ITALFINANCE RMBS S.r.l., sole quotaholder company

Transcription

1 ITALFINANCE RMBS S.r.l., sole quotaholder company 1 Registered Office: Via Segantini, 5 - Trento Registered in the Companies Registry of Trento Tax code and VAT number: Fully paid-up share capital EUR 10,000 Financial Statements as at 31 December 2010

2 Contents 2 page Administrative bodies and Auditing Firm 3 Directors' Report 4 Financial Statements as at 31 December 2010 Statement of Financial Position 10 Income Statement 11 Statement of comprehensive income 12 Statement of Changes in Quotaholders Equity 13 Cash-flow statement 14 Notes to the Financial Statements 16 PART A : Accounting Policies 16 PART B : Information on the Statement of financial position 20 PART C : Information on the income statement 24 PART D : Other information 29 Section 1 Specific information on the activities carried out F. Securitisation 29 Summary sheet of securitised assets and securities issued Qualitative disclosure 32 Quantitative disclosure 38 Section 2 - Securitisations Section 3 Information on risks and on relevant hedging policies Section 4 Information on Equity Section 5 Analytical statement of comprehensive income Section 6 - Related party transactions Section 7 Other detailed information

3 3 Administrative bodies and Auditing Firm Sole Director Umberto Dalla Zuanna Board of Statutory Auditors Chairman Marco Bronzato Statutory Auditors Francesco Bavagnoli Vittorio Belviolandi Auditing firm Deloitte & Touche S.p.A.

4 Directors report General information Until 12 September 2008, Italfinance RMBS S.r.l. was called Mosaico Finance S.r.l. The latter ceased its activity in November 2007 with the conclusion of the securitisation operation undertaken in 2001, as a result of the transfer of the loan portfolio to the originators, the subsequent advance repayment of the remaining class A securities and the cancellation of all the issued class B securities. On 12 September 2008, the Quotaholders' Meeting of Mosaico Finance S.r.l. approved the change of the company name in Italfinance RMBS S.r.l.. Italfinance RMBS S.r.l. is a company for loan securitisation, pursuant to Article 3 of Italian Law no. 130 of 30 April 1999 that regulated in Italy the carrying out of securitisations. The company initially requested and obtained the registration with number in the General List of Financial Brokers pursuant to Article 106, paragraph 1, of Italian Legislative Decree no. 385 of 1 September 1993 as amended (Consolidated Banking Act), and later on requested and obtained on 10 August 2001 to be included in the special list set forth in Article 107 of the said Consolidated Banking Act. According to the Measure of the Governor of the Bank of Italy of 25 September 2009, Italfinance RMBS Srl was officially cancelled from the special list ex Article 107 (Consolidated Banking Act); therefore, the Company is enrolled in the General List pursuant to Article 106 of the Consolidated Banking Act with no The Company s registered office is in Trento, via Segantini, 5. The quotaholder, Stichting Rosso, a Dutch foundation, based in Amsterdam, Holland, Claude Debussylaan 24 holds 100% of the fully paid-up share capital of EUR 10,000. As established by the Articles of Association, the exclusive purpose of the Company is the carrying out of one or more loan securitisations by purchasing for a valuable consideration present and future financial loans, financed through the issue of securities as per Article 1, paragraph 1, letter b) of Italian Law 130/99, in such a way as to exclude any credit risk-taking by the Company. In accordance with the above-mentioned law and the implementing measures, the loans purchased by the Company within each transaction represent separate assets for all practical purposes from that of the company or from those relating to other transactions. No actions are allowed on each separate asset by lenders other than the holders of securities issued to finance the purchase of the loans. On 3 November 2008, the Company entered into a loan selling contract with Banca Italease, pursuant to which Banca Italease has sold for a valuable consideration in bulk and without recourse to the Company a portfolio of performing financial loans deriving from home mortgage loan agreements. The purchase of the loans was financed by the Company by issuing on 14 November 2008, mortgage backed securities, divided in Class A securities and Class B securities. The transaction is fully disclosed in Part F of the Notes to the financial statements, in accordance with the provisions contained in the Instructions for drafting the Financial Statements of financial brokers enrolled in the special list of e-money institutions (IMEL), asset management companies (SGR) and stock brokers (SIM), issued by the Bank of Italy with the Measure of 16 December The transaction was previously examined by the Bank of Italy.

