Circular Letter ST.17-0021 — Update of the Exemption Threshold

2, boulevard Royal L-2983 Luxembourg Télécopie (+352) 4774-4943 E-mail: reporting.titrisation@bcl.lu ./.
Ref.: ST.17-0021 Luxembourg, January 9, 2017
To all securitization vehicles
Subject: 2017 Exemption Threshold for Securitization Vehicles

Madam, Sir,

We have the honor to refer you to Circular BCL 2014/236 regarding the modification of statistical data collection from securitization vehicles.

Pursuant to point 4.2 of the aforementioned BCL Circular, and in application of Article 5.1(b) of European Central Bank Regulation No 1075/2013 of October 18, 2013, on statistics on the assets and liabilities of securitization vehicles (ECB/2013/40), the BCL intends to exempt certain securitization vehicles from all statistical reporting obligations, with the exception of the obligation to report quarterly end-of-quarter data on total assets, provided that securitization vehicles contributing to the aggregated quarterly assets/liabilities represent at least 95% of the total assets of securitization vehicles in terms of outstanding amounts.

We draw your attention to the fact that the exemption threshold has remained unchanged since the last circular letter ST.13-0993, but the reference period has been clarified. Based on the information collected, we have established that the exemption threshold amounts to EUR 70 million.

It is important to mention that this threshold will be calculated annually, and a new circular letter will be issued only in the event of a change.

2, boulevard Royal L-2983 Luxembourg Télécopie (+352) 4774-4943 E-mail: reporting.titrisation@bcl.lu ./.

Companies whose total balance sheet exceeds the aforementioned threshold of EUR 70 million during the year are required to submit reports starting from the close of the month in which the threshold was reached. We remind you that a company that has chosen to report its data by compartment is taken into account at the consolidated level for the control of the exemption threshold. Furthermore, organizations reporting by compartment and whose consolidated total assets exceed the exemption threshold must report data for all compartments.

Reports S 2.14 and S 2.15 must be transmitted no later than the twentieth business day following the end of the quarter to which these data relate.

As for the TPT report, it must be transmitted no later than the twentieth business day following the end of the month to which these data relate.

For example, if the exemption threshold is reached on February 20, 2017, then the declarant must submit the monthly TPT report from the reference period of February 2017 and the quarterly reports S2.14 and S2.15 from the reference period of March 2017.

If the consolidated total balance sheet of a reporting company remains below the aforementioned threshold of EUR 70 million permanently during the year, it is necessary to notify the BCL within the same timeframe to benefit from the reporting exemption. The exemption will be acquired starting from the month following the quarterly close showing total assets below the exemption threshold.

For example, if total assets fall below the exemption threshold on April 15, 2017, then the declarant must submit the monthly TPT report and the quarterly reports S2.14 and S2.15 until the reference period of June 2017.

Securitization vehicles subject to the statistical reporting obligation are invited to comply with the instructions and reports available on the BCL website at:
http://www.bcl.lu/fr/reporting_reglementaire/Vehicules_de_titrisation/index.html

Please accept, Madam, Sir, the assurance of our perfect consideration.

2, boulevard Royal L-2983 Luxembourg Télécopie (+352) 4774-4943 E-mail: reporting.titrisation@bcl.lu ./.
BANQUE CENTRALE DU LUXEMBOURG
Philippe Arondel Roland Nockels
Section Head Department Head