Related provisions for BIPRU 5.7.16

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To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004 (From field only).

The master netting agreement internal models approach1 is an alternative to using the supervisory volatility adjustments approach or the own estimates of volatility adjustments approach in calculating volatility adjustments for the purpose of calculating the ‘fully adjusted exposure value’ (E*) resulting from the application of an eligible master netting agreement covering repurchase transactions, securities or commodities lending or borrowing transactions and/or other capital