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}