Dodd-Frank Title VII Disclosures

• General Disclosure Statement for Transactions
• Commodity Derivatives Disclosure Annex 
• Credit Derivatives Disclosure Annex 
• Equity Derivatives Disclosure Annex
• Foreign Exchange Disclosure Annex 
• Interest Rates Swaps Disclosure Annex 
• IBOR Alternative Reference Rates Disclosure
• Asset-Backed Security Derivative Disclosure Annex 

 

The links connect you to the latest published documents. However, from time to time ISDA may update these documents, therefore please also refer to the ISDA Disclosure Website  to ensure that you are familiar with the latest versions.

 

Material Characteristics and Economic Terms 

 

The agreed upon terms of any Transaction that we enter with you will be set forth in the confirmation or other agreement evidencing the Transaction, including the terms incorporated by reference therein. With respect to the material terms and characteristics of any Transaction entered or to be entered into between BNY Mellon and you, you should also refer to the applicable transaction level and relationship level documentation, including, without limitation, any term sheet, confirmation, master agreement, or master confirmation agreement.

 

If you believe that a material term of the Transaction has not been provided to you, please contact your usual BNY Mellon sales representative, who will provide this information to you upon request. Relevant documentation provided by BNY Mellon may incorporate by reference certain other documents and definitions, including those published by ISDA which can be made available upon request, and are also available on ISDA’s website.

 

It is your responsibility to notify your usual BNY Mellon sales contact if you have any additional questions regarding any Transaction that have not been otherwise addressed by the information and documents that have been provided to you prior to your entry into the Transaction. By entering a Transaction, you will be deemed to acknowledge that you have received prior to entry into such Transaction and in a manner acceptable to you, disclosures, notifications and other information sufficient for you to evaluate the material characteristics of the Transaction, including the material economic terms of the Transaction, operational terms and the rights and obligations of the parties during the term of the Transaction. 

 

Pre-trade mid-market marks

 

In certain situations, BNY Mellon is obligated to disclose mid-market marks prior to executing swaps.

 

Methodology of calculation

 

The mid-market mark for a swap (other than equity underlier swaps) generally represents the mid-point between an estimated bid price and an estimated offer price for comparable swaps in the relevant market. The mid-market mark disclosed does not include amounts for BNY Mellon’s profit, credit reserve, hedging, funding, liquidity or any other costs or adjustments. Accordingly, without the inclusion of any of these costs or adjustments, the mid-market disclosed to you for a swap may not reflect the mid-point between a bid (or offer) price that BNY Mellon may be willing to quote to you for the swap. Rather, it represents BNY Mellon’s estimates of the midpoint between bid and offer prices in the market generally for the swap. Such estimates may be made based on a combination of one or more of relevant prices, rates and inputs in the market, trader information, proprietary models and such other information we deem relevant.

 

For swaps with equity as the underlier,  the pre-trade mid-market mark is calculated as described under the methodology of calculation for daily marks. 

 

Manner of disclosure

BNY Mellon will generally communicate the pre-trade mid-market mark to you at a reasonably sufficient time prior to entering into the swap through, either:

 

(i)   the electronic platform on which you execute your swap;

(ii)   in writing via electronic mail, Bloomberg chat or any other means of electronic communication;  or

(iii)   orally (when applicable), whether over the telephone or any other similar communication device and followed up with a post-trade written confirmation via chat or email or other means of electronic communication.

 

Daily marks

 

Cleared Transactions

 

For cleared swaps originally executed by you with us, you have the right to receive the daily mark from the relevant derivatives clearing organisation upon request.

 

Uncleared Transactions

 

For uncleared swaps executed by you with us, we will provide you with a daily mark. The methodology of calculation and manner of disclosure of the mark is as follows:

 

Methodology of calculation

 

The daily mark of swaps (other than swaps with equities as the underlier) is the mid-market mark of the swap determined as of the close of business on the prior business day in New York or London, as the case may be, or such other time as we may have agreed in writing with you.

 

The mark generally represents the mid-point between an estimated bid price and an estimated offer price for the swap as of the valuation time, assuming your position in the swap were to be terminated early, replaced or novated. The daily mark is determined by discounting cash flows, option rights or other economic terms of the swaps using a combination of one or more of relevant prices, rates and inputs in the market, trader information, proprietary models and such other information we deem relevant. The daily mark disclosed does not include amounts for BNY Mellon’s profit, credit reserve, hedging, funding, liquidity or any other costs or adjustments.

 

For swaps with equities as the underlier, the daily mark is the mark as of the close of business on the prior business day, or such other time as we may have agreed with you based on market quotations for the underlying reference assets and other internal mathematical models and/or a combination thereof. The value for the Total Return Swap (“TRS”) product is based on a model provided by a third party vendor (“MUREX”). The model provided by MUREX is validated by BNY Mellon’s Model Valuation team. TRS are swap (or security-based swap) contracts where one counterparty pays/receives the total return of an asset to/from another counterparty, versus receiving/paying a “financing” rate. The market data sources utilized in the valuation are sourced from Bloomberg and Reuters. The vendor model and market data sources utilized in the valuation of a swap or security-based swap transaction are for our internal books and records and are do not necessarily generate the value that would be arrived at by choosing another model or method of valuation.

