ANNEX II
‘ANNEX IV
Information to be submitted to ESMA pursuant to Articles 26b to 26e of Regulation (EU) 2017/2402 regarding on-balance-sheet securitisations
General information
Field code | Article of Regulation (EU) 2017/2402 | Field name | Content to be reported | Additional information |
STSSY1 | Article 27(1), third subparagraph | First contact point | Legal Entity Identifier (LEI) of the entity designated as the first contact point and name of the relevant competent authority. | Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980 |
STSSY2 | N/A | Notification date | The date of notification to ESMA. | N/A |
STSSY3 | N/A | Instrument identification code | Where available, the international security identification code (ISIN) or codes. If no ISIN is available, then any other unique securities code (including the credit linked notes), where available. | Where available under Item 3.1 of Annex 19 of Delegated Regulation (EU) 2019/980 |
STSSY4 | N/A | Legal Entity Identifier (LEI) | The LEI of the originator(s) and sponsor(s) and, where available, original lender(s) and SSPE(s). | Item 4.2 of Annex 9 of Delegated Regulation (EU) 2019/980 |
STSSY5 | Article 31(3) | Protection seller | The LEI, the name, the country of establishment of the initial protection seller(s) and the name of the competent authority. | N/A |
STSSY6 | N/A | Notification identifier | Where reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification. | N/A |
STSSY7 | N/A | Unique identifier | The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224 | N/A |
STSSY8 | N/A | Securitisation Repository | If applicable, the name of the registered securitisation repository. | N/A |
STSSY9 | Article 18, second subparagraph, and Article 27(3) | Country of establishment | The country of establishment of the originator(s), sponsor(s), original lender(s) and SSPE(s). | N/A |
STSSY10 | N/A | Synthetic securitisation classification | The type of synthetic securitisation: synthetic securitisation with funded credit protection; synthetic securitisation with unfunded credit protection. | N/A |
STSSY11 | N/A | Synthetic securitisation with unfunded credit protection | Name of the protection seller (government or supra national institution with a risk weight of 0 %) | N/A |
STSSY12 | N/A | Credit Protection Agreement used | The type of credit protection agreement used: Credit derivatives; Financial guarantees | N/A |
STSSY13 | N/A | Underlying exposures classification | The type of underlying exposures including: 1) Trade finance exposures 2) Small and Medium Enterprise (SMEs) loans 3) Consumer lending 4) Large corporates loans 5) Mix of SMEs and large corporates loans 6) Commercial real estate exposures 7) Others. | N/A |
STSSY14 | N/A | Issue date | The closing date of the transaction and, if different, the date at which the protection agreement comes into effect. | N/A |
STSSY15 | Article 27(2), second subparagraph | Authorised third party verifier – statement | Where an authorised third party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, a statement that compliance with the STS criteria was confirmed by that authorised third party. | N/A |
STSSY16 | Article 27(2), second subparagraph | Authorised third party verifier – country of establishment | Where an authorised third party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the third party’s name and country of establishment. | N/A |
STSSY17 | Article 27(2), second subparagraph | Authorised third party verifier – competent authority | Where an authorised third party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the name of the competent authority that has authorised it. | N/A |
STSSY18 | Article 27(5) | STS status | If applicable, a reasoned notification by the originator that the synthetic securitisation is no longer to be considered as STS. | N/A |
Specific information
Field code | Article of Regulation (EU) 2017/2402 | Field name | Confirmation | Concise explanation | Detailed explanation | Content to be reported | Additional information |
STSSY19 | Article 26b(1), first subparagraph | The originator is a supervised entity in the Union | √ | Confirmation that the originator is an entity that is authorised or licenced in the Union. | N/A | ||
STSSY20 | Article 26b(1), second subparagraph | Originator applying the purchased third party’s exposures policies | √ | A concise explanation that the policies for credit, collection, debt workout and servicing which the originator applies to a third party’s exposures that the originator has purchased on its own account and then securitised, and which must not be less stringent than those that the originator applies to comparable exposures that have not been purchased. | N/A | ||
STSSY21 | Article 26b(2) | Underlying exposures’ origination | √ | A concise explanation that the underlying exposures are originated as part of the core business activity of the originator. | N/A | ||
STSSY22 | Article 26b(3) first subparagraph | Assets held on originator’s balance sheet at transaction closing | √ | A confirmation that, at the closing of a transaction, the underlying exposures are held on the balance sheet of the originator or of an entity that belongs to the same group as the originator. | N/A | ||
STSSY23 | Article 26b(3) second subparagraph | Group category | √ | For the purposes of field STSSY22, a confirmation of which of the following two groups is the relevant one: a group of legal entities that is subject to prudential consolidation in accordance with Chapter 2 of the Title II of Part One of Regulation (EU) No 575/2013; a group as defined in Article 212(1), point (c), of Directive 2009/138/EC (1) | N/A | ||
