CR FIRENZE MUTUI S.r.l. Euro 512.8 million Residential Mortgage
Backed Securities November 2002
Slide 2
2 Section 1Executive summary p.03 Section 2Transaction overview
p.05 Section 3Carifirenze overview p.15 Section 4The Portfolio and
the p.27 eligibility criteria Section 5Investor considerations p.38
Section 6Annex p.41 Portfolio description p.42 Historical
performances p.45 Perseo Finance recoveries performances p.50 The
Italian housing market p.53 The Italian residential mortgage market
p.56 Contact List p.59 Contents
Slide 3
3 Section 1 Executive summary
Slide 4
4 CR Firenze Mutui S.r.l. (CRFM) is the second securitisation
carried out by Banca CR Firenze (Carifirenze). The first one
(Perseo Finance for NPL) is one of the top performers in this asset
class. Carifirenze (A2/P1 and A-/F2) is a medium-sized regional
bank operating in Central and Northern Italy (mainly in Tuscany),
with a strategic focus on retail banking, small-medium businesses,
asset management and consumer credit. The provisional portfolio as
of 30th September 2002 consists of 9,109 performing residential
mortgage loans for the amount of Euro 520 Mn. Securitisation has
played, and will continue to play, a major role in Carifirenzes
financing strategy, allowing the most efficient allocation and
diversification of its sources of funding together with regulatory
capital relief.
Slide 5
5 Section 2 Transaction overview
Slide 6
6 Overview On the Issue Date, CR Firenze Mutui S.r.l. will
issue five Classes of notes to finance the purchase of a portfolio
of performing residential mortgage loans for an amount of Euro
[520] million and to fund a cash Reserve Fund of [1.6]% of the
rated Notes. Notes of Classes A1, A2, B and C will be rated and
offered publicly; the unrated Class D will be retained by
Carifirenze. Strengths: proven capability of Carifirenze as
originator and servicer; concentration in Tuscany, one of the most
developed and economically strong regions of Central Italy;
portfolio with: granular nature ([9,094] debtors, with a low
average outstanding balance of [57,241]); 100% economically first
lien mortgages; 100% loans granted to individuals only (pure RMBS);
low original and current WALTV ([60.02%]; [52.20%]); good seasoning
([2.57] years) Carifirenzes plan of using securitisation as a
strategic financing tool.
Slide 7
7 The Structure CR Firenze Mutui Srl Law 130/1999 Issuer
Debtors Residential Mortgages [Eur 520 Mn] ABS Proceeds Swap
Agreement Class A1 [10]% Class A2 [83]% Class B [5.5]% Class C
[1.5]% Class D [1.6]% Carifirenze Originator / Servicer BNP Paribas
and Sanpaolo IMI Purchase price
Slide 8
8 Main terms of the Notes (1) Soft bullet after the lock-up
period of 18 months from the Issue Date (2) Pass-through after
Class A1 redemption (3) Soft bullet at the exercise of the 10%
clean up call and a CPR of [4%] (4) If the clean up is not
exercised, the spread will step-up to [double] the initial spread
on the Notes (*) Notes with 50% risk weighting for Bank of Italy
(1) (2) (3) (4)
Slide 9
9 Credit enhancement Excess spread Hedging agreement providing
a minimum spread of [1.75]% p.a. over Euribor on the performing
portfolio (including delinquencies) Overcollateralisation [7.0]% at
