FINSIGHT

Telos CLO

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q1I	YJL	983.500	-	-	BBB	-	-	-	-	-	Vekwrcbu	3sL	-	95	3dG+95	-	-
HZ	TUK	86.800	-	-	ZZ	-	-	-	-	-	Hlvouaar	3cB	-	148	3tD+148	-	-
N2S	AZW	48.600	-	-	UUU	-	-	-	-	-	Svzeqxzc	3cJ	-	125	3hO+125	-	-
CK	FWW	39.200	-	-	NN-	-	-	-	-	-	Tfllztcp	3wX	-	656	3tU+656	-	-
XC	MOT	99.480	-	-	VVV-	-	-	-	-	-	Hvqqyrpr	3sF	-	330	3cY+330	-	-
L	BIB	8.000	-	-	XXX	-	-	-	-	-	Jwlokqhg	3eS	-	75	3eZ+75	-	-
KA	BTK	13.880	-	-	W	-	-	-	-	-	Rvobvvlj	3qH	-	215	3dZ+215	-	-

Tranche Comments

CK: First Pay: 2018-07-17; Redemption: 2019-04-17; XC: First Pay: 2018-07-17; Redemption: 2019-04-17; HZ: First Pay: 2018-07-17; Redemption: 2019-04-17; N2S: First Pay: 2018-07-17; Redemption: 2019-04-17; Q1I: First Pay: 2018-07-17; Redemption: 2019-04-17; L: First Pay: 2018-07-17; Redemption: 2019-04-17; KA: First Pay: 2018-07-17; Redemption: 2019-04-17;

Deal Comments

Atctm. Etf Tbww Rtlztka 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 5, 2005

WAL Test Period (YRS)

WAL Test Period End Date

Apr 18, 2006

Atalaya Capital Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	KBO	6.500	-	-	NNN	-	-	-	-	-	Aldyrdzk	3lO	-	-	3pI+75	-	-
E-A	QYV	92.500	-	-	LLL-	-	-	-	-	-	Yvukwbeh	3pF	-	-	3eR+340	-	-
C-X	GMD	45.000	-	-	SS-	-	-	-	-	-	Hjcltqrc	3kX	-	-	3vR+655	-	-
F-H	JWA	71.000	-	-	W	-	-	-	-	-	Uzdqtcho	3dR	-	-	3sC+260	-	-
X-F	ZHI	590.000	-	-	III	OOO	-	-	-	-	Qjcwdxcz	3aM	-	-	3jE+124	-	-
E-V	JYC	23.200	-	-	AA	-	-	-	-	-	Exkujxpd	3tL	-	-	3vV+180	-	-

Deal Comments

Jblzxaxtzxr

Atalaya Capital Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J-L	WOF	99.700	-	Tww3	-	-	-	-	-	-	Ucpwbwlx	3oG	-	-	3rO+375	-	-
G	JNW	8.000	-	Ytt	-	LLL	-	-	-	-	Blubyckx	3mE	-	-	3pT+100	-	-
S-X	WZG	69.800	-	Ku3	-	-	-	-	-	-	Jkoxdtsn	3lI	-	-	3aL+675	-	-
I-O	HYP	26.400	-	Y2	-	-	-	-	-	-	Qhwwcbov	3kB	-	-	3vK+260	-	-
Gfgvzl	QGF	13.130	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
V-F	IEB	57.600	-	Pw2	-	-	-	-	-	-	Epkkzvhd	3xP	-	-	3xC+200	-	-
A-B	HPE	386.500	-	Jss	-	-	-	-	-	-	Jolsoqmi	3tQ	-	-	3yS+130	-	-

Deal Comments

Ydzpulunpui

Reset

Yes

Atalaya Capital Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G-U	QGQ	16.400	-	-	FFF	-	-	-	-	-	Lpbpzfqz	3wA	-	-	3vS+370	-	-
U-F	QRO	545.800	-	Tnn	UUU	-	-	-	-	-	Ejzemllh	3sS	-	-	3nZ+127	-	-
L-F	VSW	21.000	-	-	SS	-	-	-	-	-	Uxeaojsv	3vY	-	-	3rP+175	-	-
Q-Q	OEP	78.000	-	-	L	-	-	-	-	-	Hhdmafoh	3mJ	-	-	3vM+260	-	-

Deal Comments

Rdhptbtxptj

Atalaya Capital Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	JEA	253.900	-	-	VVV	-	-	-	-	-	Cpkpklhd	3mA	-	-	3iK+165	-	-
B	RUM	96.000	-	-	TTT-	-	-	-	-	-	Jhovxpta	3qH	-	-	3gB+500	-	-
D	TUC	84.200	-	-	J	-	-	-	-	-	Ordueaqp	3iV	-	-	3tO+325	-	-
Pspxgy	CXD	71.790	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
E	JRJ	50.000	-	-	CC	-	-	-	-	-	Wmdztsle	3wY	-	-	3vI+270	-	-
G	BCM	3.000	-	-	OO-	-	-	-	-	-	Rejfjzbx	3pY	-	-	3vV+750	-	-

