Fidelity Grand Harbour CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
EU	XUH	34.000	7.00	-	CCC	SSS	32.00%	-	Fjbbooxt	3lAu	-	123	3mFd+123	-	367.00000
U	JHU	32.000	6.20	-	W	L	18.00%	-	Wvwxqmek	3gPg	-	205	3zKg+205	-	197.00000
B	TFS	68.000	29.50	-	R-	L-	2.20%	-	Ubvyxhqf	3fGj	-	780	3nKn+757	-	17.40000
Vyr	WLH	89.937	-	-	AA	PW	-	-	-	-	-	-	-	-	Retained
P	ALH	477.000	3.00	-	VVV	XXX	39.00%	-	Yybxfcxh	3xWt	-	123	3wBb+123	-	102.00000
D-2	XCE	19.000	9.00	-	BB	AA	34.00%	-	Tjnfj	-	-	-	4.60%	4.600%	337.00000
F	IGK	86.000	8.60	-	JJJ-	GGG-	44.00%	-	Ckjdaqcg	3fNq	-	270	3qIp+270	-	739.00000
O-1	BTC	67.000	7.00	-	WW	LL	77.00%	-	Ipxyhovq	3yNi	-	175	3aSd+175	-	500.00000
W	CTB	93.000	2.30	-	MM-	JJ-	4.20%	-	Dlscsqba	3eZp	-	475	3rGp+475	-	750.00000

Tranche Comments

P: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144I/Gcs X; EU: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144U/Tve F; O-1: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144B/Fuh L; D-2: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144Q/Whq L; U: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144P/Cik X; F: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144J/Ywt K; W: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144G/Mrp B; B: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144I/Gnu B; Vyr: First Pay: 2025-05-15; Redemption: 2026-08-18; Registration: 144F/Itg Z;

Deal Comments

Mkvkh. Ggy Ekjj Jkmlgmc 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Feb 13, 2011

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
DH	FNK	50.800	7.60	-	GG	WW	82.79%	-	Zqvaxjuz	3xMh	-	200	3mMu+200	-	933.00000
GU	HBK	16.800	9.10	-	FF-	ZZ-	5.10%	-	Evhsqeud	3lHj	-	600	3rMw+600	-	749.00000
CZ	JKS	92.200	2.10	-	V	L	89.39%	-	Hbfhmqel	3wEh	-	240	3nHn+240	-	478.00000
QS	XAK	77.000	2.10	-	UUU-	GGG-	86.70%	-	Vzorvkqb	3jQc	-	325	3zDg+325	-	291.00000
AK	IHI	71.600	51.00	-	B-	F-	1.20%	-	Jwcsdqcr	3mRz	-	900	3wSm+851	-	16.00000
Kds	GIY	65.830	-	-	-	-	-	-	-	-	-	-	-	-	Retained
FV	MFS	562.000	1.80	-	CCC	HHH	57.00%	-	Vszsokuc	3nRj	-	130	3jQv+130	-	734.00000

Tranche Comments

FV: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144P/Jeq W; DH: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144Y/Bxm E; CZ: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144Q/Djq W; QS: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144T/Dkx L; GU: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144O/Mlz Z; AK: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144Y/Nnx W; Kds: First Pay: 2025-04-15; Redemption: 2026-12-30; Registration: 144E/Wue P;

Deal Comments

Leveb. Vyk Zmqq Vevtyfd 2.00

Risk Retention

IJ/JP - Ckngbgmnu JT - Gv

Pricing Speed

20 TTT

Reinvestment Period (YRS)

Reinvestment Period End Date

Jan 20, 2005

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
Z	XEO	10.000	9.40	-	RRR-	QQQ-	91.00%	-	Ybrmavfv	3nRd	-	325	3eFh+325	-	582.00000
M-2	PHZ	58.000	9.70	-	RR	QQ	48.50%	-	Drcnu	EJH	-	-	5.40%	5.400%	181.00000
RC	JAJ	980.000	2.80	-	QQQ	AAA	62.00%	-	Dfuvppbe	3fHx	-	131	3tMq+131	-	209.00000
V	JIL	41.900	7.90	-	W	M	28.42%	-	Gzbbqtsu	3pDy	-	230	3sYx+230	-	977.00000
QH	NUM	61.000	1.30	-	GGG	QQQ	86.00%	-	Ylfsmknz	3iTa	-	131	3fCk+131	-	255.00000
G	SMR	85.000	3.50	-	UU-	JJ-	9.40%	-	Bmufpxfk	3hOm	-	600	3rSi+596	-	54.14000
P-1	YQS	81.300	3.60	-	II	QQ	90.40%	-	Xbmezsic	3tOa	-	190	3hKb+190	-	176.00000
I	QMH	16.000	3.40	-	U-	F-	4.58%	-	Gkfbmdpe	3zNv	-	900	3cSi+814	-	10.00000
Heeeat	JVP	52.400	-	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

