Fitch Ratings Affirms 5 Classes of Zais Investment Grade Limited IV.

NEW YORK -- Fitch Ratings affirms five classes of notes issued by Zais Investment Grade Limited IV, (ZING IV). These affirmations are the result of Fitch's review process. The following rating actions are effective immediately:

--$535,000,000 class A-1 senior secured floating-rate notes 'AAA';

--$38,000,000 class A-2a senior secured floating-rate notes 'AA-';

--$8,000,000 class A-2b senior secured fixed-rate notes 'AA-';

--$42,000,000 class B-1 senior secured floating-rate notes 'A-';

--$30,000,000 class B-2 senior secured fixed-rate notes 'A-'.

The ratings of the class A-1, A-2a and A-2b notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The ratings of the class B-1 and B-2 notes address the likelihood that investors will receive ultimate interest and deferred interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date.

ZING IV is a collateralized debt obligation (CDO) managed by ZAIS Group, LLC, which closed March 28, 2002. The collateral of ZING IV is composed entirely of CDOs. Included in this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy.

The Fitch weighted average rating factor (WARF) increased from an initial level of 7 ('A/A-') to 19 ('BBB/BBB-') versus a test level of 17 ('BBB'/'BBB-'). The class A overcollateralization (OC) ratio decreased from an initial level of 125.62% to 123.16%, and the class B OC ratio decreased from an initial level of 111.77% to 109.58%, as of the most recent trustee report dated May 10, 2004. Defaulted assets represented 1.53% of the $726.5 million of total collateral and eligible investments. Assets rated 'CCC+' or lower represented approximately 0.34%, excluding defaults.

Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates relative to the minimum cumulative default rates required for the rated liabilities. (For more information on the Fitch vector model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Aug. 1, 2003, available on Fitch's web site at 'www.fitchratings.com'.) As a result of this analysis, Fitch has determined that the original ratings assigned to the ZING IV notes still reflect the current risk to noteholders.

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Fitch Ratings web site at 'www.fitchratings.com'.