NEW ISSUE REPORT INTERNATIONAL STRUCTURED FINANCE. Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4) Italy

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1 INTERNATIONAL STRUCTURED FINANCE NEW ISSUE REPORT Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4) Italian Social Security Contributions in Arrears CLOSING DATE: May 31, 2001 AUTHORS: Milan Alain Debuysscher VP/Structured Finance Team Leader (39 02) Alex Cataldo Associate Analyst (39 02) CONTACTS: London Frédéric Drevon Managing Director (44-20) Milan Michael Buneman General Manager (39 02) Italy TRANSACTION IN BRIEF Issuer: Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Italian SPV benefiting from specific legal provisions) Rating: Aaa (Series 4 Notes) Total Nominal Amount: billion Originator: Istituto Nazionale della Previdenza Sociale ( INPS ) Servicer: INPS and private collection companies (Concessionari) Hedging Counterparties: UBS AG (Aa1/P-1), London Branch and Morgan Stanley Capital Services, Inc., guaranteed by Morgan Stanley Dean Witter & Co. (Aa3/P-1) Collection Bank: Tesoreria Centrale dello Stato, acting through the Bank of Italy (Aa3/P-1, implied from the Republic of Transaction Bank: Principal Paying Agent/ Agent Bank: Italy) The Chase Manhattan Bank (Aa2/P-1), Milan branch The Chase Manhattan Bank (Aa2/P-1), Milan branch Luxembourg Paying Agent:The Chase Manhattan Bank Luxembourg Representative of the Noteholders: Arrangers and Lead Managers: San Paolo Fiduciaria S.p.A. Banca d Intermediazione Mobiliare IMI, Morgan Stanley Dean Witter and UBS Warburg GLOBAL PORTFOLIO: Seller: INPS Assets: A portfolio of social security contributions in arrears due by companies (aziende), self-employed individuals (autonomi) and agricultural sector companies and workers (area agricola). Global Amount (including Approximately billion (including guaranteed Interest and Penalties): nominal of new portfolio) New York Vernessa Poole All Asset Backed and Residential Mortgage Backed Securities (212) WEBSITE: NOTES ISSUED: Series Rating Amount (M ) Interest Rate Expected Maturity Final Maturity 4 Aaa 1,710 6M Euribor +30bps July 2004 Jan EXISTING NOTES: Series Rating Amount (M ) Interest Rate Expected Maturity Final Maturity 2 Aaa 1,550 6M Euribor -2bps Jan Jan Aaa 1,395 6M Euribor +11bps July 2003 Jan Payments: Credit Support: Semi-annually, on the last business day of January and July. Principal on the notes will be redeemed in strict sequential order, unless certain events triggering pro-rata amortisation occur Strong overcollateralisation Debt Service Reserve Series 4 Debt Service Reserve ( 516,457,000) June 14, 2001

