SCIC Research Research SCIC Investor Presentation Presentation - - PowerPoint PPT Presentation
Societ di Cartolarizzazione Italiana Crediti Societ di Cartolarizzazione Italiana Crediti a responsabilit limitata - - S.C.I.C. a r.l. S.C.I.C. a r.l. a responsabilit limitata Securitisation of Securitisation of Performing Performing
Società di Cartolarizzazione Italiana Crediti Società di Cartolarizzazione Italiana Crediti a responsabilità limitata a responsabilità limitata -
S.C.I.C. a r.l.
Securitisation of Securitisation of Performing Performing Corporate Corporate Loans Loans Granted Granted for for the the Funding Funding of
Research Research and and Development Development Programmes Programmes
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Notice to All Potential Investors
This document is not a complete description of the notes to be i
any investment decision and should pay particular attention to t contained in the Offering Circular. A copy of the Offering Circular will be available from the Managers of the Notes. Information herein is believed to be reliable but none of the Managers nor S.C.I.C. a r.l. warrant its completeness or accuracy and it should not be relied upon as such. The information contained herein is subject to change without notice. Past performance is not indicative of future results. This document does not constitute and should not be considered as an offer or solicitation for the purchase or sale of any security or other financial instrument. Before entering into any transaction, investors should consider the suitability of the transaction to their particular circumstances and independently review (with professional advisers as necessary) the specific financial risks as well as the legal, regulatory, credit, tax and accounting consequences. The Managers do not act as an adviser or fiduciary to any of their investors unless otherwise agreed in writing. Certain analysis is presented herein and is intended solely for purposes of indicating a range of outcomes that may result from changes in market parameters. It is not intended to suggest that any outcome is more likely than another, and it does not include all possible outcomes or the range of possible outcomes, one of which may be that the investment value declines to
Each Manager and / or their affiliates may hold positions or act as market makers in the financial instruments of any issuer referred to herein or act as advisors or lenders to such issuer. Dresdner Kleinwort Wasserstein and Lehman Brothers are is regulated by the Bank of Italy and CONSOB. The information included herein has certain inherent limitations, will be affected by any structural changes or changes in the assets in this transaction, and investors should not rely on this information in making their investment decisions. Investors should make their own independent evaluation of the Notes before deciding whether to invest. None of the Managers will be responsible for the consequences of reliance upon any statement or information contained herein or any omission therefrom. This is confidential and is being submitted to selected recipients only, and may not be reproduced. It is not intended for persons who would be classified as private investors under the F
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Table of Contents
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Transaction Rationale
the first securitisation of performing corporate loans granted to fund research and development
volazioni alla Ricerca and tively) and by the Ministry
context of its strategy to privatise public assets and achieve best business practice in all related portfolio management activities through securitisation.
programmes;
practice, in order to ensure efficiency in the management and monitoring of the securitised portfolios.
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Transaction Rationale (Cont.d)
SCIP Programmes, represents the set of instruments designed and continuously used by the MEF to implement its strategy of securitising public assets on a regular basis using lysis, broaden the investor base and further develop secondary market liquidity.
company as well as from each other.
discipline from streamlining market scrutiny and upgraded management of securitised assets.
are the tools used by the MEF to achieve its goals.
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Notes Issued
Securitisation Services Transaction Administrator Banca IMI, Lehman Brothers Special Financing Swap Counterparty Equivalent to Eurobonds: no WHT for non-Italian investors Tax Treatment Semi-annual on 22 September and 22 March of each year Coupon Frequency Citibank Cash Manager Italian Ministry of Economy and Finance (MEF) Sponsor MAP and MIUR Servicers
Class A1: March 2006 Class A2: September 2023 Legal Final Maturity Overcollateralisation (19%) Credit Enhancement Portfolio of loans to 1,864 Italian corporate entities granted for Research and Development projects Collateral mm Initial Portfolio plus Max Portfolio Amount Italian Ministries of Education, University and Research (MIUR), and Productive Activities (MAP) Originators S.C.I.C. a r.l. a multi-purpose securitisation company established in Italy Issuer
Note Class Class Credit Expected Expected
Class Size Size Enhancement Weighted Average Maturity
(S&P, Fitch, (% collateral) (Euro million)
Life (years)
(years) Moody's)
Class A1 19 300.0 19.00% 1.4 1.4 AAA/AAA/Aaa Class A2 62 979.0 19.00% 3.7 6.0 AAA/AAA/Aaa Total Issuance 1279.00 Note Class Class Credit Expected Expected
Class Size Size Enhancement Weighted Average Maturity
(S&P, Fitch, (% collateral) (Euro million)
Life (years)
(years) Moody's)
Class A1 19 300.0 19.00% 1.4 1.4 AAA/AAA/Aaa Class A2 62 979.0 19.00% 3.7 6.0 AAA/AAA/Aaa Total Issuance 1279.00
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Key Strengths of the Transaction
as well as historical performance
including those assisted by mortgage, pledge or other liens. Some of the Loans are also supported by bank guarantees. All connected rights are linked to the Loans and will be transferred to the Issuer.
