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PIB A5.2.19

An Authorised Firm with the necessary capability may, with the written consent of the DFSA, use the Duration Method, which produces a more accurate measure for General Market Risk than the Maturity Method. An Authorised Firm must elect and use the Duration Method on a continuous basis and will be subject to supervisory monitoring of the systems used.

Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]