CELEX: 32020R1227
Language: en
Date: 2019-11-12 00:00:00
Title: 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)

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}