Dodd Frank Act - Swap Dealer Disclosures

Below you will find standard form disclosures published by the International Swap and Derivatives Association, Inc. (“ISDA”). ISDA’s disclosures will apply to all standard transactions entered into between you and Fifth Third Financial Risk Solutions (“FTFRS”). The General Disclosure Statement, in conjunction with the relevant Annex, details important information and disclosures regarding the risks, characteristics, incentives and conflicts of interest concerning a swap transaction. If a transaction requires more specific disclosures of material risk we will provide such disclosure either orally or in writing.

• General Disclosure Statement
• ISDA Commodity Derivatives Disclosure Annex
• ISDA FX Derivatives Disclosure Annex
• ISDA Interest Rate Derivatives Disclosure Annex

In the process of negotiating the terms of a swap with you, information about the material economic terms of the swap will generally be disclosed in the negotiation process. If you transact with us through the use of a trading platform, disclosure of the material economic terms will be communicated to you via the trading platform on which the swap is transacted. The terms provided below set forth material characteristics that would generally apply to any transaction of that type that we would execute with you. To the extent that the provisions of any specific swap trade would differ from the general terms detailed below or if any additional deal-specific terms exist, such terms will be disclosed to you prior to execution of the swap.

Interest Rate Swaps Terms

• Interest Rate Swap
• Floor/Cap/Collar

Commodity Swaps Terms

• Commodity Swap
• Commodity Option

Foreign Exchange Terms

• Foreign Exchange Non-Deliverable Forward
• Foreign Exchange Time Option
• Foreign Exchange Option

The rights and obligations of the parties during the term of the swap, as well as its operational terms, will be included in the documentation governing the swap transaction.

These documentations may include the following:

• ISDA Master Agreement & Credit Support Documentation
• ISDA Protocols
• Bilateral Dodd-Frank Agreement

As a registered swap dealer, Commodity Futures Trading Commission("CFTC") rules require that Fifth Third Bank, National Association ("FTB") make a disclosure to you that applies when you are posting initial margin for uncleared swaps:

Initial Margin Segregation Disclosure

To the extent that your company posts “Initial Margin” (defined by the CFTC as money, securities, or property posted by a party to a swap as performance bond to cover potential future exposures arising from changes in the market value of the position) with respect to any uncleared swap that is executed with us after receipt of this notice, your entity has the right to elect that its Initial Margin be segregated with an independent third party in accordance with CFTC Rules 23.702 and 23.703. We have identified The Bank of New York Mellon as an acceptable independent custodian for Initial Margin segregation. The terms of our swap transactions with you may provide for you to reimburse us for the costs of such custodial arrangements, or alternatively, we may reflect such costs in the economic terms of swap transactions we offer you.

For reference purposes, below is an indicative Initial Margin segregation fee schedule. Please note that this fee schedule is only applicable if Initial Margin segregation is elected. This schedule is for indicative purposes only and may be subject to change by the third-party custodian.

Fee Type	Amount	Frequency
Relationship Fee	$15,000	At custodial account opening and annually thereafter
Tri-Party Account Fee	$15,000	At account opening and annually thereafter
Dispute Notice Fee	$10,000	Starting the day the dispute is delivered up to and including the year it is settled
Securities Custody Fee	5 bps	Monthly

 

If you elect to require segregation, you will need to negotiate and execute a definitive agreement with the Bank of New York Mellon (or with another custodian acceptable to yourself and FTB) prior to entering into any further uncleared swaps with FTB. Further, you will be responsible for establishing the required communication and data information exchange capabilities with your selected custodian. Finally, if you elect to require segregation, your existing Credit Support Annex will need to be amended, where applicable.

Please note that this notification applies only to Initial Margin and not to Variation Margin, which is defined by the CFTC as a payment made by or collateral posted by a party to a swap to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market.

If you elect to require Initial Margin segregation in connection with any uncleared swap transaction, please contact your FTB swap contact. In the absence of such a communication, FTB will consider you not to require segregation of Initial Margin for purposes of the CFTC Regulations with respect to any future uncleared swaps you execute with us.

This notification is deemed to be repeated prior to the execution of each swap transaction with FTB.

Many of the disclosures provided on this website were developed by ISDA. These documents cover a broad range of terms, conditions, product types and features that may not be relevant to the transactions you enter into with FTFRS. ISDA owns the copyright in these documents and in no event may any copyright or trademark notice from ISDA be removed from such document. In addition, any ISDA document'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.

