Annex II

SYMBOL

DATA TYPE

DEFINITION

{ALPHANUM-n}

Up to n alphanumeric characters

Free text field. Should be entered in ASCII format (no accented characters).

{COUNTRYCODE_2}

2 alphanumeric characters

2 letter country code, as defined by ISO 3166-1 alpha-2 country code. Should be entered in ASCII format (no accented characters).

{CURRENCYCODE_3}

3 alphanumeric characters

3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters).

{DATEFORMAT}

ISO 8601 date format

Dates shall be formatted by the following format: YYYY-MM-DD

{Y/N}

1 alphanumeric character

‘true’- Y ‘false’ – N

{ISIN}

12 alphanumeric characters

ISIN code, as defined in ISO 6166

{LEI}

20 alphanumeric characters

Legal entity identifier, as defined in ISO 17442

FIELD CODE

FIELD NAME

BOX TO COMPLETE

FIELD FORMAT

STSSY 1

First contact point

{LEI}

STSSY 2

Notification date

{DATEFORMAT}

STSSY 3

Instrument identification code

{ISIN}

STSSY 4

Legal Entity Identifier (LEI)

{LEI}

STSSY 5

Protection seller

{ALPHANUM-100}

STSSY 6

Notification identifier

{ALPHANUM-100}

STSSY 7

Unique identifier

{ALPHANUM-1000}

STSSY 8

Securitisation Repository

{ALPHANUM-100}

STSSY 9

Country of establishment

{COUNTRYCODE_2}

STSSY 10

Synthetic securitisation classification

{LIST}

STSSY 11

Synthetic securitisation with unfunded credit protection

{LIST}

STSSY 12

Credit Protection Agreement used

{LIST}

STSSY 13

Underlying exposures classification

{LIST}

STSSY 14

Issue date

{DATEFORMAT}

STSSY 15

Authorised Third party verifier – statement

{ALPHANUM-100}

STSSY 16

Authorised Third party verifier – country of establishment

{COUNTRYCODE_2}

STSSY 17

Authorised Third party verifier – competent authority

{ALPHANUM-100}

STSSY 18

STS status

{ALPHANUM-1000}

STSSY 19

The originator is a supervised entity in the Union

{ALPHANUM-1000}

STSSY 20

Originator applying the purchased third party’s exposures policies

{ALPHANUM-10000}

STSSY 21

Underlying exposures’ origination

{ALPHANUM-10000}

STSSY 22

Assets held on originator’s balance sheet at transaction closing

{ALPHANUM-1000}

STSSY 23

Group category

{ALPHANUM-1000}

STSSY 24

No further hedging of originator’s exposure

{ALPHANUM-1000}

STSSY 25

Credit protection agreement meeting Article 249 of Regulation (EU) No 575/2013

{ALPHANUM-1000}

STSSY 26

Credit protection agreement meeting other credit mitigation rules

{ALPHANUM-10000}

STSSY27

Representations and warranties – Legal title to the underlying exposures

{ALPHANUM-10000}

STSSY28

Representations and warranties – Originator keeps the credit risk of the underlying assets

{ALPHANUM-10000}

STSSY29

Representations and warranties – Exposure compliance with eligibility criteria

{ALPHANUM-10000}

STSSY30

Representations and warranties – Legal and enforceable obligation to the obligor

{ALPHANUM-10000}

STSSY31

Representations and warranties – Underwriting criteria

{ALPHANUM-10000}

STSSY32

Representations and warranties – No obligors in material breach or default

{ALPHANUM-10000}

STSSY33

Representations and warranties – No false information in transaction documentation

{ALPHANUM-10000}

STSSY34

Representations and warranties – Enforceability or collectability of the underlying exposures

{ALPHANUM-10000}

STSSY35

Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis

{ALPHANUM-10000}

STSSY36

Exemption to the prohibition of active portfolio management

{ALPHANUM-10000}

STSSY37

Exposure added after the closing date of the transaction meeting eligibility criteria

