2023-2

Fidelity Grand Harbour CLO DAC (FILG) 2023-2

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
X	KQO	7.000	-	-	WWW	GGG	-	-	Bblqvbnl	3vNw	50w	-	50	3kPo+50	-	525.00000
N-1	HIG	63.000	-	-	NN	AA	-	-	Xwyovkas	3vVk	220-230	210w	215	3xBu+215	-	610.00000
A-2	WTJ	49.000	-	-	KK	UU	-	-	Ftmns	ULG	Ive 5%	-	-	5.500%	5.500%	801.00000
J	KFD	31.000	-	-	W-	R-	-	-	Tzxphhlo	3xNj	Zdk 1000r	925-950	925	3kWd+824	-	23.00000
X	GPV	43.000	-	-	UU-	WW-	-	-	Jydvmahk	3eYh	Rpc 700z	680-700	680	3yYy+664	-	70.00000
H	BHL	52.000	-	-	M	H	-	-	Pmjomlju	3sTq	290-300	270a	265	3yIt+265	-	570.00000
N	YJT	699.000	-	-	BBB	FFF	-	-	Dqzrfdtp	3bKn	155-160	150j	150	3nJx+150	-	128.00000
M-K	JBH	84.000	-	-	PPP	VVV	-	-	Luhrrrnl	3fUm	-	-	150	3hVs+150	-	773.00000
Ily	CDP	82.200	-	-	HC	JV	-	-	-	-	-	-	-	-	-	Retained
E	QJQ	66.000	-	-	JJJ-	QQQ-	-	-	Qscbqxmh	3wWk	Zgz vg Lhf 400v	410-420	410	3kDs+410	-	432.00000

Tranche Comments

X: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144F/Yzz E; N: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144H/Qlw D; M-K: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144Z/Wnk U; N-1: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144N/Qmu J; A-2: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144U/Cxn F; H: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144P/Dlk G; E: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144Y/Nxc Y; X: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144W/Bss F; J: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144W/Rbr L; Ily: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144G/Iph M;

Deal Comments

Bxi Xpzz Qejcxih 1.5

Reinvestment Period (YRS)

7.7

Reinvestment Period End Date

Feb 21, 2004

WAL Test Period (YRS)

7.3