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
Nss Ypm	MJA	50.700	-	TI	CU	-	-	-	-	-	-	-	-	-	Retained
U1	JAG	81.000	-	Kj2	RR	-	-	-	Nfykejat	3kQu	-	175	3sJx+175	-	174.00000
G2	PQK	99.000	-	Rl2	PP	-	-	-	Vrtfw	LWL	-	-	2.300%	2.300%	488.00000
Q	OLK	31.000	-	Fg3	AA-	-	-	-	Ebukxfvj	3fFm	-	650	3zTs+636	-	53.00000
T	KVN	25.000	-	N2	Y	-	-	-	Exydhseb	3vLm	-	275	3bDj+275	-	296.00000
A	LZB	42.000	-	Uyy3	III-	-	-	-	Qwzowuwy	3pTb	-	400	3xHb+400	-	468.00000
C	DMV	69.000	-	T3	O-	-	-	-	Pbvjxcqy	3kXp	-	950	3hWw+903	-	69.00000
P	LAH	767.000	-	Guu	PPP	-	-	-	Hvlhlxwn	3jFk	-	95	3bCq+95	-	243.00000

Tranche Comments

P: First Pay: 2022-07-25; Redemption: 2023-07-25; U1: First Pay: 2022-07-25; Redemption: 2023-07-25; G2: First Pay: 2022-07-25; Redemption: 2023-07-25; T: First Pay: 2022-07-25; Redemption: 2023-07-25; A: First Pay: 2022-07-25; Redemption: 2023-07-25; Q: First Pay: 2022-07-25; Redemption: 2023-07-25; C: First Pay: 2022-07-25; Redemption: 2023-07-25; Nss Ypm: 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

May 21, 2019

WAL Test Period (YRS)

6.2

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A	LNW	2,099.000	-	Nyy	DDD	-	-	-	Bwexrfsx	3vOa	-	104	3vUx+104	-	154.00000
Yze	DSR	41.000	-	JA	ZK	-	-	-	-	-	-	-	-	-	Retained
S	LQY	10.000	-	Dk2	GG	-	-	-	Awrrufdd	3aZk	-	185	3zAa+185	-	254.00000
O	GHA	30.000	-	O2	J	-	-	-	Kbdsdjjo	3gEg	-	250	3pBx+250	-	137.00000
P	HBC	65.500	-	A3	B-	-	-	-	Ekyacieo	3wBj	-	950	3xXh+905	-	71.00000
S	JCI	42.000	-	Xcc3	SSS	-	-	-	Yklarytz	3yZi	-	350	3mAo+350	-	223.00000
O	MJB	87.600	-	Nv3	YY-	-	-	-	Pexqmpua	3kCn	-	645	3mGv+624	-	96.60000
Ykk Vig	AFC	3.600	-	CZ	UE	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

A: First Pay: 2022-01-15; Redemption: 2023-08-18; S: First Pay: 2022-01-15; Redemption: 2023-08-18; O: First Pay: 2022-01-15; Redemption: 2023-08-18; S: First Pay: 2022-01-15; Redemption: 2023-08-18; O: First Pay: 2022-01-15; Redemption: 2023-08-18; P: First Pay: 2022-01-15; Redemption: 2023-08-18; Ykk Vig: First Pay: 2022-01-15; Redemption: 2023-08-18; Yze: 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

Dec 4, 2005

WAL Test Period (YRS)

WAL Test Period End Date

Oct 22, 2022

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
I-2-B	ILQ	48.000	-	Y2	-	C	91.80%	-	Yqixz	-	-	-	2.650%	2.650%	441.00000
H-I	ZKW	98.000	-	Sbb3	-	JJJ-	86.40%	-	Oeloufva	3oOs	320k	340	3lHg+340	-	295.00000
L-1-C	OOV	7.200	-	V2	-	B	90.60%	-	Kxxqfpdg	3eJd	215u	235	3iDp+235	-	819.00000
Y-F	TXV	450.000	-	Nvv	-	ZZZ	41.20%	-	Akxsyaal	3cTc	-	88	3kWs+88	-	826.00000
D-1-Y	LCZ	81.000	-	Ae2	-	EE	27.10%	-	Nusfdvnj	3hPk	155-160	165	3yJk+165	-	926.00000
V-2-M	QYG	65.000	-	Qh2	-	WW	15.40%	-	Vujse	-	-	-	2.000%	2.000%	575.00000

Tranche Comments

Y-F: First Pay: 2021-10-20; Redemption: 2023-01-20; D-1-Y: First Pay: 2021-10-20; Redemption: 2023-01-20; V-2-M: First Pay: 2021-10-20; Redemption: 2023-01-20; L-1-C: First Pay: 2021-10-20; Redemption: 2023-01-20; I-2-B: First Pay: 2021-10-20; Redemption: 2023-01-20; H-I: First Pay: 2021-10-20; Redemption: 2023-01-20;

Deal Comments

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Reinvestment Period (YRS)

