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
A	ETR	30.000	-	Fyy3	PPP	-	-	-	Mxoaujbg	3sLw	-	350	3eXc+350	-	709.00000
X	YTY	90.400	-	T3	R-	-	-	-	Gpoesbls	3qAv	-	950	3iIa+905	-	38.00000
V	AEW	53.000	-	Sh2	EE	-	-	-	Njeyoccx	3fSy	-	185	3rPk+185	-	631.00000
Mnn	EXE	12.000	-	JO	BT	-	-	-	-	-	-	-	-	-	Retained
K	NYF	2,636.000	-	Lff	NNN	-	-	-	Qelcmqvk	3iMn	-	104	3dQc+104	-	902.00000
K	XJO	46.000	-	H2	L	-	-	-	Jvcfplnv	3pRm	-	250	3rCi+250	-	446.00000
Kjj Dcb	KCK	5.600	-	EL	QT	-	-	-	-	-	-	-	-	-	Retained
G	HVV	95.700	-	Gd3	WW-	-	-	-	Skwrhmkb	3dZx	-	645	3sRv+624	-	50.30000

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Tranche Comments

K: 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; A: First Pay: 2022-01-15; Redemption: 2023-08-18; G: First Pay: 2022-01-15; Redemption: 2023-08-18; X: First Pay: 2022-01-15; Redemption: 2023-08-18; Kjj Dcb: First Pay: 2022-01-15; Redemption: 2023-08-18; Mnn: First Pay: 2022-01-15; Redemption: 2023-08-18;

Deal Comments

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Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 2, 2023

WAL Test Period (YRS)

WAL Test Period End Date

Feb 20, 2006

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J-Y	JDQ	28.000	-	Bee3	-	VVV-	88.80%	-	Bbfzkbmk	3xFz	320n	340	3gZg+340	-	469.00000
M-1-M	EGA	18.000	-	Jm2	-	YY	60.50%	-	Ptlymtyw	3sRq	155-160	165	3dWw+165	-	572.00000
Z-2-Y	NTV	51.000	-	Hc2	-	CC	10.40%	-	Ehvuy	-	-	-	2.000%	2.000%	553.00000
N-1-S	AEB	3.400	-	S2	-	T	78.60%	-	Tlmzxizv	3sUk	215i	235	3aVf+235	-	356.00000
E-2-U	ACJ	50.000	-	M2	-	O	62.80%	-	Cytoq	-	-	-	2.650%	2.650%	491.00000
E-P	JUX	955.000	-	Btt	-	AAA	99.70%	-	Uwbklhra	3mEu	-	88	3wGd+88	-	932.00000

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Tranche Comments

E-P: First Pay: 2021-10-20; Redemption: 2023-01-20; M-1-M: First Pay: 2021-10-20; Redemption: 2023-01-20; Z-2-Y: First Pay: 2021-10-20; Redemption: 2023-01-20; N-1-S: First Pay: 2021-10-20; Redemption: 2023-01-20; E-2-U: First Pay: 2021-10-20; Redemption: 2023-01-20; J-Y: First Pay: 2021-10-20; Redemption: 2023-01-20;

Deal Comments

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Reinvestment Period (YRS)

4.16

Reinvestment Period End Date

Aug 26, 2008

WAL Test Period (YRS)

2.9

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	QBI	15.250	-	D2	-	Y	-	-	Bevkxbud	3pBq	-	190	3eXt+190	-	170.00000
X	CTM	41.000	-	Edd3	-	VVV-	-	-	Xolezuqo	3vYj	-	290	3pPg+290	-	902.00000
Y	YOK	74.500	-	Ci2	-	RR-	-	-	Orbdptve	3zKp	-	550	3rIk+513	-	77.50000
A-1	DEM	48.200	-	Ze2	-	YY	-	-	Jlmqdvoy	3aVq	-	148	3lYt+148	-	247.00000
B-2	NZY	31.000	-	Kv2	-	FF	-	-	Ratox	GXA	-	-	2.100%	2.100%	246.00000
T	KQA	37.700	-	B2	-	H-	-	-	Mxszydvc	3eQa	-	760	3iTo+675	-	35.92000
K-1	ZVK	802.300	-	Ldd	-	YYY	-	-	Tchpvpxv	3eZk	-	84.5	3xMq+84.5	-	894.00000
J-2	XXF	9.100	-	Xzz	-	NNN	-	-	Mfsczeff	3bBg	-	95	3sRx+95	-	872.00000
Hqi	EON	99.200	-	SD	-	DY	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

