Pre-Trade Mid-Market Marks

The pre-trade mid-market mark of any Swap that we provide to you will not include amounts for profit, credit reserve, hedging, funding, liquidity, or any other costs or adjustments. Such pre-trade mid-market marks will be based on, as in our view is reasonable and appropriate, our valuation of such Swap and may utilize any one or more of our proprietary models, relevant prices, rates and any such other information, as we deem relevant. We will use assumptions in determining these pre-trade mid-market marks based on then current market conditions and our expectations for future conditions, in any case, as applicable for the relevant Swap. The pre-trade mid-market mark of a Swap will be based on the material terms of that 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 Master Agreement. The factors, assumptions and methodologies that we use to determine the pre-trade mid-market mark of a Swap will be based on such material terms.

We make no representations or warranties to you that the prices at which we offer or value Swaps are the best prices available for any Swap 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. Further, we make no representations or warranties to you that the price at which we value Swaps: (i) would equal the value that would be used for determining margin calls or collateral levels; or (ii) would be the same as the value at which the Swap is marked on our internal books and records.

You should not regard any pre-trade mid-market mark that we provide to be an offer to purchase, sell, enter into, replace or terminate the relevant Swap at that value or price, unless we identify that value or price as firm or binding with respect to a specific quantity or notional amount of the Swap.

We make no representations or warranties that any such pre-trade mid-market marks are suitable for your accounting or investment purposes, 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 we disclaim any liability for any such use or reliance thereon, whether losses or damages are direct, indirect, incidental or consequential, even if we are advised of their possibility.

We may calculate the pre-trade mid-market mark for a prospective uncleared Swap on a different basis than that which we use to determine the pre-trade mid-market mark for a similarly cleared Swap.

Please note, that you do not have the right to receive pre-trade mid-market marks for any Swap transaction that is initiated on a designated contract market or a swap execution facility. We may, nevertheless, provide you such marks at our discretion.

We will disclose to you any compensation or other incentives from any other sources other than yourselves, that we may receive in connection with a Swap.

Daily Marks (excluding Risk Participation Agreements)

The daily mark is calculated by CONA as of close of business (in New York City) on the date specified in the report. The daily mark contained in the report is presented from the perspective of the counterparty and is for informational purposes only and does not necessarily reflect a price at which such outstanding swap can be replaced or terminated.

The daily mark is intended as CONA’s good faith estimate of a “mid-market” price for the Swap as of the close of business on the date indicated. The daily mark for each non-cleared swap is prepared by discounting future cash flows of the Swap to arrive at a current value of the Swap.

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. Such forward curves and volatility levels are used to estimate future cash flows that are not certain (for example floating interest rates or options). In some cases, CONA may use probabilistic models, using probability measures deemed appropriate, to determine the expected value of future cash flows. These estimated cash flows, along with future cash flows 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 or, as then indicated and relevant, using the terms of the relevant Credit Support Annex. This daily mid-market mark does not include amounts for profit, credit reserve, hedging, funding, liquidity or any other costs or adjustments.

Additionally, CONA may, in its sole discretion, use a variety of methodologies to prepare the estimated cash flows described above, including without limitation, preparing Monte Carlo simulations and utilizing Black-Scholes and other mathematical pricing models. CONA may, in its sole discretion, alter the inputs used in such simulations and change or refine aspects of the modeling. Such changes and alterations may be unilaterally implemented at any time and CONA is under no obligation to disclose to you the methodology used or inputs thereto.

A swap’s value may not be readily observable in the market and is therefore often subjective. Accordingly, CONA’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, CONA 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, the daily mark may not be the price at which either party to the swap would agree to replace or terminate the Swap, and unless otherwise expressly agreed by you and CONA, calls for margin or collateral in connection with the swap may be based on considerations other than the daily mark that we provide to you, and the daily mark may not necessarily be the value of the Swap that is marked on CONA’s books and records.

Furthermore, CONA 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, CONA disclaims any liability for any such use or reliance thereon, whether losses or damages are direct, indirect, incidental or consequential, even if CONA is advised of their possibility.

We urge you to consult the documentation that you have been provided as part of your onboarding documentation containing disclosures relating to the daily mark, as well as additional information relating the methodologies and assumptions of CONA in calculating the daily mark; however, the methodology and certain inputs and assumptions used by the pricing models is confidential and proprietary information.

Daily Marks - Risk Participation Agreements (RPAs)

The daily mark is calculated by the Capital One, N.A. Swap Dealer as of close of business (in New York City) on the date specified in the report. The daily mark contained in the report is presented from the perspective of the counterparty and is for informational purposes only and does not necessarily reflect a price at which such outstanding non-cleared risk participation agreement (“RPA”) can be replaced or terminated. The daily mark is intended as the Capital One, N.A. Swap Dealer’s good faith estimate of a “mid-market” price for the non-cleared RPA as of the close of business on the date indicated. The daily mark for each non-cleared RPA is prepared based on the combination of the expected payoff and probability of the event giving rise to such payoff occurring. The expected payoff is determined based on the valuation of a series of options on the underlying swap trade terms. The probability of the event giving rise to such payoff occurring is determined through the use of proprietary internal models. For valuing the series of options, 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. Such forward curves and volatility levels are used to estimate future cash flows that are not certain. This daily mid-market mark does not include amounts for profit, credit reserve, hedging, funding, liquidity or any other costs or adjustments.

Additionally, the Capital One, N.A. Swap Dealer may, in its sole discretion, use a variety of methodologies to prepare the estimated cash flows described above, including without limitation, preparing Monte Carlo simulations and utilizing Black-Scholes and other mathematical pricing models.The Capital One, N.A. Swap Dealer may, in its sole discretion, alter the inputs used in such simulations and change or refine aspects of the modeling. Such changes and alterations may be unilaterally implemented at any time and the Capital One, N.A. Swap Dealer is under no obligation to disclose to you the methodology used or inputs thereto. A non-cleared RPA’s value may not be readily observable in the market and is therefore often subjective. Accordingly, the Capital One N.A. Swap Dealer’s daily mark may vary significantly from the mid-market mark provided by other market participants for a non-cleared RPA. To the extent that such marks may be based on inputs or information obtained from external sources, the Capital One, N.A. Swap Dealer 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. Non-cleared RPA prices will also differ among RPA participants based on the various factors used by market participants in quoting and executing RPAs and the underlying swaps, such as costs to cover the transaction risk, profits, credit spreads, underlying volatility, and credit support terms. Further, the daily mark may not be the price at which either party to the non-cleared RPA would agree to replace or terminate the non-cleared RPA, and unless otherwise expressly agreed by you and the Capital One, N.A. Swap Dealer, calls for margin or collateral in connection modeling the non-cleared RPA may be based on considerations other than the daily mark that we provide to you, and the daily mark may not necessarily be the value of the non-cleared RPA that is marked on the Capital One, N.A. Swap Dealer’s books and records. Furthermore, the Capital One, N.A. Swap Dealer 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, the Capital One, N.A. Swap Dealer disclaims any liability for any such use or reliance thereon, whether losses or damages are direct, indirect, incidental or consequential, even if the Capital One, N.A. Swap Dealer is advised of their possibility. We urge you to consult the documentation that you have been provided as part of your onboarding documentation containing disclosures relating to the daily mark, as well as additional information relating the methodologies and assumptions of the Capital One, N.A. Swap Dealer in calculating the daily mark; however, the methodology and certain inputs and assumptions used by the pricing models is confidential and proprietary information.