ANNEX II
‘ANNEX IV
Field formats to be applied to the STS notification form
SYMBOL
DATA TYPE
DEFINITION
{ALPHANUM-n}
Up to n alphanumeric characters
Free text field. Should be entered in ASCII format (no accented characters).
{COUNTRYCODE_2}
2 alphanumeric characters
2 letter country code, as defined by ISO 3166-1 alpha-2 country code. Should be entered in ASCII format (no accented characters).
{CURRENCYCODE_3}
3 alphanumeric characters
3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters).
{DATEFORMAT}
ISO 8601 date format
Dates shall be formatted by the following format: YYYY-MM-DD
{Y/N}
1 alphanumeric character
‘true’- Y
‘false’ – N
{ISIN}
12 alphanumeric characters
ISIN code, as defined in ISO 6166
{LEI}
20 alphanumeric characters
Legal entity identifier, as defined in ISO 17442
STS notification form for on-balance-sheet securitisations
FIELD CODE
FIELD NAME
BOX TO COMPLETE
FIELD FORMAT
STSSY 1
First contact point
{LEI}
STSSY 2
Notification date
{DATEFORMAT}
STSSY 3
Instrument identification code
{ISIN}
STSSY 4
Legal Entity Identifier (LEI)
{LEI}
STSSY 5
Protection seller
{ALPHANUM-100}
STSSY 6
Notification identifier
{ALPHANUM-100}
STSSY 7
Unique identifier
{ALPHANUM-1000}
STSSY 8
Securitisation Repository
{ALPHANUM-100}
STSSY 9
Country of establishment
{COUNTRYCODE_2}
STSSY 10
Synthetic securitisation classification
{LIST}
STSSY 11
Synthetic securitisation with unfunded credit protection
{LIST}
STSSY 12
Credit Protection Agreement used
{LIST}
STSSY 13
Underlying exposures classification
{LIST}
STSSY 14
Issue date
{DATEFORMAT}
STSSY 15
Authorised Third party verifier – statement
{ALPHANUM-100}
STSSY 16
Authorised Third party verifier – country of establishment
{COUNTRYCODE_2}
STSSY 17
Authorised Third party verifier – competent authority
{ALPHANUM-100}
STSSY 18
STS status
{ALPHANUM-1000}
STSSY 19
The originator is a supervised entity in the Union
{ALPHANUM-1000}
STSSY 20
Originator applying the purchased third party’s exposures policies
{ALPHANUM-10000}
STSSY 21
Underlying exposures’ origination
{ALPHANUM-10000}
STSSY 22
Assets held on originator’s balance sheet at transaction closing
{ALPHANUM-1000}
STSSY 23
Group category
{ALPHANUM-1000}
STSSY 24
No further hedging of originator’s exposure
{ALPHANUM-1000}
STSSY 25
Credit protection agreement meeting Article 249 of Regulation (EU) No 575/2013
{ALPHANUM-1000}
STSSY 26
Credit protection agreement meeting other credit mitigation rules
{ALPHANUM-10000}
STSSY27
Representations and warranties – Legal title to the underlying exposures
{ALPHANUM-10000}
STSSY28
Representations and warranties – Originator keeps the credit risk of the underlying assets
{ALPHANUM-10000}
STSSY29
Representations and warranties – Exposure compliance with eligibility criteria
{ALPHANUM-10000}
STSSY30
Representations and warranties – Legal and enforceable obligation to the obligor
{ALPHANUM-10000}
STSSY31
Representations and warranties – Underwriting criteria
{ALPHANUM-10000}
STSSY32
Representations and warranties – No obligors in material breach or default
{ALPHANUM-10000}
STSSY33
