...Effect Highlight + Fitch Test Matrix: The transaction documents provide the manager with 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 24 matrices split between Fitch WAL values ranging from 9.0 to 5.0 years. Each group has matrix par amount requirements ranging from100.0% to 98.0% of target par amount, along with the largest obligor concentration limitation. Additionally, the manager may elect to linearly interpolate between adjacent matrices, based on differences in the Fitch WAL values, largest obligor concentration limitation and matrix...
