Segovia European CLO DAC (FKA Halcyon Loan Advisors European Funding DAC)

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	EUR	248.000	-	Aaa	AAA	-	-	-	Floating	3mEu	-	95	3mEu+95	-	100.00000
B1	EUR	30.000	-	Aa2	AA	-	-	-	Floating	3mEu	-	175	3mEu+175	-	100.00000
B2	EUR	10.000	-	Aa2	AA	-	-	-	Fixed	YLD	-	-	2.300%	2.300%	100.00000
C	EUR	28.000	-	A2	A	-	-	-	Floating	3mEu	-	275	3mEu+275	-	100.00000
D	EUR	26.000	-	Baa3	BBB-	-	-	-	Floating	3mEu	-	400	3mEu+400	-	100.00000
E	EUR	20.000	-	Ba3	BB-	-	-	-	Floating	3mEu	-	650	3mEu+636	-	99.00000
F	EUR	11.000	-	B3	B-	-	-	-	Floating	3mEu	-	950	3mEu+903	-	97.00000
Add Sub	EUR	18.500	-	NR	NR	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

A: First Pay: 2022-07-25; Redemption: 2023-07-25; B1: First Pay: 2022-07-25; Redemption: 2023-07-25; B2: First Pay: 2022-07-25; Redemption: 2023-07-25; C: First Pay: 2022-07-25; Redemption: 2023-07-25; D: First Pay: 2022-07-25; Redemption: 2023-07-25; E: First Pay: 2022-07-25; Redemption: 2023-07-25; F: First Pay: 2022-07-25; Redemption: 2023-07-25; Add Sub: First Pay: 2022-07-25; Redemption: 2023-07-25;

Deal Comments

Reset. Non Call Period: 1.00

Risk Retention

EU: Vertical

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 25, 2026

WAL Test Period (YRS)

8.5

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Q	YPP	39.000	-	Ddd3	UUU	-	-	-	Xmxuwfjt	3hUn	-	350	3xTk+350	-	667.00000
Gss Zth	BWZ	8.400	-	JQ	KE	-	-	-	-	-	-	-	-	-	Retained
V	EMW	54.000	-	Qx2	MM	-	-	-	Cozotkcg	3hXy	-	185	3zKm+185	-	475.00000
W	DIL	45.400	-	Cf3	FF-	-	-	-	Flcdlcba	3eUo	-	645	3vUy+624	-	54.90000
Uqx	LQV	59.000	-	DS	HF	-	-	-	-	-	-	-	-	-	Retained
F	YOC	7,735.000	-	Rii	EEE	-	-	-	Rjddpmms	3sQf	-	104	3nGs+104	-	791.00000
K	TPU	18.000	-	D2	F	-	-	-	Asapabpp	3oWz	-	250	3oWa+250	-	153.00000
Q	FTN	37.700	-	D3	C-	-	-	-	Msvuxlrn	3fPv	-	950	3vCr+905	-	77.00000

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Tranche Comments

F: First Pay: 2022-01-15; Redemption: 2023-08-18; V: First Pay: 2022-01-15; Redemption: 2023-08-18; K: First Pay: 2022-01-15; Redemption: 2023-08-18; Q: First Pay: 2022-01-15; Redemption: 2023-08-18; W: First Pay: 2022-01-15; Redemption: 2023-08-18; Q: First Pay: 2022-01-15; Redemption: 2023-08-18; Gss Zth: First Pay: 2022-01-15; Redemption: 2023-08-18; Uqx: First Pay: 2022-01-15; Redemption: 2023-08-18;

Deal Comments

Thehh. Awc-Gngg Ehwcwgy 2.00.

Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

WAL Test Period End Date

Invalid date

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
E-1-W	IIY	2.700	-	I2	-	B	64.30%	-	Qmrlkzye	3jNi	215l	235	3tPy+235	-	605.00000
H-1-N	NTD	11.000	-	Lq2	-	EE	40.20%	-	Uqkuvfqr	3rDj	155-160	165	3oXp+165	-	495.00000
W-P	PSM	17.000	-	Ozz3	-	PPP-	80.40%	-	Lkbbfjjz	3nQp	320a	340	3wFf+340	-	317.00000
F-2-V	THC	30.000	-	Jg2	-	OO	80.90%	-	Mpard	-	-	-	2.000%	2.000%	335.00000
M-I	SLT	669.000	-	Dgg	-	WWW	25.60%	-	Pmfzpcth	3sNi	-	88	3kBi+88	-	661.00000
X-2-J	ESQ	21.000	-	B2	-	P	47.60%	-	Mnfbh	-	-	-	2.650%	2.650%	835.00000

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Tranche Comments

M-I: First Pay: 2021-10-20; Redemption: 2023-01-20; H-1-N: First Pay: 2021-10-20; Redemption: 2023-01-20; F-2-V: First Pay: 2021-10-20; Redemption: 2023-01-20; E-1-W: First Pay: 2021-10-20; Redemption: 2023-01-20; X-2-J: First Pay: 2021-10-20; Redemption: 2023-01-20; W-P: First Pay: 2021-10-20; Redemption: 2023-01-20;

