Final Report on draft Regulatory 
Technical Standards 
With regard to the content, methodologies and presentation of 
disclosures in respect of the sustainability indicators in relation 
to adverse impacts of the assets financed by the underlying 
exposures for STS securitisations on the climate and other 
environmental, 
social 
and 
governance-related 
adverse 
impacts pursuant to Article 22(6) and 26d(6) of Regulation (EU) 
2017/2402.  
JC 2023 13 
25 May 2023

2 
 
Contents 
Abbreviations and legislative references 
3 
1. Executive Summary 
5 
2. Background 
7 
3. Feedback on public consultation 
9 
4. Accompanying documents 
26

3 
 
Abbreviations and legislative references 
Abbreviations 
RTS 
Regulatory Technical Standards 
EU 
European Union 
ESAs 
European Supervisory Authorities 
EC 
European Commission 
JC 
Joint Committee of the European Supervisory Authorities 
EBA 
European Banking Authority 
ESMA 
European Securities and Markets Authority 
EIOPA 
European Insurance and Occupational Pensions Authority 
EEA 
European Economic Area 
STS 
Simple, Transparent and Standardised 
PAI 
Principal Adverse Impact 
KPI 
Key Performance Indicator 
GAR 
Green Asset Ratio 
SMEs 
Small and Medium-sized Enterprises 
GHG 
Green House Gas 
CO2 
Carbon Dioxide 
GWh 
Gigawatt Hours 
UNGC 
United Nations Global Compact 
OECD 
Organisation for Economic Co-operation and Development 
XML 
Extensible Markup Language 
DNSH 
Do No Significant Harm 
CSV 
Comma-separated values 
CMPR 
Capital Markets Recovery Package 
SFDR 
Sustainable Finance Disclosure Regulation 
NFRD 
Non-financial Reporting Directive 
BTAR 
Banking book Taxonomy Aligned Ratio 
 
Legislative references 
 
Securitisation 
Regulation or SECR 
Regulation (EU) 2017/2402 of the European Parliament and of the Council of 
12 December 2017 laying down a general framework for securitisation and 
creating a specific framework for simple, transparent and standardised 
securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 
2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 
347, 28.12.2017, p. 35) as amended by Regulation (EU) 2021/557 of the 
European Parliament and of the Council of 31 March 2021 (OJ L 116, 6.4.2021) 
SFDR (Sustainable 
Finance Disclosure 
Regulation) 
Regulation (EU) 2019/2088 of the European Parliament and of the Council of 
27 November 2019 on sustainability‐related disclosures in the financial 
services sector (OJ L 317, 9.12.2019, p. 1) 
NFRD (Non-Financial 
Reporting Directive) 
Directive 2014/95/EU of the European Parliament and of the Council of 22 
October 2014 amending Directive 2013/34/EU as regards disclosure of non-
financial and diversity information by certain large undertakings and groups 
(OJ L 330, 15.11.2014, p. 1) 
Taxonomy Regulation 
Regulation (EU) 2020/852 of the European Parliament and of the Council of 18 
June 2020 on the establishment of a framework to facilitate sustainable 
investment, and amending Regulation (EU) 2019/2088 (OJ L 198, 22.6.2020, 
p. 13)

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Delegated Regulation 
supplementing the 
Taxonomy Regulation 
Commission Delegated Regulation (EU) 2021/2178 of 6 July 2021 
supplementing Regulation (EU) 2020/852 of the European Parliament and of 
the Council by specifying the content and presentation of information to be 
disclosed by undertakings subject to Articles 19a or 29a of Directive 
2013/34/EU concerning environmentally sustainable economic activities, and 
specifying the methodology to comply with that disclosure obligation (OJ L 443, 
10.12.2021, p. 9) 
Climate Delegated Act 
Commission Delegated Regulation (EU) 2021/2139 of 4 June 2021 
supplementing Regulation (EU) 2020/852 of the European Parliament and of 
the Council by establishing the technical screening criteria for determining the 
conditions under which an economic activity qualifies as contributing 
substantially to climate change mitigation or climate change adaptation and for 
determining whether that economic activity causes no significant harm to any 
of the other environmental objectives (OJ L 442, 9.12.2021, p. 1). 
EURO 6 Regulation 
Commission Regulation (EU) No 459/2012 of 29 May 2012 amending 
Regulation (EC) No 715/2007 of the European Parliament and of the Council 
and Commission Regulation (EC) No 692/2008 as regards emissions from light 
passenger and commercial vehicles (Euro 6) (OJ L 142, 1.6.2012, p. 16) 
Draft EU Battery 
Regulation 
Proposal for a Regulation of the European Parliament and of the Council 
concerning batteries and waste batteries, repealing Directive 2006/66/EC and 
amending Regulation (EU) No 2019/1020, COM/2020/798 final.  
SFDR RTS 
Commission Delegated Regulation (EU) 2022/1288 of 6 April 2022 
supplementing Regulation (EU) 2019/2088 of the European Parliament and of 
the Council with regard to regulatory technical standards specifying the details 
of the content and presentation of the information in relation to the principle of 
‘do no significant harm’, specifying the content, methodologies and 
presentation of information in relation to sustainability indicators and adverse 
sustainability impacts, and the content and presentation of the information in 
relation to the promotion of environmental or social characteristics and 
sustainable investment objectives in pre contractual documents, on websites 
and in periodic report (OJ L 196, 25.07.2022, p.1) 
Securitisation 
disclosure RTS 
Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 
supplementing Regulation (EU) 2017/2402 of the European Parliament and of 
the Council with regard to regulatory technical standards specifying the 
information and the details of a securitisation to be made available by the 
originator, sponsor and SSPE (OJ L 289, 3.9.2020, p. 1) 
Securitisation 
disclosure ITS 
Commission Implementing Regulation (EU) 2020/1225 of 29 October 2019 
laying down implementing technical standards with regard to the format and 
standardised templates for making available the information and details of a 
securitisation by the originator, sponsor and SSPE (OJ L 289, 3.9.2020, p. 217) 
ESMA Regulation 
Regulation (EU) No 1095/2010 of the European Parliament and of the Council 
of 24 November 2010 establishing a European Supervisory Authority 
(European Securities and Markets Authority), amending Decision No 
716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 
15.12.2010, p. 84) 
EBA Regulation 
Regulation (EU) No 1093/2010 of the European Parliament and of the Council 
of 24 November 2010 establishing a European Supervisory Authority 
(European Banking Authority), amending Decision No 716/2009/EC and 
repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12) 
EIOPA Regulation 
Regulation (EU) No 1094/2010 of the European Parliament and of the Council 
of 24 November 2010 establishing a European Supervisory Authority 
(European Insurance and Occupational Pensions Authority), amending 
Decision No 716/2009/EC and repealing Commission Decision 2009/79/EC 
(OJ L 331, 15.12.2010, p. 48)

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1. Executive Summary 
 
Reasons for publication 
On 2 May 2022, the European Supervisory Authorities (ESAs) issued a Consultation Paper (CP) setting 
out Draft Regulatory Technical Standards (Draft RTS) with regard to the content, methodologies and 
presentation of disclosures under Articles 22(6) and 26d(6) of the Regulation (EU) 2017/24021 (here 
after the Securitisation Regulation or SECR). The abovementioned Articles were inserted in the SECR 
through the amending Regulation (EU) 2021/557, which is part of the Capital Markets Recovery 
Package2 (CMRP).  
The amended SECR introduced new optional disclosure provisions related to the principal adverse 
impacts on sustainability factors of the assets financed by the underlying exposures for both non-ABCP 
traditional STS securitisations and on-balance-sheet STS securitisations. The SECR empowered the 
ESAs to submit, through the Joint Committee (JC), the Draft RTS set out in this report. 
Along the line of EBA report on sustainable securitisation of March 20223, this Draft RTS is not intended 
to create a framework for “sustainable securitisation”, i.e., to develop indicators, definitions or thresholds 
for when and how the originator(s) of a securitisation may characterise or market a securitisation as 
“sustainable” or “green”. Therefore, the Draft RTS aims at enabling originators to disclose PAIs of STS 
Securitisations using reporting which closely aligns to the SFDR, while helping investors fulfilling their 
ESG reporting requirements.  
The Draft RTS seeks to ensure as much consistency as possible with the ESAs’ work in respect of 
sustainability-related disclosures in financial services under the SFDR4  which sets out sustainability-
related disclosure requirements5. 
The Draft RTS applies to STS securitisations where the underlying exposures are residential loans, 
auto loans and leases. Following a logic similar to the SFDR RTS6, the Draft RTS distinguishes between 
the publication of the available information on mandatory indicators and on additional indicators, among 
which originators may select at least one social or governance and at least one environmental indicator.  
Although originators of STS securitisations with residential loans or auto loans and leases as the 
underlying exposures were initially required under the first subparagraph of Article 22(4) of the SECR 
to report on available environmental performance information of these underlying exposures prior to the 
amended SECR, the amended Article 22(4) and the new Article 26d(4) of the SECR now offer the 
possibility to derogate from this disclosure and follow the Draft RTS instead. It will remain possible for 
originators in STS securitisations to comply only with the initial disclosure requirements relating to 
 
1 Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general 
framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and 
amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012. 
2 Regulation (EU) 2021/557 of the European Parliament and of the Council of 31 March 2021 amending Regulation (EU) 
2017/2402 laying down a general framework for securitisation and creating a specific framework for simple, transparent and 
standardised securitisation to help the recovery from the COVID-19 crisis. 
3 EBA report on sustainable securitisation.pdf (europa.eu). 
4 Regulation (EU) 2019/2088 of the European Parliament and of the Council of 27 November 2019. 
5 Although securitisations are not “financial products” covered by SFDR, they are indirectly subject to SFDR through the entity-
level disclosure requirements (PAI indicators cover all investment decisions, including investments into securitisations) and when 
investments by financial products in securitisation positions result in investments in Taxonomy-aligned economic activities (see 
Article 17(1)(f) of the SFRD Delegated Regulation  ); the European Green Bond Regulation (EU GBS) will likely require that any 
green bond – including securitisation transactions - must fund  environmental sustainable economic activities that align with the 
EU taxonomy. 
6 https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1288&from=EN

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environmental performance set out in first paragraph of Article 22(4) and Article 26d(4) of the SECR. 
Originators of STS securitisations can therefore decide to comply with either the ‘initial’ disclosure 
requirements set out in the first subparagraph of Articles 22(4) and Article 26d(4) of SECR or with the 
alternative disclosure (set out in the Draft RTS).  
Content 
This Final Report provides an overview of the feedback received from financial market participants to 
the Consultation Paper (CP) as well as ESAs’ responses. The ESAs welcome the overall support they 
received to the approach outlined in the CP. The ESAs also strive to ensure a high degree of 
consistency with the disclosure framework developed under SFDR7 and the SFDR RTS8. Therefore, an 
adapted version of the template set out in Annex I of the SFDR RTS was used as the basis for this Draft 
RTS. However, in some key respects, this Draft RTS diverges from the SFDR RTS to take into account 
the specific characteristics of securitisation products and the relevant legal framework. 
Section 2 of this report provides the general background for the proposal. Section 3 includes the 
feedback statement on the CP. Section 4 includes Annexes related to the legislative mandates to 
develop the Draft RTS, the impact assessment that analyses the ESAs proposals and the final Draft 
RTS.  
Next Steps  
The draft regulatory technical standards will be submitted to the European Commission. The 
Commission has three months to decide whether to endorse the regulatory technical standards. 
 
 
 
7 See Articles 22(6) and 26d(6), second subparagraph of SECR, which state that “Where relevant, the draft regulatory technical 
standards referred to in the first subparagraph shall mirror or draw upon the regulatory technical standards developed pursuant 
to the mandate given to the ESAs in Regulation (EU) 2019/2088”. 
8 Commission Delegated Regulation (2022/1288) published at the Official Journal of the European Union on 25 July 2022 and 
accessible at: https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1288&from=EN.

