This is because HMRC insists to see original documents. When HMRC has finished processing your claim at their end they will normally return the original documents to your last known address.
If you cannot supply originals, your claim may be delayed; in some cases, it could even be invalidated. If you are missing a P60, HMRC may accept accept a statement of earnings as a subsitute. If you are missing a P45 from a particular employer, HMRC may accept the last payslip, but this is entirely at their discretion.
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