Commission Implementing Regulation (EU) 2020/1227 of 12 November 2019 laying down implementing technical standards with regard to templates for the provision of information in accordance with the STS notification requirements (Text with EEA relevance)
Date: 2019-11-12
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: banking, capital market, credit, credit institution, disclosure of information, financial legislation, financial market, investment, investment company, technical standard




L_2020289EN.01031501.xml










3.9.2020   


EN


Official Journal of the European Union


L 289/315








            COMMISSION IMPLEMENTING REGULATION (EU) 2020/1227
of 12 November 2019
         
laying down implementing technical standards with regard to templates for the provision of information in accordance with the STS notification requirements
(Text with EEA relevance)


THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,


Having regard to Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (1), and in particular Article 27(7) thereof,

Whereas:







(1)


To facilitate effective and harmonised notifications, information regarding securitisations meeting the requirements on simple, transparent and standardised criteria (STS) set out in Articles 19 to 22 and Articles 23 to 26 of Regulation (EU) 2017/2402 should be reported to the European Securities and Markets Authority (ESMA) in a consistent format and in accordance with uniform standards.












(2)


The provision of information in a harmonised format allows for efficient data collection by ESMA and facilitates consistency checks and assessment of completeness by investors and competent authorities. The format for each of the fields to be reported in a STS notification should therefore be specified and any information submitted to ESMA should be submitted electronically.












(3)


This Regulation is based on the draft implementing technical standards submitted by ESMA to the Commission in accordance with Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (2).












(4)


ESMA has conducted an open public consultation on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010,





HAS ADOPTED THIS REGULATION:



Article 1

Templates for STS notification


1.   The information referred to in Article 1(1)(a) and Article 1(2)(a) of Commission Delegated Regulation (EU) 2020/1226 (3) shall be provided by means of the template set out in Annex I to this Regulation.


2.   The information referred to in Article 1(1)(b) and Article 1(2)(b) of Delegated Regulation (EU) 2020/1226 shall be provided by means of the template set out in Annex II to this Regulation.


3.   The information referred to in Article 1(1)(c) and Article 1(2)(c) of Delegated Regulation (EU) 2020/1226 shall be provided by means of the template set out in Annex III to this Regulation.


4.   Where the information to be provided pursuant to this Article is not available or required due to the application of the transitional provisions laid down in Article 43 of Regulation (EU) 2017/2402, the notification shall state ‘Not applicable due to the application of transitional provisions’ in the relevant field or fields of the Annexes to this Regulation.


5.   The information referred to in this Article shall be submitted in an electronic and machine-readable form.


6.   The ‘Additional information’ referred to in Article 2 of Delegated Regulation (EU) 2020/1226 shall be included in the field ‘Box to complete’ of Annexes I to III to this Regulation.



Article 2

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.
Done at Brussels, 12 November 2019.


For the Commission


The President

Jean-Claude JUNCKER
            





(1)  
            OJ L 347, 28.12.2017, p. 35.

(2)  Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).

(3)  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 (See page 285 of this Official Journal).




ANNEX I

Field formats to be applied to the STS notification form








SYMBOL


DATA TYPE


DEFINITION




{ALPHANUM-n}


Up to n alphanumeric characters


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




{COUNTRYCODE_2}


2 alphanumeric characters


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




{CURRENCYCODE_3}


3 alphanumeric characters


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




{DATEFORMAT}


ISO 8601 date format


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




{Y/N}


1 alphanumeric character


‘true’- Y
’false’ – N




{ISIN}


12 alphanumeric characters


ISIN code, as defined in ISO 6166




{LEI}


20 alphanumeric characters


Legal entity identifier, as defined in ISO 17442





STS notification form for non-ABCP securitisations









FIELD CODE


FIELD NAME


BOX TO COMPLETE


FIELD FORMAT




STSS0


First contact point


 


{ALPHANUM-1000}




STSS1


Instrument identification code


 


{ISIN}




STSS2


LEI of the originator or sponsor or original lender


 


{LEI}




STSS3


Notification identifier


 


{ALPHANUM-100}




STSS4


Unique Identifier


 


{ALPHANUM-100}




STSS5


Prospectus Identifier


 


{ALPHANUM-100}




STSS6


Securitisation repository


 


{ALPHANUM-1000}




STSS7


Securitisation Name


 


{ALPHANUM-100}




STSS8


Country of establishment


 


{COUNTRYCODE_2}




STSS9


Securitisation classification


 


{LIST}




STSS10


Underlying Exposures Type


 


{LIST}




STSS11


Issue date


 


{DATEFORMAT}




STSS12


Notification Date


 


{DATEFORMAT}




STSS13


Authorised third party


 


{ALPHANUM-100}




STSS14


Authorised third party (name and country of establishment)


