Dodd Frank Disclosures and notices

Crédit Agricole Corporate and Investment Bank ("Crédit Agricole CIB") is registered with the Commodities Future Exchange Commission ("CFTC") as a non-U.S. swap dealer pursuant to Title VII of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the "Dodd-Frank Act"). The Dodd-Frank Act imposes comprehensive regulatory requirements on swap dealers including business conduct standards with respect to the execution of "swaps Will open in a new tab " with certain counterparties of the swap dealer. 

Among other requirements, these business conduct standards mandate that Crédit Agricole CIB provide certain disclosures of material information ("Disclosures") to its swap counterparties (other than other swap dealers, major swap participants, security-based swap dealers or major security-based swap participants who are U.S. persons* prior to entering into a swap with such U.S. counterparty. If you are a swap dealer, major swap participant, security-based swap dealer or major security-based swap participant or are not a U.S. person, the Disclosures included herein are not intended nor provided for your use.

*See CFTC Regulation 23.23(a)(23) for the definition of U.S. person and any subsequent definition issued by the CFTC.

Disclosures

The following Disclosures are provided to our U.S. Swap counterparties pursuant to CFTC Regulation 23.431. Such Disclosures shall be deemed supplemented by such additional information and disclosures included in any transactional-specific documentation exchanged between us, including any derivatives master agreement or amendment thereto, transactional term sheet, pre-trade confirmation or master confirmation agreement, and such other communications exchanged between us incorporating such additional information with respect to a Swap or proposed Swap ("transactional Disclosures"). In the event of any conflict between such transactional Disclosures and other (more generic) Disclosures, the transactional Disclosures shall prevail.

Any person accessing the Disclosures included herein shall be deemed to represent to Crédit Agricole CIB that it is doing so on the basis that it is a U.S. person entitled to such Disclosures pursuant to the requirements of the Dodd-Frank Act and that the manner in which such Disclosures are made are accepted and agreed.

In addition, any access by you of any Disclosures published by the International Swaps and Derivatives Association Inc. ("ISDA") shall be an acknowledgement of the Important Notice Concerning Copyright Protection set forth below and an agreement by you to comply with its terms.

Communication disclosures

In addition to the terms and conditions and such other information related to Transaction(s) described in communications received from Crédit Agricole Corporate and Investment Bank ("CA CIB"), CACIB provides "Additional Materials and Disclosures" by the means set forth below. 

If you are an entity other than a swap dealer, a major swap participant, a securities based swap dealer and/or a major securities based swap participant, your execution of a Transaction described in such communications with CA CIB shall be an acknowledgement and agreement by you of the following:

  1. The adequacy of the means by which the "Additional Materials and Disclosures" are or were delivered; 
  2. That such "Additional Materials and Disclosures" are or were made available to you on the basis that you are a U.S. person to whom such content is provided in respect of CFTC Rule 23.431 (a), or such analogous SEC rule; and 
  3. You have read and understood the relevant "Additional Materials and Disclosures". and you confirm that they along with other information related to the Transaction(s) included herein are adequate for purposes of your evaluation of such Transaction(s).
     

General Risk Disclosures (ISDA Publications)

The ISDA General Disclosure Statement for Transactions describes generally the disclosures of material information mandated by CFTC Regulation 23.431(a) including:

  1. Material characteristics of a variety of transactions related to certain underlying referenced assets;
  2. Material risks of such transactions 
  3. Material incentives and conflicts of interest that might exist when entering into a swap transaction with a swap dealer such as Crédit Agricole CIB.  

The General Disclosure Statement for Transactions is supplemented by certain Annexes providing disclosure in respect of specific types of transactions and in respect of different types of underlying referenced assets.

These supplemental Annexes relate to Commodity Derivative Transactions; Credit Derivative Transactions; Equity Derivative Transactions; Foreign Exchange Transactions; Interest Rate Derivative Transactions and Asset Backed Security Derivative Transactions. The General Disclosure Statement for Transactions along with the supplemental Annexes (updated) are and may also be found by clicking here Will open in a new tab . In order to access the above Disclosures, please use the password provided to CACIB clients or request from your sales representative.

Other disclosure and notices

U.S. persons with whom CACIB executes or intends to execute Swaps transactions and who are entitled to disclosures of material information under CFTC Regulation 23.431(a) may access such additional Disclosures by clicking here. Will open in a new tab

Any access by a person to such additional Disclosures shall be deemed a representation by it to CACIB that is a U.S. person as well as an acknowledgement of the following "Importance Notice Concerning Copyright Protection" (for ISDA Publications) and an agreement to comply with its terms. In order to access the above Disclosures, please use the password provided to CA CIB clients or request from your sales representative.