2 RATING OPINION Moody s has assigned a Aaa rating to the 1,710 million Series 4 Asset Backed Floating Rates Notes issued by Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A., a Special Purpose Vehicle incorporated in Italy. The proceeds of the new issuance will be used to fund the acquisition from Istituto Nazionale della Previdenza Sociale (INPS) of a second portfolio of social security contributions in arrears, to establish the second debt service reserve and to pay for the related transaction costs. Simultaneously, Moody s confirmed the outstanding Aaa rating of the Series 2 and 3 notes Asset Backed Floating Rates Notes issued by S.C.C.I. S.p.A. in November The Aaa rating of the Series 4 notes is based on: 1. The strong over-collateralisation provided by the existing and new portfolio of contributions in arrears; 2. The 516 million Series 4 Debt Service Reserve available only to Series 4 noteholders; 3. An analysis of the past performance of the various cash flows (condoni, administrative and legal); 4. The improved performance of the concessionari as servicer of the ruoli receivables; 5. The uncertain performance of the condoni receivables, although it is still regarded as a relatively stable source of cash flows; 6. The particular attention by the Italian Treasury to monitor the servicing procedures; 7. The obligations of the London branch of UBS AG (Aa1/P-1) and Morgan Stanley Capital Services Inc., guaranteed by Morgan Stanley Dean Witter & Co. (Aa3/P-1), acting as hedging counterparties; and 8. The obligations of the Tesoreria Centrale dello Stato (The Italian Treasury, acting through the Bank of Italy) (Aa3/P-1, implied from the Republic of Italy), with which the Issuer opened the Collection Account. Moody s emphasised that these ratings address its opinion regarding the timely payment of interest and the payment of principal on or before the final maturity date of the notes (Jan 2004 for the Series 2 Notes and Jan 2008 for the Series 3 and 4 Notes) and not on their expected maturity date (respectively Jan 2002, Jul 2003 and Jul 2004) nor their legal final maturity dates (Jan 2015). With this new issuance of notes by S.C.C.I. S.p.A., and at the request of the issuer, Moody s has changed the meaning of the ratings on the Series 2 and Series 3 Notes: the rated horizon changed from Jan 2015 previously for both Series 2 and Series 3 Notes to Jan 2004 and Jan 2008 respectively. RATING SENSITIVITY Moody s views the following as the main factors that could affect the rating of the notes: Continued reporting imprecision with regards to the condoni receivables; Concessionari reforms and servicing process not consolidating in the short term; and Negative future events which could slow down or block the operational flow of recoveries. Moody s will closely monitor its ratings on this transaction. We will welcome any related question sent to the following address: 2 OPERATION SUMMARY Overview Società di cartolarizzazione dei crediti INPS SCCI S.p.A. was established in 1999 for the purpose of securitising credits in arrears of the Istituto Nazionale della Previdenza Sociale (INPS), the main Italian Social Security Institution. This transaction represented the largest securitisation transaction in Italy to date and the first one involving public sector assets. At the time, S.C.C.I. S.p.A. financed the acquisition of a 41.9 billion (including penalties and interest) portfolio of social security contribution in arrears and related rights with the proceeds of the issuance of Series 1, 2 and 3 notes ( 4.65 billion total at issuance). On January 31 st, 2001, S.C.C.I. reimbursed entirely the Series 1 notes, which was the date of the first soft bullet, without having to use any funds from the initial Debt Service Reserve ( million). Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4)

3 S.C.C.I. issued additional notes, the Series 4 Notes, as permitted by Italian law. With the confirmation of the ratings of the Series 2 and 3 notes, the Series 4 will be added to the present waterfall of S.C.C.I. and will benefit from the present portfolio securitised in As a result of the further issuance of Series 4, a new portfolio of credits in arrears will be purchased from INPS (with a guaranteed minimum nominal amount of 3.25 Billion that consists of all the credits in arrears from 2000, which have not been recovered as of April 30 th, 2001). The Series 4 issuance does not represent major changes to the initial structure of the transaction. The main differences pursuant to the further issuance relate to: A Second Debt Service Reserve funded at closing of approximately 516 million dedicated solely for the benefit of Series 4, even in case of an enforcement trigger; and New performance trigger designed to change the sequential waterfall of principal payments to pari-passu payments on the Notes as a result of very poor performance on assets. The Originator: INPS INPS is the main Italian Social Security Institution. It provides a wide range of provisions and benefits to both contributors and non-contributors, including, but not limited to, retirement and invalidity pensions and unemployment benefits. The main source to fund such provisions and benefits are the contributions collected from companies on behalf of their employees and from self-employed individuals. INPS was established in 1935 and, as a public entity, INPS cannot be declared bankrupt. The Italian State ensures INPS financial stability. The purpose of this operation at the Italian governmental level is to provide increased transparency of the servicing of public receivables and to help Italy reduce public debt. The Series 4 issuance adds to other transactions that are sponsored by the Italian government: First, the INPS transaction mentioned previously of over 4.65 billion issued in November 1999, followed by the Inail transaction with 1.35 billion issued in October 2000 and lastly with the $ 525 million Aegis S.r.l. issuance for SACE in May THE PORTFOLIO OF RECEIVABLES Global Overview The Majority of Contributions in Arrears Owed to INPS, the Main Italian Social Security Institution The collateral in the portfolio consists of Social Security contributions classified as in arrears by INPS (including penalty interest and additional sums). Contributions to Social Security in Italy are compulsory and are paid by companies on behalf of their employees (the company is liable for part of the relevant employee contribution, while the employee itself is liable for the remainder, that is usually paid by means of a deduction from salary) and directly by self-employed individuals. In both cases, a declaration form has to be filled in, giving raise to the claims. Each of the receivables transferred to the Issuer by INPS has two components: the nominal value on one side and penalties, interest and other sums payable thereon on the other. The debtors in the portfolio are classified as companies (aziende), self-employed individuals (autonomi) and agricultural sector companies and workers (area agricola). Given the national status of INPS, the receivables are well distributed across Italy. As could be expected, major concentrations arise in the most populated regions: Lazio (the region around Rome), and Lombardia (the region around Milan). Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4) 3

