Investor-Presentation-PersonalLoan

Transcription

S.C.I.C.
Società di Cartolarizzazione Italiana Crediti a r.l.
PERSONAL LOANS PORTFOLIO
Securitisation of Performing Collateralised
Personal Loans to Italian Public Sector Employees
originated by
€ [4,230] million
INVESTOR PRESENTATION
November 2003
Disclaimer
The securities discussed herein have not been and will not be registered with the U.S. Securities and Exchange Commission. Such securities may not be offered or sold, and this document may
not be disseminated, in the United States or to any U.S. person, except in connection with (1) a transaction outside the United States to persons that are not US persons in accordance with Rule 903
or Rule 904 of Regulation S under the Securities Act or (2) a transaction within the United States that is exempt from the registration requirements of the Securities Act, in each case in accordance
with applicable law. The issuer of the securities has not been registered under the US Investment Company Act of 1940, as amended.
Under no circumstances shall the information presented herein constitute and should not be considered an offer to sell or the solicitation of an offer to buy nor shall there by any sale of any
securities in any jurisdiction in which such offer, solicitation or sale would be unlawful prior to registration or qualification any security or other financial instrument under the securities laws of
such jurisdiction. No representation or warranty express or implied is made and no reliance should be placed on the fairness, accuracy, completeness or correctness of the information or opinions
contained herein.
References herein to “Citigroup
” are to Citigroup Global Markets Limited and any of its affiliated or associated companies and their directors, representatives or employees and/or any persons
“Citigroup”
connected with them. References herein to “CSFB” are to Credit Suisse First Boston Europe Limited and any of its affiliated or associated companies and their directors, representatives or
employees and/or any persons connected with them. References herein to “UBM” are to UniCredit Banca Mobiliare SpA and any of its affiliated or associated companies and their directors,
representatives or employees and/or any persons connected with them. References herein to “Issuer” are to S.C.I.C. Srl.
Srl. and references herein to “Originator” are to I.N.P.D.A.P. This document is
being directed at you solely in your capacity as a relevant person (as defined below) for your information and may not be reproduced, redistributed or passed on to any other person or published,
in whole or in part, for any purpose, without the prior written consent of Citigroup, CSFB or UBM (jointly, “the Firms”) and the Issuer.
The information herein is preliminary, limited in nature and subject to completion and amendment, and will be superseded by the final offering circular. All opinions and estimates included in this
document speak as of the date of this document and are subject to change without notice. This document addresses only certain aspects of the applicable securities characteristics and thus does
not provide a complete assessment: as such it may not reflect the impact of all structural characteristics of the securities.
This document is not intended to be an offering document and any investment decision with respect to the securities should be made by you solely upon all of the information contained in the final
offering circular.
A final offering circular may be obtained by contacting your usual representative at Citigroup, CSFB or UBM.
The Firms may provide investment banking services (including without limitation corporate finance services) for the companies mentioned in this document and may from time to time participate
or invest in commercial banking transactions (including without limitation loans) with the companies mentioned in this document. Accordingly, information may be available to the Firms which is
not reflected in this document. Citigroup, CSFB or UBM may make a market in the securities described in this document. Accordingly, the Firms may actively trade these securities for its own
account and those of its customers and, at any time, may have a long or short position in these securities or derivatives related hereto. The Firms are not tax advisors. The tax implications of an
investment in the securities must be verified by independent tax counsel before proceeding with any such investment.
For UK investors: This document is being distributed only to, and is directed only at persons who have professional experience in matters relating to investments falling within Article 19(1) of the
Financial Services and Markets Act 2000 (Financial Promotion) Order 2001 (the “Order”) and other persons to whom it may otherwise lawfully be communicated (all such persons “relevant
persons”). It must not be acted on or relied on by, nor are the securities herein available to, persons who are not relevant persons.
For Italian investors: This memorandum is being distributed only to, and is directed only at professional investors (the “operatori
“operatori qualificati”),
qualificati”), as defined in article 31, second paragraph, of
CONSOB Regulation No. 11522 of 1st July, 1998, as successively amended. It must not be acted on or relied on by, nor are the securities herein available to, persons who are not operatori
qualificati.
qualificati.
This document is based on information provided by the Originator. The Firms make no representation or warranty, express or implied, as to the accuracy or completeness of such information. The
information contained herein is qualified in its entirety by the information in the final offering circular for this transaction.
This document contains certain tables and other statistical analyses (the “Statistical Information”) which have been prepared in reliance upon information furnished by Originator. Numerous
assumptions were used in preparing the Statistical Information, which may or may not be reflected herein. As such, no assurance can be given as to the Statistical Information’s accuracy,
appropriateness or completeness in any particular context; nor as to whether the Statistical Information and/or the assumptions upon which they are based reflect present market conditions or
future market performance. The Statistical Information should not be construed as either projections or predictions or as legal, tax, financial or accounting advice. Any weighted average lives,
yields and principal payment periods shown in the Statistical Information are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such
weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the
attached Statistical Information. The Firms make no representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities.
