La banque d'un monde qui change 2004 - BNP Paribas

Consolidated FInancial statementsNOTE 26SECURITISATIONSThe BNP Paribas Group carries out securitisation transactionsleading to the creation of specific entities on behalf ofcustomers, in some cases with a guarantee or a liquidity line,and on its own behalf, in connection with the managementof counterparty risks on certain portfolios and asset-liabilitymanagement operations for certain subsidiaries.In these cases, the Group retains part of the risk by payinga guarantee deposit or subscribing to a subordinatedtranche. The securitisation entities are not consolidated,in accordance with generally accepted accounting principles.Securitisation Transactions Carried Out on Behalf of Customers• Short-term Refinancing OperationsAt 31 December 2004, five non-consolidated multisellerconduits (Eliopée, Thésée, Starbird, J Bird and Matchpoint)were managed by the Group on behalf of customers.These entities are refinanced on the short-term commercialpaper market. The Group has issued letters of creditguaranteeing the default risk on the sold receivables up toan amount of EUR 491 million and has also granted liquiditylines totalling EUR 10,457 million to these entities.At 31 December 2004, no provisions were required inconnection with any of these short-term refinancingtransactions.• Medium- and Long-term Refinancing OperationsBNP Paribas acts on behalf of customers as arrangerof securitisation funds and placing agent for covered bondissues, but does not manage the securitisation funds.As of 31 December 2004, the Group had set up liquiditylines totalling EUR 172 million for four of the funds(BEI-Iris 4, Tiepolo Finance, Telecom Italia SV and RCI-Renault),representing EUR 1,500 million in securitised receivables. TheGroup has not issued any letters of credit and, consequently,is not exposed to any counterparty risk on these transactions.Securitisation Transactions Carried Outon the Group’s Own Behalf• In connection with the Group’s asset-liability managementactivities, Cetelem has sold consumer loans, UCB and UCIhave sold real estate loans, Findomestic has sold credit cardreceivables, and Centroleasing has sold leasing receivablesto non-consolidated securitisation vehicles. The subsidiarieshave also given these vehicles a limited guarantee coveringthe credit risk on the sold loans. Securitisation transactionscarried out in accordance with Act No. 88-1205of 23 December 1988 (amended) dealing with securitisationfunds, are not consolidated pursuant to the criteria laiddown in standard CRC 2004-04 (see note 1).The following table summarises the transactions carried out at 31 December 2004 (in millions of euros):Subsidiaries that initiated Securitisation vehicle Date Life of the vehicle Gross amount of Gross amount ofsecuritisations launched scheduled to end securitised receivables securitised receivablesin at 31 December 2004 at 31 December 2004Cetelem (France) Master Noria 1998 2006 350 14.1UCB (France) Domos 4 and 5 1998-1999 2008-2011 463 22.5Master Domos 1999 2012 1,366 30.5Findomestic (Italy) Findomestic 2000 2005 325 -MasterDolfin 2003 2008 329 4.0UCI (Spain) UCI 3 to 11 1997-2004 2005-2017 3,051 37.3Centro Leasing (Italy) Ponte Vecchio Finance 2002 2007 574 -Ponte Vecchio Finance 2 2003 2010 428 -At 31 December 2004, no provisions were required in connection with any of the guarantees given to these securitisation vehicles.251BNP PARIBAS - ANNUAL REPORT 2004