Società di Cartolarizzazione Italiana Crediti a ... · Società di Cartolarizzazione Italiana Crediti a responsabilità limitata S.C.I.C. a r.l. Originators: Ministero delle Attività

Securitisation of research loansSocietà di Cartolarizzazione Italiana Crediti a responsabilità limitata

S.C.I.C. a r.l.

Originators:

Ministero delle Attività ProduttiveMinistero dell’Istruzione, dell’Università e della Ricerca

Investor ReportClass A1 € 300,000,000 Research Loan Asset-Backed Floating Rate Notes due 2008Class A2 € 979,000,000 Research Loan Asset-Backed Floating Rate Notes due 2023

Interest Payment Date: 22 March 2005

SECURITISATION SERVICES S.p.A.FINANZIARIA INTERNAZIONALE GROUP


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Reporting Period: 01/08/2004 (included) to 28/02/2005 (included)

Interest Period: 30/09/2005 (included) to 22/03/2005 (excluded)SECURITISATION SERVICES S.p.A.

FINANZIARIA INTERNAZIONALE GROUP


Index

1. The Notes ………………………………………..…...……… page 3

2. The Portfolio …………………………………………....…… page 7

3. Application of funds ………………………………..….…… page 12

4. Other Information… ………………………………………… page 15

5. Glossary of Terms ……………………………...….……….. page 17

6. Contacts…………. ……………………………...….……….. page 20

In reviewing this information please refer to the important qualifications set forth in the Disclaimer – page 21

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IntroductionThis is the first Investor Report in relation to the securitisation of the research loans originated by the “Ministero delle Attività Produttive” and the “Ministero dell’Industria, dell’Università e della Ricerca”. The Notes in relation to the securitisation were issued on the 30th of September 2004.

The breakdown of the Initial Portfolio is described in the chart shown below:Pool FIT (MAP) FSRA (MIUR) FAR( MIUR)

Portfolio outstanding principal amount 1.536.586.766,80 826.403.117,10 561.795.256,70 148.388.393,00 Maximum amount outstanding of other Receivables 42.000.000,00 - 32.000.000,00 10.000.000,00 Number of loans 2.653,00 1.376,00 1.051,00 226,00 Number of Obligors 1.864,00 1.091,00 822,00 214,00 Average outstanding Obligor exposure 824.349,12 757.473,07 683.449,20 693.403,71 Largest outstanding Obligor exposure 57.844.939,77 57.844.939,77 7.661.604,50 4.281.188,73 Weighted average life (years) 4,10 4,90 2,90 4,30 Weighted average seasoning (years) 4,80 6,20 3,70 1,00 Weighted average residual life (years) 6,90 7,90 5,30 7,60 Longest Maturity of Loan (date) 18 April 2017 18 April 2017 01 January 2013 01 January 2015Weighted average fixed rate (%) 2,51% 2,75% 2,28% 2,00%Source: Offering Circular

On the 21st December 2004 Other Receivables were purchased from the MIUR by SCIC a r.l.:

Other Receivables - FAR 17.314.184Other Receivables - FSRA 6.153.800TOTAL OTHER RECEIVABLES 23.467.984

3SECURITISATION SERVICES S.p.A.



11. The Notes. The Notes

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1. The Notes

Issuer: Società di Cartolarizzazione Italiana dei Crediti a responsabilità limitata – S.C.I.C. a r.l.

Issue Date: 30 September 2004

Arrangers/Joint Lead Managers: Banca IMI S.p.A., Dresdner Bank AG e Lehman Brothers International (Europe)

The Notes:

CLASS A1 NOTES CLASS A2 NOTESIssue Amount 300,000,000 979,000,000Currency Euro EuroExpected Maturity March 2006 September 2010Final Maturity Date 22 September 2008 22 September 2023Listing LSE - MTS LSE - MTSCommon Code 020239697 020239581ISIN Code IT0003731418 IT0003731426Clearing Montetitoli MontetitoliPrincipal Payments Soft Bullet AmortisingIndexation 6M Euribor 6M EuriborSpread over 6M Euribor 0,03% 0,13%Interest Calculation Actual/360 Actual/360Rating by Fitch, Moody's, S&P AAA, Aaa, AAA AAA, Aaa, AAA

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Underlying Assets for the Notes:

The Portfolio:

Servicer: Ministero delle Attività Produttive (“MAP”)

Ministero dell’Istruzione, dell’Università e della Ricerca (“MIUR”)

Corporate Services Provider: KPMG Fides Fiduciaria S.p.A.