2
Table of Contents
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TRANSACTION OVERVIEW
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DESCRIPTION OF INPDAP
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THE PORTFOLIO
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TRANSACTION STRUCTURE
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CASH FLOW PROJECTIONS
u
SECONDARY MARKET AND INVESTOR REPORTING
Appendix A – Severance Payments
Appendix B – Legal Framework
Appendix C – Servicing
Appendix D – Additional Portfolio Data
Appendix E – Contact List
3
Transaction Overview
Transaction Rationale
Istituto Nazionale di Previdenza dei Dipendenti dell’Amministrazione Pubblica
(“INPDAP”) is presenting its first Euro [4,230] million securitisation of performing
collateralised personal loans granted to Italian public sector employees
u The transaction is sponsored by the Italian Ministry of Economy and Finance (“MEF”)
in the context of its strategy to privatise public assets and related management
activities through securitisation. The ultimate goal of the MEF’s strategy is to improve
public sector efficiency and the competitiveness of the Italian economy
The specific objectives of this transaction are to:
u
· Reduce the size of public sector funded assets while preserving or increasing the
·
availability of low cost financing to public sector employees
Improve transparency and efficiency by:
•
•
•
5
updating INPDAP’s IT and administrative procedures to the business best
practice while facilitating future repeat transactions
introducing an objective cost / benefit measure of INPDAP’s personal loans
activity through capital markets funding
upgrading data management and administrative framework to enable INPDAP
going forward to intermediate bank financing to public sector employees, in
return for a servicing fee
Transaction Rationale
6
u
This transaction inaugurates S.C.I.C. as the Treasury’s third Securitisation Programme,
which will be used to securitise public sector receivables while concurrently redesigning
their management process
u
The S.C.I.C. Securitisation Programme, along with the already established INPSSCCI and SCIP Programmes, represents the completion of the set of instruments
designed by the MEF to implement its strategy of securitising public assets on a
regular basis using a standardised repeat issuance format to facilitate investors’
analysis, broaden the investor base and further develop secondary market liquidity
u
Each of S.C.I.C.’s securitised portfolios will be segregated from all other assets of the
company
u
Substantial benefits are expected to derive from each securitisation as a result of
improved discipline from streamlining market scrutiny, and upgraded management of
securitised assets
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Incentive schemes, high reporting standards and competitive tendering for third party
services are the tools used by the MEF to achieve its goals
A Top-Quality Portfolio
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All loans are fully collateralized by salary assignment on a portion of
the net debtors’ salary
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Highly granular portfolio of over 600,000 personal loans granted to
employees of Italian public sector entities
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The loans composing the portfolio are divided into 2 categories:
· Medium-Term Loans (Prestiti Pluriennali), having a standard
original tenor of 5 or 10 years, and representing approximately
81% of the provisional portfolio as 31 July 2003
· Short-Term Loans (Piccoli Prestiti), having a standard original
tenor of 1, 2 or 3 years, and representing approximately 19% of the
provisional portfolio as 31 July 2003
u
7
The loans benefit from risk reduction features which cover, inter alia,
the mortality of the debtor
Offering Summary
Portfolio Notional Amount: approximately € [4,550
[4,550]] million
Classes
Expected Ratings*
Amount
Amortisation
Coupons ***
Expected
Maturity
WAL
(yr.)
Legal
Maturity
A1 PL
AAA/Aaa
/AAA
AAA/Aaa/AAA
€ [1,170] mn
Soft Bullet
3m Euribor + [?]
December
2004
1.1
December
2006
A2 PL
AAA/Aaa
/AAA
AAA/Aaa/AAA
€ [1,500] mn
Soft Bullet
3m Euribor + [?]
December
2006
2006
3.1
December
2008
A3 PL
AAA/Aaa
/AAA
AAA/Aaa/AAA
€ [860] mn
Soft Bullet
Fixed**
December
2008
5.1
December
2010
A4 PL
AAA/Aaa
/AAA
AAA/Aaa/AAA
€ [700] mn
Amortising - 3m Euribor + [?]
Pass through
[December
2009]
[5.8]
December
2015
Total
€ [4,230] million
Joint Lead Managers: Citigroup Global Markets LTD, CSFB, UBM - UniCredit Banca Mobiliare
* All classes of Notes are expected to be rated triple A by Fitch Ratings, Moody’s Investor Services and Standard and Poor’s,
** Fixed up to the occurrence of an Interest Rate Conversion Event and thereafter 3m Euribor + [? ]
*** Classes A1, A2 and A4 Notes will pay quarterly coupons. Class A3 will pay fixed rate annual coupons until an Interest Rate Conversion
Event and quarterly floating rate coupon thereafter
8
Offering Summary
Coupons
Coupon
Frequency
Clean Up Call
Listing
9
Class A1 PL, A2 PL, A4 PL: 3m Euribor + spread (Act/360)
Class A3 PL: Fixed up to the Class A3 PL Interest Rate Conversion Event (Act/Act),
Floating – 3m Euribor + spread (Actual/360) thereafter
Class: A1 PL, A2 PL, A4 PL:
PL: Quarterly on 21 March, June, September, December. Long first coupon on 21 March 2004
Class A3 PL: Annually up to the Class A3 PL Interest Rate Conversion Event. First coupon on 21 December 2004
Allowed when the amount of principal on the Notes is equal to, or lower than, 10% of the originally issued Notes
Luxembourg Stock Exchange – Trading on MTS
Credit and Liquidity
Enhancement
Overcollateralization of 7%
All cash flows generated by the Portfolio will be used to cover the transaction expenses and to make interest and
principal payments on the Notes. No cash will be paid to the Originator, in accordance with the priority of
payments, until all classes of Notes have been redeemed in full
Settlement
Italian domestic (Montetitoli
(Montetitoli Spa), Euroclear,
Euroclear, Clearstream.
