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:

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:

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

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)  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;

(b)  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:

(a)  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

(b)  the exposure represents the refinancing of an exposure that is already included in the transaction.

In case any of those two exceptions apply, please provide a concise explanation thereof.

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:

(a)  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,

(b)  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)  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

(b)  income generated by the collateral securing the obligations of the investor under the protection agreement.

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

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:

(a)  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,

(b)  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

STSSY 118

Article 26e(3), first paragraph

Extension period less than 2 years

√

A concise explanation that the extension period referred to in field STSSY 117 is no longer than 2 years.

N/A

STSSY 119

Article 26e(3), first paragraph

Final credit protection payment based on the originator’s final loss estimate

√

A concise explanation that the credit protection agreement provides that, by the end of the extension period referred to in field number STSSY 117, a final credit protection payment is made on the basis of the originator’s final loss estimate that is recorded by the originator in its financial statements at that time on the assumption that the credit protection agreement does not exist and does not cover any losses.

N/A

STSSY 120

Article 26e(3), second subparagraph

Termination of the credit protection agreement

√

In the event that the credit protection agreement is terminated, a concise explanation that the debt workout continues in respect of any outstanding credit events that occurred prior to that termination in the same way as that described in the first subparagraph of Article 26e(3) of Regulation (EU) 2017/2402.

N/A

STSSY 121

Article 26e(3), third subparagraph

Credit protection premiums contingent on the outstanding nominal amount

√

A concise explanation that the credit protection premiums to be paid under the credit protection agreement are structured as contingent on the outstanding nominal amount of the performing securitised exposures at the time of the payment and reflect the risk of the protected tranche.

N/A

STSSY 122

Article 26e(3), third subparagraph

Credit protection agreement not stipulating mechanisms that may avoid or reduce the actual allocation of losses to the investors

√

A concise explanation that, for the purposes of field STSSY117, the credit protection agreement does not stipulate guaranteed premiums, upfront premium payments, rebate mechanisms or other mechanisms that may avoid or reduce the actual allocation of losses to the investors or return part of the paid premiums to the originator after the maturity of the transaction.

N/A

STSSY 123

Article 26e(3), fourth subparagraph

Derogation for upfront premium payments

√

By way of derogation from fields STSSY121 and STSSY122, where the guarantee scheme is specifically provided for in the national law of a Member State and benefits from a counter-guarantee of any of the entities listed in Article 214(2), points (a) to (d), of Regulation (EU) No 575/2013, a concise explanation that the upfront premium payments are allowed, provided State aid rules are complied with.

N/A

STSSY 124

Article 26e(3), fifth subparagraph

Description of the credit protection premium in the transaction documentation

√

A concise explanation that the transaction documentation describes how the credit protection premium and any note coupons, if any, are calculated in respect of each payment date over the entire life of the securitisation.

N/A

STSSY 125

Article 26e(3), sixth subparagraph

Enforceability of the investor rights

√

A concise explanation that the rights of the investors to receive credit protection premiums are enforceable.

N/A

STSSY 126

Article 26e(4), first subparagraph

Appointment of a third-party verification agent before the closing date of the transaction

√

A confirmation that, before the closing date of the transaction, the originator appoints a third-party verification agent.

N/A

STSSY 127

Article 26e(4), first subparagraph, point (a)

Third party verification agent check – Credit event notice specified in the terms of the credit protection agreement

√

A confirmation that the third-party verification agent, referred to in field STSSY 126, verifies for each of the underlying exposures for which a credit event notice is given, that it is a credit event as specified in the terms of the credit protection agreement.

N/A

STSSY 128

Article 26e(4), first subparagraph, point (b)

Third party verification agent check – Underlying exposure included in the reference portfolio

√

For each of the underlying exposures for which a credit event notice is given, a confirmation that the third-party verification agent referred to in field STSSY 126 verifies that the underlying exposure was included in the reference portfolio at the time of the occurrence of the credit event concerned.

N/A

STSSY 129

Article 26e(4) first subparagraph, point (c)

Third party verification agent check – Eligible criteria met at the time of inclusion in the reference portfolio

√

For each of the underlying exposures for which a credit event notice is given, a confirmation that the third-party verification agent referred to in field STSSY126 verifies that the underlying exposure met the eligibility criteria at the time of its inclusion in the reference portfolio.

