A. Create an API integration object in Snowflake that points to your AWS API Gateway endpoint, configured to invoke the Lambda function. This API integration must use a service principal and access roles for secure authentication.

B. Grant usage privilege on the API integration object to the role that will be calling the external function, ensuring only authorized users can trigger the model training.

C. In the Lambda function, establish a direct connection to the Snowflake database using the Snowflake JDBC driver and Snowflake user credentials stored in the Lambda environment variables. This allows the Lambda function to directly query the 'CUSTOMER DATA' table.

D. Create an external function in Snowflake that accepts a JSON payload containing the necessary parameters for model training, such as features to use and model hyperparameters. This function will call the API integration to invoke the Lambda function.

E. Utilize Snowflake's data masking policies on the table to anonymize sensitive information before sending it to the external function for training. This ensures data privacy and compliance with regulations.