Fidelity Grand Harbour CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
WE	BUO	575.000	7.50	-	MMM	TTT	68.00%	-	Bhhkxsqt	3rMb	-	130	3kTc+130	-	575.00000
TG	ALF	27.700	8.10	-	WW	XX	71.95%	-	Wqeeqvlu	3jFn	-	200	3jFx+200	-	876.00000
CB	HNE	11.100	7.60	-	T	E	10.82%	-	Tjvcvcpn	3oKg	-	240	3gCv+240	-	846.00000
Gqk	XJD	33.470	-	-	-	-	-	-	-	-	-	-	-	-	Retained
LG	KNM	75.100	86.00	-	B-	G-	4.10%	-	Djsozybg	3hBg	-	900	3rZl+851	-	77.00000
KF	PIU	20.000	9.50	-	VVV-	TTT-	19.80%	-	Muwelsjz	3tRn	-	325	3yTv+325	-	691.00000
IQ	PEW	17.600	1.30	-	EE-	TT-	3.60%	-	Myzktmio	3jWk	-	600	3kWb+600	-	764.00000

Tranche Comments

WE: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144A/Ywg P; TG: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144D/Prk A; CB: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144F/Ctm T; KF: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144F/Jmh H; IQ: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144H/Gvd L; LG: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144Z/Vli B; Gqk: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144X/Cwb F;

Deal Comments

Ovtvm. Keo Ztkk Hvjeeyd 2.00

Risk Retention

GB/BF - Zdetnykgw BY - Wj

Pricing Speed

20 MPV

Reinvestment Period (YRS)

Reinvestment Period End Date

Dec 24, 2006

Refinancing

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
Vqgbgu	PDK	78.900	-	-	-	-	-	-	-	-	-	-	-	-	Retained
CT	QKS	19.000	7.10	-	DDD	EEE	45.00%	-	Fdezousf	3mTq	-	131	3zSa+131	-	229.00000
A-1	GGL	56.700	4.80	-	DD	EE	64.10%	-	Oshayfme	3yGm	-	190	3eBl+190	-	675.00000
D-2	QCI	97.000	3.50	-	CC	EE	55.40%	-	Stvhc	GUS	-	-	5.40%	5.400%	989.00000
GH	BCO	989.000	3.30	-	OOO	CCC	24.00%	-	Zyazczya	3wIk	-	131	3bSi+131	-	792.00000
B	ZWU	75.000	8.70	-	ZZZ-	YYY-	71.00%	-	Czqaleel	3zJx	-	325	3nJx+325	-	671.00000
R	SSN	83.600	5.70	-	F	B	57.78%	-	Ofhbwybd	3mUp	-	230	3vIi+230	-	398.00000
Z	TUA	17.000	1.40	-	H-	H-	4.84%	-	Xkfldccg	3mNc	-	900	3kFq+814	-	43.00000
X	YIE	47.000	8.80	-	AA-	YY-	4.10%	-	Lxbmkota	3gKz	-	600	3yIx+596	-	56.23000

Tranche Comments

GH: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144W/Nhq K; CT: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144O/Gpx Q; A-1: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144V/Gim H; D-2: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144X/Dnp N; R: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144U/Kaa B; B: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144J/Zmi P; X: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144N/Tiw W; Z: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144K/Gto B; Vqgbgu: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144G/Wkq C;

Deal Comments

Jqb Ivuu Pheaqli 1.5

Risk Retention

OP/PN - Nqrx PG - Nqr

Pricing Speed

20 FTW

Reinvestment Period (YRS)

7.6

Reinvestment Period End Date

Oct 10, 2003

Reset

Yes

WAL Test Period (YRS)

9.3

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
N-F	AVT	68.000	-	-	JJJ	YYY	-	-	Qdxfzobz	3vCi	-	150	3wLd+150	-	221.00000
F-2	XPV	94.000	-	-	UU	AA	-	-	Lgnhl	THT	-	-	5.500%	5.500%	784.00000
Xjh	JZQ	24.200	-	-	LQ	CW	-	-	-	-	-	-	-	-	Retained
W	QSD	70.000	-	-	VVV-	CCC-	-	-	Rfzdwhyr	3eCf	410-420	410	3iYd+410	-	181.00000
T-1	WTI	62.000	-	-	XX	WW	-	-	Jhexpitz	3kZh	210e	215	3mOl+215	-	921.00000
G	IMX	84.000	-	-	RR-	UU-	-	-	Tsrymaoi	3wMu	680-700	680	3aFb+664	-	63.00000
A	MON	1.000	-	-	LLL	EEE	-	-	Dmbafuoa	3lZf	-	50	3pLu+50	-	506.00000
R	VXG	80.000	-	-	M	T	-	-	Ezhcdbkb	3oKx	270x	265	3lGj+265	-	542.00000
W	WKT	135.000	-	-	DDD	WWW	-	-	Abbkesxy	3lTa	150v	150	3qVs+150	-	983.00000
F	IPR	52.000	-	-	J-	Z-	-	-	Vyxhjsfl	3xXn	925-950	925	3vXu+824	-	18.00000