N/A

STSSY 130

Article 26e(4), first subparagraph, point (d)

Third party verification agent check – Compliance with the replenishment conditions

√

For each of the underlying exposures for which a credit event notice is given, a confirmation that the third-party verification agent referred to in field STSSY126 verifies that, where an underlying exposure has been added to the securitisation as a result of a replenishment, such a replenishment complied with the replenishment–conditions.

N/A

STSSY 131

Article 26e(4), first subparagraph, point (e)

Third party verification agent check – Losses consistent with originator’s profit and loss statement

√

For each of the underlying exposures for which a credit event notice is given, a confirmation that the third-party verification agent referred to in field STSSY126 verifies that the final loss amount is consistent with the losses recorded by the originator in its profit and loss statement.

N/A

STSSY 132

Article 26e(4), first subparagraph, point (f)

Third party verification agent check – Losses correctly allocated to investors

√

For each of the underlying exposures for which a credit event notice is given, a confirmation that the third-party verification agent referred to in field STSSY126 verifies that, at the time the final credit protection payment is made, the losses in relation to the underlying exposures have correctly been allocated to the investors.

N/A

STSSY 133

Article 26e(4), second subparagraph

Third-party verification agent independent from originators, investors and (where applicable) the SSPE

√

A concise explanation that the third-party verification agent referred to in field STSSY126 is independent from the originator and investors, and, where applicable, from the SSPE.

N/A

STSSY 134

Article 26e(4), second subparagraph

Appointment of the third-party verification agent by the closing date

√

A concise explanation that the third-party verification agent referred to in field STSSY126 has accepted the appointment as third-party verification agent by the closing date of the transaction.

N/A

STSSY 135

Article 26e(4), third subparagraph

Third-party verification agent’s check made on a sample basis

√

A concise explanation that the third-party verification agent referred to in field STSSY126 performs the verification on a sample basis instead of on the basis of each individual underlying exposure for which credit protection payment is sought.

N/A

STSSY 136

Article 26e(4), third subparagraph

Possibility for investors to require the third-party verification agent to check any underlying exposure

√

A concise explanation of whether and how investors may request the verification of the eligibility of any particular underlying exposure where they are not satisfied with the sample-basis verification.

N/A

STSSY 137

Article 26e(4), fourth subparagraph

Possibility for the third-party verifier agent to have access to all relevant information

√

A concise explanation that the originator includes a commitment in the transaction documentation to provide the third-party verification agent referred to in field STSSY126 with all the information necessary to verify the requirements set out in points (a) to (f) of the first subparagraph of Article 26e(4) of Regulation (EU) 2017/2402.

N/A

STSS 138

Article 26e(5), first subparagraph, points (a) to (f)

Termination events

√

A concise explanation that the originator may not terminate a transaction prior to its scheduled maturity for any other reason than the events listed in Article 26e(5), points (a) to (f), of Regulation (EU) 2017/2402.

N/A

STSS 139

Article 26e(5), second subparagraph

Transaction documentation – Call rights

√

A concise explanation that the transaction documentation specifies that any of the call rights referred to in Article 26e(5), first subparagraph, points (d) and (e), of Regulation (EU) 2017/2402 are included in the transaction concerned and how such call rights are structured.

N/A

STSS 140

Article 26e(5), third subparagraph

Transaction documentation – Time call not structured to avoid allocating losses to credit enhancements positions

√

For the purposes of Article 26e(5), first subparagraph, point (d), of Regulation (EU) 2017/2402, a concise explanation that the time call is not structured to avoid allocating losses to credit enhancement positions or other positions held by investors and is not otherwise structured to provide credit enhancement.

N/A

STSS 141

Article 26e(5), fourth subparagraph

Time call

√

Where a time call is included in the transaction, a concise explanation that the requirements referred to in STSS139 and STSS 140 are fulfilled, including with a justification of the use of the time call and a plausible account showing that the reason to exercise the call is not a deterioration in the quality of the underlying assets.

N/A

STSS 142

Article 26e(5), fifth subparagraph

Funded credit protection – Collateral return to investors in order of the seniority of the tranches

√

In the case of funded credit protection, a concise explanation that, upon termination of the credit protection agreement, the collateral is returned to investors in order of the seniority of the tranches subject to the provisions of the relevant insolvency law, as applicable to the originator.