Representations and warranties – No false information in transaction documentation
{ALPHANUM-10000}
STSSY34
Representations and warranties – Enforceability or collectability of the underlying exposures
{ALPHANUM-10000}
STSSY35
Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis
{ALPHANUM-10000}
STSSY36
Exemption to the prohibition of active portfolio management
{ALPHANUM-10000}
STSSY37
Exposure added after the closing date of the transaction meeting eligibility criteria
{ALPHANUM-10000}
STSSY 38
Fully repaid exposure
{ALPHANUM-10000}
STSSY 39
Underlying exposures disposed of
{ALPHANUM-10000}
STSSY 40
Not credit driven amendment
{ALPHANUM-10000}
STSSY 41
Eligibility criteria not met
{ALPHANUM-10000}
STSSY 42
Homogeneity of assets
{ALPHANUM}
STSSY 43
Only one asset type
{ALPHANUM}
STSSY 44
Obligations that are contractually binding and enforceable
{ALPHANUM-10000}
STSSY 45
Defined periodic payment
{ALPHANUM}
STSSY 46
Proceeds from the sale of assets
{ALPHANUM}
STSSY 47
No transferable securities
{ALPHANUM}
STSSY 48
No re-securitisation
{ALPHANUM-1000}
STSSY 49
Underwriting standards disclosed to potential investors
{ALPHANUM-1000}
STSSY 50
Full recourse to an obligor
{ALPHANUM-1000}
STSSY 51
Underwriting standards – No third parties
{ALPHANUM-1000}
STSSY 52
Underwriting standards – Residential loans
{ALPHANUM-1000}
STSSY 53
Underwriting standards – Borrower assessment
{ALPHANUM-1000}
STSSY 54
Originator or original lender expertise
{ALPHANUM-1000}
STSSY 55
No exposures at default
{ALPHANUM-10000}
STSSY 56
No adverse credit history
{ALPHANUM-10000}
STSSY 57
Risk of non-payment is not higher than for non-securitisation exposures
{ALPHANUM-1000}
STSSY 58
At least one payment made at the time of inclusion of the underlying assets
{ALPHANUM-1000}
STSSY 59
Compliance with risk retention requirements
{ALPHANUM}
STSSY 60
Mitigation of interest rates and currency risks
{ALPHANUM-1000}
STSSY 61
Credit protection collateral and credit protection payment denominated in same currency
{ALPHANUM-1000}
STSSY 62
SSPE’s liabilities equal or less than the SSPE’s income
{ALPHANUM-10000}
STSSY 63
No derivatives used except for hedging interest or currency risks
{ALPHANUM-1000}
STSSY 64
Using derivatives based on common standards
{ALPHANUM-10000}
STSSY 65
Referenced interest payments based on generally used interest rates without complex formulae or derivatives
{ALPHANUM-10000}
STSSY 66
Enforcement event without prejudice for investor’s enforcement action
{ALPHANUM-10000}
STSSY 67
Enforcement of the credit protection agreement – No amount of cash shall be trapped in the SSPE
{ALPHANUM-10000}
STSSY 68
Losses allocated in order of seniority
{ALPHANUM-10000}
STSSY 69
Sequential amortisation
{ALPHANUM-10000}
STSSY 70
Non-sequential priority of payments
{ALPHANUM-10000}
STSSY 71
Performance-related triggers
{ALPHANUM}
STSSY 72
Performance-related triggers
{ALPHANUM}
STSSY 73
Performance-related triggers
{ALPHANUM}
STSSY 74
Amount of collateral equal to the amount of tranches being amortised
{ALPHANUM-10000}
STSSY 75
Credit event occurred and amount of credit protection available at any payment date.
