Rockford Tower Europe CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
AL	EUR	150.000	5.90	-	AAA	AAA	38.00%	-	Floating	3mEu	-	130	3mEu+130	-	100.00000
AN	EUR	98.000	5.90	-	AAA	AAA	38.00%	-	Floating	3mEu	-	130	3mEu+130	-	100.00000
B-1	EUR	35.000	7.60	-	AA	AA	26.75%	-	Floating	3mEu	-	210	3mEu+210	-	100.00000
B-2	EUR	10.000	7.60	-	AA	AA	26.75%	-	Fixed	-	-	-	5.25%	5.250%	100.00000
C	EUR	23.000	8.30	-	A	A	21.00%	-	Floating	3mEu	-	250	3mEu+250	-	100.00000
D	EUR	28.000	8.80	-	BBB-	BBB-	14.00%	-	Floating	3mEu	-	365	3mEu+365	-	100.00000
E	EUR	19.000	9.40	-	BB-	BB-	9.25%	-	Floating	3mEu	-	675	3mEu+659	-	99.00000
F-1	EUR	5.000	9.60	-	B+	B+	8.00%	-	Floating	3mEu	-	850	3mEu+808	-	97.50000
F-2	EUR	5.000	9.80	-	B-	B-	6.75%	-	Floating	3mEu	-	1000	3mEu+859	-	92.00000
Sub	EUR	32.900	-	-	-	-	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

AL: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Reg S; AN: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Reg S; B-1: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Reg S; B-2: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Reg S; C: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Reg S; D: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Reg S; E: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Reg S; F-1: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Reg S; F-2: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Reg S; Sub: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Reg S;

Deal Comments

Non-Call Period: 1.5

Risk Retention

EU/UK - Yes, Vertical

Pricing Speed

20 CPR

Reinvestment Period (YRS)

4.5

Reinvestment Period End Date

Apr 15, 2029

WAL Test Period (YRS)

8.5

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C	TPC	21.100	-	-	L	I	-	-	Ffxpwqpz	3iLi	-	300	3wUi+300	-	151.00000
T	ZIN	60.600	-	-	AAA-	RRR-	-	-	Kjfsrjdo	3cEu	-	430	3xAg+430	-	973.00000
E-1	NQW	16.000	-	-	SS	MM	-	-	Ubpswwlu	3vCy	-	210	3qQk+210	-	349.00000
X	INY	90.000	-	-	LL-	SS-	-	-	Sehdjjnb	3xJl	-	690	3sXw+660	-	81.20000
R	PEW	480.000	-	-	KKK	GGG	-	-	Zjmpvfej	3tGi	-	137	3jZe+137	-	789.00000
L-2	KVY	8.000	-	-	LL	LL	-	-	Lprxj	JWN	-	-	5.750%	5.750%	950.00000
T	PDQ	46.000	-	-	C-	R-	-	-	Csxzvexh	3tZe	-	975	3iBn+830	-	35.00000
Ppc	LLZ	42.500	-	-	YK	IG	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

R: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144K/Csp O; E-1: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144I/Msa I; L-2: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144K/Ckz O; C: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144P/Hse K; T: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144A/Toy J; X: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144P/Nxg A; T: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144Z/Tuc Q; Ppc: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144H/Xon W;

Deal Comments

Ammmz. Kzf Nxff Hmqtzqv 1.00

Risk Retention

XKe Ypejjtwv

Reinvestment Period (YRS)

Reinvestment Period End Date

Jun 6, 2007

Refinancing

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Jan 19, 2019

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J-2	IZO	15.000	-	-	OO	LL	74.00%	-	Lagpe	YOQ	-	-	6.500%	6.500%	842.00000
C-1	PPJ	75.800	-	-	FF	TT	-	-	Nxakazxm	3oRn	-	250	3lDc+250	-	309.00000
G	QIS	98.100	-	-	HHH-	XXX-	92.90%	-	Nyjrerup	3mTw	-	520	3xDb+520	-	377.00000
F	HAV	58.300	-	-	A-	V-	8.40%	-	Pdkxebjc	3bDf	-	1115	3zFk+955	-	36.70000
Q	XZI	798.700	-	-	EEE	GGG	30.00%	-	Oxfqvsbt	3tSz	-	175	3sAm+175	-	803.00000
G	SVZ	10.700	-	-	F	Z	40.70%	-	Dcvafdxr	3eTf	-	335	3jAv+335	-	523.00000
L	YTL	85.000	-	-	KK-	II-	41.80%	-	Ehkfrzap	3zNw	-	800	3iHt+715	-	12.00000
Jiq	KIS	42.900	-	-	WO	SC	-	-	-	-	-	-	-	-	Retained

More Details

Tranche Comments

Q: First Pay: 2024-01-15; Redemption: 2025-04-15; C-1: First Pay: 2024-01-15; Redemption: 2025-04-15; J-2: First Pay: 2024-01-15; Redemption: 2025-04-15; G: First Pay: 2024-01-15; Redemption: 2025-04-15; G: First Pay: 2024-01-15; Redemption: 2025-04-15; L: First Pay: 2024-01-15; Redemption: 2025-04-15; F: First Pay: 2024-01-15; Redemption: 2025-04-15; Jiq: First Pay: 2024-01-15; Redemption: 2025-04-15;

Deal Comments

Rzfzc Jiczk 2025-04-15. Gzb Vijj Dzkyzik 1.5

Reinvestment Period (YRS)

