Natixis (“we”, “us”, “Natixis”) is registered as a swap dealer with the Commodity Futures Trading Commission (“CFTC”) and a security-based swap dealer with the Securities and Exchange Commission (“SEC”). As a non-US swap dealer and non-US security-based swap dealer, Natixis must comply with several regulatory requirements of the Dodd–Frank Wall Street Reform and Consumer Protection Act and related CFTC and SEC regulations regarding the communication of material disclosures to certain counterparties or prospective counterparties prior to entering into any over-the-counter derivatives transactions known as “swaps”, as defined by the CFTC or “security-based swaps” as defined by the SEC. The disclosures below are intended to provide you, as a swaps/security-based swaps counterparty or representative of a swaps/security-based swaps counterparty, with information regarding the material risks, material terms and characteristics, and material incentives and conflicts of interest as well as the daily mid-market mark associated with swaps/security-based swaps you may enter into with Natixis.
Before entering into a swap/security-based swap transaction with Natixis, we recommend that you read and understand the relevant disclosures provided below and seek any advice that you consider necessary or desirable. If you have any questions regarding the disclosures provided below, or with respect to any particular swap/security-based swap transaction you are considering entering into with Natixis, please contact your Natixis sales representatives. These disclosures of material information are not required to swap dealers, major swap participants, security-based swap dealers, major security-based swap participants, or non-US persons.
Natixis is required to make disclosures regarding the material risks of swap/security-based swap transactions, including market, credit, liquidity, foreign currency, legal, operational risks, and other applicable risks.
The International Swaps and Derivatives Association (“ISDA”) makes available certain documents that describe the material risks of swap and security-based swap transactions. The following links refer to ISDA documents regarding material risks. The General Disclosure Statement (whose link is provided below) describes the material risk characteristics of a variety of swaps, while various Asset-Specific Disclosures (whose links are provided below) describe the material risk characteristics of specific classes of swaps. The General Disclosure Statement should be read in conjunction with the relevant Asset-Specific Disclosure for a given swap transaction.
Further to the disclosures provided below, other disclosures may apply from time to time depending on the swap transaction being contemplated, particularly in the case of bespoke or customized swaps. When applicable, you should examine carefully these additional disclosures.
|July, 2022||General Disclosure Statement|
|February, 2019||ABS Swap Disclosure Annex|
|February, 2019||Commodities Derivatives Disclosure Annex|
|October, 2018||Credit Derivatives Disclosure Annex|
|November, 2018||Equity Derivatives Disclosure Annex|
|October, 2018||FX Disclosure Annex|
|March, 2018||Interest Rate Derivatives Disclosure Annex|
|October, 2020||IBOR Alternative Reference Rates Disclosure Annex|
Material Terms & Characteristics
Natixis is required to make disclosures of the material terms and characteristics of swap and security-based swap transactions, including the material economic terms of, the terms relating to the operation of, and the rights and obligations of counterparties during the term of, a relevant swap/security-based swap. The following links refer to ISDA documents regarding material characteristics.
Please be advised that this information does not supersede in any way the information contained in any applicable transaction-level and relationship-level documentation you have exchanged or will exchange with us including, without limitation, any term sheet, confirmation, master agreement, or master confirmation agreement.
Please also be advised that your use of this documentation shall follow the owners’ applicable terms and conditions. If you have any questions on the material terms and characteristics of the swap/security-based swap transactions or on the information provided below, please contact your Natixis sales representative.
