CFTC and SEC Swap and Security-Based Swap Disclosures and Notices

Banco Santander, S.A. (“Santander” or “we” or “us”) (LEI number: 5493006QMFDDMYWIAM13) is provisionally registered with the U.S. Commodity Futures Trading Commission (“CFTC”) as a non-U.S. swap dealer pursuant to the Commodity Exchange Act (“CEA”), as amended by Title VII of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the “Dodd-Frank Act”). Santander is also planning to register with the U.S. Securities and Exchange Commission (“SEC”)  as a non-U.S. security-based swap (“SBS”) dealer (“SBSD”) pursuant to the Securities Exchange Act (“SEA”), as amended by the Dodd-Frank Act. The CEA and SEA and the CFTC and SEC rules promulgated thereunder impose regulatory requirements on swap dealers and SBSDs, including business conduct standards with respect to the execution of swaps and SBS with certain counterparties.

These business conduct standards mandate that Santander provide certain disclosures of material information at a reasonably sufficient time prior to entering into a swap or SBS transaction with its swap counterparties (other than counterparties that are swap dealers, major swap participants, SBSDs or major SBS participants (“Regulated Swap Entities”)) to allow the counterparty to assess the material risks and material characteristics of the swap or SBS and the material incentives and conflicts of interest that Santander may have in connection with the swap or SBS.

If you are a Regulated Swap Entity or if you are a non-U.S. person to which Santander is not required by the CFTC or SEC to provide these disclosures, 1 the disclosures outlined below are not intended nor provided for your use.

DISCLOSURE OF MATERIAL INFORMATION

Pursuant to CFTC Rule 23.431(a) and SEC Rule 15Fh-3(b)(1), Santander is hereby providing you with the ISDA General Disclosure Statement for Transactions:

relating to particular swap and SBS transaction types, which describe the following:

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

Additionally, certain asset-class-specific disclosures relating to interest rate, credit, equity, asset-backed security, commodity, and foreign exchange swaps and SBS, may be found in the following documents:

If you have any difficulties accessing these documents, please contact clientservice@gruposantander.com immediately so that we may assist you.

These disclosures shall be deemed to be supplemented by any such additional information and disclosures included in any transaction-specific documentation exchanged between us, including any derivatives master agreement or amendment thereto, swap or SBS transaction term sheet, pre-trade confirmation or master confirmation agreement, or such other communications exchanged between us incorporating such additional information with respect to a swap or SBS or proposed swap or SBS (“Transaction Disclosures”). In the event of any conflict between such Transaction Disclosures and other (more generic) disclosures, the Transaction Disclosures shall prevail.

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

NOTHING IN THE MATERIALS OR DISCLOSURES PROVIDED AMENDS OR SUPERSEDES THE EXPRESS TERMS OF ANY TRANSACTION BETWEEN YOU AND US OR ANY RELATED GOVERNING DOCUMENTATION.

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

Copyright for ISDA disclosures

ISDA (or its affiliates) holds copyrights to certain of the documents to which hyperlinks are provided herein. Those documents may not be reproduced or distributed without ISDA’s written permission except the ISDA Master Agreements, ISDA Credit Support Documents and standardized general and product-specific risk disclosures published by ISDA, which 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 herein that you are hereby deemed to have read and are incorporated into this website, as applicable. Additionally, the transaction documentation may contain disclaimers of liabilities that you should review and alert your contact at Santander in the event of any questions or concerns.

Complaint Hotline

For any complaint, please call the Swap Dealer Complaint Hotline at (+1) 212-350-3654

Or by email at: clientservice@gruposantander.com and swapdealercompliance@gruposantander.com

Or at the address below:

Client Services 
Banco Santander, S.A.
Ciudad Grupo Santander
Edificio Dehesa P2
Avda. De Cantabria. s/n
28660 Boadilla del Monte
Madrid
Spain

MATERIAL ECONOMIC TERMS (METs) DISCLOSURES
Disclosure statement regarding transaction terms

This Disclosure Statement describes the manner in which the terms of any Transaction that we may enter into with you will be determined. The term “Transaction” has the meaning set forth in the ISDA General Disclosure Statement for Transactions that we have provided to you.

