Daily Mark Calculation

External Business Conduct - Daily Mark Calculation

References to valuation statements include the daily mark required pursuant to Commodity Futures Trading Commission ("CFTC") Regulation 23.431(d) and/or SEC Regulation 240.15Fh-3(c) (the "Daily Mark", and together with all other valuations, the "Valuations").

All Valuations from HSBC are provided for convenient reference and information purposes only and are intended solely for the use of the original recipient (except where they are provided to a fund or investment manager for and on behalf of its clients and/or for the benefit and use of its clients). All Valuations will be based on data as at the close of business of each business day unless otherwise agreed to in writing by the parties. The Daily Mark is calculated by HSBC as of the close of business on the prior business day in New York or London, as the case may be.

Any Valuation you receive is not intended as an offer or solicitation of the purchase or sale of any instrument and does not constitute a recommendation. HSBC shall not be liable for any financial loss or any decision taken on the basis of the information disclosed in any Valuation statement and no Valuation statement shall constitute investment advice. HSBC is not responsible for providing you with legal, tax or other specialist advice and in any event, you should obtain any internal and/or external advice that you consider necessary or desirable. Should you wish to undertake a transaction in any instrument, please refer to your local sales contact at HSBC.

The Daily Mark provided does not include amounts for profit, credit reserve, hedging, funding, liquidity or any other costs or adjustments. Similarly, the Daily Mark we may provide pursuant to SEC Rule 15Fh-3(c)(2) is the midpoint between the bid and offer, or the calculated equivalent thereof and is the same for all our counterparties that have a security-based swap (SBS) with us and is not adjusted for holding-specific or counterparty specific attributes.

The Valuations provided do not represent (i) the actual terms at which new transactions could be entered into, (ii) a price at which either you or HSBC would necessarily agree to replace, terminate, liquidate or unwind the swap or SBS, (iii) the value of the swap or SBS that is marked on the books of HSBC, or (iv) the calculation or estimate of an amount that would be payable following the designation or occurrence of: (a) an Early Termination Date under Section 6(e) of any ISDA Master Agreement or any ISDA Interest Rate and Currency Exchange Agreement, (b) a similar date under FBF and AFB master Agreement, or (c) a similar date or event under another master agreement or master agreement terms.

HSBC may from time to time make a market in or otherwise buy and sell instruments identical or economically related to the valued instruments and the price at which HSBC engages in such activity for a given investment may not be identical to the Daily Mark for such investment. Additionally, calls for margin may be based on considerations other than the Valuations provided by HSBC.

The Daily Mark will not reflect the actual market price at which an offer would be made to purchase, sell, enter into, exercise, novate, unwind, terminate or settle a transaction. Rather, it will represent mathematical approximations of market values as of a given date derived from proprietary models and methodologies based on certain assumptions regarding past, present and future market conditions or other factors, or from other data sources of pricing information (eg third party quotes, prices on trading venues, or clearing house marks for comparable or interpolated transactions). In HSBC's sole discretion, we may use a variety of data sources, models, methodologies and assumptions to prepare the Daily Mark, depending upon the type of transaction, its characteristics, whether there is a liquid market, and other factors. We reserve the right to alter, replace or vary our data sources, models, methodologies, and assumptions from time to time. If we alter, replace, or make any other such material changes to our models, methodologies, assumptions, and/or data sources, such changes will be promptly disclosed to you.

Swap and SBS valuations are prepared by discounting future cash flows to arrive at a current value. Forward curves are used to determine the expected value of future cash flows; however, in some cases, we may use probabilistic models, simulation models or mathematical pricing models to determine the expected value of future cash flows before discounting. In these models, volatility levels, along with forward curves, as well as other factors including mid-market price, foreign exchange spot or forward rates and correlations may be used as inputs. These inputs are based on observable third party quotes/prices/valuations, prices on trading venues, or clearinghouse/exchange marks for comparable or interpolated transactions or other estimates, depending upon asset class and availability.

We do not take into account specific tax rules or accounting methods applicable to counterparties, clients or potential clients of HSBC in its preparation of the Daily Mark. We may have prepared the Daily Mark on the basis of proprietary models used for HSBC's needs. Therefore, we shall not be liable for differences, if any, between the Daily Mark and daily marks provided by third parties, as such differences may arise as a result of the application and implementation of alternative accounting methods, tax rules or valuation models.

The data sources methodology and assumptions used to prepare the Daily Mark shall be provided via this website and HSBC shall update you upon any material change to the data sources, methodology or assumptions used to prepare the Daily Mark during the term of the swap or SBS. For Swaps, HSBC shall not be obligated to disclose confidential, proprietary information about any model it may use to prepare the Daily Mark.

Except in the case of fraudulent misrepresentation, HSBC expressly disclaims any responsibility for (i) the accuracy of the models or estimates used in deriving the Valuations, (ii) any errors or omissions in computing or disseminating the Valuations, (iii) any uses to which the Valuations are put and (iv) any loss or damage arising out of the provision or use of this information (including, without limitation, incidental or consequential damages).

Distribution, possession or delivery of the Daily Mark in, to or from certain jurisdictions may be restricted or prohibited by law. Recipients of the Daily Mark are required to inform themselves of and comply with all such restrictions or prohibitions. Neither HSBC nor any of its affiliates directors, employees, agents or advisers or any other person accepts any liability to any person in relation to the distribution, possession or delivery of the Daily Mark in, to or from any jurisdiction.

HSBC is under no obligation to keep current the information in this website. No part hereof may be reproduced, distributed or published by you for any purpose without the prior written consent of HSBC. For the avoidance of doubt, the Valuations of derivative transactions provided by HSBC may not be reproduced in the audited annual reports of the original recipient or any of its affiliates, and HSBC will not, under any circumstances, provide any consent to a request to reproduce the Valuations in audited annual reports.

Please note that any Valuation may incorporate only a subset of your financial transactions with HSBC.

You can receive Daily Marks directly to your HSBCnet account. If you do not have an HSBCnet account you can register for one here: HSBCnet registration

 

Last updated: 7 October 2021