Commission Implementing Regulation (EU) 2022/1929 of 31 March 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2020/1227 as regards the templates for the provision of information in accordance with the STS notification requirements for on-balance-sheet synthetic securitisations
Date: 2022-03-31
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_2022266EN.01000101.xml










13.10.2022   


EN


Official Journal of the European Union


L 266/1








            COMMISSION IMPLEMENTING REGULATION (EU) 2022/1929
of 31 March 2022
         
amending the implementing technical standards laid down in Implementing Regulation (EU) 2020/1227 as regards the templates for the provision of information in accordance with the STS notification requirements for on-balance-sheet synthetic securitisations


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), third subparagraph thereof,

Whereas:







(1)


Commission Implementing Regulation (EU) 2020/1227 (2) lays down the use of templates for the provision of information in accordance with the simple, transparent and standardised (STS) notification requirements. In particular, Annexes I to III to Implementing Regulation (EU) 2020/1227, specify the information that is to be reported to the European Securities and Markets Authority (ESMA) for securitisations meeting the STS requirements set out in Articles 19 to 22 and Articles 23 to 26 of Regulation (EU) 2017/2402.












(2)


Regulation (EU) 2021/557 of the European Parliament and of the Council (3) has amended Regulation (EU) 2017/2402 by extending the STS securitisation framework to on-balance sheet synthetic securitisations. Accordingly, it is necessary to specify the template for the provision of information in accordance with the STS notification requirements for on-balance sheet synthetic securitisations.












(3)


To provide investors, potential investors and competent authorities with a comparative overview of all types of STS securitisations, it is appropriate to ensure consistency across all the STS notifications. The notification template for STS on-balance-sheet securitisations should therefore follow the format of the template for STS traditional securitisations, while also taking into account the requirements concerning credit protection agreements and the role of the third-party verification agent laid down in Article 26e of Regulation (EU) 2017/2402.












(4)


The format for each of the fields to be reported in the notification of STS on-balance-sheet securitisations should be specified and any information submitted to ESMA should be submitted electronically.












(5)


Annex I to Implementing Regulation (EU) 2020/1227 reflects the amendments to Commission Delegated Regulation (EU) 2020/1226 (4) laid down in Commission Delegated Regulation (EU) 2022/1301 (5).












(6)


Implementing Regulation (EU) 2020/1227 should therefore be amended accordingly.












(7)


This Regulation is based on the draft implementing technical standards submitted to the Commission by ESMA.












(8)


ESMA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (6),





HAS ADOPTED THIS REGULATION:



Article 1

Amendments to Implementing Regulation (EU) 2020/1227

Implementing Regulation (EU) 2020/1227 is amended as follows:






(1)


Article 1 is amended as follows:






(a)


the following paragraph 3a is inserted:

‘3a.   The information referred to in Article 1(1), point (d), and Article 1(2), point (d), of Delegated Regulation (EU) 2020/1226 shall be provided by means of the template set out in Annex IV to this Regulation.’;











(b)


paragraph 4 is replaced by the following:

‘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 Articles 43 and 43a 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’;











(c)


paragraph 6 is replaced by the following:

‘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 IV to this Regulation.’;















(2)


Annexes I, II and III are amended as set out in Annex I to this Regulation;










(3)


Annex IV, as set out in Annex II to this Regulation, is added.






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, 31 March 2022.


For the Commission


The President

Ursula VON DER LEYEN
            





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

(2)  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 (OJ L 289, 3.9.2020, p. 315).

(3)  Regulation (EU) 2021/557 of the European Parliament and of the Council of 31 March 2021 amending Regulation (EU) 2017/2402 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation to help the recovery from the COVID-19 crisis (OJ L 116, 6.4.2021, p. 1).

(4)  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 (OJ L 289, 3.9.2020, p. 285).

(5)  Commission Delegated Regulation (EU) 2022/1301 of 26 July 2022 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2020/1226 as regards the information to be provided in accordance with the STS notification requirements for on-balance-sheet synthetic securitisations (OJ L 197, 26.7.2022, p. 10).

