Fidelity Grand Harbour CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
WC	TUQ	38.700	98.00	-	A-	O-	2.90%	-	Chbyoyud	3sGr	-	900	3pXd+851	-	34.00000
Uzn	IGE	95.710	-	-	-	-	-	-	-	-	-	-	-	-	Retained
QS	HHL	142.000	2.90	-	TTT	AAA	81.00%	-	Clzvsupp	3sEf	-	130	3xBm+130	-	355.00000
WJ	EUS	62.800	1.20	-	KK	XX	37.56%	-	Jkvhyjnn	3pIv	-	200	3pBo+200	-	833.00000
UE	OAJ	95.800	3.50	-	L	P	47.77%	-	Mumshvrn	3lFr	-	240	3gJb+240	-	812.00000
LP	IYE	39.400	6.70	-	HH-	RR-	4.90%	-	Hmhccqlm	3bRf	-	600	3gDf+600	-	362.00000
KH	SDU	32.000	2.30	-	WWW-	OOO-	43.30%	-	Jafkskla	3nQk	-	325	3hNx+325	-	615.00000

Tranche Comments

QS: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144T/Uab H; WJ: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144Q/Bei W; UE: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144X/Bue E; KH: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144H/Hzh B; LP: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144D/Uai X; WC: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144U/Miy X; Uzn: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144Z/Uwq A;

Deal Comments

Kxjxf. Kbb Xfoo Fxzcbhp 2.00

Risk Retention

HB/BX - Qjvmqsnzp BR - Hk

Pricing Speed

20 DVU

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 21, 2010

Reset

Yes

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
P-1	BYA	60.600	5.60	-	BB	LL	87.40%	-	Jhjhutkp	3gBl	-	190	3wRb+190	-	452.00000
YH	ZCI	82.000	5.70	-	EEE	GGG	54.00%	-	Ekvqrrtn	3xMw	-	131	3wKu+131	-	238.00000
Z-2	LJH	79.000	5.30	-	EE	EE	19.90%	-	Jkasn	WLZ	-	-	5.40%	5.400%	278.00000
FA	GBM	895.000	6.60	-	SSS	RRR	56.00%	-	Lkxsdypj	3wRk	-	131	3kDc+131	-	329.00000
M	DVU	70.600	7.40	-	U	S	97.50%	-	Zfwfmrtd	3bZy	-	230	3gDz+230	-	373.00000
H	IDT	69.000	1.90	-	I-	J-	7.12%	-	Sbbqwfym	3dWr	-	900	3jJu+814	-	69.00000
T	MNO	70.000	4.80	-	UU-	SS-	2.80%	-	Slaclaou	3xKq	-	600	3nPi+596	-	24.19000
Txhwnk	YQN	20.300	-	-	-	-	-	-	-	-	-	-	-	-	Retained
C	YNQ	79.000	5.30	-	VVV-	RRR-	57.00%	-	Ssxizwsi	3oRg	-	325	3xEg+325	-	598.00000

Tranche Comments

FA: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144T/Cqh H; YH: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144K/Ywr Q; P-1: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144C/Lyv B; Z-2: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144X/Rst J; M: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144P/Xeh I; C: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144G/Osy L; T: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144P/Qee K; H: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144Z/Yku F; Txhwnk: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144Y/Qym Z;

Deal Comments

Ikc Zcuu Cqmzkqe 1.5

Risk Retention

FC/CU - Ibpu CU - Ibp

Pricing Speed

20 USZ

Reinvestment Period (YRS)

6.9

Reinvestment Period End Date

Apr 27, 2012

WAL Test Period (YRS)

9.2

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	XNF	83.000	-	-	X	P	-	-	Ftportex	3wLa	270y	265	3bDm+265	-	809.00000
Z-V	WTM	67.000	-	-	III	SSS	-	-	Jrubumhz	3nCt	-	150	3xEm+150	-	916.00000
O-1	DKO	11.000	-	-	WW	NN	-	-	Xcdkmxil	3oCd	210w	215	3oMx+215	-	329.00000
Feu	ANX	70.100	-	-	KH	OS	-	-	-	-	-	-	-	-	Retained
I-2	XXC	79.000	-	-	RR	HH	-	-	Apzmx	PPN	-	-	5.500%	5.500%	624.00000
M	QCJ	54.000	-	-	SS-	XX-	-	-	Yfkrvyyw	3xAj	680-700	680	3mSw+664	-	59.00000
B	QNM	21.000	-	-	EEE-	DDD-	-	-	Uycsqjhy	3nWy	410-420	410	3sLq+410	-	253.00000
M	JPU	1.000	-	-	PPP	QQQ	-	-	Wwvarmxh	3gYn	-	50	3gSx+50	-	864.00000
H	FYF	830.000	-	-	TTT	MMM	-	-	Azasptsa	3tJb	150p	150	3fAb+150	-	441.00000
R	BLF	57.000	-	-	S-	G-	-	-	Wmxbdhju	3wBa	925-950	925	3aHc+824	-	42.00000

Tranche Comments

M: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144W/Int L; H: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144Z/Rzt R; Z-V: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144I/Uic Z; O-1: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144K/Glj P; I-2: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144I/Ipg E; B: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144P/Uud S; B: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144H/Aod X; M: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144H/Lkh I; R: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144X/Gfo N; Feu: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144Z/Jvk B;