STSSY24 | Article 26b(4) | No further hedging of originator’s exposure | √ | A confirmation that the originator does not hedge its exposure to the credit risk of the underlying exposures of the securitisation beyond the protection obtained through the credit protection agreement. | N/A | ||
STSSY25 | Article 26b(5) | Credit protection agreement meeting Article 249 of Regulation (EU) No 575/2013 | √ | A confirmation that the credit protection agreement complies with the credit risk mitigation rules laid down in Article 249 of Regulation (EU) No 575/2013. | N/A | ||
STSSY26 | Article 26b(5) | Credit protection agreement meeting other credit mitigation rules | √ | Where Article 249 of Regulation (EU) No 575/2013 is not applicable, a concise explanation that compliance with requirements that are no less stringent than the requirements set out in that Article is ensured. | N/A | ||
STSSY27 | Article 26b(6), point (a) | Representations and warranties – Legal title to the underlying exposures | √ | A concise explanation of the originator’s representations and warranties that the originator or an entity of the group to which the originator belongs has full legal and valid title to the underlying exposures and their associated ancillary rights. | N/A | ||
STSSY28 | Article 26b(6), point (b) | Representations and warranties – Originator keeps the credit risk of the underlying assets | √ | A concise explanation of the originator’s representations and warranties that, where the originator is a credit institution as defined in Article 4(1), point (1), of Regulation (EU) No 575/2013, or an insurance undertaking as defined in Article 13, point (1), of Directive 2009/138/EC, the originator or an entity which is included in the scope of supervision on a consolidated basis keeps the credit risk of the underlying exposures on its balance sheet. | N/A | ||
STSSY29 | Article 26b(6), point (c) | Representations and warranties – Exposure compliance with eligibility criteria | √ | A concise explanation of the originator’s representations and warranties that each underlying exposure complies, at the date it is included in the securitised portfolio, with the eligibility criteria and with all conditions, other than the occurrence of a credit event as referred to in Article 26e(1) of Regulation (EU) 2017/2402, for a credit protection payment in accordance with the credit protection agreement contained within the securitisation documentation. | Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY30 | Article 26b(6), point (d) | Representations and warranties – Legal and enforceable obligation to the obligor | √ | A concise explanation of the originator’s representations and warranties that, to the best of the originator’s knowledge, the contract for each underlying exposure contains a legal, valid, binding and enforceable obligation on the obligor to pay the sums of money specified in that contract. | Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY31 | Article 26b(6), point (e) | Representations and warranties – Underwriting criteria | √ | A concise explanation of the originator’s representations and warranties that the underlying exposures comply with underwriting criteria that are no less stringent than the standard underwriting criteria that the originator applies to similar exposures that are not securitised. | Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY32 | Article 26b(6), point (f) | Representations and warranties – No obligors in material breach or default | √ | A concise explanation of the originator’s representations and warranties that, to the best of the originator’s knowledge, none of the obligors are in material breach or default of any of their obligations in respect of an underlying exposure on the date on which that underlying exposure is included in the securitised portfolio exposures. | Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY33 | Article 26b(6), point (g) | Representations and warranties – No false information in transaction documentation | √ | A concise explanation of the originator’s representations and warranties that, to the best of the originator’s knowledge, the transaction documentation does not contain any false information on the details of the underlying exposures. | Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY34 | Article 26b(6), point (h) | Representations and warranties – Enforceability or collectability of the underlying exposures | √ | A concise explanation of the originator’s representations and warranties that at the closing of the transaction or when an underlying exposure is included in the securitised portfolio, the contract between the obligor and the original lender in relation to that underlying exposure has not been amended in such a way that the enforceability or collectability of that underlying exposure has been affected. | Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY35 | Article 26b(7), first subparagraph | Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis | √ | A concise explanation that the underlying exposures meet predetermined, clear and documented eligibility criteria that do not allow for active portfolio management of those exposures on a discretionary basis. | Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY36 | Article 26b(7), second subparagraph | Exemption to the prohibition of active portfolio management | √ | For the purposes of field STSSY35, a concise explanation that the substitution of exposures that are in breach of representations or warranties or, where the securitisation includes a replenishment period, the addition of exposures that meet the defined replenishment conditions are not to be considered active portfolio management. | Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY37 | Article 26b(7), third subparagraph | Exposure added after the closing date of the transaction meeting eligibility criteria | √ | A concise explanation that any exposure added after the closing date of the transaction meets eligibility criteria that are no less stringent than those applied in the initial selection of the underlying exposures. | Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 38 | Article 26b(7), fourth subparagraph, point (a) | Fully repaid exposure | √ | Where the underlying exposures is to be removed from the transaction, a concise explanation that it has been fully repaid or matured otherwise. | Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 39 | Article 26b(7),fourth subparagraph, point (b) | Underlying exposures disposed of | √ | Where the underlying exposure is to be removed from the transaction, a concise explanation that it has been disposed of during the ordinary course of the business of the originator, provided that such disposal does not constitute implicit support as referred to in Article 250 of Regulation (EU) No 575/2013. | Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 40 | Article 26b(7), fourth subparagraph, point (c) | Not credit driven amendment | √ | Where the underlying exposure is to be removed from the transaction, a concise explanation that it is subject to an amendment that is not credit driven, such as refinancing or restructuring of debt, and which occurs during the ordinary course of servicing of that underlying exposure. | Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 41 | Article 26b(7), fourth subparagraph, point (d) | Eligibility criteria not met | √ | Where the underlying exposure is to be removed from the transaction, a concise explanation that it did not meet the eligibility criteria at the time it was included in the transaction. | Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 42 | Article 26b(8), first subparagraph | Homogeneity of assets | √ | A detailed explanation of how the securitisation is backed by a pool of underlying exposures that are homogeneous in terms of asset type. For that purpose, reference shall be made to Commission Delegated Regulation (EU) 2019/1851 (2). | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 43 | Article 26b(8), first subparagraph | Only one asset type | √ | A detailed explanation of how the pool of underlying exposures comprises only one asset type. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 44 | Article 26b(8), second subparagraph | Obligations that are contractually binding and enforceable | √ | A concise explanation that the underlying exposures referred to in field STSSY42 contain obligations that are contractually binding and enforceable, with full recourse to debtors and, where applicable, guarantors. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 45 | Article 26b(8), third subparagraph | Defined periodic payment | √ | A detailed explanation on how the underlying exposures referred to in field STSSY42 have defined periodic payment streams, the instalments of which may differ in their amounts, relating to rental, principal or interest payments, or to any other right to receive income from assets supporting such payments. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 46 | Article 26b(8), third subparagraph | Proceeds from the sale of assets | √ | A detailed explanation of whether and how the underlying exposures referred to in field STSSY42 may also generate proceeds from the sale of any financed or leased assets. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 47 | Article 26b(8), fourth subparagraph | No transferable securities | √ | A detailed explanation of how the underlying exposures do not include transferable securities, as defined in Article 4(1), point (44), of Directive 2014/65/EU of the European Parliament and of the Council (3), other than corporate bonds that are not listed on a trading venue. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 48 | Article 26b(9) | No re -securitisation | √ | A confirmation that the underlying exposures do not include any securitisation positions. | Item 2.2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 49 | Article 26b(10), first subparagraph | Underwriting standards disclosed to potential investors | √ | A confirmation that the underwriting standards pursuant to which the underlying exposures are originated and any material changes from prior underwriting standards are fully disclosed to potential investors without undue delay. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 50 | Article 26b(10), first subparagraph | Full recourse to an obligor | √ | A confirmation that the underlying exposures are underwritten with full recourse to an obligor that is not an SSPE. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 51 | Article 26b(10), first subparagraph | Underwriting standards – No third parties | √ | A confirmation that no third parties are involved in the credit or underwriting decisions concerning the underlying exposures. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 52 | Article 26b(10), second subparagraph | Underwriting standards – Residential loans | √ | In the case of securitisations where the underlying exposures are residential loans, a confirmation that the pool of loans does not include any loan that was marketed and underwritten on the premise that the loan applicant, or, where applicable, intermediaries were made aware that the information provided, might not be verified by the lender. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 53 | Article 26b(10), third subparagraph | Underwriting standards – Borrower assessment | √ | Confirmation that the assessment of the borrower’s creditworthiness meets the requirements set out in Article 8 of Directive 2008/48/EC of the European Parliament and of the Council (4) or Article 18(1) to (4), point (a), of Article 18(5) and Article 18(6), of Directive 2014/17/EU of the European Parliament and of the Council (5), or where applicable, equivalent requirements in third countries. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 54 | Article 26b(10), fourth subparagraph | Originator or original lender expertise | √ | Confirmation that the originator or original lender have expertise in originating exposures of a similar nature to those securitised. | Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 55 | Article 26b(11), point (a) | No exposures at default | √ | A concise explanation that the underlying exposures do not include, at the time of selection, exposures in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013, or exposures to a credit-impaired debtor or guarantor, who to the best of the originator’s or original lender’s knowledge have been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within 3 years prior to the date of the origination or has undergone a debt-restructuring process with regard to his non-performing exposures within 3 years prior to the date of the selection of the underlying exposures, except where (i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least 1 year prior to the date of the selection of the underlying exposures; or (ii) the information provided by the originator in accordance with Article 7(1), first subparagraph, point (a) and point (e)(i), of Regulation (EU) 2017/2402 explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring and their performance since the date of the restructuring. In case any of those two exceptions apply, provide a concise explanation thereof. | Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 56 | Article 26b(11), point (b) | No adverse credit history | √ | A concise explanation that the underlying exposures do not include, at the time of selection, exposures in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013, or exposures to a credit-impaired debtor or guarantor, who to the best of the originator’s or original lender’s knowledge, were, at the time of origination of the underlying exposure, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or the original lender; | N/A | ||
STSSY 57 | Article 26b(11), point (c) | Risk of non-payment is not higher than for non-securitisation exposures | √ | Concise explanation that the underlying exposures do not include, at the time of selection, exposures in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013, or exposures to a credit-impaired debtor or guarantor who to the best of the originator’s or original lender’s knowledge have a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised. | N/A | ||
STSSY 58 | Article 26b(12) | At least one payment made at the time of inclusion of the underlying assets | √ | A confirmation that debtors have, at the time of the inclusion of the underlying exposures, made at least one payment, except where: In case any of those two exceptions apply, please provide a concise explanation thereof. the securitisation is a revolving securitisation, backed by exposures payable in a single instalment or having a maturity of less than 1 year, including without limitation monthly payments on revolving credits; or the exposure represents the refinancing of an exposure that is already included in the transaction. | Items 3.3 and 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 59 | Article 26c(1) | Compliance with risk retention requirements | √ | A detailed explanation of how the originator or original lender satisfy the risk retention requirements in accordance with Article 6 of Regulation (EU) 2017/2402. | Item 3.1 of Annex 9 and Item 3.4.3 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 60 | Article 26c(2), first subparagraph | Mitigation of interest rates and currency risks | √ | Confirmation that: the interest rate and currency risks arising from a securitisation and their possible effects on the payments to the originator and the investors are described in the transaction documentation, those risks are appropriately mitigated and any measures taken to that effect is disclosed to investors. | Items 3.4.2 and 3.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY61 | Article 26c(2), first subparagraph | Credit protection collateral and credit protection payment denominated in same currency | √ | A confirmation that any collateral securing the obligations of the investor under the credit protection agreement is denominated in the same currency in which the credit protection payment is denominated. | Items 3.4.2 and 3.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 62 | Article 26c(2), second subparagraph | SSPE’s liabilities equal or less than the SSPE’s income | √ | A concise explanation that, in the case of a securitisation using a SSPE, the amount of liabilities of the SSPE concerning the interest payments to the investors shall at each payment date be equal to or be less than the amount of the SSPE’s income from the originator and any collateral arrangements. | Items 3.4.2 and 3.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 63 | Article 26c(2), third subparagraph | No derivatives used except for hedging interest or currency risks | √ | A confirmation that the pool of underlying exposures does not include derivatives except for the purpose of hedging interest rate or currency risks of the underlying exposures. | Items 3.4.2 and 3.