AAA/Aaa level consisting of Class B and Class C Notes; [1.5]% at
A/A2 level consisting of Class C Cash Reserve Fund of [1.6]% of the
rated notes funded by the Class D Notes, not amortised until the
total credit enhancement is equal to 15% for Class A Notes (about
1.7 times the initial credit enhancement), which corresponds to a
credit enhancement of 9.5% for Class B Notes and 8% for Class C
Notes; afterwards it can be amortised with a floor of [0.3]% of the
rated Notes Cash trapping of excess spread if the cumulative net
default ratio is higher than [5]% Interest subordination of Class C
Notes to Class A and Class B interest and principal if the
cumulative gross default ratio is higher than [12]% Interest
subordination of Class B Notes to Class A interest and principal if
the cumulative gross default ratio is higher than [18]%
Slide 10
10 Notes Expected Repayment Profile [10]% [83]% [5.5]% [1.5]%
18 month lock-up period from the issue date A2 C A1 B C Clean-up
Call (10%)
Slide 11
11 Average Life Sensitivity CPR 0% 4% 8% 12% Class A1 average
life 1,7 Class A2 average life 6,6 5,3 4,4 3,8 Class B average life
14,2 11,9 10,4 8,9 Principal windows Class A1 Class A2 Class B
Class C average life 14,2 11,9 10,4 8,9 4% 26/07/04-26/07/04
26/07/04-26/10/14 26/10/14-26/10/14 12% 26/07/04-26/07/04
26/07/04-26/10/11 26/10/11-26/10/11 8% 26/07/04-26/07/04
26/07/04-26/04/13 26/04/13-26/04/13 0% 26/07/04-26/07/04
26/07/04-26/01/17 26/01/17-26/01/17 (1) (1) Base case
Slide 12
12 Cash flow allocation: before a trigger event Issuer
Available Funds Senior expenses Amounts due to the Hedging
Counterparties Class A1 & A2 interest Class B interest Class C
interest Class D interest * Provided that The Cumulative Net
Default Ratio is higher than [5%], the Class D Interest and all
other subordinated amounts due to the Originator will be trapped in
the structure; The Cumulative Gross Default Ratio is higher than
[12%], the interest on Class C shall be paid after the full
reimbursement of the Class A and B; The Cumulative Gross Default
Ratio is higher than [18%], the interest on Class B shall be paid
after the full reimbursement of the Class A1 & A2. Class D
Principal Class A1 Principal Class A2 Principal Class B Principal
Class C Principal Reserve Account up to the required amount * The
Class D interest will be paid on a quarterly basis with available
excess spread
Slide 13
13 Cash flow allocation: after a trigger events Issuer
Available Funds Senior expenses Amounts due to the Hedging
Counterparties Class A1 & A2 interest Class B interest Class C
interest Class D interest Class A1 & A2 Principal Class B
Principal Class C Principal Class D Principal Trigger events are
connected to the Issuer and are the following : Non-payment Breach
of other obligations Insolvency Winding-up Unlawfulness
Slide 14
14 Other information on the Notes Clean-up call:at 10% of the
initial Portfolio outstanding amount Listing:Luxembourg Primary
clearing:Italian Domestic (Monte Titoli SpA) and
Euroclear/Clearstrem Joint Lead Managers:Banca IMI & BNP
Paribas Taxation:Italian Law 239/1996 (e.g. Italian BTPs)
Representative of Noteholders:Sanpaolo Fiduciaria SpA Agent Bank,
Principal Paying Agent:BNP Paribas Securities Services, Milan Lux
