Institutions are required to categorise each transaction within a netting set into specific risk categories—namely, interest rate, foreign exchange, credit, equity, commodity, or other risks—to assess potential future exposure. The primary risk driver of a derivative transaction will determine this categorisation, although transactions with multiple risk drivers may be assigned to more than one category based on the most significant driver.

Additionally, special considerations apply: transactions driven by inflation variables must fall under the interest rate risk category, while those influenced by climatic conditions should be mapped to commodity risk. The European Banking Authority (EBA) is tasked with developing regulatory technical standards for identifying risk drivers.