amounts Ending Total ISIN/LoanX ID Facility Balance Received Balance Balance Received Balance Collected
LX186140 Boels Rental 21,000.00 - 21,000.00 - - - 21,000.00 LX182811 Boluda Towage T/L B1 17,888.89 - 17,888.89 - - - 17,888.89 LX174342 Boxer Parent Company T/L - 23,852.92 23,852.92 - 5,000.00 5,000.00 28,852.92 LX189634 BVI Medical (Beaver-Visitec/Physiol) Incremental T 10,305.56 - 10,305.56 - - - 10,305.56 LX164386 CAB (Bio Group) T/L B (07/19) - BIOMER 27,968.76 - 27,968.76 - - - 27,968.76 LX189508 CAB (Biogroup-LCD) T/L (10/20) 7,885.90 - 7,885.90 - - - 7,885.90 LX188583 CAB T/L B (Biogroup-LCD) (6/20) 23,729.17 - 23,729.17 - - - 23,729.17 LX184252 Cambrex Corporation T/L (EUR) 24,605.73 - 24,605.73 - - - 24,605.73 LX190666 Cambrex Corporation T/L B (EUR) (12/20) - 10,892.02 10,892.02 - - - 10,892.02 LX188869 Carnival T/L B (EUR) 26,186.46 12,468.75 38,655.21 - 5,000.00 5,000.00 43,655.21 FR0011765825 Casino Guichard 4.498% 3/2024 - - - - 1,013,360.80 1,013,360.80 1,013,360.80 LX183661 Casino T/L B 28,111.11 - 28,111.11 - - - 28,111.11 LX185073 Castle US (Cision US) T/L B (1/20) (EUR) - 14,303.13 14,303.13 - 3,750.00 3,750.00 18,053.13 XS1317305198 CCL 1 7/8 11/7/2022 2,612.70 - 2,612.70 16,137.30 - 16,137.30 18,750.00 LX173383 CD&R Firely Bidco T/L B2 (Motor Fuel Group) 35,569.44 - 35,569.44 - - - 35,569.44 XS1513765922 CDRSM 6 3/4 11/01/21 92,191.14 - 92,191.14 - - - 92,191.14 LX162213 Cegid Group SA (Project Claudius) T/L B5 38,793.23 - 38,793.23 - - - 38,793.23 LX191527 Cerebro Bidco T/L B2 (Invent Farma) ------LX179210 Ceva Sante New Term Loan- Mendel ------LX172376 Chemours EUR T/L B2 - 22,194.52 22,194.52 - 8,907.50 8,907.50 31,102.02 LX185360 Cheplapharm Euro T/L B4 17,888.89 - 17,888.89 - - - 17,888.89 XS2033245023 Cirsa Finance Intl Floating 9/30/25 8,488.54 - 8,488.54 - - - 8,488.54 LX179101 Clarios Global T/L B EUR 24,987.21 12,487.21 37,474.42 132,992.33 - 132,992.33 170,466.75 XS2241097687 CNTRNB 5 7/8 09/30/26 ------LX185698 Columbus Finance (Scenic) T/L B - 23,958.33 23,958.33 - - - 23,958.33 LX172439 Coty T/L B (EUR) 18,228.13 11.46 18,239.59 1,093,154.64 7,500.00 1,100,654.64 1,118,894.23 LX169716 CTC AcquiCo (CeramTec) T/L B1 22,888.24 6,458.33 29,346.57 - - - 29,346.57 LX189028 Dedalus 7/20 Cov-Lite 7,500.00 - 7,500.00 - - - 7,500.00 LX164119 Diaverum Holding France SAS 11,916.67 - 11,916.67 - - - 11,916.67 LX167195 Diversey (Diamond) Term Loan 20,092.11 17.58 20,109.69 - 6,281.65 6,281.65 26,391.34 DE000A2YPAK1DMREGR 1 7/8 10/15/24 ------
U.S. Bank Global Corporate Trust Intra-Period Collection Account Detail Page 74 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Intra-Period Collection Account Detail As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Interest Principal
Current Current Prior Amounts Ending Prior Amounts Ending Total ISIN/LoanX ID Facility Balance Received Balance Balance Received Balance Collected
XS2015218584 DOCGEN Float 06/30/26 10,461.16 - 10,461.16 66,236.16 - 66,236.16 76,697.32 LX184200 Domus VI/Home VI 10/19 27,805.56 - 27,805.56 - - - 27,805.56 LX161739 Dorna Sport (Tinagen) T/L NEW B2 - 30,849.17 30,849.17 - - - 30,849.17 XS1699848914 Dufry One BV 10/31/2024 10,583.33 - 10,583.33 1,916.67 - 1,916.67 12,500.00 XS1361115402 EASYJET 1.75% 2/9/2023 30,414.10 - 30,414.10 - - - 30,414.10 XS2010158553 ECPG Float 06/14/24 Corp 57,607.69 - 57,607.69 2,066,460.00 - 2,066,460.00 2,124,067.69 LX171054 EG Group T/L B1 (EUR) - 39,743.00 39,743.00 - 9,945.96 9,945.96 49,688.96 XS1992087996 EGBLFN 4 38 02/07/25 CORP 10,937.50 - 10,937.50 - - - 10,937.50 LX182609 Eircom Facilty B ------LX180839 Elsan New T/L B3 (Vedici) ------XS2229090589 Encore Capital 4.875% 10/15/25 ------XS2271247178 