Dodd-Frank Swap Dealer Disclosures

Swap Dealer Website - Disclosure of Material Information for Swaps

Citizens Bank, National Association ("Citizens," "we," "us" or "our") is registered as a swap dealer with the Commodity Futures Trading Commission ("CFTC") and is subject to regulation as such under the Commodity Exchange Act of 1936 as amended (the "CEA') and the CFTC's regulations thereunder, which are primarily set forth in 17 C.F.R. Part 23. CFTC Regulation 23.431 requires that, before a registered swap dealer enters into or executes any "swap," as defined in Section 1a(47) of the CEA and CFTC Regulation 1.3 (a "Swap" or a "Transaction") with someone other than another swap dealer, major swap participant, security-based swap dealer or major security-based swap participant ("you"), the registered swap dealer disclose to you certain material information (as defined by and in accordance with CFTC regulations, "Material Information") regarding the proposed Swap, sufficient for you to evaluate:

• the material risks of the Swap, including market, credit, liquidity, foreign currency, legal, operational and other applicable risks;
• the material characteristics of the Swap, including the material economic terms, operational terms, and the rights and obligations of the parties during the term of the Swap; and
• the material incentives and conflicts of interest that may apply with respect to the Swap, including the price and pre-trade mid-market mark of the Swap and any compensation or other incentive we may receive from any source other than you in connection with the Swap.

We are accordingly providing such Material Information to you on this website in accordance with CFTC regulations applicable to swap dealers. Portions of this website are password-protected, and Citizens provides prospective counterparties with one or more passwords upon completion of Citizens' on-boarding process.

The Material Information appearing below is supplemented for Swaps in each asset class (e.g., Interest Rate Transactions, Foreign Exchange Transactions and Commodity Derivative Transactions) by additional materials that may be accessed by clicking on the foregoing hyperlinks (each, an "Asset Class Hyperlink") for each asset class.

We urge you to review carefully all applicable Material Information appearing below and at the applicable Asset Class Hyperlink(s) before entering into any Swap with us, as Material Information is subject to regular updates. We urge you to review carefully all applicable Material Information appearing below and at the applicable Asset Class Hyperlink(s) before entering into any Swap with us, as Material Information is subject to regular updates.

I. Material Risks

We are required to disclose to you, prior to execution, the material risks of each Swap in a particular asset class, including market, credit, liquidity, foreign currency, legal, operational and other applicable risks ("Risk Disclosures"). These Risk Disclosures appear at the relevant Asset Class Hyperlink(s) and have been prepared by the International Swaps and Derivatives Association, Inc. ("ISDA"®) with input from the swaps industry and take the form of a "General Disclosure Statement for Transactions' and a "Disclosure Annex" for Swaps in each asset class. In the event of a discrepancy between specific Material Information Citizens prepares and delivers to you and the ISDA General Disclosure Statement for Transactions and Annex for Swaps in the applicable asset class, the Material Information prepared by Citizens shall control.

II. Material Characteristics

Unless all of your Swaps are intended to be cleared, your overall Swap relationship with Citizens will be documented under either an ISDA Master Agreement, which may sometimes be supplemented by an ISDA Credit Support Annex (or, in more rare circumstances, under an ISDA Credit Support Deed), or another standard form (including a non-ISDA, Citizens-standard form of master agreement) ("Counterparty Relationship Documentation"). Master agreements establish a common basis under which specific Swaps will be documented and, among other things, include representations, covenants, Events of Default and other Termination Events and remedies therefore that relate to all Swaps governed by the applicable master agreement.

Please see the template master agreements below:

1992 ISDA Master Agreement
2002 ISDA Master Agreement
Non-Financial Entity
Financial Entity

We will furnish you with a customized version for execution purposes.

Given how the law governing Counterparty Relationship Documentation works, a Swap will be binding and legally enforceable upon oral agreement to the terms of a Swap (unless the Counterparty Relationship Documentation is amended to provide specifically for a different means for a Swap to be binding). In this connection, we wish to highlight for you certain communications that you will receive once a Swap has been executed. You may receive or request an informal "trade recap" immediately after a Swap is executed. CFTC Regulations require us to furnish you with a formal, written confirmation ("Confirmation") of each Swap "as soon as technologically practicable, but in any event by the end of first business day following the day of execution," which will require your signature. As a result of this requirement, we will retire phone confirmation efforts. However, you are encouraged to call the Global Markets Operations Confirmations and Settlements team with any questions or concerns. Confirmations as a rule incorporate one or more sets of ISDA definitional booklets ("ISDA Definitions"). We are unable to furnish you with a copy of applicable ISDA Definitions but they are available for purchase on ISDA's website, www.isda.org. Before you trade any Swap with us, you should review the applicable template Confirmation at the applicable Asset Class Hyperlink or you can request from your Citizens swaps salesperson (your "Salesperson") a template or draft Confirmation that explains the material economic terms for that specific Swap and which ISDA Definitions apply to such Swap. We urge you to review carefully the data points that represent the material economic terms of a Swap prior to entering into such Swap with us.