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 64 | Article 26c(2), third subparagraph | Using derivatives based on common standards | √ | A concise explanation that, in case the exception referred to in field number STSSY63 applies, any derivative used is underwritten and documented according to commonly accepted standards. | Items 3.4.2 and 3.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 65 | Article 26c(3), first and second subparagraph | Referenced interest payments based on generally used interest rates without complex formulae or derivatives | √ | A concise explanation, in case of any referenced interest rate payments in relation to the transaction, on which of the following the referenced interest rate payments are based on: A concise explanation that any referenced interest payments due under the underlying exposures is based on generally used market interest rates, or generally used sectoral rates reflective of the cost of funds which do not reference complex formulae or derivatives generally used market interest rates, or generally used sectoral rates reflective of the cost of funds and do not reference complex formulae or derivatives; or income generated by the collateral securing the obligations of the investor under the protection agreement. | Item 2.2.2 and 2.2.13 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 66 | Article 26c(4), first subparagraph | Enforcement event without prejudice for investor’s enforcement action | √ | A concise explanation that the investor is permitted to take enforcement action following the occurrence of an enforcement event in respect of the originator. | Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 67 | Article 26c(4), second subparagraph | Enforcement of the credit protection agreement- No amount of cash shall be trapped in the SSPE | √ | In the case of a securitisation using a SSPE, where an enforcement or termination notice of the credit protection agreement is delivered, a concise explanation that no amount of cash is trapped in the SSPE beyond what is necessary to ensure the operational functioning of that SSPE, the payment of the protection payments for defaulted underlying exposures that are still being worked out at the time of the termination, or the orderly repayment of investors in accordance with the contractual terms of the securitisation. | Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 68 | Article 26c(5), first subparagraph | Losses allocated in order of seniority | √ | A concise explanation that losses are allocated to the holders of a securitisation position in the order of seniority of the tranches, starting with the most junior tranche. | Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 69 | Article 26c(5), second subparagraph | Sequential amortisation | √ | A concise explanation that the sequential amortisation is applied to all tranches to determine the outstanding amount of the tranches at each payment date, starting from the most senior tranche. | Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 70 | Article 26c(5), third subparagraph | Non-sequential priority of payments | √ | By way of derogation from field STSSY 69, a concise explanation that transactions which feature non-sequential priority of payments include triggers related to the performance of the underlying exposures resulting in the priority of payments reverting the amortisation to sequential payments in order of seniority. | Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 71 | Article 26c(5), third subparagraph, point (a) | Performance-related triggers | √ | Detailed explanation of the mandatory performance-related trigger referred to in field STSSY70, which is either the increase in the cumulative amount of defaulted exposures or the increase in the cumulative losses greater than a given percentage of the outstanding amount of the underlying portfolio. | Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 72 | Article 26c(5), third subparagraph, point (b) | Performance-related triggers | √ | Detailed explanation of the additional backward-looking performance trigger referred to in field STSSY70. | Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 73 | Article 26c(5), third subparagraph, point (c) | Performance-related triggers | √ | Detailed explanation of forward-looking performance trigger referred to in field STSSY70. | Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 74 | Article 26c(5) seventh subparagraph | Amount of collateral equal to the amount of tranches being amortised | √ | Concise explanation that, as tranches amortise, the amount of the collateral equal to the amount of the amortisation of those tranches is returned to the investors, provided the investors have collateralised those tranches. | Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 75 | Article 26c(5), eighth subparagraph | Credit event occurred and amount of credit protection available at any payment date | √ | A concise explanation that, where a credit event as referred to in fields STSSY100 or STSSY101 has occurred in relation to underlying exposures and the debt workout for those exposures has not been completed, then the amount of credit protection remaining at any payment date is at least equivalent to the outstanding nominal amount of those underlying exposures, minus the amount of any interim payment made in relation to those underlying exposures. | Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 76 | Article 26c(6), point (a) | Early amortisation provisions or triggers – Credit quality | √ | Where a securitisation is a revolving securitisation, a concise explanation that the transaction documentation includes appropriate early amortisation provisions or triggers for termination of the revolving period in case of a deterioration in the credit quality of the underlying exposures to or