5.For the assessment of the modellability of risk factors of the broad risk factor category ‘credit spread’ belonging to a certain maturity bucket, an institution may reallocate the verifiable prices of a bucket to the adjacent bucket related to shorter maturities only where all of the following conditions are met:
(a)the institution does not have exposure to any risk factor belonging to the bucket corresponding to the longer maturities and hence does not use any of these risk factors within its risk-management model;
(b)any verifiable price is only counted in a single maturity bucket;