#1ATALAYA Atalaya Asset Income Fund V RHODE STATE OF I HOPE ISLAND atalayacap.com Presentation to Rhode Island State Investment Commission January 2021#2Important Disclaimers The enclosed materials are being provided by Atalaya Capital Management LP ("Atalaya") for informational purposes only and do not constitute an offer to sell or a solicitation of an offer to purchase an interest in any current or future fund, investment vehicle or account managed or advised by Atalaya (each a "Fund," collectively, the "Funds."). Any such offer or solicitation shall be made only pursuant to the confidential private placement memorandum or other applicable offering materials of such Fund (collectively, the "Memorandum"), which describes risks related to an investment therein and various other important matters. The Memorandum, including, without limitation, the risk factors and potential conflicts of interest described therein, should be read carefully and in its entirety prior to investment. Information contained herein is not intended to be complete or final, should not form the primary basis for an investment decision, and is qualified in its entirety by the Memorandum and the governing documents of each Fund. Each prospective investor should consult its own advisors as to legal, tax, and related matters concerning an investment in interests in the Funds. No offer to purchase interests in the Funds will be made or accepted prior to the receipt by the recipient of the Memorandum and the relevant subscription documents, which must be completed in their entirety. ATALAYA Any person subscribing for an investment in the Funds must be able to bear the risks involved and must meet each Fund's suitability requirements. An investment in a Fund may not be suitable for all investors. An investment in a Fund will be suitable only for certain financially sophisticated investors who meet certain eligibility requirements, have no need for immediate liquidity in their investment, and can bear the risk of an investment in a Fund for an extended period of time. Investors that are U.S. persons must be accredited investors and qualified purchasers (as defined by U.S. securities laws). The data presented herein includes historical and/or projected figures or calculations and is sourced either by a third party or by Atalaya. Reasonable efforts were made to attribute third party sourced data to its source. Data sourced or calculated by Atalaya was done so in good faith and in a commercially reasonable manner. To the extent data or related information is historical, it may also be audited. Atalaya shall not be responsible for data presentation or calculation errors that were made in good faith, including errors in transmission from other sources where such data may be in original or more complete form. Data produced by Atalaya, including any underwritten and projected performance metrics, should not be relied upon for any purpose whatsoever, other than that they are believed to be reasonable as of the date presented. No assurance can be given that a Fund will meet its investment objectives or avoid losses (which may be substantial). The Funds are speculative and involve varying degrees of risk, including substantial degrees of risk in some cases. Interests in a Fund and all Fund investments will be illiquid and their value will be volatile and could suffer from adverse or unexpected market moves, or other adverse events involving transaction counterparties and/or underlying collateral. Past results of Atalaya as the investment manager of the Funds are not necessarily indicative of future performance of the Funds and each Fund's performance may be volatile. Nothing herein is intended to imply that the investment methodology may be considered "conservative," "safe," "risk free" or "risk averse." Further, no assurance is given that any specific or indicated returns, performance or results (including "target returns") will be achieved, or that targeted investment return projections are, in any way, a guarantee of future performance. Any targeted investment returns are based upon assumptions regarding future events and conditions which may not prove to be accurate or complete. There is generally no secondary market for investors' interests in a Fund and none is expected to develop. There are restrictions on transferring interests in a Fund. Each Fund's fees and expenses may be significant and may offset that Fund's trading and investment profits. The enclosed materials are believed to be accurate as of the date of distribution. No representation or warranty is made as to its continued accuracy after such date. None of the Funds will be registered as an investment company under the U.S. Investment Company Act of 1940, as amended (the "Company Act") in reliance upon the exemption under Section 3(c)(7) and accordingly, the Funds will not be subject to the same regulatory requirements as a "mutual fund". The Memorandum will not be reviewed, approved, or recommended by any U.S. federal or state securities, futures or other commission or regulatory authority, or any