 


{ALPHANUM-1000}
{COUNTRYCODE_2}




STSS15


Competent authority which has authorised the third party


 


{ALPHANUM-100}




STSS16


STS status


 


{ALPHANUM-1000}




STSS17


Originator (or original lender) not a EU credit institution


 


{Y/N}




STSS18


Confirmation of credit-granting criteria


 


{ALPHANUM-1000}




STSS19


Declaration that credit-granting criteria are subject to supervision


 


{ALPHANUM-1000}




STSS20


Underlying exposures acquired by true sale


 


{ALPHANUM-10000}




STSS21


No severe clawback


 


{ALPHANUM-10000}




STSS22


Exemption for clawback provisions in national insolvency laws


 


{ALPHANUM-1000}




STSS23


Transfer where the seller is not the original lender


 


{ALPHANUM-1000}




STSS24


Transfer performed by means of an assignment and perfected at a later stage


 


{ALPHANUM-10000}




STSS25


Representations and warranties


 


{ALPHANUM-10000}




STSS26


Criteria for active Portfolio Management


 


{ALPHANUM-10000}




STSS27


Homogeneity of assets


 


{ALPHANUM}




STSS28


Underlying Exposure Obligations/no re-securitisation


 


{ALPHANUM-1000}




STSS29


Soundness of the underwriting standard


 


{ALPHANUM}




STSS30


Originator/Lender Expertise


 


{ALPHANUM}




STSS31


Defaulted Assets


 


{ALPHANUM}




STSS32


At least one payment at the time of transfer


 


{ALPHANUM-1000}




STSS33


Repayment of the holders/sale of assets.


 


{ALPHANUM}




STSS34


Compliance with the risk retention requirements


 


{LIST}




STSS35


Mitigation of Interest rates (IR) and currency risks (FX) Risks


 


{ALPHANUM-10000}




STSS36


Derivatives Purchased/Sold by SSPE


 


{ALPHANUM-10000}




STSS37


Derivatives using common standards


 


{ALPHANUM-10000}




STSS38


Referenced interest payments based on generally used interest rates


 


{ALPHANUM-10000}




STSS39


No trapping of cash following enforcement or acceleration notice


 


{ALPHANUM-10000}




STSS40


No amount of cash shall be trapped


 


{ALPHANUM-1000}




STSS41


Principal receipts shall be passed to investors


 


{ALPHANUM-1000}




STSS42


Repayment shall not be reversed with regard to their seniority


 


{ALPHANUM-1000}




STSS43


No provisions shall require automatic liquidation of the underlying exposures at market value


 


{ALPHANUM-1000}




STSS44


Securitisations featuring non-sequential priority of payments


 


{ALPHANUM-1000}




STSS45


Revolving securitisation with early amortisation events for termination of revolving period based on prescribed triggers


 


{ALPHANUM-10000}




STSS46


Deterioration in the credit quality of the underlying exposures


 


{ALPHANUM-10000}




STSS47


Occurrence of an insolvency-related event of the originator or servicer


 


{ALPHANUM-10000}




STSS48


Value of the underlying exposures held by the SSPE falls below a pre-determined threshold


 


{ALPHANUM-10000}




STSS49


Failure to generate sufficient new underlying exposures meeting pre-determined credit quality (trigger for termination of the revolving period)


 


{ALPHANUM-10000}




STSS50


Information regarding contractual obligations of the servicer, trustee and other ancillary service providers


 


{ALPHANUM-1000}




STSS51


Servicing Continuity Provisions


 


{ALPHANUM-1000}




STSS52


Derivative Counterparties Continuity Provisions


 


{ALPHANUM-1000}




STSS53


Liquidity providers and account bank continuity provisions


 


{ALPHANUM-1000}




STSS54


Required expertise from the servicer & policies & adequate procedures & risk management controls in place


 


{ALPHANUM}




STSS55


Clear & consistent definitions (problem loans)


 


{ALPHANUM-1000}




STSS56


Priorities of payment and triggers events


 


{ALPHANUM-1000}




STSS57


Timely resolution of conflicts between classes of investors and responsibilities of trustees


 


{ALPHANUM-1000}




STSS58


Historical Default and Loss Performance Data


 


{ALPHANUM-1000}




STSS59


Sample of the underlying exposures subject to external verifications


 


{ALPHANUM-1000}




STSS60


Availability of a liability cash flow model to potential investors


 


{ALPHANUM-1000}




STSS61


Environmental performance/residential loans or car loans or leases


 


{ALPHANUM-10000}




STSS62


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


 


