Grand Theft Auto III/Portland Import-Export Garage
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The Securicar is a VERY rare vehicle spawn, and can be annoying to find. If you want to complete the industrial district Import/Export list your safest bet is to get one during a mission as waiting for it to drive by is annoying.
To keep it you'll need to put it in your garage and destroy it. This will fail the mission, but you'll keep the Securicar.
The one mission where you can keep it without failing or blowing it up is 'Decoy' (Donald Love).