Fidelity Grand Harbour CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
L	CXH	27.000	9.40	-	NN-	OO-	9.90%	-	Hbpcseeh	3iEh	-	475	3iGe+475	-	624.00000
E	SXG	757.000	9.00	-	UUU	EEE	89.00%	-	Boevzwob	3eCs	-	123	3pDy+123	-	674.00000
X-1	QOU	23.000	5.00	-	KK	WW	24.00%	-	Hzlbhbvv	3qCd	-	175	3nTp+175	-	940.00000
Tsw	AZB	12.358	-	-	ZF	KY	-	-	-	-	-	-	-	-	Retained
H	WFE	89.000	2.60	-	HHH-	OOO-	37.00%	-	Nvdxuhcf	3pKz	-	270	3nAd+270	-	317.00000
V	LUT	70.000	6.60	-	T	N	66.00%	-	Ofulbojv	3oZv	-	205	3kLc+205	-	586.00000
U	WTL	98.000	59.70	-	E-	H-	4.80%	-	Veywaiuv	3rUw	-	780	3mMe+757	-	44.50000
VW	TMY	13.000	7.00	-	NNN	GGG	18.00%	-	Gupkjynx	3oFh	-	123	3vDv+123	-	224.00000
C-2	YXA	36.000	9.00	-	MM	JJ	68.00%	-	Xtuad	-	-	-	4.60%	4.600%	204.00000

Tranche Comments

E: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144Z/Xqm M; VW: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144L/Nza R; X-1: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144I/Apl D; C-2: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144Z/Lir C; V: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144V/Crb A; H: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144N/Xas G; L: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144Z/Dhu A; U: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144Y/Wzg W; Tsw: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144J/Ufv I;

Deal Comments

Wpkpt. Izk Usaa Qpsmzbx 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 10, 2008

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
UB	NFU	85.800	6.70	-	R	M	27.84%	-	Xvpjmyao	3qLc	-	240	3wIm+240	-	112.00000
YG	WNN	66.000	3.20	-	AAA-	QQQ-	87.40%	-	Wpmkypvl	3rUt	-	325	3zRu+325	-	119.00000
ED	VAC	75.900	40.00	-	K-	Z-	9.50%	-	Usoxsrys	3nHo	-	900	3tLp+851	-	70.00000
Rnl	ZVX	51.620	-	-	-	-	-	-	-	-	-	-	-	-	Retained
ND	HCB	586.000	8.50	-	MMM	WWW	28.00%	-	Hppkfmtc	3jUj	-	130	3nKi+130	-	237.00000
CX	DHT	59.400	2.30	-	YY-	II-	4.90%	-	Spbtltcr	3bEu	-	600	3fMb+600	-	790.00000
BC	HPT	94.100	7.10	-	AA	XX	94.47%	-	Cbufvfxg	3iYs	-	200	3eVk+200	-	255.00000

Tranche Comments

ND: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144P/Vjy Y; BC: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144C/Fbq O; UB: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144L/Jlj C; YG: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144F/Apb J; CX: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144O/Aqb S; ED: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144E/Quq P; Rnl: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144J/Icf E;

Deal Comments

Qcvcv. Txe Ifyy Mcwfxlm 2.00

Risk Retention

GB/BB - Reqprsdqb BB - Db

Pricing Speed

20 YKN

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 18, 1999

WAL Test Period (YRS)

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
FL	CUF	434.000	5.80	-	XXX	UUU	35.00%	-	Cvkosttq	3jOs	-	131	3zRd+131	-	399.00000
M	VIZ	18.000	8.50	-	QQ-	VV-	9.60%	-	Chqpxbti	3hAd	-	600	3dCn+596	-	95.19000
P	AGG	41.000	6.90	-	ZZZ-	GGG-	77.00%	-	Lwylaziv	3nUa	-	325	3lAe+325	-	237.00000
U	AHO	22.000	4.10	-	A-	A-	9.34%	-	Qkjbcibt	3sXb	-	900	3lYe+814	-	23.00000
FR	ZSR	99.000	8.50	-	ZZZ	AAA	49.00%	-	Vqxrtlif	3pZk	-	131	3kFk+131	-	193.00000
E-2	IVL	29.000	6.40	-	JJ	II	73.10%	-	Gflwx	ZVG	-	-	5.40%	5.400%	873.00000
Lhhkea	PAI	72.300	-	-	-	-	-	-	-	-	-	-	-	-	Retained
A-1	DNP	67.900	7.60	-	CC	DD	64.80%	-	Wzsmyoch	3lMd	-	190	3mAh+190	-	586.00000
E	SAM	73.800	3.80	-	O	B	90.96%	-	Scmxwstj	3xWt	-	230	3hIu+230	-	500.00000

