Document ID: 02020R1226-20220815
Language: ENG

02020R1226 — EN — 15.08.2022 — 001.001
This text is meant purely as a documentation tool and has no legal effect. The Union's institutions do not assume any liability for its contents. The authentic versions of the relevant acts, including their preambles, are those published in the Official Journal of the European Union and available in EUR-Lex. Those official texts are directly accessible through the links embedded in this document
<table><col/><col/><tr><td><p><a>&#9658;B</a></p></td><td><p>                        COMMISSION DELEGATED REGULATION (EU) 2020/1226</p><p>of 12 November 2019</p><p>supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council and laying down regulatory technical standards specifying the information to be provided in accordance with the STS notification requirements</p><p><a>(Text with EEA relevance)</a></p><p>(OJ L 289 3.9.2020, p. 285)</p></td></tr></table>
Amended by:
<table><col/><col/><col/><col/><col/><tr><td><p>&#160;</p></td><td><p>&#160;</p></td><td><p>Official Journal</p></td></tr><tr><td><p>&#160;&#160;No</p></td><td><p>page</p></td><td><p>date</p></td></tr><tr><td><p><a>&#9658;M1</a></p></td><td><p><a>                              COMMISSION DELEGATED REGULATION (EU) 2022/1301&#160;of 31&#160;March 2022</a></p></td><td><p>&#160;&#160;L&#160;197</p></td><td><p>10</p></td><td><p>26.7.2022</p></td></tr></table>
COMMISSION DELEGATED REGULATION (EU) 2020/1226
of 12 November 2019
supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council and laying down regulatory technical standards specifying the information to be provided in accordance with the STS notification requirements
(Text with EEA relevance)
Article 1
Information to be included in the STS notification
1. The information to be included in the STS notification pursuant to Article 27 of Regulation (EU) 2017/2402 shall be the following:
(a) where the securitisation is a non-ABCP securitisation, the information specified in Annex I to this Regulation;
(b) where the securitisation is an ABCP securitisation, the information specified in Annex II to this Regulation;
(c) for an ABCP programme, the information specified in Annex III to this Regulation;
(d) where the securitisation is an on-balance-sheet synthetic securitisation, the information specified in Annex IV to this Regulation.
2. For securitisations where no prospectus must be drawn up pursuant to Regulation (EU) 2017/1129, the information to be included in the STS notification pursuant to paragraph 1 shall be accompanied by the following:
(a) where the securitisation is a non-ABCP securitisation, the information specified in fields STSS9 and STSS10 of Annex I to this Regulation;
(b) where the securitisation is an ABCP securitisation, the information specified in fields STSAT9 and STSAT10 of Annex II to this Regulation;
(c) for an ABCP programme, the information specified in field STSAP9 of Annex III to this Regulation;
(d) where the securitisation is an on-balance-sheet synthetic securitisation, the information specified in fields STSSY2, STSSY10, STSSY12 and STSSY13 of Annex IV to this Regulation.
For the purposes of the third subparagraph of Article 27(1) of Regulation (EU) 2017/2402, the publication of the STS notification for those securitisations shall be limited to the information referred to in this paragraph.
Article 2
Additional Information
Where the following documents include information relevant to the STS notification, a reference to the relevant parts of those documents may be provided in the additional information column in Annexes I, II, III or IV to this Regulation and, where such information is provided, that documentation shall be clearly identified:
(a) a prospectus drawn up pursuant to Regulation (EU) 2017/1129;
(b) any other underlying documentation referred to in Article 7(1)(b) of Regulation (EU) 2017/2402;
(c) any other document with information relevant to the STS notification, including, for on-balance-sheet synthetic securitisations, documents related to any originator, any investor, the credit protection agreement, the third-party verification agent referred to in Article 26e(4) of Regulation (EU) 2017/2402, and, where available, the documentation supporting the credit linked notes referred to in Article 26e(10), fifth subparagraph, of Regulation (EU) 2017/2402.
Article 3
Entry into force
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.
ANNEX I
Information to be submitted to ESMA pursuant to Articles 19 to 22 of Regulation (EU) 2017/2402 regarding non-ABCP securitisations
General information
<table><col/><col/><col/><col/><col/><tbody><tr><td><p>Field number</p></td><td><p>Article of Regulation (EU) 2017/2402</p></td><td><p>FIELD NAME</p></td><td><p>CONTENT TO BE REPORTED&#160;<a>(<span>1</span>)</a></p></td><td><p>ADDITIONAL INFORMATION</p></td></tr><tr><td><p>STSS0</p></td><td><p>Article 27(1)</p></td><td><p>First contact point</p></td><td><p>Legal Entity Identifier (LEI) of the entity designated as the first contact point and name of the relevant competent authority</p></td><td><p>Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.&#160;<a>(<span>2</span>)</a></p></td></tr><tr><td><p>STSS1</p></td><td><p>N/A</p></td><td><p>Instrument identification code</p></td><td><p>Where available, the international security identification code (ISIN) or codes. If no ISIN is available, then any other unique securities code assigned to this securitisation.</p></td><td><p>Where available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.</p></td></tr><tr><td><p>STSS2</p></td><td><p>N/A</p></td><td><p>Legal Entity Identifier (LEI)</p></td><td><p>The LEI of the originator(s) and sponsor(s) and, where available, original lender(s).</p></td><td><p>Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS3</p></td><td><p>N/A</p></td><td><p>Notification identifier</p></td><td><p>Where reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification.</p></td><td><p>N/A</p></td></tr><tr><td><p><a>&#9660;M1</a></p></td></tr><tr><td><p>STSS4</p></td><td><p>N/A</p></td><td><p>Unique identifier</p></td><td><p>The unique identifier assigned by the reporting entity in accordance with Article&#160;11(1) of Commission Delegated Regulation (EU) 2020/1224&#160;<a>(<span>3</span>)</a>.</p><p>Where more than one STS notification is notified using this unique securitisation identifier, a statement explaining why this is the case.</p></td><td><p>N/A</p></td></tr><tr><td><p><a>&#9660;B</a></p></td></tr><tr><td><p>STSS5</p></td><td><p>N/A</p></td><td><p>Prospectus identifier</p></td><td><p>Where available, the prospectus identifier as provided by the relevant competent authority.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS6</p></td><td><p>N/A</p></td><td><p>Securitisation Repository</p></td><td><p>Where available, the name of the registered securitisation repository.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS7</p></td><td><p>N/A</p></td><td><p>Securitisation name</p></td><td><p>The securitisation name.</p></td><td><p>Section 4 of Annex 9 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS8</p></td><td><p>Article 18 and 27(3)</p></td><td><p>Country of establishment</p></td><td><p>Where available, the country of establishment of the originator(s), sponsor(s), SSPE(s) and original lender(s).</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS9</p></td><td><p>N/A</p></td><td><p>Securitisation classification</p></td><td><p>The type of securitisation:</p><div><p>&#8212;&#160;non-ABCP securitisation;</p></div><div><p>&#8212;&#160;ABCP securitisation;</p></div><div><p>&#8212;&#160;ABCP programme.</p></div></td><td><p>N/A</p></td></tr><tr><td><p>STSS10</p></td><td><p>N/A</p></td><td><p>Underlying exposures classification</p></td><td><p>The type of underlying exposures including:</p><p>1)&#160;&#160;residential loans that are either secured by one or more mortgages on residential immovable property or that are fully guaranteed by an eligible protection provider among those referred to in Article 201(1) of Regulation (EU) No 575/2013 and qualifying for the credit quality step 2 or above as set out in Part Three, Title II, Chapter 2 of that Regulation;;</p><p>2)&#160;&#160;commercial loans that are secured by one or more mortgages on commercial immovable property, including offices or other commercial premises;</p><p>3)&#160;&#160;credit facilities provided to individuals for personal, family or household consumption purposes;</p><p>4)&#160;&#160;credit facilities, including loans and leases, provided to any type of enterprise or corporation;</p><p>5)&#160;&#160;auto loans/leases;</p><p>6)&#160;&#160;credit card receivables;</p><p>7)&#160;&#160;trade receivables;</p><p>8)&#160;&#160;other underlying exposures that are considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters;</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS11</p></td><td><p>N/A</p></td><td><p>Issue date</p></td><td><p>Where a prospectus is drawn up in compliance with Regulation (EU) 2017/1129&#160;<a>(<span>4</span>)</a>, the date on which the prospectus was approved.</p><p>In all other cases, the closing date of the most recent transaction.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS12</p></td><td><p>N/A</p></td><td><p>Notification date</p></td><td><p>The date of notification to ESMA.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS13</p></td><td><p>Article 27(2)</p></td><td><p>Authorised Third party</p></td><td><p>Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, a statement that compliance with the STS criteria was confirmed by that authorised third party firm.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS14</p></td><td><p>Article 27(2)</p></td><td><p>Authorised Third party</p></td><td><p>Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the name of the third party&#8217;s name and the country of establishment.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS15</p></td><td><p>Article 27(2)</p></td><td><p>Authorised Third party</p></td><td><p>Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the name of the competent authority that has authorised it.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS16</p></td><td><p>Article 27(5)</p></td><td><p>STS status</p></td><td><p>A reasoned notification by the originator and sponsor that the securitisation is no longer to be considered as STS.</p></td><td><p>N/A</p></td></tr><tr><td><p><a>&#9660;M1</a></p></td></tr><tr><td><p>STSS17</p></td><td><p>Article&#160;27(3)</p></td><td><p>Originator (or original lender) is a credit institution</p></td><td><p>A &#8216;Yes&#8217; or &#8216;No&#8217; statement as to whether the originator or original lender is a credit institution, or an investment firm established in the Union.</p></td><td><p>N/A</p></td></tr><tr><td><p><a>&#9660;B</a></p></td></tr><tr><td><p>STSS18</p></td><td><p>Article 27(3)</p></td><td><p>Confirmation of credit-granting criteria</p></td><td><p>Where the answer to field STSS17 is &#8216;No&#8217;, confirmation that the originator&#8217;s or original lender&#8217;s credit-granting criteria, processes and systems in place are executed in accordance with Article 9 of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS19</p></td><td><p>Article 27(3)</p></td><td><p>Confirmation that the credit granting is subject to supervision</p></td><td><p>Where the answer to field STSS17 is &#8216;No&#8217;, confirmation that the credit-granting as referred to in Article 27(3)(a) of Regulation (EU) 2017/2402 is subject to supervision.</p></td><td><p>N/A</p></td></tr><tr><td><div><a>(<span>1</span>)&#160;&#160;&#160;</a><p>Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.</p></div><div><a>(<span>2</span>)&#160;&#160;&#160;</a><p>Commission Delegated Regulation (EU) 2019/980 of 14 March 2019 supplementing Regulation (EU) 2017/1129 of the European Parliament and of the Council as regards the format, content, scrutiny and approval of the prospectus to be published when securities are offered to the public or admitted to trading on a regulated market, and repealing Commission Regulation (EC) No 809/2004 (OJ L 166, 21.6.2019, p. 26).</p></div><div><a>(<span>3</span>)&#160;&#160;&#160;</a><p>Commission Delegated Regulation (EU) 2020/1224 of 16&#160;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&#160;L&#160;289, 3.9.2020, p.&#160;1).</p></div><div><a>(<span>4</span>)&#160;&#160;&#160;</a><p>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/EC (OJ L 168, 30.6.2017, p. 12).</p></div></td></tr></tbody></table>
Specific information
<table><col/><col/><col/><col/><col/><col/><col/><col/><tbody><tr><td><p>Field number</p></td><td><p>Article of Regulation (EU) 2017/2402</p></td><td><p>FIELD NAME</p></td><td><p>Confirmation</p></td><td><p>Concise explanation</p></td><td><p>Detailed explanation</p></td><td><p>CONTENT TO BE REPORTED&#160;<a>(<span>1</span>)</a></p></td><td><p>ADDITIONAL INFORMATION</p></td></tr><tr><td><p>STSS20</p></td><td><p>Article 20(1)</p></td><td><p>Transfer of the underlying exposures by true sale or assignment</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of how the transfer of the underlying exposures is made by means of true sale or transfer with the same legal effect in a manner that is enforceable against the seller or any third party.</p></td><td><p>Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p><a>&#9660;M1</a></p></td></tr><tr><td><p>STSS21</p></td><td><p>Article&#160;20(2)</p></td><td><p>Subject to severe clawback</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on whether any of the severe clawback provisions referred to in Article&#160;20(2), points (a) or (b), of Regulation (EU) 2017/2402 are found in the securitisation.</p></td><td><p>Item 3.3 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS22</p></td><td><p>Article&#160;20(3)</p></td><td><p>Exemption for clawback provisions in national insolvency laws</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation of whether the clawback provisions referred to in Article&#160;20(3) of Regulation (EU) 2017/2402 apply.</p></td><td><p>Item 3.3 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p><a>&#9660;B</a></p></td></tr><tr><td><p>STSS23</p></td><td><p>Article 20(4)</p></td><td><p>Transfer where the seller is not the original lender</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Where the seller is not the original lender, a statement confirming that the securitisation complies with Article 20(1) to 20(3) of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS24</p></td><td><p>Article 20(5)</p></td><td><p>Transfer performed by means of an assignment and perfected at a later stage</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the transfer of the underlying exposures is performed by means of an assignment and perfected at a later stage than at the closing of the securitisation, a concise explanation on how and whether that perfection is effected at least through the required minimum pre-determined event triggers as listed in Article 20(5) of Regulation (EU) 2017/2402.</p><p>Where alternative mechanisms of transfer are used, a confirmation that an insolvency of the originator would not prejudice or prevent the SSPE from enforcing its rights.</p></td><td><p>Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS25</p></td><td><p>Article 20(6)</p></td><td><p>Representations and warranties</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on how and whether there are representations and warranties provided by the seller that the underlying exposures included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the true sale or assignment or transfer with the same legal effect.</p></td><td><p>Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS26</p></td><td><p>Article 20(7)</p></td><td><p>Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on how:</p><div><p>&#8212;&#160;the underlying exposures transferred from, or assigned by, the seller to the SSPE meet predetermined, clear and documented eligibility criteria which do not allow for active portfolio management of those exposures on a discretionary basis;</p></div><div><p>&#8212;&#160;the selection and transfer of the underlying exposures in the securitisation is based on clear processes which facilitate the identification of which exposures are selected for or transferred into the securitisation and that they do not allow for their active portfolio management on a discretionary basis.</p></div></td><td><p>Section 2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS27</p></td><td><p>Article 20(8)</p></td><td><p>Homogeneity of assets</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation as to the homogeneity of the pool of underlying exposures backing the securitisation. For that purpose, include a reference to the EBA RTS on homogeneity (Commission Delegated Regulation (EU) 2019/1851)&#160;<a>(<span>2</span>)</a>, and explain in detail how each of the conditions specified in the Article 1 of that Delegated Regulation are met.</p></td><td><p>Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS28</p></td><td><p>Article 20(9)</p></td><td><p>Underlying Exposure Obligations: no re securitisation</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a re-securitisation.</p></td><td><p>Item 2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS29</p></td><td><p>Article 20(10)</p></td><td><p>Soundness of the underwriting standard</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation:</p><div><p>&#8212;&#160;as to whether the underlying exposures were originated in the lender&#8217;s ordinary course of business and whether the applied underwriting standards were no less stringent that those applied at the same time of origination to exposures that were not securitised.</p></div><div><p>&#8212;&#160;as to whether the underwriting standards and any material changes from prior underwriting standards have been or will be fully disclosed to potential investors without undue delay.</p></div><div><p>&#8212;&#160;on how securitisations where the underlying exposures are residential loans, the pool of underlying exposures meet the requirement of the second paragraph of Article 20(10) of Regulation (EU) 2017/2402.</p></div><div><p>&#8212;&#160;as to whether an assessment of the borrower&#8217;s creditworthiness meets the requirements set out in Article 8 of Directive 2008/48/EC&#160;<a>(<span>3</span>)</a> or paragraphs 1 to 4, point (a) of paragraph 5, and paragraph 6 of Article 18 of Directive 2014/17/EU&#160;<a>(<span>4</span>)</a> or, where applicable, equivalent requirements in third countries.</p></div></td><td><p>Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS30</p></td><td><p>Article 20(10)</p></td><td><p>Originator/Lender Expertise</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation as to whether the originator or original lender have expertise in originating exposures of a similar nature to those securitised.</p></td><td><p>Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS31</p></td><td><p>Article 20(11)</p></td><td><p>Transferred underlying exposures without exposures in default</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanations as to whether:</p><div><p>&#8212;&#160;the transferred underlying exposures do not include, at the time of selection, defaulted exposures (or restructured exposures) as defined in Article 20(11) of Regulation (EU) 2017/2402.</p></div><div><p>&#8212;&#160;the requirements referred to in Article 20(11)(a)(i) and (ii) of Regulation (EU) 2017/2402 are met.