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How you value a mini close-out where a party can’t redeliver a stock (because it’s been suspended or something). It boils down to how you value either leg of the trade.

If the {{{{{1}}}|Non-Defaulting Party}} has actually sold securities equivalent to those it lent, in can treat the price it got as the {{{{{1}}}|Default Market Value}}. If it hasn’t, it must get two or more reference market maker quotations and average those.

1. redirectGmsla deliverable and receivable securities capsule