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PIN A6.6.3

The amount in respect of a derivative contract is obtained by calculating, for an asset equivalent amount as determined in PIN Rule A6.6.4, a default risk component as set out in PIN section A6.4 and an investment volatility risk component as set out in PIN section A6.5, as though the asset equivalent amount were a debt obligation due from the derivative counterparty.


Derived from DFSA RM06/2004 (Made 16th September 2004). [VER1/09-04]