4 With this second issuance, the collateral of S.C.C.I. S.p.A. will consists of almost all INPS social security contributions in arrears as of the end of 2000, for a total estimated nominal value of approx billion. These contributions in arrears are due by three types of debtors: aziende (companies), autonomi (self-employed persons and owner-managed businesses) and agricoli (farm owners and agricultural workers). As of the issuance of the Series 4 notes, S.C.C.I. s global portfolio is estimated to have a total outstanding amount, which includes the nominal value, penalties and interest of approximately 48 billion and will consist of two major parts: Current outstanding portfolio sold to S.C.C.I. pursuant to the Series 1, 2 and 3 Notes issuance and consisting of INPS credit in arrears accrued on or before December 31, The current nominal value of this portfolio as of January 31 st, 2001 is approximately 27.4 billion and increases to 44.9 billion with penalties and interest; and New portfolio acquired by S.C.C.I. pursuant to the Series 4 issuance, which consists of credits classified as in arrears during the year 2000 and not recovered at the end of April Given the difficulty with precisely estimating this figure as of the closing date, INPS has guaranteed a minimum nominal amount (excluding interest and penalties) of billion, composed of Aziende ( billion), Autonomi ( billion), and Agricoli ( 413 billion). Three Main Types of Recovery Categories: Administrative, Legal and Amnesties. The credits in arrears are categorised according to the following recovery strategy: Administrative: Upon identification of an unpaid contribution, such claim enters in the administrative phase. Pursuant to the servicing reforms of 1999, the recovery of these credits features the noted use of concessionari to collect unpaid credits called Residui through the iscrizione a ruolo system. The concessionari are joint stock companies whose object is the collection of receivables through the ruolo system and related activities. The concessionari have experience in collecting other credits also due to other State bodies. These Residui can consist of credits from active debtors, debtors that are considered cessate (companies which have ceased or terminated their activity) or fallite (are subject to bankruptcy or reorganization); Legal: prior to the servicing reform law of 1999, if the debtor had not made any payment in respect of the amounts owed after notification by INPS, then the credit was transferred to the legal department of INPS, where legal proceedings was initiated (which eventually lead to the enforcement procedures). Credits for which enforcement procedures had begun against the debtor were not transferred to the concessionari and remained with INPS; and Condoni ( Amnesties ) and Dilazioni: in the past, the Italian Government has approved legislation reducing the level of interest and penalties (not the nominal value) payable on certain types of credit. In order to benefit from such amnesties, the relevant debtors had to submit an application to INPS and formerly recognize that they owed the amount to INPS. If approved, the credit would be payable according to a repayment plan outlined in the relevant legislation. The formalisation of the procedure allowing debtors to repay over a number of installments is called dilazione. 4 Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4)

