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Document 32020R1227

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)

C/2019/8011

OJ L 289, 3.9.2020, p. 315–329 (BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_impl/2020/1227/oj

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}


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