As a registered swap dealer, MUFG Securities EMEA PLC (“MUSE”) is subject to regulation by the U.S. Commodity Futures Trading Commission (“CFTC”). CFTC Rule 23.431(a)(3)(i) requires MUSE to disclose, along with the price of the swap, a pre-trade mid-market mark (or “PTMMM”) to its U.S. Swap counterparties at a reasonably sufficient time prior to entering into a swap transaction.

However, on 4 April 2025, the CFTC's Market Participants Division issued CFTC Letter No. 25-09 providing registered swap dealer's relief from the requirement to disclose a PTMMM prior to entering into swap transactions (the “PTMMM Relief”). The PTMMM Relief is effective from 1 May 2025 and will continue until the adoption by the CFTC of a regulation further addressing the PTMMM requirement.

MUSE has determined to rely on the PTMMM Relief and accordingly is not required to and generally will not disclose a PTMMM in advance of entering into a swap transaction.

General Information on PTMMM Methodologies and Assumptions

In the event that MUSE does determine to provide a PTMMM, any such PTMMM is based on MUSE's internal methodologies and models using a range of factors, assumptions, and information generally available to the public which MUSE reasonably believes to be reliable. Such factors include the material terms of the proposed swap and may also include the material terms of any other agreement between us concerning such swap including, but not limited to, any ISDA relationship agreement.

The PTMMMs for standardised swaps are generated using models that employ simple cash flow-based methodologies, with cash flows discounted by reference to market standard reference rates. The PTMMMs for more complex swaps, including swaps with embedded features such as caps, collars, floors, knock-ins and knock-outs, are produced by models that may utilize other methodologies determined in MUSE's sole discretion, including without limitation probabilistic models, Monte Carlo simulations, Black-Scholes based models, or other mathematical pricing models.

Models employed to produce PTMMMs 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. Any PTMMM we provide 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.

Where MUSE provides you a two-way price (i.e., a bid and ask) with respect to a swap transaction, the PTMMM, unless otherwise indicated, is the midpoint between the bid and offer, or the calculated equivalent thereof at the time the two-way price is delivered.

In addition, any PTMMM we provide (a) may not include amounts for profit, credit reserve, hedging, funding, liquidity, or any other costs or adjustments; (b) may not necessarily be, and often will not be, a price at which we would agree to enter into, replace or terminate the swap; (c) may not necessarily represent the value assigned to the relevant swap for the purpose of computing margin calls; and (d) may not necessarily be the value of the relevant swap that is marked on MUSE's books and records.

Moreover, any PTMMM we provide to you is time-sensitive and only current as of the time at which it is provided to you. Accordingly, any PTMMM you receive for a swap transaction may change with the passage of time even if the price at which we would agree to enter into or terminate such swap has not changed over the same period of time.

MUSE makes no representations or warranties that any such PTMMM are suitable for your accounting or investment purposes, complying with any financial or tax reporting obligation, determining net asset value, computing any tax liability or any other purpose, matters which you should discuss with your own financial, legal, tax, accounting and other professional advisors. MUSE reserves all of its rights and disclaims any and all liability for any such use or reliance on any PTMMM provided to you and whether losses or damages are direct, indirect, incidental, consequential or otherwise.