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




ANNEX I
Annexes I, II and III to Implementing Regulation (EU) 2020/1227 are amended as follows:






1.


In Annex I, in the table ‘STS notification form for non-ABCP securitisations’, the rows corresponding to field codes STSS4, STSS17, STSS21 and STSS22 are replaced by the following:








‘STSS4


Unique identifier


 


{ALPHANUM-1000}




STSS17


Originator (or original lender) is a credit institution


 


{Y/N}




STSS21


Subject to severe clawback


 


{ALPHANUM-10000}




STSS22


Exemption for clawback provisions in national insolvency laws


 


{ALPHANUM-10000}’














2.


In Annex II, in the table ‘STS notification form for ABCP securitisations’, the rows corresponding to field codes STSAT4, STSAT17, STSAT21 and STSAT22 are replaced by the following:








‘STSAT4


Unique identifier


 


{ALPHANUM-1000}




STSAT17


Originator (or original lender) is a credit institution


 


{Y/N}




STSAT21


Subject to severe clawback


 


{ALPHANUM-10000}




STSAT22


Exemption for clawback provisions in national insolvency laws


 


{ALPHANUM-10000}’














3.


In Annex III, in the table ‘STS notification form for ABCP Programmes’, the row corresponding to field code STSAP4 is replaced by the following:








‘STSAP4


Unique identifier


 


{ALPHANUM-1000}’













ANNEX II



‘ANNEX IV

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 on-balance-sheet securitisations









FIELD CODE


FIELD NAME


BOX TO COMPLETE


FIELD FORMAT




STSSY 1


First contact point


 


{LEI}




STSSY 2


Notification date


 


{DATEFORMAT}




STSSY 3


Instrument identification code


 


{ISIN}




STSSY 4


Legal Entity Identifier (LEI)


 


{LEI}




STSSY 5


Protection seller


 


{ALPHANUM-100}




STSSY 6


Notification identifier


 


{ALPHANUM-100}




STSSY 7


Unique identifier


 


{ALPHANUM-1000}




STSSY 8


Securitisation Repository


 


{ALPHANUM-100}




STSSY 9


Country of establishment


 


{COUNTRYCODE_2}




STSSY 10


Synthetic securitisation classification


 


{LIST}




STSSY 11


Synthetic securitisation with unfunded credit protection


 


{LIST}




STSSY 12


Credit Protection Agreement used


 


{LIST}




STSSY 13


Underlying exposures classification


 


{LIST}




STSSY 14


Issue date


 


{DATEFORMAT}




STSSY 15


Authorised Third party verifier – statement


 


{ALPHANUM-100}




STSSY 16


Authorised Third party verifier – country of establishment


 


{COUNTRYCODE_2}




STSSY 17


Authorised Third party verifier – competent authority


 


{ALPHANUM-100}




STSSY 18


STS status


 


{ALPHANUM-1000}




STSSY 19


The originator is a supervised entity in the Union


 


{ALPHANUM-1000}




STSSY 20


Originator applying the purchased third party’s exposures policies


 


{ALPHANUM-10000}




STSSY 21


Underlying exposures’ origination


 


{ALPHANUM-10000}




STSSY 22


Assets held on originator’s balance sheet at transaction closing


 


{ALPHANUM-1000}




STSSY 23


Group category


 


{ALPHANUM-1000}




STSSY 24


No further hedging of originator’s exposure


 


{ALPHANUM-1000}




STSSY 25


Credit protection agreement meeting Article 249 of Regulation (EU) No 575/2013


 


{ALPHANUM-1000}




STSSY 26


Credit protection agreement meeting other credit mitigation rules


 


{ALPHANUM-10000}




STSSY27


Representations and warranties – Legal title to the underlying exposures


 


{ALPHANUM-10000}




STSSY28


Representations and warranties – Originator keeps the credit risk of the underlying assets


 


{ALPHANUM-10000}




STSSY29


Representations and warranties – Exposure compliance with eligibility criteria


 


