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
K	GLI	580.000	-	Ajj	FFF	-	-	-	Vzolrqjc	3iSf	-	95	3nPp+95	-	789.00000
G	ZDS	12.000	-	Byy3	OOO-	-	-	-	Efzxhloa	3sDy	-	400	3tKf+400	-	806.00000
O	VIL	49.000	-	I2	K	-	-	-	Cubzxkkh	3qVu	-	275	3oEr+275	-	394.00000
X2	QIQ	30.000	-	Fj2	HH	-	-	-	Yztxz	QCR	-	-	2.300%	2.300%	956.00000
C	PGV	93.000	-	M3	K-	-	-	-	Oqwkoinl	3zVy	-	950	3fTr+903	-	35.00000
Vdd Eyt	ZLR	65.400	-	FG	PQ	-	-	-	-	-	-	-	-	-	Retained
Y	LJD	19.000	-	Bh3	GG-	-	-	-	Elyqyijc	3jGb	-	650	3iSf+636	-	42.00000
F1	AJK	75.000	-	Qb2	DD	-	-	-	Gplstofc	3aBw	-	175	3rFg+175	-	525.00000

Tranche Comments

K: First Pay: 2022-07-25; Redemption: 2023-07-25; F1: First Pay: 2022-07-25; Redemption: 2023-07-25; X2: First Pay: 2022-07-25; Redemption: 2023-07-25; O: First Pay: 2022-07-25; Redemption: 2023-07-25; G: First Pay: 2022-07-25; Redemption: 2023-07-25; Y: First Pay: 2022-07-25; Redemption: 2023-07-25; C: First Pay: 2022-07-25; Redemption: 2023-07-25; Vdd Eyt: 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

Mar 11, 2002

WAL Test Period (YRS)

3.4

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	TZA	40.700	-	Gp3	CC-	-	-	-	Vppxxzdi	3cHr	-	645	3fSv+624	-	16.70000
A	EBC	17.500	-	Z3	O-	-	-	-	Sucywrcu	3gWw	-	950	3nGq+905	-	81.00000
Wmb	YJD	93.000	-	NV	PA	-	-	-	-	-	-	-	-	-	Retained
W	PMP	42.000	-	Ud2	WW	-	-	-	Geuxdqtz	3yHu	-	185	3vRv+185	-	518.00000
F	QUA	2,113.000	-	Eyy	DDD	-	-	-	Bmbmwppu	3vSx	-	104	3qSi+104	-	292.00000
D	QUI	91.000	-	H2	V	-	-	-	Fhrcrlwg	3sDi	-	250	3hKm+250	-	766.00000
M	TVA	97.000	-	Ctt3	CCC	-	-	-	Xyxbrihx	3nHp	-	350	3eYx+350	-	302.00000
Fqq Dju	OMB	5.400	-	YT	VC	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

F: First Pay: 2022-01-15; Redemption: 2023-08-18; W: First Pay: 2022-01-15; Redemption: 2023-08-18; D: First Pay: 2022-01-15; Redemption: 2023-08-18; M: First Pay: 2022-01-15; Redemption: 2023-08-18; B: First Pay: 2022-01-15; Redemption: 2023-08-18; A: First Pay: 2022-01-15; Redemption: 2023-08-18; Fqq Dju: First Pay: 2022-01-15; Redemption: 2023-08-18; Wmb: 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 29, 1995

WAL Test Period (YRS)

WAL Test Period End Date

Aug 19, 2009

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W-2-K	XGF	89.000	-	J2	-	M	64.40%	-	Fkyey	-	-	-	2.650%	2.650%	989.00000
F-Y	PYB	189.000	-	Idd	-	BBB	80.80%	-	Hwudvtvs	3kZr	-	88	3lDx+88	-	353.00000
W-1-C	APP	20.000	-	Xk2	-	ZZ	53.60%	-	Qcfhxksf	3fHx	155-160	165	3tKi+165	-	722.00000
L-1-A	VHE	2.100	-	C2	-	O	29.90%	-	Gbflpxzb	3wQr	215l	235	3nWg+235	-	344.00000
K-K	DLG	43.000	-	Cmm3	-	LLL-	95.90%	-	Lzwxoarm	3lNl	320d	340	3bZb+340	-	659.00000
J-2-Q	VZY	89.000	-	Jh2	-	QQ	17.10%	-	Tncvi	-	-	-	2.000%	2.000%	938.00000

Tranche Comments

F-Y: First Pay: 2021-10-20; Redemption: 2023-01-20; W-1-C: First Pay: 2021-10-20; Redemption: 2023-01-20; J-2-Q: First Pay: 2021-10-20; Redemption: 2023-01-20; L-1-A: First Pay: 2021-10-20; Redemption: 2023-01-20; W-2-K: First Pay: 2021-10-20; Redemption: 2023-01-20; K-K: First Pay: 2021-10-20; Redemption: 2023-01-20;

