Return Analysis of Subordinated Tranches of Brazilian Asset-Backed Securities

Table of Contents:

 
Analysis of Largest Twenty Originators 
Valuation Methodology of Shares of Receivables Investment Funds 
Calculation Methodology for Past Due Obligations and Loan Loss Provision 
Referenced Assets 
	Identification
	Estimated Historic Yield
	Yield Calculation Methodology
	Commentary
	Key Terms and Conditions
		Payments Waterfall
		Payments to Subordinated Shareholders
		Events
			Evaluation Events
			Liquidation Events
		Performance of Underlying Collateral
			Past Due Obligations 
			Loan Loss Provision


Charts:	Chart I - Net Asset Value by Economic Sector of Originator 
Tables:	Table I - Top Twenty Originators by Net Asset 
        Table II - Funds, Collateral and Net Asset Value of the Top Twenty Originators 
        Table III - Yield, Spread and Duration of Securities Issued Publicly by Funds of Top Twenty Originators