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PARIS (Thomson Financial) - BNP Paribas unit BNP Paribas Investment Partners
said that it has suspended the calculation of net asset value on three funds
invested in asset-backed securities, due to a "complete evaporation of liquidity
in certain segments of the US securitisation market".
The funds -- Parvest Dynamic ABS, BNP Paribas ABS Euribor and BNP Paribas
ABS Eonia -- will accept no redemptions or subscriptions until further notice,
BNP said.
Asset-backed securities or ABS are financial instruments collateralized by
cash flows from a pool of underlying assets such as consumer loans and
mortgages.
However, recent anxieties over defaults on high-risk or sub-prime mortgages,
have substantially reduced the appetite for this type of security in the
financial markets.
According to BNP Paribas Investment Partners, the resulting "evaporation of
liquidity" means it can no longer calculate the fair value of the underlying ABS
in the three funds in question, making it impossible to calculate their net
asset value reliably.
BNP said it will provide further information on the situation in a month's
time, and will resume calculation of the NAV "as soon as liquidity returns to
the market".
At the presentation of the group's second quarter results at the start of
the month, chief executive Baudouin Prot said that three of the group's funds
had sub-prime exposure, averaging 35 pct of assets under management for each one
or a total of 700 mln eur.
This accounts for 0.2 pct of the group's overall 356 bln eur of assets under
management.
Prot stressed that "these investments are exclusively double A and triple A
tranches and the intrinsic quality of the portfolio is not an issue."
In today's statement regarding the suspension of NAV calculation, BNP again
insisted that the decision was not a reflection of the quality or credit rating
of the assets in the funds.
vicky.buffery@thomson.com
vb/slm/vb/gp
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COPYRIGHT
Copyright AFX News Limited 2007. All rights reserved.
The copying, republication or redistribution of AFX News Content, including by
framing or similar means, is expressly prohibited without the prior written
consent of AFX News.
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