{ALPHANUM-10000}
STSSY 76
Early amortisation provisions or triggers – Credit quality
{ALPHANUM-10000}
STSSY 77
Early amortisation provisions or triggers – Losses
{ALPHANUM-10000}
STSSY 78
Early amortisation provisions or triggers – New exposures
{ALPHANUM-10000}
STSSY 79
Contractual obligations, duties and responsibilities – Servicer
{ALPHANUM-10000}
STSSY 80
Contractual obligations, duties and responsibilities –
Trustee
{ALPHANUM-10000}
STSSY 81
Contractual obligations, duties and responsibilities – Third-party verification agent
{ALPHANUM-10000}
STSSY 82
Contractual obligations, duties and responsibilities – Default or insolvency
{ALPHANUM-10000}
STSSY 83
Contractual obligations, duties and responsibilities – Servicing procedures
{ALPHANUM-10000}
STSSY 84
Servicing standards
{ALPHANUM-10000}
STSSY 85
Required expertise from the servicer
{ALPHANUM-1000}
STSSY 86
Well documented and adequate policies, procedures and risk management controls in place
{ALPHANUM-1000}
STSSY 87
Servicing procedures at least as stringent as the ones applied to similar not securitised exposures
{ALPHANUM-1000}
STSSY 88
Reference register in place
{ALPHANUM}
STSSY 89
Reference register – Content
{ALPHANUM-10000}
STSSY 90
Timely resolution of conflicts between different classes of investors
{ALPHANUM-1000}
STSSY 91
SSPE – Voting rights clearly defined
{ALPHANUM-1000}
STSSY 92
Historical Default and Loss Performance Data
{ALPHANUM-1000}
STSSY 93
Sample of the underlying exposures subject to external verification
{ALPHANUM-1000}
STSSY 94
Availability of a liability cash flow model to potential investors
{ALPHANUM-1000}
STSSY 95
Publication on environmental performance of underlying exposures consisting of residential loans or auto loans or leases
{ALPHANUM-10000}
STSSY 96
Derogation from the requirement to publish environmental performance of underlying exposures consisting of residential loans or car loans or leases
{ALPHANUM-10000}
STSSY97
Originator responsible for compliance with Article 7 of Regulation (EU) 2017/2402
{ALPHANUM-1000}
STSSY 98
Information on Article 7(1), point (a), of Regulation (EU) 2017/2402 available to potential investors
{ALPHANUM-1000}
STSSY 99
Information on Article 7(1), points (b), (c) and (d) of Regulation (EU) 2017/2402 available to potential investors at least in draft or initial form
{ALPHANUM-1000}
STSSY 100
Credit events and use of guarantees
{ALPHANUM-10000}
STSSY 101
Credit events and use of credit derivatives
{ALPHANUM-10000}
STSSY 102
Credit protection agreement documented
{ALPHANUM-10000}
STSSY 103
Forbearance measures do not preclude the triggering of eligible credit events
{ALPHANUM-10000}
STSSY 104
Credit protection payment based on the actual realised loss and standard recovery policies and procedures
{ALPHANUM-10000}
STSSY 105
Credit protection payment payable within a specified period of time
{ALPHANUM-10000}
STSSY 106
Interim credit protection payment at the latest six months after a credit event
{ALPHANUM-10000}
STSSY 107
Interim credit protection payment higher than the applicable expected loss amount
{ALPHANUM-10000}
STSSY 108
Terms of the interim credit protection payment
{ALPHANUM-10000}
STSSY 109
Method for calculation of interim and final credit protection payments
{ALPHANUM-10000}
STSSY 110
Credit protection payment proportional to the share of the outstanding nominal amount
{ALPHANUM-10000}
STSSY 111
Enforceability of the credit protection payment
{ALPHANUM-10000}
STSSY 112
Amount payable under the credit protection agreement by investors is set out in the credit protection agreement.
{ALPHANUM-10000}
STSSY 113
Calculation of the amounts in all circumstances
{ALPHANUM-10000}
STSSY 114
Investors payments circumstances set out under the credit protection agreement.
{ALPHANUM-10000}
STSSY 115
Third-party verification agent’s assessment of circumstances triggering investors payments
{ALPHANUM-10000}
STSSY 116
Credit protection payment calculated at individual underlying exposure level.