Other disclosure and notices

  • EMTA Published Template Forms:

Crédit Agricole CIB utilises the EMTA current recommended template terms for Non-Deliverable FX Forward Transactions, Non-Deliverable Currency Option Transactions, and Non-Deliverable Cross-Currency Transactions. These templates may be found at http://www.emta.org/ndftt.aspx and may be requested from your sales representative 

  • Pre-trade Mid-Market Mark/ Waiver/ Oral Disclosure

CFTC Regulation 23.431(a)(3)(i) requires CACIB to disclose, along with the price of the Swap, a mid-market mark to its U.S. Swap counterparties at a reasonable time prior to entering into a Swap transaction. This pre-trade mid-market mark does not include amounts for profit, credit reserves, hedging, funding, liquidity, and other relevant costs, reserves, and adjustments. The pre-trade mid-market mark may not be representative of the price at which CACIB would agree to replace or terminate the relevant swap and may not be the value of the swap transaction as stated in CACIB’s books and records.

 
Methodologies & Assumptions

The pre-trade mid-market mark is prepared giving consideration to the applicable duration or tenor of the transaction by discounting expected future cashflows of the Swap transaction to arrive at a current value using (a) proprietary computer valuation models (which we use to prepare our own financial books and records for the relevant type of transaction) and (b) relevant mid-market price data inputs.

Expected future cashflows are generally derived from forward curves and, if applicable, correlation and volatility based on observable market inputs, when available, and/or on the basis of good faith estimates depending on asset class and availability. In some cases, we may use probabilistic models or other simulations or mathematical pricing models to determine the expected value of future cashflows before discounting to their present value using discount factors derived from relevant market inputs.

The discount rate for any transaction may vary depending on whether the transaction is collateralised or uncollateralized and the base currency of collateralized transactions. The specific discount rate applicable to a transaction may be obtained upon request.

In our sole discretion, we may use a variety of methodologies and inputs to prepare the expected future cashflows described above, including without limitation, preparing Monte Carlo simulations and utilizing Black-Scholes and other mathematical pricing models. We are under no obligation to disclose to you any confidential, proprietary information about the methodology used or the inputs thereto. In our sole discretion, we may modify our methodologies or vary the inputs used. 

Pricing models adjusted in accordance with our proprietary models reflect market standard practices using spot, forward and volatility values and assumptions regarding past, present and future market conditions including liquidity of markets, trading volumes and interest rates. Because of these circumstances, the pre-trade mid-market mark will not necessarily be indicative of, and may be materially different from, the value which another person (including a person affiliated with CA CIB) might assign to the relevant transaction.

Waiver of Pre-Trade Mid-Market Mark for Covered Derivatives:

In December 2012, the CFTC issued conditional relief from such requirement for certain foreign exchange transactions (CFTC No-Action Letter 12-42) : (1) and certain credit derivative and interest rate transactions (CFTC No-Action Letter 12-58) (2)  provided the Swap counterparty agrees in writing that such pre-trade mid-market marks are not required by it. In May 2013, the CFTC issued further conditional relief from the requirement by expanding the scope of foreign exchange transactions (CFTC No-Action Letter 13-12) (3) covered by the relief. 

If you do not wish to receive such pre-trade mid-market marks with respect to the relevant transactions covered by CFTC No-Action Letters 12-42, 12-58 and 13-12, please provide us with notice of such consent through ISDA Amend by completing Addendum II to the ISDA August 2012 DF Protocol Questionnaire. 

http://www.cftc.gov/ucm/groups/public/@lrlettergeneral/documents/letter/12-42.pdf 
http://www.cftc.gov/ucm/groups/public/@lrlettergeneral/documents/letter/12-58.pdf http://www.cftc.gov/ucm/groups/public/@lrlettergeneral/documents/letter/13-12.pdf Will open in a new tab  
 

Election for Oral Disclosure of Pre-Trade Mid-Market Mark:

In order to timely execute a swap transaction, Crédit Agricole CIB requests your consent to provide any pre-trade mid-market mark and other pre-trade disclosures such as basic material economic terms, including price, notional amount and termination date to you orally pursuant to applicable CFTC regulations. Such consent should be provided though ISDA Amend via to the ISDA August 2012 DF Protocol Questionnaire.  

  • Daily Marks:

Uncleared Swap Transactions

Pursuant to CFTC Regulation 23.431(d)(2), CACIB is required to provide its U.S. counterparties (other than a Swap Dealer and Major Swap Participant) with a daily mark with respect to uncleared Swap transactions. The daily mark is indicative only as of the close of business in Paris, France on the calculation date and does not constitute an offer or commitment by CACIB to make an offer to purchase or sell any instrument or enter into, transfer, assign, or terminate any transaction, security, or instrument. The daily mark report will be provided to you at such address that CA CIB has on record. Please contact your sales representative if change is needed.

