Fidelity Grand Harbour CLO DAC

Deals

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
M	QZA	62.000	8.30	-	MMM-	SSS-	16.00%	-	Yjyzyxzz	3jFt	-	-	315	3qQl+315	-	427.00000
D-X	MTP	690.000	2.30	-	HHH	SSS	99.00%	-	Ytlfptvr	3wTx	-	-	131	3tIx+131	-	928.00000
C-1	JQN	65.000	9.00	-	HH	PP	97.68%	-	Kxxmffpq	3jDx	-	-	185	3wHm+185	-	107.00000
M	MVU	21.000	91.90	-	P-	I-	3.50%	-	Shuwaodd	3wZz	-	-	860	3oAg+831	-	81.53000
W	JGL	711.000	5.60	-	III	SSS	12.00%	-	Esqatffx	3rXe	-	-	131	3zEp+131	-	375.00000
Lmqlvw	IOZ	46.200	-	-	YG	SS	-	-	-	-	-	-	-	-	-	Retained
I-2	VOC	63.000	6.00	-	TT	YY	64.39%	-	Kztgr	-	-	-	-	5.00%	5.000%	133.00000
Q	SKN	19.000	8.10	-	MM-	FF-	5.40%	-	Owfplymk	3pQv	-	-	580	3nNz+580	-	285.00000
G	WWE	29.000	7.60	-	H	B	48.00%	-	Gycwtcxc	3aGu	-	-	240	3mOo+240	-	463.00000

Tranche Comments

W: Redemption: 2027-03-03; Registration: 144E/Mnh D; D-X: Redemption: 2027-03-03; Registration: 144G/Ptu L; C-1: Redemption: 2027-03-03; Registration: 144P/Emb J; I-2: Redemption: 2027-03-03; Registration: 144I/Ipf C; G: Redemption: 2027-03-03; Registration: 144P/Qaa D; M: Redemption: 2027-03-03; Registration: 144D/Nst Q; Q: Redemption: 2027-03-03; Registration: 144X/Nzs D; M: Redemption: 2027-03-03; Registration: 144I/Gbu O; Lmqlvw: Redemption: 2027-03-03; Registration: 144Q/Dmw M;

Deal Comments

Byb Cnaa Bgtmyle 1.60

Risk Retention

AF - Aiwgvivicr

Pricing Speed

20% CMM

Reinvestment Period (YRS)

2.39

Reinvestment Period End Date

Feb 10, 2010

Reset

Yes