III. Material Incentives and Conflicts of Interest

Scenario Analysis

Prior to entering into any Swap that is not "available for trading" (as such term is defined in CFTC Regulations) on a designated contract market or swap execution facility (each, a "Trading Facility"), you can request in writing, and consult on the design of, a scenario analysis to allow you to assess your potential exposure in connection with such Swap.

Pre-Trade Mid-Market Mark Disclosure

We will, to the extent required by applicable law, provide the pre-trade mid-market mark ("PTMMM") of any prospective Swap between you and us pursuant to CFTC Regulation 23.431(a)(3)(i).¹

The PTMMM for a Swap is prepared by observing "live" bids and offers for a same or similar Swap and/or by discounting projected future cash flows of the Swap to arrive at a current value. The PTMMM of any Swap is exclusive of several additional factors that may influence our pricing for the Swap, including amounts for profit, credit reserve, hedging, funding, liquidity, and any other costs or adjustments. Such PTMMMs will be based on 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 PTMMMs based on then current market conditions and our expectations for future conditions, as applicable for the relevant Swap. The PTMMM 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 you and us concerning such Swap including, but not limited to, a master agreement and any collateral securing your obligations under the Swap. In our sole discretion, we may use a variety of methodologies to prepare the estimated cash flows described above, including without limitation preparing Monte Carlo simulations or utilizing mathematical pricing models such as the "Black-Scholes" options pricing model. In our sole discretion, we may vary the inputs used in such simulations and modeling, and we are under no obligation to disclose to you the methodology used or the inputs thereto.

We make no representations or warranties to you that the prices at which we offer or value Swaps are the best prices available for such Swaps 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: 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 PTMMM 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 PTMMMs are suitable for your accounting or investment purposes or that they comply with any applicable requirements for any financial or tax reporting obligation, for determining net asset value or any other purpose, which are matters you should discuss with your own financial, legal, tax, accounting and other professional advisors. We disclaim any liability for losses and damages resulting from any such use or reliance thereon, whether such losses or damages are direct, indirect, incidental or consequential, and even if we are advised or are otherwise aware of their possibility.

Any PTMMM we provide to you is time-sensitive and only current as of the time at which it is provided. As a result, the PTMMM you receive for a transaction may change with the passage of time even if the price at which we would agree to enter into or terminate such Swap has not changed over that same period of time. We may calculate the PTMMM for a prospective uncleared Swap on a different basis than that which we use to determine the PTMMM for a similarly cleared Swap.

Please note that you may not have the right to receive PTMMMs for any Swap transaction that is initiated on a Trading Facility. We may, nevertheless, provide you such PTMMMs at our discretion.

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

Rights to Segregation of Margin

If you supply funds or other property to Citizens to margin, guarantee, or secure obligations to Citizens under an uncleared Swap, you have the right in accordance with CFTC Regulation 23.701(a)(1) to require segregation of those funds or other property (other than variation margin). This notification is deemed to be effective prior to execution of the first uncleared Swap.

Please contact your Salesperson if you would like further information on how to make this election.

Clearing

With respect to any Swap entered into between you and us that is subject to the mandatory clearing requirements under CEA Section 2(h), you have the sole right to select the designated clearing organization ("DCO") at which the Swap will be cleared.

With respect to any Swap that is not subject to the mandatory clearing requirements, you may elect to clear such Swap and you have the sole right to select the DCO at which the Swap will be cleared.

Upon acceptance of a Swap by a DCO: (a) the original Swap between you and us is extinguished; (b) the original Swap between you and us is replaced by equal and opposite Swaps with the DCO; and (c) all terms of the Swap shall conform to the product specifications of the cleared Swaps established under the DCO's rules.

Please note that prior to entering into any Swap that will be cleared, you must (1) notify us in writing of your preference of the DCO on which the Swap may be cleared, and (2) have taken all necessary action on your part for the Swap to be submitted for clearing, including engaging an appropriate futures commission merchant ("FCM"). We likely will be unable to enter into any such Swap if we do not have clearing arrangements or capabilities with respect to that DCO or in that type of Swap.

