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

Refinancing

Yes

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
Ong	LFF	48.000	-	CP	FU	-	-	-	-	-	-	-	-	-	Retained
R	VAH	78.200	-	Up3	GG-	-	-	-	Fwoueoxp	3cWb	-	645	3qPz+624	-	96.40000
Y	FZQ	65.000	-	Q2	Q	-	-	-	Brekxwal	3hZp	-	250	3pHm+250	-	502.00000
H	ZAT	19.000	-	Knn3	UUU	-	-	-	Rpllbzce	3vYl	-	350	3sFn+350	-	227.00000
D	PQJ	92.200	-	C3	F-	-	-	-	Rumzkdqe	3xSq	-	950	3xMc+905	-	53.00000
Y	DZC	5,592.000	-	Wnn	OOO	-	-	-	Apdcvlqt	3cKv	-	104	3tDc+104	-	244.00000
J	XVF	78.000	-	Pt2	VV	-	-	-	Syiimzki	3rPf	-	185	3qEs+185	-	471.00000
Wcc Scp	ZFQ	2.200	-	PW	ZT	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

Y: First Pay: 2022-01-15; Redemption: 2023-08-18; J: First Pay: 2022-01-15; Redemption: 2023-08-18; Y: First Pay: 2022-01-15; Redemption: 2023-08-18; H: First Pay: 2022-01-15; Redemption: 2023-08-18; R: First Pay: 2022-01-15; Redemption: 2023-08-18; D: First Pay: 2022-01-15; Redemption: 2023-08-18; Wcc Scp: First Pay: 2022-01-15; Redemption: 2023-08-18; Ong: First Pay: 2022-01-15; Redemption: 2023-08-18;

Deal Comments

Ayzyg. Jup-Itaa Cysmukh 2.00.

Risk Retention

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Reinvestment Period (YRS)

Reinvestment Period End Date

Invalid date

Refinancing

Yes

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
B-1-G	WXW	24.000	-	Cp2	-	QQ	47.90%	-	Kumruiqq	3rWf	155-160	165	3gDj+165	-	633.00000
G-2-O	XJJ	13.000	-	B2	-	U	25.40%	-	Avfgz	-	-	-	2.650%	2.650%	729.00000
Z-2-W	VGN	82.000	-	Ep2	-	HH	30.70%	-	Dfjei	-	-	-	2.000%	2.000%	780.00000
Z-W	KUD	662.000	-	Ldd	-	KKK	67.50%	-	Wqkzyhaa	3eSx	-	88	3fAe+88	-	664.00000
S-W	YUS	91.000	-	Cxx3	-	FFF-	27.80%	-	Kyjsjyzr	3zSv	320h	340	3kOp+340	-	640.00000
U-1-L	WSN	8.600	-	X2	-	I	57.40%	-	Lrqcvofb	3hPq	215t	235	3nZs+235	-	774.00000

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Tranche Comments

Z-W: First Pay: 2021-10-20; Redemption: 2023-01-20; B-1-G: First Pay: 2021-10-20; Redemption: 2023-01-20; Z-2-W: First Pay: 2021-10-20; Redemption: 2023-01-20; U-1-L: First Pay: 2021-10-20; Redemption: 2023-01-20; G-2-O: First Pay: 2021-10-20; Redemption: 2023-01-20; S-W: First Pay: 2021-10-20; Redemption: 2023-01-20;

Deal Comments

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Reinvestment Period (YRS)

6.34

Reinvestment Period End Date

Invalid date

WAL Test Period (YRS)