)
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Transaction Overview MIUR and MAP
programmes.
new allocations by State budget law resources and, for the first time, securitisation proceeds. The MIUR oversees, promotes, contributes and funds programmes for basic applied research projects. The MAP oversees, promotes, contributes and funds projects leading to competitive improvements through development of new technology. FIT Loans FAR Loans FSRA Loans
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Transaction Overview Portfolio Description
performing Loans granted to 1,864 small, medium and large corporates, with a principal outstanding amount of approx. 46.2% of the Initial Portfolio are Loans originated by the MIUR and the FSRA. The remaining 53.8% are Loans originated by the MA
arising from further drawings d FSRA Loans, scheduled to be made under pre-approved R&D projects by the end of 2004 (in respect of which initial drawings have already been made and are included in the Initial Portfolio). The outstanding principal of the Other Receivables will not exceed
46.20% 53.80%
MIUR Loans (FAR and FSRA) MAP Loans (FIT)
* Assuming to the Issuer
Total Portfolio* 47.66% 52.34%
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Transaction Overview Portfolio Description (Cont.d)
for a R&D project to the MIUR or the MAP and that have met stringent technical and financial underwriting criteria. The Loans constitute a direct unconditional obligation of the relevant
granted on a non-recourse or project financing basis).
(soft-rate loans). The weighted average current coupon of the Initial Portfolio is equal to 2.508%.
agreed with each debtor. The bulk of the Initial Portfolio (82.9% by outstanding principal) includes fully-drawn Loans relating to completed projects. The remaining part of the Initial Portfolio contains the drawn portion of partially-drawn Loans relating to R&D project which are still in progress.
through Italian sub-servicer banks selected for this specific purpose.
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Transaction Overview Summary Table
MAP LOANS Fund FSRA FAR FIT Obligor Types Small, Medium and Large Corporates Small, Medium and Large Corporates Small, Medium and Large Corporates Project Type Basic applied research Basic applied research Development of New Products & Technologies Current Status of the Loans Performing Performing Performing Nature of the Loans Full-recourse subsidised Loans assisted by general lien Full-recourse subsidised Loans assisted by general lien Full-recourse subsidised Loans assisted by general lien Current Status of Underlying R&D Projects 100% completed R&D projects Loans Included in the Securitisation Initial Portfolio and Other Receivables Initial Portfolio and Other Receivables Initial Portfolio Outstanding Amount of Initial Portfolio (Euro mn) 561 148 826 Maximum Transferrable Amount of Other Receivables (Euro mn) 32 10 Servicer MAP (also through Italian credit institutions as Sub-servicers) Other Features Repayments of FSRA Loans flow into the FAR. The FSRA is therefore being progressively replaced by the FAR. MIUR LOANS MIUR (also through Italian credit institutions as Sub-servicers) 45.9% ca. (in value) relating to MIUR Loans on completed R&D
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Transaction Overview The Issuer
used to purchase the Initial Portfolio by paying the so- to the MIUR and the MAP.
the Issuer) in order to disburse to the MIUR the Initial Purchase Price relating to the Other Receivables. The Other Receivables will be transferred by the MIUR to the Issuer by 31 December 2004.
costs and servicing fees) until the full repayment of the Notes, at which time all the remaining resources (credits or cash) will be paid or transferred, as Defe to the MIUR and the MAP.