Encore Capital Group Floating Rate Notes ------LX169939 euNetworks Term Loan B (Stonepeak Spear) 11,694.44 5,597.22 17,291.66 - - - 17,291.66 LX169397 Euskaltel T/L B4 17,569.44 - 17,569.44 - - - 17,569.44 LX175202 Evergood (Nets) TL B2 New 9,479.17 - 9,479.17 - - - 9,479.17 LX169648 Evergood TL B1E (Nets) 11,907.19 - 11,907.19 - - - 11,907.19 LX169511 Excelitas New T/L - 21,746.18 21,746.18 - 6,250.00 6,250.00 27,996.18 LX153737 Foncia T/L B-3 16,065.25 - 16,065.25 - - - 16,065.25 XS2052337503 Ford Motor Company 25/11/2025 25,082.52 - 25,082.52 - - - 25,082.52 LX185229 Froneri Lux FinCo T/L 11,119.79 5,651.04 16,770.83 - - - 16,770.83 LX165624 Fugue Finance T/L (Nord Anglia) 16,972.22 - 16,972.22 - - - 16,972.22 XS2028892045 Galaxy DGGLN FLoat 07/31/26 C 12,602.74 - 12,602.74 - - - 12,602.74 LX169951 Gamesys Group T/L EUR 17,625.00 - 17,625.00 - - - 17,625.00 XS2208645882 GAMMA BIDCO SPA 15,400.00 - 15,400.00 - - - 15,400.00 LX185557 Gardner Denver T/L (EUR) (2/20) 5,006.70 2,544.39 7,551.09 - 3,712.03 3,712.03 11,263.12 LX169690 Gates Global B2 T/L - 14,798.97 14,798.97 - 4,975.00 4,975.00 19,773.97 LX177507 Generale De Sante T/L B3A 8,958.63 - 8,958.63 - - - 8,958.63 LX177478 Generale De Sante T/L B3B 16,341.37 - 16,341.37 - - - 16,341.37 LX186040 Genesis Care Finance T/L B4 18,208.33 - 18,208.33 - - - 18,208.33 LX176262 Genesis Specialist Care Finance T/L 13,291.67 - 13,291.67 - - - 13,291.67 XS2247623643 Getlink SE 30/10/2025 2,394.73 - 2,394.73 - - - 2,394.73
U.S. Bank Global Corporate Trust Intra-Period Collection Account Detail Page 75 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Intra-Period Collection Account Detail As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Interest Principal
Current Current Prior Amounts Ending Prior Amounts Ending Total ISIN/LoanX ID Facility Balance Received Balance Balance Received Balance Collected
XS2250153769 GFKLDE 6 3/4 11/01/25 ------XS2250154494 GFKLDE Float 5/1/2026 ------XS1756364805 GFKLDE Float 09/01/23 16,250.00 - 16,250.00 2,000,000.00 - 2,000,000.00 2,016,250.00 XS1681017163 GFKLDE FLOAT 09/01/23 Corp 13,807.99 - 13,807.99 2,185,000.00 - 2,185,000.00 2,198,807.99 LX185085 Global University Systems T/L B (Markermeer) (1/20 49,631.03 - 49,631.03 - - - 49,631.03 LX183734 Grifols Worldwide Operations T/L B1 ------LX191106 Groupe Inovie T/L (EUR) ------LX171876 GTT Communications EMEA T/L 15,943.63 25,708.91 41,652.54 316.88 8,113.41 8,430.29 50,082.83 XS1888268064 Guala Closures Floating 4/15/24 6,144.83 - 6,144.83 - - - 6,144.83 LX182631 GVC Holdings Term Loan B New - 13,194.44 13,194.44 - - - 13,194.44 LX183013 Helios Software T/L (Ion Corporate) - 43,117.52 43,117.52 - 10,050.38 10,050.38 53,167.90 LX188437 Hestia Holding T/L B (Financiere CEP) - 19,088.89 19,088.89 - - - 19,088.89 LX171110 Hurtigruten T/L B ------LX176277 I-Logic Technologies (Dealogic) T/L 11,920.84 6,058.13 17,978.97 - - - 17,978.97 LX188937 IFCO Systems Incremental T/L 12,635.42 - 12,635.42 - - - 12,635.42 LX174007 Imagina 2nd Lien T/L (Invictus Media) - 58,125.00 58,125.00 - - - 58,125.00 LX172316 Imagina Media (Invictus) T/L B - 55,237.50 55,237.50 - - - 55,237.50 LX174519 Imagina Media (Invictus) T/L B2 - 33,112.50 33,112.50 - - - 33,112.50 LX169196 Ineos Finance PLC T/L B 2024 ------LX185686 Informatica T/L (2/20) (EUR) - 14,048.85 14,048.85 - 4,250.00 4,250.00 18,298.85 LX183759 Inspired Education T/L 41,753.47 - 41,753.47 - - - 41,753.47 XS2052216111 Intrum 3 15/9/2027 Corp ------LX173675 ION Trading Technologies T/L (05/18) - 42,280.93 42,280.93 - 11,748.62 11,748.62 54,029.55 XS2262839603 IPD 3 B.V. ------LX160895 IQVIA (IMS Health) T/L B1 New - 15,635.99 15,635.99 - 7,946.01 7,946.01 23,582.00 LX183937 Irel AcquiCo T/L (11/19) 38,831.94 - 38,831.94 - - - 38,831.94 XS2010033269 Kapla holding Floating 12/15/26 5,573.75 - 5,573.75 - - - 5,573.75 LX165634 Klockner Pentaplast T/L B (6/17) 24,013.89 - 24,013.89 - - - 24,013.89 LX188898 Knowlton Development Corp T/L B (06/20) 18,411.24 26,230.56 44,641.80 4,166.67 - 4,166.67 48,808.47 LX171690 Kraton Polymers T/L B (EUR) 2,944.05 - 2,944.05 60,439.56 - 60,439.56 63,383.61 LX165185 Kuoni Group/VFS Global T/L 47,062.50 - 47,062.50 - - - 47,062.50