{ALPHANUM-1000}









ANNEX II

Field formats to be applied to the STS notification form








SYMBOL


DATA TYPE


DEFINITION




{ALPHANUM-n}


Up to n alphanumeric characters


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




{COUNTRYCODE_2}


2 alphanumeric characters


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




{CURRENCYCODE_3}


3 alphanumeric characters


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




{DATEFORMAT}


ISO 8601 date format


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




{Y/N}


1 alphanumeric character


‘true’- Y
’false’ – N




{ISIN}


12 alphanumeric characters


ISIN code, as defined in ISO 6166




{LEI}


20 alphanumeric characters


Legal entity identifier, as defined in ISO 17442





STS notification form for ABCP securitisations









FIELD CODE


FIELD NAME


BOX TO COMPLETE


FIELD FORMAT




STSAT0


First contact point


 


{ALPHANUM-1000}




STSAT1


Instrument identification code


 


{ISIN}




STSAT2


LEI of the originator or sponsor or original lender


 


{LEI}




STSAT3


Notification identifier


 


{ALPHANUM-100}




STSAT4


Unique Identifier


 


{ALPHANUM-100}




STSAT5


Prospectus Identifier


 


{ALPHANUM-100}




STSAT6


Securitisation repository


 


{ALPHANUM-1000}




STSAT7


Securitisation Name


 


{ALPHANUM-100}




STSAT8


Place of establishment


 


{ALPHANUM-1000}




STSAT9


Securitisation Type


 


{LIST}




STSAT10


Underlying Exposures Type


 


{LIST}




STSAT11


Issue date


 


{DATEFORMAT}




STSAT12


Notification Date


 


{DATEFORMAT}




STSAT13


Authorised third party


 


{ALPHANUM-100}




STSAT14


Authorised third party (name and country of establishment)


 


{ALPHANUM-1000}
{COUNTRYCODE_2}




STSAT15


Competent authority which has authorised the third party


 


{ALPHANUM-100}




STSAT16


STS status


 


{ALPHANUM-1000}




STSAT17


Originator (or original lender) not a EU credit institution


 


{Y/N}




STSAT18


Confirmation of credit-granting criteria


 


{ALPHANUM-1000}




STSAT19


Declaration that credit-granting criteria are subject to supervision


 


{ALPHANUM-1000}




STSAT20


Underlying exposures acquired by true sale


 


{ALPHANUM-10000}




STSAT21


No severe clawback


 


{ALPHANUM-10000}




STSAT22


Exemption for clawback provisions in national insolvency laws


 


{ALPHANUM-1000}




STSAT23


Transfer where the seller is not the original lender


 


{ALPHANUM-1000}




STSAT24


Transfer performed by means of an assignment and perfected at a later stage


 


{ALPHANUM-10000}




STSAT25


Representations and warranties


 


{ALPHANUM-10000}




STSAT26


Criteria for active Portfolio Management


 


{ALPHANUM-10000}




STSAT27


No re-securitisation


 


{ALPHANUM-1000}




STSAT28


Transferred underlying exposures without defaulted exposures


 


{ALPHANUM}




STSAT29


At least one payment made at the time of transfer


 


{ALPHANUM-1000}




STSAT30


Repayment of the holders/sale of assets.


 


{ALPHANUM}




STSAT31


Mitigation of Interest rates (IR) and currency risks (FX) Risks


 


{ALPHANUM-10000}




STSAT32


Derivatives Purchased/Sold by SSPE


 


{ALPHANUM-10000}




STSAT33


Derivatives in Underlying Exposures


 


{ALPHANUM-10000}




STSAT34


Derivatives using common standards


 


{ALPHANUM-10000}




STSAT35


Clear and consistent definitions relating to the treatment of problem loans


 


{ALPHANUM-1000}




STSAT36


Priority of Payments and triggers events


 


{ALPHANUM-1000}




STSAT37


Historical Default and Loss Performance Data


 


{ALPHANUM-1000}




STSAT38


Homogeneity of assets


 


{ALPHANUM}




STSAT39


Underlying Exposure Obligations


 


{ALPHANUM-1000}




STSAT40


Underlying Exposure Obligations


 


{ALPHANUM-1000}




STSAT41


Referenced interest payments based on generally used interest rates


 


{ALPHANUM-10000}




STSAT42


No trapping of cash flow following enforcement or acceleration notice


 


{ALPHANUM-10000}




STSAT43


No trapping of cash/enforcement or acceleration


 


{ALPHANUM-1000}




STSAT44


Principal receipts shall be passed to investors


 


{ALPHANUM-1000}




STSAT45


No provisions shall require automatic liquidation of the underlying exposures at market value


 


{ALPHANUM-1000}




STSAT46


Soundness of the underwriting standards


 


{ALPHANUM}




STSAT47


Seller Expertise


 


{ALPHANUM}




STSAT48


Revolving ABCP transaction/credit quality trigger.


