Ministero delle Attività Produttive Ministero dell ...€¦ · The balance of the Collection...

Securitisation of Research LoansSecuritisation of Research LoansSocietà di Cartolarizzazione Italiana Crediti a responsabilità limitata

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

Originators:

Ministero delle Attività Produttive

Ministero dell’Istruzione, dell’Università e della Ricerca

InvestorsInvestors ReportReportClass A1 € 300,000,000 Research Loan Asset-Backed Floating Rate Notes due 2008*Class A2 € 979,000,000 Research Loan Asset-Backed Floating Rate Notes due 2023

Interest Payment Date: 22nd September 2009

SECURITISATION SERVICES S.p.A.FINANZIARIA INTERNAZIONALE GROUP


*Class redeemed in full on 22nd March 2006

1Reporting Period: 01/03/2009 (included) to 31/08/2009 (included)Interest Period: 23/03/2009 (included) to 22/09/2009 (excluded)



1. The Notes ………………………………………..…...………page 5

2. The Portfolio …………………………………………....…… page 9

3. Application of funds ………………………………..….…… page 15

4. Glossary of Terms ……………………………...….……….. page 19

5. Contacts…………. ……………………………...….……….. page 21

IndexIndex

In reviewing this information please refer to the important qualifications set forth in the Disclaimer – page 23




IntroductionIntroduction� The Performing Outstanding Portfolio as at 31st August 2009 is equal to Euro 450,892,762.74 against an Initial Portfolio of Euro

1,536,586,766.80 plus Euro 23,467,984.00 receivables purchased from the MIUR on 21st December 2004.

� The total Collections (excluding recoveries) up to the 31st August 2009 amount to Euro 1,202,157,275.29.

� The balance of the Collection Account as at the Determination Date falling on 15th September 2009, before the application of the relevant Priority of Payments at the Interest Payment Date falling on 22nd September 2009, amounts to Euro 87,394,298.06.

� The Pool Factor on the Outstanding Portfolio as at the end of the Reporting Period is equal to 27.82%.

COLLECTIONS POOL MAP MIUR

01/08/2004 incl. - 28/02/2005 incl. 141.406.630,57 66.818.905,95 74.587.724,62 01/03/2005 incl. - 31/08/2005 incl. 128.123.458,12 51.333.725,64 76.789.732,48 01/09/2005 incl. - 28/02/2006 incl. 152.801.116,26 77.486.453,11 75.314.663,15 01/03/2006 incl. - 31/08/2006 incl. 124.639.948,18 52.250.283,24 72.389.664,94 01/09/2006 incl. - 28/02/2007 incl. 138.421.857,97 71.062.881,72 67.358.976,25 01/03/2007 incl. - 31/08/2007 incl. 112.286.432,71 49.893.089,56 62.393.343,15 01/09/2007 incl. - 29/02/2008 incl. 123.949.772,59 66.620.319,64 57.329.452,95 01/03/2008 incl. - 31/08/2008 incl. 98.060.820,98 44.888.689,34 53.172.131,64 01/09/2008 incl. - 28/02/2009 incl. 103.909.480,49 57.018.339,11 46.891.141,38 01/03/2009 incl. - 31/08/2009 incl. 78.557.757,42 39.330.870,95 39.226.886,47