U.S. Bank Global Corporate Trust Intra-Period Collection Account Detail Page 76 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Intra-Period Collection Account Detail As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Interest Principal
Current Current Prior Amounts Ending Prior Amounts Ending Total ISIN/LoanX ID Facility Balance Received Balance Balance Received Balance Collected
LX180858 LABL T/L EUR (Multi Color) 16,003.09 8,132.72 24,135.81 - - - 24,135.81 LX177087 Lernen TL B1 (Cognita) 31,485.34 - 31,485.34 - - - 31,485.34 XS2059777594 LHMCFI 7 1/4 10/02/25 Cor ------XS1974797950 Lincoln Float 04/01/24 Corp - 33,887.67 33,887.67 - - - 33,887.67 LX157496 Logoplaste T/L France Group SARL - 13,397.69 13,397.69 - - - 13,397.69 LX157497 Logoplaste T/L Luxembourg - 13,397.69 13,397.69 - - - 13,397.69 LX153526 Logoplaste T/L Netherlands - Logoplaste Groupe - 13,397.68 13,397.68 - - - 13,397.68 SAR LX189018 Lorca Finco Rolled T/L B1 (MasMovil) 24,201.39 31,150.38 55,351.77 - - - 55,351.77 XS1885543691 LOUVRE BIDCO SAS Floating 9/30/24 - 5,761.32 5,761.32 317,951.98 - 317,951.98 323,713.30 LX181201 LSF10 Edilians T/L (Imerys Roofing/Impala/Edilians 14,709.72 - 14,709.72 - - - 14,709.72 LX185688 LSF10 Wolverine T/L C1 (Stark Group) 30,457.64 - 30,457.64 - - - 30,457.64 LX183051 LSF10 XL T/L B3 (Xella) - 30,333.34 30,333.34 - - - 30,333.34 LX186084 MA FinanceCo T/L B1 (EUR) (Micro Focus) 11,346.88 - 11,346.88 6,250.00 - 6,250.00 17,596.88 LX162912 MA FinanceCo T/L B3 (EUR) 11,142.08 5,662.37 16,804.45 - - - 16,804.45 XS1681774888 MASAIN FLOAT 09/15/24 CORP 25,478.83 - 25,478.83 2,172.92 - 2,172.92 27,651.75 LX176624 McAfee T/L B New - 30,228.67 30,228.67 - 8,715.93 8,715.93 38,944.60 LX148262 Median Kliniken T/L B1 29,299.87 - 29,299.87 - - - 29,299.87 LX191194 Mermaid Bidco T/L - 1,770.83 1,770.83 - - - 1,770.83 LX163229 Misys Term B Eur Loan 14,535.63 - 14,535.63 5,271.44 - 5,271.44 19,807.07 LX176184 NEP Europe T/L - 17,641.91 17,641.91 - 5,018.80 5,018.80 22,660.71 LX190452 Neuraxpharm T/L (10/20) (Invent Farma) ------LX189563 NewCo I (UPC Financing/Sunrise) T/L B1 2,576.39 - 2,576.39 - - - 2,576.39 LX174594 Nielsen T/L B5 9,411.56 - 9,411.56 - - - 9,411.56 XS1713466149 NVFVES Float 06/15/25 10,862.50 - 10,862.50 512.50 - 512.50 11,375.00 LX168948 Oberthur T/L New 1.182 - 28,750.00 28,750.00 - - - 28,750.00 LX172053 Odyssey Investissement T/L B (Circet Groupe) - 20,763.89 20,763.89 - - - 20,763.89 LX168813 Oxea T/L New 19,583.33 28,750.00 48,333.33 - - - 48,333.33 LX171259 Peer Holding III T/L B 15,130.38 32,409.72 47,540.10 - - - 47,540.10 LX161954 Pfleiderer T/L B 102,777.78 - 102,777.78 - - - 102,777.78 XS1733942178 PICSUR Float 11/30/23 5,750.00 - 5,750.00 - - - 5,750.00
U.S. Bank Global Corporate Trust Intra-Period Collection Account Detail Page 77 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Intra-Period Collection Account Detail As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Interest Principal
Current Current Prior Amounts Ending Prior Amounts Ending Total ISIN/LoanX ID Facility Balance Received Balance Balance Received Balance Collected