You may be eligible for an exception to the clearing requirement. Please contact your Salesperson for further information regarding your potential eligibility.

Daily Marks

For cleared Swaps originally executed between you and Citizens, you have the right, upon request, to receive a Daily Mark from the FCM through which you clear such cleared Swap or the relevant DCO or another third party in accordance with CFTC Regulation 23.431(d)(1).

As required by CFTC Regulation 23.431(d)(2), we will be required to provide you with a daily mark (a "Daily Mark") for uncleared Swaps transacted via the Citizens Daily Marks Portal.

Timing & Scope:

Daily Marks are provided by Citizens for Swaps on each valuation date, in each case calculated as of the close of business on the New York business day preceding the valuation date, or in Citizens' discretion as of the close of business in the locality specified by Citizens for such purpose, taking into account: any foreign currency denomination of Swaps; (ii) any price, level or value for Swaps the source of which is in a foreign jurisdiction; and (iii) any other factors that may be appropriate, including market practice ("valuation time"). Unless otherwise indicated, valuation dates are New York business days (which will exclude Saturdays, Sundays and certain bank holidays).

Composition and Format

The Daily Mark for a Swap generally represents the mid-point between an estimated bid price and an estimated offer price for the Swap as of the valuation time, assuming your position in the Swap were to be terminated early, replaced or novated. The Daily Mark shall be expressed as a lump sum that would be paid or received if such early termination, replacement or novation were to occur at such mid-point. As a lump sum, the Daily Mark may differ from a PTMMM as described above, see CFTC Regulation 23.431(a)(3), since a PTMMM may be expressed in the same format as a Swap's price (e.g., as a rate per annum or a price per unit instead of a lump sum).

Notwithstanding this difference, the Daily Mark may be determined by marking Swap projected cash flows, option rights or other economic terms against mid-market prices (which may be expressed as rates, spreads, prices, upfront payments or other measures or amounts) available to or from Citizens for equivalent cash flows, options rights or other economic terms for Swaps or otherwise prevailing in the relevant market or available from an independent pricing source, without adjusting such mid-market prices to account for any profit, credit reserve, hedging, funding, liquidity or other costs or adjustments, as required by CFTC Regulation 23.431(d)(2). In the case of projected or equivalent cash flows, unless otherwise specified, the discounting rate used for all Swaps is an overnight rate selected by Citizens in its sole discretion.

The Daily Mark provided to you for a Swap may not reflect the mid-point between a bid (or offer) price that Citizens might quote to you for an early termination, replacement or novation of your position in that Swap and a corresponding offer (or bid) price that Citizens may quote to other market participants to replace or assume your position in that Swap or for an early termination of a comparable Swap. Rather, the Daily Mark may be based on the midpoint between bid and offer prices that Citizens may be willing to quote to other dealers, market makers or liquidity providers for replacing or assuming your position in the Swap or terminating a comparable Swap, or (ii) other dealers, market makers or liquidity providers may be willing to quote to Citizens for replacing or assuming your position in the Swap or terminating comparable Swaps. In either case, the determination of the Daily Mark may be based on trader information, market data and proprietary models as outlined below and not on specific quotations provided to or received from dealers, market makers or liquidity providers.

Daily Marks may be derived from pricing data available for comparable transactions and/or underlying assets in the over-the-counter market or on Trading Facilities or other venues by means of which comparable transactions or underlying assets may be traded. To the extent Citizens determines that comparable Swaps do not exist or are not representative of a market price or do not provide sufficient data, Citizens may make such determination or estimate by interpolation between two or more reference Swaps (for example, by using reference Swaps with longer or shorter maturities than the relevant Swap) and may consider prices in the cash markets, futures markets or other related markets. When basing a Daily Mark for uncleared Swaps on pricing data for cleared Swaps, Citizens may convert such pricing data into their uncleared equivalent to arrive at such Daily Mark.

Additionally, Citizens 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 or utilizing mathematical pricing models such as the "Black-Scholes" options pricing model. Citizens 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 Citizens 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 therefore Citizens' 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, Citizens 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.

We make no representations or warranties that any such Daily Marks are suitable for your accounting or investment purposes or that they comply with any applicable requirements for any financial or tax reporting obligation, for determining net asset value or any other purpose, which are matters you should discuss with your own financial, legal, tax, accounting and other professional advisors. We disclaim any liability for losses and damages resulting from any such use or reliance thereon, whether such losses or damages are direct, indirect, incidental or consequential, and even if we are advised or are otherwise aware of their possibility.