below a predetermined threshold. | Items 2.3 and 2.4 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 77 | Article 26c(6), point (b) | Early amortisation provisions or triggers – Losses | √ | Where a securitisation is a revolving securitisation, a concise explanation that the transaction documentation includes appropriate early amortisation provisions or triggers for termination of the revolving period in case of a rise in losses above a predetermined threshold; | Items 2.3 and 2.4 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 78 | Article 26c(6), point (c) | Early amortisation provisions or triggers – New exposures | √ | Where a securitisation is a revolving securitisation, concise explanation that the transaction documentation includes appropriate early amortisation provisions or triggers for termination of the revolving period in case of a failure to generate sufficient new underlying exposures that meet the predetermined credit quality during a specified period. | Items 2.3 and 2.4 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 79 | Article 26c(7), point (a) | Contractual obligations, duties and responsibilities – Servicer | √ | A concise explanation that the transaction documentation clearly specifies the contractual obligations, duties and responsibilities of the servicer. | Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 80 | Article 26c(7), point (a) | Contractual obligations, duties and responsibilities – Trustee | √ | A concise explanation that the transaction documentation clearly specifies the contractual obligations, duties and responsibilities of the trustee and other ancillary service providers, as applicable. | Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 81 | Article 26c(7), point (a) | Contractual obligations, duties and responsibilities – Third-party verification agent | √ | A concise explanation that the transaction documentation clearly specifies the contractual obligations, duties and responsibilities of the third-party verification agent referred to in field STSSY126. | Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 82 | Article 26c(7), point (b) | Replacement of service providers in the event of their default or insolvency | √ | A concise explanation that the transaction documentation clearly specifies the provisions that ensure the replacement of the servicer, trustee, other ancillary service providers or the third-party verification agent referred to in field STSSY126 in the event of default or insolvency of either of those service providers, where those service providers differ from the originator, in a manner that does not result in the termination of the provision of those services. | Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 83 | Article 26c(7), point (c) | Servicing procedures | √ | A concise explanation that the transaction documentation clearly specifies the servicing procedures that apply to the underlying exposures at the closing date of the transaction and thereafter and the circumstances under which those procedures may be modified. | Item 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 84 | Article 26c(7), point (d) | Servicing standards | √ | A concise explanation that the transaction documentation clearly specifies the servicing standards that the servicer is obliged to adhere to in servicing the underlying exposures during the entire life of the securitisation. | Item 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 85 | Article 26c(8), first subparagraph | Required expertise from the servicer | √ | A concise explanation that the servicer has expertise in servicing exposures of a similar nature to the securitised exposures. | Item 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 86 | Article 26c(8), first subparagraph | Well documented and adequate policies, procedures and risk management controls in place | √ | A confirmation that the servicer has well-documented and adequate policies, procedures and risk-management controls relating to the servicing of exposures. | Item 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 87 | Article 26c(8), second subparagraph | Servicing procedures at least as stringent as the ones applied to similar not securitised exposures | √ | A concise explanation that the servicer applies servicing procedures to the underlying exposures that are at least as stringent as the ones applied by the originator to similar exposures that are not securitised. | Item 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 88 | Article 26c(9) | Reference register in place | √ | A detailed explanation of how the originator maintains an up-to-date reference register to identify the underlying exposures at all times. | N/A | ||
STSSY 89 | Article 26c(9) | Reference register – Content | √ | A concise explanation that the reference register referred to in Field STSSY 88 identifies the reference obligors, the reference obligations from which the underlying exposures arise, and, for each underlying exposure, the nominal amount that is protected and that is outstanding. | N/A | ||
STSSY 90 | Article 26c(10) | Timely resolution of conflicts between different classes of investors | √ | A confirmation that the transaction documentation includes clear provisions that facilitate the timely resolution of conflicts between different classes of investors. | Items 3.4.7 and 3.4.8 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 91 | Article 26c(10) | SSPE – Voting rights clearly defined | √ | A confirmation that in the case of a securitisation using a SSPE, voting rights are clearly defined and allocated to bondholders and the responsibilities of the trustee and other entities with fiduciary duties to investors are clearly identified. | N/A | ||