LX182958 Piolin Bidco T/L B1 39,375.00 - 39,375.00 - - - 39,375.00 LX174704 Prisa T/L 2 (6/18) 954.92 4,479.47 5,434.39 9,172.74 429,641.08 438,813.82 444,248.21 LX174705 Prisa T/L 3 (6/18) 102,914.94 11,374.05 114,288.99 - - - 114,288.99 XS2209052419 Project Casino 18,813.88 - 18,813.88 - - - 18,813.88 LX169954 Rain Carbon T/L B 26,833.33 - 26,833.33 - - - 26,833.33 XS2066721965 Recordati 24,756.94 - 24,756.94 - - - 24,756.94 XS1819574929 ROLLS 1 5/8 05/09/28 ------XS2244322082 Rolls-Royce PLC ------LX169932 Sapphire 2nd Lien T/L (TMF Group) 69,513.89 - 69,513.89 - - - 69,513.89 LX169930 Sapphire Refi T/L B (TMF Group) 24,645.83 - 24,645.83 - - - 24,645.83 XS1454980159 SCHMAN 7 07/31/23 ------LX185662 Sector Alarm Holding T/L (2/20) 15,333.33 - 15,333.33 - - - 15,333.33 LX169001 SFR Group (Numericable / YPSO / Altice) T/L B12 22,158.51 - 22,158.51 7,429.92 - 7,429.92 29,588.43 LX162008 SFR Group SA 10,611.82 - 10,611.82 5,141.39 - 5,141.39 15,753.21 LX171809 Sigma Holdco T/L B1 (Flora Food) 4,994.15 23,640.35 28,634.50 - - - 28,634.50 XS1757821688 SMPTLN 2 01/31/25 Corp ------LX166814 Socotec Term Loan New - 19,166.67 19,166.67 - - - 19,166.67 XS2275101967 SOFHLD 3.45897% 01/15/2028 ------XS1684385161 Softbank 9/30/25 ------LX173978 Solenis EURO T/L (06/18) 42,617.63 35.95 42,653.58 20,504.23 8,788.07 29,292.30 71,945.88 LX151195 Solera T/L B (03/16) 13,960.34 7,094.60 21,054.94 - 6,636.23 6,636.23 27,691.17 LX186002 Specialty Chemicals T/L (Polynt-Reichhold) ------LX185579 Speedster Bidco T/L 2/20 ------LX190367 Sportradar Capital T/L B (10/20) ------LX183230 Springer Nature Deutschland GMBH T/L B15 32,601.82 16,033.68 48,635.50 - - - 48,635.50 LX185475 Stada Add TL F EUR 31,305.56 - 31,305.56 - - - 31,305.56 LX185784 Stage Entertainment T/L B (2/20) ------LX174019 Stars Group Holdings T/L (Amaya) (EUR) - 15,439.20 15,439.20 - - - 15,439.20 XS2110768525 STENA 3 3/4 02/01/25 CORP ------LX190079 Stiphout Finance BV (Vistra) T/L New 8,903.10 4,524.53 13,427.63 - - - 13,427.63 LX183336 Summer (BC) Holdco T/L (Kantar) 36,020.84 - 36,020.84 - - - 36,020.84
U.S. Bank Global Corporate Trust Intra-Period Collection Account Detail Page 78 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Intra-Period Collection Account Detail As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Interest Principal
Current Current Prior Amounts Ending Prior Amounts Ending Total ISIN/LoanX ID Facility Balance Received Balance Balance Received Balance Collected
LX182055 Swissport Financing T/L 20,500.00 - 20,500.00 - - - 20,500.00 LX191037 Synlab Bondco Plc 6/19 ------LX161574 Tackle Sarl Facility B - 30,176.81 30,176.81 - - - 30,176.81 XS1814546013 TCGR 3 7/8 05/02/25 45,027.50 - 45,027.50 - - - 45,027.50 LX174457 Tele columbus NEW T/LA ------LX185374 Telenet 1/20 AQ T/L ------FR0013183571 Tereos 4 1/8 06/16/23 Corp ------LX174529 Terveys (Mehlainen) 1st Lien T/L ------XS1439749281 Teva 1 1/8 10/15/2024 19,549.18 - 19,549.18 14,200.82 - 14,200.82 33,750.00 XS1439749364 Teva Pharm FNC 1.625% 10/15/28 16,960.38 - 16,960.38 15,539.62 - 15,539.62 32,500.00 LX169660 Theramex Teva IWH 11/17 TLB ------LX184460 THG Operations T/L B (Hut Group) 80,062.50 - 80,062.50 - - - 80,062.50 LX166774 Thom Europe T/L B 27,743.06 - 27,743.06 - - - 27,743.06 XS2111947748 United Group BV 02/15/28 ------LX189558 UPC Financing/Sunrise T/L B2 2,576.39 - 2,576.39 - - - 2,576.39 LX189037 Verisure T/L B (7/20) 22,916.67 - 22,916.67 - - - 22,916.67 LX164262 Verisure T/L B1-E 38,344.81 - 38,344.81 - - - 38,344.81 LX189445 Veritas New EUR T/L B1 - 32,391.67 32,391.67 - 4,875.00 4,875.00 37,266.67 XS2199597613 Vertical Midco Floating 7/15/2027 13,756.52 - 13,756.52 - - - 13,756.52 LX183233 Virgin Media SFA Finance T/L O 19,062.50 - 19,062.50 - - - 19,062.50 LX189822 VMED O2 UK Holdco T/L (EUR) (Virgin Media) ------LX183461 Vodafone Ziggo ------LX180927 Vue Cinemas 6/19 T/L B 26,438.24 - 26,438.24 - - - 26,438.24 LX181920 Webhelp T/L B Cov-Lite ------DE000A254QC5WEPA Hygieneprodukte GMB 6,402.54 - 6,402.54 - - - 6,402.54 LX182816 Wittur T/L New 68,625.00 - 68,625.00 - - - 68,625.00 XS2138140798 YPSO FINANCE 4% 2/15/2028 ------LX173851 Zephyr Bidco T/L B 21,666.66 11,555.56 33,222.22 - - - 33,222.22