Clearstream. Notes will be held in Montetitoli in dematerialised form
Governing Law
Italian
Tax Treatment
Eurobond format: Payments on the Notes will be exempt from deduction of substitute tax in Italy for
non-Italian residents
Denomination
Euro 1,000
ECB Eligibility
The Notes are expected to fulfill ECB eligibility criteria for Eurosystem credit operations (Repurchase Agreements)
Expected BIS
Risk Weighting
100%
Description of INPDAP
INPDAP Overview
u
Article 38 of the Italian Constitution establishes, inter alia, the right of all
workers to receive assistance for injuries, illnesses, permanent disability, old
age or involuntary unemployment and states the responsibility of the State to
provide such assistance through dedicated bodies, such as INPDAP
u
INPDAP is a public entity (“Ente Pubblico”) established pursuant to Legislative
Decree No. 479/1994, from the merge of several public entities and is
entrusted with social security provision to public sector workers
u
INPDAP is subject to the control and surveillance of:
· The Ministry of Labour and Social Policies and the MEF
· The Italian Accounting Court (the “Corte dei Conti”)
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INPDAP Overview
u
INPDAP provides social security services, such as pensions and severance payments,
to public sector employees employed by:
· The Italian State
· Local authorities, such as regions, provinces and municipalities
· Other public law entities
u
In 2003 selected summary information for INPDAP was approximately as follows:
·
·
·
·
u
[8,300] employees
[103] provincial offices
[3,283,000] registered members
[2,366,211] pension disbursed to registered members
In addition to the core social security services to public sector employees (similar to
those provided by INPS to the private sector), INPDAP offers the following services to
its members:
· Social benefits (e.g. nursing homes, holidays camps, scholarships)
· Loans (short and medium term personal loans and mortgage loans)
12
INPDAP Overview
13
u
As a public entity, INPDAP is not subject to the Italian Bankruptcy Law
(Art. 1 of Royal Decree 267/1942) but to the specific non-judicial liquidation
procedure applicable to public entities (Law 1404/54) which requires several
steps, including a Parliamentary vote
u
Article 38 of the Italian Constitution provides that the tasks assigned to
INPDAP in relation to social security are fundamental State obligations;
therefore, should INPDAP be liquidated or cease its activities, the State
would have to directly undertake INPDAP’s functions or attribute them to
another public entity
INPDAP - Lending Activities
u
INPDAP's lending activities are carried out through a dedicated department, the
Gestione Unitaria Autonoma per il Credito e le Attività Sociali (the “Gestione Unitaria”)
which manages the fund out of which loans to public sector employees are granted
u
All employees covered by INPDAP’s pension treatments, are registered with the
Gestione Unitaria and are subject to a mandatory contribution of 0.35 per cent of their
monthly gross salary. Inflows from employees’ contributions are allocated on the basis
of a resolution by INPDAP’s Board of Directors, among social benefits and Gestione
Unitaria fund
u
INPDAP's lending services, conducted through the Gestione Unitaria, include:
· Personal loans
· Mortgage loans
u
14
Money is lent by INPDAP from the fund’s resources, the majority of which derive from
the repayment of outstanding loans
The Portfolio
SCIC Portfolio
u
INPDAP will securitise all outstanding personal loans at the time of closing and all
personal loans which will be originated until [5 December 2003]
u
The portfolio sold to SCIC includes:
· Entire personal loans portfolio outstanding as of 30 September 2003 for a total
·
u
amount of Euro 4,347 million (the “Existing Portfolio”)
All loans originated during October, November and December (the “New Portfolio”)
INPDAP will guarantee that the personal loans (all granted under INPDAP’s statutory
lending criteria) originated in October, November and December will have an aggregate
notional amount of not less than Euro 203 million for a total portfolio (the “Portfolio”)
notional amount of Euro 4,550 million. The Receivables Purchase Agreement will
provide that:
· The purchase price paid to INPDAP will not be increased in case the Portfolio
·
16
notional amount is higher than Euro 4,550 million
In case the aggregate principal balance of the New Portfolio is lower than Euro 203
million INPDAP will pay to SCIC an amount of cash equivalent to the shortfall
Lending Criteria
Medium-Term Loans
Public sector employees for over 4 years
Beneficiaries
Public sector employees with a fixed term
contract expiring not earlier than the loan’s
final maturity
Public sector employees with an age lower
than 65
17
Short-Term Loans
Public sector employees for over 1, 2 or 3
years depending on the tenor of the loan
Public sector employees with a fixed term
contract expiring not earlier than the loan’s final
maturity
Public sector employees under 65 years of age
Required
Documentation
Medical certification and documentation of the
expenses for which the loans are granted to
cover specific expenses by the debtor
None
Standard Tenor
5 or 10 years
1, 2 or 3 years
Max Amount
The amount of the loan should generate
installment which are the lesser of 1/5 of the
debtor’s net monthly salary and Euro 516.46
1 or 2 times the debtor’s net monthly salary for
1 year loan. 2 or 4 times the debtor’s net
monthly salary for 2 years loan. 3 or 6 times the
debtor’s net monthly salary for 3 years loan
Prepayment
Prepayments are allowed at no cost subject to
certain restrictions
Prepayments are allowed at no cost subject to
certain restrictions
Strengths of the Assets
u
Loans are fully collateralized by irrevocable assignment of a portion of up to one fifth of
the debtor’s net monthly salary
u
According to the law, debtors and employers are jointly and severally responsible for
the payments of instalments under the loan
· The debtor is obliged under the provisions of the loan agreement
· The employer is obliged to retain and pay to INPDAP the portion of the net monthly
salary assigned to the lender
18
u
In case of payment delay, the employer is bound to pay interest at the contractual
interest rate on the loan
u
No third party creditor may seize or attach the portion of the salary previously assigned
to INPDAP
u
To cover certain credit risks, debtors are required to pay upfront “insurance premium” to
which INPDAP deducts from the amount of the loan at the time of disbursement.
