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
A1	USD	90.000	-	-	AAA	-	-	-	40.00%	-	Floating	3mL	-	225	3mL+219	-	99.75000
A2	USD	50.000	-	-	AAA	-	-	-	40.00%	-	Floating	3mL	-	230	3mL+230	-	100.00000
AF	USD	40.000	-	-	AAA	-	-	-	40.00%	-	Fixed	-	-	225	2.477%	-	99.75000
AJ	USD	7.500	-	-	AAA	-	-	-	37.50%	-	Floating	3mL	-	250	3mL+250	-	100.00000
B	USD	37.500	-	-	AA	-	-	-	25.00%	-	Floating	3mL	-	310	3mL+303	-	99.50000
C	USD	18.000	-	-	A	-	-	-	19.00%	-	Floating	3mL	-	390	3mL+374	-	99.00000
D1	USD	14.250	-	-	BBB	-	-	-	14.25%	-	Floating	3mL	-	652	3mL+548	-	94.00000
D2	USD	6.000	-	-	BBB-	-	-	-	12.25%	-	Floating	3mL	-	925	3mL+649	-	85.00000
E	USD	8.250	-	-	BB-	-	-	-	9.50%	-	Floating	3mL	-	1000	3mL+1000	-	Retained
Sub	USD	25.739	-	-	NR	-	-	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

A1: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Reg S; A2: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Reg S; AF: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Reg S; AJ: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Reg S; B: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Reg S; C: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Reg S; D1: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Reg S; D2: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Reg S; E: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Reg S; Sub: First Pay: 2021-04-20; Redemption: 2021-10-20; Registration: 144A/Reg S;

Deal Comments

Non-Call Period: 1.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 20, 2023

WAL Test Period (YRS)

WAL Test Period End Date

Oct 20, 2028

Research

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