SECTION 5 Investment in securitisation positions

‘securitisation’ means a securitisation within the meaning of Article 4(36) of Directive 2006/48/EC;

‘securitisation position’ means a securitisation position within the meaning of Article 4(40) of Directive 2006/48/EC;

‘sponsor’ means a sponsor within the meaning of Article 4(42) of Directive 2006/48/EC;

‘tranche’ means a tranche within the meaning of Article 4(39) of Directive 2006/48/EC.

grant credit based on sound and well-defined criteria and clearly establish the process for approving, amending, renewing and re-financing loans to exposures to be securitised as they apply to exposures they hold;

have in place and operate effective systems to manage the ongoing administration and monitoring of their credit risk-bearing portfolios and exposures, including for identifying and managing problem loans and for making adequate value adjustments and provisions;

adequately diversify each credit portfolio based on the target market and overall credit strategy;

have a written policy on credit risk that includes their risk tolerance limits and provisioning policy and describes how it measures, monitors and controls that risk;

grant readily available access to all materially relevant data on the credit quality and performance of the individual underlying exposures, cash flows and collateral supporting a securitisation exposure and such information that is necessary to conduct comprehensive and well informed stress tests on the cash flows and collateral values supporting the underlying exposures. For that purpose, materially relevant data shall be determined as at the date of the securitisation and where appropriate due to the nature of the securitisation thereafter;

grant readily available access to all other relevant data necessary for the AIFM to comply with the requirements laid down in Article 53;

disclose the level of their retained net economic interest as referred to in Article 51, as well as any matters that could undermine the maintenance of the minimum required net economic interest as referred to in that Article.