The valuation of Parvest Dynamic ABS, BNP Paribas ABS Euribor and BNP Paribas ABS Eonia, partially invested in AAA and AA-rated American sub-prime securities, was temporarily suspended on 7 August 2007 following the sudden evaporation from 6 August of any trading activity on certain sectors of the US market.
Since this decision was announced and faced with the difficulty in obtaining market prices on certain sectors, BNP Paribas Investment Partners developed a pricing mechanism which would allow subscriptions and redemptions to resume.
This mechanism combines several valuation methods, in particular using pertinent market indices when they are available and taking into account illiquidity factors by issuer category.
Given this new mechanism and the prevailing market environment for these financial instruments, BNP Paribas Investment Partners says that conditions are in place to resume the net asset value (NAV) calculation as well as subscriptions and redemptions for the three funds.