Following the sale of the portfolio, INPDAP will cover the Issuer from losses due to:
· death of the debtor for medium term loans
· permanent disability of the debtor due to work related accidents for short term loans
only
u
Instalments are not modified in case of salary reductions unless such reduction
exceeds 1/3 of the original net salary
u
In case of termination of the employment without the loan having fully been repaid:
· if the debtor is immediately entitled to pension, loan instalments continue to be paid
by deduction from the debtor’s pension
–
19
The tenor of loans maturity never exceeds the ordinary retirement age of
employees. Payment extension to pension can therefore only arise in case of
early retirement
u
If the debtor is not immediately entitled to pension, the loan is repaid
by netting it from the severance payment (trattamento di fine rapporto
or indennità di buonuscita) due to the debtor upon termination of the
employment contract
· According to Italian legislation, severance payments are due to employees
both in case of layoff and voluntary resignation
· INPDAP has committed to make the severance payment to the Issuer, up
to the outstanding amount of the loan, within 30 days following the
employment termination
· INPDAP’s underwriting criteria ensure that there is always a certain
percentage of the loan covered by accrued severance payments
· The protection provided by the severance payment increases over time
due to: (i) the amortisation of the loan (ii) the increase of accrued
severance payment
20
21
u
Should part of debt remain outstanding after using the severance payment, the debtor
is obliged to pay the outstanding balance within 30 days
u
If the debtor does not pay the remaining debt, the recovery procedure is started
immediately
u
INPDAP’s loans enjoy the privileges of the Concessionari recovery procedures
applicable to taxes and social security contributions
Strengths of the Assets [ALIGN]
Risks normally associated with
Consumer Loans
22
INPDAP’s personal loans
u
Willingness / Capacity to pay
instalments
u
Non discretionary payments
(deduction of instalments from salary)
u
Death of the debtor
u
Insurance coverage provided by
INPDAP
u
Successive inability to generate
income
u
Stable employment by the PA (limited
risk of losing job)
u
Termination of the Employment
u
Recourse to pension or severance
payment
u
Absence of priority on the debtor’s
salary by the lender
u
The portion of the salary assigned to
INPDAP cannot be seized or
attached by third party creditors
Provisional Portfolio Composition
u
The Provisional Portfolio (INPDAP’s loan Portfolio as of 31 July 2003) consists of
645,694 personal loans granted to public sector employees throughout Italy, for a total
amount of approximately Euro 4,497 million
Portfolio Breakdown by Loan type*
SCIC Summary Portfolio Description
Number of Contracts
Total Outstanding Principal
Current Outstanding Principal
Original Principal Amount
Remaining Term (monthly instalments)
Seasoning (monthly instalments)
Interest Rate
(*)
645,694
4,497,451,915
WA
(*)
6,965
11,650
72.27
24.55
4.71
Max
61,756
90,235
120
119
9.6
Small Loans
19%
Min
19
116
1
0
3.2
Medium-Term
Loans
81%
Simple average
*Calculated on the Portfolio Size
Source: INPDAP
23
Source: INPDAP
Historical Information – Layoffs
Aggregate loan Portfolio (Static Pool Analysis)
0.030%
Maximum yearly layoffs of public sector employees for the period 1998-2002 was 0.6 bps
0.025%
0.020%
0.015%
0.010%
0.005%
0.000%
0
1
1998
Source: INPDAP
24
2
1999
2000
3
2001
4
2002
Historical Information - Mortality Rate
Aggregate loan Portfolio (Static Pool Analysis) – Mortality rate of debtors
0.30%
0.25%
0.20%
0.15%
0.10%
0.05%
0.00%
0
1
1998
Source: INPDAP
25
2
1999
2000
3
2001
4
2002
Historical Information -
Prepayments
SCSII Sample
The graphs in this slide are based on personal loans managed by the SCSII of MEF (please see relevant section in of the Appendix)
Average historical prepayment rate (2001-2003): 2.6% - (Dynamic Analysis)
5.00%
4.00%
3.00%
2.00%
1.00%
0.00%
2000
Renewal
Source: SCSII
2001
Other
Medium-long term loans (Dynamic Analysis)
5.00%
Short-term loans (Dynamic Analysis)
Average historical prepayment rate (2001-2003): 2.0%
Average historical prepayment rate (2001-2003): 3.6%
5.00%
4.00%
4.00%
3.00%
3.00%
2.00%
2.00%
1.00%
1.00%
0.00%
0.00%
2000
Renewal
Source: SCSII
26
2003 (annualised)
Total
2002
2001
2002
Other
2003 (annual.)
Total
2000
Renewal
Source: SCSII
2001
2002
Other
2003 (annual.)