</p></div><div><p>&#8212;&#160;the requirements referred to in Article 20(11)(b) of Regulation (EU) 2017/2402 are met;</p></div><div><p>&#8212;&#160;the requirements referred to in Article 20(11)(c) of Regulation (EU) 2017/2402 are met.</p></div></td><td><p>Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS32</p></td><td><p>Article 20(12)</p></td><td><p>At least one payment at the time of transfer</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation whether, at the time of transfer of the exposures, the debtors have made at least one payment.</p><p>A confirmation whether or not the exemption under Article 20(12) of Regulation (EU) 2017/2402 applies.</p></td><td><p>Items 3.3 and 3.4.6 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS33</p></td><td><p>Article 20(13)</p></td><td><p>Repayment of the holders shall not have been structured to depend predominantly on the sale of assets.</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of the degree of dependence of the repayments of the holders of the securitisation position on the sale of assets securing the underlying exposures.</p></td><td><p>Item 3.4.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS34</p></td><td><p>Article 21(1)</p></td><td><p>Compliance with risk retention requirements</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation as to how the originator, sponsor or original lender of a non-ABCP securitisation comply with the risk retention requirement as provided for in Article 6 of Regulation (EU) 2017/2402.</p><p>An indication which entity retains the material net economic interest and which option is used for retaining the risk:</p><p>(1)&#160;&#160;vertical slice in accordance with Article 6(3)(a) of Regulation (EU) 2017/2402;</p><p>(2)&#160;&#160;seller&#8217;s share in accordance with Article 6(3)(b) of Regulation (EU) 2017/2402;</p><p>(3)&#160;&#160;randomly-selected exposures kept on balance sheet, in accordance with Article 6(3)(c) of Regulation (EU) 2017/2402;</p><p>(4)&#160;&#160;first loss tranche in accordance with Article 6(3)(d) of Regulation (EU) 2017/2402;</p><p>(5)&#160;&#160;first loss exposure in each asset in accordance with Article 6(3)(e) of Regulation (EU) 2017/2402;</p><p>(6)&#160;&#160;no compliance with risk retention requirements set out in Article 6(3) of Regulation (EU) 2017/2402;</p><p>(7)&#160;&#160;other options used.</p></td><td><p>Item 3.1 of Annex 9 and Item 3.4.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS35</p></td><td><p>Article 21(2)</p></td><td><p>Mitigation of Interest rates (IR) and currency risks (FX) Risks</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation as to whether the interest rates and currency risks are appropriately mitigated and that measures are taken to mitigate such risks and confirm that such measures are available to investors.</p></td><td><p>Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS36</p></td><td><p>Article 21(2)</p></td><td><p>Derivatives Purchased/Sold by SSPE</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise declaration that the SSPE has not entered into derivative contracts except in the circumstances referred to in Articles 21(2) of Regulation (EU) 2017/2402.</p></td><td><p>Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS37</p></td><td><p>Article 21(2)</p></td><td><p>Derivatives using common standards</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on whether any hedging instruments used are underwritten and documented according to commonly accepted standards.</p></td><td><p>Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS38</p></td><td><p>Article 21(3)</p></td><td><p>Referenced interest payments based on generally used interest rates</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on whether and how any referenced interest payments under the securitisation assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds.</p></td><td><p>Item 2.2.2 and 2.2.13 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS39</p></td><td><p>Article 21(4)</p></td><td><p>No trapping of cash following enforcement or an acceleration notice</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A declaration in general terms that each of the requirements of Article 21(4) of Regulation (EU) 2017/2402 are met.</p></td><td><p>Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS40</p></td><td><p>Article 21(4)</p></td><td><p>(a) No amount of cash shall be trapped</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that no cash would be trapped following the delivery of enforcement or an acceleration notice.</p></td><td><p>Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS41</p></td><td><p>Article 21(4)</p></td><td><p>(b) principal receipts shall be passed to investors</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that principal receipts from the underlying exposures are passed to the investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position.</p></td><td><p>Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS42</p></td><td><p>Article 21(4)</p></td><td><p>(c) repayment shall not be reversed with regard to seniority</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the repayment of the securitisation positions is not to be reversed with regard to their seniority.</p></td><td><p>Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS43</p></td><td><p>Article 21(4)</p></td><td><p>(d) no provisions shall require automatic liquidation of the underlying exposures at market value</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that no provisions require automatic liquidation of the underlying exposures at market value.</p></td><td><p>Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS44</p></td><td><p>Article 21(5)</p></td><td><p>Securitisations featuring non-sequential priority of payments</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that transaction featuring non-sequential priority of payments include triggers relating to the performance of the underlying exposures resulting in the priority of payment reverting to sequential payments in order of seniority.</p><p>Confirmation that such triggers include at least the deterioration in the credit quality of the underlying exposures below a predetermined threshold.</p></td><td><p>Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS45</p></td><td><p>Article 21(6)</p></td><td><p>Revolving securitisation with early amortisation events for termination of revolving period based on prescribed triggers</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation, where applicable, on how the provisions in Art 21(6)(a) of Regulation (EU) 2017/2402 are reflected in the transaction documentation.</p></td><td><p>Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS46</p></td><td><p>Article 21(6)(a)</p></td><td><p>(a) deterioration in the credit quality of the underlying exposures</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation where applicable, on how the provisions in Art 21(6)(a) of Regulation (EU) 2017/2402 are reflected in the transaction documentation.</p></td><td><p>Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS47</p></td><td><p>Article 21(6)(b)</p></td><td><p>(b) occurrence of an insolvency-related event of the originator or servicer</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation, where applicable, on how the provisions or triggers in Art 21(6)(b) of Regulation (EU) 2017/2402 are reflected in the transaction documentation.</p></td><td><p>Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS48</p></td><td><p>Article 21(6)(c)</p></td><td><p>(c) value of the underlying exposures held by the SSPE falls below a pre-determined threshold</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation, where applicable, on how the provisions or triggers in Art 21(6)(c) of Regulation (EU) 2017/2402 are reflected in the transaction documentation, using cross-references to the relevant sections of the underlying documentation where the information can be found</p></td><td><p>Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS49</p></td><td><p>Article 21(6)(d)</p></td><td><p>(d) a failure to generate sufficient new underlying exposures meeting pre-determined credit quality (trigger for termination of the revolving period)</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation, where applicable, on how the provisions in Art 21(6)(d) of Regulation (EU) 2017/2402 are reflected in the transaction documentation.</p></td><td><p>Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS50</p></td><td><p>Article 21(7)(a)</p></td><td><p>(a) Information regarding contractual obligations of the servicer, trustee and other ancillary service providers</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the transaction documentation specifies all of the requirements under Article 21(7)(a) of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS51</p></td><td><p>Article 21(7)(b)</p></td><td><p>(b) Servicing Continuity Provisions</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the securitisation documentation expressly satisfies the requirements of Article 21(7)(b) of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS52</p></td><td><p>Article 21(7)(c)</p></td><td><p>(c) Derivative Counterparties Continuity Provisions</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the transaction documentation satisfies all of the information referred to in Article 21(7)(c) of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS53</p></td><td><p>Article 21(7)(c)</p></td><td><p>(c) Liquidity providers and account bank continuity provisions</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the transaction documentation satisfies all of the information under Article 21(7 (c) of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS54</p></td><td><p>Article 21(8)</p></td><td><p>Required expertise from the servicer and policies and adequate procedures and risk management controls in place</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation on how the requirements of Article 21(8) are met. As part of the explanation, include references to any policies and procedures intended to ensure compliance with these requirements.</p></td><td><p>Item 3.4.6 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS55</p></td><td><p>Article 21(9)</p></td><td><p>Clear and consistent definitions relating to the treatment of problem loans</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the underlying documentation sets out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set out in Article 21(9) of Regulation (EU) 2017/2402.</p></td><td><p>Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS56</p></td><td><p>Article 21(9)</p></td><td><p>Priorities of payment and triggers events</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the securitisation documentation sets out the priorities of payment and trigger events pursuant to Articles 21(9) of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.4.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS57</p></td><td><p>Article 21(10)</p></td><td><p>Timely resolution of conflicts between classes of investors &amp; responsibilities of trustee</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the provisions under Article 21(10) of Regulation (EU) 2017/2402 relating to the timely resolutions of conflicts are met.</p></td><td><p>Items 3.4.7 and 3.4.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS58</p></td><td><p>Articles 22(1)</p></td><td><p>Historical Default and Loss Performance Data</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the data required to be made available under Article 22(1) of Regulation (EU) 2017/2402 is available, stating clearly where the information can be found.</p></td><td><p>Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSS59</p></td><td><p>Article 22(2)</p></td><td><p>Sample of the underlying exposures subject to external verifications</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that a sample of the underlying exposures was subject to external verification prior to the issuance of the securities by an appropriate and independent party.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS60</p></td><td><p>Article 22(3)</p></td><td><p>Availability of a liability cash flow model to potential investors</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that a liability cash flow model is available to potential investors prior to pricing and state clearly where this information is available. After pricing, confirmation that such information has been made available to potential investors upon request.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS61</p></td><td><p>Article 22(4)</p></td><td><p>Publication on environmental performance of underlying exposures consisting of residential loans or car loans or leases</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on whether the information related to the environmental performance of the assets financed by residential loans, or auto loans or leases is available pursuant to Article 7(1)(a) of Regulation (EU) 2017/2402 and a statement where that information is to be found.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS62</p></td><td><p>Article 22(5)</p></td><td><p>Originator and sponsor responsible for compliance with Article 7</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that:</p><div><p>&#8212;&#160;the originator and the sponsor are complying with Article 7 of Regulation (EU) 2017/2402;</p></div><div><p>&#8212;&#160;the information required by Article 7(1)(a) has been made available to potential investors before pricing upon request;</p></div><div><p>&#8212;&#160;the information required by Article 7(1)(b) to (d) has been made available before pricing at least in draft or initial form.</p></div></td><td><p>N/A</p></td></tr><tr><td><div><a>(<span>1</span>)&#160;&#160;&#160;</a><p>Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.</p></div><div><a>(<span>2</span>)&#160;&#160;&#160;</a><p>Commission Delegated Regulation (EU) 2019/1851 of 28 May 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards on the homogeneity of the underlying exposures in securitisation (OJ L 280, 6.11.2019, p. 1).</p></div><div><a>(<span>3</span>)&#160;&#160;&#160;</a><p>Directive 2008/48/EC of the European Parliament and of the Council of 23 April 2008 on credit agreements for consumers and repealing Council Directive 87/102/EEC (OJ L 133, 22.5.2008, p. 66).</p></div><div><a>(<span>4</span>)&#160;&#160;&#160;</a><p>Directive 2014/17/EU of the European Parliament and of the Council of 4 February 2014 on credit agreements for consumers relating to residential immovable property and amending Directives 2008/48/EC and 2013/36/EU and Regulation (EU) No 1093/2010 (OJ L 60, 28.2.2014, p. 34).</p></div></td></tr></tbody></table>
ANNEX II
Information to be submitted to ESMA pursuant to Article 24 of Regulation (EU) 2017/2402 regarding ABCP securitisations
General information
<table><col/><col/><col/><col/><col/><tbody><tr><td><p>Field number</p></td><td><p>Article of Regulation (EU) 2017/2402</p></td><td><p>FIELD NAME</p></td><td><p>CONTENT TO BE REPORTED&#160;<a>(<span>1</span>)</a></p></td><td><p>ADDITIONAL INFORMATION</p></td></tr><tr><td><p>STSAT0</p></td><td><p>Article 27(1)</p></td><td><p>First contact point</p></td><td><p>Legal Entity Identifier (LEI) of the entity designated as the first contact point and name of the relevant competent authority.</p></td><td><p>Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.</p></td></tr><tr><td><p>STSAT1</p></td><td><p>N/A</p></td><td><p>Instrument identification code</p></td><td><p>Where available, the international security identification code (ISIN) or codes. Where no ISIN, then any other unique securities code, assigned to the ABCP securitisation.</p></td><td><p>Where available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT2</p></td><td><p>N/A</p></td><td><p>Legal Entity Identifier (LEI)</p></td><td><p>Where available, the LEI of the originator (s) and/or sponsor(s).</p></td><td><p>Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT3</p></td><td><p>N/A</p></td><td><p>Notification identifier</p></td><td><p>Where reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification.</p></td><td><p>N/A</p></td></tr><tr><td><p><a>&#9660;M1</a></p></td></tr><tr><td><p>STSAT4</p></td><td><p>N/A</p></td><td><p>Unique identifier</p></td><td><p>The unique identifier assigned by the reporting entity in accordance with Article&#160;11(1) of Delegated Regulation (EU) 2020/1224.</p><p>Where more than one STS notification is issued for this unique securitisation identifier, a statement explaining why this is the case.</p></td><td><p>N/A</p></td></tr><tr><td><p><a>&#9660;B</a></p></td></tr><tr><td><p>STSAT5</p></td><td><p>N/A</p></td><td><p>Prospectus identifier</p></td><td><p>Where available, the prospectus identifier as provided by the relevant competent authority.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAT6</p></td><td><p>N/A</p></td><td><p>Securitisation Repository</p></td><td><p>Where available, the name of the registered securitisation repository.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAT7</p></td><td><p>N/A</p></td><td><p>Securitisation name</p></td><td><p>Where available, the securitisation name or in the absence thereof, the code name and used name.</p></td><td><p>Section 4 of Annex 9 Commission Delegated Regulation (EU) 2019/980.</p></td></tr><tr><td><p>STSAT8</p></td><td><p>Article 18 and 27(3)</p></td><td><p>Country of establishment</p></td><td><p>Where available, the country of establishment of the originator (s), sponsor(s) and SSPE(s).</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAT9</p></td><td><p>N/A</p></td><td><p>Securitisation classification</p></td><td><p>The type of securitisation:</p><div><p>&#8212;&#160;non-ABCP;</p></div><div><p>&#8212;&#160;ABCP;</p></div><div><p>&#8212;&#160;ABCP programme.</p></div></td><td><p>N/A</p></td></tr><tr><td><p>STSAT10</p></td><td><p>N/A</p></td><td><p>Underlying exposures classification</p></td><td><p>The type of underlying exposures including:</p><p>1.&#160;&#160;residential loans that are either secured by one or more mortgages on residential immovable property or that are fully guaranteed by an eligible protection provider among those referred to in Article 201(1) of Regulation (EU) No 575/2013 and qualifying for the credit quality step 2 or above as set out in Part Three, Title II, Chapter 2 of that Regulation;;</p><p>2.&#160;&#160;commercial loans that are secured by one or more mortgages on commercial immovable property, including offices or other commercial premises;;</p><p>3.&#160;&#160;credit facilities provided to individuals for personal, family or household consumption purposes;</p><p>4.&#160;&#160;credit facilities, including loans and leases, provided to any type of enterprise or corporation;</p><p>5.&#160;&#160;auto loans/leases;</p><p>6.&#160;&#160;credit card receivables;</p><p>7.&#160;&#160;trade receivables;</p><p>8.&#160;&#160;other underlying exposures that are considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters..</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAT11</p></td><td><p>N/A</p></td><td><p>Issue date</p></td><td><p>Where a prospectus is drawn up in compliance with Regulation (EU) 2017/1129, the date on which the prospectus was approved.</p><p>If not, the issuance date of the ABCP securitisation.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAT12</p></td><td><p>N/A</p></td><td><p>Notification date</p></td><td><p>The date of notification to ESMA.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAT13</p></td><td><p>Article 27(2)</p></td><td><p>Authorised Third party</p></td><td><p>If an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, a statement that compliance with the STS criteria was confirmed by that authorised third party firm.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAT14</p></td><td><p>Article 27(2)</p></td><td><p>Authorised Third party</p></td><td><p>If an authorised third-party has provided STS verification services in accordance with Article 27(2) of the Regulation (EU) 2017/2402, the third party&#8217;s name and its country of establishment.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAT15</p></td><td><p>Article 27(2)</p></td><td><p>Authorised Third party</p></td><td><p>If an authorised third-party has provided STS verification services in accordance with Article 27(2) of the Securitisation Regulation, the name of the competent authority that has authorised it.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAT16</p></td><td><p>Article 27(5)</p></td><td><p>STS status</p></td><td><p>Whether the originator and/or sponsor has notified that the ABCP securitisation is no longer to be considered as STS and the reasons for such notification.</p></td><td><p>N/A</p></td></tr><tr><td><p><a>&#9660;M1</a></p></td></tr><tr><td><p>STSAT17</p></td><td><p>Article&#160;27(3)</p></td><td><p>Originator (or original lender) is a credit institution</p></td><td><p>A &#8216;Yes&#8217; or &#8216;No&#8217; statement as to whether the originator or original lender is a credit institution, or an investment firm established in the Union.</p></td><td><p>N/A</p></td></tr><tr><td><p><a>&#9660;B</a></p></td></tr><tr><td><p>STSAT18</p></td><td><p>Article 27(3)</p></td><td><p>Confirmation of credit-granting criteria</p></td><td><p>Where the answer to field STSS17 is &#8216;No&#8217;, confirmation that the originator&#8217;s or original lender&#8217;s credit-granting criteria, processes and systems in place are executed in accordance with Article 9 of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAT19</p></td><td><p>Article 27(3)</p></td><td><p>Confirmation that the credit granting is subject to supervision</p></td><td><p>Where the answer to field STSS17 is &#8216;No&#8217;, confirmation that the credit-granting as referred to in Article 27(3)(a) of Regulation (EU) 2017/2402 is subject to supervision.</p></td><td><p>N/A</p></td></tr><tr><td><div><a>(<span>1</span>)&#160;&#160;&#160;</a><p>Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.</p></div></td></tr></tbody></table>
