Announcement: Moody’s: No negative impact on the rating of category A loans issued by CarVal CLO II Ltd. due to a partial refinancing (the “Refinancing”) by CarVal CLO II Ltd. (the “Issuer”), from March 12, 2021, upon redemption of all Class AN Notes, Class AF Notes, Class B Notes, Class C Notes, Class The D Bonds and the Class E Bonds (the “Refinanced Bonds”) would not, in themselves and at this stage, cause Moody’s current rating of the Class A Bonds contracted by the Issuer to be reduced or withdrawn. . Moody’s opinion relates only to the credit impact associated with the Refinancing, and Moody’s expresses no opinion as to whether the Refinancing has, or could have, other non-credit related effects that could adversely affect the interests of rated bondholders and/or counterparties. The Refinancing is taken in conjunction with the related repayment of notes refinanced through the issuance and sale of Class XR Secured Floating Rate Senior Notes maturing in 2032 , ANR class of senior secured floating rate notes due 2032, BR class of senior secured floating rate notes due 2032, CR class Mezzanine Guaranteed Deferred Floating Rate Notes due 2032, Class DR Mezzanine Guaranteed Deferred Variable Rate Notes due 2032, Class ER Junior Guaranteed Deferred Variable Rate Notes due 2032 and Deferred Variable Rate Notes Class FR Junior Guarantees due 2032 (collectively, the “Refinancing Notes”), on the same date as the redemption of the Refinanced Bonds. The primary methodology used to reach this conclusion and in monitoring the ratings of the Covered Bonds and Loans issued by the Issuer is “Moody’s Global Approach to Rating Collateralized Loan Obligations” published in December 2020. Please see the rating methodologies page at www.moodys.com for a copy of this methodology. once a credit rating action. For all credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most up-to-date credit rating action information and rating history. Stephen Lioce Senior Vice President Structured Finance Group Moody’s Investors Service, Inc. 250 Greenwich Street New York, NY 10007 USA JOURNALISTS: 1 212 553 0376 Customer Service: 1 212 553 1653 Jun Kim Senior Vice President Structured Finance Group JOURNALISTS: 1 212 553 0376 Customer Service: 1 212 553 1653 Release Office: Moody’s Investors Service, Inc. 250 Greenwich Street New York, NY 10007 USA JOURNALISTS: 1 212 553 0376 Customer Service: 1 212 553 1653 © 2021 Moody’s Corporation, Moody’s Investors Service, Inc. , Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved. 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