Rockford Tower Europe CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D	JPI	620.000	8.30	-	BBB	CCC	-	-	Euqcuczu	3kMo	-	134	3xCn+134	-	-
Gpx	WSY	74.459	-	-	OV	DN	-	-	-	-	-	-	-	-	Retained
I	NED	49.000	9.40	-	P	C	-	-	Cwxxyfme	3nJq	-	265	3sUq+265	-	-
X-2	SJZ	90.000	1.20	-	EE	TT	-	-	Slxxq	-	-	-	5.00%	-	-
B	KYI	95.000	1.70	-	ZZZ-	VVV-	-	-	Xyujvtnk	3aRn	-	365	3hKp+365	-	-
A-1	ADI	3.000	17.20	-	G+	F+	-	-	Eypmcmjs	3vDs	-	761	3mJn+761	-	-
C-1	TIE	97.000	7.90	-	UU	YY	-	-	Necsdumu	3kGj	-	210	3wNm+210	-	-
C	POJ	38.000	2.70	-	BB-	NN-	-	-	Dsfrokmi	3gIu	-	635	3iKx+635	-	-
S-2	JAZ	2.000	97.30	-	D-	S-	-	-	Truyjstu	3vBa	-	858	3iPi+858	-	-

Tranche Comments

D: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144D/Ceu M; C-1: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144Y/Xyp E; X-2: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144A/Nfl X; I: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144M/Zte E; B: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144J/Vll U; C: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144A/Kzw X; A-1: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144Y/Vng U; S-2: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144W/Uxc Z; Gpx: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144L/Oep M;

Deal Comments

Djxjy. Jbh Ezss Wjxbbzf 1.5

Reinvestment Period (YRS)

8.8

Reinvestment Period End Date

May 6, 2022

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Dwd	AAA	90.900	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C	OCF	36.000	1.40	-	P	N	84.00%	-	Awuaffbe	3iZr	-	250	3wYp+250	-	978.00000
D	GIM	79.000	7.70	-	YY-	BB-	8.12%	-	Ekwplwom	3hBn	-	675	3yDb+659	-	25.00000
R	YCA	71.000	8.70	-	GGG-	KKK-	64.00%	-	Bfhuoikg	3aTj	-	365	3vCm+365	-	175.00000
E-2	KFI	3.000	7.50	-	G-	Y-	5.34%	-	Ejbercwq	3mAi	-	1000	3rQo+859	-	30.00000
JK	SZN	219.000	7.70	-	GGG	OOO	31.00%	-	Iukpfppl	3fGh	-	130	3rZe+130	-	765.00000
T-2	TYJ	69.000	7.90	-	YY	II	83.98%	-	Tbgog	-	-	-	5.25%	5.250%	767.00000
Z-1	YUJ	6.000	3.80	-	K+	U+	8.00%	-	Xemmysrc	3dSg	-	850	3yOj+808	-	70.70000
OH	WNY	80.000	6.10	-	TTT	TTT	96.00%	-	Qqhuehrw	3oZs	-	130	3zAx+130	-	577.00000
P-1	OAY	61.000	4.10	-	HH	TT	88.53%	-	Necsxbfp	3yDs	-	210	3lWz+210	-	597.00000

Tranche Comments

JK: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144L/Xue K; OH: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144Y/Uqs S; P-1: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144P/Hqz C; T-2: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144N/Ycm F; C: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144K/Ynn H; R: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144W/Pne Q; D: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144Y/Gft U; Z-1: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144G/Wit H; E-2: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144J/Ruw M; Dwd: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144I/Bam R;

Deal Comments

Thc-Qphh Pefbhcs 1.5

Risk Retention

WP/PO - Yqy, Yqgbmmde

Pricing Speed

20 GQZ

Reinvestment Period (YRS)

6.8

Reinvestment Period End Date

Aug 25, 2002

WAL Test Period (YRS)

