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Presale: Fundo de Investimento em Direitos Creditorios Canguru

Publication Date:    Aug 16, 2006 10:25 EST

Presale: Fundo de Investimento em Direitos Creditorios Canguru
Primary Credit Analysts:
Pedro Gazoni, Sao Paulo (55) 11-5501-8648;
pedro_gazoni@standardandpoors.com
Juan Pablo De Mollein, New York (1) 212-438-2536;
juan_demollein@standardandpoors.com
Publication date: 16-Aug-06, 10:25:33 EST
Reprinted from RatingsDirect



Up to BrR40 Million Senior Shares

This presale report is based on information as of Aug. 16, 2006. The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings.

Preliminary Ratings As Of Aug. 16, 2006
Instrument Preliminary rating* Preliminary value (mil. BrR) Final legal maturity
Senior shares brBBBf Up to 40 August 2011
Subordinate shares Not classified N/A N/A
*The rating of each class of securities is preliminary and subject to change at any time. Credit protection is calculated dynamically (that is, changes in the rating require more/less receivables as the credit worsens/improves). N/A—Not applicable.


Profile

Fund: Fundo de Investimento em Direitos Creditorios Canguru

Targeted closing date: August 2006.

Underlying collateral: Existing and future trade receivables originated by Canguru Embalagens S.A.

Asset originator: Canguru Embalagens.

Fund manager: Mellon Serviços Financeiros DTVM S.A.

Portfolio manager: Hampton Solfise Consultoria e Assessoria Administrativa Empresarial Ltda.

Custodian and collection and paying agent: Banco Itaú S.A.


Transaction Summary

The underlying assets of the Fundo de Investimento em Direitos Creditorios Canguru (Canguru FIDC) are existing trade receivables (those generated by products sold and delivered) and future rights (trade receivables arising from the future sale and delivery of products), both originated by Canguru Embalagens S.A. (Canguru or the originator); cash; and other specific investments.

In December 2001, the Brazilian Securities and Exchange Commission (Comissão de Valores Mobiliários) issued Instruction 356, which created the legal and administrative structure for credit receivables investment funds (FIDCs). This vehicle works under the financial structure and administrative shell of a fund, in open- or closed-ended types. However, an FIDC is a bankruptcy-remote entity that has characteristics exclusive to structured finance transactions and investment funds. The FIDC managers may incorporate a combination of credit portfolios (which must correspond to at least 50% of the funds' total assets) and debt securities as underlying assets.

The Canguru FIDC will be an open-ended credit receivables fund, with a five-year final maturity after all senior shares have been capitalized. The fund manager may include credit receivables and other fixed-income securities in the fund's portfolio based on well-defined eligibility criteria.

Contrary to bond securities, investment funds do not promise its investors (the FIDC shareholders) any specific principal or interest payment at any date. Thus, each shareholder expects to receive only a target yield based on the fund's performance and characteristics and may decide to redeem the shares at any time. Additionally, it is important to note that the face value of an FIDC portfolio can vary as shares are redeemed by shareholders or depending on the number of new investors who subscribe additional shares.

The credit rating assigned to a fund assesses the level of protection its portfolio holdings provide against losses arising from credit defaults on the underlying securities. The credit rating may range from 'brAAAf' (highest level of protection) to 'brCCCf' (lowest level of protection), based on an analysis of the fund's overall credit portfolio quality, interest rate risk, creditworthiness, liquidity and concentration, and foreign exchange risk.

Standard & Poor's Ratings Services' Brazilian national scale is applicable to issuers, insurers, counterparts, intermediaries, and investors in the Brazilian financial markets, by providing both issue credit ratings, which apply to a specific debt instrument, and issuer credit ratings, which apply to an obligor. The Brazilian national scale credit ratings use Standard & Poor's global rating symbols with the addition of a 'br' prefix to indicate Brazil and the scale's focus on Brazilian financial markets. Standard & Poor's Brazilian national scale is not directly comparable with Standard & Poor's global scale or any other national rating scale operated by Standard & Poor's and its affiliates, reflecting its unique structure that is tailored to the needs of the Brazilian financial markets. In addition, Standard & Poor's assigns credit quality and volatility ratings to fixed-income funds and other types of fixed-income asset portfolios.