commission or authority in any other country or jurisdiction. This presentation is provided on a confidential basis solely for the information of those persons to whom it is delivered unless otherwise required by applicable law or regulation. This presentation is not to be reproduced in whole or in part or used for any other purpose. By accepting this presentation, the recipient (which shall include its directors, partners, officers, employees and professional representatives) acknowledges that it will keep it strictly confidential and use the presentation only for information and discussion purposes related to Atalaya and not for any other purpose. Notwithstanding anything to the contrary herein, each recipient of this presentation (and each employee or professional representative of such recipient) may disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of (i) any Fund and (ii) any of their investment transactions, and all materials of any kind (including opinions or other tax analyses) relating to such tax treatment and tax structure. The distribution of the enclosed materials in certain jurisdictions may be restricted and, accordingly, it is the responsibility of any prospective investor to satisfy itself as to compliance with relevant laws and regulations. Certain information contained in this presentation constitutes "forward-looking statements" which can be identified by the use of forward-looking terminology such as "may," "will," "should," "expect," "anticipate," "target," "project," "estimate," "intend," "continue" or "believe" or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties, actual events or results or the actual performance of a Fund may differ materially from those indicated, reflected or contemplated in such forward-looking statements. Estimations or projections made by Atalaya should not be relied upon by prospective investors for any purpose whatsoever other than that they are believed to be reasonable as of the date referenced. Atalaya Capital Management LP. All Rights Reserved. As used herein, the term "Atalaya" refers to Atalaya Capital Management LP, together with its subsidiaries and affiliated companies. Each affiliate and subsidiary of Atalaya is separately organized and none of these companies are responsible for the obligations of the others. A PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 2#3ATALAYA Table of Contents Page 4 Page 5 Page 9 Page 15 Page 20 Page 22 Page 24 Page 26 Page 30 AIF V Strategy Highlights Firm Overview Investment Strategy Portfolio Benefits Case Study Atalaya Specialty Finance Edge Track Record Investment Process & Risk Management AIF V Summary of Key Terms#4Asset Income Fund V ("AIF V") Strategy Highlights AIF V is a specialty finance-oriented, private credit fund focused on generating current yield and is a continuation of the general strategy employed by prior vintages of the AIF strategy. Strategy Overview Market Opportunity Atalaya Edge ▪ AIF V predominantly originates senior secured loans to specialty finance companies and makes opportunistic purchases of performing whole loans ▪ Focus on pre-securitization financial assets with attractive credit characteristics such as relatively rapid self-amortization, structural protections, and back-up servicing ▪ Sizeable (>$1.5 trillion¹) and growing opportunity set driven by continued bank retrenchment and expansion of non-bank lenders, with few market competitors ▪ Favorable return and competitive dynamics relative to corporate direct lending ■ ATALAYA ▪ -75% of capital across all of the AIF Funds is invested in deals sourced through repeat relationships3 ■ Atalaya's team has significant experience investing in specialty finance assets, having invested more than $3 billion across 125 AIF investments with an aggregate gross IRR2 of -13% and an aggregate net IRR of ~9%, with ~13 bps of realized and projected gross capital losses Atalaya believes that AIF V is well-positioned to capitalize on exclusive upsize or follow-on rights with existing AIF borrowers There can be no guarantee or assurance (i) that the market opportunity identified herein will come to fruition, or ultimately be attractive, or (ii) that Atalaya's perceived edge will ultimately lead to investments that will be profitable and avoid losses (which may be substantial). 1. Federal Reserve Economic Data (September 2019), excluding mortgage; Consumer Financial Protection Bureau (Estimated Market Share of Financing Products Available to Small Businesses, May 2017); there can be no guarantee or assurance that this is the actual size of the relevant or appropriate opportunity set for the AIF Fund strategy. 