TOTAL 1.202.157.275,29 576.703.558,26 625.453.717,03

POOL FACTOR ON THE OUTSTANDING PORTFOLIO POOL MAP MIUR

Rep. Period 01/08/2004 incl. - 28/02/2005 incl. 91,78% 92,67% 90,77%Rep. Period 01/03/2005 incl. - 31/08/2005 incl. 84,14% 86,86% 81,06%Rep. Period 01/09/2005 incl. - 28/02/2006 incl. 75,28% 79,13% 70,94%Rep. Period 01/03/2006 incl. - 31/08/2006 incl. 67,82% 73,74% 61,16%Rep. Period 01/09/2006 incl. - 28/02/2007 incl. 59,69% 66,14% 52,42%Rep. Period 01/03/2007 incl. - 31/08/2007 incl. 52,99% 60,82% 44,16%Rep. Period 01/09/2007 incl. - 29/02/2008 incl. 45,29% 53,56% 35,97%Rep. Period 01/03/2008 incl. - 31/08/2008 incl. 39,46% 48,86% 28,87%Rep. Period 01/09/2008 incl. - 28/02/2009 incl. 32,85% 42,31% 22,20%Rep. Period 01/03/2009 incl. - 31/08/2009 incl. 27,82% 37,86% 16,52%




Replacement of Lehman Brothers Special Financing Inc. with Banca IMI

as swap counterparty and Termination Payment by LBSF

� On 29 September 2004, the Issuer entered into an International Swaps and Derivatives Association, Inc. (ISDA) 1992 Master Agreement

(Multicurrency-Cross Border) (together with the schedule thereto and a confirmation evidencing a transaction thereunder (the Hedging

Transaction) with, inter alios, Lehman Brothers Special Financing Inc. (LBSF or the Hedging Counterparty) in order to hedge against certain

interest rate risks arising in respect of its floating rate interest obligations under the Notes.

� The obligations of LBSF as the Hedging Counterparty under the Hedging Transaction was guaranteed by Lehman Brothers Holdings Inc.

(LBHI ) as Credit Support Provider, which filed for bankruptcy protection under Chapter 11 of the United States Bankruptcy Code on Monday

15 September 2008 and certain of its subsidiaries entered into certain protective bankruptcy or similar proceedings in various jurisdictions.

� On 22 September 2008, LBSF failed to make the scheduled payments that pursuant to the Hedging Transaction were due to be made by LBSF

on 22 September 2008, Interest Payment Date.

� On 23 October 2008 the Issuer has sent to, inter alios, LBSF a notice of termination of the existing swap agreement with LBSF, designating

27 October 2008 as an "early termination date" in respect of all outstanding relevant transactions.

� On 27 October 2008, with effective date 22 September 2008, the swap entered into with Lehman Brothers Special Financing Inc. has been

replaced by a new swap entered into with Banca IMI which therefore has become the sole swap counterparty of S.C.I.C. in relation to the

securitisation transaction, in connection to which the Notes have been issued.

Introduction




Replacement of Lehman Brothers Special Financing Inc. with Banca IMI

as swap counterparty and Termination Payment by LBSF

� Based on the information received by the Issuer, we understand that:

(a) the terms and conditions of the new swap, regulating the periodical payments due the Issuer and the swap counterparty, had

not been amended;

(b) the Issuer paid to Banca IMI an amount equal to EUR 3,670,000 (as replacement cost) on the payment date falling on 23

March 2009;

(c) the Issuer claimed its credit arising from the replacement (together with the amount of EUR 1,366,428.51 payable by

Lehman Brothers Special Financing Inc. on 22 September 2008, amount that was paid on 30 June 2009) towards Lehman

Brothers Special Financing Inc., as swap counterparty, and Lehman Brothers Holdings Inc., as credit support provider;

(d) the above-mentioned credit of the Issuer benefited from a cash collateral created in favour of the Issuer by Lehman Brothers

Holdings Inc. through a declaration of trust, the balance of which was about EUR 7,527,000.

� On 30 June 2009, LBSF paid to SCIC an amount of Euro 5,089,081.01 (Termination Payment). No further amounts shall be

due or payable by LBSF or SCIC in connection with the termination of the Swap Transaction.

Introduction

5SECURITISATION SERVICES S.p.A.

FINANZIARIA INTERNAZIONALE GROUP


11. The Notes. The Notes




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

� Issue Date: 30th September 2004

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

� The Notes:

1. 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




� 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 Servizi di Amministrazione S.p.A.