Total
Historical Information – Work Suspensions
u
If a debtor is temporarily suspended from employment or obtains an unpaid leave
period (due, for instance, to studies or to disciplinary sanctions), loan instalments are
temporarily suspended. When the suspension ends and payments resume, the
amortisation plan of the loan is recalculated by adding to the original loan amount
interest accrued during the suspension at the contractual rate
u
The following table shows historical data on suspension of employment of local
authorities for the period 1996-2000
Year
1996
1997
1998
1999
2000
Number of Employees
under Suspension
477
747
807
399
558
Source: INPDAP
27
Total Number of
Employees
1,362,095
1,424,185
1,442,377
1,478,999
1,432,777
% Suspensions
0.04%
0.05%
0.06%
0.03%
0.04%
Transaction Structure
The Issuer
u
INPDAP will sell the Portfolio to the Issuer (S.C.I.C. a.r.l., previously known as
S.C.C.P.P. a.r.l.) pursuant to a Receivables Purchase Agreement, approved by a
Ministerial Decree issued by the MEF in conjunction with the Ministry of Welfare,
pursuant to Art. 15 of Law 448/1998 as later amended (“Article 15”)
u
The Issuer is a multi-purpose vehicle and has already engaged in the MEF Lotto
securitisation transaction completed in December 2001 and involving:
· the acquisition of future revenues deriving from certain lottery and betting games
(Lotto and Superenalotto)
· the issue of asset-backed notes in an aggregate amount of Euro 3 billion
29
u
The Issuer may engage in other securitisation transactions in the future
u
The Portfolio will be segregated (“patrimonio separato”) from all other assets of the
Issuer and from the assets of other securitisation transactions
The Transaction Structure
u
SCIC will use the proceeds from the Issuance of Notes to purchase the portfolio from INPDAP
Swap
counterparties
(Article 15)
ABS Notes
SCIC
Transfer Price
Issue Proceeds
(Initial and
Deferred Transfer
Price)
Servicing
Agreement
Class A1 PL
Floating Rate, Soft
Bullet
Class A2 PL
AAA/Aaa
/AAA Expected Rating
AAA/Aaa/AAA
Class A3 PL
Floating Rate, Soft
Bullet
Fixed Rate, Soft Bullet
(switches to floating on the
AAA/Aaa
/AAA Expected Rating Class A3 Expected Maturity or
AAA/Aaa/AAA
in case of Acceleration)
Citibank
Paying Agent and
Cash Manager
Securitisation Services SpA
Representative of Noteholders
and Programme Administrator
The Programme Administrator coordinates the reporting activities of the Servicer
30
NOTE TYPE
AAA/Aaa
AAA/Aaa/AAA
Transfer of
Portfolio
INPDAP
(Seller and
Servicer)
Servicer)
NOTES
Class A4 PL
AAA/Aaa
AAA/Aaa/AAA
Floating Rate,
Amortising
Transaction Capital Structure
Credit Tranching
€ 4,550 million
Collateralised
Personal Loan
Portfolio
€ 4,347 million
Existing Portfolio
+
min € 203 million
New Portfolio
31
Class A1 PL - AAA / Aaa / AAA
€ [1,170]
1,170] million
[25.7]
25.7] %
Class A2 PL - AAA / Aaa/
Aaa/ AAA
€ [1,500]
1,500] million
[33.0]
33.0] %
€ [860]
860] million
[18.9]
18.9] %
€ [700] million
[15.4]
15.4] %
Overcollateralisation
€ [320] million
[7.0] %
Transaction Features
Full Excess Spread
Trapping
Overcollateralisation
Clean Up Call
32
All cash flows generated by the Portfolio paid to SCIC under the Transaction
Documents will be used to cover transaction expenses and pay interest and principal
on all classes of Notes until the Notes are fully repaid. The originator will not receive
any payments until all classes of Notes have been fully reimbursed
Overcollateralization of 7%
Allowed when amount principal on the Notes is equal to, or lower than, 10% of the
originally issued Notes
Interest Rate Swap
Interest rate swaps will cover interest rate risks associated with the Notes
Collection Account
Issuer Available Funds will be held at Bank of Italy, earning an interest rate equal to
the average interest rate of Italian 3, 6 and 12 months Treasury Bills plus an
additional percentage fixed by law
Interest Rate on the
Notes
Class A1 PL, A2 PL and A4 PL will be floating rate Notes
Class A3 PL Notes will pay a fixed interest rate until the Expected Maturity Date (or
the date an Issuer Acceleration notice is served to the Issuer) and will switch to 3 m
Euribor thereafter
Waterfall – Pre-enforcement
Swap
Counterparties
Issuer Available Funds
On going SCIC expenses
Cash Flows
from the loans
INPDAP
and Programme Administrator
Interest Rate swap payments
SCIC
Pro-rata Interest on
Class A1, A2, A3, A4
Citibank
Paying Agent and
Cash Manager
Class A1 principal
Class A2 principal
Notes Structure
u Time tranched structure with repayment of principal fully
sequential amongst the various classes of Notes
u Traches A1, A2 and A3 are soft bullets
u Tranche A4 is amortising
u Tranches A1, A2 and A4 pay quarterly floating coupons
u Tranche A3 pays annual fixed rate coupon up to the A3 PL
Interest Rate Conversion event, quarterly floating thereafter
u The Issuer will enter into interest rate swaps to hedge the
interest rate exposure under the Notes
Class A3 principal
Class A4 principal
Crediting residual funds to the
Collection Account (until full
payment of the Notes)
Swap termination payments (*)
Deferred Transfer Price
(*) Termination payments due and payable to the hedging counterparties under the Hedging Agreements due to default, bankruptcy or downgrading of the counterparty
33
Waterfall – Post-enforcement
Swap
Counterparties
Issuer Available Funds
On going SCIC expenses
Cash Flows
from the loans
Interest Rate swap payments
INPDAP
Programme Administrator
SCIC
Citibank
Paying Agent and
Cash Manager
Trigger Notices
u Following the service of a Trigger Notice, funds available to
the Issuer will be used to make payments in the order of
priority summarised on this slide
u Trigger Notices include, inter alia,
alia,
Payment default of Interest on a coupon date and/or
l
default on Principal on the Notes on the relevant legal
maturity
Unremedied Issuer default on its contractual obligations
l
Issuer insolvency, winding-up, unlawfulness, etc.
