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Recital 6

Recital 6

(6)Market price uncertainty, close-out costs and model risk AVAs should be calculated on the basis of Valuation Exposures, which are based on financial instruments or portfolios of financial instruments. For those purposes, financial instruments may be combined to portfolios when, for market price uncertainty and close-out costs AVAs, the instruments are valued on the basis of the same risk factor or when, for model risk AVAs, they are valued on the basis of the same pricing model.

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