5 CURRENT PORTFOLIO As stated above, the current outstanding portfolio sold to S.C.C.I. pursuant to the Series 1, 2 and 3 issuance consisted of all the INPS credit in arrears accrued on or before December 31, Although the transfer occurred in November, 2000, for reconciliation purposes the final list of receivables was delivered for the first series of issuance only in March As a result, the amounts listed were greater than those reported prior to the issuance. Table 1 shows the official original S.C.C.I. portfolio taking into consideration the final list. Given the complex nature of servicing and reconciling the receivables of a transaction of this nature and size, the information flow and reconciliation with regards to the receivables has been delayed or misleading at times. 1 For example, INPS has reported that delays in reconciling cash collections with current contributions due led to an overstatement of new Autonomi credits outstanding at year end 1999 (reported in final portfolio published in March 2000). This problem has been overcome for the new portfolio given the decentralised reporting now from the local INPS office. The same problem led to an under-reporting of cash collections on 1999 credits due to SCCI. This amounts to approximately 90 million and will be paid to the vehicle shortly after the issue date of Series 4. Although further reconciliation issues may occur in the future in this transaction, Moody s regards the new reporting frequency (quarterly instead of semi-annually) and the audit by KPMG S.p.A. as a positive inclusion to the transaction, potentially allowing investors more accurate and timely information with regards to the complex recovery process. After taking into consideration the various reconciliation issues and recoveries on the portfolio as of the second payment date of January 31 st, 2001, the Table 2 current outstanding portfolio S.C.C.I. Current Portfolio as of ( Million) value has been calculated to be billion (including penalties and interest). Table 2 and 3 displays the various amounts according to debtor and recovery strategy. As of May 21, 2001, the account held in the name of SCCI at the Italian Treasury showed a cash amount of million resulting from recoveries, not including the initial debt service reservce of million. Table 1 S.C.C.I. Portfolio at Closing ( Million) Type Administrative Dilazione and of Debtor Phase Legal Phase Amnesty Total Aziende 6,570 22,844 2,151 31,566 Autonomi 9,256 1, ,712 Area Agricola 2, ,655 Total 18,400 24,775 3,757 46,933 Type Administrative Dilazione and of Debtor Phase Legal Phase Amnesty Total Aziende 5,940 22,562 1,550 30,052 Autonomi 9,136 1, ,375 Area Agricola 2, ,478 Total 17,618 24,461 2,825 44,905 Table 3 S.C.C.I. Portfolio as of (% Outstanding) Type Administrative Dilazione and of Debtor Phase Legal Phase Amnesty Total Aziende Autonomi Area Agricola Total For details on this issue, see Moody s Press Release, Moody s Confirms Aaa Ratings to Notes Issued by Societa di Cartolarizzazione dei Crediti Inps (S.C.C.I. S.p.A.). October 23, Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4) 5

6 New Portfolio of Assets Pursuant to the Series 4 issuance, S.C.C.I. will purchase an additional portfolio of credits in Arrears from INPS. The new portfolio will consist of all the credits in arrears of INPS for the year 2000 and not recovered as of April 30 th, However, as was the case in the first transfer, that amount will not be certain and will only be confirmed months after the issuance of notes. However, this time INPS will guarantee a nominal minimum amount of billion, excluding all penalties and interest. The minimum nominal amount will be guaranteed by INPS separately for: Aziende billion; Autonomi billion; and Agricoli 413 billion. Form January 1 st, 2001 to the 15 th of April, 2001, 17.9 million, which constitutes.55% of the guaranteed nominal amount, were received in collections from these assets. However, only recoveries after and including April 30 th 2001 will be transferred to S.C.C.I. MSDW and UBS AG Hedging Agreement INPS Rights to Portfolio Servicing Agreement S.C.C.I. Series 4 Notes Investors Net Proceeds Convenzione Tipo Deposit Proceeds Concessionari Series 4 DSR STRUCTURAL FEATURES The Series 4 issuance does not represent major changes to the initial structure of the transaction. As mentioned previously, the main differences pursuant to the further issuance relates to the introduction of the Second Debt Service Reserve funded at closing of 516 million dedicated solely for the benefit of Series 4, even in case of an enforcement trigger and to new performance triggers. The existing performance trigger, which is designed to change the sequential waterfall of principal payments to pari passu payments on the Notes as a result of very poor performance on assets, has been increased from 50% (at closing of the first issuance) to 65% at the issuance of Series 4 of the expected amortisation schedule and will now ignore reimbursements prior to July 2001, so that the comparison between anticipated and actual principal repayments will be made starting on the July 31, 2001 payment date. Moody s believes this modification addresses certain concerns regarding the absence of adequate early warning signals for potential poor performance for the Series 4. Specific Legislation Enacted for the Purposes of the Transaction This transaction benefits from special legislation (Articles 13 and 15 of Italian Law 448/98, as amended), relating, among other topics, to: The transfer of the receivables: no formal notice or consent from the debtors is needed; Judicial Proceedings: the Issuer can join INPS in any judicial proceedings initiated before the transfer of the receivables; and Segregation of the receivables and other assets: by operation of law, amounts deriving from the portfolio and other Issuers rights will be only available to the Noteholders, the parties to the different transaction agreements and the Issuer s other creditors in relation to the securitisation. Aspects not expressly covered by law 448/98, as amended, are regulated by Italian securitisation law 130/99. 6 Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4)

