Commission Implementing Regulation (EU) 2022/1929 amending STS notification templates for on-balance-sheet synthetic securitisations

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Document 32022R1929

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Commission Implementing Regulation (EU) 2022/1929 of 31 March 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2020/1227 as regards the templates for the provision of information in accordance with the STS notification requirements for on-balance-sheet synthetic securitisations

Commission Implementing Regulation (EU) 2022/1929 of 31 March 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2020/1227 as regards the templates for the provision of information in accordance with the STS notification requirements for on-balance-sheet synthetic securitisations

Commission Implementing Regulation (EU) 2022/1929 of 31 March 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2020/1227 as regards the templates for the provision of information in accordance with the STS notification requirements for on-balance-sheet synthetic securitisations

C/2022/1894

OJ L 266, 13.10.2022, pp. 1–12 (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_impl/2022/1929/oj

Official Journal

Language 1

Language 2

Language 3

13.10.2022

EN

Official Journal of the European Union

L 266/1

COMMISSION IMPLEMENTING REGULATION (EU) 2022/1929

of 31 March 2022

amending the implementing technical standards laid down in Implementing Regulation (EU) 2020/1227 as regards the templates for the provision of information in accordance with the STS notification requirements for on-balance-sheet synthetic securitisations

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), third subparagraph thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) 2020/1227 ( 2 ) lays down the use of templates for the provision of information in accordance with the simple, transparent and standardised (STS) notification requirements. In particular, Annexes I to III to Implementing Regulation (EU) 2020/1227, specify the information that is to be reported to the European Securities and Markets Authority (ESMA) for securitisations meeting the STS requirements set out in Articles 19 to 22 and Articles 23 to 26 of Regulation (EU) 2017/2402.

(2)

Regulation (EU) 2021/557 of the European Parliament and of the Council ( 3 ) has amended Regulation (EU) 2017/2402 by extending the STS securitisation framework to on-balance sheet synthetic securitisations. Accordingly, it is necessary to specify the template for the provision of information in accordance with the STS notification requirements for on-balance sheet synthetic securitisations.

(3)

To provide investors, potential investors and competent authorities with a comparative overview of all types of STS securitisations, it is appropriate to ensure consistency across all the STS notifications. The notification template for STS on-balance-sheet securitisations should therefore follow the format of the template for STS traditional securitisations, while also taking into account the requirements concerning credit protection agreements and the role of the third-party verification agent laid down in Article 26e of Regulation (EU) 2017/2402.

(4)

The format for each of the fields to be reported in the notification of STS on-balance-sheet securitisations should be specified and any information submitted to ESMA should be submitted electronically.

(5)

Annex I to Implementing Regulation (EU) 2020/1227 reflects the amendments to Commission Delegated Regulation (EU) 2020/1226 ( 4 ) laid down in Commission Delegated Regulation (EU) 2022/1301 ( 5 ) .

(6)

Implementing Regulation (EU) 2020/1227 should therefore be amended accordingly.

(7)

This Regulation is based on the draft implementing technical standards submitted to the Commission by ESMA.

(8)

ESMA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council ( 6 ) ,

HAS ADOPTED THIS REGULATION:

Article 1

Amendments to Implementing Regulation (EU) 2020/1227

Implementing Regulation (EU) 2020/1227 is amended as follows:

(1)

Article 1 is amended as follows:

(a)

the following paragraph 3a is inserted:

‘3a. The information referred to in Article 1(1), point (d), and Article 1(2), point (d), of Delegated Regulation (EU) 2020/1226 shall be provided by means of the template set out in Annex IV to this Regulation.’;

(b)

paragraph 4 is replaced by the following:

‘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 Articles 43 and 43a 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’;

(c)

paragraph 6 is replaced by the following:

‘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 IV to this Regulation.’;

(2)

Annexes I, II and III are amended as set out in Annex I to this Regulation;

(3)

Annex IV, as set out in Annex II to this Regulation, is added.

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, 31 March 2022.

For the Commission

The President

Ursula VON DER LEYEN

( 1 )

OJ L 347 28.12.2017, p. 35 .

( 2 ) 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 ( OJ L 289, 3.9.2020, p. 315 ).

( 3 ) Regulation (EU) 2021/557 of the European Parliament and of the Council of 31 March 2021 amending Regulation (EU) 2017/2402 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation to help the recovery from the COVID-19 crisis ( OJ L 116, 6.4.2021, p. 1 ).

( 4 ) 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 ( OJ L 289, 3.9.2020, p. 285 ).

( 5 ) Commission Delegated Regulation (EU) 2022/1301 of 26 July 2022 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2020/1226 as regards the information to be provided in accordance with the STS notification requirements for on-balance-sheet synthetic securitisations ( OJ L 197, 26.7.2022, p. 10 ).

( 6 ) 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 No 716/2009/EC and repealing Commission Decision 2009/77/EC ( OJ L 331 15.12.2010, p. 84 ).

ANNEX I

Annexes I, II and III to Implementing Regulation (EU) 2020/1227 are amended as follows:

In Annex I, in the table ‘STS notification form for non-ABCP securitisations’, the rows corresponding to field codes STSS4, STSS17, STSS21 and STSS22 are replaced by the following:

‘STSS4

Unique identifier

{ALPHANUM-1000}

STSS17

Originator (or original lender) is a credit institution

{Y/N}

STSS21

Subject to severe clawback

{ALPHANUM-10000}

STSS22

Exemption for clawback provisions in national insolvency laws

{ALPHANUM-10000}’

In Annex II, in the table ‘STS notification form for ABCP securitisations’, the rows corresponding to field codes STSAT4, STSAT17, STSAT21 and STSAT22 are replaced by the following:

‘STSAT4

Unique identifier

{ALPHANUM-1000}

STSAT17

Originator (or original lender) is a credit institution

{Y/N}

STSAT21

Subject to severe clawback

{ALPHANUM-10000}

STSAT22

Exemption for clawback provisions in national insolvency laws

{ALPHANUM-10000}’

In Annex III, in the table ‘STS notification form for ABCP Programmes’, the row corresponding to field code STSAP4 is replaced by the following:

‘STSAP4

Unique identifier

{ALPHANUM-1000}’

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}

’

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