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Rating Action:

Moody's takes action on notes issued by BPL Consumer S.r.l. -- Series 2004

16 Apr 2009

Approximately EUR180 million of notes outstanding rated

Milan, April 16, 2009 -- Moody's Investors Service today announced that it has concluded the review of BPL Consumer S.r.l. -- Series 2004 ("BPL Consumer 2004") in relation to the Lehman Brothers Holdings Inc ("LBHI") related hedges ("Lehman swap") in place since closing of the transaction. Moody's has taken the following rating actions:

- Series 2004 Class A Asset-Backed Floating Rate Notes due 2015, confirmed at Aaa; previously on 17 September 2008 Placed On Review For Possible Downgrade;

- Series 2004 Class B Asset-Backed Floating Rate Notes due 2015, confirmed at A1; previously on 17 September 2008 Placed On Review For Possible Downgrade;

- Series 2004 Class C Asset-Backed Floating Rate Notes due 2015, downgraded to Baa3 from Baa1; previously on 17 September 2008 Placed On Review For Possible Downgrade.

BPL Consumer 2004 had been on review for possible downgrade since 17 September 2008 (the previous rating action date). Lehman Brothers Special Financing Inc guaranteed by LBHI, was acting as interest rate swap provider in the transaction. Moody's has been informed that the swap entered into with Lehman ("Lehman swap") has been terminated and that BPL Consumer 2004 entered into a new swap on 9 January 2009 with Deutsche Bank AG (rated Aa1/Prime-1/B) on the same terms as the Lehman swap. On the payment date of 10 October 2008, the structure did not receive payments under the Lehman swap but was able to make all interest payments due on the notes with collections received on the securitised assets and a limited amount of cash drawn from the reserve fund of EUR323,109 from the EUR15 million reserve fund amount.

The new swap replicates the terms of the Lehman swap that was entered into at closing. Its terms are not fully in line with Moody's latest swap framework which ensures substantial de-linkage between the notes' rating and the swap counterparty's rating. The failure to post collateral upon the second rating trigger breach constitutes only an additional termination event and this is a weakness which limits the prospect that collateral will be posted under the new swap entered with Deutsche Bank.

In order to enter into the new swap agreement, BPL Consumer 2004 had to pay EUR1.2 million to Deutsche Bank. This amount was covered by cash flows coming from the structure as well as reserve fund drawing. The reserve fund now amounts to nearly EUR14 million after the last payment date in January 2009 whereas the target reserve fund requires EUR15 million. Moody's notes that on 1 August 2008, LBHI posted collateral as contemplated in the Lehman swap document for an amount of EUR3.34 million on a segregated account hold by HSBC Bank for the sole benefit of BPL Consumer 2004. However, this collateral amount has not yet been made available to BPL Consumer 2004.

Moody's current understanding is that there are, on the one hand, no incremental risks stemming from the new swap arrangements that could translate into increased losses to noteholders, which could ultimately affect the ratings of the notes. On the other hand, the downgrade of the Class C Notes issued by BPL Consumer 2004 was prompted by worse-than-expected collateral performance. With a 55-month seasoning since closing, BPL Consumer 2004 shows delinquencies 90+ days at 6.96% of the current portfolio balance, while cumulative defaults amount to EUR43.8 million which represents 3.66% of original balance including replenishments.

The rating downgrade takes into account an increased portfolio default expectation resulting from higher-than-expected delinquency and default levels in the more recent periods whereas the portfolio has amortised significantly. As part of Moody's analysis -- taking into account the current amount of cumulative defaults and completing a delinquency to default roll-rate for the non-defaulted portion of the portfolio -- we have adjusted our default expectations for the portfolio to 5.3% of the total securitised pool balance, which corresponds to the higher end of the 4.5%-5.5% mean default assumed at closing over the lifetime of the transaction.

While overall default expectations are still in line with that of closing, Moody's notes that default timing appears to be more back-loaded than envisaged at deal inception. Indeed, periodic defaults are still somewhat high, amounting to EUR2.8 million over the last interest period. Taking into consideration the current pool factor (the ratio between the outstanding portfolio and the original pool balance including replenishments) of 15%, the expected future default rate reaches 10.9% of the pool current balance.

BPL Consumer 2004 was the third transaction originated by Ducato S.p.A. (now part of the Banco Popolare Banking Group, rated A2/Prime-1/C-) and comprises the securitisation of a portfolio of fixed-rate unsecured consumer loans made to private individuals in Italy. The transaction included a three-year revolving period.

Moody's ratings address the expected loss posed to investors by the legal final maturity of the notes. Moody's ratings address only the credit risks associated with the transaction. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the Notes by the legal final maturity. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's initially analysed and monitors these transactions using the rating methodology for EMEA ABS as described in the Rating Methodology "The Lognormal Method Applied to ABS Analysis", published September 2000, and in the Presale Report specific to the transaction. Other methodologies and factors that may have been considered in the process of rating this issue can also be found at www.moodys.com in the Credit Policy & Methodologies directory.

For more information on Moody's swap framework that applies when reviewing hedges in connection with highly-rated structured finance cash-flow transactions, please refer to the Rating Methodology "Framework for De-Linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions", published May 2007.

Moody's monitors the performance of this transaction. For further information on the transactions, please refer to www.moodys.com or contact Moody's Client Service Desk on +44-20 7772 5454.

Frankfurt
Marie-Jeanne Kerschkamp
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Milan
Nikoletta Knapcsek
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
Telephone:+39-02-9148-1100

Moody's takes action on notes issued by BPL Consumer S.r.l. -- Series 2004
No Related Data.
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