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

NOTE 26 (CONT’D)SECURITISATIONS• In order to reduce the credit risk on certain portfolios,the Group carries out synthetic securitisations bytransferring to the market the bulk of the credit riskattached to the retained interest using credit derivatives(purchases of options or credit default swaps). These creditderivatives are entered into either through dedicatedstructures or directly with other credit institutions.Synthetic securitisations concern EUR 7 billion worthof consolidated assets, corresponding to loans to majorEuropean and American companies. The risk retainedby the Group concerns the equity or subordinatedtranche of the notes issued by the securitisation vehiclesand purchased by the Group.Synthetic Securitisations (in millions of euros)Securitisation vehicle Life Gross AccumulatedDate of the counterparty Gross risk Provisions provisionslaunched vehicle risk before retained and losses and lossesscheduled securitisation at by the Group (1) in 2004 at 31 Dec. 2004 (2)to end in 31 Dec. 2004Olan 2 (France) 2000 2005 3,546 76.0 - 60.6Euroliberté (France) 2001 2008 1,984 139.8 2.2 20.1Condor (USA) 2001 2006 1,686 96.1 - -Jules Vernes (USA) 2002 2006 215 33.1 - -(1) This risk is retained by the Group due to the equity instruments issued by the securitisation vehicles, against which the initial losses on assets guaranteed by the vehicles are set off.(2) If a counterparty defaults on a loan backed by synthetic securitisation, the securitisation vehicle pays the amount corresponding to the default. The amount received in respect of the gross riskretained by the Group is set off against the loss of principal on the equity or subordinated tranche of the notes issued. This is why the portfolios are covered by a provision in the amountof the gross risk retained by the Group.NOTE 27PENSION AND POST-EMPLOYMENT BENEFIT OBLIGATIONS• Pension BenefitsSince 1 January 1994, pursuant to the new industry-wideagreement on pensions presented in note 1, the BNP ParibasGroup has been making contributions to several nation-widesupplementary pension organisations in France.The BNP and Paribas pension funds pay additional benefitsrelative to services rendered prior to 31 December 1993.The actuarial value of these pension obligations is computedbased on the 1993 mortality table as recommended by theFrench Insurance Code. The difference between the discountand inflation rates used since 31 December 1999 is roughly3.0%, corresponding to the constant differential betweenlong-term interest rates and inflation. At 31 December 2004,the pension fund for BNP employees had reservesof approximately EUR 59 million, and the pension fundfor Paribas employees had reserves of some EUR 282 million.Contributions paid by BNP Paribas under the above pensionschemes in France are charged to the profit and loss accountin the year of payment. In addition, a reserve for generalbanking risks was set up as a precautionary measure in 1993,mainly to take account of the general demographic riskaddressed by the industry-wide agreement concludedin September 1993 (see notes 1 and 21).BNP Paribas SA has set up a funded pension system viaa company agreement. This system provides for the paymentto BNP Paribas employees of additional benefits over andabove those they receive from the nation-wide organisations.Concerning plans outside France, pension obligationsare provided for in the consolidated financial statementsaccording to the method described in note 1.252BNP PARIBAS - ANNUAL REPORT 2004