Well, I managed to talk to someone in the UK in charge of lost luggage, after trying the spanish number which was out of service!

The UK guys confirmed that it was the policy NOT to use any other airline for the shipment of missed luggage. The reason given was that "another airline would not take such good care of your luggage as BMI". When I insisted they use another carrier they said that all of them had left for today. Incredible!

After hanging up on me several times ("Can you please hold a minute, Sir") I managed to extract the promise of € 75 in expenses. They maintained however that they had no obligation whatsoever, if anything I would have to claim from Newco in Madrid.

They are clearly going the direction of a LCC - be happy for the cheap price but do not expect even basic services when things go wrong.