Totals: 213 2,891,558.62 1,180,871.30 4,072,429.92 8,042,275.31 1,736,917.35 9,779,192.66 13,851,622.58
U.S. Bank Global Corporate Trust Intra-Period Collection Account Detail Page 79 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Hedge Transactions Details I As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Trade Effective Termination ISIN/LoanX ID Nbr Hedge Type Put Call Date Date Date
Totals: -
U.S. Bank Global Corporate Trust Hedge Transactions Details I Page 80 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Hedge Transactions Details II As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Hedged Hedged Nbr Hedge Id Facility Index Type Code Index Type Code 2 Hedged Currency Original Par Current Par Swapped Currency Swapped Par
Totals: -
U.S. Bank Global Corporate Trust Hedge Transactions Details II Page 81 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Hedge Transactions Details III As of Date: 05-Jan-21 Payment Date: 15-Jan-21
ISIN/LoanX ID Issuer Facility Counterparty Next Payment Date Currency Spread Exchange Rate Floor
Totals: -
U.S. Bank Global Corporate Trust Hedge Transactions Details III Page 82 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Stratifications - Countries As of Date: 05-Jan-21 Payment Date: 15-Jan-21 (Excluding Cash & Eligible Investments)
# of Principal % of Aggr. Country Assets Balance Prin. Bal. United States 30 67,273,229.77 16.80 % United Kingdom 28 55,683,832.90 13.91 % Germany 22 54,275,371.59 13.55 % France 26 53,572,166.64 13.38 % Netherlands 24 48,420,602.79 12.09 % Luxembourg 18 35,578,754.87 8.89 % Spain 14 30,130,898.36 7.52 % Italy 10 12,964,950.00 3.24 % Sweden 5 8,260,000.00 2.06 % Denmark 3 7,550,000.00 1.89 % Norway 2 6,000,000.00 1.50 % Ireland 2 5,959,848.86 1.49 % Australia 2 3,150,000.00 0.79 % Japan 1 3,000,000.00 0.75 % Switzerland 2 3,000,000.00 0.75 % Austria 1 2,000,000.00 0.50 % Finland 1 2,000,000.00 0.50 % Canada 1 1,611,047.20 0.40 % Belgium - - - % Czech Republic - - - % Total 192 400,430,702.98 100.00 %
U.S. Bank Global Corporate Trust Stratifications - Countries Page 83 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Stratifications - Obligors (10 Largest) As of Date: 05-Jan-21 Payment Date: 15-Jan-21
# of Principal Obligor Assets Balance % of ACB
Altice France S.A 3 5,867,386.31 1.47 % Altice International S.a.r.l 2 5,387,327.38 1.35 % Springer Nature Deutschland GmbH 1 5,130,777.13 1.28 % Joye Media S.L 3 5,100,000.00 1.27 % Lorca Holdco Limited 1 4,500,000.00 1.12 % Garfunkelux Holdco 2 S.A. 2 4,458,000.00 1.11 % EG America LLC 2 4,377,955.78 1.09 % Logoplaste Group Sarl 3 4,300,000.02 1.07 % CAB 3 4,000,000.00 1.00 % CTC BondCo GmbH 1 4,000,000.00 1.00 %
Totals: 21 47,121,446.62 11.77%
U.S. Bank Global Corporate Trust Stratifications - Obligors (10 Largest) Page 84 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Stratifications - Industries As of Date: 05-Jan-21 Payment Date: 15-Jan-21
