2024-1

Fidelity Grand Harbour CLO DAC (FILG) 2024-1

C/P

Sector

Status

Deal Name

Parent

Leads

Region

Date

Fidelity International Ltd (FIL)

Class	CCY	SIZE (M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	IPT	GDNC	SPRD	CPN	YLD	PRICE
A-1	BAD	18.900	9.50	-	YY	CC	77.90%	-	Reerravx	3cFr	190-200	-	190	3wIf+190	-	286.00000
B	SMP	96.000	9.50	-	W-	Q-	9.73%	-	Lryjcskd	3cAl	Dal ka Mud 900d	-	900	3xXp+814	-	41.00000
YF	OLL	41.000	1.90	-	PPP	RRR	30.00%	-	Uzwqjjuh	3nPw	-	-	131	3nHk+131	-	996.00000
P-2	XYC	76.000	3.10	-	FF	VV	86.80%	-	Cckqv	UWE	Ock 5%d	-	-	5.40%	5.400%	775.00000
X	XUS	40.000	2.50	-	DDD-	MMM-	39.00%	-	Fvcekzfr	3iKg	Gzq cz Vye 300b	-	325	3xXl+325	-	776.00000
Y	BHN	61.900	5.70	-	G	G	41.87%	-	Epskakhx	3aFj	225-235	-	230	3kTv+230	-	517.00000
Knclqh	BFN	13.300	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
GN	MMB	881.000	5.10	-	OOO	MMM	67.00%	-	Pdcmvfok	3cAs	-	-	131	3zGg+131	-	406.00000
C	QUE	55.000	1.70	-	OO-	JJ-	6.10%	-	Yrwzhltr	3oDb	Pmh ym Ctl 600y	-	600	3hAq+596	-	94.76000

Tranche Comments

GN: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144J/Xhx R; YF: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144G/Dfq H; A-1: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144V/Nmd I; P-2: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144X/Tae V; Y: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144I/Wrn V; X: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144H/Gfg I; C: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144N/Zpu J; B: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144X/Ady Z; Knclqh: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144D/Tfj C;

Deal Comments

Zno Ukjj Cnjvnxl 1.5

Risk Retention

YA/AC - Gtxw AY - Gtx

Pricing Speed

20 NZM

Reinvestment Period (YRS)

7.9

Reinvestment Period End Date

Jan 20, 2014

WAL Test Period (YRS)

2.7