...Fitch Test Matrix: The transaction documents provide the manager the flexibility to choose certain combinations of covenants (collateral quality tests), toward which the portfolio will be managed. Certain of these covenants will be selected from the Fitch Test Matrix, which includes permitted combinations of minimum weighted average spread (WAS), minimum Fitch WARR and maximum Fitch WARF thresholds; the manager may also linearly interpolate between any two adjacent points. Neutral Fitch Test Matrix Parameters and Interpolation: The transaction has a total of 36 matrices that are governed by Fitch WAL values ranging from 8 to 4.75 years with corresponding matrix par amount requirements ranging from 100% to 98% of the target par amount, along with largest obligor and fixed rate obligation concentration limitations. Additionally, the manager may elect to linearaly interpolate between adjacent matrices, based on differences in the Fitch WAL values, applicable concentration limitations and matrix...