Representative of the Noteholders: Securitisation Services S.p.A.

Transaction Administrator: Securitisation Services S.p.A.

Hedging Counterparties: Banca IMI and Lehman Brothers Special Financing Inc.

Swap Guarantor: Lehman Brothers Holdings Inc

Cash Manager, Agent Bank and Principal Paying Agent: Citibank N.A., London Branch

Italian Paying Agent and Transaction Account Bank: Citibank N.A., Milan Branch

Luxembourg Paying Agent: Kredietbank S.A., Luxembourgeoise

Collection Account Bank: Tesoreria Centrale dello Stato

1. The Notes (continued)

A portfolio of soft-rate loans (finanziamenti agevolati) originated by MAP and MIUR

Soft-rate loans deriving from FIT (Fondo speciale rotativo per l’Innovazione Tecnologica) and granted by MAP;

Soft-rate loans granted by MIUR out of the FAR (Fondo Agevolazioni alla Ricerca) and out of FSRA (Fondo Speciale per la Ricerca Applicata).

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1. The Notes1. The Notes (continued)

CLASS A1 - ISIN CODE IT0003731418

Expected Principal Due Accrual Rate Accrual Period Accrued

InterestInterest

PaymentsPrincipal Payments

30/09/2004 (incl.) to 22/03/2005 (excl.) 22/03/2005 - 2,223% 173 3.204.600,00 3.204.600,00 -

CLASS A1 EUR 300,000,000 Research Loan Asset-Backed Floating Rate Notes due 2008

Interest Period Payment Date

Amounts Accrued Payments

CLASS A2 - ISIN CODE IT0003731426

Expected Principal Due Accrual Rate Accrual Period Accrued

InterestInterest

PaymentsPrincipal Payments

30/09/2004 (incl.) to 22/03/2005 (excl.) 22/03/2005 - 2,323% 173 10.929.556,00 10.929.556,00 -

CLASS A2 EUR 979,000,000 Research Loan Asset-Backed Floating Rate Notes due 2023

Interest Period Payment Date

Amounts Accrued Payments




22. The Portfolio. The Portfolio

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Information about Collections2. The Portfolio

POOL MAP MIURAmounts collected in relation to instalments due in the Reporting Period 131.681.269,26 60.948.581,09 70.732.688,17 of which- Default Interests 186.045,65 185.313,87 731,78 - Interests 19.739.055,16 11.984.742,07 7.754.313,09 - Principal 111.756.168,45 48.778.525,15 62.977.643,30

Amounts collected in the Reporting Period in relation to instalments past due 36.089,71 - 36.089,71 of which- Default Interests 31.212,81 - 31.212,81 - Interests 4.876,90 - 4.876,90 - Principal - - -

1.806.084,13 1.806.084,13 - of which- Default Interests 6.157,33 6.157,33 - Interests 400.676,74 400.676,74 - Principal 1.399.250,06 1.399.250,06

297.634,97 - 297.634,97 of which- Default Interests - - - - Interests 850,18 - 850,18 - Principal 296.784,79 - 296.784,79

880.263,10 2.182,39 878.080,71

Partial or total Prepayments 6.705.289,40 4.062.058,34 2.643.231,06 of which- Interest 41.950,74 41.950,74 - - Principal 6.663.338,66 4.020.107,60 2.643.231,06