8.7

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
O-2	XFJ	5.100	-	Jww	-	ZZZ	-	-	Xwhcacal	3nMn	-	95	3wXq+95	-	704.00000
L-2	DHR	60.000	-	Vw2	-	JJ	-	-	Gpcjv	NRS	-	-	2.100%	2.100%	727.00000
G	FOJ	46.100	-	Q2	-	P-	-	-	Kloykqiq	3rVm	-	760	3zCv+675	-	89.49000
B	CFW	90.360	-	A2	-	R	-	-	Ffwdhskx	3yWx	-	190	3oIv+190	-	853.00000
Z	QUX	34.000	-	Ttt3	-	JJJ-	-	-	Bzqsyzau	3eVl	-	290	3tHf+290	-	201.00000
W-1	DLY	93.300	-	Jv2	-	ZZ	-	-	Nywsruwm	3oHu	-	148	3lAv+148	-	332.00000
I	QHR	44.430	-	Af2	-	BB-	-	-	Zeulsxas	3xPi	-	550	3dKl+513	-	39.30000
W-1	NQL	406.700	-	Yaa	-	LLL	-	-	Scfukxuv	3tTd	-	84.5	3lBi+84.5	-	798.00000
Vyr	KMQ	86.800	-	KW	-	GE	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

W-1: First Pay: 2019-01-18; Redemption: 2020-07-18; O-2: First Pay: 2019-01-18; Redemption: 2020-07-18; W-1: First Pay: 2019-01-18; Redemption: 2020-07-18; L-2: First Pay: 2019-01-18; Redemption: 2020-07-18; B: 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; Vyr: 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

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I	GQG	51.800	-	F2	B	-	-	-	Hxlhhrcp	3mYi	-	220	3aQq+220	-	354.00000
N	VVB	20.200	-	Iq2	QQ	-	-	-	Byvlqyyz	3rBt	-	585	3kSr+540	-	97.70000
K-2	SHO	16.000	-	Uc2	KK	-	-	-	Xrppv	TGN	-	-	2.000%	2.000%	583.00000
F-1	QKS	33.000	-	Ss2	KK	-	-	-	Jlpdqhsk	3yZc	-	150	3sYi+150	-	306.00000
M	KOG	35.900	-	Pqq2	III	-	-	-	Zcpyfdwc	3rJq	-	330	3rQe+320	-	55.20000
T	JAV	4.300	-	Q2	L-	-	-	-	Cbdemequ	3cTy	-	795	3qSs+680	-	19.28000
Yno	SFT	44.700	-	HX	HD	-	-	-	-	-	-	-	-	-	Retained
C	CLH	349.000	-	Avv	TTT	-	-	-	Nzemokjm	3sFo	-	92	3vDx+92	-	722.00000

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Tranche Comments

C: First Pay: 2018-01-25; Redemption: 2019-07-14; F-1: First Pay: 2018-01-25; Redemption: 2019-07-14; K-2: First Pay: 2018-01-25; Redemption: 2019-07-14; I: First Pay: 2018-01-25; Redemption: 2019-07-14; M: First Pay: 2018-01-25; Redemption: 2019-07-14; N: First Pay: 2018-01-25; Redemption: 2019-07-14; T: First Pay: 2018-01-25; Redemption: 2019-07-14; Yno: First Pay: 2018-01-25; Redemption: 2019-07-14;

Deal Comments

Muq Qcss Ynpbuqy 2.00

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
R	BBB	67.000	-	N2	S-	-	-	-	Zydlxwsd	3sUt	-	1050	3vRn+750	-	83.00000
H-2	KWY	50.000	-	Crr	III	-	-	-	Sizjl	-	-	-	1.090%	1.090%	617.00000
U	GNO	27.600	-	Ass2	QQQ	-	-	-	Kfsetozb	3cYo	-	360	3fQb+360	-	46.10000
Oap	QSU	61.400	-	TE	WR	-	-	-	-	-	-	-	-	-	80.00000
U	YGH	30.600	-	Gi2	AA	-	-	-	Vmpefusg	3jYx	-	760	3yPp+645	-	56.42000
E	NXV	69.000	-	Jv2	UU	-	-	-	Kjsyldpg	3jPs	-	170	3aGc+170	-	716.00000
Z-1	HAU	546.800	-	Mnn	FFF	-	-	-	Vlrlpfdx	3eUd	-	103	3oSs+103	-	288.00000
R	PAR	38.100	-	U2	T	-	-	-	Iymhjtbw	3iJy	-	250	3rJc+250	-	165.00000