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2. Background  
2.1 
Basis of the Draft RTS 
1. As a result of the revision of SECR in 2021, new optional disclosure provisions were adopted for 
originators of Simple, Transparent and Standardised (STS) securitisations with residential loans, 
auto loans and leases as underlying exposures with respect of the disclosure of specific information 
regarding the consideration of adverse impacts on sustainability factors. 
2. According to Articles 22(6) and 26d(6) of the SECR, the ESAs are required to submit, through the 
JC, Draft RTS on the content, methodologies and presentation of information in respect of the 
sustainability indicators in relation to adverse impacts on the climate and other ESG-related adverse 
impacts. The same provisions state that, where relevant, the Draft RTS shall mirror or draw upon 
the SFDR RTS, developed in compliance with the mandate given to the ESAs in Regulation (EU) 
2019/2088, in particular in Article 2a, and Article 4(6) and (7) thereof. 
3. This Draft RTS lay down the content, methodologies and presentation of principal adverse impacts 
on sustainability factors of the assets financed by the underlying exposures for both non-ABCP 
traditional securitisations and on-balance-sheet STS securitisations. 
2.2 
Consultation Process 
4. Article 10 of the ESAs Regulations requires the ESAs, where appropriate, to conduct open public 
consultations on draft technical standards, to analyse the potential related costs and benefits, and 
to request the opinion of the respective Stakeholders Group. 
5. The Joint Committee CP on “STS Securitisations-related sustainability disclosures” was published 
on 2 May 2022 and the consultation period closed on 2 July 2022.  
6. Overall, respondents agreed with most of the proposals and the ESAs’ approach as outlined in the 
CP.  
7. The ESAs also gauged in the CP the feasibility and the interest of financial market participants for 
the optional application of principal adverse impacts (PAIs) to STS securitisations with underlying 
exposures other than residential loans, auto loans or leases9 on an “opt-in basis”. This could prove 
useful for the purpose of standardisation of sustainability-related information. In this respect, market 
participants’ views were mixed, with support for the disclosure of PAIs for securitisations backed by 
certain underlying exposures and lack of support for other types of underlying exposures (see 
Section 3 on the feedback statement below). Therefore, also in light of the responses received, the 
ESAs consider that expanding the disclosure to securitisations backed by other underlying 
exposures is not appropriate at this stage and decided to not further develop such voluntary 
templates.  
8. The responses to the CP are available on ESMA’s website10. Based on the responses the ESAs 
revised the proposed Draft RTS. The ESAs did not receive feedback from financial markets 
participants in relation to the preliminary impact assessment as developed in the CP.  
 
9 including commercial real estate, SME loans, non-SME corporate debt, and trade receivables 
10 https://www.esma.europa.eu/press-news/consultations/joint-consultation-paper-sustainability-disclosures-sts-securitisations .

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9. The ESAs consulted the ESAs respective Stakeholders Groups11 who decided not to opine on these 
JC Draft RTS. 
 
 
11 EIOPA’s Occupational Pensions Stakeholder Group (OPSG) and the Insurance and Reinsurance Stakeholder Group (IRSG)), 
ESMA’s Securities and Markets Stakeholder Group (SMSG)) and EBA’s Banking Stakeholder Group (BSG).

9 
 
3. Feedback on public consultation 
10. The ESAs launched the public consultation on 2 May 2022, with the period for comments ending 
on 2 July 2022. ESMA received 18 responses amongst which four were not relevant for the purpose 
of the CP12. 
3.1 
Summary of responses 
3.1.1 General comments 
11. Most of the respondents welcomed the joint initiative of the ESAs with a view to enhancing 
transparency regarding climate-related disclosures for STS securitisations. 
(i) Consistency with SFDR and proportionality 
12. A majority of respondents stressed the need for principal adverse impacts (“PAI”) indicators for STS 
Securitisations to be standardised, targeted, relevant and closely aligned, to the extent possible, 
with their equivalents under the Taxonomy Regulation, the SFDR RTS and the Non-Financial 
Reporting Directive (NFRD). Otherwise, it would negatively impact the financing of those assets via 
STS securitisation, especially if equivalent ESG reporting would not be required in case those 
assets were financed in other ways (e.g., bank loans or other forms of secured or collateralised 
debt instruments). Therefore, respondents were of the view that the ESAs’ approach based on 
SFDR-style disclosure for those securitisations originated by regulated financial institutions is 
sensible and proportionate. They also noted that extending SFDR-style disclosures to unregulated 
entities who do not otherwise have to engage with SFDR simply because they are financing or 
buying protection on their assets via an STS securitisation is not sensible or proportionate. 
13. Respondents also stressed that while investors must have access to meaningful information on 
PAIs on sustainability factors, equally important is to keep reporting costs reasonable. These 
include financing tools and techniques other than securitisation, and the objective not to create an 
additional and specific reporting framework for securitisation, as recognised by the ESAs and 
highlighted in the CP.  
ESAs’ response: The ESAs acknowledge the feedback received and recognise the importance of 
ensuring consistency and avoiding overlaps between the various pieces of the EU regulatory 
framework related to sustainability disclosures.  Therefore, with the view to maintaining coherence 
with the SFDR RTS, the ESAs have decided to further align the Draft RTS with the SFDR RTS, as 
set out in Annex III of this report. 
(ii) Timing and grandfathering provisions 
14. Some respondents stressed the challenging timelines that financial market participants would be 
facing with an implementation on the 1st of January 2023, considering the required IT and 
operational developments they would need to implement in relation to the securitised transactions. 
To address this, some industry respondents suggested that, upon the decision from the originators 
 
12 European Central Bank (ECB), Association for Financial Markets in Europe (AFME), European Banking Federation (EBF), 
German Banking Industry Committee (GBIC), Federation Bancaire Francaise (FBF), Dutch Securitisation Association (DSA), 
Gesamtverband der Deutschen Versicherungswirtschaft e.V. (GDV), German Association of the Automotive Industry (VDA), True 
Sale International GmbH (TSI), BRAUS BERATUNG+REVISION GmbH WPG (BBRWPG), European Datawarehouse (EDW), 
Prime Collateralised Securities (PCS), Leaseurope & Eurofinas, Creative Investment Research.

10 
 
to provide the information under this Draft RTS, it could be appropriate to allow for reporting on a 
portion of the asset pool, once the information systems are ready and the information is available.  
15. In addition, other respondents highlighted that a grand-fathering provision would be necessary to 
provide enough flexibility for the originators to collect the required information for live transactions, 
a significant number of them having been concluded years ago or with assets originated well ahead 
of the transactions closing date. Furthermore, one respondent suggested that the requirement to 
provide "details of the best efforts used” in Article 2(3)(d) of the draft RTS should not be retained 
as it may incur additional liability. 
ESAs response: the ESA take note of the feedback received with regard to the implementation date 
of the 1st of January 2023. Considering that the publication of this Final Report and the following 
steps to adopt the RTS will be in any case concluded after 1st January 2023, the ESAs have decided 
to remove this date from the Draft RTS. The ESAs wish to clarify that the Draft RTS refers to an 
optional regime, hence originators can discharge their obligation by disclosing the information under 
the first subparagraph of Article 22(4) and 26d(4) of SECR. Originators wishing to disclose the PAIs 
but still not ready to do so can continue providing the performance certificates until they are able to 
provide the information requested in the Draft RTS. As regards the application of a grand-fathering 
provision to older loans, the ESAs wish to clarify that no transitional provisions were included in the 
SECR in this respect. As a result, for all loans the same available information would have to be 
provided, irrespective of the date of their transaction.  
(iii) Frequency of reporting 
16. Some respondents raised concerns about the frequency at which originators and sponsors shall 
make their disclosures under the Draft RTS, i.e., at least quarterly in accordance with point (a) of 
Article 7(1) of SECR. These respondents argued that ESG disclosure should not be caught under 
Article 7(1) in order not to endanger existing and discourage future STS securitisations, including 
private securitisations. These respondents suggested that investors would need the information 
along with the initial offering documents to inform their investment decisions, i.e., prior to pricing, 
and then the information should be updated at most annually. This is because, according to these 
respondents, the sustainability factors required to be reported are likely to be extremely stable in 
respect of a given asset, and therefore unlikely to change materially over the life of a transaction 
with a static pool.  
ESAs response: the ESAs take note of the feedback received regarding the frequency of the 
disclosure of the information required under the Draft RTS. The ESAs wish to clarify that, based on 
the wording of Article 22(4) and 26d(4) of SECR, the derogations in the second subparagraphs of 
Articles 22(4) and 26(d) (4) concern the content of the disclosure but not the fact that the information 
is ‘part of the information disclosed pursuant to point (a) of the first subparagraph of Article 7(1)’ of 
SECR. Therefore, the frequency is set on quarterly basis pursuant to Article 7(1)(a) of SECR. In 
addition, the information required by point (a) of Article 7(1)(a) should be made available ahead of 
the pricing to potential investors upon request.  
(iv) Supervision of ESG disclosures on securitisations 
17. One respondent requested clarification on the responsibility for supervising the ESG disclosures on 
securitisations and particularly whether the disclosures required under the Draft RTS will form part 
of the Article 7(1)(a) disclosures required under the SECR or instead be part of the supervision of 
STS securitisations. The respondent suggested amending the Draft RTS to make clear that national 
competent authorities designated for the purpose of supervising STS matters should also supervise 
compliance with the requirements to be introduced under the Draft RTS.

11 
 
ESAs’ response: the ESAs take note of the feedback received as regards competent authorities 
(CAs). In that respect, the ESAs refer to Article 29(5) of SECR, which provides that “Member States 
shall designate one or more competent authorities to supervise the compliance of originators, 
sponsors and SSPEs with Articles 18 to 27”. Therefore, the ESAs wish to clarify that the CAs 
responsible to supervise compliance with the sustainability disclosure requirements set out in 
Articles 22(4) and 26(d)(4) SECR should be the one designated under Article 29(5) of SECR and 
no further reference in the Draft RTS is needed.  
(v) The mandatory nature of the optional disclosure regime 
18. Some respondents inquired whether the disclosure requirements in the Draft RTS will become part 
of the criteria for a securitisation to be STS compliant, given that the sustainability disclosures are 
not mandatory. These respondents required further clarification in the final Draft RTS as to whether 
the sustainability disclosures are mandatory or not, and whether they do not go beyond the 
disclosure obligation of the underlying Articles 22 (4) and 26(4) of SECR. To address this concern, 
one respondent suggested that Article 1(1) and 1(2) of the draft RTS should be amended to reflect 
the optional nature of the proposed disclosure. 
ESAs’ response: The ESAs wish to clarify that the sustainability disclosures referred to in the 
second subparagraph of Article 22(4) and 26d(4) of SECR are optional as a derogation to the 
mandatory disclosure under the first subparagraph of the same provisions. It can also be clarified 
that, where such optional disclosure regime is chosen, the available information indicated in the 
Draft RTS has to be disclosed. The ESAs’ view is that no amendments to the Draft RTS are needed 
in that respect (as clarified in recital (1) of the enclosed Draft RTS). 
(vi) Private securitisations 
19. Some respondents commented on the means of disclosure required for private securitisations. One 
respondent understood from the CP that originators of private securitisations will be permitted to 
make the information required under the Draft RTS available by the same means as the information 
required by Article 7 of SECR. The same respondent concluded that since there is no for private 
securitisations to report on SRs, the information will be however made available to the required 
audience (investors, competent authorities and, upon request, potential investors) in a timely 
manner. Other respondents asked for clarifications whether and to what extent any ABCP- and 
private transactions are carved out of the Draft RTS. 
ESAs’ response: the ESAs acknowledge the feedback received on the means of disclosure required 
for private securitisations. The ESAs consider that the STS securitisation related sustainability 
disclosures apply to both public and private securitisations. As with the provisions of the 
Commission Delegated Regulation (EU) 2020/1224 (the Securitisation disclosure RTS) – 
concerning disclosure requirements -, the reporting entities are exempted to disclose the 
information required under this by means of the securitisation repositories (SRs). Finally, the ESAs 
wish to clarify that the Draft RTS do not apply to ABCP transactions and programmes.  
(vii)  Use of proceeds vs. assets 
20. Some respondents questioned whether the Draft RTS should be based on the use made of the 
proceeds of issuances of securitisations rather than on the sustainability of the assets being 
securitised. It was suggested that when an investor purchases a capital market instrument, 
including a securitisation, the use of the proceeds should define how “green” is the instrument and 
these respondents suggested changing the approach to base the RTS accordingly.

