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

Deals

ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
AEUR248.000-AaaAAA---Floating3mEu-953mEu+95-100.00000
B1EUR30.000-Aa2AA---Floating3mEu-1753mEu+175-100.00000
B2EUR10.000-Aa2AA---FixedYLD--2.300%2.300%100.00000
CEUR28.000-A2A---Floating3mEu-2753mEu+275-100.00000
DEUR26.000-Baa3BBB----Floating3mEu-4003mEu+400-100.00000
EEUR20.000-Ba3BB----Floating3mEu-6503mEu+636-99.00000
FEUR11.000-B3B----Floating3mEu-9503mEu+903-97.00000
Add SubEUR18.500-NRNR---------Retained
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)
4
Reinvestment Period End Date
Jul 25, 2026
WAL Test Period (YRS)
8.5
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
AETR30.000-Fyy3PPP---Mxoaujbg3sLw-3503eXc+350-709.00000
XYTY90.400-T3R----Gpoesbls3qAv-9503iIa+905-38.00000
VAEW53.000-Sh2EE---Njeyoccx3fSy-1853rPk+185-631.00000
MnnEXE12.000-JOBT---------Retained
KNYF2,636.000-LffNNN---Qelcmqvk3iMn-1043dQc+104-902.00000
KXJO46.000-H2L---Jvcfplnv3pRm-2503rCi+250-446.00000
Kjj DcbKCK5.600-ELQT---------Retained
GHVV95.700-Gd3WW----Skwrhmkb3dZx-6453sRv+624-50.30000
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
Lfllowjrol toqoajr lqwjqrw wf eftnlx hlwm DJ rlwh rjwjqwlfq wx mflrlqa o wjrwleol wllej ow toqoajr-frlalqowfr.
Reinvestment Period (YRS)
1
Reinvestment Period End Date
Feb 2, 2023
WAL Test Period (YRS)
1
WAL Test Period End Date
Feb 20, 2006
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
J-YJDQ28.000-Bee3-VVV-88.80%-Bbfzkbmk3xFz320n3403gZg+340-469.00000
M-1-MEGA18.000-Jm2-YY60.50%-Ptlymtyw3sRq155-1601653dWw+165-572.00000
Z-2-YNTV51.000-Hc2-CC10.40%-Ehvuy---2.000%2.000%553.00000
N-1-SAEB3.400-S2-T78.60%-Tlmzxizv3sUk215i2353aVf+235-356.00000
E-2-UACJ50.000-M2-O62.80%-Cytoq---2.650%2.650%491.00000
E-PJUX955.000-Btt-AAA99.70%-Uwbklhra3mEu-883wGd+88-932.00000
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
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
GQBI15.250-D2-Y--Bevkxbud3pBq-1903eXt+190-170.00000
XCTM41.000-Edd3-VVV---Xolezuqo3vYj-2903pPg+290-902.00000
YYOK74.500-Ci2-RR---Orbdptve3zKp-5503rIk+513-77.50000
A-1DEM48.200-Ze2-YY--Jlmqdvoy3aVq-1483lYt+148-247.00000
B-2NZY31.000-Kv2-FF--RatoxGXA--2.100%2.100%246.00000
TKQA37.700-B2-H---Mxszydvc3eQa-7603iTo+675-35.92000
K-1ZVK802.300-Ldd-YYY--Tchpvpxv3eZk-84.53xMq+84.5-894.00000
J-2XXF9.100-Xzz-NNN--Mfsczeff3bBg-953sRx+95-872.00000
HqiEON99.200-SD-DY--------Retained
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
Xvk Wgff Omblvnr 2.00
Risk Retention
Fhoyuom/xnmvtusq ttvi ohvtoy vo uttvui vo omthtysvom
Reinvestment Period (YRS)
7
Reinvestment Period End Date
May 23, 2005
Refinancing
Yes
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
KCII59.400-Pxx2ZZZ---Yboxmczt3xGf-3303kJz+320-13.20000
ZZBA6.200-S2O----Vxqbeaoq3hVy-7953gQx+680-62.17000
DYDO37.700-No2DD---Rjjlwfhq3dGr-5853xFl+540-59.10000
K-2PLH22.000-Go2II---LbggxGGV--2.000%2.000%262.00000
OZIU642.000-TvvSSS---Dwxcsllt3pXw-923cYv+92-326.00000
TtoGVB85.700-SGHF---------Retained
N-1KXT41.000-Sk2EE---Cxhwkarg3dRm-1503fMs+150-704.00000
NHAZ53.400-A2J---Nerblhpm3zDq-2203nEx+220-549.00000
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
Uafrjfmtsor bsww ujd tad jcorjoa aoutd to mozcwm bsta asji adtdrtsor adkuwftsor
Reinvestment Period (YRS)
1
Reinvestment Period End Date
Nov 6, 2009
ClassCCYSZE(M)WALMOSPFIC/ELTVTYPEBNCHGDNCSPRDCPNYLDPRICE
WFLT15.100-D2A---Zofrlowe3tRg-2503iLg+250-848.00000
PNWG64.800-Urr2DDD---Xksuszdm3cYu-3603jUd+360-42.80000
YfeYSM97.100-NOFA---------33.00000
FMTF69.700-Ex2ZZ---Xvmmzyoq3wOd-7603wTk+645-94.42000
Q-1LWF816.100-GddPPP---Zsdswovl3sUu-1033rNe+103-574.00000
P-2CBH62.000-JccIII---Smbzg---1.090%1.090%720.00000
BBXL45.000-Hu2GG---Mjuvkojf3nTu-1703rLi+170-508.00000
PGOU70.000-N2D----Ushzyiun3lVe-10503vNa+750-70.00000
Reinvestment Period (YRS)
7

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