Template:Nutshell GMSLA 11.4

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;

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.