Paying Agent:BNP Paribas Securities Services, Lux Computation
Agent:Securitisation Services Rating Agencies:Fitch and Moodys
Denomination:[] Euro
Slide 15
15 Section 3 Carifirenze overview
Slide 16
16 Founded in 1829, Banca CR Firenze (Carifirenze) is a
medium-sized regional savings bank based in Florence and with its
origins in Tuscany, in the Central part of Italy. Carifirenze is a
regional banking group with total assets of Euro 17 billion (1)
Geographic concentration in Tuscany, Umbria, Lazio, Emilia Romagna,
Lombardia and Veneto Strategic focus on retail banking, Small
Medium Business (SMB), asset management, leasing and consumer
credit activities Provides a range of financial services through a
broad distribution network and by using specialist companies
(Product Companies) Credit Ratings Moodys: A2, stable outlook (C+
Financial Strength) Fitch: A-, stable outlook Solid revenue
generation High profitability maintained through net interest
revenue, asset management and strategic investments (Findomestic)
(1) As of 30 th June 2002 Carifirenze highlights
Slide 17
17 Market share 1 : - Tuscany, by loans 12.4%- by funding 15.5%
- Italy, by loans 1.2%- by funding 1.1% 900,000 customers Euro 26.2
bn total funding Euro 12.1 bn customer loans 2001 ROE 11.3% (13.7%
adj) 50% share capital of Findomestic Banca (Italian consumer
credit leader) Strong regional presence & national leadership
in consumer credit Network and operating figures Notes: 1 As of
March 31, 2002 - Other figures as at June 30, 2002, Findomestic
excluded 36 37 318 17 1 8 Total branches: 417
Slide 18
18 Carifirenze - Shareholders structure Since the IPO the
floating shares increased from 25% to 27% of the share capital
Source: Consob, October 2002 CR Firenze Foundation 41.8% Sanpaolo
IMI 19.5% BNP Paribas 7.0% Others 4.7% Market 27.1% Important
partners Agreement among the three main shareholders (44% of the
share capital) Ente CR Firenze 22% Sanpaolo IMI 15% BNP Paribas 7%
44% Shareholders agreement
Slide 19
19 Carifirenze - The Group structure Infogroup Datacentro
Centro Telemktg. Citylife Perseo Finance Pro.Du.Ser. CR PISTOIA e
PESCIA CR ORVIETOCR MIRANDOLA CR CIVITAVECCHIA Findomestic
Liberamente Network Product CompaniesService CompaniesConsumer
CreditFinancial Planners Eptaconsors Centrovita Centro Leasing
Centro Factoring Cerit CR Firenze Gest. Int.le 100.0% 51.0%
73.6%60.9% 80.0% 50.0% 41.0% 46.0% 22.2% Arval Italia 22.5% 100.0%
50.0% 60.0% 37.5% 47.8% (Parent Company) Specialized units by
Sanpaolo IMI and BNP Paribas
Slide 20
20 Business model High diversification of income sources
Commercial banking - Lending - Asset management Strategic
investments Consumer credit Note: 1 As of June 30, 2002 Product
companies 13% Service companies 2% Consumer credit 26% Commercial
banking 59% Contribution to net income 1
Slide 21
21 Steady growth coupled with diversification Customer lending
Note: 1 Non-financial and Family companies Customers loans 11.3
11.6 12.1 10.8 11.0 11.2 11.4 11.6 11.8 12.0 12.2 EUR bn 2000
PF20011H 2002 Public bodies 3.0% Families 37.5% Financial companies
6.0% Companies 1 53.5% 35% 11% 12% 5% 6% 31% 0% 5% 10% 15% 20% 25%
30% 35% 40% Commerce Textile Building Hotel sector Agriculture
