CIBC Capital Markets Dodd-Frank Disclosures
In accordance with Title VII of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, prior to entering into a swap transaction, CIBC Capital Markets, a Swap Dealer, must provide several disclosures to a counterparty who is not a Swap Dealer (SD), Major Swap Participant (MSP), Security Based Swap Dealer (SBSD) or Major Security Based Swap Participant (SBMSP).
Disclosures maintained on this website are applicable to multiple swaps. The specific swaps to which these disclosures may apply to are listed in the below attachment.
This website will be updated regularly with various Risk Disclosures and static Material Economic Terms (METs) and is accessible to all clients. Throughout these Disclosures, “you”, “your” and “yours” shall refer to the CIBC Capital Markets’ counterparty, and “we”, “our”, “ours” and “us” will refer to CIBC Capital Markets.
General CIBC Capital Markets Disclosures
Swap Dealers are required to provide a notice to each counterparty that contains the physical address, email or other widely available electronic address and telephone number of the department of the Swap Dealer to which any complaints may be directed. You may direct complaints via email to the Dodd-Frank Complaints Mailbox.
Swap dealers, when acting as a reporting counterparty for transactions executed off-facility, must transmit to the counterparty the identity of the Swap Data Repository (SDR) to which primary economic terms (PET) data is reported. All swap transactions subjected to transaction reporting with CIBC Capital Markets clients are reported to the DTCC Data Repository (U.S.) LLC.
Counterparty Representations under the U.S. Commodity and Futures Trading Commission's (CFTC) Cross-Border Guidance.
Please note that for the purpose of any questions posed or information requested by CIBC Capital Markets from its existing or potential counterparties to swap transactions to appropriately determine their cross border status under CFTC rules, the terms "U.S. Person", "U.S. Person Guarantees", or "Affiliate Conduit" shall have the meaning or criteria set forth in the "Interpretive Guidance and Policy Statement Regarding Compliance with Certain Swap Regulations": http://www.cftc.gov/LawRegulation/FederalRegister/FinalRules/2013-17958a issued by the CFTC, as amended, supplemented or modified from time to time by the CFTC.
CIBC Capital Markets strongly encourages you to provide formal written representations using the standard representation template developed by the International Swaps and Derivatives Association (ISDA); the "Cross Border Representation Letter" via Markit's ISDA Amend utility (available at http://www.markit.com/product/isda-amend). This shall ensure that your status is reflected accurately, taking into account all relevant factors necessary to determine such status for application of relevant CFTC Rules issued under Dodd-Frank.
Please refer to the following link for a copy of the ISDA Cross Border Swaps Representation Letter which also includes the definitions or factors relevant to determining counterparty's cross border status as a "U.S. Person", "Guaranteed Affiliate", or "Conduit Affiliate" under CFTC's Cross Border Guidance: http://www2.isda.org/attachment/NTgyNA==/Cross_Border_Rep_Letter_Final.doc . The most efficient way of providing the ISDA Cross Border Representation is via the Cross Border Representation functionality of ISDA Markit Amend: http://www.markit.com/product/isda-amend.
ISDA Risk Disclosures
ISDA created standard industry documentation, such as general and product specific risk disclosures, to assist regulated swap entities in satisfying their on-going regulatory requirements and to allow other entities to continue trading with regulated swap entities. The following disclosures are meant to capture general risks of swap transactions related to the following asset classes: interest rates, foreign exchange rates and currencies, credit instruments, asset-backed instruments, equities and commodities. The latest published documents are attached below:
- General Disclosure Statement for Transactions
- Disclosure Annex for Commodity Derivative Transactions
- Disclosure Annex for Equity Derivative Transactions
- Disclosure Annex for Interest Rate Transactions
- Disclosure Annex for Foreign Exchange Transactions
- Disclosure Annex for Credit Derivative Transactions
- ABS Swaps Disclosure Annex
Material Economic Terms (METs) Disclosures
Disclosure Statement regarding transaction terms
This Disclosure Statement describes the manner in which the terms of a Transaction, as defined in the General Disclosure Statement for Transactions, between CIBC Capital Markets and you may be defined.
