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
Q-2	OOI	34.000	-	-	CC	DD	-	-	Apkxm	BFW	Fgu 5%	-	-	5.500%	5.500%	839.00000
K-C	WVC	72.000	-	-	RRR	WWW	-	-	Jcuwykld	3gZp	-	-	150	3tRn+150	-	126.00000
V	SNI	56.000	-	-	J-	N-	-	-	Dfeekhkd	3mBa	Lae 1000z	925-950	925	3cPr+824	-	92.00000
T	TIT	6.000	-	-	TTT	HHH	-	-	Icmyfyyk	3rAy	50r	-	50	3zYk+50	-	122.00000
J	HIF	886.000	-	-	AAA	AAA	-	-	Lfjmaobe	3lTb	155-160	150r	150	3pWb+150	-	561.00000
N	AKX	29.000	-	-	CCC-	GGG-	-	-	Uemyvyjb	3nBd	Amj km Jax 400h	410-420	410	3lQx+410	-	148.00000
Fcc	KNZ	23.500	-	-	AQ	JW	-	-	-	-	-	-	-	-	-	Retained
J	WWR	87.000	-	-	QQ-	OO-	-	-	Fjrfhfqc	3qQi	Zjw 700j	680-700	680	3yQl+664	-	45.00000
S-1	ZBL	21.000	-	-	VV	YY	-	-	Lpskecye	3kDf	220-230	210k	215	3kIm+215	-	483.00000
F	XYA	96.000	-	-	B	B	-	-	Gzmrkawg	3gBe	290-300	270r	265	3yXz+265	-	547.00000

Tranche Comments

T: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144K/Gty A; J: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144V/Hqn R; K-C: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144Z/Xxs F; S-1: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144F/Qqx S; Q-2: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144T/Ewr V; F: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144C/Blt C; N: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144P/Mdw D; J: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144H/Mic S; V: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144D/Jbp G; Fcc: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144G/Yfz Z;

Deal Comments

Oab Ghjj Gzhaaex 1.5

Reinvestment Period (YRS)

1.1

Reinvestment Period End Date

Sep 16, 2012

Reset

Yes

WAL Test Period (YRS)

4.2