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

� Transaction Administrator: Securitisation Services S.p.A.

� Hedging Counterparty: Banca IMI**

� 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 fromFIT (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).

*Pursuant to “decreto-legge 18 maggio 2006, n. 181” of the Italian Law, the name of the relevant ministries has been changed in “MSE” (Ministerodello Sviluppo Economico) for the MAP, and “MUR” (Ministero dell’Università e della Ricerca) for the MIUR** See page 3




1. The Notes1. The Notes (continued)

CLASS A2 CLASS A2 -- ISIN CODE IT0003731426ISIN CODE IT0003731426

CLASS A1* CLASS A1* -- ISIN CODE IT0003731418ISIN CODE IT0003731418

*Class redeemed in full on 22nd March 2006

Expected Principal Due

Accrual Rate

Accrual Period

Accrued InterestInterest

PaymentsPrincipal Payments

30/09/2004 incl. - 22/03/2005 excl. 22/03/2005 - 2,223% 173 3.204.600,00 3.204.600,00 - 1,0000

22/03/2005 incl. - 22/09/2005 excl. 22/09/2005 - 2,216% 184 3.397.800,00 3.397.800,00 - 1,0000

22/09/2005 incl. - 22/03/2006 excl. 22/03/2006 300.000.000,00 2,195% 181 3.310.800,00 3.310.800,00 300.000.000,00 0,0000

Amounts in Euro

Amounts Accrued Payments

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

Pool FactorInterest Period Payment Date

Expected Principal Due

Accrual Rate

Accrual Period

Accrued Interest

Interest Payments

Principal Payments

30/09/2004 incl. - 22/03/2005 excl. 22/03/2005 - 2,323% 173 10.929.556,00 10.929.556,00 - 1,0000

22/03/2005 incl. - 22/09/2005 excl. 22/09/2005 - 2,316% 184 11.589.402,00 11.589.402,00 - 1,0000

22/09/2005 incl. - 22/03/2006 excl. 22/03/2006 - 2,295% 181 11.295.702,00 11.295.702,00 56.753.790,02 0,9420

22/03/2006 incl. - 22/09/2006 excl. 22/09/2006 - 3,014% 184 14.207.248,00 14.207.248,00 119.884.674,12 0,8196

22/09/2006 incl. - 22/03/2007 excl. 22/03/2007 - 3,678% 181 14.837.724,00 14.837.724,00 127.295.842,05 0,6895

22/03/2007 incl. - 24/09/2007 excl. 24/09/2007 - 4,144% 186 14.453.956,00 14.453.956,00 98.283.587,43 0,5892

24/09/2007 incl. - 25/03/2008 excl. 25/03/2008 - 4,852% 183 14.226.828,00 14.226.828,00 116.535.133,97 0,4701

25/03/2008 incl. - 22/09/2008 excl. 22/09/2008 - 4,791% 181 11.086.196,00 11.086.196,00 88.683.104,21 0,3795

22/09/2008 incl. - 23/03/2009 excl. 23/03/2009 - 5,353% 182 10.056.288,00 10.056.288,00 95.219.202,13 0,2823

23/03/2009 incl. - 22/09/2009 excl. 22/09/2009 - 1,864% 183 2.617.846,00 2.617.846,00 79.645.979,75 0,2009

Amounts in Euro

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

Pool FactorInterest Period Payment DateAmounts Accrued Payments




22. The Portfolio. The Portfolio




Information about CollectionsInformation about Collections

2. The Portfolio

POOL MAP MIURAmounts collected in relation to instalments due in the Reporting Period 75.402.777,56 37.896.014,40 37.506.763,16 of which- Default Interests 37.459,62 2.604,62 34.855,00 - Interests 6.224.485,06 4.719.272,39 1.505.212,67 - Principal 69.140.832,88 33.174.137,39 35.966.695,49

