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GMRA Anatomy™
In a Nutshell™ Clause 2(cc):
2(cc) “Market Value” means any Securities’ price obtained from a mutually acceptable source for the earliest available delivery date plus accrued Income (if not included in that price), converted into the Contractual Currency at the Spot Rate. Where Securities are suspended, for Margin Maintenance their price will be nil, and for other purposes, it will be their closing price on the last dealing day before they were suspended.
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Global Master Repurchase Agreement full text of Clause 2(cc):
2(cc) “Market Value”, with respect to any Securities as of any time on any date, the price for such Securities at such time on such date obtained from a generally recognised source agreed to by the parties (and where different prices are obtained for different delivery dates, the price so obtainable for the earliest available such delivery date) (provided that the price of Securities that are suspended shall (for the purposes of paragraph 4) be nil unless the parties otherwise agree and (for all other purposes) shall be the price of those Securities as of close of business on the dealing day in the relevant market last preceding the date of suspension) plus the aggregate amount of Income which, as of such date, has accrued but not yet been paid in respect of the Securities to the extent not included in such price as of such date, and for these purposes any sum in a currency other than the Contractual Currency for the Transaction in question shall be converted into such Contractual Currency at the Spot Rate prevailing at the relevant time;
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An utterly ghastly linguistic contortion, of the sort which ought to foment revolution in right-thinking folk. Compare with — and I never thought I’d see the JC using the ISDA Master Agreement as a model of drafting elegance but, bugger it, here goes — the definition of Value in the 1995 CSA.