2. Investors should note that the aggregate returns shown above are calculated on an aggregated, blended basis, across multiple commingled Atalaya Funds (AIF I, II, III, IV, and V including the onshore and offshore parallel funds, as applicable). Such returns do not correspond to the returns of any specific commingled Atalaya Fund. As of 9/30/2020, the aggregate, blended gross and net fund level returns for the Atalaya Funds shown above (AIF I-AIF V) are 13.1% IRR and 9.2% IRR, respectively. Investors should be aware that the AIF strategy has not necessarily been implemented in the same manner for each AIF Fund and past performance is neither indicative nor a guarantee of future performance. Investors should note that fees and expenses will reduce gross returns and net returns will be lower than gross returns. Investors are strongly encouraged to analyze and consider the fee structures and the expense provisions of the Atalaya Funds and to refer to Atalaya's complete performance track record (including the Atalaya Funds and other investment vehicles not shown herein). Finally, the aggregated, blended returns shown above contain both a realized and a projected component. There can be no guarantee or assurance that any projected returns will be achieved, that the assumptions underlying the applicable projections will be accurate or correct, or that any Atalaya Fund will be profitable or avoid losses (which may be substantial). 3. As of 12/31/19. Repeat relationships include both borrowers and operating partners which have transacted with any AIF Fund. Repeat relationships will not necessarily lead to better (or positive) investment returns. PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 4#5ATALAYA Firm Overview#6Atalaya Overview ▪ Founded by Ivan Zinn in 2006 and currently manages approximately $5.5 billion ¹ Significant sourcing advantage through well-developed, long-standing relationships with counterparties, servicers, and joint venture partners I Majority owned and controlled by Atalaya partners; passive minority stake owned by Dyal Capital Partners, a division of Neuberger Berman Group High-quality infrastructure and platform with over 60 employees, including 37 investment professionals Originates loans, acquires credit assets, and makes special situation investments across financial assets, real estate, and corporate Financial Assets Financial Assets ■ Consumer Loans and Leases. ABL and Equipment Finance ■ Small and Micro Business Finance ■ $ ■ Factoring Leasing ATALAYA PLATFORM Real Estate Bridge and Transitional Lending Single Family Residential Finance ■ Commercial Real Estate Loan Origination & Purchase Construction Lending ■ Real Estate ■ ■ PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 Corporate I ATALAYA ■ Corporate ■ Corporate Loan Origination Corporate Loan Purchase Commercial and Industrial ("C&I") Loan Purchase Structured Equity Investments 1. Regulatory AUM is shown as of 9/30/2020. Throughout this document, AUM is calculated as regulatory assets under management ("RAUM") in accordance with the applicable definitions set forth by the Securities and Exchange. Commission per Form ADV. Please note that RAUM is inclusive of uncalled capital commitments (for funds still within their investment periods) and is gross of leverage. 6#7Atalaya History Atalaya has 14+ years of history successfully raising and deploying capital in credit and related strategies. Firm Milestones Atalaya founded by Ivan Zinn Atalaya registered with the SEC¹ Dyal Capital Partners (a division of Neuberger Berman Group) acquired a passive, non-voting, minority stake in Atalaya Atalaya acquired the assets of Telos Asset Management's CLO business (also founded in 2006) 2006 2012 2013 2017 2018 2019 2020 ATALAYA PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 Investment Strategy Milestones Launched Atalaya Special Opportunities Funds (currently investing via ASOF VII) Launched Atalaya Asset Income Funds (currently investing via AIF V) Launched Atalaya Equipment Leasing Funds (currently investing via AELF I) Launched Atalaya Commercial Real Estate Funds (currently investing via ACRE I) 1. From time to time in this and other documents, Atalaya may refer to itself as a "registered investment adviser" by virtue of its registration with the SEC. This title does not imply any level of training or skill, or any endorsement by (or on behalf of) the SEC or any state securities authority. 7#8Our Team As of January 1, 2021 Atalaya Investment Team Partners Ivan Zinn Founder & CIO David Aidi Ray Chan Matt Rothfleisch Josh Ufberg Asset Management Dermot Murphy Head of Asset Management 1 Principal 2 Associates 1 Analyst Atalaya's Management Committee Ivan Zinn | David Aidi | Ray Chan | Drew Phillips | Matt Rothfleisch | Josh Ufberg Atalaya Capital Telos 4 Investment Professionals 1 Business Management Managing Directors Justin Burns Young Kwon Rana Mitral Dan Rosato Sachin Sarnobat Matt Spiro Investment Team 5 Principals 2 Data Scientists 7 Associates 1 Analyst Atalaya Affiliates Atalaya Capital Leasing 2 Investment Professional Atalaya Investment Team (31) Atalaya Affiliates (7) Atalaya Business Management (24) PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 ATALAYA Atalaya Business Management Business Operations Drew Phillips Partner, COO & CCO Jerry Cammarata Chief Financial Officer Steven Segaloff Head of Legal 8 Accounting 4 Operations 2 Infrastructure & Technology 5 Facilities Investor Relations Rebecca Chia Vincent DiGiorgio Kara Margolis 8#9ATALAYA Investment Strategy#10Strategy