5 The company has no employees since it has entrusted external companies with the management of the loan portfolio and of the administrative, accounting, company, tax and computing functions. 5 It is acknowledged that on 28 December 2010, with deed of Andrea Ganelli, Notary of Turin and Pinerolo (index no ), the quotaholders' meeting was held; the meeting made changes to the articles of association no. 13 and 20 and appointed for the three-year period a board of statutory auditors consisting of: Marco Bronzato (chairman), Francesco Bavagnoli and Vittorio Belviolandi (statutory auditors), by determining their fees. Emilio Rossi and Roberto Vassanelli were appointed alternate auditors. The Board of Statutory Auditors was also entrusted with the task of auditing. In this regard, the board observes initially that, pursuant to Article 16, paragraph 2, of Italian Legislative Decree 39/1010, since this a public interest body, in that issuer of listed transferable securities (at the Irish Stock Exchange), the statutory audit cannot be carried out by the board of statutory auditors, since it must be entrusted to an auditing company, on a reasoned proposal of the Board of Statutory Auditors. Therefore, this Board of Statutory Auditors, after examining some offers coming from auditing companies, asked for the convocation of the quotaholders' meeting that, on 28 February 2011, deliberated on the appointment of the auditing company and entrusted the task to Deloitte & Touche S.p.A.. The financial statements for the year ended 31 December 2010 show the only securitisation transaction undertaken by the company on that date. It is specified that, when this document is drawn up, the company is not expected to carry out new securitisation transactions in the short term. 1.2 Company operativeness Italfinance RMBS S.r.l. operates within Italian Law 130/99. Aspects of law that most affect the company are the following: - exclusiveness of the business purpose: the business purpose is limited to the carrying out of securitisations; - separate assets of the company: the loans relating to securitisations represent separate assets from that of the company or from those relating to other transactions. Different kinds of regulations are also expected to make more effective the protection of claims to the repayment of credit of holders of securities issued by the company: for example, the law requires the company to allocate the amounts paid by the debtors exclusively to satisfy the rights incorporated in securities issued and to the payment of the transaction costs. 1.3 "Limited recourse" nature of the notes issued The bonds issued by the company to finance the securitisation, albeit different for what concerns the order of privilege, share the common characteristic of being "limited recourse". This means that the repayment of capital is subject to the availability of financial resources to pay it off, deriving from the collection of the loans purchased by the vehicle. 1.4 Relevant contractual aspects

6 To carry out its administrative, company, accounting and tax functions, Italfinance RMBS S.r.l. uses the services provided by third parties, as better described in Section F.3 "Involved subjects". 6 In particular, the collection of the loans transferred and cash and payment services, which pursuant to Italian law 130/99, must be assigned to a subject enrolled in the Special List set forth in Article 107 of Italian Legislative Decree 1 September 1993 no. 385, by virtue of the Servicing Agreement signed on 3 November 2008 and amended on 13 November 2008, is entrusted to each Originator. Always based on the Servicing Agreement, the Originator is involved in the management of the reports to the Central Credit Register and of the Centralised Computer Archive on behalf of the company. Supervisory reports are entrusted to the Corporate Servicer, in the subject of Accounting Partners S.r. l. The company's financial transactions, by virtue of the Cash Administration and Agency Agreement signed on 3 July 2007, are managed by Cassa Centrale Banca Credito Cooperativo del Nord Est S.p.A. branch of Trento (Operating Bank), whereas Deutsche Bank S.p.A. - based in Milan and Deutsche Bank AG - London manage the investments. Deutsche Bank S.p.A. acts also as Transaction Bank and Italian Paying Agent. The role of English Transaction Bank, Agent Bank, Cash Manager, Computation Agent and Principal Paying Agent is entrusted to Deutsche Bank AG - London Branch. The role of Irish Listing Agent is entrusted to Deutsche Bank Luxembourg S.A. According to the terms and conditions of the securities issued by Italfinance RMBS S.r.l., interest payments are made every six months, on 26 January and 26 July of each year. The rate applied on the listed notes is calculated on the basis of the recognition of the indexation variable rate (Euribor 6 months) plus the spread of 0.45% expected for class A, 1% for class B. The first Payment Date occurred on 26 July Under the Cash Administration and Agency Agreement, the collections deriving from the portfolio are used by the Deutsche Bank AG-London Branch, only in eligible Investments. Deutsche Trustee Company Limited currently acts as Representative of the Holders of the Notes. 1.5 Other subjects involved in the company's services In addition to the above subjects, Italfinance RMBS S.r.l. makes also use of the services supplied by Accounting Partners Srl and Deloitte & Touche S.p.A. The former supplies administrative consultancy, accounting, financial statements and taxation services whereas the latter is entrusted with the task of auditing the financial statements of the company. 2 Loan management trend The portfolio that Italfinance RMBS S.r.l. purchased from Banca Italease consists of loans, identifiable in bulk, deriving from home mortgage loans. To purchase the portfolio, Italfinance RMBS S.r.l. paid to the Originator the overall price of EUR 485,796,240, consisting of residual capital of EUR 484,098,784 and interest accrued of EUR 1,697,456 of each loan on the valuation date.

7 7 The management of the loans purchased by Italfinance RMBS S.r.l. is carried out by each Originator as Servicer. As at 31 December 2010, the loan portfolio amounts to EUR 322,187,620, net of bad debt provisions of EUR 5,598,907 and interests accrued on loans of EUR 1,355,914. The transaction was carried out regularly during the financial year. 3 Analysis of the financial position and of the income results Cash flows for 2010 concerning the collections on securitised loans amounting to EUR 96,189,490 are in line with the collection forecasts formulated when structuring the transaction. The economic result of the securitisation as at 31 December 2010 shows a loss amounting to EUR 1,786, Significant subsequent events Reference is made to what is stated in the paragraph feature of the issues with regard to the assignment of the second rating. 5 Business outlook The company has no plans at present to engage in other securitisations. The company is expected to lawfully continue the existing transaction in Proposal for the allocation of the profit for the year The company closed the 2010 financial period reporting a break-even result, in that the operating costs are charged to the management of the securitised portfolio, as provided by the provisions on securitisation. 7 Other information It is pointed out, so as not to leave anything out, that Italfinance RMBS S.r.l.: does not carry out research and development activities; does not hold in its portfolio treasury shares or shares of controlling bodies. Moreover, as regards the tax aspects related to the management of the securitised portfolio, the company followed the prevalent approach, based on the measure of the Bank of Italy no of 29 March 2000, confirmed by Circular No. 8/E of 6 February 2003 issued by the Revenue Office, regarding the tax treatment of the separate assets of the companies set up for loan securitisation.

