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
G1	OFD	31.000	-	Dr2	CC	-	-	-	Mokkokzw	3eGh	-	175	3vLw+175	-	639.00000
B2	WEI	29.000	-	Xs2	AA	-	-	-	Bikwm	SEE	-	-	2.300%	2.300%	613.00000
S	HNV	360.000	-	Jyy	III	-	-	-	Kchpltlh	3jNg	-	95	3dOa+95	-	149.00000
Too Far	ILR	99.800	-	SH	JJ	-	-	-	-	-	-	-	-	-	Retained
B	KNT	25.000	-	Doo3	UUU-	-	-	-	Pvcpemmu	3pJo	-	400	3fGk+400	-	825.00000
R	DAG	51.000	-	Ns3	RR-	-	-	-	Vcklseel	3tQi	-	650	3bQb+636	-	26.00000
M	ZBD	24.000	-	C3	R-	-	-	-	Qfjwjlef	3aLk	-	950	3pSo+903	-	21.00000
E	IDQ	69.000	-	A2	C	-	-	-	Sxscbvpw	3zYl	-	275	3zEs+275	-	447.00000

Tranche Comments

S: First Pay: 2022-07-25; Redemption: 2023-07-25; G1: First Pay: 2022-07-25; Redemption: 2023-07-25; B2: First Pay: 2022-07-25; Redemption: 2023-07-25; E: First Pay: 2022-07-25; Redemption: 2023-07-25; B: First Pay: 2022-07-25; Redemption: 2023-07-25; R: First Pay: 2022-07-25; Redemption: 2023-07-25; M: First Pay: 2022-07-25; Redemption: 2023-07-25; Too Far: First Pay: 2022-07-25; Redemption: 2023-07-25;

Deal Comments

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Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 30, 2007

WAL Test Period (YRS)

4.4

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	DFO	61.000	-	Pd2	QQ	-	-	-	Yfoqdoqh	3rTe	-	185	3cJi+185	-	598.00000
F	AZO	13.000	-	G2	V	-	-	-	Dlwrxmvv	3mSt	-	250	3fNq+250	-	686.00000
B	FBN	5,135.000	-	Fjj	VVV	-	-	-	Brjrfojw	3fFt	-	104	3kPb+104	-	724.00000
T	GHW	57.100	-	Z3	C-	-	-	-	Yyozxwcm	3hHy	-	950	3cWq+905	-	88.00000
A	VLX	89.000	-	Pjj3	QQQ	-	-	-	Qxqwrqhk	3tNo	-	350	3fGf+350	-	202.00000
Gxf	XIH	10.000	-	HU	CZ	-	-	-	-	-	-	-	-	-	Retained
R	DJR	66.900	-	Ej3	YY-	-	-	-	Wrhcvqkq	3bWh	-	645	3xZx+624	-	83.70000
Haa Rli	XNX	4.300	-	HK	JG	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

B: First Pay: 2022-01-15; Redemption: 2023-08-18; P: First Pay: 2022-01-15; Redemption: 2023-08-18; F: First Pay: 2022-01-15; Redemption: 2023-08-18; A: First Pay: 2022-01-15; Redemption: 2023-08-18; R: First Pay: 2022-01-15; Redemption: 2023-08-18; T: First Pay: 2022-01-15; Redemption: 2023-08-18; Haa Rli: First Pay: 2022-01-15; Redemption: 2023-08-18; Gxf: 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

Nov 1, 2021

WAL Test Period (YRS)

WAL Test Period End Date

Dec 14, 2011

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-W	CNN	524.000	-	Wjj	-	HHH	85.30%	-	Uxkbmckj	3eDk	-	88	3jHd+88	-	296.00000
M-2-Y	TGE	97.000	-	Jt2	-	YY	53.70%	-	Akzjg	-	-	-	2.000%	2.000%	127.00000
J-2-S	CIT	20.000	-	T2	-	Q	50.30%	-	Liogc	-	-	-	2.650%	2.650%	494.00000
T-C	ELC	30.000	-	Www3	-	WWW-	17.60%	-	Whsbahkv	3wSs	320x	340	3vXl+340	-	511.00000
H-1-U	VMF	51.000	-	Xe2	-	KK	20.80%	-	Yurhykzw	3dFw	155-160	165	3pKi+165	-	491.00000
E-1-R	ACF	9.800	-	C2	-	G	44.30%	-	Ozsylxxg	3jJt	215j	235	3kEc+235	-	428.00000

Tranche Comments

U-W: First Pay: 2021-10-20; Redemption: 2023-01-20; H-1-U: First Pay: 2021-10-20; Redemption: 2023-01-20; M-2-Y: First Pay: 2021-10-20; Redemption: 2023-01-20; E-1-R: First Pay: 2021-10-20; Redemption: 2023-01-20; J-2-S: First Pay: 2021-10-20; Redemption: 2023-01-20; T-C: First Pay: 2021-10-20; Redemption: 2023-01-20;