Deal Comments

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Reinvestment Period (YRS)

2.48

Reinvestment Period End Date

Jan 20, 1999

WAL Test Period (YRS)

2.8

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	YYV	50.980	-	An2	-	KK-	-	-	Eyoqpifw	3hVz	-	550	3wRe+513	-	88.20000
Y	FQS	58.560	-	M2	-	F	-	-	Jupcfklw	3yKm	-	190	3dMi+190	-	353.00000
M-2	EWY	4.300	-	Umm	-	XXX	-	-	Owkokwqr	3mUc	-	95	3fAl+95	-	268.00000
S-2	KOR	83.000	-	Ht2	-	VV	-	-	Hftts	FHM	-	-	2.100%	2.100%	616.00000
S	YSU	89.700	-	U2	-	D-	-	-	Wkdkkhme	3mTe	-	760	3yKk+675	-	37.94000
F-1	QCH	665.700	-	Iee	-	III	-	-	Kmhkxkmj	3wGc	-	84.5	3rJa+84.5	-	772.00000
Y	TWH	19.000	-	Eqq3	-	LLL-	-	-	Gzudwebl	3vHt	-	290	3xEa+290	-	967.00000
K-1	YWS	32.700	-	Bb2	-	OO	-	-	Zuskatua	3zJd	-	148	3wWm+148	-	293.00000
Mem	WZJ	44.500	-	OK	-	BT	-	-	-	-	-	-	-	-	Retained

Tranche Comments

F-1: First Pay: 2019-01-18; Redemption: 2020-07-18; M-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; Y: First Pay: 2019-01-18; Redemption: 2020-07-18; Y: First Pay: 2019-01-18; Redemption: 2020-07-18; G: First Pay: 2019-01-18; Redemption: 2020-07-18; S: First Pay: 2019-01-18; Redemption: 2020-07-18; Mem: 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

Apr 28, 2006

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L-1	GJN	28.000	-	Xc2	OO	-	-	-	Zyqraqye	3yUn	-	150	3dIr+150	-	498.00000
T	IKA	38.900	-	S2	S	-	-	-	Sykdcuxm	3cTg	-	220	3fGw+220	-	393.00000
Q	KHJ	378.000	-	Rvv	QQQ	-	-	-	Dvssluse	3cCc	-	92	3yMv+92	-	588.00000
Y	SHU	23.700	-	Kkk2	YYY	-	-	-	Tdqssbka	3tBv	-	330	3bVr+320	-	88.40000
I	YGJ	69.200	-	Iu2	VV	-	-	-	Owxtuort	3yRh	-	585	3pVq+540	-	56.40000
Q	XOA	3.600	-	S2	R-	-	-	-	Tcmmbkhk	3nHp	-	795	3qLr+680	-	64.99000
Ufh	FHZ	99.100	-	QY	PC	-	-	-	-	-	-	-	-	-	Retained
B-2	HCQ	29.000	-	Pm2	UU	-	-	-	Jymoo	MUN	-	-	2.000%	2.000%	983.00000

Tranche Comments

Q: First Pay: 2018-01-25; Redemption: 2019-07-14; L-1: First Pay: 2018-01-25; Redemption: 2019-07-14; B-2: First Pay: 2018-01-25; Redemption: 2019-07-14; T: First Pay: 2018-01-25; Redemption: 2019-07-14; Y: First Pay: 2018-01-25; Redemption: 2019-07-14; I: First Pay: 2018-01-25; Redemption: 2019-07-14; Q: First Pay: 2018-01-25; Redemption: 2019-07-14; Ufh: 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

Jun 18, 1992

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	ELS	78.500	-	Zt2	CC	-	-	-	Wwrruxjv	3wAs	-	760	3gNb+645	-	36.23000
F	ZTB	94.500	-	B2	P	-	-	-	Meedrmsd	3yFm	-	250	3aDa+250	-	405.00000
C-1	VPV	396.200	-	Inn	YYY	-	-	-	Mxzldmzt	3pPl	-	103	3yLd+103	-	707.00000
U	QKH	68.500	-	Ouu2	HHH	-	-	-	Vusqzmjo	3lPc	-	360	3iNu+360	-	86.50000
Isg	PWV	32.100	-	YQ	GF	-	-	-	-	-	-	-	-	-	43.00000
K	QTK	98.000	-	Vf2	JJ	-	-	-	Xexuhina	3pNu	-	170	3aEy+170	-	236.00000
E	KVY	97.000	-	C2	C-	-	-	-	Kervvlek	3hBh	-	1050	3dSu+750	-	58.00000
B-2	HQL	94.000	-	Paa	FFF	-	-	-	Tqhtx	-	-	-	1.090%	1.090%	211.00000