8 According to the Measure, the economic results deriving from the management of the securitised assets, during the carrying out of the transactions in question, are not part of the company s assets and therefore potential spreads are excluded from the company s taxable income. This assumption appears to be in line with the provisions set forth by the Bank of Italy in the said Measure of 29 March 2000, according to which the income statement of the special purpose vehicle is not affected by the flows referring to the loans connected with the securitised assets, both with regard to the principal and the interest income, nor by the expenses incurred by the company for the management of each transaction. A concept that continues to be valid is that the operating profit resulting after all the lenders of separate assets have been repaid, and pertaining to the SPV, must be subject to taxation, as it will be included among the special purpose vehicle s assets, thus contributing to its taxable income. With reference to company assets, the credit risk and market risk can be considered negligible. With reference to the securitised assets and considering the provisions of Italian Law 130/1999, the above risks are transferred on the holders of securities. For what concerns the operational risk, the Company has no employees and has delegated the performance of its functions and its operational risk on subjects assigned by contract. 8 Corporate Governance report and ownership structures Consequently, pursuant to Article 123-bis of Italian Legislative Decree no. 58 of 24 February 1998, the report on operations of companies issuing transferable securities admitted for trading on regulated markets must contain a specific section called Corporate Governance report and ownership structures, which, pursuant to paragraph 2, letter b), of the same article, contains the information concerning the key characteristics of the existing risk management and internal control system in relation to the financial reporting process, consolidated or otherwise, if applicable. The company does not have, and has undertaken not to hire, employees. For the attainment of its business purpose and consequently also for the activities related to the risk management and internal control system in relation to the financial reporting process, the Company makes use of agents appointed ad hoc. The contractual documents of securitisations regulate the appointment and specific activities that each agent of the Company is required to carry out. The agents of the transactions are appointed from among subjects engaged in professional activities entrusted to them by the Company. Such task must be carried out by the agents in accordance with the applicable legislation and in such a way as to allow the Company to fulfil regularly its obligations arising from the documents of the transactions and from the law. The main roles carried out by these agents are as follows: (i) the Servicer that, among other things, deals with the management of purchased loans; (ii) the Corporate Servicer that deals with the administrative and accounting management of the Company; and (iii) the Cash Manager, Computation Agent and Paying Agent that carry out cash, computation and payment management services. In particular, we point out that the Servicer is the subject in charge of the collection of transferred loans and of the cash and payment services according to what is provided by Article 2, paragraph 3, letter (c), of Italian Law 130/1999. Pursuant to Article 2, paragraph 6, of Italian Law 130/1999, the role of Servicer can be carried out by banks or by intermediaries registered in the Special List provided by Article 107 of Italian Legislative Decree no. 385 of 1 September 1993, who verify that transactions are consistent with the law and the prospectus. Also pursuant to the Measure of the Bank of Italy of 23 August 2000, the Servicer is in charge of operating tasks, "guarantee" functions on the proper carrying out of the securitisations in the interest of the holders of securities and, in general, of the market.

9 9 Finally, the financial information is prepared by the Corporate Servicer by using mainly the data supplied by the subject in charge of the management of the purchased loans. Italfinance RMBS S.r.l. The Sole Director Umberto Dalla Zuanna

10 Statement of Financial Position 10 Assets (Values expressed in EUR) ASSETS 31/12/10 31/12/ Receivables 9,933 9, Tax assets 15,252 16,401 a) current tax assets 8,300 10,142 b) prepaid 6,952 6, Other assets 25,573 38,201 TOTAL ASSETS 50,758 64,593 Liabilities (Values expressed in EUR) TOTAL LIABILITIES AND SHAREHOLDERS' EQUITY 31/12/10 31/12/ Tax liabilities 0 a) current tax assets Other liabilities 24,585 38, Share capital 10,000 10, Reserves 16,173 16,173 a) legal reserve b) retained earnings 15,364 15, Profit (Loss) for the year 0 TOTAL LIABILITIES AND SHAREHOLDERS' EQUITY 50,758 64,593

11 Income Statement 11 (Values expressed in EUR) ITEMS 31/12/10 31/12/ Interest income and similar revenues INTEREST MARGIN NET INTEREST AND OTHER BANKING INCOME Administrative expenses: (34,599) (38,616) a) personnel expenses (5,296) (4,989) b) other administrative expenses (29,303) (33,627) 160. Other operating income and expenses 35,698 40,232 PROFIT (LOSS) FROM CURRENT OPERATIONS 1,149 1,722 PROFIT (LOSS) BEFORE TAX FROM CONTINUING OPERATIONS 1,149 1, Taxes on income from continuing operations (1,149) (1,722) PROFIT (LOSS) AFTER TAX FROM CONTINUING OPERATIONS 0 0 PROFIT (LOSS) FOR THE YEAR 0 0

12 Statement of comprehensive income 12 Items Profit (Loss) for the year Other income components after tax 120. Total income - -