Amounts collected in the Reporting Period in relation to instalments past due 2.598.934,08 975.535,35 1.623.398,73 of which- Default Interests 41.613,59 14.243,58 27.370,01 - Interests 250.401,61 163.673,57 86.728,04 - Principal 2.306.918,88 797.618,20 1.509.300,68

- - - of which- Default Interests - - - - Interests - - - - Principal - - -

- - - of which- Default Interests - - - - Interests - - - - Principal - - -

64,35 51,00 13,35

Partial or total Prepayments 555.981,43 459.270,20 96.711,23 of which- Interest 1.595,83 960,66 635,17 - Principal 554.385,60 458.309,54 96.076,06 - of which not yet transferred to the Collection Account - - -

AMOUNTS COLLECTED DURING THE REPORTING PERIOD 78.557.757,42 39.330.870,95 39.226.886,47

AMOUNTS COLLECTED DURING THE REPORTING PERIOD AND T RANSFERRED TO THE COLLECTION ACCOUNT 78.557.757,42 39.330.870,95 39.226.886,47 Source of information: the Servicer Reports dated 30/09/2009 provided by the Servicers

Amounts in relations to instalments due in the Reporting Period, but not yet transferred to the Collection Account

Amounts in relations to instalments due in previous Reporting Periods, but not yet transferred to the Collection Account

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




2. The Portfolio (continued)

Collections BalanceCollections BalancePart A - Reconciliation of the Collections Amounts in Euro

Collections and prepayments transferred to the Collection Account in the Reporting Period (items 7a) + 7b) + 7e) + 9 of the Servicers' Reports): 78.557.757,42 +

- of which pertaining to the previous Reporting Period 1.794.455,92 +

Undue amounts transferred to the Collection Account (item 20(c) of the Servicers' Reports) 177.879,24 +Other amounts collected and transferred to the Collection Account (item 20(e) of the Servicers' Reports) - +Interests accrued on the accounts of the "Banche Convenzionate" and transferred to the Coll. Acc. (item 16 of the Servicers' Reports) 41.767,12 +Amounts transferred with reference to collections of preceding Reporting Periods (item 20(b) of the Servicers' Reports) - +Undue amounts not transferred to the Collection Account in relation to preceding Reporting Periods (item 20(d) of the Servicers' Reports) - -Non performing loans recovered during the Reporting Period (item 30 of the Servicers' Reports) 564.148,96 +Amounts transferred from the end of the Reporting Period to the Determination Date falling on 15th September 2009 (excluded) 1.730.910,37 + - of which amounts pertaining to the Reporting Period (item 20a) of the Servicers' Reports - -

Commissions taxes and minor roundings 0,12- -

Collections transferred to the Collection Account from 1st March 2009 to 15th September 2009: 82.866.919,15 - of which not considered in the Payment Report of September 2009 1.730.910,37 - - of which already considered in the Payment Report of March 2009 (collections from 1st to 2nd March 2009) 1.528.521,98 -Total collections transferred from the Collection Account to the Payment Account (item (a) of the Payment Report)* 79.607.486,80 Interests accrued on the Collection Account during the Reporting Period 966.819,88 +Termination Payment due by LBSF 5.089.081,01 +Amount transferred from the Collection Account to the Payment Account in relation to the Payment Date of 22nd September 2009 85.663.387,69

Part B - Collection Account BalanceInitial Balance of the Collection Account as at 16th March 2009 108.288.446,41 Collections transferred from 1st March 2009 to 15th September 2009 82.866.919,15 + - of which transferred from 1st to 16th March 2009 3.163.147,31 -Amount transferred to the Payment Account in relation to the Payment Date of 23rd March 2009 106.653.821,08 -Interests accrued on the Collection Account during the Reporting Period 966.819,88 +Termination Payment due by LBSF 5.089.081,01 +Final Balance of the Collection Account as at 14th September 2009 87.394.298,06

(*) This item in the Payment Report includes also the amount paid by LBSF as Termination Payment




