Status: You are viewing the version of the handbook as on 2019-01-31.

supervisory volatility adjustments approach

    45the approach to calculating volatility adjustments under the financial collateral comprehensive method under which the firm uses the adjustments specified in BIPRU 5.4 (Financial collateral) rather than in its own estimates, as more fully described in BIPRU 5.4 and including that approach as applied to master netting agreements as described in BIPRU 5.6 (Master netting agreements).