Fitch Ratings Affirms Zais Investment Grade Limited V.

NEW YORK -- Fitch Ratings affirms four classes of notes, one class of subordinated notes and two classes of composite obligations issued by Zais Investment Grade Limited V, (ZING V). These affirmations are the result of Fitch's annual review process and are effective immediately:

-- $285,000,000 class A-1 senior secured floating-rate notes due 2017 'AAA';

-- $25,000,000 class A-2 senior secured fixed-rate notes due 2017 'AA';

-- $37,000,000 class B-1 senior secured floating-rate notes due 2017 'A-';

-- $14,000,000 class B-2 senior secured fixed-rate notes due 2017 'A-';

-- $40,000,000 subordinated notes due 2017 'BBB-';

-- $7,000,000 Type I composite obligations due 2017 'BBB';

-- $4,000,000 Type II composite obligations due 2017 'BBB'.

ZING V, a collateralized debt obligation (CDO) managed by Zais Group, LLC that closed Dec. 19, 2002, is composed entirely of CDOs and restructured CDO tranches of distressed transactions. Included in this review, Fitch discussed the current state of the portfolio with the asset manager and its portfolio management strategy going forward.

Since closing, the collateral continued to perform. The weighted average rating factor (WARF) increased slightly from 14 ('BBB') to 17 ('BBB/BBB-') versus a test trigger of 23 ('BBB-/BB+') based on Fitch's former rating factor scale as of the latest trustee report dated Dec. 6, 2004. The class A overcollateralization (OC) ratio increased from 132.92% to 134.03% versus a test trigger of 115%. The class B OC ratio increased from 114.15% to 115.09% versus a test trigger of 103.80%. The reinvestment diversion ratio increased from 114.15% to 115.09% versus a test trigger of 106.80%. The class A interest coverage ratio decreased from 265.19% to 173.48% versus a test trigger of 110%. The class B interest coverage ratio decreased from 213.26% to 147.54% versus a test trigger of 105.00%. There are no assets currently classified as defaulted. Assets rated below 'BBB-' represented approximately 20.90% of the $415,462,506 in collateral debt securities and cash from the principal collection account.

The ratings of the class A-1 and A-2 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. 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. The rating of the type I composite obligation addresses the likelihood that investors will receive the original principal amount only by the stated maturity. The rating of the type II composite obligation addresses the likelihood that investors will receive an ultimate interest coupon of 3.25% as per the governing documents, as well as the original principal amount by the stated maturity.

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. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations', dated Sept. 13, 2004, and also available at www.fitchratings.com.