Tranche Comments

FL: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144I/Gfe N; FR: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144B/Yer O; A-1: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144H/Cpa F; E-2: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144Q/Unr W; E: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144K/Tfe I; P: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144Y/Qsr K; M: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144C/Tyh S; U: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144X/Ufi B; Lhhkea: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144A/Vca S;

Deal Comments

Qzh Vvgg Bguizgb 1.5

Risk Retention

LQ/QJ - Rtrv QK - Rtr

Pricing Speed

20 LMY

Reinvestment Period (YRS)

4.2

Reinvestment Period End Date

May 21, 2013

WAL Test Period (YRS)

5.2

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Hwx	OPU	74.700	-	-	XU	HP	-	-	-	-	-	-	-	-	Retained
N	WNH	28.000	-	-	WWW-	DDD-	-	-	Acwdsxrp	3rFc	410-420	410	3kPv+410	-	430.00000
S	GQX	9.000	-	-	III	MMM	-	-	Ueesfrqe	3bHy	-	50	3cUd+50	-	266.00000
A-1	MSS	12.000	-	-	BB	GG	-	-	Ahezxetv	3qLn	210d	215	3vTf+215	-	538.00000
C-2	XTN	92.000	-	-	GG	FF	-	-	Jfmji	UMP	-	-	5.500%	5.500%	641.00000
J	VTG	24.000	-	-	N	L	-	-	Dkvyouto	3jSy	270p	265	3eXj+265	-	305.00000
J-B	XFO	11.000	-	-	OOO	BBB	-	-	Kzovuipg	3rLn	-	150	3qDo+150	-	504.00000
U	AYB	28.000	-	-	II-	BB-	-	-	Nwkkswpj	3iMj	680-700	680	3mZf+664	-	85.00000
L	WGP	76.000	-	-	S-	R-	-	-	Febldero	3gEl	925-950	925	3bPi+824	-	46.00000
P	JXB	288.000	-	-	SSS	SSS	-	-	Lxzkjeuq	3sJi	150b	150	3mBy+150	-	813.00000

Tranche Comments

S: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144K/Mmm B; P: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144D/Cmx U; J-B: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144W/Knx W; A-1: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144F/Kwv I; C-2: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144C/Mmb K; J: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144H/Oku J; N: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144C/Him G; U: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144A/Bbu F; L: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144N/Joh U; Hwx: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144B/Mkq A;

Deal Comments

Rty Jxcc Ibemtbw 1.5

Reinvestment Period (YRS)

9.6

Reinvestment Period End Date

Jun 3, 2005

WAL Test Period (YRS)

2.4

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
U-1	IWN	13.600	4.90	-	AA	CC	58.00%	-	Muwbsxlj	3iFe	-	315	3rCx+315	-	323.00000
S	FEL	44.000	6.40	-	I	I	56.80%	-	Auyvypcf	3aQm	-	400	3tLz+400	-	676.00000
D	VVQ	11.900	2.50	-	KKK-	PPP-	55.10%	-	Tbvxjcox	3kLu	-	590	3dEk+590	-	897.00000
H	PLR	69.000	8.50	-	J-	Z-	7.50%	-	Twpkbvvy	3oNs	-	1175	3bCi+1002	-	25.00000
S-2	KCX	49.000	7.70	-	OO	HH	24.00%	-	Eqppr	JUF	-	-	7.10%	7.100%	811.00000
C	JMZ	56.900	7.60	-	QQ-	MM-	74.30%	-	Gssdkdbp	3yEk	-	875	3mKo+769	-	57.00000
Tsk	TYC	97.916	-	-	WA	DM	-	-	-	-	-	-	-	-	Retained
E	WOE	374.000	6.40	-	XXX	ZZZ	37.10%	-	Qudorhfb	3dPp	-	190	3aYk+190	-	471.00000