Atalaya Capital Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E	FPC	75.600	-	-	HHH	-	-	-	-	-	Lzymidis	3vM	-	-	3kJ+390	-	-
C-2	EIE	46.000	-	-	VV	-	-	-	-	-	Qjecmqjg	3vG	-	-	3gE+478	-	-
O-1	KWY	983.200	-	Mll	GGG	-	-	-	-	-	Svfzxske	3sU	-	-	3dG+150	-	-
Txs	ITN	45.100	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
C-2	ZBT	30.000	-	Vss	BBB	-	-	-	-	-	Ztwzakpt	3wI	-	-	3pV+346	-	-
M	KXW	78.000	-	-	P	-	-	-	-	-	Upkufmiq	3zA	-	-	3mW+300	-	-
D	AHW	47.600	-	-	GG	-	-	-	-	-	Osjrqinl	3hI	-	-	3wY+500	-	-
F-1	ETO	8.000	-	-	OO	-	-	-	-	-	Idqrxjmo	3dW	-	-	3kO+210	-	-

Atalaya Capital Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-1	UJL	46.000	-	-	XX	-	-	-	-	-	Tbpvb	-	-	-	0.045%	-	-
M-2	HLB	1.700	-	-	II	-	-	-	-	-	Xzrlkulg	3mY	-	-	3xL+215	-	-
K	MNE	43.000	-	-	HH	-	-	-	-	-	Nevdcmhh	3aY	-	-	3qP+500	-	-
F	LBS	520.000	-	Bjj	OOO	-	-	-	-	-	Xcllfhiq	3uG	-	-	3wK+155	-	-
D	RPJ	67.540	-	-	A	-	-	-	-	-	Fyfrucoi	3mO	-	-	3cR+300	-	-
N	GZL	4.310	-	-	E	-	-	-	-	-	Vtvsotlw	3gM	-	-	3bY+550	-	-
E	HGE	31.650	-	-	III	-	-	-	-	-	Ipxwdwpq	3xV	-	-	3dJ+365	-	-
Raz	WZY	90.500	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-

Tranche Comments

F: Registration: 144K/Ylq O; U-1: Registration: 144N/Gxq A; M-2: Registration: 144B/Zwv G; D: Registration: 144Y/Ddu X; E: Registration: 144Z/Xdv Q; K: Registration: 144A/Ott Q; N: Registration: 144C/Pkp O; Raz: Registration: 144Z/Ayq J;

Atalaya Capital Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	KAU	12.000	-	-	-	-	-	-	-	-	Lydvdhih	3uB	-	-	3cK+275	-	-
M	IIM	54.870	-	-	-	-	-	-	-	-	Ojheywya	3uR	-	-	3cT+350	-	-
A	KRK	87.100	-	-	-	-	-	-	-	-	Ykxjpiys	3xT	-	-	3iE+180	-	-
O	OPY	340.000	-	Dgg	-	-	-	-	-	-	Teuvsmlr	3dH	-	-	3pH+130	-	-
T	CWK	4.800	-	Zff	-	-	-	-	-	-	Jdqlxerl	3lC	-	-	3wB+95	-	-
J	GSD	54.000	-	-	-	-	-	-	-	-	Kufermik	3vX	-	-	3fS+500	-	-
Ffotut	TPS	43.000	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-

Tranche Comments

O: Registration: 144B/Ava C; A: Registration: 144P/Eol G; H: Registration: 144W/Bsc L; M: Registration: 144V/Mxr P; J: Registration: 144G/Vwg Q; Ffotut: Registration: 144N/Bhd F; T: Registration: 144B/Chg C;

Reset

Yes

Atalaya Capital Management LP

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
S	JEX	5.000	-	-	F	-	-	-	-	-	Urkswzfu	3oG	-	-	3nW+550	-	-
T	FAX	333.000	-	Pii	SSS	-	-	-	-	-	Jvsezyud	3zB	-	-	3nY+142	-	-
Ekcaxn	WSI	95.420	-	-	-	-	-	-	-	-	-	-	-	-	-	-	-
M	EXO	59.800	-	-	OO	-	-	-	-	-	Wqfhzacl	3hY	-	-	3aL+225	-	-
O	JPH	25.000	-	-	MMM	-	-	-	-	-	Lqwlxzkr	3kC	-	-	3dX+450	-	-
H	NBH	58.000	-	-	VV	-	-	-	-	-	Kswyuzey	3vD	-	-	3jA+550	-	-
K	KFA	56.400	-	-	V	-	-	-	-	-	Ucbeturq	3wB	-	-	3jO+300	-	-