13 13 Statement of Changes in Equity STATEMENT OF CHANGES IN EQUITY Balance at 31/12/2009 Changes in opening Balance at 1/1/2010 Allocation of profit from previous year Changes during the FY Reserves Dividends Changes in Operations on shareholders' equity Issue of new shares Purchase of treasury shares Distribution of extraordinary dividends Changes in equity instrument s Other changes Total income 2010 FY Shareholders' equity as at 31/12/10 Share capital 10,000 10,000 10,000 Share premiums Reserves: a) retained earnings b) other Valuation reserves Equity instruments Treasury shares Profit (Loss) for the year Shareholders equity 15, ,173 16,173 (16,173) ,173-26, ,173 15, STATEMENT OF CHANGES IN EQUITY Allocation of profits Changes during the FY Reserves Dividends Changes in Operations on shareholders' equity Balance at 31/12/2008 Changes in opening balance Balance at 1/1/2009 Issue of new shares Purchase of treasury shares Distribution of extraordinary dividends Changes in equity instrument s Other changes Total income 2009 FY Shareholders' equity as at 31/12/09 Share capital 10,000 10,000 Share premium Reserves: a) retained earnings Valuation reserves Equity instruments Treasury shares Profit (Loss) for the year Shareholders equity 15, ,173 16,173 (16,173) ,173-26, ,173 15,

14 Cash-flow statement Direct method A. OPERATING ACTIVITIES Management - (1,458) - interest income collected (+) interest expense paid (-) - dividends and other revenue (+) - net fee and commission income (+/-) - personnel costs (-) (5,296) (4,989) - other costs (-) (29,303) (33,560) - other revenues (+) 35,698 38,781 - taxes (-) - costs/revenues after tax from discontinued operations (+/-) (1,149) (1,796) 2. Cash flow generated from/used in financial assets 13,777 5,853 - financial assets held for trading - financial assets designated at fair value - financial assets available for sale - due from banks - due from financial institutions - loans to customers - other assets 13,777 5, Cash flow generated from/used in financial liabilities (4,392) - due to banks - due to financial institutions - due to customers - securities issued - financial liabilities held for trading - financial liabilities designated at fair value - other liabilities (13,835) (4,392) NET CASH FLOW GENERATED FROM/USED IN OPERATING ACTIVITIES (58) 3 B. INVESTING ACTIVITIES Cash flow generated from - sale of investments - dividends from investments - sale/redemption of financial assets held to maturity - sale of tangible assets - sale of intangible assets - sale of business units 2. Cash flow used in - purchase of investments - purchase of financial assets held to maturity - purchase of tangible assets - purchase of intangible assets - purchases of business units NET CASH FLOW GENERATED FROM/USED IN INVESTING ACTIVITIES C. FUNDING ACTIVITIES - issue/repurchase of treasury shares - issue/repurchase of equity instruments - dividend distribution and other purposes NET CASH FLOW GENERATED FROM/USED IN FINANCING ACTIVITIES NET CASH FLOW GENERATED /USED DURING THE FINANCIAL YEAR (58) 3

15 15 Reconciliation Cash and cash equivalents at the beginning of the financial year 9,991 9,988 Total net cash flow generated from/used during the financial year (58) 3 Cash and cash equivalents at the end of the financial year 9,933 9,991

16 Notes to the Financial Statements 16 The Company s activity The Company, established pursuant to Italian Law no. 130/99, works exclusively in the sector of loan securitisation and its exclusive purpose is the purchase for a valuable consideration of present and future financial loans, financed by resorting to the issue of mortgage backed securities. Form and content of the Notes to the financial statements These notes to the financial statements are broken down in the following four parts: Part A Accounting policies Part B Information on the Statement of Financial Position Part C Information on the income statement Part D Other information Each part of the Notes to the financial statements is divided into sections that explain every aspect of business management; the sections contain qualitative and quantitative information. As a rule, quantitative information consists of items and tables. The tables were drawn up according to the formats specified in the provisions in force, even when value is given to only some of the items they contain. The notes to the financial statements are prepared in EUR. Part A Accounting policies A.1 - General Part Section 1 Statement of compliance with International Financial Reporting Standards The Financial Statements of Italfinance RMBS S.r.l. have been drawn up in compliance with the accounting standards issued by the International Accounting Standards Board (IASB) and the relevant interpretations of the International Financial Reporting Interpretation Committee (IFRIC) and approved by the European Commission, as established by Community Regulation no of 19 July 2002 and are in compliance with the Instructions for drafting the Financial Statements of financial brokers enrolled in the special list of the Bank of Italy of 16 December 2009 that regulated its annual accounts. The financial statements as at 31 December 2010 have been prepared in accordance with the financial statement reporting and Notes to the financial statements issued with the Measure of the Governor of the Bank of Italy on 16 December The IAS/IFRS have been applied also with reference to the Framework for the preparation and presentation of the financial statements (the so-called framework), with a special reference to the

