Scenario Analysis Disclaimer

We, Nomura International plc or Nomura Global Financial Products Inc., as the case may be, (Nomura) may provide scenario analysis pursuant to your request, if any, under CFTC Regulation 23.431(b). We will design any requested scenario analysis in consultation with you which is intended to allow you to assess your potential exposure in connection with the swap(s) for which you have requested the scenario analysis.  Any requested scenario analysis will be done over a range of assumptions, including severe downside stress scenarios that could result in significant loss. We will disclose all material assumptions and explain the calculation methodologies used to perform any scenario analysis, provided that we may not disclose certain of our confidential or proprietary information about any model used to prepare the scenario analysis.  In designing any scenario analysis, we will consider any relevant analyses that we undertake for our own risk management purposes including analyses we perform as part of our “New Product Policy” as specified in CFTC Regulation 23.600(c).  We will design any scenario analysis using information from sources that we believe to be reliable.  Neither we nor any of our affiliates represents warrant or guaranty that any such information will be accurate or complete. Neither we nor any of our 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 scenario analysis, including, for errors, omissions or changes in market factors or conditions.  A scenario analysis based upon models or assumptions other than those we used or calculated as of another date and time or in respect of a different size of transaction may result in a different scenario analysis. 

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