(Excluding Cash & Eligible Investments) Distribution of Moody's Industry Classification Distribution of S&P Industry Classification # of Principal % of Aggr. # of Principal % of Aggr. Industry Assets Balance Prin. Bal. Industry Assets Balance Prin. Bal. Aerospace & Defense 5 5,552,000.00 1.39 % Aerospace & Defense 3 3,800,000.00 0.95 % Automotive 2 5,867,007.67 1.47 % Auto Components 1 3,867,007.67 0.97 % Banking, Finance, Insurance & Real Estate 14 23,921,962.01 5.97 % Automobiles 3 3,752,000.00 0.94 % Beverage, Food & Tobacco 4 9,000,000.00 2.25 % Biotechnology 1 1,994,962.22 0.50 % Capital Equipment 11 23,018,008.38 5.75 % Building Products 1 2,999,999.98 0.75 % Chemicals, Plastics, & Rubber 11 25,465,791.54 6.36 % Capital Markets 1 3,360,000.00 0.84 % Construction & Building 3 6,399,999.98 1.60 % Chemicals 10 23,028,513.09 5.75 % Consumer goods: Non-durable 2 5,487,768.15 1.37 % Commercial Services & Supplies 7 13,937,278.45 3.48 % Containers, Packaging & Glass 6 10,575,889.02 2.64 % Construction Materials 1 1,400,000.00 0.35 % Forest Products & Paper 2 4,881,000.00 1.22 % Consumer Finance 2 3,289,000.00 0.82 % Healthcare & Pharmaceuticals 32 70,545,162.17 17.62 % Containers & Packaging 6 10,575,889.02 2.64 % High Tech Industries 19 44,424,007.60 11.09 % Diversified Consumer Services 4 9,250,000.00 2.31 % Hotel, Gaming & Leisure 13 20,003,424.07 5.00 % Diversified Financial Services 7 11,962,553.57 2.99 % Media: Advertising, Printing & Publishing 3 12,292,586.40 3.07 % Diversified Telecommunication Services 15 31,076,836.34 7.76 % Media: Broadcasting & Subscription 9 14,797,368.30 3.70 % Electrical Equipment 3 7,425,000.00 1.85 % Media: Diversified & Production 5 9,575,489.63 2.39 % Entertainment 2 5,575,489.63 1.39 % Metals & Mining 1 1,000,000.00 0.25 % Food & Staples Retailing 1 3,000,000.00 0.75 % Retail 10 25,088,955.78 6.27 % Food Products 3 6,000,000.00 1.50 % Services: Business 13 28,220,119.79 7.05 % Health Care Equipment & Supplies 2 6,000,000.00 1.50 % Services: Consumer 3 6,500,000.00 1.62 % Health Care Providers & Services 15 30,550,000.00 7.63 % Telecommunications 17 36,076,171.44 9.01 % Hotels, Restaurants & Leisure 14 24,003,424.07 5.99 % Transportation: Cargo 5 6,510,000.00 1.63 % Insurance 1 1,000,000.00 0.25 % Transportation: Consumer 1 4,000,000.00 1.00 % IT Services 3 7,343,530.20 1.83 % Wholesale 1 1,227,991.05 0.31 % Life Sciences Tools & Services 3 7,760,509.49 1.94 % Machinery 10 21,018,008.38 5.25 % Total 192 400,430,702.98 100.00 % Media 16 33,089,289.80 8.26 % Paper & Forest Products 2 4,881,000.00 1.22 % Personal Products 2 5,487,768.15 1.37 % Pharmaceuticals 13 28,518,950.01 7.12 % Professional Services 6 10,390,445.82 2.59 % Real Estate Management & Development 3 5,255,533.44 1.31 % Road & Rail 2 3,000,000.00 0.75 % Software 14 32,238,757.87 8.05 % Specialty Retail 10 25,088,955.78 6.27 % Trading Companies & Distributors 1 2,000,000.00 0.50 % Transportation Infrastructure 3 3,510,000.00 0.88 % Wireless Telecommunication Services 1 3,000,000.00 0.75 % Total 192 400,430,702.98 100.00 %
Page 85 of 91 BlackRock European CLO II D.A.C. Ratings Concentration As of Date: 05-Jan-21 Payment Date: 15-Jan-21
(Excluding Cash & Eligible Investments) Moody's Ratings Concentration S&P Ratings Concentration # of Principal Balance % of # of Principal Balance % of Moody's Assets (Euro Equivalent) APB S&P Assets (Euro Equivalent) APB Aaa - - - AAA - - - Aa1 - - - AA+ - - - Aa2 - - - AA - - - Aa3 - - - AA- - - - A1 - - - A+ - - - A2 - - - A - - - A3 - - - A- - - - Baa1 - - - BBB+ - - - Baa2 - - - BBB - - - Baa3 - - - BBB- - - - Ba1 5 11,116,635.26 2.78 % BB+ 7 15,967,448.88 3.99 % Ba2 13 20,295,435.91 5.07 % BB 5 7,794,962.22 1.95 % Ba3 18 30,567,299.47 7.63 % BB- 24 41,184,609.96 10.29 % B1 41 88,253,675.24 22.04 % B+ 32 71,192,165.80 17.78 % B2 67 142,824,742.67 35.67 % B 69 141,923,649.48 35.44 % B3 34 77,331,818.50 19.31 % B- 42 89,432,329.74 22.33 % Caa1 8 17,876,867.28 4.46 % CCC+ 10 24,109,498.98 6.02 % Caa2 3 5,500,000.00 1.37 % CCC 2 5,164,228.65 1.29 % Caa3 3 6,664,228.65 1.66 % CCC- 1 3,661,809.27 0.91 % Ca - - - CC - - - C - - - C - - - NR - - - D - - - SUSP - - - NR - - - Rating Estimate - - - SUSP - - - Total 192 400,430,702.98 100.00 % Total 192 400,430,702.98 100.00 % (1) Source is Issuer/Rating Agency (1) Source is Issuer/Rating Agency