17 17 essential principle of substance over form as well as to the concept of relevance and significance of information. Section 2 Basis of accounting These financial statements are expressed in EUR and consist of the Statement of Financial Position, Income Statement, Statement of comprehensive income, Cash-flow statement, Statement of Changes in Shareholders' Equity, Notes to the financial statements and accompanied by the directors' report on operations. The Assets and liabilities are recognised in the Notes to the financial statements according to the administrative provisions issued by the Bank of Italy in application of Article 9 of Italian Legislative Decree No. 38/2005, in compliance with the international accounting standards. This approach is also in line with the provisions of Law No. 130/99, according to which loans relevant to each transaction are considered as separate assets for all practical purposes from that of the company. In pursuance of what is provided on this matter by the Bank of Italy, the accounting information as well as quality and quantity data relevant to the securitisation are shown in a special "Enclosure" to the Notes to the financial statements. In order to provide a complete overview, it is worth mentioning that the accounting treatment - according to the international accounting standards - of financial assets and/or group of assets and liabilities generated by securitisations in accordance with the international accounting standards is still currently being reviewed by the bodies responsible for international financial reporting standards interpretation. These financial statements, in accordance with the IAS/IFRS Framework, have been drawn up in compliance with the following quality characteristics: comprehensibility significance reliability comparability In particular, they give a clear, true and fair view of the statement of financial position of the company, annual results, as well as cash flows in accordance with the principle of economic substance of events and transactions over form. The recording of the asset and liability components was carried out based on the matching concept. The sole director has considered appropriate the principle of going concern since in his opinion no uncertainties related to events or circumstances which, taken individually or together, can give rise to doubts regarding the going concern. Section 3 Subsequent events There are no facts or events subsequent to the end of the reporting period that require a special mentioning. Section 4 Other aspects There are no other aspects to be reported.

18 A.2 - Main items in the financial statements 18 The accounting principles used for preparing the financial statements are stated below. STATEMENT OF FINANCIAL POSITION ASSETS Section 6 Loans Recognition criteria These assets are stated at the time of issue or purchase and are recorded initially at fair value (amount issued) adjusted by any transaction cost and revenue. Classification criteria Loans include cash loans (whatever their contractual form and including working capital loans) to banks and customers. Other assets include the amounts that cannot be referred to other asset items. Measurement bases Since these are short-term receivables and other assets, the amortised cost method is not used in that the discounting-back effect is believed to be negligible; therefore, they are subject to the historical cost principle. Derecognition criteria Receivables and other assets sold to third parties are cancelled from the financial statements to the extent that their risks and benefits, as well as the rights to receive cash flows, are transferred from the transferor to the transferee. Recognition criteria of income components Interests are recorded according to the relevant internal rate of return and are recognised in number 10 of the income statement, "Interest receivable and similar income". Section 12 - Tax assets and liabilities Current and deferred income taxes are calculated in accordance with tax legislation. Income taxes are recorded in the income statement with the exception of those relating to items that are directly debited or credited to shareholders' equity. Income tax provisions are calculated based on a prudent estimate of the current tax expense, deferred tax assets and deferred tax liabilities. In particular, deferred tax assets and deferred tax liabilities are calculated based on the timing differences between the book value of an asset or of a liability and its value for tax purposes. Deferred tax assets are recognised in the financial statements to the extent that the probability of their future recovery exists, measured on the basis of the Company's ability to generate consistently positive taxable income in future years. Deferred tax assets and deferred tax liabilities are recognised in financial terms with open balances and without offsetting, by including the former in the item Tax assets and the latter in the item Tax liabilities.

19 Section 14 Other assets The item includes loans that cannot be included in other Asset items. These items are recorded at nominal value or realisable value, whichever is smaller. 19 LIABILITIES Section 9 Other liabilities The item includes payables that cannot be included in other liability items, trade payables or payables to separate assets, in particular. These items are recorded at nominal value representative of the discharge value. INCOME STATEMENT Revenues Revenues are recorded according to the maturing concept and are recognised to the extent that it is possible to determine reliably their value (fair value) and it is likely that their economic benefits will be enjoyed. Costs Costs are recorded according to the maturing concept. A.3 - DISCLOSURE OF FAIR VALUE Considering the Company's activity and the items forming its equity, this part of the Notes to the financial statements does not apply.

20 20 Part B Information on the Statement of financial position ASSETS Section 6 - Loans Item 60 Breakdown Deposits and current accounts 9,933 9, Loans 2.1 Repurchase agreements 2.2 Financial lease 2.3 Factoring - with recourse - without recourse 2.4 Other loans 3. Debt securities - structured securities - other debt securities 4. Other assets Total book value 9,933 9,991 Total fair value 9,933 9,991 Due from banks consists of the positive balance of current account no. 00/ with Cassa Centrale Banca. Section 12 - Tax assets and liabilities 12.1 Breakdown of item 120 "Tax assets: current and prepaid Current tax assets 8,300 10,142 - Receivables from tax authorities for Ires (Italian corporate income tax) revenue - Receivables from tax authorities for Irap (regional company tax) revenue 8,300 10, Prepaid tax assets 6,952 6,259 - Ires - prepaid taxes 6,952 6,259 - Irap - prepaid taxes - - Current assets refer to tax receivables for Ires advances paid during the financial year.

21 Prepaid tax assets represent prepaid Ires tax credits. 21 The balance as at 31 December 2010 consists of loans that were generated as a result of temporary differences, in this case the Director's fee, the remuneration to the Auditing Firm and the remuneration for administrative services in favour of Wilmington Trust, whose tax deductibility is postponed to the financial year in which the payment is made and to the financial year in which the service is completed, respectively Breakdown of item 70 Tax liabilities: current and prepaid Current tax liabilities - - Ires- Current tax liabilities Changes in prepaid taxes (as a balancing entry in the income statement) Opening balance 6,259 4, Increases 6,952 6, Pre-paid taxes recorded during the year 6,952 6,259 a) relating to previous financial years b) due to changes in accounting policies c) recoveries d) other 6,952 6, New taxes or increases in tax rates 2.3 Other increases 3. Decreases 6,259 4, Pre-paid taxes cancelled during the year 6,259 4,887 a) reversals b) write-downs of unrecoverable amounts e) due to changes in accounting policies d) other 6,259 4, Reduction in tax rates 3.3 Other decreases 4. Closing balance 6,952 6,259