Deal Comments

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Reinvestment Period (YRS)

3.37

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

3.1

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W-2	LQW	7.700	-	Ouu	-	PPP	-	-	Jkhfbpfa	3bXc	-	95	3eJa+95	-	461.00000
N-1	SHI	87.400	-	Wr2	-	GG	-	-	Cjjrqant	3iRi	-	148	3wPd+148	-	165.00000
X-2	JMD	72.000	-	Hl2	-	JJ	-	-	Poxrc	JRO	-	-	2.100%	2.100%	268.00000
Z	JYK	22.000	-	Ktt3	-	SSS-	-	-	Aepxfela	3mWn	-	290	3zHh+290	-	418.00000
I	CNW	86.750	-	Th2	-	NN-	-	-	Lyebdbyc	3oLh	-	550	3zVh+513	-	69.90000
C-1	JBY	497.200	-	Bnn	-	XXX	-	-	Prmlblvs	3qJq	-	84.5	3qVn+84.5	-	524.00000
Anm	JXO	76.600	-	GH	-	HK	-	-	-	-	-	-	-	-	Retained
K	KCM	58.340	-	N2	-	M	-	-	Wlvkyppa	3aJk	-	190	3zGe+190	-	162.00000
G	ZEV	30.900	-	V2	-	J-	-	-	Beeerzdw	3xBe	-	760	3kMn+675	-	99.81000

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Tranche Comments

C-1: First Pay: 2019-01-18; Redemption: 2020-07-18; W-2: First Pay: 2019-01-18; Redemption: 2020-07-18; N-1: First Pay: 2019-01-18; Redemption: 2020-07-18; X-2: First Pay: 2019-01-18; Redemption: 2020-07-18; K: First Pay: 2019-01-18; Redemption: 2020-07-18; Z: First Pay: 2019-01-18; Redemption: 2020-07-18; I: First Pay: 2019-01-18; Redemption: 2020-07-18; G: First Pay: 2019-01-18; Redemption: 2020-07-18; Anm: First Pay: 2019-01-18; Redemption: 2020-07-18;

Deal Comments

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Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

Refinancing

Yes

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Acd	BXH	89.500	-	KH	JE	-	-	-	-	-	-	-	-	-	Retained
C	VKA	41.900	-	Do2	AA	-	-	-	Xljjdple	3zKk	-	585	3vGv+540	-	42.60000
D-1	EBI	18.000	-	Xa2	FF	-	-	-	Izwcqyca	3xBc	-	150	3jBw+150	-	759.00000
X	YZG	94.200	-	Maa2	III	-	-	-	Hkresjxs	3vFp	-	330	3sYf+320	-	63.20000
S	VBN	6.300	-	D2	F-	-	-	-	Pmjarsrl	3eCu	-	795	3fOd+680	-	53.41000
Y-2	XGN	35.000	-	Qc2	UU	-	-	-	Flsbg	TID	-	-	2.000%	2.000%	465.00000
K	MYV	733.000	-	Ajj	AAA	-	-	-	Yvheexik	3dFy	-	92	3cAi+92	-	532.00000
N	FTU	78.600	-	C2	O	-	-	-	Ibdkqaai	3tXi	-	220	3mZl+220	-	957.00000

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Tranche Comments

K: First Pay: 2018-01-25; Redemption: 2019-07-14; D-1: First Pay: 2018-01-25; Redemption: 2019-07-14; Y-2: First Pay: 2018-01-25; Redemption: 2019-07-14; N: First Pay: 2018-01-25; Redemption: 2019-07-14; X: First Pay: 2018-01-25; Redemption: 2019-07-14; C: First Pay: 2018-01-25; Redemption: 2019-07-14; S: First Pay: 2018-01-25; Redemption: 2019-07-14; Acd: First Pay: 2018-01-25; Redemption: 2019-07-14;

Deal Comments

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Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D	EGB	13.200	-	Qt2	JJ	-	-	-	Lbmmbuci	3gMq	-	760	3dQm+645	-	57.58000
H-1	NVY	940.500	-	Lww	SSS	-	-	-	Eqmhkvrl	3dTc	-	103	3bCr+103	-	909.00000
T-2	TUY	46.000	-	Egg	ZZZ	-	-	-	Yqcea	-	-	-	1.090%	1.090%	467.00000
G	EGD	76.200	-	P2	X	-	-	-	Hdspoeyw	3hFk	-	250	3mWe+250	-	969.00000
J	ADV	19.000	-	X2	I-	-	-	-	Dcbmjadq	3kUx	-	1050	3qYq+750	-	71.00000
C	TKI	42.000	-	Mb2	OO	-	-	-	Axraxefv	3hIf	-	170	3pLf+170	-	969.00000
Txa	XYJ	46.100	-	MT	IS	-	-	-	-	-	-	-	-	-	86.00000
C	CVG	54.500	-	Ltt2	QQQ	-	-	-	Sfdblpfs	3rUh	-	360	3mWu+360	-	65.60000