7 Payment Structure and Allocation On each interest payment date, provided no trigger notice has been delivered, the Issuer Available Funds should be applied in the following order of priorities: 1. Fees, expenses and taxes; 2. Amounts due to INPS under the Receivables Purchase Agreement; 3. Amounts payable to the hedging counterparties, other than termination payments; 4. Interest under all the Notes and termination payments in respect of the swap agreements; 5. Scheduled principal payments under the Notes for Series 2, 3 and 4; 6. Replenishment of the debt service reserves; and 7. Once all notes have amortised, payment of the Deferred Purchase Price to INPS. The Series 4 notes have a soft bullet date on July Upon occurrence of a trigger event (non-payment, breach of obligations, insolvency, winding-up, unlawfulness or failure to attain certain recovery thresholds at each payment date), the three oustanding Series of Notes will be amortised pro-rata, and the initial debt service reserve will be entirely used up for repayment of the Notes. Series 4 Debt Service Reserve A Series 4 Debt service reserve will be funded at closing to cover principal payments only on the Series 4. This debt service reserve will consist of approximately 516 million (approximately 30.17% of Series 4 notes at issuance). In addition, the initial debt reserve and the current cash from recoveries in the vehicles account as of May 21, 2001 consists of 38.4% of Series 2 and 3 current oustanding amounts. A portion of the Series 4 DSR may be gradually reduced if recoveries are proceeding extremely well and after confirmation by the rating agencies on the transaction. However, it is a condition precedent that the amount released from the Series 4 Debt reserve will not impact the current Series 4 ratings of the notes. Servicing INPS and Private Collection Companies (Concessionari) to Act as Servicers As outlined in the section describing the receivables, new legislation enacted in 1999 changed the legal framework for the collection of the receivables, delegating the collection to a series of private companies (concessionari) in charge of the collection of unpaid taxes owed to other Italian administrations. However, INPS has agreed to remain a party to all legal proceedings already initiated before the transfer of the receivables to the Issuer and to service all receivables in respect of which the debtors have been granted the right to pay in instalments or whose payments have been rescheduled pursuant to an amnesty. Moreover, INPS will be in charge of all receivables disputed before a civil judge. According to this reform: INPS had to classify all the credits to be transferred to the concessionari by making lists (ruoli) in a procedure called infasamento or iscrizione a ruolo ( listing the credits ). The ruolo describes all the details of the outstanding claims (e.g. the amount, the name and the address of the debtor, which public body or securitisation SPV is the creditor, etc); The ruoli are transferred by INPS electronically to the CNC, the Consorzio Nazionale dei Concessionari, who is in charge of receiving the ruoli from the public bodies and of dispatching the relevant lists to every local concessionario. INPS has fully completed this electronic transfer of all the ruoli to the CNC ( 18,489 billion ); Once a ruolo is transmitted, cartelle ( notices ) are printed by the CNC (system called cartellazione) and either sent to the debtors directly or sent to the local concessionario, who in turn forwards the cartelle to the debtors by mail or by delegated persons (Messi notificatori). There have been delays with this phase due to the implementation of IT support. As of March 31 st, 2001 the concessionari have received over 17.8 billion (96% of total); Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4) 7