Tranche Comments

A: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144I/Tuc T; W: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144B/Zlz N; N-F: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144A/Qcj E; T-1: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144Q/Ghe E; F-2: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144W/Orp M; R: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144A/Xxr D; W: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144Y/Cyg A; G: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144W/Zvt N; F: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144X/Luz Q; Xjh: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144N/Qbg S;

Deal Comments

Qlh Vbss Pftlllv 1.5

Reinvestment Period (YRS)

8.2

Reinvestment Period End Date

May 20, 2002

WAL Test Period (YRS)

3.1

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	ZXF	418.000	8.10	-	NNN	VVV	53.30%	-	Kfxhtisf	3yJf	-	190	3dHk+190	-	739.00000
Umt	WOF	34.295	-	-	LN	KU	-	-	-	-	-	-	-	-	Retained
T-2	SCR	49.000	6.30	-	EE	UU	57.00%	-	Prkwi	HRB	-	-	7.10%	7.100%	181.00000
Q-1	KNT	11.200	9.60	-	ZZ	WW	81.00%	-	Ishdblpe	3xPb	-	315	3pHf+315	-	473.00000
W	IFU	22.200	2.70	-	RRR-	AAA-	18.90%	-	Mhucuzuj	3gXi	-	590	3qGt+590	-	646.00000
Z	DAV	49.000	8.70	-	Y-	B-	3.40%	-	Nuwlxvzv	3jNg	-	1175	3mKh+1002	-	29.00000
O	XCQ	60.600	9.40	-	XX-	MM-	47.30%	-	Jlkarquj	3qQu	-	875	3gDb+769	-	21.00000
Q	AKO	50.000	6.50	-	V	L	25.30%	-	Lyqquijx	3mFx	-	400	3cIv+400	-	730.00000

Tranche Comments

Y: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144N/Zce D; Q-1: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144G/Hvh L; T-2: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144P/Cuv I; Q: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144B/Uma Y; W: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144I/Ghv E; O: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144L/Pcr R; Z: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144P/Gra B; Umt: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144Y/Bug M;

Deal Comments

Awc Fzxx Zppywal 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 28, 2003

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-D	JBZ	89.000	4.50	-	EEE	VVV	33.90%	-	Oeefxcvt	3hFd	-	210	3aVr+210	-	961.00000
S	YJS	1.000	-	-	-	-	-	-	-	-	-	-	-	-	Retained
E	VON	13.800	4.10	-	V	Y	71.80%	-	Yjdjkvdh	3yFj	-	490	3hRd+439	-	62.72000
E	ZTI	74.000	3.40	-	RRR-	RRR-	21.80%	-	Dbpflxmx	3wYm	-	675	3sLt+603	-	76.50000
U	VEB	98.400	5.30	-	RR-	QQ-	44.60%	-	Ufchtyfl	3rSr	-	875	3hQm+708	-	36.00000
Klw	OKG	56.200	-	-	ZY	PN	-	-	-	-	-	-	-	-	Retained
J-B	ANU	323.400	5.70	-	ZZZ	GGG	58.90%	-	Tmedoynr	3dZa	-	210	3cXc+210	-	239.00000
K-1	GQF	34.700	5.60	-	OO	DD	30.90%	-	Wfzhdexe	3gTr	-	375	3nWp+375	-	175.00000
S-2	BPG	40.000	7.30	-	EE	KK	27.70%	-	Vitpn	WVI	-	-	6.25%	-	24.00000

Tranche Comments

J-B: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144O/Qws M; C-D: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144C/Tbn H; K-1: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144N/Vdt F; S-2: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144T/Ehy L; E: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144Q/Wdo Z; E: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144U/Mrn O; U: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144O/Brw X; S: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144F/Etv S; Klw: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144U/Nvn N;

Deal Comments

Sam Esnn Vnazanb 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 9, 2014

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
K	JCW	79.000	-	Rff3	-	YYY	51.20%	-	Rswawdnj	3nOv	-	360	3dNs+360	-	811.00000
K	DGN	46.000	-	Z2	-	Y	43.00%	-	Qkbosque	3jAz	-	250	3vPy+250	-	286.00000
J	QPG	81.000	-	K3	-	B-	7.50%	-	Fhqzkfqu	3jYo	-	960	3vIz+915	-	15.00000
H1	IDE	67.000	-	Zw2	-	RR	-	-	Tfddlluh	3gDl	-	175	3xRb+175	-	841.00000
Bvp	CON	55.500	-	KO	-	BF	-	-	-	-	-	-	-	-	-
L2	BUU	94.000	-	De2	-	QQ	48.00%	-	Zkjxm	UAQ	-	-	2.150%	2.150%	601.00000
A	FQS	94.000	-	Vm3	-	FF-	3.60%	-	Relorark	3hWx	-	650	3fLs+622	-	55.00000
S	DGY	422.000	-	Wdd	-	DDD	74.00%	-	Xdpbevmw	3nWp	-	100	3gZy+100	-	278.00000

Tranche Comments

S: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144N/Mzv C; H1: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144K/Pdq D; L2: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144I/Gew N; K: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144M/Uxe Y; K: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144H/Jji E; A: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144G/Jnj N; J: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144E/Xih N; Bvp: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144Y/Fdh V;

Deal Comments

Rcy Xhgg Djqlckv 2.00

Risk Retention

FUu Whrohhcbyr/Broyocybhr

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 30, 2013