U.S. Bank Global Corporate Trust Ratings Concentration Page 86 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Risk Retention As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Confirmation The Collateral Administrator confirms it has received written confirmation from the Retention Holder that: (i) it continues to hold Subordinated Notes with a Principal Balance of not less than five per cent. of the Aggregate Collateral Balance; and (ii) it has not sold, hedged or otherwise mitigated its credit risk (including in relation to any financial arrangements it has entered into) under or associated with the Retention Securities or the underlying portfolio of Collateral Obligations, except to the extent permitted in accordance with the Retention Requirements;
U.S. Bank Global Corporate Trust Risk Retention Page 87 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Additional Notices As of Date: 05-Jan-21 Payment Date: 15-Jan-21
U.S. Bank Global Corporate Trust Additional Notices Page 88 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Counterparties As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Indenture Reference Description
REGISTERED OFFICE OF THE ISSUER BLACKROCK EUROPEAN CLO II DESIGNATED ACTIVITY COMPANY 3rd Floor, Kilmore House, Park Lane, Spencer Dock, Dublin 1, Ireland
COLLATERAL MANAGER BlackRock Investment Management (UK) Limited 12 Throgmorton Avenue, London EC2N 2DL, United Kingdom
COLLATERAL ADMINISTRATOR, CALCULATION AGENT AND INFORMATION AGENT U.S. Bank Global Corporate Trust Limited 125 Old Broad Street, 5th Floor, London EC2N 1AR, United Kingdom
TRUSTEE U.S. Bank National Association One Federal Street, 3rd Floor, Boston, Massachusetts 02110,USA
PRINCIPAL PAYING AGENT, ACCOUNT BANK, REGISTRAR, TRANSFER AGENT AND CUSTODIAN Elavon Financial Services DAC Block E, Cherrywood Business Park, Loughlinstown, Dublin, Ireland
IRISH LISTING AGENT Matheson 70 Sir John Rogerson's Quay, Dublin 2, Ireland
ISSUER: LEGAL ENTITY IDENTIFIER CODE 635400NPMETBSKED8R42 COLLATERAL MANAGER: LEGAL ENTITY IDENTIFIER CODE 549300QXP30FD81KVQ43
U.S. Bank Global Corporate Trust Counterparties Page 89 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Liability ISIN As of Date: 05-Jan-21 Payment Date: 15-Jan-21
Regulation S Rule 144A Notes
Class A CM Removal and Replacement Voting Notes XS2010621360 XS2010621790 Class A CM Removal and Replacement Non-Voting Notes XS2010621444 XS2010621873 Class A CM Removal and Replacement Exchangeable Non-Voting Notes XS2010621527 XS2010621956 Class B CM Removal and Replacement Voting Notes XS2010622095 XS2010622335 Class B CM Removal and Replacement Non-Voting Notes XS2010622178 XS2010622418 Class B CM Removal and Replacement Exchangeable Non-Voting Notes XS2010622251 XS2010622509 Class C CM Removal and Replacement Voting Notes XS2010622681 XS2010622921 Class C CM Removal and Replacement Non-Voting Notes XS2010622764 XS2010623069 Class C CM Removal and Replacement Exchangeable Non-Voting Notes XS2010622848 XS2010623143 Class D CM Removal and Replacement Voting Notes XS2010623226 XS2010623655 Class D CM Removal and Replacement Non-Voting Notes XS2010623499 XS2010623739 Class D CM Removal and Replacement Exchangeable Non-Voting Notes XS2010623572 XS2010623812 Class E Notes XS2010623903 XS2010624034 Class F Notes XS1512782217 XS1512784858 Subordinated Notes XS1512782993 XS1512784932