22 22 Section 14 Other assets - Item Breakdown of item 140, Other assets Breakdown Receivables from securitised portfolio 25,539 37,468 - Receivable from tax authorities for taxes withheld on interests income VAT account revenue Other - - Total other assets 25,573 38,201 Receivables from securitised portfolio refer to the contribution of separate assets to the covering of the costs borne during the financial year by the company management. LIABILITIES Section 9 Other liabilities Item Breakdown of item 90 Other Liabilities Breakdown Trade payables for invoices to be received 22,906 36,837 - Trade payables 1,583 1,583 - Due to Auditors Tax payables Other - - Total other liabilities 24,585 38,420 Trade payables for invoices to be received mainly consists of the remuneration of the Auditing firm for the work on the Financial Statements as at 31 December Trade payables refers to invoices recorded and yet unpaid with regard to Reporting Srl of EUR 1,551 and Sia-SSB Spa of EUR 32.

23 Section 12 Shareholders' equity Item 120 and Breakdown of item 120, Share Capital Type Amount 1. Share capital 10, Ordinary shares 1.2 Shares 10,000 The shareholder, Stichting Rosso, a Dutch foundation, based in Amsterdam, Holland, Claude Debussylaan 24 holds 100% of the fully paid-up share capital of EUR 10, OTHER INFORMATION: a) Breakdown and changes in item 160 Reserves Reserves 16,173 16,173 Legal reserve Retained earnings 15,365 15,365 The table of the possibility of distribution of reserves is set below: Type/description Amount Share capital Possible utilisation Available portion Summary in the years To cover losses of uses three previous For other reasons Reserves: Legal reserve 809 B 809 Retained earnings A, B, C Total Non distributable share Remaining distributable amount Legend: A: to increase share capital

24 B: to cover losses C: to be distributed to shareholders Part C Information on the Income Statement 24 Section 1 Interest Items 10 and Breakdown of item 10, Interest and similar income Items/Technical forms Debt securities Loans Other transactions Total 2010 Total Financial assets held for trading 2 - Financial assets designated at fair value 3 - Financial assets available for sale 4 - Financial assets held to maturity 5. Receivables 5.1 Due from banks Due from financial institutions 5.3 Loans to customers 6. Other assets 7. Hedging derivatives Total The item consists of interest income accrued on the bank c/a.

25 25 Section 9 - Administrative expenses Item Breakdown of item 110.a Personnel costs Item/Segment Employees a) wages and salaries b) social-security contributions c) employee termination indemnities d) pension expenses e) provision to employee termination indemnities f) provision to pension fund and similar commitments: - defined contribution - defined benefit plans g) payments to external supplementary pension schemes: - defined contribution - defined benefit plans h) other expenses 2) Other personnel in service 3. Directors and statutory auditors (5,296) (4,989) 4. Retired personnel 5. Expense refunds for employees seconded to other companies 6. Charge-back of expense for employees seconded to the company Total (5,296) (4,989) 9.2 Average number of employees by category The company has no employees.

26 Breakdown of item 110.b, Other administrative expenses Administrative services (3,000) (8,077) - Independent auditors fees (22,679) (20,160) - CCIAA duties (200) (200) - Stamp duty (74) (74) - Authentication duty of company books (310) (310) - Costs for translations (1,200) (1,722) - Others costs of services (2) (6) - Legal and notorial expenses (1,838) (3,078) (29,303) (33,627) Section 14 Other operating income and costs Item Breakdown of item 160, Other operating income and costs Revenues from portfolio cost recharging 35,726 38,781 - Extraordinary income 5,850 - Late payment penalties for withholding taxes (7) - Extraordinary expenditure (28) (4,392) 35,698 40,232 Extraordinary expenditure refers to the greater value of bank charges recognised in Revenues from portfolio cost recharging consists of the income related to the recharging of operating costs of the company to the securitised portfolio.

27 27 Section 17 Taxes on income from continuing operations Item Breakdown of item 190, Taxes on income from continuing operations Current taxes (1,842) (3,094) 2. Changes in current taxes of prior periods 3. Reduction in current taxes for the period 4. Change in deferred tax assets 693 1, Change in deferred tax liabilities Taxes for the year (1,149) (1,722) 17.2 Reconciliation between theoretical tax expense and actual tax expense: Theoretical IRES Gross profit Theoretical rate 27.5% 316 INCREASES Director's Fee for the year Remuneration to the Auditing Firm for the year 2010 Penalty for reformation 28 Extraordinary expenditure Wilmington Trust Services DECREASES Extraordinary income Remuneration to the Auditing Firm for the year 2009 Director's Fee for the year 2009 paid in Company income tax (IRES) 6,696 Rate 27.5% Effective Corporate income tax 1,842 (IRES)

28 28 Regional tax on productive activities (IRAP) VALUE OF PRODUCTION FROM FINANCIAL STATEMENTS -26,372 INCREASES 3,000 Wilmington Trust Services DECREASES 0 No decreases to report VALUE OF GROSS PRODUCTION -23.,23 Further deduction 0 VALUE OF NET PRODUCTION 0 IRAP TAXABLE INCOME 0 IRAP 3.40% 0

