Article 5
Criteria for establishing qualitative indicators in relation to the issuer of the instrument, referred to in Article 20(2)(b) of Regulation (EU) 2017/1131
1.
The criteria for establishing qualitative indicators in relation to the issuer of the instrument, referred to in Article 20(2)(b) of Regulation (EU) 2017/1131, shall be the following:
(a)
an analysis of any underlying assets, which for exposure to securitisation shall include the credit risk of the issuer and the credit risk of the underlying assets;
(b)
an analysis of any structural aspects of the relevant instruments issued by an issuer, which for structured finance instruments shall include an analysis of the inherent operational and counterparty risk of the structured finance instrument;
(c)
an analysis of the relevant market(s), including the degree of volume and liquidity of those markets;
(d)
a sovereign analysis, including the extent of explicit and contingent liabilities and the size of foreign exchange reserves compared to foreign exchange liabilities;
(e)
an analysis of governance risk relating to the issuer, including frauds, conduct fines, litigation, financial restatements, exceptional items, management turnover, borrower concentration and audit quality;
(f)
securities-related research on the issuer or market sector;
(g)
where relevant, an analysis of the credit ratings or rating outlook given to the issuer of an instrument by a credit rating agency registered with the ESMA and selected by the manager of an MMF if suited to the specific investment portfolio of the MMF.
2.
Where necessary and relevant, managers of MMFs shall apply additional criteria to the ones referred to in paragraph 1.