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
L	JKA	59.000	9.30	-	MM-	LL-	7.50%	-	Twqhykad	3hMp	-	-	580	3bWv+580	-	224.00000
U-1	GNR	97.000	7.00	-	CC	QQ	59.30%	-	Xyxpsxer	3hRl	-	-	185	3yNf+185	-	664.00000
Uhkrgu	MBW	91.600	-	-	AJ	CO	-	-	-	-	-	-	-	-	-	Retained
G	EYD	881.000	1.90	-	CCC	AAA	99.00%	-	Jduwsirt	3vCv	-	-	131	3jIk+131	-	366.00000
A-D	IBY	262.000	5.70	-	UUU	EEE	81.00%	-	Ywfmaqdz	3vIx	-	-	131	3rYz+131	-	962.00000
N	HLD	41.000	2.80	-	I	N	95.00%	-	Beduxtrk	3aJk	-	-	240	3yYu+240	-	900.00000
C	ZDW	46.000	5.60	-	CCC-	OOO-	75.00%	-	Iccsdhns	3oLm	-	-	315	3xVu+315	-	575.00000
I	IWI	83.000	69.10	-	Y-	C-	6.50%	-	Wzclfidv	3lNm	-	-	860	3zTt+831	-	16.37000
B-2	JZE	45.000	7.00	-	LL	MM	16.22%	-	Qjofv	-	-	-	-	5.00%	5.000%	405.00000

Tranche Comments

G: Redemption: 2027-03-03; Registration: 144K/Ipa T; A-D: Redemption: 2027-03-03; Registration: 144V/Gqw R; U-1: Redemption: 2027-03-03; Registration: 144E/Pjw X; B-2: Redemption: 2027-03-03; Registration: 144T/Cvd A; N: Redemption: 2027-03-03; Registration: 144U/Bjv F; C: Redemption: 2027-03-03; Registration: 144E/Lnv M; L: Redemption: 2027-03-03; Registration: 144G/Hzy E; I: Redemption: 2027-03-03; Registration: 144M/Ysi D; Uhkrgu: Redemption: 2027-03-03; Registration: 144L/Dvn I;

Deal Comments

Emc Upjj Rnazmdt 1.60

Risk Retention

ZS - Ckrpckvvxz

Pricing Speed

20% AYI

Reinvestment Period (YRS)

9.91

Reinvestment Period End Date

Jan 5, 2009