Specific information
<table><col/><col/><col/><col/><col/><col/><col/><col/><tbody><tr><td><p>Field number</p></td><td><p>Article of Regulation (EU) 2017/2402</p></td><td><p>FIELD NAME</p></td><td><p>Confirmation</p></td><td><p>Concise explanation</p></td><td><p>Detailed explanation</p></td><td><p>CONTENT TO BE REPORTED&#160;<a>(<span>1</span>)</a></p></td><td><p>ADDITIONAL INFORMATION</p></td></tr><tr><td><p>STSAT20</p></td><td><p>Article 24(1)</p></td><td><p>Underlying exposures acquired by true sale</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of how the transfer of the underlying exposures is made by means of true sale or transfer with the same legal effect in a manner that is enforceable against the seller or any third party.</p></td><td><p>Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p><a>&#9660;M1</a></p></td></tr><tr><td><p>STSAT21</p></td><td><p>Article&#160;24(2)</p></td><td><p>Subject to severe clawback</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on whether any of the severe clawback provisions referred to in Article&#160;24(2), points (a) or (b), of Regulation (EU) 2017/2402 are found in the securitisation.</p></td><td><p>Item 3.3 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT22</p></td><td><p>Article&#160;24(3)</p></td><td><p>Exemption for clawback provisions in national insolvency laws</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation of whether the clawback provisions referred to in Article&#160;24(3) of Regulation (EU) 2017/2402 apply.</p></td><td><p>Item 3.3 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p><a>&#9660;B</a></p></td></tr><tr><td><p>STSAT23</p></td><td><p>Article 24(4)</p></td><td><p>Transfer where the seller is not the original lender</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Where the seller is not the original lender, a statement confirming that the securitisation complies with Articles 24(1) to 24(3) of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT24</p></td><td><p>Article 24(5)</p></td><td><p>Transfer performed by means of an assignment and perfected at a later stage.</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the transfer of the underlying exposures is performed by means of an assignment and perfected at a later stage than at the closing of the securitisation, provide a concise explanation on how and whether that perfection is effected at least through the required minimum pre-determined event triggers as listed in Article 24(5) of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT25</p></td><td><p>Article 24(6)</p></td><td><p>Representations and warranties</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on whether there are representations and warranties provided by the seller that the assets included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the true sale or assignment or transfer with the same legal effect.</p></td><td><p>Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT26</p></td><td><p>Article 24(7)</p></td><td><p>Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation whether:</p><div><p>&#8212;&#160;the underlying exposures transferred from, or assigned by, the seller to the SSPE meet predetermined, clear and documented eligibility criteria which do not allow for active portfolio management of those exposures on a discretionary basis;</p></div><div><p>&#8212;&#160;the selection and transfer of the underlying exposures in the securitisation is based on clear processes which facilitate the identification of which exposures are selected for or transferred into the securitisation and that they do not allow for their active portfolio management on a discretionary basis..</p></div></td><td><p>Section 2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT27</p></td><td><p>Article 24(8)</p></td><td><p>No re-securitisation</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a re-securitisation.</p></td><td><p>Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT28</p></td><td><p>Article 24(9)</p></td><td><p>Transferred underlying exposures without defaulted exposures</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation how the transferred underlying exposures do not include, at the time of selection, defaulted exposures or restructured exposures as set out in Article 24(9) of the Regulation (EU) 2017/2402, as applicable. Where appropriate, a clear statement whether the securitisation contains any credit-impairedness at the time of securitisation as specified in Article 24(9)(a)(i) of Regulation (EU) 2017/2402.</p><p>Confirmation that:</p><div><p>&#8212;&#160;at the time of origination, the requirements referred to in Article 24(9)(b) of Regulation (EU) 2017/2402 are met;</p></div><div><p>&#8212;&#160;at the time of selection, the requirements referred to in Article 24(9)(c) of Regulation (EU) 2017/2402 are met.</p></div></td><td><p>Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT29</p></td><td><p>Article 24(10)</p></td><td><p>At least one payment at the time of transfer</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation whether, at the time of transfer of the exposures, the debtors have made at least one payment.</p><p>Where no payment has been made, an explanation why this is the case, including a statement as to whether the reason is one of the exceptions permitted under Article 20(12) of Regulation (EU) 2017/2402 applies.</p></td><td><p>Items 3.3 and 3.4.6 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT30</p></td><td><p>Article 24(11)</p></td><td><p>Repayment of the holders shall not have been structured to depend predominantly on the sale of assets.</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of the degree of dependence of the repayments of the holders of the securitisation position on the sale of assets securing the underlying exposures. Where appropriate, a detailed explanation as to whether repayments of the investors are not considered to depend on the sale of assets, as specified under the second subparagraph of Article 24(11) of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.4.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT31</p></td><td><p>Article 24(12)</p></td><td><p>Mitigation of Interest rates (IR) and currency risks (FX) Risks</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation whether and how the interest rates and currency risks are appropriately mitigated and confirm that the measures to that effect are disclosed.</p><p>A concise explanation whether any hedging instruments used are underwritten and documented according to commonly accepted standards.</p></td><td><p>Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT32</p></td><td><p>Article 24(12)</p></td><td><p>Derivatives Purchased/Sold by SSPE</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Except for the purpose of hedging interest-rate or currency risk, a concise explanation whether the SSPE has not entered into derivative contracts</p></td><td><p>Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU2019/980</p></td></tr><tr><td><p>STSAT33</p></td><td><p>Article 24(12)</p></td><td><p>Derivatives in Underlying Exposures</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on the presence of any derivatives in the pool of underlying exposures.</p></td><td><p>Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT34</p></td><td><p>Article 24(12)</p></td><td><p>Derivatives using common standards</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation whether any derivatives permissible under Article 24(12) are underwritten and documented according to common standards in international finance.</p></td><td><p>Items 3.4.7 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT35</p></td><td><p>Article 24(13)</p></td><td><p>Clear and consistent definitions relating to the treatment of problem loans</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the underlying documentation sets out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set out in Article 24(13) of Regulation (EU) 2017/2402.</p></td><td><p>Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT36</p></td><td><p>Article 24(13)</p></td><td><p>Priorities of payment and triggers events</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the transaction documentation sets out the priorities of payment and triggers events pursuant to Article 24(13) of Regulation (EU) 2017/2402.</p></td><td><p>Items 3.4.7 and 3.4.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT37</p></td><td><p>Article 24(14)</p></td><td><p>Historical Default and Loss Performance Data</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the data required to be made available under Article 24(14) of Regulation (EU) 2017/2402 is available and a clear statement where the information is available to potential investors before pricing.</p><p>Where the sponsor does not have access to such data, confirmation that the seller has provided access to data as specified under Article 24(14) of Regulation (EU) 2017/2402.</p><p>Confirmation that the data are available and state clearly, where the information is available and that the data cover a period no shorter than five years except for trade receivables and other short-term receivables for which the historical period is no shorter than three years.</p></td><td><p>Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT38</p></td><td><p>Article 24(15)</p></td><td><p>Homogeneity of assets</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation how the securitisation is backed by a pool of underlying exposures that are homogenous, taking into account the characteristics relating to the cash flows of different asset types including their contractual, credit-risk and prepayment characteristics.</p></td><td><p>Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT39</p></td><td><p>Article 24(15)</p></td><td><p>Underlying Exposure Obligations</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the pool of underlying exposures has a remaining weighted average life of no more than one year and that none of the underlying exposures has a residual maturity of more than three years.</p><p>Confirmation whether the derogation regarding pools of auto loans, auto leases or equipment lease transactions applies, in accordance with the third paragraph of Article 24(15) of Regulation (EU) 2017/2402.</p></td><td><p>Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT40</p></td><td><p>Article 24(15)</p></td><td><p>Underlying Exposure Obligations</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation, where appropriate, that the underlying exposures:</p><div><p>&#8212;&#160;do not include loans secured by residential or commercial mortgages or fully guaranteed residential loans, as referred to in point (e) of the first subparagraph of Article 129(1) of Regulation (EU) No 575/2013&#160;<a>(<span>2</span>)</a>;</p></div><div><p>&#8212;&#160;contain obligations that are contractually binding and enforceable, with full recourse to debtors with defined payment streams relating to rental, principal, interest, or related to any other right to receive income from assets warranting such payments;</p></div><div><p>&#8212;&#160;does not include transferable securities as defined in point (44) of Article 4(1) of Directive 2014/65/EU&#160;<a>(<span>3</span>)</a> other than corporate bonds, that are not listed on a trading venue.</p></div></td><td><p>Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT41</p></td><td><p>Article 24(16)</p></td><td><p>Referenced interest payments based on generally used interest rates</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation whether and how any referenced interest payments under the ABCP securitisation&#8217;s assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds.</p></td><td><p>Item 2.2.2 and 2.2.13 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT42</p></td><td><p>Article 24(17)</p></td><td><p>No trapping of cash following enforcement or acceleration notice</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on whether each of the requirements of Article 24(17) of Regulation (EU) 2017/2402 are met, including a concise explanation of cases where cash may be trapped.</p></td><td><p>Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT43</p></td><td><p>Article 24(17)</p></td><td><p>(a) No trapping of cash following enforcement or acceleration</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that no cash would be trapped following an enforcement or an acceleration notice.</p></td><td><p>Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT44</p></td><td><p>Article 24(17)</p></td><td><p>(b) Principal receipts shall be passed to investors</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that principal receipts from the underlying exposures are passed to investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position.</p></td><td><p>Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT45</p></td><td><p>Article 24(17)</p></td><td><p>(c) No provisions shall require automatic liquidation of the underlying exposures at market value</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that not any provisions require automatic liquidation of the underlying exposures at market value.</p></td><td><p>Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT46</p></td><td><p>Article 24(18)</p></td><td><p>Soundness of the underwriting standards</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation as to whether the underlying exposures were originated in the seller&#8217;s ordinary course of business, specifying whether the underwriting standard are no less stringent that those applied to exposures that were not securitised.</p><p>A detailed explanation as to whether any material changes from prior underwriting standards have been disclosed to the sponsor and others parties directly exposed to the ABCP securitisation.</p></td><td><p>Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT47</p></td><td><p>Article 24(18)</p></td><td><p>Seller expertise</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation as to whether the seller has the required expertise in originating exposures of a similar nature to those securitised.</p></td><td><p>Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT48</p></td><td><p>Article 24(19)</p></td><td><p>Revolving ABCP securitisation/credit quality trigger.</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation how the provisions or triggers in Art 24(19) of Regulation (EU) 2017/2402 are included in the securitisation documentation.</p></td><td><p>Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT49</p></td><td><p>Article 24(20)</p></td><td><p>Securitisation Participant Duties</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the securitisation documentation includes the contractual obligations, duties and responsibilities of the sponsor, the servicer and the trustee, if any, and other ancillary service provider.</p></td><td><p>Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT50</p></td><td><p>Article 24(20)</p></td><td><p>Servicing Continuity Provisions</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the securitisation documentation includes the processes and responsibilities necessary to ensure that a default or insolvency of the servicer does not result in a termination of servicing.</p></td><td><p>Item 3.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT51</p></td><td><p>Article 24(20)</p></td><td><p>Derivative Counterparty and account bank continuity Provisions</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the securitisation documentation includes provisions that ensure the replacement of derivative counterparties and the account bank upon their default, insolvency and other specified events, where applicable.</p></td><td><p>Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAT52</p></td><td><p>Article 24(20)</p></td><td><p>Sponsor Robustness</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the securitisation documentation includes provisions on how the sponsor meets the requirements Article 25(3) of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><div><a>(<span>1</span>)&#160;&#160;&#160;</a><p>Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.</p></div><div><a>(<span>2</span>)&#160;&#160;&#160;</a><p>Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).</p></div><div><a>(<span>3</span>)&#160;&#160;&#160;</a><p>Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349).</p></div></td></tr></tbody></table>
ANNEX III
Information to be provided ESMA pursuant to Articles 25 and 26 of the Regulation (EU) 2017/2402 regarding ABCP programmes
General information