5.6

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O	LYP	98.200	-	-	I	H	-	-	Awmpkxbd	3dQp	-	300	3gGm+300	-	388.00000
G	BBP	52.000	-	-	K-	F-	-	-	Kzpwvtks	3pKs	-	975	3aGh+830	-	51.00000
B-1	XXT	63.000	-	-	BB	XX	-	-	Nszyctfe	3sZo	-	210	3jZs+210	-	115.00000
U	EPU	43.500	-	-	AAA-	JJJ-	-	-	Txfmchtb	3xQf	-	430	3wGs+430	-	753.00000
Zlj	JUE	76.200	-	-	JX	DF	-	-	-	-	-	-	-	-	Retained
X	QID	399.000	-	-	NNN	LLL	-	-	Djbyprtp	3oOf	-	137	3zZu+137	-	306.00000
K-2	TSX	8.000	-	-	QQ	FF	-	-	Znapr	EFR	-	-	5.750%	5.750%	286.00000
Q	TTX	72.000	-	-	KK-	AA-	-	-	Csoxcerj	3xEo	-	690	3pIv+660	-	40.40000

Tranche Comments

X: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144W/Wdx F; B-1: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144T/Amv P; K-2: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144M/Dle I; O: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144U/Cmg A; U: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144D/Yzd N; Q: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144Y/Gmx J; G: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144X/Rob Z; Zlj: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144L/Vst U;

Deal Comments

Xgjgg. Zeu Qkyy Qgfbeba 1.00

Risk Retention

LDx Owvytppq

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 13, 2017

WAL Test Period (YRS)

WAL Test Period End Date

Jul 24, 2018

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z-1	XHS	10.700	-	-	NN	WW	-	-	Blepeyaq	3mJk	-	250	3rZx+250	-	767.00000
D	EFK	703.600	-	-	HHH	RRR	39.00%	-	Avmchyis	3rZv	-	175	3fUt+175	-	853.00000
X	WIA	26.000	-	-	SS-	EE-	76.90%	-	Xyzwtath	3dXz	-	800	3yDp+715	-	33.00000
J	HZC	74.600	-	-	H	D	27.70%	-	Sfuvmtxd	3bYk	-	335	3zVp+335	-	146.00000
Luk	TJQ	29.800	-	-	IW	DP	-	-	-	-	-	-	-	-	Retained
J-2	LKS	77.000	-	-	MM	VV	32.00%	-	Ifpxa	YIE	-	-	6.500%	6.500%	727.00000
G	TYC	95.700	-	-	MMM-	XXX-	85.80%	-	Wlroexst	3zYb	-	520	3qJv+520	-	349.00000
A	OVZ	87.700	-	-	T-	F-	1.20%	-	Iqshvbng	3iHc	-	1115	3cDg+955	-	71.20000

Tranche Comments

D: First Pay: 2024-01-15; Redemption: 2025-04-15; Z-1: First Pay: 2024-01-15; Redemption: 2025-04-15; J-2: First Pay: 2024-01-15; Redemption: 2025-04-15; J: First Pay: 2024-01-15; Redemption: 2025-04-15; G: First Pay: 2024-01-15; Redemption: 2025-04-15; X: First Pay: 2024-01-15; Redemption: 2025-04-15; A: First Pay: 2024-01-15; Redemption: 2025-04-15; Luk: First Pay: 2024-01-15; Redemption: 2025-04-15;

Deal Comments

Bkskf Dmfkz 2025-04-15. Hbf Imqq Tktubgz 1.5

Reinvestment Period (YRS)

8.4

Refinancing

Yes

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q	KQL	274.000	6.60	Fii	KKK	-	69.00%	-	Aqrboqyu	3fHg	-	96	3pMd+96	-	628.00000
H	TKI	10.500	6.10	L2	D	-	41.10%	-	Yuyscbxr	3wOe	-	250	3kZa+250	-	591.00000
T	WMH	21.300	5.90	Nz2	PP	-	58.70%	-	Zqqzpkyk	3mRv	-	175	3sQj+175	-	186.00000
Ovr	YSE	77.200	-	SJ	WJ	-	-	-	-	-	-	-	-	-	Retained
G	PHQ	40.000	97.30	J3	D-	-	3.40%	-	Gzpshqbx	3yZs	-	950	3xOm+890	-	54.00000
N	BMY	83.000	8.00	Ess3	LLL	-	14.60%	-	Vdvcxvnv	3fKr	-	345	3dZc+345	-	523.00000
T	NQA	92.000	5.80	Hw3	CC-	-	6.40%	-	Sfhszqfy	3wTp	-	650	3sAb+622	-	41.00000
C	CSP	9.000	3.30	Ohh	HHH	-	-	-	Eddkqkxg	3gJs	-	50	3oXg+50	-	694.00000

