AB CarVal Euro CLO II-C DAC: 05 September 2024

The assets securing the debt will consist of a portfolio of primarily Secured Senior Obligations, Unsecured Senior Obligations, Second Lien Loans, Mezzanine Obligations and High Yield Bonds, and will be managed by CarVal CLO Management LLC.

Eligibility criteria (includes): it is a Secured Senior Obligation (which may include a PIK Security), a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation (which may include a PIK Security), a Second Lien Loan (which may include a PIK Security or a First Lien Last Out Loan) or a High Yield Bond; it is not a lease; it is not a Structured Finance Security, a Letter of Credit or a Synthetic Security; it is not a Zero Coupon Security, Step-Up Coupon Security or Step-Down Coupon Security; other than in the case of a Corporate Rescue Loan or Uptier Priming Debt, it is an obligation which has a S&P Rating of "CCC-" or higher and a Fitch Rating of "CCC-" or higher; is an obligation of an Obligor or Obligors Domiciled in a Non-Emerging Market Country; it has a minimum purchase price of 60.0% of the Principal Balance of such Collateral Obligation.

The Issuer anticipates that, by the Issue Date, it will have purchased or committed to purchase Collateral Obligations the Aggregate Principal Balance of which represents approximately 95.0% of the Target Par Amount.

The Notes are being offered by the Issuer through Morgan Stanley & Co International plc or an affiliate thereof in its capacity as initial purchaser of such Notes and a co-placement agent with respect to the offering of such Notes, subject to prior sale.

EU & UK Risk Retention: The Retention Notes will be acquired by the Retention Holder (CarVal CLO Management) on the Issue Date and, pursuant to the Risk Retention Letter, the Retention Holder will agree, among other things, to hold the Retention Notes on the terms set out in the Risk Retention Letter for the purposes of the EU/UK Retention Requirements.

US Risk Retention: Based on the LSTA, no party involved in the transaction will obtain on the Issue Date and retain any Debt intended to satisfy the US Risk Retention Rules.