Recoveries 181.481,17 - 181.481,17

AMOUNTS COLLECTED DURING THE REPORTING PERIOD AND TRANSFERRED TO THE COLLECTION ACCOUNT 139.484.392,64 Source of Information the Servicer Reports dated 31/03/2005 provided by the Servicers

Amounts collected in the Reporting Period and transferred to the Collection Account, but not yet reconciled

Amounts in relations to instalments due in the Reporting Period, but to be transferred in the following Reporting Period

Amounts in relations to instalments due in previous Reporting Periods, but to be transferred in the following Reporting Period

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2. The Portfolio (continued)

Collections Balance

Initial Balance of the Collection Account 34.029.172,00 Advance Purchase Price Other Receivables (less) 19.014.192,00 Collections and recoveries in the Reporting Period transferred to the Collection Account 139.484.392,64 of which transferred after the end of the Reporting Period (less) 309.342,30 Undue amounts transferred to the Collection Account 406.795,18 Amounts collected on receivables outstanding at the beginning of the Reporting Period 2.476,01 Interest on the Servicer and "banche convenzionate" accounts transferred to the Collection Account 4.111,18

2.736.317,64 of which interest on the Collection Account 240.541,94 Commissions, taxes and other minor roundings (less) 11,89 Balance of the Collection Account as of the Determination Date 15/03/2005 157.339.718,46 Amounts credited to the Collection Account from the 9th to the 15th (excluded) of March 2005 1.398.441,62 Issuer Available Funds: item (a) and item (c) less balance of Expenses and Payments Account 155.941.276,84

157.339.718,46

Amounts credited to the Collection Account after the end of the Reporting Period but before the Determination Date (excl.

Issuer Available Funds: item (a) and item (c) less balance of Expenses and Payments Account plus difference due to amounts credited between 9th to 15th (excluded) of March

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The Outstanding Portfolio2. The Portfolio (continued)

POOL MAP MIUR

Performing at the beginning of the Period 1.560.054.750,75 826.403.117,10 733.651.633,65 of which- Principal - not yet due 1.560.054.750,75 826.403.117,10 733.651.633,65 - Principal - due and not paid - - - - Interest - due and not paid - - - - Default Interest - - -

Performing at the end of the Reporting Period 1.436.919.316,54 769.144.383,54 667.774.933,00 of which- Principal - not yet due 1.431.759.581,18 765.797.075,07 665.962.506,11 - Principal - due and not paid 4.092.508,98 2.498.588,66 1.593.920,32 - Interest - due and not paid 1.003.156,14 804.223,00 198.933,14 - Default Interest 64.070,24 44.496,81 19.573,43

Non Performing at the beginning of the Reporting Period - - - of which- Principal - not yet due - - - - Principal - due and not paid - - - - Interest - due and not paid - - - - Default Interest - - -

Defaulted in the Reporting Period 2.583.957,58 2.405.206,22 178.751,36 of which- Principal - not yet due 2.529.407,54 2.351.859,56 177.547,98 - Principal - due and not paid 36.874,26 36.874,26 - - Interest - due and not paid 17.675,78 16.472,40 1.203,38 - Default Interest - - -

Non Performing at the end of the Reporting Period 2.405.206,22 2.405.206,22 - of which- Principal - not yet due 2.351.859,56 2.351.859,56 - - Principal - due and not paid 36.874,26 36.874,26 - - Interest - due and not paid 16.472,40 16.472,40 - Default Interest - - - Source of Information the Servicer Reports dated 31/03/2005 provided by the Servicers

PERFORMING

NON PERFORMING

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2. The Portfolio2. The Portfolio (continued)

The Portfolio performance

POOL MAP MIURInstalments due in the Reporting Period 138.429.878,04 65.905.068,19 72.524.809,85 of which- Interest 21.145.076,29 13.191.830,06 7.953.246,23 - Principal 117.284.801,75 52.713.238,13 64.571.563,62

Instalments due in the Reporting Period but not paid 5.134.727,63 3.341.874,17 1.792.853,46 of which- Interest 1.005.344,39 806.411,25 198.933,14 - Principal 4.129.383,24 2.535.462,92 1.593.920,32

