Create Sub Folders within Archive Mailbox in MacMail

I would like to create a sub folder within the Archives mailbox (mail version 10.3), but am struggling to do this.

Its all good & well to archive messages, but if one cannot categorise them per folder, it becomes very tedious and to locate an individual message within one global folder. Sub folders make it easier to locate Archived messages.

Any assistance in creating sub folders within the Archive mailbox will be appreciated.