Overview AIF Funds primarily originate senior credit facilities to specialty finance borrowers and also selectively purchase whole loans or participations from consumer or small business loan originators. ■ ■ ■ ■ Originate senior credit facilities to specialty finance borrowers in niche credit markets, which are not well served by traditional banks and capital markets Opportunistically buy relatively short duration performing loans or assets Focus on rediscount lending which offers structural protections Mitigate correlation to capital markets by investing in assets designed to self-amortize in all market conditions Structural Protection PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 Amortizati AIF STRATEGY ATALAYA No Fund Leverage Limited Correlation The attributes listed above are meant to be general and illustrative and there can be no guarantee or assurance that any or all of the AIF Funds' investments will contain such attributes, or that any such attributes will successfully mitigate risk or avoid losses. While portfolio or fund level leverage is not generally utilized, Atalaya may opportunistically use leverage at the individual deal or position level and has historically done so on a selective basis. 10#11What is Specialty Finance? ■ Specialty finance can be broadly defined as any financing activity that takes place outside the traditional banking system. Specialty finance firms have long filled a portion of the credit gap left by traditional banks ▪ The void created by continued bank retrenchment in the wake of the Great Financial Crisis (since 2008) has led to specialty finance companies growing at healthy rates and has created a significant ongoing need for debt capital to fund originations ■ Traditional Lending Model Depositors Traditional Banking System Higher Credit Consumers & Larger, Established Businesses Non-Bank/Specialty Finance Model Specialty Finance Lenders Underbanked Consumers & Small-to-Medium Earlier Stage Businesses PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 ATALAYA ATALAYA Prospective investors should note that there can be no guarantee or assurance that an attractive market opportunity exists in specialty finance, or that it will persist, or that Atalaya (via the AIF strategy) will be able to successfully capitalize on any such market opportunity. 11#12Consumer & Commercial Finance Market Opportunity Atalaya believes there is a meaningful opportunity in certain sub-sectors of the broader consumer and commercial finance landscapes. Consumer Lending: US Consumer Credit by Asset Type¹ Auto Loans $1,200 Student bans $1,640 Credit Cards $1,020 Other $270 Online Alternatives & Merchant Cash Advance $20 Other Business Receivables $100 Atalaya Focus > $1.5 Trillion Commercial Lending: US Small Business Debt by Asset Type² Equipment Leasing $180 Business Credit Cards $220 PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 Bank Loans & Lines $780 SBA Loans $100 Atalaya is focused on certain sub-sectors within consumer and commercial lending asset classes that make up >$1.5 trillion of the total addressable market. ATALAYA 1. Federal Reserve Economic Data (September 2019), excluding mortgage. 2. Consumer Financial Protection Bureau (Estimated Market Share of Financing Products Available to Small Businesses, May 2017); note that 2017 is the most recent available relevant data set and there can be no guarantee or assurance that these figures remain accurate. Prospective investors should note that there can be no guarantee or assurance that an attractive market opportunity exists in any of the asset classes or sub-sectors identified above, or that the size of any such market opportunity is not overstated, or that any such market opportunity will persist, or that Atalaya will be able to successfully capitalize on any such market opportunity. 12#13AIF IV Portfolio Composition The AIF IV portfolio is broadly diversified across a wide set of underlying consumer and commercial asset classes. Peak Capital by Investment Type Point-of-Sale Installment Financing 1% Peak Capital by Sector Residential Real Estate Consumer Secured Installment Loans 6% Factoring 3% 1% Small Business Lending 7% Merchant Cash Advance 12% Credit Card Receivables 8% Other 4% Point-of- Sale Lease Financing 8% Consumer Unsecured Installment Loans 38% Consumer Unsecured Revolving Line of Credit 12% Performing Asset Purchase. Credit Facilities 80% UK 10% Peak Capital by Geography Canada 6% ATALAYA US 84% The above charts reflect the AIF IV portfolio as of 9/30/2020. Peak Capital shows the historical maximum net capital outstanding through the date shown. Due to the recycling of capital for secondary transactions, Peak Capital may be less than Cumulative Invested Capital and represents the Fund's maximum historical exposure for a particular investment. Peak Capital for any investments denominated in a foreign currency (Non-U.S. dollar denominated assets) reflects the historical maximum U.S. dollar equivalent of amounts funded to the respective investment, converted at the applicable FX spot rate on the trade date of