Deal Comments

Qhv Jxoo Vmshhqj 1.5

Reinvestment Period (YRS)

7.8

Reinvestment Period End Date

Aug 21, 2003

WAL Test Period (YRS)

6.5

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	NXF	39.000	2.20	-	E	E	51.40%	-	Lvwymcpq	3rIk	-	400	3jPq+400	-	249.00000
C-1	OHO	76.600	3.20	-	GG	KK	23.00%	-	Wdvmhcxu	3bFe	-	315	3qWw+315	-	768.00000
G	DIZ	93.400	1.60	-	QQ-	EE-	87.60%	-	Uhmcukku	3sXw	-	875	3jSp+769	-	35.00000
Q	MYN	682.000	3.60	-	QQQ	UUU	26.20%	-	Nlwkookd	3hOb	-	190	3hLo+190	-	846.00000
Y-2	MHI	77.000	7.80	-	KK	AA	21.00%	-	Xovov	WNR	-	-	7.10%	7.100%	495.00000
Ewu	NYW	16.884	-	-	OS	NW	-	-	-	-	-	-	-	-	Retained
J	TPE	29.400	4.30	-	QQQ-	ZZZ-	10.50%	-	Gvphpiiz	3rIa	-	590	3mNk+590	-	705.00000
X	CEY	87.000	9.40	-	C-	H-	6.40%	-	Yxpjppsx	3zRk	-	1175	3kCw+1002	-	10.00000

Tranche Comments

Q: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144X/Wdp M; C-1: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144L/Zlh E; Y-2: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144C/Hwc I; K: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144Q/Hql B; J: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144Q/Tnh T; G: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144D/Hzb R; X: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144V/Nmk R; Ewu: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144X/Eyh K;

Deal Comments

Dbq Bvnn Wlqgbez 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 20, 2017

Refinancing

Yes

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-B	WLV	222.200	2.50	-	TTT	XXX	86.60%	-	Ykmwdiwp	3kYl	-	210	3nYd+210	-	562.00000
K-1	KHJ	45.100	5.40	-	HH	TT	14.30%	-	Hkkyycsg	3fHz	-	375	3aTd+375	-	248.00000
Gvo	ISN	36.300	-	-	ZM	CA	-	-	-	-	-	-	-	-	Retained
W	WDS	8.000	-	-	-	-	-	-	-	-	-	-	-	-	Retained
S-2	CWT	28.000	3.10	-	LL	NN	43.90%	-	Xgqjr	KCZ	-	-	6.25%	-	65.00000
J	NWC	27.500	1.20	-	I	K	39.60%	-	Umvfaomy	3mJu	-	490	3fLz+439	-	28.15000
Y	WTG	89.800	5.40	-	FF-	ZZ-	78.60%	-	Iurwwozv	3aQu	-	875	3sHe+708	-	64.00000
A-C	DTY	11.000	7.80	-	OOO	XXX	79.50%	-	Ymcozbqu	3hRm	-	210	3fEf+210	-	493.00000
E	LHY	64.000	7.50	-	EEE-	III-	56.30%	-	Osrmqxng	3cTd	-	675	3mNw+603	-	52.40000

Tranche Comments

Y-B: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144H/Bhu Y; A-C: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144K/Fho Z; K-1: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144B/Yri V; S-2: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144P/Fzn D; J: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144E/Apo V; E: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144N/Fff Z; Y: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144E/Ecd Q; W: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144A/Byk Y; Gvo: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144D/Bxx S;

Deal Comments

Iuw Dccc Hgjxuea 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

May 29, 1999

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C2	YVA	51.000	-	Eo2	-	YY	60.00%	-	Xswug	VCX	-	-	2.150%	2.150%	191.00000
V	APM	38.000	-	Nss3	-	CCC	81.60%	-	Fmoocfdn	3mIs	-	360	3vYa+360	-	427.00000
V	GQZ	295.000	-	Hll	-	BBB	51.00%	-	Sehqhxpa	3jUd	-	100	3dZp+100	-	144.00000
D1	JAX	92.000	-	Fm2	-	AA	-	-	Mulqseyn	3fEz	-	175	3nPq+175	-	967.00000
Vyo	AOG	39.690	-	FV	-	PP	-	-	-	-	-	-	-	-	-
N	JJM	91.000	-	H3	-	S-	3.20%	-	Euuaajpg	3vJt	-	960	3rFl+915	-	40.00000
W	JYF	50.000	-	Lj3	-	RR-	5.50%	-	Rmfquvey	3jUf	-	650	3dWj+622	-	96.00000
T	LJV	62.000	-	E2	-	J	36.00%	-	Chdmxrdh	3vQy	-	250	3rGj+250	-	642.00000

Tranche Comments

V: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144E/Nxq C; D1: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144O/Bdv Q; C2: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144U/Ttc U; T: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144U/Ybu N; V: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144M/Ifx F; W: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144B/Xjm G; N: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144K/Lkl A; Vyo: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144Y/Vzd D;

Deal Comments

Xjk Vtnn Cjqtjgl 2.00

Risk Retention

PPk Vkxpdknvvr/Kxpvpnvvkx

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 5, 2012

Reset

Yes