Outstanding Portfolio Outstanding Portfolio –– Performing LoansPerforming Loans

2. The Portfolio (continued)

POOL MAP MIUR

Performing at the beginning of the Reporting Period 525.350.343,60 357.899.883,70 167.450.459,90 of which- Principal - not yet due 512.494.573,37 349.625.505,94 162.869.067,43 - Principal - due and not paid 10.983.735,87 6.680.425,30 4.303.310,57 - Interest - due and not paid 1.561.564,98 1.367.979,71 193.585,27 - Default Interest 310.469,38 225.972,75 84.496,63

Performing at the end of the Reporting Period 450.892.762,74 323.654.528,25 127.238.234,49 of which- Principal - not yet due 434.054.566,21 312.887.173,63 121.167.392,58 - Principal - due and not paid 14.514.938,34 8.750.956,20 5.763.982,14 - Interest - due and not paid 1.859.333,64 1.646.626,11 212.707,53 - Default Interest 463.924,55 369.772,31 94.152,24 Amounts in Euro

POOL MAP MIURInstalments due in the Reporting Period 82.576.967,86 41.246.049,03 41.330.918,83 of which- Principal 75.790.362,72 36.099.654,25 39.690.708,47

- Interest 6.786.605,14 5.146.394,78 1.640.210,36

Instalments in arrears in the Reporting Period 6.974.859,71 3.352.639,25 3.622.220,46 of which- Principal 6.414.956,56 2.925.516,86 3.489.439,70 - Interest 559.903,15 427.122,39 132.780,76

Amounts in Euro

OUTSTANDING PORTFOLIO - PERFORMING




The Portfolio performance The Portfolio performance –– Performing LoansPerforming Loans

2. The Portfolio2. The Portfolio (continued)

POOL MAP MIUR

Principal - due and not paid at the end of the Reporting Period 14.514.938,34 8.750.956,20 5.763.982,14

of which not paid for more than 30 days 13.188.414,97 7.424.432,83 5.763.982,14

45.203.838,85 31.936.039,86 13.267.798,99

Instalments due and not paid (principal only) - 30-59 days in arrears 1.991.318,74 601.097,84 1.390.220,90 Outstanding principal in relation to instalments 30-59 days in arrears 6.521.272,61 2.773.346,74 3.747.925,87

Instalments due and not paid (principal only) - 60-89 days in arrears 1.518.016,48 445.565,86 1.072.450,62 Outstanding principal in relation to instalments 60-89 days in arrears 10.397.401,25 3.928.598,86 6.468.802,39

Instalments due and not paid (principal only) - 90-179 days in arrears 1.386.793,24 1.386.793,24 - Outstanding principal in relation to instalments 90-179 days in arrears 7.934.324,59 7.934.324,59 -

Instalments due and not paid (principal only) - more than 180 days in arrears 8.292.286,51 4.990.975,89 3.301.310,62 Outstanding principal in relation to instalments more than 180 days in arrears 20.350.840,40 17.299.769,67 3.051.070,73 Amounts in Euro

Outstanding principal in relation to the instalments due and not paid for more than 30 days (current instalment excluded)




Outstanding Portfolio Outstanding Portfolio –– Non Performing LoansNon Performing Loans

2. The Portfolio2. The Portfolio (continued)

POOL MAP MIUR

Non Performing at the beginning of the Reporting Period 46.088.675,52 24.211.694,17 21.876.981,35 of which- Principal - not yet due 30.290.947,39 17.996.536,30 12.294.411,09 - Principal - due and not paid 13.034.347,70 4.623.109,13 8.411.238,57 - Interest - due and not paid 1.529.062,32 927.836,84 601.225,48 - Default Interest 1.234.318,11 664.211,90 570.106,21