Rationale

The preliminary Brazilian national scale fund rating assigned to Canguru FIDC is based on:

  • The partial guarantee provided by the existing trade receivables of at least 50% of the fund's outstanding senior shares;
  • The good quality and performance of the existing trade receivables underlying the senior shares;
  • The dynamic reserve (credit enhancement mechanism) included in the fund's structure aimed at covering all credit risks of Canguru FIDC's existing portfolio and raising its credit quality to a 'brAAAf' level. This reserve is equivalent to the minimum subordination of 15% of the existing credit receivables portfolio and should follow the variations in the credit quality indices/factors;
  • The competence of Banco Itaú S.A., as custodian of the operation, to manage the financial assets and provide information about the operation;
  • The operation's legal structure, which has adequate mechanisms to legally safeguard the fund's shareholders;
  • The daily monitoring of performance indicators of the fund's credit receivables; and
  • The semiannual monitoring of the minimum level of financial indicators established for the originator's financial statements, which is conducted by the fund's portfolio manager and reviewed by PriceWaterhouseCoopers.

The preliminary rating also reflects the overall quality of the fund and is based on a credit matrix approach derived from Standard & Poor's historical default and ratings transition rates. The rating indicates that the securities held in its portfolio provide adequate protection against losses arising from credit default. The structure's probability of default is somewhat linked to the risk of the originator (Canguru), which has a lower rating than the preliminary rating assigned to the fund's senior shares, because part of the fund's structure relies on future receivables. However, the existing trade receivables will be structured through share subordination at the 'brAAAf' level to partially guarantee the amortization and redemption risk of the fund's senior shares.


Canguru FIDC Overview

The main features of the transaction are described below.


Share payment mechanism

The fund will issue senior and subordinated shares denominated in Brazilian reais (BrR). These shares will be guaranteed by both the originator's existing and future credit receivables denominated in the same currency and/or by other fixed-income instruments, short-term investments, and cash. The yield and face value of the senior shares are payable from the cash flow of the credit receivables and other investments. The custodian will calculate the value of the shares daily. The originator will hold the subordinated shares, which are not rated by Standard & Poor's.


Yield components

Contrary to bond securities, a fund does not promise its investors (shareholders) any specific principal or interest payment at any date. Thus, each shareholder expects to receive only a targeted yield. Consequently, the fund will pursue an initial return to shareholders to be defined through bookbuilding by the fund's share distributor, equivalent to a percentage of the Brazilian Spot Depósitos Interfinanceiros (DI) index calculated by the Brazilian Securities Custody and Financial Settlement Clearing House. The subordinate shares will not provide any predetermined yield; however, they will benefit from any excess return or available residual values.


Face value components

During the fund's five-year term, its senior shares can be redeemed whenever 300 days have elapsed since issuance. After this initial grace period, their payment will begin two months after the month in which the redemption request was made. The payment period for the redeeming shares will vary according to the receivables maturity schedule. During this period, the fund cannot acquire any new credit receivables until their full redemption occurs. It is important to note that the turnover of the credit receivables portfolio held by the fund will be limited to 90 days, and if it exceeds this period, the shareholders will call for a consultation event. However, there is no guarantee or promise of redemption within the established term; the redemption term may vary at all times according to the receivables' maturity schedule.


Structural Overview

The originator has set up Canguru FIDC to acquire certain credit receivables with no recourse to the originator (see chart 1).

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The fund will conduct periodic revolving purchases of eligible credit receivables. As soon as the receivables are paid (that is, converted in cash through payments effected by the obligors), the fund will acquire additional new receivables. The fund will purchase existing trade receivables at face value and future ones, which are estimated to represent 12 months worth of future sales, at a value equal to a minimum of 99.9% of the value of the existing receivables and a maximum of 49.9% of the fund's total assets. The minimum level of subordination will include a reserve for the payment of the target yield to the senior shareholders.

The amounts received in payment for the receivables will be deposited by the originator's clients directly into the custodian's bank account, referred to as Conta Corrente do Fundo (the fund's current account), held at Banco Itaú. This methodology of receiving funds has been established to mitigate the risk of payments being subject to an automatic blockage in the event of bankruptcy of the fund's originator (see chart 2).

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A maximum of 10% of the monthly payment collections may be received directly by the originator, as long as they are deposited in the fund's account within 48 hours.


