Rating Action: Moody’s assigns provisional ratings to seven classes of refinancing notes and loan to be issued by BlackRock European CLO II DACGlobal Credit Research – 22 Mar 2021London, 22 March 2021 — Moody’s Investors Service (“Moody’s”) has assigned the following provisional ratings to refinancing notes and loan to be issued by BlackRock European CLO II DAC (the “Issuer”):….EUR 73,000,000 Class A-R-N Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf)….EUR 175,000,000 Class A-R-L Senior Secured Floating Rate Loan due 2034, Assigned (P)Aaa (sf)….EUR 39,000,000 Class B-R Senior Secured Floating Rate Notes due 2034, Assigned (P)Aa2 (sf)….EUR 27,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)A3 (sf)….EUR 24,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)Baa3 (sf)….EUR 24,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)Ba3 (sf)….EUR 10,000,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)B3 (sf)RATINGS RATIONALEThe rationale for the ratings is based on a consideration of the risks associated with the CLO’s portfolio and structure as described in our methodology.As part of this reset, the Issuer will amend the base matrix and modifiers that Moody’s will take into account for the assignment of the definitive ratings.The Issuer is a managed cash flow CLO. At least 90% of the portfolio must consist of senior secured obligations and up to 10% of the portfolio may consist of senior unsecured obligations, second-lien loans, mezzanine obligations and high yield bonds. The portfolio is expected to be fully ramped up as of the closing date and comprises predominantly corporate loans to obligors domiciled in Western Europe.BlackRock Investment Management (UK) Limited (“BlackRock IM”) will manage the CLO. It will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction’s four-year reinvestment period. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit impaired obligations.The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority.The coronavirus pandemic has had a significant impact on economic activity. Although global economies have shown a remarkable degree of resilience to date and are returning to growth, the uneven effects on individual businesses, sectors and regions will continue throughout 2021 and will endure as a challenge to the world’s economies well beyond the end of the year. While persistent virus fears remain the main risk for a recovery in demand, the economy will recover faster if vaccines and further fiscal and monetary policy responses bring forward a normalization of activity. As a result, there is a heightened degree of uncertainty around our forecasts. Our analysis has considered the effect on the performance of European corporate assets from a gradual and unbalanced recovery in European economic activity.We regard the coronavirus outbreak as a social risk under our ESG framework, given the substantial implications for public health and safety.Methodology Underlying the Rating Action:The principal methodology used in these ratings was “Moody’s Global Approach to Rating Collateralized Loan Obligations” published in December 2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1242167. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.Factors that would lead to an upgrade or downgrade of the ratings:The rated notes and loan’s performance is subject to uncertainty. The notes and loan’s performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager’s investment decisions and management of the transaction will also affect the notes and loan’s performance.Moody’s modelled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the “Moody’s Global Approach to Rating Collateralized Loan Obligations” rating methodology published in December 2020.Moody’s used the following base-case modelling assumptions:Target par: EUR 400 millionDefaulted Par: None as of 11 February 2021Diversity Score: 55Weighted Average Rating Factor (WARF): 3100Weighted Average Spread (WAS): 3.5%Weighted Average Coupon (WAC): 5.0%Weighted Average Recovery Rate (WARR): 43.5%Weighted Average Life (WAL): 8.5yearsMoody’s has addressed the potential exposure to obligors domiciled in countries with local currency ceiling (LCC) of A1 or below. As per the portfolio constraints, exposures to countries with LCC of A1 or below cannot exceed 10%, with exposures to LCC of Baa1 to Baa3 further limited to 5% and with exposures of LCC below Baa3 not greater than 0%.REGULATORY DISCLOSURESFor further specification of Moody’s key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody’s Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1271459.The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody’s evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.Moody’s quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody’s weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody’s rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider’s credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody’s Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.At least one ESG consideration was material to the credit rating action(s) announced and described above.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the EU and is endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody’s office that issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody’s legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. Julie Ng Asst Vice President – Analyst Structured Finance Group Moody’s Investors Service Ltd. One Canada Square Canary Wharf London E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Carole Gintz Associate Managing Director Structured Finance Group JOURNALISTS: 44 20 7772 5456 Client Service: 44 20 7772 5454 Releasing Office: Moody’s Investors Service Ltd. 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