 

Manner of disclosure

 

BNY Mellon provides daily marks to you in respect to your swap open positions on the BNY Mellon Markets Portal.  If you do not already have access to the BNY Mellon Markets Portal, you can receive “log in” credentials to access the portal, by emailing  FX.Implementation@bnymellon.com and providing the following information:

 

• first and last name of contact (i.e. Person to whom access will be granted);
• full company name;
• a phone number;
• an email and physical mailing address, and
• a list of accounts.

 

Once validated, we will email your credentials and provide start up instructions for accessing the BNY Mellon Markets Portal.

 

Disclosures on pre-trade mid-marks and daily marks

 

You should note the following additional information on the pre-trade mid-market marks and daily marks that we provide to you.

 

For information only

 

All marks are provided for reference and information purposes only. Any mark provided does not represent:

(i)  the actual terms at which new transactions could be entered,

(ii) a price at which BNY Mellon would necessarily agree to replace, terminate, liquidate, or unwind the transaction,

(iii)  the value of the transaction that will be marked on the books of BNY Mellon, or

(iv)  the calculation or estimate of an amount that would be payable following the designation or occurrence of an event of default under any master agreement.

 

Additionally, calls for margin may be based on considerations other than a mark provided by BNY Mellon.

BNY Mellon may from time to time make a market in or otherwise buy and sell instruments identical or economically related to the valued instruments and the price at which BNY Mellon engages in such activity for a given investment may not be identical to the marks provided such investment.  

The provision of the mark for a swap transaction is not intended to imply that an actual trading market exists for that swap or that it is appropriate to assume (for accounting or other purposes) that such a trading market exists.

 

We will use assumptions in determining the daily marks and pre-trade mid-market marks based on the current market conditions and our expectations for future conditions as applicable. BNY Mellon reserves the right to alter its methodologies of preparing the daily marks and the mid-market marks from time to time.

 

Seek other quotations

 

We make no representations or warranties to you that the prices at which we offer, or value swaps are the best prices available for any swap in the marketplace. You may wish to seek representative quotations from other participants in the relevant market to compare prices or to determine the intrinsic or current market value of a particular swap.  You should not regard any mark that we provide to be an offer to purchase, sell, enter into, replace or terminate the relevant swap at that value or price.

 

No liability for use

 

We make no representations or warranties that any marks provided 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 and we disclaim any liability for any such use or reliance thereon, whether losses or damages are direct, indirect, incidental or consequential, even if we are advised of their possibility. 

 

Scenario Analysis

 

Prior to entering into a swap that is not made available for trading on a designated contract market or swap execution facility, you may request and consult on the design of a scenario analysis to assess its potential exposure in connection with the swap. Such scenario analysis will include an analysis of what material assumptions would result in a significant percentage loss (e.g., 50%) of principal or notional, an explanation of the calculation methodologies used in the preparation of the scenario analysis (without disclosing confidential or proprietary information about our models), and will consider any relevant analyses that BNY Mellon undertakes for its own risk management purposes. If you wish to request such a scenario analysis and to discuss the assumptions and calculation methodologies, please contact your BNY Mellon salesperson. 

 

Material Conflicts of Interest

 

You should be aware there may be certain inherent material conflicts of interest that may arise between you and BNY Mellon and BNY Mellon’s affiliates with respect to foreign exchange, swaps, and other transactions that you may enter into with BNY Mellon. These conflicts of interest particularly may arise when BNY Mellon has an economic or other incentive to persuade you to act in a manner favourable to BNY Mellon. For example, certain business lines or BNYM affiliates, such as the wealth management division of BNY Mellon, National Association, may refer swaps incidental to their lines of business for execution with BNY Mellon. Additionally, while it may be possible to certain products on an exchange or swap execution facility, if it is not required by CFTC regulations to trade such swaps on such facilities then BNY Mellon may have an incentive to persuade you to execute your transaction directly with BNY Mellon on a bilateral basis. You should also be aware that BNY Mellon  or its affiliates may have ownership interests in certain exchanges, swap execution facilities, or other various industry service providers and may accordingly have an incentive to refer you to such organizations. Finally, you should be aware that BNY Mellon, where permitted by law, may take opposite sides of your transactions for hedging or other reasons, and that such positions may ultimately have an adverse effect on your position.

 

Other Dodd Frank Disclosures 

• Disclosure for Pre-Negotiated Pricing Agreement Transactions
• Notice Regarding Complaints
• Memoranda on Current Security-based Swap Clearing