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Data warehouses (DWs) manage crucial information for enterprises which must be protected from unauthorized accesses. The question of which security issues are present in all stages of the DW design is therefore of great importance when considering these security constraints in design decisions. We have used the model driven architecture (MDA) approach to propose an MDA architecture with which to develop secure DWs, which defines secure models at different abstraction levels along with their automatic transformation between models. Our approach considers a multidimensional path towards on-line analytical processing (OLAP) tools, but did not, until now, support the transformation of complex security rules from conceptual models. After carrying out a modification of our conceptual metamodel to support a better representation of security rules and to define several sets of transformation rules, this paper shows how to transform these security rules through an example.