<table><col/><col/><col/><col/><col/><tbody><tr><td><p>Field number</p></td><td><p>Article of Regulation (EU) 2017/2402</p></td><td><p>FIELD NAME</p></td><td><p>CONTENT TO BE REPORTED&#160;<a>(<span>1</span>)</a></p></td><td><p>ADDITIONAL INFORMATION</p></td></tr><tr><td><p>STSAP0</p></td><td><p>Article 27(1)</p></td><td><p>First contact point</p></td><td><p>Legal Entity Identifier (LEI) of the entity designated as the first contact point and name of the relevant competent authority.</p></td><td><p>Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.</p></td></tr><tr><td><p>STSAP1</p></td><td><p>N/A</p></td><td><p>Instrument identification code</p></td><td><p>Where applicable, the international security identification codes (ISIN) assigned to the ABCP programmes.</p></td><td><p>Where available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.</p></td></tr><tr><td><p>STSAP2</p></td><td><p>N/A</p></td><td><p>Legal Entity Identifier (LEI)</p></td><td><p>Where available, the LEI of the sponsor (s) and/or ABCP programme(s).</p></td><td><p>Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAP3</p></td><td><p>N/A</p></td><td><p>Notification identifier</p></td><td><p>Where reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification.</p></td><td><p>N/A</p></td></tr><tr><td><p><a>&#9660;M1</a></p></td></tr><tr><td><p>STSAP4</p></td><td><p>N/A</p></td><td><p>Unique identifier</p></td><td><p>The unique identifier assigned by the reporting entity in accordance with Article&#160;11(1) of Delegated Regulation (EU) 2020/1224.</p><p>Where more than one STS notification is issued for this unique securitisation identifier, a statement explaining why this is the case.</p></td><td><p>N/A</p></td></tr><tr><td><p><a>&#9660;B</a></p></td></tr><tr><td><p>STSAP5</p></td><td><p>N/A</p></td><td><p>Prospectus identifier</p></td><td><p>Where available, the prospectus identifier as provided by the relevant competent authority.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP6</p></td><td><p>N/A</p></td><td><p>Securitisation Repository</p></td><td><p>Where available, the name of the registered securitisation repository.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP7</p></td><td><p>N/A</p></td><td><p>Securitisation name</p></td><td><p>The name of the ABCP programme</p></td><td><p>Section 4 of Annex 9 Commission Delegated Regulation (EU) 2019/980.</p></td></tr><tr><td><p>STSAP8</p></td><td><p>Article 18 and 27(3)</p></td><td><p>Country of establishment</p></td><td><p>The country of establishment of the sponsor(s).</p></td><td><p>Item 4.3 of Annex 9 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAP9</p></td><td><p>N/A</p></td><td><p>Securitisation classification</p></td><td><p>The type of securitisation (non-ABCP, ABCP, ABCP programme)</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP10</p></td><td><p>N/A</p></td><td><p>Issuance date</p></td><td><p>The date of the first issuance of the ABCP programme</p></td><td><p>Item 4 of Annex 9 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAP11</p></td><td><p>N/A</p></td><td><p>Notification date</p></td><td><p>The date of STS notification to ESMA</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP12</p></td><td><p>Article 27(2)</p></td><td><p>Authorised Third party</p></td><td><p>Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, a statement that compliance with the STS criteria was confirmed by that authorised third party firm.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP13</p></td><td><p>Article 27(2)</p></td><td><p>Authorised Third party</p></td><td><p>Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the third party&#8217;s name and the place of establishment.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP14</p></td><td><p>Article 27(2)</p></td><td><p>Authorised Third party</p></td><td><p>Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the name of the competent authority that has authorised it.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP15</p></td><td><p>Article 27(5)</p></td><td><p>STS status</p></td><td><p>Notification from the sponsor that the ABCP programme is no longer to be considered as STS and the reasons for this change.</p></td><td><p>N/A</p></td></tr><tr><td><div><a>(<span>1</span>)&#160;&#160;&#160;</a><p>Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.</p></div></td></tr></tbody></table>
Specific information
<table><col/><col/><col/><col/><col/><col/><col/><col/><tbody><tr><td><p>Field number</p></td><td><p>Article of Regulation (EU) 2017/2402</p></td><td><p>FIELD NAME</p></td><td><p>Confirmation</p></td><td><p>Concise explanation</p></td><td><p>Detailed explanation</p></td><td><p>CONTENT TO BE REPORTED&#160;<a>(<span>1</span>)</a></p></td><td><p>ADDITIONAL INFORMATION</p></td></tr><tr><td><p>STSAP16</p></td><td><p>Article 25(1)</p></td><td><p>Sponsor to be a supervised credit institution</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the sponsor of the programme is a supervised credit institution and link to a document attesting to such status.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP17</p></td><td><p>Article 25(2)</p></td><td><p>Sponsor support as liquidity facility provider</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the sponsor of the ABCP programme provides a liquidity facility and that it supports all securitisation positions on the ABCP programme, including a description of the liquidity facility and a link to any document evidencing such provision.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP18</p></td><td><p>Article 25(3)</p></td><td><p>Demonstration to credit institution&#8217;s Competent authority</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that in respect of its role as sponsor, the credit institution does not endanger its solvency and liquidity, and a link, where available, to the document supporting it has demonstrated this position to its competent authority.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP19</p></td><td><p>Article 25(4)</p></td><td><p>Compliance with sponsor&#8217;s due diligence requirements</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation the sponsor&#8217;s compliance with the due diligence requirements set out in Article 5(1) and (3) of Regulation (EU) 2017/2402, as applicable. Confirmation that the sponsor has verified that the seller has in place the required servicing capabilities and collection processes that meet the requirements specified in points (i) to (p) of Article 265(2) of Regulation (EU) No 575/2013 or equivalent requirements in third countries.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP20</p></td><td><p>Article 25(5)</p></td><td><p>The seller (at transaction level) or the sponsor (at the ABCP programme level) shall satisfy with the risk retention requirements as provided under Article 6</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation on how the seller (ABCP securitisation) and the sponsor (ABCP programme) comply with the risk retention requirements as specified under Article 6 of Regulation (EU) 2017/2402 specifying the option used for retaining the risk including:</p><p>(1)&#160;&#160;vertical slice &#8212; i.e. Article 6(3)(a) of Regulation (EU) 2017/2402;</p><p>(2)&#160;&#160;seller&#8217;s share &#8212; i.e. Article 6(3)(b) of Regulation (EU) 2017/2402;</p><p>(3)&#160;&#160;randomly-selected exposures kept on balance sheet &#8212; i.e. Article 6(3)(c) of Regulation (EU) 2017/2402;</p><p>(4)&#160;&#160;first loss tranche &#8212; i.e. Article 6(3)(d) of Regulation (EU) 2017/2402;</p><p>(5)&#160;&#160;first loss exposure in each asset &#8212; i.e. Article 6(3)(e) of Regulation (EU) 2017/2402;</p><p>(6)&#160;&#160;no compliance with risk retention requirements of Regulation (EU) 2017/2402;</p><p>(7)&#160;&#160;other.</p></td><td><p>Item 3.4.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSAP21</p></td><td><p>Article 25(6)</p></td><td><p>Compliance at ABCP programme level with Article 7 (transparency requirements)</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that:</p><div><p>&#8212;&#160;the sponsor is responsible for compliance with Article 7 of Regulation (EU) 2017/2402;</p></div><div><p>&#8212;&#160;the sponsor is complying with Article 7 at the ABCP programme level;</p></div><div><p>&#8212;&#160;the sponsor has made available to potential investors before pricing and upon their request: the aggregate information required by point (a) of the first subparagraph of Article 7(1) of Regulation (EU) 2017/2402, and the information required by points (b) to (e) of the first subparagraph of Article 7(1) of Regulation (EU) 2017/2402, at least in draft or initial form.</p></div></td><td><p>N/A</p></td></tr><tr><td><p>STSAP22</p></td><td><p>Article 25(7)</p></td><td><p>Drawn down of liquidity facility, where funding commitments of the liquidity facility are not renewed by the sponsor</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation from the sponsor as to whether the liquidity facility will be drawn down and the maturing securities are repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP23</p></td><td><p>Article 26(1)</p></td><td><p>Compliance of ABCP securitisations within an ABCP programme with Article 24(1) to (8) and (12) to (20)</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation whether all ABCP securitisations within the programme meet the following requirements:</p><div><p>&#8212;&#160;Article 24(1) to (8) of Regulation (EU) 2017/2402.</p></div><div><p>&#8212;&#160;Article 24(12) to (20) of Regulation (EU) 2017/2402.</p></div></td><td><p>N/A</p></td></tr><tr><td><p>STSAP24</p></td><td><p>Article 26(1) second and third paragraphs</p></td><td><p>Maximum of 5 % of the aggregate amount of the exposures underlying the ABCP may temporally be non-compliant with certain requirements</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation as to which, if any, of the requirements of Articles 24(9), (10) or (11) of Regulation (EU) 2017/2402 are temporarily not in compliance with and the percentage of the aggregate amount of the exposures underlying the ABCP securitisations it represents and why the programme has temporally breached those requirements. Confirmation that a sample of the underlying exposures is subject to regular external verification of compliance by an appropriate independent party.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP25</p></td><td><p>Article 26(2)</p></td><td><p>Remaining weighted average life (WAL) in the underlying exposures of an ABCP programme shall not be more than two years</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the remaining weighted average life of the underlying exposures of an ABCP programme are not more than two years.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP26</p></td><td><p>Article 26(3)</p></td><td><p>Fully supported ABCP programme (sponsor support)</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation whether or not the ABCP programme is fully supported by a sponsor in accordance with Article 25(2) of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP27</p></td><td><p>Article 26(4)</p></td><td><p>No re-securitisation and no credit enhancement establishing a second layer of tranching at the ABCP programme level</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the ABCP programme does not contain any re-securitisation and that the credit enhancement does not establish a second layer of tranching at the programme level.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP28</p></td><td><p>Article 26(5)</p></td><td><p>No call options</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the ABCP programme does not include call option or clauses with an effect of the securities&#8217; final maturity at the discretion of the seller, sponsor or SSPE.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP29</p></td><td><p>Article 26(6)</p></td><td><p>Interest rate and currency risks at ABCP programme appropriately mitigated and documented.</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation whether and how the interest rates and currency risks arising at ABCP programme level are appropriately mitigated as well as the measures used to mitigate such risks, including whether the SSPE enters into derivative contracts other than for the reasons set out by Article 26(6) of Regulation (EU) 2017/2402 and a description how those derivatives are underwritten and documented, in particular whether it is done according to on common standards in international finance.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP30</p></td><td><p>Article 26(7)(a)</p></td><td><p>Requirements for the ABCP programme documentation (responsibilities of the trustee to investors)</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the responsibilities of the trustee and other entities with fiduciary duties, if any to investors are specified in the ABCP programme&#8217;s documentation.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP31</p></td><td><p>Article 26(7)(b)</p></td><td><p>Requirements for the ABCP programme documentation (contractual obligations of the sponsor)</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the contractual obligations, duties and responsibilities of the sponsor, the trustee and other ancillary services providers, if any, are specified in the ABCP programme&#8217;s documentation.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP32</p></td><td><p>Article 26(7)(c)</p></td><td><p>Requirements for the ABCP programme documentation (process &amp; responsibilities in case of defaulted servicer)</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the ABCP programme&#8217;s documentation contains processes and responsibilities covering servicer default or insolvency to ensure servicing continuity.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP33</p></td><td><p>Article 26(7)(d)</p></td><td><p>Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank)</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the requirements under Article 26(7)(d) of the Regulation (EU) 2017/2402 are met regarding provisions for replacement of derivatives counterparties, and the account bank at ABCP programme level upon their default, insolvency and other specified events, where the liquidity facility does not cover such events.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP34</p></td><td><p>Article 26(7)(e)</p></td><td><p>Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment)</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the ABCP programme&#8217;s documentation contains procedures ensuring that upon specified events, defaults or insolvency of the sponsor, remedial step shall be provided for to achieve, as appropriate, collateralisation of the funding commitment or replacement of the liquidity facility provider.</p><p>A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the information relevant to the requirements set out in Article 26(7)(e) of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP35</p></td><td><p>Article 26(7)(f)</p></td><td><p>Requirements for the ABCP programme documentation (liquidity facility &amp; maturing securities to be repaid where the sponsor does not renew the funding commitment of the liquidity facility before its expiry)</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the ABCP programme&#8217;s documentation contains provisions ensuring that the liquidity facility shall be drawn down and the maturing securities shall be repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry.</p><p>A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the information relevant to the requirements set out in Article 26(7)(f) of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSAP36</p></td><td><p>Article 26(8)</p></td><td><p>Servicer expertise</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of how the requirements of Article 26(8) of Regulation (EU) 2017/2402 are met, including the policies and procedures ensuring compliance with these requirements</p><p>A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the applicable explanations to meet the requirements set out in Article 26(8) of Regulation (EU) 2017/2402 (as applicable) (&#8216;servicer expertise, policies, procedures, and risk management&#8217;).</p></td><td><p>Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.</p></td></tr><tr><td><div><a>(<span>1</span>)&#160;&#160;&#160;</a><p>Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.</p></div></td></tr></tbody></table>
ANNEX IV
Information to be submitted to ESMA pursuant to Articles 26b to 26e of Regulation (EU) 2017/2402 regarding on-balance-sheet securitisations
General information
<table><col/><col/><col/><col/><col/><tbody><tr><td><p>Field code</p></td><td><p>Article of Regulation (EU) 2017/2402</p></td><td><p>Field name</p></td><td><p>Content to be reported</p></td><td><p>Additional information</p></td></tr><tr><td><p>STSSY1</p></td><td><p>Article&#160;27(1), third subparagraph</p></td><td><p>First contact point</p></td><td><p>Legal Entity Identifier (LEI) of the entity designated as the first contact point and name of the relevant competent authority.</p></td><td><p>Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY2</p></td><td><p>N/A</p></td><td><p>Notification date</p></td><td><p>The date of notification to ESMA.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY3</p></td><td><p>N/A</p></td><td><p>Instrument identification code</p></td><td><p>Where available, the international security identification code (ISIN) or codes. If no ISIN is available, then any other unique securities code (including the credit linked notes), where available.</p></td><td><p>Where available under Item 3.1 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY4</p></td><td><p>N/A</p></td><td><p>Legal Entity Identifier (LEI)</p></td><td><p>The LEI of the originator(s) and sponsor(s) and, where available, original lender(s) and SSPE(s).</p></td><td><p>Item 4.2 of Annex 9 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY5</p></td><td><p>Article&#160;31(3)</p></td><td><p>Protection seller</p></td><td><p>The LEI, the name, the country of establishment of the initial protection seller(s) and the name of the competent authority.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY6</p></td><td><p>N/A</p></td><td><p>Notification identifier</p></td><td><p>Where reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY7</p></td><td><p>N/A</p></td><td><p>Unique identifier</p></td><td><p>The unique identifier assigned by the reporting entity in accordance with Article&#160;11(1) of Delegated Regulation (EU) 2020/1224</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY8</p></td><td><p>N/A</p></td><td><p>Securitisation Repository</p></td><td><p>If applicable, the name of the registered securitisation repository.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY9</p></td><td><p>Article&#160;18, second subparagraph, and Article&#160;27(3)</p></td><td><p>Country of establishment</p></td><td><p>The country of establishment of the originator(s), sponsor(s), original lender(s) and SSPE(s).</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY10</p></td><td><p>N/A</p></td><td><p>Synthetic securitisation classification</p></td><td><p>The type of synthetic securitisation:</p><div><p>&#8212;&#160;synthetic securitisation with funded credit protection;</p></div><div><p>&#8212;&#160;synthetic securitisation with unfunded credit protection.</p></div></td><td><p>N/A</p></td></tr><tr><td><p>STSSY11</p></td><td><p>N/A</p></td><td><p>Synthetic securitisation with unfunded credit protection</p></td><td><p>Name of the protection seller (government or supra national institution with a risk weight of 0&#160;%)</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY12</p></td><td><p>N/A</p></td><td><p>Credit Protection Agreement used</p></td><td><p>The type of credit protection agreement used:</p><div><p>&#8212;&#160;Credit derivatives;</p></div><div><p>&#8212;&#160;Financial guarantees</p></div></td><td><p>N/A</p></td></tr><tr><td><p>STSSY13</p></td><td><p>N/A</p></td><td><p>Underlying exposures classification</p></td><td><p>The type of underlying exposures including:</p><p>1)&#160;&#160;Trade finance exposures</p><p>2)&#160;&#160;Small and Medium Enterprise (SMEs) loans</p><p>3)&#160;&#160;Consumer lending</p><p>4)&#160;&#160;Large corporates loans</p><p>5)&#160;&#160;Mix of SMEs and large corporates loans</p><p>6)&#160;&#160;Commercial real estate exposures</p><p>7)&#160;&#160;Others.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY14</p></td><td><p>N/A</p></td><td><p>Issue date</p></td><td><p>The closing date of the transaction and, if different, the date at which the protection agreement comes into effect.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY15</p></td><td><p>Article&#160;27(2), second subparagraph</p></td><td><p>Authorised third party verifier &#8211; statement</p></td><td><p>Where an authorised third party has provided STS verification services in accordance with Article&#160;27(2) of Regulation (EU) 2017/2402, a statement that compliance with the STS criteria was confirmed by that authorised third party.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY16</p></td><td><p>Article&#160;27(2), second subparagraph</p></td><td><p>Authorised third party verifier &#8211; country of establishment</p></td><td><p>Where an authorised third party has provided STS verification services in accordance with Article&#160;27(2) of Regulation (EU) 2017/2402, the third party&#8217;s name and country of establishment.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY17</p></td><td><p>Article&#160;27(2), second subparagraph</p></td><td><p>Authorised third party verifier &#8211; competent authority</p></td><td><p>Where an authorised third party has provided STS verification services in accordance with Article&#160;27(2) of Regulation (EU) 2017/2402, the name of the competent authority that has authorised it.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY18</p></td><td><p>Article&#160;27(5)</p></td><td><p>STS status</p></td><td><p>If applicable, a reasoned notification by the originator that the synthetic securitisation is no longer to be considered as STS.</p></td><td><p>N/A</p></td></tr></tbody></table>
