Canadian Imperial Bank of Commerce (CIBC) 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, 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. 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 counterparty, and “we”, “our”, “ours” and “us” will refer to CIBC.
General CIBC 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 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 clients are reported to the DTCC Data Repository (U.S.) LLC.
For Foreign Exchange disclosures, please see CIBC Foreign Exchange Disclosure Statement.
Counterparty Status ("U.S. Person", "Guaranteed Affiliate", or "Conduit Affiliate") 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 from its existing or potential counterparties to swap transactions to appropriately determine their cross border status under CFTC rules, the terms "U.S. Person", "Guaranteed Affiliate", or "Conduit Affiliate" shall have the meaning or criteria set forth in the Interpretive Guidance and Policy Statement Regarding Compliance with Certain Swap Regulations issued by the CFTC, as amended, supplemented or modified from time to time by the CFTC.
CIBC 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:. The most efficient way of providing the ISDA Cross Border Representation is via the Cross Border Representation functionality of ISDA Markit 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:
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 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 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 and you enter into will be subject to the terms that CIBC 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 and you in connection with the Transaction.
(2) Master confirmation agreement. If (1) does not apply and CIBC 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 and you in connection with the Transaction.
(3) Unspecified prior transaction. . If neither (1) nor (2) applies and CIBC 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 and you entered into, subject to any express agreement between CIBC and you in connection with the Transaction.
The description above of the manner in which the terms of any Transaction that CIBC and you enter into will be determined is subject to the following important exceptions.
(A) If CIBC 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 and you expressly agree upon in connection with the Transaction.
(B) If CIBC 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 entering into a swap that is not made available for trading on a designated contract market or swap execution facility, you may request and consult on the design of a scenario analysis to assess its potential exposure in connection with the swap.
Please email your CIBC Salesperson to request a scenario analysis.
Swaps Required to be Cleared
You must elect to clear at a DCO or a FCM on a trade-by-trade basis. CIBC must confirm, prior to execution of any transaction, your clearing preferences for applicable Transaction. We are not obligated, however, to execute a swap for clearing on a DCO where CIBC does not have clearing rights through direct membership or through a clearing intermediary.
Swaps Not Required to be Cleared
You may elect to clear at a DCO or a FCM on a trade-by-trade basis and CIBC is prohibited from interfering with that right or discouraging you from exercising this choice. CIBC must confirm, prior to execution of any transaction, your clearing preferences for the applicable Transaction. While CIBC may differentiate the pricing provided to cleared and uncleared swaps, and may price cleared swaps based on the DCO as appropriate to compensate for costs, CIBC may not restrict a counterparty’s right to clear or select a particular DCO. We are not obligated, however, to execute a swap for clearing on a DCO where CIBC does not have clearing rights through direct membership or through a clearing intermediary.
Margin Segregation 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 and you will identify one or more custodians, one of which must be a creditworthy non-affiliate and each of which must be a legal entity independent of both CIBC and you, as an acceptable depository for segregated Initial Margin.
For counterparties who elect not to segregate Initial Margin, the Chief Compliance Officer of CIBC is required to, on a quarterly basis, report to each counterparty whether or not the back office procedures of the CIBC relating to margin and collateral requirements were, at any point during the previous calendar quarter, not in compliance with the agreement of the counterparties.
Pre-Trade Mid-Market Mark (pre-trade mid) and Daily Mark
Under applicable CFTC regulations, CIBC is required to deliver pre-trade mids 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 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 will disclose the pre-trade mid in writing.
This daily mid-market 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.
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's 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.
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, you also agree that CIBC 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 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 will notify such counterparty of such apparent conflicts of interest or material incentives. CIBC 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 Salesperson.