The Exchange will apply the provisions of the default procedures applicable to all unsettled relevant principal contracts in accordance with paragraphs D120 - D148 of the Rules of the London Stock Exchange where MF Global UK Limited (“MF Global”) acted in a principal capacity. See below for full details of this process.
Hammer Price spreadsheets are available from the downloads below.
Unsettled Relevant Principal Contracts
The Exchange will determine the final cash settlement payable between the two counterparties involved in each transaction. This is based on the difference between the original trade price and the Exchange’s the hammer price.
In accordance with Rules D140 – D142:
If the hammer price exceeds the contract price:
If the contract was a purchase by the defaulter the defaulter is entitled to receive the excess from the counterparty
If the contract was a sale by the defaulter the defaulter is obliged to pay the excess to the counterparty
If the hammer price falls short of the contract price:
If the contract was a purchase by the defaulter the defaulter is obliged to pay the shortfall to the counterparty
If the contract was a sale by the defaulter the defaulter is entitled to receive the shortfall from the counterparty
If hammer price is equal to the contract price:
Zero position – nothing owed between counterparty and defaulter
Publication by the Exchange of a hammer price in any particular security should not be interpreted to mean that the Exchange accepts that these are unsettled on Exchange market contracts in any such security. The Exchange's reconciliation process is intended to identify the unsettled market contracts that are on Exchange.
Additional Hammer Prices
We have a Hammer Price list (dated and version controlled) on a dedicated website page. Additional security hammer prices will be added to an updated list (with a new version number) and highlighted in yellow text. The Exchange will communicate that an updated version of the list is available to market counterparties via a Stock Exchange Notice together with a link to the site.
Objection to Hammer Prices
Under Rule D145 a member firm may object to a hammer price in writing (email will suffice) within five business days of the date of notification (ie: when the given hammer price first appeared on the Exchange’s list). Any dispute will be determined in accordance with Rule D145 and the determination will be final and binding on all concerned. In making any objection, the member firm should state why it does not believe the stated hammer price reflects the Exchange’s closing price of the security as at Wednesday 2 November 2011.
In accordance with the Rules of the London Stock Exchange and the definition for “hammer price”
Hammer prices will be communicated to member firms by way of a London Stock Exchange Notice. Where hammer prices have not yet been fixed they will be added to the list as soon as reasonably practicable. Member firms will be able to track if these prices have been updated by way of the version number and the date of the excel spreadsheet attached to this page.
Member firms should be aware that hammer prices are not applicable for the valuation of lending arrangements.
Rate of Exchange for Net Sums Due under Default Procedures
Under Rule D144 The Exchange will calculate the net amount due between MF Global and its counterparties where they were party to unsettled, non-CCP trades undertaken on the Exchange in currencies other than sterling.
In accordance with Rule D144, for the purpose of discharging the amounts calculated in respect of such trades, the Exchange will aggregate all the relevant amounts which are in the same currency, creating a "currency aggregate". This is to allow the Exchange to certify a single net amount to be paid by MF Global to its counterparty or by the counterparty to MF Global, as appropriate.
The currency aggregates will be converted into sterling at the rate of exchange set by the default official for the relevant currency on the day of default.
The Exchange rate spreadsheet is available from the downloads below.
Hammer Prices - MF Global V1 03-11-11 (file xls - 114 KB)
Hammer Prices - MF Global V2 23-11-11 (file xls - 125 KB)
Hammer Prices - MF Global V3 06-12-11 (file xls - 133 KB)
Hammer Prices - MF Global V4 02-02-12 (file xls - 133 KB)
Hammer Prices - MF Global V5 28-09-12 (file xls - 131 KB)
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