NGFP CFTC & SEC Daily Marks Disclosure

These valuations are daily marks, which are the mid-market marks for swaps and the midpoint between the bid and offer, or the calculated equivalent thereof for security-based swaps for each of the transactions with Nomura Global Financial Products Inc., (“NGFP”) listed herein (which we have determined in accordance with CFTC Regulation 23.431(d)(2) for swaps and SEC Rule 240.15Fh-3(c) for security-based swaps).  The daily mark for security-based swaps may be based on market quotations for comparable security-based swaps, mathematical models or a combination thereof. These valuations have been derived from the proprietary models of NGFP or one of its affiliates and are based on information, such as rates and prices from sources that NGFP believed to be reliable.  Neither NGFP nor any of its affiliates represents, warrants or guarantees that any such information is accurate or complete.   None of NGFP or any of its affiliates shall be responsible or liable to you or any other person or entity whatsoever (whether for consequential or incidental damages or otherwise) for any losses or damages arising out of or in connection with any valuation, including, for errors, omissions or changes in market factors, conditions or circumstances or any use of a valuation by you or a third party.  Valuations based upon other models or assumptions or calculated as of another date and time or in respect of a different size of transaction may result in significantly different values. These valuations do not include amounts for our profit, credit reserve, hedging, funding, liquidity, or any other costs or adjustments or other significant factors which may change the valuation materially. The valuation for any transaction herein does not represent the price at which we or you would necessarily agree to terminate or assign that transaction nor does any such valuation represent the price at which we or you would necessarily be able to replace the swap or security-based swap. Calls for margin may be based on considerations other than the valuations provided herein.  Additionally, the valuation for any transaction herein may not necessarily be the value of that transaction that is marked on our books. Unless we otherwise agree in respect of a particular transaction herein, the valuations for these transactions were calculated by us as of the close of business on the prior New York Business Day.  We  hereby disclose to you that (i) the methodology and assumptions used to prepare these valuations and any additional information concerning these valuations, as appropriate are (a) those factors for valuing transactions and such other information as is set forth in the General Disclosure Statement and the applicable Annex thereto for the relevant transaction type, as published by the International Swaps and Derivative Association, Inc. as of the date hereof, which documents may be updated from time to time, and are available on ISDA’s website, isda.org, using the link http://www2.isda.org/functional-areas/legal-and-documentation/disclosures/ (or any successor section of the isda.org website), or which documents we have provided to you, or provided access to you and (b) if we have disclosed other information regarding the methodology and assumptions used to prepare the valuation for a particular transaction, such information, provided that we are not disclosing to you confidential, proprietary information about any models we may have used to prepare any valuation herein; and provided further that the methodology and assumptions for the valuation of any transaction provided herein may include terms of the credit support document between us, if any. With regards to security-based swaps, market data sources utilized to prepare such valuations include, but are not limited to, third party market data providers, exchanges, clearing houses, and swap execution facilities. Any material changes to such data sources with regards to security-based swaps will be promptly disclosed to you.  Additionally, any material changes with regards to methodology and assumptions during the term of the swap or security-based swap will be promptly disclosed to you.  Valuations based upon other models or assumptions or calculated as of another date and/or another time or valuations in respect of a transaction with one or more terms, such as the size, strike price or maturity date, as applicable, that are different than the terms of a transaction herein, may result in significantly different values, even if the other terms of  that other transaction are the same as those for a transaction herein.  These valuations do not constitute and may not be construed as an offer or the solicitation of an offer, to buy or sell any transaction valued herein.  In the event that we are parties to a security or pledge agreement or otherwise, the terms and conditions of such agreement shall continue to be binding as between you and us, and the information contained herein shall not modify, supplement or amend such agreement unless expressly provided for otherwise herein.  By accepting these valuations such counterparty acknowledges that: (i) it is not relying on NGFP or any of its affiliates in connection with the decision it makes related to any of the transactions or any valuations, and (ii) NGFP’s act of providing valuations in no way constitutes NGFP or any of its affiliates as a fiduciary of the counterparty.  These valuations are provided as a courtesy, without charge to the counterparty and without compensation and are intended solely for your use without restrictions on your internal use but may not be quoted, disclosed, circulated or otherwise referred to without our express written consent.

Please note that the valuations herein are for uncleared swaps and security-based swaps.  For cleared swaps, you have the right to receive, upon request, the daily mark from the appropriate derivatives clearing organization.  For cleared security-based swaps, you have the right to receive, upon request, the daily mark that NGFP receives from the appropriate clearing agency. 
 

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