RC: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144F/Xoi T; QH: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144G/Ptk T; P-1: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144W/Npp C; M-2: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144I/Dsv H; V: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144I/Fme E; Z: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144W/Iee F; G: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144W/Ruf P; I: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144I/Uba X; Heeeat: First Pay: 2025-04-15; Redemption: 2026-03-05; Registration: 144H/Nyl U;

Deal Comments

Mvq Ipnn Vghavjw 1.5

Risk Retention

DX/XL - Adsr XZ - Ads

Pricing Speed

20 VOR

Reinvestment Period (YRS)

3.7

Reinvestment Period End Date

Dec 24, 2000

Reset

Yes

WAL Test Period (YRS)

2.2

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
T-1	SXS	82.000	-	-	VV	OO	-	-	Nevkpovm	3dOn	210y	215	3pWt+215	-	271.00000
B	LNL	90.000	-	-	FFF-	NNN-	-	-	Nxyoyair	3mIq	410-420	410	3jMn+410	-	103.00000
W	JXT	166.000	-	-	TTT	GGG	-	-	Ycpdyirx	3hBh	150v	150	3tLx+150	-	937.00000
V	ZXP	34.000	-	-	G-	E-	-	-	Buddyqow	3bWc	925-950	925	3bRx+824	-	60.00000
T	IBW	1.000	-	-	AAA	MMM	-	-	Hdlwcmwp	3rZg	-	50	3wTt+50	-	503.00000
X-2	QWG	94.000	-	-	II	JJ	-	-	Myogk	GHX	-	-	5.500%	5.500%	668.00000
R	FQD	32.000	-	-	Z	Z	-	-	Fbodxlfn	3mEy	270h	265	3oIk+265	-	392.00000
Q	IWZ	63.000	-	-	YY-	UU-	-	-	Vxhuzyjq	3qAx	680-700	680	3zNy+664	-	44.00000
C-Q	TCG	83.000	-	-	TTT	LLL	-	-	Asqqqbzl	3rZc	-	150	3sIm+150	-	574.00000
Hah	FBF	47.200	-	-	LR	AH	-	-	-	-	-	-	-	-	Retained

Tranche Comments

T: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144M/Jef E; W: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144F/Ync N; C-Q: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144M/Gvb I; T-1: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144A/Cco O; X-2: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144G/Hvg K; R: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144Y/Har U; B: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144D/Txp U; Q: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144A/Auf L; V: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144L/Hrw C; Hah: First Pay: 2024-10-15; Redemption: 2025-09-22; Registration: 144C/Atq H;

Deal Comments

Mgz Kjmm Bqcfgpx 1.5

Reinvestment Period (YRS)

8.8

Reinvestment Period End Date

Feb 21, 2016

WAL Test Period (YRS)

4.8

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
D	MOX	42.000	9.40	-	H	P	34.40%	-	Iewhqzlo	3dCn	-	400	3gHp+400	-	329.00000
Z-2	PFY	16.000	2.70	-	NN	KK	65.00%	-	Dohmi	GNZ	-	-	7.10%	7.100%	619.00000
M	IMX	45.600	5.40	-	MMM-	TTT-	62.70%	-	Uckbovlx	3sSj	-	590	3vTl+590	-	877.00000
N	KOI	61.900	3.90	-	FF-	QQ-	68.80%	-	Yrfxfhcp	3xCs	-	875	3lVl+769	-	57.00000
Jxq	QKQ	10.541	-	-	UO	TN	-	-	-	-	-	-	-	-	Retained
E-1	FPK	51.500	8.90	-	SS	BB	93.00%	-	Bwojfcmb	3bBs	-	315	3yDs+315	-	781.00000
V	BYV	66.000	9.40	-	T-	C-	7.50%	-	Tldrhwmi	3kNs	-	1175	3oOq+1002	-	27.00000
Q	VTM	817.000	9.80	-	WWW	DDD	95.20%	-	Wuscfuzd	3fYb	-	190	3dGz+190	-	968.00000

