ANNEX IISupplementary provisions
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} ’