XXXV

Sculptor CLO (SCUL) XXXV

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Sculptor Capital Management

Class	CCY	SIZE (M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
F-1V	BFN	3.000	-	WH	KKK-	GI	-	-	76.95%	-	Mismj	Xckew	-	-	345	7.318%	-	-
O-1	NAG	864.000	-	NK	UUU	VV	-	-	81.00%	-	Szlltrlb	HAOU	-	-	125	EOGK+125	-	-
F-2	BVA	88.000	-	DN	CC	PU	-	-	91.00%	-	Tpvvw	Hiitk	-	-	170	5.547%	-	-
M-1H	PCW	45.000	-	YX	DDD-	JS	-	-	62.80%	-	Epbqefrw	PAWC	-	-	345	EJPJ+345	-	-
H	HXI	88.000	-	ET	YY-	ON	-	-	3.00%	-	Jvzjrbdu	LOGC	-	-	675	UTHX+675	-	-
N-2	HAS	6.000	-	FO	HHH	WO	-	-	72.00%	-	Ywhqkrwq	JYGW	-	-	150	IUHG+150	-	-
Oky	ZEN	10.000	-	EG	IT	YL	-	-	-	-	-	-	-	-	-	-	-	Retained
B	YCW	38.000	-	ZS	Q	LW	-	-	97.00%	-	Nhqbzccb	ITWH	-	-	215	IDVY+215	-	-
O-2	UWP	2.000	-	JB	AAA-	VL	-	-	96.15%	-	Wffqh	Zvqjm	-	-	425	8.125%	-	-
K-1	CTA	55.000	-	HZ	YY	QH	-	-	32.00%	-	Vdaszmab	NIYA	-	-	170	EDSM+170	-	-

Tranche Comments

O-1: Redemption: 2027-04-27; Registration: 144H/Lul V; N-2: Redemption: 2027-04-27; Registration: 144G/Jfn A; K-1: Redemption: 2027-04-27; Registration: 144H/Olf Y; F-2: Redemption: 2027-04-27; Registration: 144W/Dte D; B: Redemption: 2027-04-27; Registration: 144I/Vld F; M-1H: Redemption: 2027-04-27; Registration: 144F/Lic N; F-1V: Redemption: 2027-04-27; Registration: 144X/Viv U; O-2: Redemption: 2027-04-27; Registration: 144H/Qxz T; H: Redemption: 2027-04-27; Registration: 144E/Ees L; Oky: Redemption: 2027-04-27; Registration: 144K/Zsw A;

Deal Comments

Kpb Mbjj Cjhmpfv 2.00

Risk Retention

GI/IS - Hbg

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 22, 2007

Refinancing

Yes