cr firenze mutui s.r.l. euro 512.8 million residential mortgage backed securities november 2002

CR FIRENZE MUTUI S.r.l. Euro 512.8 million Residential Mortgage Backed Securities November 2002

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

3 Section 1 Executive summary

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.

5 Section 2 Transaction overview

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.

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

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)

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]%

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%)

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

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

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

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

15 Section 3 Carifirenze overview

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

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

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

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

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

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

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%

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

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%

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

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

27 Section 4 The Portfolio and the eligibility criteria

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

29 Portfolio description BREAKDOWN BY OUTSTANDING PRINCIPAL BREAKDOWN BY ORIGINAL LOAN AMOUNT

30 Portfolio description BREAKDOWN BY CURRENT LOAN TO VALUE BREAKDOWN BY ORIGINAL LOAN TO VALUE (*) (*) Calculated on the Original Loan Amount

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%

32 Portfolio description SCHEDULED AMORTISATION PROFILE (1) years (1) Assuming no prepayments, delinquencies and defaults

33 Portfolio description BREAKDOWN BY YEAR OF ORIGINATION BREAKDOWN BY SEASONING years

34 Portfolio description BREAKDOWN BY ORIGINAL TERM BREAKDOWN BY RESIDUAL LIFE years

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)

36 Top twenty debtors TOP FIRST 20 CLIENTS BY OUTSTANDING PRINCIPAL

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;

38 Section 5 Investor considerations

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

40 Updated information online www.absmaster.bnpparibas.com www.securitisation-services.com

41 Section 6 Annex

42 Annex Portfolio description

43 Portfolio description BREAKDOWN BY OUTSTANDING PRINCIPAL BREAKDOWN BY ORIGINAL LOAN AMOUNT

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

45 Annex Historical performances

46 Historical performances DEFAULT AND LOSS EXPERIENCE

47 Historical performances STATIC POOL ANALYSIS: OUTSTANDING AT DEFAULT DATE O.B. = Outstanding Balance

48 Historical performances STATIC POOL ANALYSIS: TOTAL RECOVERIES O.P. = Outstanding Principal

49 Historical performances PREPAYMENTS ANALYSIS

50 Annex Perseo Finance recoveries performances

51 Perseo Finance recoveries performances

52 Perseo Finance recoveries performances QUARTERLY CUMULATED RECOVERIES Source: www.securitisation-services.com

53 Annex The Italian housing market

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)

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

56 Annex The Italian residential mortgage market

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

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

59 Contact List

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

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 jurisdiction. This memorandum is being supplied to you solely in your capacity as a professional, institutional investor for your information and may not be reproduced, redistributed or passed on to any other person or published, in whole or in part, for any purpose, without the prior written consent of the Managers of the Notes. The information in this confidential memorandum is preliminary, limited in nature and subject to completion and amendment, and will be superseded by the final prospectus. All opinions and estimates included in this memorandum speak as of the date of this memorandum and are subject to change without notice. This memorandum addresses only certain aspects of the applicable securities characteristics and thus does not provided a complete assessment: as such it may not reflect the impact of all structural characteristics of the securities. This memorandum is not intended to be an offering memorandum and any investment decision with respect to the securities should be made by you solely upon all of the information contained in the final prospectus. The information in this document is subject to change without notice, its accuracy is not guaranteed, and it may be incomplete and is condensed. A final prospectus may be obtained by contacting your usual representative at the Managers. The Managers may provide investment banking services (including without limitation corporate finance services) for the companies mentioned in this memorandum and may from time to time participate or invest in commercial banking transactions (including without limitation loans) with the companies mentioned in this memorandum. Accordingly, information may be available to the Managers which is not reflected in this memorandum. The Managers may make a market in the securities described in this memorandum. Accordingly, the Managers may actively trade these securities for its own account and those of its customers and, at any time, may have a long or short position in these securities or derivatives related hereto. The Managers are not tax advisors. The tax implications of an investment in the securities must be verified by independent tax counsel before proceeding with any such investment. For UK investors only: this memorandum has been approved for distribution in the UK by the Managers, which are regulated by the SFA. It has not been approved for distribution, nor are the securities described herein available, in the UK to private investors as defined by the SFA. For Italian investors only: This memorandum is for distribution in Italy only to persons who qualify as qualified dealers or professional investors as defined in Article 100 of Legislative Decree No. 58 of 24 February 1998 and in Article 31, paragraph 2 of CONSOB Resolution No. 11522 of 1 July 1998 as amended.

62 Disclaimer BNP Paribas is incorporated in France with Limited Liability, Registered Office 16 boulevard des Italiens, 75009 Paris BNP Paribas is regulated by the FSA for the conduct of its designated investment business in the UK and is a member of the London Stock Exchange. BNP Paribas London Branch is registered in England and Wales under No. FC 13447. Registered office: 10Harewood Avenue, London NW1 6AA Tel: +44 (0) 20 7595 2000 www.bnpparibas.comwww.bnpparibas.com THE PUBLICATION IS NOT INTENDED FOR PRIVATE CUSTOMERS AS DEFINED IN THE FSA RULES AND SHOULD NOT BE PASSED ON TO ANY SUCH PERSON The material in this report was produced by BNP Paribas Group Company and Banca IMI S.p.A.. It will have been approved for publication and distribution in the United Kingdom by BNP Paribas London Branch, a branch of BNP Paribas SA whose head office in Paris, France. BNP Paribas is regulated by the Financial Services Authority (FSA) for the conduct of its designated investment business in the United Kingdom and is a member of the London Stock Exchange. BNP Paribas Securities Corporation in the United States accepts responsibility for the contents of this report in circumstances where the report has been distributed by BNP Paribas Securities Corporation direct to U.S. recipients. The information and opinions contained in this report have been obtained both from public sources believed to be reliable. No representation of warranty, express or implied is made with such information is accurate or complete and it should not be relied upon as such. Information and opinions contained in the report are published for the assistance of the recipients, but are not be relied upon as authoritative or taken in substitution for the exercise of judgement by any recipient, and are subject to change without notice. This report is not, and should not be constructed as, an offer document or an offer or solicitation to buy or sell any investments. Any reference to past performance should not be taken as an indication of future performance. No BNP Paribas Group Company accepts any liability whatsoever for any direct of consequential loss arising from any use of material contained in this report. This report is confidential is submitted to selected recipients only. It may not be reproduced (in whole or in part) to any other person. A BNP Paribas Group Company and/or persons connected with it may effect or have affected a transaction for their own account in the investment referred to in the material contained in this report or in any related investment before the material is published to any BNP Paribas Group Companys customers. On the date of this report a BNP Paribas Group Company, persons connected with it and their respective directors and/or representative and/or employees may have a long or short position in any of the investment mentioned in this report and may purchase and/or sell the investments at any time in the open market or otherwise, in each case either as principal or as agent. Additionally, a BNP Paribas Group Company within the previous twelve months may have acted as an investment banker or may have provided significant advice or investment services to the companies or in relation to the investment(s) mentioned in this report. This report is prepared for professional investors and is not intended for Private Customers in the United Kingdom as defined in FSA rules and should not be passed on to any such persons. For the purpose of distribution in the United States this report is only intended for persons which can be defined as Major Institutional Investors under U.S. regulations. Any US person receiving this report and wishing to effect a transaction in any security discussed herein, must do so through a U.S. registered broker dealer. BNP Paribas Securities Corporation is a U.S. registered broker dealer. By accepting this document you agree to be bound by the foregoing limitations. BNP Paribas (2002). All rights reserved.

cr firenze mutui s.r.l. euro 512.8 million residential mortgage backed securities november 2002

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