{ALPHANUM-10000}




STSSY30


Representations and warranties – Legal and enforceable obligation to the obligor


 


{ALPHANUM-10000}




STSSY31


Representations and warranties – Underwriting criteria


 


{ALPHANUM-10000}




STSSY32


Representations and warranties – No obligors in material breach or default


 


{ALPHANUM-10000}




STSSY33


Representations and warranties – No false information in transaction documentation


 


{ALPHANUM-10000}




STSSY34


Representations and warranties – Enforceability or collectability of the underlying exposures


 


{ALPHANUM-10000}




STSSY35


Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis


 


{ALPHANUM-10000}




STSSY36


Exemption to the prohibition of active portfolio management


 


{ALPHANUM-10000}




STSSY37


Exposure added after the closing date of the transaction meeting eligibility criteria


 


{ALPHANUM-10000}




STSSY 38


Fully repaid exposure


 


{ALPHANUM-10000}




STSSY 39


Underlying exposures disposed of


 


{ALPHANUM-10000}




STSSY 40


Not credit driven amendment


 


{ALPHANUM-10000}




STSSY 41


Eligibility criteria not met


 


{ALPHANUM-10000}




STSSY 42


Homogeneity of assets


 


{ALPHANUM}




STSSY 43


Only one asset type


 


{ALPHANUM}




STSSY 44


Obligations that are contractually binding and enforceable


 


{ALPHANUM-10000}




STSSY 45


Defined periodic payment


 


{ALPHANUM}




STSSY 46


Proceeds from the sale of assets


 


{ALPHANUM}




STSSY 47


No transferable securities


 


{ALPHANUM}




STSSY 48


No re-securitisation


 


{ALPHANUM-1000}




STSSY 49


Underwriting standards disclosed to potential investors


 


{ALPHANUM-1000}




STSSY 50


Full recourse to an obligor


 


{ALPHANUM-1000}




STSSY 51


Underwriting standards – No third parties


 


{ALPHANUM-1000}




STSSY 52


Underwriting standards – Residential loans


 


{ALPHANUM-1000}




STSSY 53


Underwriting standards – Borrower assessment


 


{ALPHANUM-1000}




STSSY 54


Originator or original lender expertise


 


{ALPHANUM-1000}




STSSY 55


No exposures at default


 


{ALPHANUM-10000}




STSSY 56


No adverse credit history


 


{ALPHANUM-10000}




STSSY 57


Risk of non-payment is not higher than for non-securitisation exposures


 


{ALPHANUM-1000}




STSSY 58


At least one payment made at the time of inclusion of the underlying assets


 


{ALPHANUM-1000}




STSSY 59


Compliance with risk retention requirements


 


{ALPHANUM}




STSSY 60


Mitigation of interest rates and currency risks


 


{ALPHANUM-1000}




STSSY 61


Credit protection collateral and credit protection payment denominated in same currency


 


{ALPHANUM-1000}




STSSY 62


SSPE’s liabilities equal or less than the SSPE’s income


 


{ALPHANUM-10000}




STSSY 63


No derivatives used except for hedging interest or currency risks


 


{ALPHANUM-1000}




STSSY 64


Using derivatives based on common standards


 


{ALPHANUM-10000}




STSSY 65


Referenced interest payments based on generally used interest rates without complex formulae or derivatives


 


{ALPHANUM-10000}




STSSY 66


Enforcement event without prejudice for investor’s enforcement action


 


{ALPHANUM-10000}




STSSY 67


Enforcement of the credit protection agreement – No amount of cash shall be trapped in the SSPE


 


{ALPHANUM-10000}




STSSY 68


Losses allocated in order of seniority


 


{ALPHANUM-10000}




STSSY 69


Sequential amortisation


 


{ALPHANUM-10000}




STSSY 70


Non-sequential priority of payments


 


{ALPHANUM-10000}




STSSY 71


Performance-related triggers


 


{ALPHANUM}




STSSY 72


Performance-related triggers


 


{ALPHANUM}




STSSY 73


Performance-related triggers


 


{ALPHANUM}




STSSY 74


Amount of collateral equal to the amount of tranches being amortised


 


{ALPHANUM-10000}




STSSY 75


Credit event occurred and amount of credit protection available at any payment date.


