Template:Nutshell GMSLA 11.4: Difference between revisions

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{{gmslaprov|11.4}} If between the {{gmslaprov|Termination Date}} and the {{gmslaprov|Default Valuation Time}}: <br>
{{gmslaprov|11.4}} '''Transactions and quotes''': If, between the {{gmslaprov|Termination Date}} and the {{gmslaprov|Default Valuation Time}}: <br>
:(a) '''Actual sale or purchase''': the {{gmslaprov|Non-Defaulting Party}} ('''NDP''') has  
:(a) '''Actual sale or purchase''': the {{gmslaprov|Non-Defaulting Party}} has sold securities {{gmslaprov|equivalent}} to those it owes the {{gmslaprov|Defaulting Party}} or [[Buy-In - GMSLA Provision|bought in]] securities {{gmslaprov|equivalent}} to those the {{gmslaprov|Defaulting Party}} owes it, the {{gmslaprov|Non-Defaulting Party}} may treat the {{gmslaprov|Default Market Value}} as the net proceeds that sale or purchase. Where it  sells or {{gmslaprov|Buys In}} a different amount of {{gmslaprov|Equivalent}} {{gmslaprov|Securities}}, {{gmslaprov|Non-Defaulting Party}} may [[in good faith]] pro rate those values to determine the {{gmslaprov|Default Market Value}}. <br>
::'''sold''' {{gmslaprov|Securities}}/{{gmslaprov|Collateral}} {{gmslaprov|equivalent}} to those it is owed by the {{gmslaprov|Defaulting Party}}; or <br>
:(b) '''Market quotes''': the {{gmslaprov|Non-Defaulting Party}} has received [[offer]] quotations for securities it is owed by the {{gmslaprov|Defaulting Party}}; or [[bid]] quotations for securities it owes the {{gmslaprov|Defaulting Party}} from at least two regular participants in the {{gmslaprov|Appropriate Market}} in what it determines to be a commercially reasonable size, it may treat as the {{gmslaprov|Default Market Value}} the arithmetic mean of the quoted prices as reasonably adjusted to account for for accrued but unpaid interest and {{gmslaprov|Transaction Costs}}. <br>
::'''bought''' {{gmslaprov|Securities}}/{{gmslaprov|Collateral}} {{gmslaprov|equivalent}} to those it owes the {{gmslaprov|Defaulting Party}}; <br>
:it may treat the {{gmslaprov|Default Market Value}} as the net sale proceeds or aggregate purchase cost of the relevant sale or purchase. <br>
:(b) '''Reference market quotes''': the NDP has received: <br>
::'''offer''' quotations for {{gmslaprov|Securities}}/{{gmslaprov|Collateral}} {{gmslaprov|equivalent}} to those it is owed by the {{gmslaprov|Defaulting Party}}; or
::'''bid''' quotations for {{gmslaprov|Securities}}/{{gmslaprov|Collateral}} {{gmslaprov|equivalent}} to those it owes the {{gmslaprov|Defaulting Party}}; <br>
:from two or more market makers in a {{tag|commercially reasonable}} size (as determined by the NDP) it may elect to treat as the {{gmslaprov|Default Market Value}} the arithmetic mean of those prices quoted adjusted in a commercially reasonable manner by the NDP to reflect accrued but unpaid coupons plus or minus transaction costs.<br>

Latest revision as of 10:48, 31 March 2022

11.4 Transactions and quotes: If, between the Termination Date and the Default Valuation Time:

(a) Actual sale or purchase: the Non-Defaulting Party has sold securities equivalent to those it owes the Defaulting Party or bought in securities equivalent to those the Defaulting Party owes it, the Non-Defaulting Party may treat the Default Market Value as the net proceeds that sale or purchase. Where it sells or Buys In a different amount of Equivalent Securities, Non-Defaulting Party may in good faith pro rate those values to determine the Default Market Value.
(b) Market quotes: the Non-Defaulting Party has received offer quotations for securities it is owed by the Defaulting Party; or bid quotations for securities it owes the Defaulting Party from at least two regular participants in the Appropriate Market in what it determines to be a commercially reasonable size, it may treat as the Default Market Value the arithmetic mean of the quoted prices as reasonably adjusted to account for for accrued but unpaid interest and Transaction Costs.