N/A

STSS 143

Article 26e(6)

Termination of transaction by investors upon failure to pay the credit protection premium

√

A concise explanation that investors may not terminate a transaction prior to its scheduled maturity for any other reason than a failure to pay the credit protection premium or any other material breach of contractual obligations by the originator.

N/A

STSSY 144

Article 26e(7), point (a)

Amount of synthetic excess spread to investors specified in transaction documentation and expressed as a fixed percentage of the total outstanding portfolio balance

√

Where the originator commits synthetic excess spread, which is available as credit enhancement for the investors, a concise explanation that the amount of the synthetic excess spread that the originator commits to using as credit enhancement at each payment period is specified in the transaction documentation and expressed as a fixed percentage of the total outstanding portfolio balance at the start of the relevant payment period (fixed synthetic excess spread).

N/A

STSSY 145

Article 26e(7), point (b)

Unused synthetic excess spread to be returned to originator

√

Where the originator commits synthetic excess spread, which is available as credit enhancement for the investors, a concise explanation that the synthetic excess spread which is not used to cover credit losses that materialise during each payment period is returned to the originator.

N/A

STSSY 146

Article 26e(7), point (c)

Originators using Internal-Ratings-Based approach – Total committed amount per year not higher than the one-year regulatory expected loss amounts

√

Where the originator commits synthetic excess spread, which is available as credit enhancement for the investors, a concise explanation that, for originators using the Internal-Ratings-Based Approach referred to in Article 143 of Regulation (EU) No 575/2013, the total committed amount per year is not higher than the one-year regulatory expected loss amounts on all underlying exposures for that year, calculated in accordance with Article 158 of that Regulation.

N/A

STSSY 147

Article 26e(7), point (d)

Originators not using Internal-Ratings-Based approach – calculation of the one-year expected loss of the underlying portfolio be clearly determined in the transaction documentation

√

Where the originator commits synthetic excess spread, which is available as credit enhancement for the investors, a concise explanation that for originators not using the Internal-Ratings Based Approach referred to in Article 143 of Regulation (EU) No 575/2013, the calculation of the one-year expected loss of the underlying portfolio is clearly determined in the transaction documentation.

N/A

STSSY 148

Article 26e(7), point (e)

Synthetic excess spread conditions laid down in transaction documentation

√

Where the originator commits synthetic excess spread, which is available as credit enhancement for the investors, a concise explanation that the transaction documentation specifies the conditions laid down in Article 26e(7) of Regulation (EU) 2017/2402.

N/A

STSS 149

Article 26e(8), points (a), (b) and(c)

Credit protection used

√

A concise explanation of which of the following forms the credit protection agreement complies with:

(a)  guarantee meeting the requirements set out in Chapter 4 of Title II of Part Three of Regulation (EU) No 575/2013, by which the credit risk is transferred to any of the entities listed in Article 214(2), points (a) to (d), of Regulation (EU) No 575/2013, provided that the exposures to the investor qualify for a 0 % risk weight under Chapter 2 of Title II of Part Three, of that Regulation;

(b)  a guarantee meeting the requirements set out in Chapter 4 of Title II, Part Three of Regulation (EU) No 575/2013, which benefits from a counter-guarantee of any of the entities referred to in point (a) of this paragraph;

(c)  another credit protection not referred to in points (a) and (b) above in the form of a guarantee, a credit derivative or a credit linked notes that meet the requirements set out in Article 249 of Regulation (EU) No 575/2013, provided that the obligations of the investor are secured by collateral meeting the requirements laid down in paragraphs 9 and 10 of Article 26e of Regulation (EU) 2017/2402.

N/A

STSSY 150

Article 26e(9), first subparagraph, point (a)

Enforceability of the originator’s right to use the collateral to meet the protection payment obligations of the investors through appropriate collateral arrangements

√

Where a credit protection referred to in Article 26e(8), point (c), of Regulation (EU) 2017/2402 is used, a detailed explanation of how the right of the originator to use the collateral to meet protection payment obligations of the investors is enforceable and how the enforceability of that right is ensured through appropriate collateral arrangements.

