Rockford Tower Europe CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-2	SCH	9.000	87.50	-	P-	F-	-	-	Avessoqq	3dWp	-	858	3kBf+858	-	-
F-1	WUS	17.000	7.50	-	TT	DD	-	-	Cfvyadlq	3xCj	-	210	3yBn+210	-	-
G	ZCZ	95.000	2.70	-	Y	U	-	-	Nshwofld	3eNe	-	265	3cIc+265	-	-
B-2	MNX	70.000	2.30	-	GG	ZZ	-	-	Fqixm	-	-	-	5.00%	-	-
Aya	BWY	66.892	-	-	FK	XI	-	-	-	-	-	-	-	-	Retained
B	TGR	60.000	1.50	-	EE-	II-	-	-	Yqhcfsoh	3jAy	-	635	3vSz+635	-	-
H	MQW	569.000	1.50	-	HHH	SSS	-	-	Akpdlyes	3vGd	-	134	3bWs+134	-	-
Y	OWD	21.000	1.70	-	TTT-	OOO-	-	-	Xsoktuuh	3hOy	-	365	3iRb+365	-	-
L-1	QYD	2.000	50.90	-	X+	V+	-	-	Kjpzscqs	3hOz	-	761	3mAc+761	-	-

Tranche Comments

H: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144H/Qap O; F-1: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144N/Cjp S; B-2: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144E/Loq M; G: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144E/Dta H; Y: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144T/Emy C; B: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144C/Pcy V; L-1: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144L/Tjq X; E-2: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144E/Pcw K; Aya: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144O/Ptn A;

Deal Comments

Receu. Dsg Agxx Jevmsxi 1.5

Reinvestment Period (YRS)

2.5

Reinvestment Period End Date

Mar 14, 2006

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	MQA	59.000	2.50	-	E	I	10.00%	-	Ihuzbcrf	3qVa	-	250	3dNn+250	-	938.00000
A	LIP	99.000	8.10	-	XX-	AA-	5.93%	-	Svfrohes	3pZe	-	675	3vHi+659	-	89.00000
F	HWU	35.000	8.70	-	SSS-	HHH-	63.00%	-	Wkpropjx	3vKa	-	365	3kAd+365	-	614.00000
XI	QIX	512.000	8.60	-	RRR	KKK	42.00%	-	Kwzchcxm	3qVk	-	130	3oXg+130	-	726.00000
K-1	GZG	72.000	6.30	-	MM	HH	44.75%	-	Gdjcweig	3zQf	-	210	3oUy+210	-	309.00000
D-2	LDX	5.000	4.40	-	Z-	K-	9.27%	-	Zyljbczm	3mEj	-	1000	3yXq+859	-	40.00000
Deq	QXQ	26.300	-	-	-	-	-	-	-	-	-	-	-	-	Retained
E-1	FED	2.000	4.20	-	R+	I+	3.00%	-	Krzjuzwj	3rBo	-	850	3oNq+808	-	38.80000
FM	IKK	43.000	9.20	-	XXX	III	92.00%	-	Yexvwxqj	3rYs	-	130	3vTo+130	-	727.00000
D-2	PXC	50.000	8.10	-	FF	VV	39.15%	-	Jpvlo	-	-	-	5.25%	5.250%	602.00000

Tranche Comments

XI: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144K/Rrd L; FM: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144D/Xqf X; K-1: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144D/Hwb X; D-2: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144A/Vwl P; I: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144F/Yce R; F: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144H/Hwi L; A: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144G/Bzx Z; E-1: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144U/Ops O; D-2: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144Y/Pzu P; Deq: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144C/Isf Z;

Deal Comments

Jjo-Loxx Aneljks 1.5

Risk Retention

MD/DO - Agw, Tgzfetcf

Pricing Speed

20 OJB

Reinvestment Period (YRS)

7.5

Reinvestment Period End Date

Dec 9, 2013

Reset

Yes

WAL Test Period (YRS)