12 
 
ESAs’ response: The ESAs appreciated the feedback received on the use of proceeds as an 
alternative basis for the disclosure provisions under the Draft RTS. The ESAs note that this topic is 
being discussed in the context of the European Green Bond Standards (GBS) and discussed in 
EBA report on developing a framework for sustainable securitisation13. However, the ESAs also 
note that the second subparagraphs of Articles 22(4) and 26(d) of SECR provisions empowering 
the ESAs to develop Draft RTS on sustainable disclosure for STS securitisations refer to the PAIs 
of the assets financed by underlying exposures. Therefore, the ESAs believe that the approach 
about the adverse impacts of the assets financed by the underlying exposures on the climate and 
other sustainability factors, as developed in the CP, should be kept. 
(viii) Missing data 
21. One respondent requested clarification on how originators should treat missing data under the Draft 
RTS. The respondent suggested that, in order to encourage a broad-based improvement in data 
availability, the Draft RTS should explain in more detail how originators are expected to deal with 
missing data for existing loans in securitised portfolios. The respondent suggested that one option 
would be for originators to report the percentage of underlying exposures for which no data are 
available, ideally distinguishing between different reasons for the absence of data. Another option 
would be to allow for estimated data and ask originators to (i) disclose the percentage of underlying 
exposures for which data underpinning the PAI indicators have been estimated and (ii) disclose 
details of their estimation methodology.  
ESAs response: the ESAs acknowledge the feedback received from the respondent with regard to 
the approach to be given to missing data. Bearing in mind Articles 22(4) and 26(d) (4) which require 
to publish the available information the ESAs prefer to maintain the drafting approach as set out in 
the CP. It is noted that, according to Article 2(3) of the Draft RTS, where information relating to any 
of the indicators of PAIs on sustainability factors used is not readily available, details of the best 
efforts used to obtain the information from the obligors, external experts or by making reasonable 
assumptions should be published as part of the PAI statement. Lastly, since the proposed 
disclosure regime is optional, the ESAs consider that allowing for estimated data would be 
disproportionate as it would lead to further impede the reporting burden for the originators.  
3.1.2 ESAs’ detailed responses to questions 1 to 19 
Responses to questions 1 to 19 
(i) Means, frequency and format of disclosure 
Question 1: Do you agree that it is preferable to make disclosures available in a stand-alone 
document based on the SFDR template and consider any potential related adjustments to 
ESMA’s disclosure RTS at a later stage? 
 
22. Most of the respondents agreed that it is preferable to make disclosures available in a stand-alone 
document based on the SFDR template and only consider any potential related adjustments to 
ESMA’s disclosure RTS at a later stage. Some respondents however questioned the relevance of 
including the disclosures under the Draft RTS in the ESMA disclosure templates which are already 
very detailed and need to be streamlined. It was also mentioned that the ‘No-data’ classification of 
this information into the templates will also need to be thought through, as some of the required 
information may not be available. 
 
13 EBA report on sustainable securitisation.pdf (europa.eu)

13 
 
23. One respondent suggested using a stand-alone template in the short-term, but in the medium-term 
to integrate the template into ESMA disclosure templates to avoid having multiple templates, 
thereby streamlining climate-related reporting for securitisations and enhancing transparency for 
investors. 
ESAs response: the ESAs take note of the positive feedback regarding the use of a stand-alone 
document based on the SFDR template. As regards any potential related adjustments to the 
Securitisation disclosure RTS (Commission Delegated Regulation (2020/1224), the ESAs consider 
that further analysis will be undertaken as part of the review of ESMAs disclosure templates to 
assess whether additional ESG metrics could be included in ESMA templates. 
(ii) Sustainability policies of the originator 
Question 2: Do you agree that originators should disclose information in the principal 
adverse sustainability impacts statement about whether and, if so, how principal adverse 
impacts on sustainability factors are taken into account in the originator’s credit granting 
criteria? Do you agree that the disclosed information should rely on and cross-reference 
existing disclosures? 
24. Respondents agreed with the approach of the ESAs to disclose the information in the principal 
adverse sustainability impacts statement by cross-referencing the relevant SFDR disclosures at 
entity level (e.g., the PAI statement) which would limit the reporting burden and would also avoid 
the duplication of information. 
25. Some respondents however emphasised that the information should be applicable only to 
originators that are (or will be) required to provide such information under SFDR. One respondent 
stressed that there should not be any specific requirements for securitisation and that such PAIs 
approach, and more generally relying on existing disclosures, should be adapted to the scope of 
securitisation transactions. One respondent noted that PAIs under SFDR are not all relevant in the 
context of a securitisation, knowing that such PAIs, and reporting related thereto, are made at the 
entity’s level under SFDR (while securitisation implies a disclosure at transaction level). One 
respondent however disagreed with the ESAs’ approach arguing that PAI indicators for 
securitisations and credit granting at the originator level should be considered separately. 
26. One respondent reported that originators usually apply similar credit granting criteria irrespective if 
the loan pool is transferred via an STS securitisation. The respondent argued that there is therefore 
little value in an additional description of the process for the STS portfolio. However, the respondent 
conceded that there may be instances where this assumption does not hold true in particular where 
the STS pool has been selected using different criteria. The respondent felt that additional 
description of the originator’s credit granting criteria should be optional depending on the 
characteristics of the pool and on whether separate criteria were used to choose which assets to 
allocate to the STS securitisation.  
ESAs response: The ESAs acknowledge the responses received and take note that a majority of 
respondents agreed with the proposed ESAs’ approach. The ESAs therefore confirm that the 
approach set out in the CP is kept in the Draft RTS in this final report.  
(iii) The disclosure of information on PAI indicators throughout the securitisation process 
Question 3: Do you agree that originators should disclose information about whether, and 
if so how, PAI indicators on sustainability factors are considered in the selection of 
underlying exposures to be added/repurchased to/from the pool at the time of marketing or 
during the lifetime of the securitisation? Do you agree with the level of information required?

14 
 
27. Overall, a majority of respondents agreed with the approach of the ESAs to disclose information 
about whether PAI indicators on sustainability factors are part of the selection of underlying 
exposures to be added/repurchased to/from the pool at the time of marketing or during the lifetime 
of the securitisation. However, some respondents noted that they agree with the ESAs’ approach 
to the extent originators are financial market participants under SFDR and in relation to PAI 
indicators that are considered in selection of assets for addition to or removal from the pool.  
28. One respondent suggested that originators should provide complete and updated information on 
PAI indicators taking into account (i) the originator’s credit approval criteria and (ii) the selection of 
the exposures included in the relevant pool. The same respondent recommended that originators 
also disclose this information in relation to transactions involving – even in part – exposures that 
originators purchased from third parties and then securitised. Finally, the respondent suggested 
that originators should not just provide details of quantitative thresholds and tests but also provide 
information on other qualitative principles and criteria that were used in the selection process. 
29. One respondent questioned the relevance of this information under a use-of-proceeds approach. If 
nevertheless it were to be imposed, the respondent suggested that (i) for private transactions an 
exception would be required since references to a final offering document are not available and (ii) 
for transactions where sustainability factors are not actively considered the disclosure requirements 
should be kept at a minimum. 
30. Lastly, some respondents disagreed with the requirement to provide "details of the best efforts used 
to obtain the information from the obligors, external experts or by making reasonable assumptions" 
in Article 2(3)(d)4 of the Draft RTS which seems to be indirectly imposing an obligation to make 
"best efforts" to obtain information, which is a potentially extremely onerous requirement. 
ESAs response: The ESAs are grateful for the responses received to this question. The ESAs 
consider that appropriate disclosure regarding the exposures is crucial to support investment 
decisions which requires originators providing complete and updated information on PAIs indicators 
also taking into account the originator’s credit approval criteria and the selection of the exposures 
included in the relevant pool. In respect to the requirement to provide "details of the best efforts 
(…)" in Article 2(3)(d)4 of the Draft RTS, the ESAs consider that for reason of consistency with the 
SFDR RTS, the initial draft as set out in the CP should be maintained.  
(iv) Indicators contained in the PAIs statement 
Question 4: Do you agree with the approach taken in the Draft RTS which aims for full 
consistency with the SFDR RTS? 
31. A significant majority of respondents agreed with the approach of the ESAs to ensure consistency 
with the draft SFDR RTS. Many noted the benefits of consistent disclosure to investors. Even 
though some data may not yet be available to the originators, one respondent however recognised 
that it is better to start the process as soon as possible and to build on the existing SFDR RTS.  
32. Some respondents reiterated that the Draft RTS should be limited to those metrics which are 
relevant for securitisation investors. Further, one respondent commented on the reference to 
additional indicators "which originators will be required to collect for an underlying exposure" 
pursuant to the Commission Delegated Regulation (EU) 2021/2178 (the "Economically Sustainable 
Economic Activities RTS" or "ESEA RTS"), which that respondent felt inappropriately assumed the 
nature of the originator. The respondent noted that the green asset ratio, for example, is required 
only from credit institutions under the ESEA RTS, whereas the Draft RTS seems to require this 
information from all originators, regardless of whether they are credit institutions. Finally, the 
respondent suggested that only those metrics the originator is anyway required to prepare under

15 
 
the Taxonomy Regulation and the ESEA RTS (or those straightforwardly derived from such metrics 
– as with the non-green asset ratio) should have to be disclosed under the Draft RTS. 
33. Some respondents argued that aiming at “full consistency” with the draft SFDR RTS might not be 
reasonable in all cases. One respondent further commented that consistency should be ensured to 
the extent it provides transparency for investors about the sustainable impact of securitised assets. 
The same respondent also remarked that a right balance must be found between the need to 
provide investors with meaningful information and the necessity to keep reporting costs reasonable, 
while ensuring a level playing field with other financing tools and techniques other than 
securitisation. Thus, the respondent felt that only SFDR PAI indicators that are relevant for credits 
and for securitisation should be selected since irrelevant SFDR indicators would (i) not be useful to 
investors, (ii) be difficult or impossible to produce, and (iii) could ultimately have a negative impact 
on the use of the STS label. 
34. One respondent expressed concerns that the SFDR RTS is designed for “sizeable” assets like 
corporations and investment projects and not for granular asset pools for which the level of detailed 
information required under the SFDR RTS is not appropriate. The respondent also noted that since 
all originators will be subject to the Taxonomy Regulation, full consistency with the latter would be 
more appropriate. 
35. Finally, one respondent commented on the importance of avoiding regulatory arbitrage and 
“greenwashing” which requires a fully consistent approach across all capital market instruments. 
The respondent also noted that (i) the principle of full consistency with SFDR will not be met merely 
by a mechanical replication of the SFDR RTS in this Draft RTS and (ii) a number of originators will 
not be regulated under the SFDR. Therefore, the respondent argued that requiring such originators 
to make disclosure under this regime could impose substantial and undue burden on them and 
discourage them from using (or render it impossible for them to use) securitisation if such 
disclosures were made mandatory. 
ESAs’ response: The ESAs acknowledge the responses received and note that most of the 
respondents agreed with the proposed approach. Finally, the ESAs wish to clarify that, as already 
mentioned in the CP, they were mandated to develop these Draft RTS mirroring, to the extent 
possible, the SFDR RTS and adapting it, where necessary, to the specificities of securitisations. 
(v) The Non-Green Asset Ratio 
Question 5: Do you agree with the inclusion of the new mandatory non-green asset ratio 
indicator for all asset classes covered by the RTS?  
36. The majority of respondents disagreed with the inclusion of a non-green asset ratio indicator for the 
asset classes covered by the RTS. 
37. One respondent considered that the information on the percentage of non-green assets would, in 
principle, offer a valuable complement to the PAI indicators in terms of assessing transition risks, 
but the proposed non-green asset ratio (NGAR) would be misleading. According to this respondent, 
the NGAR would however entail reporting the percentage of assets which fail to meet the EU 
Taxonomy criteria including the assets failing to have a positive impact on the environment rather 
than the assets with an adverse impact on the environment. In addition, such a non-green asset 
ratio would be misleading for users and would suggest that failure to meet the Taxonomy criteria is 
equivalent to an unsustainable level of environmental performance. In this context, the respondent 
noted that it would be better to simply require disclosure of the percentage of green assets, which 
is a well-established indicator containing the same information content as the proposed non-green 
asset ratio, without any of the potential for misinterpretation. In addition, the same respondent also

16 
 
pointed out that the proposed non-green asset ratio would not be fully aligned with the PAI indicators 
in terms of their scope as it only covers retail car loans and not car leases. 
38. Several respondents raised observations on a potential non-green asset ratio indicator: 
• 
Depending on the asset class in question, originators may not necessarily have all the 
information to produce the proposed reporting metric. There are a significant number of 
originators of both residential mortgage assets and auto loan and lease assets who are not 
credit institutions and would find it extremely burdensome (and perhaps impossible) to produce 
the metric. 
• 
SFDR does not refer the ratio, which runs against the objective of standardised and harmonised 
ESG disclosure. Likewise, the indicator would not fit the inherent logic of SFDR meaning that a 
non-green asset ratio would not necessarily imply a PAI indicator with regard to securitisations 
on transaction level. 
• 
ESG disclosures should be kept simple and reporting costs reasonable to avoid negative impact 
on the use of the STS label. 
• 
There should be no obligation to disclose a non-green asset ratio indicator for securitisations, 
but the indicator could be provided on a voluntary basis. 
• 
The green asset ratio is a concept applicable to prudentially regulated credit institutions in the 
EU. Asking originators which are not subject to the green asset ratio and do not have the 
systems to calculate it solely for STS securitisation disclosure would unfairly discriminate 
against such instruments and limit the capacity of securitisation to finance the transition to a 
sustainable economy. 
• 
The non-green asset ratio would not be a reliable PAI indicator as it has little relevance to 
measuring adverse impacts on the climate as "non-green” assets (with "green" assets 
complying with all Taxonomy requirements) are not equivalent to "assets having negative 
effects on sustainability factors", as recognised in paragraph 24 of the CP itself. 
ESAs response: Based on the feedback received from the consultation, the ESAs acknowledge 
that there are several limitations and obstacles in requiring originators to provide the non-green 
asset ratio (NGAR) in the Draft RTS. This is due to the fact that the NGAR aims to measure the 
proportion of the assets underlying a securitisation transaction which are not aligned with the EU 
taxonomy while PAIs indicators capture the adverse impacts on ESG factors. In addition, the ESAs 
consider that the NGAR should be assessed together with the range of other disclosure 
requirements, including those under the EBA ITS on prudential disclosures (“Pillar 3”) on ESG risks 
(Commission Implementing Regulation (EU) 2022/245314), and not in isolation. Therefore, the ESAs 
have decided to change the approach in the final report by removing the NGAR from the Draft RTS’ 
templates. The main reason is that the proposed NGAR fails to capture the adverse impacts on the 
climate as the NGAR indicates the number of assets which fail to meet high sustainability criteria 
rather than those with a negative impact on sustainability factors. The ESAs have not retained the 
proposal to replace the proposed non-green asset ratio by the percentage of green assets as the 
latter would not constitute an indicator of adverse impact.   
 
