Rockford Tower Europe CLO 2021-2 DAC Cash Flow Reset Notes Assigned Ratings

Ratings Class Rating* Amount (mil. €) Credit enhancement (%) Interest rate§ A-R AAA (sf) 248.00 38.00 Three/six-month EURIBOR plus 1.27% B-R AA (sf) 44.00 27.00 Three/six-month EURIBOR plus 1.77% C-R A (sf) 24.00 21.00 Three/six-month EURIBOR plus 1.95% D-R BBB- (sf) 28.00 14.00 Three/six-month EURIBOR plus 3.10% E-R BB- (sf) 18.00 9.50 Three/six-month EURIBOR plus 5.40% F-R B- (sf) 12.00 6.50 Three/six-month EURIBOR plus 9.02% Subordinated notes NR 31.924 N/A N/A *The ratings assigned to the class A-R and B-R notes address timely interest and ultimate principal payments. Our ratings address ultimate interest and principal payments on the rest of the other rated notes. §The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency

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