|1992 ISDA Master Agreement (Local Currency – Single Jurisdiction)|
|1992 ISDA Master Agreement (Multicurrency – Cross Border)|
|User’s Guide to the 1992 ISDA Master Agreements|
|2002 ISDA Master Agreement|
|User’s Guide to the 2002 ISDA Master Agreement|
|ISDA Commodities Documentation Matrix|
|2005 ISDA Commodity Definitions|
|Supplement to Sub-Annex A to the 2005 ISDA Commodity Definitions|
|North American Loan CDS and LCDX Documentation
|2000 ISDA Definitions|
|2003 ISDA Credit Derivatives Definitions|
|2003 ISDA Credit Derivatives Definitions (incorporating the May 2003 Supplement and the July 2009 Supplement)|
|2006 ISDA Definitions|
|2014 ISDA Credit Derivatives Definitions|
|2019 Narrowly Tailored Credit Event Supplement to the 2014 ISDA Credit Derivatives Definitions|
|1994 ISDA Equity Option Definitions|
|1996 ISDA Equity Derivatives Definitions|
|2002 ISDA Equity Derivatives Definitions|
|User’s Guide to the 2002 ISDA Equity Derivatives Definition|
|2007 Full Lookthrough Depository Receipt Supplement to the 2002 Equity Derivatives Definitions|
|2007 Partial Look-through Depository Receipt Supplement to the 2002 ISDA Equity Derivatives Definitions|
|2006 ISDA Definitions|
|2006 ISDA Fund Derivatives Definitions|
|2011 ISDA Equity Derivatives Definitions|
|Appendix to the Main Book of the 2011 ISDA Equity Derivatives Definitions|
|1998 FX and Currency Options Definitions|
|User’s Guide to the 1998 FX and Currency Options Definitions|
|Compendium of Amendments to Annex A to the 1998 FX and Currency Option Definitions|
|GFMA Material Swap Characteristics|
|EMTA FX and Currency Derivatives Documentation|
|EMTA FX and Currency Derivatives Current Templates|
|2006 ISDA Definitions|
Confirmations can be provided for each asset class upon request.
Material Incentives and Material Conflicts of Interest
Natixis is required to make disclosures regarding the material incentives and conflicts of interest that may arise between you and Natixis in connection with Natixis entering into swaps/security-based swap with you. Conflicts of interests can arise in particular when Natixis has an economic or other incentive to act, or persuade you to act, in a way that favors Natixis or its affiliates. The General Disclosure Statement (whose link is provided above) describes typical material incentives and conflicts of interest that Natixis may have with respect to swap/security-based swap transactions it enters into. It should be read in conjunction with the additional disclosure of material incentives and conflicts of interest described below.
Applicable law permits you to choose the clearing organization (“Clearing House”) to which you submit a swap for clearing. You should be aware that Natixis may not be a member of, or may not otherwise be able to submit your swap to, the Clearing House of your choice. Natixis consequently has an incentive to persuade you to use a Clearing House of which Natixis or its affiliate is a member.
In addition, an exchange (i.e., designated contract market), swap execution facility (each, a “Trading Facility”), or Clearing House may from time to time have in place other arrangements that provide their members or participants with volume, market-making or other discounts or credits, may call for members or participants to pre-pay fees based on volume thresholds, or may provide other incentive or arrangements that are intended to encourage market participants to trade on or direct trades to that Trading Facility or Clearing House. Natixis or an affiliate may participate in and obtain financial benefits from such incentive programs. When we provide execution services to you, we may direct orders to affiliated or unaffiliated market-makers, other executing firms, individual brokers or brokerage groups for execution. When such affiliated or unaffiliated parties are used, they may, where permitted, agree to price concessions, volume discounts or refunds, rebates, or similar payments in return for receiving such business.
Finally, where permitted by applicable law (including, where applicable, the rules of the applicable Trading Facility), Natixis, its directors, officers, employees, and affiliates may act on the other side of your order or transaction by the purchase or sale for an account, or the execution of a transaction with a counterparty, in which Natixis or a person affiliated with Natixis has a direct or indirect interest, or may affect any such order with a counterparty that provides Natixis or its affiliates with discounts related to fees for swap/security-based swap transactions. In cases where we have offered you a discounted commission or clearing fee for swap transactions executed through Natixis as agent or with Natixis or its affiliate acting as counterparty, Natixis or its affiliate may be doing so because of the enhanced profit potential resulting from acting as executing broker or counterparty.