each funding. The portfolio composition changes over time and there can be no guarantee or assurance that the portfolio composition shown above remains accurate as of the date of this presentation, or that AIF V's portfolio composition will be the same as (or even similar to) the charts depicted above. Prospective investors should note that the visual depiction above does not imply that there are any specific limitations or restrictions (whether related to asset class, asset seniority, geography or otherwise) with respect to the permitted investment activity of AIF IV. Any such limitations or restrictions are set forth in the applicable organizational and other offering materials. PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 13#14Relative Yield on Credit Spectrum AIF's rediscount lending investments are expected to generate a significant pre-securitization return premium over ABS securities, and also versus corporate direct lending assets. 1 Atalaya's AIF Funds are designed to fill a void in the private credit landscape for pre- securitization ABS debt financing Atalaya expects to achieve greater private market premiums relative to public alternatives versus corporate direct lending vehicles AIF return premiums often range from 500-1000 bps above comparable asset yields in securitizations Indicative Annual Interest Rate (Atalaya Estimates) AIF 10-15% Asset- Backed Securities 3-5% Corporate Direct Lending 6-8% PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 Levered Loans 4-6% Indicative Credit Risk Spectrum ATALAYA Mezzanine 11-13% High Yield Bonds 5-7% *Atalaya estimates, which may or may not be accurate. Investors should note that fees and expenses will reduce gross returns and net returns will be lower than gross returns. Investors are strongly encouraged to analyze and consider the fee structures and the expense provisions of the AIF Funds. Targeted investment returns, or return objectives, are not a prediction or guarantee of future performance. There can be no guarantee or assurance that any AIF Funds will be profitable or will meet its investment objectives (including targeted returns) or that it will avoid losses. The graphic above is for illustrative purposes only and represents only Atalaya's approximations and observed ranges with respect to the typical returns generated by the security types, strategies or asset classes shown. There can be no guarantee or assurance that the above is an accurate or complete depiction, or that such security types, strategies or asset classes shown are truly comparable, or that any AIF Funds will be successful in generating a return premium on a relative basis, with respect to any other security type, strategy or asset class. 14#15ATALAYA Portfolio Benefits#16Structuring Investments: Rediscount Lending Atalaya generally structures rediscount facilities to offer a meaningful margin of safety as a result of first- loss junior capital provided by the underlying credit originator. $100 Small Business Real Estate Collateral Small Business Real Estate Value $30 Small Business Equity Finance Company Advances $70 of Collateral Value Finance Company Loan Finance Company Equity ($11) PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 Atalaya Loan $59 of Collateral Value ATALAYA Atalaya Rediscount Loan The above is representative of an existing AIF Fund transaction but is depicted here for illustrative purposes only. Actual transactions in AIF V or other Atalaya managed Funds may not be structured in this manner with respect to percentage of first-loss junior capital or otherwise. There can be no guarantee or assurance that rediscount lending transactions with first-loss junior capital will be less risky or perform as underwritten. 16#17Specialty Finance Amortization Reduces Risk Specialty finance transactions generally benefit from meaningful periodic amortization, which is expected to reduce the risk profile of the investment over time. Year 1 Specialty Finance Cash Flows Year 2 Self-Amortizing Year 3 Year 4 Year 5 Interest ■ Principal Substantially self-amortizing due to profile of underlying assets; reduced exit risk Year 1 Corporate Loan Cash Flows Bullet Maturity PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 Year 2 Year 3 Year 4 Principal Reliant on capital markets exit, refinancing, or sale Interest Self-amortization generally reduces refinancing risk and limits broader market correlation. ATALAYA Year 5 Depictions of corporate loan and specialty finance investments shown above are general and illustrative only, and are not indicative of the characteristics of all investments in these asset classes, which may vary substantially. There can be no guarantee or assurance that investments with self-amortizing features will be less risky or perform as underwritten. 17#18Structural Protections in Specialty Finance: Cash Controls & Monitoring Atalaya generally employs structural protections designed to mitigate downside risk in specialty finance investments. 