Before entering into any Transaction, you should conduct a thorough and independent evaluation of the terms of the Transaction in light of your particular circumstances and the nature and extent of your exposure to, and willingness to incur, risk. You should also consider whether the Transaction is appropriate for you in light of your experience, objectives, financial and operational resources and other relevant circumstances. Unless expressly agreed in writing, we are not providing you with legal, financial, tax, accounting or other advice in connection with any Transaction.
The terms of any Transaction that CIBC Capital Markets and you enter into will be set forth in the confirmation or other agreement evidencing the Transaction, including any terms incorporated by reference therein. Any Transaction that CIBC Capital Markets and you enter into will be subject to the terms that CIBC Capital Markets and you and expressly agree to and the exceptions below:
(1) Specified prior transaction, form confirmation or terms spreadsheet. If we notify you that the Transaction will have the terms set forth in a specified prior transaction, form confirmation or terms spreadsheet, the Transaction will have such terms, subject to any express agreement between CIBC Capital Markets and you in connection with the Transaction.
(2) Master confirmation agreement. If (1) does not apply and CIBC Capital Markets and you are party to a master confirmation agreement that governs the Transaction, the Transaction will have the terms set forth in the master confirmation agreement, subject to any express agreement between CIBC Capital Markets and you in connection with the Transaction.
(3) Unspecified prior transaction. If neither (1) nor (2) applies and CIBC Capital Markets and you have previously entered into a transaction of the same type, the Transaction will have the terms set forth in the most recent transaction of the same type that CIBC Capital Markets and you entered into, subject to any express agreement between CIBC Capital Markets and you in connection with the Transaction.
The description above of the manner in which the terms of any Transaction that CIBC Capital Markets and you enter into will be determined is subject to the following important exceptions.
(A) If CIBC Capital Markets and you enter into a Transaction that is cleared through a clearinghouse or executed through a trading platform that prescribes the terms of the Transaction, the Transaction will have the terms specified by the applicable clearinghouse or trading platform and, subject to the rules of the clearinghouse or trading platform, any additional terms that CIBC Capital Markets and you expressly agree upon in connection with the Transaction.
(B) If CIBC Capital Markets and you enter into a Transaction for “give-up” to a third party, the terms of the Transaction will be subject to the terms of any agreement with that third party.
Pursuant to CFTC regulation 23.431(b), prior to any Swap Transaction Event with respect to any Swap that is not “available for trading” (as such term is defined in the CFTC Regulations) on a DCM or SEF, you can request, and consult on the design of, a scenario analysis to allow you to assess its potential exposure in connection with such Swap.
Please contact your CIBC Capital Markets Salesperson to request a scenario analysis.
Pre-Trade Mid-Market Marks and Daily Marks
Under applicable CFTC regulations, CIBC Capital Markets is required to deliver pre-trade mid-market marks and daily marks to all non-Swap Dealer or non-Major Swap Participant counterparties. There is no provision that allows you to opt out of the daily mark requirement. You must elect whether they want to receive pre-trade mid-market marks orally or in writing. In the event the counterparty does not make this election, CIBC Capital Markets will disclose the pre-trade mid-market mark in writing.
This daily mark is indicative, as at the date noted, and does not reflect terms under which we are committing ourselves to transact. This mark is not an offer to enter into, transfer or assign any transaction. This is a mid-market mark, which does not include amounts for profit, credit reserve, hedging, funding, liquidity, or any other costs or adjustments.
The mid-market mark for each of the listed transactions displayed on this statement represents the change in the net present value (“NPV”) of the future cash flows, measured from the trade date to the date of this statement. The future cash flows are those known under the terms of the transaction or estimated using future rates and prices implied by current mid-market rates and prices determined using the process as outlined below. The resulting cash flows are then discounted using the appropriate discount factor from the swap yield curve in the relevant currency. If such currency is not the currency in which the mid-market mark is reported, it has been converted to the reporting currency at the spot rate of exchange disclosed in this statement.