Specific information
<table><col/><col/><col/><col/><col/><col/><col/><col/><tbody><tr><td><p>Field code</p></td><td><p>Article of Regulation (EU) 2017/2402</p></td><td><p>Field name</p></td><td><p>Confirmation</p></td><td><p>Concise explanation</p></td><td><p>Detailed explanation</p></td><td><p>Content to be reported</p></td><td><p>Additional information</p></td></tr><tr><td><p>STSSY19</p></td><td><p>Article 26b(1), first subparagraph</p></td><td><p>The originator is a supervised entity in the Union</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the originator is an entity that is authorised or licenced in the Union.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY20</p></td><td><p>Article 26b(1), second subparagraph</p></td><td><p>Originator applying the purchased third party&#8217;s exposures policies</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the policies for credit, collection, debt workout and servicing which the originator applies to a third party&#8217;s exposures that the originator has purchased on its own account and then securitised, and which must not be less stringent than those that the originator applies to comparable exposures that have not been purchased.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY21</p></td><td><p>Article 26b(2)</p></td><td><p>Underlying exposures&#8217; origination</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the underlying exposures are originated as part of the core business activity of the originator.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY22</p></td><td><p>Article 26b(3) first subparagraph</p></td><td><p>Assets held on originator&#8217;s balance sheet at transaction closing</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that, at the closing of a transaction, the underlying exposures are held on the balance sheet of the originator or of an entity that belongs to the same group as the originator.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY23</p></td><td><p>Article 26b(3) second subparagraph</p></td><td><p>Group category</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>For the purposes of field STSSY22, a confirmation of which of the following two groups is the relevant one:</p><p>(a)&#160;&#160;a group of legal entities that is subject to prudential consolidation in accordance with Chapter 2 of the Title II of Part One of Regulation (EU) No&#160;575/2013;</p><p>(b)&#160;&#160;a group as defined in Article&#160;212(1), point (c), of Directive 2009/138/EC&#160;<a>(<span>1</span>)</a></p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY24</p></td><td><p>Article 26b(4)</p></td><td><p>No further hedging of originator&#8217;s exposure</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the originator does not hedge its exposure to the credit risk of the underlying exposures of the securitisation beyond the protection obtained through the credit protection agreement.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY25</p></td><td><p>Article 26b(5)</p></td><td><p>Credit protection agreement meeting Article&#160;249 of Regulation (EU) No&#160;575/2013</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the credit protection agreement complies with the credit risk mitigation rules laid down in Article&#160;249 of Regulation (EU) No&#160;575/2013.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY26</p></td><td><p>Article 26b(5)</p></td><td><p>Credit protection agreement meeting other credit mitigation rules</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where Article&#160;249 of Regulation (EU) No&#160;575/2013 is not applicable, a concise explanation that compliance with requirements that are no less stringent than the requirements set out in that Article is ensured.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY27</p></td><td><p>Article 26b(6), point (a)</p></td><td><p>Representations and warranties &#8211; Legal title to the underlying exposures</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of the originator&#8217;s representations and warranties that the originator or an entity of the group to which the originator belongs has full legal and valid title to the underlying exposures and their associated ancillary rights.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY28</p></td><td><p>Article 26b(6), point (b)</p></td><td><p>Representations and warranties &#8211; Originator keeps the credit risk of the underlying assets</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of the originator&#8217;s representations and warranties that, where the originator is a credit institution as defined in Article&#160;4(1), point (1), of Regulation (EU) No&#160;575/2013, or an insurance undertaking as defined in Article&#160;13, point (1), of Directive 2009/138/EC, the originator or an entity which is included in the scope of supervision on a consolidated basis keeps the credit risk of the underlying exposures on its balance sheet.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY29</p></td><td><p>Article 26b(6), point (c)</p></td><td><p>Representations and warranties &#8211; Exposure compliance with eligibility criteria</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of the originator&#8217;s representations and warranties that each underlying exposure complies, at the date it is included in the securitised portfolio, with the eligibility criteria and with all conditions, other than the occurrence of a credit event as referred to in Article&#160;26e(1) of Regulation (EU) 2017/2402, for a credit protection payment in accordance with the credit protection agreement contained within the securitisation documentation.</p></td><td><p>Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY30</p></td><td><p>Article 26b(6), point (d)</p></td><td><p>Representations and warranties &#8211; Legal and enforceable obligation to the obligor</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of the originator&#8217;s representations and warranties that, to the best of the originator&#8217;s knowledge, the contract for each underlying exposure contains a legal, valid, binding and enforceable obligation on the obligor to pay the sums of money specified in that contract.</p></td><td><p>Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY31</p></td><td><p>Article 26b(6), point (e)</p></td><td><p>Representations and warranties &#8211; Underwriting criteria</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of the originator&#8217;s representations and warranties that the underlying exposures comply with underwriting criteria that are no less stringent than the standard underwriting criteria that the originator applies to similar exposures that are not securitised.</p></td><td><p>Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY32</p></td><td><p>Article 26b(6), point (f)</p></td><td><p>Representations and warranties &#8211; No obligors in material breach or default</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of the originator&#8217;s representations and warranties that, to the best of the originator&#8217;s knowledge, none of the obligors are in material breach or default of any of their obligations in respect of an underlying exposure on the date on which that underlying exposure is included in the securitised portfolio exposures.</p></td><td><p>Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY33</p></td><td><p>Article 26b(6), point (g)</p></td><td><p>Representations and warranties &#8211; No false information in transaction documentation</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of the originator&#8217;s representations and warranties that, to the best of the originator&#8217;s knowledge, the transaction documentation does not contain any false information on the details of the underlying exposures.</p></td><td><p>Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY34</p></td><td><p>Article 26b(6), point (h)</p></td><td><p>Representations and warranties &#8211; Enforceability or collectability of the underlying exposures</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of the originator&#8217;s representations and warranties that at the closing of the transaction or when an underlying exposure is included in the securitised portfolio, the contract between the obligor and the original lender in relation to that underlying exposure has not been amended in such a way that the enforceability or collectability of that underlying exposure has been affected.</p></td><td><p>Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY35</p></td><td><p>Article 26b(7), first subparagraph</p></td><td><p>Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the underlying exposures meet predetermined, clear and documented eligibility criteria that do not allow for active portfolio management of those exposures on a discretionary basis.</p></td><td><p>Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY36</p></td><td><p>Article 26b(7), second subparagraph</p></td><td><p>Exemption to the prohibition of active portfolio management</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>For the purposes of field STSSY35, a concise explanation that the substitution of exposures that are in breach of representations or warranties or, where the securitisation includes a replenishment period, the addition of exposures that meet the defined replenishment conditions are not to be considered active portfolio management.</p></td><td><p>Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY37</p></td><td><p>Article 26b(7), third subparagraph</p></td><td><p>Exposure added after the closing date of the transaction meeting eligibility criteria</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that any exposure added after the closing date of the transaction meets eligibility criteria that are no less stringent than those applied in the initial selection of the underlying exposures.</p></td><td><p>Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 38</p></td><td><p>Article 26b(7), fourth subparagraph, point (a)</p></td><td><p>Fully repaid exposure</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the underlying exposures is to be removed from the transaction, a concise explanation that it has been fully repaid or matured otherwise.</p></td><td><p>Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 39</p></td><td><p>Article 26b(7),fourth subparagraph, point (b)</p></td><td><p>Underlying exposures disposed of</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the underlying exposure is to be removed from the transaction, a concise explanation that it has been disposed of during the ordinary course of the business of the originator, provided that such disposal does not constitute implicit support as referred to in Article&#160;250 of Regulation (EU) No&#160;575/2013.</p></td><td><p>Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 40</p></td><td><p>Article 26b(7), fourth subparagraph, point (c)</p></td><td><p>Not credit driven amendment</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the underlying exposure is to be removed from the transaction, a concise explanation that it is subject to an amendment that is not credit driven, such as refinancing or restructuring of debt, and which occurs during the ordinary course of servicing of that underlying exposure.</p></td><td><p>Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 41</p></td><td><p>Article 26b(7), fourth subparagraph, point (d)</p></td><td><p>Eligibility criteria not met</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the underlying exposure is to be removed from the transaction, a concise explanation that it did not meet the eligibility criteria at the time it was included in the transaction.</p></td><td><p>Section 2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 42</p></td><td><p>Article 26b(8), first subparagraph</p></td><td><p>Homogeneity of assets</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of how the securitisation is backed by a pool of underlying exposures that are homogeneous in terms of asset type. For that purpose, reference shall be made to Commission Delegated Regulation (EU) 2019/1851&#160;<a>(<span>2</span>)</a>.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 43</p></td><td><p>Article 26b(8), first subparagraph</p></td><td><p>Only one asset type</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of how the pool of underlying exposures comprises only one asset type.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 44</p></td><td><p>Article 26b(8), second subparagraph</p></td><td><p>Obligations that are contractually binding and enforceable</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the underlying exposures referred to in field STSSY42 contain obligations that are contractually binding and enforceable, with full recourse to debtors and, where applicable, guarantors.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 45</p></td><td><p>Article 26b(8), third subparagraph</p></td><td><p>Defined periodic payment</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation on how the underlying exposures referred to in field STSSY42 have defined periodic payment streams, the instalments of which may differ in their amounts, relating to rental, principal or interest payments, or to any other right to receive income from assets supporting such payments.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 46</p></td><td><p>Article 26b(8), third subparagraph</p></td><td><p>Proceeds from the sale of assets</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of whether and how the underlying exposures referred to in field STSSY42 may also generate proceeds from the sale of any financed or leased assets.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 47</p></td><td><p>Article 26b(8), fourth subparagraph</p></td><td><p>No transferable securities</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of how the underlying exposures do not include transferable securities, as defined in Article&#160;4(1), point (44), of Directive 2014/65/EU of the European Parliament and of the Council&#160;<a>(<span>3</span>)</a>, other than corporate bonds that are not listed on a trading venue.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 48</p></td><td><p>Article 26b(9)</p></td><td><p>No re -securitisation</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the underlying exposures do not include any securitisation positions.</p></td><td><p>Item 2.2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 49</p></td><td><p>Article 26b(10), first subparagraph</p></td><td><p>Underwriting standards disclosed to potential investors</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the underwriting standards pursuant to which the underlying exposures are originated and any material changes from prior underwriting standards are fully disclosed to potential investors without undue delay.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 50</p></td><td><p>Article 26b(10), first subparagraph</p></td><td><p>Full recourse to an obligor</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the underlying exposures are underwritten with full recourse to an obligor that is not an SSPE.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 51</p></td><td><p>Article 26b(10), first subparagraph</p></td><td><p>Underwriting standards &#8211; No third parties</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that no third parties are involved in the credit or underwriting decisions concerning the underlying exposures.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 52</p></td><td><p>Article 26b(10), second subparagraph</p></td><td><p>Underwriting standards &#8211; Residential loans</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>In the case of securitisations where the underlying exposures are residential loans, a confirmation that the pool of loans does not include any loan that was marketed and underwritten on the premise that the loan applicant, or, where applicable, intermediaries were made aware that the information provided, might not be verified by the lender.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 53</p></td><td><p>Article 26b(10), third subparagraph</p></td><td><p>Underwriting standards &#8211; Borrower assessment</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the assessment of the borrower&#8217;s creditworthiness meets the requirements set out in Article&#160;8 of Directive 2008/48/EC of the European Parliament and of the Council&#160;<a>(<span>4</span>)</a> or Article&#160;18(1) to (4), point (a), of Article&#160;18(5) and Article&#160;18(6), of Directive 2014/17/EU of the European Parliament and of the Council&#160;<a>(<span>5</span>)</a>, or where applicable, equivalent requirements in third countries.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 54</p></td><td><p>Article 26b(10), fourth subparagraph</p></td><td><p>Originator or original lender expertise</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that the originator or original lender have expertise in originating exposures of a similar nature to those securitised.