 They were happy that Dad bought him at the sale barn last month. Between slurps, they decided that Rocky was a great horse. He was big, but he was gentle. He seemed to love them. And he works hard. He's smart. It's like he knows he belongs to us now. Cecil asked, why did Dad name him Rocky? Well, he used to live in Colorado, and that's where the Rocky Mountains are, explained the older and wiser Rory.