14 COMMISSION IMPLEMENTING REGULATION (EU) 2022/2453 of 30 November 2022 amending the implementing technical 
standards laid down in Implementing Regulation (EU) 2021/637 as regards the disclosure of environmental, social and 
governance risks published at the Official Journal of the European Union on 19 December 2022 at available at: https://eur-
lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R2453&from=EN).

17 
 
(vi) PAI indicators for residential real estate 
Question 6: Do you agree with the proposed PAI indicators for residential real estate? 
39. One respondent highlighted that not all PAI indicators listed in the SFDR should be selected for 
inclusion in the Draft RTS set out in Annex III of this report. Instead, the respondent cautioned that 
only those PAI indicators which are collected by credit institutions originating residential loans and 
provide meaningful information to investors should be selected (such as the energy performance 
certificate of the property as set out under the Commission Implementing Regulation (EU) 
2022/245315 (EBA ITS on prudential disclosures (pillar 3) on ESG risks). Additionally, the same 
respondent stated that indicators sourced from SFDR should be required only from originators who 
are financial market participants (or otherwise institutionally familiar with SFDR reporting 
requirements).  
40. One respondent cautioned that significant problems would occur in using the definitions of the five 
indicators, since the indicators have been originally defined for large projects (factories, etc.), and 
so recommended redefining them for retail assets. 
41. Other respondents commented that as long as the information is collected under SFDR it should 
also be available for securitisations, however it should only be applied to newly originated loans as 
the information that is required will not necessarily have been collected in the past. The same 
respondents also highlighted that credit institutions originating residential loans will collect only part 
of the data included in the proposed PAI indicators as part of the prudential disclosure on ESG 
risks. 
ESAs’ response: The ESAs take note of the feedback received on the proposed PAI indicators for 
residential real estate. Bearing in mind the objective of Articles 22 (4) and 26 (4) of SECR, the ESAs 
believe that requiring such information is justified if the information is available under the SFDR 
RTS. As regards the approach to apply the Draft RTS to only newly originated loans, please refer 
to ESAs’ response in Section 3.2.2. With the view to maintaining consistency with the final SFDR 
RTS (Commission Delegated Regulation (EU) 2022/1288), the ESAs have decided to amend the 
Draft RTS by adding an explanation column. 
(vii) Additional information for residential real estate 
Question 7: Do you propose to add any additional specific indicators for this asset class? 
42. The majority of respondents did not find it necessary to add any additional specific indicators for 
the residential real estate asset class at this stage, though they flagged that it is important to review 
the disclosure requirements regularly as it should reflect as much as possible the most recent 
industry standard PAI indicators and these are still in a state where they are evolving quickly.  
43. One respondent noted that the ESAs and industry have a shared interest in ensuring that any 
regulation does not hold back positive evolutions in this important area.  
44. One respondent made the point that mandatory indicators for real estate assets include the energy 
consumption of the building and/or its energy performance certificate (EPC). The same respondent 
stated that the PAI indicators in the proposed Draft RTS (e.g., the definition of inefficient buildings 
 
15 COMMISSION IMPLEMENTING REGULATION (EU) 2022/2453 of 30 November 2022, published at the Official Journal of the 
European Union on 19 December 2022, amending the implementing technical standards laid down in Implementing Regulation 
(EU) 2021/637 as regards the disclosure of environmental, social and governance risks and available here Publications Office 
(europa.eu).

18 
 
or the percentage of taxonomy-aligned assets) are based on granular information about a building’s 
energy consumption or its EPC, to which certain quantitative thresholds are then applied. According 
to this respondent, providing a breakdown of these underlying metrics would allow investors to 
better assess the securitised real estate assets’ exposure to climate-related transition risks. 
ESAs’ response: the ESAs take note of the feedback received from financial market participants 
and wish to clarify that it is not proposed at this step to add specific indicators for real estate assets. 
However, the ESAs’ view is that the introduction of the PAIs indicators in the proposed Draft RTS 
should follow a flexible and phase-in approach starting with the metrics for real estate as developed 
in the CP and be reviewed regularly, to allow the sustainable securitisation market to develop and 
play a role in financing the transition towards a greener EU economy. It is also noted that the Draft 
RTS allows originators to provide information on any further indicator that they consider as relevant.  
(viii) PAI indicators for motor vehicles 
Question 8: Do you agree with aligning the PAI indicators for motor vehicles with the 
screening criteria for motor vehicles established in the Taxonomy Regulation? 
45. The majority of respondents disagreed with aligning the PAI indicators for motor vehicles with the 
screening criteria for motor vehicles established in the Taxonomy Regulation.  
46. Most of the respondents recalled that the CP acknowledges that assets which fail to meet high 
sustainability criteria are not necessarily assets that have a negative impact on the environment. 
As such, those respondents disagreed with aligning the PAI indicators for motor vehicles (or electric 
vehicle batteries) with the screening criteria for motor vehicles (or electric vehicle batteries) 
established in the Taxonomy Regulation. In particular, they considered that social and employee 
matters are not relevant for reporting in respect of residential loans, and therefore the same should 
apply to auto loans and leases in order to be consistent. Those respondents also noted that some 
indicators seemed redundant (e.g., on greenhouse gas) and that many “auto captive” entities might 
not fall under the SFDR, in which case the information would probably not be readily available to 
them. Finally, the respondents also highlighted that it could also be difficult to provide the required 
information for second hand cars (i.e., before the indicators were developed or for “external” vehicle 
brands). 
ESAs response: the ESAs take note of the feedback received regarding aligning the PAI indicators 
for motor vehicles with the screening criteria for motor vehicles established in the Taxonomy 
Regulation. Nevertheless, given that the SFDR RTS do not specify PAI indicators for car loans or 
leases, the ESAs believe that there is value to define these indicators on the basis of the technical 
screening criteria for motor vehicles that are contained in the Climate Delegated Act accompanying 
the Taxonomy Regulation. Therefore, the ESAs will keep the Draft RTS unchanged in this respect.  
(ix) The introduction of additional PAIs indicators to auto loans and leases 
Question 9: Do you agree with expanding the indicators to potentially cover these additional 
aspects at a later stage? 
47. Most of the respondents highlighted that expanding the indicators to include additional PAIs 
indicators as developed under paragraph 29 of the CP in respect to the potential negative 
environmental impact of a motor vehicle will need to be carefully considered and that it is too early 
to precisely define those additional aspects at this stage.  
48. One respondent however suggested integrating additional taxonomy-based metrics into the PAI 
indicators when such indicators become available. Aside from data on the direct emissions of

19 
 
vehicles, this respondent noted that the technical screening criteria also contain other metrics, 
making it possible to better identify the “Do No Significant Harm” principle in the taxonomy (such as 
production emissions, air pollution or the percentage of non-recyclable batteries). Although these 
metrics are not currently widespread, the respondent considered that they reflected vehicles’ 
adverse impact on the environment and could be integrated into the template as optional indicators 
in a first step. 
ESAs response: the ESAs take note of the feedback received regarding further expanding the 
indicators to potentially cover additional aspects at a later stage. Based on the feedback received, 
the ESAs do not propose to further expand the indicators at this stage. 
(x) Indicators for social and employee, respect for human rights, anti-corruption and anti-bribery 
matters 
Question 10: Do you agree with applying the mandatory indicators for social and employee, 
respect for human rights, anti-corruption and anti-bribery matters to the manufacturer of the 
vehicle? 
49. Respondents’ views were split on this question. Half of the respondents rather agreed with the 
ESAs’ proposal to apply the mandatory indicators for social and employee, respect for human rights, 
anti-corruption and anti-bribery matters to the manufacturer of the vehicle. The other half expressed 
concerns about the ESAs proposal.  
50. Overall, most of the respondents highlighted the expected difficulties in the practical implementation 
of the ESAs proposal: 
• 
Some respondents regarded the ESAs proposal as problematic because there is no 
equivalent requirement in relation to, as an example, the developer of a residential real 
estate property or other physical asset that might be financed via a securitisation.  
• 
Other respondents raised concerns with respect to the availability of data and clarity of what 
is required.  
• 
Some respondents emphasised that these indicators should generally apply to the 
manufacturer of the vehicle (for new vehicles), however originators do not necessarily have 
that information and it could be very complicated for them to collect it. Likewise, some 
respondents cautioned that a statement can only be made to the best of the originator’s 
knowledge. In addition, some respondents pointed out that numerous manufacturers are 
not subject to the jurisdiction of EU Member States and thus are not bound by the Draft 
RTS once adopted, while the loan/leases originators would be clearly relying on them to 
comply with the proposed PAIs indicator. 
• 
In the case of vehicles produced by a manufacturer belonging to the same group as the 
originator, some respondents recommended that confirmation should be obtained directly 
from the manufacturer that the UN Global Compact principles of the OECD and the 
Guidelines for Multinationals have been complied with. 
• 
Other respondent questioned how an independent loan originator would be able to collect 
this information for all the brands and models he is financing, including with respect to 
second hand cars. In all these situations, the respondent suggested that a loan/lease 
originator would be relying entirely on the information provided by other parties in the value 
chain (such as the manufacturers of the vehicles) and therefore cannot be held liable for 
the accuracy and completeness of this information.

20 
 
• 
One respondent cautioned that a fintech lending to purchasers of second-hand cars would 
potentially have to source information from a dozen or more manufacturers across the 
world. Therefore, any requirement here should be circumscribed to originators dealing with 
one manufacturer and preferably “captives”. 
• 
One respondent however suggested that the information should be provided on the basis 
of the manufacturer’s feedback, evaluating the sustainability report and press reports 
available in the originator’s realm to the best of the originator’s knowledge. In addition, the 
same respondent argued that violations of the above principles and guidelines may only 
relate to certain operating sites of a brand manufacturer in a particular country, so that only 
some of the vehicles produced are affected by the violations. In this respect, the violations 
should then only relate to vehicles which production has not complied with the principles 
and guidelines, where it is possible to separate out the vehicles in question. 
• 
Finally, one respondent suggested that positive or negative PAI indicators that are 
associated with a car manufacturer and their car model should be measured and disclosed 
at the level of the car manufacturer itself. 
ESAs response: The ESAs acknowledge the mixed views on developing mandatory indicators 
covering social and employee matters to the manufacturer of the vehicles. On balance, the ESAs 
believe that the inclusion of social indicators within the Draft RTS is beneficial in terms of simplicity 
and predictability for financial market participants and for comparability purposes for investors. 
Therefore, for the sake of consistency with the indicators on social and employee matters as set 
out in the Annex 1 of the SFRD RTS, the ESAs propose to keep the general approach developed 
under the CP while amending the Draft RTS to specify that originators may include any additional 
indicator taken from Tables 1, 2 and 3 of the SFDR RTS (where available, at least one from Table 
2 and one from Table 3). 
(xi) Additional indicators for e-vehicles and hybrid-vehicles 
Question 11: Do you propose to add any additional specific indicators for this asset class? 
51. Some of the respondents suggested that additional value added may be derived from reporting the 
share of e-vehicles and hybrid-vehicles in securitised portfolios. These respondents reported that it 
is more meaningful than reporting on targets and limit for CO2 and air pollutants that virtually only 
e-vehicles and hybrid vehicles can fulfil. In addition, reporting available average CO2-emissions of 
vehicles in g/km CO2 may also allow investors to gauge the CO2 intensity of their investment. 
ESA’s response: The ESAs take note of the feedback received regarding the additional value added 
that may be derived from reporting the share of e-vehicles and hybrid-vehicles in securitised 
portfolios. However, the ESAs do not agree with the proposed inclusion of the indicators (average 
CO2 emissions, like the share of e- or hybrid- vehicles) because they do not qualify as PAI 
indicators. 
(xii) Indicators relating to other types of securitisations 
Commercial Real Estate (CRE) 
Question 12: Would you agree with using the SFDR real estate PAI indicators for commercial 
real estate securitisation? 
52. Most of respondents agreed with the proposed Draft RTS which would build on the SFDR real 
estate PAI indicators for commercial real estate securitisation.  Respondents further noted that