8 © Atalaya Cash Controls Cash Flows from Assets Segregation of financed assets from "operating business" via bankruptcy remote SPV borrower structures Atalaya Lock Box Control of cash in collection/ collateral accounts via lockboxes and DACAS (deposit account control agreements) Borrower Operating Account Atalaya monitors (and takes security interest in and springing control over) borrower operating account Investment Monitoring Third party asset verification & collateral custodian services Back-up servicers PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 ATALAYA Atalaya Investment Typically monthly financial and asset performance covenant tracking Periodic field exams Characteristics are general and indicative only, and there can be no guarantee or assurance that Atalaya investments in specialty finance will contain any or all such characteristics. There can be no guarantee or assurance that investment monitoring practices and/or structural protections will achieve their objectives (as described above), or that they will cause investments to be less risky or perform as underwritten. 18#19Specialty Finance: Underwriting & Asset Management Atalaya specialty finance investments typically incorporate monthly monitoring of financial covenant protections, which are established as an integral component of the underwriting process and are designed to mitigate downside risk. Analysis of historic data pools contributes to underwriting process and monitoring of specialty finance investments (% of Original Loan Balance) Cumulative Charge-Offs 40% 35% 30% 25% 20% 15% 10% 5% 0% 0 2 Underwritten Base Case Historic performance analysis helps Atalaya establish appropriate covenants set at "early warning" levels -Atalaya Breakeven - Covenant Trigger Level 4 6 8 10 Atalaya tracks cash flows monthly and typically reconciles with back up servicer Monthly Covenant Tracking Example 12 14 16 18 20 22 Tranche Age (month since inception) 24 PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 26 Atalaya generally has the contractual ability to cease fundings if applicable covenant levels are breached 28 30 ATALAYA 32 34 36 Historic Vintages Characteristics are general and indicative only, and there can be no guarantee or assurance that Atalaya investments in specialty finance will contain any or all such characteristics. There can be no guarantee or assurance that underwriting, asset management practices and/or structural protections will achieve their objectives (as described above), or that they will cause investments to be less risky or perform as underwritten. 19#20ATALAYA Case Study The case studies set forth in this section are for illustrative and discussion purposes only, have been selected at Atalaya's sole discretion, and are intended to serve as a non-exhaustive set of examples of the types of investments that might be made by AIF Funds. There can be no guarantee or assurance that the investments described in such case studies will be profitable or will avoid losses, or that Atalaya (via the AIF strategy) will be able to source and execute investments with the same (or even similar) characteristics in the future. Past performance is neither indicative nor a guarantee of future performance. Prospective investors are encouraged to request additional details with respect to any of the AIF Fund strategy's portfolio investments.#21Case Study: Consumer Installment Loans Senior secured revolving credit facility to a Canadian consumer finance company that originates consumer installment loans at point of sale Asset Class Initial Investment Date Size Investment Type Highlights Atalaya Edge Gross IRR Financial Assets: Consumer Installment Loan Rediscount Facility Status January 2017 (subsequently upsized five times) CAD 250 million Senior Secured Rediscount Loan ■ Demonstrated ability to scale without sacrificing asset performance Financial sponsor who has demonstrated ability and desire to fund platform growth ■ ✓ Atalaya was able to secure an off-market transaction via a ROFR provision in the initial deal ✓ Significant experience in point-of-sale installment lending Projected -13% Gross IRR¹ Cumulative Charge-Offs (% of Original Loan Balance) 40% 30% 20% 10% 0% 0 18% PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 Eligible UPB by Retail Segment 10% 29% 43% Principal Impairment Return Impairment ACM Covenant Cumulative Charge-Offs vs. UW Base Case Underwriting Wtd. Avg. Actual To-Date 6 ■Power Sports ■Auto Unrealized; Performing in line with underwriting 1. Atalaya issued an A-note as part of this investment which is reflected in the Projected Gross IRR. Further to the disclosures made on the "Selected Case Studies section divider page of this presentation, any underwritten Gross IRR and Gross MOIC reflected above (i) represent Atalaya's projections at the time of underwriting, (ii) do not necessarily represent Atalaya's current projections or expectations, and (iii) are gross of all management and incentive fees and fund/transaction expenses. Investors should note that the effect of applicable fees and expenses will be to reduce the returns shown above. Any underwritten or projected returns reflected above are also not a guarantee of future performance, as they are based upon assumptions (which may have been incomplete or incorrect at the time, or which may no longer be valid) regarding future events, circumstances, and conditions. 