l
34
Pro-rata Accrued and Unpaid
Interest on Class A1, A2, A3, A4
Pro-rata of Principal Amount
Outstanding Class A1, A2, A3, A4
Subordinated Swap termination
payments (*)
Deferred Transfer Price
(*) Termination payments due and payable to the hedging
counterparties under the Hedging Agreements due to
default, bankruptcy or downgrading of the counterparty
Main Parties of the Transaction
Issuer
Sponsor
Originator
Servicer
Deposit Bank
Paying Agent and
Cash Manager
Arrangers and Joint
Lead Managers
The Italian Ministry of Economy and Finance (“MEF”)
I.N.P.D.A.P. Istituto Nazionale di Previdenza dei Dipendenti dell'Amministrazione Pubblica ("INPDAP")
INPDAP
Tesoreria Centrale dello Stato,
Stato, acting through the Bank of Italy
[Citibank NA, London Branch]
Citigroup Global Markets Ltd
Credit Suisse First Boston (Europe) Ltd
UBM - UniCredit Banca Mobiliare
Representative of
Noteholders
[Securitisation Services SpA]
SpA]
Programme
Administrator
[Securitisation Services SpA]
SpA]
Servicing Report
Auditors
35
Società di Cartolarizzazione Italiana Crediti a r.l. (“SCIC”)
Deloitte & Touche SpA
Cash Flow Projections
Base Case Projections
Projected Base Case Notes Repayment Profile
1,600,000,000
1,400,000,000
1,200,000,000
1,000,000,000
800,000,000
600,000,000
400,000,000
200,000,000
Class A1 outstanding
37
Nov-12
Jul-12
Mar-12
Nov-11
Jul-11
Mar-11
Nov-10
Jul-10
Mar-10
Nov-09
Jul-09
Mar-09
Nov-08
Jul-08
Mar-08
Nov-07
Jul-07
Mar-07
Nov-06
Jul-06
Mar-06
Nov-05
Jul-05
Mar-05
Nov-04
Jul-04
Mar-04
Nov-03
0
Class A4 outstanding with clean up
Average Life Sensitivity of Class A4 Notes
CPR *
Weighted
Average Life
A1 (years)
Weighted
Average Life
A2 (years)
Weighted
Average Life
A3 (years)
Weighted
Average Life
A4 (years)
1.5%
[1.08]
[3.08]
[5.09]
[5.99]
2.5%
[1.08]
[3.08]
[5.09]
[5.81]
3.5%
[1.08]
[3.08]
[5.09]
[5.76]
6.0%
[1.08]
[3.08]
[5.09]
[5.54]
* Constant Prepayment Rate
The table shows the estimated weighted average life of Class A4 PL Notes under different
CPR scenarios and, based, inter alia, on the following assumptions: a mortality rate of
0.15% per annum, and Notes issued of €1,170 mln (Class A1 PL), €1,500 mln (Class A2
PL), €860 mln (Class A3 PL), and €700 mln (Class A4)
38
Secondary Market and
Investor Reporting
Investor Reporting
u
INPDAP intends to provide investors with transparent and timely reporting on
the Transaction. The MEF will work to ensure the highest liquidity of the
Notes on secondary market
u
Investor Reporting
· Investor Reports will be published quarterly on Bloomberg and on the websites of
·
40
the MEF (www.tesoro.it), of INPDAP (www.inpdap.gov.it), of Citigroup
(www.sf.citidirect.com) and of Securitisation Services (www.securitisationservices.com)
Investor Reports will be audited semi-annually by an internationally recognized
auditing firm
Secondary Market
u
The MEF sponsored securitisations are among the most liquid on the
European ABS secondary market
· All Issues are traded on MTS, ensuring transparent market prices and providing
·
·
·
41
price transparency also to OTC trades
The MEF intends to maintain and improve secondary market liquidity by monitoring
and encouraging the trading activity of banks. Arranging banks will formally commit
to certain minimum market making standards
To further improve secondary market liquidity, market making activities will formally
be adopted as one of the arrangement of its future transactions
The MEF is the largest European originator of ABS Notes and is strongly committed
to performance and secondary market liquidity:
– MEF sponsored securitisations have an investor base of over 460 institutions in
26 countries
– Issues benefit from an unparalleled domestic investor base traditionally
absorbing half of the MEF’s volumes and a growing European distribution
– The repeat issuance format ensures easy credit approval by investors for all
tranches issued under a single securitisation programme
Appendices
•
Severance Payments
Glossary:
Severance Payments
u
Trattamento di Fine Rapporto (“TFR”) is a characteristic of the Italian private sector
labour contracts. TFR has been recently extended, pursuant to law 335 of 1995, to
public sector contracts and will gradually substitute the so-called ‘Indennità di
Buonuscita’ (“IB”), the public sector version of TFR
· The TFR is a deferred part of employees’ compensation paid upon termination of
the employment contract
· The TFR is formed by setting aside a portion of the annual salary determined
according to the following formula:
1: ‘Base TFR:
TFR Salary Basis** / 13.5
+
2: TFR Fund Revaluation:
TFR Fund x (75% x RPI* + 1.5%)
TFR Payment
* Retail Price Index
** Gross salary and other benefits
44
Severance Payments
u
The IB is funded from contributions periodically made to INPDAP by both the employer
and the employee for as long as the employment contract continues (contributions by
the employer and by the employee are respectively 9.6% and 2.5% of the gross salary
respectively)
u
The IB payment in case of termination of the employment contract consists in:
Number of years ‘in service’ x 8% of last salary