</p></td><td><p>Item 2.2.7 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 55</p></td><td><p>Article 26b(11), point (a)</p></td><td><p>No exposures at default</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the underlying exposures do not include, at the time of selection, exposures in default within the meaning of Article&#160;178(1) of Regulation (EU) No&#160;575/2013, or exposures to a credit-impaired debtor or guarantor, who to the best of the originator&#8217;s or original lender&#8217;s knowledge have been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within 3 years prior to the date of the origination or has undergone a debt-restructuring process with regard to his non-performing exposures within 3 years prior to the date of the selection of the underlying exposures, except where (i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least 1 year prior to the date of the selection of the underlying exposures; or (ii) the information provided by the originator in accordance with Article&#160;7(1), first subparagraph, point (a) and point (e)(i), of Regulation (EU) 2017/2402 explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring and their performance since the date of the restructuring. In case any of those two exceptions apply, provide a concise explanation thereof.</p></td><td><p>Item 2.2.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 56</p></td><td><p>Article 26b(11), point (b)</p></td><td><p>No adverse credit history</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the underlying exposures do not include, at the time of selection, exposures in default within the meaning of Article&#160;178(1) of Regulation (EU) No&#160;575/2013, or exposures to a credit-impaired debtor or guarantor, who to the best of the originator&#8217;s or original lender&#8217;s knowledge, were, at the time of origination of the underlying exposure, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or the original lender;</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 57</p></td><td><p>Article 26b(11), point (c)</p></td><td><p>Risk of non-payment is not higher than for non-securitisation exposures</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Concise explanation that the underlying exposures do not include, at the time of selection, exposures in default within the meaning of Article&#160;178(1) of Regulation (EU) No&#160;575/2013, or exposures to a credit-impaired debtor or guarantor who to the best of the originator&#8217;s or original lender&#8217;s knowledge have a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 58</p></td><td><p>Article 26b(12)</p></td><td><p>At least one payment made at the time of inclusion of the underlying assets</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that debtors have, at the time of the inclusion of the underlying exposures, made at least one payment, except where:</p><p>(a)&#160;&#160;the securitisation is a revolving securitisation, backed by exposures payable in a single instalment or having a maturity of less than 1 year, including without limitation monthly payments on revolving credits; or</p><p>(b)&#160;&#160;the exposure represents the refinancing of an exposure that is already included in the transaction.</p><p>In case any of those two exceptions apply, please provide a concise explanation thereof.</p></td><td><p>Items 3.3 and&#160;3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 59</p></td><td><p>Article 26c(1)</p></td><td><p>Compliance with risk retention requirements</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of how the originator or original lender satisfy the risk retention requirements in accordance with Article&#160;6 of Regulation (EU) 2017/2402.</p></td><td><p>Item 3.1 of Annex 9 and Item 3.4.3 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 60</p></td><td><p>Article 26c(2), first subparagraph</p></td><td><p>Mitigation of interest rates and currency risks</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>Confirmation that:</p><p>(a)&#160;&#160;the interest rate and currency risks arising from a securitisation and their possible effects on the payments to the originator and the investors are described in the transaction documentation,</p><p>(b)&#160;&#160;those risks are appropriately mitigated and any measures taken to that effect is disclosed to investors.</p></td><td><p>Items 3.4.2 and&#160;3.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY61</p></td><td><p>Article 26c(2), first subparagraph</p></td><td><p>Credit protection collateral and credit protection payment denominated in same currency</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that any collateral securing the obligations of the investor under the credit protection agreement is denominated in the same currency in which the credit protection payment is denominated.</p></td><td><p>Items 3.4.2 and&#160;3.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 62</p></td><td><p>Article 26c(2), second subparagraph</p></td><td><p>SSPE&#8217;s liabilities equal or less than the SSPE&#8217;s income</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that, in the case of a securitisation using a SSPE, the amount of liabilities of the SSPE concerning the interest payments to the investors shall at each payment date be equal to or be less than the amount of the SSPE&#8217;s income from the originator and any collateral arrangements.</p></td><td><p>Items 3.4.2 and&#160;3.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 63</p></td><td><p>Article 26c(2), third subparagraph</p></td><td><p>No derivatives used except for hedging interest or currency risks</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the pool of underlying exposures does not include derivatives except for the purpose of hedging interest rate or currency risks of the underlying exposures.</p></td><td><p>Items 3.4.2 and&#160;3.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 64</p></td><td><p>Article 26c(2), third subparagraph</p></td><td><p>Using derivatives based on common standards</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that, in case the exception referred to in field number STSSY63 applies, any derivative used is underwritten and documented according to commonly accepted standards.</p></td><td><p>Items 3.4.2 and&#160;3.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 65</p></td><td><p>Article 26c(3), first and second subparagraph</p></td><td><p>Referenced interest payments based on generally used interest rates without complex formulae or derivatives</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation, in case of any referenced interest rate payments in relation to the transaction, on which of the following the referenced interest rate payments are based on:</p><p>(a)&#160;&#160;generally used market interest rates, or generally used sectoral rates reflective of the cost of funds and do not reference complex formulae or derivatives; or</p><p>(b)&#160;&#160;income generated by the collateral securing the obligations of the investor under the protection agreement.</p><p>A concise explanation that any referenced interest payments due under the underlying exposures is based on generally used market interest rates, or generally used sectoral rates reflective of the cost of funds which do not reference complex formulae or derivatives</p></td><td><p>Item 2.2.2 and&#160;2.2.13 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 66</p></td><td><p>Article 26c(4), first subparagraph</p></td><td><p>Enforcement event without prejudice for investor&#8217;s enforcement action</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the investor is permitted to take enforcement action following the occurrence of an enforcement event in respect of the originator.</p></td><td><p>Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 67</p></td><td><p>Article 26c(4), second subparagraph</p></td><td><p>Enforcement of the credit protection agreement- No amount of cash shall be trapped in the SSPE</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>In the case of a securitisation using a SSPE, where an enforcement or termination notice of the credit protection agreement is delivered, a concise explanation that no amount of cash is trapped in the SSPE beyond what is necessary to ensure the operational functioning of that SSPE, the payment of the protection payments for defaulted underlying exposures that are still being worked out at the time of the termination, or the orderly repayment of investors in accordance with the contractual terms of the securitisation.</p></td><td><p>Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 68</p></td><td><p>Article 26c(5), first subparagraph</p></td><td><p>Losses allocated in order of seniority</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that losses are allocated to the holders of a securitisation position in the order of seniority of the tranches, starting with the most junior tranche.</p></td><td><p>Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 69</p></td><td><p>Article 26c(5), second subparagraph</p></td><td><p>Sequential amortisation</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the sequential amortisation is applied to all tranches to determine the outstanding amount of the tranches at each payment date, starting from the most senior tranche.</p></td><td><p>Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 70</p></td><td><p>Article 26c(5), third subparagraph</p></td><td><p>Non-sequential priority of payments</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>By way of derogation from field STSSY 69, a concise explanation that transactions which feature non-sequential priority of payments include triggers related to the performance of the underlying exposures resulting in the priority of payments reverting the amortisation to sequential payments in order of seniority.</p></td><td><p>Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 71</p></td><td><p>Article 26c(5), third subparagraph, point (a)</p></td><td><p>Performance-related triggers</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>Detailed explanation of the mandatory performance-related trigger referred to in field STSSY70, which is either the increase in the cumulative amount of defaulted exposures or the increase in the cumulative losses greater than a given percentage of the outstanding amount of the underlying portfolio.</p></td><td><p>Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 72</p></td><td><p>Article 26c(5), third subparagraph, point (b)</p></td><td><p>Performance-related triggers</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>Detailed explanation of the additional backward-looking performance trigger referred to in field STSSY70.</p></td><td><p>Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 73</p></td><td><p>Article 26c(5), third subparagraph, point (c)</p></td><td><p>Performance-related triggers</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>Detailed explanation of forward-looking performance trigger referred to in field STSSY70.</p></td><td><p>Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 74</p></td><td><p>Article 26c(5) seventh subparagraph</p></td><td><p>Amount of collateral equal to the amount of tranches being amortised</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Concise explanation that, as tranches amortise, the amount of the collateral equal to the amount of the amortisation of those tranches is returned to the investors, provided the investors have collateralised those tranches.</p></td><td><p>Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 75</p></td><td><p>Article 26c(5), eighth subparagraph</p></td><td><p>Credit event occurred and amount of credit protection available at any payment date</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that, where a credit event as referred to in fields STSSY100 or STSSY101 has occurred in relation to underlying exposures and the debt workout for those exposures has not been completed, then the amount of credit protection remaining at any payment date is at least equivalent to the outstanding nominal amount of those underlying exposures, minus the amount of any interim payment made in relation to those underlying exposures.</p></td><td><p>Item 3.4.5 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 76</p></td><td><p>Article 26c(6), point (a)</p></td><td><p>Early amortisation provisions or triggers &#8211; Credit quality</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where a securitisation is a revolving securitisation, a concise explanation that the transaction documentation includes appropriate early amortisation provisions or triggers for termination of the revolving period in case of a deterioration in the credit quality of the underlying exposures to or below a predetermined threshold.</p></td><td><p>Items 2.3 and&#160;2.4 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 77</p></td><td><p>Article 26c(6), point (b)</p></td><td><p>Early amortisation provisions or triggers &#8211; Losses</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where a securitisation is a revolving securitisation, a concise explanation that the transaction documentation includes appropriate early amortisation provisions or triggers for termination of the revolving period in case of a rise in losses above a predetermined threshold;</p></td><td><p>Items 2.3 and&#160;2.4 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 78</p></td><td><p>Article 26c(6), point (c)</p></td><td><p>Early amortisation provisions or triggers &#8211; New exposures</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where a securitisation is a revolving securitisation, concise explanation that the transaction documentation includes appropriate early amortisation provisions or triggers for termination of the revolving period in case of a failure to generate sufficient new underlying exposures that meet the predetermined credit quality during a specified period.</p></td><td><p>Items 2.3 and&#160;2.4 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 79</p></td><td><p>Article 26c(7), point (a)</p></td><td><p>Contractual obligations, duties and responsibilities &#8211; Servicer</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the transaction documentation clearly specifies the contractual obligations, duties and responsibilities of the servicer.</p></td><td><p>Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 80</p></td><td><p>Article 26c(7), point (a)</p></td><td><p>Contractual obligations, duties and responsibilities &#8211; Trustee</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the transaction documentation clearly specifies the contractual obligations, duties and responsibilities of the trustee and other ancillary service providers, as applicable.</p></td><td><p>Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 81</p></td><td><p>Article 26c(7), point (a)</p></td><td><p>Contractual obligations, duties and responsibilities &#8211; Third-party verification agent</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the transaction documentation clearly specifies the contractual obligations, duties and responsibilities of the third-party verification agent referred to in field STSSY126.</p></td><td><p>Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 82</p></td><td><p>Article 26c(7), point (b)</p></td><td><p>Replacement of service providers in the event of their default or insolvency</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the transaction documentation clearly specifies the provisions that ensure the replacement of the servicer, trustee, other ancillary service providers or the third-party verification agent referred to in field STSSY126 in the event of default or insolvency of either of those service providers, where those service providers differ from the originator, in a manner that does not result in the termination of the provision of those services.</p></td><td><p>Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 83</p></td><td><p>Article 26c(7), point (c)</p></td><td><p>Servicing procedures</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the transaction documentation clearly specifies the servicing procedures that apply to the underlying exposures at the closing date of the transaction and thereafter and the circumstances under which those procedures may be modified.</p></td><td><p>Item 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 84</p></td><td><p>Article 26c(7), point (d)</p></td><td><p>Servicing standards</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the transaction documentation clearly specifies the servicing standards that the servicer is obliged to adhere to in servicing the underlying exposures during the entire life of the securitisation.</p></td><td><p>Item 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 85</p></td><td><p>Article 26c(8), first subparagraph</p></td><td><p>Required expertise from the servicer</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the servicer has expertise in servicing exposures of a similar nature to the securitised exposures.</p></td><td><p>Item 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 86</p></td><td><p>Article 26c(8), first subparagraph</p></td><td><p>Well documented and adequate policies, procedures and risk management controls in place</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the servicer has well-documented and adequate policies, procedures and risk-management controls relating to the servicing of exposures.</p></td><td><p>Item 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 87</p></td><td><p>Article 26c(8), second subparagraph</p></td><td><p>Servicing procedures at least as stringent as the ones applied to similar not securitised exposures</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the servicer applies servicing procedures to the underlying exposures that are at least as stringent as the ones applied by the originator to similar exposures that are not securitised.</p></td><td><p>Item 3.4.6 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 88</p></td><td><p>Article 26c(9)</p></td><td><p>Reference register in place</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of how the originator maintains an up-to-date reference register to identify the underlying exposures at all times.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 89</p></td><td><p>Article 26c(9)</p></td><td><p>Reference register &#8211; Content</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the reference register referred to in Field STSSY 88 identifies the reference obligors, the reference obligations from which the underlying exposures arise, and, for each underlying exposure, the nominal amount that is protected and that is outstanding.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 90</p></td><td><p>Article 26c(10)</p></td><td><p>Timely resolution of conflicts between different classes of investors</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the transaction documentation includes clear provisions that facilitate the timely resolution of conflicts between different classes of investors.</p></td><td><p>Items 3.4.7 and&#160;3.4.8 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 91</p></td><td><p>Article 26c(10)</p></td><td><p>SSPE &#8211; Voting rights clearly defined</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that in the case of a securitisation using a SSPE, voting rights are clearly defined and allocated to bondholders and the responsibilities of the trustee and other entities with fiduciary duties to investors are clearly identified.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 92</p></td><td><p>Article 26d(1)</p></td><td><p>Historical Default and Loss Performance Data</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that data on static and dynamic historical default and loss performance such as delinquency and default data (covering a period of at least 5 years) for substantially similar exposures to those being securitised, and the sources of those data and the basis for claiming similarity are made available to potential investors before pricing.