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, regulatory, financial, tax, accounting or other advice in connection with any Transaction.

The terms of any Transaction that you and we enter into will be set forth in the confirmation or other agreement evidencing the Transaction, including any terms incorporated by reference therein. Subject to the exceptions described below, any Transaction that you and we enter into will have the terms that you and we expressly agree upon (orally, via email or in any other manner) in connection with the Transaction and other terms determined as follows:

(1) Specified prior transaction, form confirmation or term sheet. If we notify you that the Transaction will have the terms set forth in a specified term sheet prior transaction, form confirmation or terms spreadsheet, the Transaction will have such terms, subject to any express agreement between you and us in connection with the Transaction.

(2) Master confirmation agreement. If (1) does not apply and you and we 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 you and us in connection with the Transaction.

(3) Unspecified prior transaction. If neither (1) nor (2) applies and you and we 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 you and we entered into, subject to any express agreement between you and us in connection with the Transaction.

(4) Unspecified form confirmation or terms spreadsheet. If none of (1), (2) or (3) applies and the Transaction is of a type that is covered by a form confirmation and/or a terms spreadsheet that is available on this site, then the Transaction will have the terms set forth in the form confirmation and/or terms spreadsheet, as applicable, subject to any express agreement between you and us in connection with the Transaction. In the event of any inconsistency between a form confirmation and a terms spreadsheet that relate to the same type of transaction, the terms set forth in the terms spreadsheet will prevail.

The description above of the manner in which the terms of any Transaction that you and we enter into will be determined is subject to the following important exceptions.

(A) If you and we enter into a Transaction that is cleared through a clearing organization or clearing agency or executed through an execution facility that prescribes the terms of the Transaction, the Transaction will have the terms specified by the applicable clearing organization or clearing agency or execution facility and, subject to the rules of the clearing organization or clearing agency or execution facility, any additional terms that you and we expressly agree upon in connection with the Transaction.

(B) If you and we 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.

Underlying specific terms:

  • Rates:
    Markit Serv – Material Economics Terms for Rates *
    Non-MarkitWire METs *
    2006 ISDA Definitions **
     
  • Credit
    MarkitServ *
    Non-MarkitWire METs *
    2003 ISDA Credit Derivatives Definitions **
    2014 ISDA Credit Derivatives Definition **
     
  • Equities:
    2002 ISDA Equity Derivatives Definitions **
    User’s Guide to the 2002 ISDA Equity Derivatives Definitions **
    Confirmations for use with the 2002 ISDA Equity Derivatives Definitions **
    2006 ISDA Fund Derivatives Definitions **
    2011 ISDA Equity Derivatives Definitions and Appendix **
     
  • FX:
    1998 FX and Currency Option Definitions **
    User's Guide to the 1998 FX and Currency Options Definitions **
    Compendium of Amendments to Annex A to the 1998 FX and Currency Option Definitions **
    EMTA Template Terms – FX and Currency Derivatives Templates
    EMTA Template Terms for Non-Deliverable FX Forward Transactions, Non-Deliverable Currency Option Transactions and Non-Deliverable Cross Currency Transactions for various currency pairs are set here. These Template Terms, in each case, are the terms currently recommended by EMTA for forwards, options and cross currency transactions for each such currency pair. The Template Terms are not intended to be a substitute for a confirmation, but are intended to reflect market consensus on material non-trade terms that may be incorporated into a trade confirmation, unless otherwise agreed by the parties.

    (*) To request the password please contact DFA_Global_1LoD_SCIB@gruposantander.com

    (**) No ISDA Document may be reproduced or distributed without ISDA’s written permission except the ISDA Master Agreements, ISDA Credit Support Documents and standardized general and product specific risk disclosures published by ISDA, which may be reproduced and distributed solely for use in documenting specific commercial transactions.

    ISDA holds copyright on certain ISDA Documents and that such works may not be reproduced or distributed without ISDA’s written permission except the ISDA Master Agreements, ISDA Credit Support Documents and standardized general and product specific risk disclosures published by ISDA, which may be reproduced and distributed solely for use in documenting specific commercial transactions.