POOL MAP MIURInstalments paid in the Reporting Period in arrears - 30-59 days 191.028,79 190.607,44 421,35

Instalments paid in the Reporting Period in arrears - 60-89 days 1.465.904,60 - 1.465.904,60

Instalments paid in the Reporting Period in arrears - 90-179 days 138.491,74 138.491,74 -




3. 3. Application Application of of fundsfunds

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3. Application of funds

Issuer Available FundsIssuer Available Funds Amounts in Euro

140.926.296,84

13.479.862,23

15.085.427,56

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226,07

TOTAL ISSUER AVAILABLE FUNDS 169.491.812,70 Source of information: the Payments Report dated 17/03/2005 provided by the Cash Manager

(d) All amounts received since the imm.prec. Payment Date or due and payable to the Issuer from the Originators or from any other party to the Transaction Doc. on or before the immediately following Payment Date in the amounts certified by the Issuer and the Cash Manager by the Originators or any such other party (although not yet actually received) excl. monies in relation to the Receivables as set out in (a) above and monies in relation to the Hedging Agr. and the Swap Guar. as set out in (b) above

(e) All amounts of interest accrued due and paid (if any) on amounts standing to the credit of the Payment Acc., the Expenses Acc. and the Coll. Acc.

(b) All monies received since the imm. prec. Payment Date or due and payable to the Issuer on or before the imm. foll. Payment Date in the amount certified to the Issuer and the Cash Manager by the Hedging Coun. (although not yet actually received) under the Hedging Agr. or the Swap Guar.)

(a) All amounts received into the Coll. Acc. in relation to the Receivables from (and includ.) the imm. preced. Det. Date to (but excl.) the Det. Date on which the IAF are being calculated or, in respect of the first Det. Date, from (and includ.) the Issue Date to (but excl.) the first Det. Date

(c) All amounts standing to the credit of the Payment Acc., the Expenses Acc.and the Coll. Acc.as at such Det.Date

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3. Application of funds

Application of the Issuer Available Funds at the relevant Interest Payment Date

Application of the Issuer Available Funds pursuant to the Pre-Event Priority of Payments

88.700,53

Swap Payments (fourth item of the Pre Event Priority of Payments ) 20.008.747,50

14.134.156,00

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-

135.260.208,67

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Whilst there is any Principal Amount Outstanding in respect of any Notes, to pay any excess to the Collection Account as Accumulation Amount (eigth item of the Pre Event Priority of Payments )

Pro rata and pari passu , Subordinated Termination Payments, if any, under the SWAP (nineth item of the Pre Event Priority of Payments )

Pro rata and pari passu, payments to the Originators as DPP and other amounts due

Expenses, Retention Amount replenishment, fees and expenses (first, second, and third item of the Pre Event Priority of Payments )

Pro rata and pari passu , interest due on Class A1 and Class A2 (fifth item of the Pre Event Priority of Payments )

From and including the Payment Date in March 2006 pro rata and pari passu , repayment of principal on the Class A1 Notes until repayment in full thereof (sixth item of the Pre Event Priority of Payments )

Following the redemption in full of Class A1 Notes, pro rata and pari passu , repayment of principal on Class A2 Notes until redemption in full thereof (seventh item of Pre Event Priority of Payments )

Issuer Available Funds 169.491.812,70

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Source of information: the Payments Report dated 17/03/2005 provided by the Cash Manager

under the RPA (tenth and eleventh item of the Pre Event Priority of Payments )




44. Other Information. Other Information

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4. Other Information

Other informationPool Factor

POOL MAP MIURPool Factor at the end of the Reporting Period 91,78% 92,67% 90,77%

- Principal not yet due at the end of the Reporting Period 1.431.759.581,18 765.797.075,07 665.962.506,11 - Initial Portfolio 1.560.054.750,75 826.403.117,10 733.651.633,65