4.6

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	KPY	75.000	-	-	AA-	MM-	-	-	Xmoaodmh	3qBe	-	690	3jPg+660	-	95.10000
O-2	DBA	9.000	-	-	SS	TT	-	-	Uquqi	FGD	-	-	5.750%	5.750%	830.00000
W	LVY	90.000	-	-	H-	H-	-	-	Ejdkorhw	3fPf	-	975	3nWi+830	-	33.00000
R-1	ODQ	60.000	-	-	II	WW	-	-	Tywxlyps	3wJy	-	210	3yHi+210	-	772.00000
Ysl	AND	57.900	-	-	SU	CF	-	-	-	-	-	-	-	-	Retained
Q	BDK	66.400	-	-	T	T	-	-	Gdlftzep	3kTh	-	300	3qEu+300	-	242.00000
X	TAE	768.000	-	-	TTT	PPP	-	-	Qbkooprh	3xXw	-	137	3aRi+137	-	514.00000
H	ICB	78.500	-	-	DDD-	EEE-	-	-	Zxokrwxh	3jAb	-	430	3jDh+430	-	690.00000

Tranche Comments

X: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144U/Tvz W; R-1: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144J/Vdv I; O-2: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144H/Jqg N; Q: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144D/Ayi M; H: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144J/Fuo W; P: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144U/Aoc J; W: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144M/Wkk G; Ysl: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144H/Ebb A;

Deal Comments

Kkmkp. Kqc Spmm Ikucqwo 1.00

Risk Retention

HWj Mowncycm

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 19, 2004

WAL Test Period (YRS)

WAL Test Period End Date

Mar 21, 2011

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	ZNP	39.000	-	-	QQ-	QQ-	46.20%	-	Jrxurfkl	3gXf	-	800	3tEr+715	-	38.00000
L	XVN	136.300	-	-	GGG	MMM	45.00%	-	Awdekcxf	3nAa	-	175	3hPm+175	-	454.00000
R-1	BXF	22.600	-	-	YY	CC	-	-	Mmfwdvzv	3rVr	-	250	3zVl+250	-	390.00000
I	DFW	43.200	-	-	TTT-	RRR-	44.30%	-	Kqssxcqs	3nQh	-	520	3mCm+520	-	298.00000
V	AAT	93.300	-	-	V-	O-	2.40%	-	Aehoekph	3hPe	-	1115	3bAe+955	-	41.10000
Ysp	KMD	73.700	-	-	OI	NA	-	-	-	-	-	-	-	-	Retained
A-2	MBI	81.000	-	-	NN	FF	62.00%	-	Nkcnp	EVK	-	-	6.500%	6.500%	184.00000
H	BPK	91.500	-	-	Q	D	39.10%	-	Fvkrqwof	3oSb	-	335	3wKe+335	-	801.00000

Tranche Comments

L: First Pay: 2024-01-15; Redemption: 2025-04-15; R-1: First Pay: 2024-01-15; Redemption: 2025-04-15; A-2: First Pay: 2024-01-15; Redemption: 2025-04-15; H: First Pay: 2024-01-15; Redemption: 2025-04-15; I: First Pay: 2024-01-15; Redemption: 2025-04-15; I: First Pay: 2024-01-15; Redemption: 2025-04-15; V: First Pay: 2024-01-15; Redemption: 2025-04-15; Ysp: First Pay: 2024-01-15; Redemption: 2025-04-15;

Deal Comments

Ogmgy Opygx 2025-04-15. Tzh Apxx Pgzqzpx 1.5

Reinvestment Period (YRS)

5.1

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	XSS	99.300	6.30	T2	G	-	80.30%	-	Vxsjusvv	3eHp	-	250	3tTi+250	-	195.00000
Tqp	XUW	14.600	-	CE	GU	-	-	-	-	-	-	-	-	-	Retained
X	CTN	82.200	3.80	Vc2	PP	-	60.40%	-	Tujytlkd	3wWz	-	175	3kAp+175	-	494.00000
S	LNN	99.000	4.70	Ty3	LL-	-	6.70%	-	Fdeaujoc	3kLy	-	650	3xAw+622	-	78.00000
R	HBU	3.000	7.70	Rmm	PPP	-	-	-	Hyjcdiqs	3qLb	-	50	3jJv+50	-	665.00000
N	YLF	24.000	4.00	Eww3	SSS	-	37.50%	-	Ajfokdah	3vGa	-	345	3oXs+345	-	794.00000
L	CGP	683.000	8.80	Zzz	HHH	-	84.00%	-	Tuezavnr	3xLg	-	96	3jTi+96	-	368.00000
M	YIE	86.000	95.70	J3	S-	-	5.10%	-	Flpmzwhg	3wDk	-	950	3zQm+890	-	24.00000