    ISDA Content use should be undertaken only after securing appropriate legal advice on its provisions. ISDA makes no warranty, express or implied, concerning the respective instruments’ suitability for use in any particular transaction and bears no responsibility or liability whatsoever, whether in tort or in contract, in respect of any use of these instruments. In no event may any copyright or trademark notice be removed.

    ISDA, its officers, directors, employees, subcontractors, agents, successors or assigns (collectively “Covered Parties”) shall not be liable to You or any of Your Clients for any loss, injury, claim, liability or damage of any kind whatsoever resulting from, arising out of or in any way related to: (a) any errors in or omissions from the ISDA Content; (b) the Client’s use of the ISDA Content; (c) the Client’s use of any equipment or software in connection with the ISDA Content; or (d) any delay or failure in performance. The aggregate liability of the Covered Parties to a Client in connection with any other claim arising out of or relating to the ISDA Content shall not exceed $500.00, which right shall be in lieu of all other remedies that the Client may have against ISDA. In no event shall the Covered Parties be liable for any special, indirect, incidental or consequential damages of any kind whatsoever (including, without limitation, attorneys’ fees), lost profits or lost savings in any way due to, resulting from or arising in connection with the ISDA Content contained therein, regardless of any negligence of the Covered Parties.

These documents, their contents and any related communication are issued by Santander, exclusively for its trading counterparties falling within the classification of being US Persons under the Dodd–Frank Act or who are trading through a US branch or affiliate of Santander. It is not being distributed to, and must not be passed on to, any other entity or to the general public.

This communication does not constitute or imply any commitment whatsoever on the part of Santander. Any such offer may only be made once appropriate documentation has been negotiated and agreed.

This communication does not constitute a financial promotion or form part of any invitation, offer, or solicitation to buy, sell, subscribe for, hold or purchase any securities or any other investment or to enter into any transaction and under no circumstances is it to be construed as a binding offer to buy/sell any financial instrument. Santander is not acting in the capacity of a financial advisor.

DISCLOSURE OF PRE-TRADE MID-MARKET MARK

Pursuant to the CFTC’s rules, as a provisionally registered swap dealer, Santander is required to disclose at a reasonable time prior to a trade, along with the price of the swap, the mid-market mark of such swap (Pre-Trade Mid-Market Mark) to any counterparty who is not a Regulated Swap Entity.

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

  • in writing via electronic mail or chat (e.g., Bloomberg chat) or any other means of electronic communication.
  • orally, including over a phone that is a recorded device, followed up with a post-trade written confirmation (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
Santander will not be required to provide a Pre-trade Mid-Market Mark for certain transactions covered by CFTC no-action letters 12-42; 13-12; 12-58 if a counterparty has agreed in advance, in writing, that Santander need not disclose such Pre-trade Mid-Market Mark. Participants in the ISDA August 2012 DF Protocol may provide notice of such consent through IHS Markit’s Counterparty Manager: ISDA Amend by completing Addendum II to the ISDA August 2012 DF Protocol Questionnaire which is available here.

Alternatively, you may send Santander a direct communication of your consent to SBGM_DQ_Entidades@gruposantander.com substantially in the following form:

[INSERT FULL LEGAL NAME AND LEI IDENTIFIER] hereby consents to the non-disclosure by Banco Santander, S.A. 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 Santander 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. Please note that any Pre-Trade Mid-Market Mark Santander provides to you may not necessarily, and would often be expected not to be, a price at which either we or you would agree to enter into or terminate a swap. 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 Santander's books. For liquid products, you should regard the mid of bid and offer as our Pre-Trade Mid-Market Mark.

Because a Pre-trade Mid-Market Mark does not include amounts for profit, credit reserves, hedging, funding, liquidity and other relevant costs, reserves and adjustments, it is highly likely to differ from the price at which Santander is willing to enter into the relevant proposed swap. That difference is not indicative of the profit, if any, that Santander will realize from the relevant proposed swap, which will be dependent on a number of variables including, without limitation, price volatility, market liquidity and relevant hedging activity, if any, by Santander.

Each Pre-Trade Mid-Market Mark is provided solely for the information of the counterparty to the swap and is not intended for the benefit of any other party.

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

The Pre-Trade Mid-Market Mark for a swap can change from day to day as a result of changes in the relevant economic markets.