The mid-market mark of an OTC derivative is based on quoted mid-market prices or third-party consensus pricing for those factors that have a direct impact on the transaction. Where quoted market prices or third-party consensus pricing information are not available, valuation techniques are employed to estimate the mid-market mark on the basis of pricing models. Such vetted pricing models incorporate current mid-market measures for interest rates, currency exchange rates, equity and commodity prices and indices, credit spreads, corresponding market volatility levels, and other market-based pricing factors. CIBC Capital Markets may provide you a two-way market (i.e. bid and offer) prior to transacting in a Foreign Exchange Swap or Foreign Exchange Forward. In the case where you receive a two-way market from CIBC Capital Markets, you may calculate the pre-trade mid-market mark by taking the arithmetic average of the bid and offer prices provided, unless otherwise noted
In determining the mid-market mark of complex and customized derivatives, such as equity, credit, and commodity derivatives written in reference to indices or baskets of reference securities, we consider all reasonably available information including any relevant observable market inputs, third-party consensus pricing inputs, indicative dealer and broker quotations, and our own internal model-based estimates, which are vetted and pre-approved in accordance with our model risk policy and regularly and periodically calibrated. The model calculates amounts based on inputs specific to the type of contract, which may include stock prices, correlation for multiple assets, interest rates, foreign exchange rates, yield curves, and volatility surfaces. Where observable prices or inputs are not available, management judgment is required to determine fair values by assessing other relevant sources of information such as historical data, proxy information from similar transactions, and through extrapolation and interpolation techniques.
Valuations or marks provided by other parties or determined for the purposes of your financial or regulatory disclosure may not necessarily yield the same result and may vary significantly. Marks provided by other dealers, and the price at which the identified transaction could actually be unwound, may be less favorable than our mark due to various factors, including our own hedging positions. The marks provided above may not necessarily be the value of the transaction that is marked on CIBC Capital Markets’ books. Calls for margin may be based on considerations other than the marks provided above.
If the OTC transaction identified above was undertaken as part of an asset swap transaction or as a hedge for a structured debt obligation you issued, generally the change in value of the related debt obligation should roughly offset a change in the value of the OTC transaction, subject to potential differences attributable to the credit spread of the issuer, which is not taken into account in our mark of the OTC transaction.
If a structured bond you bought from us is identified above, please note that its valuation is derived by adjusting the issue price of the bond by our estimate of the value of unwinding the OTC transaction that hedges the issuer’s obligations under the bond, using the issuer’s funding levels implied at the date of issue. The information provided is not a valuation of the price at which the bond could be redeemed or sold. That price is likely to be significantly less favorable to you because our valuation does not take into account the bid/asked spread on the funding component of the bond’s price or any applicable early redemption fee or trading charge. Our valuations normally include accrued interest.
With respect to each cleared Swap originally executed between you and CIBC Capital Markets, you will obtain daily marks for such cleared Swap from the FCM through which you clear such cleared Swap or the relevant DCO.
We believe the above information to be accurate, but we assume no liability for errors. We will not be liable for any use, or any reliance by you on the information above or the information contained in any valuation. We make no representation or warranty in relation to any such information, whether as to the correctness, completeness, sufficiency or reliability for any purpose of such information, any entitlement of you to receive, use or rely on such information or otherwise. By agreeing to trade with CIBC Capital Markets, you also agree that CIBC Capital Markets incurs no liability as to any losses you may incur in connection with any representations, errors or omission on our part, our related or associated companies or by any of their respective officers, employees or agents.
