Template:Nutshell GMSLA 11.4: Difference between revisions

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Created page with "{{gmslaprov|11.4}} If between the {{gmslaprov|Termination Date}} and the {{gmslaprov|Default Valuation Time}}: <br> (a) the {{gmslaprov|Non-Defaulting Party}} ('''NDP''') has ..."
 
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{{gmslaprov|11.4}} If between the {{gmslaprov|Termination Date}} and the {{gmslaprov|Default Valuation Time}}: <br>
{{gmslaprov|11.4}} If between the {{gmslaprov|Termination Date}} and the {{gmslaprov|Default Valuation Time}}: <br>
(a) the {{gmslaprov|Non-Defaulting Party}} ('''NDP''') has bought {{gmslaprov|Securities}}/{{gmslaprov|Collateral}} {{gmslaprov|equivalent}} to those it owes {{gmslaprov|Defaulting Party}} ('''DP''') or has sold {{gmslaprov|Securities}}/{{gmslaprov|Collateral}} {{gmslaprov|equivalent}} to those DP owes it (whether or not that transaction has settled) it may treat the {{gmslaprov|Default Market Value}} as the net sale proceeds or aggregate purchase cost of such Securities/Collateral; <br>
(a) (whether or not such a transaction has settled) the {{gmslaprov|Non-Defaulting Party}} ('''NDP''') has  
(b) the NPD has received bid or offer quotations from two or more market makers in a commercially reasonable size (as determined by the NDP) it may elect to treat as the {{gmslaprov|Default Market Value}} as the arithmetic mean of the prices quoted adjusted in a commercially reasonable manner by the NDP to reflect accrued but unpaid coupons plus or minus transaction costs.<br>
:(i) '''sold''' {{gmslaprov|Securities}}/{{gmslaprov|Collateral}} {{gmslaprov|equivalent}} to those it is owed by the {{gmslaprov|Defaulting Party}}; or <br>
:(ii) '''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) 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>

Revision as of 15:35, 11 June 2015

11.4 If between the Termination Date and the Default Valuation Time:
(a) (whether or not such a transaction has settled) the Non-Defaulting Party (NDP) has

(i) sold Securities/Collateral equivalent to those it is owed by the Defaulting Party; or
(ii) bought Securities/Collateral equivalent to those it owes the Defaulting Party; 
it may treat the Default Market Value as the net sale proceeds or aggregate purchase cost of the relevant sale or purchase.

(b) 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.

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