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

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}