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Announcement:

Moody's: Ratings on consumer loan transactions backed by European asset pools unaffected following performance review

Global Credit Research - 07 Mar 2011

Paris, March 07, 2011 -- Moody's Investors Service has today reviewed the performance of all 15 consumer loan transactions backed by pool of assets in Italy, Germany, Netherlands, France and United Kingdom. The rating agency does not expect rating changes related to pool performance for these transactions in 2011, as all the transactions reviewed are performing in line with expectations. For a full list of these consumer loan transactions, please see below.

As part of its review, Moody's focused on: i) comparing asset performance with the latest expectations, as measured by the default performance indicator (DPI); ii) delinquency rates, as a dynamic measure of performance used to project future defaults; and iii) comparing credit enhancement levels with future expected defaults or losses.

The DPI ratio calculated indicates that the performance of each of the 15 consumer loans transactions reviewed is in line with the rating agency's performance expectations. The DPI compares the actual performance of the transaction's collateral against Moody's assumed expected cumulative default rate. The DPI also assumes that defaults are linearly distributed over time. Among the 15 transactions reviewed, 14 transactions (which represent 99% of the current total pool balance), show a DPI below 100%. The remaining transaction has a DPI of 104%. Notes outstanding in this transaction benefit from high credit enhancement.

Over the past 12 months, most of the transactions have shown improving arrears trends and levels. Indeed, the 90-180+ day index declining to 0.78% from 0.85% between October 2009 and October 2010. Moody's regularly published index for consumer loans also demonstrates this evolution in performance (see EMEA Consumer Loan ABS Indices - October 2010).

In addition to the collateral performance measure, Moody's also monitors the evolution of structural protection. Increases in credit enhancement may compensate for poor asset performance, in particular on senior notes. Of the 15 transactions reviewed, 13 transactions (which represent 72% of the current pool balance), have a higher credit enhancement since closing. The credit enhancement of the two remaining transactions has been stable since closing. In addition, nine transactions benefit from a fully funded reserve fund while four benefit from a liquidity facility. One transaction (24-7 Finance S.r.l. - CQS) faces a fully depleted reserve fund due to negative carry, which was factored into Moody's modelling at closing. For this transaction, no default has occurred since closing, given the specificities of the assets securitised (cessione del quinto). FCT Red & Black Consumer 2008-1 has had no reserve fund or liquidity facility since closing, which was taken into account when Moody's initially rated the deal; moreover, the parent company of the servicer is Societe Generale rated Aa2.

In a move unrelated to collateral performance, Moody's placed the senior ratings of four of the transactions (marked with a * below) on review for possible downgrade on March 2, 2011. The rating action followed Moody's initial assessment of these transactions under the methodology report entitled "Global Structured Finance Operational Risk Guidelines: Moody's Approach to Analyzing Performance Disruption Risk", published on 2 March. For more details please see the press release published on 2 March, "Moody's reviews ratings of European structured finance transactions following new operational risks criteria" http://www.moodys.com/viewresearchdoc.aspx?lang=en&cy=global&docid=PR_213568.

Moody's principal methodology used in monitoring and rating these transactions is described in the Rating Methodology report for EMEA ABS: "The Lognormal Method Applied to ABS Analysis", published in July 2000, which can be found at www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website.

Consumer Loan Transactions Reviewed:

24-7 Finance S.r.l. - CQS

Apulia Finance 5 Cessioni S.r.l.*

Banca 24-7 - Unsecured Consumer Loans

Chagoi 2010 B.V.

Compagnia Finanziaria 1 S.r.l. -- 2007

CONSUMER UNSECURED REPERFORMING LOANS (CURL) PLC

Ducato Consumer S.r.l.

FCT Red & Black Consumer 2008-1

Golden Bar (Securitisation) S.r.l.*

Jump S.r.l.*

Paragon Personal and Auto Finance (No. 3) PLC

PB Consumer 2008-1 GmbH

PB Consumer 2009-1 GmbH

SC Germany Consumer 08-1 Limited

SC Germany Consumer 09-1 Limited*

(* - senior ratings placed on review for possible downgrade due the new Operational Risk Guidelines).

************************************************************************

NOTE TO JOURNALISTS ONLY: For more information, please call one of our global press information hotlines: New York +1-212-553-0376, London +44-20-7772-5456, Tokyo +813-5408-4110, Hong Kong +852-3758-1350, Sydney +61-2-9270-8141, Mexico City 001-888-779-5833, São Paulo 0800-891-2518, or Buenos Aires 0800-666-3506. You can also email us at mediarelations@moodys.com or visit our web site at www.moodys.com.

Paris
Caroline Pichon
Associate Analyst
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Paris
Annick Poulain
MD - Structured Finance
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's France SAS
96 Boulevard Haussmann
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JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's: Ratings on consumer loan transactions backed by European asset pools unaffected following performance review
No Related Data.
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