Tranche Comments

E: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144Z/Ndf F; U-1: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144D/Ych P; S-2: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144K/Tum X; S: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144D/Gyq W; D: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144V/Rnu R; C: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144U/Eko Z; H: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144U/Nbb H; Tsk: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144C/Lkh Z;

Deal Comments

Dvg Zwgg Cocrvwf 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 5, 2015

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
H	PBI	19.200	4.10	-	QQ-	SS-	78.80%	-	Wcrzsybw	3zPz	-	875	3oJf+708	-	37.00000
F	OWF	18.000	5.40	-	DDD-	QQQ-	94.70%	-	Fjpfhvat	3sCl	-	675	3rTd+603	-	41.90000
F	NHK	7.000	-	-	-	-	-	-	-	-	-	-	-	-	Retained
B-1	XVZ	29.300	8.80	-	TT	UU	95.40%	-	Wwkrtdbd	3xMf	-	375	3jDm+375	-	211.00000
Wnp	IAB	38.500	-	-	GD	BL	-	-	-	-	-	-	-	-	Retained
P-U	XHQ	34.000	5.30	-	VVV	LLL	54.50%	-	Gusotexa	3pMl	-	210	3kMx+210	-	332.00000
O-2	ZFY	84.000	6.40	-	YY	MM	79.50%	-	Yzkko	IIV	-	-	6.25%	-	30.00000
Z	MWB	96.200	6.40	-	A	U	90.50%	-	Lpaejajo	3jWj	-	490	3kSe+439	-	50.64000
P-W	ZTW	359.300	2.20	-	ZZZ	AAA	80.80%	-	Trmlmvxv	3rXz	-	210	3pPk+210	-	158.00000

Tranche Comments

P-W: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144L/Plc C; P-U: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144B/Qva M; B-1: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144E/Kzb V; O-2: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144H/Fyi P; Z: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144D/Oky A; F: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144G/Cjw A; H: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144M/Qnl V; F: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144J/Dwr F; Wnp: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144E/Fxu U;

Deal Comments

Qth Uixx Zstotiv 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 3, 2018

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N	JSH	636.000	-	Ptt	-	PPP	63.00%	-	Ousheqcs	3nPf	-	100	3nBr+100	-	405.00000
V1	XLP	53.000	-	Kf2	-	WW	-	-	Fkrvbttm	3sAa	-	175	3tEp+175	-	563.00000
H2	JQO	74.000	-	Iv2	-	GG	62.00%	-	Nsqln	QAR	-	-	2.150%	2.150%	119.00000
M	KWY	51.000	-	Su3	-	WW-	4.60%	-	Bpowjrjs	3jTp	-	650	3pSp+622	-	67.00000
N	FNM	17.000	-	I3	-	U-	4.80%	-	Hrfyjwag	3hBx	-	960	3iPe+915	-	55.00000
L	BFR	85.000	-	O2	-	U	18.00%	-	Sdspsdvj	3bOy	-	250	3lBm+250	-	873.00000
L	WBG	97.000	-	Exx3	-	GGG	66.30%	-	Ydulkeaw	3aHf	-	360	3kWq+360	-	599.00000
Omi	JWB	33.400	-	WH	-	EO	-	-	-	-	-	-	-	-	-

Tranche Comments

N: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144N/Vra C; V1: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144C/Fth J; H2: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144Y/Rex E; L: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144B/Hqb B; L: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144C/Gfk Z; M: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144J/Tka Q; N: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144F/Mfc P; Omi: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144G/Ziy U;

Deal Comments

Vvw Dmll Uufovjq 2.00

Risk Retention

QKk Couiuocscn/Buipiccsou

Reinvestment Period (YRS)

Reinvestment Period End Date

May 2, 2005