12
45
Severance Payments for Public Sector
Employees
46
u
Employees hired prior to 31 December 2000 have the option to switch from IB to TFR
(i.e. accumulated IB is recharacterised as accrued TFR and severance payment
increases are calculated according to the applicable regulation thereafter)
u
Employees hired after 1 January 2001 are subject to TFR treatment as described above
u
The TFR Payment is determined according to private sector rules, the only difference
being the amount of annual payments, where gross salary of civil servants is divided by
14.47 instead of the 13.5 used in the private sector
u
The State and local authorities continue to pay contributions to INPDAP, as determined
by IB regulation, while INPDAP is responsible for the payment of both IB and TFR to
employees upon termination of the employment contract
B. Legal Framework
Legal framework
u
Legal framework for the transaction is provided for by:
· Article 15 of Law 448/1998, as subsequently amended (“Article 15”)
· Ministerial decree issued by the Ministry of Economy and Finance
(“MEF”), in conjunction with the Ministry of Welfare, authorising the
transaction (the “Ministerial Decree”)
· Law 130/99 (to the extent not covered by the specific provisions of Article
15)
· D.P.R. 180/1950
· Law 38/1952
· Law 1224/1956
48
Legal framework
49
u
The Issuer - S.C.I.C. a r.l., formerly known as S.C.C.P.P. a r.l, an SPV with the sole
objective of carrying out securitisation transactions on assets owned by the Republic of
Italy and by certain public sector entities
u
Ring-fencing of the Assets – The assets related to the present transaction will be
segregated from the assets owned by S.C.I.C. in relation to the Lotto transaction and
from the assets which will be securitised in future transactions
u
Transfer of Assets – The assets will be sold by INPDAP to the Issuer pursuant to a
Receivables Purchase Agreement executed in accordance with the Ministerial Decree
authorising the transaction
u
Transfer Price – In consideration for the transfer of the Personal Loan Portfolio, SCIC
will pay an initial transfer price and a deferred transfer price
Tax Treatment
50
u
Payments of interest and other proceeds on the Notes are exempt from
deduction of Italian substitute tax if made to beneficial owners who are nonItalian residents for tax purposes
u
With respect to Italian beneficial owners, payments of interest and other proceeds on
the Notes will be taxable in Italy in accordance with the applicable tax regime subject to
Italian substitute tax levied by custodian bank depending on the tax status of the
beneficial owner
u
In such cases, the Issuer will not be obliged to pay any additional amount to holders of
Notes on account of such withholding or deduction
u
No registration tax, stamp duty, or any other indirect tax are levied in respect of the
Transaction Documents
u
The Portfolio is exempt from direct income tax
u
No withholding tax is applicable on interest earned on SCIC’s bank accounts
C. Servicing
Servicing Activity
52
u
Loan installments are deducted on a monthly basis from salary and are paid by
employers (“Paying Entities”) to INPDAP on behalf of debtors
u
The main Paying Entity in the portfolio is the MEF through its centralized EDP system,
responsible for salary payments of most of the State’s employees
u
All other employers pay SCIC directly or through certain entities to which the payment
of salaries is delegated
u
As servicer, INPDAP will monitor payments made to SCIC, manage the loans, and
ensure the timely update of records to changes in debtors status (e.g. following
resignation, early retirement, change of employer within the public sector, layoff,
suspension, etc.)
u
In the event of delinquencies, the recovery process is managed by external lawyers
chosen by INPDAP. INPDAP enjoys the privileges of the recovery procedures of the
Concessionari system, also used to collect taxes and social security contributions
Cash Flows
u
MEF’s EDP (approx 1/3 of the Portfolio): pays at the end of each month, all amounts
deducted from salaries in such month, directly into the Collection Account of SCIC held
with Bank of Italy
u
Other Payers: pay amounts retained from salary payments within the 15th day of the
month following the month for which the salary was paid into one of the 2 INPDAP
accounts (securitised receivables and INPDAP’s receivables originated after November
2003) reserved for the Personal Loans with Poste Italiane Spa. Within [4] business
days, Poste Italiana will transfer the amounts received on the Issuer’s account with the
Bank of Italy
Bank
Bank of
of Italy
Italy
Poste
Poste Italiane
Italiane Spa
Spa
Local Entities
State Entities
53
Monthly
Payment of the
Installments
Dedicated
INPDAP
account
Transfer every
[4] days
Monthly Payment of the Installments through the MEF’s EDP
Collection
Account
D. Additional Portfolio Data
Outstanding Principal (as of 31 July 2003)
Aggregate loan Portfolio
40
Average Loan Size: €6,965
%
30
20
10
0
<= 5,000
Source: INPDAP
5,001 –
10,000
10,001 –