29 29 Part D Other information Section 1 Specific information on the activities carried out F. SECURITISATION Information on the securitisation Information on the securitisation existing as at 31 December 2010 is briefly shown below. Amount of loans purchased on 3 November 2008: Type Nominal value Sales value Residual Capital Accrued interest 484,098,784 1,697, ,098,784 1,697,456 Total 485,796, ,796,240 Amount of securities on 14 November 2008: Issued security classes Amount of issued Senior Notes - Class A 441,550,000 Junior Notes - Class B 44,246,240 Total On 26 July 2010, on the occasion of IPD, the Class A notes were redeemed for an amount equal to EUR 121,450,951: Issued security Amount of securities classes Senior Notes Class A 320,099,049 Junior Notes - Class B 44,246,240 Total 364,345,289 Measurement bases used when preparing the Summary Sheet Below are the measurement bases adopted for the most relevant items. 1 - Securitised assets - loans Loans were recorded at the transfer value decreased as necessary to adjust it to the estimated realisable value on the basis of the information provided by the Servicer. 2 - Use of cash deriving from loan management They are expressed at their notional value increased by the portion of accrued interests. 3 - Liabilities Liabilities are recorded at nominal value.

30 30 Accruals and deferrals are determined on an accrual basis to define revenues and costs that are actually recognised during the financial year. 4 - Interest, commission, income and charges Costs and revenues relating to securitised assets and to securities issued, interests, commissions, income, other expenses and revenues, were recognised on a matching basis. 5 - Derivative contracts The spread on Interest Rate Swap contracts, entered into in order to hedge the risk of fluctuating interest rates, is recorded under income/expenses on a matching basis. F.1 - Summary sheet of securitised assets and of securities issued Balance as at 31/12/2010 Balance as at 31/12/2009 Securitised assets 323,543, ,463,238 A.1 Receivables 322,187, ,716,491 A.2 Securities A.3 Accrued income on securitised assets 1,355,914 1,746,747 Use of cash deriving from loan management B.3 Other 60,907, ,873,517 a) Due from banks 56,174, ,518,793 b) Receivable from tax authorities for taxes withheld on interests income 4,237 3,056 c) Accrued income 1,516,335 1,927,531 d) Reserve fund 3,210,183 1,424,137 e) Prepaid expenses 2,085 Securities issued 364,345, ,796,240 C.1 Class A securities 320,099, ,550,000 C.2 Class B securities 44,246, Loans received 8,016,405 8,016,405 D. 1 Loans to subordinates 8,016, Other liabilities 12,088,924 13,524,110 a) Tax payables ,864 25,539 9,018,142 2,611,138 f) Other due to banks 335, ,425 g) Other liabilities 484

31 31 The overall result of the transaction is shown in the assets of the statement of financial position and is represented by a loan of the transaction towards the originator. Balance as at 31/12/2010 Balance as at 31/12/2009 Interest expense on securities issued 6,800,353 17,455,195 Commission and fees incurred by the transaction 175, ,778 G. 1 Servicing A/c 64,894 54,626 - G.3 Corporate Servicing Fee 21,946 22,981 G.4 Rating fee 316 1,800 G.5 Swap Counterparty fee - - G.6 Representative of noteholder 6,000 5,975 G.7 Italian paying agent fee 2,400 9,531 G.8 Principal paying agent & agent bank 2,400 2,390 G.9 Account bank fee 68,400 57,500 G.10 Cash Management fee 9,000 2,975 H. 1 Other charges Expenses for portfolio 35,726 15,762,612 85,492 1,737,212 10,097 17,631,139 38,781 22,926,375 Interest generated by securitised assets Other revenues 19,007,488 24,436,766 3,813,314 15,853,368 4, ,036 3,447,983 L.4 Other revenues 4

32 QUALITATIVE DISCLOSURE 32 F.2 Description of the transaction and its performance. At the time of preparing these financial statements, Italfinance RMBS S.r.l. carried out a single securitisation transaction pursuant to Law 130/99. The salient features of the operation are described below. On 3 November 2008, Italfinance RMBS S.r.l. acquired without recourse a loan portfolio from Banca Italease S.p.A, a bank established and working with the legal status of a public limited company, with registered office in via Sile n. 18, Milan, V.C. and registered at the Companies Registry of Milan no , enrolled in the register of Banks kept by the Bank of Italy with number pursuant to Article 13 of Italian Decree Law of 1 September 1993 no. 385 as amended and supplemented later. The portfolio consists of financial loans, classified as performing in compliance with the supervisory regulations in force, deriving from mortgage loan agreements backed by voluntary legal first mortgage on residential real estates, originally issued by Banca Italease. The initial price paid was EUR 485,796,240 (nominal value), determined on the basis of residual capital and accrued interest of each loan on the date of valuation. As at 31 December 2010, the loan portfolio, net of the relevant Bad Debt Provision, amounts to EUR 322,187,620 net of the amount of accrued interest on portfolios amounting to 1,355,914. We report that as at 31 December 2010, there are delinquent status receivables (past-due and/or exceeding exposures) of EUR 473,868; and, on that date, default status receivables (doubtful loans - watchlist loans) of EUR 1,909,767. The transaction was carried out lawfully during the year In particular, the collections carried out until 31 December 2010 amounted to EUR 96,189,490 and were in line with the forecasts.