 


{ALPHANUM-10000}




STSSY 76


Early amortisation provisions or triggers – Credit quality


 


{ALPHANUM-10000}




STSSY 77


Early amortisation provisions or triggers – Losses


 


{ALPHANUM-10000}




STSSY 78


Early amortisation provisions or triggers – New exposures


 


{ALPHANUM-10000}




STSSY 79


Contractual obligations, duties and responsibilities – Servicer


 


{ALPHANUM-10000}




STSSY 80


Contractual obligations, duties and responsibilities –
Trustee


 


{ALPHANUM-10000}




STSSY 81


Contractual obligations, duties and responsibilities – Third-party verification agent


 


{ALPHANUM-10000}




STSSY 82


Contractual obligations, duties and responsibilities – Default or insolvency


 


{ALPHANUM-10000}




STSSY 83


Contractual obligations, duties and responsibilities – Servicing procedures


 


{ALPHANUM-10000}




STSSY 84


Servicing standards


 


{ALPHANUM-10000}




STSSY 85


Required expertise from the servicer


 


{ALPHANUM-1000}




STSSY 86


Well documented and adequate policies, procedures and risk management controls in place


 


{ALPHANUM-1000}




STSSY 87


Servicing procedures at least as stringent as the ones applied to similar not securitised exposures


 


{ALPHANUM-1000}




STSSY 88


Reference register in place


 


{ALPHANUM}




STSSY 89


Reference register – Content


 


{ALPHANUM-10000}




STSSY 90


Timely resolution of conflicts between different classes of investors


 


{ALPHANUM-1000}




STSSY 91


SSPE – Voting rights clearly defined


 


{ALPHANUM-1000}




STSSY 92


Historical Default and Loss Performance Data


 


{ALPHANUM-1000}




STSSY 93


Sample of the underlying exposures subject to external verification


 


{ALPHANUM-1000}




STSSY 94


Availability of a liability cash flow model to potential investors


 


{ALPHANUM-1000}




STSSY 95


Publication on environmental performance of underlying exposures consisting of residential loans or auto loans or leases


 


{ALPHANUM-10000}




STSSY 96


Derogation from the requirement to publish environmental performance of underlying exposures consisting of residential loans or car loans or leases


 


{ALPHANUM-10000}




STSSY97


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


 


{ALPHANUM-1000}




STSSY 98


Information on Article 7(1), point (a), of Regulation (EU) 2017/2402 available to potential investors


 


{ALPHANUM-1000}




STSSY 99


Information on Article 7(1), points (b), (c) and (d) of Regulation (EU) 2017/2402 available to potential investors at least in draft or initial form


 


{ALPHANUM-1000}




STSSY 100


Credit events and use of guarantees


 


{ALPHANUM-10000}




STSSY 101


Credit events and use of credit derivatives


 


{ALPHANUM-10000}




STSSY 102


Credit protection agreement documented


 


{ALPHANUM-10000}




STSSY 103


Forbearance measures do not preclude the triggering of eligible credit events


 


{ALPHANUM-10000}




STSSY 104


Credit protection payment based on the actual realised loss and standard recovery policies and procedures


 


{ALPHANUM-10000}




STSSY 105


Credit protection payment payable within a specified period of time


 


{ALPHANUM-10000}




STSSY 106


Interim credit protection payment at the latest six months after a credit event


 


{ALPHANUM-10000}




STSSY 107


Interim credit protection payment higher than the applicable expected loss amount


 


{ALPHANUM-10000}




STSSY 108


Terms of the interim credit protection payment


 


{ALPHANUM-10000}




STSSY 109


Method for calculation of interim and final credit protection payments


 


{ALPHANUM-10000}




STSSY 110


Credit protection payment proportional to the share of the outstanding nominal amount


 


{ALPHANUM-10000}




STSSY 111


Enforceability of the credit protection payment


 


{ALPHANUM-10000}




STSSY 112


Amount payable under the credit protection agreement by investors is set out in the credit protection agreement.