20,000
20,001 –
30,000
Medium-long term loan Portfolio
40
70
60
30
50
25
%
%
50,001 –
75,000
Short-term loan Portfolio
35
20
40
15
30
10
20
5
10
0
<= 5,000
Source: INPDAP
55
30,001 –
50,000
5,001 –
10,000
10,001 –
20,000
20,001 –
30,000
30,001 –
50,000
50,001 –
75,000
0
<= 5,000
Source: INPDAP
5,001 - 10,000
10,001 - 20,000
20,001 - 30,000
Year of Origination (as of 31 July 2003)
30
25
Origination in October,
November and
December 2003
%
20
15
10
5
0
Source: INPDAP
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
30
70
25
60
50
20
%
%
40
15
30
10
20
5
10
0
0
1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003
Source: INPDAP
56
2001
Source: INPDAP
2002
2003
Year of Maturity (as of 31 July 2003)
20
%
15
10
5
0
2003
Source: INPDAP
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
45
25
40
20
35
30
%
%
15
25
20
10
15
10
5
5
0
0
2003 2004
Source: INPDAP
57
2005
2006
2007
2008 2009
2010
2011
2012
2013
2003
Source: INPDAP
2004
2005
2006
Seasoning (as of 31 July 2003)
40
Weighted Average: 24.55
%
30
20
10
0
Source: INPDAP
<= 12 13 - 24 25 - 36 37 - 48 49 - 60 61 - 72 73 - 84 85 - 96 97 - 108 109 - 120
Medium-long term loans
Short-term loans
35
80
30
70
25
60
20
%
%
90
50
40
15
30
10
20
5
10
0
0
<= 12 13 - 24 25 - 36 37 - 48 49 - 60 61 - 72 73 - 84 85 - 96 97 - 108 109 - 120
Source: INPDAP
58
<= 12
Source: INPDAP
13 - 24
25 - 36
Remaining Instalments (as of 31 July 2003)
18
15
%
12
9
6
3
0
Source: INPDAP
<= 12 13 - 24 25 - 36 37 - 48 49 - 60 61 - 72 73 - 84 85 - 96 97 - 108 109 - 120
Monthly Instalments
70%
25%
60%
20%
50%
40%
%
%
15%
30%
10%
20%
5%
10%
0%
0%
<= 12 13 - 24 25 - 36 37 - 48 49 - 60 61 - 72 73 - 84 85 - 96 97 - 108 109 - 120
Source: INPDAP
59
Monthly Instalments
<= 12
Source: INPDAP
13 - 24
Monthly Instalments
25 - 36
Debtors Gender (as of 31 July 2003)
70
60
50
%
40
30
20
10
0
Source: INPDAP
Female
Male
70
60
60
50
50
40
40
%
%
70
30
30
20
20
10
10
0
0
Female
Source: INPDAP
60
Male
Female
Source: INPDAP
Male
Age of Debtors (as of 31 July 2003)
25
20
%
15
10
5
0
<=22 23 - 27 28 - 32 33 - 37 38 - 42 43 - 47 48 - 52 53 - 57 58 -62 >=63
Source: INPDAP
Age
25
25
20
20
15
%
15
10
10
5
5
0
0
23 - 27
28 - 32
Source: INPDAP
61
33 - 37
38 - 42
43 - 47
Age
48 - 52
53 - 57
58 - 62
>=63
<= 22
27 - 23
32 - 28
Source: INPDAP
37 - 33
42 - 38
47 - 43
Age
52 - 48
57 - 63
62 - 58
>=63
Original Principal Amount (as of 31 July 2003)
60
Average Loan Size: € 11,650
%
40
20
0
<= 5,000
5,001 10,000
10,001 20,000
Source: INPDAP
20,001 30,000
30,001 50,000
Euro
60
60
40
%
%
40
20
20
0
0
<= 5,000
Source: INPDAP
62
50,001 95,000
5,001 10,000
10,001 20,000
20,001 30,000
Euro
30,001 50,000
50,001 95,000
<= 5,000
Source: INPDAP
5,001 10,000
10,001 20,000
Euro
20,001 30,000
30,001 50,000
Geographic Distribution (as of 31 July 2003) by outstanding principal amount
Lazio
16%
Liguria
3%
Emilia Romagna
5%
Sardegna
5%
Sicilia
13%
Piemonte
5%
Campania
10%
Veneto
5%
Calabria
6%
Toscana
6%
Source: INPDAP
Lombardia
8%
Puglia
8%
Medium-long term loan portfolio
Abruzzo
2%
Sardegna
4%
Piemonte
5%
Emilia Romagna
5%
Sicilia
12%
Campania
10%
Veneto
5%
Calabria
5%
63
Lazio
13%
Veneto
5%
Emilia Romagna
5%
Sardegna
5%
Source: INPDAP
Sicilia
14%
Abruzzo
3%
Lazio
17%
Toscana
6%
Puglia
8%
Lombardia
8%
Campania
11%
Toscana
5%
Piemonte
6%
Source: INPDAP
Calabria
6%
Lombardia
8%
Puglia
9%
SCSII
Servizio Centrale del Sistema Informativo Integrato
64
u
The tables on slides 24 and 25 are based on the personal loans managed by the
Servizio Centrale del Sistema Informativo Integrato ("SCSII") of MEF
u
SCSII manages the payment of salaries and instalments of the loans to the majority of
the State employees
u
The portfolio managed by SCSII represents approximately one third of the total
Portfolio
E. Contact List
Contact List
CITIGROUP
CREDIT SUISSE FIRST BOSTON
UBM
SYNDICATE
SYNDICATE
SYNDICATE
P. Apostolicas / J.Mann
A. Carr / Y.Kraemer
L. Falco / P. Bianculli
Tel. +44 207 986 9000
Tel. +44 207 888 4689
Tel. + 39 02 8862 8551
Tel. +44 207 986 1929
Tel. + 39 02 8862 2761
Jason.Mann@citigroup
.com
[email protected]
Fax +44 207 888 4342
Adrian.Carr@csfb
.com
[email protected]
Yossi.Kraemer@csfb
.com
[email protected]
STRUCTURING
STRUCTURING
STRUCTURING
Anna Tavano
Marc Zanelli
Raffaele Scote
Tel. +44 207 986 4733
Tel. +39 02 7702 2113
Tel. +353 1 480 2481
Fax. +44 207 986 4703
Fax. +39 02 7702 2216
Fax.+353 1 449 5480
Anna.Tavano@citigroup
.com
[email protected]
Marc.Zanelli@csfb
.com
[email protected]
Raffaele.
Raffaele.Scote@
Scote@eurocapital.
eurocapital.ie
Alejandro Vide Carboni
Marco Germani
Lucio Tiozzo
Tel. +44 207 986 4897
Tel. +39 02 7702 2111
Tel. +353 1 480 2483
Fax. +44 207 986 4703
Fax +39 02 7702 2216
Fax. +353 1 449 5480
Alejandro.Videcarboni
@citigroup.com
Alejandro.Videcarboni@
citigroup.com
Marco.Germani@csfb
.com
[email protected]
Lucio.Tiozzo
@eurocapital.
Lucio.Tiozzo@
eurocapital.ie
Peter.Apostolicas
@citigroup.com
Peter.Apostolicas@
citigroup.com
66
Luca.
Luca.Falco@
Falco@ubm.
ubm.it

Investor-Presentation-PersonalLoan

Transcription

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