PIB 4.14.5 Guidance
1. The periodic stress testing in relation to securitisation activities referred to in PIB 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 PIB Rule 4.14.5 should be determined on the basis of the materiality of the
Authorised Firm's securitisation volumes and its off-balance sheet Exposures.
Authorised Firm 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.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]