</p></td><td><p>Item 2.2.2 of Annex 19 of Delegated Regulation (EU) 2019/980</p></td></tr><tr><td><p>STSSY 93</p></td><td><p>Article 26d(2)</p></td><td><p>Sample of the underlying exposures subject to external verification</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that a sample of the underlying exposures is subject to external verification prior to the closing of the transaction by an appropriate and independent party, including verification that the underlying exposures are eligible for credit protection under the credit protection agreement.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 94</p></td><td><p>Article 26d(3)</p></td><td><p>Availability of a liability cash flow model to potential investors</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that before the pricing of the securitisation, the originator makes available to potential investors a liability cash flow model which precisely represents the contractual relationship between the underlying exposures and the payments flowing between the originator, investors, other third parties and, where applicable, the SSPE, and that after pricing, that model is made available to investors on an ongoing basis and to potential investors upon request.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 95</p></td><td><p>Article 26d(4), first subparagraph</p></td><td><p>Publication on environmental performance of underlying exposures consisting of residential loans or auto loans or leases</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>In the case of a securitisation where the underlying exposures are residential loans or auto loans or leases and unless the exception in field STSSY 96 is applied, a concise explanation that the originator makes available information related to the environmental performance of the assets financed by the loans, as part of the information disclosed pursuant to Article&#160;7(1), first subparagraph, point (a), of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 96</p></td><td><p>Article 26d(4), second subparagraph</p></td><td><p>Derogation from the requirement to publish environmental performance of underlying exposures consisting of residential loans or car loans or leases</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>In case the originator decides to derogate from the requirement in field STSSY 95, a concise explanation that the originator publishes the available information related to the principal adverse impacts of the assets financed by the underlying exposures on sustainability factors.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY97</p></td><td><p>Article 26d(5)</p></td><td><p>Originator responsible for compliance with Article&#160;7 of Regulation (EU) 2017/2402</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the originator is responsible for compliance with Article&#160;7 of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 98</p></td><td><p>Article 26d(5)</p></td><td><p>Information on Article&#160;7(1)(a) of Regulation (EU) 2017/2402 available to potential investors</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the information required by Article&#160;7(1), first subparagraph, point (a), of Regulation (EU) 2017/2402 is made available to potential investors before pricing upon request.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 99</p></td><td><p>Article 26d(5)</p></td><td><p>Information on Article&#160;7(1), points (b), (c) and(d) of Regulation (EU) 2017/2402 available to potential investors at least in draft or initial form</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the information required by Article&#160;7(1), first subparagraph, points (b), (c) and (d), of Regulation (EU) 2017/2402 is made available before pricing at least in draft or initial form and then the final documentation is made available to investors at the latest 15 days after the closing of the transaction.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 100</p></td><td><p>Article 26e(1), first subparagraph, point (a)</p></td><td><p>Credit events and use of guarantees</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the transfer of risk is achieved by the use of guarantees, a concise explanation that the credit protection agreement covers at least the credit events referred to in Article&#160;215(1), point (a), of Regulation (EU) No&#160;575/2013.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 101</p></td><td><p>Article 26e(1), first subparagraph, point (b)</p></td><td><p>Credit events and use of credit derivatives</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the transfer of risk is achieved by the use of credit derivatives, a concise explanation that the credit agreement covers at least the credit events referred to in Article&#160;216(1), point (a), of Regulation (EU) No&#160;575/2013.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 102</p></td><td><p>Article 26e(1), second subparagraph</p></td><td><p>Credit protection agreement documented</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that all credit events are documented.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 103</p></td><td><p>Article 26e(1), third subparagraph</p></td><td><p>Forbearance measures do not preclude the triggering of eligible credit events</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the forbearance measures within the meaning of Article&#160;47b of Regulation (EU) No&#160;575/2013 that are applied to the underlying exposures do not preclude the triggering of eligible credit events.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 104</p></td><td><p>Article 26e(2), first subparagraph</p></td><td><p>Credit protection payment based on the actual realised loss and standard recovery policies and procedures</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that, following the occurrence of a credit event, the credit protection payment is calculated based on the actual realised loss suffered by the originator or the original lender, as worked out in accordance with their standard recovery policies and procedures for the relevant exposure types and recorded in their financial statements at the time the payment is made.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 105</p></td><td><p>Article 26e(2) first subparagraph</p></td><td><p>Credit protection payment payable within a specified period of time</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the final credit protection payment is payable within a specified period of time after the debt workout for the relevant underlying exposure where the debt workout has been completed before the scheduled legal maturity or early termination of the credit protection agreement.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 106</p></td><td><p>Article 26e(2), first subparagraph</p></td><td><p>Interim credit protection payment at the latest 6 months after a credit event</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>In cases where the debt workout of the losses for the relevant underlying exposure has not been completed by the end of the six-month period referred to in the second paragraph of Article&#160;26e(2) of Regulation (EU) 2017/2402, a concise explanation that an interim credit protection payment is made at the latest 6 months after the occurrence of a credit event as referred to in fields STSSY100 and STSSY101.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 107</p></td><td><p>Article 26e(2), second subparagraph, points (a) and (b)</p></td><td><p>Interim credit protection payment higher than the applicable expected loss amount</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the interim credit protection payment is at least the higher of the following:</p><p>(a)&#160;&#160;the expected loss amount that is equivalent to the impairment recorded by the originator in its financial statements in accordance with the applicable accounting framework at the time the interim payment is made on the assumption that the credit protection agreement does not exist and does not cover any losses; or,</p><p>(b)&#160;&#160;where applicable, the expected loss amount as determined in accordance with Chapter 3 of Title II of Part Three, of Regulation (EU) No&#160;575/2013.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 108</p></td><td><p>Article 26e(2), third subparagraph</p></td><td><p>Terms of the interim credit protection payment</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where an interim credit protection payment is made, a concise explanation that the final credit protection payment referred to in field STSSY106 is made in order to adjust the interim settlement of losses to the actual realised loss.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 109</p></td><td><p>Article 26e(2), fourth subparagraph</p></td><td><p>Method for calculation of interim and final credit protection payments</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the method for the calculation of interim and final credit protection payments is specified in the credit protection agreement.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 110</p></td><td><p>Article 26e(2), fifth subparagraph</p></td><td><p>Credit protection payment proportional to the share of the outstanding nominal amount</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the credit protection payment is proportional to the share of the outstanding nominal amount of the corresponding underlying exposure that is covered by the credit protection agreement.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 111</p></td><td><p>Article 26e(2), sixth subparagraph</p></td><td><p>Enforceability of the credit protection payment</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the right of the originator to receive the credit protection payment is enforceable.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 112</p></td><td><p>Article 26e(2), sixth subparagraph</p></td><td><p>Amount payable under the credit protection agreement by investors is set out in the credit protection agreement.</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the amounts payable by investors under the credit protection agreement are clearly set out in the credit protection agreement and limited.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 113</p></td><td><p>Article 26e(2), sixth subparagraph</p></td><td><p>Calculation of the amounts in all circumstances</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that it is possible to calculate the amounts payable by the investors under the credit protection agreement in all circumstances.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 114</p></td><td><p>Article 26e(2), sixth subparagraph</p></td><td><p>Investors payments circumstances set out under the credit protection agreement.</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the credit protection agreement clearly sets out the circumstances under which investors are required to make payments.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 115</p></td><td><p>Article 26e(2), sixth subparagraph</p></td><td><p>Third-party verification agent&#8217;s assessment of circumstances triggering investors payments</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the third-party verification agent referred to in field STSSY126 assesses whether the circumstances set out in the credit protection agreement under which investors are required to make payments have occurred.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 116</p></td><td><p>Article 26e(2), seventh subparagraph</p></td><td><p>Credit protection payment calculated at individual underlying exposure level.</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the amount of the credit protection payment is calculated at the level of the individual underlying exposure for which a credit event has occurred.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 117</p></td><td><p>Article 26e(3), first subparagraph</p></td><td><p>Specification of maximum extension period for the debt workout process</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the credit protection agreement specifies the maximum extension period that applies for the debt workout for the underlying exposures in relation to which a credit event as referred to in Article&#160;26e(1) of Regulation (EU) 2017/2402 has occurred, but where the debt workout has not been completed upon the scheduled legal maturity or early termination of the credit protection agreement.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 118</p></td><td><p>Article 26e(3), first paragraph</p></td><td><p>Extension period less than 2 years</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the extension period referred to in field STSSY 117 is no longer than 2 years.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 119</p></td><td><p>Article 26e(3), first paragraph</p></td><td><p>Final credit protection payment based on the originator&#8217;s final loss estimate</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the credit protection agreement provides that, by the end of the extension period referred to in field number STSSY 117, a final credit protection payment is made on the basis of the originator&#8217;s final loss estimate that is recorded by the originator in its financial statements at that time on the assumption that the credit protection agreement does not exist and does not cover any losses.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 120</p></td><td><p>Article 26e(3), second subparagraph</p></td><td><p>Termination of the credit protection agreement</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>In the event that the credit protection agreement is terminated, a concise explanation that the debt workout continues in respect of any outstanding credit events that occurred prior to that termination in the same way as that described in the first subparagraph of Article&#160;26e(3) of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 121</p></td><td><p>Article 26e(3), third subparagraph</p></td><td><p>Credit protection premiums contingent on the outstanding nominal amount</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the credit protection premiums to be paid under the credit protection agreement are structured as contingent on the outstanding nominal amount of the performing securitised exposures at the time of the payment and reflect the risk of the protected tranche.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 122</p></td><td><p>Article 26e(3), third subparagraph</p></td><td><p>Credit protection agreement not stipulating mechanisms that may avoid or reduce the actual allocation of losses to the investors</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that, for the purposes of field STSSY117, the credit protection agreement does not stipulate guaranteed premiums, upfront premium payments, rebate mechanisms or other mechanisms that may avoid or reduce the actual allocation of losses to the investors or return part of the paid premiums to the originator after the maturity of the transaction.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 123</p></td><td><p>Article 26e(3), fourth subparagraph</p></td><td><p>Derogation for upfront premium payments</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>By way of derogation from fields STSSY121 and STSSY122, where the guarantee scheme is specifically provided for in the national law of a Member State and benefits from a counter-guarantee of any of the entities listed in Article&#160;214(2), points (a) to (d), of Regulation (EU) No&#160;575/2013, a concise explanation that the upfront premium payments are allowed, provided State aid rules are complied with.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 124</p></td><td><p>Article 26e(3), fifth subparagraph</p></td><td><p>Description of the credit protection premium in the transaction documentation</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the transaction documentation describes how the credit protection premium and any note coupons, if any, are calculated in respect of each payment date over the entire life of the securitisation.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 125</p></td><td><p>Article 26e(3), sixth subparagraph</p></td><td><p>Enforceability of the investor rights</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the rights of the investors to receive credit protection premiums are enforceable.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 126</p></td><td><p>Article 26e(4), first subparagraph</p></td><td><p>Appointment of a third-party verification agent before the closing date of the transaction</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that, before the closing date of the transaction, the originator appoints a third-party verification agent.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 127</p></td><td><p>Article 26e(4), first subparagraph, point (a)</p></td><td><p>Third party verification agent check &#8211; Credit event notice specified in the terms of the credit protection agreement</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the third-party verification agent, referred to in field STSSY 126, verifies for each of the underlying exposures for which a credit event notice is given, that it is a credit event as specified in the terms of the credit protection agreement.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 128</p></td><td><p>Article 26e(4), first subparagraph, point (b)</p></td><td><p>Third party verification agent check &#8211; Underlying exposure included in the reference portfolio</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>For each of the underlying exposures for which a credit event notice is given, a confirmation that the third-party verification agent referred to in field STSSY 126 verifies that the underlying exposure was included in the reference portfolio at the time of the occurrence of the credit event concerned.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 129</p></td><td><p>Article 26e(4) first subparagraph, point (c)</p></td><td><p>Third party verification agent check &#8211; Eligible criteria met at the time of inclusion in the reference portfolio</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>For each of the underlying exposures for which a credit event notice is given, a confirmation that the third-party verification agent referred to in field STSSY126 verifies that the underlying exposure met the eligibility criteria at the time of its inclusion in the reference portfolio.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 130</p></td><td><p>Article 26e(4), first subparagraph, point (d)</p></td><td><p>Third party verification agent check &#8211; Compliance with the replenishment conditions</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>For each of the underlying exposures for which a credit event notice is given, a confirmation that the third-party verification agent referred to in field STSSY126 verifies that, where an underlying exposure has been added to the securitisation as a result of a replenishment, such a replenishment complied with the replenishment&#8211;conditions.