21 
 
originators are those subject to SFDR and are able to select whether or not to disclose that 
information in respect of the assets underlying the securitisations they originate. 
53. One respondent however noted that, to ensure consistent treatment of residential and commercial 
real estate assets, granular data on EPC labels and energy performance could also be required for 
commercial real estate assets. For both residential and commercial real estate loans, the energy 
performance of the underlying assets is a key metric when assessing their adverse impact and their 
exposure to transition risks. With that in mind, the respondent suggested that a more granular 
breakdown of energy consumption and EPC labels should also be required for securities backed 
by commercial real estate. As with residential real estate loans, these granular metrics would be 
required to assess the PAI (particularly the percentage of “inefficient real estate assets”, as well as 
the percentage of non-taxonomy-aligned loans), thereby limiting the potential for additional 
reporting burden for originators. 
54. Finally, one respondent considered the required disclosure excessive and premature. 
ESAs response: The ESAs acknowledge the positive feedback received to replicate the SFDR real 
estate PAI indicators for commercial real estate (CRE) securitisation. Please refer to the ESAs’ 
decision elaborated in the response section for question 19 not to develop such further voluntary 
templates. 
(xiii) Corporate debt including trade receivables 
Question 13: Would you consider it useful to provide originators of securitisations 
consisting of corporate debt including trade receivables a template to disclose standardised 
information on principal adverse impacts on sustainability factors? 
55. A slight majority of respondents considered that it would be too premature at this stage to set out a 
mandatory template for corporate debt. Those respondents suggested allowing more time for the 
market and regulatory framework to develop best practices in this area, and then apply the same 
requirements to securitisation financing as those that are applied to equivalent market participants 
engaged in other forms of financing. Given that the trade receivables market is diverse in terms of 
the nature of the underlying assets and the corresponding information available, the same 
respondents argued that any decision on this should be taken in close cooperation with relevant 
stakeholders in the relevant market. Other respondents emphasised that, in the case of trade 
receivables, the additional data collection and reporting burden may be just too high as trade 
receivables with short maturities may be a low margin product where the extra cost of collecting the 
data is not justified.  
56. Other respondents supported the proposal to set out a template to originators of securitisations 
consisting of corporate debt including trade receivables.  
ESAs’ response: The ESAs acknowledge the responses received and wish to recall that the ESAs 
solicited feedback to assess how and if the disclosure could be extended to cover other types of 
securitisations and could lead to adjustments to the Draft RTS. Please refer to the ESAs’ decision 
elaborated in the response section for question 19 not to develop such voluntary templates.  
(xiv) PAI indicators to corporates exposures 
Question 14: Would you agree with applying the draft SFDR RTS PAI indicators to exposures 
to corporates?

22 
 
57. Most of the respondents to this question agreed with the proposal to apply the SFDR RTS PAI 
indicators to exposures to corporates.  
58. One respondent however cautioned that extending the SFDR RTS PAI indicators to exposures 
financed via securitisation would not be problematic, provided the originator is a financial market 
participant in scope of the relevant SFDR RTS disclosure obligations and chooses to disclose SFDR 
RTS PAI indicators to investors. Another respondent also cautioned that any discrepancy between 
SFDR and the future CSRD should be avoided. 
ESAs’ response: The ESAs take note that respondents agreed with the proposal to apply the SFDR 
RTS’ PAI indicators to exposures to corporates. Please refer to the ESAs’ decision elaborated in 
the response section for question 19 not to develop such voluntary templates.  
(xv) Trade receivables 
Question 15: Would you agree with applying the proposed application of the same draft 
SFDR RTS PAIs focusing on the seller in the case of securitisation consisting of trade 
receivables? 
59. Respondents generally disagreed with applying the same SFDR RTS PAI indicators focusing on 
the seller in the case of securitisation backed by trade receivables.  
60. The reasons provided by respondents included (i) that it would be too premature to set out a 
mandatory template, (ii) that in case of full recourse to the seller indeed the PAI indicators of the 
seller should be applied, and (iii) that, in case of different seller entities from one group, such 
requirements should be met at group level.  
ESAs’ response: The ESAs take note of the concerns expressed by respondents regarding the 
application of SFDR RTS PAI indicators focusing on the seller in the case of securitisation 
consisting of trade receivables. Please refer to the ESAs’ decision elaborated in the response 
section for question 19 not to develop such voluntary templates.  
(xvi) SME loans 
Question 16: Would you agree with adopting the proposed proportionate approach to SME 
loans? 
61. Most of respondents agreed with the proposed proportionate approach to SME loans.  
62. In particular, one respondent suggested applying the same requirements to all non-retail assets 
(corporate loans, SME loans or trade receivables) and advocated using all indicators relating to 
non-SME corporate exposures set out in the SFDR RTS and that the same disclosure requirements 
should be applied. However, rather than reducing the number of indicators, the same respondent 
called for aligning these requirements for SME loans, so that the possible PAI indicators for SME 
loans should also include indicators 5 and 6 (“share of non-renewable energy consumption and 
production” and “energy consumption intensity per high impact climate sector”) in Table 1 of the 
SFDR RTS (“Indicators applicable to investments in investee companies”). According to that 
respondent, the aim should be to avoid any type of discrimination between securitised assets based 
on loans to corporations, loans to SMEs and trade receivables, particularly given the importance of 
these asset types in banks’ lending books. At the same time the respondent argued that a distinction 
between SME loans and non-SME loans would not be consistent with the disclosure requirements 
under the SFDR, which could lead to a parallel reporting structure for SME loans.

23 
 
63. Another respondent felt that securitising SME loans should not change the type of ESG disclosure 
that lenders are required to make. Therefore, that respondent pointed out that any existing 
obligations for the originator, e.g., under SFDR, could be repurposed for securitisation disclosure, 
but no further data should have to be collected or disclosed. Additionally, the same respondent 
stressed that the approach should be aligned with the required information under the SFDR RTS in 
terms of timing, phase-in period and to allow SMEs to adapt to the new reporting requirements in 
general. 
ESAs’ response: The ESAs take note of the comments and support for the proposed template for 
SME loans, even though technical and policy challenges could make it difficult to develop the 
template. Please refer to the ESAs’ decision elaborated in the response section for question 19 not 
to develop such voluntary templates. 
(xvii) Additional PAI indicators for corporates 
Question 17: Would you propose to add any additional specific indicators for these three 
types of securitisations? 
64. All respondents were of the view that, at the current stage, no additional specific indicators should 
be added for these three types of securitisations.  
One respondent emphasised that the disclosure framework should be flexible enough to allow for 
inclusion of additional PAI data fields or PAI key performance indicators if needed. In the same 
vein, the disclosure framework should be flexible enough to remove PAI data fields if they turn out 
to be not available and/or the field appears to be of limited use. 
ESAs’ response: The ESAs acknowledge the responses received. Please refer to the ESAs’ 
decision elaborated in the response section for question 19 not to develop such voluntary templates. 
(xviii) PAI indicators for consumer loans and credit card debts 
Question 18: Would you agree that there are no appropriate PAI indicators for securitisations 
backed by consumer loans or by credit card debts? If not, which PAI indicators would you 
propose for these loan types?  
65. Most of the respondents agreed that there are no appropriate PAI indicators for securitisations 
backed by consumer loans or by credit card debt. Respondents felt that it would be extremely 
challenging to develop appropriate PAI indicators since there is generally no information available 
on the use of the money borrowed under consumer loans or credit cards. 
66. One respondent noted that consumer debt is a general-purpose loan, and the consumer / borrower 
is free to choose how to use the loan and may use the loan proceeds to purchase products or 
engage in activities with a negative environmental and/or social impact. The respondent stressed 
that the originator cannot control how the consumer spends the loan proceeds. The respondent 
suggested that a typical social factor like extending loans to underserved borrowers may be 
associated with higher credit risk. The respondent also noted that sometimes not granting a loan to 
a borrower can be associated with a positive social impact as this borrower may be protected from 
over-indebtedness. As it is very difficult to think of social PAI indicators for consumer debt, the 
respondent noted that ICMA Pre-Issuance Checklist for Social Bonds mentions several factors that 
are not applicable to Consumer asset backed securities (ABS). 
67. One respondent however reported that appropriate PAI indicators exist for consumer loans which 
are clearly defined as being for the purposes of property, home improvement, a new car or a used

24 
 
car which could be captured under two of the templates detailed in the Draft RTSs (i.e., residential 
real estate assets and auto loans and leases). 
ESAs’ response: The ESAs take note that respondents agreed that there are no existing appropriate 
PAI indicators for securitisations backed by consumer loans or by credit card debt. The ESAs also 
note that respondents’ views were rather split as of whether PAIs indicators could be developed for 
securitisations backed by consumer loans or by credit card debt. Please refer to the ESAs’ decision 
elaborated in the response section for question 19 not to develop such voluntary templates. 
(xix) Extension to other types of securitisations 
Question 19: Do you consider that it would be useful to develop standardised PAI indicators 
on sustainability factors for other types of securitisations? 
Corporate debt including trade receivables, SME loans, CRE, consumer loans and credit card debt 
68. Support for developing PAI indicators for these asset classes was mainly conditional on changes 
to the ESAs approach and adapting the implementation to specific asset characteristics. One 
respondent stressed that the disclosures might be excessive and premature at this stage, and that 
they would welcome a consistent disclosure regime not only for STS securitisations but for all asset-
based finance (non-STS securitisations, covered bonds) at a later stage when the full legislative 
landscape for European sustainable finance has been agreed. 
69. Respondents’ specific comments are summarised below by asset class: 
• 
Commercial real estate (CRE): Most respondents agreed with using the SFDR real estate PAI 
indicators for CRE securitisation, provided that the originators is able to select whether or not 
to disclose that information in respect of the assets underlying the securitisations they originate, 
as described in question 12. 
• 
Corporate debt including trade receivables: Most respondents felt that it is too early at this 
stage to set out a mandatory template (See question 13 for more details).  
• 
Exposures to corporates: Most respondents supported developing standardised PAI 
indicators on sustainability factors regarding exposures to corporates, as described in question 
14. Respondents disagreed with applying the same SFDR RTS PAI indicators focusing on the 
seller in the case of securitisation backed by trade receivables, as detailed in question 15. 
• 
SME loans: Most respondents supported developing standardised PAI indicators on 
sustainability factors for SME loans, as described in question 16. 
• 
Consumer loans and credit card debt: Most respondents agreed there are no appropriate 
PAI indicators for securitisations backed by consumer loans or by credit card debt, as detailed 
in question 18. 
• 
Additional specific indicators: Most respondents cautioned that it is too early to add specific 
indicators for CREs, exposures to corporates including SMEs and trade receivables, as 
described in question 17.  
Other types of securitisations than corporate debt (including trade receivables), SME loans, CRE, 
consumer loans and credit card debt

25 
 
70. Besides corporate debt including trade receivables, SME loans, Commercial Real Estate, consumer 
loans and credit card debt, few respondents supported the development of standardised PAI 
indicators on sustainability factors for other types of securitisations.  
71. One respondent notably suggested that the proposed templates could be extended to cover non-
STS securitisations, to encourage and enhance transparency regarding financial instruments 
backed by the same types of assets. Similarly, the same respondent remarked that covered bonds 
that are backed by real estate mortgages likely resemble securitisations backed by real estate 
assets in terms of their exposure to climate-related risks. In the view of that respondent, this calls 
for consistent and harmonised templates for different asset classes to avoid a proliferation of 
inconsistent disclosure standards, foster comparability across asset classes for investors and 
facilitate equal treatment of different asset classes by regulatory authorities. 
72. Another respondent called for introducing a broad category called "other securitisation" covering 
securitisations that do not fall under the typical categories (auto, consumer, residential, etc.) to 
report PAI indicators, for example securitisation of loans backed by solar panels. 
ESAs response: The ESAs take note that some respondents supported the extension of the draft 
RTS to other types of securitisations than residential loans, auto loans and leases, while other 
expressed reservations in that respect. As indicated in the CP, the ESAs solicited feedback from 
market participants to assess how and if the disclosure could be extended to cover other types of 
securitisations. Also, in light of the mixed responses received, the ESAs consider that expanding 
the disclosure to other asset classes is not appropriate at this stage and decided therefore not to 
further develop such voluntary templates.  
3.1.3 
Preliminary impact assessments 
73. Regarding the preliminary impact assessment provided in Section 6 of the CP, the ESAs did not 
receive responses nor any specific quantitative feedback.