Other
Slide 22
22 The Internal Rating System proved to be effective in
monitoring credit quality Asset quality 5 Excellent 33.9% 37.7%
+3.5 4 Good 21.0% 21.0% ---- 3 Acceptable 19.1 % 20.4% +1.3 2 Risky
23.7% 18.7% -5.0 1 Critical 2.3% 2.5% +0.2 1H 2001 1H 2002 + 5,1%
48.0% 52.0% 53.6% 54.4% Net NPLs ratioCoverage ratio 2.20% 1.65%
1.13% 1.70% 200020011Q 20021H 2002 - 4,8%
Slide 23
23 Carifirenze - 2001 consolidated results Euro millions Change
NET INCOME 2000 PF 93.3 2001 NET INTEREST INCOME 11.0% 518.5575.8
Non-Interest income -2.4% 342.4334.3 Operating costs 1 0.9%
551.3556.4 CORE OPERATING INCOME 2 3.9% 265.3275.7 INCOME before
exceptionals 1.7% 182.0185.1 93.4 0.0% Notes: 1 Exceptional costs
excluded 2 Operating income, trading income excluded
Slide 24
24 Note: 1 Goodwill amortisation excluded Carifirenze - 2002
consolidated results Euro millions Change 1H 2001 PF1H 2002 NET
INTEREST INCOME7.3%273.3293.1 Non-Interest income -5.8%171.1161.1
Equity subsidiaries 19.4%20.124.0 TOTAL INCOME 3.0% 464.5478.2
Operating income 5.0%142.3149.5 NET INCOME43.446.1 Personnel
expenses186.5184.4 -1.2% Total costs 1 322.2328.7 2.0% 6.3%
Slide 25
25 Carifirenze - Consolidated capital ratios Tier I 1 Tier II
Deductions REGULATORY CAPITAL SOLVENCY RATIO Tier 1 SOLVENCY RATIO
FY 2001 785.6 (124.0) 454.1 1,115.7 8.28% 5.70% 1H 2002 866.4
(133.6) 592.8 1,325.7 9.78% 6.29% Euro millions +10.3% +7.8% +30.6%
+18.8% +150 b.p. + 60 b.p. Change Note: 1 Core capital - No
preference shares issued
Slide 26
26 Carifirenze - Consolidated financial assets Change 7.5% 1.3%
2.5% 0.4% -9.1% 5.5% 1.0% 4.0% DIRECT FUNDING INDIRECT FUNDING
Asset under custody TOTAL FINANCIAL ASSETS Asset under management
GP (discretionary accounts) Mutual funds Insurance products Euro
millions FY 2001 11,058.3 14,091.5 6,063.7 2,340.1 8,027.8 4,089.3
1,598.4 25,149.8 1H 2002 11,885.4 14,279.1 6,215.4 2,137.9 8,063.7
4,312.2 1,613.6 26,164.5
Slide 27
27 Section 4 The Portfolio and the eligibility criteria
Slide 28
28 Summary of the provisional Portfolio (1) As of origination
date (2) Weighted by the Outstanding Principal (3) Weighted by the
Outstanding Principal of the Floating Rate Portfolio (4) Weighted
by the Outstanding Principal of the Fixed Rate Portfolio
Slide 29
29 Portfolio description BREAKDOWN BY OUTSTANDING PRINCIPAL
BREAKDOWN BY ORIGINAL LOAN AMOUNT
Slide 30
30 Portfolio description BREAKDOWN BY CURRENT LOAN TO VALUE
BREAKDOWN BY ORIGINAL LOAN TO VALUE (*) (*) Calculated on the
Original Loan Amount
Slide 31
31 Portfolio description BREAKDOWN BY INTEREST RATE BREAKDOWN
BY RANGE OF FIXED RATE BREAKDOWN BY SPREAD Fixed Rate 57% Floating
Rate 43% 45.0% 12.1% 14.1% 28.8% 4-5%5-6%6-7%7-8%
Slide 32
32 Portfolio description SCHEDULED AMORTISATION PROFILE (1)
years (1) Assuming no prepayments, delinquencies and defaults
Slide 33
33 Portfolio description BREAKDOWN BY YEAR OF ORIGINATION
BREAKDOWN BY SEASONING years
Slide 34
34 Portfolio description BREAKDOWN BY ORIGINAL TERM BREAKDOWN
BY RESIDUAL LIFE years
Slide 35
35 Portfolio description All payments are made through an
automatic debit of the debtor account with Carifirenze (1) Mainly
Tuscany (94.65% in terms of O.P.) and Umbria (3.35% of O.P.).
