Rating Action: Moody’s assigns definitive ratings to five classes of refinancing notes, affirm the class E notes and upgrade the class F notes issued by Invesco Euro CLO I Designated Activity CompanyGlobal Credit Research – 04 Mar 2021Madrid, March 04, 2021 — Moody’s Investors Service (“Moody’s”) announced that it has assigned the following definitive ratings to refinancing notes issued by Invesco Euro CLO I Designated Activity Company (the “Issuer”):….EUR 214,400,000 Class A-1-R Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf)….EUR 30,000,000 Class A-2-R Senior Secured Fixed Rate Notes due 2031, Assigned Aaa (sf)….EUR 41,200,000 Class B-R Senior Secured Floating Rate Notes due 2031, Assigned Aa1 (sf)….EUR 26,400,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2031, Assigned A1 (sf)….EUR 25,600,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2031, Assigned Baa2 (sf)At the same time, Moody’s affirmed the Class E Notes which have not been refinanced:….EUR 22,400,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031, Affirmed Ba2 (sf); previously on Jan 2, 2019 Assigned Ba2 (sf)And Moody’s upgraded the Class F Notes which have not been refinanced:….EUR 12,000,000 Class F Senior Secured Deferrable Floating Rate Notes due 2031, Upgraded to B1 (sf); previously on Jan 2, 2019 Assigned B2 (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.Moody’s rating affirmation of the Class E Notes is primarily a result of the refinancing, which has no impact on the rating of these notes.Moody’s upgrade of the Class F Notes is primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes.The Issuer issued the refinancing notes in connection with the refinancing of the following classes of notes: Class A-1 Notes, Class A-2 Notes, Class B Notes, Class C Notes and Class D Notes, due 2031 (the “Refinanced Notes”), previously issued on 31 December 2018 (the “Original Issue Date”). On the refinancing date, the Issuer has used the proceeds from the issuance of the refinancing notes to redeem in full the Refinanced Notes.On the Original Issue Date, the Issuer also issued EUR 22,400,000 of Class E Notes, EUR 12,000,000 of Class F Notes and EUR 37,800,000 of Subordinated Notes, which will remain outstanding. The terms and conditions of the Class E Notes, the Class F Notes and the Subordinated Notes will be amended in accordance with the refinancing notes’ conditions.As part of this refinancing, the Issuer has extended the weighted average life by 12 months to 7.32 years. It has also amended certain definitions and minor features.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 unsecured senior loans, second-lien loans, mezzanine obligations and high yield bonds. The underlying portfolio is fully ramped as of the closing date.Invesco European RR L.P. 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 remaining 1.9-year reinvestment period. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations or credit improved 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 outbreak, the government measures put in place to contain it, and the weak global economic outlook continue to disrupt economies and credit markets across sectors and regions. Our analysis has considered the effect on the performance of corporate assets from the current weak European economic activity and a gradual recovery for the coming months. Although an economic recovery is underway, it is tenuous and its continuation will be closely tied to containment of the virus. As a result, the degree of uncertainty around our forecasts is unusually high.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’ performance is subject to uncertainty. The notes’ 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’ performance.Moody’s modeled 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 modeling assumptions:Target Par Amount: EUR 400,000,000Defaulted Par: EUR 0 as of December 2020Diversity Score: 48Weighted Average Rating Factor (WARF): 3,124Weighted Average Spread (WAS): 3.96%Weighted Average Coupon (WAC): 4.69%Weighted Average Recovery Rate (WARR): 43.98%Weighted Average Life (WAL): 7.32 yearsMoody’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 and eligibility criteria, exposures to countries with LCC of A1 to A3 cannot exceed 10% and obligors cannot be domiciled in countries with LCC below A3.Further details regarding Moody’s analysis of this transaction may be found in the related New Issue Report, published around the Original Issue Date and available on Moodys.com.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_1267984.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 UK and is endorsed by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK 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. Luis Mozos VP – Senior Credit Officer Structured Finance Group Moody’s Investors Service Espana, S.A. Calle Principe de Vergara, 131, 6 Planta Madrid 28002 Spain 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 Espana, S.A. 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