Reference Price Transaction Disclosure for Barclays Fixed Income Counterparties
This disclosure sets out certain information we provide to our counterparties in connection with Reference Price Transactions in fixed income products. You are not required to take any action and do not have to acknowledge or respond to this disclosure. The contents of these disclosures should not be treated as investment, regulatory or legal advice.
Reference Price Transactions
You may request that Barclays enter into cash transactions and derivatives transactions in respect of bonds (including, without limitation, government bonds, MBS, corporate bonds, bond forwards, single bond total return swaps, CDX, CDX Options and index total return swaps) where the execution price is determined by reference to published prices traded at market close or during a predetermined window (these transactions are referred to in this disclosure as Reference Price Transactions, the reference rate prices are referred to as Reference Price and the time a Reference Price is fixed is referred to as the Reference Time).
Please note that the Barclays Fixed Income Business does not consider a Reference Price Transaction to be an order.
Our activity in the market
If Barclays agrees to enter into a Reference Price Transaction with you, our activity as a submitter or contributor to the Reference Price or our pre-hedging and hedging activity in respect of transactions ahead of or around the fixing time of the Reference Price may adversely impact the level of the Reference Price.
While entering into a Reference Price Transaction allows you to remove the uncertainty over the difference between the Reference Price and the execution price for the transaction, you bear the risk that market activity following entry into the Reference Price Transaction (including any pre-hedging and hedging activity) could result in an adverse price movement for you before the Reference Time.
Management of conflicts of interest
Barclays manages the potential for conflicts of interest related to Reference Price Transactions in the following ways:
Restrictions on Reference Price Transactions: Barclays does not enter into Reference Price Transactions where Barclays is the administrator or expects to be the sole provider of the Reference Price. Barclays may enter into Reference Price Transactions if Barclays is one of multiple submitters or contributors to the Reference Price or is not connected with the determination of the Reference Price. This does not mean that Barclays will always enter into a Reference Price Transaction where no such conflict exists as Barclays has discretion whether to execute any particular transaction.
Desk procedures: Barclays has in place desk procedures regarding the handling of Reference Price Transactions, trading around the fixing time of the Reference Price and supervision of that activity.
Governance for benchmark submissions and contributions: Where Barclays acts as one of multiple submitters or contributors to the Reference Price, additional controls and governance apply to manage the potential conflicts of interest that can arise from price submissions or contributions and to comply with applicable benchmark regulations.
Terms of Reference Price Transactions
If you request Barclays to enter into a Reference Price Transaction, Barclays will treat you as being aware of and accepting the contents of this disclosure. For more information about pre-hedging and hedging activities you should refer to the Barclays Pre-Hedging and Hedging Global Disclosure.
Please contact your usual Sales representative if you have any queries about the contents of this disclosure.