Defaulted in the Reporting Period 2.973.633,11 249.558,73 2.724.074,38 of which- Principal - not yet due 2.138.441,04 180.368,55 1.958.072,49 - Principal - due and not paid 768.226,29 57.367,73 710.858,56 - Interest - due and not paid 43.676,34 5.251,73 38.424,61 - Default Interest 23.289,44 6.570,72 16.718,72

Recoveries in the Reporting Period 564.148,96 - 564.148,96 of which- Principal - not yet due 368,46 - 368,46 - Principal - due and not paid 527.794,59 - 527.794,59 - Interest - due and not paid 21.801,81 - 21.801,81 - Default Interest 14.184,10 - 14.184,10

Written offs in the Reporting Period - - - of which- Principal - not yet due - - - - Principal - due and not paid - - - - Interest - due and not paid - - - - Default Interest - - -

Non Performing at the end of the Reporting Period 48.630.225,06 24.461.252,90 24.168.972,16 of which- Principal - not yet due 34.707.209,91 18.176.904,85 16.530.305,06 - Principal - due and not paid 11.675.876,93 4.680.476,86 6.995.400,07 - Interest - due and not paid 1.397.835,33 933.088,57 464.746,76 - Default Interest 849.302,89 670.782,62 178.520,27

Total defaulted principal gross of the recoveries from the Cut-Off Date 49.315.525,27 21.622.094,86 27.693.430,41 Source of information: the Servicer Reports dated 30/09/2009 provided by the Servicers

OUTSTANDING PORTFOLIO - NON PERFORMING




3. 3. ApplicationApplication of of fundsfunds




3. Application of funds

IssuerIssuer AvailableAvailable FundsFunds

Issuer Available Funds Amounts in Euro

84.696.567,81 (*)

2.407.322,52

14.534,71

-

966.895,32

(*) This amount includes also the Termination Payment due by LBSF

TOTAL ISSUER AVAILABLE FUNDS 88.085.320,36 Source of information: the Payments Report dated 17/09/2009 provided by the Cash Manager

(b) all monies received since the immediately preceding Payment Date or to the Issuer on or before the immediately following PaymentDate in the amount certified to the Issuer and the Cash Manager by the Hedging Counterparty (although not yet actually received)under the Hedging Agreements or the Swap Guarantee;

(d) all amounts received since the immediately preceding Payment Date or due and payable to the Issuer from the Originators or fromany other party to the transaction pursuant to the Transaction Documents on or before the immediately following PaymentDate in theamounts certified to the Issuer and the Cash Manager by the Originators or any such other party (although not yet actuallyreceived),excluding monies in relation to the Receivables as set out in(a) above and monies in relation to the Hedging Agreements and the SwapGuarantee 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 Account, the ExpensesAccount and the Collection Account

(c) all amounts standing to the credit of the Payment Account, the Expenses Account and the Collection Account (including, for theavoidance of doubt, in relation to the Payment Date in March 2005, all amounts standing to the credit of the Collection account whichhad previously been recorded in the Initial Purchase Price Reserve and not otherwise due and utilised to pay the Initial Purchase Pricerelating to the Other Receivables) as at such Determinationdate (including, for the avoidance of doubt, in relation to acalculation ofIssuer Available Funds for the purposes of application thereof in accordance with the Post-Event Priority of Payments,any moniesreceived by the Issuer upon a disposal of the Portfolio or upon any financing following service of a Trigger Notice or upon a redemption of the Notes in accordance with Condition 8.3 (Redeption forTaxation or Legal Reasons) or Condition 8.4 (Redemption upon exercise ofClean-up Call));

(a) all amounts received into the Collection Account in relation to the Receivables from (and including) the immediately precedingDetermination Date to (but excluding) the Determination Date on which the Issuer Available Funds are being calculated,or, in respect ofthe first Determination Date, from (and including) the Issue Date to (but excluding) the first Determination Date;




3. Application of funds (continued)

ApplicationApplication of the of the IssuerIssuer AvailableAvailable FundsFundsPrePre--EventEvent PriorityPriority of of PaymentsPayments

