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)
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)
Data as of 2026-11-02 · Compiled from an official source version. Later amendments or repeals may not be reflected; the official text prevails. · Read the official text ↗
1.
The information referred to in Article 1(1)(a) and Article 1(2)(a) of Commission Delegated Regulation (EU) 2020/1226 (
1
) 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.
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.
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.
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 IV to this Regulation.
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-1000}
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) is a 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
Subject to severe clawback
{ALPHANUM-10000}
STSS22
Exemption for clawback provisions in national insolvency laws
{ALPHANUM-10000}
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-1000}
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) is a 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
Subject to severe clawback
{ALPHANUM-10000}
STSAT22
Exemption for clawback provisions in national insolvency laws
{ALPHANUM-10000}
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-1000}
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}
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}