Not an Indicative, Actual, Margin or Booking Price

A Daily Mark is not intended to be an indicative price, and you should not expect a Daily Mark to be a price at which either you or Citizens would agree to replace, terminate, unwind, cash settle, exercise or assign a Swap, or a price at which another dealer or other third party would agree to purchase or take an assignment of such a Swap. You should assume that actual market prices would be different, that the difference between the Daily Mark and actual market prices could be substantial, particularly in volatile or illiquid markets, and that the availability of market prices is not guaranteed. Unless otherwise agreed in writing, 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 Citizens' books and records.

There can be no assurance that the methodology, assumptions and inputs used in a pricing or valuation model for Daily Marks are the same as the methodology, assumptions and inputs that Citizens may use in any pricing or valuation model used to prepare PTMMMs pursuant to CFTC Regulation 23.431(a)(3), or that Daily Marks and PTMMMs would be equivalent.

Material Conflicts of Interest

Citizens' regulation as a swap dealer does not change the fundamental conflict of interest that is inherent in every Swap that a positive performance for one party will inevitably be a negative performance for the other party. Citizens will always have a financial interest for you to enter into a Swap with it. As a result, Citizens cannot give you objective, disinterested advice on whether you should enter into a Swap based on evaluation of your financial or economic circumstances or on any other basis. You should not consider any communication from Citizens about a Swap to be such advice, because it is not.

In addition, Citizens will have a conflict of interest with you as to the negotiation or entry into a Swap as a result of any other cash market or derivatives transactions that are in place between you and Citizens or any of its affiliates (collectively, the "Citizens Group"). Those conflicts will be likely to affect the negotiation and terms of the Swap in those circumstances.

Citizens may also seek to enter into a Swap with you on a bilateral basis even when the Swap is of a category that is able (but not required) to be traded on a Trading Facility. It likely will be financially advantageous for Citizens to execute a Swap with you bilaterally rather than on a Trading Facility. Citizens therefore will have an incentive to cause you trade with it bilaterally.

There will also be a conflict of interest when the Citizens Group acts 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 the Citizens Group has a direct or indirect interest.

Various members of the Citizens Group may act as a lender, syndicate agent or member, arranger, underwriter or placement agent with respect to loans, securities and other financial products. In these circumstances, the Citizens Group will be likely to take financial positions or express a view with respect to a Swap or another financial instrument that is inconsistent with or contrary to your own positions or views. In these circumstances, you should not regard the Citizens Group as acting in your best interests or as capable of providing you with objective, disinterested advice. Nor does the Citizens Group advise you as to the suitability of purchasing or entering into any Swap or other financial instrument.

Citizens may also facilitate the activities of other counterparties, or hedge transactions it has entered into with other counterparties, which transactions may have adverse effects on the value of any Swap entered into between you and Citizens. Acting in various capacities, Citizens and other members of the Citizens Group gain access to information relating to markets, investments and products. As a result, Citizens and other members of the Citizens Group may be in possession of information which, if known to you, might cause you to seek to dispose of, retain or increase your position in one or more Swaps or other financial instruments. Citizens and other members of the Citizens Group will be under no duty to make any such information available to you, except to the extent we have agreed in writing or as may be required under applicable law.

IV. Conflicting Terms

Nothing herein or contained in any Material Information shall amend or supersede the express terms of any agreement between you and us, including any Confirmation for a Swap or Counterparty Relationship Documentation.

V. No Offer, Commitment, Advice or Recommendation

By providing you with the Material Information, we are not making you any offer or commitment to enter into any Swap. Nor does our giving you Material Information constitute advice or recommendation as to any Swap. At all times, we are communicating with you as a potential or actual counterparty to a Swap and cannot and do not make recommendations. As such, we do not assess the suitability of any Swap based on your financial, economic or other circumstances. You must decide for yourself — with the input of your own financial, legal, accounting, tax or other advisors as you deem appropriate — whether to enter into a Swap with us, based on your own determination as to whether doing is advisable or suitable given your own assessment of your particular circumstances.

VI. Complaints

Set forth below are the physical address, email, and telephone number of the department to which any complaints may be directed:

Citizens Bank, National Association
600 Washington Blvd., Stamford, CT 06901

Attention: Chief Compliance Officer

E-mail: CitizensSwapCompliance@citizensbank.com

Phone number: 203-900-6867

VII. Questions

If you have any questions regarding the Material Information, please contact your Global Markets representative.