Fitch Rates Zais Investment Grade Limited V.

Business Editors

NEW YORK--(BUSINESS WIRE)--Dec. 19, 2002

Fitch Ratings assigns the following ratings to Zais Investment Grade Limited V:

--US$285,000,000 class A-1 senior secured floating-rate notes, 'AAA';

--US$25,000,000 class A-2 senior secured fixed-rate notes, 'AA';

--US$37,000,000 class B-1 senior secured floating-rate, 'A-';

--US$14,000,000 class B-2 senior secured fixed-rate notes, 'A-';

--US$40,000,000 subordinated notes, 'BBB-';

--US$7,000,000 type I composition obligations, 'BBB'; and

--US$4,000,000 type II composition obligations, 'BBB'.

The ratings of the class A notes address the likelihood that investors will receive full and timely payments of interest on scheduled interest payment dates, as well as the stated balance of original principal by the final payment date. The ratings of the class B notes address the ultimate payment of interest and principal by the final payment date, as well as any compensating interest on deferred interest amounts. The ratings of the subordinated notes address the likelihood that investors will receive the stated balance of the original principal by the final payment date.

The ratings are based upon the credit quality of the underlying assets, the credit enhancement provided to the capital structure through subordination and excess spread, and the strength of Zais Group LLC as the investment manager.

The proceeds from the notes will be used to purchase a portfolio of predominantly all collateralized debt obligation securities (CDOs). At closing, approximately 60% of the total portfolio had been purchased. The ratings of the underlying assets were used to help assess the credit quality of the collateral. As per the indenture, the investment manager must maintain a weighted average Fitch Factor of 23 which falls between a 'BBB-' and 'BB+' rating. Fitch focuses on a thorough evaluation of the investment manager, the credit quality of the underlying assets, certain structural provisions and maintenance tests established by the governing documents, and modeling exercises that stress the portfolio with a variety of default and interest rate scenarios designed to simulate varying economic conditions.

In addition to the rating of the notes referenced above, Fitch assigns a 'BBB' rating to the composition notes. The rating of the $7,000,000 type I composition notes address the likelihood that investors will receive the stated balance of principal by the final payment date. The rating of the $4,000,000 type II composition notes address the ultimate payment of interest and principal by the final payment date, as well as any compensating interest on deferred interest amounts. The ratings are based upon the credit quality of the underlying assets that comprise the composition obligations.