STSSY 92 | Article 26d(1) | Historical Default and Loss Performance Data | √ | A confirmation that data on static and dynamic historical default and loss performance such as delinquency and default data (covering a period of at least 5 years) for substantially similar exposures to those being securitised, and the sources of those data and the basis for claiming similarity are made available to potential investors before pricing. | Item 2.2.2 of Annex 19 of Delegated Regulation (EU) 2019/980 | ||
STSSY 93 | Article 26d(2) | Sample of the underlying exposures subject to external verification | √ | A confirmation that a sample of the underlying exposures is subject to external verification prior to the closing of the transaction by an appropriate and independent party, including verification that the underlying exposures are eligible for credit protection under the credit protection agreement. | N/A | ||
STSSY 94 | Article 26d(3) | Availability of a liability cash flow model to potential investors | √ | A confirmation that before the pricing of the securitisation, the originator makes available to potential investors a liability cash flow model which precisely represents the contractual relationship between the underlying exposures and the payments flowing between the originator, investors, other third parties and, where applicable, the SSPE, and that after pricing, that model is made available to investors on an ongoing basis and to potential investors upon request. | N/A | ||
STSSY 95 | Article 26d(4), first subparagraph | Publication on environmental performance of underlying exposures consisting of residential loans or auto loans or leases | √ | In the case of a securitisation where the underlying exposures are residential loans or auto loans or leases and unless the exception in field STSSY 96 is applied, a concise explanation that the originator makes available information related to the environmental performance of the assets financed by the loans, as part of the information disclosed pursuant to Article 7(1), first subparagraph, point (a), of Regulation (EU) 2017/2402. | N/A | ||
STSSY 96 | Article 26d(4), second subparagraph | Derogation from the requirement to publish environmental performance of underlying exposures consisting of residential loans or car loans or leases | √ | In case the originator decides to derogate from the requirement in field STSSY 95, a concise explanation that the originator publishes the available information related to the principal adverse impacts of the assets financed by the underlying exposures on sustainability factors. | N/A | ||
STSSY97 | Article 26d(5) | Originator responsible for compliance with Article 7 of Regulation (EU) 2017/2402 | √ | A confirmation that the originator is responsible for compliance with Article 7 of Regulation (EU) 2017/2402. | N/A | ||
STSSY 98 | Article 26d(5) | Information on Article 7(1)(a) of Regulation (EU) 2017/2402 available to potential investors | √ | A confirmation that the information required by Article 7(1), first subparagraph, point (a), of Regulation (EU) 2017/2402 is made available to potential investors before pricing upon request. | N/A | ||
STSSY 99 | Article 26d(5) | Information on Article 7(1), points (b), (c) and(d) of Regulation (EU) 2017/2402 available to potential investors at least in draft or initial form | √ | A confirmation that the information required by Article 7(1), first subparagraph, points (b), (c) and (d), of Regulation (EU) 2017/2402 is made available before pricing at least in draft or initial form and then the final documentation is made available to investors at the latest 15 days after the closing of the transaction. | N/A | ||
STSSY 100 | Article 26e(1), first subparagraph, point (a) | Credit events and use of guarantees | √ | Where the transfer of risk is achieved by the use of guarantees, a concise explanation that the credit protection agreement covers at least the credit events referred to in Article 215(1), point (a), of Regulation (EU) No 575/2013. | N/A | ||
STSSY 101 | Article 26e(1), first subparagraph, point (b) | Credit events and use of credit derivatives | √ | Where the transfer of risk is achieved by the use of credit derivatives, a concise explanation that the credit agreement covers at least the credit events referred to in Article 216(1), point (a), of Regulation (EU) No 575/2013. | N/A | ||
STSSY 102 | Article 26e(1), second subparagraph | Credit protection agreement documented | √ | A concise explanation that all credit events are documented. | N/A | ||
STSSY 103 | Article 26e(1), third subparagraph | Forbearance measures do not preclude the triggering of eligible credit events | √ | A concise explanation that the forbearance measures within the meaning of Article 47b of Regulation (EU) No 575/2013 that are applied to the underlying exposures do not preclude the triggering of eligible credit events. | N/A | ||
STSSY 104 | Article 26e(2), first subparagraph | Credit protection payment based on the actual realised loss and standard recovery policies and procedures | √ | A concise explanation that, following the occurrence of a credit event, the credit protection payment is calculated based on the actual realised loss suffered by the originator or the original lender, as worked out in accordance with their standard recovery policies and procedures for the relevant exposure types and recorded in their financial statements at the time the payment is made. | N/A | ||
STSSY 105 | Article 26e(2) first subparagraph | Credit protection payment payable within a specified period of time | √ | A concise explanation that the final credit protection payment is payable within a specified period of time after the debt workout for the relevant underlying exposure where the debt workout has been completed before the scheduled legal maturity or early termination of the credit protection agreement. | N/A | ||