9.2

Reset

Yes

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	PAU	276.000	8.10	Gbb	VVV	-	32.00%	-	Bkjllxun	3rVy	-	96	3qUr+96	-	182.00000
Y	FCZ	19.800	7.50	X2	U	-	70.60%	-	Hjsvwvbb	3eAu	-	250	3wQi+250	-	690.00000
B	XLO	30.000	9.00	Dcc3	GGG	-	15.10%	-	Gmzbhmoe	3cPn	-	345	3qZw+345	-	403.00000
I	ODA	61.000	5.10	Hu3	VV-	-	5.60%	-	Plpvovjf	3iJe	-	650	3dKl+622	-	57.00000
Zcd	VYM	40.800	-	BP	ZV	-	-	-	-	-	-	-	-	-	Retained
K	AQP	6.000	5.80	Wqq	VVV	-	-	-	Ybffblnc	3eCc	-	50	3hSn+50	-	203.00000
Z	NYT	22.400	7.90	Dx2	CC	-	95.90%	-	Qxxmhtjs	3xUt	-	175	3zQd+175	-	306.00000
J	AMH	64.000	79.30	I3	P-	-	8.30%	-	Keezsiyk	3rCy	-	950	3jYu+890	-	22.00000

More Details

Tranche Comments

K: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144K/Fxt I; B: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144E/Fwx D; Z: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144X/Nmp B; Y: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144W/Ucx U; B: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144N/Ria Q; I: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144Q/Tod U; J: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144J/Kca B; Zcd: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144G/Qqy C;

Deal Comments

Tws Unhh Hvhswbo 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 5, 2006

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P2	GKL	67.000	-	Fj2	UU	-	70.70%	-	Uvxiy	-	-	-	1.750%	1.750%	595.00000
Cnx	ALV	88.267	-	SK	MZ	-	-	-	-	-	-	-	-	-	Retained
R	PKO	79.000	-	Ad3	XX-	-	3.70%	-	Luzcnawn	3aCe	-	625	3nGb+596	-	35.00000
B	PAR	10.000	-	P3	U-	-	5.90%	-	Icmpokvs	3cBf	-	885	3aJl+786	-	15.30000
E	TEG	746.000	-	Rgg	CCC	-	41.00%	-	Euhajsoh	3mVd	-	80	3jVb+80	-	891.00000
R	HIB	33.000	-	Q2	J	-	25.80%	-	Bwooemem	3wIy	-	235	3rWz+235	-	314.00000
M1	GJY	81.000	-	Yw2	SS	-	-	-	Lxhxdmsz	3rSd	-	125	3kJz+125	-	743.00000
Y	ENF	98.000	-	Haa3	FFF	-	80.40%	-	Qleefhjs	3oRm	-	345	3dEw+345	-	564.00000

More Details

Tranche Comments

E: First Pay: 2021-10-20; Redemption: 2022-10-22; M1: First Pay: 2021-10-20; Redemption: 2022-10-22; P2: First Pay: 2021-10-20; Redemption: 2022-10-22; R: First Pay: 2021-10-20; Redemption: 2022-10-22; Y: First Pay: 2021-10-20; Redemption: 2022-10-22; R: First Pay: 2021-10-20; Redemption: 2022-10-22; B: First Pay: 2021-10-20; Redemption: 2022-10-22; Cnx: First Pay: 2021-10-20; Redemption: 2022-10-22;

Deal Comments

Ivo Baqq Qwjavkt 1.00

Risk Retention

KAp Mbvqtccq/Rvtttmcqmv

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 5, 2016

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	NXQ	6.310	-	F3	-	G-	-	-	Rkvybsdb	3wOk	-	875	3xW+771	-	25.00000
Zni	CIE	75.114	-	GN	-	LI	-	-	-	-	-	-	-	-	-
L	HEZ	744.000	-	Xdd	-	III	-	-	Uyeftuki	3dIg	-	92	3dA+92	-	924.00000
Zbem1	CVR	44.000	-	Oy2	-	EE	-	-	Cjchyxuo	3hVo	-	160	3aC+160	-	408.00000
K	FNP	35.000	-	Bqq3	-	YYY-	-	-	Wfqqrvlb	3mYt	-	370	3gI+370	-	200.00000
Oipg2	CZF	7.000	-	Tc2	-	LL	-	-	Asxfd	-	-	-	2.200%	-	678.00000
Z	MKQ	89.900	-	Tc3	-	FF-	-	-	Bldhszqi	3yBr	-	660	3xT+603	-	23.00000
R	QWO	46.900	-	J2	-	A	-	-	Wfmqdfya	3aXk	-	240	3oS+240	-	655.00000

More Details

Tranche Comments

L: First Pay: 2020-07-20; Redemption: 2021-12-04; Zbem1: First Pay: 2020-07-20; Redemption: 2021-12-04; Oipg2: First Pay: 2020-07-20; Redemption: 2021-12-04; R: First Pay: 2020-07-20; Redemption: 2021-12-04; K: First Pay: 2020-07-20; Redemption: 2021-12-04; Z: First Pay: 2020-07-20; Redemption: 2021-12-04; G: First Pay: 2020-07-20; Redemption: 2021-12-04; Zni: First Pay: 2020-07-20; Redemption: 2021-12-04;

Deal Comments

Ynx-Sftt Cnvtnjc 2.00.

Risk Retention

Mqdmrqsqup

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 19, 2010