12 18 Months Since Origination Retail & Food Home Improvement ATALAYA 24 30 +-3.5x Actual Losses +~4.6x Actual Losses 36 21#22ATALAYA Atalaya Specialty Finance Edge#23Repeatable & Scalable Relationships I Atalaya believes our prominent market position and focus on building long-term partnerships has led to increased capital deployment in Specialty Finance across the Atalaya platform. ATALAYA AIF V is expected to meaningfully benefit from prior AIF Funds' sourcing networks and investing experience, as well as from the optionality to scale successful, existing borrower relationships. ■ Most credit investments suffer from adverse selection - the best borrowers pay off and the underperformers linger, possibly even requiring more capital Well-structured AIF investments in financial assets often present the ability to scale up performers as they grow, as Atalaya's conviction increases over time. This strategy "lets our winners run" We expect AIF V will benefit from meaningful contractual rights to increase financing to current Atalaya borrowers as existing investments are upsized or mature. PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 23#24ATALAYA Track Record#25Track Record: AIF Funds AIF Funds have a successful track record for capital deployment, investment resolution, and distributions. As of 9/30/2020; Dollars in millions; Shaded rows indicate fully realized Funds Fund AIF I AIF II AIF III AIF IV AIF V Vintage Committed Drawn Invested Number of Number Year Capital Capital Capital Investments of Exits 2012 2014 2016 2017 2020 $129 $250 $525 $900 $8093 $122 $294 $448 $157 $100 $422 $658 $1,078 $1,630 $105 14 36 25 41 9 14 31 15 5 0 % of Drawn Projected Projected Projected Projected Capital Gross Gross IRR ¹ Net Net Distributed MOIC1 IRR² MOIC² 113% PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 114% 97% 51% 0% 12.0% 13.8% 12.5% 12.8% 16.3% 1.1x 1.2x 1.2x ATALAYA 1.2x 1.2x 8.4% 9.7% 8.7% 9.1% 12.6% 1.1x 1.2x 1.2x 1.2x 1.2x 1. Gross IRR and Gross MOIC metrics above do not reflect the effects of management fees, carried interest, or fund level expenses, but are net of investment level expenses. If all fees and expenses were included, the overall return to investors. (net of applicable fees and expenses) would be lower. With respect to IRR and MOIC metrics, such IRRs and MOICs are rounded up to the nearest tenth from 2.05 and down to the nearest tenth from <.05. Current Gross IRR and Current Gross MOIC metrics are based on actual fund level cash flows, excluding any employees or GP related co-investments, through the date referenced. 2. Net IRR and Net MOIC metrics above reflect the effects of all fees and expenses including management fees, carried interest, and fund level and investment level expenses. With respect to IRR and MOIC metrics, such IRRS and MOICs are rounded up to the nearest tenth from 2.05 and down to the nearest tenth from <.05. Current Net IRR and Current Net MOIC metrics are based on actual fund level cash flows, excluding any employees or GP related co-investments, through the date referenced. 3. Capital Committed to AIF V is as of 12/31/2020. The figures shown above represent blended results for the onshore and offshore funds, as applicable, that generally invest in parallel. Projections are not guarantees of future performance and are based on assumptions that may not be correct or complete. IRR and MOIC metrics include limited partner capital accounts only and excludes the general partner and related persons. Past performance is neither indicative nor a guarantee of future performance. Investors are encouraged to request full AIF strategy performance and portfolio summary information for all applicable AIF funds. 25#26ATALAYA Investment Process & Risk Management#27Atalaya Investment Process Our systematic, bottom-up investment process is critical to identifying and substantiating key aspects of each opportunity in the pipeline and making sound investment decisions. ■ ■ Identify sectors with potentially mispriced assets: ■ ■ Market Analysis I Analyze: ■ Suffer from dislocation or lack of capital Possess structural inefficiencies Below radar of mainstream investors Economic trends Underwriting stringency Economic proposition Quantifiable historical performance Liquidity of underlying asset Establish meaningful process or industry/asset class knowledge ■ ■ Sourcing & Origination Develop strategies to generate deal flow in less competitive situations Channels include: ■ Industry networking Broker/dealer relationships Conferences Proprietary Database Brokers, bankers, other intermediaries Targeted cold calling Explore potential transactions and structures to identify attractive fit and risk/return dynamic ■ ■ Underwriting & Due Diligence Valuation Analytics/static pool analysis Management calls and meetings Engage third party experts for valuation/ due diligence/other advisory services Background checks