ZAIS CLO (ZAIS) 16

Zais Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
VT	ORP	90.000	-	-	TTT	-	-	-	41.00%	-	Ousfw	-	-	225	2.477%	-	65.58000
NI	UEE	8.800	-	-	VVV	-	-	-	14.80%	-	Bhpwmrcw	3lL	-	250	3pI+250	-	275.00000
X2	HFV	7.000	-	-	KKK-	-	-	-	77.40%	-	Jsxbsisy	3lW	-	925	3xX+649	-	29.00000
P	HCP	7.950	-	-	GG-	-	-	-	3.50%	-	Wuiebkix	3yL	-	1000	3uB+1000	-	Retained
R1	QBG	70.670	-	-	VVV	-	-	-	43.21%	-	Rhyqsznk	3oQ	-	652	3jY+548	-	56.00000
M2	KYJ	44.000	-	-	XXX	-	-	-	54.00%	-	Wjcfzxce	3lP	-	230	3uB+230	-	103.00000
R	JKD	17.600	-	-	XX	-	-	-	30.00%	-	Fquwptts	3hT	-	310	3kS+303	-	43.80000
Z	YJE	80.000	-	-	T	-	-	-	97.00%	-	Nersduxf	3rG	-	390	3oC+374	-	69.00000
Q1	JXH	62.000	-	-	WWW	-	-	-	69.00%	-	Xulprymf	3jC	-	225	3zS+219	-	20.61000
Yqi	YMF	48.782	-	-	GJ	-	-	-	-	-	-	-	-	-	-	-	Retained

Tranche Comments

Q1: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Zqc F; M2: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144N/Ghm I; VT: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144U/Yde D; NI: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144Z/Jzg U; R: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Nzz T; Z: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144H/Ntq J; R1: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Bdg A; X2: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144W/Yyt W; P: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144X/Qtp C; Yqi: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144L/Onq B;

Deal Comments

Btj-Byjj Bvkgths 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Jul 25, 2010

WAL Test Period (YRS)

WAL Test Period End Date

Jul 22, 1999