{ALPHANUM-10000}
STSSY 117
Specification of maximum extension period for the debt workout process
{ALPHANUM-10000}
STSSY 118
Extension period less than two years
{ALPHANUM-10000}
STSSY 119
Final credit protection payment based on the originator’s final loss estimate
{ALPHANUM-10000}
STSSY 120
Termination of the credit protection agreement
{ALPHANUM-10000}
STSSY 121
Credit protection premiums contingent on the outstanding nominal amount
{ALPHANUM-10000}
STSSY 122
Credit protection agreement not stipulating mechanisms that may avoid or reduce the actual allocation of losses to the investors
{ALPHANUM-10000}
STSSY 123
Derogation for upfront premium payments
{ALPHANUM-10000}
STSSY 124
Description of the credit protection premium in the transaction documentation
{ALPHANUM-10000}
STSSY 125
Enforceability of the investor rights
{ALPHANUM-10000}
STSSY 126
Appointment of a third-party verification agent before the closing date of the transaction
{ALPHANUM-1000}
STSSY 127
Third party verification agent check – Credit event notice specified in the terms of the credit protection agreement
{ALPHANUM-1000}
STSSY 128
Third party verification agent check – Underlying exposure included in the reference portfolio
{ALPHANUM-1000}
STSSY 129
Third party verification agent check – Eligible criteria met at the time of inclusion in the reference portfolio
{ALPHANUM-1000}
STSSY 130
Third party verification agent check – Compliance with the replenishment conditions
{{ALPHANUM-1000}
STSSY 131
Third party verification agent check – Losses consistent with originator’s profit and loss statement
{ALPHANUM-1000}
STSSY 132
Third party verification agent check – Losses correctly allocated to investors
{ALPHANUM-1000}
STSSY 133
Third-party verification agent independent from originators, investors and (where applicable) the SSPE
{ALPHANUM-10000}
STSSY 134
Appointment of the third-party verification agent by the closing date
{ALPHANUM-10000}
STSSY 135
Third-party verification agent’s check made on a sample basis
{ALPHANUM-10000}
STSSY 136
Possibility for investors to require the third-party verification agent to check any underlying exposure
{ALPHANUM-10000}
STSSY 137
Possibility for the third-party verification agent to have access to all relevant information
{ALPHANUM-10000}
STSS 138
Termination events
{ALPHANUM-10000}
STSS 139
Transaction documentation – Call rights
{ALPHANUM-10000}
STSS 140
Transaction documentation – Time call not structured to avoid allocating losses to credit enhancements positions
{ALPHANUM-10000}
STSS 141
Time call
{ALPHANUM-10000}
STSS 142
Funded credit protection – Collateral return to investors in order of the seniority of the tranches
{ALPHANUM-10000}
STSS 143
Termination of transaction by investors upon failure to pay the credit protection premium
{ALPHANUM-10000}
STSSY 144
Amount of synthetic excess spread to investors specified in transaction documentation and expressed as a fixed percentage of the total outstanding portfolio balance
{ALPHANUM-10000}
STSSY 145
Unused synthetic excess spread to be returned to originator
{ALPHANUM-10000}
STSSY 146
Originators using Internal-Ratings-Based approach – Total committed amount per year not higher than the one-year regulatory expected loss amounts
{ALPHANUM-10000}
STSSY 147
Originators not using Internal-Ratings-Based approach – calculation of the one-year expected loss of the underlying portfolio be clearly determined in the transaction documentation
{ALPHANUM-10000}
STSSY 148
Synthetic excess spread conditions laid down in transaction documentation
{ALPHANUM-10000}
STSS 149
Credit protection used
{ALPHANUM-10000}
STSSY 150
Enforceability of the originator’s right to use the collateral to meet the protection payment obligations of the investors through appropriate collateral arrangements
{ALPHANUM}
STSSY 151
Investors’ right to receive any unused collateral when securitisation is unwound or as tranches amortise
{ALPHANUM-10000}
STSSY 152
Collateral invested in securities – Eligibility criteria and custody arrangement specified in transaction documentation
{ALPHANUM}
STSSY 153
Investors exposed to originator’s credit risk
{ALPHANUM-10000}
STSSY 154
Legal opinion confirming the enforceability of the credit protection in all jurisdictions
{ALPHANUM-1000}
STSSY 155
High quality collateral – 0 % risk-weighted debt securities
{ALPHANUM-10000}
STSSY 156
High quality collateral – cash with a third-party credit institution with a credit quality step 3 or above
{ALPHANUM-10000}
STSSY 157
Derogation – collateral in the form of cash on deposit with the originator
{ALPHANUM}
STSSY 158
Collateral in the form of cash on deposit with the originator – permission by competent authority
{ALPHANUM}
STSSY 159
Transfer of collateral where third-party credit institution or originator no longer satisfies the minimum credit quality step
{ALPHANUM}
STSSY 160
Compliance with collateral requirements in the case of investments in credit linked notes issued by the originator
{ALPHANUM-1000}
’