33 F.3 Subjects involved 33 The main subjects involved in the above mentioned securitisation are listed below: Originator and Servicer Operating Bank and Back-up Servicer Representative of the Holders of the Notes Irish Listing Agent Transaction Bank and Italian Paying Agent Principal Paying Agent, Agent Bank, Computation Agent, Cash Manager Custodian for Class A B Securities Accounting auditor Corporate Servicer Rating Agency Swap Counterparty Banca Italease S.pA. Cassa Centrale Banca Credito Cooperativo del Nord Est S.p.A. Deutsche Trustee Company Limited Deutsche Bank Luxembourg S.A. Deutsche Bank S.p.A. Deutsche Bank AG, London Branch Montetitoli S.p.A. Deloitte & Touche S.p.A. Accounting Partners Srl Moody s Investors Service JPMorgan Chase Bank The management of all the administrative and accounting aspects, the activities concerning the Supervisory Reports and Tax-Records Office are entrusted to Accounting Partners Srl. All accounting duties related to the securitised portfolio are carried out by the Servicer whereas the central credit register, reports related to the anti-money laundering regulations and PEC management (certified electronic mail) is entrusted to the Operating Bank Cassa Centrale Banca Credito Cooperativo del Nord Est S.p.A.. The flows arising from the collections of the securitised portfolio of Italfinance RMBS S.r.l. are credited on a current account called Collection Account. Under the Cash Administration and Agency Agreement, they are used by the Deutsche Bank AG - London Branch - only in eligible investments. The payments are carried out twice a year on 26 January and 26 July.

34 F.4 Features of the issues 34 The securities issued by Italfinance RMBS S.r.l. are represented by limited recourse bonds. The redemption of securities issued, in interest and principal, is assured only by the collections arising from the loan portfolio. The collections arising from credit management are fixed for the benefit of the bondholders according to what is established by Law no. 130/99. The securities issued are at a variable rate and half-yearly coupons are paid to bondholders on 26 January and 26 July each year. To finance the purchase of the loan portfolio, Italfinance RMBS S.r.l. issued on 14 November 2008 the following securities in EUR, of which classes A and B, in EUR. Class Nominal value Interest rate Maturity A Senior 441,550,000 Euribor 6M % July 2049 B - Junior 44,246,240 Euribor 6M % July 2049 Total 485,796,240 Class A securities are listed on the Irish Stock Exchange; class B securities are not listed on any market. The payment of interests on securities is based on the available funds to coincide with the dates of payment in the following order of priorities indicated in the Offering Circular: point (v) class A securities interests point (ix) class B securities interests The redemption of securities is based on the available funds to coincide with the dates of payment in the following order of priorities indicated in the Offering Circular: point (vii) class A securities capital point (xiii) class B securities capital The rating provided by Moody s Investors Service Limited to class A securities is Aaa Class B securities are unrated. The rating reflects the judgement on the likelihood of repayment of principal and interest due to their holders by the end of the transaction; in making their own valuations, the rating agency adopted the method of assessing the quality of the portfolio. The rating is reviewed annually. The ECB, with notification of 20 November 2009, announced some changes to the eligibility requirements of the securities issued within the securitisations (ABS securities ) for their use in monetary policy operations. Pursuant to this notification, as from 1 March 2011 all the ABS Securities must receive a rating by at least two rating agencies to be used as collateral. Moreover, as regards the minimum level of rating, pursuant to the notification of the ECB of 20 January 2009, the rating assigned to the securities upon issuing must be "AAA" (triple-a), whereas

35 35 during the transaction the securities must keep a level of rating equal to "single A" (or "A-" for Fitch and S&P, and "A3" for Moody s). As regards the level of the second rating that must be assigned to the securities to observe the eligibility requirements, it was clarified later that for such transactions the minimum level required for the second rating is "single A". In this regard, the second rating was assigned to the Transaction and, to this end, the involvement of Standard and Poor's Rating Services ("S&P") is expected as an additional rating agency. With a view to finalising the process of assigning the second rating to the Transaction, the S&P can request some amendments, even of a substantial nature, to the existing contractual documents, which, if requested by the representative of the holders of Securities, will be approved in writing by means of a written resolution of Banca Italease.

36 F.5 Collateral financial transactions 36 On the basis of the Interest Rate Swap Transaction signed by and between Italfinance RMBS S.r.l. and JPMorgan Chase Bank, N.A., on 12 November 2008, the special purpose vehicle entered into three derivative contracts (Flexible Interest Rate Swap, Floating Interest Rate Swap and Cap Amortising Interest Rate Swap) thus hedging itself from the rate risk arising from the mismatching between the outflows on loans purchased and outflows related to the interest paid on the issued Notes. As at 31 December 2010, the notional values on which the exchange flows are calculated between the vehicle and the la swap counterparty are equal to Euro 374,265,180 broken down as follows: Notional (in EUR) CAP ,904,449 FLEXI ,050,068 FLOAT ,310,664 The Originator, due to its substantial interest in the carrying out of the Securitisation, granted to Italfinance RMBS S.r.l., a Loan with limited recourse of EUR 8,016,405 of which: - EUR 7,773,000 was used for forming a Cash Reserve in order to allow the Company to face up to any momentary liquidity shortages that do not allow the full and timely fulfilment by the Company of its payment obligations, - Euro 243,405 was used for cash on the expense account for the payment of the upfront costs of the transaction. Interests accrue on the amount borrowed at an annual rate equal to the Euribor six months, payable at each payment date. The amount borrowed will be repaid to the Lender, under the terms and conditions of the contracts of the transaction, subject to the availability of cash and in accordance with the order of priority of payments. The obligations undertaken by the Company pursuant to the limited-recourse loan agreement are actually subordinated bonds and with limited recourse.