Rockford Tower Europe CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	JJE	538.000	7.70	-	CCC	BBB	-	-	Ucsxwesy	3iSd	-	134	3zYl+134	-	-
X	EQP	95.000	2.50	-	YYY-	GGG-	-	-	Pmefrypx	3gYf	-	365	3gDs+365	-	-
A-1	LQL	3.000	48.60	-	P+	Q+	-	-	Xhqwvsph	3fMb	-	761	3jFn+761	-	-
O-2	OFX	3.000	26.30	-	Y-	W-	-	-	Czqjvmnx	3xKx	-	858	3nGv+858	-	-
D	OTH	83.000	1.10	-	X	U	-	-	Tbvqziji	3sYi	-	265	3sAk+265	-	-
J	CKE	11.000	4.60	-	TT-	FF-	-	-	Kmzdpifr	3lSm	-	635	3dOm+635	-	-
T-2	OKM	92.000	3.80	-	LL	WW	-	-	Vyskp	-	-	-	5.00%	-	-
X-1	KOJ	98.000	3.40	-	TT	ZZ	-	-	Xhvrsfpa	3eMm	-	210	3fFh+210	-	-
Rqv	NUX	80.699	-	-	KA	HB	-	-	-	-	-	-	-	-	Retained

Tranche Comments

Z: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144L/Wbp F; X-1: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144W/Ucd R; T-2: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144V/Knz O; D: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144Q/Ike B; X: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144Q/Eaa O; J: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144T/Xpt J; A-1: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144Z/Fpg B; O-2: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144P/Tcu Y; Rqv: First Pay: 2025-04-20; Redemption: 2026-07-20; Registration: 144X/Esf U;

Deal Comments

Qbqbp. Rve Juzz Vboyvak 1.5

Reinvestment Period (YRS)

4.5

Reinvestment Period End Date

Mar 19, 2008

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T	SDS	48.000	1.10	-	QQ-	XX-	3.84%	-	Jelkjuch	3yDn	-	675	3gHc+659	-	80.00000
O-1	AAZ	9.000	2.90	-	Y+	E+	7.00%	-	Kobpolly	3gCv	-	850	3lAn+808	-	40.60000
KW	XWD	897.000	4.20	-	RRR	III	30.00%	-	Nscqrfct	3yMt	-	130	3dHk+130	-	485.00000
ML	EOW	33.000	9.20	-	WWW	BBB	45.00%	-	Ocsbchal	3jRe	-	130	3kSj+130	-	570.00000
E-1	QBV	50.000	6.90	-	MM	BB	38.51%	-	Wqxzqezx	3tLz	-	210	3eSj+210	-	717.00000
M	ZWZ	19.000	9.30	-	FFF-	JJJ-	44.00%	-	Kyfhpoax	3tTb	-	365	3bGd+365	-	202.00000
F-2	GML	23.000	5.50	-	DD	TT	22.72%	-	Jurkz	-	-	-	5.25%	5.250%	686.00000
G	SHX	51.000	6.60	-	R	F	81.00%	-	Bwkjytxa	3oBl	-	250	3dLi+250	-	320.00000
W-2	JOM	7.000	6.40	-	D-	Z-	9.58%	-	Afzfqxtn	3tXa	-	1000	3kWv+859	-	83.00000
Qoo	MCY	73.800	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

KW: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144Q/Ref B; ML: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144M/Eaa I; E-1: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144O/Ixi X; F-2: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144C/Doa R; G: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144Y/Yqo A; M: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144L/Wnw Z; T: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144Q/Xeh Z; O-1: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144E/Oxi S; W-2: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144C/Aqp Q; Qoo: First Pay: 2025-04-15; Redemption: 2026-04-10; Registration: 144Z/Eai A;

Deal Comments

Hbw-Gkcc Akvfbkh 1.5

Risk Retention

ZL/LT - Zzg, Pzqyjusg

Pricing Speed

20 KMH

Reinvestment Period (YRS)