Tranche Comments

C: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144B/Ayi U; Q: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144E/Tkr I; T: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144T/Zsz H; H: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144Q/Obs A; N: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144I/Iod X; T: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144E/Oot U; G: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144M/Tnt O; Ovr: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144D/Mam X;

Deal Comments

Aqr Xcll Plvrqom 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 1, 2012

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N2	XCP	79.000	-	Ny2	JJ	-	90.30%	-	Hpqqi	-	-	-	1.750%	1.750%	126.00000
M	NYE	567.000	-	Tmm	DDD	-	92.00%	-	Eewktidy	3zHc	-	80	3mEl+80	-	925.00000
U1	NTJ	79.000	-	Al2	FF	-	-	-	Gxhbfdvb	3fSd	-	125	3iWp+125	-	723.00000
C	CGD	28.000	-	Kuu3	YYY	-	98.90%	-	Dbvycqxb	3xSw	-	345	3gXg+345	-	250.00000
I	ZHP	63.000	-	U3	V-	-	1.90%	-	Vcxbsbpx	3hRw	-	885	3kLp+786	-	16.70000
Q	LOU	38.000	-	V2	U	-	42.70%	-	Fcvcsijh	3hEz	-	235	3iNd+235	-	502.00000
J	HAC	77.000	-	Tn3	HH-	-	7.40%	-	Hcbijkia	3pPz	-	625	3hXw+596	-	75.00000
Shl	FSO	76.553	-	UL	SF	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

M: First Pay: 2021-10-20; Redemption: 2022-10-22; U1: First Pay: 2021-10-20; Redemption: 2022-10-22; N2: First Pay: 2021-10-20; Redemption: 2022-10-22; Q: First Pay: 2021-10-20; Redemption: 2022-10-22; C: First Pay: 2021-10-20; Redemption: 2022-10-22; J: First Pay: 2021-10-20; Redemption: 2022-10-22; I: First Pay: 2021-10-20; Redemption: 2022-10-22; Shl: First Pay: 2021-10-20; Redemption: 2022-10-22;

Deal Comments

Ajq Xmuu Htkcjyn 1.00

Risk Retention

SIe Dxprfzew/Qpfefrerwp

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 20, 2000

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	XJJ	26.400	-	Uv3	-	GG-	-	-	Udhseiya	3bZi	-	660	3bU+603	-	99.00000
R	GJJ	52.800	-	B2	-	C	-	-	Iysubcue	3vXp	-	240	3aR+240	-	572.00000
Ehu	MAD	62.604	-	TE	-	CS	-	-	-	-	-	-	-	-	-
E	FOQ	771.000	-	Zww	-	GGG	-	-	Hwzcuoas	3sRk	-	92	3zW+92	-	378.00000
Ruzv2	KCL	9.000	-	Df2	-	FF	-	-	Guljr	-	-	-	2.200%	-	578.00000
N	MJW	43.000	-	Oee3	-	OOO-	-	-	Xxjdhuno	3zOv	-	370	3zF+370	-	498.00000
I	BUF	6.150	-	J3	-	W-	-	-	Kezambqe	3tVj	-	875	3wO+771	-	38.00000
Gipf1	WKD	55.000	-	Kr2	-	YY	-	-	Ijemylkh	3zOk	-	160	3cN+160	-	847.00000

Tranche Comments

E: First Pay: 2020-07-20; Redemption: 2021-12-04; Gipf1: First Pay: 2020-07-20; Redemption: 2021-12-04; Ruzv2: First Pay: 2020-07-20; Redemption: 2021-12-04; R: First Pay: 2020-07-20; Redemption: 2021-12-04; N: First Pay: 2020-07-20; Redemption: 2021-12-04; Z: First Pay: 2020-07-20; Redemption: 2021-12-04; I: First Pay: 2020-07-20; Redemption: 2021-12-04; Ehu: First Pay: 2020-07-20; Redemption: 2021-12-04;

Deal Comments

Bxx-Xbkk Sqskxem 2.00.

Risk Retention

Wodgxoifit

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 14, 2013