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Initial Portfolio Summary Table (as at cut off date 31 July 2004)
1 Number of Loans: 2,653 2 Outstanding Principal Amount:
1,864* 4 Number of Industries Represented: 31 5 Average Loan Amount by Obligor:
4.82 years 7 WA Remaining Maturity 6.9 years 8 WAL of the Portfolio: 4.1 years 9 Longest Maturity: 18 April 2017 10 Current WAC: 2.508%
* For the purpose of this document, each legal entity is considered as a separate obligor.
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Relevant Portfolio Statistics
received an investment grade score.
Outstanding Amounts ( % of Portfolio Top obligor 57,844,940 3.76% Top 5 obligors 103,141,428 6.7% Top 10 obligors 142,827,654 9.3% Top 20 obligors 203,888,598 13.3%
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Relevant Portfolio Statistics (Cont.d)
31 industrial sectors are represented in the Initial Portfolio, using Istat classification. The largest sector ting the typical Italian industrial base. The Chemical sector is the second largest, due to the typical high R&D investments required in such industry.
18.2% 3.1% 3.8% 3.9% 4.9% 5.7% 5.8% 7.1% 8.4% 9.6% 10.2% 19.4% 0.00% 5.00% 10.00% 15.00% 20.00% M achinery Chemicals and synthetic fibres/f ilam ents Automotive, R ail and transport production Steel and iron Real estate services, sof tw are, research, consulting and other services R adio, TV and other telecom munications products Electronics Medical electric equipm ent, w atches and optical products Plastics and Rubbers Non ferrous mineral/m etals products Textiles and clothes Others <3%
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Description of the Transaction
Purchase Price of the Initial Portfolio paid to the MIUR and the MAP.
Collection Account until 20 December 2004, when it is expected to be paid to the MIUR as IPP
December 2004, any cash retained by the Issuer, after payment of the IPP to the MIUR, will be considered as available funds and used to repay the Notes according to their original schedule.
instalments collected by the Issuer under the Loans (and not used to make Note coupon or senior expense payments) will be deposited in the Collection Account.
and any liquidity deposited in the Collection Account to redeem the Class A1 Notes (after allocation to senior expenses and Note coupons). Upon full repayment of the Class A1 Notes the Issuer will use all collections under the Loans to the payment of senior expenses, Class A2 Interest and Class A2 Principal.
whilst the Class A2 Notes present a pass-through amortising redemption mechanism.
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Main Terms and Conditions
deduction of substitute tax in Italy for all non Italian residents. The Notes are expected to fulfil ECB Repo eligibility criteria and to carry a 100% BIS risk asset weighting. Issuer Expected Launch and Closing Dates Coupon Basis and Frequency Listing / Trading Settlement Governing Law Denomination Other Information
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Initial Portfolio Initial Portfolio MIUR Loans = 710.2 mm (Outstanding Principal Value) MAP Loans = 826.4 mm (Outstanding Principal Value) Total Initial Portfolio = 1,536.5 mm (Outstanding Principal Value) Other Receivables Other Receivables Maximum Outstanding Principal Value = 42 mm
Capital Structure
AAA/Aaa/AAA Rated Class A1 Notes 300 mm AAA/Aaa/AAA Rated Class A1 Notes 300 mm AAA/Aaa/AAA Rated Class A2 Notes 979 mm AAA/Aaa/AAA Rated Class A2 Notes 979 mm
Notes Offered
Deferred Purchase Price Deferred Purchase Price
19% of the Portfolio 62% of the Portfolio
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Transaction Structure
Citibank -
Manager / Transaction Accounts Bank Securitisation Services Representative of Noteholders / Transaction Administrator SCIC - Issuer BIMI&LEHMAN - Swap Counterparties
Fixed-to-floating Sw ap
Class A1 Noteholders Class A2 Noteholders MIUR - Originator MAP - Originator
True Sale of MIURLoans
(includi ng Other Re ceivabl es)
True Sale of MAP Loans Initial P urchase Price I n i t i a l P u r c h a s e P r i c e Class A1/A2 Note Proceeds Class A1 Notes Class A2 Notes