Eligibility Criteria

The operation documents specify the eligibility criteria for the purchase of new credit receivables, as the underlying portfolio credit quality could deteriorate during the life of the fund due to the structure's revolving nature. The custodian is responsible for verifying regularly whether the credit receivables have been sold according to these criteria. Therefore, the fund will purchase new receivables from the originator and will be subject to certain conditions. To be eligible, an existing receivable must meet the following criteria:

  • None of the obligors of the trade receivables to be sold to the fund may be delinquent for a period of more than 30 days;
  • Information concerning the trade receivables must be communicated to the custodian;
  • The credit receivables to be sold cannot imply a breach of the concentration limits, which is a maximum of 3% per obligor, except for Mabesa do Brasil S.A., Unilever Brasil Ltda., and Johnson & Johnson Ind. e Com. Ltda., which have an established maximum level of 5%, and Kimberly Clark Brasil Ind. e Com. Ltda., which has 15%;
  • No obligor may be included in the Cadastro de Emitentes de Cheques Sem Fundo (Register of Bounced Checks); and
  • No client may have any negative entry at SERASA S.A. (a local credit bureau).

The eligibility criteria for future receivables are listed below:

  • All future receivables must correspond to a 12-month, future sales period pursuant to the purchase date;
  • These sales must include diaper, sanitary napkins, soap, toilet paper, animal food, cereal, cold cuts, cakes, candies, snacks, processed meat, sodas and other drinks packaging labels, supermarket shopping bags, and garbage bags, in addition to other products and materials related to the seller's area of endeavor or products that it manufactures; and
  • The obligors must be clients, either individuals or legal entities, which acquire products from the seller.

Underlying Assets' Credit Analysis

As stated above, the preliminary rating assigned to the fund's senior shares is the result of the pool of future receivables, assessed at a lower level than the senior shares of Canguru FIDC and the partial guarantee represented by the existing trade receivables enhanced by subordination of shares to a level higher than the preliminary rating assigned to the fund's senior shares (see chart 3 for more detail).

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The main risks of the portion of existing trade receivables and the sizing of the credit enhancement for the desired rating level are described below.


Relevant Risks Of Trade Receivable Structures

Standard & Poor's ratings on structured finance transactions are based primarily on the creditworthiness of isolated assets or asset pools and without regard to the creditworthiness of the seller or borrower. The structured financing seeks to insulate transactions from entities, such as receivables sellers, which have either a low rating or are unrated. A worst-case scenario assumes the bankruptcy of each transaction participant that is not a bankruptcy-remote entity and is rated lower than the transaction.

The methodology for analyzing the credit-related risks in a trade receivables transaction, which constitutes the underlying credit receivables pool of Canguru FIDC, is outlined in this section. The primary risk associated with most asset types is the risk of the client's (that is, the obligor's) delinquency and default. In addition, trade receivables are subject to dilution risk, which is a noncash reduction in the receivable balance for reasons other that default. Commingling of cash is another concern in all asset-backed financings, as well as carrying costs and servicing issues (see table 1).

Table 1 Trade Receivable Structure Risks
Risk Explanation Applicable to the operation Mitigating factors
Obligor default Historical delinquency and write-off performance as proxy for credit losses Yes Subordination of shares
Dilution Noncash reduction to a receivable balance not attributable to default or write-off Yes Subordination of shares
Carrying costs Costs expected to be incurred over an assumed amortization period Yes Subordination of shares
Commingling Collections could be commingled with the originator's other receivables No Obligors should make their payments to the fund account
Servicing issues The product originator could be the servicer of the receivables No An independent entity will be the fund manager


Obligor default

Historical delinquency and write-off performance generally is the best indicator of portfolio credit quality. Most companies carry delinquent trade receivables far longer than a bank or finance company would before writing them off. This can be viewed as a positive factor because accounts are worked until collection opportunities are exhausted. However, if charge-off policies are discretionary and subject to manipulation, it is difficult to determine the value of delinquent receivables. For this reason, the trade receivable criteria focus on analyzing late-stage delinquencies as credit quality indicators. Typically, a bankruptcy of the seller is assumed along with the resulting difficulty in collecting severely delinquent accounts.


Dilution

The term dilution is used broadly to refer to any noncash reduction to a receivable balance that is not attributable to default or write-off. Product returns, cash discounts, advertising allowances, volume rebates, good customer programs, and standard pricing disputes are all examples of dilution. Also, dilution encompasses items that may not be taken as an adjustment in the normal course of business, but nevertheless represent a potential future offset. Companies must grant dilutive credits to remain competitive. The level of dilution is driven by factors such as industry practice and product complexity. The largest category of dilution is often the return of merchandise, but there are many others. Companies often use dilutions in the form of volume rebates to encourage additional sales.


