...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 split between Fitch WAL values ranging from 7.0 years to 4.75 years. Each group has matrix par amount requirements ranging from 100% to 95% of the target par amount, along with top five obligor limits of 2.5% and 1.0% and fixed-rate limits of 0.0% and 5.0%. Additionally, the manager may elect to linearly interpolate between adjacent matrices based on differences in the Fitch WAL values, applicable concentration limitations...