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 131</p></td><td><p>Article 26e(4), first subparagraph, point (e)</p></td><td><p>Third party verification agent check &#8211; Losses consistent with originator&#8217;s profit and loss statement</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>For each of the underlying exposures for which a credit event notice is given, a confirmation that the third-party verification agent referred to in field STSSY126 verifies that the final loss amount is consistent with the losses recorded by the originator in its profit and loss statement.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 132</p></td><td><p>Article 26e(4), first subparagraph, point (f)</p></td><td><p>Third party verification agent check &#8211; Losses correctly allocated to investors</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>For each of the underlying exposures for which a credit event notice is given, a confirmation that the third-party verification agent referred to in field STSSY126 verifies that, at the time the final credit protection payment is made, the losses in relation to the underlying exposures have correctly been allocated to the investors.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 133</p></td><td><p>Article 26e(4), second subparagraph</p></td><td><p>Third-party verification agent independent from originators, investors and (where applicable) the SSPE</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the third-party verification agent referred to in field STSSY126 is independent from the originator and investors, and, where applicable, from the SSPE.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 134</p></td><td><p>Article 26e(4), second subparagraph</p></td><td><p>Appointment of the third-party verification agent by the closing date</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the third-party verification agent referred to in field STSSY126 has accepted the appointment as third-party verification agent by the closing date of the transaction.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 135</p></td><td><p>Article 26e(4), third subparagraph</p></td><td><p>Third-party verification agent&#8217;s check made on a sample basis</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the third-party verification agent referred to in field STSSY126 performs the verification on a sample basis instead of on the basis of each individual underlying exposure for which credit protection payment is sought.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 136</p></td><td><p>Article 26e(4), third subparagraph</p></td><td><p>Possibility for investors to require the third-party verification agent to check any underlying exposure</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of whether and how investors may request the verification of the eligibility of any particular underlying exposure where they are not satisfied with the sample-basis verification.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 137</p></td><td><p>Article 26e(4), fourth subparagraph</p></td><td><p>Possibility for the third-party verifier agent to have access to all relevant information</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the originator includes a commitment in the transaction documentation to provide the third-party verification agent referred to in field STSSY126 with all the information necessary to verify the requirements set out in points (a) to (f) of the first subparagraph of Article&#160;26e(4) of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS 138</p></td><td><p>Article 26e(5), first subparagraph, points (a) to (f)</p></td><td><p>Termination events</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the originator may not terminate a transaction prior to its scheduled maturity for any other reason than the events listed in Article&#160;26e(5), points (a) to (f), of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS 139</p></td><td><p>Article 26e(5), second subparagraph</p></td><td><p>Transaction documentation &#8211; Call rights</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the transaction documentation specifies that any of the call rights referred to in Article&#160;26e(5), first subparagraph, points (d) and (e), of Regulation (EU) 2017/2402 are included in the transaction concerned and how such call rights are structured.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS 140</p></td><td><p>Article 26e(5), third subparagraph</p></td><td><p>Transaction documentation &#8211; Time call not structured to avoid allocating losses to credit enhancements positions</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>For the purposes of Article&#160;26e(5), first subparagraph, point (d), of Regulation (EU) 2017/2402, a concise explanation that the time call is not structured to avoid allocating losses to credit enhancement positions or other positions held by investors and is not otherwise structured to provide credit enhancement.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS 141</p></td><td><p>Article 26e(5), fourth subparagraph</p></td><td><p>Time call</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where a time call is included in the transaction, a concise explanation that the requirements referred to in STSS139 and STSS 140 are fulfilled, including with a justification of the use of the time call and a plausible account showing that the reason to exercise the call is not a deterioration in the quality of the underlying assets.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS 142</p></td><td><p>Article 26e(5), fifth subparagraph</p></td><td><p>Funded credit protection &#8211; Collateral return to investors in order of the seniority of the tranches</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>In the case of funded credit protection, a concise explanation that, upon termination of the credit protection agreement, the collateral is returned to investors in order of the seniority of the tranches subject to the provisions of the relevant insolvency law, as applicable to the originator.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS 143</p></td><td><p>Article 26e(6)</p></td><td><p>Termination of transaction by investors upon failure to pay the credit protection premium</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that investors may not terminate a transaction prior to its scheduled maturity for any other reason than a failure to pay the credit protection premium or any other material breach of contractual obligations by the originator.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 144</p></td><td><p>Article 26e(7), point (a)</p></td><td><p>Amount of synthetic excess spread to investors specified in transaction documentation and expressed as a fixed percentage of the total outstanding portfolio balance</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the originator commits synthetic excess spread, which is available as credit enhancement for the investors, a concise explanation that the amount of the synthetic excess spread that the originator commits to using as credit enhancement at each payment period is specified in the transaction documentation and expressed as a fixed percentage of the total outstanding portfolio balance at the start of the relevant payment period (fixed synthetic excess spread).</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 145</p></td><td><p>Article 26e(7), point (b)</p></td><td><p>Unused synthetic excess spread to be returned to originator</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the originator commits synthetic excess spread, which is available as credit enhancement for the investors, a concise explanation that the synthetic excess spread which is not used to cover credit losses that materialise during each payment period is returned to the originator.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 146</p></td><td><p>Article 26e(7), point (c)</p></td><td><p>Originators using Internal-Ratings-Based approach &#8211; Total committed amount per year not higher than the one-year regulatory expected loss amounts</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the originator commits synthetic excess spread, which is available as credit enhancement for the investors, a concise explanation that, for originators using the Internal-Ratings-Based Approach referred to in Article&#160;143 of Regulation (EU) No&#160;575/2013, the total committed amount per year is not higher than the one-year regulatory expected loss amounts on all underlying exposures for that year, calculated in accordance with Article&#160;158 of that Regulation.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 147</p></td><td><p>Article 26e(7), point (d)</p></td><td><p>Originators not using Internal-Ratings-Based approach &#8211; calculation of the one-year expected loss of the underlying portfolio be clearly determined in the transaction documentation</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the originator commits synthetic excess spread, which is available as credit enhancement for the investors, a concise explanation that for originators not using the Internal-Ratings Based Approach referred to in Article&#160;143 of Regulation (EU) No&#160;575/2013, the calculation of the one-year expected loss of the underlying portfolio is clearly determined in the transaction documentation.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 148</p></td><td><p>Article 26e(7), point (e)</p></td><td><p>Synthetic excess spread conditions laid down in transaction documentation</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where the originator commits synthetic excess spread, which is available as credit enhancement for the investors, a concise explanation that the transaction documentation specifies the conditions laid down in Article&#160;26e(7) of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSS 149</p></td><td><p>Article 26e(8), points (a), (b) and(c)</p></td><td><p>Credit protection used</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation of which of the following forms the credit protection agreement complies with:</p><p>(a)&#160;&#160;guarantee meeting the requirements set out in Chapter 4 of Title II of Part Three of Regulation (EU) No&#160;575/2013, by which the credit risk is transferred to any of the entities listed in Article&#160;214(2), points (a) to (d), of Regulation (EU) No&#160;575/2013, provided that the exposures to the investor qualify for a&#160;0&#160;% risk weight under Chapter 2 of Title II of Part Three, of that Regulation;</p><p>(b)&#160;&#160;a guarantee meeting the requirements set out in Chapter 4 of Title II, Part Three of Regulation (EU) No&#160;575/2013, which benefits from a counter-guarantee of any of the entities referred to in point (a) of this paragraph;</p><p>(c)&#160;&#160;another credit protection not referred to in points (a) and (b) above in the form of a guarantee, a credit derivative or a credit linked notes that meet the requirements set out in Article&#160;249 of Regulation (EU) No&#160;575/2013, provided that the obligations of the investor are secured by collateral meeting the requirements laid down in paragraphs 9 and&#160;10 of Article&#160;26e of Regulation (EU) 2017/2402.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 150</p></td><td><p>Article 26e(9), first subparagraph, point (a)</p></td><td><p>Enforceability of the originator&#8217;s right to use the collateral to meet the protection payment obligations of the investors through appropriate collateral arrangements</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>Where a credit protection referred to in Article&#160;26e(8), point (c), of Regulation (EU) 2017/2402 is used, a detailed explanation of how the right of the originator to use the collateral to meet protection payment obligations of the investors is enforceable and how the enforceability of that right is ensured through appropriate collateral arrangements.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 151</p></td><td><p>Article 26e(9), first subparagraph, point (b)</p></td><td><p>Investors&#8217; right to receive any unused collateral when securitisation is unwound or as tranches amortise</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where a credit protection referred to in Article&#160;26e(8), point (c), of Regulation (EU) 2017/2402 is used, a concise explanation that the right of the investors, when the securitisation is unwound or as the tranches amortise, to the return of any collateral that has not been used to meet protection payments is enforceable.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 152</p></td><td><p>Article 26e(9), first subparagraph, point (c)</p></td><td><p>Collateral invested in securities &#8211; Eligibility criteria and custody arrangement specified in transaction documentation</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>Where a credit protection referred to in Article&#160;26e(8), point (c), of Regulation (EU) 2017/2402 is used, a detailed explanation of how, where the collateral is invested in securities, the transaction documentation sets out the eligibility criteria and custody arrangement for the securities.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 153</p></td><td><p>Article 26e(9) second subparagraph</p></td><td><p>Investors exposed to originator&#8217;s credit risk</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>A concise explanation that the transaction documentation specifies whether investors remain exposed to the credit risk of the originator.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 154</p></td><td><p>Article 26e(9) third subparagraph</p></td><td><p>Legal opinion confirming the enforceability of the credit protection in all jurisdictions</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that the originator has obtained an opinion from a qualified legal counsel confirming the enforceability of the credit protection in all relevant jurisdictions.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY155</p></td><td><p>Article 26e(10), first subparagraph, point (a)</p></td><td><p>High quality collateral &#8211; 0&#160;% risk-weighted debt securities</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where a credit protection is provided in accordance with Article&#160;26e(10), point (a), of Regulation (EU) 2017/2402 in the form of 0&#160;% risk-weighted debt securities referred to in Chapter 2 of Title II of Part Three of Regulation (EU) No&#160;575/2013, a concise explanation that all of the following conditions are met:</p><p>(i)&#160;&#160;those debt securities have a remaining maximum maturity of 3 months which is no longer than the remaining period up to the next payment date</p><p>(ii)&#160;&#160;those debt securities can be redeemed into cash in an amount equal to the outstanding balance of the protected tranche;</p><p>(iii)&#160;&#160;those debt securities are held by a custodian independent of the originator and the investors;</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 156</p></td><td><p>Article 26e(10), first subparagraph, point (b)</p></td><td><p>High quality collateral &#8211; cash with a third-party credit institution with a credit quality step 3 or above</p></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>Where a credit protection is provided in accordance with Article&#160;26e(10), point (b), of Regulation (EU) 2017/2402, a concise explanation of the collateral arrangement giving the originator and the investor recourse to a collateral in the form of cash held with a third-party credit institution with credit quality step 3 or above in line with the mapping set out in Article&#160;136 of Regulation (EU) No&#160;575/2013.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 157</p></td><td><p>Article 26e(10), second subparagraph</p></td><td><p>Derogation &#8211; collateral in the form of cash on deposit with the originator</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>Where the derogation from Article&#160;26e(10), first subparagraph of Regulation (EU) 2017/2402 is used, a detailed explanation of the collateral arrangement, and the investor consent thereof, giving only the originator recourse to high quality collateral in the form of cash on deposit with the originator, or one of its affiliates.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 158</p></td><td><p>Article 26e(10), third subparagraph</p></td><td><p>Collateral in the form of cash on deposit with the originator &#8211; permission by competent authority</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of the consent by the competent authorities designated pursuant to Article&#160;29(5) of Regulation (EU) 2017/2402 that collateral may be in the form of cash on deposit with the originator, or one of its affiliates, if the originator or one of its affiliates qualifies for a credit quality step 3 provided that market difficulties, objective impediments related to the credit quality step assigned to the Member State of the institution or significant potential concentration problems in the Member State concerned due to the application of the minimum credit quality step 2 requirement referred to in Article&#160;26e(10), second subparagraph, of Regulation (EU) 2017/2402 can be documented.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 159</p></td><td><p>Article 26e(10), fourth subparagraph</p></td><td><p>Transfer of collateral where third-party credit institution or originator no longer satisfies the minimum credit quality step</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>&#8730;</p></td><td><p>A detailed explanation of how the collateral is transferred in compliance with Article&#160;26e(10), fourth subparagraph, of Regulation (EU) 2017/2402 where the collateral was held in the form of cash on deposit with an institution that no longer satisfies the minimum credit quality step.</p></td><td><p>N/A</p></td></tr><tr><td><p>STSSY 160</p></td><td><p>Article 26e(10), fifth subparagraph</p></td><td><p>Compliance with collateral requirements in the case of investments in credit linked notes issued by the originator</p></td><td><p>&#8730;</p></td><td><p>&#160;</p><div/></td><td><p>&#160;</p><div/></td><td><p>A confirmation that there is an investment in credit linked notes issued by the originator, in accordance with Article&#160;218 of Regulation (EU) No&#160;575/2013.</p></td><td><p>N/A</p></td></tr><tr><td><div><a>(<span>1</span>)&#160;&#160;&#160;</a><p>Directive 2009/138/EC of the European Parliament and of the Council of 25&#160;November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (OJ&#160;L&#160;335, 17.12.2009, p.&#160;1).</p></div><div><a>(<span>2</span>)&#160;&#160;&#160;</a><p>Commission Delegated Regulation (EU) 2019/1851 of 28&#160;May 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards on the homogeneity of the underlying exposures in securitisation (OJ&#160;L&#160;285, 6.11.2019, p.&#160;1).</p></div><div><a>(<span>3</span>)&#160;&#160;&#160;</a><p>Directive 2014/65/EU of the European Parliament and of the Council of 15&#160;May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ&#160;L&#160;173, 12.6.2014, p.&#160;349).</p></div><div><a>(<span>4</span>)&#160;&#160;&#160;</a><p>Directive 2008/48/EC of the European Parliament and of the Council of 23&#160;April 2008 on credit agreements for consumers and repealing Council Directive 87/102/EEC (OJ&#160;L&#160;133, 22.5.2008, p.&#160;66).</p></div><div><a>(<span>5</span>)&#160;&#160;&#160;</a><p>Directive 2014/17/EU of the European Parliament and of the Council of 4&#160;February 2014 on credit agreements for consumers relating to residential immovable property and amending Directives 2008/48/EC and&#160;2013/36/EU and Regulation (EU) No&#160;1093/2010 (OJ&#160;L&#160;60, 28.2.2014, p.&#160;34).</p></div></td></tr></tbody></table>