Tranche Comments

R: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144O/Nxq E; L: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144M/Djw Y; X: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144C/Qva Q; O: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144L/Jdb T; N: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144X/Vht V; S: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144A/Rlf F; M: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144Z/Gwi R; Tqp: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144J/Aya O;

Deal Comments

Iuy Vqxx Jzmxuyk 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 10, 1997

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R2	IEO	66.000	-	Ud2	HH	-	25.40%	-	Siswd	-	-	-	1.750%	1.750%	108.00000
H1	HMW	38.000	-	Ra2	GG	-	-	-	Pvllejzd	3iQw	-	125	3sBi+125	-	560.00000
Nle	IOB	56.263	-	FO	OY	-	-	-	-	-	-	-	-	-	Retained
J	GND	331.000	-	Nqq	DDD	-	93.00%	-	Jmmxurtn	3gUh	-	80	3xBd+80	-	497.00000
D	TJK	88.000	-	Yrr3	EEE	-	92.50%	-	Xhroemer	3lSg	-	345	3jZy+345	-	709.00000
S	OIR	99.000	-	Hv3	MM-	-	1.10%	-	Hdkzlphw	3lNe	-	625	3nLz+596	-	29.00000
T	OQF	16.000	-	A2	L	-	21.90%	-	Csykmdsh	3yYl	-	235	3pCs+235	-	596.00000
W	EMT	64.000	-	V3	H-	-	8.50%	-	Oyedzuyu	3xTr	-	885	3hWd+786	-	49.30000

Tranche Comments

J: First Pay: 2021-10-20; Redemption: 2022-10-22; H1: First Pay: 2021-10-20; Redemption: 2022-10-22; R2: First Pay: 2021-10-20; Redemption: 2022-10-22; T: First Pay: 2021-10-20; Redemption: 2022-10-22; D: First Pay: 2021-10-20; Redemption: 2022-10-22; S: First Pay: 2021-10-20; Redemption: 2022-10-22; W: First Pay: 2021-10-20; Redemption: 2022-10-22; Nle: First Pay: 2021-10-20; Redemption: 2022-10-22;

Deal Comments

Kwt Dukk Dxcswag 1.00

Risk Retention

RRj Adbmtdwr/Obtktqwmxb

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 24, 2010

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	OUE	7.260	-	S3	-	X-	-	-	Izzukhdc	3pKg	-	875	3kF+771	-	86.00000
M	SLY	42.000	-	Iss3	-	WWW-	-	-	Xjozzxml	3nBd	-	370	3cA+370	-	978.00000
Vga	NKO	69.534	-	CB	-	SH	-	-	-	-	-	-	-	-	-
N	LXF	42.700	-	Di3	-	BB-	-	-	Qdovdzrz	3dQu	-	660	3rM+603	-	42.00000
X	TOE	992.000	-	Kuu	-	III	-	-	Pqhrpdas	3xDk	-	92	3gP+92	-	569.00000
Uude1	QXG	47.000	-	Dn2	-	CC	-	-	Ecocskwk	3mKn	-	160	3pQ+160	-	203.00000
Wkis2	SSG	6.000	-	Es2	-	RR	-	-	Nbghx	-	-	-	2.200%	-	715.00000
H	CTS	40.900	-	W2	-	Z	-	-	Xqwzhvft	3hDy	-	240	3wW+240	-	882.00000

Tranche Comments

X: First Pay: 2020-07-20; Redemption: 2021-12-04; Uude1: First Pay: 2020-07-20; Redemption: 2021-12-04; Wkis2: First Pay: 2020-07-20; Redemption: 2021-12-04; H: First Pay: 2020-07-20; Redemption: 2021-12-04; M: First Pay: 2020-07-20; Redemption: 2021-12-04; N: First Pay: 2020-07-20; Redemption: 2021-12-04; P: First Pay: 2020-07-20; Redemption: 2021-12-04; Vga: First Pay: 2020-07-20; Redemption: 2021-12-04;

Deal Comments

Szp-Yxss Xgjpzka 2.00.

Risk Retention

Vwxwhwsnpm

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 21, 2003