Carrying costs

In every trade receivable transaction, a yield reserve is needed to cover interest and fees such as servicing and trustee fees, which are expected to be incurred over an assumed amortization period. Trade receivables are noninterest-bearing assets. Therefore, Standard & Poor's needs to be comfortable that the subordination level of the transaction is sufficient to cover the increased servicing cost throughout the assumed amortization period.


Commingling

Trade receivable portfolios exhibit higher payment rates and turnover than other asset types. Therefore, commingling risk takes on significant importance. For example, a portfolio has, on average, a 30-day day's sales outstanding (and collections are received relatively evenly over the month) and collections are commingled with a seller rated lower than the rating sought on the transaction for two business days. There would be a risk to the transaction that 2/30 of the portfolio could be lost or held up in the event of a seller bankruptcy. This is clearly a large exposure to a securitized transaction.


Servicing issues

In most trade receivable transactions, the seller of the receivables will also act as servicer. This is perhaps the most efficient way of servicing a securitized portfolio, as the receivable systems are typically proprietary and, even if purchased, have usually been modified to better interconnect with a particular seller's business. Nevertheless, there are two recommendations relating to servicing for each rated trade receivable securitization. First, there must always be provisions for a substitute servicer if the seller/servicer is unable to continue servicing the portfolio or is relieved of its responsibilities due to a servicer default. Second, the fee to be paid to the substitute servicer should be stipulated in the transaction documents and be a sufficient amount to adequately compensate the substitute servicer for its role if it has to take on servicing and collecting activities.


Credit Enhancement

The reserves (credit enhancements) at the FIDC level are structured at a 'brAAA' level, according to Standard & Poor's Trade Receivable criteria. The reserves provide credit enhancement for the FIDC shares, including the risks of obligor default, dilution, carrying costs, and interest rate mismatch between the shares and the underlying assets. These reserves will be provided in the form of subordination of junior shares.

Trade receivables are bought at face value by the fund and do not carry a remuneration rate. Since the target remuneration of the fund's shares is based on a floating rate, there could be significant mismatches; the reserve level includes a portion aimed at covering the risk of carrying and mismatching up to 30% in the case of an abrupt variation in the DI index.


Credit enhancement calculation

According to Standard & Poor's Trade Receivable criteria, the required credit enhancement will be the greater of the dynamic reserve and the credit enhancement floor:

The dynamic reserve sizing is as follows:

  • Dynamic reserve = LR + DR + FER + EER

Where:

  • LR = Loss reserve;
  • DR = Dilution reserve;
  • FER = Fees and expenses reserve (carrying); and
  • ERR = Expected remuneration reserve (mismatching).

The loss reserve sizing is as follows:

  • Loss reserve = LR x LHR x SF

Where:

  • LR = Loss reserve: The highest movable average for three months of the default rate, calculated during the 12-month period ended on the date of the most recent calculation;
  • LHR = Loss horizon reserve index: Accumulated sales on the loss horizon in the current month over the net eligible receivable balance; and
  • SF = Stress factor: brAAA = 2.5x; brAA = 2.25x; brA = 2x; and brBBB = 1.5x.

The dilution reserve sizing is as follows:

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Where:

  • SF = Stress factor, as explained above;
  • ED = Estimated dilution: Trailing average for three months of the dilution index;
  • DS = Dilution spike: Highest dilution estimated in the 12-month period; and
  • DHR = The dilution horizon ratio, which is the cumulative sales over dilution horizon over current month's net eligible receivable balance.

The reserve floor sizing is based on concentration limits to single obligors that purchase receivables from the originator. Because this factor has been set at a maximum level of 3% per obligor, and after applying a stress factor of 5x to such limit, according to the corresponding rating level for this calculation, the final credit enhancement floor equals 15%.

Table 2 lists the multiples to be applied to the concentration limits according to the credit rating of each obligor for the fund's rating category.

Table 2 Concentration Multiples
Ratings Multiples for the brAAA category
brA-1+ 0
brA-1 1
brA-2 2
brA-3 3
Lower than brA-3 or no Standard & Poor's rating 5

Additionally, the fund has credit enhancement mechanisms, which are specific to and appropriate for the established structure and the type of receivables included in its portfolio.


