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
H	VTJ	73.000	1.50	-	EEE-	EEE-	77.00%	-	Wkykdore	3qHj	Ego cg Ycj 300g	-	325	3yEk+325	-	442.00000
Hfwjhr	MNJ	62.600	-	-	-	-	-	-	-	-	-	-	-	-	-	Retained
B-2	PTN	95.000	4.60	-	LL	KK	96.30%	-	Lcknk	PNX	Ots 5%j	-	-	5.40%	5.400%	954.00000
O	ZKC	13.000	2.50	-	GG-	LL-	5.90%	-	Ekbkpjdx	3dUp	Flb ml Uox 600y	-	600	3vHn+596	-	66.14000
A-1	XIW	71.800	4.60	-	VV	QQ	66.20%	-	Ckwkmilp	3cAs	190-200	-	190	3bNo+190	-	812.00000
N	VLD	13.700	9.80	-	G	Q	52.73%	-	Tjczpsvc	3bGd	225-235	-	230	3hJm+230	-	220.00000
T	TXI	78.000	9.20	-	I-	N-	8.29%	-	Rksufsct	3kQd	Bbn hb Aku 900a	-	900	3sIi+814	-	97.00000
AU	SDZ	900.000	9.10	-	QQQ	ZZZ	95.00%	-	Vvdsofpl	3mQx	-	-	131	3xXg+131	-	666.00000
EJ	KUJ	47.000	3.70	-	DDD	LLL	40.00%	-	Mrhvjypf	3qKj	-	-	131	3dKf+131	-	813.00000

Tranche Comments

AU: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144K/Mxh E; EJ: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144G/Jnc D; A-1: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144H/Nlp I; B-2: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144J/Nmm N; N: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144K/Njn Y; H: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144C/Ixh H; O: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144O/Pkv X; T: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144X/Qda B; Hfwjhr: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144Y/Ccw B;

Deal Comments

Qxx Xauu Hwlxxtj 1.5

Risk Retention

RU/UJ - Qyyd UH - Qyy

Pricing Speed

20 ZOP

Reinvestment Period (YRS)

7.4

Reinvestment Period End Date

May 28, 2025

WAL Test Period (YRS)

3.4