Potential Conflicts of Interests
If CIBC Capital Markets determines that it may have a conflict of interest in connection with a particular swap or that it may have received compensation or other material incentives from a source other than the counterparty to the swap in connection with such swap, CIBC Capital Markets will notify such counterparty of such apparent conflicts of interest or material incentives. CIBC Capital Markets is required to manage any conflicts of interest in connection with any transaction as part of the CIBC Code of Conduct.
If you have any questions, please contact your CIBC Capital Markets Salesperson.
Upon acceptance of a swap by a DCO:
- (i) the original swap is extinguished
- (ii) The original swap is replaced by equal and opposite swaps with the DCO; and
- (iii) All terms of the swap shall confirm to the product specifications of the cleared swap established under the DCO’s rule
Swaps Required to be Cleared
If you are not a Regulated Swap Entity, with respect to any Swap entered into between you and CIBC Capital Markets under any applicable agreement that is subject to the mandatory clearing requirements under Section 2(h) of the Commodity Exchange Act, you have the sole right to select the DCO at which the Swap will be cleared. We are not obligated, however, to execute a swap for clearing on a DCO where CIBC Capital Markets does not have clearing rights through direct membership or through a clearing intermediary.
Swaps Not Required to be Cleared
If you are not a Regulated Swap Entity, with respect to any Swap entered into you and CIBC Capital Markets under any applicable agreement that is not subject to the mandatory clearing requirements under Section 2(h) of the Commodity Exchange Act, you may elect to clear such Swap and have the sole right to select the DCO at which the Swap will be cleared. We are not obligated, however, to execute a swap for clearing on a DCO where CIBC Capital Markets does not have clearing rights through direct membership or through a clearing intermediary
Segregation of Assets Held as Collateral in Uncleared Swap Transactions Disclosures
You have the right to require that any Initial Margin for the applicable Transaction be segregated in accordance with Regulation 23.702 and 23.703 except in those circumstances where segregation is mandatory. Upon request, CIBC Capital Markets and you will identify one or more custodians, one of which must be a creditworthy and of which must be a legal entity independent of both CIBC Capital Markets and you, as an acceptable depository for segregated Initial Margin.
For counterparties who elect not to segregate Initial Margin, CIBC Capital Markets is required to, on a quarterly basis, report to each counterparty whether or not the back office procedures of the CIBC Capital Markets relating to margin and collateral requirements were, at any point during the previous calendar quarter, not in compliance with the agreement of the counterparties.
CIBC Capital Markets is a trademark brand name under which different legal entities provide different services. Products and/or services offered by the Canadian Imperial Bank of Commerce include corporate lending services, foreign exchange, money market instruments, structured notes, interest rate products and OTC derivatives. CIBC’s Foreign Exchange Disclosure Statement relating to guidelines contained in the FX Global Code can be found at www.cibccm.com/fxdisclosure. Other products and services, such as exchange-traded equity and equity options, fixed income securities and futures execution of Canadian securities, are offered through directly or indirectly held subsidiaries of CIBC as indicated below.
CIBC World Markets Inc. is a member of the Canadian Investor Protection Fund and the Investment Industry Regulatory Organization of Canada. In the United States, CIBC World Markets Corp. is a member of the Financial Industry Regulatory Authority and the Securities Investor Protection Fund. CIBC World Markets plc is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and Prudential Regulation Authority. CIBC World Markets Securities Ireland Limited is regulated by the Central Bank of Ireland.
Canadian Imperial Bank of Commerce, Sydney Branch (ABN: 33 608 235 847), is an authorized foreign bank branch regulated by the Australian Prudential Regulation Authority (APRA). CIBC Australia Ltd (AFSL No: 240603) is regulated by the Australian Securities and Investment Commission (“ASIC”). CIBC World Markets (Japan) Inc. is a member of the Japanese Securities Dealer Association. Canadian Imperial Bank of Commerce, Hong Kong Branch, is a registered institution under the Securities and Futures Ordinance, Cap 571. Canadian Imperial Bank of Commerce, Singapore Branch, is an offshore bank licensed and regulated by the Monetary Authority of Singapore.