26 
 
4. Accompanying documents 
4.1 
Annex I – Legislative mandates under SECR to develop the draft technical 
standards 
Article 22 
‘4. In the case of a securitisation where the underlying exposures are residential loans or auto loans or 
leases, the originator and sponsor shall publish the available information related to the environmental 
performance of the assets financed by such residential loans or auto loans or leases, as part of the 
information disclosed pursuant to point (a) of the first subparagraph of Article 7(1).By way of derogation 
from the first subparagraph, originators may, from 1 June 2021, decide to publish the available 
information related to the principal adverse impacts of the assets financed by underlying exposures on 
sustainability factors.’; 
[…]‘6.   By 10 July 2021, the ESAs shall develop, through the Joint Committee of the European 
Supervisory Authorities, draft regulatory technical standards in accordance with Articles 10 to 14 of 
Regulations (EU) No 1093/2010, (EU) No 1094/2010 and (EU) No 1095/2010 on the content, 
methodologies and presentation of information referred to in the second subparagraph of paragraph 4 
of this Article, in respect of the sustainability indicators in relation to adverse impacts on the climate and 
other environmental, social and governance-related adverse impacts. 
Where relevant, the draft regulatory technical standards referred to in the first subparagraph shall mirror 
or draw upon the regulatory technical standards developed pursuant to the mandate given to the ESAs 
in Regulation (EU) 2019/2088, in particular in Article 2a and Article 4(6) and (7) thereof. 
The Commission is empowered to supplement this Regulation by adopting the regulatory technical 
standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulations (EU) 
No 1093/2010, (EU) No 1094/2010 and (EU) No 1095/2010.’; 
Article 26d 
‘4.   In the case of a securitisation where the underlying exposures are residential loans or auto loans 
or leases, the originator shall publish the available information related to the environmental performance 
of the assets financed by such residential loans, auto loans or leases, as part of the information 
disclosed pursuant to point (a) of the first subparagraph of Article 7(1). 
By way of derogation from the first subparagraph, originators may, from 1 June 2021, decide to publish 
the available information related to the principal adverse impacts of the assets financed by the 
underlying exposures on sustainability factors. 
[…] 
6.   By 10 July 2021, the ESAs shall develop, through the Joint Committee of the European Supervisory 
Authorities, draft regulatory technical standards in accordance with Articles 10 to 14 of Regulations (EU) 
No 1093/2010, (EU) No 1094/2010 and (EU) No 1095/2010 on the content, methodologies and 
presentation of information referred to in the second subparagraph of paragraph 4 of this Article, in 
respect of the sustainability indicators in relation to adverse impacts on the climate and other 
environmental, social and governance-related adverse impacts. 
Where relevant, the draft regulatory technical standards referred to in the first subparagraph of this 
paragraph shall mirror or draw upon the regulatory technical standards developed in compliance with

27 
 
the mandate given to the ESAs in Regulation (EU) 2019/2088, in particular in Article 2a, and Article 4(6) 
and (7) thereof. 
The Commission is empowered to supplement this Regulation by adopting the regulatory technical 
standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulations (EU) 
No 1093/2010, (EU) No 1094/2010 and (EU) No 1095/2010.’

28 
 
4.2 
Annex II - Impact Assessments 
74. According to the founding Regulations of EBA, ESMA and EIOPA, the ESAs conduct an analysis 
of costs and benefits when preparing draft RTS. The analysis of costs and benefits is undertaken 
according to an Impact Assessment methodology. The Draft RTS and their impact assessment 
were also subject to public consultation. 
75. The impact assessment analyses different aspects of the proposed Draft RTS which are presented 
in separate subsections below: 
- 
Format of disclosure; 
- 
Entity-level disclosures; 
- 
PAI indicators for auto loans and leases; 
- 
PAI indicators for residential real estate. 
76. The assessment of each aspect is structured in the same way. First, the problem relating to this 
aspect is defined. Second, the policy options are presented in a table which summarises their 
respective costs and benefits.  
Baseline scenario 
77. In developing the options below, the baseline scenario consists in a situation in which there are no 
harmonised rules on the content and presentation of information to be disclosed under the second 
subparagraph of Articles 22(4) and 26d(4) of SECR. In practical terms, this means that there would 
be no harmonised rules specifying the content and presentation of the information related to the 
principal adverse impacts of the assets financed by underlying exposures on sustainability factors. 
It should be noted that SECR provides originators with the possibility to derogate from Article 22(4) 
first subparagraph with respect to environmental performance disclosures, already included and 
maintained in SECR, by publishing the available information related to the principal adverse impacts 
(PAIs) of the assets financed by underlying exposures on sustainability factors. This means that the 
main risk of adopting an unduly burdensome policy option is not high compliance costs but rather 
low or no uptake. As such, the cost of these Draft RTS can never exceed the cost of the baseline-
scenario. The impact of too stringent and costly requirements is thus not additional cost, but the 
absence of the benefits expected from a high uptake. 
Objectives 
78. The overall objective of the Draft RTS is set out in Recitals 28 and 29 of the Regulation (EU) 
2021/557 amending the SECR which aim at ensuring that originators can disclose relevant 
information about the environmental adverse impact in a way which is consistent and comparable 
to the disclosures made available under SFDR. This in turn will allow investors to undertake 
consistent due diligence of sustainability factors when investing in different types of assets. End-
investors should be able to rely on the PAI disclosures made by originators to explain sufficiently 
clearly how they consider adverse impacts. 
4.2.1 Format of disclosure 
79. The first aspect of disclosure which is considered is the format of disclosure. The question of format 
arises since the format of disclosures for securitisation under the SECR differ in nature from the 
format and presentation of disclosures under SFDR. The two options considered are:

29 
 
• 
Option 1: Template of disclosure aligned with the one developed for the draft SFDR RTS and 
transmitted in a searchable format (preferred option). 
• 
Option 2: Sustainability disclosures directly included into the XML templates set out by ESMA's 
disclosure RTS. 
80. To assess the pros and cons of the two options, the following parameters have been used: 
- 
The regulatory burden weighing on originators in terms of human and financial resources, 
considering that many of them already have to comply with other types of regulation on 
sustainability disclosure which may require the use of different formats. This is associated with 
the risk of a low uptake. 
- 
Regulatory consistency refers to the consistency and logic of information provided under this 
draft RTS with other related reporting regimes. 
- 
The quality of information that could be achieved by using a searchable format instead of an 
XML template, in view of the qualitative nature of data; 
- 
The level of flexibility allowed by each type of the two formats considered in case of a change 
of indicators or thresholds for sustainability indicators due to legislative or technological 
developments. 
81. The identified policy options are the following: 
TABLE 1: POLICY OPTIONS 
 
4.2.2 Entity-level disclosures 
82. The mandate to the ESAs requires that the Draft RTS, where relevant, should mirror or draw upon 
the draft SFDR RTS, which sets the requirements for disclosure of adverse sustainability impacts 
at entity level for financial market participants.  
83. In assessing the extent to which originators should disclose information at entity-level, the issue of 
proportionality arises. Indeed, the choice to comply with the Draft RTS mainly depends on the 
associated burden weighing on originators. Requiring them to develop a separate and elaborate 
disclosure for their entire business in addition to the annual PAI statement for their assets, could be 
perceived as disproportionate and resource intensive. At the same time, information about whether 
an originator takes PAI into account in its credit granting criteria may be relevant for an investor 
interested in the sustainability profile of its investments. 
84. In light of this, the ESAs considered the following options: 
 
Parameters 
Option 1: Format aligned 
with SFDR 
Option 2: Format aligned with 
ESMA’s disclosure RTS 
Costs 
Regulatory burden to 
originators / risk of low 
uptake 
Low 
High 
Benefits 
Regulatory 
Consistency 
Medium 
Medium 
Ability to control and 
monitor data quality 
Medium 
High 
Flexibility  
High 
Low

30 
 
• 
Option 1: No disclosure requirements at originator level; 
• 
Option 2: Very limited required information drawing on and cross-referencing disclosures and 
policies, which the originator has already produced under other regulations (preferred option); 
• 
Option 3: Same level of entity-disclosure set out by the SFDR. 
85. To assess the pros and cons of the three options, the following parameters have been used: 
• 
The regulatory burden weighing on originators in terms of human and financial resources, 
considering that many of them already have to comply with other types of regulation, and the 
associated risk of a low uptake. 
• 
The regulatory consistency, refers to the consistency and logic of information provided under 
these draft RTS with other related reporting regimes. 
• 
The level of relevant information which should allow end-investors to make aware decision. 
   TABLE 2: POLICY OPTIONS 
 
4.2.3 PAI indicators for auto loans and leases 
86. The SFDR RTS, which has been mirrored to develop the other asset classes PAI indicators, does 
not contain specific indicators for adverse impacts arising from the motor vehicle asset class.  
87. To deal with this lack, the ESAs have drawn the mandatory indicators stated in the Draft RTS from 
other sources and, more specifically, from Section 6.5 of Annex I to Climate Delegated Act16and 
from the disclosure requirements applicable to credit institutions under the Delegated Regulation 
supplementing the Taxonomy Regulation. 
88. The indicators included in Annex I, referring to auto loans and leases, don’t take into account some 
relevant environmental impacts of motor vehicles which are stated in paragraph 5.3.3 of the 
background section.  
89. To address the problem concerning the type and number of indicators to include in the PAI annual 
statement, the following options have been considered: 
• 
Option 1: A single indicator based on CO2 emissions; 
 
16 Commission Delegated Regulation (EU) 2021/ of 4 June 2021 supplementing Regulation (EU) 2020/852 of the European 
Parliament and of the Council by establishing the technical screening criteria for determining the conditions under which an 
economic activity qualifies as contributing substantially to climate change mitigation or climate change adaptation and for 
determining whether that economic activity causes no significant harm to any of the other environmental objectives (europa.eu). 
 
Parameters 
Option 1: No 
Disclosure 
Option 2: Limited 
disclosure 
Option 3: SFDR 
disclosure 
Costs 
Regulatory burden to 
originators / risk of low 
uptake 
None 
Low 
High 
Benefits 
Regulatory consistency 
Low 
Medium 
High 
Level of relevant 
disclosed information 
None 
Low 
Medium

31 
 
• 
Option 2: additional indicators set out by Taxonomy Regulation (preferred option); 
• 
Option 3: include detailed indicators assessing all aspects of the environmental impact of motor 
vehicles. 
90. To assess the pros and cons of the two options, the following parameters have been used: 
- 
The regulatory burden weighing on originators in terms of human and financial resources, 
considering that many of them already have to comply with other types of regulation, and the 
associated risk of a low uptake; 
- 
The availability of data for originators;  
- 
The level of relevant information disclosed which should allow end-investors to make aware 
decisions;  
- 
The regulatory consistency refers to the consistency and logic of information provided under 
these draft RTS with other related reporting regimes. 
 
