Institutions shall calculate the add-on for transactions with a counterparty that are not subject to a master netting agreement that meets the conditions set out in Article 206 on a transaction-by-transaction basis in accordance with the following formula:
where:
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=
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the add-on;
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i
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=
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the index that denotes the transaction;
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Ei
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=
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the fair value of securities or cash lent to the counterparty under transaction i; and
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Ci
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=
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the fair value of securities or cash received from the counterparty under transaction i.
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