Template:Gmsla 11.4 summ: Difference between revisions

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Revision as of 10:46, 7 June 2021

How you value a mini close-out where a party can’t redeliver a stock (because it's been suspended or something). It boils down to how you value either leg of the trade.

If the Non-Defaulting Party has actually sold securities equivalent to those it lent, in can treat the price it got as the Default Market Value. If it hasn’t, it must get two or more reference market maker quotations and average those.

  1. redirectGmsla deliverable and receivable securities capsule