 
 
 
 
 
TABLE 3: POLICY OPTIONS 
 
4.2.4 PAI indicators for residential real estate 
91. The second type of securitisation for which PAI indicators are developed in the draft RTS is 
residential real estate. This is an asset class for which indicators were already developed in the 
draft SFDR RTS providing a starting point for these draft RTS. Two options are identified.  
• 
Option 1: Close alignment with SFDR (preferred option).  
• 
Option 2: More indicators than those included in SFDR. 
92. To assess the pros and cons of the two options, the following parameters have been used: 
- 
The regulatory burden weighing on originators in terms of human and financial resources, 
considering that many of them already have to comply with other types of regulation, and the 
associated risk of a low uptake; and 
- 
The level of relevant information disclosed which should allow end-investors to make aware 
decision. 
93. The identified policy options are the following: 
 
Parameters 
Option 1: 
Emission/km 
Option 2: 
Taxonomy-based 
disclosures 
Option 3: 
Detailed 
indicators 
Costs 
Regulatory burden to 
originators / risk of low 
uptake 
Low 
Medium 
High 
Availability of data  
High 
High 
Low 
Benefits 
Regulatory 
consistency 
High 
High 
Low 
The level of relevant 
information disclosed 
Low 
Medium 
High

32 
 
 
TABLE 4: POLICY OPTIONS 
 
4.2.5 Analysis of impact 
94. In analysing the impact of the proposed rules on adverse impact disclosure, it is important to bear 
in mind the fact that the Draft RTS aims to draw upon and ensure as much consistency as possible 
with the ESAs’ work in respect of sustainability-related disclosures in financial services under the 
Sustainable Finance Disclosure Regulation ("SFDR”). ESAs’ approach was to maintain a balance 
between existing disclosure requirements including those under SFDR, and the necessity of 
introducing appropriate ESG-related indicators to assess the adverse impact of the assets financed 
by the underlying exposure of securitisation products. 
95. It should also be noted that although originators of STS securitisations with residential loans or auto 
loans and leases as underlying exposures were initially required to report on available 
environmental performance information of these underlying exposures prior to Regulation  (EU) 
2021/557 amending SECR, Articles 22(4) and 26d(4) of SECR now offer the possibility to derogate 
from this disclosure and follow the Draft RTS instead. 
96. The ESAs have considered the feasibility, added value, cost and complexity of introducing new 
indicators and the usefulness of this type of information for end investors. Based on this, the ESAs 
propose to rely on the indicators that are already required by the Taxonomy Regulation and the 
SFDR RTS.  
 
 
 
Parameters 
Option 1: Close 
alignment with SFDR 
Option 2: More indicators 
than SFDR 
Costs 
Regulatory burden to 
originators / risk of 
low uptake 
Low 
High 
Benefits 
The level of 
information disclosed 
Medium 
High

33 
 
4.3 
4.3 Annex III - Draft RTS with regard to STS securitisations related 
sustainability disclosures 
 
COMMISSION DELEGATED REGULATION (EU) No …/.. 
of XXX 
supplementing Regulation (EU) 2017/ 2402 of the European Parliament and of the Council 
laying down a general framework for securitisation and creating a specific framework for 
simple, transparent and standardised securitisation with regard to regulatory technical 
standards specifying the content, methodologies and presentation of information in respect of 
sustainability indicators in relation to adverse impacts on the climate and other environmental, 
social and governance-related adverse impacts of the assets financed by the underlying 
exposures of simple, transparent and standardised securitisations  
 
(Text with EEA relevance) 
 
THE EUROPEAN COMMISSION,  
 
Having regard to the Treaty on the Functioning of the European Union,  
 
Having regard to Regulation (EU) 2017/2402 of the European Parliament and of the Council laying 
down a general framework for securitisations and creating a specific framework for simple, transparent 
and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU 
and Regulations (EC) No 1060/2009 and (EU) No 648/2012 ( 17 ), and in particular, the third 
subparagraph of Article 22(6) and the third subparagraph of Article 26d(6) thereof, 
 
Whereas: 
 
(1) 
In the case of simple, transparent and standardised (STS) non-ABCP traditional securitisations, 
where the underlying exposures are residential loans or auto loans or leases, the first 
subparagraph of Article 22(4) of Regulation (EU) 2017/2402 requires originators and sponsors 
to publish the available information related to the environmental performance of the assets 
financed by such residential loans or autos loans or leases. 
  
(2) 
Regulation (EU) 2021/557 of the European Parliament and of the Council (18) amended 
Regulation (EU) 2017/2402 by extending the STS securitisation framework to on-balance-sheet 
synthetic securitisations and by providing, in the second subparagraph of Article 22(4) and in 
the second subparagraph of Article 26d(4) that originators may, where the underlying 
exposures are residential loans or auto loans or leases, disclose the available information 
related to the principal adverse impacts of the assets financed by the underlying exposures on 
sustainability factors. This Regulation lays down the content, methodologies and presentation 
of information that originators may decide to publish on principal adverse impacts on 
sustainability factors of the assets financed by residential loans or auto loans or leases, for both 
traditional non-ABCP and for on-balance-sheet STS securitisations.  
 
(3) 
To harmonise sustainability-related disclosures, this Regulation draws upon the regulatory 
technical standards developed pursuant to the mandate given to the European Supervisory 
Authorities in Regulation (EU) 2019/2088 of the European Parliament and of the Council (19), 
 
17 OJ L 374, 28.12.2017, p.35. 
18 Regulation (EU) 2021/557 of the European Parliament and of the Council of 31 March 2021 amending Regulation (EU) 
2017/2402 laying down a general framework for securitisation and creating a specific framework for simple, transparent and 
standardised securitisation to help the recovery from the COVID-19 crisis (OJ L 116, 6.4.2021, p. 1). 
19 Regulation (EU) 2019/2088 of the European Parliament and of the Council of 27 November 2019 on sustainability‐related 
disclosures in the financial services sector (OJ L 317, 12.2019, p. 1).

34 
 
with particular reference to Commission Delegated Regulation (EU) 2022/1288 (20) in relation 
to the content of the information including the templates and their format, the principle adverse 
impact indicators and the metrics.  
 
(4) 
Since the information referred to in this Regulation should be made available as part of the 
information disclosed under point (a) of the first subparagraph of Article 7(1) of Regulation (EU) 
2017/2402, it should be provided quarterly and information relating to securitisations where a 
prospectus has to be drawn up pursuant to Regulation (EU) 2017/1129 of the European 
Parliament and of the Council (21) (commonly referred to as ‘public’ securitisations) should be 
made available by means of a securitisation repository registered with ESMA. In order to 
facilitate the tracking of the information on principal adverse impacts made available via a 
securitisation repository, an item code consistent with those of Table 3 of Annex I to 
Commission Delegated Regulation (EU) 2020/1224 (22) should be used.  
 
 
(5) 
To ensure that investors are in a position to take informed decisions as regards the 
sustainability impacts of their investment, sustainability-related disclosures should be 
sufficiently clear, concise and prominent. Investors should have access to reliable and 
comprehensive data that they can use and analyse in a timely and efficient manner.  
 
 
(6) 
Originators should report on principal adverse impacts on sustainability factors in order to 
ensure that investors can easily understand the indicators and compare the information 
disclosed. To improve the comparability of the disclosure, it is appropriate to distinguish 
between indicators of adverse impacts that, based on the materiality of their exposures, always 
lead to principal adverse impacts and additional indicators of adverse impacts on sustainability 
factors that are principal for the originators. Considering that information may not always be 
readily available for all of the sustainability indicators, for reasons of proportionality, originators 
should be required to report, where such additional information is available, only on one 
additional indicator of principal adverse impacts relating to the climate or other environmental-
related sustainability factors and one additional indicator of principal adverse impacts on social- 
or governance-related sustainability factors. 
 
 
(7) 
Where originators disclose the information required by this Regulation and do not publish the 
available information related to the environmental performance of the assets financed by 
residential loans or auto loans or leases according to Article 22(4), first subparagraph, and 
Article 26d(4), first subparagraph, of Regulation (EU) 2017/2402, they should make use of the 
value ‘No Data Option’ ND5 in fields RREC10 and RREC11 in Annex II to Commission 
Delegated Regulation (EU) 2020/1224 and in fields AUTL57 and AUTL58 in Annex V to that 
Regulation. 
 
(8) 
Both Article 22(4), second subparagraph, and Article 26d(4), second subparagraph, of 
Regulation (EU) 2017/2402 refer to available information related to the principal adverse 
impacts of the assets financed by the underlying exposures on sustainability factors. To 
facilitate a comprehensive view by originators of those obligations and to ensure coherence 
between the rules and standardised templates for disclosure of such principal adverse impacts 
 
20 Commission Delegated Regulation (EU) 2022/1288 of 6 April 2022 supplementing Regulation (EU) 2019/2088 of the European 
Parliament and of the Council with regard to regulatory technical standards specifying the details of the content and presentation 
of the information in relation to the principle of ‘do no significant harm’, specifying the content, methodologies and presentation 
of information in relation to sustainability indicators and adverse sustainability impacts, and the content and presentation of the 
information in relation to the promotion of environmental or social characteristics and sustainable investment objectives in pre 
contractual documents, on websites and in periodic reports (OJ L 196, 25.7.2022, p.1). 
21 Regulation (EU) 2017/1129 of the European Parliament and of the Council of 14 June 2017 on the prospectus to be published 
when securities are offered to the public or admitted to trading on a regulated market, and repealing Directive 2003/71 (OJ L 168, 
30.6.2017, p. 12) 
22 Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the 
European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details 
of a securitisation to be made available by the originator, sponsor and SSPE (OJ L 289, 3.9.2020, p. 1)

35 
 
on sustainability factors concerning non-ABCP traditional STS securitisations and on-balance-
sheet STS securitisations, which should enter into force at the same time, it is appropriate to 
include the regulatory technical standards in a single Regulation. 
 
(9) 
This Regulation is based on the draft regulatory technical standards submitted to the 
Commission by the European Banking Authority, the European Insurance and Occupational 
Pensions Authority and the European Securities and Markets Authority.  
 
(10) 
The Joint Committee of the European Supervisory Authorities referred to in Article 54 of 
Regulation (EU) No 1093/2010 of the European Parliament and of the Council (23), in Article 54 
of Regulation (EU) No 1094/2010 of the European Parliament and of the Council (24) and in 
Article 54 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council has 
conducted open public consultations on the draft regulatory technical standards on which this 
Regulation is based, analysed the potential related costs and benefits and requested the advice 
of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) 
No 1093/2010, the Insurance and Reinsurance Stakeholder Group established in accordance 
with Article 37 of Regulation (EU) No 1094/2010, and the Securities and Markets Stakeholder 
Group established in accordance with Article 37 of Regulation (EU) No 1095/2010,  
 
 
HAS ADOPTED THIS REGULATION: 
 
Article 1 
General principles for the presentation of information 
 
1. Originators shall provide the information required by this Regulation in a manner that is prominent, 
simple, concise, comprehensible, fair, clear and not misleading. 
 
2. The information referred to in this Regulation shall be made available as part of the information 
disclosed pursuant to point (a) of Article 7(1) of Regulation (EU) 2017/2402 in a searchable 
electronic format. 
 
 
 
Article 2 
Statement on principal adverse impacts on sustainability factors of the assets financed by 
underlying exposures of the securitisation 
 
1. Originators shall publish the statement on principal adverse impacts on sustainability factors in the 
format set out in Tables 1, 2 and 3 of the Annex.  
 
2. In the summary section in Table 1 of the Annex, originators shall include all of the following:  
 
(a) the unique identifier of the securitisation;  
 
(b) where available, the international securities identification numbers (ISIN) of each of the 
tranches or bonds in the securitisation; 
 
(c) the fact that principal adverse impacts on sustainability factors are considered; 
 
(d) the reference period of the statement; 
 
 
23 Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European 
Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 
2009/78/EC (OJ L 331, 15.12.2010, p. 12). 
24 Regulation (EU) No 1094/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European 
Supervisory Authority (European Insurance and Occupational Pensions Authority), amending Decision No 716/2009/EC and 
repealing Commission Decision 2009/79/EC (OJ L 331, 15.12.2010, p. 48).

36 
 
(e) for each asset type in the securitisation pool, the total current principal balance of the 
underlying exposures;  
 
(f) a summary of the principal adverse impacts on sustainability factors of the assets financed by 
underlying exposures. 
 
The summary section shall be of a maximum length of two sides of A4-sized paper when printed. 
 
3. In the section ‘Explanation of how principal adverse impacts on sustainability factors of the assets 
financed by underlying exposures of the securitisation are considered in the selection of underlying 
exposures to be added to the pool at the time of offering or during the lifetime of the securitisation’ 
in Table 1 of the Annex, originators shall include all of the following: 
 
(a) a description of any criteria or numerical thresholds applicable to the composition of the pool 
of underlying exposures in the securitisation relating to the principal adverse impacts on 
sustainability factors of the assets financed by the underlying exposures in the pool; 
 
(b) a description of any tests, events and triggers relating to those principal adverse impacts; 
 
(c) clear references to the relevant pages and sections in the final offering document or the 
prospectus and the closing transaction documents where those thresholds, tests, events or 
triggers are described;  
 
(d) a concise explanation of whether and, if so, how principal adverse impacts on sustainability 
factors are taken into account in the originator’s credit granting criteria; 
 
(e) clear references and hyperlinks to any available public disclosures where the criteria referred 
to in point (a) are described. 
 
Where information relating to any of the indicators of principal adverse impacts on sustainability 
factors used is not readily available, details of the best efforts used to obtain the information from 
the obligors, external experts or by making reasonable assumptions. 
  
