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Fidelity Grand Harbour CLO 2023-1: 27 July 2023

The fourth in the Fidelity Grand Harbour series, where once again the assets securing the Notes will consist of a portfolio primarily of Senior Secured Loans, Senior Secured Bonds, Second Lien Loans, Mezzanine Obligations and High Yield Bonds, and will be managed by FIL Investments International.

Eligibility criteria (includes): it is a Senior Secured Loan, a Senior Secured Bond, an Unsecured Senior Loan, a Mezzanine Obligation, a Second Lien Loan, a Corporate Rescue Loan, or a High Yield Bond; it is not a Zero Coupon Security; it is an obligation in respect of which the Obligor (or the guarantor of such obligation) is Domiciled in a Qualifying Country, as determined by the Collateral Manager; it is not a Project Finance Loan; it is not a Step-Down Coupon Security; other than in the case of a Corporate Rescue Loan (which shall have a rating as determined by the definition of “Fitch Rating” and “S&P Rating” as applicable) it is an obligation which has: (i) a Fitch Rating of “CCC-” or higher; and (ii) a S&P Rating of not lower than “CCC-”; it is, to the best of the Collateral Manager’s knowledge, an ESG Compliant Obligation.

The Issuer anticipates that, by the Issue Date, it or the Collateral Manager on its behalf will have purchased or committed to purchase Collateral Debt Obligations the Aggregate Principal Balance of which is equal to at least €395mln, which is approximately 98.75% of the Target Par Amount.

EU & UK Risk Retention: FIL Senior Loan Management I Limited (the Retention Holder) will undertake that it will subscribe for and retain the Retention Notes in connection with the EU/UK Retention Requirements.

US Risk Retention: The Retention Holder intends to rely on the “Safe harbour for certain foreign-related transactions” contained in the US Risk Retention Rules.