Deal Comments

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Reinvestment Period (YRS)

1.17

Reinvestment Period End Date

Oct 24, 2002

WAL Test Period (YRS)

2.7

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-1	XYG	226.200	-	Tjj	-	BBB	-	-	Omrjuxcm	3fTs	-	84.5	3fWj+84.5	-	768.00000
K	LEM	96.900	-	W2	-	U	-	-	Ppmaqdki	3zZi	-	190	3yBe+190	-	743.00000
K	AQZ	43.000	-	Cnn3	-	PPP-	-	-	Tpwplxbd	3lDo	-	290	3bHi+290	-	894.00000
P	AOJ	11.100	-	Z2	-	N-	-	-	Ixflyihu	3rZx	-	760	3dSp+675	-	82.65000
K-1	VEN	27.700	-	Cu2	-	XX	-	-	Pkvepzuj	3aJy	-	148	3oTz+148	-	380.00000
S-2	OMS	14.000	-	Sg2	-	GG	-	-	Fybxf	FJD	-	-	2.100%	2.100%	251.00000
X-2	XTO	1.500	-	Zqq	-	AAA	-	-	Cqmclvlh	3kEr	-	95	3nHh+95	-	581.00000
H	OHD	83.190	-	Qz2	-	RR-	-	-	Zfldcysz	3gMe	-	550	3cRp+513	-	62.10000
Lyz	ZZH	84.800	-	DW	-	ET	-	-	-	-	-	-	-	-	Retained

Tranche Comments

M-1: First Pay: 2019-01-18; Redemption: 2020-07-18; X-2: First Pay: 2019-01-18; Redemption: 2020-07-18; K-1: First Pay: 2019-01-18; Redemption: 2020-07-18; S-2: First Pay: 2019-01-18; Redemption: 2020-07-18; K: First Pay: 2019-01-18; Redemption: 2020-07-18; K: First Pay: 2019-01-18; Redemption: 2020-07-18; H: First Pay: 2019-01-18; Redemption: 2020-07-18; P: First Pay: 2019-01-18; Redemption: 2020-07-18; Lyz: 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

Jul 23, 1995

Reset

Yes

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H-2	VXO	95.000	-	Xx2	KK	-	-	-	Fvlmi	IGO	-	-	2.000%	2.000%	937.00000
P	PKL	9.800	-	Y2	C-	-	-	-	Smvdxltz	3bDh	-	795	3nCc+680	-	28.65000
X	EHF	45.600	-	R2	V	-	-	-	Xvfaqspg	3yBw	-	220	3bPr+220	-	634.00000
N	LCQ	545.000	-	Ruu	RRR	-	-	-	Apjfetmt	3hSz	-	92	3rYz+92	-	649.00000
F	OBX	50.800	-	Xp2	QQ	-	-	-	Cmkhlyrc	3jEt	-	585	3vPr+540	-	84.70000
Y-1	AAX	42.000	-	Yb2	AA	-	-	-	Iwsrbpfd	3pDd	-	150	3oCr+150	-	911.00000
R	DWP	89.500	-	Ull2	WWW	-	-	-	Vxljhlms	3yNg	-	330	3fJa+320	-	70.40000
Pgo	JHH	25.900	-	JI	KX	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

N: First Pay: 2018-01-25; Redemption: 2019-07-14; Y-1: First Pay: 2018-01-25; Redemption: 2019-07-14; H-2: First Pay: 2018-01-25; Redemption: 2019-07-14; X: First Pay: 2018-01-25; Redemption: 2019-07-14; R: First Pay: 2018-01-25; Redemption: 2019-07-14; F: First Pay: 2018-01-25; Redemption: 2019-07-14; P: First Pay: 2018-01-25; Redemption: 2019-07-14; Pgo: 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

May 7, 1994

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Czl	MIH	57.600	-	GO	JC	-	-	-	-	-	-	-	-	-	68.00000
S	CVE	70.000	-	Il2	HH	-	-	-	Rpdeaibm	3bDn	-	170	3vNi+170	-	642.00000
M	NQS	65.000	-	Q2	G-	-	-	-	Skecywdl	3aXo	-	1050	3kMk+750	-	23.00000
L-2	FAO	32.000	-	Skk	III	-	-	-	Xmcqy	-	-	-	1.090%	1.090%	261.00000
N	XCO	72.300	-	V2	T	-	-	-	Bjyyozpq	3iKj	-	250	3oId+250	-	339.00000
N	QCK	42.900	-	Gl2	TT	-	-	-	Gcyuszdv	3bFo	-	760	3vGu+645	-	70.81000
K-1	VQZ	757.400	-	Ovv	NNN	-	-	-	Lcmpmqlr	3cPv	-	103	3zKi+103	-	798.00000
L	OGN	11.500	-	Mtt2	EEE	-	-	-	Pzqohqtf	3mWu	-	360	3jNj+360	-	74.60000