Such daily mark may not reflect the actual market price at which an offer would be made to purchase, sell, enter into, exercise, novate, unwind, terminate or settle a transaction. Rather, they will represent mathematical approximations of market values as of a given date derived from proprietary models and methodologies based on certain assumptions regarding past, present and future market conditions or other factors, or from other sources of pricing information (e.g., third party quotes, prices on trading venues, or clearinghouse marks for comparable or interpolated transactions). In our discretion, we may use a variety of models, methodologies and assumptions to prepare this daily mark, depending upon the type of transaction, its characteristics, whether there is a liquid market, and other factors. We reserve the right to alter, replace or vary our models, methodologies, and assumptions from time to time. 

Methodologies and Assumptions

Pursuant to CFTC Regulation 23.431(d)(3)(i), the methodology and assumptions used to prepare the daily mark, notwithstanding information that is confidential or proprietary regarding its models, is described below.
 

Valuation Methodologies

The daily mark is prepared giving consideration to the applicable duration or tenor of the transaction by discounting expected future cashflows of the Swap transaction to arrive at a current value using (a) proprietary computer valuation models (which we use to prepare our own financial books and records for the relevant type of transaction) and (b) relevant mid-market price data inputs from the close of business on the daily mark calculation date specified.

Expected future cashflows are generally derived from spot and forward curves and, if applicable, correlation and volatility based on observable market inputs, when available, and/or on the basis of good faith estimates depending on asset class and availability. In some cases, we may use probabilistic models or other simulations or mathematical pricing models to determine the expected value of future cashflows before discounting to their present value using discount factors derived from relevant market inputs.

The discount rate for any transaction may vary depending on whether the transaction is collateralized or uncollateralized and the base currency of collateralized transactions. The specific discount rate applicable to a transaction may be obtained upon request.

Proprietary Models

In our sole discretion, we may use a variety of methodologies and inputs to prepare the expected future cashflows described above, including without limitation, preparing Monte Carlo simulations and utilizing Black-Scholes and other mathematical pricing models. We are under no obligation to disclose to you any confidential, proprietary information about the methodology used or the inputs thereto. In our sole discretion, we may modify our methodologies or vary the inputs used. Such changes may result in unanticipated and significant changes in the daily mark in respect of a transaction.

Pricing models adjusted in accordance with our proprietary models reflect market standard practices using spot, forward and volatility values and assumptions regarding past, present and future market conditions including liquidity of markets, trading volumes and interest rates. Because of these circumstances, the daily mark in respect of a transaction provided in the daily mark report will not necessarily be indicative of, and may be materially different from, the value which another person (including a person affiliated with CA CIB) might assign to the relevant transaction.

In the event a trade is executed and both a bid and an offer are provided, the pre-trade mid-market mark shall be derived from the average of the bid and offer.

Limitations of Daily Mark Information

The daily mark provided by us to you for any uncleared Swap transactions shall not include amounts for our profits, credit reserves, hedging, funding, liquidity, or any other costs or adjustments, and pursuant to CFTC Regulation 23.431(d)(3)(ii) may not necessarily:

  • Be a price at which either we or you would agree to replace or terminate the transaction; include adjustments the counterparty may need to make on their books and records or financial statements to account for profits, 
  • Credit reserves, hedging, funding, liquidity or other costs in connection with the transaction; 
  • Unless otherwise expressly agreed, be the basis for margin calls and maintenance of collateral; and
  • Be the value of the transaction that is marked on our books and records.

The information set out herein 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 CACIB.

Except as otherwise agreed, in providing the daily mark, CACIB 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.

  • Daily Marks for Cleared Swap Transactions:

For cleared Swaps originally executed by you with us, you have the right to receive the daily mark from the Derivatives Clearing Organization though which the transaction is cleared upon request in accordance with CFTC Regulation 23.431(d)(1).

  • Notification of right to segregation of certain collateral posted in respect of uncleared swaps

In respect of uncleared swaps entered into with us, you have the right to require segregation of the funds or other property that you provide to us to margin, guarantee, or secure your obligations to us other than with respect to variation margin payments. This notice will be deemed to be given to you each time we enter into an uncleared swap with you. 
 

  • Clearing

You have the sole right to select the derivatives clearing organization in respect of any swap you execute with us that is subject to the mandatory clearing requirements under Section 2(h) of the Commodity Exchange Act and with respect to any swap you execute with us that is not subject such mandatory clearing requirements, you may elect to clear such swap and you have the sole right to select the derivatives clearing organization at which the swap will be cleared.

  • Scenario analysis

Prior to the execution of a swap transaction with us that is not "available for trading" (as such term is defined in the CFTC Regulations) on a designated contract market or swap execution facility (as such terms are defined in the Commodity Exchange Act and related CFTC regulations), you can request and consult on the design of a scenario analysis to allow you to assess your potential exposure in connection with such swap and we shall provide to you such analysis upon your request.

  • Updates:

Crédit Agricole CIB may, from time to time, update or supplement its Disclosures to reflect market and regulatory developments to which it is subject or to reflect changes in its own internal policies and procedures with respect to disclosure or notices to its counterparties. 

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