Segovia European CLO DAC (FKA Halcyon Loan Advisors European Funding DAC) (SEGV) 1-2014(R)

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
AEUR2,248.000-AaaAAA---Floating3mEu-1043mEu+104-100.00000
BEUR40.000-Aa2AA---Floating3mEu-1853mEu+185-100.00000
CEUR24.000-A2A---Floating3mEu-2503mEu+250-100.00000
DEUR28.000-Baa3BBB---Floating3mEu-3503mEu+350-100.00000
EEUR21.200-Ba3BB----Floating3mEu-6453mEu+624-98.50000
FEUR11.400-B3B----Floating3mEu-9503mEu+905-97.00000
Add SubEUR7.700-NRNR---------Retained
SubEUR31.000-NRNR---------Retained
Tranche Comments
A: First Pay: 2022-01-15; Redemption: 2023-08-18; B: First Pay: 2022-01-15; Redemption: 2023-08-18; C: First Pay: 2022-01-15; Redemption: 2023-08-18; D: First Pay: 2022-01-15; Redemption: 2023-08-18; E: First Pay: 2022-01-15; Redemption: 2023-08-18; F: First Pay: 2022-01-15; Redemption: 2023-08-18; Add Sub: First Pay: 2022-01-15; Redemption: 2023-08-18; Sub: First Pay: 2022-01-15; Redemption: 2023-08-18;
Deal Comments
Reset. Non-Call Period: 2.00.
Risk Retention
Collateral manager intends to comply with EU risk retention by holding a vertical slice as manager-originator.
Reinvestment Period (YRS)
5
Reinvestment Period End Date
Apr 15, 2026
Reset
Yes
WAL Test Period (YRS)
8
WAL Test Period End Date
Apr 15, 2030