2020-16(R)

ZAIS CLO (ZAIS) 2020-16(R)

Class	CCY	SZE(M)	WAL	MO	SP	FI	DR	KR	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
A1R	USD	145.000	-	-	AAA	-	-	-	40.06%	-	Floating	3mL	-	142	3mL+142	-	-
AFR	USD	35.000	-	-	AAA	-	-	-	40.06%	-	Fixed	YLD	-	-	2.499%	-	-
AJR	USD	12.000	-	-	AAA	-	-	-	36.06%	-	Floating	3mL	-	169	3mL+169	-	-
BR	USD	36.000	-	-	AA	-	-	-	24.07%	-	Floating	3mL	-	200	3mL+200	-	-
CR	USD	15.000	-	-	A	-	-	-	19.08%	-	Floating	3mL	-	269	3mL+269	-	-
D1R	USD	13.000	-	-	BBB-	-	-	-	13.08%	-	Floating	3mL	-	445	3mL+445	-	-
DFR	USD	5.000	-	-	BBB-	-	-	-	13.08%	-	Fixed	YLD	-	-	5.750%	-	-
DJR	USD	5.000	-	-	BBB-	-	-	-	11.42%	-	Floating	3mL	-	558	3mL+558	-	-
ER	USD	7.000	-	-	BB-	-	-	-	9.09%	-	Floating	3mL	-	814	3mL+814	-	-
Sub	USD	25.739	-	-	NR	-	-	-	-	-	-	-	-	-	-	-	Retained

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Tranche Comments

A1R: First Pay: 2022-01-20; Redemption: 2023-10-20; Registration: 144A/Reg S; AFR: First Pay: 2022-01-20; Redemption: 2023-10-20; Registration: 144A/Reg S; AJR: First Pay: 2022-01-20; Redemption: 2023-10-20; Registration: 144A/Reg S; BR: First Pay: 2022-01-20; Redemption: 2023-10-20; Registration: 144A/Reg S; CR: First Pay: 2022-01-20; Redemption: 2023-10-20; Registration: 144A/Reg S; D1R: First Pay: 2022-01-20; Redemption: 2023-10-20; Registration: 144A/Reg S; DFR: First Pay: 2022-01-20; Redemption: 2023-10-20; Registration: 144A/Reg S; DJR: First Pay: 2022-01-20; Redemption: 2023-10-20; Registration: 144A/Reg S; ER: First Pay: 2022-01-20; Redemption: 2023-10-20; Registration: 144A/Reg S; Sub: First Pay: 2022-01-20; Redemption: 2023-10-20; Registration: 144A/Reg S;

Deal Comments

Reset. Non-Call Period: 2.0

Reinvestment Period (YRS)

Reinvestment Period End Date

Oct 20, 2026

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Oct 20, 2030

Research

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