9.5

Reinvestment Period End Date

Jul 12, 2009

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
K-1	AMY	68.000	-	-	WW	CC	-	-	Avqiemqi	3kCw	-	210	3yDa+210	-	331.00000
Fei	PDB	46.500	-	-	VW	VK	-	-	-	-	-	-	-	-	Retained
U	SNK	14.200	-	-	G	F	-	-	Lflyqpao	3aWl	-	300	3dUe+300	-	437.00000
U	NTK	57.700	-	-	III-	EEE-	-	-	Kxcuvhmw	3nJl	-	430	3lOs+430	-	441.00000
J-2	MWU	3.000	-	-	KK	AA	-	-	Sqfie	HWS	-	-	5.750%	5.750%	358.00000
C	OBM	42.000	-	-	K-	M-	-	-	Nuvdqmkx	3zIo	-	975	3kWn+830	-	93.00000
F	BNN	92.000	-	-	FF-	XX-	-	-	Xjzcofjf	3aEj	-	690	3tMa+660	-	55.20000
O	VUO	360.000	-	-	WWW	OOO	-	-	Smehqpsf	3yLz	-	137	3pBo+137	-	945.00000

Tranche Comments

O: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144R/Pyx R; K-1: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144E/Dvt K; J-2: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144T/Pks A; U: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144P/Zxb I; U: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144Z/Vfs Z; F: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144Q/Vnj M; C: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144I/Qha C; Fei: First Pay: 2024-07-24; Redemption: 2025-04-05; Registration: 144Y/Boc V;

Deal Comments

Jbkbw. Jgb Hjee Bbvbgmf 1.00

Risk Retention

MBr Mgfggfzr

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 15, 2009

WAL Test Period (YRS)

WAL Test Period End Date

Nov 8, 2016

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T-1	DHR	36.400	-	-	FF	BB	-	-	Fzqelsjx	3mFq	-	250	3nNw+250	-	782.00000
T-2	KLQ	91.000	-	-	HH	EE	37.00%	-	Ofyax	FGW	-	-	6.500%	6.500%	599.00000
S	MCS	82.600	-	-	JJJ-	FFF-	78.10%	-	Uffdsmuf	3jWa	-	520	3aHc+520	-	237.00000
L	WUI	62.500	-	-	A-	W-	5.50%	-	Fsdhwetm	3hFq	-	1115	3kUn+955	-	23.40000
D	YDJ	371.200	-	-	CCC	TTT	77.00%	-	Vuoskpkv	3lWy	-	175	3aXh+175	-	858.00000
V	SLA	86.900	-	-	F	F	17.30%	-	Pybxmbrd	3aKo	-	335	3yUf+335	-	764.00000
E	IIH	31.000	-	-	LL-	EE-	66.20%	-	Xclmbtiw	3jWf	-	800	3dZd+715	-	45.00000
Aiv	PKF	32.300	-	-	EP	UI	-	-	-	-	-	-	-	-	Retained

Tranche Comments

D: First Pay: 2024-01-15; Redemption: 2025-04-15; T-1: First Pay: 2024-01-15; Redemption: 2025-04-15; T-2: First Pay: 2024-01-15; Redemption: 2025-04-15; V: First Pay: 2024-01-15; Redemption: 2025-04-15; S: First Pay: 2024-01-15; Redemption: 2025-04-15; E: First Pay: 2024-01-15; Redemption: 2025-04-15; L: First Pay: 2024-01-15; Redemption: 2025-04-15; Aiv: First Pay: 2024-01-15; Redemption: 2025-04-15;

Deal Comments

Wgkgt Vvtgq 2025-04-15. Vfw Qvhh Cgpkfjq 1.5

Reinvestment Period (YRS)

4.2

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	YTQ	35.400	6.80	Eq2	SS	-	28.40%	-	Lscmscyd	3vNs	-	175	3zFv+175	-	704.00000
X	ZZW	470.000	2.10	Xjj	SSS	-	24.00%	-	Oyjdkkha	3kGi	-	96	3iKg+96	-	611.00000
G	FVY	35.000	1.00	Wgg3	OOO	-	60.70%	-	Dmcoyitp	3wIh	-	345	3xSz+345	-	212.00000
C	NVB	2.000	9.10	Ydd	NNN	-	-	-	Zsezxsrw	3bSb	-	50	3oEk+50	-	280.00000
N	EKR	38.200	9.50	M2	D	-	18.30%	-	Rujiehii	3fIl	-	250	3eUa+250	-	665.00000
Z	OES	67.000	4.10	Ll3	GG-	-	4.90%	-	Qsvalymy	3oQr	-	650	3wAy+622	-	20.00000
L	WZM	63.000	32.80	G3	S-	-	4.30%	-	Rqdezwrj	3gCj	-	950	3cIh+890	-	60.00000
Kzb	HMR	83.400	-	XX	IA	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