Tuscany is one of the most developed region of Central Italy: the
regional GDP growth rate was 1.7% in 2001 (1.8% for Italy and 1.6%
for Europe), while the unemployment rate was 5.1% in 2001 (9.5% for
Italy); the expected available income per-capita for 2002 (after
investments and consumption) is Euro 15,700 (Euro 14,000 for Italy)
and the expected GDP growth rate for 2002 is 1.5%, in line with the
Italian one (Source IRPET). BREAKDOWN BY FREQUENCY OF PAYMENT
BREAKDOWN BY GEOGRAPHICAL AREA monthly 60.4% semi-annual 39.4%
quarterly 0.2% Central Italy 99.1% Southern Italy 0.4% Northern
Italy 0.6% (1)
Slide 36
36 Top twenty debtors TOP FIRST 20 CLIENTS BY OUTSTANDING
PRINCIPAL
Slide 37
37 Eligibility criteria Main eligibility criteria are the
following: exclusively mutui fondiari, all originated by
Carifirenze; max LTV of 80%; 100% residential mortgage performing
loans (none currently delinquent for more than ten days or
defaulted loans); Carifirenze has never classified them as
incagli/sofferenze 100% economically first lien mortgages; date of
origination between 1st January 1997 and [31st March 2002], and
maturity date on or before [February 2032]; only private
individuals, not employed with Carifirenze group; no State or
Carifirenze subsidised loans; payments of instalments made by way
of debiting the debtors account with Carifirenze;
Slide 38
38 Section 5 Investor considerations
Slide 39
39 Investor consideration High quality portfolio with granular
nature: [9,094] debtors with an average size of Euro [57,241] 100%
economically first lien mortgages 100% performing (none currently
delinquent and defaulted loans) very low average current LTV
([52.20]%) and original LTV ([60.02]%) only individuals (pure RMBS)
good seasoning ([2.57] years) The proven capabilities of
Carifirenze as originator and servicer of residential mortgage
loans, further strengthened with the introduction of the Internal
Rating System Excellent performance of previous securitisation
arranged for Carifirenze - Perseo Finance - (see annex). Last
August 2002 Moody's has upgraded for the second time the rating on
the Class A Notes issued by Perseo Finance (from A2 to Aa3 and
recently to Aa1) Soft bullet profile of Class A1, B and C Notes
(for Class B and C assuming 4% CPR and exercise of clean up call)
Credit enhancement provided by subordination, cash collateral,
guaranteed minimum margin through swap, performance triggers
Quarterly investor reports available online with updated
information on the websites www.absmaster.bnpparibas.com and
www.securitisation-services.com
Slide 40
40 Updated information online www.absmaster.bnpparibas.com
www.securitisation-services.com
Slide 41
41 Section 6 Annex
Slide 42
42 Annex Portfolio description
Slide 43
43 Portfolio description BREAKDOWN BY OUTSTANDING PRINCIPAL
BREAKDOWN BY ORIGINAL LOAN AMOUNT
Slide 44
44 Portfolio description BREAKDOWN BY INTEREST RATE * After the
Entrance Period (2 years from signing) the contract becomes indexed
to Euribor, unless the debtor opts to remain with fixed rate
Slide 45
45 Annex Historical performances
Slide 46
46 Historical performances DEFAULT AND LOSS EXPERIENCE
Slide 47
47 Historical performances STATIC POOL ANALYSIS: OUTSTANDING AT
DEFAULT DATE O.B. = Outstanding Balance
Slide 48
48 Historical performances STATIC POOL ANALYSIS: TOTAL
RECOVERIES O.P. = Outstanding Principal
54 The Italian housing market The value of the Italian housing
market was estimated at around Euro 105 Bn for 2001 (+7.9%), 88%
related to the residential sector and 12% to commercial real estate
(source: Nomisma and Scenari Immobiliari) Since 1998 there has been
a positive trend in the market (a 34% increase in average prices,
equivalent to +20% net of inflation rate, and a 25% increase in the
number of transactions), which is the result of a positive real
estate cycle and structural changes (fig.1) Among the structural
changes: higher economic stability with lower real interests rate
and inflation new population trends (increasing single-occupant
households, immigration, mobility and marital breakdowns) progress
in financial and insurance services Fig.1 (Source: Nomisma)
Slide 55
55 The Italian housing market Traditionally the residential
housing market has been driven by the owner occupied sector (the
Italian ownership rate, 77.8% in 1996, is one of the highest in
Europe - source ISTAT); however, the demand for residential real
estate purposes is increasing, following also the decreasing or bad
performances of traditional investments (BTPs or equity markets)
The outlook for 2002 confirms the positive trend: in the first six
months, prices increased by 5.4 % compared to 31.12.2001 and by
9.5% compared to 30.6.2001 The expectations of the market