Assessment of the partial guarantee

The first step in this method involves identifying within a transaction all possible cash flow combinations arising from each debtor, according to its credit rating and respective default probabilities. Once this initial analysis has been conducted, the next step would be to develop a distribution function of the cash flow loss probability in the transaction, which has its own characteristics, such as a specified mean and standard deviation. As each rating assigned by Standard & Poor's has, on a global scale, an implicit empirical default rate, it is possible to compare the results of the analysis with the default probability distributions of benchmark bonds. Therefore, the rating of a transaction having a partial guarantee is determined when the standard deviation and the estimated mean of losses are lower than the benchmark bond with the desired rating and similar terms and conditions. Thus, it is possible for the Canguru FIDC senior shares to achieve a preliminary 'brBBBf' rating.


Foreign exchange risk

There is no foreign exchange risk for the shareholders because the shares are issued in Brazilian reais and are backed by reais-denominated credit receivables.


Canguru FIDC Shareholder Consultation Events

Any of the following events will be regarded as a shareholder consultation event, which, in turn, will oblige the fund to inform them of the event and call a general assembly to decide whether the event should constitute a liquidation event, in which case, the fund liquidation proceedings should be initiated.

The most relevant shareholder consultation events are:

  • If the equilibrium index level—ratio between the sum of the existing trade receivables overdue or falling due in less than 30 days, held by the fund, net of any provision or offsetting account and the amount of reserves and 50% of the value of the senior shares in circulation net of cash and other financial assets—is less than one for more than five days;
  • If any specific delinquency triggers are breached;
  • If any Canguru-specific indebtedness covenants are breached;
  • If the ratings on the senior share are lowered by as much as two notches;
  • If the custody contract is terminated; and
  • If there is any evidence of any type of previous claim or lien on any sold credit receivables.

Canguru FIDC Liquidation Events

The most relevant liquidation events are:

  • When a consultation event is regarded as a liquidation event by the senior shareholders;
  • Termination of the selling agreement;
  • Bankruptcy procedure of Canguru or judicial reorganization; and
  • Noncompliance by Canguru to perform its obligations as set forth in the selling agreement.

If any of the above events occur, the fund is obligated to:

  • Inform its shareholders about the event;
  • Suspend amortization payments of any subordinate shares;
  • Suspend the continuous purchase of new receivables (that is, the revolving nature of the fund); and
  • Call a general senior shareholders meeting to decide on the procedures for liquidation, in which case, fund liquidation procedures should be initiated.

Originator Overiew

Canguru is a packaging manufacturer headquartered in the city of Criciúma, Santa Catarina state, which operates three plants in the South of Brazil (its main plant is located in Criciúma. The two other plants are located in Chapecó, Santa Catarina state, and in Pelotas, Rio Grande do Sul state). The company produces packaging for personal hygiene and food products and enjoys a long history of commercial relationships with leading consumer goods companies, such as Kimberly-Clark, Johnson & Johnson, Nestlé, and Unilever.

Jorge Zanatta (majority shareholder of Cia Zanatta and president of Canguru Embalagens S.A.), founded the company in 1970. Canguru is a subsidiary of Cia Jorge Zanatta, which also has investments in related businesses (Descartáveis Zanatta and Imbralit).

Canguru's operations encompass:

  • Personal hygiene product packaging (diapers, sanitary napkins, toilet paper, and soap);
  • Food products (cereals, meats, crackers and biscuits, bread, and sweets); and
  • Other products (animal feed, soft drink labels, and plastic bags).

Descartáveis Zanatta produces disposable polystyrene and polypropylene cups, containers, lids, and plates.

Imbralit Indústria e Comércio de Artefatos de Fibrocimento Ltda. is responsible for 11% of Brazil's production of cement fiber products and is the fourth-largest market player, with total installed capacity of 250,000 metric tons per year.

Canguru is the largest manufacturer of sanitary napkin and diaper packaging in Brazil and is ranked as the largest supplier of the products for companies such as Procter & Gamble, Kimberly-Clark, and Johnson & Johnson.

The company also holds a significant position in the animal feed packaging segment and is one of the most important suppliers to Nutriara Alimentos Ltda. and Nestlé (Purina).


Canguru FIDC Portfolio Analysis

Charts 4-20 and tables 3-6 detail the fund's portfolio performance.