8 The debtors have 60 days to pay after they have received the cartella. They can contest the amount with the local offices of INPS or ask for a rescheduled payment plan (dilazione). In order for the local INPS office to accept this offer, the debtor needs to (1) accept that he/she owes the entire amount written on the ruolo; (2) pay 1/12 th of the amount immediately, (3) accept the 10.5% interest and the repayment plan which typically lasts 12 months but can be extended to over 36 months provided there are special circumstances; Once the 60 day period has elapsed, the concessionari are entitled to start a forced recovery procedure (esecuzione coattiva) without further court authorisations (by operation of law, the cartelle already represent executive titles titoli esecutivi); Once the concessionario has identified and seized an asset of the debtor, they will store the asset in a warehouse until the first auction. The concessionario has 10 days following the assets legal attachment to organise a first auction. If the first auction is not successful, the concessionario will set a second auction with a price equal to 80% of the original amount. If the second auction is unsuccessful too, the concessionario can either organise a third auction or enter into a private transaction: in both scenarios the price will be at least equal to 25% of the original valuation; If none of the auctions are successful, the concessionario will choose one of the following three options; (i) return; (ii) donate; or (iii) destroy the good. The debtor must still pay its obligation. The concessionario has three years to either (i) settle the outstanding claim or (ii) demonstrate the inability of the debtor to pay the debt (through insufficient funds etc.). If three years after the cartella has been sent, the concessionario can not justify why the credit or a portion of the credit has become unrecoverable, they will be liable to pay the amount outstanding of the credit to the creditor; Once the concessionario recovers the claim, within 10 days it will transmit the amount (net of servicing fees). Failure to pay the Treasury (where INPS and the SPV holds its account) will cause a penalty fee equal to the legal interest times the amount times the number of days of missed payment. The concessionario, in any case, will have to transmit a monthly report to the CNC giving a detailed analysis of the activity, including the number of claims, the amounts outstanding and the amounts recovered. The CNC will then transmit the report to INPS (head office); and The concessionari are paid a percentage of amounts collected as remuneration for their services. They are entitled to withhold the balance of its remuneration from the amounts collected from debtors. Under the Receivables Purchase Agreement, INPS will indemnify the concessionari for servicing expenses in excess of the 2% servicing fee. CREDIT RISK ANALYSIS For each category of receivable, Moody s conducted a statistical analysis in order to determine the expected levels of recoveries, their timing and their volatility. Different sets of recovery scenarios as well as their probability were established. A loss under the Notes until the final maturity (Jan for the Series 2 and Jan for the Series 3 and 4) was determined under each collection scenario. The expected loss on the Series 2, 3 and 4 Notes was deducted by weighting the loss under each scenario by its corresponding probability of occurrence, and were found to be consistent with a target rating of Aaa for the notes. Moody s updated its analysis on each of the categories of receivables based on the performance data during the life of the transaction. Table 4 and Chart 1 show cumulative recoveries on the portfolio for each different category. Moody s identifies several possible categories of receivables in this transaction and updated each recovery curve to determine expected recoveries on the different categories of receivables, their timing and the volatility of the final level of recoveries. These categories consisted of nominal Administrative and legal phases for the three different types of debtors, condoni for the three types of debtors and recoveries on penalties and interest. 8 Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4)