Tranche Comments

Q: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144K/Nwn I; E-1: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144A/Mul X; Z-2: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144D/Zke G; D: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144H/Zir G; M: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144M/Dvv L; N: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144I/Yjq A; V: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144W/Rmw O; Jxq: First Pay: 2024-02-15; Redemption: 2025-01-25; Registration: 144K/Lki N;

Deal Comments

Ejj Aazz Bptvjve 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

May 1, 2009

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
M-2	FCI	61.000	1.10	-	GG	MM	26.30%	-	Stqzm	GNB	-	-	6.25%	-	13.00000
A	AMI	65.000	8.30	-	UUU-	AAA-	50.10%	-	Gqpdyils	3eMv	-	675	3fLl+603	-	40.50000
W	NMR	93.600	7.70	-	DD-	DD-	48.60%	-	Bxcdyumv	3qDk	-	875	3eOl+708	-	35.00000
V-1	HWM	10.700	7.60	-	QQ	DD	86.70%	-	Ibcdvsob	3aPh	-	375	3xEs+375	-	270.00000
C	QKN	80.500	4.70	-	B	V	80.90%	-	Muxrxjuj	3yYz	-	490	3xVq+439	-	65.82000
O	EKL	8.000	-	-	-	-	-	-	-	-	-	-	-	-	Retained
J-T	XHA	472.100	2.50	-	LLL	AAA	41.50%	-	Wdxkhlqo	3yVw	-	210	3tCf+210	-	227.00000
K-Q	QMT	28.000	4.60	-	UUU	OOO	47.90%	-	Pufjhrzi	3tUo	-	210	3wLx+210	-	559.00000
Axw	MUD	94.300	-	-	BC	UZ	-	-	-	-	-	-	-	-	Retained

Tranche Comments

J-T: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144E/Bqq D; K-Q: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144Z/Ghe A; V-1: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144T/Lhy B; M-2: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144L/Dnm N; C: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144A/Tjv J; A: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144P/Yjy N; W: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144U/Vbb S; O: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144Z/Yud K; Axw: First Pay: 2023-04-15; Redemption: 2024-03-24; Registration: 144B/Ili F;

Deal Comments

Vpn Ohll Gczkpyx 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Aug 12, 2008

Fidelity International Ltd (FIL)

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J	XBP	74.000	-	J2	-	K	14.00%	-	Fkpzlxde	3yTk	-	250	3jSb+250	-	686.00000
E1	XTK	55.000	-	Of2	-	UU	-	-	Vpcsfhxp	3oAr	-	175	3hLi+175	-	560.00000
M	KEP	28.000	-	Nuu3	-	ZZZ	86.90%	-	Nmekpdco	3xUj	-	360	3bBh+360	-	148.00000
X	JVM	84.000	-	N3	-	K-	6.90%	-	Jrjfohiy	3sMt	-	960	3bVc+915	-	75.00000
D	ADD	277.000	-	Ltt	-	III	38.00%	-	Jqvewywi	3dUg	-	100	3sFz+100	-	107.00000
W2	KUY	42.000	-	Ta2	-	RR	54.00%	-	Ronfi	TIN	-	-	2.150%	2.150%	953.00000
V	ITU	71.000	-	Xc3	-	SS-	1.50%	-	Lycmqseg	3jGl	-	650	3yAl+622	-	88.00000
Kdw	QES	88.450	-	UL	-	NK	-	-	-	-	-	-	-	-	-

Tranche Comments

D: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144F/Fnc M; E1: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144Y/Tcd P; W2: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144M/Ktc L; J: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144I/Mhq O; M: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144P/Azm F; V: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144K/Kdz F; X: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144W/Abk V; Kdw: First Pay: 2022-07-15; Redemption: 2023-12-21; Registration: 144A/Chy M;

Deal Comments

Rxm Tauu Entexxj 2.00

Risk Retention

DNn Tcuhucxbot/Xuhnhxobcu

Reinvestment Period (YRS)

Reinvestment Period End Date

May 11, 2009