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Table 3 Market Share Per State (Net Sales)
State Share (%)
São Paulo 36.95
Rio Grande do Sul 22.25
Santa Catarina 9.62
Minas Gerais 8.27
Rio de Janeiro 5.70
Paraná 4.69
Pernambuco 3.83
Ceará 1.69
Exports 1.40
Goiás 1.27
Other states 4.34

Table 4 Net Sales Breakdown by Obligor
Withdrawal Share (%)
Kimberly-Clark Kenko Ind. e Com. Ltda. 10.81
Johnson e Johnson Indl. Ltda. 5.43
Procter & Gamble Higiene e Cosméticos Ltda. 3.76
Unilever Brasil Ltda. 3.41
Santher-Fab. De Papel Sta.Therezinha S.A. 3.40

Table 5 Performance Per Generation Date
Generation month Total generation (BrR) Generation and maturity by Oct. 31, 2005 (BrR) Timely payments (%) 6-30 days overdue (%) 31-90 days overdue (%) 91-180 days overdue (%) 180 days and over overdue (%) (a) Nonsettlements (b) (%) (a)+(b) (%) Over 60 days overdue (b) (%)
Jan-06 14,244,857.10 14,244,857.10 84.47 9.18 3.03 0.80 2.52 0.00 2.52 5.07
Feb-06 12,597,357.85 12,597,357.85 84.21 12.36 1.73 0.19 1.51 0.00 1.51 2.07
Mar-06 14,497,098.78 14,497,098.78 83.24 11.33 2.58 0.88 1.84 0.13 1.97 3.27
Apr-06 17,055,314.60 17,055,314.60 75.32 18.70 2.22 1.46 1.71 0.59 2.29 4.83
May-06 16,544,103.24 16,544,103.24 85.15 9.22 1.54 2.46 1.24 0.40 1.64 5.10
Jun-06 15,298,945.17 15,298,945.17 83.25 11.46 3.36 0.22 1.31 0.40 1.71 4.04
Jul-06 16,610,983.53 16,610,983.53 79.47 14.45 2.17 0.08 3.65 0.17 3.83 4.03
Aug-06 16,601,053.18 16,598,788.18 79.16 15.14 2.10 0.30 3.28 0.01 3.29 3.98
Sep-06 16,250,618.82 16,250,618.82 79.20 11.36 4.18 0.16 4.21 0.90 5.11 5.47
Oct-06 17,838,984.62 17,838,984.62 79.75 10.65 7.41 0.74 1.01 0.44 1.45 3.31
Nov-06 17,603,954.90 17,582,456.80 82.23 10.11 6.64 0.81 0.01 0.19 0.21 1.16
Dec-06 16,258,188.28 16,258,188.28 81.21 14.54 2.85 1.03 0.08 0.29 0.37 1.66
Jan-06 15,350,542.07 15,321,656.61 83.69 11.97 2.36 1.56 0.42 0.00 0.42 2.53
Feb-06 12,317,702.74 12,317,702.74 80.50 15.33 3.35 0.45 0.15 0.21 0.36 2.37
Mar-06 12,260,083.69 12,260,083.69 85.24 10.23 2.83 0.60 0.13 0.98 1.10 1.82
Apr-06 15,889,852.09 15,889,852.09 86.35 10.82 1.40 0.79 0.12 0.52 0.65 1.49
May-06 17,407,503.84 17,407,503.84 89.78 6.14 2.83 0.98 0.14 0.13 0.27 3.08
Jun-06 14,956,153.77 14,956,153.77 89.32 8.75 0.37 1.55 0.01 0.00 0.01 1.57
