Article 2
Method for identifying transactions with only one material risk driver
1.
After the identification of all the risk drivers of a transaction in accordance with Article 1, institutions shall, at inception of each transaction, identify transactions with only one material risk driver by applying the following:
(a)
where the cash flows of the transaction depend exclusively on one risk driver that belongs to one of the risk categories referred to in Article 277(1) of Regulation (EU) No 575/2013, institutions shall identify that risk driver as the only material risk driver of that transaction;
(b)
where the cash flows of the transaction depend on more than one risk driver and where institutions have identified only one risk driver of that transaction as material in accordance with either the method laid down in Article 4(3) or the method laid down in Article 4(4), institutions shall identify that risk driver as the only material risk driver of that transaction.
2.
By way of derogation from paragraph 1, for cross-currency interest-rate swaps as referred to in point 2(a) of Annex II to Regulation (EU) No 575/2013, institutions may identify the foreign exchange risk driver as the only material risk driver of the transaction.