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.