 


{ALPHANUM-10000}




STSSY 113


Calculation of the amounts in all circumstances


 


{ALPHANUM-10000}




STSSY 114


Investors payments circumstances set out under the credit protection agreement.


 


{ALPHANUM-10000}




STSSY 115


Third-party verification agent’s assessment of circumstances triggering investors payments


 


{ALPHANUM-10000}




STSSY 116


Credit protection payment calculated at individual underlying exposure level.


 


{ALPHANUM-10000}




STSSY 117


Specification of maximum extension period for the debt workout process


 


{ALPHANUM-10000}




STSSY 118


Extension period less than two years


 


{ALPHANUM-10000}




STSSY 119


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


 


{ALPHANUM-10000}




STSSY 120


Termination of the credit protection agreement


 


{ALPHANUM-10000}




STSSY 121


Credit protection premiums contingent on the outstanding nominal amount


 


{ALPHANUM-10000}




STSSY 122


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


 


{ALPHANUM-10000}




STSSY 123


Derogation for upfront premium payments


 


{ALPHANUM-10000}




STSSY 124


Description of the credit protection premium in the transaction documentation


 


{ALPHANUM-10000}




STSSY 125


Enforceability of the investor rights


 


{ALPHANUM-10000}




STSSY 126


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


 


{ALPHANUM-1000}




STSSY 127


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


 


{ALPHANUM-1000}




STSSY 128


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


 


{ALPHANUM-1000}




STSSY 129


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


 


{ALPHANUM-1000}




STSSY 130


Third party verification agent check – Compliance with the replenishment conditions


 


{{ALPHANUM-1000}




STSSY 131


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


 


{ALPHANUM-1000}




STSSY 132


Third party verification agent check – Losses correctly allocated to investors


 


{ALPHANUM-1000}




STSSY 133


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


 


{ALPHANUM-10000}




STSSY 134


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


 


{ALPHANUM-10000}




STSSY 135


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


 


{ALPHANUM-10000}




STSSY 136


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


 


{ALPHANUM-10000}




STSSY 137


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


 


{ALPHANUM-10000}




STSS 138


Termination events


 


{ALPHANUM-10000}




STSS 139


Transaction documentation – Call rights


 


{ALPHANUM-10000}




STSS 140


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


 


{ALPHANUM-10000}




STSS 141


Time call


 


{ALPHANUM-10000}




STSS 142


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


 


{ALPHANUM-10000}




STSS 143


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


 


{ALPHANUM-10000}




STSSY 144


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


 


{ALPHANUM-10000}




STSSY 145


Unused synthetic excess spread to be returned to originator


 


{ALPHANUM-10000}




STSSY 146


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


 


{ALPHANUM-10000}




STSSY 147


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


 


{ALPHANUM-10000}




STSSY 148


Synthetic excess spread conditions laid down in transaction documentation


 


{ALPHANUM-10000}




STSS 149


Credit protection used


 


{ALPHANUM-10000}




STSSY 150


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


 


{ALPHANUM}




STSSY 151


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


 


{ALPHANUM-10000}




STSSY 152


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


 


{ALPHANUM}




STSSY 153


Investors exposed to originator’s credit risk


 


{ALPHANUM-10000}




STSSY 154


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


 


{ALPHANUM-1000}




STSSY 155


High quality collateral – 0 % risk-weighted debt securities


 


{ALPHANUM-10000}




STSSY 156


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


 


{ALPHANUM-10000}




STSSY 157


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


 


{ALPHANUM}




STSSY 158


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


 


{ALPHANUM}




STSSY 159


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


 


{ALPHANUM}




STSSY 160


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


 


{ALPHANUM-1000}






            ’