N/A

STSSY 151

Article 26e(9), first subparagraph, point (b)

Investors’ right to receive any unused collateral when securitisation is unwound or as tranches amortise

√

Where a credit protection referred to in Article 26e(8), point (c), of Regulation (EU) 2017/2402 is used, a concise explanation that the right of the investors, when the securitisation is unwound or as the tranches amortise, to the return of any collateral that has not been used to meet protection payments is enforceable.

N/A

STSSY 152

Article 26e(9), first subparagraph, point (c)

Collateral invested in securities – Eligibility criteria and custody arrangement specified in transaction documentation

√

Where a credit protection referred to in Article 26e(8), point (c), of Regulation (EU) 2017/2402 is used, a detailed explanation of how, where the collateral is invested in securities, the transaction documentation sets out the eligibility criteria and custody arrangement for the securities.

N/A

STSSY 153

Article 26e(9) second subparagraph

Investors exposed to originator’s credit risk

√

A concise explanation that the transaction documentation specifies whether investors remain exposed to the credit risk of the originator.

N/A

STSSY 154

Article 26e(9) third subparagraph

Legal opinion confirming the enforceability of the credit protection in all jurisdictions

√

A confirmation that the originator has obtained an opinion from a qualified legal counsel confirming the enforceability of the credit protection in all relevant jurisdictions.

N/A

STSSY155

Article 26e(10), first subparagraph, point (a)

High quality collateral – 0 % risk-weighted debt securities

√

Where a credit protection is provided in accordance with Article 26e(10), point (a), of Regulation (EU) 2017/2402 in the form of 0 % risk-weighted debt securities referred to in Chapter 2 of Title II of Part Three of Regulation (EU) No 575/2013, a concise explanation that all of the following conditions are met:

(i)  those debt securities have a remaining maximum maturity of 3 months which is no longer than the remaining period up to the next payment date

(ii)  those debt securities can be redeemed into cash in an amount equal to the outstanding balance of the protected tranche;

(iii)  those debt securities are held by a custodian independent of the originator and the investors;

N/A

STSSY 156

Article 26e(10), first subparagraph, point (b)

High quality collateral – cash with a third-party credit institution with a credit quality step 3 or above

√

Where a credit protection is provided in accordance with Article 26e(10), point (b), of Regulation (EU) 2017/2402, a concise explanation of the collateral arrangement giving the originator and the investor recourse to a collateral in the form of cash held with a third-party credit institution with credit quality step 3 or above in line with the mapping set out in Article 136 of Regulation (EU) No 575/2013.

N/A

STSSY 157

Article 26e(10), second subparagraph

Derogation – collateral in the form of cash on deposit with the originator

√

Where the derogation from Article 26e(10), first subparagraph of Regulation (EU) 2017/2402 is used, a detailed explanation of the collateral arrangement, and the investor consent thereof, giving only the originator recourse to high quality collateral in the form of cash on deposit with the originator, or one of its affiliates.

N/A

STSSY 158

Article 26e(10), third subparagraph

Collateral in the form of cash on deposit with the originator – permission by competent authority

√

A detailed explanation of the consent by the competent authorities designated pursuant to Article 29(5) of Regulation (EU) 2017/2402 that collateral may be in the form of cash on deposit with the originator, or one of its affiliates, if the originator or one of its affiliates qualifies for a credit quality step 3 provided that market difficulties, objective impediments related to the credit quality step assigned to the Member State of the institution or significant potential concentration problems in the Member State concerned due to the application of the minimum credit quality step 2 requirement referred to in Article 26e(10), second subparagraph, of Regulation (EU) 2017/2402 can be documented.

N/A

STSSY 159

Article 26e(10), fourth subparagraph

Transfer of collateral where third-party credit institution or originator no longer satisfies the minimum credit quality step

√

A detailed explanation of how the collateral is transferred in compliance with Article 26e(10), fourth subparagraph, of Regulation (EU) 2017/2402 where the collateral was held in the form of cash on deposit with an institution that no longer satisfies the minimum credit quality step.

N/A

STSSY 160

Article 26e(10), fifth subparagraph

Compliance with collateral requirements in the case of investments in credit linked notes issued by the originator

√

A confirmation that there is an investment in credit linked notes issued by the originator, in accordance with Article 218 of Regulation (EU) No 575/2013.

N/A