Jul-06 15,237,112.25 15,237,112.25 90.82 7.19 0.61 1.37 0.00 0.01 0.01 1.42
Aug-06 15,328,622.82 15,328,622.82 89.75 8.19 0.89 1.12 0.00 0.05 0.05 1.91
Sep-06 16,903,793.95 16,528,793.95 90.11 8.44 1.20 0.22 0.00 0.02 0.02 1.27
Oct-06 16,553,884.42 16,553,884.42 91.79 6.30 1.48 0.15 0.29 0.00 0.29 0.44
Nov-06 14,234,740.32 14,234,740.32 92.40 6.48 0.99 0.10 0.02 0.00 0.02 0.31
Dec-06 13,701,304.60 13,701,304.60 89.53 9.11 1.12 0.24 0.00 0.00 0.00 0.40
Jan-06 14,791,205.64 14,791,205.64 86.25 10.46 1.67 1.62 0.00 0.00 0.00 1.86
Feb-06 15,127,241.68 15,127,241.68 81.85 12.80 5.34 0.00 0.00 0.00 0.00 0.48
Mar-06 16,999,046.03 16,941,734.44 84.30 14.74 0.40 0.56 0.00 0.00 0.00 0.68
Apr-06 17,310,977.38 17,310,977.38 90.54 7.85 1.61 0.01 0.00 0.00 0.00 0.40
May-06 17,545,509.93 17,473,523.97 87.64 10.25 1.65 0.24 0.00 0.23 0.23 0.67
Jun-06 17,924,351.58 17,924,351.58 93.37 5.70 0.71 0.12 0.00 0.10 0.10 0.40
Jul-06 18,460,110.17 18,460,110.17 87.01 9.65 3.27 0.02 0.00 0.05 0.05 1.05
Aug-06 17,901,761.49 17,901,761.49 87.05 10.06 2.23 0.45 0.00 0.21 0.21 1.66
Sep-06 17,342,206.17 17,325,626.92 93.31 6.18 0.17 0.00 0.00 0.34 0.34 0.37
Oct-06 17,009,270.81 17,009,270.81 90.20 8.00 1.51 0.00 0.00 0.28 0.28 1.61
Nov-06 15,862,246.66 15,862,246.66 95.30 4.17 0.33 0.04 0.02 0.14 0.16 0.20
Dec-06 16,354,979.77 16,354,979.77 90.11 9.01 0.38 0.36 0.00 0.14 0.14 0.53
Jan-06 15,044,318.51 15,044,318.51 89.79 7.88 1.01 0.62 0.00 0.70 0.70 1.47
Feb-06 15,900,559.46 15,799,567.12 91.47 6.01 1.81 0.41 0.00 0.30 0.30 1.54
Mar-06 18,483,480.88 18,130,702.09 92.10 6.76 1.03 0.01 0.00 0.10 0.10 0.31
Apr-06 19,189,450.50 18,144,828.60 88.34 10.81 0.52 0.33 0.00 0.00 0.00 0.40
May-06 18,650,508.28 18,272,858.56 90.38 8.98 0.44 0.16 0.00 0.05 0.05 0.37
Jun-06 17,541,644.90 17,428,785.69 92.28 7.45 0.26 0.00 0.00 0.00 0.00 0.05
Jul-06 16,864,663.04 16,807,419.64 90.77 8.91 0.32 0.00 0.00 0.00 0.00 0.11
Aug-06 16,748,753.45 15,717,806.66 92.25 7.37 0.19 0.00 0.00 0.20 0.20 0.20
Sep-06 12,295,124.39 8,204,703.60 95.60 3.87 0.00 0.00 0.00 0.52 0.52 0.52
   Total
724,890,167.35 717,164,623.36 87.22 9.67 1.89 0.51 0.52 0.19 0.71 1.71
Maximum 95.60 18.70 7.41 2.46 4.21 0.98 5.11 5.47

