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As per CFTC Rule 23.431(d)(2), where it is a requirement for swap dealers ("SD") to provide daily mid-market mark (“MMM") reports for un-cleared swap transactions.

The delivery of the MMM is for the sole purpose of satisfying our obligation in this regard. If the referenced swap is cleared, please disregard this communication as you may request the MMM from the appropriate derivatives clearing organisation.

The mid-market mark represents MUSE's current indicative mid-market mark of the swap as defined above (the “MMM") as at the date shown.

MMMs are based upon MUSE's valuation models and assumptions and/or on information generally available to the public which MUSE reasonably believes to be reliable. The MMM is the net position reported from MUSE's perspective (i.e., negative = MUSE to pay) and does not include any amounts for profit, credit reserve, hedging, funding, liquidity or any other costs or adjustments.

Standardised swaps are in general priced using models that employ simple cash flow based methodologies, with cash flows discounted by reference to market standard reference rates. The MMM for more complex swaps, including swaps with embedded features such as caps, collars, floors, knock-ins and knock-outs, is based on results produced by models that may be priced using different models; these components together constitute a single swap with a single MMM.

Models employed to produce MMMs use inputs that include, but are not limited to, assumptions relating to interest rates, volatility, correlation and other assumptions relating to market conditions. The assumptions underlying the information may be modified from time to time to reflect changes in circumstances or the markets. The MMM is by necessity produced during the trading day during which markets and market information move quickly. No representation is made to the reasonableness of any assumptions or the accuracy or completeness of any models or publicly available information and nothing contained herein should be relied on as such.

The MMM is not necessarily indicative of the price at which MUSE would agree to replace or terminate the swap at any point in time or in any other market, does not necessarily reflect the price quoted by any other sources, is not necessarily the value of the swap that is marked on MUSE's books and is not necessarily the price upon which MUSE would base any demands for collateral. The MMM is provided for information purposes only and does not constitute an offer or solicitation to enter into any transactions. The MMM does not reflect factors such as bid-offer spread, hedging and transaction costs, credit considerations and market liquidity, all of which could be relevant in establishing a firm price quotation.

The information and data set out herein and/or attached is not intended to constitute confirmation or otherwise of any trades. Nor should it be taken as confirmation of specific trading or contractual terms, or of execution terms or otherwise, between you and MUFG Securities EMEA plc.

The information and data set out herein and/or attached does not replace the trade confirmation process and cannot be relied upon as a trade confirmation in any respect; nor does it affect, amend or replace contractual obligations between you and MUFG Securities EMEA plc.

Furthermore, the information and data provided herein does not replace, substitute, supersede or otherwise the taped lines of any trade execution as evidence of the trade execution terms or confirm any settlement terms whatsoever.

Except as otherwise agreed, MUFG Securities EMEA plc, in providing the MMM does not warrant or represent the accuracy of the data, nor that the MMM is suitable for complying with any financial or tax reporting requirement, calculation of net asset value (NAV), computing any tax liability or any other purpose whatsoever.

MUFG Securities EMEA plc reserves all of its rights and disclaims any and all liability for any such use or reliance on the data provided herein and whether losses or damages are direct, indirect, incidental, consequential or otherwise.