Issuer Available Funds 88.085.320,36

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

990.189,89

Swap Payments (fourth item of the Pre Event Priority of Payments) 4.831.304,72

2.617.846,00

-

79.645.979,75

-

-

-

TOTAL OF THE APPLICATION OF FUNDS 88.085.320,36 Source of information: the Payments Report dated 17/09/2009 provided by the Cash Manager

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)

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 2006pro rata and pari passu, repayment ofprincipal on the Class A1 Notes until repayment in full thereof (sixth item of the Pre Event Priorityof Payments)

Whilst there is any Principal Amount Outstanding in respect of any Notes, to pay any excess to the Collection Account as Accumulation Amount (eighth 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 under the RPA (tenth and eleventh item of the Pre Event Priority of Payments)




3. Application of funds (continued)

SummarySummary of the of the IssuerIssuer AvailableAvailable FundsFundsapplicationapplication fromfrom the the beginningbeginning of the dealof the deal

Expenses SWAP PaymentInterest on the

NotesPrincipal on the

NotesOther

Payments

30/09/2004 incl. - 22/03/2005 excl. 22/03/2005 88.700,53 20.008.747,50 14.134.156,00 - - 135.260.208,67

22/03/2005 incl. - 22/09/2005 excl. 22/09/2005 35.572,00 21.280.980,00 14.987.202,00 - - 103.299.130,01

22/09/2005 incl. - 22/03/2006 excl. 22/03/2006 2.331.355,79 20.934.007,50 14.606.502,00 356.753.790,02 - -

22/03/2006 incl. - 22/09/2006 excl. 22/09/2006 1.327.442,67 16.403.685,92 14.207.248,00 119.884.674,12 - -

22/09/2006 incl. - 22/03/2007 excl. 22/03/2007 1.284.589,57 14.038.652,34 14.837.724,00 127.295.842,05 - -

22/03/2007 incl. - 24/09/2007 excl. 24/09/2007 1.233.006,20 12.137.681,18 14.453.956,00 98.283.587,43 - -

24/09/2007 incl. - 25/03/2008 excl. 25/03/2008 1.096.712,95 10.203.275,46 14.226.828,00 116.535.133,97 - -

25/03/2008 incl. - 22/09/2008 excl. 22/09/2008 1.110.951,79 4.026.393,93 11.086.196,00 88.683.104,21 - -

22/09/2008 incl. - 23/03/2009 excl. 23/03/2009 1.033.138,52 10.207.046,98 10.056.288,00 95.219.202,13 - -

23/03/2009 incl. - 22/09/2009 excl. 22/09/2009 990.189,89 4.831.304,72 2.617.846,00 79.645.979,75 - -

Amounts in Euro

Interest PeriodIssuer Available

Funds

Amounts Accrued Residual transferred to the

Collection Account




4. 4. GlossaryGlossaryof of TermsTerms




� ACCUMULATION AMOUNT : 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.

GlossaryGlossaryof of TermsTerms

4. Glossary of Terms




55. Contacts. Contacts




ContactsContacts

5. Contacts

Joint Lead Managers:

� Banca IMI S.p.A.:

Luca Morelli +39 02 77512510

[email protected]

� Dresdner Bank AG:

Fulvia Neri +39 02 72402283

[email protected]

� Ministero dell’Economia e delle Finanze:

Tiziana Mazzarocchi +39 06 4761 3226

[email protected]

� Transaction Administrator:

Giovanna Pujatti +39 0438 360 426

[email protected]

Marianna Pezzutto +39 0438 360 427

[email protected]

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

* See page 3




This Investor Report has been prepared by Securitisation Services and is based on:� The Payments Report dated 17/09/2009 provided by Citibank, N.A., London Branch as Cash Manager� The Servicer Report dated 30/09/2009 provided by MAP and MIUR as Servicers� The 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.

DisclaimerDisclaimer

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