Abbey National Treasury Services plc (ANTS) is registered with the Commodities Future Exchange Commission (CFTC) as a non-US swap dealer (LEI number: R83QYRLEMH4ZSHI0L097) pursuant to Title VII of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). The Dodd-Frank Act imposes regulatory requirements on swap dealers including business conduct standards  with respect to the execution of swaps with certain counterparties (particularly US counterparties that are not swap dealers, major swap participants, security-based swap dealers or major security-based swap participants).

These business conduct standards mandate that ANTS  provide certain disclosures of material information disclosures prior to entering into a swap transaction with its swap counterparties.

If you are a swap dealer, major swap participant, security-based swap dealer or major security-based swap participant or are not a U.S. person, the disclosures outlined below are not intended nor provided for your use.


Material Risk Disclosures
Pursuant to the CFTC’s rules, ANTS, as a swap dealer, is required  to disclose the following material information concerning the swap prior to trade:

  • The material risks associated with the particular swap; including market, credit, liquidity, foreign currency, legal, operational, and any other applicable risks.
  • The material characteristics of the particular swap, including the material economic terms of the swap, the terms relating to the operation of the swap and the rights and obligations of the parties during the term of the swap.

Provision of Material Risk Disclosures
In compliance with such disclosure obligations, we are hereby providing you with the ISDA General  Disclosure Statement and Disclosure Annex relating to particular swap transaction type describing the following:

  • Material characteristics and risks of swaps transactions
  • Material characteristics of swaps transactions related to certain underlying reference assets
  • Material incentives and conflicts of interests that might exist when entering into a swap transaction with ANTS.

The disclosures documents may be found here

You should not construe the content of any material or disclosures provided as legal, financial, tax, accounting or other advice, and you should consult your own attorney, financial advisor, tax advisor or accountant as to legal, financial, tax, accounting and related matters concerning the material and disclosures provided.


In the context of discussing, proposing or entering into a swap with ANTS, you should refer to any transaction-specific disclosures, material economic terms and any other documentation provided to you by ANTS, as well as to the disclosures provided in this communication. Any reference in the provided material and disclosures to any websites should be considered to mean any successor website, as applicable.

Copyright for ISDA disclosures
This disclosure and access to the documents to which this disclosure is hyperlinked are being provided pursuant to the requirements of the CFTC’s rules without verification that we are subject to the requirements of the CFTC’s rules in connection with all derivative transactions with you.  ISDA (or its affiliates) holds copyrights to certain of the documents to which hyperlinks are provided in this disclosure.  Those documents may not be reproduced or distributed without ISDA’s written permission, as applicable; provided, however, that the ISDA Master Agreements, ISDA Credit Support Documents and standardized general and product specific risk disclosures published by ISDA and other documents expressly excepted on ISDA’s website, as applicable, may be reproduced and distributed solely for use in documenting specific commercial transactions. ISDA provides certain disclaimers to the documents to which hyperlinks are provided in this disclosure and should be read in conjunction with this disclosure. Additionally, the transaction documentation may contain disclaimers of liabilities that you should review.


Pursuant to the CFTC’s rules, as a swap dealer, ANTS is required to disclose at a reasonable time prior to trade, along with the price of the swap, the mid-market mark of such swap. (Pre-Trade Mid-Market Mark).

Pre-Trade Mid-Market Mark Disclosure
To satisfy this requirement, ANTS will provide the Pre-Trade Mid-Market Mark to you either:

  • in writing via electronic mail, Bloomberg chat or any other means of electronic communication notified by us to you to the email address that you have provided; or
  • orally, whether over the phone or any other similar device and followed up with a post-trade written confirmation to the email or Bloomberg address that you have provided for such purposes (provided that you have either consented in writing or made the relevant election under the ISDA 2012 DF Protocol and Questionnaire to receive oral Pre-Trade Mid-Market Marks).

Election to opt-out from this disclosure
The CFTC has issued conditional relief from such requirement for certain foreign exchange transactions (CFTC No-Action Letter 12-42  and CFTC No-Action Letter 13-12), and interest rate and certain credit derivative transactions (CFTC No-Action Letter 12-58), provided the swap counterparty has consented in writing that such Pre-Trade Mid-Market Marks are not required by it.

Participants in the ISDA August 2012 DF Protocol may provide notice of such consent through ISDA Amend by completing Addendum II to the ISDA August 2012 DF Protocol Questionnaire which is available here on the ISDA website.

Alternatively, you may send ANTS a direct communication of your consent to substantially in the following form:

[INSERT FULL LEGAL NAME AND CICI/LEI IDENTIFIER] hereby consents to the non-disclosure by ANTS of pre-trade mid-market marks in respect of those transactions described in and subject to the conditions of (1) CFTC No-Action letter 12-42 (with respect to certain foreign exchange transactions); (2) CFTC No-Action Letter 13-12 (with respect to certain foreign exchange transactions); and (3) CFTC No-Action Letter 12-58 (with respect to certain interest rate and credit derivative transactions).]

If you have any questions regarding these materials, please contact your usual ANTS representative.

General Information On The Pre-Trade Mid-Market Mark
The Pre-Trade Mid-Market Mark does not include amounts for profit, credit reserve, hedging, funding, liquidity, or any other costs or adjustments.  You should not regard any Pre-Trade Mid-Market Mark that we provide to be an offer to enter into or terminate the relevant swap at that value or price.  Furthermore, any margin calls related to swaps may be based on considerations other than the Pre-Trade Mid-Market Mark and the Pre-Trade Mid-Market Mark may not be the value of the swap that is marked on ANTS’ books.

Unless otherwise indicated, all Pre-Trade Mid-Market Marks are provided in the same currency as the live trading price quoted to you by ANTS.

ANTS (in its sole discretion) determines the Pre-Trade Mid-Market Mark based on market-standard discounted cash flow methodologies combined with market standard net present value derivative valuation models.  ANTS’ valuation models may use spot, forward and/or volatility values and may take into account past, present and future market conditions.  These spot and forward curves, correlation and volatility levels are used to estimate future cashflows that may not be certain.

A swap’s value may not be readily observable in the market and is therefore subjective.  Accordingly, ANTS’ Pre-Trade Mid-Market Mark may vary significantly from the pre-trade mid-market mark provided by other market participants for a swap.  To the extent that the Pre-Trade Mid-Market Mark may be based on inputs or information obtained from external sources, ANTS 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 Pre-Trade Mid-Market Mark.   Swap prices will also vary among swap participants based on the various inputs 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.

ANTS makes no representations or warranties that any Pre-Trade Mid-Market Marks are suitable for complying with any financial or tax reporting obligation, determining net asset value, computing any tax liability or any other purpose and, except as otherwise agreed, ANTS disclaims any liability for all loss or damage (whether direct or indirect, incidental or consequential) for any such use or reliance by you.  The Disclosures contained herein do not constitute advice by ANTS and you should refer to your own financial, legal, tax, accounting and other professional advisers in this regard.