K-1: First Pay: 2019-01-18; Redemption: 2020-07-18; J-2: First Pay: 2019-01-18; Redemption: 2020-07-18; A-1: First Pay: 2019-01-18; Redemption: 2020-07-18; B-2: First Pay: 2019-01-18; Redemption: 2020-07-18; G: First Pay: 2019-01-18; Redemption: 2020-07-18; X: First Pay: 2019-01-18; Redemption: 2020-07-18; Y: First Pay: 2019-01-18; Redemption: 2020-07-18; T: First Pay: 2019-01-18; Redemption: 2020-07-18; Hqi: 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

May 23, 2005

Refinancing

Yes

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	CII	59.400	-	Pxx2	ZZZ	-	-	-	Yboxmczt	3xGf	-	330	3kJz+320	-	13.20000
Z	ZBA	6.200	-	S2	O-	-	-	-	Vxqbeaoq	3hVy	-	795	3gQx+680	-	62.17000
D	YDO	37.700	-	No2	DD	-	-	-	Rjjlwfhq	3dGr	-	585	3xFl+540	-	59.10000
K-2	PLH	22.000	-	Go2	II	-	-	-	Lbggx	GGV	-	-	2.000%	2.000%	262.00000
O	ZIU	642.000	-	Tvv	SSS	-	-	-	Dwxcsllt	3pXw	-	92	3cYv+92	-	326.00000
Tto	GVB	85.700	-	SG	HF	-	-	-	-	-	-	-	-	-	Retained
N-1	KXT	41.000	-	Sk2	EE	-	-	-	Cxhwkarg	3dRm	-	150	3fMs+150	-	704.00000
N	HAZ	53.400	-	A2	J	-	-	-	Nerblhpm	3zDq	-	220	3nEx+220	-	549.00000

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Tranche Comments

O: First Pay: 2018-01-25; Redemption: 2019-07-14; N-1: First Pay: 2018-01-25; Redemption: 2019-07-14; K-2: First Pay: 2018-01-25; Redemption: 2019-07-14; N: First Pay: 2018-01-25; Redemption: 2019-07-14; K: First Pay: 2018-01-25; Redemption: 2019-07-14; D: First Pay: 2018-01-25; Redemption: 2019-07-14; Z: First Pay: 2018-01-25; Redemption: 2019-07-14; Tto: 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

Nov 6, 2009

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	FLT	15.100	-	D2	A	-	-	-	Zofrlowe	3tRg	-	250	3iLg+250	-	848.00000
P	NWG	64.800	-	Urr2	DDD	-	-	-	Xksuszdm	3cYu	-	360	3jUd+360	-	42.80000
Yfe	YSM	97.100	-	NO	FA	-	-	-	-	-	-	-	-	-	33.00000
F	MTF	69.700	-	Ex2	ZZ	-	-	-	Xvmmzyoq	3wOd	-	760	3wTk+645	-	94.42000
Q-1	LWF	816.100	-	Gdd	PPP	-	-	-	Zsdswovl	3sUu	-	103	3rNe+103	-	574.00000
P-2	CBH	62.000	-	Jcc	III	-	-	-	Smbzg	-	-	-	1.090%	1.090%	720.00000
B	BXL	45.000	-	Hu2	GG	-	-	-	Mjuvkojf	3nTu	-	170	3rLi+170	-	508.00000
P	GOU	70.000	-	N2	D-	-	-	-	Ushzyiun	3lVe	-	1050	3vNa+750	-	70.00000