1. When mapping risk factors to the broad risk factor categories of Table 2 of Article 325bd of Regulation (EU) No 575/2013, institutions shall assign each risk factor to the most appropriate broad risk factor category, having regard to the nature of the risk captured by the risk factor and the data used as inputs for the risk factor in the risk measurement model.
When mapping risk factors to the broad risk factor sub-categories under the broad risk factor category of that Table, institutions shall assign the risk factor to the most appropriate broad risk factor sub-category of that broad risk factor category, having regard to the nature of the risk captured by the risk factor and the data used as inputs for the risk factor in the risk measurement model.
2. For the purposes of paragraph 1, where the nature of the risk factor does not correspond to any broad risk factor categories of Table 2 of Article 325bd of Regulation (EU) No 575/2013, institutions shall map that risk factor to the broad risk factor category ‘Commodity’ of that Table and to the broad risk factor sub-category ‘Other types’ of that category.
3. For the purposes of paragraph 1, for a risk factor that could be mapped to more than one broad risk factor category or broad risk factor sub-category, institutions shall identify all of those corresponding categories and corresponding sub-categories.
Among those broad risk factor categories or those corresponding broad risk factor sub-categories, the risk factor shall be mapped to the broad risk factor category and the corresponding broad risk factor sub-category having the longest liquidity horizon.
Where more than one broad risk factor category or corresponding broad risk factor sub-category have the same longest liquidity horizon, the risk factor may be mapped to any of those broad risk factor categories and their corresponding broad risk factor sub-categories.