4. For the purposes of the concise explanation referred to in paragraph 3(d), originators may also 
provide references to relevant business conduct codes and internationally recognised standards for 
due diligence and reporting to which they adhered. 
5. In the section ‘Description of principal adverse impacts on sustainability factors of the assets 
financed by the underlying exposures of the securitisation’ in Table 1 of the Annex, originators shall 
provide a description of the principal adverse impacts on sustainability factors of the assets financed 
by the underlying exposures of the securitisation, and they shall include all of the following: 
 
(a) available information on the indicators related to principal adverse impacts on sustainability 
factors as set out in Table 1 of the Annex; 
 
(b) available information on one or more additional climate and other environment-related 
indicators, as set out in Table 2 of the Annex;  
 
(c) available information on one or more additional indicators for social and employee matters, 
respect for human rights anti-corruption and anti-bribery matters as set out in Table 3 of the 
Annex;  
 
(d) available information on any other indicators used to identify and assess additional principal 
adverse impacts on a sustainability factor as set out in Table 1 of the Annex. 
 
 
Where the originator has provided at least one previous statement on  principal adverse impacts 
on sustainability factors in accordance with this Article, the originator shall provide a historical 
comparison between the current period reported on and every  previous period reported on up to 
the last four previous periods.

37 
 
 
6. Where the statement on principal adverse impacts on sustainability factors is made available by 
means of a securitisation repository, the item code 1 of Table 3 of Annex I to Commission Delegated 
Regulation (EU) 2020/1224 shall be used. 
7. Where the originator identifies factual errors in any information that it has made available pursuant 
to this Article, it shall make available, without undue delay, a corrected statement. 
 
Article 3 
Entry into force  
 
1. This Regulation shall enter into force on the twentieth day following that of its publication in the 
Official Journal of the European Union.  
 
 
 
This Regulation shall be binding in its entirety and directly applicable in all Member States. 
Done at Brussels,  
For the Commission 
The 
President 
[For the Commission 
On behalf of the President 
[Position]

ANNEX   
Template principal adverse sustainability impacts statement  
 
For the purpose of this Annex, the following definitions shall apply: 
 
 
(1) ‘securitisation unique identifier’ means a unique identifier as set out in Article 11 of Commission Delegated Regulation (EU) 2020/1224; 
 
(2) ‘specific emissions of CO2’ means the CO2 emissions of a passenger car, or a light commercial vehicle as defined by Article 3(1), point (h) of Regulation 
(EU) 2019/631 of the European Parliament and of the Council25; 
 
(3) ‘EU fleet-wide target’ means the average CO2 emissions of all new passenger cars or all new light commercial vehicles to be achieved 
in a given period as defined by Article 3(1), point (k) of Regulation (EU) 2019/631; 
 
(4) ‘reusability’ means the potential for reuse of component parts diverted from an end-of-life vehicle as defined by Article 4, point 13 of 
Directive 2005/64/EC of the European Parliament and of the Council26; 
 
(5) ‘recyclability’ means the potential for recycling of component parts or materials diverted from an end-of-life vehicle as defined by 
Article 4, point 14 of Directive 2005/64/EC; 
 
(6) ‘recoverability’ means the potential for recovery of component parts or materials diverted from an end-of-life vehicle as defined by Article 4, point 15 of 
Directive 2005/64/EC; 
 
(7) ‘recycling efficiency’ of a battery recycling process means the ratio obtained by dividing the mass of output fractions accounting for recycling by the mass 
of the waste batteries input fraction, expressed as a percentage;  
 
(8) ‘zero- and low-emission vehicle’ means a passenger car or a light commercial vehicle with tailpipe emissions from zero up to 50 g CO2/km, as defined by 
Article 3(1), point (m), of Regulation (EU) 2019/631 of the European Parliament and of the Council27; 
 
25 Regulation (EU) 2019/631 of the European Parliament and of the Council of 17 April 2019 setting CO2 emission performance standards for new passenger cars and for new light commercial vehicles, 
and repealing Regulations (EC) No 443/2009 and (EU) No 510/2011 (OJ L 111, 25.4.2019, p. 13). 
26 Directive 2005/64/EC of the European Parliament and of the Council of 26 October 2005 on the type-approval of motor vehicles with regard to their reusability, recyclability and recoverability and 
amending Council Directive 70/156/EEC (OJ L 310, 25.11.2005, p. 10). 
27 Regulation (EU) 2019/631 of the European Parliament and of the Council of 17 April 2019 setting CO2 emission performance standards for new passenger cars and for new light commercial 
vehicles, and repealing Regulations (EC) No 443/2009 and (EU) No 510/201 (OJ L 111, 25.4.2019, p. 13)

39 
 
 
(9) ‘vehicles belonging to categories M1 or N1’ means vehicle respectively pertaining to the Category M1 as set out in Article 4(1), point (a)(i), of Regulation 
(EU) 2018/858 of the European Parliament and of the Council28 and to the Category N1, as set out in Article 4(1), point (b)(i) of that Regulation.  
 
 
For the purposes of the indicators in Table 1, section on ‘Indicators applicable to the assets financed by residential loans’ in this Annex, the relevant formulas 
set out in the second subparagraph of Annex I to Commission Delegated Regulation (EU) 2022/1288 shall apply. 
 
 
 
 
 
 
28 Regulation (EU) 2018/858 of the European Parliament and of the Council of 30 May 2018 on the approval and market surveillance of motor vehicles and their trailers, and of systems, components 
and separate technical units intended for such vehicles, amending Regulations (EC) No 715/2007 and (EC) No 595/2009 and repealing Directive 2007/46/EC (OJ L 151, 14.6.2018, p. 1).

Table 1 
Statement on principal adverse impacts on sustainability factors of the assets financed by the underlying exposures of the 
securitisation 
Originators of the Securitisation [Name and LEI] 
Summary  
 
[Name and LEI] considers principal adverse impacts on sustainability factors of the assets financed by the underlying exposures of the securitisation [ securitisation 
unique identifier], that are described in the present statement.   
The ISIN codes of each of the tranches and / or bonds in the securitisation are the following [insert ISIN codes]. 
This statement covers the reference period from [date] to [date]. 
For each asset type in the pool [auto loans; leases; residential loans], the total current principal balance of the underlying exposures is as follows [information 
referred to in point (e) of Article 2(2)]. 
[Summary referred to in Article 2(2)]. 
Explanation of how principal adverse impacts on sustainability factors of the assets financed by the underlying exposures of the securitisation are 
considered in the selection of underlying exposures to be added to the pool at the time of offering or during the lifetime of the securitisation 
[Information referred to in Article 2(3)]. 
 
Description of principal adverse impacts on sustainability factors of the assets financed by the underlying exposures of the securitisation 
[Information referred to in Article 2(5) in the format set out below]. 
 
CLIMATE AND OTHER ENVIRONMENT-RELATED INDICATORS 
 
Adverse 
sustainability 
indicator 
Metric 
Impact 
[reference 
period n] 
Impact [reference 
period n-1] 
Explanation 
Indicators applicable to the assets financed by residential loans 
Fossil fuels 
1. Exposure to fossil fuels 
through real   estate assets 
Share 
of 
underlying 
exposures secured by 
real 
estate 
assets

41 
 
involved 
in 
the 
extraction, 
storage, 
transport, 
or 
manufacture of fossil 
fuels. 
Energy 
efficiency 
2. Exposure 
to 
energy-
inefficient  real 
estate 
assets 
Share 
of 
underlying 
exposures secured by 
energy-inefficient 
real 
estate assets. 
 
 
 
Indicators applicable to the assets financed by auto loans and leases 
Emissions 
3. Exposure to vehicles that 
do 
not 
comply 
with 
relevant 
emission 
thresholds.  
Share 
of 
underlying 
exposures secured by 
vehicles belonging to 
categories M1 or N1 with 
specific emissions of 
CO2 that are: (i) until 31 
December 2025, equal 
to or higher than 50 g 
CO2/km 
(zero-and-low 
emission vehicles), and 
(ii) from 1 January 2026, 
higher than zero. 
 
 
 
Pollution  
4.Exposure to vehicles which 
fail to meet air pollution 
thresholds and standards. 
Share 
of 
underlying 
exposures secured by 
vehicles non-compliant 
with the requirements of 
the 
most 
recent 
applicable stage of the 
Euro 6 emission limits 
set out in accordance 
with Regulation (EC) No

42 
 
715/2007 
of 
the 
European 
Parliament 
and of the Council (29) 
and with the emission 
thresholds 
for 
clean 
light-duty vehicles set 
out in Table 2 of the 
Annex 
to 
Directive 
2009/33/EC (30). 
Low recyclability   
5. Exposure to vehicles 
with a low recyclability 
ratio 
Share of underlying 
exposures secured by 
vehicles belonging to 
categories M1 or N1 
which are not: 
(a) reusable or 
recyclable to a 
minimum of 85 % by 
weight;  
(b) 
reusable 
or 
recoverable 
to 
a 
minimum of 95 % by 
weight.  
 
 
 
Other indicators for principal adverse impacts on sustainability factors 
[Information on the principal adverse impacts on sustainability factors referred to in Article 2(5)(b) in the format in Table 2] 
[Information on the principal adverse impacts on sustainability factors referred to in Article 2(5)(c) in the format in Table 3]  
[Information on any other indicator included in Table 1 ‘Statement on principal adverse impacts of investment decisions on sustainability factors’ of Annex I to 
Commission Delegated Regulation (EU) 2022/1288 in the format set out in that Table or any other indicator used to identify and assess additional principal 
 
 
29 Regulation (EC) No 715/2007 of the European Parliament and of the Council of 20 June 2007 on type approval of motor vehicles with respect to emissions from light passenger and commercial 
vehicles (Euro 5 and Euro 6) and on access to vehicle repair and maintenance information, OJ L 171, 29.6.2007, p. 1 
30 Directive 2009/33/EC of the European Parliament and of the Council of 23 April 2009 on the promotion of clean and energy-efficient road transport vehicles (OJ L 120, 15.5.2009, p. 5).

43 
 
adverse impacts on a sustainability factor referred to in Article 2(5)(d). For the purpose of this row, where any other indicator of Table 1 of Annex I to the 
Commission Delegated Regulation (EU) 2022/1288 is used, the relevant definitions and formulas included in that Annex shall apply, except that any selected 
indicator shall be intended as applicable to assets financed by underlying exposures of residential loans or to assets financed by the auto loans and leases.] 
 
Historical comparison 
 
[Information referred to in the third subparagraph of Article 2(5)] 
 
Table 2 
Additional climate and other environment-related indicators 
 
Adverse 
sustainability impact  
Adverse impact on 
sustainability factors 
(Qualitative or 
quantitative) 
Metric 
 
Indicators applicable to assets financed by residential loans 
 
Information on one or more of the indicators included in Table 2 ‘Additional climate and other environment-related indicators’ of Annex I to Commission Delegated 
Regulation (EU) 2022/1288 in the format set out in that Table. For the purpose of this row, the relevant definitions and formulas included in that Annex shall apply, 
except that any selected indicator shall be intended as applicable to assets financed by underlying exposures of residential loans. 
 
Indicators applicable to assets financed by the auto loans and leases 
 
Water, waste and 
material emissions 
6. Electric vehicles batteries 
recycling efficiency 
Share of underlying exposures secured by electric vehicles whose lithium-ion batteries are at 
a rate of recycling lower than: (i) 65% until 31 December  2025 and (ii) 70% until 31 December 
2030. 
or 
Share of underlying exposures secured by electric vehicles whose lead-acid batteries are at 
a rate of recycling lower than: (i) 75% until 31 December  2025 (ii) 80% until 31 December 
2030

44 
 
Emissions 
7. Exposure to vehicles with CO2 
emissions in excess of the EU 
fleet-wide targets 
Share of underlying exposures secured by vehicles belonging to categories M1 or N1, with 
higher specific emissions of CO2 than the fleet-wide CO2 emissions targets.

45 
 
Table 3 
Additional indicators for social and employee, respect for human rights, anti-corruption and anti-bribery matters 
 
Adverse 
sustainability 
impact 
Adverse impact on sustainability factors  
(Qualitative or quantitative) 
Metric 
 
Indicators applicable to assets financed by the residential loans, auto loans and leases 
 
Where available, information on one or more of the indicators included in Table 3, on ‘Additional indicators for social and employee, respect for human rights, 
anti-corruption and anti-bribery matters’ of Annex I to Commission Delegated Regulation (EU) 2022/1288 in the format in that Table. For the purpose of this 
table, the relevant definitions and formulas included in that Annex shall apply, except that any selected indicator shall be intended as applicable to the 
companies that manufactured the vehicles securing the underlying exposures in the pool.