U.S. Bank Global Corporate Trust Liability ISIN Page 90 of 91 www.usbank.com/cdo BlackRock European CLO II D.A.C. Disclamer As of Date: 05-Jan-21 Payment Date: 15-Jan-21
This report is for informational purposes only, that certain information included in the report is estimated, approximated or projected and that the report is provided without any representations or warranties as to accuracy or completeness and that none of the Portfolio Manager, the Issuer, the Trustee or the Collateral Administrator will have any liability for such estimates, approximations or projections.
U.S. Bank Global Corporate Trust is a trading name of U.S. Bank Global Corporate Trust Limited and Elavon Financial Services DAC (each a U.S. Bancorp group company). U.S. Bank Global Corporate Trust Limited is a limited company registered in England and Wales having the registration number 05521133 and a registered address of 125 Old Broad Street, Fifth Floor, London, EC2N 1AR. U.S. Bank Global Corporate Trust Limited, Dublin Branch is registered in Ireland with the Companies Registration Office under Reg. No. 909340 with its registered office at Building 8, Cherrywood Business Park, Loughlinstown, Dublin 18, Ireland D18 W319. Elavon Financial Services DAC (a U.S. Bancorp Company), trading as U.S. Bank Global Corporate Trust, is regulated by the Central Bank of Ireland. Registered in Ireland with the Companies Registration Office, Reg. No. 418442. The liability of the member is limited. Registered Office: Building 8, Cherrywood Business Park, Loughlinstown, Dublin 18, Ireland D18 W319. Directors: A list of names and personal details of every director of the company is available for inspection to the public at the company's registered office for a nominal fee. In the UK, Elavon Financial Services DAC trades as U.S. Bank Global Corporate Trust through its UK Branch from its establishment at 125 Old Broad Street, Fifth Floor, London, EC2N 1AR (registered with the Registrar of Companies for England and Wales under Registration No. BR020005) and is authorised by the Central Bank of Ireland and the Prudential Regulation Authority and subject to limited regulation by the Financial Conduct Authority and the Prudential Regulation Authority. Details about the extent of our authorisation and regulation by the Prudential Regulation Authority, and regulation by the Financial Conduct Authority, are available from us on request. All banking services are provided through Elavon Financial Services DAC. U.S. Bank Global Corporate Trust Limited is a Trust Corporation and not banking institutions and is not authorised to carry on banking business in the United Kingdom, Ireland or any other jurisdiction. In the UK, Elavon Financial Services DAC trades as U.S. Bank Global Corporate Trust through its UK Branch from its establishment at 125 Old Broad Street, Fifth Floor, London, EC2N 1AR (registered with the Registrar of Companies for England and Wales under Registration No. BR020005) and is authorised by the Central Bank of Ireland and the Prudential Regulation Authority and subject to limited regulation by the Financial Conduct Authority and the Prudential Regulation Authority. Details about the extent of our authorisation and regulation by the Prudential Regulation Authority, and regulation by the Financial Conduct Authority, are available from us on request. All banking services are provided through Elavon Financial Services DAC. U.S. Bank Global Corporate Trust Limited is a Trust Corporation and not banking institutions and is not authorised to carry on banking business in the United Kingdom, Ireland or any other jurisdiction.
U.S. Bank Global Corporate Trust Disclamer Page 91 of 91 www.usbank.com/cdo