A swap’s value may not be readily observable in the market and is therefore subjective. Accordingly, Santander's 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, Santander 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.

In certain cases, the Pre-Trade Mid-Market Mark will be provided to you by the electronic platform on which you may execute your swap transactions (such as in the case of certain FX execution platforms).

Santander 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, Santander disclaims any liability for all loss or damage (whether direct or indirect, incidental or consequential) for any such use or reliance by you.

DAILY MARKS

Santander is required to provide daily marks to you in accordance with CFTC Rule 23.431(d)(2) and SEC Rule 15Fh-3(c)(2) in respect of uncleared swaps and SBS. For cleared swaps originally executed between you and Santander, you have the right, upon request, to receive a daily mark from the futures commission merchant through which you clear such cleared swap or the relevant derivatives clearing organization (“DCO”) or another third party in accordance with CFTC Rule 23.431(d)(1). For cleared SBS originally executed between you and Santander, Santander will provide to you upon request, for the life of the SBS between Santander and you until such time as the SBS is terminated upon the novation and termination as part of the clearing process, the daily mark that Santander receives from the appropriate clearing agency, or Santander will arrange for the clearing agency, clearing member, or other agent to provide the daily mark to you directly.

For both cleared and uncleared SBS, Santander will provide the daily mark free of charge and without restrictions on your internal use.

Santander (in its sole discretion) determines the mid-market mark of the swap or SBS based on market-standard discounted cash flow methodologies combined with market-standard net-present-value derivative valuation models. The value of a swap or SBS may not be readily observable in the market and is therefore often subjective. Accordingly, Santander’s daily mark may vary significantly from the daily mark provided by other market participants for a swap or SBS. To the extent that such marks may be based on inputs or information obtained from external sources, Santander 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.  

Unless otherwise agreed with Santander in writing, any daily marks provided by us to you will be calculated by Santander as of the close of business on the prior business day. 

Pursuant to CFTC Rule 23.431(d)(2) of the CEA, the daily mark for swaps is exclusive of several additional factors that may influence our pricing of swaps, namely, profit, credit reserves, hedging costs, funding and liquidity or any other costs or adjustments.

SCENARIO ANALYSIS

Santander discloses to you that pursuant to CFTC Rule 23.431(b), for any swap transaction that is not “made available for trading” on a designated contract market or swap execution facility under CEA Section 2(h)(8), you can request, and consult on the design of, a scenario analysis to allow you to assess your potential exposure in connection with a swap.

CLEARING RIGHTS AND NOTICE

Pursuant to CFTC Rule 23.432 and SEC Rule 15Fh-3(d)(1), with respect to any swap or SBS that is subject to the mandatory clearing requirements under Section 2(h) of the CEA or Section 3Ca-1 of the SEA, you have the sole right to select the DCO or clearing agency at which the swap or SBS will be cleared; and with respect to any swap or SBS that is not subject to such mandatory clearing requirements, you may elect to require clearing of the Covered Product and you have the sole right to select the DCO or clearing agency through which the Covered Product will be cleared. A list of all clearing agencies that accept SBS is available at: https://www.isda.org/2021/05/03/current-security-based-swap-clearing/. The list of clearing agencies for which Santander has clearing privileges for certain products includes: ICE Clear Credit, ICE Clear Europe, and LCH.

You are hereby notified that, upon acceptance of a swap or SBS by a DCO or clearing agency, the original swap or SBS between Santander and you is extinguished; the original swap or SBS between Santander and you is replaced by an equal and opposite swap or SBS with the DCO or clearing agency; and all terms of the swap or SBS shall conform to the product specifications of the cleared swap or SBS established under the DCO or clearing agency’s rules.

SPECIAL ENTITIES

If you are an employee benefit plan defined in Section 3 of ERISA that is not subject to Title I of ERISA, you have the right to elect to be treated as a special entity pursuant to CFTC Rule 23.403(c) and SEC Rule 15Fh-2(d)(4).

SUITABILITY DISCLOSURE

Santander hereby discloses to you (which disclosure is deemed repeated by Santander as of the occurrence of each communication between Santander and you regarding a swap or SBS) that Santander is acting in its capacity as a counterparty and is not undertaking to act in your best interest or to assess the suitability of any swap or SBS or trading strategy involving a swap or SBS for you.

