The following disclosures and notifications are provided to you in accordance with the requirements set forth in 240.15Fh-3 of the United States Securities and Exchange Commission (the “ SEC") rules in connection with any transaction in security-based swaps between you and MUFG Securities EMEA plc (“MUSE"), registered as a security-based swap dealer with the SEC in accordance with the CEA and applicable regulations of the SEC on or around 1 November 2021.
The External Business Conduct Standard requirements from the SEC mandate that a Security-Based Swap Dealer (" SBSD") that is not a US Person (as such term is defined in Exchange Act Rule 3a71-3(a)(4), "US Persons") , like MUSE disclose certain material information to counterparties that are not themselves SBSDs, major SBS participants, swap dealers or major swap participants but that (i) are US Persons or (ii) are a party to a specific SBS that was “arranged, negotiated, or executed" by US-based sales or trading personnel of MUSE.
General Disclosures
The materials below are provided to help you understand the factors to consider when entering into security-based swap transactions and the risks thereof with MUSE. In the course of dealing and trading with MUSE, you shall be deemed to have read, understood and agreed to the disclosures listed herein each time you trade a security-based swap with MUSE.
Material Risks Disclosure Documents
The following disclosures are meant to capture general risks of security-based swap transactions related to the following asset classes: interest rates, foreign exchange rates and currencies, credit instruments, asset-backed instruments, equities and commodities. The latest published documents are attached below:
Commodity Derivatives Disclosure
Asset-Backed Security Derivatives Disclosure
Interest Rate Derivatives Disclosure
Foreign Exchange Derivatives Disclosure
Please note that ISDA holds copyrights to certain documents to which hyperlinks are provided herein. Those documents may not be reproduced or distributed without ISDA's written permission. ISDA provides certain disclaimers to the documents to which hyperlinks are provided herein that you are deemed to have read and understood.
If you have any difficulties accessing the above URLs or otherwise accessing these documents, please contact your relationship manager immediately so that we may assist you.
Daily marks
MUSE shall disclose the daily mark to you, unless you are a security-based swap dealer or major security-based swap participant.
For a cleared security-based swap, upon request of the counterparty, the daily mark is the “daily mark" of a security-based swap that MUSE receives from the appropriate clearing agency.
For an uncleared security-based swap, the daily mark is the “daily mark" of a security-based swap as described in SEC Rule 240.15Fh-3(c)(2), which represents the midpoint between the bid and offer, or the calculated equivalent thereof as of the date shown on the daily mark report and determined as of the close of business or such other time as the parties may agree in writing. Daily marks are provided for informational purposes only and are not an offer or commitment of any kind.
The delivery of the daily mark is for the sole purpose of satisfying our obligation under SEC Rule 240.15Fh-3(c). The daily marks 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 daily mark 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.
Standardized security-based 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. Data used in calculating a daily mark are market-based, utilizing observable market data, and may be obtained from third-party, external data sources, including information from Bloomberg, Markit and other sources that MUSE believes to be reliable (but which we have not independently verified). The daily mark for more complex security-based swaps, is based on results produced by models that may be priced using different models; these components together constitute a single security-based swap with a single daily mark.
Models employed to produce daily marks 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 daily mark 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 daily mark is not necessarily indicative of the price at which MUSE would agree to replace or terminate the security-based 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 security-based swap that is marked on MUSE's books and is not necessarily the price upon which MUSE would base any demands for collateral. The daily mark is provided for information purposes only and does not constitute an offer or solicitation to enter into any transactions. The daily mark 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 MUSE.
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 MUSE.
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, MUSE, in providing the daily mark does not warrant or represent the accuracy of the data, nor that the daily mark 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.
MUSE 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.
If you have any questions about a Daily Mark, please contact the securities-based swap sales or trader with whom you transact or are considering transacting.
Client Portal
Clients trading in-scope SBS products with MUSE have access to a password protected client portal which enables each client to obtain their daily marks. In addition, daily marks are sent in email to the client contact that is filed with MUSE upon onboarding.
If you have any questions regarding the Client Portal, please contact: OPS-ClientValuations@int.sc.mufg.jp
Clearing
In accordance with SEC Regulation 240.15Fh-3(d)(2)(ii), MUSE draws your attention to the disclosures in relation to clearing set out in Section V.B of the General Disclosure Statement for Transactions, here.
A list of all clearing agencies that accept SBS for clearing is available here.
The clearing agency for which MUSE is authorized or permitted, directly or through a designated clearing member, to clear certain security-based swaps is ICE Clear Europe.
If you have any difficulties accessing the above URL or otherwise accessing these documents, please contact your relationship manager immediately so that we may assist you.
With respect to any security-based swap entered into between you and MUSE that is not subject to the mandatory clearing requirement under Section 3C(a) of the CEA, you may elect to clear such security-based swap and you have the sole right to select the clearing agency at which the security-based swap will be cleared in accordance with SEC Regulation 240.15Fh-3(d)(2)(iii), provided it is a clearing agency at which MUSE is authorized or permitted, directly or through a designated clearing member, to clear the security-based swap.
Recommendations
MUSE discloses to you in accordance with SEC Regulation 240.15Fh-3(f)(2)(iii) that (a) MUSE is not undertaking to act in your best interest and (b) MUSE is acting in its capacity as a counterparty and is not undertaking to assess the suitability of any security-based swap or trading strategy involving a security-based swap for you.
Definitions
References in this document shall have the following meanings:
- CEA means the Commodity and Exchange Act
- MSBSP means a “major security-based swap participant" as defined in Section 3(a)(67) of the Securities Exchange Act of 1934 and the regulations thereunder.
- SEC means the Securities and Exchange Commission
- SBS means a “security-based swap" as defined in Section 3(a)(68) of the Securities Exchange Act of 1934 and the regulations thereunder.
- SBSD means a “security-based swap dealer" as defined in Section 3(a)(71)(1) of the Securities Exchange Act of 1934 and the regulations thereunder.