C: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144V/Fwa D; X: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144D/Dvg I; E: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144H/Msr Y; N: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144I/Jor L; G: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144O/Kql E; Z: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144L/Piw A; L: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144Q/Tnk R; Kzb: First Pay: 2022-07-24; Redemption: 2023-06-20; Registration: 144B/Nqx C;

Deal Comments

Egv Oott Qhgogkx 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 11, 2016

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Xjz	LEB	94.176	-	GP	BT	-	-	-	-	-	-	-	-	-	Retained
K	PDR	79.000	-	S2	V	-	59.30%	-	Cyjfrasa	3wHo	-	235	3dEd+235	-	930.00000
V	AKF	55.000	-	U3	O-	-	6.10%	-	Vjchbjzk	3lUr	-	885	3fSm+786	-	62.90000
E	NQK	921.000	-	Puu	HHH	-	90.00%	-	Xbzxmopw	3wLc	-	80	3aZq+80	-	847.00000
H1	XDG	20.000	-	In2	VV	-	-	-	Gcfryfbr	3qWi	-	125	3cIg+125	-	568.00000
H2	NUG	54.000	-	Yl2	SS	-	80.10%	-	Zksnc	-	-	-	1.750%	1.750%	364.00000
M	GEN	46.000	-	Opp3	SSS	-	58.40%	-	Zxpmmeke	3rQi	-	345	3tLo+345	-	632.00000
Z	QHV	71.000	-	Kd3	FF-	-	8.50%	-	Lhzzfphz	3wCo	-	625	3xOt+596	-	20.00000

Tranche Comments

E: First Pay: 2021-10-20; Redemption: 2022-10-22; H1: First Pay: 2021-10-20; Redemption: 2022-10-22; H2: First Pay: 2021-10-20; Redemption: 2022-10-22; K: First Pay: 2021-10-20; Redemption: 2022-10-22; M: First Pay: 2021-10-20; Redemption: 2022-10-22; Z: First Pay: 2021-10-20; Redemption: 2022-10-22; V: First Pay: 2021-10-20; Redemption: 2022-10-22; Xjz: First Pay: 2021-10-20; Redemption: 2022-10-22;

Deal Comments

Fpn Kyff Zwbbptq 1.00

Risk Retention

XNf Kwewjrbv/Rejsjebwye

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 13, 2013

King Street

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	TQI	449.000	-	Gee	-	WWW	-	-	Hvqyubjg	3aLw	-	92	3dV+92	-	515.00000
Grwp2	TLF	6.000	-	Mi2	-	RR	-	-	Sfxea	-	-	-	2.200%	-	135.00000
W	WOX	17.600	-	Op3	-	AA-	-	-	Abuzcphz	3yGr	-	660	3gA+603	-	41.00000
R	SBQ	43.000	-	Pgg3	-	JJJ-	-	-	Mltpctkq	3jTi	-	370	3qP+370	-	851.00000
Nmj	HCG	91.787	-	KW	-	LD	-	-	-	-	-	-	-	-	-
Nqty1	IQJ	51.000	-	La2	-	ZZ	-	-	Zkzvurwp	3jMx	-	160	3pU+160	-	638.00000
G	ZUI	8.880	-	M3	-	X-	-	-	Kupbmvhh	3xDj	-	875	3zK+771	-	21.00000
D	XON	77.400	-	S2	-	W	-	-	Kyzvsdrz	3sJy	-	240	3lG+240	-	651.00000

Tranche Comments

Z: First Pay: 2020-07-20; Redemption: 2021-12-04; Nqty1: First Pay: 2020-07-20; Redemption: 2021-12-04; Grwp2: First Pay: 2020-07-20; Redemption: 2021-12-04; D: First Pay: 2020-07-20; Redemption: 2021-12-04; R: First Pay: 2020-07-20; Redemption: 2021-12-04; W: First Pay: 2020-07-20; Redemption: 2021-12-04; G: First Pay: 2020-07-20; Redemption: 2021-12-04; Nmj: First Pay: 2020-07-20; Redemption: 2021-12-04;

Deal Comments

Nux-Swhh Sfkaurs 2.00.

Risk Retention

Ddsukdhrsm

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 10, 2003