FTFRS, as a registered swap dealer, is required to provide a pre-trade mid-market mark to certain counterparties for any swaps pursuant to CFTC Regulation 23.431(a)(3)(i).

To satisfy this disclosure requirement FTFRS will provide the pre-trade mid-market mark to you either (1) in writing via electronic mail to your email address or (2) orally over the phone.

The pre-trade mid-market mark of a swap will not be adjusted for credit reserve, hedging, funding, liquidity, or any other costs or adjustments. The pre-trade mid-market mark is not an offer to enter into or terminate the relevant swap at that value or price.

FTFRS determines the pre-trade mid-market mark by discounting future cash flows of the swap to arrive at a current value. FTFRS valuation models may use spot, forward and/or volatility values and may take into account past, present and future market conditions. The pre-trade mid-market mark will be based on the material terms of the swap, and may also be based on the material terms of any other agreement between us concerning such swap including, but not limited to, an ISDA agreement.

FTFRS makes no representations or warranties to you that the prices at which FTFRS offers or values swaps are the best prices available 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.

FTFRS makes no representations or warranties that the pre-trade mid-market mark is suitable for 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, except as otherwise agreed, FTFRS disclaims any liability for any such use or reliance thereon, whether losses or damages are direct, indirect, incidental or consequential, even if FTFRS is advised of their possibility.

FTFRS is required to provide a post-trade daily mark to certain counterparties for any swaps pursuant to CFTC Regulation 23.431(d). To satisfy this disclosure requirement FTFRS will provide daily mark to you via e-mail.

FTFRS calculates the daily mark(s) as of the close of business on the prior day on which commercial banks were open for general business in New York, New York (including dealings in foreign exchange and foreign currency deposits).

The swap values set forth in the daily mark statement to you are stated from your perspective, therefore providing the indicative value of a particular swap to you.

The daily mark of a swap will not be adjusted for credit reserve, hedging, funding, liquidity, or any other costs or adjustments. The daily mark is not an offer to enter into or terminate the relevant swap at that value or price.

FTFRS determines the daily mark by discounting future cash flows of the swap to arrive at a current value. FTFRS valuation models may use spot, forward and/or volatility values and may take into account past, present and future market conditions. The daily mark will be based on the material terms of the swap, and may also be based on the material terms of any other agreement between us concerning such swap including, but not limited to, an ISDA agreement.

A swap’s value may not be readily observable in the market and is therefore often subjective. Accordingly, FTFRS’s daily mark may vary significantly from the mid-market mark provided by other market participants for a swap. To the extent that such marks may be based on inputs or information obtained from external sources, FTFRS believes any such sources to be reliable but makes no representations or warranties with respect to the accuracy, reliability, or completeness of such data or information, or the resulting daily mark. Swap prices will also differ among swap participants based on the various factors used by market participants in quoting and executing swaps, such as costs to cover the transaction risk, profits, credit spreads, underlying volatility, and credit support terms. Further, FTFRS’ daily mark may not necessarily be a price at which either you or FTFRS would agree to replace or terminate the particular swap, and unless otherwise expressly agreed by you and FTFRS, calls for margin may be based on considerations other than the daily mark provided to you, and FTFRS’ daily mark may not necessarily be the value of the swap that is marked on the books of FTFRS.

FTFRS makes no representations or warranties to you that the prices at which FTFRS offers or values swaps are the best prices available 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.

Furthermore, FTFRS makes no representations or warranties that any such post-trade daily marks are suitable for 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, except as otherwise agreed, FTFRS disclaims any liability for any such use or reliance thereon, whether losses or damages are direct, indirect, incidental or consequential, even if FTFRS is advised of their possibility.

FTFRS’ policy is to engage in portfolio reconciliation with its counterparties in accordance with applicable law and regulation. The Swap portfolio reconciliation process is designed to reduce operational risk by minimizing disputes and facilitating dispute resolution regarding counterparties’ existing swaps positions. If you are a FTFRS counterparty that has not yet agreed in writing on the terms of portfolio reconciliation with FTFRS, then we request that you do so. 

The terms of any swap transaction that you enter with FTFRS will be set forth in a confirmation evidencing the transaction, including any terms incorporated by reference therein. Any confirmation we directly provide to you in respect of a swap transaction will supersede the information on this website and, to the extent inconsistent, such confirmation will control.

Please find additional information related to the potential LIBOR discontinuation on our LIBOR Update Center (link: www.53.com/libor-transition). Check back here for ongoing updates on this topic.