5. 5. Glossary Glossary of of TermsTerms

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5. Glossary of Terms

Glossary of TermsACCUMULATION ACCOUNT: means any Issuer Available Funds remaining after the payment in full of items (i) to (vii) in the PreEvent Priority of

Payments on any Payment Date on which there is Principal Amount Outstanding on any Notes

BUSINESS DAY: means any day on which the Trans-European Automated Real-Time Gross Settlement Express Transfer System (TARGET) (or any

successor thereto) is open and a day (other than a Saturday or Sunday) on which banks are open for general business in London, Milan and Rome

DETERMINATION DATE: means in relation to a Payment Date the day falling 5 Business Days prior to such Payment Date

EXPENSES RETENTION AMOUNT: means an amount not exceeding EUR 50,000 on the Issue Date and on each Payment Date thereafter, to be

funded initially out of the net proceeds of the issue of the Notes and subsequently from the Issuer Available Funds, which will be credited to the Ecpenses

Account, in order to fund the payment of certain amounts required to be paid by the Issuer during Interest Periods until service of a Trigger Notice

INTEREST PERIOD: means each period from (and including) a Payment Date to (but excluding) the next following Payment Date, provided that the

first Interest Period (the “Initial Interest Period”) in respect of the Notes shall be from (and including) the Issue Date to (but excluding) the Payment

Date falling in March 2005.

PAYMENT DATE: 22nd of March and September in each year, provided that, if such is not a Business Day, the immediately succeeding Business Day,

unless that immediately succeeding Business Day falls in the next calendar month, in which case, the first preceding day which is a Business Day.

PRINCIPAL AMOUNT OUTSTANDING: means in relation to any Note on any Date, the principal amount of that Note upon issue less the aggregate

amount of all principal payments in respect of that Note that have been paid prior to such date.

REPORTING DATE: the last Business Day of March and September of each year, the first Reporting Date being in March 2005.

REPORTING PERIOD: means each period of each year which commences (i) on (and includes) the first day of March and ends on the last day of the

immediately following August (included) or (ii) on the first day of September (included) and ends on the last day of the immediately following February

(inclusive), as the case may be.




66. Contacts. Contacts

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Contacts

6. Contacts

Ministero dell’Economia e delle Finanze:

Adriano Rossi +39 06 4761 3817

[email protected]

Francesco Cilloni +39 06 4761 3817

[email protected]

Tiziana Mazzarocchi +39 06 4761 3226

[email protected]

Transaction Administrator:

Francesca Paludetti +39 0438 360 918

[email protected]

Odda Bertorelli +39 0438 360 939

[email protected]

Joint Lead Managers:

Banca IMI S.p.A.:

Luca Morelli +39 02 77512510

[email protected]

Lehman Brothers International (Europe):

Andrea Feliciani +44 207 1021006

[email protected]

Dresdner Bank AG:

Fulvia Neri +39 02 72402283

[email protected]

This Investor Report is freely available on the website of the Transaction Administrator currently at www.securitisation-services.com

http://www.securitisation-services.com/

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Disclaimer

This Investor Report has been prepared by Securitisation Services and is based on:The Payments Report dated 17/03/2005 provided by Citibank, N.A., London Branch as Cash ManagerThe Servicer Report dated 31/03/2005 provided by MAP and MIUR as ServicersThe information contained into the statements of account of the Issuer (i) Collection Account provided by Tesoreria Centrale dello Stato as Collection Account Bank and (ii) Payment Account and Expenses Account provided by Citibank, N.A., Milan Branch as Transaction Bank;Other information related to the Portfolio provided by MAP and MIUR as Servicers;The applicable Rate of Interest and the Interest Amount payable for the Notes on the relevant Interest Payment Date provided by Citibank, N.A., London Branch as Agent Bank;Other information according to the Transaction Documents provided by the Ministry of Economy and Finance and the Joint Lead Managers.

Terms and expressions used in this Investor Report have the same meanings given to them in the Transaction Documents.