 


{ALPHANUM}




STSAT49


Securitisation Participant Duties


 


{ALPHANUM-1000}




STSAT50


Servicing Continuity Provisions


 


{ALPHANUM-1000}




STSAT51


Derivative counterparty and account bank continuity provisions


 


{ALPHANUM-1000}




STSAT52


Sponsor Robustness


 


{ALPHANUM-1000}









ANNEX III

Field formats to be applied to the STS notification form








SYMBOL


DATA TYPE


DEFINITION




{ALPHANUM-n}


Up to n alphanumeric characters


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




{COUNTRYCODE_2}


2 alphanumeric characters


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




{CURRENCYCODE_3}


3 alphanumeric characters


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




{DATEFORMAT}


ISO 8601 date format


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




{Y/N}


1 alphanumeric character


‘true’- Y
’false’ – N




{ISIN}


12 alphanumeric characters


ISIN code, as defined in ISO 6166




{LEI}


20 alphanumeric characters


Legal entity identifier, as defined in ISO 17442





STS notification form for ABCP Programme









FIELD CODE


FIELD NAME


BOX TO COMPLETE


FIELD FORMAT




STSAP0


First contact point


 


{ALPHANUM-1000}




STSAP1


Instrument identification code


 


{ISIN}




STSAP2


LEI of the sponsor


 


{LEI}




STSAP3


Notification identifier


 


{ALPHANUM-100}




STSAP4


Unique Identifier


 


{ALPHANUM-100}




STSAP5


Prospectus Identifier


 


{ALPHANUM-100}




STSAP6


Securitisation repository


 


{ALPHANUM-1000}




STSAP7


ABCP programme name


 


{ALPHANUM-100}




STSAP8


Country of establishment


 


{ALPHANUM-1000}




STSAP9


Instrument classification


 


{LIST}




STSAP10


Issue date


 


{DATEFORMAT}




STSAP11


Notification date


 


{DATEFORMAT}




STSAP12


Authorised third party


 


{ALPHANUM-100}




STSAP13


Authorised third party (name and country of establishment)


 


{ALPHANUM-1000}
{COUNTRYCODE_2}




STSAP14


Competent authority which has authorised the third party


 


{ALPHANUM-100}




STSAP15


STS status


 


{ALPHANUM-1000}




STSAP16


Sponsor to be supervised credit institution


 


{ALPHANUM-1000}




STSAP17


Sponsor Support as liquidity provider


 


{ALPHANUM-1000}




STSAP18


Demonstration to credit institution’s competent authority


 


{ALPHANUM-1000}




STSAP19


Compliance with sponsor’s due diligence requirements


 


{ALPHANUM-1000}




STSAP20


Compliance with the risk retention requirements (transaction level/programme level)


 


{LIST}




STSAP21


Compliance at ABCP programme level with Article 7 of Regulation (EU) 2017/2402


 


{ALPHANUM-1000}




STSAP22


Drawn down of liquidity where liquidity facility are not renewed


 


{ALPHANUM-10000}




STSAP23


Compliance of ABCP transactions within an ABCP programme with Article 24(1) to (8) and (12) to (20) of Regulation (EU) 2017/2402


 


{ALPHANUM-1000}




STSAP24


Maximum of 5 % of the aggregate amount of the underlying exposures being temporally non-compliant


 


{ALPHANUM}




STSAP25


Remaining weighted of the average life (WAL) not more than two years


 


{ALPHANUM-1000}




STSAP26


Fully supported ABCP Programme (Sponsor Support)


 


{ALPHANUM-10000}




STSAP27


No re-securitisation and no credit enhancement establishing a second layer of tranching at the ABCP programme level


 


{ALPHANUM-1000}




STSAP28


No call options


 


{ALPHANUM-1000}




STSAP29


Interest rate and currency risks at ABCP programme appropriately mitigated and documented


 


{ALPHANUM}




STSAP30


Requirements for ABCP programme documentation (responsibilities of the trustee to investors)


 


{ALPHANUM-1000}




STSAP31


Requirements for the ABCP programme documentation (contractual obligations of the sponsor)


 


{ALPHANUM-1000}




STSAP32


Requirements for the ABCP programme documentation (process & responsibilities in case of defaulted servicer)


 


{ALPHANUM-1000}




STSAP33


Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank)


 


{ALPHANUM-1000}




STSAP34


Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment)


 


{ALPHANUM-1000}




STSAP35


Requirements for the ABCP programme documentation (liquidity facility & maturing securities to be repaid where the sponsor does not renew the funding commitment of the liquidity facility before its expiry)


 


{ALPHANUM-1000}




STSAP36


Servicer Expertise


 


{ALPHANUM}