INITIAL MARGIN SEGREGATION NOTICE 

For swap transactions not submitted for clearing, pursuant to CFTC Rule 23.701, you have the right to require that any initial margin you provide in connection with the swap be segregated in accordance with CFTC Rules 23.702 and 23.703. This right does not apply to variation margin payments. If you elect segregation, the terms of such segregation must be established by written agreement. Your election may be changed at your discretion upon written notice, and any such changed election will supersede any prior election with respect to any uncleared swap that is entered into after delivery of such changed election.

For SBS transactions not submitted for clearing, Santander is not a registered broker-dealer that is subject to SEC Rule 15c3-3 and is exempt from omnibus segregation requirements under SEC Rule 240.18a-4 pursuant to Rule 240.18a-4(f). Santander hereby notifies you that pursuant to SEC Rule 240.18a-4(d) (as required pursuant to section 3E(f)(1)(A) and Section 3E(f)(1)(B) of the SEA), you have the right to require segregation of the funds or other property supplied to margin, guarantee, or secure uncleared SBS in a segregated account at an independent third-party custodian separate from the assets and other interests of Santander and designated as a segregated account for you.  This right to require segregation applies only to SBS that are not submitted for clearing to a clearing agency and does not apply to variation margin payments. Such right is independent of other applicable laws, rules or regulations, if any, that may require segregation of SBS margin or collateral.

Please, click here to review the “Non-Reg IM Right of Segregation Notice” document for more details.

Any margin collateral received and held by Santander in respect of uncleared SBS will not be subject to a segregation requirement under SEC Rule 18a-4.  Accordingly, in the event of an insolvency proceeding, receivership or similar process in respect of Santander, absent an effective segregation of such margin collateral from the property of Santander established by contract or other law, such a claim could be treated as a general creditor claim against Santander or its estate.  To the extent that you have posted initial margin to us with respect to uncleared swaps pursuant to § 237.3 (12 C.F.R. § 237.3) of the margin requirements of the Board of Governors of the Federal Reserve System (as amended, supplemented or replaced from time to time) (the “Fed Margin Rules”), such margin must be segregated in accordance with § 237.7 (12 C.F.R. § 237.7) of the Fed Margin Rules.  To the extent that you have posted initial margin to us with respect to an OTC derivatives contract not cleared by a central counterparty pursuant to Article 13 of Commission Delegated Regulation (EU) 2016/2251 of 4 October 2016 (as amended, supplemented or replaced from time to time) (the “EMIR Margin Regulation”), such margin must be segregated in accordance with Article 11(3) of Regulation (EU) No 648/2012 of 4 July 2012 (as amended, supplemented or replaced from time to time), and Articles 19 and 20 of the EMIR Margin Regulation. 

RESOLUTION AUTHORITY NOTICE

Santander hereby notifies you that Santander is not a Covered Financial Company[2] or an Insured Depository Institution.[3]

If either you or we are (i) a Covered Financial Company or (ii) an Insured Depository Institution for which the Federal Deposit Insurance Corporation (“FDIC”) has been appointed as receiver (a “covered party”), certain limitations under Title II of the Dodd-Frank Act or the Federal Deposit Insurance Act of 1950 may apply to the rights of the non-covered party to terminate, liquidate, or net any swap or SBS by reason of the appointment of the FDIC as receiver, notwithstanding any agreement between you and us. In such case, the FDIC may have certain rights to transfer swaps or SBS of the covered party under 210(c)(9)(A) of the Dodd-Frank Act, 12 U.S.C. § 5390(c)(9)(A), or 12 U.S.C. § 1821(e)(9)(A).
 

[1] These disclosures are generally not required for swaps or SBS executed by Santander through a non-U.S. branch or affiliate with non-U.S. persons, but are generally required when SBS trades are arranged, negotiated, or executed by U.S.-based personnel of Santander.

[2] “Covered Financial Company” means a “covered financial company,” as defined in Section 201(a)(8) of the Dodd-Frank Act, 12 U.S.C. § 5381(a)(8).

[3] “Insured Depository Institution” means an “insured depository institution,” as defined in 12 U.S.C. § 1813.