Dodd-Frank Disclosures

Disclaimer: Pre-trade mark methodology and assumptions

Mark-to-market valuations and scenario mark-to-market valuations for a derivative are calculated as the arbitrage-free price. The arbitrage-free price is comprised of the present value of the future rights and obligations between the two parties to receive or deliver future cash flows or exchange of other assets or liabilities. Future obligations are valued as the sum of the present values (as of the valuation date) of contractually fixed future amounts and expected variable future amounts, the expected size of which are calculated from the projected levels of underlying variables. Future rights are valued as the sum of the Present Values of the expected values of contingent future amounts, the existence and size of which are calculated from the projected levels of underlying variables.

Dodd-Frank Product Disclosures, Definitions and Material Economic Terms

The International Swaps and Derivatives Association, Inc. (“ISDA”) owns the copyright on the ISDA Documentation accessible from this website. The ISDA Documentation may not be reproduced or distributed without ISDA’s written permission, except the ISDA Master Agreements, ISDA Credit Support Documents and standardized general and product specific risk disclosures published by ISDA, which may be reproduced and distributed solely for use in documenting specific commercial transactions. In no event may any copyright or trademark notice from ISDA be removed; and this instrument's use should be undertaken only after securing appropriate legal advice on its provisions and ISDA makes no warranty or assurance, express or implied, concerning this instrument's suitability for use in any particular transaction and bears no responsibility or liability whatsoever, whether in tort or in contract, in respect of any use of this instrument.

Daily Marks Disclosure