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Recital 6

Recital 6

(6)For derivative transactions that have more than one risk driver and where those risk drivers refer to different risk categories, it may not be possible to conclude which of those risk drivers are material, even after taking into account sensitivities and the volatility of the underlying of the transaction. In such cases, institutions should, as a simple, conservative fallback approach, consider all the risk drivers of the transaction material and, consequently, allocate the derivative transaction to the risk categories corresponding to these risk drivers on the basis of the most material risk drivers within each risk category.

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