participants for the residential sector in 2003 are still positive,
although at a slower pace : average prices are 12% lower in real
terms compared to 1992 quotations The lack of a national house
price index makes it difficult to identify price variations and
trends on a regional basis
Slide 56
56 Annex The Italian residential mortgage market
Slide 57
57 The Italian residential mortgage market The Italian
Residential Mortgage Market was one of the smallest in Europe until
the mid-1990s, but the market has grown substantially since then,
with an average annual growth of 17.6% The main drivers of this
growth have been: the participation of Italy in the EMU, which
facilitated economic and financial stability, and a low interest
rate environment, after decades of double-digit inflation and
interest rates, the mortgage law of 1994, which liberalised landing
activity, allowing the participation of commercial banks and
foreign financial institutions. This increased competition led to a
broader range of products, with better terms and conditions and
improvements in underwriting and loan management processes The
potential for future growth remains high, considering that mortgage
loans outstanding still represent only 10% of GDP, compared to the
European average of 33% The market is concentrated with the four
largest banks (IntesaBCI, Sanpaolo IMI, Unicredito and BNL)
representing more than 50% of market share; the remaining market is
split among several regional and local banks, whose portfolios are
highly regionally focused
Slide 58
58 The Italian residential mortgage market The distribution of
the mortgage market throughout Italy reflects the economic
environment in different areas of the country, with about 60% of
outstanding loans concentrated in the Northern regions and 24% in
the Central regions The main origination channels are bank branch
networks, due to the historically strong and long-term relationship
between banks and families. This explains the relatively low
prepayment rates in Italy (5%-8% on average). Networks of
intermediaries are now becoming an important distribution channel
as well The typical mortgage loan (mutuo fondiario) has the
following terms: initial LTV capped at 80% (Italian RMBS portfolios
usually have a current low LTV of about 60%) maturity range of 5-20
years (the most frequent maturity is 15 years), amortised on an
annuity basis fixed or floating interest rate and, increasingly,
mixed rate (with options to switch from fixed to floating and
viceversa) Underwriting guidelines are not standardised among
different originators. However, in most cases a great reliance is
put on the creditworthiness of the borrowers on the basis on income
sources and forecast income growth, debt burdens (usually debt
service to net income ratio ranges between 30% and 40%) and credit
history. Credit scoring systems are increasingly used by Italian
lenders, mainly for smaller loans
Slide 59
59 Contact List
Slide 60
60 Contacts Please note that persons outside the UK will not be
covered by the rules of the FSA Banca IMI Giuseppe
DistefanoSyndication+39 02 7751 6069 Tommaso
UslenghiSecuritisation+39 02 7751 2498 Luca
MorelliSecuritisation+39 02 7751 2510 Barbara
TreccaniSecuritisaton+39 02 7751 2565 BNP Paribas Guy
HartSyndication+44 207 595 8219 Antonella
TagliaviniSecuritisation+39 02 7247 2275 Gianluca
SannipoliSecuritisation+39 02 7247 2412 Finanziaria Internazionale
Andrea Perin Securitisation +39 0438 360 503 Annalisa Bordi
Securitisation +39 0438 360 920
Slide 61
61 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 and sold, and this
document may not be disseminated, in the United States or to any
U.S. person except pursuant to an exemption from, or in a
transaction not subject to, the registration requirements of the
United States Securities Act of 1933, as amended and any applicable
State securities laws. 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 an offer to sell or the solicitation of an offer to buy
nor shall there be any sale of the securities in any jurisdiction
in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such
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This memorandum addresses only certain aspects of the applicable
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characteristics of the securities. This memorandum is not intended
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Decree No. 58 of 24 February 1998 and in Article 31, paragraph 2 of
CONSOB Resolution No. 11522 of 1 July 1998 as amended.
Slide 62
62 Disclaimer BNP Paribas is incorporated in France with
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Paribas (2002). All rights reserved.