1. The periodic stress testing in relation to securitisation activities referred to in Rule 4.14.5 should consider the firm-wide impact of those activities and Exposures in stressed market conditions and the implications for other sources of risk. Such stress tests should include both existing securitisation Exposures and transactions in the pipeline, as there is a risk of the pipeline transactions not being completed in a stressed market scenario.
2. The frequency and extent of stress testing to fulfil the requirements of Rule 4.14.5 should be determined on the basis of the materiality of the Authorised Person's securitisation volumes and its off-balance sheet Exposures.
3. An Authorised Person should have procedures in place to assess and respond to the results produced from the stress testing and these should be taken into account under the ICAAP.