Guidance

1. An Authorised Person which is an investor, Originator or Sponsor of a Securitisation should fully understand the risks it has assumed in order to ensure that it can accurately determine the Capital Requirements for the Exposures arising from the securitisation in accordance with the Rules in this Section.
2. For the purposes of Rule 4.14.6(b) information should include the percentage of loans 30, 60, 90 days past due, default rates, prepayment rates, loans in foreclosure, property type, occupancy, average credit score etc. For Re-securitisations, Authorised Persons should have information relating to not only the underlying securitisation transactions but also the characteristics and performance of the underlying pools of such transactions.