6.88

Reinvestment Period End Date

Mar 25, 2008

WAL Test Period (YRS)

3.3

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
R	GYP	15.100	-	N2	-	K-	-	-	Tujxjopl	3lLh	-	760	3iXu+675	-	55.29000
I-1	AEN	867.400	-	Cyy	-	UUU	-	-	Muccwctg	3tWf	-	84.5	3fZy+84.5	-	207.00000
X-2	DLZ	9.900	-	Qtt	-	QQQ	-	-	Yoloseob	3dXr	-	95	3oNh+95	-	992.00000
A-2	GJC	94.000	-	Kf2	-	HH	-	-	Wkhic	TVS	-	-	2.100%	2.100%	757.00000
Y	GGC	63.910	-	V2	-	Z	-	-	Vusfcpcu	3jVt	-	190	3bEm+190	-	807.00000
A-1	GES	19.200	-	Wb2	-	MM	-	-	Yqlztrzp	3jEx	-	148	3fTc+148	-	944.00000
O	GAM	78.260	-	Te2	-	HH-	-	-	Ybwmykky	3yWn	-	550	3qXv+513	-	69.20000
Lvt	VIM	49.600	-	TE	-	NJ	-	-	-	-	-	-	-	-	Retained
P	ZGG	27.000	-	Opp3	-	TTT-	-	-	Oklzuxpo	3xVj	-	290	3eIr+290	-	798.00000

Tranche Comments

I-1: First Pay: 2019-01-18; Redemption: 2020-07-18; X-2: First Pay: 2019-01-18; Redemption: 2020-07-18; A-1: First Pay: 2019-01-18; Redemption: 2020-07-18; A-2: First Pay: 2019-01-18; Redemption: 2020-07-18; Y: First Pay: 2019-01-18; Redemption: 2020-07-18; P: First Pay: 2019-01-18; Redemption: 2020-07-18; O: First Pay: 2019-01-18; Redemption: 2020-07-18; R: First Pay: 2019-01-18; Redemption: 2020-07-18; Lvt: 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 13, 1995

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
F	CXA	56.600	-	Dii2	FFF	-	-	-	Bxkqkmnc	3bOo	-	330	3qVa+320	-	93.70000
Gsb	ZOA	13.800	-	FQ	LG	-	-	-	-	-	-	-	-	-	Retained
X	XZG	61.900	-	Lt2	VV	-	-	-	Fejpurxe	3nYc	-	585	3sIu+540	-	38.70000
P	TPZ	183.000	-	Vee	XXX	-	-	-	Mzbfxtqc	3dAn	-	92	3xWn+92	-	286.00000
U	DNU	38.700	-	T2	I	-	-	-	Nezaalso	3gPz	-	220	3sDs+220	-	805.00000
H	XFH	7.800	-	V2	N-	-	-	-	Pdtpstwo	3nSw	-	795	3gBm+680	-	28.26000
I-2	IMV	91.000	-	Xw2	JJ	-	-	-	Vvkuy	GAZ	-	-	2.000%	2.000%	670.00000
G-1	FGC	42.000	-	Uw2	UU	-	-	-	Xbjyhuhp	3sYi	-	150	3xBd+150	-	310.00000

Tranche Comments

P: First Pay: 2018-01-25; Redemption: 2019-07-14; G-1: First Pay: 2018-01-25; Redemption: 2019-07-14; I-2: First Pay: 2018-01-25; Redemption: 2019-07-14; U: First Pay: 2018-01-25; Redemption: 2019-07-14; F: First Pay: 2018-01-25; Redemption: 2019-07-14; X: First Pay: 2018-01-25; Redemption: 2019-07-14; H: First Pay: 2018-01-25; Redemption: 2019-07-14; Gsb: 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 24, 1992

Reset

Yes

HPS Investment Partners

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
G	BHS	66.000	-	Yd2	LL	-	-	-	Bszwuovg	3xSe	-	170	3dYz+170	-	818.00000
E	FTC	99.500	-	V2	O	-	-	-	Sesbyhro	3kKz	-	250	3yPx+250	-	294.00000
C	OSX	73.300	-	Tq2	QQ	-	-	-	Amlybknj	3hQw	-	760	3sBr+645	-	62.19000
K-1	SIJ	934.100	-	Mpp	VVV	-	-	-	Rskpfaiy	3mNp	-	103	3rOr+103	-	230.00000
O-2	QQL	55.000	-	Fqq	III	-	-	-	Angst	-	-	-	1.090%	1.090%	213.00000
Y	ENR	85.900	-	Haa2	QQQ	-	-	-	Gpjsfrua	3iRu	-	360	3mKd+360	-	95.70000
Z	WJZ	58.000	-	V2	J-	-	-	-	Azlfuvqz	3sUd	-	1050	3jHt+750	-	75.00000
Rwh	KLF	76.700	-	AJ	NN	-	-	-	-	-	-	-	-	-	33.00000