9 Table 4 Actual Collections Figures from Nov 99 to January 01 ( million- net of 2% Servicing fee) Type Admin. Legal Dilazione and Comp. and of Debtor Phase Phase Amnesty Cessioni (set-offs) Total Aziende , Autonomi Agricoli Total , Other Grand Total , The above other category relates to Concessionari, for an amount of million and unclassified recoveries for an amount of Chart 1 Cumulative Recoveries by Quarter Nov 99- Jan 00 Feb 00- Apr 00 May 00- Jul 00 Aug 00- Oct 00 Nov 00- Jan 01 Chart 2 Concessionari Recoveries (by Month) Note: April recoveries are only until the 20 th. Only cumulative numbers were available for both February and March together. Condoni performance has continued to remain uncertain, with lower than expected performance and lack of precise data, further demonstrated by the fact that approximately a further million in Condoni to Aziende were mis-classified and should have been put in the Administrative phase. Both KPMG and INPS have undertaken separate investigations to understand why the performance is below expectations and the process of delivering non-performing condoni receivables to the concessionari. Moody s has recalculated its expectations of condoni recoveries based on its uncertainty with actual figures, but still views the condoni receivables as a stable source of funds in the transaction. On the other hand, Moody s is beginning to see the continued growing recoveries from concessionari, due to the implementations of many of the servicing reforms and decrees mentioned previously by Moody s. Given the various delays in the ruoli process, many concessionari only began truly recovering in the final months of However, as demonstrated by Chart 2, concessionari have been recovering quite well during the past months and demonstrates a stable growth in the coming months. Moody s views this category of receivable, which will increase the percentage of recoveries though the administrative category, as migitating the uncertain performance of the condoni receivables. Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4) 9

10 HEDGING STRUCTURE Similar to the hedging structure of the Series 2 and 3 notes, in order to hedge the SPV against the potential variations of the 6 month Euribor which is paid on the notes, the Issuer will enter into swap agreements at market rates with UBS AG (Aa1/P-1), London Branch and Morgan Stanley Capital Services, Inc., guaranteed by Morgan Stanley Dean Witter & Co. (Aa3/P-1). In addition, the swap counterparties will provide a series of swaptions until the legal maturity of the Notes in order to protect noteholders against interest rate risk, should the notes extend after their respective expected maturity date. The notional of these swaptions was determined under extreme scenarios. In addition, if the long term rating of either swap counterparty falls below Aa3 or if the swap counterparties fail to perform their obligations under the hedging agreements, these hedging agreements would have to be cash collateralised or the swap counterparty would have to be replaced or guaranteed. Moody s believes these mechanisms combined with the current ratings of the hedging counterparties are consistent with the Aaa rating assigned to the Series 4 Notes. 10 Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4)

11 Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4) 11

12 Doc ID# SF10188isf Copyright 2001 by Moody s Investors Service, Inc., 99 Church Street, New York, New York All rights reserved. ALL INFORMATION CONTAINED HEREIN IS COPYRIGHTED IN THE NAME OF MOODY S INVESTORS SERVICE, INC. ( MOODY S ), AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY S PRIOR WRITTEN CONSENT. All information contained herein is obtained by MOODY S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, such information is provided as is without warranty of any kind and MOODY S, in particular, makes no representation or warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any such information. Under no circumstances shall MOODY S have any liability to any person or entity for (a) any loss or damage in whole or in part caused by, resulting from, or relating to, any error (negligent or otherwise) or other circumstance or contingency within or outside the control of MOODY S or any of its directors, officers, employees or agents in connection with the procurement, collection, compilation, analysis, interpretation, communication, publication or delivery of any such information, or (b) any direct, indirect, special, consequential, compensatory or incidental damages whatsoever (including without limitation, lost profits), even if MOODY S is advised in advance of the possibility of such damages, resulting from the use of or inability to use, any such information. The credit ratings, if any, constituting part of the information contained herein are, and must be construed solely as, statements of opinion and not statements of fact or recommendations to purchase, sell or hold any securities. NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY S IN ANY FORM OR MANNER WHATSOEVER. Each rating or other opinion must be weighed solely as one factor in any investment decision made by or on behalf of any user of the information contained herein, and each such user must accordingly make its own study and evaluation of each security and of each issuer and guarantor of, and each provider of credit support for, each security that it may consider purchasing, holding or selling. Pursuant to Section 17(b) of the Securities Act of 1933, MOODY S hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MOODY S have, prior to assignment of any rating, agreed to pay to MOODY S for appraisal and rating services rendered by it fees ranging from $1,000 to $1,500, Società di Cartolarizzazione dei Crediti INPS S.C.C.I. S.p.A. (Series 4)

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