STSSY 106 | Article 26e(2), first subparagraph | Interim credit protection payment at the latest 6 months after a credit event | √ | In cases where the debt workout of the losses for the relevant underlying exposure has not been completed by the end of the six-month period referred to in the second paragraph of Article 26e(2) of Regulation (EU) 2017/2402, a concise explanation that an interim credit protection payment is made at the latest 6 months after the occurrence of a credit event as referred to in fields STSSY100 and STSSY101. | N/A | ||
STSSY 107 | Article 26e(2), second subparagraph, points (a) and (b) | Interim credit protection payment higher than the applicable expected loss amount | √ | A concise explanation that the interim credit protection payment is at least the higher of the following: the expected loss amount that is equivalent to the impairment recorded by the originator in its financial statements in accordance with the applicable accounting framework at the time the interim payment is made on the assumption that the credit protection agreement does not exist and does not cover any losses; or, where applicable, the expected loss amount as determined in accordance with Chapter 3 of Title II of Part Three, of Regulation (EU) No 575/2013. | N/A | ||
STSSY 108 | Article 26e(2), third subparagraph | Terms of the interim credit protection payment | √ | Where an interim credit protection payment is made, a concise explanation that the final credit protection payment referred to in field STSSY106 is made in order to adjust the interim settlement of losses to the actual realised loss. | N/A | ||
STSSY 109 | Article 26e(2), fourth subparagraph | Method for calculation of interim and final credit protection payments | √ | A concise explanation that the method for the calculation of interim and final credit protection payments is specified in the credit protection agreement. | N/A | ||
STSSY 110 | Article 26e(2), fifth subparagraph | Credit protection payment proportional to the share of the outstanding nominal amount | √ | A concise explanation that the credit protection payment is proportional to the share of the outstanding nominal amount of the corresponding underlying exposure that is covered by the credit protection agreement. | N/A | ||
STSSY 111 | Article 26e(2), sixth subparagraph | Enforceability of the credit protection payment | √ | A concise explanation that the right of the originator to receive the credit protection payment is enforceable. | N/A | ||
STSSY 112 | Article 26e(2), sixth subparagraph | Amount payable under the credit protection agreement by investors is set out in the credit protection agreement. | √ | A concise explanation that the amounts payable by investors under the credit protection agreement are clearly set out in the credit protection agreement and limited. | N/A | ||
STSSY 113 | Article 26e(2), sixth subparagraph | Calculation of the amounts in all circumstances | √ | A concise explanation that it is possible to calculate the amounts payable by the investors under the credit protection agreement in all circumstances. | N/A | ||
STSSY 114 | Article 26e(2), sixth subparagraph | Investors payments circumstances set out under the credit protection agreement. | √ | A concise explanation that the credit protection agreement clearly sets out the circumstances under which investors are required to make payments. | N/A | ||
STSSY 115 | Article 26e(2), sixth subparagraph | Third-party verification agent’s assessment of circumstances triggering investors payments | √ | A concise explanation that the third-party verification agent referred to in field STSSY126 assesses whether the circumstances set out in the credit protection agreement under which investors are required to make payments have occurred. | N/A | ||
STSSY 116 | Article 26e(2), seventh subparagraph | Credit protection payment calculated at individual underlying exposure level. | √ | A concise explanation that the amount of the credit protection payment is calculated at the level of the individual underlying exposure for which a credit event has occurred. | N/A | ||
STSSY 117 | Article 26e(3), first subparagraph | Specification of maximum extension period for the debt workout process | √ | A concise explanation that the credit protection agreement specifies the maximum extension period that applies for the debt workout for the underlying exposures in relation to which a credit event as referred to in Article 26e(1) of Regulation (EU) 2017/2402 has occurred, but where the debt workout has not been completed upon the scheduled legal maturity or early termination of the credit protection agreement. | N/A |
(1) Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (OJ L 335, 17.12.2009, p. 1).
(2) Commission Delegated Regulation (EU) 2019/1851 of 28 May 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards on the homogeneity of the underlying exposures in securitisation (OJ L 285, 6.11.2019, p. 1).
(3) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349).
(4) Directive 2008/48/EC of the European Parliament and of the Council of 23 April 2008 on credit agreements for consumers and repealing Council Directive 87/102/EEC (OJ L 133, 22.5.2008, p. 66).
(5) Directive 2014/17/EU of the European Parliament and of the Council of 4 February 2014 on credit agreements for consumers relating to residential immovable property and amending Directives 2008/48/EC and 2013/36/EU and Regulation (EU) No 1093/2010 (OJ L 60, 28.2.2014, p. 34).