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Table 6 Performance Per Maturity Date
Month due Maturity date flows (BrR) Timely payments (%) 6-30 days overdue (%) 31-90 days overdue (%) 91-180 days overdue (%) Over 180 days overdue (a) (%) Nonsettled (b) (%) (a)+(b) (%) Over 60 days overdue + (b) (%)
Jan-06 1,400,304.19 72.20 25.17 1.86 0.71 0.07 0.00 0.07 1.22
Feb-06 9,359,988.50 80.60 12.52 3.39 0.28 3.22 0.00 3.22 5.95
Mar-06 13,281,763.10 83.00 13.23 1.65 0.74 1.39 0.00 1.39 2.48
Apr-06 15,759,328.46 79.11 16.17 2.06 0.45 2.22 0.00 2.22 3.04
May-06 14,755,045.32 82.40 11.66 2.47 1.37 2.05 0.03 2.09 4.11
Jun-06 15,484,520.67 83.82 10.99 2.11 1.60 0.93 0.54 1.47 4.21
Jul-06 17,273,872.15 81.47 13.23 1.56 1.79 1.25 0.70 1.95 4.50
Aug-06 15,527,073.46 83.44 12.65 2.68 0.02 0.95 0.26 1.21 3.21
Sep-06 16,007,271.05 80.32 12.03 2.22 0.24 5.05 0.14 5.19 5.59
Oct-06 15,835,263.11 82.73 12.37 2.59 0.17 1.86 0.27 2.13 2.45
Nov-06 17,784,885.93 80.18 12.75 1.90 0.09 4.38 0.69 5.07 5.68
Dec-06 16,967,096.66 83.28 11.43 3.29 1.50 0.04 0.47 0.51 2.07
Jan-06 17,914,921.73 75.49 10.52 12.36 1.14 0.25 0.25 0.49 2.60
Feb-06 13,613,821.43 82.33 12.10 4.26 1.02 0.15 0.15 0.29 1.77
Mar-06 13,271,129.61 82.70 12.86 2.98 0.26 0.12 1.08 1.21 2.88
Apr-06 14,942,424.58 83.59 11.90 3.75 0.62 0.12 0.01 0.13 1.25
May-06 14,816,356.41 81.99 13.70 2.09 1.50 0.14 0.58 0.72 2.95
Jun-06 15,782,823.01 90.47 7.27 1.03 0.98 0.12 0.13 0.25 1.58
Jul-06 16,792,611.74 91.26 5.84 1.51 1.38 0.00 0.01 0.01 2.39
Aug-06 14,816,257.46 88.77 8.91 0.83 1.39 0.09 0.01 0.10 1.72
Sep-06 14,235,093.73 90.34 8.08 0.43 1.15 0.00 0.01 0.01 1.48
Oct-06 17,231,506.55 92.03 5.74 1.74 0.19 0.27 0.02 0.30 1.63
Nov-06 15,212,654.47 91.01 7.50 1.18 0.26 0.03 0.03 0.05 0.46
Dec-06 15,520,415.16 91.97 7.13 0.86 0.03 0.00 0.00 0.00 0.15
Jan-06 14,386,988.30 89.44 8.14 0.89 1.52 0.00 0.00 0.00 1.63
Feb-06 12,876,337.50 84.00 13.28 2.27 0.45 0.00 0.00 0.00 0.84
Mar-06 14,885,470.07 81.99 16.39 1.23 0.38 0.00 0.00 0.00 0.51
Apr-06 16,498,787.70 84.89 10.42 4.45 0.24 0.00 0.00 0.00 1.05
May-06 16,095,953.97 88.29 9.55 2.15 0.01 0.00 0.00 0.00 0.01
Jun-06 17,279,788.12 92.10 6.99 0.71 0.21 0.00 0.00 0.00 0.52
Jul-06 17,991,479.76 89.18 7.44 3.27 0.10 0.00 0.01 0.01 1.18
Aug-06 17,541,217.58 89.43 9.36 0.93 0.23 0.00 0.05 0.05 0.34
Sep-06 17,705,747.92 87.54 11.11 1.07 0.28 0.00 0.00 0.00 0.59
Oct-06 17,220,524.61 93.08 5.27 1.34 0.02 0.00 0.29 0.29 0.95
Nov-06 17,129,481.66 95.80 3.88 0.18 0.00 0.00 0.14 0.14 0.15
Dec-06 16,033,921.59 92.80 7.07 0.10 0.00 0.00 0.03 0.03 0.03
Jan-06 16,682,986.20 92.06 5.74 1.80 0.33 0.02 0.04 0.06 1.84
Feb-06 14,621,183.02 87.74 10.70 0.54 0.62 0.00 0.40 0.40 1.10
Mar-06 16,830,497.07 91.34 6.60 1.01 0.46 0.00 0.60 0.60 1.35
Apr-06 17,341,601.47 91.05 6.73 1.79 0.00 0.00 0.43 0.43 1.17
May-06 19,103,210.64 90.33 8.79 0.86 0.01 0.00 0.01 0.01 0.02
Jun-06 16,866,782.98 89.53 9.50 0.40 0.53 0.00 0.04 0.04 0.64
Jul-06 18,343,754.67 91.88 7.53 0.59 0.00 0.00 0.00 0.00 0.24
Aug-06 17,666,266.37 91.95 7.30 0.22 0.00 0.00 0.53 0.53 0.60
Sep-06 15,757,302.55 89.97 9.42 0.41 0.00 0.00 0.20 0.20 0.20
   Total
717,164,623.36 87.22 9.67 1.89 0.51 0.52 0.19 0.71 1.71
Maximum 95.80 25.17 12.36 1.79 5.05 1.08 5.19 5.95

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