Template:Nutshell GMSLA 11.4: Difference between revisions
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Revision as of 13:26, 24 February 2016
11.4 If between the Termination Date and the Default Valuation Time:
- (a) Actual sale or purchase: the Non-Defaulting Party (NDP) has
- sold Securities/Collateral equivalent to those it is owed by the Defaulting Party; or
- bought Securities/Collateral equivalent to those it owes the Defaulting Party;
- sold Securities/Collateral equivalent to those it is owed by the Defaulting Party; or
- it may treat the Default Market Value as the net sale proceeds or aggregate purchase cost of the relevant sale or purchase.
- (b) Reference market quotes: the NDP has received:
- offer quotations for Securities/Collateral equivalent to those it is owed by the Defaulting Party; or
- bid quotations for Securities/Collateral equivalent to those it owes the Defaulting Party;
- from two or more market makers in a commercially reasonable size (as determined by the NDP) it may elect to treat as the 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.