PRU 4.14.6

In order to qualify for using the Rules specified in this Section, and particularly the risk weighting approach outlined below, an Authorised Person must demonstrate the following:

(a) a comprehensive understanding of the risk characteristics of its individual securitisation Exposures, whether on balance sheet or off balance sheet, as well as the risk characteristics of the pools underlying securitisation Exposures;
(b) ability to access the performance information on the underlying pools on an on-going basis in a timely manner; and
(c) a thorough understanding of all structural features of a securitisation transaction that would materially impact the performance of the Authorised Person's Exposure to the transaction, such as waterfall triggers, Credit Enhancements, liquidity enhancements, market value triggers and deal specific definitions of default.