{ALPHANUM-10000}

STSSY 38

Fully repaid exposure

{ALPHANUM-10000}

STSSY 39

Underlying exposures disposed of

{ALPHANUM-10000}

STSSY 40

Not credit driven amendment

{ALPHANUM-10000}

STSSY 41

Eligibility criteria not met

{ALPHANUM-10000}

STSSY 42

Homogeneity of assets

{ALPHANUM}

STSSY 43

Only one asset type

{ALPHANUM}

STSSY 44

Obligations that are contractually binding and enforceable

{ALPHANUM-10000}

STSSY 45

Defined periodic payment

{ALPHANUM}

STSSY 46

Proceeds from the sale of assets

{ALPHANUM}

STSSY 47

No transferable securities

{ALPHANUM}

STSSY 48

No re-securitisation

{ALPHANUM-1000}

STSSY 49

Underwriting standards disclosed to potential investors

{ALPHANUM-1000}

STSSY 50

Full recourse to an obligor

{ALPHANUM-1000}

STSSY 51

Underwriting standards – No third parties

{ALPHANUM-1000}

STSSY 52

Underwriting standards – Residential loans

{ALPHANUM-1000}

STSSY 53

Underwriting standards – Borrower assessment

{ALPHANUM-1000}

STSSY 54

Originator or original lender expertise

{ALPHANUM-1000}

STSSY 55

No exposures at default

{ALPHANUM-10000}

STSSY 56

No adverse credit history

{ALPHANUM-10000}

STSSY 57

Risk of non-payment is not higher than for non-securitisation exposures

{ALPHANUM-1000}

STSSY 58

At least one payment made at the time of inclusion of the underlying assets

{ALPHANUM-1000}

STSSY 59

Compliance with risk retention requirements

{ALPHANUM}

STSSY 60

Mitigation of interest rates and currency risks

{ALPHANUM-1000}

STSSY 61

Credit protection collateral and credit protection payment denominated in same currency

{ALPHANUM-1000}

STSSY 62

SSPE’s liabilities equal or less than the SSPE’s income

{ALPHANUM-10000}

STSSY 63

No derivatives used except for hedging interest or currency risks

{ALPHANUM-1000}

STSSY 64

Using derivatives based on common standards

{ALPHANUM-10000}

STSSY 65

Referenced interest payments based on generally used interest rates without complex formulae or derivatives

{ALPHANUM-10000}

STSSY 66

Enforcement event without prejudice for investor’s enforcement action

{ALPHANUM-10000}

STSSY 67

Enforcement of the credit protection agreement – No amount of cash shall be trapped in the SSPE

{ALPHANUM-10000}

STSSY 68

Losses allocated in order of seniority

{ALPHANUM-10000}

STSSY 69

Sequential amortisation

{ALPHANUM-10000}

STSSY 70

Non-sequential priority of payments

{ALPHANUM-10000}

STSSY 71

Performance-related triggers

{ALPHANUM}

STSSY 72

Performance-related triggers

{ALPHANUM}

STSSY 73

Performance-related triggers

{ALPHANUM}

STSSY 74

Amount of collateral equal to the amount of tranches being amortised

{ALPHANUM-10000}

STSSY 75

Credit event occurred and amount of credit protection available at any payment date.

{ALPHANUM-10000}

STSSY 76

Early amortisation provisions or triggers – Credit quality

{ALPHANUM-10000}

STSSY 77

Early amortisation provisions or triggers – Losses

{ALPHANUM-10000}

STSSY 78

Early amortisation provisions or triggers – New exposures

{ALPHANUM-10000}

STSSY 79

Contractual obligations, duties and responsibilities – Servicer

{ALPHANUM-10000}

STSSY 80

Contractual obligations, duties and responsibilities – Trustee

{ALPHANUM-10000}

STSSY 81

Contractual obligations, duties and responsibilities – Third-party verification agent

{ALPHANUM-10000}

STSSY 82

Contractual obligations, duties and responsibilities – Default or insolvency

{ALPHANUM-10000}

STSSY 83

Contractual obligations, duties and responsibilities – Servicing procedures

{ALPHANUM-10000}

STSSY 84

Servicing standards

{ALPHANUM-10000}

STSSY 85

Required expertise from the servicer

{ALPHANUM-1000}

STSSY 86

Well documented and adequate policies, procedures and risk management controls in place

{ALPHANUM-1000}

STSSY 87

Servicing procedures at least as stringent as the ones applied to similar not securitised exposures

{ALPHANUM-1000}

STSSY 88

Reference register in place

{ALPHANUM}

STSSY 89

Reference register – Content

{ALPHANUM-10000}

STSSY 90

Timely resolution of conflicts between different classes of investors

{ALPHANUM-1000}

STSSY 91

SSPE – Voting rights clearly defined

{ALPHANUM-1000}

STSSY 92

Historical Default and Loss Performance Data

{ALPHANUM-1000}

STSSY 93

Sample of the underlying exposures subject to external verification

{ALPHANUM-1000}

STSSY 94

Availability of a liability cash flow model to potential investors

{ALPHANUM-1000}

STSSY 95

Publication on environmental performance of underlying exposures consisting of residential loans or auto loans or leases

{ALPHANUM-10000}

STSSY 96

Derogation from the requirement to publish environmental performance of underlying exposures consisting of residential loans or car loans or leases

{ALPHANUM-10000}

STSSY97

Originator responsible for compliance with Article 7 of Regulation (EU) 2017/2402

{ALPHANUM-1000}

STSSY 98

Information on Article 7(1), point (a), of Regulation (EU) 2017/2402 available to potential investors

{ALPHANUM-1000}

STSSY 99

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

{ALPHANUM-1000}