and reference calls Identify realistic base case, and range of potential positive and negative outcomes Quantify, price risk and return Negotiate, issue and execute Term Sheet PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 ■ Investment Committee Draft and circulate Initial Assessment Memo ■ Draft and circulate Investment Memo Investment Committee review Assess portfolio composition, fit and sizing consideration: ■ Concentration by servicer/partner, obligor, asset class Asset liquidity and duration Other asset/ liability issues Investment Committee, Legal, Finance, and Compliance Approval ATALAYA Structuring & Execution Transaction- Appropriate Legal Documentation Finance/Operations Perfect security of collateral interest Meaningful financial covenants ■ Terms consistent with business expectations Identify backup servicer and custodian There can be no guarantee or assurance that Atalaya's underwriting and asset management process will be uniform for each investment or will correspond to the description set forth above, or that it will result in investments that are profitable or will avoid losses (which may be substantial). 27#28Underwriting & Asset Management Atalaya's underwriting and asset management process involves an end-to-end approach, from initial underwriting to ongoing asset management to exit, focused on identifying, monitoring and mitigating individual investment and portfolio-wide risks. Credit Analysis & Due Diligence Participate in the underwriting process to assist in surfacing potential investment and counterparty risks Engage in related due diligence activities to quantify and evaluate surfaced risks ▪ Assist in the establishment of appropriate covenant packages (or other deal terms) to mitigate surfaced risks ▪ Work with back-office to ensure accurate and complete books and records (and funding protocol) Credit Administration & Reporting Manage day-to-day administration of investment: collateral adequacy to process funding requests; confirm receipt of expected repayments, etc. ▪ Ensure receipt of, and review, periodic investment reporting ■ ▪ Produce internal pipeline and monthly portfolio reporting ▪ Ensure that all required investment filings are duly made PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 Credit Monitoring & Harvesting I I ATALAYA ■ Maintain up-to-date valuation models and cash flow forecasts Manage periodic field exams or similar post-execution due diligence Analyze trends in collateral performance, asset fundamentals, and harvesting/workout strategies Coordinate the development and execution of harvesting/ workout strategies Identify and evaluate potential exit strategies to monetize embedded gains There can be no guarantee or assurance that Atalaya's underwriting and asset management process will be uniform for each investment or will correspond to the description set forth above, or that it will result in investments that are profitable or will avoid losses (which may be substantial). 28#29Risk Management Atalaya actively monitors and manages enterprise risk with a process-oriented Risk Management Committee. Risk Committee ▪ The Committee consists of the Firm's Chief Operating Officer, Chief Financial Officer, Head of Legal, Head of Asset Management, and one other investment professional Partner (other than the Chief Investment Officer) ▪ The Committee meets regularly (and on an ad hoc basis, as necessary) to discuss certain transactions, portfolio trends and concentrations, and potential impact to the overall portfolio ▪ The Committee also reviews various Firm risks at the enterprise level, with a particular focus on operations, regulatory, compliance, reputational and broader market risk ▪ The Committee implements initiatives or enacts or revises policies to mitigate risk (e.g. insurance policies, information security and cybersecurity initiatives and business continuity planning) IMPACT High PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 Medium Low Low Medium ATALAYA PROBABILITY High There can be no guarantee or assurance that Atalaya's underwriting and asset management process will be uniform for each investment or will correspond to the description set forth above, or that it will result in investments that are profitable or will avoid losses (which may be substantial). 29#30ATALAYA Summary of Key Terms Atalaya Asset Income Fund V#31Summary of Key Terms: AIF V Investment Advisor Funds Fund Size GP Commitment Management Fee Incentive Fee Fund Term Cash Distributions Atalaya Capital Management LP Atalaya Asset Income Fund V LP Atalaya Asset Income Fund (Cayman) V LP $900 million Target / $1 billion Hard Cap 2% of committed capital 1.5% on invested capital ATALAYA Series A: 17% over a 5% preferred return / Series B: 15% over a 5% preferred return 24-month Investment Period 36-month Harvest Period with optional 12-month extension at GP discretion Interest distributed quarterly during the Investment Period 100% of the realized gains and principal generally paid following Investment Period PRESENTATION TO RHODE ISLAND STATE INVESTMENT COMMISSION | JANUARY 2021 31