Pursuant to CFTC Rule 23.431(d) and SEC Rule 240.15Fh-3(c), Natixis, a “swap dealer” and “security-based swap dealer” registered with the CFTC and SEC* respectively, is required to provide you informational disclosures regarding a daily mid-market mark (the Mark) for uncleared swaps or uncleared security-based swap (SBS) entered into by you with Natixis. The Mark is provided to you electronically or via website access free of charge by Natixis and is intended solely for your use. The Mark is provided to you for information purposes only and does not constitute a recommendation of a swap/SBS or swap/SBS trading strategy and shall not constitute investment advice.
The disclosures contained in this notification only apply when:
– You are a “U.S. person” as defined by the CFTC or SEC depending on the governing regulatory body (subject to any final cross-border guidance from the CFTC or SEC); and
– You are not a “swap dealer”, “major swap participant”, “security-based swap dealer”, or “major security-based swap participant”, in each case as defined in Section 1a of the Commodity Exchange Act and the rules and regulations promulgated thereunder (the CEA).
For any cleared swap/SBS originally executed by you with Natixis, you have the right to receive a Mark from the relevant derivatives clearing organization.
The Mark for each swap/SBS is prepared by discounting future cashflows of the swap/SBS to arrive at a current fair market value. For each asset class, forward curves and volatility levels are determined on the basis of observable market inputs when available and on the basis of estimates when observable market inputs are not available. These forward curves and volatility levels are used to estimate future cashflows that are not certain (for example floating interest rates or options). In some cases, Natixis may use probabilistic models to determine the expected value of future cashflows under an appropriate probability measure. These estimated cashflows, along with future cashflows that are known with certainty, are then discounted to their present value using discount factors derived from relevant market inputs for the relevant asset class.
For uncleared swaps/SBS, Natixis will disclose (i) the methodology and assumptions used to prepare the Mark and (ii) any material changes to the calculation of the Mark during the term of the swap/SBS, provided however, that Natixis will not disclose any confidential, proprietary information about any model.
Pre-Trade Mid-Market Mark (PTMMM)
Pursuant to CFTC Rule §23.431(a)(3), the pre-trade mid-market mark (PTMMM) is provided prior to executing a swap with a US Person (that is not a swap dealer or major swap participant). Using various methodologies, the PTMMM is the “mid”-market value derived from the present value of a swap which may be based on internal pricing models and/or third-party pricing sources. It may not include amounts for profit, credit reserve, hedging, funding, liquidity, or any other costs or adjustments. The PTMMM is time sensitive and must be refreshed for every updated price to the counterparty.
The International Swaps and Derivatives Association, Inc. (ISDA) holds copyright on certain ISDA documents and that such works may not be reproduced or distributed without ISDA’s written permission except the ISDA Master Agreements, ISDA Credit Support Documents and standardized general and product specific risk disclosures published by ISDA, which may be reproduced and distributed solely for use in documenting specific commercial transactions. In no event may any copyright or trademark notice be removed. The use of such ISDA documents should be undertaken only after securing appropriate legal advice on its provisions. Natixis or ISDA makes no warranty, express or implied, concerning the respective instruments’ 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 these instruments. ISDA documents are provided on an “as is” and “as available” basis. ISDA does not warrant that access to any product will be uninterrupted, secure, complete, or error free. ISDA AND ANY THIRD PARTY SUPPLIER EXPRESSLY DISCLAIM ALL WARRANTIES, INCLUDING THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE, PERFORMANCE. ISDA, its officers, directors, employees, subcontractors, agents, successors or assigns (collectively “Covered Parties”) shall not be liable for any loss, injury, claim, liability or damage of any kind whatsoever resulting from, arising out of or in any way related to: (a) any errors in or omissions from the ISDA documets; (b) your use of the ISDA documents; (c) your use of any equipment or software in connection with the ISDA documents; or (d) any delay or failure in performance.
The aggregate liability of the Covered Parties in connection with any other claim arising out of or relating to the ISDA Content shall not exceed $500.00. In no event shall the Covered Parties be liable for any special, indirect, incidental or consequential damages of any kind whatsoever (including, without limitation, attorneys’ fees), lost profits or lost savings in any way due to, resulting from or arising in connection with the ISDA documents contained therein, regardless of any negligence of the Covered Parties.